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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 | 13-6400946 | |
(State or other jurisdiction of | (I.R.S. Employer | |
incorporation or organization) | Identification No.) | |
101 Park Avenue, New York, N.Y. | 10178 | |
(Address of principal executive offices) | (Zip Code) |
(Registrant’s telephone number, including area code)
Large accelerated filero | Accelerated filero | Non-accelerated filerþ | Smaller reporting companyo | |||
(Do not check if a smaller reporting company) |
FORM 10-Q FOR THE QUARTERLY PERIOD ENDED SEPTEMBER 30, 2010
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Exhibit 31.01 | ||||||||
Exhibit 31.02 | ||||||||
Exhibit 32.01 | ||||||||
Exhibit 32.02 |
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September 30, 2010 | December 31, 2009 | |||||||
Assets | ||||||||
Cash and due from banks (Note 3) | $ | 69,471 | $ | 2,189,252 | ||||
Federal funds sold | �� | 4,095,000 | 3,450,000 | |||||
Available-for-sale securities, net of unrealized gains (losses) of $23,816 at September 30, 2010 and ($3,409) at December 31, 2009 (Note 5) | 3,373,781 | 2,253,153 | ||||||
Held-to-maturity securities (Note 4) | ||||||||
Long-term securities | 8,221,246 | 10,519,282 | ||||||
Advances (Note 6) | 85,697,171 | 94,348,751 | ||||||
Mortgage loans held-for-portfolio, net of allowance for credit losses of $5,537 at September 30, 2010 and $4,498 at December 31, 2009 (Note 7) | 1,267,687 | 1,317,547 | ||||||
Accrued interest receivable | 305,763 | 340,510 | ||||||
Premises, software, and equipment | 14,550 | 14,792 | ||||||
Derivative assets (Note 16) | 32,425 | 8,280 | ||||||
Other assets | 16,444 | 19,339 | ||||||
Total assets | $ | 103,093,538 | $ | 114,460,906 | ||||
Liabilities and capital | ||||||||
Liabilities | ||||||||
Deposits (Note 8) | ||||||||
Interest-bearing demand | $ | 3,660,132 | $ | 2,616,812 | ||||
Non-interest bearing demand | 9,725 | 6,499 | ||||||
Term | 60,400 | 7,200 | ||||||
Total deposits | 3,730,257 | 2,630,511 | ||||||
Consolidated obligations, net (Note 10) | ||||||||
Bonds (Includes $10,761,236 at September 30, 2010 and $6,035,741 at December 31, 2009 at fair value under the fair value option) | 74,918,893 | 74,007,978 | ||||||
Discount notes (Includes $1,755,901 at September 30, 2010 and $0 at December 31, 2009 at fair value under the fair value option) | 17,787,908 | 30,827,639 | ||||||
Total consolidated obligations | 92,706,801 | 104,835,617 | ||||||
Mandatorily redeemable capital stock (Note 11) | 67,348 | 126,294 | ||||||
Accrued interest payable | 277,647 | 277,788 | ||||||
Affordable Housing Program (Note 12) | 137,995 | 144,489 | ||||||
Payable to REFCORP (Note 12) | 20,560 | 24,234 | ||||||
Derivative liabilities (Note 16) | 784,498 | 746,176 | ||||||
Other liabilities | 101,448 | 72,506 | ||||||
Total liabilities | 97,826,554 | 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: | ||||||||
46,636 at September 30, 2010 and 50,590 at December 31, 2009 | 4,663,606 | 5,058,956 | ||||||
Retained earnings | 701,215 | 688,874 | ||||||
Accumulated other comprehensive income (loss) (Note 13) | ||||||||
Net unrealized gain (loss) on available-for-sale securities | 23,815 | (3,409 | ) | |||||
Non-credit portion of OTTI on held-to-maturity securities, net of accretion | (96,043 | ) | (110,570 | ) | ||||
Net unrealized loss on hedging activities | (17,732 | ) | (22,683 | ) | ||||
Employee supplemental retirement plans (Note 15) | (7,877 | ) | (7,877 | ) | ||||
Total capital | 5,266,984 | 5,603,291 | ||||||
Total liabilities and capital | $ | 103,093,538 | $ | 114,460,906 | ||||
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Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Interest income | ||||||||||||||||
Advances (Note 6) | $ | 173,459 | $ | 240,573 | $ | 477,303 | $ | 1,094,089 | ||||||||
Interest-bearing deposits (Note 3) | 1,699 | 1,014 | 3,766 | 19,054 | ||||||||||||
Federal funds sold | 2,253 | 1,864 | 6,600 | 1,933 | ||||||||||||
Available-for-sale securities (Note 5) | 7,580 | 6,590 | 23,128 | 22,881 | ||||||||||||
Held-to-maturity securities (Note 4) | ||||||||||||||||
Long-term securities | 84,242 | 111,232 | 274,686 | 355,916 | ||||||||||||
Certificates of deposit | — | 851 | — | 1,392 | ||||||||||||
Mortgage loans held-for-portfolio (Note 7) | 16,333 | 17,405 | 49,689 | 54,679 | ||||||||||||
Loans to other FHLBanks and other | — | 1 | — | 1 | ||||||||||||
Total interest income | 285,566 | 379,530 | 835,172 | 1,549,945 | ||||||||||||
Interest expense | ||||||||||||||||
Consolidated obligations-bonds (Note 10) | 147,097 | 191,708 | 448,669 | 783,695 | ||||||||||||
Consolidated obligations-discount notes (Note 10) | 11,456 | 31,647 | 33,069 | 173,228 | ||||||||||||
Deposits (Note 8) | 959 | 516 | 2,813 | 2,002 | ||||||||||||
Mandatorily redeemable capital stock (Note 11) | 879 | 1,807 | 3,051 | 5,478 | ||||||||||||
Cash collateral held and other borrowings (Note 19) | 14 | — | 14 | 49 | ||||||||||||
Total interest expense | 160,405 | 225,678 | 487,616 | 964,452 | ||||||||||||
Net interest income before provision for credit losses | 125,161 | 153,852 | 347,556 | 585,493 | ||||||||||||
Provision for credit losses on mortgage loans | 231 | 598 | 1,137 | 1,966 | ||||||||||||
Net interest income after provision for credit losses | 124,930 | 153,254 | 346,419 | 583,527 | ||||||||||||
Other income (loss) | ||||||||||||||||
Service fees | 1,297 | 1,101 | 3,472 | 3,181 | ||||||||||||
Instruments held at fair value — Unrealized (loss) gain (Note 17) | 55 | 426 | (12,612 | ) | 8,653 | |||||||||||
Total OTTI losses | (498 | ) | (30,169 | ) | (4,573 | ) | (118,160 | ) | ||||||||
Net amount of impairment losses reclassified (from) to Accumulated other comprehensive loss | (2,569 | ) | 26,486 | (3,164 | ) | 103,884 | ||||||||||
Net impairment losses recognized in earnings | (3,067 | ) | (3,683 | ) | (7,737 | ) | (14,276 | ) | ||||||||
Net realized and unrealized (loss) gain on derivatives and hedging activities (Note 16) | 8,444 | 59,639 | (3,344 | ) | 124,613 | |||||||||||
Net realized gain from sale of available-for-sale securities (Note 5) | — | — | 708 | 721 | ||||||||||||
Other | (624 | ) | (39 | ) | (1,493 | ) | 59 | |||||||||
Total other income (loss) | 6,105 | 57,444 | (21,006 | ) | 122,951 | |||||||||||
Other expenses | ||||||||||||||||
Operating | 21,657 | 17,810 | 61,245 | 53,970 | ||||||||||||
Finance Agency and Office of Finance | 2,036 | 1,834 | 6,447 | 5,663 | ||||||||||||
Total other expenses | 23,693 | 19,644 | 67,692 | 59,633 | ||||||||||||
Income before assessments | 107,342 | 191,054 | 257,721 | 646,845 | ||||||||||||
Affordable Housing Program (Note 12) | 8,852 | 15,780 | 21,350 | 53,363 | ||||||||||||
REFCORP (Note 12) | 19,698 | 35,055 | 47,274 | 118,696 | ||||||||||||
Total assessments | 28,550 | 50,835 | 68,624 | 172,059 | ||||||||||||
Net income | $ | 78,792 | $ | 140,219 | $ | 189,097 | $ | 474,786 | ||||||||
Basic earnings per share (Note 14) | $ | 1.71 | $ | 2.70 | $ | 3.98 | $ | 8.93 | ||||||||
Cash dividends paid per share | $ | 1.15 | $ | 1.40 | $ | 3.60 | $ | 3.54 | ||||||||
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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 | 26,932 | 2,693,233 | — | — | 2,693,233 | |||||||||||||||||||
Redemption of capital stock | (31,363 | ) | (3,136,345 | ) | — | — | (3,136,345 | ) | ||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (4 | ) | (434 | ) | — | — | (434 | ) | ||||||||||||||||
Cash dividends ($3.54 per share) on capital stock | — | — | (191,405 | ) | — | (191,405 | ) | |||||||||||||||||
Net Income | — | — | 474,786 | — | 474,786 | $ | 474,786 | |||||||||||||||||
Net change in Accumulated other comprehensive income (loss): | ||||||||||||||||||||||||
Non-credit portion of OTTI on held-to-maturity securities, net of accretion | — | — | — | (100,463 | ) | (100,463 | ) | (100,463 | ) | |||||||||||||||
Net unrealized gains on available-for-sale securities | — | — | — | 48,335 | 48,335 | 48,335 | ||||||||||||||||||
Hedging activities | — | — | — | 5,687 | 5,687 | 5,687 | ||||||||||||||||||
$ | 428,345 | |||||||||||||||||||||||
Balance, September 30, 2009 | 51,422 | $ | 5,142,154 | $ | 666,237 | $ | (147,602 | ) | $ | 5,660,789 | ||||||||||||||
Balance, December 31, 2009 | 50,590 | $ | 5,058,956 | $ | 688,874 | $ | (144,539 | ) | $ | 5,603,291 | ||||||||||||||
Proceeds from sale of capital stock | 13,902 | 1,390,257 | — | — | 1,390,257 | |||||||||||||||||||
Redemption of capital stock | (17,553 | ) | (1,755,299 | ) | — | — | (1,755,299 | ) | ||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (303 | ) | (30,308 | ) | — | — | (30,308 | ) | ||||||||||||||||
Cash dividends ($3.60 per share) on capital stock | — | — | (176,756 | ) | — | (176,756 | ) | |||||||||||||||||
Net Income | — | — | 189,097 | — | 189,097 | $ | 189,097 | |||||||||||||||||
Net change in Accumulated other comprehensive income (loss): | ||||||||||||||||||||||||
Non-credit portion of OTTI on held-to-maturity securities, net of accretion | — | — | — | 14,527 | 14,527 | 14,527 | ||||||||||||||||||
Net unrealized gains on available-for-sale securities | — | — | — | 27,224 | 27,224 | 27,224 | ||||||||||||||||||
Hedging activities | — | — | — | 4,951 | 4,951 | 4,951 | ||||||||||||||||||
$ | 235,799 | |||||||||||||||||||||||
Balance, September 30, 2010 | 46,636 | $ | 4,663,606 | $ | 701,215 | $ | (97,837 | ) | $ | 5,266,984 | ||||||||||||||
1 | Putable stock |
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Nine months ended | ||||||||
September 30, | ||||||||
2010 | 2009 | |||||||
Operating activities | ||||||||
Net Income | $ | 189,097 | $ | 474,786 | ||||
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 | (45,715 | ) | (95,490 | ) | ||||
Concessions on consolidated obligations | 9,666 | 4,977 | ||||||
Premises, software, and equipment | 4,201 | 4,020 | ||||||
Provision for credit losses on mortgage loans | 1,137 | 1,966 | ||||||
Net realized (gains) from redemption of held-to-maturity securities | — | (281 | ) | |||||
Net realized (gains) from sale of available-for-sale securities | (708 | ) | (440 | ) | ||||
Credit impairment losses on held-to-maturity securities | 7,737 | 14,276 | ||||||
Change in net fair value adjustments on derivatives and hedging activities | 406,975 | 68,323 | ||||||
Change in fair value adjustments on financial instruments held at fair value | 12,612 | (8,653 | ) | |||||
Net change in: | ||||||||
Accrued interest receivable | 34,747 | 137,921 | ||||||
Derivative assets due to accrued interest | 23,230 | 184,842 | ||||||
Derivative liabilities due to accrued interest | (21,895 | ) | (250,161 | ) | ||||
Other assets | 2,856 | 4,830 | ||||||
Affordable Housing Program liability | (6,494 | ) | 22,373 | |||||
Accrued interest payable | 3,235 | (95,244 | ) | |||||
REFCORP liability | (3,674 | ) | 33,912 | |||||
Other liabilities | 7,933 | (5,759 | ) | |||||
Total adjustments | 435,843 | 21,412 | ||||||
Net cash provided by operating activities | 624,940 | 496,198 | ||||||
Investing activities | ||||||||
Net change in: | ||||||||
Interest-bearing deposits | (1,607,030 | ) | 13,471,204 | |||||
Federal funds sold | (645,000 | ) | (3,900,000 | ) | ||||
Deposits with other FHLBanks | (29 | ) | (84 | ) | ||||
Premises, software, and equipment | (3,959 | ) | (4,823 | ) | ||||
Held-to-maturity securities: | ||||||||
Long-term securities | ||||||||
Purchased | (174,048 | ) | (2,754,476 | ) | ||||
Repayments | 2,482,959 | 2,283,149 | ||||||
In-substance maturities | — | 38,251 | ||||||
Net change in certificates of deposit | — | (797,000 | ) | |||||
Available-for-sale securities: | ||||||||
Purchased | (1,957,867 | ) | (613 | ) | ||||
Proceeds | 838,129 | 420,607 | ||||||
Proceeds from sales | 33,398 | 132,095 | ||||||
Advances: | ||||||||
Principal collected | 165,792,738 | 320,102,436 | ||||||
Made | (155,157,849 | ) | (308,324,718 | ) | ||||
Mortgage loans held-for-portfolio: | ||||||||
Principal collected | 155,621 | 235,596 | ||||||
Purchased and originated | (106,769 | ) | (117,152 | ) | ||||
Loans to other FHLBanks | ||||||||
Loans made | (27,000 | ) | (400,000 | ) | ||||
Principal collected | 27,000 | 400,000 | ||||||
Net cash provided by investing activities | 9,650,294 | 20,784,472 | ||||||
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Statements of Cash Flows — Unaudited (in thousands)
For the nine months ended September 30, 2010 and 2009
Nine months ended | ||||||||
September 30, | ||||||||
2010 | 2009 | |||||||
Financing activities | ||||||||
Net change in: | ||||||||
Deposits and other borrowings1 | $ | 844,546 | $ | 531,109 | ||||
Consolidated obligation bonds: | ||||||||
Proceeds from issuance | 52,284,617 | 35,112,667 | ||||||
Payments for maturing and early retirement | (52,088,457 | ) | (47,224,995 | ) | ||||
Net proceeds on bonds transferred from other FHLBanks | 224,664 | — | ||||||
Consolidated obligation discount notes: | ||||||||
Proceeds from issuance | 89,819,657 | 814,559,648 | ||||||
Payments for maturing | (102,848,990 | ) | (822,438,650 | ) | ||||
Capital stock: | ||||||||
Proceeds from issuance | 1,390,257 | 2,693,233 | ||||||
Payments for redemption / repurchase | (1,755,299 | ) | (3,136,345 | ) | ||||
Redemption of Mandatorily redeemable capital stock | (89,254 | ) | (15,673 | ) | ||||
Cash dividends paid2 | (176,756 | ) | (191,405 | ) | ||||
Net cash used by financing activities | (12,395,015 | ) | (20,110,411 | ) | ||||
Net (decrease) increase in cash and due from banks | (2,119,781 | ) | 1,170,259 | |||||
Cash and due from banks at beginning of the period | 2,189,252 | 18,899 | ||||||
Cash and due from banks at end of the period | $ | 69,471 | $ | 1,189,158 | ||||
Supplemental disclosures: | ||||||||
Interest paid | $ | 492,994 | $ | 1,161,678 | ||||
Affordable Housing Program payments3 | $ | 27,844 | $ | 30,990 | ||||
REFCORP payments | $ | 50,948 | $ | 84,784 | ||||
Transfers of mortgage loans to real estate owned | $ | 970 | $ | 1,091 | ||||
Portion of non-credit OTTI (gains) losses on held-to-maturity securities | $ | (3,164 | ) | $ | 103,884 |
1 | Cash flows from derivatives containing financing elements were considered as a financing activity — $330,004 and $227,796 cash out-flows for the nine 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. |
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• | 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 for derivatives and hedging. |
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September 30, 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 | $ | 939,289 | $ | — | $ | 939,289 | $ | 54,613 | $ | — | $ | 993,902 | ||||||||||||
Freddie Mac | 269,514 | — | 269,514 | 15,240 | — | 284,754 | ||||||||||||||||||
Total pools of mortgages | 1,208,803 | — | 1,208,803 | 69,853 | — | 1,278,656 | ||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||
Fannie Mae | 1,854,693 | — | 1,854,693 | 58,691 | — | 1,913,384 | ||||||||||||||||||
Freddie Mac | 3,184,866 | — | 3,184,866 | 106,422 | — | 3,291,288 | ||||||||||||||||||
Ginnie Mae | 127,167 | — | 127,167 | 751 | — | 127,918 | ||||||||||||||||||
Total CMOs/REMICs | 5,166,726 | — | 5,166,726 | 165,864 | — | 5,332,590 | ||||||||||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||||||||||
Freddie Mac | 173,969 | — | 173,969 | 12,556 | — | 186,525 | ||||||||||||||||||
Ginnie Mae | 48,953 | — | 48,953 | 2,152 | — | 51,105 | ||||||||||||||||||
Total commercial mortgage-backed securities | 222,922 | — | 222,922 | 14,708 | — | 237,630 | ||||||||||||||||||
Non-GSE MBS | ||||||||||||||||||||||||
CMOs/REMICs | 338,995 | (2,014 | ) | 336,981 | 7,464 | (1,618 | ) | 342,827 | ||||||||||||||||
Commercial MBS | — | — | — | — | — | — | ||||||||||||||||||
Total non-federal-agency MBS | 338,995 | (2,014 | ) | 336,981 | 7,464 | (1,618 | ) | 342,827 | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||
Manufactured housing (insured) | 182,711 | — | 182,711 | — | (22,141 | ) | 160,570 | |||||||||||||||||
Home equity loans (insured) | 265,230 | (68,589 | ) | 196,641 | 30,217 | (3,064 | ) | 223,794 | ||||||||||||||||
Home equity loans (uninsured) | 191,646 | (25,440 | ) | 166,206 | 15,665 | (24,451 | ) | 157,420 | ||||||||||||||||
Total asset-backed securities | 639,587 | (94,029 | ) | 545,558 | 45,882 | (49,656 | ) | 541,784 | ||||||||||||||||
Total MBS | $ | 7,577,033 | $ | (96,043 | ) | $ | 7,480,990 | $ | 303,771 | $ | (51,274 | ) | $ | 7,733,488 | ||||||||||
Other | ||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 740,256 | $ | — | $ | 740,256 | $ | 2,537 | $ | (86,326 | ) | $ | 656,466 | |||||||||||
Certificates of deposit | — | — | — | — | — | — | ||||||||||||||||||
Total other | $ | 740,256 | $ | — | $ | 740,256 | $ | 2,537 | $ | (86,326 | ) | $ | 656,466 | |||||||||||
Total Held-to-maturity securities | $ | 8,317,289 | $ | (96,043 | ) | $ | 8,221,246 | $ | 306,308 | $ | (137,600 | ) | $ | 8,389,954 | ||||||||||
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 | ||||||||||
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September 30, 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 | $ | 140,035 | $ | (13,210 | ) | $ | 181,819 | $ | (73,116 | ) | $ | 321,854 | $ | (86,326 | ) | |||||||||
Total Non-MBS | 140,035 | (13,210 | ) | 181,819 | (73,116 | ) | 321,854 | (86,326 | ) | |||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||
MBS — Other US Obligations | ||||||||||||||||||||||||
Ginnie Mae | — | — | — | — | — | — | ||||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | — | — | — | — | — | — | ||||||||||||||||||
Freddie Mac | — | — | — | — | — | — | ||||||||||||||||||
Total MBS-GSE | — | — | — | — | — | — | ||||||||||||||||||
MBS-Private-Label | — | — | 606,453 | (100,911 | ) | 606,453 | (100,911 | ) | ||||||||||||||||
Total MBS | — | — | 606,453 | (100,911 | ) | 606,453 | (100,911 | ) | ||||||||||||||||
Total | $ | 140,035 | $ | (13,210 | ) | $ | 788,272 | $ | (174,027 | ) | $ | 928,307 | $ | (187,237 | ) | |||||||||
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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Quarter Ended | Nine Months Ended | |||||||||||||||||||||||||||||||
Quarter ended September 30, 2010 | September 30, 2010 | September 30, 2010 | ||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | OTTI | OTTI | |||||||||||||||||||||||||||||
Security | Fair | Fair | Credit | Non-credit2 | Credit | Non-credit2 | ||||||||||||||||||||||||||
Classification | UPB | Value | UPB | Value | Loss | Loss | Loss | Loss | ||||||||||||||||||||||||
HEL Subprime* | $ | 31,876 | $ | 15,050 | $ | 16,341 | $ | 8,233 | $ | (3,067 | ) | $ | (2,569 | ) | $ | (7,737 | ) | $ | (3,164 | ) | ||||||||||||
Total | $ | 31,876 | $ | 15,050 | $ | 16,341 | $ | 8,233 | $ | (3,067 | ) | $ | (2,569 | ) | $ | (7,737 | ) | $ | (3,164 | ) | ||||||||||||
* | HEL Subprime — MBS supported by home equity loans. |
Quarter ended June 30, 2010 | ||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | OTTI | ||||||||||||||||||||||
Security | Fair | Fair | Credit | Non-credit2 | ||||||||||||||||||||
Classification | UPB | Value | UPB | Value | Loss | Loss | ||||||||||||||||||
HEL Subprime* | $ | 20,976 | $ | 9,044 | $ | 37,456 | $ | 22,564 | $ | (1,270 | ) | $ | (1,068 | ) | ||||||||||
Total | $ | 20,976 | $ | 9,044 | $ | 37,456 | $ | 22,564 | $ | (1,270 | ) | $ | (1,068 | ) | ||||||||||
* | HEL Subprime — MBS supported by home equity loans. |
Quarter ended March 31, 2010 | ||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | OTTI | ||||||||||||||||||||||
Security | Fair | Fair | Credit | Non-credit2 | ||||||||||||||||||||
Classification | UPB | Value | UPB | Value | Loss | Loss | ||||||||||||||||||
HEL Subprime* | $ | 21,637 | $ | 9,730 | $ | 45,476 | $ | 26,015 | $ | (3,400 | ) | $ | 473 | |||||||||||
Total | $ | 21,637 | $ | 9,730 | $ | 45,476 | $ | 26,015 | $ | (3,400 | ) | $ | 473 | |||||||||||
* | HEL Subprime — MBS supported by home equity loans. | |
1 | At September 30, 2010, the total carrying value of the securities prior to OTTI was $22.7 million. The carrying values and fair values of OTTI securities in a loss position prior to OTTI were $8.6 million and $8.1 million also at September 30, 2010. | |
2 | Represents net amount of impairment losses reclassified (from) to AOCI to earnings as a result of additional credit losses on securities that had been previously determined to be OTTI. |
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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 | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | 12 months | 12 months | ||||||||||||||||||||||||||||||
HEL Subprime* | $ | — | $ | — | $ | 89,092 | $ | 53,027 | $ | 20,118 | $ | 12,874 | $ | (6,540 | ) | $ | (16,212 | ) | $ | — | $ | (2,663 | ) | |||||||||||||||||
Total | $ | — | $ | — | $ | 89,092 | $ | 53,027 | $ | 20,118 | $ | 12,874 | $ | (6,540 | ) | $ | (16,212 | ) | $ | — | $ | (2,663 | ) | |||||||||||||||||
* | HEL Subprime — MBS supported by home equity loans. |
Year ended 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 | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | 12 months | 12 months | ||||||||||||||||||||||||||||||
RMBS-Prime* | $ | — | $ | — | $ | — | $ | — | $ | 54,295 | $ | 51,715 | $ | (438 | ) | $ | (2,766 | ) | $ | (1,187 | ) | $ | — | |||||||||||||||||
HEL Subprime* | 34,425 | 17,161 | 198,532 | 127,470 | 80,774 | 53,783 | (20,378 | ) | (117,330 | ) | — | (13,674 | ) | |||||||||||||||||||||||||||
Total | $ | 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. |
Q3 2009 activity | ||||||||||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI | Gross OTTI Losses | ||||||||||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | Less than | More than | |||||||||||||||||||||||||||||||||
Classification | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | 12 months | 12 months | ||||||||||||||||||||||||||||||
HEL Subprime* | $ | 13,304 | $ | 7,680 | $ | 121,435 | $ | 79,700 | $ | 62,460 | $ | 38,392 | $ | (3,683 | ) | $ | (26,486 | ) | $ | — | $ | (30,169 | ) | |||||||||||||||||
Total | $ | 13,304 | $ | 7,680 | $ | 121,435 | $ | 79,700 | $ | 62,460 | $ | 38,392 | $ | (3,683 | ) | $ | (26,486 | ) | $ | — | $ | (30,169 | ) | |||||||||||||||||
* | HEL Subprime — MBS supported by home equity loans. |
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Beginning balance | $ | 25,486 | $ | 10,593 | $ | 20,816 | $ | — | ||||||||
Additions to the credit component for OTTI loss not previously recognized | — | 1,459 | — | 14,276 | ||||||||||||
Additional credit losses for which an OTTI charge was previously recognized | 3,067 | 2,224 | 7,737 | — | ||||||||||||
Increases in cash flows expected to be collected, recognized over the remaining life of the securities | — | — | — | — | ||||||||||||
Ending balance | $ | 28,553 | $ | 14,276 | $ | 28,553 | $ | 14,276 | ||||||||
24
Table of Contents
Key Base Assumption - OTTI Securities | ||||||||||||||||||||||||
CDR | CPR | Loss Severity % | ||||||||||||||||||||||
Security Classification | Range | Average | Range | Average | Range | Average | ||||||||||||||||||
HEL Subprime* | 5.8-6.5 | 6.3 | 2.0-3.0 | 2.3 | 100.0-100.0 | 100.0 |
* | HEL Subprime — MBS supported by home equity loans. |
Quarter ended September 30, 2010 | ||||||||||||||||
Actual Results - Base Case Scenario | Pro-forma Results - Adverse Case Scenario | |||||||||||||||
OTTI related to | OTTI related to | |||||||||||||||
UPB | credit loss | UPB | credit loss | |||||||||||||
RMBS Prime | $ | — | $ | — | $ | — | $ | — | ||||||||
Alt-A | — | — | 3,338 | (76 | ) | |||||||||||
HEL Subprime | 48,217 | (3,067 | ) | 145,758 | (7,228 | ) | ||||||||||
Total | $ | 48,217 | (3,067 | ) | $ | 149,096 | (7,304 | ) | ||||||||
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Table of Contents
Burnout Period | ||||||||
Ambac | MBIA | |||||||
September 30, 2010 | ||||||||
Burnout period (months) | — | 9 | ||||||
Coverage ignore date | 9/30/2010 | 6/30/2011 | ||||||
December 31, 2009 | ||||||||
Burnout period (months) | 18 | 18 | ||||||
Coverage ignore date | 6/30/2011 | 6/30/2011 | ||||||
September 30, 2009 | ||||||||
Burnout period (months) | 83 | 31 | ||||||
Coverage ignore date | 7/31/2016 | 3/31/2012 |
September 30, 2010 | ||||||||||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||||||||||
Cost | OTTI | Carrying | Unrealized | Unrealized | Fair | |||||||||||||||||||
Basis | in OCI | Value | Gains | Losses | Value | |||||||||||||||||||
Cash equivalents | $ | 1,174 | $ | — | $ | 1,174 | $ | — | $ | — | $ | 1,174 | ||||||||||||
Equity funds | 8,361 | — | 8,361 | 75 | (1,136 | ) | 7,300 | |||||||||||||||||
Fixed income funds | 3,928 | — | 3,928 | 420 | — | 4,348 | ||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||
CMO-Floating | 3,336,502 | — | 3,336,502 | 24,675 | (218 | ) | 3,360,959 | |||||||||||||||||
Total | $ | 3,349,965 | $ | — | $ | 3,349,965 | $ | 25,170 | $ | (1,354 | ) | $ | 3,373,781 | |||||||||||
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 | |||||||||||
26
Table of Contents
September 30, 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 | $ | 68,494 | $ | (83 | ) | $ | — | $ | — | $ | 68,494 | $ | (83 | ) | ||||||||||
Freddie Mac | 79,386 | (135 | ) | — | — | 79,386 | (135 | ) | ||||||||||||||||
Total MBS-GSE | 147,880 | (218 | ) | — | — | 147,880 | (218 | ) | ||||||||||||||||
Total Temporarily Impaired | $ | 147,880 | $ | (218 | ) | $ | — | $ | — | $ | 147,880 | $ | (218 | ) | ||||||||||
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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Table of Contents
September 30, 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 | 21,921,391 | 2.11 | 27.37 | 24,128,022 | 2.07 | 26.59 | ||||||||||||||||||
Due after one year through two years | 8,986,235 | 2.93 | 11.22 | 10,819,349 | 2.73 | 11.92 | ||||||||||||||||||
Due after two years through three years | 7,713,074 | 2.95 | 9.63 | 10,069,555 | 2.91 | 11.10 | ||||||||||||||||||
Due after three years through four years | 4,767,042 | 3.01 | 5.95 | 5,804,448 | 3.32 | 6.40 | ||||||||||||||||||
Due after four years through five years | 4,081,962 | 3.00 | 5.10 | 3,364,706 | 3.19 | 3.71 | ||||||||||||||||||
Due after five years through six years | 8,590,664 | 4.34 | 10.72 | 2,807,329 | 3.91 | 3.09 | ||||||||||||||||||
Thereafter | 24,042,443 | 3.74 | 30.01 | 33,742,269 | 3.78 | 37.19 | ||||||||||||||||||
Total par value | 80,102,811 | 3.11 | % | 100.00 | % | 90,737,700 | 3.06 | % | 100.00 | % | ||||||||||||||
Discount on AHP advances1 | (50 | ) | (260 | ) | ||||||||||||||||||||
Hedging adjustments | 5,594,410 | 3,611,311 | ||||||||||||||||||||||
Total | $ | 85,697,171 | $ | 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 September 30, 2010 and December 31, 2009. | |
2 | The weighted average yield is the weighted average coupon rates for advances, unadjusted for swaps. For floating-rate advances, the weighted average rate is the rate outstanding at the reporting dates. |
September 30, 2010 | December 31, 2009 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of Total | Amount | of Total | |||||||||||||
Overdrawn demand deposit accounts | $ | — | — | % | $ | 2,022 | — | % | ||||||||
Due or putable in one year or less1 | 54,584,453 | 68.14 | 56,978,134 | 62.79 | ||||||||||||
Due or putable after one year through two years | 8,609,985 | 10.75 | 14,082,199 | 15.52 | ||||||||||||
Due or putable after two years through three years | 7,276,674 | 9.08 | 8,991,805 | 9.91 | ||||||||||||
Due or putable after three years through four years | 4,532,542 | 5.66 | 5,374,048 | 5.92 | ||||||||||||
Due or putable after four years through five years | 2,474,462 | 3.09 | 2,826,206 | 3.12 | ||||||||||||
Due or putable after five years through six years | 777,664 | 0.97 | 158,329 | 0.18 | ||||||||||||
Thereafter | 1,847,031 | 2.31 | 2,324,957 | 2.56 | ||||||||||||
Total par value | 80,102,811 | 100.00 | % | 90,737,700 | 100.00 | % | ||||||||||
Discount on AHP advances | (50 | ) | (260 | ) | ||||||||||||
Hedging adjustments | 5,594,410 | 3,611,311 | ||||||||||||||
Total | $ | 85,697,171 | $ | 94,348,751 | ||||||||||||
1 | Due or putable in one year or less includes two callable advances. |
28
Table of Contents
September 30, 2010 | December 31, 2009 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of Total | Amount | of Total | |||||||||||||
Real Estate: | ||||||||||||||||
Fixed medium-term single-family mortgages | $ | 344,781 | 27.20 | % | $ | 388,072 | 29.43 | % | ||||||||
Fixed long-term single-family mortgages | 918,967 | 72.50 | 926,856 | 70.27 | ||||||||||||
Multi-family mortgages | 3,827 | 0.30 | 3,908 | 0.30 | ||||||||||||
Total par value | 1,267,575 | 100.00 | % | 1,318,836 | 100.00 | % | ||||||||||
Unamortized premiums | 10,027 | 9,095 | ||||||||||||||
Unamortized discounts | (4,700 | ) | (5,425 | ) | ||||||||||||
Basis adjustment1 | 322 | (461 | ) | |||||||||||||
Total mortgage loans held-for-portfolio | 1,273,224 | 1,322,045 | ||||||||||||||
Allowance for credit losses | (5,537 | ) | (4,498 | ) | ||||||||||||
Total mortgage loans held-for-portfolio after allowance for credit losses | $ | 1,267,687 | $ | 1,317,547 | ||||||||||||
1 | Represents fair value basis of open and closed delivery commitments. |
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Beginning balance | $ | 5,392 | $ | 2,760 | $ | 4,498 | $ | 1,406 | ||||||||
Charge-offs | (97 | ) | — | (131 | ) | (14 | ) | |||||||||
Recoveries | 11 | — | 33 | — | ||||||||||||
Provision for credit losses on mortgage loans | 231 | 598 | 1,137 | 1,966 | ||||||||||||
Ending balance | $ | 5,537 | $ | 3,358 | $ | 5,537 | $ | 3,358 | ||||||||
1 | Disaggregation was deemed not necessary since the risk characteristics of loans within the MPF program are materially the same. |
September 30, 2010 | December 31, 2009 | |||||||
Secured by 1-4 family | $ | 668 | $ | 570 | ||||
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Table of Contents
September 30, 2010 | December 31, 2009 | |||||||
Due in one year or less | $ | 60,400 | $ | 7,200 | ||||
Total term deposits | $ | 60,400 | $ | 7,200 | ||||
September 30, 2010 | December 31, 2009 | |||||||
Percentage of unpledged qualifying assets to consolidated obligations | 111 | % | 109 | % | ||||
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Table of Contents
September 30, 2010 | December 31, 2009 | |||||||
Consolidated obligation bonds-amortized cost | $ | 73,847,021 | $ | 73,436,939 | ||||
Fair value basis adjustments | 1,060,537 | 572,537 | ||||||
Fair value basis on terminated hedges | 1,099 | 2,761 | ||||||
Fair value option valuation adjustments and accrued interest | 10,236 | (4,259 | ) | |||||
Total Consolidated obligation-bonds | $ | 74,918,893 | $ | 74,007,978 | ||||
Discount notes-amortized cost | $ | 17,784,192 | $ | 30,827,639 | ||||
Fair value option valuation adjustments | 3,716 | — | ||||||
Total Consolidated obligation-discount notes | $ | 17,787,908 | $ | 30,827,639 | ||||
September 30, 2010 | December 31, 2009 | |||||||||||||||||||||||
Weighted | Weighted | |||||||||||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||||||||||
Maturity | Amount | Rate1 | of total | Amount | Rate1 | of total | ||||||||||||||||||
One year or less | $ | 38,972,100 | 1.10 | % | 52.86 | % | $ | 40,896,550 | 1.34 | % | 55.75 | % | ||||||||||||
Over one year through two years | 15,731,695 | 1.13 | 21.34 | 15,912,200 | 1.69 | 21.69 | ||||||||||||||||||
Over two years through three years | 9,337,130 | 2.24 | 12.66 | 7,518,575 | 2.28 | 10.25 | ||||||||||||||||||
Over three years through four years | 3,409,600 | 2.99 | 4.62 | 3,961,250 | 3.49 | 5.40 | ||||||||||||||||||
Over four years through five years | 3,224,775 | 3.12 | 4.37 | 2,130,300 | 4.27 | 2.90 | ||||||||||||||||||
Over five years through six years | 498,000 | 3.71 | 0.68 | 644,350 | 5.15 | 0.88 | ||||||||||||||||||
Thereafter | 2,556,200 | 4.33 | 3.47 | 2,294,700 | 5.06 | 3.13 | ||||||||||||||||||
73,729,500 | 1.56 | % | 100.00 | % | 73,357,925 | 1.87 | % | 100.00 | % | |||||||||||||||
Bond premiums | 145,239 | 112,866 | ||||||||||||||||||||||
Bond discounts | (27,718 | ) | (33,852 | ) | ||||||||||||||||||||
Fair value basis adjustments | 1,060,537 | 572,537 | ||||||||||||||||||||||
Fair value basis adjustments on terminated hedges | 1,099 | 2,761 | ||||||||||||||||||||||
Fair value option valuation adjustments and accrued interest | 10,236 | (4,259 | ) | |||||||||||||||||||||
$ | 74,918,893 | $ | 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 September 30, 2010 and December 31, 2009 represent contractual coupons payable to investors. |
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September 30, 2010 | December 31, 2009 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of total | Amount | of total | |||||||||||||
Year of Maturity or next call date | ||||||||||||||||
Due or callable in one year or less | $ | 45,488,400 | 61.70 | % | $ | 50,481,350 | 68.82 | % | ||||||||
Due or callable after one year through two years | 14,465,695 | 19.62 | 11,352,200 | 15.48 | ||||||||||||
Due or callable after two years through three years | 6,537,130 | 8.87 | 4,073,575 | 5.55 | ||||||||||||
Due or callable after three years through four years | 2,659,600 | 3.61 | 3,606,250 | 4.91 | ||||||||||||
Due or callable after four years through five years | 2,579,775 | 3.50 | 1,325,800 | 1.81 | ||||||||||||
Due or callable after five years through six years | 232,700 | 0.31 | 529,050 | 0.72 | ||||||||||||
Thereafter | 1,766,200 | 2.39 | 1,989,700 | 2.71 | ||||||||||||
73,729,500 | 100.00 | % | 73,357,925 | 100.00 | % | |||||||||||
Bond premiums | 145,239 | 112,866 | ||||||||||||||
Bond discounts | (27,718 | ) | (33,852 | ) | ||||||||||||
Fair value basis adjustments | 1,060,537 | 572,537 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 1,099 | 2,761 | ||||||||||||||
Fair value option valuation adjustments and accrued interest | 10,236 | (4,259 | ) | |||||||||||||
$ | 74,918,893 | $ | 74,007,978 | |||||||||||||
September 30, 2010 | December 31, 2009 | |||||||
Par value | $ | 17,791,522 | $ | 30,838,104 | ||||
Amortized cost | $ | 17,784,192 | $ | 30,827,639 | ||||
Fair value option valuation adjustments | 3,716 | — | ||||||
Total | $ | 17,787,908 | $ | 30,827,639 | ||||
Weighted average interest rate | 0.19 | % | 0.15 | % | ||||
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September 30, 2010 | December 31, 2009 | |||||||||||||||
Required4 | Actual | Required4 | Actual | |||||||||||||
Regulatory capital requirements: | ||||||||||||||||
Risk-based capital1 | $ | 473,275 | $ | 5,432,169 | $ | 606,716 | $ | 5,874,125 | ||||||||
Total capital-to-asset ratio | 4.00 | % | 5.27 | % | 4.00 | % | 5.14 | % | ||||||||
Total capital2 | $ | 4,123,742 | $ | 5,437,706 | $ | 4,578,436 | $ | 5,878,623 | ||||||||
Leverage ratio | 5.00 | % | 7.91 | % | 5.00 | % | 7.70 | % | ||||||||
Leverage capital3 | $ | 5,154,677 | $ | 8,153,790 | $ | 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 Actual “Risk-based capital” times 1.5 plus allowance for loan losses. | |
4 | Required minimum. |
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September 30, 2010 | December 31, 2009 | |||||||
Redemption less than one year | $ | 45,708 | $ | 102,453 | ||||
Redemption from one year to less than three years | 14,650 | 16,766 | ||||||
Redemption from three years to less than five years | 2,037 | 2,118 | ||||||
Redemption after five years or greater | 4,953 | 4,957 | ||||||
Total | $ | 67,348 | $ | 126,294 | ||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Beginning balance | $ | 144,074 | $ | 140,037 | $ | 144,489 | $ | 122,449 | ||||||||
Additions from current period’s assessments | 8,852 | 15,780 | 21,350 | 53,363 | ||||||||||||
Net disbursements for grants and programs | (14,931 | ) | (10,995 | ) | (27,844 | ) | (30,990 | ) | ||||||||
Ending balance | $ | 137,995 | $ | 144,822 | $ | 137,995 | $ | 144,822 | ||||||||
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Three months ended September 30 | ||||||||||||||||||||||||||||
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, June 30, 2009 | $ | (10,129 | ) | $ | (77,159 | ) | $ | (26,402 | ) | $ | (6,550 | ) | $ | (120,240 | ) | |||||||||||||
Net change | (5,956 | ) | (23,304 | ) | 1,898 | — | (27,362 | ) | $ | 140,219 | $ | 112,857 | ||||||||||||||||
Balance, September 30, 2009 | $ | (16,085 | ) | $ | (100,463 | ) | $ | (24,504 | ) | $ | (6,550 | ) | $ | (147,602 | ) | |||||||||||||
Balance, June 30, 2010 | $ | 20,182 | $ | (101,877 | ) | $ | (19,614 | ) | $ | (7,877 | ) | $ | (109,186 | ) | ||||||||||||||
Net change | 3,633 | 5,834 | 1,882 | — | 11,349 | $ | 78,792 | $ | 90,141 | |||||||||||||||||||
Balance, September 30, 2010 | $ | 23,815 | $ | (96,043 | ) | $ | (17,732 | ) | $ | (7,877 | ) | $ | (97,837 | ) | ||||||||||||||
Nine months ended September 30 | ||||||||||||||||||||||||||||
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 | 48,335 | (100,463 | ) | 5,687 | — | (46,441 | ) | $ | 474,786 | $ | 428,345 | |||||||||||||||||
Balance, September 30, 2009 | $ | (16,085 | ) | $ | (100,463 | ) | $ | (24,504 | ) | $ | (6,550 | ) | $ | (147,602 | ) | |||||||||||||
Balance, December 31, 2009 | $ | (3,409 | ) | $ | (110,570 | ) | $ | (22,683 | ) | $ | (7,877 | ) | $ | (144,539 | ) | |||||||||||||
Net change | 27,224 | 14,527 | 4,951 | — | 46,702 | $ | 189,097 | $ | 235,799 | |||||||||||||||||||
Balance, September 30, 2010 | $ | 23,815 | $ | (96,043 | ) | $ | (17,732 | ) | $ | (7,877 | ) | $ | (97,837 | ) | ||||||||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Net income | $ | 78,792 | $ | 140,219 | $ | 189,097 | $ | 474,786 | ||||||||
Net income available to stockholders | $ | 78,792 | $ | 140,219 | $ | 189,097 | $ | 474,786 | ||||||||
Weighted average shares of capital | 46,800 | 53,233 | 48,429 | 54,505 | ||||||||||||
Less: Mandatorily redeemable capital stock | (685 | ) | (1,280 | ) | (910 | ) | (1,351 | ) | ||||||||
Average number of shares of capital used to calculate earnings per share | 46,115 | 51,953 | 47,519 | 53,154 | ||||||||||||
Net earnings per share of capital | $ | 1.71 | $ | 2.70 | $ | 3.98 | $ | 8.93 | ||||||||
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Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Defined Benefit Plan | $ | 4,000 | $ | 1,441 | $ | 6,623 | $ | 4,324 | ||||||||
Benefit Equalization Plan (defined benefit) | 570 | 515 | 1,710 | 1,544 | ||||||||||||
Defined Contribution Plan and BEP Thrift | 528 | 582 | 1,137 | 1,366 | ||||||||||||
Postretirement Health Benefit Plan | 281 | 251 | 843 | 753 | ||||||||||||
Total retirement plan expenses | $ | 5,379 | $ | 2,789 | $ | 10,313 | $ | 7,987 | ||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Service cost | $ | 163 | $ | 153 | $ | 489 | $ | 458 | ||||||||
Interest cost | 279 | 263 | 837 | 789 | ||||||||||||
Amortization of unrecognized prior service cost | (17 | ) | (36 | ) | (50 | ) | (108 | ) | ||||||||
Amortization of unrecognized net loss | 145 | 135 | 434 | 405 | ||||||||||||
Net periodic benefit cost | $ | 570 | $ | 515 | $ | 1,710 | $ | 1,544 | ||||||||
September 30, 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. |
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Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Service cost (benefits attributed to service during the period) | $ | 157 | $ | 139 | $ | 470 | $ | 417 | ||||||||
Interest cost on accumulated postretirement health benefit obligation | 229 | 217 | 687 | 651 | ||||||||||||
Amortization of loss | 78 | 78 | 235 | 234 | ||||||||||||
Amortization of prior service cost/(credit) | (183 | ) | (183 | ) | (549 | ) | (549 | ) | ||||||||
Net periodic postretirement health benefit cost | $ | 281 | $ | 251 | $ | 843 | $ | 753 | ||||||||
September 30, 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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38
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39
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40
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September 30, 2010 | ||||||||||||
Notional Amount of | Derivative | |||||||||||
Derivatives | Derivative Assets | Liabilities | ||||||||||
Fair value of derivatives instruments | ||||||||||||
Derivatives designated in hedging relationships | ||||||||||||
Interest rate swaps-fair value hedges | $ | 93,872,212 | $ | 1,260,136 | $ | (5,856,880 | ) | |||||
Total derivatives in hedging instruments | $ | 93,872,212 | $ | 1,260,136 | $ | (5,856,880 | ) | |||||
Derivatives not designated as hedging instruments | ||||||||||||
Interest rate swaps | $ | 27,582,914 | $ | 39,722 | $ | (9,624 | ) | |||||
Interest rate caps or floors | 1,900,000 | 23,650 | (69 | ) | ||||||||
Mortgage delivery commitments | 20,675 | 28 | (24 | ) | ||||||||
Other* | 550,000 | 10,726 | (10,000 | ) | ||||||||
Total derivatives not designated as hedging instruments | $ | 30,053,589 | $ | 74,126 | $ | (19,717 | ) | |||||
Total derivatives before netting and collateral adjustments | $ | 123,925,801 | $ | 1,334,262 | $ | (5,876,597 | ) | |||||
Netting adjustments | $ | (1,301,837 | ) | $ | 1,301,837 | |||||||
Cash collateral and related accrued interest | — | 3,790,262 | ||||||||||
Total collateral and netting adjustments | $ | (1,301,837 | ) | $ | 5,092,099 | |||||||
Total reported on the Statements of Condition | $ | 32,425 | $ | (784,498 | ) | |||||||
December 31, 2009 | ||||||||||||
Notional Amount of | Derivative | |||||||||||
Derivatives | Derivative 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 | ) | |||||
Total derivatives in hedging instruments | $ | 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. |
1 | None outstanding at September 30, 2010 and December 31, 2009. |
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Three months ended September 30, | ||||||||||||||||||||||||||||||||
2010 | 2009 | |||||||||||||||||||||||||||||||
Effect of | Effect of | |||||||||||||||||||||||||||||||
Derivatives on | Derivatives on | |||||||||||||||||||||||||||||||
Gain (Loss) on | Gain (Loss) on | Earnings | Net Interest | Gain (Loss) on | Gain (Loss) on | Earnings | Net Interest | |||||||||||||||||||||||||
Derivative | Hedged Item | Impact | Income1 | Derivative | Hedged Item | Impact | Income1 | |||||||||||||||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||||||||
Advances | $ | (880,233 | ) | $ | 881,448 | $ | 1,215 | $ | (478,422 | ) | $ | (582,983 | ) | $ | 583,165 | $ | 182 | $ | (503,185 | ) | ||||||||||||
Consolidated obligations-bonds | 206,540 | (208,047 | ) | (1,507 | ) | 137,824 | 98,668 | (98,501 | ) | 167 | 151,467 | |||||||||||||||||||||
Consolidated obligations-discount notes | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Net gain (loss) related to fair value hedge ineffectiveness | (673,693 | ) | 673,401 | (292 | ) | (340,598 | ) | (484,315 | ) | 484,664 | 349 | (351,718 | ) | |||||||||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||||||||
Advances | (1,203 | ) | — | (1,203 | ) | — | (1,475 | ) | — | (1,475 | ) | — | ||||||||||||||||||||
Consolidated obligations-bonds | 6,753 | — | 6,753 | — | 28,420 | — | 28,420 | — | ||||||||||||||||||||||||
Consolidated obligations-discount notes | (231 | ) | — | (231 | ) | — | (5,711 | ) | — | (5,711 | ) | — | ||||||||||||||||||||
Member intermediation | 202 | — | 202 | — | (16 | ) | — | (16 | ) | — | ||||||||||||||||||||||
Balance sheet-macro hedges swaps | — | — | — | — | 210 | — | 210 | — | ||||||||||||||||||||||||
Accrued interest-swaps | 2,381 | — | 2,381 | — | 18,362 | — | 18,362 | — | ||||||||||||||||||||||||
Accrued interest-intermediation | 42 | — | 42 | — | 20 | — | 20 | — | ||||||||||||||||||||||||
Caps and floors | ||||||||||||||||||||||||||||||||
Advances | (19 | ) | — | (19 | ) | — | (305 | ) | — | (305 | ) | — | ||||||||||||||||||||
Balance sheet | (14,618 | ) | — | (14,618 | ) | — | 19,196 | — | 19,196 | — | ||||||||||||||||||||||
Accrued interest-options | — | — | — | — | (1,786 | ) | — | (1,786 | ) | — | ||||||||||||||||||||||
Mortgage delivery commitments | 257 | — | 257 | — | 47 | — | 47 | — | ||||||||||||||||||||||||
Swaps economically hedging instruments designated under FVO | ||||||||||||||||||||||||||||||||
Consolidated obligations-bonds | 8,025 | — | 8,025 | — | 1,549 | — | 1,549 | — | ||||||||||||||||||||||||
Consolidated obligations-discount notes | 1,674 | — | 1,674 | — | — | — | — | — | ||||||||||||||||||||||||
Accrued interest on swaps | 5,473 | — | 5,473 | — | 779 | — | 779 | — | ||||||||||||||||||||||||
Net gain (loss) related to derivatives not designated as hedging instruments | 8,736 | — | 8,736 | — | 59,290 | — | 59,290 | — | ||||||||||||||||||||||||
Total | $ | (664,957 | ) | $ | 673,401 | $ | 8,444 | $ | (340,598 | ) | $ | (425,025 | ) | $ | 484,664 | $ | 59,639 | $ | (351,718 | ) | ||||||||||||
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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Nine months ended September 30, | ||||||||||||||||||||||||||||||||
2010 | 2009 | |||||||||||||||||||||||||||||||
Effect of | Effect of | |||||||||||||||||||||||||||||||
Derivatives on | Derivatives on | |||||||||||||||||||||||||||||||
Gain (Loss) on | Gain (Loss) on | Earnings | Net Interest | Gain (Loss) on | Gain (Loss) on | Earnings | Net Interest | |||||||||||||||||||||||||
Derivative | Hedged Item | Impact | Income1 | Derivative | Hedged Item | Impact | Income1 | |||||||||||||||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||||||||
Advances | $ | (2,020,332 | ) | $ | 2,020,771 | $ | 439 | $ | (1,519,392 | ) | $ | 1,419,019 | $ | (1,424,126 | ) | $ | (5,107 | ) | $ | (1,252,775 | ) | |||||||||||
Consolidated obligations-bonds | 492,043 | (489,735 | ) | 2,308 | 483,049 | (418,734 | ) | 436,921 | 18,187 | 384,150 | ||||||||||||||||||||||
Consolidated obligations-discount notes | — | — | — | — | — | — | — | 474 | ||||||||||||||||||||||||
Net gain (loss) related to fair value | ||||||||||||||||||||||||||||||||
hedge ineffectiveness | (1,528,289 | ) | 1,531,036 | 2,747 | (1,036,343 | ) | 1,000,285 | (987,205 | ) | 13,080 | (868,151 | ) | ||||||||||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||||||||
Advances | (3,164 | ) | — | (3,164 | ) | — | 3,887 | — | 3,887 | — | ||||||||||||||||||||||
Consolidated obligations-bonds | (29,762 | ) | — | (29,762 | ) | — | 101,662 | — | 101,662 | — | ||||||||||||||||||||||
Consolidated obligations-discount notes | (4,331 | ) | — | (4,331 | ) | — | 409 | — | 409 | — | ||||||||||||||||||||||
Member intermediation | 357 | — | 357 | — | (189 | ) | — | (189 | ) | — | ||||||||||||||||||||||
Balance sheet-macro hedges swaps | 173 | — | 173 | — | 2,617 | — | 2,617 | — | ||||||||||||||||||||||||
Accrued interest-swaps | 46,900 | — | 46,900 | — | (37,772 | ) | — | (37,772 | ) | — | ||||||||||||||||||||||
Accrued interest-intermediation | 91 | — | 91 | — | 64 | — | 64 | — | ||||||||||||||||||||||||
Caps and floors | ||||||||||||||||||||||||||||||||
Advances | (418 | ) | — | (418 | ) | — | (1,056 | ) | — | (1,056 | ) | — | ||||||||||||||||||||
Balance sheet | (47,901 | ) | — | (47,901 | ) | — | 50,613 | — | 50,613 | — | ||||||||||||||||||||||
Accrued interest-options | (2,598 | ) | — | (2,598 | ) | — | (3,731 | ) | — | (3,731 | ) | — | ||||||||||||||||||||
Mortgage delivery commitments | 811 | — | 811 | — | (49 | ) | — | (49 | ) | — | ||||||||||||||||||||||
Swaps economically hedging instruments designated under FVO | ||||||||||||||||||||||||||||||||
Consolidated obligations-bonds | 10,381 | — | 10,381 | — | (5,825 | ) | — | (5,825 | ) | — | ||||||||||||||||||||||
Consolidated obligations-discount notes | 2,448 | — | 2,448 | — | — | — | — | — | ||||||||||||||||||||||||
Accrued interest on swaps | 20,922 | — | 20,922 | — | 903 | — | 903 | — | ||||||||||||||||||||||||
Net gain (loss) related to derivatives not designated as hedging instruments | (6,091 | ) | — | (6,091 | ) | — | 111,533 | — | 111,533 | — | ||||||||||||||||||||||
Total | $ | (1,534,380 | ) | $ | 1,531,036 | $ | (3,344 | ) | $ | (1,036,343 | ) | $ | 1,111,818 | $ | (987,205 | ) | $ | 124,613 | $ | (868,151 | ) | |||||||||||
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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2010 | 2009 | |||||||||||||||||||||||||||||||
OCI | OCI | |||||||||||||||||||||||||||||||
Gains/(Losses) | Gains/(Losses) | |||||||||||||||||||||||||||||||
Location: | Amount | Ineffectiveness | Location: | Amount | Ineffectiveness | |||||||||||||||||||||||||||
Recorded in | Reclassified to | Reclassified to | Recognized in | Recorded in | Reclassified to | Reclassified to | Recognized in | |||||||||||||||||||||||||
OCI 1, 2 | Earnings1 | Earnings1 | Earnings | OCI 1, 2 | Earnings1 | Earnings1 | Earnings | |||||||||||||||||||||||||
The effect of cash flow hedge related to Interest rate swaps | ||||||||||||||||||||||||||||||||
Advances | $ | — | Interest Income | $ | — | $ | — | $ | — | Interest Income | $ | — | $ | — | ||||||||||||||||||
Consolidated obligations-bonds | — | Interest Expense | 1,882 | — | — | Interest Expense | 1,898 | |||||||||||||||||||||||||
Total | $ | — | $ | 1,882 | $ | — | $ | — | $ | 1,898 | $ | — | ||||||||||||||||||||
Nine months ended September 30, | ||||||||||||||||||||||||||||||||
2010 | 2009 | |||||||||||||||||||||||||||||||
OCI | OCI | |||||||||||||||||||||||||||||||
Gains/(Losses) | Gains/(Losses) | |||||||||||||||||||||||||||||||
Location: | Amount | Ineffectiveness | Location: | Amount | Ineffectiveness | |||||||||||||||||||||||||||
Recorded in | Reclassified to | Reclassified to | Recognized in | Recorded in | Reclassified to | Reclassified to | Recognized in | |||||||||||||||||||||||||
OCI 1, 2 | Earnings1 | Earnings1 | Earnings | OCI 1, 2 | Earnings1 | Earnings1 | Earnings | |||||||||||||||||||||||||
The effect of cash flow hedge related to Interest rate swaps | ||||||||||||||||||||||||||||||||
Advances | $ | — | Interest Income | $ | — | $ | — | $ | — | Interest Income | $ | — | $ | — | ||||||||||||||||||
Consolidated obligations-bonds | (472 | ) | Interest Expense | 5,423 | — | — | Interest Expense | 5,687 | ||||||||||||||||||||||||
Total | $ | (472 | ) | $ | 5,423 | $ | — | $ | — | $ | 5,687 | $ | — | |||||||||||||||||||
1 | Effective portion | |
2 | Represents effective portion of basis adjustments to AOCI from cash flow hedging transactions. |
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September 30, 2010 | ||||||||||||||||||||
Netting | ||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Adjustments | ||||||||||||||||
Assets | ||||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||
GSE issued MBS | $ | 3,360,959 | $ | — | $ | 3,360,959 | $ | — | $ | — | ||||||||||
Equity and bond funds | 12,822 | — | 12,822 | — | — | |||||||||||||||
Derivative assets(a) | ||||||||||||||||||||
Interest-rate derivatives | 32,397 | — | 1,334,234 | — | (1,301,837 | ) | ||||||||||||||
Mortgage delivery commitments | 28 | — | 28 | — | — | |||||||||||||||
Total assets at fair value | $ | 3,406,206 | $ | — | $ | 4,708,043 | $ | — | $ | (1,301,837 | ) | |||||||||
Liabilities | ||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||
Discount notes (to the extent SFAS 159 is elected) | $ | (1,755,901 | ) | $ | — | $ | (1,755,901 | ) | $ | — | $ | — | ||||||||
Bonds (to the extent SFAS 159 is elected)(b) | (10,761,236 | ) | — | (10,761,236 | ) | — | — | |||||||||||||
Derivative liabilities(a) | ||||||||||||||||||||
Interest-rate derivatives | (784,474 | ) | — | (5,876,573 | ) | — | 5,092,099 | |||||||||||||
Mortgage delivery commitments | (24 | ) | — | (24 | ) | — | — | |||||||||||||
Total liabilities at fair value | $ | (13,301,635 | ) | $ | — | $ | (18,393,734 | ) | $ | — | $ | 5,092,099 | ||||||||
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: | ||||||||||||||||||||
Discount notes (to the extent SFAS 159 is elected) | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Bonds (to the extent SFAS 159 is elected)(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 | ||||||||
Level 1 — Quoted prices in active markets for identical assets. | ||
Level 2 — Significant other observable inputs. | ||
Level 3 — Significant unobservable inputs. | ||
(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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September 30, 2010 | ||||||||||||||||
Fair Value | Level 1 | Level 2 | Level 3 | |||||||||||||
Held-to-maturity securities | ||||||||||||||||
Home equity loans | $ | 8,063 | $ | — | $ | — | $ | 8,063 | ||||||||
Total | $ | 8,063 | $ | — | $ | — | $ | 8,063 | ||||||||
December 31, 2009 | ||||||||||||||||
Fair Value | Level 1 | Level 2 | Level 3 | |||||||||||||
Held-to-maturity securities | ||||||||||||||||
Home equity loans | $ | 42,922 | $ | — | $ | — | $ | 42,922 | ||||||||
Total | $ | 42,922 | $ | — | $ | — | $ | 42,922 | ||||||||
September 30, 2009 | ||||||||||||||||
Fair Value | Level 1 | Level 2 | Level 3 | |||||||||||||
Held-to-maturity securities | ||||||||||||||||
Home equity loans | $ | 125,771 | $ | — | $ | — | $ | 125,771 | ||||||||
Total | $ | 125,771 | $ | — | $ | — | $ | 125,771 | ||||||||
September 30, 2010 | December 31, 2009 | |||||||||||||||
Carrying | Estimated | Carrying | Estimated | |||||||||||||
Financial Instruments | Value | Fair Value | Value | Fair Value | ||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | 69,471 | $ | 69,471 | $ | 2,189,252 | $ | 2,189,252 | ||||||||
Federal funds sold | 4,095,000 | 4,094,993 | 3,450,000 | 3,449,997 | ||||||||||||
Available-for-sale securities | 3,373,781 | 3,373,781 | 2,253,153 | 2,253,153 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | 8,221,246 | 8,389,954 | 10,519,282 | 10,669,252 | ||||||||||||
Advances | 85,697,171 | 85,949,019 | 94,348,751 | 94,624,708 | ||||||||||||
Mortgage loans held-for-portfolio, net | 1,267,687 | 1,341,140 | 1,317,547 | 1,366,538 | ||||||||||||
Accrued interest receivable | 305,763 | 305,763 | 340,510 | 340,510 | ||||||||||||
Derivative assets | 32,425 | 32,425 | 8,280 | 8,280 | ||||||||||||
Other financial assets | 3,390 | 3,390 | 3,412 | 3,412 | ||||||||||||
Liabilities | ||||||||||||||||
Deposits | 3,730,257 | 3,730,263 | 2,630,511 | 2,630,513 | ||||||||||||
Consolidated obligations: | ||||||||||||||||
Bonds | 74,918,893 | 75,261,195 | 74,007,978 | 74,279,737 | ||||||||||||
Discount notes | 17,787,908 | 17,788,224 | 30,827,639 | 30,831,201 | ||||||||||||
Mandatorily redeemable capital stock | 67,348 | 67,348 | 126,294 | 126,294 | ||||||||||||
Accrued interest payable | 277,647 | 277,647 | 277,788 | 277,788 | ||||||||||||
Derivative liabilities | 784,498 | 784,498 | 746,176 | 746,176 | ||||||||||||
Other financial liabilities | 57,242 | 57,242 | 38,832 | 38,832 |
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Three months ended | Nine months ended | |||||||||||||||||||||||
September 30, | September 30, | |||||||||||||||||||||||
2010 | 2009 | 2010 | 2010 | 2009 | 2010 | |||||||||||||||||||
Bonds | Discount notes* | Bonds | Discount notes* | |||||||||||||||||||||
Balance, beginning of the period | $ | (9,763,246 | ) | $ | (550,303 | ) | $ | (1,753,688 | ) | $ | (6,035,741 | ) | $ | (998,942 | ) | $ | — | |||||||
New transaction elected for fair value option | (6,601,000 | ) | (1,835,000 | ) | — | (17,771,000 | ) | (2,385,000 | ) | (1,752,185 | ) | |||||||||||||
Maturities and terminations | 5,600,000 | — | — | 13,060,000 | 983,000 | — | ||||||||||||||||||
Change in fair value | 576 | 426 | (521 | ) | (11,118 | ) | 8,653 | (1,494 | ) | |||||||||||||||
Change in accrued interest | 2,434 | (1,091 | ) | (1,692 | ) | (3,377 | ) | 6,321 | (2,222 | ) | ||||||||||||||
Balance, end of the period | $ | (10,761,236 | ) | $ | (2,385,968 | ) | $ | (1,755,901 | ) | $ | (10,761,236 | ) | $ | (2,385,968 | ) | $ | (1,755,901 | ) | ||||||
* | Note: Discount notes were not designated under FVO at December 31, 2009 |
Three months ended September 30, | ||||||||||||||||||||||||
2010 | 2009 | |||||||||||||||||||||||
Interest | Total change in fair | Net gain(loss) | Total change in | |||||||||||||||||||||
expense on | Net gain(loss) | value included in | Interest expense | due to | fair value included | |||||||||||||||||||
consolidated | due to changes in | current period | on consolidated | changes in | in current period | |||||||||||||||||||
obligations | fair value | earnings | obligations | fair value | earnings | |||||||||||||||||||
Consolidated obligations-bonds | $ | (10,926 | ) | $ | 576 | $ | (10,350 | ) | $ | (1,091 | ) | $ | 426 | $ | (665 | ) | ||||||||
Consolidated obligations-discount notes | (1,692 | ) | (521 | ) | (2,213 | ) | — | — | — | |||||||||||||||
$ | (12,618 | ) | $ | 55 | $ | (12,563 | ) | $ | (1,091 | ) | $ | 426 | $ | (665 | ) | |||||||||
Nine months ended September 30, | ||||||||||||||||||||||||
2010 | 2009 | |||||||||||||||||||||||
Interest | Net gain(loss) | Total change in | ||||||||||||||||||||||
expense on | Net gain(loss) | Total change in | Interest expense | due to | fair value included | |||||||||||||||||||
consolidated | due to changes in | fair value included in | on consolidated | changes in | in current period | |||||||||||||||||||
obligations | fair value | current period earnings | obligations | fair value | earnings | |||||||||||||||||||
Consolidated obligations-bonds | $ | (30,011 | ) | $ | (11,118 | ) | $ | (41,129 | ) | $ | (2,380 | ) | $ | 8,653 | $ | 6,273 | ||||||||
Consolidated obligations-discount notes | (2,222 | ) | (1,494 | ) | (3,716 | ) | — | — | — | |||||||||||||||
$ | (32,233 | ) | $ | (12,612 | ) | $ | (44,845 | ) | $ | (2,380 | ) | $ | 8,653 | $ | 6,273 | |||||||||
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September 30, 2010 | ||||||||||||
Principal | Fair value | |||||||||||
Balance | Fair value | over/(under) | ||||||||||
Consolidated obligations-bonds | $ | 10,751,000 | $ | 10,761,236 | $ | 10,236 | ||||||
Consolidated obligations-discount notes | 1,752,185 | 1,755,901 | 3,716 | |||||||||
$ | 12,503,185 | $ | 12,517,137 | $ | 13,952 | |||||||
December 31, 2009 | ||||||||||||
Principal | Fair value | |||||||||||
Balance | Fair value | over/(under) | ||||||||||
Consolidated obligations-bonds | $ | 6,040,000 | $ | 6,035,741 | $ | (4,259 | ) | |||||
Consolidated obligations-discount notes | — | — | — | |||||||||
$ | 6,040,000 | $ | 6,035,741 | $ | (4,259 | ) | ||||||
September 30, 2009 | ||||||||||||
Principal | Fair value | |||||||||||
Balance | Fair value | over/(under) | ||||||||||
Consolidated obligations-bonds | $ | 2,385,000 | $ | 2,385,968 | $ | 968 | ||||||
Consolidated obligations-discount notes | — | — | — | |||||||||
$ | 2,385,000 | $ | 2,385,968 | $ | 968 | |||||||
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49
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50
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September 30, 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 | $ | 38,972,100 | $ | 25,068,825 | $ | 6,634,375 | $ | 3,054,200 | $ | 73,729,500 | ||||||||||
Mandatorily redeemable capital stock1 | 45,708 | 14,650 | 2,037 | 4,953 | 67,348 | |||||||||||||||
Premises (lease obligations)2 | 3,060 | 6,284 | 4,748 | 4,674 | 18,766 | |||||||||||||||
Total contractual obligations | 39,020,868 | 25,089,759 | 6,641,160 | 3,063,827 | 73,815,614 | |||||||||||||||
Other commitments | ||||||||||||||||||||
Standby letters of credit | 1,824,089 | 20,012 | 17,472 | 3,861 | 1,865,434 | |||||||||||||||
Consolidated obligations-bonds/ discount notes traded not settled | 774,322 | — | — | — | 774,322 | |||||||||||||||
Open delivery commitments (MPF) | 20,675 | — | — | — | 20,675 | |||||||||||||||
Total other commitments | 2,619,086 | 20,012 | 17,472 | 3,861 | 2,660,431 | |||||||||||||||
Total obligations and commitments | $ | 41,639,954 | $ | 25,109,771 | $ | 6,658,632 | $ | 3,067,688 | $ | 76,476,045 | ||||||||||
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. |
51
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52
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September 30, 2010 | December 31, 2009 | |||||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | — | $ | 69,471 | $ | — | $ | 2,189,252 | ||||||||
Federal funds sold | — | 4,095,000 | — | 3,450,000 | ||||||||||||
Available-for-sale securities | — | 3,373,781 | — | 2,253,153 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | — | 8,221,246 | — | 10,519,282 | ||||||||||||
Advances | 85,697,171 | — | 94,348,751 | — | ||||||||||||
Mortgage loans 1 | — | 1,267,687 | — | 1,317,547 | ||||||||||||
Accrued interest receivable | 269,988 | 35,775 | 299,684 | 40,826 | ||||||||||||
Premises, software, and equipment | — | 14,550 | — | 14,792 | ||||||||||||
Derivative assets2 | — | 32,425 | — | 8,280 | ||||||||||||
Other assets3 | 208 | 16,236 | 179 | 19,160 | ||||||||||||
Total assets | $ | 85,967,367 | $ | 17,126,171 | $ | 94,648,614 | $ | 19,812,292 | ||||||||
Liabilities and capital | ||||||||||||||||
Deposits | $ | 3,730,257 | $ | — | $ | 2,630,511 | $ | — | ||||||||
Consolidated obligations | — | 92,706,801 | — | 104,835,617 | ||||||||||||
Mandatorily redeemable capital stock | 67,348 | — | 126,294 | — | ||||||||||||
Accrued interest payable | 15 | 277,632 | 16 | 277,772 | ||||||||||||
Affordable Housing Program4 | 137,995 | — | 144,489 | — | ||||||||||||
Payable to REFCORP | — | 20,560 | — | 24,234 | ||||||||||||
Derivative liabilities2 | — | 784,498 | — | 746,176 | ||||||||||||
Other liabilities5 | 50,339 | 51,109 | 29,330 | 43,176 | ||||||||||||
Total liabilities | $ | 3,985,954 | $ | 93,840,600 | $ | 2,930,640 | $ | 105,926,975 | ||||||||
Capital | 5,266,984 | — | 5,603,291 | — | ||||||||||||
Total liabilities and capital | $ | 9,252,938 | $ | 93,840,600 | $ | 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 | ||||||||||||||||
September 30, 2010 | September 30, 2009 | |||||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||||
Interest income | ||||||||||||||||
Advances | $ | 173,459 | $ | — | $ | 240,573 | $ | — | ||||||||
Interest-bearing deposits 1 | — | 1,699 | — | 1,014 | ||||||||||||
Federal funds sold | — | 2,253 | — | 1,864 | ||||||||||||
Available-for-sale securities | — | 7,580 | — | 6,590 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | — | 84,242 | — | 111,232 | ||||||||||||
Certificates of deposit | — | — | — | 851 | ||||||||||||
Mortgage loans2 | — | 16,333 | — | 17,405 | ||||||||||||
Loans to other FHLBanks and other | — | — | 1 | — | ||||||||||||
Total interest income | $ | 173,459 | $ | 112,107 | $ | 240,574 | $ | 138,956 | ||||||||
Interest expense | ||||||||||||||||
Consolidated obligations | $ | — | $ | 158,553 | $ | — | $ | 223,355 | ||||||||
Deposits | 959 | — | 516 | — | ||||||||||||
Mandatorily redeemable capital stock | 879 | — | 1,807 | — | ||||||||||||
Cash collateral held and other borrowings | — | 14 | — | — | ||||||||||||
Total interest expense | $ | 1,838 | $ | 158,567 | $ | 2,323 | $ | 223,355 | ||||||||
Service fees | $ | 1,297 | $ | — | $ | 1,101 | $ | — | ||||||||
1 | Includes de minimis amounts of interest income from MPF service provider. | |
2 | Includes de minimis amounts of mortgage interest income from loans purchased from members of another FHLBank. |
Nine months ended | ||||||||||||||||
September 30, 2010 | September 30, 2009 | |||||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||||
Interest income | ||||||||||||||||
Advances | $ | 477,303 | $ | — | $ | 1,094,089 | $ | — | ||||||||
Interest-bearing deposits 1 | — | 3,766 | — | 19,054 | ||||||||||||
Federal funds sold | — | 6,600 | — | 1,933 | ||||||||||||
Available-for-sale securities | — | 23,128 | — | 22,881 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | — | 274,686 | — | 355,916 | ||||||||||||
Certificates of deposit | — | — | — | 1,392 | ||||||||||||
Mortgage loans2 | — | 49,689 | — | 54,679 | ||||||||||||
Loans to other FHLBanks and other | — | — | 1 | — | ||||||||||||
Total interest income | $ | 477,303 | $ | 357,869 | $ | 1,094,090 | $ | 455,855 | ||||||||
Interest expense | ||||||||||||||||
Consolidated obligations | $ | — | $ | 481,738 | $ | — | $ | 956,923 | ||||||||
Deposits | 2,813 | — | 2,002 | — | ||||||||||||
Mandatorily redeemable capital stock | 3,051 | — | 5,478 | — | ||||||||||||
Cash collateral held and other borrowings | — | 14 | — | 49 | ||||||||||||
Total interest expense | $ | 5,864 | $ | 481,752 | $ | 7,480 | $ | 956,972 | ||||||||
Service fees | $ | 3,472 | $ | — | $ | 3,181 | $ | — | ||||||||
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. |
54
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September 30, 2010 | ||||||||||||||||||||
Percentage of | ||||||||||||||||||||
Par | Total Par Value | Interest Income | ||||||||||||||||||
City | State | Advances | of Advances | Three months | Nine months | |||||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,175,000 | 21.4 | % | $ | 178,029 | $ | 529,488 | ||||||||||
Metropolitan Life Insurance Company | New York | NY | 13,230,000 | 16.5 | 75,674 | 222,705 | ||||||||||||||
New York Community Bank* | Westbury | NY | 7,593,167 | 9.5 | 77,416 | 230,083 | ||||||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 4,969,500 | 6.2 | 16,368 | 40,514 | ||||||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 3,709,163 | 4.6 | 11,607 | 34,369 | ||||||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 2,735,000 | 3.4 | 27,463 | 83,763 | ||||||||||||||
The Prudential Insurance Co. of America | Newark | NJ | 2,500,000 | 3.1 | 17,971 | 60,244 | ||||||||||||||
Valley National Bank | Wayne | NJ | 2,361,500 | 2.9 | 24,677 | 73,885 | ||||||||||||||
Doral Bank | San Juan | PR | 1,531,420 | 1.9 | 16,471 | 53,041 | ||||||||||||||
New York Life Insurance Company | New York | NY | 1,500,000 | 1.9 | 4,274 | 11,166 | ||||||||||||||
Total | $ | 57,304,750 | 71.4 | % | $ | 449,950 | $ | 1,339,258 | ||||||||||||
* | Officer of member bank also served on the Board of Directors of the FHLBNY. |
December 31, 2009 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | 12-months | ||||||||||||||
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 Co. 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. |
September 30, 2009 | ||||||||||||||||||||
Percentage of | ||||||||||||||||||||
Par | Total Par Value | Interest Income | ||||||||||||||||||
City | State | Advances | of Advances | Three months | Nine months | |||||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,325,000 | 18.9 | % | $ | 178,896 | $ | 532,100 | ||||||||||
Metropolitan Life Insurance Company | New York | NY | 14,280,000 | 15.6 | 84,277 | 279,360 | ||||||||||||||
New York Community Bank* | Westbury | NY | 8,148,476 | 8.9 | 78,413 | 233,129 | ||||||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 5,493,756 | 6.0 | 19,133 | 83,856 | ||||||||||||||
The Prudential Insurance Co. of America | Newark | NJ | 3,500,000 | 3.8 | 22,448 | 71,473 | ||||||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 2,960,000 | 3.2 | 29,824 | 91,226 | ||||||||||||||
Emigrant Bank | New York | NY | 2,475,000 | 2.7 | 16,127 | 48,004 | ||||||||||||||
Doral Bank | San Juan | PR | 2,473,420 | 2.7 | 21,513 | 65,825 | ||||||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 2,382,000 | 2.6 | 12,854 | 34,658 | ||||||||||||||
Valley National Bank | Wayne | NJ | 2,338,500 | 2.6 | 25,608 | 78,322 | ||||||||||||||
Total | $ | 61,376,152 | 67.0 | % | $ | 489,093 | $ | 1,517,953 | ||||||||||||
* | At September 30, 2009, officer of member bank also served on the Board of Directors of the FHLBNY. |
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Number | Percent | |||||||||
September 30, 2010 | of shares | of total | ||||||||
Name of beneficial owner | Principal Executive Office Address | owned | capital stock | |||||||
Hudson City Savings Bank, FSB* | West 80 Century Road, Paramus, NJ 07652 | 8,787 | 18.57 | % | ||||||
Metropolitan Life Insurance Company | 200 Park Avenue, New York, NY 10166 | 7,339 | 15.51 | |||||||
New York Community Bank* | 615 Merrick Avenue, Westbury, NY 11590 | 4,002 | 8.46 | |||||||
Manufacturers and Traders Trust Company | One M&T Plaza, Buffalo, NY 14203 | 2,415 | 5.10 | |||||||
MetLife Bank N.A | 501 Route 22 Bridgewater, NJ 08807 | 2,398 | 5.07 | |||||||
24,941 | 52.71 | % | ||||||||
Number | Percent | |||||||||
December 31, 2009 | of shares | of total | ||||||||
Name of beneficial owner | Principal Executive Office Address | owned | capital stock | |||||||
Hudson City Savings Bank, FSB* | 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 served 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 | 64 | ||||||
1 | Interest Income – Principal Sources | 67 | ||||||
2 | Impact of Interest Rate Swaps on Interest Income Earned from Advances | 67 | ||||||
3 | Interest Expenses – Principal Categories | 68 | ||||||
4 | Impact of Interest Rate Swaps on Consolidated Obligation Interest Expense | 68 | ||||||
5 | Components of Net Interest Income | 69 | ||||||
6 | Net Interest Adjustments from Hedge Qualifying Interest-Rate Swaps | 71 | ||||||
7 | GAAP Versus Economic Basis – Contrasting Net Interest Income, Net Income Spread and Return on Earning Assets | 72 | ||||||
8 | Spread and Yield Analysis | 73 | ||||||
9 | Rate and Volume Analysis | 74 | ||||||
10 | Provision for Credit Losses on Mortgage Loans and Other Income | 75 | ||||||
11 | Net Gains (Losses) from Derivatives and Hedging Activities | 77 | ||||||
12 | Gain/(Losses) Reclassified from AOCI to Current Period Income from Cash Flow Hedges | 79 | ||||||
13 | Operating Expenses | 80 | ||||||
14 | Statements of Condition | 81 | ||||||
15 | Advances by Product Type | 83 | ||||||
16 | Investments by Categories | 86 | ||||||
17 | Mortgage-Backed Securities – Held-to-Maturity by Issuer | 87 | ||||||
18 | Available-for-Sale Securities – Composition | 87 | ||||||
19 | External Rating of the Held-to-Maturity Portfolio | 88 | ||||||
20 | External Rating of the Available-for-Sale Portfolio | 88 | ||||||
21 | Mortgage-Backed Securities Weighted Average Rates by Contractual Maturities | 88 | ||||||
22 | Mortgage Loans by Loan Type | 91 | ||||||
23 | Consolidated Obligation Bonds by Type | 94 | ||||||
24 | Discount Notes Outstanding | 97 | ||||||
25 | Roll-Forward Mandatorily Redeemable Capital Stock | 98 | ||||||
26 | Derivative Hedging Strategies | 100 | ||||||
27 | Derivatives Financial Instruments by Hedge Designation | 101 | ||||||
28 | Derivative Financial Instruments by Product | 101 | ||||||
29 | Advances and Mortgage Loan Portfolios | 102 | ||||||
30 | Collateral Supporting Advances to Members | 103 | ||||||
31 | Collateral Supporting Member Obligations Other Than Advances | 104 | ||||||
32 | Location of Collateral Held | 104 | ||||||
33 | Concentration analysis – Top Ten Advance Holders | 105 | ||||||
34 | Period-Over-Period Change in Investments | 105 | ||||||
35 | NRSRO Held-to-Maturity Securities | 106 | ||||||
36 | NRSRO Available-for-Sale Securities | 106 | ||||||
37 | Carrying Value Basis of Held-to-Maturity Mortgage-Backed Securities by Issuer | 107 | ||||||
38 | Non-Agency Private Label Mortgage Securities | 107 | ||||||
39 | OTTI in 2010 | 108 | ||||||
40 | Monoline Insurance of PLMBS | 108 | ||||||
41 | PLMBS by Year of Securitization and External Rating | 109 | ||||||
42 | Weighted-Average Market Price of MBS | 110 | ||||||
43 | Roll-Forward First Loss Account | 111 | ||||||
44 | Mortgage Loans – Past Due | 111 | ||||||
45 | Mortgage Loans – Interest Short-Fall | 112 | ||||||
46 | Mortgage Loans – Allowance for Credit Losses | 112 | ||||||
47 | Top Five Participating Financial Institutions – Concentration | 112 | ||||||
48 | Credit Exposure by Counterparty Credit Rating | 114 | ||||||
49 | Contractual Obligations and Other Commitments | 116 | ||||||
50 | Deposit Liquidity | 117 | ||||||
51 | Operational Liquidity | 117 | ||||||
52 | Contingency Liquidity | 118 | ||||||
53 | Consolidated Obligation – Original Maturities Less Than One Year | 119 | ||||||
54 | Unpledged Assets | 119 | ||||||
55 | FHFA MBS Limits | �� | 119 | |||||
56 | FHLBNY Ratings | 120 |
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Statements of Condition | September 30, | June 30, | March 31, | December 31, | September 30, | |||||||||||||||
(dollars in millions) | 2010 | 2010 | 2010 | 2009 | 2009 | |||||||||||||||
Investments (1) | $ | 15,690 | $ | 14,971 | $ | 15,561 | $ | 16,222 | $ | 18,741 | ||||||||||
Interest bearing balance at FRB ** | — | — | — | — | — | |||||||||||||||
Advances | 85,697 | 85,286 | 88,859 | 94,349 | 95,945 | |||||||||||||||
Mortgage loans held-for-portfolio, net of allowance for credit losses (2) | 1,268 | 1,283 | 1,288 | 1,318 | 1,336 | |||||||||||||||
Total assets | 103,094 | 105,183 | 107,239 | 114,461 | 117,604 | |||||||||||||||
Deposits and borrowings | 3,730 | 4,795 | 7,977 | 2,631 | 2,276 | |||||||||||||||
Consolidated obligations, net | ||||||||||||||||||||
Bonds | 74,919 | 66,247 | 72,408 | 74,008 | 69,671 | |||||||||||||||
Discount notes | 17,788 | 27,481 | 19,816 | 30,828 | 38,385 | |||||||||||||||
Total consolidated obligations | 92,707 | 93,728 | 92,224 | 104,836 | 108,056 | |||||||||||||||
Mandatorily redeemable capital stock | 67 | 70 | 105 | 126 | 128 | |||||||||||||||
AHP liability | 138 | 144 | 146 | 144 | 145 | |||||||||||||||
REFCORP liability | 21 | 14 | 14 | 24 | 39 | |||||||||||||||
Capital | ||||||||||||||||||||
Capital stock | 4,664 | 4,680 | 4,828 | 5,059 | 5,142 | |||||||||||||||
Retained earnings | 701 | 676 | 672 | 689 | 666 | |||||||||||||||
Accumulated other comprehensive income (loss) | (98 | ) | (109 | ) | (124 | ) | (145 | ) | (147 | ) | ||||||||||
Total capital | 5,267 | 5,247 | 5,376 | 5,603 | 5,661 | |||||||||||||||
Equity to asset ratio (3) | 5.11 | % | 4.99 | % | 5.01 | % | 4.90 | % | 4.81 | % |
Three months ended | Nine months ended | |||||||||||||||||||||||||||
Statements of Condition | September 30, | June 30, | March 31, | December 31, | September 30, | September 30, | September 30, | |||||||||||||||||||||
Averages(dollars in millions) | 2010 | 2010 | 2010 | 2009 | 2009 | 2010 | 2009 | |||||||||||||||||||||
Investments (1) | $ | 16,996 | $ | 18,757 | $ | 17,711 | $ | 18,650 | $ | 19,764 | $ | 17,811 | $ | 5,053 | ||||||||||||||
Interest-bearing balance at FRB ** | — | — | — | — | — | — | 8,062 | |||||||||||||||||||||
Advances | 84,164 | 85,609 | 91,415 | 94,193 | 96,704 | 87,036 | 100,574 | |||||||||||||||||||||
Mortgage loans | 1,274 | 1,281 | 1,299 | 1,333 | 1,357 | 1,285 | 1,403 | |||||||||||||||||||||
Total assets | 106,179 | 108,325 | 113,116 | 117,289 | 120,754 | 109,181 | 128,215 | |||||||||||||||||||||
Interest-bearing deposits and other borrowings | 5,062 | 5,212 | 5,050 | 2,361 | 2,083 | 5,108 | 2,006 | |||||||||||||||||||||
Consolidated obligations, net | ||||||||||||||||||||||||||||
Bonds | 69,817 | 71,738 | 74,297 | 73,264 | 69,604 | 71,934 | 71,388 | |||||||||||||||||||||
Discount notes | 21,317 | 22,354 | 24,555 | 31,741 | 39,521 | 22,730 | 44,783 | |||||||||||||||||||||
Total consolidated obligations | 91,134 | 94,092 | 98,852 | 105,005 | 109,125 | 94,664 | 116,171 | |||||||||||||||||||||
Mandatorily redeemable capital stock | 68 | 96 | 108 | 143 | 128 | 91 | 135 | |||||||||||||||||||||
AHP liability | 141 | 144 | 144 | 144 | 139 | 143 | 132 | |||||||||||||||||||||
REFCORP liability | 10 | 7 | 9 | 15 | 23 | 9 | 23 | |||||||||||||||||||||
Capital | ||||||||||||||||||||||||||||
Capital stock | 4,611 | 4,719 | 4,929 | 5,030 | 5,195 | 4,752 | 5,315 | |||||||||||||||||||||
Retained earnings | 679 | 661 | 658 | 666 | 611 | 666 | 522 | |||||||||||||||||||||
Accumulated other comprehensive income (loss) | (106 | ) | (120 | ) | (141 | ) | (136 | ) | (125 | ) | (122 | ) | (95 | ) | ||||||||||||||
Total capital | 5,184 | 5,260 | 5,446 | 5,560 | 5,681 | 5,296 | 5,742 |
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Operating Results and other data | ||||||||||||||||||||||||||||
(dollars in millions) | Three months ended | Nine months ended | ||||||||||||||||||||||||||
(except earnings, headcount, | September 30, | June 30, | March 31, | December 31, | September 30, | September 30, | September 30, | |||||||||||||||||||||
and dividends per share) | 2010 | 2010 | 2010 | 2009 | 2009 | 2010 | 2009 | |||||||||||||||||||||
Net interest income (4) | $ | 125 | $ | 116 | $ | 106 | $ | 116 | $ | 154 | $ | 348 | $ | 585 | ||||||||||||||
Net income | 79 | 57 | 54 | 97 | 140 | 189 | 475 | |||||||||||||||||||||
Dividends paid in cash (7) | 54 | 52 | 71 | 74 | 74 | 177 | 191 | |||||||||||||||||||||
AHP expense | 9 | 6 | 6 | 10 | 16 | 21 | 53 | |||||||||||||||||||||
REFCORP expense | 20 | 14 | 13 | 24 | 35 | 47 | 119 | |||||||||||||||||||||
Return on average equity* (5) | 6.03 | % | 4.32 | % | 3.99 | % | 6.85 | % | 9.79 | % | 4.77 | % | 11.06 | % | ||||||||||||||
Return on average assets* | 0.29 | % | 0.21 | % | 0.19 | % | 0.32 | % | 0.46 | % | 0.23 | % | 0.50 | % | ||||||||||||||
Net OTTI impairment losses | (3 | ) | $ | (1 | ) | $ | (3 | ) | $ | (7 | ) | $ | (4 | ) | (8 | ) | $ | (14 | ) | |||||||||
Other non-interest income (loss) | 9 | (15 | ) | (8 | ) | 48 | 61 | (13 | ) | 137 | ||||||||||||||||||
Total other income (loss) | 6 | (16 | ) | (11 | ) | 41 | 57 | (21 | ) | 123 | ||||||||||||||||||
Operating expenses | 22 | 20 | 19 | 22 | 18 | 61 | 54 | |||||||||||||||||||||
Finance Agency and Office of Finance | 2 | 2 | 3 | 2 | 2 | 6 | 6 | |||||||||||||||||||||
Total other expenses | 24 | 22 | 22 | 24 | 20 | 67 | 60 | |||||||||||||||||||||
Operating expenses ratio* (6) | 0.08 | % | 0.08 | % | 0.07 | % | 0.07 | % | 0.06 | % | 0.07 | % | 0.06 | % | ||||||||||||||
Earnings per share | $ | 1.71 | $ | 1.20 | $ | 1.09 | $ | 1.94 | $ | 2.70 | $ | 3.98 | $ | 8.93 | ||||||||||||||
Dividend per share | $ | 1.15 | $ | 1.05 | $ | 1.41 | $ | 1.42 | $ | 1.40 | $ | 3.60 | $ | 3.54 | ||||||||||||||
Headcount (Full/part time) | 269 | 270 | 266 | 264 | 259 | 269 | 259 |
(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 $5.5 million, $5.4 million, $5.2 million, $4.5 million, and $3.4 million at the periods ended September 30, 2010, June 30, 2010, March 31, 2010, December 31, 2009 and September 30, 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 September 30, | Nine months ended September 30, | |||||||||||||||||||||||
Percentage | Percentage | |||||||||||||||||||||||
2010 | 2009 | Variance | 2010 | 2009 | Variance | |||||||||||||||||||
Interest Income | ||||||||||||||||||||||||
Advances | $ | 173,459 | $ | 240,573 | (27.90 | )% | $ | 477,303 | $ | 1,094,089 | (56.37 | )% | ||||||||||||
Interest-bearing deposits | 1,699 | 1,014 | 67.55 | 3,766 | 19,054 | (80.24 | ) | |||||||||||||||||
Federal funds sold | 2,253 | 1,864 | 20.87 | 6,600 | 1,933 | NM | ||||||||||||||||||
Available-for-sale securities | 7,580 | 6,590 | 15.02 | 23,128 | 22,881 | 1.08 | ||||||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||||||
Long-term securities | 84,242 | 111,232 | (24.26 | ) | 274,686 | 355,916 | (22.82 | ) | ||||||||||||||||
Certificates of deposit | — | 851 | (100.00 | ) | — | 1,392 | (100.00 | ) | ||||||||||||||||
Mortgage loans held-for-portfolio | 16,333 | 17,405 | (6.16 | ) | 49,689 | 54,679 | (9.13 | ) | ||||||||||||||||
Loans to other FHLBanks and other | — | 1 | (100.00 | ) | — | 1 | (100.00 | ) | ||||||||||||||||
Total interest income | $ | 285,566 | $ | 379,530 | (24.76 | )% | $ | 835,172 | $ | 1,549,945 | (46.12 | )% | ||||||||||||
Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Advance Interest Income | ||||||||||||||||
Advance interest income before adjustment for interest rate swaps | $ | 651,672 | $ | 743,687 | $ | 1,996,172 | $ | 2,345,699 | ||||||||
Net interest adjustment from interest rate swaps1 | (478,213 | ) | (503,114 | ) | (1,518,869 | ) | (1,251,610 | ) | ||||||||
Total Advance interest income reported | $ | 173,459 | $ | 240,573 | $ | 477,303 | $ | 1,094,089 | ||||||||
1 | Interest portion only |
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Three months ended September 30, | Nine months ended September 30, | |||||||||||||||||||||||
Percentage | Percentage | |||||||||||||||||||||||
2010 | 2009 | Variance | 2010 | 2009 | Variance | |||||||||||||||||||
Interest Expense | ||||||||||||||||||||||||
Consolidated obligations-bonds | $ | 147,097 | $ | 191,708 | (23.27 | )% | $ | 448,669 | $ | 783,695 | (42.75 | )% | ||||||||||||
Consolidated obligations-discount notes | 11,456 | 31,647 | (63.80 | ) | 33,069 | 173,228 | (80.91 | ) | ||||||||||||||||
Deposits | 959 | 516 | 85.85 | 2,813 | 2,002 | 40.51 | ||||||||||||||||||
Mandatorily redeemable capital stock | 879 | 1,807 | (51.36 | ) | 3,051 | 5,478 | (44.30 | ) | ||||||||||||||||
Cash collateral held and other borrowings | 14 | — | NM | 14 | 49 | (71.43 | ) | |||||||||||||||||
Total interest expense | $ | 160,405 | $ | 225,678 | (28.92 | )% | $ | 487,616 | $ | 964,452 | (49.44 | )% | ||||||||||||
Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Consolidated bonds and discount notes-Interest expense | ||||||||||||||||
Bonds-Interest expense before adjustment for swaps | $ | 285,874 | $ | 343,175 | $ | 933,744 | $ | 1,167,845 | ||||||||
Discount notes-Interest expense before adjustment for swaps | 11,456 | 31,647 | 33,069 | 173,702 | ||||||||||||
Net interest adjustment for interest rate swaps1 | (138,777 | ) | (151,467 | ) | (485,075 | ) | (384,624 | ) | ||||||||
Total Consolidated bonds and discount notes-interest expense reported | $ | 158,553 | $ | 223,355 | $ | 481,738 | $ | 956,923 | ||||||||
1 | Interest portion only |
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• | 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. |
Three months ended September 30, | ||||||||||||
Percentage | ||||||||||||
2010 | 2009 | Variance | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 173,459 | $ | 240,573 | (27.90 | )% | ||||||
Interest-bearing deposits | 1,699 | 1,014 | 67.55 | |||||||||
Federal funds sold | 2,253 | 1,864 | 20.87 | |||||||||
Available-for-sale securities | 7,580 | 6,590 | 15.02 | |||||||||
Held-to-maturity securities | ||||||||||||
Long-term securities | 84,242 | 111,232 | (24.26 | ) | ||||||||
Certificates of deposit | — | 851 | (100.00 | ) | ||||||||
Mortgage loans held-for-portfolio | 16,333 | 17,405 | (6.16 | ) | ||||||||
Loans to other FHLBanks and other | — | 1 | (100.00 | ) | ||||||||
Total interest income | 285,566 | 379,530 | (24.76 | ) | ||||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | 147,097 | 191,708 | (23.27 | ) | ||||||||
Consolidated obligations-discount notes | 11,456 | 31,647 | (63.80 | ) | ||||||||
Deposits | 959 | 516 | 85.85 | |||||||||
Mandatorily redeemable capital stock | 879 | 1,807 | (51.36 | ) | ||||||||
Cash collateral held and other borrowings | 14 | — | N/A | |||||||||
Total interest expense | 160,405 | 225,678 | (28.92 | ) | ||||||||
Net interest income before provision for credit losses | $ | 125,161 | $ | 153,852 | (18.65 | )% | ||||||
Nine months ended September 30, | ||||||||||||
Percentage | ||||||||||||
2010 | 2009 | Variance | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 477,303 | $ | 1,094,089 | (56.37 | )% | ||||||
Interest-bearing deposits | 3,766 | 19,054 | (80.24 | ) | ||||||||
Federal funds sold | 6,600 | 1,933 | 241.44 | |||||||||
Available-for-sale securities | 23,128 | 22,881 | 1.08 | |||||||||
Held-to-maturity securities | ||||||||||||
Long-term securities | 274,686 | 355,916 | (22.82 | ) | ||||||||
Certificates of deposit | — | 1,392 | (100.00 | ) | ||||||||
Mortgage loans held-for-portfolio | 49,689 | 54,679 | (9.13 | ) | ||||||||
Loans to other FHLBanks and other | — | 1 | (100.00 | ) | ||||||||
Total interest income | 835,172 | 1,549,945 | (46.12 | ) | ||||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | 448,669 | 783,695 | (42.75 | ) | ||||||||
Consolidated obligations-discount notes | 33,069 | 173,228 | (80.91 | ) | ||||||||
Deposits | 2,813 | 2,002 | 40.51 | |||||||||
Mandatorily redeemable capital stock | 3,051 | 5,478 | (44.30 | ) | ||||||||
Cash collateral held and other borrowings | 14 | 49 | (71.43 | ) | ||||||||
Total interest expense | 487,616 | 964,452 | (49.44 | ) | ||||||||
Net interest income before provision for credit losses | $ | 347,556 | $ | 585,493 | (40.64 | )% | ||||||
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Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Interest Income | $ | 763,779 | $ | 882,644 | $ | 2,354,041 | $ | 2,801,555 | ||||||||
Net interest adjustment from interest rate swaps | (478,213 | ) | (503,114 | ) | (1,518,869 | ) | (1,251,610 | ) | ||||||||
Reported interest income | 285,566 | 379,530 | 835,172 | 1,549,945 | ||||||||||||
Interest Expense | 299,182 | 377,145 | 972,691 | 1,349,076 | ||||||||||||
Net interest adjustment from interest rate swaps | (138,777 | ) | (151,467 | ) | (485,075 | ) | (384,624 | ) | ||||||||
Reported interest expense | 160,405 | 225,678 | 487,616 | 964,452 | ||||||||||||
Net interest income (Margin) | $ | 125,161 | $ | 153,852 | $ | 347,556 | $ | 585,493 | ||||||||
Net interest adjustment — interest rate swaps | $ | (339,436 | ) | $ | (351,647 | ) | $ | (1,033,794 | ) | $ | (866,986 | ) | ||||
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. |
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Three months ended September 30, 2010 | Three months ended September 30, 2009 | |||||||||||||||||||||||
Amount | ROA | Net Spread | Amount | ROA | Net Spread | |||||||||||||||||||
GAAP net interest income | $ | 125,161 | 0.47 | % | 0.41 | % | $ | 153,852 | 0.51 | % | 0.45 | % | ||||||||||||
Interest income (expense) | ||||||||||||||||||||||||
Swaps not designated in a hedging relationship | 7,854 | 0.03 | 0.03 | 19,141 | 0.06 | 0.07 | ||||||||||||||||||
Economic net interest income | $ | 133,015 | 0.50 | % | 0.44 | % | $ | 172,993 | 0.57 | % | 0.52 | % | ||||||||||||
Nine months ended September 30, 2010 | Nine months ended September 30, 2009 | |||||||||||||||||||||||
Amount | ROA | Net Spread | Amount | ROA | Net Spread | |||||||||||||||||||
GAAP net interest income | $ | 347,556 | 0.43 | % | 0.38 | % | $ | 585,493 | 0.61 | % | 0.53 | % | ||||||||||||
Interest income (expense) | ||||||||||||||||||||||||
Swaps not designated in a hedging relationship | 67,822 | 0.08 | 0.09 | (36,869 | ) | (0.03 | ) | (0.05 | ) | |||||||||||||||
Economic net interest income | $ | 415,378 | 0.51 | % | 0.47 | % | $ | 548,624 | 0.58 | % | 0.48 | % | ||||||||||||
2 | In the 2010 quarters and in the same periods 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 economic hedges represented cash in-flows and out-flows. In compliance with accounting standards for derivatives and hedging, interest income and expense from derivatives that did not qualify under hedge accounting 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 September 30, | ||||||||||||||||||||||||
2010 | 2009 | |||||||||||||||||||||||
Interest | Interest | |||||||||||||||||||||||
Average | Income/ | Average | Income/ | |||||||||||||||||||||
(Dollars in thousands) | Balance | Expense | Rate1 | Balance | Expense | Rate1 | ||||||||||||||||||
Earning Assets: | ||||||||||||||||||||||||
Advances | $ | 84,163,767 | $ | 173,459 | 0.82 | % | $ | 96,703,710 | $ | 240,573 | 0.99 | % | ||||||||||||
Certificates of deposit and other | 3,297,811 | 1,699 | 0.20 | 4,105,978 | 1,866 | 0.18 | ||||||||||||||||||
Federal funds sold and other overnight funds | 5,339,728 | 2,253 | 0.17 | 5,105,043 | 1,864 | 0.14 | ||||||||||||||||||
Investments | 11,633,953 | 91,822 | 3.13 | 12,907,450 | 117,822 | 3.62 | ||||||||||||||||||
Mortgage and other loans | 1,273,893 | 16,333 | 5.09 | 1,360,907 | 17,405 | 5.07 | ||||||||||||||||||
Total interest-earning assets | $ | 105,709,152 | $ | 285,566 | 1.07 | % | $ | 120,183,088 | $ | 379,530 | 1.25 | % | ||||||||||||
Funded By: | ||||||||||||||||||||||||
Consolidated obligations-bonds | $ | 69,817,290 | $ | 147,097 | 0.84 | $ | 69,604,012 | $ | 191,708 | 1.09 | ||||||||||||||
Consolidated obligations-discount notes | 21,316,412 | 11,456 | 0.21 | 39,520,933 | 31,647 | 0.32 | ||||||||||||||||||
Interest-bearing deposits and other borrowings | 5,089,995 | 973 | 0.08 | 2,084,189 | 516 | 0.10 | ||||||||||||||||||
Mandatorily redeemable capital stock | 68,498 | 879 | 5.09 | 127,964 | 1,807 | 5.60 | ||||||||||||||||||
Total interest-bearing liabilities | 96,292,195 | 160,405 | 0.66 | % | 111,337,098 | 225,678 | 0.80 | % | ||||||||||||||||
Capital and other non-interest- bearing funds | 9,416,957 | — | 8,845,990 | — | ||||||||||||||||||||
Total Funding | $ | 105,709,152 | $ | 160,405 | $ | 120,183,088 | $ | 225,678 | ||||||||||||||||
Net Interest Income/Spread | $ | 125,161 | 0.41 | % | $ | 153,852 | 0.45 | % | ||||||||||||||||
Net Interest Margin (Net interest income/Earning Assets) | 0.47 | % | 0.51 | % | ||||||||||||||||||||
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. |
Nine months ended September 30, | ||||||||||||||||||||||||
2010 | 2009 | |||||||||||||||||||||||
Interest | Interest | |||||||||||||||||||||||
�� | Average | Income/ | Average | Income/ | ||||||||||||||||||||
(Dollars in thousands) | Balance | Expense | Rate1 | Balance | Expense | Rate1 | ||||||||||||||||||
Earning Assets: | ||||||||||||||||||||||||
Advances | $ | 87,036,068 | $ | 477,303 | 0.73 | % | $ | 100,573,968 | $ | 1,094,089 | 1.45 | % | ||||||||||||
Certificates of deposit and other | 2,619,259 | 3,766 | 0.19 | 3,244,842 | 20,447 | 0.84 | ||||||||||||||||||
Federal funds sold and other overnight funds | 5,682,315 | 6,600 | 0.16 | 9,640,541 | 1,933 | 0.03 | ||||||||||||||||||
Investments | 12,116,261 | 297,814 | 3.29 | 12,660,109 | 378,797 | 4.00 | ||||||||||||||||||
Mortgage and other loans | 1,284,879 | 49,689 | 5.17 | 1,404,958 | 54,679 | 5.20 | ||||||||||||||||||
Total interest-earning assets | $ | 108,738,782 | $ | 835,172 | 1.03 | % | $ | 127,524,418 | $ | 1,549,945 | 1.62 | % | ||||||||||||
Funded By: | ||||||||||||||||||||||||
Consolidated obligations-bonds | $ | 71,934,296 | $ | 448,669 | 0.83 | $ | 71,387,598 | $ | 783,695 | 1.47 | ||||||||||||||
Consolidated obligations-discount notes | 22,730,205 | 33,069 | 0.19 | 44,783,185 | 173,228 | 0.52 | ||||||||||||||||||
Interest-bearing deposits and other borrowings | 5,119,117 | 2,827 | 0.07 | 2,040,807 | 2,051 | 0.13 | ||||||||||||||||||
Mandatorily redeemable capital stock | 90,964 | 3,051 | 4.48 | 135,084 | 5,478 | 5.42 | ||||||||||||||||||
Total interest-bearing liabilities | 99,874,582 | 487,616 | 0.65 | % | 118,346,674 | 964,452 | 1.09 | % | ||||||||||||||||
Capital and other non-interest- bearing funds | 8,864,200 | — | 9,177,744 | — | ||||||||||||||||||||
Total Funding | $ | 108,738,782 | $ | 487,616 | $ | 127,524,418 | $ | 964,452 | ||||||||||||||||
Net Interest Income/Spread | $ | 347,556 | 0.38 | % | $ | 585,493 | 0.53 | % | ||||||||||||||||
Net Interest Margin (Net interest income/Earning Assets) | 0.43 | % | 0.61 | % | ||||||||||||||||||||
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For the three months ended | ||||||||||||
September 30, 2010 vs. September 30, 2009 | ||||||||||||
Increase (decrease) | ||||||||||||
Volume | Rate | Total | ||||||||||
Interest Income | ||||||||||||
Advances | $ | (28,893 | ) | $ | (38,221 | ) | $ | (67,114 | ) | |||
Certificates of deposit and other | (397 | ) | 230 | (167 | ) | |||||||
Federal funds sold and other overnight funds | 89 | 300 | 389 | |||||||||
Investments | (10,962 | ) | (15,038 | ) | (26,000 | ) | ||||||
Mortgage loans and other loans | (1,115 | ) | 43 | (1,072 | ) | |||||||
Total interest income | (41,278 | ) | (52,686 | ) | (93,964 | ) | ||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | 586 | (45,197 | ) | (44,611 | ) | |||||||
Consolidated obligations-discount notes | (11,780 | ) | (8,411 | ) | (20,191 | ) | ||||||
Deposits and borrowings | 597 | (140 | ) | 457 | ||||||||
Mandatorily redeemable capital stock | (777 | ) | (151 | ) | (928 | ) | ||||||
Total interest expense | (11,374 | ) | (53,899 | ) | (65,273 | ) | ||||||
Changes in Net Interest Income | $ | (29,904 | ) | $ | 1,213 | $ | (28,691 | ) | ||||
For the nine months ended | ||||||||||||
September 30, 2010 vs. September 30, 2009 | ||||||||||||
Increase (decrease) | ||||||||||||
Volume | Rate | Total | ||||||||||
Interest Income | ||||||||||||
Advances | $ | (131,680 | ) | $ | (485,106 | ) | $ | (616,786 | ) | |||
Certificates of deposit and other | (3,334 | ) | (13,347 | ) | (16,681 | ) | ||||||
Federal funds sold and other overnight funds | (1,094 | ) | 5,761 | 4,667 | ||||||||
Investments | (15,709 | ) | (65,274 | ) | (80,983 | ) | ||||||
Mortgage loans and other loans | (4,645 | ) | (345 | ) | (4,990 | ) | ||||||
Total interest income | (156,462 | ) | (558,311 | ) | (714,773 | ) | ||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | 5,957 | (340,983 | ) | (335,026 | ) | |||||||
Consolidated obligations-discount notes | (61,827 | ) | (78,332 | ) | (140,159 | ) | ||||||
Deposits and borrowings | 2,019 | (1,243 | ) | 776 | ||||||||
Mandatorily redeemable capital stock | (1,586 | ) | (841 | ) | (2,427 | ) | ||||||
Total interest expense | (55,437 | ) | (421,399 | ) | (476,836 | ) | ||||||
Changes in Net Interest Income | $ | (101,025 | ) | $ | (136,912 | ) | $ | (237,937 | ) | |||
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Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Provision for credit losses on mortgage loans | $ | (231 | ) | $ | (598 | ) | $ | (1,137 | ) | $ | (1,966 | ) | ||||
Other income (loss): | ||||||||||||||||
Service fees | $ | 1,297 | $ | 1,101 | $ | 3,472 | $ | 3,181 | ||||||||
Instruments held at fair value-Unrealized (loss) gain | 55 | 426 | (12,612 | ) | 8,653 | |||||||||||
Total OTTI losses | (498 | ) | (30,169 | ) | (4,573 | ) | (118,160 | ) | ||||||||
Net amount of impairment losses reclassified (from) to Accumulated other comprehensive loss | (2,569 | ) | 26,486 | (3,164 | ) | 103,884 | ||||||||||
Net impairment losses recognized in earnings | (3,067 | ) | (3,683 | ) | (7,737 | ) | (14,276 | ) | ||||||||
Net realized and unrealized (loss) gain on derivatives and hedging activities | 8,444 | 59,639 | (3,344 | ) | 124,613 | |||||||||||
Net realized gain from sale of available-for-sale securities | — | — | 708 | 721 | ||||||||||||
Other | (624 | ) | (39 | ) | (1,493 | ) | 59 | |||||||||
Total other income (loss) | $ | 6,105 | $ | 57,444 | $ | (21,006 | ) | $ | 122,951 | |||||||
• | Mortgage loans held-for-portfolio- The Bank recorded a provision of $0.2 million in the 2010 third quarter and $0.6 million in the same period in 2009 in the Statements of Income based on identification of inherent losses under a policy described more fully in Note – 1 Significant Accounting Policies and Estimates to the unaudited financial statements in this report. Charge offs were insignificant in all periods, and were substantially recovered through the credit enhancement provisions of MPF loans. Cumulatively, the allowance for credit losses recorded in the Statements of Condition have grown to $5.5 million at September 30, 2010, compared to $4.5 million at December 31, 2009. The FHLBNY believes the allowance for loan losses is adequate to cover the losses inherent in the FHLBNY’s mortgage loan portfolio at September 30, 2010 and December 31, 2009. |
• | Advances- The FHLBNY’s credit risk from advances at September 30, 2010 and December 31, 2009 were concentrated in commercial banks, savings institutions and insurance companies. All advances were fully collateralized during their entire term. In addition, borrowing members pledged their stock in the FHLBNY as additional collateral for advances. The FHLBNY has not experienced any losses on credit extended to any member since its inception. Based on the collateral held as security and prior repayment history, no allowance for losses is currently deemed necessary. |
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Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Gain (Loss) | Gain (Loss) | Gain (Loss) | Gain (Loss) | |||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | $ | 1,215 | $ | 182 | $ | 439 | $ | (5,107 | ) | |||||||
Consolidated obligations-bonds | (1,507 | ) | 167 | 2,308 | 18,187 | |||||||||||
Net gain (loss) related to fair value hedge ineffectiveness | (292 | ) | 349 | 2,747 | 13,080 | |||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||
Economic hedges | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | (1,203 | ) | (1,475 | ) | (3,164 | ) | 3,887 | |||||||||
Consolidated obligations-bonds | 6,753 | 28,420 | (29,762 | ) | 101,662 | |||||||||||
Consolidated obligations-discount notes | (231 | ) | (5,711 | ) | (4,331 | ) | 409 | |||||||||
Member intermediation | 202 | (16 | ) | 357 | (189 | ) | ||||||||||
Balance sheet-macro hedges swaps | — | 210 | 173 | 2,617 | ||||||||||||
Fair Values | 5,521 | 21,428 | (36,727 | ) | 108,386 | |||||||||||
Accrued interest-swaps | 2,381 | 18,362 | 46,900 | (37,772 | ) | |||||||||||
Accrued interest-intermediation | 42 | 20 | 91 | 64 | ||||||||||||
Interest accrual | 2,423 | 18,382 | 46,991 | (37,708 | ) | |||||||||||
Total swaps | 7,944 | 39,810 | 10,264 | 70,678 | ||||||||||||
Caps and floors | ||||||||||||||||
Advances | (19 | ) | (305 | ) | (418 | ) | (1,056 | ) | ||||||||
Balance sheet | (14,618 | ) | 19,196 | (47,901 | ) | 50,613 | ||||||||||
Fair Values | (14,637 | ) | 18,891 | (48,319 | ) | 49,557 | ||||||||||
Accrued interest-options | — | (1,786 | ) | (2,598 | ) | (3,731 | ) | |||||||||
Total caps and floors | (14,637 | ) | 17,105 | (50,917 | ) | 45,826 | ||||||||||
Mortgage delivery commitments | 257 | 47 | 811 | (49 | ) | |||||||||||
Swaps economically hedging instruments designated under FVO | ||||||||||||||||
Consolidated obligations-bonds | 8,025 | 1,549 | 10,381 | (5,825 | ) | |||||||||||
Consolidated obligations-discount notes | 1,674 | — | 2,448 | — | ||||||||||||
Fair values | 9,699 | 1,549 | 12,829 | (5,825 | ) | |||||||||||
Accrued interest on swaps | 5,473 | 779 | 20,922 | 903 | ||||||||||||
Swaps hedging insturments designated under FVO | 15,172 | 2,328 | 33,751 | (4,922 | ) | |||||||||||
Net gain (loss) related to derivatives not designated as hedging instruments | 8,736 | 59,290 | (6,091 | ) | 111,533 | |||||||||||
Net realized and unrealized (loss) gain on derivatives and hedging activities | $ | 8,444 | $ | 59,639 | $ | (3,344 | ) | $ | 124,613 | |||||||
• | 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 since December 31, 2009 primarily because of lower volatilities for such caps. As a result, purchased caps are exhibiting fair value losses. The fair values of the caps, which stood at $23.6 million at September 30, 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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• | Consolidated bond economic hedges – Unrealized gains and losses were generated primarily by: (1) Basis swaps that synthetically converted floating-rate debt (based on non- 3-month LIBOR: Prime rate, Federal funds rate, and 1-month LIBOR rate) to 3-month LIBOR cash flows, and (2) Short-term callable debt swapped by mirror image interest rate swaps. The “pay-leg” of the basis swaps floats with changes to the 3-month LIBOR index. The “receive-leg” floats with changes to indices other than 3-month LIBOR. In 2010, a significant percentage of basis swaps matured, or the swaps were nearing maturity and unrealized gains at December 31, 2009 reversed. When swaps mature, all previously recorded fair value gains and losses reverse. In the 2010 third quarter, recorded gains were reversal of previously recorded net unrealized losses, primarily due to maturing short-term cancellable swaps in economic hedges of callable bonds. |
• | Consolidated discount note economic hedges – The FHLBNY hedges the principal amounts of certain term discount notes to convert fixed cash flows to LIBOR indexed cash flows. Fair value losses are all unrealized and will reverse over time. In a declining interest rate environment, the pay-fixed, receive floating swaps are exhibiting fair value losses. |
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Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
Accumulated other comprehensive income/(loss) from cash flow hedges | 2010 | 2009 | 2010 | 2009 | ||||||||||||
Beginning of period | $ | (19,614 | ) | $ | (26,402 | ) | $ | (22,683 | ) | $ | (30,191 | ) | ||||
Net hedging transactions | — | — | (472 | ) | — | |||||||||||
Reclassified into earnings | 1,882 | 1,898 | 5,423 | 5,687 | ||||||||||||
End of period | $ | (17,732 | ) | $ | (24,504 | ) | $ | (17,732 | ) | $ | (24,504 | ) | ||||
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Three months ended September 30, | ||||||||||||||||
Percentage of | Percentage of | |||||||||||||||
2010 | total | 2009 | total | |||||||||||||
Salaries and employee benefits | $ | 15,648 | 72.25 | % | $ | 12,075 | 67.80 | % | ||||||||
Temporary workers | 30 | 0.14 | 3 | 0.02 | ||||||||||||
Occupancy | 1,131 | 5.22 | 1,128 | 6.33 | ||||||||||||
Depreciation and leasehold amortization | 1,444 | 6.67 | 1,369 | 7.69 | ||||||||||||
Computer service agreements and contractual services | 1,666 | 7.69 | 1,395 | 7.83 | ||||||||||||
Professional and legal fees | 385 | 1.78 | 356 | 2.00 | ||||||||||||
Other * | 1,353 | 6.25 | 1,484 | 8.33 | ||||||||||||
Total operating expenses | $ | 21,657 | 100.00 | % | $ | 17,810 | 100.00 | % | ||||||||
Finance Agency and Office of Finance | $ | 2,036 | $ | 1,834 | ||||||||||||
Nine months ended September 30, | ||||||||||||||||
Percentage of | Percentage of | |||||||||||||||
2010 | total | 2009 | total | |||||||||||||
Salaries and employee benefits | $ | 41,458 | 67.69 | % | $ | 36,036 | 66.77 | % | ||||||||
Temporary workers | 86 | 0.14 | 128 | 0.24 | ||||||||||||
Occupancy | 3,270 | 5.34 | 3,273 | 6.06 | ||||||||||||
Depreciation and leasehold amortization | 4,201 | 6.86 | 4,020 | 7.45 | ||||||||||||
Computer service agreements and contractual services | 6,018 | 9.83 | 4,670 | 8.65 | ||||||||||||
Professional and legal fees | 1,983 | 3.24 | 1,144 | 2.12 | ||||||||||||
Other * | 4,229 | 6.90 | 4,699 | 8.71 | ||||||||||||
Total operating expenses | $ | 61,245 | 100.00 | % | $ | 53,970 | 100.00 | % | ||||||||
Finance Agency and Office of Finance | $ | 6,447 | $ | 5,663 | ||||||||||||
* | Other primarily represents audit fees, director fees and expenses, insurance and telecommunications. |
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Net change in | Net change in | |||||||||||||||
(Dollars in thousands) | September 30, 2010 | December 31, 2009 | dollar amount | percentage | ||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | 69,471 | $ | 2,189,252 | $ | (2,119,781 | ) | (96.83) | % | |||||||
Federal funds sold | 4,095,000 | 3,450,000 | 645,000 | 18.70 | ||||||||||||
Available-for-sale securities | 3,373,781 | 2,253,153 | 1,120,628 | 49.74 | ||||||||||||
Held-to-maturity securities Long-term securities | 8,221,246 | 10,519,282 | (2,298,036 | ) | (21.85 | ) | ||||||||||
Advances | 85,697,171 | 94,348,751 | (8,651,580 | ) | (9.17 | ) | ||||||||||
Mortgage loans held-for-portfolio | 1,267,687 | 1,317,547 | (49,860 | ) | (3.78 | ) | ||||||||||
Accrued interest receivable | 305,763 | 340,510 | (34,747 | ) | (10.20 | ) | ||||||||||
Premises, software, and equipment | 14,550 | 14,792 | (242 | ) | (1.64 | ) | ||||||||||
Derivative assets | 32,425 | 8,280 | 24,145 | NM | ||||||||||||
Other assets | 16,444 | 19,339 | (2,895 | ) | (14.97 | ) | ||||||||||
Total assets | $ | 103,093,538 | $ | 114,460,906 | $ | (11,367,368 | ) | (9.93) | % | |||||||
Liabilities | ||||||||||||||||
Deposits | ||||||||||||||||
Interest-bearing demand | $ | 3,660,132 | $ | 2,616,812 | $ | 1,043,320 | 39.87 | % | ||||||||
Non-interest bearing demand | 9,725 | 6,499 | 3,226 | 49.64 | ||||||||||||
Term | 60,400 | 7,200 | 53,200 | NM | ||||||||||||
Total deposits | 3,730,257 | 2,630,511 | 1,099,746 | 41.81 | ||||||||||||
Consolidated obligations | ||||||||||||||||
Bonds | 74,918,893 | 74,007,978 | 910,915 | 1.23 | ||||||||||||
Discount notes | 17,787,908 | 30,827,639 | (13,039,731 | ) | (42.30 | ) | ||||||||||
Total consolidated obligations | 92,706,801 | 104,835,617 | (12,128,816 | ) | (11.57 | ) | ||||||||||
Mandatorily redeemable capital stock | 67,348 | 126,294 | (58,946 | ) | (46.67 | ) | ||||||||||
Accrued interest payable | 277,647 | 277,788 | (141 | ) | (0.05 | ) | ||||||||||
Affordable Housing Program | 137,995 | 144,489 | (6,494 | ) | (4.49 | ) | ||||||||||
Payable to REFCORP | 20,560 | 24,234 | (3,674 | ) | (15.16 | ) | ||||||||||
Derivative liabilities | 784,498 | 746,176 | 38,322 | 5.14 | ||||||||||||
Other liabilities | 101,448 | 72,506 | 28,942 | 39.92 | ||||||||||||
Total liabilities | 97,826,554 | 108,857,615 | (11,031,061 | ) | (10.13 | ) | ||||||||||
Capital | 5,266,984 | 5,603,291 | (336,307 | ) | (6.00 | ) | ||||||||||
Total liabilities and capital | $ | 103,093,538 | $ | 114,460,906 | $ | (11,367,368 | ) | (9.93) | % | |||||||
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September 30, 2010 | December 31, 2009 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amounts | of total | Amounts | of total | |||||||||||||
Adjustable Rate Credit — ARCs | $ | 9,190,500 | 11.47 | % | $ | 14,100,850 | 15.54 | % | ||||||||
Fixed Rate Advances | 67,148,859 | 83.83 | 71,943,468 | 79.29 | ||||||||||||
Short-Term Advances | 1,343,150 | 1.68 | 2,173,321 | 2.39 | ||||||||||||
Mortgage Matched Advances | 539,479 | 0.67 | 606,883 | 0.67 | ||||||||||||
Overnight & Line of Credit (OLOC) Advances | 905,786 | 1.13 | 926,517 | 1.02 | ||||||||||||
All other categories | 975,037 | 1.22 | 986,661 | 1.09 | ||||||||||||
Total par value | 80,102,811 | 100.00 | % | 90,737,700 | 100.00 | % | ||||||||||
Discount on AHP Advances | (50 | ) | (260 | ) | ||||||||||||
Hedging adjustments | 5,594,410 | 3,611,311 | ||||||||||||||
Total | $ | 85,697,171 | $ | 94,348,751 | ||||||||||||
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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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September 30, | December 31, | Dollar | Percentage | |||||||||||||
2010 | 2009 | Variance | Variance | |||||||||||||
State and local housing finance agency obligations1 | $ | 740,256 | $ | 751,751 | $ | (11,495 | ) | (1.53) | % | |||||||
Mortgage-backed securities | ||||||||||||||||
Available-for-sale securities, at fair value | 3,360,959 | 2,240,564 | 1,120,395 | 50.01 | ||||||||||||
Held-to-maturity securities, at carrying value | 7,480,990 | 9,767,531 | (2,286,541 | ) | (23.41 | ) | ||||||||||
Total securities | 11,582,205 | 12,759,846 | (1,177,641 | ) | (9.23 | ) | ||||||||||
Grantor trusts2 | 12,822 | 12,589 | 233 | 1.85 | ||||||||||||
Federal funds sold | 4,095,000 | 3,450,000 | 645,000 | 18.70 | ||||||||||||
Total investments | $ | 15,690,027 | $ | 16,222,435 | $ | (532,408 | ) | (3.28) | % | |||||||
1 | Classified as held-to-maturity securities, at carrying value. | |
2 | Classified as available-for-sale securities, at fair value and represents investments in registered mutual funds and other fixed-income securities maintained under the grantor trusts. |
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September 30, | Percentage | December 31, | Percentage | |||||||||||||
2010 | of total | 2009 | of total | |||||||||||||
U.S. government sponsored enterprise residential mortgage-backed securities | $ | 6,248,361 | 83.52 | % | $ | 8,482,139 | 86.84 | % | ||||||||
U.S. agency residential mortgage-backed securities | 127,168 | 1.70 | 171,531 | 1.76 | ||||||||||||
U.S. government sponsored enterprise commercial mortgage-backed securities | 173,969 | 2.33 | — | — | ||||||||||||
U.S. agency commercial mortgage-backed securities | 48,953 | 0.65 | 49,526 | 0.51 | ||||||||||||
Private-label issued securities backed by home equity loans | 362,847 | 4.85 | 417,151 | 4.27 | ||||||||||||
Private-label issued residential mortgage-backed securities | 336,981 | 4.51 | 444,906 | 4.55 | ||||||||||||
Private-label issued securities backed by manufactured housing loans | 182,711 | 2.44 | 202,278 | 2.07 | ||||||||||||
Total Held-to-maturity securities-mortgage-backed securities | $ | 7,480,990 | 100.00 | % | $ | 9,767,531 | 100.00 | % | ||||||||
September 30, | Percentage | December 31, | Percentage | |||||||||||||
2010 | of total | 2009 | of total | |||||||||||||
Fannie Mae | $ | 2,275,326 | 67.70 | % | $ | 1,544,500 | 68.93 | % | ||||||||
Freddie Mac | 1,085,633 | 32.30 | 696,064 | 31.07 | ||||||||||||
Total AFS mortgage-backed securities | 3,360,959 | 100.00 | % | 2,240,564 | 100.00 | % | ||||||||||
Grantor Trusts — Mutual funds | 12,822 | 12,589 | ||||||||||||||
Total Available-for-sale portfolio | $ | 3,373,781 | $ | 2,253,153 | ||||||||||||
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September 30, 2010 | ||||||||||||||||||||||||
Below | ||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Grade | Total | |||||||||||||||||||
Long-term securities | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 6,977,063 | $ | 275,025 | $ | 44,215 | $ | 18,129 | $ | 166,557 | $ | 7,480,990 | ||||||||||||
State and local housing finance agency obligations | 71,596 | 592,594 | 19,845 | 56,221 | — | 740,256 | ||||||||||||||||||
�� | ||||||||||||||||||||||||
Total Long-term securities | 7,048,660 | 867,619 | 64,060 | 74,350 | 166,557 | 8,221,246 | ||||||||||||||||||
Total | $ | 7,048,660 | $ | 867,619 | $ | 64,060 | $ | 74,350 | $ | 166,557 | $ | 8,221,246 | ||||||||||||
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 | ||||||||||||||||||
Total | $ | 9,278,010 | $ | 900,423 | $ | 87,351 | $ | 87,481 | $ | 166,017 | $ | 10,519,282 | ||||||||||||
September 30, 2010 | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Unrated | Total | |||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 3,360,959 | $ | — | $ | — | $ | — | $ | — | $ | 3,360,959 | ||||||||||||
Other — Grantor trusts | — | — | — | — | 12,822 | 12,822 | ||||||||||||||||||
Total | $ | 3,360,959 | $ | — | $ | — | $ | — | $ | 12,822 | $ | 3,373,781 | ||||||||||||
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 | ||||||||||||
September 30, 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 | 1,927 | 6.25 | 2,663 | 6.25 | ||||||||||||
Due after five years through ten years | 1,096,896 | 4.69 | 1,140,153 | 4.78 | ||||||||||||
Due after ten years | 9,814,713 | 2.79 | 10,977,950 | 3.21 | ||||||||||||
Total mortgage-backed securities | $ | 10,913,536 | 2.98 | % | $ | 12,120,766 | 3.36 | % | ||||||||
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September 30, 2010 | December 31, 2009 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of Total | Amount | of Total | |||||||||||||
Real Estate: | ||||||||||||||||
Fixed medium-term single-family mortgages | $ | 344,781 | 27.20 | % | $ | 388,072 | 29.43 | % | ||||||||
Fixed long-term single-family mortgages | 918,967 | 72.50 | 926,856 | 70.27 | ||||||||||||
Multi-family mortgages | 3,827 | 0.30 | 3,908 | 0.30 | ||||||||||||
Total par value | 1,267,575 | 100.00 | % | 1,318,836 | 100.00 | % | ||||||||||
Unamortized premiums | 10,027 | 9,095 | ||||||||||||||
Unamortized discounts | (4,700 | ) | (5,425 | ) | ||||||||||||
Basis adjustment1 | 322 | (461 | ) | |||||||||||||
Total mortgage loans held-for-portfolio | 1,273,224 | 1,322,045 | ||||||||||||||
Allowance for credit losses | (5,537 | ) | (4,498 | ) | ||||||||||||
Total mortgage loans held-for-portfolio after allowance for credit losses | $ | 1,267,687 | $ | 1,317,547 | ||||||||||||
1 | Represents fair value basis of open and closed delivery commitments. |
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September 30, 2010 | December 31, 2009 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of Total | Amount | of Total | |||||||||||||
Fixed-rate, non-callable | $ | 46,800,200 | 63.48 | % | $ | 48,647,625 | 66.31 | % | ||||||||
Fixed-rate, callable | 6,321,300 | 8.57 | 8,374,800 | 11.42 | ||||||||||||
Step Up, non-callable | — | — | 53,000 | 0.07 | ||||||||||||
Step Up, callable | 2,180,000 | 2.96 | 3,305,000 | 4.51 | ||||||||||||
Single-index floating rate | 18,428,000 | 24.99 | 12,977,500 | 17.69 | ||||||||||||
Total par value | 73,729,500 | 100.00 | % | 73,357,925 | 100.00 | % | ||||||||||
Bond premiums | 145,239 | 112,866 | ||||||||||||||
Bond discounts | (27,718 | ) | (33,852 | ) | ||||||||||||
Fair value basis adjustments | 1,060,537 | 572,537 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 1,099 | 2,761 | ||||||||||||||
Fair value option valuation adjustments and accrued interest | 10,236 | (4,259 | ) | |||||||||||||
Total bonds | $ | 74,918,893 | $ | 74,007,978 | ||||||||||||
• | Floating rate bonds- Floating-rate bonds had declined steadily through the four quarters in 2009 and in the 2010 first two quarter. In those periods, maturing floating-rate bonds in general were not replaced because of marketplace perception of a pricing advantage of comparable GSE issued LIBOR-indexed floaters. In the 2010 third quarter, the Bank added (net of maturities) $7.6 billion of floating-rate debt. As a result, floating-rate bonds outstanding at September 30, 2010 increased to $18.4 billion, up from $10.8 billion at June 30, 2010 and $13.0 billion at December 31, 2009. The outstanding debt at September 30, 2010 consisted of $12.8 billion indexed to the 1-month LIBOR, the Prime rate 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, at spreads more favorable than it could have achieved by issuing a simple 3-month LIBOR floating-rate bond. |
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• | Non-callable bonds- Non-callable bond remains the primary funding vehicle for the FHLBNY. 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 2010, investors were receptive to the FHLBank short lockout callable bonds with short maturities as an alternative to comparable debt available in the capital markets, and execution pricing fared relatively better even under deteriorating pricing conditions for other types of bond structures. Fixed-rate callable bonds with maturities up to 15 months and a short lockout call option have been the more popular FHLBank bond structure. Responding to investor preference, the FHLBNY 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 have continued to be under price pressure. |
• | 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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September 30, 2010 | December 31, 2009 | |||||||
Par value | $ | 17,791,522 | $ | 30,838,104 | ||||
Amortized cost | $ | 17,784,192 | $ | 30,827,639 | ||||
Fair value option valuation adjustments | 3,716 | — | ||||||
Total | $ | 17,787,908 | $ | 30,827,639 | ||||
Weighted average interest rate | 0.19 | % | 0.15 | % | ||||
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Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Beginning balance | $ | 69,569 | $ | 128,254 | $ | 126,294 | $ | 143,121 | ||||||||
Capital stock subject to mandatory redemption reclassified from equity | 42 | 434 | 30,308 | 434 | ||||||||||||
Redemption of mandatorily redeemable capital stock1 | (2,263 | ) | (806 | ) | (89,254 | ) | (15,673 | ) | ||||||||
Ending balance | $ | 67,348 | $ | 127,882 | $ | 67,348 | $ | 127,882 | ||||||||
Accrued interest payable | $ | 794 | $ | 1,807 | $ | 794 | $ | 1,807 | ||||||||
1 | Redemption includes repayment of excess stock. | |
(The annualized accrual rates were 4.60% for September 30, 2010 and 5.60% for September 30, 2009.) |
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September 30, 2010 | December 31, 2009 | |||||||||||
Notional Amount | Notional Amount | |||||||||||
Derivatives/Terms | Hedging Strategy | Accounting Designation | (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 | $ | 115 | $ | 123 | ||||||
Pay fixed, receive floating interest rate swap cancelable by FHLBNY | To convert fixed rate on a fixed rate advance to a LIBOR floating rate callable advance | Fair Value Hedge | $ | 150 | $ | — | ||||||
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 | $ | 34,231 | $ | 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 advance | Fair Value Hedge | $ | 4,064 | $ | 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 advance | Fair Value Hedge | $ | 23,109 | $ | 23,367 | ||||||
Purchased interest rate cap | To offset the cap embedded in the variable rate advance | Economic Hedge of Fair Value Risk | $ | 8 | $ | 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 | $ | 5,300 | $ | 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 | $ | 4,970 | $ | 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 | $ | 440 | $ | 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 | $ | 26,908 | $ | 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 non-callable | Economic Hedge of Fair Value Risk | $ | 87 | $ | 3,784 | ||||||
Basis swap | To convert non-LIBOR index to LIBOR to reduce interest rate sensitivity and repricing gaps | Economic Hedge of Cash Flows | $ | 8,128 | $ | 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 | $ | 3,101 | $ | 5,690 | ||||||
Receive fixed, pay floating interest rate swap non-cancelable | Fixed rate non-callable bond converted to a LIBOR floating rate; matched to non-callable bond accounted for under fair value option | Fair Value Option | $ | 7,650 | $ | 350 | ||||||
Receive fixed, pay floating interest rate swap non-cancelable | Fixed rate consolidated obligation discount note converted to a LIBOR floating rate; matched to discount note accounted for under fair value option | Fair Value Option | $ | 1,752 | $ | — | ||||||
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 | $ | 550 | $ | 320 |
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September 30, 2010 | December 31, 2009 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Notional | Fair Value | Notional | Fair Value | |||||||||||||
Interest rate swaps | ||||||||||||||||
Derivatives in fair value hedging relationships | $ | 93,872,212 | $ | (4,556,517 | ) | $ | 98,776,447 | $ | (3,056,718 | ) | ||||||
Derivatives not designated as hedging instruments | 15,079,729 | 117 | 27,104,963 | 31,723 | ||||||||||||
Derivatives matching designated under FVO | 12,503,185 | 10,198 | 6,040,000 | (2,632 | ) | |||||||||||
Interest rate caps/floors | ||||||||||||||||
Economic-fair value changes | 1,900,000 | 23,593 | 2,282,000 | 71,494 | ||||||||||||
Mortgage delivery commitments (MPF) | ||||||||||||||||
Economic-fair value changes | 20,675 | 4 | 4,210 | (39 | ) | |||||||||||
Other | ||||||||||||||||
Intermediation | 550,000 | 709 | 320,000 | 352 | ||||||||||||
Total | $ | 123,925,801 | $ | (4,521,896 | ) | $ | 134,527,620 | $ | (2,955,820 | ) | ||||||
Total derivatives, excluding accrued interest | $ | (4,521,896 | ) | $ | (2,955,820 | ) | ||||||||||
Cash collateral pledged to counterparties | 3,844,058 | 2,237,028 | ||||||||||||||
Cash collateral received from counterparties | (53,796 | ) | — | |||||||||||||
Accrued interest | (20,439 | ) | (19,104 | ) | ||||||||||||
Net derivative balance | $ | (752,073 | ) | $ | (737,896 | ) | ||||||||||
Net derivative asset balance | $ | 32,425 | $ | 8,280 | ||||||||||||
Net derivative liability balance | (784,498 | ) | (746,176 | ) | ||||||||||||
Net derivative balance | $ | (752,073 | ) | $ | (737,896 | ) | ||||||||||
September 30, 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 | $ | 61,554,507 | $ | (5,604,763 | ) | $ | 65,901,667 | $ | (3,622,141 | ) | ||||||
Consolidated obligations-fair value hedges | 32,317,705 | 1,048,246 | 32,874,780 | 565,423 | ||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||
Advances-economic hedges | 122,659 | (3,861 | ) | 513,089 | (196 | ) | ||||||||||
Consolidated obligations-economic hedges | 14,965,070 | 3,978 | 24,881,874 | 36,954 | ||||||||||||
MPF loan-commitments | 20,675 | 4 | 4,210 | (39 | ) | |||||||||||
Balance sheet | 1,892,000 | 23,593 | 1,892,000 | 71,494 | ||||||||||||
Intermediary positions-economic hedges | 550,000 | 709 | 320,000 | 352 | ||||||||||||
Balance sheet-macro hedges swaps | — | — | 2,100,000 | (5,035 | ) | |||||||||||
Derivatives matching COs designated under FVO | ||||||||||||||||
Interest rate swaps-consolidated obligations-bonds | 10,751,000 | 7,750 | 6,040,000 | (2,632 | ) | |||||||||||
Interest rate swaps-consolidated obligations-discount notes | 1,752,185 | 2,448 | — | — | ||||||||||||
Total notional and fair value | $ | 123,925,801 | $ | (4,521,896 | ) | $ | 134,527,620 | $ | (2,955,820 | ) | ||||||
Total derivatives, excluding accrued interest | $ | (4,521,896 | ) | $ | (2,955,820 | ) | ||||||||||
Cash collateral pledged to counterparties | 3,844,058 | 2,237,028 | ||||||||||||||
Cash collateral received from counterparties | (53,796 | ) | — | |||||||||||||
Accrued interest | (20,439 | ) | (19,104 | ) | ||||||||||||
Net derivative balance | $ | (752,073 | ) | $ | (737,896 | ) | ||||||||||
Net derivative asset balance | $ | 32,425 | $ | 8,280 | ||||||||||||
Net derivative liability balance | (784,498 | ) | (746,176 | ) | ||||||||||||
Net derivative balance | $ | (752,073 | ) | $ | (737,896 | ) | ||||||||||
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September 30, | December 31, | |||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||||||
Advances | $ | 85,697,171 | $ | 94,348,751 | $ | 109,152,876 | $ | 82,089,667 | $ | 59,012,394 | $ | 61,901,534 | ||||||||||||
Mortgage loans before allowance for credit losses | $ | 1,273,224 | $ | 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. |
Underlying Collateral for Advances | ||||||||||||||||
Mortgage | Securities and | |||||||||||||||
Advances1 | Loans2 | Deposits2 | Total2 | |||||||||||||
September 30, 2010 | $ | 80,102,811 | $ | 102,314,450 | $ | 44,596,206 | $ | 146,910,656 | ||||||||
December 31, 2009 | $ | 90,737,700 | $ | 111,346,235 | $ | 49,564,456 | $ | 160,910,691 |
Note1 | Par value | |
Note2 | Estimated market value |
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Underlying Collateral for Other Obligations | ||||||||||||||||
Other | Securities and | |||||||||||||||
Obligations1 | Mortgage Loans2 | Deposits2 | Total 2 | |||||||||||||
September 30, 2010 | $ | 1,899,440 | $ | 4,686,068 | $ | 323,262 | $ | 5,009,330 | ||||||||
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 |
Estimated Market Values | ||||||||||||||||
Collateral in | Collateral | Collateral | Total | |||||||||||||
Physical | Specifically | Pledged for | Collateral | |||||||||||||
Possession | Listed | AHP | Received | |||||||||||||
September 30, 2010 | $ | 51,752,820 | $ | 100,449,622 | $ | (282,455 | ) | $ | 151,919,987 | |||||||
December 31, 2009 | $ | 57,660,864 | $ | 105,714,763 | $ | (80,762 | ) | $ | 163,294,865 |
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September 30, 2010 | ||||||||||||||||||||
Percentage of | ||||||||||||||||||||
Par | Total Par Value | Interest Income | ||||||||||||||||||
City | State | Advances | of Advances | Three months | Nine months | |||||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,175,000 | 21.4 | % | $ | 178,029 | $ | 529,488 | ||||||||||
Metropolitan Life Insurance Company | New York | NY | 13,230,000 | 16.5 | 75,674 | 222,705 | ||||||||||||||
New York Community Bank* | Westbury | NY | 7,593,167 | 9.5 | 77,416 | 230,083 | ||||||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 4,969,500 | 6.2 | 16,368 | 40,514 | ||||||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 3,709,163 | 4.6 | 11,607 | 34,369 | ||||||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 2,735,000 | 3.4 | 27,463 | 83,763 | ||||||||||||||
The Prudential Insurance Co. of America | Newark | NJ | 2,500,000 | 3.1 | 17,971 | 60,244 | ||||||||||||||
Valley National Bank | Wayne | NJ | 2,361,500 | 2.9 | 24,677 | 73,885 | ||||||||||||||
Doral Bank | San Juan | PR | 1,531,420 | 1.9 | 16,471 | 53,041 | ||||||||||||||
New York Life Insurance Company | New York | NY | 1,500,000 | 1.9 | 4,274 | 11,166 | ||||||||||||||
Total | $ | 57,304,750 | 71.4 | % | $ | 449,950 | $ | 1,339,258 | ||||||||||||
* | Officer of member bank also served on the Board of Directors of the FHLBNY. |
December 31, 2009 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | 12-months | ||||||||||||||
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 Co. 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. |
September 30, 2009 | ||||||||||||||||||||
Percentage of | ||||||||||||||||||||
Par | Total Par Value | Interest Income | ||||||||||||||||||
City | State | Advances | of Advances | Three months | Nine months | |||||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,325,000 | 18.9 | % | $ | 178,896 | $ | 532,100 | ||||||||||
Metropolitan Life Insurance Company | New York | NY | 14,280,000 | 15.6 | 84,277 | 279,360 | ||||||||||||||
New York Community Bank* | Westbury | NY | 8,148,476 | 8.9 | 78,413 | 233,129 | ||||||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 5,493,756 | 6.0 | 19,133 | 83,856 | ||||||||||||||
The Prudential Insurance Co. of America | Newark | NJ | 3,500,000 | 3.8 | 22,448 | 71,473 | ||||||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 2,960,000 | 3.2 | 29,824 | 91,226 | ||||||||||||||
Emigrant Bank | New York | NY | 2,475,000 | 2.7 | 16,127 | 48,004 | ||||||||||||||
Doral Bank | San Juan | PR | 2,473,420 | 2.7 | 21,513 | 65,825 | ||||||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 2,382,000 | 2.6 | 12,854 | 34,658 | ||||||||||||||
Valley National Bank | Wayne | NJ | 2,338,500 | 2.6 | 25,608 | 78,322 | ||||||||||||||
Total | $ | 61,376,152 | 67.0 | % | $ | 489,093 | $ | 1,517,953 | ||||||||||||
* | At September 30, 2009, officer of member bank also served on the Board of Directors of the FHLBNY. |
September 30, | December 31, | Dollar | Percentage | |||||||||||||
2010 | 2009 | Variance | Variance | |||||||||||||
State and local housing finance agency obligations1 | $ | 740,256 | $ | 751,751 | $ | (11,495 | ) | (1.53 | )% | |||||||
Mortgage-backed securities | ||||||||||||||||
Available-for-sale securities, at fair value | 3,360,959 | 2,240,564 | 1,120,395 | 50.01 | ||||||||||||
Held-to-maturity securities, at carrying value | 7,480,990 | 9,767,531 | (2,286,541 | ) | (23.41 | ) | ||||||||||
Total securities | 11,582,205 | 12,759,846 | (1,177,641 | ) | (9.23 | ) | ||||||||||
Grantor trusts2 | 12,822 | 12,589 | 233 | 1.85 | ||||||||||||
Federal funds sold | 4,095,000 | 3,450,000 | 645,000 | 18.70 | ||||||||||||
Total investments | $ | 15,690,027 | $ | 16,222,435 | $ | (532,408 | ) | (3.28 | )% | |||||||
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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Below | ||||||||||||||||||||||||
Carrying | NRSRO Ratings - September 30, 2010 | Investment | ||||||||||||||||||||||
Issued, guaranteed or insured: | Value | AAA | AA | A | BBB | Grade | ||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||
Fannie Mae | $ | 939,288 | $ | 939,288 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Freddie Mac | 269,515 | 269,515 | — | — | — | — | ||||||||||||||||||
Total pools of mortgages | 1,208,803 | 1,208,803 | — | — | — | — | ||||||||||||||||||
Collateralized Mortgage Obligations/Real | ||||||||||||||||||||||||
Estate Mortgage Investment Conduits | ||||||||||||||||||||||||
Fannie Mae | 1,854,692 | 1,854,692 | — | — | — | — | ||||||||||||||||||
Freddie Mac | 3,184,866 | 3,184,866 | — | — | — | — | ||||||||||||||||||
Ginnie Mae | 127,168 | 127,168 | — | — | — | — | ||||||||||||||||||
Total CMOs/REMICs | 5,166,726 | 5,166,726 | — | — | — | — | ||||||||||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||||||||||
Freddie Mac | 173,969 | 173,969 | — | — | — | — | ||||||||||||||||||
Ginnie Mae | 48,954 | 48,954 | — | — | — | — | ||||||||||||||||||
Total commercial mortgage-backed securities | 222,923 | 222,923 | — | — | — | — | ||||||||||||||||||
Non-GSE MBS | ||||||||||||||||||||||||
CMOs/REMICs | 336,980 | 218,579 | 9,688 | 20,989 | — | 87,724 | ||||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||
Manufactured housing loans (insured) | 182,711 | — | 182,711 | — | — | — | ||||||||||||||||||
Home equity loans (insured) | 196,641 | 9,710 | 70,835 | 23,226 | 14,037 | 78,833 | ||||||||||||||||||
Home equity loans (uninsured) | 166,206 | 150,323 | 11,791 | — | 4,092 | — | ||||||||||||||||||
Total asset-backed securities | 545,558 | 160,033 | 265,337 | 23,226 | 18,129 | 78,833 | ||||||||||||||||||
Total HTM mortgage-backed securities | $ | 7,480,990 | $ | 6,977,064 | $ | 275,025 | $ | 44,215 | $ | 18,129 | $ | 166,557 | ||||||||||||
Other | ||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 740,256 | $ | 71,597 | $ | 592,594 | $ | 19,845 | $ | 56,220 | $ | — | ||||||||||||
Total other | $ | 740,256 | $ | 71,597 | $ | 592,594 | $ | 19,845 | $ | 56,220 | $ | — | ||||||||||||
Total Held-to-maturity securities | $ | 8,221,246 | $ | 7,048,661 | $ | 867,619 | $ | 64,060 | $ | 74,349 | $ | 166,557 | ||||||||||||
NRSRO Ratings - September 30, 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 | 2,275,326 | 2,275,326 | — | — | ||||||||||||
Freddie Mac | 1,085,633 | 1,085,633 | — | — | ||||||||||||
Ginnie Mae | — | — | — | — | ||||||||||||
Total CMOs/REMICs | 3,360,959 | 3,360,959 | — | — | ||||||||||||
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 | $ | 3,360,959 | $ | 3,360,959 | $ | — | $ | — | ||||||||
Other | ||||||||||||||||
Fixed income funds, equity funds and cash equivalents* | $ | 12,822 | ||||||||||||||
Total Available-for-sale securities | $ | 3,373,781 | ||||||||||||||
* | Unrated |
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September 30, | Percentage | December 31, | Percentage | |||||||||||||
2010 | of total | 2009 | of total | |||||||||||||
U.S. government sponsored enterprise residential mortgage-backed securities | ||||||||||||||||
Fannie Mae | $ | 2,793,981 | 37.35 | % | $ | 3,746,768 | 38.36 | % | ||||||||
Freddie Mac | 3,454,380 | 46.17 | 4,735,371 | 48.48 | ||||||||||||
U.S. agency residential mortgage-backed securities | 127,168 | 1.70 | 171,531 | 1.76 | ||||||||||||
U.S. government sponsored enterprise commercial mortgage-backed securities | 173,969 | 2.33 | — | — | ||||||||||||
U.S. agency commercial mortgage-backed securities | 48,953 | 0.65 | 49,526 | 0.51 | ||||||||||||
Private-label issued securities | 882,539 | 11.80 | 1,064,335 | 10.89 | ||||||||||||
Total Held-to-maturity securities-mortgage-backed securities | $ | 7,480,990 | 100.00 | % | $ | 9,767,531 | 100.00 | % | ||||||||
September 30, 2010 | December 31, 2009 | |||||||||||||||||||||||
Private-label MBS | Fixed Rate | Variable Rate | Total | Fixed Rate | Variable Rate | Total | ||||||||||||||||||
Private-label RMBS | ||||||||||||||||||||||||
Prime | $ | 328,579 | $ | 4,068 | $ | 332,647 | $ | 435,913 | $ | 4,359 | $ | 440,272 | ||||||||||||
Alt-A | 6,123 | 3,338 | 9,461 | 7,229 | 3,713 | 10,942 | ||||||||||||||||||
Total PL RMBS | 334,702 | 7,406 | 342,108 | 443,142 | 8,072 | 451,214 | ||||||||||||||||||
Home Equity Loans | ||||||||||||||||||||||||
Subprime | 399,922 | 85,256 | 485,178 | 437,042 | 108,801 | 545,843 | ||||||||||||||||||
Total Home Equity Loans | 399,922 | 85,256 | 485,178 | 437,042 | 108,801 | 545,843 | ||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||
Subprime | 182,731 | — | 182,731 | 202,299 | — | 202,299 | ||||||||||||||||||
Total Manufactured Housing Loans | 182,731 | — | 182,731 | 202,299 | — | 202,299 | ||||||||||||||||||
Total UPB of private-label MBS | $ | 917,355 | $ | 92,662 | $ | 1,010,017 | $ | 1,082,483 | $ | 116,873 | $ | 1,199,356 | ||||||||||||
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Quarter Ended | Nine Months Ended | |||||||||||||||||||||||||||||||
Quarter ended September 30, 2010 | September 30, 2010 | September 30, 2010 | ||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | OTTI | OTTI | |||||||||||||||||||||||||||||
Security | Fair | Fair | Credit | Non-credit2 | Credit | Non-credit2 | ||||||||||||||||||||||||||
Classification | UPB | Value | UPB | Value | Loss | Loss | Loss | Loss | ||||||||||||||||||||||||
HEL Subprime* | $ | 31,876 | $ | 15,050 | $ | 16,341 | $ | 8,233 | $ | (3,067 | ) | $ | (2,569 | ) | $ | (7,737 | ) | $ | (3,164 | ) | ||||||||||||
Total | $ | 31,876 | $ | 15,050 | $ | 16,341 | $ | 8,233 | $ | (3,067 | ) | $ | (2,569 | ) | $ | (7,737 | ) | $ | (3,164 | ) | ||||||||||||
* | HEL Subprime — MBS supported by home equity loans. |
Quarter ended June 30, 2010 | ||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | OTTI | ||||||||||||||||||||||
Security | Fair | Fair | Credit | Non-credit2 | ||||||||||||||||||||
Classification | UPB | Value | UPB | Value | Loss | Loss | ||||||||||||||||||
HEL Subprime* | $ | 20,976 | $ | 9,044 | $ | 37,456 | $ | 22,564 | $ | (1,270 | ) | $ | (1,068 | ) | ||||||||||
Total | $ | 20,976 | $ | 9,044 | $ | 37,456 | $ | 22,564 | $ | (1,270 | ) | $ | (1,068 | ) | ||||||||||
* | HEL Subprime — MBS supported by home equity loans. |
Quarter ended March 31, 2010 | ||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | OTTI | ||||||||||||||||||||||
Security | Fair | Fair | Credit | Non-credit2 | ||||||||||||||||||||
Classification | UPB | Value | UPB | Value | Loss | Loss | ||||||||||||||||||
HEL Subprime* | $ | 21,637 | $ | 9,730 | $ | 45,476 | $ | 26,015 | $ | (3,400 | ) | $ | 473 | |||||||||||
Total | $ | 21,637 | $ | 9,730 | $ | 45,476 | $ | 26,015 | $ | (3,400 | ) | $ | 473 | |||||||||||
* | HEL Subprime — MBS supported by home equity loans. | |
1 | At September 30, 2010, the total carrying value of the securities prior to OTTI was $22.7 million. The carrying values and fair values of OTTI securities in a loss position prior to OTTI were $8.6 million and $8.1 million also at September 30, 2010. | |
2 | Represents net amount of impairment losses reclassified (from) to AOCI to earnings as a result of additional credit losses on securities that had been previously determined to be OTTI. |
September 30, 2010 | ||||||||||||||||||||||||
AMBAC | MBIA | AGM * | ||||||||||||||||||||||
Unrealized | Unrealized | Unrealized | ||||||||||||||||||||||
Private-label MBS | UPB | Losses | UPB | Losses | UPB | Losses | ||||||||||||||||||
HEL | ||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
2004 and earlier | $ | 179,287 | $ | (31,202 | ) | $ | 34,450 | $ | (8,414 | ) | $ | 77,981 | $ | (2,577 | ) | |||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
2004 and earlier | — | — | — | — | 182,731 | (22,141 | ) | |||||||||||||||||
Total of all Private-label MBS | $ | 179,287 | $ | (31,202 | ) | $ | 34,450 | $ | (8,414 | ) | $ | 260,712 | $ | (24,718 | ) | |||||||||
* | Assured Guaranty Municipal Trust (formerly FSA) |
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September 30, 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 | $ | 46,480 | $ | — | $ | — | $ | — | $ | — | $ | 46,480 | $ | 46,029 | $ | (407 | ) | $ | 45,710 | $ | — | |||||||||||||||||||
2005 | 66,409 | — | — | 21,223 | — | 45,186 | 64,699 | (716 | ) | 64,575 | — | |||||||||||||||||||||||||||||
2004 and earlier | 219,758 | 209,866 | 9,892 | — | — | — | 218,805 | (443 | ) | 223,795 | — | |||||||||||||||||||||||||||||
Total RMBS Prime | 332,647 | 209,866 | 9,892 | 21,223 | — | 91,666 | 329,533 | (1,566 | ) | 334,080 | — | |||||||||||||||||||||||||||||
Alt-A | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 9,461 | 9,461 | — | — | — | — | 9,462 | (768 | ) | 8,746 | — | |||||||||||||||||||||||||||||
Total RMBS | 342,108 | 219,327 | 9,892 | 21,223 | — | 91,666 | 338,995 | (2,334 | ) | 342,826 | — | |||||||||||||||||||||||||||||
HEL | ||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 485,178 | 180,811 | 89,111 | 42,759 | 28,932 | 143,565 | 456,876 | (76,438 | ) | 381,214 | (4,573 | ) | ||||||||||||||||||||||||||||
Manufactured | ||||||||||||||||||||||||||||||||||||||||
Housing Loans | ||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 182,731 | — | 182,731 | — | — | — | 182,712 | (22,141 | ) | 160,571 | — | |||||||||||||||||||||||||||||
Total PLMBS | $ | 1,010,017 | $ | 400,138 | $ | 281,734 | $ | 63,982 | $ | 28,932 | $ | 235,231 | $ | 978,583 | $ | (100,913 | ) | $ | 884,611 | $ | (4,573 | ) | ||||||||||||||||||
December 31, 2009 | ||||||||||||||||||||||||||||||||||||||||
Unpaid Principal Balance | ||||||||||||||||||||||||||||||||||||||||
Below | Gross | |||||||||||||||||||||||||||||||||||||||
Ratings | Investment | Unrealized | Total OTTI | |||||||||||||||||||||||||||||||||||||
Private-label MBS | Subtotal | Triple-A | Double-A | Single-A | Triple-B | Grade | Amortized 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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September 30, 2010 | ||||||||||||
Original | ||||||||||||
Weighted- | Weighted- | Weighted-Average | ||||||||||
Average Credit | Average Credit | Collateral | ||||||||||
Private-label MBS | Support % | Support % | Delinquency % | |||||||||
RMBS | ||||||||||||
Prime | ||||||||||||
2006 | 3.73 | % | 5.29 | % | 6.30 | % | ||||||
2005 | 2.59 | 4.13 | 2.56 | |||||||||
2004 and earlier | 1.58 | 3.21 | 0.65 | |||||||||
Total RMBS Prime | 2.08 | 3.69 | 1.82 | |||||||||
Alt-A | ||||||||||||
2004 and earlier | 10.97 | 33.36 | 10.89 | |||||||||
Total RMBS | 2.32 | 4.51 | 2.07 | |||||||||
HEL | ||||||||||||
Subprime | ||||||||||||
2004 and earlier | 57.14 | 64.72 | 17.24 | |||||||||
Manufactured Housing Loans | ||||||||||||
Subprime | ||||||||||||
2004 and earlier | 100.00 | 100.00 | 3.14 | |||||||||
Total Private-label MBS | 46.33 | % | 50.71 | % | 9.55 | % | ||||||
December 31, 2009 | ||||||||||||
Original | ||||||||||||
Weighted- | Weighted- | Weighted-Average | ||||||||||
Average Credit | Average Credit | Collateral | ||||||||||
Private-label MBS | Support % | 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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Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Beginning balance | $ | 11,513 | $ | 13,948 | $ | 13,934 | $ | 13,765 | ||||||||
Additions | 187 | 19 | 340 | 216 | ||||||||||||
Resets* | — | — | (2,540 | ) | — | |||||||||||
Charge-offs | (97 | ) | — | (131 | ) | (14 | ) | |||||||||
Recoveries | — | — | — | — | ||||||||||||
Ending balance | $ | 11,603 | $ | 13,967 | $ | 11,603 | $ | 13,967 | ||||||||
* | 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. |
September 30, 2010 | December 31, 2009 | |||||||
Secured by 1-4 family | $ | 668 | $ | 570 | ||||
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Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Interest contractually due1 | $ | 373 | $ | 200 | $ | 973 | $ | 505 | ||||||||
Interest actually received | 344 | 179 | 898 | 452 | ||||||||||||
Shortfall | $ | 29 | $ | 21 | $ | 75 | $ | 53 | ||||||||
1 | The Bank does not recognize interest received as income from uninsured loans past due 90-days or greater. |
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Beginning balance | $ | 5,392 | $ | 2,760 | $ | 4,498 | $ | 1,406 | ||||||||
Charge-offs | (97 | ) | — | (131 | ) | (14 | ) | |||||||||
Recoveries | 11 | — | 33 | — | ||||||||||||
Provision for credit losses on mortgage loans | 231 | 598 | 1,137 | 1,966 | ||||||||||||
Ending balance | $ | 5,537 | $ | 3,358 | $ | 5,537 | $ | 3,358 | ||||||||
September 30, 2010 | ||||||||
Mortgage | Percent of Total | |||||||
Loans | Mortgage Loans | |||||||
Manufacturers and Traders Trust Company | $ | 533,689 | 42.23 | % | ||||
Astoria Federal Savings and Loan Association | 210,404 | 16.65 | ||||||
Community Bank fka Elmira Svgs & Ln Assn | 51,694 | 4.09 | ||||||
OceanFirst Bank | 50,658 | 4.01 | ||||||
CFCU Community Credit Union | 40,802 | 3.23 | ||||||
All Others | 376,501 | 29.79 | ||||||
Total1 | $ | 1,263,748 | 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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September 30, 2010 | ||||||||||||||||
Total Net | ||||||||||||||||
Number of | Notional | Exposure at | Net Exposure after | |||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | Cash Collateral3 | ||||||||||||
AAA | — | $ | — | $ | — | $ | — | |||||||||
AA | 8 | 45,406,173 | 40,342 | 18,346 | ||||||||||||
A | 8 | 78,223,953 | 35,340 | 3,540 | ||||||||||||
Members (Note1 and Note2) | 2 | 275,000 | 10,535 | 10,535 | ||||||||||||
Delivery Commitments | — | 20,675 | 4 | 4 | ||||||||||||
Total | 18 | $ | 123,925,801 | $ | 86,221 | $ | 32,425 | |||||||||
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 $10.5 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 September 30, 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 September 30, 2010 and December 31, 2009. | |
Note3: | As reported in the Statements of Condition. |
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September 30, 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 | $ | 38,972,100 | $ | 25,068,825 | $ | 6,634,375 | $ | 3,054,200 | $ | 73,729,500 | ||||||||||
Mandatorily redeemable capital stock1 | 45,708 | 14,650 | 2,037 | 4,953 | 67,348 | |||||||||||||||
Premises (lease obligations)2 | 3,060 | 6,284 | 4,748 | 4,674 | 18,766 | |||||||||||||||
Total contractual obligations | 39,020,868 | 25,089,759 | 6,641,160 | 3,063,827 | 73,815,614 | |||||||||||||||
Other commitments | ||||||||||||||||||||
Standby letters of credit | 1,824,089 | 20,012 | 17,472 | 3,861 | 1,865,434 | |||||||||||||||
Consolidated obligations-bonds/ discount notes traded not settled | 774,322 | — | — | — | 774,322 | |||||||||||||||
Open delivery commitments (MPF) | 20,675 | — | — | — | 20,675 | |||||||||||||||
Total other commitments | 2,619,086 | 20,012 | 17,472 | 3,861 | 2,660,431 | |||||||||||||||
Total obligations and commitments | $ | 41,639,954 | $ | 25,109,771 | $ | 6,658,632 | $ | 3,067,688 | $ | 76,476,045 | ||||||||||
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. |
• | Obligations of the United States; | |
• | Deposits in banks or trust companies; or | |
• | Advances with a maturity not to exceed five years. |
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Average Deposit | Average Actual | |||||||||||
For the quarters ended | Reserve Required | Deposit Liquidity | Excess | |||||||||
September 30, 2010 | $ | 5,055 | $ | 46,304 | $ | 41,249 | ||||||
June 30, 2010 | 5,227 | 48,055 | 42,828 | |||||||||
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 | |||||||||
September 30, 2010 | $ | 3,915 | $ | 15,127 | $ | 11,212 | ||||||
June 30, 2010 | 2,665 | 16,051 | 13,386 | |||||||||
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 | |||||||||
September 30, 2010 | $ | 1,967 | $ | 14,859 | $ | 12,892 | ||||||
June 30, 2010 | 2,047 | 15,821 | 13,774 | |||||||||
March 31, 2010 | 2,424 | 15,463 | 13,039 | |||||||||
December 31, 2009 | 2,188 | 15,309 | 13,121 |
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Consolidated Obligations-Bonds With | ||||||||||||||||
Consolidated Obligations-Discount Notes | Original Maturities of One Year or Less | |||||||||||||||
September 30, 2010 | December 31, 2009 | September 30, 2010 | December 31, 2009 | |||||||||||||
Outstanding at end of the period1 | $ | 17,784,192 | $ | 30,827,639 | $ | 13,054,985 | $ | 17,987,974 | ||||||||
Weighted-average coupon rate at end of the period | 0.19 | % | 0.15 | % | 0.31 | % | 0.56 | % | ||||||||
Monthly-average outstanding for the period2 | $ | 22,729,663 | $ | 41,495,856 | $ | 11,885,428 | $ | 15,626,249 | ||||||||
Highest outstanding at any month-end2 | $ | 27,479,446 | $ | 52,040,302 | $ | 17,537,976 | $ | 17,987,974 |
1 | Outstanding balances represents the amortized cost of short-term debt (less than 1-year) issued and outstanding at the reported dates. | |
2 | Monthly average outstanding and highest outstanding represent amounts during the 9-months ended September 30, 2010, and 12-months ended December 31, 2009. |
September 30, 2010 | December 31, 2009 | |||||||
Consolidated Obligations: | ||||||||
Bonds | $ | 74,918,893 | $ | 74,007,978 | ||||
Discount Notes | 17,787,908 | 30,827,639 | ||||||
Total consolidated obligations | 92,706,801 | 104,835,617 | ||||||
Unpledged assets | ||||||||
Cash | 69,471 | 2,189,252 | ||||||
Less: Member pass-through reserves at the FRB | (50,339 | ) | (29,331 | ) | ||||
Secured Advances 2 | 85,697,171 | 94,348,751 | ||||||
Investments1 | 15,690,234 | 16,222,615 | ||||||
Mortgage loans | 1,267,687 | 1,317,547 | ||||||
Accrued interest receivable on advances and investments | 305,763 | 340,510 | ||||||
Less: Pledged Assets | (2,981 | ) | (2,045 | ) | ||||
102,977,006 | 114,387,299 | |||||||
Excess unpledged assets | $ | 10,270,205 | $ | 9,551,682 | ||||
1 | The Bank pledged $3.0 million and $2.0 million at September 30, 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 $0.0 and $10.3 billion in advances with respect to a lending agreement at September 30, 2010 and December 31, 2009. |
September 30, 2010 | December 31, 2009 | |||||||||||||||
Actual | Limits | Actual | Limits | |||||||||||||
Mortgage securities investment authority | 209 | % | 300 | % | 213 | % | 300 | % | ||||||||
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Moody’s Investors Service | S & P | |||||||||
Year | Outlook | Rating | Short-Term Outlook | Rating | ||||||
2010 | June 17, 2010 - Affirmed | P-1 | July 21, 2010 | Short-Term rating affirmed | A-1+ | |||||
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 | ||||||||
2010 | June 17, 2010 - Affirmed | Aaa/Stable | July 21, 2010 | Long-Term rating affirmed | outlook stable | AAA/Stable | ||||||
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 |
Legislative and Regulatory Developments
The most important legislative development during the period covered by this report was the enactment of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) on July 21, 2010, which is discussed in greater detail below together with a presentation of certain regulatory actions resulting from the Dodd-Frank Act that may have an important impact on the Bank. Other important developments during the period covered by this report include certain Finance Agency regulatory actions, certain proposed legislation that would permit the Bank to continue to issue certain tax exempt letters of credit past December 31, 2010, and Basel Committee activity that may ultimately impact member demand for advances and investor demand for COs, each discussed in greater detail below.
Dodd-Frank Act
The Dodd-Frank Act, among other things: (1) creates an interagency oversight council (the “Oversight Council”) that is charged with identifying and regulating systemically important financial institutions; (2) regulates the over-the-counter derivatives market; (3) imposes new executive compensation proxy and disclosure requirements; (4) establishes new requirements for MBS, including a risk-retention requirement; (5) reforms the credit rating agencies; (6) makes a number of changes to the federal deposit insurance system; and (7) creates a consumer financial protection bureau. Although the FHLBanks were exempted from several notable provisions of the Dodd-Frank Act, the FHLBanks’ business operations, funding costs, rights, obligations, and the environment in which FHLBanks carry out their housing-finance mission are likely to be impacted by the Dodd-Frank Act. Certain regulatory actions resulting from the Dodd-Frank Act that may have an important impact on the Bank are summarized below, although the full impact of the Dodd-Frank Act will become known only after the required regulations, studies and reports are issued and finalized.
Regulatory Activity Pursuant to the Dodd-Frank Act
Proposed Commodities Futures Trading Commission (“CFTC”) — Securities and Exchange Commission (“SEC “) Rule—Certain Key Definitions for Derivatives.On August 20, 2010, the CFTC and the SEC jointly issued a proposed rule which requested comments on certain key terms necessary to regulate the use and clearing of derivatives as required by the Dodd-Frank Act by September 20, 2010. The definitions of those terms may adversely impact the Bank. For example, in addition to the clearing and exchange trading requirements for certain standardized derivatives transactions, if the Bank is determined to be a “major swap participant,” the Bank will also have to register with the CFTC and will be subject to new standards of conduct and additional reporting and swap-based capital and margin requirements. In addition, derivatives transactions not subject to exchange trading or centralized clearing will also be subject to additional margin requirements, and all derivatives transactions could be subject to new reporting requirements. Such additional requirements would likely increase the cost of the Bank’s hedging activities and may adversely affect the Bank’s ability to hedge its interest rate risk exposure, to achieve its risk management objectives, and to act as an intermediary between its members and counterparties.
Proposed CFTC Rule on Eligible Investments for Derivatives Clearing Organizations. On November 3, 2010, the CFTC issued a proposed rule with a comment deadline of December 3, 2010, which, among other changes, would eliminate the ability of futures commissions’ merchants and derivatives clearing organizations to invest customer funds in GSE securities that are not explicitly guaranteed by the U.S. government. Currently, GSE securities are eligible investments under CFTC regulations. If this change is adopted as proposed, then the demand for FHLBank debt may be adversely impacted.
Oversight Council Proposed Rule Regarding Authority to Supervise and Regulate Certain Nonbank Financial Companies.On October 6, 2010, the Oversight Council created by the Dodd-Frank Act issued a proposed rule with a comment deadline of November 5, 2010 that, if implemented, will give the Oversight Council the authority to require a ‘nonbank financial company’ (a term to be defined by the Oversight Council) to be supervised by the Board of Governors of the Federal Reserve System and subject to certain prudential standards. The Oversight Council shall make this determination based on whether material financial distress at a given firm, or the nature, scope, size, scale, concentration, interconnectedness, or mix of the activities of the firm, could pose a threat to the financial stability of the United States. If the FHLBanks are determined to be nonbank financial companies subject to the Oversight Council’s regulatory requirements, then the FHLBanks’ operations and business are likely to be impacted.
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Oversight Council Request for Information on Implementing the ‘Volcker Rule’.On October 6, 2010, the Oversight Council issued a public request for information in connection with the Oversight Council’s study on implementing certain prohibitions on proprietary trading, which prohibitions are commonly referred to as the ‘Volcker Rule’. Institutions covered by the Volcker Rule may be subject to higher capital requirements and quantitative limits with regard to their proprietary trading. If the Volcker Rule is implemented in a way that subjects FHLBanks to it, then the Bank may be subject to additional limitations on the composition of its investment portfolio, beyond those to which it is already subject under existing Finance Agency regulations, which in turn could potentially result in less profitable investment alternatives.
Federal Deposit Insurance Corporation (“FDIC”) Proposed Rule on Unlimited Deposit Insurance for Non-interest Bearing Transaction Accounts.The Dodd-Frank Act requires the FDIC and the National Credit Union Administration to provide unlimited deposit insurance for non-interest bearing transaction accounts. This requirement is in effect for FDIC-insured institutions from December 31, 2010 until January 1, 2013 and for insured credit unions from the effective date of the Dodd-Frank Act until January 1, 2013. On September 27, 2010, the FDIC issued a proposed rule to implement this provision of the Dodd-Frank Act. Deposits are a source of liquidity for our members, and a rise in deposits, which may occur due to the FDIC’s unlimited support of non-interest bearing transaction accounts if the proposed rule is adopted, would tend to weaken member demand for Bank advances.
FDIC Proposed Rule on Dodd-Frank Resolution Authority.On October 12, 2010, the FDIC issued a proposed rule with a comment deadline of November 18, 2010 on how the FDIC would treat certain creditor claims under the new orderly liquidation authority established by the Dodd-Frank Act. The Dodd-Frank Act provides for the appointment of the FDIC as receiver for a financial company in instances where the failure of the company and its liquidation under other insolvency procedures (such as bankruptcy) would pose a significant risk to the financial stability of the United States. The proposed rule provides, among other things, that:
• | all creditors must expect to absorb losses in any liquidation and that secured creditors will only be protected to the extent of the fair value of their collateral; |
• | to the extent that any portion of a secured creditor’s claim is unsecured, it will absorb losses along with other unsecured creditors; and |
• | secured obligations collateralized with US government obligations will be valued at par. |
Finance Agency Regulatory Actions
Proposed Finance Agency Regulation on Conservatorship and Receivership.On July 9, 2010, the Finance Agency issued a proposed regulation on the conservatorship and receivership of Fannie Mae, Freddie Mac and the FHLBanks that would set forth the basic authorities of the Finance Agency as conservator or receiver, including the enforcement and repudiation of contracts; establishment of procedures for conservators and receivers and priorities of claims for contract parties and other claimants; and address whether and to what extent claims by current and former holders of equity interests in the regulated entities will be paid.
Proposed Finance Agency Regulation on Rules of Practice and Procedure for Enforcement Proceedings.On August 12, 2010, the Finance Agency issued a proposed regulation with a comment deadline of October 12, 2010 that would, if adopted, amend existing regulations implementing stronger Finance Agency enforcement powers and procedures.
Additional Developments
Tax-Exempt Bonds Supported by FHLBank Letters of Credit.Legislation has been introduced that would allow an FHLBank, on behalf of one or more members, to issue letters of credit to support non-housing related tax-exempt state and local bond issuances issued after December 31, 2010. If enacted, this would be an extension of the Bank’s authority to issue such letters of credit that was first granted to the FHLBanks by the Housing and Economic Recovery Act of 2008, which authority is otherwise set to expire on December 31, 2010.
Basel Committee on Banking Supervision Capital Framework.The Basel Committee on Banking Supervision (the “Basel Committee”) has developed a new capital regime for internationally-active banks. Banks subject to the new regime will be required to have increased amounts of capital with core capital being more strictly defined to include only common equity and other capital assets that are able to fully absorb losses. While it is uncertain how the new capital regime or other standards being developed by the Basel Committee, such as liquidity standards, will be implemented by the U.S. regulatory authorities, the new regime could require some of our members to divest assets in order to comply with the more stringent capital requirements, thereby decreasing their need for advances. Likewise, any new liquidity requirements may also adversely impact member demand for advances and/or investor demand for COs.
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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 through the third quarter of 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. |
Base Case DOE | -200bps DOE* | +200bps DOE | ||||||||||
September 30, 2010 | -2.13 | N/A | 1.46 | |||||||||
June 30, 2010 | -1.20 | N/A | 2.80 | |||||||||
March 31, 2010 | -0.51 | N/A | 3.81 | |||||||||
December 31, 2009 | 0.42 | N/A | 3.68 | |||||||||
September 30, 2009 | -0.39 | N/A | 3.88 |
* | Due to the on-going low interest rate environment, there were no down-shock measurements performed between the third quarter of 2009 and the third quarter of 2010. |
One Year Re- | ||||
pricing Gap | ||||
September 30, 2010 | $ | 6.888 | Billion | |
June 30, 2010 | $ | 4.939 | Billion | |
March 31, 2010 | $ | 4.753 | Billion | |
December 31, 2009 | $ | 4.626 | Billion | |
September 30, 2009 | $ | 5.480 | Billion |
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Sensitivity in | Sensitivity in | |||||||
the -200bps | the +200bps | |||||||
Shock * | Shock | |||||||
September 30, 2010 | N/A | 12.96 | % | |||||
June 30, 2010 | N/A | 12.20 | % | |||||
March 31, 2010 | N/A | 3.13 | % | |||||
December 31, 2009 | N/A | 4.53 | % | |||||
September 30, 2009 | N/A | 9.23 | % |
* | Due to the on-going low interest rate environment, there were no down-shock measurements performed between the third quarter of 2009 and the third quarter of 2010. |
Down-shock | +200bps Change in | |||||||
Change in MVE * | MVE | |||||||
September 30, 2010 | N/A | 1.63 | % | |||||
June 30, 2010 | N/A | -1.62 | % | |||||
March 31, 2010 | N/A | -4.53 | % | |||||
December 31, 2009 | N/A | -5.08 | % | |||||
September 30, 2009 | N/A | -4.68 | % |
* | Due to the on-going low interest rate environment, there were no down-shock measurements performed between the third quarter of 2009 and the third quarter of 2010. |
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Interest Rate Sensitivity | ||||||||||||||||||||
September 30, 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 | $ | 8,899 | $ | 315 | $ | 417 | $ | 184 | $ | 186 | ||||||||||
MBS Investments | 7,636 | 1,548 | 1,035 | 241 | 481 | |||||||||||||||
Adjustable-rate loans and advances | 9,191 | — | — | — | — | |||||||||||||||
Net unswapped | 25,726 | 1,863 | 1,452 | 425 | 667 | |||||||||||||||
Fixed-rate loans and advances | 14,117 | 4,201 | 13,883 | 7,780 | 30,932 | |||||||||||||||
Swaps hedging advances | 55,269 | (3,905 | ) | (12,857 | ) | (7,590 | ) | (30,917 | ) | |||||||||||
Net fixed-rate loans and advances | 69,386 | 296 | 1,026 | 190 | 15 | |||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | |||||||||||||||
Total interest-earning assets | $ | 95,112 | $ | 2,159 | $ | 2,478 | $ | 615 | $ | 682 | ||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||
Deposits | $ | 3,773 | $ | 1 | $ | — | $ | — | $ | — | ||||||||||
Discount notes | 17,156 | 630 | — | — | — | |||||||||||||||
Swapped discount notes | 629 | (629 | ) | — | — | — | ||||||||||||||
Net discount notes | 17,785 | 1 | — | — | — | |||||||||||||||
Consolidated Obligation Bonds | ||||||||||||||||||||
FHLB bonds | 28,034 | 14,522 | 21,510 | 6,741 | 3,040 | |||||||||||||||
Swaps hedging bonds | 39,771 | (13,505 | ) | (19,119 | ) | (5,097 | ) | (2,050 | ) | |||||||||||
Net FHLB bonds | 67,805 | 1,017 | 2,391 | 1,644 | 990 | |||||||||||||||
Total interest-bearing liabilities | $ | 89,363 | $ | 1,019 | $ | 2,391 | $ | 1,644 | $ | 990 | ||||||||||
Post hedge gaps1: | ||||||||||||||||||||
Periodic gap | $ | 5,749 | $ | 1,140 | $ | 87 | $ | (1,029 | ) | $ | (308 | ) | ||||||||
Cumulative gaps | $ | 5,749 | $ | 6,889 | $ | 6,976 | $ | 5,947 | $ | 5,639 |
1 | Re-pricing gaps are estimated at the scheduled rate reset dates for floating rate instruments, and at maturity for fixed rate instruments. For callable instruments, the re-pricing 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 | 73,440 | 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 | 30,192 | 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 | $ | 98,116 | $ | 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 | $ | 5,836 | $ | 6,024 | $ | 5,974 |
1 | Re-pricing gaps are estimated at the scheduled rate reset dates for floating rate instruments, and at maturity for fixed rate instruments. For callable instruments, the re-pricing period is estimated by the earlier of the estimated call date under the current interest rate environment or the instrument’s contractual maturity. |
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(a) | Evaluation of Disclosure Controls and Procedures: An evaluation of the Bank’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “Act”)) was carried out under the supervision and with the participation of the Bank’s President and Chief Executive Officer, Alfred A. DelliBovi, and Senior Vice President and Chief Financial Officer, Patrick A. Morgan, at September 30, 2010. Based on this evaluation, they concluded that as of September 30, 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 | |||
31.01 | Certification Pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934 and Section 302 of the Sarbanes-Oxley Act of 2002 by Chief Executive Officer | |||
31.02 | Certification Pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934 and Section 302 of the Sarbanes-Oxley Act of 2002 by Chief Financial Officer | |||
32.01 | Certification of Chief Executive Officer furnished pursuant to Section 906 of the Sarbanes-Oxley Act 2002, 18 U.S.C. Section 1350 | |||
32.02 | Certification of Chief Financial Officer furnished pursuant to Section 906 of the Sarbanes-Oxley Act 2002, 18 U.S.C. Section 1350 |
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Federal Home Loan Bank of New York (Registrant) | ||||
/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) | ||||
Date: November 12, 2010 |
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