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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 |
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Federal (State or other jurisdiction of incorporation or organization) | 13-6400946 (I.R.S. Employer Identification No.) | |
101 Park Avenue, New York, N.Y. (Address of principal executive offices) | 10178 (Zip Code) |
(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 MARCH 31, 2010
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PART I. FINANCIAL INFORMATION | ||||||||
ITEM 1. FINANCIAL STATEMENTS (Unaudited): | ||||||||
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Exhibit 10.01 | ||||||||
Exhibit 31.01 | ||||||||
Exhibit 31.02 | ||||||||
Exhibit 32.01 | ||||||||
Exhibit 32.02 |
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March 31, 2010 | December 31, 2009 | |||||||
Assets | ||||||||
Cash and due from banks (Note 3) | $ | 1,167,824 | $ | 2,189,252 | ||||
Federal funds sold | 3,130,000 | 3,450,000 | ||||||
Available-for-sale securities, net of unrealized gains (losses) of $11,521 at March 31, 2010 and ($3,409) at December 31, 2009 (Note 5) | 2,654,814 | 2,253,153 | ||||||
Held-to-maturity securities (Note 4) | ||||||||
Long-term securities | 9,776,282 | 10,519,282 | ||||||
Advances (Note 6) | 88,858,753 | 94,348,751 | ||||||
Mortgage loans held-for-portfolio, net of allowance for credit losses of $5,179 at March 31, 2010 and $4,498 at December 31, 2009 (Note 7) | 1,287,770 | 1,317,547 | ||||||
Accrued interest receivable | 320,730 | 340,510 | ||||||
Premises, software, and equipment | 14,046 | 14,792 | ||||||
Derivative assets (Note 16) | 9,246 | 8,280 | ||||||
Other assets | 19,761 | 19,339 | ||||||
Total assets | $ | 107,239,226 | $ | 114,460,906 | ||||
Liabilities and capital | ||||||||
Liabilities | ||||||||
Deposits (Note 8) | ||||||||
Interest-bearing demand | $ | 7,942,668 | $ | 2,616,812 | ||||
Non-interest bearing demand | 6,254 | 6,499 | ||||||
Term | 28,000 | 7,200 | ||||||
Total deposits | 7,976,922 | 2,630,511 | ||||||
Consolidated obligations, net (Note 10) | ||||||||
Bonds (Includes $6,780,613 at March 31, 2010 and $6,035,741 at December 31, 2009 at fair value under the fair value option) | 72,408,203 | 74,007,978 | ||||||
Discount notes | 19,815,956 | 30,827,639 | ||||||
Total consolidated obligations | 92,224,159 | 104,835,617 | ||||||
Mandatorily redeemable capital stock (Note 11) | 105,192 | 126,294 | ||||||
Accrued interest payable | 330,715 | 277,788 | ||||||
Affordable Housing Program (Note 12) | 145,660 | 144,489 | ||||||
Payable to REFCORP (Note 12) | 13,873 | 24,234 | ||||||
Derivative liabilities (Note 16) | 850,911 | 746,176 | ||||||
Other liabilities | 216,168 | 72,506 | ||||||
Total liabilities | 101,863,600 | 108,857,615 | ||||||
Commitments and Contingencies(Notes 10, 12, 16 and 18) | ||||||||
Capital(Note 11) | ||||||||
Capital stock ($100 par value), putable, issued and outstanding shares: | ||||||||
48,276 at March 31, 2010 and 50,590 at December 31, 2009 | 4,827,626 | 5,058,956 | ||||||
Retained earnings | 671,519 | 688,874 | ||||||
Accumulated other comprehensive income (loss) (Note 13) | ||||||||
Net unrealized gain (loss) on available-for-sale securities | 11,521 | (3,409 | ) | |||||
Non-credit portion of OTTI on held-to-maturity securities, net of accretion | (106,612 | ) | (110,570 | ) | ||||
Net unrealized loss on hedging activities | (20,551 | ) | (22,683 | ) | ||||
Employee supplemental retirement plans (Note 15) | (7,877 | ) | (7,877 | ) | ||||
Total capital | 5,375,626 | 5,603,291 | ||||||
Total liabilities and capital | $ | 107,239,226 | $ | 114,460,906 | ||||
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March 31, | ||||||||
2010 | 2009 | |||||||
Interest income | ||||||||
Advances (Note 6) | $ | 149,640 | $ | 502,222 | ||||
Interest-bearing deposits (Note 3) | 830 | 8,918 | ||||||
Federal funds sold | 1,543 | 68 | ||||||
Available-for-sale securities (Note 5) | 5,764 | 8,519 | ||||||
Held-to-maturity securities (Note 4) | ||||||||
Long-term securities | 98,634 | 126,820 | ||||||
Certificates of deposit | — | 508 | ||||||
Mortgage loans held-for-portfolio (Note 7) | 16,741 | 19,104 | ||||||
Total interest income | 273,152 | 666,159 | ||||||
Interest expense | ||||||||
Consolidated obligations-bonds (Note 10) | 154,913 | 343,707 | ||||||
Consolidated obligations-discount notes (Note 10) | 9,657 | 89,378 | ||||||
Deposits (Note 8) | 892 | 777 | ||||||
Mandatorily redeemable capital stock (Note 11) | 1,495 | 878 | ||||||
Cash collateral held and other borrowings (Note 19) | — | 37 | ||||||
Total interest expense | 166,957 | 434,777 | ||||||
Net interest income before provision for credit losses | 106,195 | 231,382 | ||||||
Provision for credit losses on mortgage loans | 709 | 443 | ||||||
Net interest income after provision for credit losses | 105,486 | 230,939 | ||||||
Other income (loss) | ||||||||
Service fees | 1,045 | 985 | ||||||
Instruments held at fair value — Unrealized (loss) gain (Note 17) | (8,419 | ) | 8,313 | |||||
Total OTTI losses | (3,873 | ) | (15,203 | ) | ||||
Portion of loss recognized in other comprehensive income | 473 | 9,938 | ||||||
Net impairment losses recognized in earnings | (3,400 | ) | (5,265 | ) | ||||
Net realized and unrealized (loss) on derivatives and hedging activities (Note 16) | (363 | ) | (13,666 | ) | ||||
Net realized gain from sale of available-for-sale securities (Note 5) | 708 | 440 | ||||||
Other | (227 | ) | 46 | |||||
Total other income (loss) | (10,656 | ) | (9,147 | ) | ||||
Other expenses | ||||||||
Operating | 19,236 | 18,094 | ||||||
Finance Agency and Office of Finance | 2,418 | 1,967 | ||||||
Total other expenses | 21,654 | 20,061 | ||||||
Income before assessments | 73,176 | 201,731 | ||||||
Affordable Housing Program (Note 12) | 6,126 | 16,557 | ||||||
REFCORP (Note 12) | 13,410 | 37,035 | ||||||
Total assessments | 19,536 | 53,592 | ||||||
Net income | $ | 53,640 | $ | 148,139 | ||||
Basic earnings per share (Note 14) | $ | 1.09 | $ | 2.72 | ||||
Cash dividends paid per share | $ | 1.41 | $ | 0.75 | ||||
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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, 2008 | 55,857 | $ | 5,585,700 | $ | 382,856 | $ | (101,161 | ) | $ | 5,867,395 | ||||||||||||||
Proceeds from sale of capital stock | 10,418 | 1,041,817 | — | — | 1,041,817 | |||||||||||||||||||
Redemption of capital stock | (12,145 | ) | (1,214,491 | ) | — | — | (1,214,491 | ) | ||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | — | — | — | — | — | |||||||||||||||||||
Cash dividends ($0.75 per share) on capital stock | — | — | (42,100 | ) | — | (42,100 | ) | |||||||||||||||||
Net Income | — | — | 148,139 | — | 148,139 | $ | 148,139 | |||||||||||||||||
Net change in Accumulated other comprehensive income (Loss): | ||||||||||||||||||||||||
Non-credit portion of OTTI on held-to-maturity securities, net of accretion | — | — | — | (9,938 | ) | (9,938 | ) | (9,938 | ) | |||||||||||||||
Net unrealized gains on available-for-sale securities | — | — | — | 30,426 | 30,426 | 30,426 | ||||||||||||||||||
Hedging activities | — | — | — | 1,879 | 1,879 | 1,879 | ||||||||||||||||||
$ | 170,506 | |||||||||||||||||||||||
Balance, March 31, 2009 | 54,130 | $ | 5,413,026 | $ | 488,895 | $ | (78,794 | ) | $ | 5,823,127 | ||||||||||||||
Balance, December 31, 2009 | 50,590 | $ | 5,058,956 | $ | 688,874 | $ | (144,539 | ) | $ | 5,603,291 | ||||||||||||||
Proceeds from sale of capital stock | 3,644 | 364,445 | — | — | 364,445 | |||||||||||||||||||
Redemption of capital stock | (5,944 | ) | (594,365 | ) | — | — | (594,365 | ) | ||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (14 | ) | (1,410 | ) | — | — | (1,410 | ) | ||||||||||||||||
Cash dividends ($1.41 per share) on capital stock | — | — | (70,995 | ) | — | (70,995 | ) | |||||||||||||||||
Net Income | — | — | 53,640 | — | 53,640 | $ | 53,640 | |||||||||||||||||
Net change in Accumulated other comprehensive income (Loss): | ||||||||||||||||||||||||
Non-credit portion of OTTI on held-to-maturity securities, net of accretion | — | — | — | 3,958 | 3,958 | 3,958 | ||||||||||||||||||
Net unrealized gains on available-for-sale securities | — | — | — | 14,930 | 14,930 | 14,930 | ||||||||||||||||||
Hedging activities | — | — | — | 2,132 | 2,132 | 2,132 | ||||||||||||||||||
$ | 74,660 | |||||||||||||||||||||||
Balance, March 31, 2010 | 48,276 | $ | 4,827,626 | $ | 671,519 | $ | (123,519 | ) | $ | 5,375,626 | ||||||||||||||
1 | Putable stock |
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March 31, | ||||||||
2010 | 2009 | |||||||
Operating activities | ||||||||
Net Income | $ | 53,640 | $ | 148,139 | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Depreciation and amortization: | ||||||||
Net premiums and discounts on consolidated obligations, investments, mortgage loans and other adjustments | (19,849 | ) | (16,488 | ) | ||||
Concessions on consolidated obligations | 2,497 | 1,858 | ||||||
Premises, software, and equipment | 1,365 | 1,323 | ||||||
Provision for credit losses on mortgage loans | 709 | 443 | ||||||
Net realized (gains) from sale of available-for-sale securities | (708 | ) | (440 | ) | ||||
Credit impairment losses on held-to-maturity securities | 3,400 | 5,265 | ||||||
Change in net fair value adjustments on derivatives and hedging activities | 145,124 | 10,927 | ||||||
Change in fair value adjustments on financial instruments held at fair value | 8,419 | (8,313 | ) | |||||
Net change in: | ||||||||
Accrued interest receivable | 19,781 | 81,356 | ||||||
Derivative assets due to accrued interest | (9,558 | ) | 122,496 | |||||
Derivative liabilities due to accrued interest | (27,425 | ) | (184,242 | ) | ||||
Other assets | 2,560 | 2,353 | ||||||
Affordable Housing Program liability | 1,171 | 5,919 | ||||||
Accrued interest payable | 54,380 | (48,275 | ) | |||||
REFCORP liability | (10,361 | ) | 37,035 | |||||
Other liabilities | (32,257 | ) | (2,619 | ) | ||||
Total adjustments | 139,248 | 8,598 | ||||||
Net cash provided by operating activities | 192,888 | 156,737 | ||||||
Investing activities | ||||||||
Net change in: | ||||||||
Interest-bearing deposits | 3,874 | 4,328,324 | ||||||
Federal funds sold | 320,000 | (500,000 | ) | |||||
Deposits with other FHLBanks | 22 | (3 | ) | |||||
Premises, software, and equipment | (619 | ) | (1,348 | ) | ||||
Held-to-maturity securities: | ||||||||
Long-term securities | ||||||||
Purchased | — | (395,221 | ) | |||||
Repayments | 916,331 | 624,495 | ||||||
In-substance maturities | — | 1,479 | ||||||
Net change in certificates of deposit | — | 903,000 | ||||||
Available-for-sale securities: | ||||||||
Purchased | (581,936 | ) | (346 | ) | ||||
Proceeds | 164,325 | 120,446 | ||||||
Proceeds from sales | 32,993 | 131,780 | ||||||
Advances: | ||||||||
Principal collected | 66,264,709 | 159,760,816 | ||||||
Made | (60,622,185 | ) | (155,769,454 | ) | ||||
Mortgage loans held-for-portfolio: | ||||||||
Principal collected | 49,065 | 54,415 | ||||||
Purchased and originated | (20,106 | ) | (28,208 | ) | ||||
Loans to other FHLBanks | ||||||||
Loans made | (27,000 | ) | — | |||||
Principal collected | 27,000 | — | ||||||
Net cash provided by investing activities | 6,526,473 | 9,230,175 | ||||||
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Statements of Cash Flows — Unaudited (in thousands)
For the three months ended March 31, 2010 and 2009
March 31, | ||||||||
2010 | 2009 | |||||||
Financing activities | ||||||||
Net change in: | ||||||||
Deposits and other borrowings1 | $ | 5,238,715 | $ | 919,256 | ||||
Consolidated obligation bonds: | ||||||||
Proceeds from issuance | 14,103,711 | 5,795,744 | ||||||
Payments for maturing and early retirement | (15,757,412 | ) | (18,272,802 | ) | ||||
Consolidated obligation discount notes: | ||||||||
Proceeds from issuance | 27,155,228 | 190,143,891 | ||||||
Payments for maturing | (38,157,604 | ) | (187,741,830 | ) | ||||
Capital stock: | ||||||||
Proceeds from issuance | 364,445 | 1,041,817 | ||||||
Payments for redemption / repurchase | (594,365 | ) | (1,214,491 | ) | ||||
Redemption of Mandatorily redeemable capital stock | (22,512 | ) | (3,160 | ) | ||||
Cash dividends paid2 | (70,995 | ) | (42,100 | ) | ||||
Net cash used by financing activities | (7,740,789 | ) | (9,373,675 | ) | ||||
Net (decrease) increase in cash and cash equivalents | (1,021,428 | ) | 13,237 | |||||
Cash and cash equivalents at beginning of the period | 2,189,252 | 18,899 | ||||||
Cash and cash equivalents at end of the period | $ | 1,167,824 | $ | 32,136 | ||||
Supplemental disclosures: | ||||||||
Interest paid | $ | 136,535 | $ | 583,725 | ||||
Affordable Housing Program payments3 | $ | 4,955 | $ | 10,638 | ||||
REFCORP payments | $ | 23,771 | $ | — | ||||
Transfers of mortgage loans to real estate owned | $ | 377 | $ | 108 | ||||
Portion of non-credit OTTI losses on held-to-maturity securities | $ | 473 | $ | 9,938 |
1 | Cash flows from derivatives containing financing elements were considered as a financing activity — $109,565 and $41,605 cash out-flows for the three months ended 2010 and 2009. | |
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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• | Market approach — This technique uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities. |
• | Income approach — This technique uses valuation techniques to convert future amounts (for example, cash flows or earnings) to a single present amount (discounted), based on assumptions used by market participants. The present value technique used to measure fair value depends on the facts and circumstances specific to the asset or liability being measured and the availability of data. |
• | Cost approach — This approach is based on the amount that currently would be required to replace the service capacity of an asset (often referred to as current replacement cost). |
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(1) | a qualifying1 hedge of the fair value of a recognized asset or liability or an unrecognized firm commitment (a “fair value” hedge); |
(2) | a qualifying1 hedge of a forecasted transaction or the variability of cash flows that are to be received or paid in connection with a recognized asset or liability (a “cash flow” hedge); |
(3) | a non-qualifying1 hedge of an asset or liability (“economic hedge”) for asset-liability management purposes; or |
(4) | a non-qualifying1 hedge of another derivative (an “intermediation” hedge) that is offered as a product to members or used to offset other derivatives with non-member counterparties. |
1 | Note: The terms “qualifying” and “non-qualifying” refer to accounting standards forderivatives and hedging. |
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• | Adjustments of the effective yields for mortgage-backed securities are recorded on a retrospective basis, meaning as if the new estimated life of the security had been known at its original acquisition date. Changes in interest rates have a direct impact on prepayment speeds and estimated life, which will result in yield adjustments and can be a source of income volatility. Reductions in interest rates generally accelerate prepayments, which accelerate the amortization of premiums and reduce current earnings. Typically, declining interest rates also accelerate the accretion of discounts, thereby increasing current earnings. On the other hand, in a rising interest rate environment, prepayments will generally extend over a longer period, shifting some of the premium amortization and discount accretion to future periods. |
• | The Bank uses the contractual method to amortize premiums and accrete discounts on mortgage loans held-for-portfolio. The contractual method recognizes the income effects of premiums and discounts in a manner that is reflective of the actual behavior of the mortgage loans during the period in which the behavior occurs while also reflecting the contractual terms of the assets without regard to changes in estimated prepayments based upon assumptions about future borrower behavior. |
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March 31, 2010 | ||||||||||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||||||||||
Cost | OTTI | Carrying | Unrecognized | Unrecognized | Fair | |||||||||||||||||||
Issued, guaranteed or insured: | Basis | in OCI | Value | Holding Gains | Holding Losses | Value | ||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||
Fannie Mae | $ | 1,081,039 | $ | — | $ | 1,081,039 | $ | 44,361 | $ | — | $ | 1,125,400 | ||||||||||||
Freddie Mac | 307,168 | — | 307,168 | 14,795 | — | 321,963 | ||||||||||||||||||
Total pools of mortgages | 1,388,207 | — | 1,388,207 | 59,156 | — | 1,447,363 | ||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||
Fannie Mae | 2,406,059 | — | 2,406,059 | 75,431 | — | 2,481,490 | ||||||||||||||||||
Freddie Mac | 3,854,479 | — | 3,854,479 | 125,672 | (56 | ) | 3,980,095 | |||||||||||||||||
Ginnie Mae | 150,882 | — | 150,882 | 422 | (355 | ) | 150,949 | |||||||||||||||||
Total CMOs/REMICs | 6,411,420 | — | 6,411,420 | 201,525 | (411 | ) | 6,612,534 | |||||||||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||||||||||
Freddie Mac | 174,048 | — | 174,048 | — | — | 174,048 | ||||||||||||||||||
Ginnie Mae | 49,342 | — | 49,342 | 674 | — | 50,016 | ||||||||||||||||||
Total commercial mortgage-backed securities | 223,390 | — | 223,390 | 674 | — | 224,064 | ||||||||||||||||||
Non-GSE MBS | ||||||||||||||||||||||||
CMOs/REMICs | 409,839 | (2,287 | ) | 407,552 | 2,771 | (5,397 | ) | 404,926 | ||||||||||||||||
Commercial MBS | — | — | — | — | — | — | ||||||||||||||||||
Total non-federal-agency MBS | 409,839 | (2,287 | ) | 407,552 | 2,771 | (5,397 | ) | 404,926 | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||
Manufactured housing (insured) | 195,700 | — | 195,700 | — | (35,830 | ) | 159,870 | |||||||||||||||||
Home equity loans (insured) | 296,280 | (76,935 | ) | 219,345 | 18,484 | (11,316 | ) | 226,513 | ||||||||||||||||
Home equity loans (uninsured) | 208,217 | (27,390 | ) | 180,827 | 10,257 | (29,822 | ) | 161,262 | ||||||||||||||||
Total asset-backed securities | 700,197 | (104,325 | ) | 595,872 | 28,741 | (76,968 | ) | 547,645 | ||||||||||||||||
Total MBS | $ | 9,133,053 | $ | (106,612 | ) | $ | 9,026,441 | $ | 292,867 | $ | (82,776 | ) | $ | 9,236,532 | ||||||||||
Other | ||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 749,841 | $ | — | $ | 749,841 | $ | 3,471 | $ | (55,583 | ) | $ | 697,729 | |||||||||||
Certificates of deposit | — | — | — | — | — | — | ||||||||||||||||||
Total other | $ | 749,841 | $ | — | $ | 749,841 | $ | 3,471 | $ | (55,583 | ) | $ | 697,729 | |||||||||||
Total Held-to-maturity securities | $ | 9,882,894 | $ | (106,612 | ) | $ | 9,776,282 | $ | 296,338 | $ | (138,359 | ) | $ | 9,934,261 | ||||||||||
December 31, 2009 | ||||||||||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||||||||||
Cost | OTTI | Carrying | Unrecognized | Unrecognized | Fair | |||||||||||||||||||
Issued, guaranteed or insured: | Basis | in OCI | Value | Holding Gains | Holding Losses | Value | ||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||
Fannie Mae | $ | 1,137,514 | $ | — | $ | 1,137,514 | $ | 38,378 | $ | — | $ | 1,175,892 | ||||||||||||
Freddie Mac | 335,368 | — | 335,368 | 12,903 | — | 348,271 | ||||||||||||||||||
Total pools of mortgages | 1,472,882 | — | 1,472,882 | 51,281 | — | 1,524,163 | ||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||
Fannie Mae | 2,609,254 | — | 2,609,254 | 70,222 | (2,192 | ) | 2,677,284 | |||||||||||||||||
Freddie Mac | 4,400,003 | — | 4,400,003 | 128,952 | (3,752 | ) | 4,525,203 | |||||||||||||||||
Ginnie Mae | 171,531 | — | 171,531 | 245 | (1,026 | ) | 170,750 | |||||||||||||||||
Total CMOs/REMICs | 7,180,788 | — | 7,180,788 | 199,419 | (6,970 | ) | 7,373,237 | |||||||||||||||||
Ginnie Mae-CMBS | 49,526 | — | 49,526 | 62 | — | 49,588 | ||||||||||||||||||
Non-GSE MBS | ||||||||||||||||||||||||
CMOs/REMICs | 447,367 | (2,461 | ) | 444,906 | 2,437 | (7,833 | ) | 439,510 | ||||||||||||||||
Commercial MBS | — | — | — | — | — | — | ||||||||||||||||||
Total non-federal-agency MBS | 447,367 | (2,461 | ) | 444,906 | 2,437 | (7,833 | ) | 439,510 | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||
Manufactured housing (insured) | 202,278 | — | 202,278 | — | (37,101 | ) | 165,177 | |||||||||||||||||
Home equity loans (insured) | 307,279 | (79,445 | ) | 227,834 | 12,795 | (25,136 | ) | 215,493 | ||||||||||||||||
Home equity loans (uninsured) | 217,981 | (28,664 | ) | 189,317 | 3,436 | (34,804 | ) | 157,949 | ||||||||||||||||
Total asset-backed securities | 727,538 | (108,109 | ) | 619,429 | 16,231 | (97,041 | ) | 538,619 | ||||||||||||||||
Total MBS | $ | 9,878,101 | $ | (110,570 | ) | $ | 9,767,531 | $ | 269,430 | $ | (111,844 | ) | $ | 9,925,117 | ||||||||||
Other | ||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 751,751 | $ | — | $ | 751,751 | $ | 3,430 | $ | (11,046 | ) | $ | 744,135 | |||||||||||
Certificates of deposit | — | — | — | — | — | — | ||||||||||||||||||
Total other | $ | 751,751 | $ | — | $ | 751,751 | $ | 3,430 | $ | (11,046 | ) | $ | 744,135 | |||||||||||
Total Held-to-maturity securities | $ | 10,629,852 | $ | (110,570 | ) | $ | 10,519,282 | $ | 272,860 | $ | (122,890 | ) | $ | 10,669,252 | ||||||||||
1 | Amortized cost basis, as defined under the guidance on recognition and presentation of OTTI, includes adjustments made to the cost of an investment for accretion, amortization, collection of cash, and fair value hedge accounting adjustments. If a held-to-maturity security is determined to be OTTI, the amortized cost basis of the security is adjusted for previous OTTI recognized in earnings. Amortized cost basis of a held-to-maturity OTTI security is further adjusted for impairment related to all other factors (also referred to as the non-credit component of OTTI) recognized in AOCI, and the adjusted amortized cost basis is the carrying value of the OTTI security reported in the Statements of Condition. Carrying value of a held-to-maturity security that is not OTTI is its amortized cost basis. |
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March 31, 2010 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
Non-MBS Investment Securities | ||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 143,016 | $ | (10,889 | ) | $ | 213,571 | $ | (44,694 | ) | $ | 356,587 | $ | (55,583 | ) | |||||||||
Total Non-MBS | 143,016 | (10,889 | ) | 213,571 | (44,694 | ) | 356,587 | (55,583 | ) | |||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||
MBS — Other US Obligations | ||||||||||||||||||||||||
Ginnie Mae | 110,737 | (355 | ) | — | — | 110,737 | (355 | ) | ||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | — | — | — | — | — | — | ||||||||||||||||||
Freddie Mac | 126,350 | (56 | ) | — | — | 126,350 | (56 | ) | ||||||||||||||||
Total MBS-GSE | 126,350 | (56 | ) | — | — | 126,350 | (56 | ) | ||||||||||||||||
MBS-Private-Label | 97,372 | (502 | ) | 768,161 | (158,064 | ) | 865,533 | (158,566 | ) | |||||||||||||||
Total MBS | 334,459 | (913 | ) | 768,161 | (158,064 | ) | 1,102,620 | (158,977 | ) | |||||||||||||||
Total | $ | 477,475 | $ | (11,802 | ) | $ | 981,732 | $ | (202,758 | ) | $ | 1,459,207 | $ | (214,560 | ) | |||||||||
December 31, 2009 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
Non-MBS Investment Securities | ||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 212,112 | $ | (8,611 | ) | $ | 43,955 | $ | (2,435 | ) | $ | 256,067 | $ | (11,046 | ) | |||||||||
Total Non-MBS | 212,112 | (8,611 | ) | 43,955 | (2,435 | ) | 256,067 | (11,046 | ) | |||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||
MBS — Other US Obligations | ||||||||||||||||||||||||
Ginnie Mae | 122,359 | (1,020 | ) | 2,274 | (6 | ) | 124,633 | (1,026 | ) | |||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | 780,645 | (2,192 | ) | — | — | 780,645 | (2,192 | ) | ||||||||||||||||
Freddie Mac | 814,881 | (3,752 | ) | — | — | 814,881 | (3,752 | ) | ||||||||||||||||
Total MBS-GSE | 1,595,526 | (5,944 | ) | — | — | 1,595,526 | (5,944 | ) | ||||||||||||||||
MBS-Private-Label | 113,140 | (1,523 | ) | 765,445 | (196,134 | ) | 878,585 | (197,657 | ) | |||||||||||||||
Total MBS | 1,831,025 | (8,487 | ) | 767,719 | (196,140 | ) | 2,598,744 | (204,627 | ) | |||||||||||||||
Total | $ | 2,043,137 | $ | (17,098 | ) | $ | 811,674 | $ | (198,575 | ) | $ | 2,854,811 | $ | (215,673 | ) | |||||||||
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28
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29
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Quarter ended | ||||||||||||||||||||||||||||
At March 31, 2010 | March 31, 2010 | |||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | OTTI | ||||||||||||||||||||||||||
Security | Fair | Fair | Credit | Non-credit | ||||||||||||||||||||||||
Classification | Count | UPB | Value | UPB | Value | Loss | Loss | |||||||||||||||||||||
RMBS-Prime* | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
HEL Subprime* | 5 | 21,637 | 9,730 | 45,476 | 26,015 | (3,400 | ) | (473 | ) | |||||||||||||||||||
Total | 5 | $ | 21,637 | $ | 9,730 | $ | 45,476 | $ | 26,015 | $ | (3,400 | ) | $ | (473 | ) | |||||||||||||
* | RMBS-Prime — Private-label MBS supported by prime residential loans; HEL Subprime — MBS supported by home equity loans. |
1 | The total carrying value of the five securities prior to OTTI was $38.2 million. The carrying values and fair values of OTTI securities in a loss position at March 31, 2010 prior to OTTI were $27.0 million and $23.1 million. |
At December 31, 2009 | Quarter ended December 31, 2009 | |||||||||||||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI | Gross Unrecognized Losses | ||||||||||||||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | Less than | More than | |||||||||||||||||||||||||||||||||||||
Classification | Count | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||||||||||||||
RMBS-Prime* | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||||
HEL Subprime* | 8 | — | — | 89,092 | 53,027 | 20,118 | 12,874 | (6,540 | ) | (16,212 | ) | — | (2,663 | ) | ||||||||||||||||||||||||||||||
Total | 8 | $ | — | $ | — | $ | 89,092 | $ | 53,027 | $ | 20,118 | $ | 12,874 | $ | (6,540 | ) | $ | (16,212 | ) | $ | — | $ | (2,663 | ) | ||||||||||||||||||||
* | RMBS-Prime — Private-label MBS supported by prime residential loans; HEL Subprime — MBS supported by home equity loans. |
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At December 31, 2009 | Year ended December 31, 2009 | |||||||||||||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI | Gross Unrecognized Losses | ||||||||||||||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | Less than | More than | |||||||||||||||||||||||||||||||||||||
Classification | Count | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||||||||||||||
RMBS-Prime* | 1 | $ | — | $ | — | $ | — | $ | — | $ | 54,295 | $ | 51,715 | $ | (438 | ) | $ | (2,766 | ) | $ | (1,187 | ) | $ | — | ||||||||||||||||||||
HEL Subprime* | 16 | 34,425 | 17,161 | 198,532 | 127,470 | 80,774 | 53,783 | (20,378 | ) | (117,330 | ) | — | (13,674 | ) | ||||||||||||||||||||||||||||||
Total | 17 | $ | 34,425 | $ | 17,161 | $ | 198,532 | $ | 127,470 | $ | 135,069 | $ | 105,498 | $ | (20,816 | ) | $ | (120,096 | ) | $ | (1,187 | ) | $ | (13,674 | ) | |||||||||||||||||||
* | RMBS-Prime — Private-label MBS supported by prime residential loans; HEL Subprime — MBS supported by home equity loans. |
At March 31, 2009 | Quarter ended March 31, 2009 | |||||||||||||||||||
Insurer MBIA | OTTI | |||||||||||||||||||
Security | Amortized | Fair | Credit | Non-credit | ||||||||||||||||
Classification | Count | Cost Basis | Value | Loss | Loss | |||||||||||||||
HEL Subprime* | 2 | $ | 37,011 | $ | 21,808 | $ | (5,265 | ) | $ | (9,938 | ) |
* | RMBS-Prime — Private-label MBS supported by prime residential loans; HEL Subprime — MBS supported by home equity loans. |
Quarter ended March 31 | ||||||||
2010 | 2009 | |||||||
Beginning balance | $ | 20,816 | $ | — | ||||
Additions to the credit component for OTTI loss not previously recognized | — | — | ||||||
Additional credit losses for which an OTTI charge was previously recognized | 3,400 | 5,265 | ||||||
Increases in cash flows expected to be collected, recognized over the remaining life of the securities | — | — | ||||||
Ending balance | $ | 24,216 | $ | 5,265 | ||||
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Key Base Assumption — OTTI Securities | ||||||||||||||||||||||||
CDR | CPR | Loss Severity % | ||||||||||||||||||||||
Security Classification | Range | Average | Range | Average | Range | Average | ||||||||||||||||||
RMBS-Prime* | — | — | — | — | — | — | ||||||||||||||||||
HEL Subprime* | 6.06-7.80 | 6.7 | 2.00-7.54 | 4.8 | 72.6-100.0 | 91.5 |
* | RMBS-Prime — Private-label MBS supported by prime residential loans; | |
* | HEL Subprime — MBS supported by home equity loans. |
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March 31, 2010 | ||||||||||||||||||||||||||||||||
Actual Results — Base Case HPI Scenario | Pro-forma Results — Adverse HPI Scenario | |||||||||||||||||||||||||||||||
OTTI related | OTTI related | |||||||||||||||||||||||||||||||
# of | OTTI related | to non-credit | # of | OTTI related | to non-credit | |||||||||||||||||||||||||||
Securities | UPB | to credit loss | loss | Securities | UPB | to credit loss | loss | |||||||||||||||||||||||||
RMBS Prime | — | $ | — | $ | — | $ | — | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Alt-A | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
HEL Subprime | 5 | 67,114 | 3,400 | 473 | 5 | 67,114 | 5,028 | — | ||||||||||||||||||||||||
Total | 5 | $ | 67,114 | $ | 3,400 | $ | 473 | 5 | $ | 67,114 | $ | 5,028 | $ | — | ||||||||||||||||||
For the year ended December 31, 2009 | ||||||||||||||||||||||||||||||||
Actual Results — Base Case HPI Scenario | Pro-forma Results — Adverse HPI Scenario | |||||||||||||||||||||||||||||||
OTTI related | OTTI related | |||||||||||||||||||||||||||||||
# of | OTTI related | to non-credit | # of | OTTI related | to non-credit | |||||||||||||||||||||||||||
Securities | UPB | to credit loss | loss | Securities | UPB | to credit loss | loss | |||||||||||||||||||||||||
RMBS Prime | 1 | $ | 54,295 | $ | 438 | $ | 2,461 | 3 | $ | 117,571 | $ | 699 | $ | 4,595 | ||||||||||||||||||
Alt-A | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
HEL Subprime | 16 | 313,731 | 20,378 | 108,109 | 16 | 313,731 | 23,163 | 105,324 | ||||||||||||||||||||||||
Total | 17 | $ | 368,026 | $ | 20,816 | $ | 110,570 | 19 | $ | 431,302 | $ | 23,862 | $ | 109,919 | ||||||||||||||||||
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Burnout Period | ||||||||
Ambac | MBIA | |||||||
March 31, 2010 | ||||||||
Burnout period (months) | — | 15 | ||||||
Coverage ignore date | 3/31/2010 | 6/30/2011 | ||||||
December 31, 2009 | ||||||||
Burnout period (months) | 18 | 18 | ||||||
Coverage ignore date | 6/30/2011 | 6/30/2011 | ||||||
March 31, 2009 | ||||||||
Burnout period (months) | 116 | 50 | ||||||
Coverage ignore date | 11/30/2018 | 5/31/2018 |
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March 31, 2010 | ||||||||||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||||||||||
Cost | OTTI | Carrying | Unrealized | Unrealized | Fair | |||||||||||||||||||
Basis | in OCI | Value | Gains | Losses | Value | |||||||||||||||||||
Cash equivalents | $ | 1,329 | $ | — | $ | 1,329 | $ | — | $ | — | $ | 1,329 | ||||||||||||
Equity funds | 8,979 | — | 8,979 | 72 | (1,215 | ) | 7,836 | |||||||||||||||||
Fixed income funds | 3,486 | — | 3,486 | 242 | — | 3,728 | ||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||
CMO-Floating | 2,629,499 | — | 2,629,499 | 14,985 | (2,563 | ) | 2,641,921 | |||||||||||||||||
Total | $ | 2,643,293 | $ | — | $ | 2,643,293 | $ | 15,299 | $ | (3,778 | ) | $ | 2,654,814 | |||||||||||
December 31, 2009 | ||||||||||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||||||||||
Cost | OTTI | Carrying | Unrealized | Unrealized | Fair | |||||||||||||||||||
Basis | in OCI | Value | Gains | Losses | Value | |||||||||||||||||||
Cash equivalents | $ | 1,230 | $ | — | $ | 1,230 | $ | — | $ | — | $ | 1,230 | ||||||||||||
Equity funds | 8,995 | — | 8,995 | 57 | (1,561 | ) | 7,491 | |||||||||||||||||
Fixed income funds | 3,672 | — | 3,672 | 196 | — | 3,868 | ||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||
CMO-Floating | 2,242,665 | — | 2,242,665 | 6,937 | (9,038 | ) | 2,240,564 | |||||||||||||||||
Total | $ | 2,256,562 | $ | — | $ | 2,256,562 | $ | 7,190 | $ | (10,599 | ) | $ | 2,253,153 | |||||||||||
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March 31, 2010 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | $ | 269,287 | $ | (354 | ) | $ | 362,038 | $ | (1,242 | ) | $ | 631,325 | $ | (1,596 | ) | |||||||||
Freddie Mac | 84,441 | (121 | ) | 225,183 | (846 | ) | 309,624 | (967 | ) | |||||||||||||||
Total MBS-GSE | 353,728 | (475 | ) | 587,221 | (2,088 | ) | 940,949 | (2,563 | ) | |||||||||||||||
Total Temporarily Impaired | $ | 353,728 | $ | (475 | ) | $ | 587,221 | $ | (2,088 | ) | $ | 940,949 | $ | (2,563 | ) | |||||||||
December 31, 2009 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | $ | — | $ | — | $ | 1,006,860 | $ | (6,394 | ) | $ | 1,006,860 | $ | (6,394 | ) | ||||||||||
Freddie Mac | — | — | 662,237 | (2,644 | ) | 662,237 | (2,644 | ) | ||||||||||||||||
Total MBS-GSE | — | — | 1,669,097 | (9,038 | ) | 1,669,097 | (9,038 | ) | ||||||||||||||||
Total Temporarily Impaired | $ | — | $ | — | $ | 1,669,097 | $ | (9,038 | ) | $ | 1,669,097 | $ | (9,038 | ) | ||||||||||
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March 31, 2010 | December 31, 2009 | |||||||||||||||||||||||
Weighted2 | Weighted2 | |||||||||||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||||||||||
Amount | Yield | of Total | Amount | Yield | of Total | |||||||||||||||||||
Overdrawn demand deposit accounts | $ | — | — | % | — | % | $ | 2,022 | 1.20 | % | — | % | ||||||||||||
Due in one year or less | 23,308,924 | 2.25 | 27.39 | 24,128,022 | 2.07 | 26.59 | ||||||||||||||||||
Due after one year through two years | 9,671,408 | 2.72 | 11.37 | 10,819,349 | 2.73 | 11.92 | ||||||||||||||||||
Due after two years through three years | 8,848,401 | 3.01 | 10.40 | 10,069,555 | 2.91 | 11.10 | ||||||||||||||||||
Due after three years through four years | 6,287,687 | 3.21 | 7.39 | 5,804,448 | 3.32 | 6.40 | ||||||||||||||||||
Due after four years through five years | 2,985,545 | 2.86 | 3.51 | 3,364,706 | 3.19 | 3.71 | ||||||||||||||||||
Due after five years through six years | 4,777,762 | 4.07 | 5.61 | 2,807,329 | 3.91 | 3.09 | ||||||||||||||||||
Thereafter | 29,215,449 | 3.85 | 34.33 | 33,742,269 | 3.78 | 37.19 | ||||||||||||||||||
Total par value | 85,095,176 | 3.13 | % | 100.00 | % | 90,737,700 | 3.06 | % | 100.00 | % | ||||||||||||||
Discount on AHP advances1 | (244 | ) | (260 | ) | ||||||||||||||||||||
Hedging adjustments | 3,763,821 | 3,611,311 | ||||||||||||||||||||||
Total | $ | 88,858,753 | $ | 94,348,751 | ||||||||||||||||||||
1 | Discounts on AHP advances were amortized to interest income using the level-yield method and were not significant for all periods reported. Interest rates on AHP advances ranged from 1.25% to 4.00% at March 31, 2010 and December 31, 2009 | |
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. |
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March 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Overdrawn demand deposit accounts | $ | — | — | % | $ | 2,022 | — | % | ||||||||
Due or putable in one year or less | 54,692,686 | 64.27 | 56,978,134 | 62.79 | ||||||||||||
Due or putable after one year through two years | 11,552,958 | 13.58 | 14,082,199 | 15.52 | ||||||||||||
Due or putable after two years through three years | 8,047,401 | 9.46 | 8,991,805 | 9.91 | ||||||||||||
Due or putable after three years through four years | 5,739,037 | 6.74 | 5,374,048 | 5.92 | ||||||||||||
Due or putable after four years through five years | 2,433,295 | 2.86 | 2,826,206 | 3.12 | ||||||||||||
Due or putable after five years through six years | 380,762 | 0.45 | 158,329 | 0.18 | ||||||||||||
Thereafter | 2,249,037 | 2.64 | 2,324,957 | 2.56 | ||||||||||||
Total par value | 85,095,176 | 100.00 | % | 90,737,700 | 100.00 | % | ||||||||||
Discount on AHP advances | (244 | ) | (260 | ) | ||||||||||||
Hedging adjustments | 3,763,821 | 3,611,311 | ||||||||||||||
Total | $ | 88,858,753 | $ | 94,348,751 | ||||||||||||
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March 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Real Estate: | ||||||||||||||||
Fixed medium-term single-family mortgages | $ | 370,316 | 28.72 | % | $ | 388,072 | 29.43 | % | ||||||||
Fixed long-term single-family mortgages | 915,447 | 70.98 | 926,856 | 70.27 | ||||||||||||
Multi-family mortgages | 3,881 | 0.30 | 3,908 | 0.30 | ||||||||||||
Total par value | 1,289,644 | 100.00 | % | 1,318,836 | 100.00 | % | ||||||||||
Unamortized premiums | 8,853 | 9,095 | ||||||||||||||
Unamortized discounts | (5,209 | ) | (5,425 | ) | ||||||||||||
Basis adjustment1 | (339 | ) | (461 | ) | ||||||||||||
Total mortgage loans held-for-portfolio | 1,292,949 | 1,322,045 | ||||||||||||||
Allowance for credit losses | (5,179 | ) | (4,498 | ) | ||||||||||||
Total mortgage loans held-for-portfolio after allowance for credit losses | $ | 1,287,770 | $ | 1,317,547 | ||||||||||||
1 | Represents fair value basis of open and closed delivery commitments. |
Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Beginning balance | $ | 4,498 | $ | 1,405 | ||||
Charge-offs | (33 | ) | — | |||||
Recoveries | 5 | — | ||||||
Provision for credit losses on mortgage loans | 709 | 443 | ||||||
Ending balance | $ | 5,179 | $ | 1,848 | ||||
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Table of Contents
March 31, 2010 | December 31, 2009 | |||||||
Secured by 1-4 family | $ | 470 | $ | 570 | ||||
March 31, 2010 | December 31, 2009 | |||||||
Due in one year or less | $ | 28,000 | $ | 7,200 | ||||
Total term deposits | $ | 28,000 | $ | 7,200 | ||||
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March 31, 2010 | December 31, 2009 | |||||||
Percentage of unpledged qualifying assets to consolidated obligations | 116 | % | 109 | % | ||||
41
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March 31, 2010 | December 31, 2009 | |||||||
Consolidated obligation bonds-amortized cost | $ | 71,779,834 | $ | 73,436,939 | ||||
Fair value basis adjustments | 619,530 | 572,537 | ||||||
Fair value basis on terminated hedges | 3,226 | 2,761 | ||||||
Fair value option valuation adjustments and accrued interest | 5,613 | (4,259 | ) | |||||
Total Consolidated obligation-bonds | $ | 72,408,203 | $ | 74,007,978 | ||||
Discount notes-amortized cost | $ | 19,815,956 | $ | 30,827,639 | ||||
Fair value basis adjustments | — | — | ||||||
Total Consolidated obligation-discount notes | $ | 19,815,956 | $ | 30,827,639 | ||||
March 31, 2010 | December 31, 2009 | |||||||||||||||||||||||
Weighted | Weighted | |||||||||||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||||||||||
Maturity | Amount | Rate1 | of total | Amount | Rate1 | of total | ||||||||||||||||||
One year or less | $ | 36,813,050 | 1.28 | % | 51.34 | % | $ | 40,896,550 | 1.34 | % | 55.75 | % | ||||||||||||
Over one year through two years | 16,390,200 | 1.42 | 22.86 | 15,912,200 | 1.69 | 21.69 | ||||||||||||||||||
Over two years through three years | 8,771,575 | 2.12 | 12.23 | 7,518,575 | 2.28 | 10.25 | ||||||||||||||||||
Over three years through four years | 4,409,550 | 3.36 | 6.15 | 3,961,250 | 3.49 | 5.40 | ||||||||||||||||||
Over four years through five years | 2,441,000 | 4.00 | 3.40 | 2,130,300 | 4.27 | 2.90 | ||||||||||||||||||
Over five years through six years | 608,350 | 4.91 | 0.85 | 644,350 | 5.15 | 0.88 | ||||||||||||||||||
Thereafter | 2,269,700 | 5.07 | 3.17 | 2,294,700 | 5.06 | 3.13 | ||||||||||||||||||
Total par value | 71,703,425 | 1.79 | % | 100.00 | % | 73,357,925 | 1.87 | % | 100.00 | % | ||||||||||||||
Bond premiums | 108,123 | 112,866 | ||||||||||||||||||||||
Bond discounts | (31,714 | ) | (33,852 | ) | ||||||||||||||||||||
Fair value basis adjustments | 619,530 | 572,537 | ||||||||||||||||||||||
Fair value basis adjustments on terminated hedges | 3,226 | 2,761 | ||||||||||||||||||||||
Fair value option valuation adjustments and accrued interest | 5,613 | (4,259 | ) | |||||||||||||||||||||
Total bonds | $ | 72,408,203 | $ | 74,007,978 | ||||||||||||||||||||
1 | Weighted average rate represents the weighted average coupons of bonds, unadjusted for swaps. The weighted average coupon of bonds outstanding at March 31, 2010 and December 31, 2009 represent contractual coupons payable to investors. |
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March 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | total | Amount | total | |||||||||||||
Year of Maturity or next call date | ||||||||||||||||
Due or callable in one year or less | $ | 46,928,850 | 65.45 | % | $ | 50,481,350 | 68.82 | % | ||||||||
Due or callable after one year through two years | 11,914,200 | 16.62 | 11,352,200 | 15.48 | ||||||||||||
Due or callable after two years through three years | 5,041,575 | 7.03 | 4,073,575 | 5.55 | ||||||||||||
Due or callable after three years through four years | 3,709,550 | 5.17 | 3,606,250 | 4.91 | ||||||||||||
Due or callable after four years through five years | 1,596,500 | 2.23 | 1,325,800 | 1.81 | ||||||||||||
Due or callable after five years through six years | 523,050 | 0.73 | 529,050 | 0.72 | ||||||||||||
Thereafter | 1,989,700 | 2.77 | 1,989,700 | 2.71 | ||||||||||||
Total par value | 71,703,425 | 100.00 | % | 73,357,925 | 100.00 | % | ||||||||||
Bond premiums | 108,123 | 112,866 | ||||||||||||||
Bond discounts | (31,714 | ) | (33,852 | ) | ||||||||||||
Fair value basis adjustments | 619,530 | 572,537 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 3,226 | 2,761 | ||||||||||||||
Fair value option valuation adjustments and accrued interest | 5,613 | (4,259 | ) | |||||||||||||
Total bonds | $ | 72,408,203 | $ | 74,007,978 | ||||||||||||
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March 31, 2010 | December 31, 2009 | |||||||
Par value | $ | 19,821,867 | $ | 30,838,104 | ||||
Amortized cost | $ | 19,815,956 | $ | 30,827,639 | ||||
Fair value basis adjustments | — | — | ||||||
Total | $ | 19,815,956 | $ | 30,827,639 | ||||
Weighted average interest rate | 0.15 | % | 0.15 | % | ||||
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March 31, 2010 | December 31, 2009 | |||||||||||||||
Required4 | Actual | Required4 | Actual | |||||||||||||
Regulatory capital requirements: | ||||||||||||||||
Risk-based capital1 | $ | 529,402 | $ | 5,604,337 | $ | 606,716 | $ | 5,874,125 | ||||||||
Total capital-to-asset ratio | 4.00 | % | 5.23 | % | 4.00 | % | 5.14 | % | ||||||||
Total capital2 | $ | 4,289,569 | $ | 5,609,517 | $ | 4,578,436 | $ | 5,878,623 | ||||||||
Leverage ratio | 5.00 | % | 7.84 | % | 5.00 | % | 7.70 | % | ||||||||
Leverage capital3 | $ | 5,361,961 | $ | 8,411,685 | $ | 5,723,045 | $ | 8,815,685 |
1 | Actual “Risk-based capital” is capital stock and retained earnings plus mandatorily redeemable capital stock. Section 932.2 of the Finance Agency’s regulations also refers to this amount as “Permanent Capital.” | |
2 | Required “ Total capital” is 4% of total assets. Actual “Total capital” is “Actual Risk-based capital” plus allowance for credit losses. Does not include reserves for the Lehman Brothers receivable which is a specific reserve. | |
3 | Actual Leverage capital is “Risk-based capital” times 1.5 plus allowance for loan losses. | |
4 | Required minimum. |
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March 31, 2010 | December 31, 2009 | |||||||
Redemption less than one year | $ | 81,360 | $ | 102,453 | ||||
Redemption from one year to less than three years | 16,762 | 16,766 | ||||||
Redemption from three years to less than five years | 2,114 | 2,118 | ||||||
Redemption after five years or greater | 4,956 | 4,957 | ||||||
Total | $ | 105,192 | $ | 126,294 | ||||
Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Beginning balance | $ | 144,489 | $ | 122,449 | ||||
Additions from current period’s assessments | 6,126 | 16,557 | ||||||
Net disbursements for grants and programs | (4,955 | ) | (10,638 | ) | ||||
Ending balance | $ | 145,660 | $ | 128,368 | ||||
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Non-credit | Accumulated | |||||||||||||||||||||||||||
Available- | OTTI on HTM | Cash | Supplemental | Other | Total | |||||||||||||||||||||||
for-sale | securities, | flow | Retirement | Comprehensive | Net | Comprehensive | ||||||||||||||||||||||
securities | net of accretion | hedges | Plans | Income (Loss) | Income | Income | ||||||||||||||||||||||
Balance, December 31, 2008 | $ | (64,420 | ) | $ | — | $ | (30,191 | ) | $ | (6,550 | ) | $ | (101,161 | ) | ||||||||||||||
Net change | 30,426 | (9,938 | ) | 1,879 | — | 22,367 | $ | 148,139 | $ | 170,506 | ||||||||||||||||||
Balance, March 31, 2009 | $ | (33,994 | ) | $ | (9,938 | ) | $ | (28,312 | ) | $ | (6,550 | ) | $ | (78,794 | ) | |||||||||||||
Balance, December 31, 2009 | $ | (3,409 | ) | $ | (110,570 | ) | $ | (22,683 | ) | $ | (7,877 | ) | $ | (144,539 | ) | |||||||||||||
Net change | 14,930 | 3,958 | 2,132 | — | 21,020 | $ | 53,640 | $ | 74,660 | |||||||||||||||||||
Balance, March 31, 2010 | $ | 11,521 | $ | (106,612 | ) | $ | (20,551 | ) | $ | (7,877 | ) | $ | (123,519 | ) | ||||||||||||||
Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Net income | $ | 53,640 | $ | 148,139 | ||||
Net income available to stockholders | $ | 53,640 | $ | 148,139 | ||||
Weighted average shares of capital | 50,372 | 55,976 | ||||||
Less: Mandatorily redeemable capital stock | (1,084 | ) | (1,430 | ) | ||||
Average number of shares of capital used to calculate earnings per share | 49,288 | 54,546 | ||||||
Net earnings per share of capital | $ | 1.09 | $ | 2.72 | ||||
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Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Defined Benefit Plan | $ | 1,312 | $ | 1,441 | ||||
Benefit Equalization Plan (defined benefit) | 570 | 515 | ||||||
Defined Contribution Plan and BEP Thrift | 235 | 242 | ||||||
Postretirement Health Benefit Plan | 281 | 251 | ||||||
Total retirement plan expenses | $ | 2,398 | $ | 2,449 | ||||
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Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Service cost | $ | 163 | $ | 153 | ||||
Interest cost | 279 | 263 | ||||||
Amortization of unrecognized prior service cost | (17 | ) | (36 | ) | ||||
Amortization of unrecognized net loss | 145 | 135 | ||||||
Net periodic benefit cost | $ | 570 | $ | 515 | ||||
March 31, 2010 | December 31, 2009 | |||||||
Discount rate * | 5.87 | % | 5.87 | % | ||||
Salary increases | 5.50 | % | 5.50 | % | ||||
Amortization period (years) | 8 | 8 | ||||||
Benefits paid during the year | $ | (739 | )** | $ | (537 | ) |
* | The discount rate was based on the Citigroup Pension Liability Index at December 31, 2009 and adjusted for duration. | |
** | Forecast for the year. |
Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Service cost (benefits attributed to service during the period) | $ | 157 | $ | 139 | ||||
Interest cost on accumulated postretirement health benefit obligation | 229 | 217 | ||||||
Amortization of loss | 78 | 78 | ||||||
Amortization of prior service cost/(credit) | (183 | ) | (183 | ) | ||||
Net periodic postretirement health benefit cost | $ | 281 | $ | 251 | ||||
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March 31, 2010 | December 31, 2009 | |||
Weighted average discount rate at the end of the year | 5.87% | 5.87% | ||
Health care cost trend rates: | ||||
Assumed for next year | 10.00% | 10.00% | ||
Pre 65 Ultimate rate | 5.00% | 5.00% | ||
Pre 65 Year that ultimate rate is reached | 2016 | 2016 | ||
Post 65 Ultimate rate | 6.00% | 6.00% | ||
Post 65 Year that ultimate rate is reached | 2016 | 2016 | ||
Alternative amortization methods used to amortize | ||||
Prior service cost | Straight - line | Straight - line | ||
Unrecognized net (gain) or loss | Straight - line | Straight - line |
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March 31, 2010 | ||||||||||||
Notional Amount of | Derivative | Derivative | ||||||||||
Derivatives | Assets | Liabilities | ||||||||||
Fair value of derivatives instruments | ||||||||||||
Derivatives designated in hedging relationships | ||||||||||||
Interest rate swaps-fair value hedges | $ | 96,121,663 | $ | 845,852 | $ | (4,039,004 | ) | |||||
Interest rate swaps-cash flow hedges | 150,000 | 324 | — | |||||||||
Total derivatives in hedging relationships | $ | 96,271,663 | $ | 846,176 | $ | (4,039,004 | ) | |||||
Derivatives not designated as hedging instruments | ||||||||||||
Interest rate swaps | $ | 28,103,821 | $ | 79,088 | $ | (1,597 | ) | |||||
Interest rate caps or floors | 2,170,000 | 46,276 | (6,122 | ) | ||||||||
Mortgage delivery commitments | 3,249 | 10 | (1 | ) | ||||||||
Other* | 330,000 | 1,920 | (1,565 | ) | ||||||||
Total derivatives not designated as hedging instruments | $ | 30,607,070 | $ | 127,294 | $ | (9,285 | ) | |||||
Total derivatives before netting and collateral adjustments | $ | 126,878,733 | $ | 973,470 | $ | (4,048,289 | ) | |||||
Netting adjustments | $ | (964,224 | ) | $ | 964,224 | |||||||
Cash collateral and related accrued interest | — | 2,233,154 | ||||||||||
Total collateral and netting adjustments | $ | (964,224 | ) | $ | 3,197,378 | |||||||
Total reported on the Statements of Condition | $ | 9,246 | $ | (850,911 | ) | |||||||
* | Other: Comprised of swaps intermediated for members. |
December 31, 2009 | ||||||||||||
Notional Amount of | Derivative | Derivative | ||||||||||
Derivatives | Assets | Liabilities | ||||||||||
Fair value of derivatives instruments | ||||||||||||
Derivatives designated in hedging relationships | ||||||||||||
Interest rate swaps-fair value hedges | $ | 98,776,447 | $ | 854,699 | $ | (3,974,207 | ) | |||||
Interest rate swaps-cash flow hedges | — | — | — | |||||||||
Total derivatives in hedging relationships | $ | 98,776,447 | $ | 854,699 | $ | (3,974,207 | ) | |||||
Derivatives not designated as hedging instruments | ||||||||||||
Interest rate swaps | $ | 33,144,963 | $ | 147,239 | $ | (73,450 | ) | |||||
Interest rate caps or floors | 2,282,000 | 77,999 | (7,525 | ) | ||||||||
Mortgage delivery commitments | 4,210 | — | (39 | ) | ||||||||
Other* | 320,000 | 1,316 | (956 | ) | ||||||||
Total derivatives not designated as hedging instruments | $ | 35,751,173 | $ | 226,554 | $ | (81,970 | ) | |||||
Total derivatives before netting and collateral adjustments | $ | 134,527,620 | $ | 1,081,253 | $ | (4,056,177 | ) | |||||
Netting adjustments | $ | (1,072,973 | ) | $ | 1,072,973 | |||||||
Cash collateral and related accrued interest | — | 2,237,028 | ||||||||||
Total collateral and netting adjustments | $ | (1,072,973 | ) | $ | 3,310,001 | |||||||
Total reported on the Statements of Condition | $ | 8,280 | $ | (746,176 | ) | |||||||
* | Other: Comprised of swaps intermediated for members. |
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Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Gain (Loss) | Gain (Loss) | |||||||
Derivatives designated as hedging instruments | ||||||||
Interest rate swaps | ||||||||
Advances | $ | 619 | $ | (10,611 | ) | |||
Consolidated obligations-bonds | 4,004 | 12,882 | ||||||
Net gain related to fair value hedge ineffectiveness | 4,623 | 2,271 | ||||||
Derivatives not designated as hedging instruments | ||||||||
Economic hedges | ||||||||
Interest rate swaps | ||||||||
Advances | (840 | ) | 4,340 | |||||
Consolidated obligations-bonds | (13,309 | ) | 31,482 | |||||
Consolidated obligations-discount notes | (2,332 | ) | (603 | ) | ||||
Member intermediation | (3 | ) | (153 | ) | ||||
Balance sheet-macro hedges swaps | 173 | 2,233 | ||||||
Accrued interest-swaps | 29,469 | (46,222 | ) | |||||
Accrued interest-intermediation | 23 | 25 | ||||||
Caps and floors | ||||||||
Advances | (289 | ) | (429 | ) | ||||
Balance sheet | (30,427 | ) | 1,650 | |||||
Accrued interest-options | (1,989 | ) | (692 | ) | ||||
Mortgage delivery commitments | 149 | 59 | ||||||
Swaps matching instruments designated under FVO | ||||||||
Consolidated obligations-bonds | 6,638 | (7,684 | ) | |||||
Accrued interest on FVO swaps | 7,751 | 57 | ||||||
Net (loss) related to derivatives not designated as hedging instruments | (4,986 | ) | (15,937 | ) | ||||
Net realized and unrealized (loss) on derivatives and hedging activities | $ | (363 | ) | $ | (13,666 | ) | ||
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March 31, 2010 | ||||||||||||||||
Effect of | ||||||||||||||||
Derivatives on | ||||||||||||||||
Gain (Loss) on | Gain (Loss) on | Earnings | Net Interest | |||||||||||||
Derivative | Hedged Item | Impact | Income1 | |||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | $ | (152,087 | ) | $ | 152,706 | $ | 619 | $ | (530,377 | ) | ||||||
Consolidated obligations-bonds | 52,236 | (48,232 | ) | 4,004 | 172,777 | |||||||||||
Consolidated obligations-notes | — | — | — | — | ||||||||||||
Fair value hedges — Net impact | (99,851 | ) | 104,474 | 4,623 | (357,600 | ) | ||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | (840 | ) | — | (840 | ) | — | ||||||||||
Consolidated obligations-bonds | (13,309 | ) | — | (13,309 | ) | — | ||||||||||
Consolidated obligations-notes | (2,332 | ) | — | (2,332 | ) | — | ||||||||||
Member intermediation | (3 | ) | — | (3 | ) | — | ||||||||||
Balance sheet-macro hedges swaps | 173 | — | 173 | — | ||||||||||||
Accrued interest-swaps | 29,469 | — | 29,469 | — | ||||||||||||
Accrued interest-intermediation | 23 | — | 23 | — | ||||||||||||
Caps and floors | ||||||||||||||||
Advances | (289 | ) | — | (289 | ) | — | ||||||||||
Balance sheet | (30,427 | ) | — | (30,427 | ) | — | ||||||||||
Accrued interest-options | (1,989 | ) | — | (1,989 | ) | — | ||||||||||
Mortgage delivery commitments | 149 | — | 149 | — | ||||||||||||
Swaps matching instruments designated under FVO | ||||||||||||||||
Consolidated obligations-bonds | 6,638 | — | 6,638 | — | ||||||||||||
Accrued interest on FVO swaps | 7,751 | — | 7,751 | — | ||||||||||||
Total | $ | (104,837 | ) | $ | 104,474 | $ | (363 | ) | $ | (357,600 | ) | |||||
1 | Represents interest expense and income generated from hedge qualifying interest-rate swaps that were recorded with interest income and expense of the hedged bonds, discount notes, and advances. |
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March 31, 2009 | ||||||||||||||||
Effect of | ||||||||||||||||
Derivatives on | ||||||||||||||||
Gain (Loss) on | Gain (Loss) on | Earnings | Net Interest | |||||||||||||
Derivative | Hedged Item | Impact | Income1 | |||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | $ | 683,558 | $ | (694,169 | ) | $ | (10,611 | ) | $ | (332,035 | ) | |||||
Consolidated obligations-bonds | (164,195 | ) | 177,077 | 12,882 | 104,079 | |||||||||||
Consolidated obligations-notes | — | — | — | 443 | ||||||||||||
Fair value hedges — Net impact | 519,363 | (517,092 | ) | 2,271 | (227,513 | ) | ||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | 4,340 | — | 4,340 | — | ||||||||||||
Consolidated obligations-bonds | 31,482 | — | 31,482 | — | ||||||||||||
Consolidated obligations-notes | (603 | ) | — | (603 | ) | — | ||||||||||
Member intermediation | (153 | ) | — | (153 | ) | — | ||||||||||
Balance sheet-macro hedges swaps | 2,233 | — | 2,233 | — | ||||||||||||
Accrued interest-swaps | (46,222 | ) | — | (46,222 | ) | — | ||||||||||
Accrued interest-intermediation | 25 | — | 25 | — | ||||||||||||
Caps and floors | ||||||||||||||||
Advances | (429 | ) | — | (429 | ) | — | ||||||||||
Balance sheet | 1,650 | — | 1,650 | — | ||||||||||||
Accrued interest-options | (692 | ) | — | (692 | ) | — | ||||||||||
Mortgage delivery commitments | 59 | — | 59 | — | ||||||||||||
Swaps matching instruments designated under FVO | ||||||||||||||||
Consolidated obligations-bonds | (7,684 | ) | — | (7,684 | ) | — | ||||||||||
Accrued interest on FVO swaps | 57 | — | 57 | — | ||||||||||||
Total | $ | 503,426 | $ | (517,092 | ) | $ | (13,666 | ) | $ | (227,513 | ) | |||||
1 | Represents interest expense and income generated from hedge qualifying interest-rate swaps that were recorded with interest income and expense of the hedged bonds, discount notes, and advances. |
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March 31, 2010 | ||||||||||||||||
OCI | ||||||||||||||||
Gains/(Losses) | ||||||||||||||||
Location: | Amount | Ineffectiveness | ||||||||||||||
Recognized | Reclassified to | Reclassified to | Recognized in | |||||||||||||
in OCI 1, 2 | Earnings1 | Earnings1 | Earnings | |||||||||||||
The effect of cash flow hedge related to Interest rate swaps | ||||||||||||||||
Advances | $ | — | Interest Income | $ | — | $ | — | |||||||||
Consolidated obligations-bonds | 392 | Interest Expense | 1,740 | — | ||||||||||||
Total | $ | 392 | $ | 1,740 | $ | — | ||||||||||
March 31, 2009 | ||||||||||||||||
OCI | ||||||||||||||||
Gains/(Losses) | ||||||||||||||||
Location: | Amount | Ineffectiveness | ||||||||||||||
Recognized | Reclassified to | Reclassified to | Recognized in | |||||||||||||
in OCI 1, 2 | Earnings1 | Earnings1 | Earnings | |||||||||||||
The effect of cash flow hedge related to Interest rate swaps | ||||||||||||||||
Advances | $ | — | Interest Income | $ | — | $ | — | |||||||||
Consolidated obligations-bonds | — | Interest Expense | 1,879 | — | ||||||||||||
Total | $ | — | $ | 1,879 | $ | — | ||||||||||
1 | Effective portion | |
2 | Represents effective portion of basis adjustments to AOCI from cash flow hedging transactions. |
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March 31, 2010 | ||||||||||||||||||||
Netting | ||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Adjustments | ||||||||||||||||
Assets | ||||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||
GSE issued MBS | $ | 2,641,921 | $ | — | $ | 2,641,921 | $ | — | $ | — | ||||||||||
Equity and bond funds | 12,893 | — | 12,893 | — | — | |||||||||||||||
Derivative assets(a) | ||||||||||||||||||||
Interest-rate derivatives | 9,236 | — | 973,460 | — | (964,224 | ) | ||||||||||||||
Mortgage delivery commitments | 10 | — | 10 | — | — | |||||||||||||||
Total assets at fair value | $ | 2,664,060 | $ | — | $ | 3,628,284 | $ | — | $ | (964,224 | ) | |||||||||
Liabilities | ||||||||||||||||||||
Consolidated obligations-bonds(b) | $ | (6,780,613 | ) | $ | — | $ | (6,780,613 | ) | $ | — | $ | — | ||||||||
Derivative liabilities(a) | ||||||||||||||||||||
Interest-rate derivatives | (850,910 | ) | — | (4,048,288 | ) | — | 3,197,378 | |||||||||||||
Mortgage delivery commitments | (1 | ) | — | (1 | ) | — | — | |||||||||||||
Total liabilities at fair value | $ | (7,631,524 | ) | $ | — | $ | (10,828,902 | ) | $ | — | $ | 3,197,378 | ||||||||
December 31, 2009 | ||||||||||||||||||||
Netting | ||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Adjustments | ||||||||||||||||
Assets | ||||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||
GSE issued MBS | $ | 2,240,564 | $ | — | $ | 2,240,564 | $ | — | $ | — | ||||||||||
Equity and bond funds | 12,589 | — | 12,589 | — | — | |||||||||||||||
Derivative assets(a) | ||||||||||||||||||||
Interest-rate derivatives | 8,280 | — | 1,081,253 | — | (1,072,973 | ) | ||||||||||||||
Mortgage delivery commitments | — | — | — | — | — | |||||||||||||||
Total assets at fair value | $ | 2,261,433 | $ | — | $ | 3,334,406 | $ | — | $ | (1,072,973 | ) | |||||||||
Liabilities | ||||||||||||||||||||
Consolidated obligations-bonds(b) | $ | (6,035,741 | ) | $ | — | $ | (6,035,741 | ) | $ | — | $ | — | ||||||||
Derivative liabilities(a) | ||||||||||||||||||||
Interest-rate derivatives | (746,137 | ) | — | (4,056,138 | ) | — | 3,310,001 | |||||||||||||
Mortgage delivery commitments | (39 | ) | — | (39 | ) | — | — | |||||||||||||
Total liabilities at fair value | $ | (6,781,917 | ) | $ | — | $ | (10,091,918 | ) | $ | — | $ | 3,310,001 | ||||||||
(a) | Derivative assets and liabilities were interest-rate contracts, except for de minimis amount of mortgage delivery contracts. Based on an analysis of the nature of the risk, the presentation of derivatives as a single class is appropriate. | |
(b) | Based on its analysis of the nature of risks of the FHLBNY’s debt measured at fair value, the FHLBNY has determined that presenting the debt as a single class is appropriate. |
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Fair Value | Level 1 | Level 2 | Level 3 | |||||||||||||
Held-to-maturity securities | ||||||||||||||||
Home equity loans | $ | 23,133 | $ | — | $ | — | $ | 23,133 | ||||||||
Total | $ | 23,133 | $ | — | $ | — | $ | 23,133 | ||||||||
Note: Certain OTTI securities were written down to their fair values ($23.1 million) when it was determined that their carrying values prior to write-down ($27.1 million) were in excess of their fair values. For Held-to-maturity securities that were previously credit impaired but no additional credit impairment were deemed necessary at March 31, 2010, the securities were recorded at their carrying values and not re-adjusted to their fair values. |
Fair Value | Level 1 | Level 2 | Level 3 | |||||||||||||
Held-to-maturity securities | ||||||||||||||||
Home equity loans | $ | 42,922 | $ | — | $ | — | $ | 42,922 | ||||||||
Total | $ | 42,922 | $ | — | $ | — | $ | 42,922 | ||||||||
Note: | Cumulative credit losses of $20.8 million were recorded for the year ended December 31, 2009. The FHLBNY also wrote down certain OTTI MBS to their fair values ($42.9 million) when it was determined that the carrying values of the securities prior to write-down ($59.9 million) were in excess of their fair values at December 31, 2009. |
Fair Value | Level 1 | Level 2 | Level 3 | |||||||||||||
Held-to-maturity securities | ||||||||||||||||
Home equity loans | $ | 21,808 | $ | — | $ | — | $ | 21,808 | ||||||||
Total | $ | 21,808 | $ | — | $ | — | $ | 21,808 | ||||||||
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March 31, 2010 | December 31, 2009 | |||||||||||||||
Carrying | Estimated | Carrying | Estimated | |||||||||||||
Financial Instruments | Value | Fair Value | Value | Fair Value | ||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | 1,167,824 | $ | 1,167,824 | $ | 2,189,252 | $ | 2,189,252 | ||||||||
Interest-bearing deposits | — | — | — | — | ||||||||||||
Federal funds sold | 3,130,000 | 3,129,993 | 3,450,000 | 3,449,997 | ||||||||||||
Available-for-sale securities | 2,654,814 | 2,654,814 | 2,253,153 | 2,253,153 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | 9,776,282 | 9,934,261 | 10,519,282 | 10,669,252 | ||||||||||||
Certificates of deposit | — | — | — | — | ||||||||||||
Advances | 88,858,753 | 89,013,787 | 94,348,751 | 94,624,708 | ||||||||||||
Mortgage loans held-for-portfolio, net | 1,287,770 | 1,343,457 | 1,317,547 | 1,366,538 | ||||||||||||
Accrued interest receivable | 320,730 | 320,730 | 340,510 | 340,510 | ||||||||||||
Derivative assets | 9,246 | 9,246 | 8,280 | 8,280 | ||||||||||||
Other financial assets | 6,445 | 6,445 | 3,412 | 3,412 | ||||||||||||
Liabilities | ||||||||||||||||
Deposits | 7,976,922 | 7,976,923 | 2,630,511 | 2,630,513 | ||||||||||||
Consolidated obligations: | ||||||||||||||||
Bonds | 72,408,203 | 72,656,044 | 74,007,978 | 74,279,737 | ||||||||||||
Discount notes | 19,815,956 | 19,817,145 | 30,827,639 | 30,831,201 | ||||||||||||
Mandatorily redeemable capital stock | 105,192 | 105,192 | 126,294 | 126,294 | ||||||||||||
Accrued interest payable | 330,715 | 330,715 | 277,788 | 277,788 | ||||||||||||
Derivative liabilities | 850,911 | 850,911 | 746,176 | 746,176 | ||||||||||||
Other financial liabilities | 34,920 | 34,920 | 38,832 | 38,832 |
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March 31, 2010 | December 31, 2009 | March 31, 2009 | ||||||||||
Balance, beginning of the period | $ | (6,035,741 | ) | $ | (998,942 | ) | $ | (998,942 | ) | |||
New transaction elected for fair value option | (4,420,000 | ) | (10,100,000 | ) | — | |||||||
Maturities and terminations | 3,685,000 | 5,043,000 | 958,000 | |||||||||
Change in fair value | (8,419 | ) | 15,523 | 8,313 | ||||||||
Change in accrued interest | (1,453 | ) | 4,678 | 7,252 | ||||||||
Balance, end of the period | $ | (6,780,613 | ) | $ | (6,035,741 | ) | $ | (25,377 | ) | |||
Three months ended March 31, | ||||||||||||||||||||||||
2010 | 2009 | |||||||||||||||||||||||
Interest expense on | Net gain(loss) due | Total change in fair value | Interest expense on | Net gain(loss) due | Total change in fair value | |||||||||||||||||||
consolidated | to changes in fair | included in current period | consolidated | to changes in fair | included in current period | |||||||||||||||||||
obligation bonds | value | earnings | obligation bonds | value | earnings | |||||||||||||||||||
Consolidated obligations-bonds | $ | (8,522 | ) | $ | (8,419 | ) | $ | (16,941 | ) | $ | (1,074 | ) | $ | 8,313 | $ | 7,239 | ||||||||
Three months ended March 31, | ||||||||||||||||||||||||
2010 | 2009 | |||||||||||||||||||||||
Principal Balance | Fair value | Fair value over/(under) | Principal Balance | Fair value | Fair value over/(under) | |||||||||||||||||||
Consolidated obligations-bonds | $ | 6,775,000 | $ | 6,780,613 | $ | 5,613 | $ | 25,000 | $ | 25,377 | $ | 377 | ||||||||||||
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March 31, 2010 | ||||||||||||||||||||
Payments due or expiration terms by period | ||||||||||||||||||||
Less than | One year | Greater than three | Greater than | |||||||||||||||||
one year | to three years | years to five years | five years | Total | ||||||||||||||||
Contractual Obligations | ||||||||||||||||||||
Consolidated obligations-bonds at par1 | $ | 36,813,050 | $ | 25,161,775 | $ | 6,850,550 | $ | 2,878,050 | $ | 71,703,425 | ||||||||||
Mandatorily redeemable capital stock1 | 81,360 | 16,762 | 2,114 | 4,956 | 105,192 | |||||||||||||||
Premises (lease obligations)2 | 3,060 | 6,202 | 5,191 | 5,843 | 20,296 | |||||||||||||||
Total contractual obligations | 36,897,470 | 25,184,739 | 6,857,855 | 2,888,849 | 71,828,913 | |||||||||||||||
Other commitments | ||||||||||||||||||||
Standby letters of credit | 772,638 | 10,589 | 17,016 | 3,861 | 804,104 | |||||||||||||||
Consolidated obligations-bonds/ discount notes traded not settled | 2,517,000 | — | — | — | 2,517,000 | |||||||||||||||
Firm commitment-advances | 160,228 | — | — | — | 160,228 | |||||||||||||||
MBS purchase | 174,048 | — | — | — | 174,048 | |||||||||||||||
Open delivery commitments (MPF) | 3,249 | — | — | — | 3,249 | |||||||||||||||
Total other commitments | 3,627,163 | 10,589 | 17,016 | 3,861 | 3,658,629 | |||||||||||||||
Total obligations and commitments | $ | 40,524,633 | $ | 25,195,328 | $ | 6,874,871 | $ | 2,892,710 | $ | 75,487,542 | ||||||||||
1 | Callable bonds contain exercise date or a series of exercise dates that may result in a shorter redemption period. Mandatorily redeemable capital stock is categorized by the dates at which the corresponding advances outstanding mature. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock, under which stock may not be redeemed until the later of five years from the date the member becomes a nonmember or the related advance matures. | |
2 | Immaterial amount of commitments for equipment leases are not included. |
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March 31, 2010 | December 31, 2009 | |||||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | — | $ | 1,167,824 | $ | — | $ | 2,189,252 | ||||||||
Federal funds sold | — | 3,130,000 | — | 3,450,000 | ||||||||||||
Available-for-sale securities | — | 2,654,814 | — | 2,253,153 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | — | 9,776,282 | — | 10,519,282 | ||||||||||||
Advances | 88,858,753 | — | 94,348,751 | — | ||||||||||||
Mortgage loans 1 | — | 1,287,770 | — | 1,317,547 | ||||||||||||
Accrued interest receivable | 280,241 | 40,489 | 299,684 | 40,826 | ||||||||||||
Premises, software, and equipment | — | 14,046 | — | 14,792 | ||||||||||||
Derivative assets2 | — | 9,246 | — | 8,280 | ||||||||||||
Other assets3 | 157 | 19,604 | 179 | 19,160 | ||||||||||||
Total assets | $ | 89,139,151 | $ | 18,100,075 | $ | 94,648,614 | $ | 19,812,292 | ||||||||
Liabilities and capital | ||||||||||||||||
Deposits | $ | 7,976,922 | $ | — | $ | 2,630,511 | $ | — | ||||||||
Consolidated obligations | — | 92,224,159 | — | 104,835,617 | ||||||||||||
Mandatorily redeemable capital stock | 105,192 | — | 126,294 | — | ||||||||||||
Accrued interest payable | 4 | 330,711 | 16 | 277,772 | ||||||||||||
Affordable Housing Program4 | 145,660 | — | 144,489 | — | ||||||||||||
Payable to REFCORP | — | 13,873 | — | 24,234 | ||||||||||||
Derivative liabilities2 | — | 850,911 | — | 746,176 | ||||||||||||
Other liabilities5 | 31,200 | 184,968 | 29,330 | 43,176 | ||||||||||||
Total liabilities | $ | 8,258,978 | $ | 93,604,622 | $ | 2,930,640 | $ | 105,926,975 | ||||||||
Capital | 5,375,626 | — | 5,603,291 | — | ||||||||||||
Total liabilities and capital | $ | 13,634,604 | $ | 93,604,622 | $ | 8,533,931 | $ | 105,926,975 | ||||||||
1 | Includes insignificant amounts of mortgage loans purchased from members of another FHLBank. | |
2 | Derivative assets and liabilities include insignificant fair values due to intermediation activities on behalf of members. | |
3 | Includes insignificant amounts of miscellaneous assets that are considered related party. | |
4 | Represents funds not yet disbursed to eligible programs. | |
5 | Related column includes member pass-through reserves at the Federal Reserve Bank. |
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Three months ended | ||||||||||||||||
March 31, 2010 | March 31, 2009 | |||||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||||
Interest income | ||||||||||||||||
Advances | $ | 149,640 | $ | — | $ | 502,222 | $ | — | ||||||||
Interest-bearing deposits 1 | — | 830 | — | 8,918 | ||||||||||||
Federal funds sold | — | 1,543 | — | 68 | ||||||||||||
Available-for-sale securities | — | 5,764 | — | 8,519 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | — | 98,634 | — | 126,820 | ||||||||||||
Certificates of deposit | — | — | — | 508 | ||||||||||||
Mortgage loans2 | — | 16,741 | — | 19,104 | ||||||||||||
Total interest income | $ | 149,640 | $ | 123,512 | $ | 502,222 | $ | 163,937 | ||||||||
Interest expense | ||||||||||||||||
Consolidated obligations | $ | — | $ | 164,570 | $ | — | $ | 433,085 | ||||||||
Deposits | 892 | — | 777 | — | ||||||||||||
Mandatorily redeemable capital stock | 1,495 | — | 878 | — | ||||||||||||
Cash collateral held and other borrowings | — | — | — | 37 | ||||||||||||
Total interest expense | $ | 2,387 | $ | 164,570 | $ | 1,655 | $ | 433,122 | ||||||||
Service fees | $ | 1,045 | $ | — | $ | 985 | $ | — | ||||||||
1 | Includes de minimis amounts of interest income from MPF service provider. | |
2 | Includes de minimis amounts of mortgage interest income from loans purchased from members of another FHLBank. |
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March 31, 2010 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | |||||||||||||||
City | State | Advances | of Advances | Interest Income | ||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,275,000 | 20.3 | % | $ | 174,759 | ||||||||
Metropolitan Life Insurance Company | New York | NY | 13,555,000 | 15.9 | 72,407 | |||||||||||
New York Community Bank* | Westbury | NY | 7,343,172 | 8.6 | 75,913 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 4,755,523 | 5.6 | 11,754 | |||||||||||
The Prudential Insurance Company of America | Newark | NJ | 3,500,000 | 4.1 | 21,577 | |||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 2,984,000 | 3.5 | 28,487 | |||||||||||
Valley National Bank | Wayne | NJ | 2,271,500 | 2.7 | 24,716 | |||||||||||
Doral Bank | San Juan | PR | 2,119,420 | 2.5 | 19,258 | |||||||||||
New York Life Insurance Company | New York | NY | 2,000,000 | 2.4 | 3,075 | |||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 1,894,500 | 2.2 | 11,693 | |||||||||||
Total | $ | 57,698,115 | 67.8 | % | $ | 443,639 | ||||||||||
* | Officer of member bank also served on the Board of Directors of the FHLBNY. |
December 31, 2009 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | |||||||||||||||
City | State | Advances | of Advances | Interest Income | ||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,275,000 | 19.0 | % | $ | 710,900 | ||||||||
Metropolitan Life Insurance Company | New York | NY | 13,680,000 | 15.1 | 356,120 | |||||||||||
New York Community Bank* | Westbury | NY | 7,343,174 | 8.1 | 310,991 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 5,005,641 | 5.5 | 97,628 | |||||||||||
The Prudential Insurance Company of America | Newark | NJ | 3,500,000 | 3.9 | 93,601 | |||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 3,000,000 | 3.3 | 120,870 | |||||||||||
Emigrant Bank | New York | NY | 2,475,000 | 2.7 | 64,131 | |||||||||||
Doral Bank | San Juan | PR | 2,473,420 | 2.7 | 86,389 | |||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 2,430,500 | 2.7 | 46,142 | |||||||||||
Valley National Bank | Wayne | NJ | 2,322,500 | 2.6 | 103,707 | |||||||||||
Total | $ | 59,505,235 | 65.6 | % | $ | 1,990,479 | ||||||||||
* | At December 31, 2009, officer of member bank also served on the Board of Directors of the FHLBNY. |
March 31, 2009 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | |||||||||||||||
City | State | Advances | of Advances | Interest Income | ||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,575,000 | 17.7 | % | $ | 176,070 | ||||||||
Metropolitan Life Insurance Company | New York | NY | 15,105,000 | 15.2 | 103,306 | |||||||||||
New York Community Bank* | Westbury | NY | 8,143,214 | 8.2 | 77,380 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 7,479,282 | 7.5 | 36,499 | |||||||||||
The Prudential Insurance Company of America | Newark | NJ | 4,500,000 | 4.5 | 24,618 | |||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 3,812,000 | 3.8 | 10,811 | |||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 3,110,000 | 3.1 | 31,667 | |||||||||||
Emigrant Bank | New York | NY | 2,475,000 | 2.5 | 15,925 | |||||||||||
Valley National Bank | Wayne | NJ | 2,445,500 | 2.5 | 27,178 | |||||||||||
Doral Bank | San Juan | PR | 2,334,500 | 2.3 | 22,298 | |||||||||||
Total | $ | 66,979,496 | 67.3 | % | $ | 525,752 | ||||||||||
* | At March 31, 2009, officer of member bank also served on the Board of Directors of the FHLBNY. |
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Number | Percent | |||||||||
March 31, 2010 | of shares | of total | ||||||||
Name of beneficial owner | Principal Executive Office Address | owned | capital stock | |||||||
Hudson City Savings Bank * | West 80 Century Road, Paramus, NJ 07652 | 8,748 | 17.73 | % | ||||||
Metropolitan Life Insurance Company | 200 Park Avenue, New York, NY 10166 | 7,363 | 14.93 | |||||||
New York Community Bank * | 615 Merrick Avenue, Westbury, NY 11590 | 3,777 | 7.66 | |||||||
Manufacturers and Traders Trust Company | One M&T Plaza, Buffalo, NY 14203 | 2,837 | 5.75 | |||||||
22,725 | 46.07 | % | ||||||||
Number | Percent | |||||||||
December 31, 2009 | of shares | of total | ||||||||
Name of beneficial owner | Principal Executive Office Address | owned | capital stock | |||||||
Hudson City Savings Bank* | West 80 Century Road, Paramus, NJ 07652 | 8,748 | 16.87 | % | ||||||
Metropolitan Life Insurance Company | 200 Park Avenue, New York, NY 10166 | 7,419 | 14.31 | |||||||
New York Community Bank* | 615 Merrick Avenue, Westbury, NY 11590 | 3,777 | 7.28 | |||||||
Manufacturers and Traders Trust Company | One M&T Plaza, Buffalo, NY 14203 | 2,952 | 5.69 | |||||||
22,896 | 44.15 | % | ||||||||
* | Officer of member bank also serves on the Board of Directors of the FHLBNY. |
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Item 2. | Management’s Discussion and Analysis of Financial Condition and Results of Operations. |
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Table | Description | Page | ||||
— | Selected Financial Data | 86 | ||||
1 | Interest Income — Principal Sources | 90 | ||||
2 | Impact of Interest Rate Swaps on Interest Income Earned from Advances | 90 | ||||
3 | Interest Expenses — Principal Categories | 92 | ||||
4 | Impact of Interest Rate Swaps on Consolidated Obligation Interest Expense | 93 | ||||
5 | Components of Net Interest Income | 94 | ||||
6 | Net Interest Adjustments from Hedge Qualifying Interest-Rate Swaps | 96 | ||||
7 | GAAP Versus Economic Basis — Contrasting Net Interest Income, Net Income Spread and Return on Earning Assets | 96 | ||||
8 | Spread and Yield Analysis | 97 | ||||
9 | Rate and Volume Analysis | 98 | ||||
10 | Other Income | 100 | ||||
11 | Earnings Impact of Derivatives — By Hedge Type | 102 | ||||
12 | Gains/(Losses) Reclassified from AOCI to Current Period Income from Cash Flow Hedges | 105 | ||||
13 | Other Expenses | 106 | ||||
14 | Operating Expenses | 106 | ||||
15 | Statements of Condition | 107 | ||||
16 | Advances by Product Type | 111 | ||||
17 | Investments by Categories | 117 | ||||
18 | Mortgage-Backed Securities — By Issuer | 117 | ||||
19 | Available-for-Sale Securities Composition | 118 | ||||
20 | External Rating of the Held-to-Maturity Portfolio | 119 | ||||
21 | External Rating of the Available-for-Sale Portfolio | 119 | ||||
22 | Mortgage-Backed Securities Weighted Average Rates by Contractual Maturities | 120 | ||||
23 | Mortgage Loans by Loan Type | 123 | ||||
24 | Consolidated Obligation Bonds by Type | 128 | ||||
25 | Discount Notes Outstanding | 133 | ||||
26 | Roll-Forward Mandatorily Redeemable Capital Stock | 135 | ||||
27 | Derivative Hedging Strategies | 137 | ||||
28 | Derivatives Financial Instruments by Hedge Designation | 138 | ||||
29 | Derivative Financial Instruments by Product | 139 | ||||
30 | Advances and Mortgage Loan Portfolios | 140 | ||||
31 | Collateral Supporting Advances to Members | 143 | ||||
32 | Collateral Supporting Member Obligations Other Than Advances | 143 | ||||
33 | Location of Collateral Held | 144 | ||||
34 | Concentration analysis — Top Ten Advance Holders | 145 | ||||
35 | Period-Over-Period Change in Investments | 146 | ||||
36 | NRSRO Held-to-Maturity Securities | 147 | ||||
37 | NRSRO Available-for-Sale Securities | 149 | ||||
38 | Carrying Value Basis of Held-to-Maturity Mortgage-Backed Securities by Issuer | 151 | ||||
39 | Non-Agency Private Label Mortgage Securities | 152 | ||||
40 | OTTI 2010 First Quarter | 153 | ||||
41 | Monoline Insurance of PLMBS | 153 | ||||
42 | PLMBS by Year of Securitization and External Rating | 154 | ||||
43 | Weighted-Average Market Price of MBS | 156 | ||||
44 | PLMBS Security Types Delinquencies | 157 | ||||
45 | Roll-Forward First Loss Account | 158 | ||||
46 | Mortgage Loans — Past Due | 159 | ||||
47 | Mortgage Loans — Interest Short-Fall | 159 | ||||
48 | Mortgage Loans — Allowance for Credit Losses | 159 | ||||
49 | Top Five Participating Financial Institutions — Concentration | 160 | ||||
50 | Credit Exposure by Counterparty Credit Rating | 162 | ||||
51 | Contractual Obligations and Other Commitments | 166 | ||||
52 | Deposit Liquidity | 168 | ||||
53 | Operational Liquidity | 168 | ||||
54 | Contingency Liquidity | 169 | ||||
55 | Unpledged Asset | 170 | ||||
56 | FHFA MBS Limits | 170 | ||||
57 | FHLBNY Ratings | 171 |
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Statements of Condition | March 31, | December 31, | September 30, | June 30, | March 31, | |||||||||||||||
(dollars in millions) | 2010 | 2009 | 2009 | 2009 | 2009 | |||||||||||||||
Investments (1) | $ | 15,561 | $ | 16,222 | $ | 18,741 | $ | 12,979 | $ | 13,377 | ||||||||||
Interest bearing balance at FRB ** | — | — | — | 13,865 | 8,602 | |||||||||||||||
Advances | 88,859 | 94,349 | 95,945 | 100,458 | 104,464 | |||||||||||||||
Mortgage loans held-for-portfolio, net of allowance for credit losses (2) | 1,288 | 1,318 | 1,336 | 1,381 | 1,431 | |||||||||||||||
Total assets | 107,239 | 114,461 | 117,604 | 129,129 | 128,359 | |||||||||||||||
Deposits and borrowings | 7,977 | 2,631 | 2,276 | 2,278 | 2,372 | |||||||||||||||
Consolidated obligations, net | ||||||||||||||||||||
Bonds | 72,408 | 74,008 | 69,671 | 72,184 | 69,582 | |||||||||||||||
Discount notes | 19,816 | 30,828 | 38,385 | 47,276 | 48,722 | |||||||||||||||
Total consolidated obligations | 92,224 | 104,836 | 108,056 | 119,460 | 118,304 | |||||||||||||||
Mandatorily redeemable capital stock | 105 | 126 | 128 | 128 | 140 | |||||||||||||||
AHP liability | 146 | 144 | 145 | 140 | 128 | |||||||||||||||
REFCORP liability | 14 | 24 | 39 | 46 | 42 | |||||||||||||||
Capital | ||||||||||||||||||||
Capital stock | 4,828 | 5,059 | 5,142 | 5,370 | 5,413 | |||||||||||||||
Retained earnings | 672 | 689 | 666 | 600 | 489 | |||||||||||||||
Accumulated other comprehensive income (loss) | (124 | ) | (145 | ) | (147 | ) | (120 | ) | (79 | ) | ||||||||||
Total capital | 5,376 | 5,603 | 5,661 | 5,850 | 5,823 | |||||||||||||||
Equity to asset ratio (3) | 5.01 | % | 4.90 | % | 4.81 | % | 4.53 | % | 4.54 | % |
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Three months ended | ||||||||||||||||||||
Statements of ConditionAverages | March 31, | December 31, | September 30, | June 30, | March 31, | |||||||||||||||
(dollars in millions) | 2010 | 2009 | 2009 | 2009 | 2009 | |||||||||||||||
Investments (1) | $ | 17,711 | $ | 18,650 | $ | 19,764 | $ | 12,369 | $ | 12,963 | ||||||||||
Interest-bearing balance at FRB ** | — | — | — | 12,647 | 11,538 | |||||||||||||||
Advances | 91,415 | 94,193 | 96,704 | 99,769 | 105,344 | |||||||||||||||
Mortgage loans | 1,299 | 1,333 | 1,357 | 1,405 | 1,450 | |||||||||||||||
Total assets | 113,116 | 117,289 | 120,754 | 129,133 | 134,915 | |||||||||||||||
Interest-bearing deposits and other borrowings | 5,050 | 2,361 | 2,083 | 2,181 | 1,749 | |||||||||||||||
Consolidated obligations, net | ||||||||||||||||||||
Bonds | 74,297 | 73,264 | 69,604 | 68,091 | 76,543 | |||||||||||||||
Discount notes | 24,555 | 31,741 | 39,521 | 48,747 | 46,155 | |||||||||||||||
Total consolidated obligations | 98,852 | 105,005 | 109,125 | 116,838 | 122,698 | |||||||||||||||
Mandatorily redeemable capital stock | 108 | 143 | 128 | 134 | 143 | |||||||||||||||
AHP liability | 144 | 144 | 139 | 132 | 125 | |||||||||||||||
REFCORP liability | 9 | 15 | 23 | 22 | 22 | |||||||||||||||
Capital | ||||||||||||||||||||
Capital stock | 4,929 | 5,030 | 5,195 | 5,299 | 5,455 | |||||||||||||||
Retained earnings | 658 | 666 | 611 | 522 | 429 | |||||||||||||||
Accumulated other comprehensive income (loss) | (141 | ) | (136 | ) | (125 | ) | (69 | ) | (91 | ) | ||||||||||
Total capital | 5,446 | 5,560 | 5,681 | 5,752 | 5,793 | |||||||||||||||
Operating Results and other data | Three months ended | |||||||||||||||||||
(dollars in millions) | March 31, | December 31, | September 30, | June 30, | March 31, | |||||||||||||||
(except earnings, headcount, and dividends per share) | 2010 | 2009 | 2009 | 2009 | 2009 | |||||||||||||||
Net interest income (4) | $ | 106 | $ | 116 | $ | 154 | $ | 200 | $ | 231 | ||||||||||
Net income | 54 | 97 | 140 | 186 | 148 | |||||||||||||||
Dividends paid in cash (7) | 71 | 74 | 74 | 75 | 42 | |||||||||||||||
AHP expense | 6 | 10 | 16 | 21 | 17 | |||||||||||||||
REFCORP expense | 13 | 24 | 35 | 47 | 37 | |||||||||||||||
Return on average equity* (5) | 3.99 | % | 6.85 | % | 9.79 | % | 13.00 | % | 10.37 | % | ||||||||||
Return on average assets* | 0.19 | % | 0.32 | % | 0.46 | % | 0.58 | % | 0.45 | % | ||||||||||
Net OTTI impairment losses | $ | (3 | ) | $ | (7 | ) | $ | (4 | ) | $ | (5 | ) | $ | (5 | ) | |||||
Other non-interest income (loss) | (8 | ) | 48 | 61 | 80 | (4 | ) | |||||||||||||
Total other income (loss) | (11 | ) | 41 | 57 | 75 | (9 | ) | |||||||||||||
Operating expenses | 19 | 22 | 18 | 18 | 18 | |||||||||||||||
Finance Agency and Office of Finance | 3 | 2 | 2 | 2 | 2 | |||||||||||||||
Total other expenses | 22 | 24 | 20 | 20 | 20 | |||||||||||||||
Operating expenses ratio* (6) | 0.07 | % | 0.07 | % | 0.06 | % | 0.06 | % | 0.05 | % | ||||||||||
Earnings per share | $ | 1.09 | $ | 1.94 | $ | 2.70 | $ | 3.52 | $ | 2.72 | ||||||||||
Dividend per share | $ | 1.41 | $ | 1.42 | $ | 1.40 | $ | 1.38 | $ | 0.75 | ||||||||||
Headcount (Full/part time) | 266 | 264 | 259 | 264 | 256 |
(1) | Investments include held-to-maturity securities, available for-sale securities, Federal funds, loans to other FHLBanks, and other interest bearing deposits. | |
(2) | Allowances for credit losses were $5.2 million, $4.5 million, $3.4 million, $2.8 million, and $1.8 million at the periods ended March 31, 2010, December 31, 2009, September 30, 2009, June 30, 2009, and March 31, 2009. | |
(3) | Equity to asset ratio is capital stock plus retained earnings and Accumulated other comprehensive income (loss) as a percentage of total assets. | |
(4) | Net interest income is net interest income before the provision for credit losses on mortgage loans. | |
(5) | 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). | |
(6) | Operating expenses as a percentage of total average assets. | |
(7) | Excludes dividends accrued 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 2, 2009, the Bank was no longer eligible to collect interest on excess balances. |
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Three months ended March 31, | ||||||||||||
Percentage | ||||||||||||
2010 | 2009 | Variance | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 149,640 | $ | 502,222 | (70.20 | )% | ||||||
Interest-bearing deposits | 830 | 8,918 | (90.69 | ) | ||||||||
Federal funds sold | 1,543 | 68 | NM | |||||||||
Available-for-sale securities | 5,764 | 8,519 | (32.34 | ) | ||||||||
Held-to-maturity securities | ||||||||||||
Long-term securities | 98,634 | 126,820 | (22.23 | ) | ||||||||
Certificates of deposit | — | 508 | (100.00 | ) | ||||||||
Mortgage loans held-for-portfolio | 16,741 | 19,104 | (12.37 | ) | ||||||||
Total interest income | $ | 273,152 | $ | 666,159 | (59.00 | )% | ||||||
Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Advance Interest Income | ||||||||
Advance interest income before adjustment for interest rate swaps | $ | 679,921 | $ | 833,388 | ||||
Net interest adjustment from interest rate swaps1 | (530,281 | ) | (331,166 | ) | ||||
Total Advance interest income reported | $ | 149,640 | $ | 502,222 | ||||
1 | Interest portion only |
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Three months ended March 31, | ||||||||||||
Percentage | ||||||||||||
2010 | 2009 | Variance | ||||||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | $ | 154,913 | $ | 343,707 | (54.93 | )% | ||||||
Consolidated obligations-discount notes | 9,657 | 89,378 | (89.20 | ) | ||||||||
Deposits | 892 | 777 | 14.80 | |||||||||
Mandatorily redeemable capital stock | 1,495 | 878 | 70.27 | |||||||||
Cash collateral held and other borrowings | — | 37 | (100.00 | ) | ||||||||
Total interest expense | $ | 166,957 | $ | 434,777 | (61.60 | )% | ||||||
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Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Consolidated bonds and discount notes-Interest expense | ||||||||
Bonds-Interest expense before adjustment for swaps | $ | 328,657 | $ | 448,460 | ||||
Discount notes-Interest expense before adjustment for swaps | 9,657 | 89,618 | ||||||
Net interest adjustment for interest rate swaps1 | (173,744 | ) | (104,993 | ) | ||||
Total Consolidated bonds and discount notes-interest expense reported | $ | 164,570 | $ | 433,085 | ||||
1 | Interest portion only |
• | Member demand for advances and investment activity, the yields from advances and investments, and the cost of consolidated obligation debt that is issued by the Bank to fund advances and investments. | ||
• | The execution of interest rate swaps in the derivative market at a constant spread to LIBOR, in effect converting fixed-rate advances and fixed-rate debt to conventional adjustable-rate instruments indexed to LIBOR, results in an important intermediation for the Bank between the capital markets and the swap market. The intermediation has typically permitted the Bank to raise funds at lower costs than would otherwise be available through the issuance of simple fixed- or floating-rate debt in the capital markets. The FHLBNY deploys hedging strategies to protect future net interest income, but may reduce income in the short-run, although the FHLBNY expects them to benefit future periods. | ||
• | Income earned from assets funded by member capital and retained earnings, referred to as “deployed capital”, which are non-interest bearing, is another important contributor for the FHLBNY. |
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Three months ended March 31, | ||||||||||||
Percentage | ||||||||||||
2010 | 2009 | Variance | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 149,640 | $ | 502,222 | (70.20 | )% | ||||||
Interest-bearing deposits | 830 | 8,918 | (90.69 | ) | ||||||||
Federal funds sold | 1,543 | 68 | NM | |||||||||
Available-for-sale securities | 5,764 | 8,519 | (32.34 | ) | ||||||||
Held-to-maturity securities | ||||||||||||
Long-term securities | 98,634 | 126,820 | (22.23 | ) | ||||||||
Certificates of deposit | — | 508 | (100.00 | ) | ||||||||
Mortgage loans held-for-portfolio | 16,741 | 19,104 | (12.37 | ) | ||||||||
Total interest income | 273,152 | 666,159 | (59.00 | ) | ||||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | 154,913 | 343,707 | (54.93 | ) | ||||||||
Consolidated obligations-discount notes | 9,657 | 89,378 | (89.20 | ) | ||||||||
Deposits | 892 | 777 | 14.80 | |||||||||
Mandatorily redeemable capital stock | 1,495 | 878 | 70.27 | |||||||||
Cash collateral held and other borrowings | — | 37 | (100.00 | ) | ||||||||
Total interest expense | 166,957 | 434,777 | (61.60 | ) | ||||||||
Net interest income before provision for credit losses | $ | 106,195 | $ | 231,382 | (54.10 | )% | ||||||
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• | Decline in short-term interest rates, which had an adverse impact on interest income earned from the deployment of members’ capital and net non-interest bearing liabilities (“deployed capital”). Earnings from deployed capital are sensitive to changes in short-term interest rate as deployed capital is typically utilized to fund short-term, liquid investments. As an illustration, the 3-month LIBOR was 29.2 basis points at March 31, 2010, significantly lower than 119.2 basis points at March 31, 2009. Typically, the Bank earns relatively lower income in a lower interest rate environment on a given amount of average deployed capital. |
• | Decrease in member capital in line with reduced demand for advances borrowed by members as members are required to purchase stock as a percentage of advances borrowed, and the FHLBNY’s existing policy is to redeem stock in excess of those required to be purchased by the member. Average deployed capital in the 2010 first quarter declined by $0.9 billion over the same period in 2009. |
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Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Interest Income | $ | 803,433 | $ | 997,325 | ||||
Net interest adjustment from interest rate swaps | (530,281 | ) | (331,166 | ) | ||||
Reported interest income | 273,152 | 666,159 | ||||||
Interest Expense | 340,701 | 539,770 | ||||||
Net interest adjustment from interest rate swaps | (173,744 | ) | (104,993 | ) | ||||
Reported interest expense | 166,957 | 434,777 | ||||||
Net interest income (Margin) | $ | 106,195 | $ | 231,382 | ||||
Net interest adjustment — interest rate swaps | $ | (356,537 | ) | $ | (226,173 | ) | ||
1 | Net interest accruals of derivatives designated in a fair value or cash flow hedge qualifying under the derivatives and hedge accounting rules were recorded as adjustments to the interest income or interest expense of the hedged assets or liabilities, and had a significant impact on Net interest income. |
Three months ended March 31, 2010 | Three months ended March 31, 2009 | |||||||||||||||||||||||
Amount | ROA | Net Spread | Amount | ROA | Net Spread | |||||||||||||||||||
GAAP net interest income | $ | 106,195 | 0.38 | % | 0.33 | % | $ | 231,382 | 0.70 | % | 0.60 | % | ||||||||||||
Interest income (expense) | ||||||||||||||||||||||||
Swaps not designated in a hedging relationship | 37,220 | 0.14 | 0.15 | (46,165 | ) | (0.14 | ) | (0.15 | ) | |||||||||||||||
Economic net interest income | $ | 143,415 | 0.52 | % | 0.48 | % | $ | 185,217 | 0.56 | % | 0.45 | % | ||||||||||||
2 | In the 2010 first quarter and the same period in 2009, significant amounts of swaps were designated as economic hedges of consolidated obligation debt in a hedging strategy that converted floating-rate debt indexed to 1-month LIBOR, the Prime rate, and the Federal Funds Effective rate to 3-month LIBOR cash flows. The Bank also economically hedged certain short-term fixed-rate debt and discount notes that it also believed would not be highly effective in offsetting changes in the fair values of the debt and the swap. Aggregate swap accruals for all economic hedges in the 2010 first quarter was a net positive contribution of $37.2 million representing cash in-flows, compared to cash out-flows of $46.1 million the same period in 2009. In compliance with accounting standards for derivatives and hedging, interest income and expense from such derivatives were recorded as derivative gains and losses in Other income (loss) as a Net realized and unrealized gain (loss) from derivatives and hedging activities. |
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Three months ended March 31, | ||||||||||||||||||||||||
2010 | 2009 | |||||||||||||||||||||||
Interest | Interest | |||||||||||||||||||||||
Average | Income/ | Average | Income/ | |||||||||||||||||||||
(dollars in thousands) | Balance | Expense | Rate1 | Balance | Expense | Rate1 | ||||||||||||||||||
Earning Assets: | ||||||||||||||||||||||||
Advances | $ | 91,414,698 | $ | 149,640 | 0.66 | % | $ | 105,343,748 | $ | 502,222 | 1.93 | % | ||||||||||||
Certificates of deposit and other | 2,261,163 | 830 | 0.15 | 3,193,686 | 2,062 | 0.26 | ||||||||||||||||||
Federal funds sold and other overnight funds | 5,371,946 | 1,543 | 0.12 | 11,584,490 | 7,432 | 0.26 | ||||||||||||||||||
Investments | 12,412,612 | 104,398 | 3.41 | 12,721,259 | 135,339 | 4.31 | ||||||||||||||||||
Mortgage and other loans | 1,299,588 | 16,741 | 5.22 | 1,449,902 | 19,104 | 5.34 | ||||||||||||||||||
Total interest-earning assets | $ | 112,760,007 | $ | 273,152 | 0.98 | % | $ | 134,293,085 | $ | 666,159 | 2.01 | % | ||||||||||||
Funded By: | ||||||||||||||||||||||||
Consolidated obligations-bonds | $ | 74,296,820 | $ | 154,913 | 0.85 | $ | 76,543,358 | $ | 343,707 | 1.82 | ||||||||||||||
Consolidated obligations-discount notes | 24,555,640 | 9,657 | 0.16 | 46,154,843 | 89,378 | 0.79 | ||||||||||||||||||
Interest-bearing deposits and other borrowings | 5,051,351 | 892 | 0.07 | 1,823,898 | 814 | 0.18 | ||||||||||||||||||
Mandatorily redeemable capital stock | 108,396 | 1,495 | 5.59 | 142,971 | 878 | 2.49 | ||||||||||||||||||
Total interest-bearing liabilities | 104,012,207 | 166,957 | 0.65 | % | 124,665,070 | 434,777 | 1.41 | % | ||||||||||||||||
Capital and other non-interest-bearing funds | 8,747,800 | — | 9,628,015 | — | ||||||||||||||||||||
Total Funding | $ | 112,760,007 | $ | 166,957 | $ | 134,293,085 | $ | 434,777 | ||||||||||||||||
Net Interest Income/Spread | $ | 106,195 | 0.33 | % | $ | 231,382 | 0.60 | % | ||||||||||||||||
Net Interest Margin | ||||||||||||||||||||||||
(Net interest income/Earning Assets) | 0.38 | % | 0.70 | % | ||||||||||||||||||||
1 | Reported yields with respect to advances and debt may not necessarily equal the coupons on the instruments as derivatives are extensively used to change the yield and optionality characteristics of the underlying hedged items. When fixed-rate debt is issued by the Bank and hedged with an interest rate derivative, it effectively converts the debt into a simple floating-rate bond. Similarly, the Bank makes fixed-rate advances to members and hedges the advance with a pay-fixed, receive-variable interest rate derivative that effectively converts the fixed-rate asset to one that floats with prevailing LIBOR rates. Average balance sheet information is presented as it is more representative of activity throughout the periods presented. For most components of the average balances, a daily weighted average balance is calculated for the period. When daily weighted average balance information is not available, a simple monthly average balance is calculated. Average yields are derived by dividing income by the average balances of the related assets and average costs are derived by dividing expenses by the average balances of the related liabilities. Yields and rates are annualized. |
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For the three months ended | ||||||||||||
March 31, 2010 vs. March 31, 2009 | ||||||||||||
Increase (decrease) | ||||||||||||
Volume | Rate | Total | ||||||||||
Interest Income | ||||||||||||
Advances | $ | (59,098 | ) | $ | (293,484 | ) | $ | (352,582 | ) | |||
Certificates of deposit and other | (497 | ) | (735 | ) | (1,232 | ) | ||||||
Federal funds sold and other overnight funds | (2,902 | ) | (2,987 | ) | (5,889 | ) | ||||||
Investments | (3,212 | ) | (27,729 | ) | (30,941 | ) | ||||||
Mortgage loans and other loans | (1,944 | ) | (419 | ) | (2,363 | ) | ||||||
Total interest income | (67,653 | ) | (325,354 | ) | (393,007 | ) | ||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | (9,808 | ) | (178,986 | ) | (188,794 | ) | ||||||
Consolidated obligations-discount notes | (29,495 | ) | (50,226 | ) | (79,721 | ) | ||||||
Deposits and borrowings | 792 | (714 | ) | 78 | ||||||||
Mandatorily redeemable capital stock | (256 | ) | 873 | 617 | ||||||||
Total interest expense | (38,767 | ) | (229,053 | ) | (267,820 | ) | ||||||
Changes in Net Interest Income | $ | (28,886 | ) | $ | (96,301 | ) | $ | (125,187 | ) | |||
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Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Other income (loss): | ||||||||
Service fees | $ | 1,045 | $ | 985 | ||||
Instruments held at fair value-Unrealized (loss) gain | (8,419 | ) | 8,313 | |||||
Total OTTI losses | (3,873 | ) | (15,203 | ) | ||||
Portion of loss recognized in other comprehensive income | 473 | 9,938 | ||||||
Net impairment losses recognized in earnings | (3,400 | ) | (5,265 | ) | ||||
Net realized and unrealized (loss) on derivatives and hedging activities | (363 | ) | (13,666 | ) | ||||
Net realized gain from sale of available-for-sale securities | 708 | 440 | ||||||
Other | (227 | ) | 46 | |||||
Total other income (loss) | $ | (10,656 | ) | $ | (9,147 | ) | ||
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Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Earnings impact of derivatives and hedging activities gain (loss): | ||||||||
Derivatives designated as hedging instruments 2 | ||||||||
Cash flow hedges-ineffectiveness | $ | — | $ | — | ||||
Fair value hedges-ineffectiveness | 4,623 | 2,271 | ||||||
Derivatives not designated as hedging instruments | ||||||||
Economic hedges-fair value changes-options | (30,716 | ) | 1,221 | |||||
Net interest income-options | (1,989 | ) | (692 | ) | ||||
Economic hedges-fair value changes-MPF delivery commitments | 149 | 59 | ||||||
Fair value changes-economic hedges1 | (16,484 | ) | 35,065 | |||||
Net interest expense-economic hedges1 | 29,492 | (46,196 | ) | |||||
Balance sheet — Macro hedges swaps | 173 | 2,233 | ||||||
Derivatives matched to bonds designated under FVO | ||||||||
Fair value changes-interest rate swaps/bonds | 14,389 | (7,627 | ) | |||||
Net realized and unrealized (loss) on derivatives and hedging activities | $ | (363 | ) | $ | (13,666 | ) | ||
1 | Includes de minimis amount of net gains on member intermediated swaps. | |
2 | Net interest settlements from interest rate swaps hedging advances and consolidated obligations in a designated accounting relationship are recorded in interest income and interest expense. |
• | Hedge ineffectiveness from fair value hedges of advances and consolidated obligation liabilities that qualified for hedge accounting treatment. Hedge ineffectiveness is typically the difference between changes in fair values of hedged consolidated obligation bonds and advances due to changes in the benchmark rate (adopted as the 3-month LIBOR rate) and changes in the fair value of the associated derivatives. | ||
• | Fair value changes of interest rate swaps designated in economic hedges of consolidated obligation debt, without the offsetting benefit of fair value changes of the hedged debt. | ||
• | Fair value changes of interest rate caps designated in economic hedges of GSE issued capped floating-rate MBS. Market pricing of the tenor and strikes of caps owned by the FHLBNY has fallen steeply at March 31, 2010, relative to December 31, 2009 primarily because of lower volatilities for such caps. As result, purchased caps are exhibiting fair value losses. The fair values of the caps, which stood at $41.1 million at March 31, 2010, will ultimately decline to zero if the caps are held to their contractual maturities. | ||
• | Swap income or expense, primarily swap interest accruals, associated with swaps designated as economic hedges. |
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• | Interest rate “Basis swaps” that synthetically converted floating-rate funding based on non-Prime rate, Federal funds rate, and the 1-month LIBOR rate to 3-month LIBOR rate. | ||
• | Interest rate swaps hedging balance sheet risk. | ||
• | Interest rate swaps hedging discount notes and short-term fixed-rate consolidated obligation bonds. | ||
• | Interest rate swaps that had been de-designated as economic hedges of advances and bonds because the hedges had became ineffective. |
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• | Consolidated bond economic hedges — In the 2010 first quarter, a significant portion of basis swaps matured and almost all previously recorded fair value gains reversed and net unrealized losses were recorded in the period. The fair value basis changes of the remaining basis swaps were not significant as the swaps were nearing maturity. In the same period in 2009, net unrealized gains were recorded. |
• | Consolidated discount note economic hedges — In the 2010 first quarter, unrealized losses were primarily due to the reversal of gains at the beginning of the period as swaps executed to hedge value risk of discount notes were nearing maturity at March 31, 2010. |
• | In the 2010 first quarter, net interest accrual income of $29.5 million were recorded as a component of derivatives and hedging activities. They represented the net cash in-flows from swaps that were designated as economic hedges of consolidated obligation bonds, discount notes, and a handful of advances. |
• | In the 2009 first quarter, net cash flow accrual was an expense of $46.2 million from swaps, primarily basis swaps hedging the basis risk of changes in floating-rate debt that were indexed to rates other than 3-month LIBOR. Under the contractual terms of the basis swaps the FHLBNY was receiving cash flows indexed to an agreed upon spread to the daily Federal funds effective rate, the 1-month LIBOR rate, and the Prime rate, and in return paying cash flows indexed to an agreed upon spread to the 3-month LIBOR rate. The daily Federal funds rates and the 1-month LIBOR rates (cash received by the Bank) were considerably lower in the 2009 first quarter than the 3-month LIBOR rates (Cash paid by the Bank), and resulted in net cash outflows. The formula for computing the cash flows of swaps indexed to the Prime rate also resulted in net cash outflows. These factors explain the significant net interest expenses recorded in the 2009 first quarter in Other income as a component of derivatives and hedging activities. |
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Three months ended March 31, | ||||||||
Accumulated other comprehensive income/(loss) from cash flow hedges | 2010 | 2009 | ||||||
Beginning of period | $ | (22,683 | ) | $ | (30,191 | ) | ||
Net hedging transactions | 392 | — | ||||||
Reclassified into earnings | 1,740 | 1,879 | ||||||
End of period | $ | (20,551 | ) | $ | (28,312 | ) | ||
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Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Other expenses: | ||||||||
Operating | $ | 19,236 | $ | 18,094 | ||||
Finance Agency and Office of Finance | 2,418 | 1,967 | ||||||
Total other expenses | $ | 21,654 | $ | 20,061 | ||||
Three months ended March 31, | ||||||||||||||||
Percentage of | Percentage of | |||||||||||||||
2010 | total | 2009 | Total | |||||||||||||
Salaries and employee benefits | $ | 12,894 | 67.03 | % | $ | 12,088 | 66.81 | % | ||||||||
Temporary workers | 39 | 0.20 | 103 | 0.57 | ||||||||||||
Occupancy | 1,062 | 5.52 | 1,056 | 5.83 | ||||||||||||
Depreciation and leasehold amortization | 1,366 | 7.10 | 1,324 | 7.32 | ||||||||||||
Computer service agreements and contractual services | 1,901 | 9.88 | 1,462 | 8.08 | ||||||||||||
Professional and legal fees | 542 | 2.82 | 449 | 2.48 | ||||||||||||
Other * | 1,432 | 7.45 | 1,612 | 8.91 | ||||||||||||
Total operating expenses | $ | 19,236 | 100.00 | % | $ | 18,094 | 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) | March 31, 2010 | December 31, 2009 | dollar amount | percentage | ||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | 1,167,824 | $ | 2,189,252 | $ | (1,021,428 | ) | (46.66 | )% | |||||||
Federal funds sold | 3,130,000 | 3,450,000 | (320,000 | ) | (9.28 | ) | ||||||||||
Available-for-sale securities | 2,654,814 | 2,253,153 | 401,661 | 17.83 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | 9,776,282 | 10,519,282 | (743,000 | ) | (7.06 | ) | ||||||||||
Advances | 88,858,753 | 94,348,751 | (5,489,998 | ) | (5.82 | ) | ||||||||||
Mortgage loans held-for-portfolio | 1,287,770 | 1,317,547 | (29,777 | ) | (2.26 | ) | ||||||||||
Accrued interest receivable | 320,730 | 340,510 | (19,780 | ) | (5.81 | ) | ||||||||||
Premises, software, and equipment | 14,046 | 14,792 | (746 | ) | (5.04 | ) | ||||||||||
Derivative assets | 9,246 | 8,280 | 966 | 11.67 | ||||||||||||
Other assets | 19,761 | 19,339 | 422 | 2.18 | ||||||||||||
Total assets | $ | 107,239,226 | $ | 114,460,906 | $ | (7,221,680 | ) | (6.31 | )% | |||||||
Liabilities | ||||||||||||||||
Deposits | ||||||||||||||||
Interest-bearing demand | $ | 7,942,668 | $ | 2,616,812 | $ | 5,325,856 | NM | % | ||||||||
Non-interest bearing demand | 6,254 | 6,499 | (245 | ) | (3.77 | ) | ||||||||||
Term | 28,000 | 7,200 | 20,800 | NM | ||||||||||||
Total deposits | 7,976,922 | 2,630,511 | 5,346,411 | NM | ||||||||||||
Consolidated obligations | ||||||||||||||||
Bonds | 72,408,203 | 74,007,978 | (1,599,775 | ) | (2.16 | ) | ||||||||||
Discount notes | 19,815,956 | 30,827,639 | (11,011,683 | ) | (35.72 | ) | ||||||||||
Total consolidated obligations | 92,224,159 | 104,835,617 | (12,611,458 | ) | (12.03 | ) | ||||||||||
Mandatorily redeemable capital stock | 105,192 | 126,294 | (21,102 | ) | (16.71 | ) | ||||||||||
Accrued interest payable | 330,715 | 277,788 | 52,927 | 19.05 | ||||||||||||
Affordable Housing Program | 145,660 | 144,489 | 1,171 | 0.81 | ||||||||||||
Payable to REFCORP | 13,873 | 24,234 | (10,361 | ) | (42.75 | ) | ||||||||||
Derivative liabilities | 850,911 | 746,176 | 104,735 | 14.04 | ||||||||||||
Other liabilities | 216,168 | 72,506 | 143,662 | NM | ||||||||||||
Total liabilities | 101,863,600 | 108,857,615 | (6,994,015 | ) | (6.42 | ) | ||||||||||
Capital | 5,375,626 | 5,603,291 | (227,665 | ) | (4.06 | ) | ||||||||||
Total liabilities and capital | $ | 107,239,226 | $ | 114,460,906 | $ | (7,221,680 | ) | (6.31 | )% | |||||||
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March 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amounts | of total | Amounts | of total | |||||||||||||
Adjustable Rate Credit — ARCs | $ | 12,838,850 | 15.09 | % | $ | 14,100,850 | 15.54 | % | ||||||||
Fixed Rate Advances | 67,956,476 | 79.86 | 71,943,468 | 79.29 | ||||||||||||
Short-Term Advances | 1,979,178 | 2.33 | 2,173,321 | 2.39 | ||||||||||||
Mortgage Matched Advances | 583,597 | 0.68 | 606,883 | 0.67 | ||||||||||||
Overnight Line of Credit (OLOC) Advances | 734,835 | 0.86 | 926,517 | 1.02 | ||||||||||||
All other categories | 1,002,240 | 1.18 | 986,661 | 1.09 | ||||||||||||
Total par value | 85,095,176 | 100.00 | % | 90,737,700 | 100.00 | % | ||||||||||
Discount on AHP Advances | (244 | ) | (260 | ) | ||||||||||||
Hedging adjustments | 3,763,821 | 3,611,311 | ||||||||||||||
Total | $ | 88,858,753 | $ | 94,348,751 | ||||||||||||
Adjustable Rate Advances (“ARC Advances”)— ARC advances have declined steadily through 2009 and that trend has continued into the 2010 first quarter, as demand has remained weak. Generally, the FHLBNY’s larger members have been the more significant borrowers of ARCs. |
ARC advances are medium- and long-term loans that can be linked to a variety of indices, such as 1-month LIBOR, 3-month LIBOR, the Federal funds rate, or Prime. Members use ARC advances to manage interest rate and basis risks by efficiently matching the interest rate index and repricing characteristics of floating-rate assets. The interest rate is set and reset (depending upon the maturity of the advance and the type of index) at a spread to that designated index. Principal is due at maturity and interest payments are due at each reset date, including the final payment date. |
Fixed-rate Advances— Fixed-rate advances, comprising putable and non-putable advances, were the largest category of advances. |
Member demand for fixed-rate advance was very soft in the 2010 first quarter, and it appears that members are uncertain about locking into long-term advances perhaps because of unfavorable pricing of longer-term advances, or an uncertain outlook over the direction and timing of interest rate changes, or lukewarm demand from members’ customer base for fixed-rate loans. The decline in demand for fixed-rate advances has been a trend over the past several quarters. |
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A significant component of Fixed-rate advances is putable advances. Historically, Fixed-rate putable advances have been more competitively priced relative to fixed-rate “bullet” advances because of the “put” feature that the Bank purchases from the member, driving down the coupon on the advance. With a putable advance, the FHLBNY has the right to exercise the put option and terminate the advance at predetermined exercise date (s), which the FHLBNY normally would exercise when interest rates rise, and the borrower may then apply for a new advance at the then prevailing coupon and terms. In the present interest rate environment, the price advantage has not been significant because of constraints in offering longer-term-advances. The price advantage of a putable advance increases with the numbers of puts sold and the length of the term of a putable advance. |
Fixed-rate advances are flexible funding tools that can be used by members to meet short- to long-term liquidity needs. Terms vary from two days to 30 years. |
Member demand for the competitively priced putable advances had remained steady through the third quarter in 2009, contracted somewhat in the fourth quarter of 2009, and declined in the 2010 first quarter as maturing putable advances were either not replaced, or replaced by bullet advance (without the put feature). Putable advances stood at $38.6 billion at March 31, 2010, compared to $41.4 billion at December 31, 2009. |
Short-term Advances— Demand for Short-term fixed-rate advances has remained very weak in the 2010 first quarter, a continuing trend from 2009. By way of contrast, the outstanding balance was $7.8 billion at December 31, 2008. |
Overnight Line of Credit (“OLOC Advances”) —Overnight borrowings also remained lackluster in 2010 a continuation of the trend seen in 2009. Member demand for the OLOC Advances may also reflect the seasonal needs of certain member banks for their short-term liquidity requirements. Some large members also use OLOC advances to adjust their balance sheet in line with their own leverage targets. |
The OLOC program gives members a short-term, flexible, readily accessible revolving line of credit for immediate liquidity needs. OLOC Advances mature on the next business day, at which time the advance is repaid. |
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• | Makes extensive use of the derivatives to restructure interest rates on fixed-rate advances, both putable 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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March 31, | December 31, | Dollar | Percentage | |||||||||||||
2010 | 2009 | Variance | Variance | |||||||||||||
State and local housing finance agency obligations1 | $ | 749,841 | $ | 751,751 | $ | (1,910 | ) | (0.25 | )% | |||||||
Mortgage-backed securities | ||||||||||||||||
Available-for-sale securities, at fair value | 2,641,921 | 2,240,564 | 401,357 | 17.91 | ||||||||||||
Held-to-maturity securities, at carrying value | 9,026,441 | 9,767,531 | (741,090 | ) | (7.59 | ) | ||||||||||
12,418,203 | 12,759,846 | (341,643 | ) | (2.68 | ) | |||||||||||
Grantor trusts2 | 12,893 | 12,589 | 304 | 2.41 | ||||||||||||
Federal funds sold | 3,130,000 | 3,450,000 | (320,000 | ) | (9.28 | ) | ||||||||||
Total investments | $ | 15,561,096 | $ | 16,222,435 | $ | (661,339 | ) | (4.08 | )% | |||||||
1 | Classified as held-to-maturity securities, at carrying 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 |
March 31, | Percentage | December 31, | Percentage | |||||||||||||
2010 | of total | 2009 | of total | |||||||||||||
U.S. government sponsored enterprise residential mortgage-backed securities | $ | 7,648,745 | 84.73 | % | $ | 8,482,139 | 86.84 | % | ||||||||
U.S. agency residential mortgage-backed securities | 150,882 | 1.67 | 171,531 | 1.76 | ||||||||||||
U.S. government sponsored enterprise commercial mortgage-backed securities | 174,048 | 1.93 | — | — | ||||||||||||
U.S. agency commercial mortgage-backed securities | 49,342 | 0.55 | 49,526 | 0.51 | ||||||||||||
Private-label issued securities backed by home equity loans | 400,172 | 4.43 | 417,151 | 4.27 | ||||||||||||
Private-label issued residential mortgage-backed securities | 407,552 | 4.52 | 444,906 | 4.55 | ||||||||||||
Private-label issued securities backed by manufactured housing loans | 195,700 | 2.17 | 202,278 | 2.07 | ||||||||||||
Total Held-to-maturity securities-mortgage-backed securities | $ | 9,026,441 | 100.00 | % | $ | 9,767,531 | 100.00 | % | ||||||||
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March 31, | Percentage | December 31, | Percentage | |||||||||||||
2010 | of total | 2009 | of total | |||||||||||||
Fannie Mae | $ | 1,949,487 | 73.79 | % | $ | 1,544,500 | 68.93 | % | ||||||||
Freddie Mac | 692,434 | 26.21 | 696,064 | 31.07 | ||||||||||||
Total AFS mortgage-backed securities | 2,641,921 | 100.00 | % | 2,240,564 | 100.00 | % | ||||||||||
Grantor Trusts — Mutual funds | 12,893 | 12,589 | ||||||||||||||
Total Available-for-sale portfolio | $ | 2,654,814 | $ | 2,253,153 | ||||||||||||
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March 31, 2010 | ||||||||||||||||||||||||
Below | ||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Grade | Total | |||||||||||||||||||
Long-term securities | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 8,488,404 | $ | 198,230 | $ | 153,756 | $ | 29,719 | $ | 156,332 | $ | 9,026,441 | ||||||||||||
State and local housing finance agency obligations | 72,172 | 600,019 | 21,430 | 56,220 | — | 749,841 | ||||||||||||||||||
Total Long-term securities | 8,560,576 | 798,249 | 175,186 | 85,939 | 156,332 | 9,776,282 | ||||||||||||||||||
Short-term securities | ||||||||||||||||||||||||
Certificates of deposit | — | — | — | — | — | — | ||||||||||||||||||
Total | $ | 8,560,576 | $ | 798,249 | $ | 175,186 | $ | 85,939 | $ | 156,332 | $ | 9,776,282 | ||||||||||||
December 31, 2009 | ||||||||||||||||||||||||
Below | ||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Grade | Total | |||||||||||||||||||
Long-term securities | �� | |||||||||||||||||||||||
Mortgage-backed securities | $ | 9,205,018 | $ | 299,314 | $ | 65,921 | $ | 31,261 | $ | 166,017 | $ | 9,767,531 | ||||||||||||
State and local housing finance agency obligations | 72,992 | 601,109 | 21,430 | 56,220 | — | 751,751 | ||||||||||||||||||
Total Long-term securities | 9,278,010 | 900,423 | 87,351 | 87,481 | 166,017 | 10,519,282 | ||||||||||||||||||
Short-term securities | ||||||||||||||||||||||||
Certificates of deposit | — | — | — | — | — | — | ||||||||||||||||||
Total | $ | 9,278,010 | $ | 900,423 | $ | 87,351 | $ | 87,481 | $ | 166,017 | $ | 10,519,282 | ||||||||||||
March 31, 2010 | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Unrated | Total | |||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 2,641,921 | $ | — | $ | — | $ | — | $ | — | $ | 2,641,921 | ||||||||||||
Other — Grantor trusts | — | — | — | — | 12,893 | 12,893 | ||||||||||||||||||
Total | $ | 2,641,921 | $ | — | $ | — | $ | — | $ | 12,893 | $ | 2,654,814 | ||||||||||||
December 31, 2009 | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Unrated | Total | |||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 2,240,564 | $ | — | $ | — | $ | — | $ | — | $ | 2,240,564 | ||||||||||||
Other — Grantor trusts | — | — | — | — | 12,589 | 12,589 | ||||||||||||||||||
Total | $ | 2,240,564 | $ | — | $ | — | $ | — | $ | 12,589 | $ | 2,253,153 | ||||||||||||
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March 31, 2010 | December 31, 2009 | |||||||||||||||
Amortized | Weighted | Amortized | Weighted | |||||||||||||
Cost | Average rate | Cost | Average rate | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
Due in one year or less | $ | — | — | % | — | — | % | |||||||||
Due after one year through five years | 2,380 | 6.25 | 2,663 | 6.25 | ||||||||||||
Due after five years through ten years | 1,236,112 | 4.69 | 1,140,153 | 4.78 | ||||||||||||
Due after ten years | 10,524,060 | 3.08 | 10,977,950 | 3.21 | ||||||||||||
Total mortgage-backed securities | $ | 11,762,552 | 3.25 | % | $ | 12,120,766 | 3.36 | % | ||||||||
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March 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of Total | Amount | of Total | |||||||||||||
Real Estate: | ||||||||||||||||
Fixed medium-term single-family mortgages | $ | 370,316 | 28.72 | % | $ | 388,072 | 29.43 | % | ||||||||
Fixed long-term single-family mortgages | 915,447 | 70.98 | 926,856 | 70.27 | ||||||||||||
Multi-family mortgages | 3,881 | 0.30 | 3,908 | 0.30 | ||||||||||||
Total par value | 1,289,644 | 100.00 | % | 1,318,836 | 100.00 | % | ||||||||||
Unamortized premiums | 8,853 | 9,095 | ||||||||||||||
Unamortized discounts | (5,209 | ) | (5,425 | ) | ||||||||||||
Basis adjustment1 | (339 | ) | (461 | ) | ||||||||||||
Total mortgage loans held-for-portfolio | 1,292,949 | 1,322,045 | ||||||||||||||
Allowance for credit losses | (5,179 | ) | (4,498 | ) | ||||||||||||
Total mortgage loans held-for-portfolio after allowance for credit losses | $ | 1,287,770 | $ | 1,317,547 | ||||||||||||
1 | Represents fair value basis of open and closed delivery commitments. |
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March 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Fixed-rate, non-callable | $ | 46,480,125 | 64.82 | % | $ | 48,647,625 | 66.31 | % | ||||||||
Fixed-rate, callable | 9,959,800 | 13.89 | 8,374,800 | 11.42 | ||||||||||||
Step Up, non-callable | — | — | 53,000 | 0.07 | ||||||||||||
Step Up, callable | 2,871,000 | 4.01 | 3,305,000 | 4.51 | ||||||||||||
Single-index floating rate | 12,392,500 | 17.28 | 12,977,500 | 17.69 | ||||||||||||
Total par value | 71,703,425 | 100.00 | % | 73,357,925 | 100.00 | % | ||||||||||
Bond premiums | 108,123 | 112,866 | ||||||||||||||
Bond discounts | (31,714 | ) | (33,852 | ) | ||||||||||||
Fair value basis adjustments | 619,530 | 572,537 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 3,226 | 2,761 | ||||||||||||||
Fair value option valuation adjustments and accrued interest | 5,613 | (4,259 | ) | |||||||||||||
Total bonds | $ | 72,408,203 | $ | 74,007,978 | ||||||||||||
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• | Discount notes— Discount notes outstanding at March 31, 2010 stood at $19.8 billion, averaging $24.6 billion in the 2010 first quarter. In contrast, at December 31, 2009, discount notes totaled $30.8 billion, averaging $41.5 billion in 2009. | ||
The FHLBNY has also stopped it’s issuance of overnight discount notes, in part because of shortage of a ready source of a risk-free overnight asset to fund profitably, in part as a result of worsening pricing of overnight discount note, and in part because the FHLBNY has determined that term discount notes would better match its regulatory liquidity profile. | |||
• | Floating rate bonds— Floating-rate bonds have declined steadily through the four quarters in 2009 and in the 2010 first quarter. Generally, maturing bonds were not replaced because of marketplace perception of a pricing advantage of comparable GSE issued LIBOR-indexed floaters. FHLBank floating-rate bonds outstanding at March 31, 2010 totaled $12.4 billion, consisting primarily of LIBOR-indexed bonds. Outstanding amounts also included $4.6 billion of bonds indexed to the Prime and the Federal funds effective rates. By executing interest rate swaps concurrently with the issuances of the floating-rate bonds and swapping the non 3-month LIBOR indices for 3-month LIBOR, the Bank effectively created variable funding that was indexed to 3-month LIBOR. | ||
• | Non-callable bonds— Non-callable bonds were the primary funding vehicle for the FHLBNY in the 2010 first quarter and in 2009. Issuances of non-callable debt are predicated partly on pricing of such debt and investor demand, and partly on the need to achieve asset/liability management goals. The Bank has made a strong effort to issue fixed-rate longer-term debt and lock-in the relative low rates in the current interest-rate environment. This has been a challenge as investor appetite for term debt has continued to be lukewarm, given investor preference for discount notes, short-term bullets and short lock-out callable debt. | ||
• | Callable-bonds— In the 2010 first quarter, investors were receptive to the FHLBank callable bonds as an alternative to comparable debt available in the capital markets. Execution pricing of short duration callable bonds, relative to 3-month LIBOR, did not fare as poorly as discount notes with equivalent term to maturity. Fixed-rate callable bonds with a one-year maturity and a short lockout call option has been the more popular FHLBank bond structure in the 2010 first quarter. Responding to investor preference, the FHLBNY has issued short lockout callables, with call dates as short as 3 months from issue date. Such debt structures offer an alternative at an attractive pricing to similar maturity discount notes. FHLBank longer-term fixed-rate callable-bonds have not been an attractive investment asset for investors over the last several years, and continued to be under price pressure in the 2010 first quarter. |
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• | 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. |
• | 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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Floating-rate debt— At March 31, 2010 and at December 31, 2009, the FHLBNY had hedged $6.1 billion and $8.0 billion of floating-rate bonds that were indexed to interest rates other than 3-month LIBOR by entering into swap agreements with derivative counterparties that synthetically converted the floating rate debt cash flows to 3-month LIBOR. |
Fixed-rate debt— At March 31, 2010 and December 31, 2009, the FHLBNY had hedged $13.5 billion and $13.1 billion of short-term fixed-rate debt compared. |
FVO economic hedge— At March 31, 2010 and December 31, 2009, the FHLBNY had hedged $6.8 billion and $6.0 billion of short-term bonds designated under the FVO. |
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March 31, 2010 | December 31, 2009 | |||||||
Par value | $ | 19,821,867 | $ | 30,838,104 | ||||
Amortized cost | $ | 19,815,956 | $ | 30,827,639 | ||||
Fair value basis adjustments | — | — | ||||||
Total | $ | 19,815,956 | $ | 30,827,639 | ||||
Weighted average interest rate | 0.15 | % | 0.15 | % | ||||
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Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Beginning balance | $ | 126,294 | $ | 143,121 | ||||
Capital stock subject to mandatory redemption reclassified from equity | 1,410 | — | ||||||
Redemption of mandatorily redeemable capital stock1 | (22,512 | ) | (3,160 | ) | ||||
Ending balance | $ | 105,192 | $ | 139,961 | ||||
Accrued interest payable | $ | 1,495 | $ | 1,058 | ||||
1 | Redemption includes repayment of excess stock. (The annualized accrual rates were 5.60% for March 31, 2010 and 3.00% for March 31, 2009.) |
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December 31, 2009 | ||||||||||||
March 31, 2010 Notional | Notional Amount | |||||||||||
Derivatives/Terms | Hedging Strategy | Accounting Designation | Amount (in millions) | (in millions) | ||||||||
Pay fixed, receive floating interest rate swap | To convert fixed rate on a fixed rate advance to a LIBOR floating rate | Economic Hedge of fair value risk | $ | 107 | $ | 123 | ||||||
Pay fixed, receive floating interest rate swap cancelable by counterparty | To convert fixed rate on a fixed rate advance to a LIBOR floating rate putable advance | Fair Value Hedge | $ | 37,361 | $ | 40,252 | ||||||
Pay fixed, receive floating interest rate swap no longer cancelable by counterparty | To convert fixed rate on a fixed rate advance to a LIBOR floating rate no-longer putable | Fair Value Hedge | $ | 2,533 | $ | 2,283 | ||||||
Pay fixed, receive floating interest rate swap non-cancelable | To convert fixed rate on a fixed rate advance to a LIBOR floating rate non-putable | Fair Value Hedge | $ | 23,387 | $ | 23,367 | ||||||
Purchased interest rate cap | To offset the cap embedded in the variable rate advance | Economic Hedge of fair value risk | $ | 278 | $ | 390 | ||||||
Receive fixed, pay floating interest rate swap | To convert fixed rate consolidated obligation bond debt to a LIBOR floating rate | Economic Hedge of fair value risk | $ | 13,483 | $ | 13,113 | ||||||
Receive fixed, pay floating interest rate swap cancelable by counterparty | To convert fixed rate consolidated obligation bond debt to a LIBOR floating rate callable bond | Fair Value Hedge | $ | 7,996 | $ | 6,785 | ||||||
Receive fixed, pay floating interest rate swap no longer cancelable | To convert fixed rate consolidated obligation bond debt to a LIBOR floating rate no-longer callable | Fair Value Hedge | $ | 290 | $ | 108 | ||||||
Receive fixed, pay floating interest rate swap non-cancelable | To convert fixed rate consolidated obligation bond debt to a LIBOR floating rate non-callable | Fair Value Hedge | $ | 24,554 | $ | 25,982 | ||||||
Receive fixed, pay floating interest rate swap (non-callable) | To convert the fixed rate consolidated obligation discount note debt to a LIBOR floating rate | Economic Hedge of fair value risk | $ | 1,664 | $ | 3,784 | ||||||
Pay fixed, receive LIBOR interest rate swap | To offset the variability of cash flows associated with interest payments on forecasted issuance of fixed rate consolidated obligation debt | Cash flow hedge | $ | 150 | $ | — | ||||||
Basis swap | To convert non-LIBOR index to LIBOR to reduce interest rate sensitivity and repricing gaps | Economic Hedge of cash flows | $ | 4,625 | $ | 6,035 | ||||||
Basis swap | To convert 1M LIBOR index to 3M LIBOR to reduce interest rate sensitivity and repricing gaps | Economic Hedge of cash flows | $ | 1,450 | $ | 1,950 | ||||||
Receive fixed, pay floating interest rate swap cancelable by counterparty | Fixed rate callable bond converted to a LIBOR floating rate; matched to callable bond accounted for under fair value option | Fair Value Option | $ | 6,425 | $ | 5,690 | ||||||
Receive fixed, pay floating interest rate swap non-cancelable | Fixed rate callable bond converted to a LIBOR floating rate; matched to non-callable bond accounted for under fair value option | Fair Value Option | $ | 350 | $ | 350 | ||||||
Pay fixed, receive floating interest rate swap | Economic hedge on the Balance Sheet | Economic Hedge | $ | — | $ | 1,050 | ||||||
Receive fixed, pay floating interest rate swap | Economic hedge on the Balance Sheet | Economic Hedge | $ | — | $ | 1,050 | ||||||
Purchased interest rate cap | Economic hedge on the Balance Sheet | Economic Hedge | $ | 1,892 | $ | 1,892 | ||||||
Intermediary positions Interest rate swaps and caps | To offset interest rate swaps and caps executed with members by executing offsetting derivatives with counterparties | Economic Hedge of fair value risk | $ | 330 | $ | 320 |
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March 31, 2010 | December 31, 2009 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Notional | Fair Value | Notional | Fair Value | |||||||||||||
Interest rate swaps | ||||||||||||||||
Derivatives in fair value hedging relationships | $ | 96,121,663 | $ | (3,159,736 | ) | $ | 98,776,447 | $ | (3,056,718 | ) | ||||||
Derivatives in cash flow hedging relationships | 150,000 | 324 | — | — | ||||||||||||
Derivatives not designated as hedging instruments | 21,328,821 | 21,284 | 27,104,963 | 31,723 | ||||||||||||
Derivatives matching bonds designated under FVO | 6,775,000 | 4,006 | 6,040,000 | (2,632 | ) | |||||||||||
Interest rate caps/floors | ||||||||||||||||
Economic-fair value changes | 2,170,000 | 41,067 | 2,282,000 | 71,494 | ||||||||||||
Mortgage delivery commitments (MPF) | ||||||||||||||||
Economic-fair value changes | 3,249 | 9 | 4,210 | (39 | ) | |||||||||||
Other | ||||||||||||||||
Intermediation | 330,000 | 349 | 320,000 | 352 | ||||||||||||
Total | $ | 126,878,733 | $ | (3,092,697 | ) | $ | 134,527,620 | $ | (2,955,820 | ) | ||||||
Total derivatives, excluding accrued interest | $ | (3,092,697 | ) | $ | (2,955,820 | ) | ||||||||||
Cash collateral pledged to counterparties | 2,233,154 | 2,237,028 | ||||||||||||||
Cash collateral received from counterparties | — | — | ||||||||||||||
Accrued interest | 17,878 | (19,104 | ) | |||||||||||||
Net derivative balance | $ | (841,665 | ) | $ | (737,896 | ) | ||||||||||
Net derivative asset balance | $ | 9,246 | $ | 8,280 | ||||||||||||
Net derivative liability balance | (850,911 | ) | (746,176 | ) | ||||||||||||
Net derivative balance | $ | (841,665 | ) | $ | (737,896 | ) | ||||||||||
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March 31, 2010 | December 31, 2009 | |||||||||||||||
Total estimated | Total estimated | |||||||||||||||
fair value | fair value | |||||||||||||||
(excluding | (excluding | |||||||||||||||
Total notional | accrued | Total notional | accrued | |||||||||||||
amount | interest) | amount | interest) | |||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||
Advances-fair value hedges | $ | 63,281,383 | $ | (3,774,203 | ) | $ | 65,901,667 | $ | (3,622,141 | ) | ||||||
Consolidated obligations-fair value hedges | 32,840,280 | 614,467 | 32,874,780 | 565,423 | ||||||||||||
Cash Flow-anticipated transactions | 150,000 | 324 | — | — | ||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||
Advances-economic hedges | 385,308 | (960 | ) | 513,089 | (196 | ) | ||||||||||
Consolidated obligations-economic hedges | 21,221,513 | 22,244 | 24,881,874 | 36,954 | ||||||||||||
MPF loan-commitments | 3,249 | 9 | 4,210 | (39 | ) | |||||||||||
Balance sheet | 1,892,000 | 41,067 | 1,892,000 | 71,494 | ||||||||||||
Intermediary positions-economic hedges | 330,000 | 349 | 320,000 | 352 | ||||||||||||
Balance sheet-macro hedges swaps | — | — | 2,100,000 | (5,035 | ) | |||||||||||
Derivatives matching bonds designated under FVO | ||||||||||||||||
Interest rate swaps-consolidated obligations-bonds | 6,775,000 | 4,006 | 6,040,000 | (2,632 | ) | |||||||||||
Total notional and fair value | $ | 126,878,733 | $ | (3,092,697 | ) | $ | 134,527,620 | $ | (2,955,820 | ) | ||||||
Total derivatives, excluding accrued interest | $ | (3,092,697 | ) | $ | (2,955,820 | ) | ||||||||||
Cash collateral pledged to counterparties | 2,233,154 | 2,237,028 | ||||||||||||||
Cash collateral received from counterparties | — | — | ||||||||||||||
Accrued interest | 17,878 | (19,104 | ) | |||||||||||||
Net derivative balance | $ | (841,665 | ) | $ | (737,896 | ) | ||||||||||
Net derivative asset balance | $ | 9,246 | $ | 8,280 | ||||||||||||
Net derivative liability balance | (850,911 | ) | (746,176 | ) | ||||||||||||
Net derivative balance | $ | (841,665 | ) | $ | (737,896 | ) | ||||||||||
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March 31, | December 31, | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||||||
Advances | $ | 88,858,753 | $ | 94,348,751 | $ | 109,152,876 | $ | 82,089,667 | $ | 59,012,394 | $ | 61,901,534 | ||||||||||||
Mortgage loans before allowance for credit losses | $ | 1,292,949 | $ | 1,322,045 | $ | 1,459,291 | $ | 1,492,261 | $ | 1,484,012 | $ | 1,467,525 | ||||||||||||
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• | Allows a member to retain possession of the collateral assigned to the FHLBNY, if the member executes a written security agreement and agrees to hold such collateral for the benefit of the FHLBNY; or |
• | Requires the member specifically to assign or place physical possession of such collateral with the FHLBNY or its safekeeping agent. |
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Underlying Collateral for Advances | ||||||||||||||||
Securities and | ||||||||||||||||
Advances1 | Mortgage Loans2 | Deposits2 | Total2 | |||||||||||||
March 31, 2010 | $ | 85,095,176 | $ | 113,332,385 | $ | 45,498,603 | $ | 158,830,988 | ||||||||
December 31, 2009 | $ | 90,737,700 | $ | 111,346,235 | $ | 49,564,456 | $ | 160,910,691 |
Note1 | Par value | |
Note2 | Estimate market value |
Underlying Collateral for Other Obligations | ||||||||||||||||
Other | Securities and | |||||||||||||||
Obligations1 | Mortgage Loans2 | Deposits2 | Total 2 | |||||||||||||
March 31, 2010 | $ | 828,455 | $ | 2,356,438 | $ | 228,683 | $ | 2,585,121 | ||||||||
December 31, 2009 | $ | 720,622 | $ | 2,257,204 | $ | 126,970 | $ | 2,384,174 |
Note1 | Standby financial letters of credit, derivatives and members’ credit enhancement guarantee amount (“MPFCE”) | |
Note2 | Estimated market value |
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Estimated Market Values | ||||||||||||||||
Collateral in | Collateral | |||||||||||||||
Physical | Specifically | Collateral | Total Collateral | |||||||||||||
Possession | Listed | Pledged for AHP | Received | |||||||||||||
March 31, 2010 | $ | 53,776,322 | $ | 107,716,374 | $ | (76,587 | ) | $ | 161,416,109 | |||||||
December 31, 2009 | $ | 57,660,864 | $ | 105,714,763 | $ | (80,762 | ) | $ | 163,294,865 |
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March 31, 2010 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | |||||||||||||||
City | State | Advances | of Advances | Interest Income | ||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,275,000 | 20.3 | % | $ | 174,759 | ||||||||
Metropolitan Life Insurance Company | New York | NY | 13,555,000 | 15.9 | 72,407 | |||||||||||
New York Community Bank* | Westbury | NY | 7,343,172 | 8.6 | 75,913 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 4,755,523 | 5.6 | 11,754 | |||||||||||
The Prudential Insurance Company of America | Newark | NJ | 3,500,000 | 4.1 | 21,577 | |||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 2,984,000 | 3.5 | 28,487 | |||||||||||
Valley National Bank | Wayne | NJ | 2,271,500 | 2.7 | 24,716 | |||||||||||
Doral Bank | San Juan | PR | 2,119,420 | 2.5 | 19,258 | |||||||||||
New York Life Insurance Company | New York | NY | 2,000,000 | 2.4 | 3,075 | |||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 1,894,500 | 2.2 | 11,693 | |||||||||||
Total | $ | 57,698,115 | 67.8 | % | $ | 443,639 | ||||||||||
* | Officer of member bank also served on the Board of Directors of the FHLBNY. |
December 31, 2009 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | |||||||||||||||
City | State | Advances | of Advances | Interest Income | ||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,275,000 | 19.0 | % | $ | 710,900 | ||||||||
Metropolitan Life Insurance Company | New York | NY | 13,680,000 | 15.1 | 356,120 | |||||||||||
New York Community Bank* | Westbury | NY | 7,343,174 | 8.1 | 310,991 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 5,005,641 | 5.5 | 97,628 | |||||||||||
The Prudential Insurance Company of America | Newark | NJ | 3,500,000 | 3.9 | 93,601 | |||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 3,000,000 | 3.3 | 120,870 | |||||||||||
Emigrant Bank | New York | NY | 2,475,000 | 2.7 | 64,131 | |||||||||||
Doral Bank | San Juan | PR | 2,473,420 | 2.7 | 86,389 | |||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 2,430,500 | 2.7 | 46,142 | |||||||||||
Valley National Bank | Wayne | NJ | 2,322,500 | 2.6 | 103,707 | |||||||||||
Total | $ | 59,505,235 | 65.6 | % | $ | 1,990,479 | ||||||||||
* | At December 31, 2009, officer of member bank also served on the Board of Directors of the FHLBNY. |
March 31, 2009 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | |||||||||||||||
City | State | Advances | of Advances | Interest Income | ||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,575,000 | 17.7 | % | $ | 176,070 | ||||||||
Metropolitan Life Insurance Company | New York | NY | 15,105,000 | 15.2 | 103,306 | |||||||||||
New York Community Bank* | Westbury | NY | 8,143,214 | 8.2 | 77,380 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 7,479,282 | 7.5 | 36,499 | |||||||||||
The Prudential Insurance Company of America | Newark | NJ | 4,500,000 | 4.5 | 24,618 | |||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 3,812,000 | 3.8 | 10,811 | |||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 3,110,000 | 3.1 | 31,667 | |||||||||||
Emigrant Bank | New York | NY | 2,475,000 | 2.5 | 15,925 | |||||||||||
Valley National Bank | Wayne | NJ | 2,445,500 | 2.5 | 27,178 | |||||||||||
Doral Bank | San Juan | PR | 2,334,500 | 2.3 | 22,298 | |||||||||||
Total | $ | 66,979,496 | 67.3 | % | $ | 525,752 | ||||||||||
* | At March 31, 2009, officer of member bank also served on the Board of Directors of the FHLBNY. |
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March 31, | December 31, | Dollar | Percentage | |||||||||||||
2010 | 2009 | Variance | Variance | |||||||||||||
State and local housing finance agency obligations1 | $ | 749,841 | $ | 751,751 | $ | (1,910 | ) | (0.25 | )% | |||||||
Mortgage-backed securities | ||||||||||||||||
Available-for-sale securities, at fair value | 2,641,921 | 2,240,564 | 401,357 | 17.91 | ||||||||||||
Held-to-maturity securities, at carrying value | 9,026,441 | 9,767,531 | (741,090 | ) | (7.59 | ) | ||||||||||
12,418,203 | 12,759,846 | (341,643 | ) | (2.68 | ) | |||||||||||
Grantor trusts2 | 12,893 | 12,589 | 304 | 2.41 | ||||||||||||
Federal funds sold | 3,130,000 | 3,450,000 | (320,000 | ) | (9.28 | ) | ||||||||||
Total investments | $ | 15,561,096 | $ | 16,222,435 | $ | (661,339 | ) | (4.08 | )% | |||||||
1 | Classified as held-to-maturity securities, at carrying 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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NRSRO Ratings — March 31, 2010 | ||||||||||||||||||||||||
Below | ||||||||||||||||||||||||
Carrying | Investment | |||||||||||||||||||||||
Issued, guaranteed or insured: | Value | AAA | AA | A | BBB | Grade | ||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||
Fannie Mae | $ | 1,081,039 | $ | 1,081,039 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Freddie Mac | 307,168 | 307,168 | — | — | — | — | ||||||||||||||||||
Total pools of mortgages | 1,388,207 | 1,388,207 | — | — | — | — | ||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||
Fannie Mae | 2,406,059 | 2,406,059 | — | — | — | — | ||||||||||||||||||
Freddie Mac | 3,854,479 | 3,854,479 | — | — | — | — | ||||||||||||||||||
Ginnie Mae | 150,882 | 150,882 | — | — | — | — | ||||||||||||||||||
Total CMOs/REMICs | 6,411,420 | 6,411,420 | — | — | — | — | ||||||||||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||||||||||
Freddie Mac | 174,048 | 174,048 | — | — | — | — | ||||||||||||||||||
Ginnie Mae | 49,342 | 49,342 | — | — | — | — | ||||||||||||||||||
Total commercial mortgage-backed securities | 223,390 | 223,390 | — | — | — | — | ||||||||||||||||||
Non-GSE MBS | ||||||||||||||||||||||||
CMOs/REMICs | 407,552 | 291,168 | 11,664 | 34,219 | — | 70,501 | ||||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||
Manufactured housing loans (insured) | 195,700 | — | 103,020 | 92,680 | — | — | ||||||||||||||||||
Home equity loans (insured) | 219,345 | 10,297 | 71,014 | 26,857 | 25,346 | 85,831 | ||||||||||||||||||
Home equity loans (uninsured) | 180,827 | 163,922 | 12,532 | — | 4,373 | — | ||||||||||||||||||
Total asset-backed securities | 595,872 | 174,219 | 186,566 | 119,537 | 29,719 | 85,831 | ||||||||||||||||||
Total mortgage-backed securities | $ | 9,026,441 | $ | 8,488,404 | $ | 198,230 | $ | 153,756 | $ | 29,719 | $ | 156,332 | ||||||||||||
Other | ||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 749,841 | $ | 72,172 | $ | 600,019 | $ | 21,430 | $ | 56,220 | $ | — | ||||||||||||
Total other | $ | 749,841 | $ | 72,172 | $ | 600,019 | $ | 21,430 | $ | 56,220 | $ | — | ||||||||||||
Total Held-to-maturity securities | $ | 9,776,282 | $ | 8,560,576 | $ | 798,249 | $ | 175,186 | $ | 85,939 | $ | 156,332 | ||||||||||||
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NRSRO Ratings — December 31, 2009 | ||||||||||||||||||||||||
Below | ||||||||||||||||||||||||
Carrying | Investment | |||||||||||||||||||||||
Issued, guaranteed or insured: | Value | AAA | AA | A | BBB | Grade | ||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||
Fannie Mae | $ | 1,137,514 | $ | 1,137,514 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Freddie Mac | 335,369 | 335,369 | — | — | — | — | ||||||||||||||||||
Total pools of mortgages | 1,472,883 | 1,472,883 | — | — | — | — | ||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||
Fannie Mae | 2,609,254 | 2,609,254 | — | — | — | — | ||||||||||||||||||
Freddie Mac | 4,400,002 | 4,400,002 | — | — | — | — | ||||||||||||||||||
Ginnie Mae | 171,531 | 171,531 | — | — | — | — | ||||||||||||||||||
Total CMOs/REMICs | 7,180,787 | 7,180,787 | — | — | — | — | ||||||||||||||||||
Ginnie Mae-CMBS | 49,526 | 49,526 | — | — | — | — | ||||||||||||||||||
Non-GSE MBS | ||||||||||||||||||||||||
CMOs/REMICs | 444,906 | 319,583 | 12,510 | 38,332 | — | 74,481 | ||||||||||||||||||
Commercial mortgage-backed securities | — | — | — | — | — | — | ||||||||||||||||||
Total non-federal-agency MBS | 444,906 | 319,583 | 12,510 | 38,332 | — | 74,481 | ||||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||
Manufactured housing loans (insured) | 202,278 | — | 202,278 | — | — | — | ||||||||||||||||||
Home equity loans (insured) | 227,834 | 10,399 | 71,653 | 27,589 | 26,657 | 91,536 | ||||||||||||||||||
Home equity loans (uninsured) | 189,317 | 171,840 | 12,873 | — | 4,604 | — | ||||||||||||||||||
Total asset-backed securities | 619,429 | 182,239 | 286,804 | 27,589 | 31,261 | 91,536 | ||||||||||||||||||
Total mortgage-backed securities | $ | 9,767,531 | $ | 9,205,018 | $ | 299,314 | $ | 65,921 | $ | 31,261 | $ | 166,017 | ||||||||||||
Other | ||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 751,751 | $ | 72,992 | $ | 601,109 | $ | 21,430 | $ | 56,220 | $ | — | ||||||||||||
Total other | $ | 751,751 | $ | 72,992 | $ | 601,109 | $ | 21,430 | $ | 56,220 | $ | — | ||||||||||||
Total Held-to-maturity securities | $ | 10,519,282 | $ | 9,278,010 | $ | 900,423 | $ | 87,351 | $ | 87,481 | $ | 166,017 | ||||||||||||
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NRSRO Ratings — March 31, 2010 | ||||||||||||||||
Issued, guaranteed or insured: | Fair Value | AAA | AA | A | ||||||||||||
Pools of Mortgages | ||||||||||||||||
Fannie Mae | $ | — | $ | — | $ | — | $ | — | ||||||||
Freddie Mac | — | — | — | — | ||||||||||||
Total pools of mortgages | — | — | — | — | ||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||
Fannie Mae | 1,949,487 | 1,949,487 | — | — | ||||||||||||
Freddie Mac | 692,434 | 692,434 | — | — | ||||||||||||
Ginnie Mae | — | — | — | — | ||||||||||||
Total CMOs/REMICs | 2,641,921 | 2,641,921 | — | — | ||||||||||||
Non-GSE MBS | ||||||||||||||||
CMOs/REMICs | — | — | — | — | ||||||||||||
Commercial mortgage-backed securities | — | — | — | — | ||||||||||||
Total non-federal-agency MBS | — | — | — | — | ||||||||||||
Asset-Backed Securities | ||||||||||||||||
Manufactured housing loans (insured) | — | — | — | — | ||||||||||||
Home equity loans (insured) | — | — | — | — | ||||||||||||
Home equity loans (uninsured) | — | — | — | — | ||||||||||||
Total asset-backed securities | — | — | — | — | ||||||||||||
Total AFS mortgage-backed securities | $ | 2,641,921 | $ | 2,641,921 | $ | — | $ | — | ||||||||
Other | ||||||||||||||||
Fixed income funds, equity funds and cash equivalents* | $ | 12,893 | ||||||||||||||
Total Available-for-sale securities | $ | 2,654,814 | ||||||||||||||
* | Unrated |
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NRSRO Ratings — December 31, 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 | 1,544,500 | 1,544,500 | — | — | ||||||||||||
Freddie Mac | 696,064 | 696,064 | — | — | ||||||||||||
Ginnie Mae | — | — | — | — | ||||||||||||
Total CMOs/REMICs | 2,240,564 | 2,240,564 | — | — | ||||||||||||
Non-GSE MBS | ||||||||||||||||
CMOs/REMICs | — | — | — | — | ||||||||||||
Commercial mortgage-backed securities | — | — | — | — | ||||||||||||
Total non-federal-agency MBS | — | — | — | — | ||||||||||||
Asset-Backed Securities | ||||||||||||||||
Manufactured housing loans (insured) | — | — | — | — | ||||||||||||
Home equity loans (insured) | — | — | — | — | ||||||||||||
Home equity loans (uninsured) | — | — | — | — | ||||||||||||
Total asset-backed securities | — | — | — | — | ||||||||||||
Total AFS mortgage-backed securities | $ | 2,240,564 | $ | 2,240,564 | $ | — | $ | — | ||||||||
Other | ||||||||||||||||
Fixed income funds, equity funds and cash equivalents* | $ | 12,589 | ||||||||||||||
Total Available-for-sale securities | $ | 2,253,153 | ||||||||||||||
* | Unrated |
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March 31, | Percentage | December 31, | Percentage | |||||||||||||
2010 | of total | 2009 | of total | |||||||||||||
U.S. government sponsored enterprise residential mortgage-backed securities | ||||||||||||||||
Fannie Mae | $ | 3,487,098 | 38.63 | % | $ | 3,746,768 | 38.36 | % | ||||||||
Freddie Mac | 4,161,647 | 46.10 | 4,735,371 | 48.48 | ||||||||||||
U.S. agency residential mortgage-backed securities | 150,882 | 1.67 | 171,531 | 1.76 | ||||||||||||
U.S. government sponsored enterprise commercial mortgage-backed securities | 174,048 | 1.93 | — | — | ||||||||||||
U.S. agency commercial mortgage-backed securities | 49,342 | 0.55 | 49,526 | 0.51 | ||||||||||||
Private-label issued securities | 1,003,424 | 11.12 | 1,064,335 | 10.89 | ||||||||||||
Total Held-to-maturity securities-mortgage-backed securities | $ | 9,026,441 | 100.00 | % | $ | 9,767,531 | 100.00 | % | ||||||||
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March 31, 2010 | December 31, 2009 | |||||||||||||||||||||||
Variable | Variable | |||||||||||||||||||||||
Private-label MBS | Fixed Rate | Rate | Total | Fixed Rate | Rate | Total | ||||||||||||||||||
Private-label RMBS | ||||||||||||||||||||||||
Prime | $ | 398,651 | $ | 4,259 | $ | 402,910 | $ | 435,913 | $ | 4,359 | $ | 440,272 | ||||||||||||
Alt-A | 6,915 | 3,584 | 10,499 | 7,229 | 3,713 | 10,942 | ||||||||||||||||||
Total PL RMBS | 405,566 | 7,843 | 413,409 | 443,142 | 8,072 | 451,214 | ||||||||||||||||||
Private-label CMBS | ||||||||||||||||||||||||
Prime | — | — | — | — | — | — | ||||||||||||||||||
Total PL CMBS | — | — | — | — | — | — | ||||||||||||||||||
Home Equity Loans | ||||||||||||||||||||||||
Subprime | 425,381 | 103,087 | 528,468 | 437,042 | 108,801 | 545,843 | ||||||||||||||||||
Total Home Equity Loans | 425,381 | 103,087 | 528,468 | 437,042 | 108,801 | 545,843 | ||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||
Subprime | 195,721 | — | 195,721 | 202,299 | — | 202,299 | ||||||||||||||||||
Total Manufactured Housing Loans | 195,721 | — | 195,721 | 202,299 | — | 202,299 | ||||||||||||||||||
Total UPB of private-label MBS | $ | 1,026,668 | $ | 110,930 | $ | 1,137,598 | $ | 1,082,483 | $ | 116,873 | $ | 1,199,356 | ||||||||||||
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March 31, 2010 | ||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | OTTI | ||||||||||||||||||||||||||
Security | Fair | Fair | Credit | Non-credit | ||||||||||||||||||||||||
Classification | Count | UPB | Value | UPB | Value | Loss | Loss | |||||||||||||||||||||
RMBS-Prime* | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
HEL Subprime* | 5 | 21,637 | 9,730 | 45,476 | 26,015 | (3,400 | ) | (473 | ) | |||||||||||||||||||
Total | 5 | $ | 21,637 | $ | 9,730 | $ | 45,476 | $ | 26,015 | $ | (3,400 | ) | $ | (473 | ) | |||||||||||||
* | RMBS-Prime — Private-label MBS supported by prime residential loans; HEL Subprime — MBS supported by home equity loans. |
AMBAC | MBIA | FSA* | ||||||||||||||||||||||
Unrealized | Unrealized | Unrealized | ||||||||||||||||||||||
Private-label MBS | UPB | Losses | UPB | Losses | UPB | Losses | ||||||||||||||||||
HEL | ||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
2004 and earlier | $ | 203,201 | $ | (51,513 | ) | $ | 36,666 | $ | (10,881 | ) | $ | 78,568 | $ | (7,373 | ) | |||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
2004 and earlier | — | — | — | — | 195,721 | (35,830 | ) | |||||||||||||||||
Total of all Private-label MBS | $ | 203,201 | $ | (51,513 | ) | $ | 36,666 | $ | (10,881 | ) | $ | 274,289 | $ | (43,203 | ) | |||||||||
* | Assured Guaranty Municipal Trust (formerly FSA) |
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March 31, 2010 | ||||||||||||||||||||||||||||||||||||||||
Unpaid Principal Balance | ||||||||||||||||||||||||||||||||||||||||
Below | Gross | |||||||||||||||||||||||||||||||||||||||
Ratings | Investment | Amortized | Unrealized | Total OTTI | ||||||||||||||||||||||||||||||||||||
Private-label MBS | Subtotal | Triple-A | Double-A | Single-A | Triple-B | Grade | Cost | (Losses) | Fair Value | Losses | ||||||||||||||||||||||||||||||
RMBS | ||||||||||||||||||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||||||||||||||||||
2006 | $ | 58,353 | $ | — | $ | — | $ | 34,537 | $ | — | $ | 23,816 | $ | 57,804 | $ | (2,003 | ) | $ | 55,801 | $ | — | |||||||||||||||||||
2005 | 77,611 | 26,782 | — | — | — | 50,829 | 75,717 | (1,047 | ) | 74,670 | — | |||||||||||||||||||||||||||||
2004 and earlier | 266,946 | 255,046 | 11,900 | — | — | — | 265,817 | (2,126 | ) | 264,790 | — | |||||||||||||||||||||||||||||
Total RMBS Prime | 402,910 | 281,828 | 11,900 | 34,537 | — | 74,645 | 399,338 | (5,176 | ) | 395,261 | — | |||||||||||||||||||||||||||||
Alt-A | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 10,499 | 10,499 | — | — | — | — | 10,501 | (838 | ) | 9,665 | — | |||||||||||||||||||||||||||||
Total RMBS | 413,409 | 292,327 | 11,900 | 34,537 | — | 74,645 | 409,839 | (6,014 | ) | 404,926 | — | |||||||||||||||||||||||||||||
HEL | ||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 528,468 | 196,435 | 90,545 | 47,357 | 41,153 | 152,978 | 504,497 | (116,722 | ) | 387,775 | (3,873 | ) | ||||||||||||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 195,721 | — | 103,041 | 92,680 | — | — | 195,700 | (35,830 | ) | 159,870 | — | |||||||||||||||||||||||||||||
Total PLMBS | $ | 1,137,598 | $ | 488,762 | $ | 205,486 | $ | 174,574 | $ | 41,153 | $ | 227,623 | $ | 1,110,036 | $ | (158,566 | ) | $ | 952,571 | $ | (3,873 | ) | ||||||||||||||||||
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December 31, 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 | $ | 63,276 | $ | — | $ | — | $ | 38,689 | $ | — | $ | 24,587 | $ | 62,654 | $ | (2,396 | ) | $ | 60,258 | $ | — | |||||||||||||||||||
2005 | 82,982 | 28,687 | — | — | — | 54,295 | 80,996 | (1,708 | ) | 79,288 | (3,204 | ) | ||||||||||||||||||||||||||||
2004 and earlier | 294,014 | 281,240 | 12,774 | — | — | — | 292,773 | (3,696 | ) | 289,958 | — | |||||||||||||||||||||||||||||
Total RMBS Prime | 440,272 | 309,927 | 12,774 | 38,689 | — | 78,882 | 436,423 | (7,800 | ) | 429,504 | (3,204 | ) | ||||||||||||||||||||||||||||
Alt-A | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 10,942 | 10,942 | — | — | — | — | 10,944 | (938 | ) | 10,006 | — | |||||||||||||||||||||||||||||
Total RMBS | 451,214 | 320,869 | 12,774 | 38,689 | — | 78,882 | 447,367 | (8,738 | ) | 439,510 | (3,204 | ) | ||||||||||||||||||||||||||||
HEL | ||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 545,843 | 205,480 | 91,782 | 48,838 | 43,035 | 156,708 | 525,260 | (151,818 | ) | 373,442 | (137,708 | ) | ||||||||||||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 202,299 | — | 202,299 | — | — | — | 202,278 | (37,101 | ) | 165,177 | — | |||||||||||||||||||||||||||||
Total PLMBS | $ | 1,199,356 | $ | 526,349 | $ | 306,855 | $ | 87,527 | $ | 43,035 | $ | 235,590 | $ | 1,174,905 | $ | (197,657 | ) | $ | 978,129 | $ | (140,912 | ) | ||||||||||||||||||
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March 31, 2010 | ||||||||||||
Original | ||||||||||||
Weighted- | Weighted- | Weighted-Average | ||||||||||
Average Credit | Average Credit | Collateral | ||||||||||
Private-label MBS | Support % | Support % | Delinquency % | |||||||||
RMBS | ||||||||||||
Prime | ||||||||||||
2006 | 3.84 | % | 5.41 | % | 6.38 | % | ||||||
2005 | 2.67 | 3.95 | 3.45 | |||||||||
2004 and earlier | 1.56 | 2.93 | 0.82 | |||||||||
Total RMBS Prime | 2.11 | 3.49 | 2.14 | |||||||||
Alt-A | ||||||||||||
2004 and earlier | 10.97 | 32.68 | 12.55 | |||||||||
Total RMBS | 2.33 | 4.23 | 2.40 | |||||||||
HEL | ||||||||||||
Subprime | ||||||||||||
2004 and earlier | 58.06 | 65.44 | 17.76 | |||||||||
Manufactured Housing Loans | ||||||||||||
Subprime | ||||||||||||
2004 and earlier | 100.00 | 100.00 | 3.22 | |||||||||
Total Private-label MBS | 45.02 | % | 49.14 | % | 9.67 | % | ||||||
December 31, 2009 | ||||||||||||
Original | ||||||||||||
Weighted- | Weighted- | Weighted-Average | ||||||||||
Average Credit | Average | Collateral | ||||||||||
Private-label MBS | Support % | Credit Support % | Delinquency % | |||||||||
RMBS | ||||||||||||
Prime | ||||||||||||
2006 | 3.74 | % | 5.16 | % | 5.47 | % | ||||||
2005 | 2.67 | 3.82 | 2.32 | |||||||||
2004 and earlier | 1.58 | 2.82 | 0.79 | |||||||||
Total RMBS Prime | 2.10 | 3.35 | 1.75 | |||||||||
Alt-A | ||||||||||||
2004 and earlier | 10.73 | 32.35 | 11.22 | |||||||||
Total RMBS | 2.30 | 4.05 | 1.98 | |||||||||
HEL | ||||||||||||
Subprime | ||||||||||||
2004 and earlier | 57.86 | 65.34 | 17.40 | |||||||||
Manufactured Housing Loans | ||||||||||||
Subprime | ||||||||||||
2004 and earlier | 57.78 | 55.56 | 3.64 | |||||||||
Total Private-label MBS | 36.95 | % | 40.63 | % | 9.28 | % | ||||||
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March 31, 2010 | December 31, 2009 | |||||||||||||||||||||||
Gross | Weighted-Average | Gross | Weighted-Average | |||||||||||||||||||||
Amortized | Unrealized | Collateral | Amortized | Unrealized | Collateral | |||||||||||||||||||
Private-label MBS | Cost | (Losses) | Delinquency %1 | Cost | (Losses) | Delinquency %1 | ||||||||||||||||||
RMBS | ||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||
Rated Triple A | $ | 280,667 | $ | (2,557 | ) | 0.72 | % | $ | 308,639 | $ | (4,499 | ) | 0.69 | % | ||||||||||
Rated Double A | 11,664 | — | 1.44 | 12,510 | — | 1.38 | ||||||||||||||||||
Rated Single A | 34,219 | (773 | ) | 6.05 | 38,332 | (1,000 | ) | 4.64 | ||||||||||||||||
Below Investment Grade | 72,788 | (1,846 | ) | 5.78 | 76,942 | (2,301 | ) | 4.55 | ||||||||||||||||
Total of RMBS Prime | 399,338 | (5,176 | ) | 2.14 | 436,423 | (7,800 | ) | 1.75 | ||||||||||||||||
Alt-A | ||||||||||||||||||||||||
Rated Triple A | 10,501 | (838 | ) | 12.55 | 10,944 | (938 | ) | 11.22 | ||||||||||||||||
Total of RMBS | 409,839 | (6,014 | ) | 2.40 | 447,367 | (8,738 | ) | 1.98 | ||||||||||||||||
HEL | ||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
Rated Triple A | 195,317 | (43,068 | ) | 19.21 | 204,356 | (54,224 | ) | 18.26 | ||||||||||||||||
Rated Double A | 89,837 | (11,192 | ) | 6.45 | 91,074 | (22,534 | ) | 10.96 | ||||||||||||||||
Rated Single A | 45,312 | (11,349 | ) | 16.65 | 46,792 | (15,930 | ) | 16.32 | ||||||||||||||||
Rated Triple B | 39,374 | (12,177 | ) | 15.22 | 41,902 | (15,798 | ) | 13.18 | ||||||||||||||||
Below Investment Grade | 134,657 | (38,936 | ) | 21.81 | 141,136 | (43,332 | ) | 21.53 | ||||||||||||||||
Total of HEL Subprime | 504,497 | (116,722 | ) | 17.76 | 525,260 | (151,818 | ) | 17.40 | ||||||||||||||||
Manufactured Housing Loans Subprime | ||||||||||||||||||||||||
Rated Double A | 103,020 | (14,273 | ) | 2.09 | 202,278 | (37,101 | ) | 3.64 | ||||||||||||||||
Rated Single A | 92,680 | (21,557 | ) | 4.48 | — | — | — | |||||||||||||||||
Total of Manufactured Housing Loans Subprime | 195,700 | (35,830 | ) | 3.22 | 202,278 | (37,101 | ) | 3.64 | ||||||||||||||||
Grand Total | $ | 1,110,036 | $ | (158,566 | ) | 9.67 | % | $ | 1,174,905 | $ | (197,657 | ) | 9.28 | % | ||||||||||
1 | Weighted-average collateral delinquency rate is determined based on the underlying loans that are 60 days or more past due. The reported delinquency percentage represents weighted-average based on the dollar amounts of the individual securities in the category and their respective delinquencies. Combined weighted-average collateral delinquency rates are calculated based on UPB amount. |
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Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Beginning balance | $ | 13,934 | $ | 13,765 | ||||
Additions | 27 | 83 | ||||||
Resets* | (161 | ) | — | |||||
Charge-offs | (33 | ) | — | |||||
Recoveries | — | — | ||||||
Ending balance | $ | 13,767 | $ | 13,848 | ||||
* | For the Original MPF, MPF 100, MPF 125 and MPF Plus products, the Credit Enhancement is periodically recalculated. If the recalculated Credit Enhancement would result in a PFI Credit Enhancement obligation lower than the remaining obligation, the PFI’s Credit Enhancement obligation will be reset to the new, lower level. |
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March 31, 2010 | December 31, 2009 | |||||||
Mortgage loans, net of provisions for credit losses | $ | 1,287,770 | $ | 1,317,547 | ||||
Non-performing mortgage loans held-for-portfolio | $ | 20,706 | $ | 16,007 | ||||
Mortgage loans past due 90 days or more and still accruing interest | $ | 470 | $ | 570 | ||||
Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Interest contractually due1 | $ | 310 | $ | 112 | ||||
Interest actually received | 279 | 98 | ||||||
Shortfall | $ | 31 | $ | 14 | ||||
1 | The Bank does not recognize interest received as income from uninsured loans past due 90-days or greater. |
Three months ended March 31, | ||||||||
2010 | 2009 | |||||||
Beginning balance | $ | 4,498 | $ | 1,405 | ||||
Charge-offs | (33 | ) | — | |||||
Recoveries | 5 | — | ||||||
Provision for credit losses on mortgage loans | 709 | 443 | ||||||
Ending balance | $ | 5,179 | $ | 1,848 | ||||
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March 31, 2010 | ||||||||
Mortgage | Percent of Total | |||||||
Loans | Mortgage Loans | |||||||
Manufacturers and Traders Trust Company | $ | 585,317 | 45.52 | % | ||||
Astoria Federal Savings and Loan Association | 210,457 | 16.37 | ||||||
Elmira Savings and Loan F.A. | 58,782 | 4.57 | ||||||
Ocean First Bank | 50,053 | 3.89 | ||||||
CFCU Community Credit Union | 41,830 | 3.26 | ||||||
All Others | 339,325 | 26.39 | ||||||
Total1 | $ | 1,285,764 | 100.00 | % | ||||
December 31, 2009 | ||||||||
Mortgage | Percent of Total | |||||||
Loans | Mortgage Loans | |||||||
Manufacturers and Traders Trust Company | $ | 607,072 | 46.17 | % | ||||
Astoria Federal Savings and Loan Association | 220,268 | 16.75 | ||||||
Elmira Savings and Loan F.A. | 61,663 | 4.69 | ||||||
Ocean First Bank | 51,277 | 3.90 | ||||||
CFCU Community Credit Union | 42,344 | 3.22 | ||||||
All Others | 332,304 | 25.27 | ||||||
Total1 | $ | 1,314,928 | 100.00 | % | ||||
Note1 | Totals do not include CMA loans. |
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March 31, 2010 | ||||||||||||||||
Total Net | ||||||||||||||||
Number of | Notional | Exposure at | Net Exposure after | |||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | Cash Collateral3 | ||||||||||||
AAA | — | $ | — | $ | — | $ | — | |||||||||
AA | 8 | 47,643,192 | 2,173 | 2,173 | ||||||||||||
A | 8 | 79,067,292 | — | — | ||||||||||||
Members (Note1 and Note2) | 2 | 165,000 | 7,073 | 7,073 | ||||||||||||
Delivery Commitments | — | 3,249 | — | — | ||||||||||||
Total | 18 | $ | 126,878,733 | $ | 9,246 | $ | 9,246 | |||||||||
December 31, 2009 | ||||||||||||||||
Total Net | ||||||||||||||||
Number of | Notional | Exposure at | Net Exposure after | |||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | Cash Collateral3 | ||||||||||||
AAA | — | $ | — | $ | — | $ | — | |||||||||
AA | 7 | 45,652,167 | 684 | 684 | ||||||||||||
A | 8 | 88,711,243 | — | — | ||||||||||||
Members (Note1 and Note2) | 2 | 160,000 | 7,596 | 7,596 | ||||||||||||
Delivery Commitments | — | 4,210 | — | — | ||||||||||||
Total | 17 | $ | 134,527,620 | $ | 8,280 | $ | 8,280 | |||||||||
Note1: | Fair values of $7.1 million and $7.6 million comprising of intermediated transactions with members and interest-rate caps sold to members (with capped floating-rate advances) were collateralized at March 31, 2010 and December 31, 2009. | |
Note2: | Members are required to pledge collateral to secure derivatives purchased by the FHLBNY as an intermediary on behalf of its members. 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 collateral agreements with its members, the FHLBNY believes that its maximum credit exposure due to the intermediated transactions was $0 at March 31, 2010 and December 31, 2009. | |
Note3: | As reported in the Statements of Condition. |
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March 31, 2010 | ||||||||||||||||||||
Payments due or expiration terms by period | ||||||||||||||||||||
Less than | One year | Greater than three | Greater than | |||||||||||||||||
one year | to three years | years to five years | five years | Total | ||||||||||||||||
Contractual Obligations | ||||||||||||||||||||
Consolidated obligations-bonds at par1 | $ | 36,813,050 | $ | 25,161,775 | $ | 6,850,550 | $ | 2,878,050 | $ | 71,703,425 | ||||||||||
Mandatorily redeemable capital stock1 | 81,360 | 16,762 | 2,114 | 4,956 | 105,192 | |||||||||||||||
Premises (lease obligations)2 | 3,060 | 6,202 | 5,191 | 5,843 | 20,296 | |||||||||||||||
Total contractual obligations | 36,897,470 | 25,184,739 | 6,857,855 | 2,888,849 | 71,828,913 | |||||||||||||||
Other commitments | ||||||||||||||||||||
Standby letters of credit | 772,638 | 10,589 | 17,016 | 3,861 | 804,104 | |||||||||||||||
Consolidated obligations-bonds/ discount notes traded not settled | 2,517,000 | — | — | — | 2,517,000 | |||||||||||||||
Firm commitment-advances | 160,228 | — | — | — | 160,228 | |||||||||||||||
MBS purchase | 174,048 | — | — | — | 174,048 | |||||||||||||||
Open delivery commitments (MPF) | 3,249 | — | — | — | 3,249 | |||||||||||||||
Total other commitments | 3,627,163 | 10,589 | 17,016 | 3,861 | 3,658,629 | |||||||||||||||
Total obligations and commitments | $ | 40,524,633 | $ | 25,195,328 | $ | 6,874,871 | $ | 2,892,710 | $ | 75,487,542 | ||||||||||
1 | Callable bonds contain exercise date or a series of exercise dates that may result in a shorter redemption period. Mandatorily redeemable capital stock is categorized by the dates at which the corresponding advances outstanding mature. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock, under which stock may not be redeemed until the later of five years from the date the member becomes a nonmember or the related advance matures. | |
2 | Immaterial amount of commitments for equipment leases are not included. |
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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 | |||||||||
March 31, 2010 | $ | 5,032 | $ | 51,987 | $ | 46,955 | ||||||
December 31, 2009 | 2,364 | 53,089 | 50,725 |
Average Balance Sheet | Average Actual | |||||||||||
For the quarters ended | Liquidity Requirement | Operational Liquidity | Excess | |||||||||
March 31, 2010 | $ | 2,283 | $ | 15,796 | $ | 13,513 | ||||||
December 31, 2009 | 6,710 | 16,388 | 9,678 |
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Average Five Day | Average Actual | |||||||||||
For the quarters ended | Requirement | Contingency Liquidity | Excess | |||||||||
March 31, 2010 | $ | 2,424 | $ | 15,463 | $ | 13,039 | ||||||
December 31, 2009 | 2,188 | 15,309 | 13,121 |
• | Cash; | ||
• | Obligations of, or fully guaranteed by, the United States; | ||
• | Secured advances; | ||
• | Mortgages that have any guaranty, insurance, or commitment from the United States or any agency of the United States; | ||
• | Investments described in section 16(a) of the FHLBank Act, including securities that a fiduciary or trust fund may purchase under the laws of the state in which the FHLBank is located; and | ||
• | Other securities that are rated Aaa by Moody’s or AAA by Standard & Poor’s. |
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March 31, 2010 | December 31, 2009 | |||||||
Consolidated Obligations: | ||||||||
Bonds | $ | 72,408,203 | $ | 74,007,978 | ||||
Discount Notes | 19,815,956 | 30,827,639 | ||||||
Total consolidated obligations | 92,224,159 | 104,835,617 | ||||||
Unpledged assets | ||||||||
Cash | 1,167,824 | 2,189,252 | ||||||
Less: Member pass-through reserves at the FRB | (31,200 | ) | (29,331 | ) | ||||
Secured Advances 2 | 88,858,753 | 94,348,751 | ||||||
Investments1 | 15,561,254 | 16,222,615 | ||||||
Mortgage loans | 1,287,770 | 1,317,547 | ||||||
Accrued interest receivable on advances and investments | 320,730 | 340,510 | ||||||
Less: Pledged Assets | (3,497 | ) | (2,045 | ) | ||||
107,161,634 | 114,387,299 | |||||||
Excess unpledged assets | $ | 14,937,475 | $ | 9,551,682 | ||||
1 | The Bank pledged $3.5 million and $2.0 million at March 31, 2010 and December 31, 2009 to the FDIC. See Note 4- Held-to-maturity securities. | |
2 | The Bank also provided to the U.S. Treasury a listing of $0 and $10.3 billion in advances with respect to a lending agreement at March 31, 2010 and December 31, 2009. See Note 18- Commitments and Contingencies. |
March 31, 2010 | December 31, 2009 | |||||||||||||||
Actual | Limits | Actual | Limits | |||||||||||||
Mortgage securities investment authority1 | 213 | % | 300 | % | 213 | % | 300 | % | ||||||||
1 | The measurement date is on a one-month “look-back” basis. |
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Moody’s Investors Service | S & P | |||||||||
Year | Outlook | Rating | Short-Term Outlook | Rating | ||||||
2009 | June 19, 2009 - Affirmed | P-1 | July 13, 2009 | Short-Term rating affirmed | A-1+ | |||||
February 2, 2009 - Affirmed | P-1 | |||||||||
2008 | October 29, 2008 - Affirmed | P-1 | June 16, 2008 | Short-Term rating affirmed | A-1+ | |||||
April 17, 2008 - Affirmed | P-1 |
Moody’s Investors Service | S & P | |||||||||||
Year | Outlook | Rating | Long-Term Outlook | Rating | ||||||||
2009 | June 19, 2009 - Affirmed | Aaa/Stable | July 13, 2009 | Long-Term rating affirmed | outlook stable | AAA/Stable | ||||||
February 2, 2009 - Affirmed | Aaa/Stable | |||||||||||
2008 | October 29, 2008 - Affirmed | Aaa/Stable | June 16, 2008 | Long-Term rating affirmed | outlook stable | AAA/Stable | ||||||
April 17, 2008 - Affirmed | Aaa/Stable |
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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 March 2009, June 2009, September 2009, December 2009, and March 2010 rates were too low for a meaningful parallel down-shock measurement. | ||
• | The one-year cumulative re-pricing gap is limited to 10 percent of total assets. | ||
• | The sensitivity of expected net interest income over a one-year period is limited to a -15 percent change under both the +/-200bps shocks compared to the rates unchanged case. | ||
• | The potential decline in the market value of equity is limited to a 10 percent change under the +/-200bps shocks. | ||
• | KRD exposure at any of nine term points (3-month, 1-year, 2-year, 3-year, 5-year, 7-year, 10-year, 15-year, and 30-year) is limited to between +/-12 months. |
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Base Case DOE | -200bps DOE | +200bps DOE | ||||||||||
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 | |||||||||
December 31, 2009 | 0.42 | N/A | 3.68 | |||||||||
March 31, 2010 | -0.51 | N/A | 3.81 |
One Year Re- | ||
pricing Gap | ||
March 31, 2009 | $7.593 Billion | |
June 30, 2009 | $5.936 Billion | |
September 30, 2009 | $5.480 Billion | |
December 31, 2009 | $4.626 Billion | |
March 31, 2010 | $4.753 Billion |
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Sensitivity in | Sensitivity in | |||||||
the -200bps | the +200bps | |||||||
Shock | Shock | |||||||
March 31, 2009 | N/A | 13.11 | % | |||||
June 30, 2009 | N/A | 0.43 | % | |||||
September 30, 2009 | N/A | 9.23 | % | |||||
December 31, 2009 | N/A | 4.53 | % | |||||
March 31, 2010 | N/A | 3.13 | % |
Down-shock | +200bps Change in | |||||||
Change in MVE | MVE | |||||||
March 31, 2009 | N/A | 1.01 | % | |||||
June 30, 2009 | N/A | -1.81 | % | |||||
September 30, 2009 | N/A | -4.68 | % | |||||
December 31, 2009 | N/A | -5.08 | % | |||||
March 31, 2010 | N/A | -4.53 | % |
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Interest Rate Sensitivity | ||||||||||||||||||||
March 31, 2010 | ||||||||||||||||||||
More than | More than | More than | ||||||||||||||||||
Six months | six months to | one year to | three years to | More than | ||||||||||||||||
or less | one year | three years | five years | five years | ||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||
Non-MBS Investments | $ | 7,324 | $ | 182 | $ | 388 | $ | 259 | $ | 447 | ||||||||||
MBS Investments | 6,802 | 869 | 2,242 | 960 | 739 | |||||||||||||||
Adjustable-rate loans and advances | 12,839 | — | — | — | — | |||||||||||||||
Net unswapped | 26,965 | 1,051 | 2,630 | 1,219 | 1,186 | |||||||||||||||
Fixed-rate loans and advances | 9,764 | 7,927 | 14,428 | 7,865 | 32,273 | |||||||||||||||
Swaps hedging advances | 59,911 | (6,708 | ) | (13,635 | ) | (7,319 | ) | (32,250 | ) | |||||||||||
Net fixed-rate loans and advances | 69,675 | 1,219 | 793 | 547 | 23 | |||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | |||||||||||||||
Total interest-earning assets | $ | 96,640 | $ | 2,270 | $ | 3,423 | $ | 1,765 | $ | 1,209 | ||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||
Deposits | $ | 8,010 | $ | — | $ | — | $ | — | $ | — | ||||||||||
Discount notes | 19,565 | 251 | — | — | — | |||||||||||||||
Swapped discount notes | 87 | (87 | ) | — | — | — | ||||||||||||||
Net discount notes | 19,652 | 164 | — | — | — | |||||||||||||||
Consolidated Obligation Bonds | ||||||||||||||||||||
FHLB bonds | 23,450 | 17,060 | 21,654 | 6,793 | 2,823 | |||||||||||||||
Swaps hedging bonds | 41,133 | (15,311 | ) | (18,946 | ) | (5,356 | ) | (1,520 | ) | |||||||||||
Net FHLB bonds | 64,583 | 1,749 | 2,708 | 1,437 | 1,303 | |||||||||||||||
Total interest-bearing liabilities | $ | 92,245 | $ | 1,913 | $ | 2,708 | $ | 1,437 | $ | 1,303 | ||||||||||
Post hedge gaps1: | ||||||||||||||||||||
Periodic gap | $ | 4,395 | $ | 358 | $ | 715 | $ | 328 | $ | (94 | ) | |||||||||
Cumulative gaps | $ | 4,395 | $ | 4,753 | $ | 5,468 | $ | 5,796 | $ | 5,702 |
Note: | Numbers may not add due to rounding. |
1 | Repricing gaps are estimated at the scheduled rate reset dates for floating rate instruments, and at maturity for fixed rate instruments. For callable instruments, the repricing period is estimated by the earlier of the estimated call date under the current interest rate environment or the instrument’s contractual maturity. |
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Interest Rate Sensitivity | ||||||||||||||||||||
December 31, 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 | $ | 8,621 | $ | 124 | $ | 371 | $ | 249 | $ | 587 | ||||||||||
MBS Investments | 6,773 | 903 | 2,420 | 1,167 | 879 | |||||||||||||||
Adjustable-rate loans and advances | 14,101 | — | — | — | — | |||||||||||||||
Net unswapped | 29,495 | 1,027 | 2,791 | 1,416 | 1,466 | |||||||||||||||
Fixed-rate loans and advances | 9,588 | 7,853 | 16,124 | 8,254 | 34,814 | |||||||||||||||
Swaps hedging advances | 63,852 | (6,722 | ) | (14,389 | ) | (7,950 | ) | (34,791 | ) | |||||||||||
Net fixed-rate loans and advances | 73,441 | 1,131 | 1,735 | 304 | 23 | |||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | |||||||||||||||
Total interest-earning assets | $ | 102,935 | $ | 2,158 | $ | 4,526 | $ | 1,720 | $ | 1,489 | ||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||
Deposits | $ | 2,590 | $ | — | $ | — | $ | — | $ | — | ||||||||||
Discount notes | 28,770 | 2,057 | — | — | — | |||||||||||||||
Swapped discount notes | 1,422 | (1,422 | ) | — | — | — | ||||||||||||||
Net discount notes | 30,193 | 635 | — | — | — | |||||||||||||||
Consolidated Obligation Bonds | ||||||||||||||||||||
FHLB bonds | 25,717 | 16,014 | 22,829 | 6,033 | 2,844 | |||||||||||||||
Swaps hedging bonds | 39,617 | (14,298 | ) | (19,513 | ) | (4,501 | ) | (1,305 | ) | |||||||||||
Net FHLB bonds | 65,334 | 1,716 | 3,316 | 1,532 | 1,539 | |||||||||||||||
Total interest-bearing liabilities | $ | 98,117 | $ | 2,351 | $ | 3,316 | $ | 1,532 | $ | 1,539 | ||||||||||
Post hedge gaps1: | ||||||||||||||||||||
Periodic gap | $ | 4,819 | $ | (193 | ) | $ | 1,210 | $ | 188 | $ | (50 | ) | ||||||||
Cumulative gaps | $ | 4,819 | $ | 4,626 | $ | 5,837 | $ | 6,024 | $ | 5,974 |
1 | Repricing gaps are estimated at the scheduled rate reset dates for floating rate instruments, and at maturity for fixed rate instruments. For callable instruments, the repricing period is estimated by the earlier of the estimated call date under the current interest rate environment or the instrument’s contractual maturity. |
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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 March 31, 2010. Based on this evaluation, they concluded that as of March 31, 2010, 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 | |||
10.01 | Bank 2010 Incentive Compensation Plan*** | |||
31.01 | Certification Pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934 and Section 302 of the Sarbanes-Oxley Act of 2002 by Chief Executive Officer | |||
31.02 | Certification Pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934 and Section 302 of the Sarbanes-Oxley Act of 2002 by Chief Financial Officer | |||
32.01 | Certification of Chief Executive Officer furnished pursuant to Section 906 of the Sarbanes-Oxley Act 2002, 18 U.S.C. Section 1350 | |||
32.02 | Certification of Chief Financial Officer furnished pursuant to Section 906 of the Sarbanes-Oxley Act 2002, 18 U.S.C. Section 1350 |
* | This exhibit includes a management contract, compensatory plan or arrangement required to be noted herein. | |
** | Portions of the exhibit have been omitted and separately filed with the U.S. Securities and Exchange Commission with a request for confidential treatment. |
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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 the Principal Financial Officer) |
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