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SECURITIES AND EXCHANGE COMMISSION
þ | ANNUAL 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, New York | 10178 | |
(Address of principal executive offices) | (Zip code) |
(Registrant’s telephone number, including area code)
Securities registered pursuant to Section 12(g) of the Act:
Class B Stock, putable, par value $100
(Title of class)
Large accelerated filero | Accelerated filero | Non-accelerated filerþ (Do not check if a smaller reporting company) | Smaller reporting companyo |
2010 Annual Report on Form 10-K
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Exhibit 10.05 | ||||||||
Exhibit 10.06 | ||||||||
Exhibit 10.14 | ||||||||
Exhibit 12.01 | ||||||||
Exhibit 31.01 | ||||||||
Exhibit 31.02 | ||||||||
Exhibit 32.01 | ||||||||
Exhibit 32.02 | ||||||||
Exhibit 99.01 | ||||||||
Exhibit 99.02 |
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ITEM 1. | BUSINESS. |
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Commercial | Thrift | Credit | Insurance | |||||||||||||||||
Banks | Institutions | Unions | Companies | Total | ||||||||||||||||
December 31, 2010 | 159 | 110 | 62 | 5 | 336 | |||||||||||||||
December 31, 2009 | 160 | 112 | 54 | 5 | 331 |
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• | Mortgage characteristics.MPF Loans must be qualifying 5- to 30-year conventional or Government fixed-rate fully amortizing mortgage loans, secured by first liens on owner-occupied one-to-four unit single-family residential properties and single unit second homes. Conventional loan size, which is established annually as required by Federal Housing Finance Agency regulations, may not exceed the loan limits permitted to be set except in areas designated by the Department of Housing and Urban Development (“HUD”) as High-Cost Areas where the permitted loan size is higher. Condominium, planned unit development and manufactured homes are acceptable property types, as are mortgages on leasehold estates (though manufactured homes must be on land owned in fee simple by the borrower). |
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• | Loan-to-Value Ratio and Primary Mortgage Insurance. The maximum loan-to-value ratio (“LTV”) for conventional MPF Loans must not exceed 95%. Affordable Housing Program mortgage loans may have LTVs up to 100% (but may not exceed 105% total LTV, which compares the property value to the total amount of all mortgages outstanding against a property). Government MPF Loans may not exceed the LTV limits set by the applicable federal agency. Conventional MPF Loans with LTVs greater than 80% require certain amounts of mortgage guaranty insurance (“MI”), called primary MI. |
• | Documentation and Compliance with Applicable Law. The mortgage documents and transaction must comply with all applicable laws, and mortgage loans must be documented using standard Fannie Mae/Freddie Mac Uniform Instruments. |
• | Ineligible Mortgage Loans. The following types of mortgage loans are not eligible for delivery under the MPF Program: (1) those that are not ratable by S&P; (2) those not meeting the eligibility requirements set forth in the MPF Program Guides and agreements; and (3) those that are classified as high cost, high rate, high risk, Home Ownership and Equity Protection Act (HOEPA) loans or loans in similar categories defined under predatory lending or abusive lending laws. |
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PFI Credit | Servicing | |||||||||
�� | Enhancement | Credit | Credit | Fee | ||||||
MPF Bank | Size | Enhancement | Enhancement | retained | ||||||
Product Name | FLA1 | Description | Fee to PFI | Fee Offset2 | by PFI | |||||
Original MPF | 3 to 5 basis points/added each year based on the unpaid balance | Equivalent to “AA” | 9 to 11 basis points/year — paid monthly | No | 25 basis points/year | |||||
MPF 100 | 100 basis points fixed based on the size of the loan pool at closing | After FLA to “AA” | 7 to 10 basis points/year — paid monthly; performance based after 2 or 3 years | Yes — After first 2 to 3 years | 25 basis points/year | |||||
MPF 125 | 100 basis points fixed based on the size of the loan pool at closing | After FLA to “AA” | 7 to 10 basis points/year — paid monthly; performance based | Yes | 25 basis points/year | |||||
MPF Xtra | N/A | N/A | N/A | N/A | 25 basis points/year | |||||
MPF Plus | Sized to equal expected losses | 0-20 bps after FLA and SMI to “AA” | 6 to 7 basis points/year fixed plus 6 to 7 basis points/year performance based (delayed for 1 year); all fees paid monthly | Yes | 25 basis points/year | |||||
MPF Government | N/A | N/A (Unreimbursed Servicing Expenses) | N/A | N/A | 44 basis points/year plus 2 basis points/year3 |
1 | MPF Program Master Commitments participated in or held by the Bank as of December 31, 2010. | |
2 | Future payouts of performance-based credit enhancement fees are reduced when losses are allocated to the FLA. | |
3 | For Government Loan Master Commitments issued after February 1, 2007, only the customary 0.44% (44 basis points) per annum servicing fee is paid based on the outstanding aggregate principal balance of the MPF Government Loans. |
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• | each pays its respective pro rata share of each MPF Loan acquired under a Delivery Commitment and related Master Commitment based upon the participation percentage in effect at the time; |
• | each receives its respective pro rata share of principal and interest payments and is responsible for credit enhancement fees based upon its participation percentage for each MPF Loan under the related Delivery Commitment; |
• | each is responsible for its respective pro rata share of First Loss Account (“FLA”) exposure and losses incurred with respect to the Master Commitment based upon the overall risk sharing percentage for the Master Commitment; |
• | each may economically hedge its share of the Delivery Commitments as they are issued during the open period. |
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• | First,to the MPF Bank, up to an agreed upon amount called a First Loss Account. |
Original MPF. The FLA starts out at zero on the day the first MPF Loan under a Master Commitment is purchased but increases monthly over the life of the Master Commitment at a rate that ranges from 0.03% to 0.05% (3 to 5 basis points) per annum, based on the month end outstanding aggregate principal balance of the Master Commitment. The FLA is structured so that over time, it should cover expected losses on a Master Commitment, though losses early in the life of the Master Commitment could exceed the FLA and be charged in part to the PFI’s CE Amount. |
MPF 100 and MPF 125. The FLA is equal to 1.00% (100 basis points) of the aggregate principal balance of the MPF Loans funded under the Master Commitment. Once the Master Commitment is fully funded, the FLA is intended to cover expected losses on that Master Commitment, although the MPF Bank may economically recover a portion of losses incurred under the FLA by withholding performance CE Fees payable to the PFI. |
MPF Plus. The FLA is equal to an agreed-upon number of basis points of the aggregate principal balance of the MPF Loans funded under the Master Commitment that is not less than the amount of expected losses on the Master Commitment. Once the Master Commitment is fully funded, the FLA is intended to cover expected losses on that Master Commitment, although the MPF Bank may economically recover a portion of losses incurred under the FLA by withholding performance CE Fees payable to the PFI. |
• | Second,to the PFI under its credit enhancement obligation, losses for each Master Commitment in excess of the FLA (if any) up to the CE Amount. The CE Amount may consist of a direct liability of the PFI to pay credit losses up to a specified amount, a contractual obligation of the PFI to provide SMI, or a combination of both. For a description of the CE Amount calculation, see “Setting Credit Enhancement Levels,” below. |
• | Third,any remaining unallocated losses are absorbed by the MPF Bank. |
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• | Instruments such as common stock that represent ownership in an entity. Exceptions include stock in small business investment companies and certain investments targeted at low-income persons or communities; |
• | Instruments issued by non-U.S. entities, other than those issued by U.S. branches and agency offices of foreign commercial banks; and |
• | Non-investment-grade debt instruments. Exceptions include certain investments targeted at low-income persons or communities and instruments that were downgraded after purchase. |
• | Interest-only or principal-only stripped mortgage-backed securities; |
• | Residual-interest or interest-accrual classes of collateralized mortgage obligations (CMOs) and real estate mortgage investment conduits (REMICs); |
• | Fixed-rate or floating-rate mortgage-backed securities that on the trade date are at rates equal to their contractual caps and whose average lives vary by more than six years under an assumed instantaneous interest rate change of 300 basis points; |
• | Non-U.S. dollar denominated securities. |
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• | Cash; |
• | Obligations of, or fully guaranteed by, the United States; |
• | Secured advances; |
• | Mortgages that have a guaranty, insurance, or commitment from the United States or any agency of the United States; |
• | Investments described in section 16(a) of the FHLBank Act, including securities that a fiduciary or trust fund may purchase under the laws of the state in which the FHLBank is located; and |
• | Other securities that are rated Aaa by Moody’s or AAA by Standard & Poor’s. |
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December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Retained earnings, beginning of year | $ | 688,874 | $ | 382,856 | $ | 418,295 | ||||||
Net Income for the year | 275,525 | 570,755 | 259,060 | |||||||||
964,399 | 953,611 | 677,355 | ||||||||||
Dividend paid in the year1 | (252,308 | ) | (264,737 | ) | (294,499 | ) | ||||||
Retained earnings, end of year | $ | 712,091 | $ | 688,874 | $ | 382,856 | ||||||
1 | Dividends are not accrued at quarter end; they are declared and paid subsequent to the quarter for which it is paid. |
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ITEM 1A. | RISK FACTORS |
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• | the amount and the period over which the advances were prepaid or repaid; |
• | the amount and timing of any corresponding decreases in activity-based capital; |
• | the profitability of the advances; |
• | the size and profitability of the FHLBNY’s short- and long-term investments; and |
• | the extent to which consolidated obligations matured as the advances were prepaid or repaid. |
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ITEM 1B. | UNRESOLVED STAFF COMMENTS |
ITEM 2. | PROPERTIES. |
ITEM 3. | LEGAL PROCEEDINGS. |
ITEM 4. | (REMOVED AND RESERVED). |
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ITEM 5. | MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES. |
2010 | 2009 | 2008 | ||||||||||||||||||||||||
Month Paid | Amount | Dividend Rate | Amount | Dividend Rate | Month Paid | Amount | Dividend Rate | |||||||||||||||||||
November | $ | 76,675 | 6.50 | % | $ | 75,139 | 5.60 | % | October | $ | 45,748 | 3.50 | % | |||||||||||||
August | 55,225 | 4.60 | 75,862 | 5.60 | July | 78,810 | 6.50 | |||||||||||||||||||
May | 52,792 | 4.25 | 77,293 | 5.60 | April | 88,182 | 7.80 | |||||||||||||||||||
January | 73,024 | 5.60 | 43,180 | 3.00 | January | 94,404 | 8.40 | |||||||||||||||||||
$ | 257,716 | $ | 271,474 | $ | 307,144 | |||||||||||||||||||||
1 | The table above reports dividend on a paid basis and includes payments to former members as well as members. Dividends paid to former members were $4.3 million, $7.5 million and $9.0 million for the years ended December 31, 2010, 2009 and 2008. |
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ITEM 6. | SELECTED FINANCIAL DATA. |
Statements of Condition | Years ended December 31, | |||||||||||||||||||
(dollars in millions) | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||
Investments1 | $ | 16,739 | $ | 16,222 | $ | 14,195 | $ | 25,034 | $ | 20,503 | ||||||||||
Interest bearing balance at FRB * | — | — | 12,169 | — | — | |||||||||||||||
Advances | 81,200 | 94,349 | 109,153 | 82,090 | 59,012 | |||||||||||||||
Mortgage loans held-for-portfolio, net of allowance for credit losses2 | 1,266 | 1,318 | 1,458 | 1,492 | 1,483 | |||||||||||||||
Total assets | 100,212 | 114,461 | 137,540 | 109,245 | 81,579 | |||||||||||||||
Deposits and borrowings | 2,454 | 2,631 | 1,452 | 1,606 | 2,266 | |||||||||||||||
Consolidated obligations, net | ||||||||||||||||||||
Bonds | 71,743 | 74,008 | 82,257 | 66,326 | 62,043 | |||||||||||||||
Discount notes | 19,391 | 30,828 | 46,330 | 34,791 | 12,191 | |||||||||||||||
Total consolidated obligations | 91,134 | 104,836 | 128,587 | 101,117 | 74,234 | |||||||||||||||
Mandatorily redeemable capital stock | 63 | 126 | 143 | 239 | 110 | |||||||||||||||
AHP liability | 138 | 144 | 122 | 119 | 102 | |||||||||||||||
REFCORP liability | 22 | 24 | 5 | 24 | 17 | |||||||||||||||
Capital | ||||||||||||||||||||
Capital stock | 4,529 | 5,059 | 5,585 | 4,368 | 3,546 | |||||||||||||||
Retained earnings | 712 | 689 | 383 | 418 | 369 | |||||||||||||||
Accumulated other comprehensive income (loss) | (97 | ) | (145 | ) | (101 | ) | (35 | ) | (11 | ) | ||||||||||
Total capital | 5,144 | 5,603 | 5,867 | 4,751 | 3,904 | |||||||||||||||
Equity to asset ratio3 | 5.13 | % | 4.90 | % | 4.27 | % | 4.35 | % | 4.79 | % |
Statements of Condition | Years ended December 31, | |||||||||||||||||||
Averages (dollars in millions) | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||
Investments1 | $ | 17,693 | $ | 15,987 | $ | 22,253 | $ | 22,155 | $ | 19,431 | ||||||||||
Interest-bearing balance at FRB * | — | 6,046 | 1,322 | — | — | |||||||||||||||
Advances | 85,908 | 98,966 | 92,617 | 65,454 | 64,658 | |||||||||||||||
Mortgage loans | 1,281 | 1,386 | 1,465 | 1,502 | 1,471 | |||||||||||||||
Total assets | 108,100 | 125,461 | 119,710 | 89,961 | 86,319 | |||||||||||||||
Interest-bearing deposits and other borrowings | 4,650 | 2,095 | 2,003 | 2,202 | 1,709 | |||||||||||||||
Consolidated obligations, net | ||||||||||||||||||||
Bonds | 72,136 | 71,860 | 81,342 | 63,277 | 60,932 | |||||||||||||||
Discount notes | 21,728 | 41,496 | 28,349 | 18,956 | 18,382 | |||||||||||||||
Total consolidated obligations | 93,864 | 113,356 | 109,691 | 82,233 | 79,314 | |||||||||||||||
Mandatorily redeemable capital stock | 83 | 137 | 166 | 146 | 51 | |||||||||||||||
AHP liability | 142 | 135 | 122 | 108 | 95 | |||||||||||||||
REFCORP liability | 9 | 21 | 6 | 10 | 9 | |||||||||||||||
Capital | ||||||||||||||||||||
Capital stock | 4,699 | 5,244 | 4,923 | 3,771 | 3,737 | |||||||||||||||
Retained earnings | 672 | 558 | 381 | 362 | 313 | |||||||||||||||
Accumulated other comprehensive income (loss) | (116 | ) | (106 | ) | (74 | ) | (17 | ) | 1 | |||||||||||
Total capital | 5,255 | 5,696 | 5,230 | 4,116 | 4,051 |
Operating Results and other data | ||||||||||||||||||||
(dollars in millions) | ||||||||||||||||||||
(except earnings and dividends per | Years ended December 31, | |||||||||||||||||||
share, and headcount) | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||
Net interest income4 | $ | 455 | $ | 701 | $ | 694 | $ | 499 | $ | 470 | ||||||||||
Net income | 276 | 571 | 259 | 323 | 285 | |||||||||||||||
Dividends paid in cash7 | 252 | 265 | 294 | 273 | 208 | |||||||||||||||
AHP expense | 31 | 64 | 30 | 37 | 32 | |||||||||||||||
REFCORP expense | 69 | 143 | 65 | 81 | 71 | |||||||||||||||
Return on average equity5 | 5.24 | % | 10.02 | % | 4.95 | % | 7.85 | % | 7.04 | % | ||||||||||
Return on average assets | 0.25 | % | 0.45 | % | 0.22 | % | 0.36 | % | 0.33 | % | ||||||||||
Net OTTI impairment losses | (8 | ) | (21 | ) | — | — | — | |||||||||||||
Other non-interest income (loss) | 25 | 185 | (267 | ) | 14 | (13 | ) | |||||||||||||
Total other income (loss) | 17 | 164 | (267 | ) | 14 | (13 | ) | |||||||||||||
Operating expenses | 85 | 76 | 66 | 67 | 63 | |||||||||||||||
Finance Agency and Office of Finance expenses | 10 | 8 | 7 | 5 | 5 | |||||||||||||||
Total other expenses | 95 | 84 | 73 | 72 | 68 | |||||||||||||||
Operating expenses ratio6 | 0.08 | % | 0.06 | % | 0.06 | % | 0.07 | % | 0.07 | % | ||||||||||
Earnings per share | $ | 5.86 | $ | 10.88 | $ | 5.26 | $ | 8.57 | $ | 7.63 | ||||||||||
Dividend per share | $ | 5.24 | $ | 4.95 | $ | 6.55 | $ | 7.51 | $ | 5.59 | ||||||||||
Headcount (Full/part time) | 271 | 264 | 251 | 246 | 232 |
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 $5.8 million, $4.5 million, $1.4 million, $0.6 million, and $0.6 million for the years ended December 31, 2010, 2009, 2008, 2007 and 2006. | |
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. | |
* | 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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2010 (unaudited) | ||||||||||||||||
4th Quarter | 3rd Quarter | 2nd Quarter | 1st Quarter | |||||||||||||
Interest income | $ | 243,436 | $ | 285,566 | $ | 276,454 | $ | 273,152 | ||||||||
Interest expense | 135,208 | 160,405 | 160,254 | 166,957 | ||||||||||||
Net interest income | 108,228 | 125,161 | 116,200 | 106,195 | ||||||||||||
Provision for credit losses | 273 | 231 | 196 | 709 | ||||||||||||
Other income (loss) | 37,549 | 6,105 | (16,457 | ) | (10,656 | ) | ||||||||||
Other expenses and assessments | 59,076 | 52,243 | 42,882 | 41,190 | ||||||||||||
21,800 | 46,369 | 59,535 | 52,555 | |||||||||||||
Net income | $ | 86,428 | $ | 78,792 | $ | 56,665 | $ | 53,640 | ||||||||
2009 (unaudited) | ||||||||||||||||
4th Quarter | 3rd Quarter | 2nd Quarter | 1st Quarter | |||||||||||||
Interest income | $ | 307,742 | $ | 379,530 | $ | 504,256 | $ | 666,159 | ||||||||
Interest expense | 192,627 | 225,678 | 303,997 | 434,777 | ||||||||||||
Net interest income | 115,115 | 153,852 | 200,259 | 231,382 | ||||||||||||
Provision for credit losses | 1,142 | 598 | 925 | 443 | ||||||||||||
Other income (loss) | 41,419 | 57,444 | 74,654 | (9,147 | ) | |||||||||||
Other expenses and assessments | 59,423 | 70,479 | 87,560 | 73,653 | ||||||||||||
19,146 | 13,633 | 13,831 | 83,243 | |||||||||||||
Net income | $ | 95,969 | $ | 140,219 | $ | 186,428 | $ | 148,139 | ||||||||
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ITEM 7. | MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS |
• | the Bank’s projections regarding income, retained earnings, and dividend payouts; | ||
• | the Bank’s expectations relating to future balance sheet growth; | ||
• | the Bank’s targets under the Bank’s retained earnings plan; and | ||
• | the Bank’s expectations regarding the size of its mortgage-loan portfolio, particularly as compared to prior periods. |
• | changes in economic and market conditions; | ||
• | changes in demand for Bank advances and other products resulting from changes in members’ deposit flows and credit demands or otherwise; | ||
• | an increase in advance prepayments as a result of changes in interest rates or other factors; | ||
• | the volatility of market prices, rates, and indices that could affect the value of collateral held by the Bank as security for obligations of Bank members and counterparties to interest-rate-exchange agreements and similar agreements; | ||
• | political events, including legislative developments that affect the Bank, its members, counterparties, and/or investors in the COs of the FHLBanks; | ||
• | competitive forces including, without limitation, other sources of funding available to Bank members, other entities borrowing funds in the capital markets, and the ability to attract and retain skilled employees; | ||
• | the pace of technological change and the ability of the Bank to develop and support technology and information systems, including the internet, sufficient to manage the risks of the Bank’s business effectively; | ||
• | changes in investor demand for COs and/or the terms of interest-rate-exchange-agreements and similar agreements; | ||
• | timing and volume of market activity; |
• | ability to introduce new or adequately adapt current Bank products and services and successfully manage the risks associated with those products and services, including new types of collateral used to secure advances; | ||
• | risk of loss arising from litigation filed against one or more of the FHLBanks; | ||
• | realization of losses arising from the Bank’s joint and several liability on COs; | ||
• | risk of loss due to fluctuations in the housing market; | ||
• | inflation or deflation; and | ||
• | issues and events within the FHLBank System and in the political arena that may lead to regulatory, judicial, or other developments that may affect the marketability of the COs, the Bank’s financial obligations with respect to COs, and the Bank’s ability to access the capital markets. |
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Page | ||||
Executive Overview | 28 | |||
2010 Highlights | 28 | |||
2011 Business Outlook | 30 | |||
Trends in the Financial Markets | 31 | |||
Recently Issued Accounting Standards and Interpretations, and Significant Accounting Policies and Estimates | 32 | |||
Legislative and Regulatory Developments | 37 | |||
Financial Condition — Assets, Liabilities, Capital, Commitments and Contingencies | 43 | |||
Advances | 45 | |||
Investments | 50 | |||
Mortgage Loans Held-for-Portfolio | 55 | |||
Deposit Liabilities | 56 | |||
Debt Financing Activity and Consolidated Obligations | 56 | |||
Rating Actions With Respect to the FHLBNY | 65 | |||
Mandatorily Redeemable Capital Stock | 65 | |||
Capital Resources | 66 | |||
Stockholders’ Capital, Retained earnings, and Dividend | 67 | |||
Derivative Instruments and Hedging Activities | 69 | |||
Liquidity, Cash Flows, Short-Term Borrowings and Short-term Debt | 75 | |||
Results of Operations | 79 | |||
Net Income | 79 | |||
Interest Income | 81 | |||
Interest Expense | 82 | |||
Net Interest Income | 83 | |||
Earnings Impact of Derivatives and Hedging Activities | 90 | |||
Operating Expenses | 93 | |||
Asset Quality and Concentration- | ||||
Advances, Investment Securities, Mortgage Loans, and Counterparty Risks | 94 | |||
Commitments, Contingencies and Off-Balance Sheet Arrangements | 109 | |||
Quantitative and Qualitative Disclosures about Market Risk | 111 |
Table(s) | Description | Page(s) | ||
1.1 | Market Interest Rates | 31 | ||
2.1 – 2.3 | Financial Condition | 43 | ||
3.1 – 3.11 | Advances | 45 | ||
4.1 – 4.7 | Investments | 51 | ||
5.1 – 5.3 | Mortgage Loans | 55 | ||
6.1 – 6.10 | Consolidated Obligations | 59 | ||
7.1 – 7.3 | Capital | 67 | ||
8.1 – 8.6 | Derivatives | 69 | ||
9.1 – 9.6 | Liquidity | 75 | ||
10.1 – 10.15 | Result of Operations | 79 | ||
11.1 – 11.2 | Assessments | 93 | ||
12.1 – 12.5 | Asset Quality — Advances | 94 | ||
13.1 – 13.9 | Asset Quality — Investments | 97 | ||
14.1 – 14.9 | Asset Quality — Mortgage Loans Held for-portfolio | 103 | ||
15.1 | Credit Exposure by Counterparty Credit Rating | 108 | ||
16.1 | Contractual Obligations and other commitments | 110 |
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Year-to-date December 31, | ||||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Average | Average | Ending Rate | Ending Rate | |||||||||||||
Federal Funds Rate | 0.25 | % | 0.25 | % | 0.25 | % | 0.25 | % | ||||||||
3-month LIBOR | 0.34 | 0.69 | 0.30 | 0.25 | ||||||||||||
2-year U.S. Treasury | 0.69 | 0.94 | 0.60 | 1.14 | ||||||||||||
5-year Treasury | 1.92 | 2.18 | 2.01 | 2.68 | ||||||||||||
10-year Treasury | 3.20 | 3.24 | 3.30 | 3.84 | ||||||||||||
15-year residential mortgage note rate | 4.13 | 4.59 | 4.23 | 4.57 | ||||||||||||
30-year residential mortgage note rate | 4.75 | 5.03 | 4.82 | 5.08 |
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• | Market approach — This technique uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities. |
• | Income approach — This technique uses valuation techniques to convert future amounts (for example, cash flows or earnings) to a single present amount (discounted), based on assumptions used by market participants. The present value technique used to measure fair value depends on the facts and circumstances specific to the asset or liability being measured and the availability of data. |
• | Cost approach — This approach is based on the amount that currently would be required to replace the service capacity of an asset (often referred to as current replacement cost). |
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• | Monitoring the creditworthiness and financial condition of the institutions to which it lends funds. |
• | Reviewing the quality and value of collateral pledged by members. |
• | Estimating borrowing capacity based on collateral value and type for each member, including assessment of margin requirements based on factors such as cost to liquidate and inherent risk exposure based on collateral type. |
• | Evaluating historical loss experience. |
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• | Evaluation of members to ensure that they meet the eligibility standards for participation in the MPF Program. |
• | Evaluation of the purchased and originated loans to ensure that they are qualifying conventional, conforming fixed-rate, first lien mortgage loans with fully amortizing loan terms of up to 30 years, secured by owner-occupied, single-family residential properties. |
• | Estimation of loss exposure and historical loss experience to establish an adequate level of loss reserves. |
• | Hedging strategy |
• | Identification of the item being hedged |
• | Determination of the accounting designation |
• | Determination of method used to assess the effectiveness of the hedge relationship |
• | Assessment that the hedge is expected to be effective in the future if designated as a qualifying hedge accounting standards for derivatives and hedging. |
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36
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• | Adjustments of the effective yields for mortgage-backed securities are recorded on a retrospective basis, as if the new estimated life of the security had been known at its original acquisition date. Changes in interest rates have a direct impact on prepayment speeds and estimated life, which will result in yield adjustments and can be a source of income volatility. Reductions in interest rates generally accelerate prepayments, which accelerate the amortization of premiums and reduce current earnings. Typically, declining interest rates also accelerate the accretion of discounts, thereby increasing current earnings. On the other hand, in a rising interest rate environment, prepayments will generally extend over a longer period, shifting some of the premium amortization and discount accretion to future periods. |
• | The Bank uses the contractual method to amortize premiums and accrete discounts on mortgage loans held-for-portfolio. The contractual method recognizes the income effects of premiums and discounts in a manner that is reflective of the actual behavior of the mortgage loans during the period in which the behavior occurs while also reflecting the contractual terms of the assets without regard to changes in estimated prepayments based upon assumptions about future borrower behavior. |
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• | the annual gross financial revenue of the company represents 85 percent or more of the company’s gross revenue in either of its two most recent completed fiscal years; or |
• | the company’s total financial assets represent 85 percent or more of the company’s total assets as of the end of either of its two most recently completed fiscal years. |
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• | all unsecured 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; |
• | all unsecured 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 U.S. government obligations will be valued at fair market value. |
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• | provides the Bank regulatory authority to receive community development loans as collateral for advances from CFIs that are members, subject to other regulatory requirements; and |
• | codifies the Finance Agency’s position that secured lending to a member by an FHLBank in any form is an “advance” and therefore subject to all requirements applicable to an advance, including stock investment requirements. However, the final rule (i) clarifies that it was not intended to prohibit a Bank’s derivatives activities with members or other obligations that may cause a credit exposure to a Bank but that do not arise from a Bank’s lending of cash funds and (ii) does not include a prohibition on secured transactions with members’ affiliates, as was initially proposed. This latter prohibition would have prohibited the Bank from entering into many of the repurchase transactions that it currently enters for liquidity and investment purposes. |
• | current or anticipated declines in the value of assets held by it; |
• | its ability to access liquidity and funding; |
• | credit, market, operational and other risks; |
• | current or projected declines in its capital; |
• | such FHLBank’s material compliance with regulations, written orders, or agreements; |
• | housing finance market conditions; |
• | levels of retained earnings; |
• | initiatives, operations, products or practices that entail heightened risk; |
• | the ratio of market value of equity to the part value of capital stock; and/or |
• | other conditions as notified by the Director. |
• | such FHLBanks have agreed upon the terms of the proposed merger and the board of directors of each such FHLBank has authorized the execution of the merger agreement; |
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• | such FHLBanks have jointly field a merger application with the Finance Agency to obtain the approval of the Director; |
• | the Director has granted preliminary approval of the merger; |
• | the members of each such FHLBank have ratified the merger agreement; and |
• | the Director has granted final approval of the merger agreement. |
• | requiring compliance with membership standards on a continuous basis rather than only at the time of admission to membership; and |
• | creating additional quantifiable standards for membership. |
• | reorganize and re-adopt Finance Board regulations dealing with COs, as well as related regulations addressing other authorized FHLBank liabilities and book entry procedures for COs; |
• | implement recent statutory amendments that removed authority from the Finance Agency to issue COs; |
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• | specify that the FHLBanks issue COs that are the joint and several obligations of the FHLBanks as provided for in the statute rather than as joint and several obligations of the FHLBanks as provided for in the current regulation; and |
• | provide that COs are issued under Section 11(c) of the FHLBank Act rather than under Section 11(a) of the FHLBank Act. |
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December 31, | Net change in | Net change in | ||||||||||||||
(Dollars in thousands) | 2010 | 2009 | dollar amount | percentage | ||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | 660,873 | $ | 2,189,252 | $ | (1,528,379 | ) | (69.81 | )% | |||||||
Federal funds sold | 4,988,000 | 3,450,000 | 1,538,000 | 44.58 | ||||||||||||
Available-for-sale securities | 3,990,082 | 2,253,153 | 1,736,929 | 77.09 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | 7,761,192 | 10,519,282 | (2,758,090 | ) | (26.22 | ) | ||||||||||
Advances | 81,200,336 | 94,348,751 | (13,148,415 | ) | (13.94 | ) | ||||||||||
Mortgage loans held-for-portfolio | 1,265,804 | 1,317,547 | (51,743 | ) | (3.93 | ) | ||||||||||
Derivative assets | 22,010 | 8,280 | 13,730 | NM | ||||||||||||
Other assets | 323,773 | 374,641 | (50,868 | ) | (13.58 | ) | ||||||||||
Total assets | $ | 100,212,070 | $ | 114,460,906 | $ | (14,248,836 | ) | (12.45 | )% | |||||||
Liabilities | ||||||||||||||||
Deposits | ||||||||||||||||
Interest-bearing demand | $ | 2,401,882 | $ | 2,616,812 | $ | (214,930 | ) | (8.21 | )% | |||||||
Non-interest bearing demand | 9,898 | 6,499 | 3,399 | 52.29 | ||||||||||||
Term | 42,700 | 7,200 | 35,500 | NM | ||||||||||||
Total deposits | 2,454,480 | 2,630,511 | (176,031 | ) | (6.69 | ) | ||||||||||
Consolidated obligations | ||||||||||||||||
Bonds | 71,742,627 | 74,007,978 | (2,265,351 | ) | (3.06 | ) | ||||||||||
Discount notes | 19,391,452 | 30,827,639 | (11,436,187 | ) | (37.10 | ) | ||||||||||
Total consolidated obligations | 91,134,079 | 104,835,617 | (13,701,538 | ) | (13.07 | ) | ||||||||||
Mandatorily redeemable capital stock | 63,219 | 126,294 | (63,075 | ) | (49.94 | ) | ||||||||||
Derivative liabilities | 954,898 | 746,176 | 208,722 | 27.97 | ||||||||||||
Other liabilities | 461,025 | 519,017 | (57,992 | ) | (11.17 | ) | ||||||||||
Total liabilities | 95,067,701 | 108,857,615 | (13,789,914 | ) | (12.67 | ) | ||||||||||
Capital | 5,144,369 | 5,603,291 | (458,922 | ) | (8.19 | ) | ||||||||||
Total liabilities and capital | $ | 100,212,070 | $ | 114,460,906 | $ | (14,248,836 | ) | (12.45 | )% | |||||||
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Short Term Liquidity | ||||||||||||
December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Consolidated Obligations-Discount Notes1 | $ | 19,391,452 | $ | 30,827,639 | $ | 46,329,906 | ||||||
Consolidated Obligations-Bonds With Original Maturities of One Year or Less2 | $ | 12,410,000 | $ | 17,988,000 | $ | 24,379,100 |
1 | Outstanding at end of the period — carrying value | |
2 | Outstanding at end of the period — par value |
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December 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amounts | of Total | Amounts | of Total | |||||||||||||
Adjustable Rate Credit — ARCs | $ | 8,121,000 | 10.56 | % | $ | 14,100,850 | 15.54 | % | ||||||||
Fixed Rate Advances | 64,557,112 | 83.91 | 71,943,468 | 79.29 | ||||||||||||
Short-Term Advances | 1,357,300 | 1.76 | 2,173,321 | 2.39 | ||||||||||||
Mortgage Matched Advances | 479,934 | 0.62 | 606,883 | 0.67 | ||||||||||||
Overnight & Line of Credit (OLOC) Advances | 1,402,696 | 1.82 | 926,517 | 1.02 | ||||||||||||
All other categories | 1,021,497 | 1.33 | 986,661 | 1.09 | ||||||||||||
Total par value | 76,939,539 | 100.00 | % | 90,737,700 | 100.00 | % | ||||||||||
Discount on AHP Advances | (42 | ) | (260 | ) | ||||||||||||
Hedging adjustments | 4,260,839 | 3,611,311 | ||||||||||||||
Total | $ | 81,200,336 | $ | 94,348,751 | ||||||||||||
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Merger activity | ||||||||
Years ended December 31, | ||||||||
2010 | 2009 | |||||||
Number of Non-Members1 | 8 | 9 | ||||||
Non-member advances outstanding at period end | $ | 837,025 | $ | 2,328,736 | ||||
1 | Members who became non-members because of mergers. |
Prepayment Activity | ||||||||
Years ended December 31, | ||||||||
2010 | 2009 | |||||||
Advances pre-paid1 | $ | 3,367,767 | $ | 3,366,170 | ||||
Prepayment fees | $ | 13,130 | $ | 22,853 | ||||
1 | Par amounts of advances prepaid. |
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December 31, 2010 | December 31, 2009 | |||||||||||||||||||||||
Weighted2 | Weighted2 | |||||||||||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||||||||||
Amount | Yield | of Total | Amount | Yield | of Total | |||||||||||||||||||
Overdrawn demand deposit accounts | $ | 196 | 1.15 | % | — | % | $ | 2,022 | 1.20 | % | — | % | ||||||||||||
Due in one year or less | 16,872,651 | 1.77 | 21.94 | 24,128,022 | 2.07 | 26.59 | ||||||||||||||||||
Due after one year through two years | 9,488,116 | 2.81 | 12.33 | 10,819,349 | 2.73 | 11.92 | ||||||||||||||||||
Due after two years through three years | 7,221,496 | 2.94 | 9.39 | 10,069,555 | 2.91 | 11.10 | ||||||||||||||||||
Due after three years through four years | 5,004,502 | 2.69 | 6.50 | 5,804,448 | 3.32 | 6.40 | ||||||||||||||||||
Due after four years through five years | 6,832,709 | 2.93 | 8.88 | 3,364,706 | 3.19 | 3.71 | ||||||||||||||||||
Due after five years through six years | 9,590,448 | 4.32 | 12.46 | 2,807,329 | 3.91 | 3.09 | ||||||||||||||||||
Thereafter | 21,929,421 | 3.68 | 28.50 | 33,742,269 | 3.78 | 37.19 | ||||||||||||||||||
Total par value | 76,939,539 | 3.03 | % | 100.00 | % | 90,737,700 | 3.06 | % | 100.00 | % | ||||||||||||||
Discount on AHP advances1 | (42 | ) | (260 | ) | ||||||||||||||||||||
Hedging adjustments | 4,260,839 | 3,611,311 | ||||||||||||||||||||||
Total | $ | 81,200,336 | $ | 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 3.50% at December 31, 2010 and 1.25% to 4.00% at 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. |
December 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of Total | Amount | of Total | |||||||||||||
Fixed-rate | $ | 68,818,343 | 89.44 | % | $ | 76,634,828 | 84.46 | % | ||||||||
Variable-rate | 8,121,000 | 10.56 | 13,730,850 | 15.13 | ||||||||||||
Variable-rate capped | — | — | 370,000 | 0.41 | ||||||||||||
Overdrawn demand deposit accounts | 196 | — | 2,022 | — | ||||||||||||
Total par value | 76,939,539 | 100.00 | % | 90,737,700 | 100.00 | % | ||||||||||
Discount on AHP Advances | (42 | ) | (260 | ) | ||||||||||||
Hedging basis adjustments | 4,260,839 | 3,611,311 | ||||||||||||||
Total | $ | 81,200,336 | $ | 94,348,751 | ||||||||||||
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December 31, | ||||||||
2010 | 2009 | |||||||
LIBOR indexed | $ | 8,121,000 | $ | 14,100,500 | ||||
Overdrawn demand deposit accounts | 196 | 2,022 | ||||||
Prime | — | 350 | ||||||
Total | $ | 8,121,196 | $ | 14,102,872 | ||||
December 31, | ||||||||||||||||
2010 | 2009 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of Total | Amount | of Total | |||||||||||||
Fixed-rate | ||||||||||||||||
Due in one year or less | $ | 14,384,651 | 18.70 | % | $ | 17,342,672 | 19.12 | % | ||||||||
Due after one year | 54,433,692 | 70.75 | 59,292,156 | 65.34 | ||||||||||||
Total Fixed-rate | 68,818,343 | 89.45 | 76,634,828 | 84.46 | ||||||||||||
Variable-rate | ||||||||||||||||
Due in one year or less | 2,488,196 | 3.23 | 6,787,372 | 7.48 | ||||||||||||
Due after one year | 5,633,000 | 7.32 | 7,315,500 | 8.06 | ||||||||||||
Total Variable-rate | 8,121,196 | 10.55 | 14,102,872 | 15.54 | ||||||||||||
Total par value | 76,939,539 | 100.00 | % | 90,737,700 | 100.00 | % | ||||||||||
Discount on AHP Advances | (42 | ) | (260 | ) | ||||||||||||
Hedging adjustments | 4,260,839 | 3,611,311 | ||||||||||||||
Total | $ | 81,200,336 | $ | 94,348,751 | ||||||||||||
• | Derivative transactions are employed to hedge fixed-rate advances in the following manner and to achieve the following principal objectives. The FHLBNY: |
• | 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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Advances | ||||||||
Years ended December 31, | ||||||||
Par Amount | 2010 | 2009 | ||||||
Qualifying Hedges | ||||||||
Fixed-rate bullets | $ | 26,562,821 | $ | 25,649,405 | ||||
Fixed-rate putable | 33,612,162 | 40,252,262 | ||||||
Fixed-rate callable | 150,000 | — | ||||||
Total Qualifying Hedges | $ | 60,324,983 | $ | 65,901,667 | ||||
Aggregate par amount of advances hedged1 | $ | 60,461,327 | $ | 66,414,756 | ||||
Fair value basis (Qualifying hedging adjustments) | $ | 4,260,839 | $ | 3,611,311 | ||||
1 | Either hedged economically or qualified under a hedge accounting rules |
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December 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Overdrawn demand deposit accounts | $ | 196 | — | % | $ | 2,022 | — | % | ||||||||
Due or putable\callable in one year or less1 | 49,443,712 | 64.26 | 56,978,134 | 62.79 | ||||||||||||
Due or putable after one year through two years | 8,889,867 | 11.55 | 14,082,199 | 15.52 | ||||||||||||
Due or putable after two years through three years | 6,959,596 | 9.05 | 8,991,805 | 9.91 | ||||||||||||
Due or putable after three years through four years | 4,744,502 | 6.17 | 5,374,048 | 5.92 | ||||||||||||
Due or putable after four years through five years | 4,145,209 | 5.39 | 2,826,206 | 3.12 | ||||||||||||
Due or putable after five years through six years | 815,948 | 1.06 | 158,329 | 0.18 | ||||||||||||
Thereafter | 1,940,509 | 2.52 | 2,324,957 | 2.56 | ||||||||||||
Total par value | 76,939,539 | 100.00 | % | 90,737,700 | 100.00 | % | ||||||||||
Discount on AHP advances | (42 | ) | (260 | ) | ||||||||||||
Hedging adjustments | 4,260,839 | 3,611,311 | ||||||||||||||
Total | $ | 81,200,336 | $ | 94,348,751 | ||||||||||||
1 | Due or putable in one year or less includes two callable advances. |
Advances | ||||||||
December 31, | ||||||||
2010* | 2009* | |||||||
Putable | $ | 34,651,912 | $ | 41,447,812 | ||||
No-longer putable | $ | 2,581,100 | $ | 2,093,700 | ||||
Callable | $ | 150,000 | — | |||||
* | Par value |
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December 31, | Dollar | Percentage | ||||||||||||||
2010 | 2009 | Variance | Variance | |||||||||||||
State and local housing finance agency obligations1 | $ | 770,609 | $ | 751,751 | $ | 18,858 | 2.51 | % | ||||||||
Mortgage-backed securities | ||||||||||||||||
Available-for-sale securities, at fair value | 3,980,135 | 2,240,564 | 1,739,571 | 77.64 | ||||||||||||
Held-to-maturity securities, at carrying value | 6,990,583 | 9,767,531 | (2,776,948 | ) | (28.43 | ) | ||||||||||
Total securities | 11,741,327 | 12,759,846 | (1,018,519 | ) | (7.98 | ) | ||||||||||
Grantor trusts2 | 9,947 | 12,589 | (2,642 | ) | (20.99 | ) | ||||||||||
Federal funds sold | 4,988,000 | 3,450,000 | 1,538,000 | 44.58 | ||||||||||||
Total investments | $ | 16,739,274 | $ | 16,222,435 | $ | 516,839 | 3.19 | % | ||||||||
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. |
December 31, | Percentage | December 31, | Percentage | |||||||||||||
2010 | of Total | 2009 | of Total | |||||||||||||
U.S. government sponsored enterprise residential mortgage-backed securities | $ | 5,528,792 | 79.09 | % | $ | 8,482,139 | 86.84 | % | ||||||||
U.S. agency residential mortgage-backed securities | 116,126 | 1.66 | 171,531 | 1.76 | ||||||||||||
U.S. government sponsored enterprise commercial mortgage-backed securities | 476,393 | 6.81 | — | — | ||||||||||||
U.S. agency commercial mortgage-backed securities | 48,748 | 0.70 | 49,526 | 0.51 | ||||||||||||
Private-label issued securities backed by home equity loans | 351,455 | 5.03 | 417,151 | 4.27 | ||||||||||||
Private-label issued residential mortgage-backed securities | 292,477 | 4.18 | 444,906 | 4.55 | ||||||||||||
Private-label issued securities backed by manufactured housing loans | 176,592 | 2.53 | 202,278 | 2.07 | ||||||||||||
Total Held-to-maturity securities-mortgage-backed securities | $ | 6,990,583 | 100.00 | % | $ | 9,767,531 | 100.00 | % | ||||||||
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December 31, | Percentage | December 31, | Percentage | |||||||||||||
2010 | of Total | 2009 | of Total | |||||||||||||
Fannie Mae | $ | 2,478,313 | 62.26 | % | $ | 1,544,500 | 68.93 | % | ||||||||
Freddie Mac | 1,429,900 | 35.93 | 696,064 | 31.07 | ||||||||||||
Ginnie Mae | 71,922 | 1.81 | — | — | ||||||||||||
Total AFS mortgage-backed securities | 3,980,135 | 100.00 | % | 2,240,564 | 100.00 | % | ||||||||||
Grantor Trusts — Mutual funds | 9,947 | 12,589 | ||||||||||||||
Total Available-for-sale portfolio | $ | 3,990,082 | $ | 2,253,153 | ||||||||||||
December 31, 2010 | ||||||||||||||||||||||||
Below | ||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Grade | Total | |||||||||||||||||||
Long-term securities | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 6,463,552 | $ | 266,567 | $ | 87,796 | $ | 17,446 | $ | 155,222 | $ | 6,990,583 | ||||||||||||
State and local housing finance agency obligations | 71,461 | 631,943 | — | 67,205 | — | 770,609 | ||||||||||||||||||
Total Long-term securities | $ | 6,535,013 | $ | 898,510 | $ | 87,796 | $ | 84,651 | $ | 155,222 | $ | 7,761,192 | ||||||||||||
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 | ||||||||||||
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December 31, 2010 | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Unrated | Total | |||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||||||
Mortgage-backed securities1 | $ | 3,980,135 | $ | — | $ | — | $ | — | $ | — | $ | 3,980,135 | ||||||||||||
Other — Grantor trusts | — | — | — | — | 9,947 | 9,947 | ||||||||||||||||||
Total | $ | 3,980,135 | $ | — | $ | — | $ | — | $ | 9,947 | $ | 3,990,082 | ||||||||||||
December 31, 2009 | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Unrated | Total | |||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||||||
Mortgage-backed securities1 | $ | 2,240,564 | $ | — | $ | — | $ | — | $ | — | $ | 2,240,564 | ||||||||||||
Other — Grantor trusts | — | — | — | — | 12,589 | 12,589 | ||||||||||||||||||
Total | $ | 2,240,564 | $ | — | $ | — | $ | — | $ | 12,589 | $ | 2,253,153 | ||||||||||||
1 | GSE and U.S. Obligations |
December 31, 2010 | December 31, 2009 | |||||||||||||||
Amortized | Weighted | Amortized | Weighted | |||||||||||||
Cost | Average Rate | Cost | Average Rate | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
Due in one year or less | $ | — | — | % | $ | — | — | % | ||||||||
Due after one year through five years | 1,730 | 6.25 | 2,663 | 6.25 | ||||||||||||
Due after five years through ten years | 1,374,456 | 4.36 | 1,140,153 | 4.78 | ||||||||||||
Due after ten years | 9,664,231 | 2.57 | 10,977,950 | 3.21 | ||||||||||||
Total mortgage-backed securities | $ | 11,040,417 | 2.79 | % | $ | 12,120,766 | 3.36 | % | ||||||||
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December 31, 2010 | ||||||||||||||||
Actual Results — Base Case Scenario | Pro-forma Results — Adverse Case Scenario | |||||||||||||||
OTTI Related to Credit | OTTI Related to Credit | |||||||||||||||
UPB | Loss | UPB | Loss | |||||||||||||
RMBS Prime | $ | 16,477 | $ | (176 | ) | $ | 16,477 | $ | (272 | ) | ||||||
Alt-A | — | — | — | — | ||||||||||||
HEL Subprime | 17,641 | (409 | ) | 17,641 | (421 | ) | ||||||||||
Total | $ | 34,118 | $ | (585 | ) | $ | 34,118 | $ | (693 | ) | ||||||
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December 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Real Estate: | ||||||||||||||||
Fixed medium-term single-family mortgages | $ | 342,081 | 27.05 | % | $ | 388,072 | 29.43 | % | ||||||||
Fixed long-term single-family mortgages | 918,741 | 72.65 | 926,856 | 70.27 | ||||||||||||
Multi-family mortgages | 3,799 | 0.30 | 3,908 | 0.30 | ||||||||||||
Total par value | 1,264,621 | 100.00 | % | 1,318,836 | 100.00 | % | ||||||||||
Unamortized premiums | 11,333 | 9,095 | ||||||||||||||
Unamortized discounts | (4,357 | ) | (5,425 | ) | ||||||||||||
Basis adjustment1 | (33 | ) | (461 | ) | ||||||||||||
Total mortgage loans held-for-portfolio | 1,271,564 | 1,322,045 | ||||||||||||||
Allowance for credit losses | (5,760 | ) | (4,498 | ) | ||||||||||||
Total mortgage loans held-for-portfolio after allowance for credit losses | $ | 1,265,804 | $ | 1,317,547 | ||||||||||||
1 | Represents fair value basis of open and closed delivery commitments. |
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December 31, | ||||||||
2010 | 2009 | |||||||
Federal Housing Administration and Veteran Administration insured loans | $ | 5,610 | $ | 5,975 | ||||
Conventional loans | 1,255,212 | 1,308,953 | ||||||
Others | 3,799 | 3,908 | ||||||
Total par value | $ | 1,264,621 | $ | 1,318,836 | ||||
Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Beginning balance | $ | 4,498 | $ | 1,406 | $ | 633 | ||||||
Charge-offs | (223 | ) | (16 | ) | — | |||||||
Recoveries | 76 | — | — | |||||||||
Provision for credit losses on mortgage loans | 1,409 | 3,108 | 773 | |||||||||
Ending balance | $ | 5,760 | $ | 4,498 | $ | 1,406 | ||||||
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December 31, | ||||||||
2010* | 2009* | |||||||
Debt transferred to another FHLBank | $ | — | $ | — | ||||
Debt transferred from another FHLBank | $ | 193,925 | $ | — | ||||
Debt extinguished | $ | 300,500 | $ | 500,000 | ||||
* | Par value |
December 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Fixed-rate, non-callable | $ | 43,307,980 | 61.01 | % | $ | 48,647,625 | 66.31 | % | ||||||||
Fixed-rate, callable | 8,821,000 | 12.43 | 8,374,800 | 11.42 | ||||||||||||
Step Up, non-callable | — | — | 53,000 | 0.07 | ||||||||||||
Step Up, callable | 2,725,000 | 3.84 | 3,305,000 | 4.51 | ||||||||||||
Single-index floating rate | 16,128,000 | 22.72 | 12,977,500 | 17.69 | ||||||||||||
Total par value | 70,981,980 | 100.00 | % | 73,357,925 | 100.00 | % | ||||||||||
Bond premiums | 163,830 | 112,866 | ||||||||||||||
Bond discounts | (31,740 | ) | (33,852 | ) | ||||||||||||
Fair value basis adjustments | 622,593 | 572,537 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 501 | 2,761 | ||||||||||||||
Fair value option valuation adjustments and accrued interest | 5,463 | (4,259 | ) | |||||||||||||
Total bonds | $ | 71,742,627 | $ | 74,007,978 | ||||||||||||
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• | Floating rate bonds — Floating-rate bonds had declined steadily through the four quarters in 2009 and in the first two quarter of 2010. In those periods, maturing floating-rate bonds in general were not replaced due to 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. In the 2010 fourth quarter, maturing floating-rate bonds were not replaced and outstanding amounts declined to $16.1 billion at December 31, 2010. The outstanding floating-rate debt at December 31, 2010 consisted of debt 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. |
• | 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 callable bonds, 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. |
• | With a callable bond, the Bank purchases a call option from the investor and the option allows the Bank to terminate the bond at predetermined call dates at par. When the Bank purchases the call option from investors, it typically lowers the cost to the investor, who has traditionally been receptive to callable-bond yields offered by the FHLBNY. |
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• | Makes extensive use of the derivatives to restructure interest rates on consolidated obligation bonds, both callable and non-callable, to better meet its members’ funding needs, to reduce funding costs, and to manage risk in a changing market environment. |
• | Converts, at the time of issuance, certain simple fixed-rate bullet and callable bonds into synthetic floating-rate bonds by the simultaneous execution of interest rate swaps that convert the cash flows of the fixed-rate bonds to conventional adjustable rate instruments tied to an index, typically 3-month LIBOR. |
• | Uses derivatives to manage the risk arising from changing market prices and volatility of a fixed coupon bond by matching the cash flows of the bond to the cash flows of the derivative and making the FHLBNY indifferent to changes in market conditions. Except when issued to fund MBS and MPF loans, callable bonds are typically hedged by an offsetting derivative with a mirror-image call option and identical terms. |
• | Adjusts the reported carrying value of hedged consolidated bonds for changes in their fair value (“fair value basis adjustments” or “fair value”) that are attributable to the risk being hedged in accordance with hedge accounting rules. Amounts reported for consolidated obligation bonds in the Statements of Condition include fair value basis adjustments. |
• | Lowers its funding cost by the issuance of a callable bond and the execution of an associated interest rate swap with mirrored call options, which results in funding at a lower cost than the FHLBNY would otherwise have achieved. The issuance of callable bonds and the simultaneous swapping with a derivative instrument depends on the price relationships in both the bond and the derivatives markets. |
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Consolidated Obligations Bonds | ||||||||
Years ended December 31, | ||||||||
Par Amount | 2010 | 2009 | ||||||
Qualifying Hedges1 | ||||||||
Fixed-rate bullet bonds | $ | 27,610,830 | $ | 26,089,780 | ||||
Fixed-rate callable bonds | 5,905,000 | 6,785,000 | ||||||
$ | 33,515,830 | $ | 32,874,780 | |||||
1 | Under hedge accounting rules. |
Table 6.4: Bonds under the Fair Value Option (FVO) |
Consolidated Obligations Bonds | ||||||||
Years ended December 31, | ||||||||
Par Amount | 2010 | 2009 | ||||||
Bonds designated under FVO | $ | 14,276,000 | $ | 6,040,000 | ||||
Consolidated Obligations Bonds | ||||||||
Years ended December 31, | ||||||||
Par Amount | 2010 | 2009 | ||||||
Bonds designated as economically hedged | ||||||||
Floating-rate bonds | $ | 8,928,000 | $ | 7,985,000 | ||||
Fixed-rate bonds | 115,000 | 13,113,000 | ||||||
$ | 9,043,000 | $ | 21,098,000 | |||||
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December 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Year of Maturity or next call date | ||||||||||||||||
Due or callable in one year or less | $ | 40,228,200 | 56.67 | % | $ | 50,481,350 | 68.82 | % | ||||||||
Due or callable after one year through two years | 15,671,375 | 22.08 | 11,352,200 | 15.48 | ||||||||||||
Due or callable after two years through three years | 7,209,950 | 10.16 | 4,073,575 | 5.55 | ||||||||||||
Due or callable after three years through four years | 2,649,355 | 3.73 | 3,606,250 | 4.91 | ||||||||||||
Due or callable after four years through five years | 2,926,400 | 4.12 | 1,325,800 | 1.81 | ||||||||||||
Due or callable after five years through six years | 227,500 | 0.32 | 529,050 | 0.72 | ||||||||||||
Thereafter | 2,069,200 | 2.92 | 1,989,700 | 2.71 | ||||||||||||
70,981,980 | 100.00 | % | 73,357,925 | 100.00 | % | |||||||||||
Bond premiums | 163,830 | 112,866 | ||||||||||||||
Bond discounts | (31,740 | ) | (33,852 | ) | ||||||||||||
Fair value basis adjustments | 622,593 | 572,537 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 501 | 2,761 | ||||||||||||||
Fair value option valuation adjustments and accrued interest | 5,463 | (4,259 | ) | |||||||||||||
$ | 71,742,627 | $ | 74,007,978 | |||||||||||||
December 31, | ||||||||
2010* | 2009* | |||||||
Callable | $ | 11,546,000 | $ | 11,679,800 | ||||
No longer callable | $ | 1,015,000 | $ | 93,000 | ||||
Non-Callable | $ | 58,420,980 | $ | 61,585,125 | ||||
* | Par value |
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December 31, | ||||||||
2010 | 2009 | |||||||
Par value | $ | 19,394,503 | $ | 30,838,104 | ||||
Amortized cost | $ | 19,388,317 | $ | 30,827,639 | ||||
Fair value option valuation adjustments | 3,135 | — | ||||||
Total | $ | 19,391,452 | $ | 30,827,639 | ||||
Weighted average interest rate | 0.16 | % | 0.15 | % | ||||
Consolidated Obligations Discount Notes | ||||||||
Years ended December 31, | ||||||||
Principal Amount | 2010 | 2009 | ||||||
Discount notes hedged under qualifying hedge | $ | — | $ | — | ||||
Discount notes economically hedged | $ | — | $ | 3,783,874 | ||||
Discount notes under FVO | $ | 953,202 | $ | — | ||||
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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 |
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December 31, | ||||||||
2010 | 2009 | |||||||
Capital Stock | $ | 4,528,962 | $ | 5,058,956 | ||||
Retained Earnings | 712,091 | 688,874 | ||||||
Accumulated Other Comprehensive Income (Loss) | (96,684 | ) | (144,539 | ) | ||||
Total Capital | $ | 5,144,369 | $ | 5,603,291 | ||||
Table 7.2: Accumulated other comprehensive income (loss) (“AOCI”) |
December 31, | ||||||||
2010 | 2009 | |||||||
Accumulated other comprehensive income (loss) | ||||||||
Non-credit portion of OTTI on held-to-maturity securities, net of accretion | $ | (92,926 | ) | $ | (110,570 | ) | ||
Net unrealized gain (loss) on available-for-sale securities | 22,965 | (3,409 | ) | |||||
Hedging activities | (15,196 | ) | (22,683 | ) | ||||
Employee supplemental retirement plans | (11,527 | ) | (7,877 | ) | ||||
Total Accumulated other comprehensive income (loss) | $ | (96,684 | ) | $ | (144,539 | ) | ||
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December 31, | ||||||||
2010 | 2009 | |||||||
Cash dividends paid per share | $ | 5.24 | $ | 4.95 | ||||
Dividends paid1 | $ | 257,716 | $ | 271,474 | ||||
Pay-out ratio2 | 93.54 | % | 47.56 | % | ||||
1 | In thousands | |
2 | Dividend paid during the year divided by net income for the year |
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December 31, | December 31, | |||||||||||
2010 Notional | 2009 Notional | |||||||||||
Amount | Amount | |||||||||||
Derivatives/Terms | Hedging Strategy | Accounting Designation | (in millions) | (in millions) | ||||||||
Pay fixed, receive floating | To convert fixed rate on a fixed rate | Economic Hedge of | $ | 128 | $ | 123 | ||||||
interest rate swap | advance to a LIBOR floating rate | Fair Value Risk | ||||||||||
Pay fixed, receive floating interest | To convert fixed rate on a fixed rate advance | Fair Value Hedge | $ | 150 | $ | — | ||||||
rate swap cancelable by FHLBNY | to a LIBOR floating rate callable advance | |||||||||||
Pay fixed, receive floating interest | To convert fixed rate on a fixed rate advance | Fair Value Hedge | $ | 33,612 | $ | 40,252 | ||||||
rate swap cancelable by counterparty | to a LIBOR floating rate putable advance | |||||||||||
Pay fixed, receive floating | To convert fixed rate on a fixed rate advance | Fair Value Hedge | $ | 2,839 | $ | 2,283 | ||||||
interest rate swap no longer cancelable by | to a LIBOR floating rate no-longer putable | |||||||||||
counterparty | advance | |||||||||||
Pay fixed, receive floating interest | To convert fixed rate on a fixed rate advance | Fair Value Hedge | $ | 23,724 | $ | 23,367 | ||||||
rate swap non-cancelable | to a LIBOR floating rate non-putable advance | |||||||||||
Purchased interest rate cap | To offset the cap embedded in the | Economic Hedge of | $ | 8 | $ | 390 | ||||||
variable rate advance | Fair Value Risk |
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December 31, | December 31, | |||||||||||
2010 Notional | 2009 Notional | |||||||||||
Amount | Amount | |||||||||||
Derivatives/Terms | Hedging Strategy | Accounting Designation | (in millions) | (in millions) | ||||||||
Receive fixed, pay floating | To convert fixed rate consolidated | Economic Hedge of | $ | 115 | $ | 13,113 | ||||||
interest rate swap | obligation bond debt to a LIBOR floating rate | Fair Value Risk | ||||||||||
Receive fixed, pay floating interest rate | To convert fixed rate consolidated obligation | Fair Value Hedge | $ | 5,905 | $ | 6,785 | ||||||
swap cancelable by counterparty | bond debt to a LIBOR floating rate callable bond | |||||||||||
Receive fixed, pay floating interest rate | To convert fixed rate consolidated obligation | Fair Value Hedge | $ | 15 | $ | 108 | ||||||
swap no longer cancelable | bond debt to a LIBOR floating rate no-longer callable | |||||||||||
Receive fixed, pay floating interest rate | To convert fixed rate consolidated obligation | Fair Value Hedge | $ | 27,596 | $ | 25,982 | ||||||
swap non-cancelable | bond debt to a LIBOR floating rate non-callable | |||||||||||
Receive fixed, pay floating | To convert the fixed rate consolidated obligation | Economic Hedge of | $ | — | $ | 3,784 | ||||||
interest rate swap (non-callable) | discount note debt to a LIBOR floating rate non-callable | Fair Value Risk | ||||||||||
Basis swap | To convert non-LIBOR index to LIBOR to reduce | Economic Hedge of | $ | 6,878 | $ | 6,035 | ||||||
interest rate sensitivity and repricing gaps | Cash Flows | |||||||||||
Basis swap | To convert 1M LIBOR index to 3M LIBOR to reduce | Economic Hedge of | $ | 2,050 | $ | 1,950 | ||||||
interest rate sensitivity and repricing gaps | Cash Flows | |||||||||||
Receive fixed, pay floating interest rate | Fixed rate callable bond converted to a LIBOR | Fair Value Option | $ | 5,576 | $ | 5,690 | ||||||
swap cancelable by counterparty | floating rate; matched to callable bond accounted | |||||||||||
for under fair value option | ||||||||||||
Receive fixed, pay floating | Fixed rate callable bond converted to a LIBOR | Fair Value Option | $ | 1,000 | $ | — | ||||||
interest rate swap no longer cancelable | floating rate; matched to bond no -longer callable | |||||||||||
accounted for under fair value option. | ||||||||||||
Receive fixed, pay floating interest rate | Fixed rate non-callable bond converted to a LIBOR | Fair Value Option | $ | 7,700 | $ | 350 | ||||||
swap non-cancelable | floating rate; matched to non-callable bond | |||||||||||
accounted for under fair value option | ||||||||||||
Receive fixed, pay floating interest rate | Fixed rate consolidated obligation discount note converted | Fair Value Option | $ | 953 | $ | — | ||||||
swap non-cancelable | to a LIBOR floating rate; matched to discount note | |||||||||||
accounted for under fair value option |
December 31, | December 31, | |||||||||||
2010 Notional | 2009 Notional | |||||||||||
Amount | Amount | |||||||||||
Derivatives/Terms | Hedging Strategy | Accounting Designation | (in millions) | (in millions) | ||||||||
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 | To offset interest rate swaps and caps executed | Economic Hedge of | $ | 550 | $ | 320 | ||||||
and caps | with members by executing offsetting derivatives | Fair Value Risk | ||||||||||
with counterparties |
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December 31, 2010 | December 31, 2009 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Notional | Fair Value | Notional | Fair Value | |||||||||||||
Interest rate swaps | ||||||||||||||||
Derivatives in fair value hedging relationships1 | $ | 93,840,813 | $ | (3,654,298 | ) | $ | 98,776,447 | $ | (3,056,718 | ) | ||||||
Derivatives in economic hedges2 | 9,171,345 | (1,440 | ) | 27,104,963 | 31,723 | |||||||||||
Derivatives matching debt designated under FVO3 | 15,229,202 | 777 | 6,040,000 | (2,632 | ) | |||||||||||
Interest rate caps/floors | ||||||||||||||||
Economic hedges-fair value | 1,900,000 | 41,785 | 2,282,000 | 71,494 | ||||||||||||
Mortgage delivery commitments (MPF) | ||||||||||||||||
Economic hedges-fair value | 29,993 | (514 | ) | 4,210 | (39 | ) | ||||||||||
Other | ||||||||||||||||
Intermediation | 550,000 | 659 | 320,000 | 352 | ||||||||||||
Total | $ | 120,721,353 | $ | (3,613,031 | ) | $ | 134,527,620 | $ | (2,955,820 | ) | ||||||
Total derivatives, excluding accrued interest | $ | (3,613,031 | ) | $ | (2,955,820 | ) | ||||||||||
Cash collateral pledged to counterparties | 2,739,402 | 2,237,028 | ||||||||||||||
Cash collateral received from counterparties | (9,300 | ) | — | |||||||||||||
Accrued interest | (49,959 | ) | (19,104 | ) | ||||||||||||
Net derivative balance | $ | (932,888 | ) | $ | (737,896 | ) | ||||||||||
Net derivative asset balance | $ | 22,010 | $ | 8,280 | ||||||||||||
Net derivative liability balance | (954,898 | ) | (746,176 | ) | ||||||||||||
Net derivative balance | $ | (932,888 | ) | $ | (737,896 | ) | ||||||||||
1 | Qualifying under hedge accounting rules. | |
2 | Not qualifying under accounting rules but used as an economic hedge (“standalone derivative”). | |
3 | Economic hedge of debt designated under the FVO. |
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December 31, 2010 | December 31, 2009 | |||||||||||||||
Total Estimated | Total Estimated | |||||||||||||||
Fair Value | Fair Value | |||||||||||||||
(Excluding | (Excluding | |||||||||||||||
Total Notional | Accrued | Total Notional | Accrued | |||||||||||||
Amount | Interest) | Amount | Interest) | |||||||||||||
Derivatives designated as hedging instruments1 | ||||||||||||||||
Advances-fair value hedges | $ | 60,324,983 | $ | (4,269,037 | ) | $ | 65,901,667 | $ | (3,622,141 | ) | ||||||
Consolidated obligations-fair value hedges | 33,515,830 | 614,739 | 32,874,780 | 565,423 | ||||||||||||
Derivatives not designated as hedging instruments2 | ||||||||||||||||
Advances-economic hedges | 136,345 | (3,115 | ) | 513,089 | (196 | ) | ||||||||||
Consolidated obligations-economic hedges | 9,043,000 | 1,675 | 24,881,874 | 36,954 | ||||||||||||
MPF loan-commitments | 29,993 | (514 | ) | 4,210 | (39 | ) | ||||||||||
Balance sheet | 1,892,000 | 41,785 | 1,892,000 | 71,494 | ||||||||||||
Intermediary positions-economic hedges | 550,000 | 659 | 320,000 | 352 | ||||||||||||
Balance sheet-macro hedges swaps | — | — | 2,100,000 | (5,035 | ) | |||||||||||
Derivatives matching COs designated under FVO3 | ||||||||||||||||
Interest rate swaps-consolidated obligations-bonds | 14,276,000 | (505 | ) | 6,040,000 | (2,632 | ) | ||||||||||
Interest rate swaps-consolidated obligations-discount notes | 953,202 | 1,282 | — | — | ||||||||||||
Total notional and fair value | $ | 120,721,353 | $ | (3,613,031 | ) | $ | 134,527,620 | $ | (2,955,820 | ) | ||||||
Total derivatives, excluding accrued interest | $ | (3,613,031 | ) | $ | (2,955,820 | ) | ||||||||||
Cash collateral pledged to counterparties | 2,739,402 | 2,237,028 | ||||||||||||||
Cash collateral received from counterparties | (9,300 | ) | — | |||||||||||||
Accrued interest | (49,959 | ) | (19,104 | ) | ||||||||||||
Net derivative balance | $ | (932,888 | ) | $ | (737,896 | ) | ||||||||||
Net derivative asset balance | $ | 22,010 | $ | 8,280 | ||||||||||||
Net derivative liability balance | (954,898 | ) | (746,176 | ) | ||||||||||||
Net derivative balance | $ | (932,888 | ) | $ | (737,896 | ) | ||||||||||
1 | Qualifying under hedge accounting rules. | |
2 | Not qualifying under hedge accounting rules but used as an economic hedge (“standalone”). | |
3 | Economic hedge of debt designated under the FVO. |
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December 31, 2010 | ||||||||||||||||||||||||
Total Net | Credit Exposure | Other | Net | |||||||||||||||||||||
Number of | Notional | Exposure at | Net of | Collateral | Credit | |||||||||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | Cash Collateral3 | Held2 | Exposure | ||||||||||||||||||
AAA | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
AA | 8 | 43,283,429 | 25,385 | 16,085 | — | 16,085 | ||||||||||||||||||
A | 8 | 77,132,931 | — | — | — | — | ||||||||||||||||||
Members (Notes1&2) | 2 | 275,000 | 5,925 | 5,925 | 5,925 | — | ||||||||||||||||||
Delivery Commitments | — | 29,993 | — | — | — | — | ||||||||||||||||||
Total | 18 | $ | 120,721,353 | $ | 31,310 | $ | 22,010 | $ | 5,925 | $ | 16,085 | |||||||||||||
December 31, 2009 | ||||||||||||||||||||||||
Total Net | Credit Exposure | Other | Net | |||||||||||||||||||||
Number of | Notional | Exposure at | Net of | Collateral | Credit | |||||||||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | Cash Collateral3 | Held2 | Exposure | ||||||||||||||||||
AAA | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
AA | 7 | 45,652,167 | 684 | 684 | — | 684 | ||||||||||||||||||
A | 8 | 88,711,243 | — | — | — | — | ||||||||||||||||||
Members (Notes1&2) | 2 | 160,000 | 7,596 | 7,596 | 7,596 | — | ||||||||||||||||||
Delivery Commitments | — | 4,210 | — | — | — | — | ||||||||||||||||||
Total | 17 | $ | 134,527,620 | $ | 8,280 | $ | 8,280 | $ | 7,596 | $ | 684 | |||||||||||||
Note1: | Fair values of $5.9 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 December 31, 2010 and December 31, 2009. | |
Note2: | Members are required to pledge collateral to secure derivatives purchased by the FHLBNY as an intermediary on behalf of its members. Eligible collateral includes: (1) one-to-four-family and multi-family mortgages; (2) U.S. Treasury and government-agency securities; (3) mortgage-backed securities; and (4) certain other collateral which is real estate-related and has a readily ascertainable value, and in which the FHLBNY can perfect a security interest. As a result of the collateral agreements with its members, the FHLBNY believes that its maximum credit exposure due to the intermediated transactions was $0 at December 31, 2010 and December 31, 2009. | |
Note3: | As reported in the Statements of Condition. |
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• | Inception prospective assessment.Upon designation of the hedging relationship and on an ongoing basis, FHLBNY is required to demonstrate that it expects the hedging relationship to be highly effective. This is a forward-looking consideration. The prospective assessment at designation uses sensitivity analysis employing an option-adjusted valuation model to generate changes in market value of the hedged item and the swap. These projected market values are then analyzed over multiple instantaneous, parallel rate shocks. The hedge is expected to be highly effective if the change in fair value of the swap divided by the change in the fair value of the hedged item is within the 80%-125% dollar value offset boundaries. See note below summarizing statistical regression methodology1. |
• | Ongoing prospective assessment. For purposes of assessing effectiveness on an ongoing basis, the Bank will utilize the regression results from its retrospective assessment as a means of demonstrating that it expects all “long-haul” hedge relationships to be highly effective in future periods (i.e. it will use the regression for both its ongoing prospective and retrospective assessment). |
• | Retrospective assessment.At least quarterly, FHLBNY will be required to determine whether the hedging relationship was highly effective in offsetting changes in fair value or cash flows through the date of the periodic assessment. This is an evaluation of the past experience. |
1 | FHLBNY uses a statistical method commonly referred to as regression analysis to analyze how a single dependent variable is affected by the changes in one (or more) independent variable(s). If the two variables are highly correlated, then movements of one variable can be reasonably expected to trigger similar movements in the other variable. Thus, regression analysis serves to measure the strength of empirical relationships and assessing the probability of hedge effectiveness. The FHLBNY tests the effectiveness of the hedges by regressing the changes in the net present value of future cash flows (“NPV”) of the derivative against changes in the net present value of the hedged transaction, typically an advance or a consolidated obligation. |
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• | Obligations of the United States; |
• | Deposits in banks or trust companies; or |
• | Advances with a maturity not to exceed five years. |
Average Deposit | Average Actual | |||||||||||
For the Quarters ended | Reserve Required | Deposit Liquidity | Excess | |||||||||
December 31, 2010 | $ | 3,304 | $ | 44,945 | $ | 41,641 | ||||||
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 | |||||||||
September 30, 2009 | 2,189 | 55,890 | 53,701 | |||||||||
June 30, 2009 | 2,190 | 57,886 | 55,696 | |||||||||
March 31, 2009 | 1,753 | 63,267 | 61,514 |
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Average Balance Sheet | Average Actual | |||||||||||
For the Quarters ended | Liquidity Requirement | Operational Liquidity | Excess | |||||||||
December 31, 2010 | $ | 2,937 | $ | 15,500 | $ | 12,563 | ||||||
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 | |||||||||
September 30, 2009 | 18,348 | 22,205 | 3,857 | |||||||||
June 30, 2009 | 11,925 | 25,904 | 13,979 | |||||||||
March 31, 2009 | 9,543 | 20,893 | 11,350 |
Average Five Day | Average Actual | |||||||||||
For the Quarters ended | Requirement | Contingency Liquidity | Excess | |||||||||
December 31, 2010 | $ | 2,239 | $ | 15,289 | $ | 13,050 | ||||||
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 | |||||||||
September 30, 2009 | 2,962 | 16,676 | 13,714 | |||||||||
June 30, 2009 | 11,877 | 21,030 | 9,153 | |||||||||
March 31, 2009 | 7,443 | 18,709 | 11,266 |
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• | Cash; | ||
• | Obligations of, or fully guaranteed by, the United States; | ||
• | Secured advances; | ||
• | Mortgages that have any guaranty, insurance, or commitment from the United States or any agency of the United States; | ||
• | Investments described in section 16(a) of the FHLBank Act, including securities that a fiduciary or trust fund may purchase under the laws of the state in which the FHLBank is located; and | ||
• | Other securities that are rated Aaa by Moody’s or AAA by Standard & Poor’s. |
Consolidated Obligations- | ||||||||||||||||
Consolidated Obligations- | Bonds With Original | |||||||||||||||
Discount Notes | Maturities of One Year or Less | |||||||||||||||
December 31, | December 31, | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Outstanding at end of the period1 | $ | 19,391,452 | $ | 30,827,639 | $ | 12,410,000 | $ | 17,988,000 | ||||||||
Weighted-average rate at end of the period2 | 0.16 | % | 0.15 | % | 0.22 | % | 0.55 | % | ||||||||
Daily average outstanding for the period1 | $ | 21,727,968 | $ | 41,495,955 | $ | 12,266,929 | $ | 16,304,295 | ||||||||
Weighted-average rate for the period2 | 0.19 | % | 0.47 | % | 0.39 | % | 0.94 | % | ||||||||
Highest outstanding at any month-end1 | $ | 27,480,949 | $ | 52,040,392 | $ | 17,538,000 | $ | 22,224,600 |
1 | Outstanding balances represents the carrying value of discount notes and par value of bonds (less than 1 year) issued and outstanding at the reported dates. | |
2 | These would reflect rates without consideration for concession fees and/or hedging activities/fair value option related adjustments. |
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December 31, | ||||||||
2010 | 2009 | |||||||
Consolidated Obligations: | ||||||||
Bonds | $ | 71,742,627 | $ | 74,007,978 | ||||
Discount Notes | 19,391,452 | 30,827,639 | ||||||
Total consolidated obligations | 91,134,079 | 104,835,617 | ||||||
Unpledged assets | ||||||||
Cash | 660,873 | 2,189,252 | ||||||
Less: Member pass-through reserves at the FRB | (49,484 | ) | (29,331 | ) | ||||
Secured Advances 2 | 81,200,336 | 94,348,751 | ||||||
Investments1 | 16,739,386 | 16,222,615 | ||||||
Mortgage loans | 1,265,804 | 1,317,547 | ||||||
Accrued interest receivable on advances and investments | 287,335 | 340,510 | ||||||
Less: Pledged Assets | (2,748 | ) | (2,045 | ) | ||||
100,101,502 | 114,387,299 | |||||||
Excess unpledged assets | $ | 8,967,423 | $ | 9,551,682 | ||||
1 | The Bank pledged $2.7 million and $2.0 million at December 31, 2010 and 2009 to the FDIC. | |
See Note 5 — Held-to-Maturity Securities. | ||
2 | The Bank also provided to the U.S. Treasury a listing of $10.3 billion in advances with respect to a lending agreement at December 31, 2009, which ended at that date. | |
Finance Agency regulations require the FHLBanks to maintain, in the aggregate, unpledged qualifying assets equal to the consolidated obligations outstanding. Qualifying assets are defined as cash; secured advances; assets with an assessment or rating at least equivalent to the current assessment or rating of the consolidated obligations; obligations, participations, mortgages, or other securities of or issued by the United States or an agency of the United States; and such securities in which fiduciary and trust funds may invest under the laws of the state in which the FHLBank is located. |
December 31, 2010 | December 31, 2009 | |||||||||||||||
Actual | Limits | Actual | Limits | |||||||||||||
Mortgage securities investment authority | 215 | % | 300 | % | 213 | % | 300 | % | ||||||||
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Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Total interest income | $ | 1,078,608 | $ | 1,857,687 | $ | 4,058,879 | ||||||
Total interest expense | 622,824 | 1,157,079 | 3,364,381 | |||||||||
Net interest income before provision for credit losses | 455,784 | 700,608 | 694,498 | |||||||||
Provision for credit losses on mortgage loans | 1,409 | 3,108 | 773 | |||||||||
Net interest income after provision for credit losses | 454,375 | 697,500 | 693,725 | |||||||||
Total other income (loss) | 16,541 | 164,370 | (267,459 | ) | ||||||||
Total other expenses | 95,415 | 84,175 | 72,658 | |||||||||
Income before assessments | 375,501 | 777,695 | 353,608 | |||||||||
Total assessments | 99,976 | 206,940 | 94,548 | |||||||||
Net income | $ | 275,525 | $ | 570,755 | $ | 259,060 | ||||||
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Percentage | Percentage | |||||||||||||||||||
Years ended December 31, | Variance | Variance | ||||||||||||||||||
2010 | 2009 | 2008 | 2010 | 2009 | ||||||||||||||||
Interest Income | ||||||||||||||||||||
Advances | $ | 614,801 | $ | 1,270,643 | $ | 3,030,799 | (51.61 | )% | (58.08 | )% | ||||||||||
Interest-bearing deposits1 | — | 19,865 | 28,012 | (100.00 | ) | (29.08 | ) | |||||||||||||
Federal funds sold | 9,061 | 3,238 | 77,976 | 179.82 | (95.85 | ) | ||||||||||||||
Available-for-sale securities | 31,465 | 28,842 | 80,746 | 9.09 | (64.28 | ) | ||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||
Long-term securities | 352,398 | 461,491 | 531,151 | (23.64 | ) | (13.11 | ) | |||||||||||||
Certificates of deposit | — | 1,626 | 232,300 | (100.00 | ) | (99.30 | ) | |||||||||||||
Mortgage loans held-for-portfolio | 65,422 | 71,980 | 77,862 | (9.11 | ) | (7.55 | ) | |||||||||||||
Loans to other FHLBanks and other | — | 2 | 33 | (100.00 | ) | (93.94 | ) | |||||||||||||
Total interest income | $ | 1,073,147 | $ | 1,857,687 | $ | 4,058,879 | (42.23 | )% | (54.23 | )% | ||||||||||
1 | Primarily from cash collateral deposited with swap counterparties. |
Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Advance Interest Income | ||||||||||||
Advance interest income before adjustment for interest rate swaps | $ | 2,614,154 | $ | 3,062,649 | $ | 3,483,979 | ||||||
Net interest adjustment from interest rate swaps1 | (1,999,353 | ) | (1,792,006 | ) | (453,180 | ) | ||||||
Total Advance interest income reported | $ | 614,801 | $ | 1,270,643 | $ | 3,030,799 | ||||||
1 | Interest portion only (Excludes fair value adjustments) |
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Percentage | Percentage | |||||||||||||||||||
Years ended December 31, | Variance | Variance | ||||||||||||||||||
2010 | 2009 | 2008 | 2010 | 2009 | ||||||||||||||||
Interest Expense | ||||||||||||||||||||
Consolidated obligations-bonds | $ | 572,730 | $ | 953,970 | $ | 2,620,431 | (39.96 | )% | (63.59 | )% | ||||||||||
Consolidated obligations-discount notes | 42,237 | 193,041 | 697,729 | (78.12 | ) | (72.33 | ) | |||||||||||||
Deposits | 3,502 | 2,512 | 36,193 | 39.41 | (93.06 | ) | ||||||||||||||
Mandatorily redeemable capital stock | 4,329 | 7,507 | 8,984 | (42.33 | ) | (16.44 | ) | |||||||||||||
Cash collateral held and other borrowings | 26 | 49 | 1,044 | (46.94 | ) | (95.31 | ) | |||||||||||||
Total interest expense | $ | 622,824 | $ | 1,157,079 | $ | 3,364,381 | (46.17 | )% | (65.61 | )% | ||||||||||
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Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Consolidated bonds and discount notes-Interest expense | ||||||||||||
Bonds-Interest expense before adjustment for swaps | $ | 1,203,208 | $ | 1,513,617 | $ | 2,958,518 | ||||||
Discount notes-Interest expense before adjustment for swaps | 42,237 | 193,041 | 697,729 | |||||||||
Net interest adjustment for interest rate swaps1 | (630,478 | ) | (559,647 | ) | (338,087 | ) | ||||||
Total Consolidated bonds and discount notes-interest expense reported | $ | 614,967 | $ | 1,147,011 | $ | 3,318,160 | ||||||
1 | Interest portion only (Excludes fair value adjustments) |
• | 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 is non-interest bearing, is another important contributor for the FHLBNY. |
December 31, | Percentage | Percentage | ||||||||||||||||||
2010 | 2009 | 2008 | Variance 2010 | Variance 2009 | ||||||||||||||||
Total interest income | $ | 1,078,608 | $ | 1,857,687 | $ | 4,058,879 | (41.94 | )% | (54.23 | )% | ||||||||||
Total interest expense | 622,824 | 1,157,079 | 3,364,381 | (46.17 | ) | (65.61 | ) | |||||||||||||
Net interest income before provision for credit losses | $ | 455,784 | $ | 700,608 | $ | 694,498 | (34.94 | )% | 0.88 | % | ||||||||||
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Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Interest Income | $ | 3,077,961 | $ | 3,649,693 | $ | 4,512,059 | ||||||
Net interest adjustment from interest rate swaps | (1,999,353 | ) | (1,792,006 | ) | (453,180 | ) | ||||||
Reported interest income | 1,078,608 | 1,857,687 | 4,058,879 | |||||||||
Interest Expense | 1,253,302 | 1,716,726 | 3,702,468 | |||||||||
Net interest adjustment from interest rate swaps | (630,478 | ) | (559,647 | ) | (338,087 | ) | ||||||
Reported interest expense | 622,824 | 1,157,079 | 3,364,381 | |||||||||
Net interest income (Margin) | $ | 455,784 | $ | 700,608 | $ | 694,498 | ||||||
Net interest adjustment — interest rate swaps | $ | (1,368,875 | ) | $ | (1,232,359 | ) | $ | (115,093 | ) | |||
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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Years ended December 31, | ||||||||||||||||||||||||||||||||||||
2010 | 2009 | 2008 | ||||||||||||||||||||||||||||||||||
Amount | ROA | Net Spread | Amount | ROA | Net Spread | Amount | ROA | Net Spread | ||||||||||||||||||||||||||||
GAAP net interest income | $ | 455,784 | 0.42 | % | 0.37 | % | $ | 700,608 | 0.56 | % | 0.49 | % | $ | 694,498 | 0.59 | % | 0.41 | % | ||||||||||||||||||
Interest income (expense) | ||||||||||||||||||||||||||||||||||||
Swaps not designated in a hedging relationship | 81,454 | 0.08 | 0.08 | 8,026 | 0.01 | 0.01 | (127,056 | ) | (0.11 | ) | (0.11 | ) | ||||||||||||||||||||||||
Economic net interest income | $ | 537,238 | 0.50 | % | 0.45 | % | $ | 708,634 | 0.57 | % | 0.50 | % | $ | 567,442 | 0.48 | % | 0.30 | % | ||||||||||||||||||
Years ended December 31, | ||||||||||||||||||||||||||||||||||||
2010 | 2009 | 2008 | ||||||||||||||||||||||||||||||||||
Interest | Interest | Interest | ||||||||||||||||||||||||||||||||||
Average | Income/ | Average | Income/ | Average | Income/ | |||||||||||||||||||||||||||||||
(Dollars in thousands) | Balance | Expense | Rate1 | Balance | Expense | Rate1 | Balance | Expense | Rate1 | |||||||||||||||||||||||||||
Earning Assets: | ||||||||||||||||||||||||||||||||||||
Advances | $ | 85,908,274 | $ | 614,801 | 0.72 | % | $ | 98,965,716 | $ | 1,270,643 | 1.28 | % | $ | 92,616,501 | $ | 3,030,799 | 3.27 | % | ||||||||||||||||||
Certificates of deposit and other | 2,780,919 | 5,461 | 0.20 | 3,263,671 | 6,096 | 0.19 | 7,802,425 | 251,600 | 3.22 | |||||||||||||||||||||||||||
Federal funds sold and other overnight funds | 5,673,805 | 9,061 | 0.16 | 8,386,126 | 18,635 | 0.22 | 4,333,408 | 86,688 | 2.00 | |||||||||||||||||||||||||||
Investments | 12,003,578 | 383,863 | 3.20 | 12,761,836 | 490,333 | 3.84 | 12,441,712 | 611,897 | 4.92 | |||||||||||||||||||||||||||
Mortgage and other loans | 1,281,549 | 65,422 | 5.10 | 1,386,964 | 71,980 | 5.19 | 1,467,561 | 77,895 | 5.31 | |||||||||||||||||||||||||||
Total interest-earning assets | $ | 107,648,125 | $ | 1,078,608 | 1.00 | % | $ | 124,764,313 | $ | 1,857,687 | 1.49 | % | $ | 118,661,607 | $ | 4,058,879 | 3.42 | % | ||||||||||||||||||
Funded By: | ||||||||||||||||||||||||||||||||||||
Consolidated obligations-bonds | $ | 72,135,934 | $ | 572,730 | 0.79 | $ | 71,860,494 | $ | 953,970 | 1.33 | $ | 81,341,452 | $ | 2,620,431 | 3.22 | |||||||||||||||||||||
Consolidated obligations-discount notes | 21,727,968 | 42,237 | 0.19 | 41,495,955 | 193,041 | 0.47 | 28,349,373 | 697,729 | 2.46 | |||||||||||||||||||||||||||
Interest-bearing deposits and other borrowings | 4,663,653 | 3,528 | 0.08 | 2,121,718 | 2,561 | 0.12 | 2,058,389 | 37,237 | 1.81 | |||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 82,650 | 4,329 | 5.24 | 137,126 | 7,507 | 5.47 | 166,372 | 8,984 | 5.40 | |||||||||||||||||||||||||||
Total interest-bearing liabilities | 98,610,205 | 622,824 | 0.63 | % | 115,615,293 | 1,157,079 | 1.00 | % | 111,915,586 | 3,364,381 | 3.01 | % | ||||||||||||||||||||||||
Capital and other non-interest-bearing funds | 9,037,920 | — | 9,149,020 | — | 6,746,021 | — | ||||||||||||||||||||||||||||||
Total Funding | $ | 107,648,125 | $ | 622,824 | $ | 124,764,313 | $ | 1,157,079 | $ | 118,661,607 | $ | 3,364,381 | ||||||||||||||||||||||||
Net Interest Income/Spread | $ | 455,784 | 0.37 | % | $ | 700,608 | 0.49 | % | $ | 694,498 | 0.41 | % | ||||||||||||||||||||||||
Net Interest Margin (Net interest income/Earning Assets) | 0.42 | % | 0.56 | % | 0.59 | % | ||||||||||||||||||||||||||||||
1 | Reported yields with respect to advances and debt may not necessarily equal the coupons on the instruments as derivatives are extensively used to change the yield and optionality characteristics of the underlying hedged items. When fixed-rate debt is issued by the Bank and hedged with an interest rate derivative, it effectively converts the debt into a simple floating-rate bond. Similarly, the Bank makes fixed-rate advances to members and hedges the advance with a pay-fixed, receive-variable interest rate derivative that effectively converts the fixed-rate asset to one that floats with prevailing LIBOR rates. Average balance sheet information is presented as it is more representative of activity throughout the periods presented. For most components of the average balances, a daily weighted average balance is calculated for the period. When daily weighted average balance information is not available, a simple monthly average balance is calculated. Average yields are derived by dividing income by the average balances of the related assets and average costs are derived by dividing expenses by the average balances of the related liabilities. Yields and rates are annualized. |
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For the years ended | ||||||||||||
December 31, 2010 vs. December 31, 2009 | ||||||||||||
Increase (Decrease) | ||||||||||||
Volume | Rate | Total | ||||||||||
Interest Income | ||||||||||||
Advances | $ | (150,608 | ) | $ | (505,234 | ) | $ | (655,842 | ) | |||
Certificates of deposit and other | (936 | ) | 301 | (635 | ) | |||||||
Federal funds sold and other overnight funds | (5,120 | ) | (4,454 | ) | (9,574 | ) | ||||||
Investments | (27,855 | ) | (78,615 | ) | (106,470 | ) | ||||||
Mortgage loans and other loans | (5,397 | ) | (1,161 | ) | (6,558 | ) | ||||||
Total interest income | (189,916 | ) | (589,163 | ) | (779,079 | ) | ||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | 3,644 | (384,884 | ) | (381,240 | ) | |||||||
Consolidated obligations-discount notes | (67,869 | ) | (82,935 | ) | (150,804 | ) | ||||||
Deposits and borrowings | 2,195 | (1,228 | ) | 967 | ||||||||
Mandatorily redeemable capital stock | (2,866 | ) | (312 | ) | (3,178 | ) | ||||||
Total interest expense | (64,896 | ) | (469,359 | ) | (534,255 | ) | ||||||
Changes in Net Interest Income | $ | (125,020 | ) | $ | (119,804 | ) | $ | (244,824 | ) | |||
For the years ended | ||||||||||||
December 31, 2009 vs. December 31, 2008 | ||||||||||||
Increase (Decrease) | ||||||||||||
Volume | Rate | Total | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 207,773 | $ | (1,967,929 | ) | $ | (1,760,156 | ) | ||||
Certificates of deposit and other | (146,358 | ) | (99,146 | ) | (245,504 | ) | ||||||
Federal funds sold and other overnight funds | 81,073 | (149,126 | ) | (68,053 | ) | |||||||
Investments | 15,744 | (137,308 | ) | (121,564 | ) | |||||||
Mortgage loans and other loans | (4,278 | ) | (1,637 | ) | (5,915 | ) | ||||||
Total interest income | 153,954 | (2,355,146 | ) | (2,201,192 | ) | |||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | (305,431 | ) | (1,361,030 | ) | (1,666,461 | ) | ||||||
Consolidated obligations-discount notes | 323,561 | (828,249 | ) | (504,688 | ) | |||||||
Deposits and borrowings | 1,146 | (35,822 | ) | (34,676 | ) | |||||||
Mandatorily redeemable capital stock | (1,579 | ) | 102 | (1,477 | ) | |||||||
Total interest expense | 17,697 | (2,224,999 | ) | (2,207,302 | ) | |||||||
Changes in Net Interest Income | $ | 136,257 | $ | (130,147 | ) | $ | 6,110 | |||||
• | Mortgage loans held-for-portfolio— The Bank evaluates mortgage loans at least quarterly on an individual loan-by-loan basis and compares the fair values of collateral (net of liquidation costs) to recorded investment values in order to measure credit losses on impaired loans. Based on the analysis performed, a provision of $1.4 million was recorded. 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 $5.8 million at December 31, 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. |
• | Advances— The FHLBNY’s credit risk from advances at December 31, 2010 and 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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Table 10.11: Other Income (loss) |
Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Other income (loss): | ||||||||||||
Service fees | $ | 4,918 | $ | 4,165 | $ | 3,357 | ||||||
Instruments held at fair value-Unrealized (losses) gains | (3,343 | ) | 15,523 | (8,325 | ) | |||||||
Total OTTI losses | (5,052 | ) | (140,912 | ) | — | |||||||
Net amount of impairment losses reclassified (from) to Accumulated other comprehensive loss | (3,270 | ) | 120,096 | — | ||||||||
Net impairment losses recognized in earnings | (8,322 | ) | (20,816 | ) | — | |||||||
Net realized and unrealized (losses) gains on derivatives and hedging activities | 26,756 | 164,700 | (199,259 | ) | ||||||||
Net realized gains from sale of securities | 931 | 721 | 1,058 | |||||||||
Provision for derivative counterparty credit losses | — | — | (64,523 | ) | ||||||||
Other1 | (4,399 | ) | 77 | 233 | ||||||||
Total other income (loss) | $ | 16,541 | $ | 164,370 | $ | (267,459 | ) | |||||
1 | Includes losses and gains in debt transfers and debt extinguishment. |
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Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Gains-Sales of investment securities | $ | 931 | $ | 721 | $ | 1,058 | ||||||
Losses-Extinguishment and/or transfer of debt | $ | (2,115 | ) | $ | (70 | ) | $ | — | ||||
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Table 10.13: Earnings Impact of Derivatives and Hedging Activities — By Financial Instrument Type |
December 31, 2010 | ||||||||||||||||||||||||||||
Consolidated | Consolidated | |||||||||||||||||||||||||||
MPF | Obligation | Obligation | Balance | Intermediary | ||||||||||||||||||||||||
Earnings Impact | Advances | Loans | Bonds | Discount Notes | Sheet | Positions | Total | |||||||||||||||||||||
Amortization/accretion of hedging activities reported in net interest income | $ | (2,132 | ) | $ | (22 | ) | $ | (3,474 | ) | — | $ | — | $ | — | $ | (5,628 | ) | |||||||||||
Net realized and unrealized gains (losses) on derivatives and hedging activities | 3,240 | — | 9,144 | — | — | — | 12,384 | |||||||||||||||||||||
Net gains (losses) derivatives-FVO | — | — | 29,431 | 3,964 | — | — | 33,395 | |||||||||||||||||||||
Gains (losses)-economic hedges | (6,887 | ) | (24 | ) | 16,502 | 716 | (29,775 | ) | 445 | (19,023 | ) | |||||||||||||||||
Reported in Other income | (3,647 | ) | (24 | ) | 55,077 | 4,680 | (29,775 | ) | 445 | 26,756 | ||||||||||||||||||
Total | $ | (5,779 | ) | $ | (46 | ) | $ | 51,603 | $ | 4,680 | $ | (29,775 | ) | $ | 445 | $ | 21,128 | |||||||||||
December 31, 2009 | ||||||||||||||||||||||||||||
Consolidated | Consolidated | |||||||||||||||||||||||||||
MPF | Obligation | Obligation | Balance | Intermediary | ||||||||||||||||||||||||
Earnings Impact | Advances | Loans | Bonds | Discount Notes | Sheet | Positions | Total | |||||||||||||||||||||
Amortization/accretion of hedging activities reported in net interest income | $ | (1,226 | ) | $ | 36 | $ | (1,980 | ) | $ | 361 | $ | — | $ | — | $ | (2,809 | ) | |||||||||||
Net realized and unrealized gains (losses) on derivatives and hedging activities | (4,542 | ) | — | 25,648 | — | — | — | 21,106 | ||||||||||||||||||||
Net gains (losses) derivatives-FVO | — | — | (1,168 | ) | — | — | — | (1,168 | ) | |||||||||||||||||||
Gains (losses)-economic hedges | (6,409 | ) | (20 | ) | 52,311 | 33,606 | 65,321 | (47 | ) | 144,762 | ||||||||||||||||||
Reported in Other income | (10,951 | ) | (20 | ) | 76,791 | 33,606 | 65,321 | (47 | ) | 164,700 | ||||||||||||||||||
Total | $ | (12,177 | ) | $ | 16 | $ | 74,811 | $ | 33,967 | $ | 65,321 | $ | (47 | ) | $ | 161,891 | ||||||||||||
December 31, 2008 | ||||||||||||||||||||||||||||
Consolidated | Consolidated | |||||||||||||||||||||||||||
MPF | Obligation | Obligation | Balance | Intermediary | ||||||||||||||||||||||||
Earnings Impact | Advances | Loans | Bonds | Discount Notes | Sheet | Positions | Total | |||||||||||||||||||||
Amortization/accretion of hedging activities reported in net interest income | $ | (2,472 | ) | $ | 81 | $ | (459 | ) | $ | — | $ | — | $ | — | $ | (2,850 | ) | |||||||||||
Net realized and unrealized gains (losses) on derivatives and hedging activities | 31,838 | — | (43,539 | ) | (333 | ) | — | — | (12,034 | ) | ||||||||||||||||||
Net gains (losses) derivatives-FVO | — | — | 7,193 | — | — | — | 7,193 | |||||||||||||||||||||
Gains (losses)-economic hedges | (22,656 | ) | (3 | ) | (159,686 | ) | 8,142 | (20,695 | ) | 480 | (194,418 | ) | ||||||||||||||||
Reported in Other income | 9,182 | (3 | ) | (196,032 | ) | 7,809 | (20,695 | ) | 480 | (199,259 | ) | |||||||||||||||||
Total | $ | 6,710 | $ | 78 | $ | (196,491 | ) | $ | 7,809 | $ | (20,695 | ) | $ | 480 | $ | (202,109 | ) | |||||||||||
• | 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 $41.9 million at December 31, 2010, will ultimately decline to zero if the caps are held to their contractual maturities. |
• | Swap income or expense, primarily swap interest accruals, associated with swaps designated as economic hedges. |
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• | Consolidated obligation bonds — 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 and short-term callable swaps designated as economic hedges matured, or were nearing maturity. |
• | Consolidated obligation discount notes — 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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Table 10.14: Accumulated Other Comprehensive Income (Loss) to Current Period Income from Cash Flow Hedges |
Years ended December 31, | ||||||||||||
Accumulated other comprehensive income/(loss) from cash flow hedges | 2010 | 2009 | 2008 | |||||||||
Beginning of period | $ | (22,683 | ) | $ | (30,191 | ) | $ | (30,215 | ) | |||
Net hedging transactions | (249 | ) | — | (6,100 | ) | |||||||
Reclassified into earnings | 7,736 | 7,508 | 6,124 | |||||||||
End of period | $ | (15,196 | ) | $ | (22,683 | ) | $ | (30,191 | ) | |||
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Years ended December 31, | ||||||||||||||||||||||||
Percentage of | Percentage of | Percentage of | ||||||||||||||||||||||
2010 | total | 2009 | total | 2008 | total | |||||||||||||||||||
Salaries | $ | 29,120 | 34.02 | % | $ | 27,366 | 35.98 | % | $ | 25,565 | 38.58 | % | ||||||||||||
Employee benefits | 29,100 | 34.00 | 22,412 | 29.46 | 18,805 | 28.38 | ||||||||||||||||||
Temporary workers | 116 | 0.14 | 162 | 0.21 | 282 | 0.43 | ||||||||||||||||||
Occupancy | 4,316 | 5.04 | 4,347 | 5.71 | 4,079 | 6.16 | ||||||||||||||||||
Depreciation and leasehold amortization | 5,646 | 6.60 | 5,405 | 7.11 | 4,971 | 7.50 | ||||||||||||||||||
Computer service agreements and contractual services | 8,862 | 10.35 | 6,798 | 8.94 | 5,053 | 7.62 | ||||||||||||||||||
Professional and legal fees | 2,981 | 3.48 | 3,274 | 4.30 | 2,469 | 3.73 | ||||||||||||||||||
Other * | 5,452 | 6.37 | 6,301 | 8.29 | 5,039 | 7.60 | ||||||||||||||||||
Total operating expenses | $ | 85,593 | 100.00 | % | $ | 76,065 | 100.00 | % | $ | 66,263 | 100.00 | % | ||||||||||||
Finance Agency and Office of Finance | $ | 9,822 | $ | 8,110 | $ | 6,395 | ||||||||||||||||||
* | Other primarily represents audit fees, director fees and expenses, insurance and telecommunications. |
Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Beginning balance | $ | 144,489 | $ | 122,449 | $ | 119,052 | ||||||
Additions from current period’s assessments | 31,095 | 64,251 | 29,783 | |||||||||
Net disbursements for grants and programs | (37,219 | ) | (42,211 | ) | (26,386 | ) | ||||||
Ending balance | $ | 138,365 | $ | 144,489 | $ | 122,449 | ||||||
Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Beginning balance | $ | 24,234 | $ | 4,780 | $ | 23,998 | ||||||
Additions from current period’s assessments | 68,881 | 142,689 | 64,765 | |||||||||
Net disbursements to REFCORP | (71,498 | ) | (123,235 | ) | (83,983 | ) | ||||||
Ending balance | $ | 21,617 | $ | 24,234 | $ | 4,780 | ||||||
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December 31, | ||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||
Advances | $ | 81,200,336 | $ | 94,348,751 | $ | 109,152,876 | $ | 82,089,667 | $ | 59,012,394 | ||||||||||
Mortgage loans before allowance for credit losses | $ | 1,271,564 | $ | 1,322,045 | $ | 1,459,291 | $ | 1,492,261 | $ | 1,484,012 | ||||||||||
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• | Allows a member to retain possession of the collateral assigned to the FHLBNY, provided 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 | |||||||||||||
December 31, 2010 | $ | 76,939,539 | $ | 99,348,492 | $ | 42,461,442 | $ | 141,809,934 | ||||||||
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 | Mortgage | Securities and | ||||||||||||||
Obligations1 | Loans2 | Deposits2 | Total2 | |||||||||||||
December 31, 2010 | $ | 2,057,501 | $ | 5,772,835 | $ | 213,620 | $ | 5,986,455 | ||||||||
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 | |||||||||||||
December 31, 2010 | $ | 48,604,470 | $ | 99,289,202 | $ | (97,283 | ) | $ | 147,796,389 | |||||||
December 31, 2009 | $ | 57,660,864 | $ | 105,714,763 | $ | (80,762 | ) | $ | 163,294,865 |
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December 31, 2010 | ||||||||||||||||||
Percentage of | ||||||||||||||||||
Par | Total Par Value | 12-months | ||||||||||||||||
City | State | Advances | of Advances | Interest Income | ||||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,025,000 | 22.1 | % | $ | 705,743 | ||||||||||
Metropolitan Life Insurance Company | New York | NY | 12,555,000 | 16.3 | 294,526 | |||||||||||||
New York Community Bank* | Westbury | NY | 7,793,165 | 10.1 | 307,102 | |||||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 3,789,500 | 4.9 | 61,036 | |||||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 2,758,000 | 3.6 | 42,979 | |||||||||||||
The Prudential Insurance Co. of America | Newark | NJ | 2,500,000 | 3.3 | 77,544 | |||||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 2,391,000 | 3.1 | 107,917 | |||||||||||||
Valley National Bank | Wayne | NJ | 2,310,500 | 3.0 | 98,680 | |||||||||||||
New York Life Insurance Company | New York | NY | 1,500,000 | 2.0 | 14,678 | |||||||||||||
First Niagara Bank, National Association | Buffalo | NY | 1,473,493 | 1.9 | 24,911 | |||||||||||||
Total | $ | 54,095,658 | 70.3 | % | $ | 1,735,116 | ||||||||||||
* | 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. |
December 31, | Dollar | Percentage | ||||||||||||||
2010 | 2009 | Variance | Variance | |||||||||||||
State and local housing finance agency obligations1 | $ | 770,609 | $ | 751,751 | $ | 18,858 | 2.51 | % | ||||||||
Mortgage-backed securities | ||||||||||||||||
Available-for-sale securities, at fair value | 3,980,135 | 2,240,564 | 1,739,571 | 77.64 | ||||||||||||
Held-to-maturity securities, at carrying value | 6,990,583 | 9,767,531 | (2,776,948 | ) | (28.43 | ) | ||||||||||
Total securities | 11,741,327 | 12,759,846 | (1,018,519 | ) | (7.98 | ) | ||||||||||
Grantor trusts2 | 9,947 | 12,589 | (2,642 | ) | (20.99 | ) | ||||||||||
Federal funds sold | 4,988,000 | 3,450,000 | 1,538,000 | 44.58 | ||||||||||||
Total investments | $ | 16,739,274 | $ | 16,222,435 | $ | 516,839 | 3.19 | % | ||||||||
1 | Classified as held-to-maturity securities, at carrying value. | |
2 | Classified as available-for-sale securities, at fair value and represents investments in registered mutual funds and other fixed-income securities maintained under the grantor trusts. |
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NRSRO Ratings — December 31, 2010 | ||||||||||||||||||||||||
Below | ||||||||||||||||||||||||
Carrying | Investment | |||||||||||||||||||||||
Issued, guaranteed or insured: | Value | AAA | AA | A | BBB | Grade | ||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||
Fannie Mae | $ | 857,387 | $ | 857,387 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Freddie Mac | 244,041 | 244,041 | — | — | — | — | ||||||||||||||||||
Total pools of mortgages | 1,101,428 | 1,101,428 | — | — | — | — | ||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||
Fannie Mae | 1,637,261 | 1,637,261 | — | — | — | — | ||||||||||||||||||
Freddie Mac | 2,790,103 | 2,790,103 | — | — | — | — | ||||||||||||||||||
Ginnie Mae | 116,126 | 116,126 | — | — | — | — | ||||||||||||||||||
Total CMOs/REMICs | 4,543,490 | 4,543,490 | — | — | — | — | ||||||||||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||||||||||
Fannie Mae | 100,492 | 100,492 | — | — | — | — | ||||||||||||||||||
Freddie Mac | 375,901 | 375,901 | — | — | — | — | ||||||||||||||||||
Ginnie Mae | 48,747 | 48,747 | — | — | — | — | ||||||||||||||||||
Total commercial mortgage-backed securities | 525,140 | 525,140 | — | — | — | — | ||||||||||||||||||
Non-GSE MBS | ||||||||||||||||||||||||
CMOs/REMICs | 292,477 | 188,598 | 7,812 | 17,469 | — | 78,598 | ||||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||
Manufactured housing loans (insured) | 176,592 | — | 176,592 | — | — | — | ||||||||||||||||||
Home equity loans (insured) | 191,637 | 9,614 | 70,679 | 21,182 | 13,538 | 76,624 | ||||||||||||||||||
Home equity loans (uninsured) | 159,819 | 95,282 | 11,484 | 49,145 | 3,908 | — | ||||||||||||||||||
Total asset-backed securities | 528,048 | 104,896 | 258,755 | 70,327 | 17,446 | 76,624 | ||||||||||||||||||
Total HTM mortgage-backed securities | $ | 6,990,583 | $ | 6,463,552 | $ | 266,567 | $ | 87,796 | $ | 17,446 | $ | 155,222 | ||||||||||||
Other | ||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 770,609 | $ | 71,461 | $ | 631,943 | $ | — | $ | 67,205 | $ | — | ||||||||||||
Total other | $ | 770,609 | $ | 71,461 | $ | 631,943 | — | $ | 67,205 | $ | — | |||||||||||||
Total Held-to-maturity securities | $ | 7,761,192 | $ | 6,535,013 | $ | 898,510 | $ | 87,796 | $ | 84,651 | $ | 155,222 | ||||||||||||
NRSRO Ratings — December 31, 2010 | ||||||||||||||||
Issued, guaranteed or insured: | Fair Value | AAA | AA | A | ||||||||||||
Pools of Mortgages | ||||||||||||||||
Fannie Mae | $ | — | $ | — | $ | — | $ | — | ||||||||
Freddie Mac | — | — | — | — | ||||||||||||
Total pools of mortgages | — | — | — | — | ||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||
Fannie Mae | 2,428,541 | 2,428,541 | — | — | ||||||||||||
Freddie Mac | 1,429,900 | 1,429,900 | — | — | ||||||||||||
Ginnie Mae | 71,922 | 71,922 | — | — | ||||||||||||
Total CMOs/REMICs | 3,930,363 | 3,930,363 | — | — | ||||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||
Fannie Mae | 49,772 | 49,772 | — | — | ||||||||||||
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 | $ | 3,980,135 | $ | 3,980,135 | $ | — | $ | — | ||||||||
Other | ||||||||||||||||
Fixed income funds, equity funds and cash equivalents* | $ | 9,947 | ||||||||||||||
Total Available-for-sale securities | $ | 3,990,082 | ||||||||||||||
* | Unrated |
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December 31, | Percentage | December 31, | Percentage | |||||||||||||
2010 | of Total | 2009 | of Total | |||||||||||||
U.S. government sponsored enterprise residential mortgage-backed securities | ||||||||||||||||
Fannie Mae | $ | 2,494,647 | 35.69 | % | $ | 3,746,768 | 38.36 | % | ||||||||
Freddie Mac | 3,034,145 | 43.40 | 4,735,371 | 48.48 | ||||||||||||
U.S. agency residential mortgage-backed securities | 116,126 | 1.66 | 171,531 | 1.76 | ||||||||||||
U.S. government sponsored enterprise commercial mortgage-backed securities | 476,393 | 6.81 | — | — | ||||||||||||
U.S. agency commercial mortgage-backed securities | 48,748 | 0.70 | 49,526 | 0.51 | ||||||||||||
Private-label issued securities | 820,524 | 11.74 | 1,064,335 | 10.89 | ||||||||||||
Total Held-to-maturity securities-mortgage-backed securities | $ | 6,990,583 | 100.00 | % | $ | 9,767,531 | 100.00 | % | ||||||||
December 31, 2010 | December 31, 2009 | |||||||||||||||||||||||
Variable | Variable | |||||||||||||||||||||||
Private-label MBS | Fixed Rate | Rate | Total | Fixed Rate | Rate | Total | ||||||||||||||||||
Private-label RMBS | ||||||||||||||||||||||||
Prime | $ | 284,552 | $ | 3,995 | $ | 288,547 | $ | 435,913 | $ | 4,359 | $ | 440,272 | ||||||||||||
Alt-A | 5,877 | 3,276 | 9,153 | 7,229 | 3,713 | 10,942 | ||||||||||||||||||
Total PL RMBS | 290,429 | 7,271 | 297,700 | 443,142 | 8,072 | 451,214 | ||||||||||||||||||
�� | ||||||||||||||||||||||||
Home Equity Loans | ||||||||||||||||||||||||
Subprime | 389,031 | 81,835 | 470,866 | 437,042 | 108,801 | 545,843 | ||||||||||||||||||
Total Home Equity Loans | 389,031 | 81,835 | 470,866 | 437,042 | 108,801 | 545,843 | ||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||
Subprime | 176,611 | — | 176,611 | 202,299 | — | 202,299 | ||||||||||||||||||
Total Manufactured Housing Loans | 176,611 | — | 176,611 | 202,299 | — | 202,299 | ||||||||||||||||||
Total UPB of private-label MBS | $ | 856,071 | $ | 89,106 | $ | 945,177 | $ | 1,082,483 | $ | 116,873 | $ | 1,199,356 | ||||||||||||
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Year Ended | ||||||||||||||||||||||||||||||||
Quarter ended December 31, 2010 | December 31, 2010 | |||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI | |||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | |||||||||||||||||||||||||||
Classification | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | ||||||||||||||||||||||||
RMBS-Prime* | $ | — | $ | — | $ | — | $ | — | $ | 16,477 | $ | 15,827 | $ | (176 | ) | $ | (303 | ) | ||||||||||||||
HEL Subprime* | 11,375 | 6,932 | 6,282 | 3,863 | — | — | (8,146 | ) | 3,573 | |||||||||||||||||||||||
Total | $ | 11,375 | $ | 6,932 | $ | 6,282 | $ | 3,863 | $ | 16,477 | $ | 15,827 | $ | (8,322 | ) | $ | 3,270 | |||||||||||||||
* | RMBS-Prime — Private-label MBS supported by prime residential loans; HEL Subprime — MBS supported by home equity loans. |
Quarter ended September 30, 2010 | ||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | OTTI | ||||||||||||||||||||||
Security | Fair | Fair | Credit | Non-credit | ||||||||||||||||||||
Classification | UPB | Value | UPB | Value | Loss | Loss | ||||||||||||||||||
HEL Subprime* | $ | 31,876 | $ | 15,050 | $ | 16,341 | $ | 8,233 | $ | (3,067 | ) | $ | (2,569 | ) | ||||||||||
Total | $ | 31,876 | $ | 15,050 | $ | 16,341 | $ | 8,233 | $ | (3,067 | ) | $ | (2,569 | ) | ||||||||||
* | HEL Subprime — MBS supported by home equity loans. |
Quarter ended June 30, 2010 | ||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | OTTI | ||||||||||||||||||||||
Security | Fair | Fair | Credit | Non-credit | ||||||||||||||||||||
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-credit | ||||||||||||||||||||
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. |
December 31, 2010 | ||||||||||||||||||||||||
AMBAC | MBIA | AGM * | ||||||||||||||||||||||
Unrealized | Unrealized | Unrealized | ||||||||||||||||||||||
Private-label MBS | UPB | Losses | UPB | Losses | UPB | Losses | ||||||||||||||||||
HEL | ||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
2004 and earlier | $ | 173,220 | $ | (26,600 | ) | $ | 33,674 | $ | (5,443 | ) | $ | 77,885 | $ | (3,871 | ) | |||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
2004 and earlier | — | — | — | — | 176,611 | (21,437 | ) | |||||||||||||||||
Total of all Private-label MBS | $ | 173,220 | $ | (26,600 | ) | $ | 33,674 | $ | (5,443 | ) | $ | 254,496 | $ | (25,308 | ) | |||||||||
* | Assured Guaranty Municipal Trust (formerly FSA) |
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December 31, 2010 | ||||||||||||||||||||||||||||||||||||||||
Unpaid Principal Balance | ||||||||||||||||||||||||||||||||||||||||
Below | Gross | |||||||||||||||||||||||||||||||||||||||
Ratings | Investment | Amortized | Unrealized | Total OTTI | ||||||||||||||||||||||||||||||||||||
Private-label MBS | Subtotal | Triple-A | Double-A | Single-A | Triple-B | Grade | Cost | (Losses) | Fair Value | Losses | ||||||||||||||||||||||||||||||
RMBS | ||||||||||||||||||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||||||||||||||||||
2006 | $ | 40,987 | $ | — | $ | — | $ | — | $ | — | $ | 40,987 | $ | 40,413 | $ | (303 | ) | $ | 40,313 | $ | (479 | ) | ||||||||||||||||||
2005 | 59,456 | — | — | 17,664 | — | 41,792 | 57,863 | (589 | ) | 57,763 | — | |||||||||||||||||||||||||||||
2004 and earlier | 188,104 | 180,110 | 7,994 | — | — | — | 187,256 | (388 | ) | 191,029 | — | |||||||||||||||||||||||||||||
Total RMBS Prime | 288,547 | 180,110 | 7,994 | 17,664 | — | 82,779 | 285,532 | (1,280 | ) | 289,105 | (479 | ) | ||||||||||||||||||||||||||||
Alt-A | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 9,153 | 9,153 | — | — | — | — | 9,154 | (528 | ) | 8,684 | — | |||||||||||||||||||||||||||||
Total RMBS | 297,700 | 189,263 | 7,994 | 17,664 | — | 82,779 | 294,686 | (1,808 | ) | 297,789 | (479 | ) | ||||||||||||||||||||||||||||
HEL | ||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 470,866 | 124,936 | 88,402 | 89,465 | 27,984 | 140,079 | 442,173 | (64,076 | ) | 378,992 | (4,573 | ) | ||||||||||||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 176,611 | — | 176,611 | — | — | — | 176,592 | (21,437 | ) | 155,155 | — | |||||||||||||||||||||||||||||
Total PLMBS | $ | 945,177 | $ | 314,199 | $ | 273,007 | $ | 107,129 | $ | 27,984 | $ | 222,858 | $ | 913,451 | $ | (87,321 | ) | $ | 831,936 | $ | (5,052 | ) | ||||||||||||||||||
December 31, 2009 | ||||||||||||||||||||||||||||||||||||||||
Unpaid Principal Balance | ||||||||||||||||||||||||||||||||||||||||
Below | Gross | |||||||||||||||||||||||||||||||||||||||
Ratings | Investment | Amortized | Unrealized | Total OTTI | ||||||||||||||||||||||||||||||||||||
Private-label MBS | Subtotal | Triple-A | Double-A | Single-A | Triple-B | Grade | Cost | (Losses) | Fair Value | Losses | ||||||||||||||||||||||||||||||
RMBS | ||||||||||||||||||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||||||||||||||||||
2006 | $ | 63,276 | $ | — | $ | — | $ | 38,689 | $ | — | $ | 24,587 | $ | 62,654 | $ | (2,396 | ) | $ | 60,258 | $ | — | |||||||||||||||||||
2005 | 82,982 | 28,687 | — | — | — | 54,295 | 80,996 | (1,708 | ) | 79,288 | (3,204 | ) | ||||||||||||||||||||||||||||
2004 and earlier | 294,014 | 281,240 | 12,774 | — | — | — | 292,773 | (3,696 | ) | 289,958 | — | |||||||||||||||||||||||||||||
Total RMBS Prime | 440,272 | 309,927 | 12,774 | 38,689 | — | 78,882 | 436,423 | (7,800 | ) | 429,504 | (3,204 | ) | ||||||||||||||||||||||||||||
Alt-A | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 10,942 | 10,942 | — | — | — | — | 10,944 | (938 | ) | 10,006 | — | |||||||||||||||||||||||||||||
Total RMBS | 451,214 | 320,869 | 12,774 | 38,689 | — | 78,882 | 447,367 | (8,738 | ) | 439,510 | (3,204 | ) | ||||||||||||||||||||||||||||
HEL | ||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 545,843 | 205,480 | 91,782 | 48,838 | 43,035 | 156,708 | 525,260 | (151,818 | ) | 373,442 | (137,708 | ) | ||||||||||||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 202,299 | — | 202,299 | — | — | — | 202,278 | (37,101 | ) | 165,177 | — | |||||||||||||||||||||||||||||
Total PLMBS | $ | 1,199,356 | $ | 526,349 | $ | 306,855 | $ | 87,527 | $ | 43,035 | $ | 235,590 | $ | 1,174,905 | $ | (197,657 | ) | $ | 978,129 | $ | (140,912 | ) | ||||||||||||||||||
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December 31, 2010 | ||||||||||||
Original | ||||||||||||
Weighted- | Weighted- | Weighted-Average | ||||||||||
Average Credit | Average Credit | Collateral | ||||||||||
Private-label MBS | Support % | Support % | Delinquency % | |||||||||
RMBS | ||||||||||||
Prime | ||||||||||||
2006 | 3.81 | % | 5.30 | % | 6.94 | % | ||||||
2005 | 2.52 | 4.29 | 3.05 | |||||||||
2004 and earlier | 1.56 | 3.40 | 0.65 | |||||||||
Total RMBS Prime | 2.08 | 3.86 | 2.04 | |||||||||
Alt-A | ||||||||||||
2004 and earlier | 11.11 | 33.38 | 7.42 | |||||||||
Total RMBS | 2.36 | 4.76 | 2.20 | |||||||||
HEL | ||||||||||||
Subprime | �� | |||||||||||
2004 and earlier | 57.15 | 64.57 | 17.26 | |||||||||
Manufactured Housing Loans | ||||||||||||
Subprime | ||||||||||||
2004 and earlier | 100.00 | 100.00 | 3.51 | |||||||||
Total Private-label MBS | 47.90 | % | 52.36 | % | 9.95 | % | ||||||
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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December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Original MPF | $ | 343,925 | $ | 280,312 | $ | 197,516 | ||||||
MPF 100 | 23,591 | 30,542 | 36,838 | |||||||||
MPF 125 | 392,780 | 392,097 | 467,479 | |||||||||
MPF 125 Plus | 494,917 | 606,002 | 742,523 | |||||||||
Other | 9,408 | 9,883 | 10,991 | |||||||||
Total MPF Loans * | $ | 1,264,621 | $ | 1,318,836 | $ | 1,455,347 | ||||||
* | Par amount of total mortgage loan held-for-portfolio includes CMA, par amount at December 31, 2010 was $3.8 million |
• | MPF single-family fully amortizing residential loans are comprised of “Fixed 15” years or less, greater than 15 years but less than or equal to 20 years and greater than 20 years but less than or equal to 30 years maturity. Property types consist of 1-4 family attached, detached, and planned unit developments, condominiums, and non-mobile manufactured housing properties. |
• | Multi-family portfolio consists of “Ten-year balloon” notes collateralized by multi-family units from 5 to 1000 units in the metropolitan area of New York City. These participations were purchased under Community Mortgage Asset program, which has been suspended indefinitely and the portfolio is running off. Loans were underwritten to debt service coverage not to be less than 125% and a loan-to-value ratio not to exceed 75%. |
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Table 14.2: Mortgage Loans — Total mortgage loans, loans non-performing and past due. |
December 31, | ||||||||
2010 | 2009 | |||||||
Mortgage loans, net of provisions for credit losses | $ | 1,265,804 | $ | 1,317,547 | ||||
Non-performing mortgage loans | $ | 26,781 | $ | 16,007 | ||||
Insured MPF loans past due 90 days or more and still accruing interest | $ | 574 | $ | 570 | ||||
December 31, 2010 | ||||||||||||||||||||
Unpaid | Average | Interest | ||||||||||||||||||
Recorded | Principal | Related | Recorded | Income | ||||||||||||||||
Investment | Balance | Allowance | Investment | Recognized | ||||||||||||||||
With no related allowance: | ||||||||||||||||||||
Conventional MPF Loans1 | $ | 5,876 | $ | 5,856 | $ | — | $ | 4,867 | $ | — | ||||||||||
Insured Loans | — | — | — | — | — | |||||||||||||||
$ | 5,876 | $ | 5,856 | $ | — | $ | 4,867 | $ | — | |||||||||||
With an allowance: | ||||||||||||||||||||
Conventional MPF Loans1 | $ | 20,909 | $ | 20,925 | $ | 5,760 | $ | 18,402 | $ | — | ||||||||||
Insured Loans | — | — | — | — | — | |||||||||||||||
$ | 20,909 | $ | 20,925 | $ | 5,760 | $ | 18,402 | $ | — | |||||||||||
Total: | ||||||||||||||||||||
Conventional MPF Loans1 | $ | 26,785 | $ | 26,781 | $ | 5,760 | $ | 23,269 | $ | — | ||||||||||
Insured Loans | — | — | — | — | — | |||||||||||||||
$ | 26,785 | $ | 26,781 | $ | 5,760 | $ | 23,269 | $ | — | |||||||||||
December 31, 2009 | ||||||||||||||||||||
Unpaid | Average | Interest | ||||||||||||||||||
Recorded | Principal | Related | Recorded | Income | ||||||||||||||||
Investment | Balance | Allowance | Investment | Recognized | ||||||||||||||||
With no related allowance: | ||||||||||||||||||||
Conventional MPF Loans1 | $ | 3,222 | $ | 3,211 | $ | — | $ | 2,277 | $ | — | ||||||||||
Insured Loans | — | — | — | — | — | |||||||||||||||
$ | 3,222 | $ | 3,211 | $ | — | $ | 2,277 | $ | — | |||||||||||
With an allowance: | ||||||||||||||||||||
Conventional MPF Loans1 | $ | 12,786 | $ | 12,796 | $ | 4,498 | $ | 9,433 | $ | — | ||||||||||
Insured Loans | — | — | — | — | — | |||||||||||||||
$ | 12,786 | $ | 12,796 | $ | 4,498 | $ | 9,433 | $ | — | |||||||||||
Total: | ||||||||||||||||||||
Conventional MPF Loans1 | $ | 16,008 | $ | 16,007 | $ | 4,498 | $ | 11,710 | $ | — | ||||||||||
Insured Loans | — | — | — | — | — | |||||||||||||||
$ | 16,008 | $ | 16,007 | $ | 4,498 | $ | 11,710 | $ | — | |||||||||||
1 | Based on analysis of the nature of risks of the Bank’s investments in MPF loans, including its methodologies for identifying and measuring impairment, the management of the FHLBNY has determined that presenting such loans as a single class is appropriate. |
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Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Interest contractually due1 | $ | 1,254 | $ | 714 | $ | 168 | ||||||
Interest actually received | 1,171 | 626 | 146 | |||||||||
Shortfall | $ | 83 | $ | 88 | $ | 22 | ||||||
1 | The Bank does not recognize interest received as income from uninsured loans past due 90-days or greater. |
Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Beginning balance | $ | 4,498 | $ | 1,406 | $ | 633 | ||||||
Charge-offs | (223 | ) | (16 | ) | — | |||||||
Recoveries | 76 | — | — | |||||||||
Provision for credit losses on mortgage loans | 1,409 | 3,108 | 773 | |||||||||
Ending balance | $ | 5,760 | $ | 4,498 | $ | 1,406 | ||||||
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December 31, 2010 | ||||||||
Mortgage | Percent of Total | |||||||
Loans | Mortgage Loans | |||||||
Manufacturers and Traders Trust Company | $ | 495,821 | 39.32 | % | ||||
Astoria Federal Savings and Loan Association | 225,407 | 17.88 | ||||||
Community Bank fka Elmira Svgs & Ln Assn | 45,963 | 3.65 | ||||||
OceanFirst Bank | 50,292 | 3.99 | ||||||
CFCU Community Credit Union | 37,839 | 3.00 | ||||||
All Others | 405,500 | 32.16 | ||||||
Total1 | $ | 1,260,822 | 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. |
Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Beginning balance | $ | 13,934 | $ | 13,765 | $ | 12,947 | ||||||
Additions | 850 | 349 | 839 | |||||||||
Resets* | (2,600 | ) | (157 | ) | — | |||||||
Charge-offs | (223 | ) | (23 | ) | (21 | ) | ||||||
Recoveries | — | — | — | |||||||||
Ending balance | $ | 11,961 | $ | 13,934 | $ | 13,765 | ||||||
* | For the Original MPF, MPF 100, MPF 125 and MPF Plus products, the Credit Enhancement is periodically recalculated. If the recalculated Credit Enhancement would result in a PFI Credit Enhancement obligation lower than the remaining obligation, the PFI’s Credit Enhancement obligation will be reset to the new, lower level. |
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Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Second Loss Position | $ | 24,574 | $ | 18,064 | $ | 14,300 | ||||||
SMI Coverage | $ | 17,958 | $ | 17,958 | $ | 17,958 |
December 31, | ||||||||||||||||||||||||
2010 | 2009 | 2008 | ||||||||||||||||||||||
Number of | Amounts | Number of | Amounts | Number of | Amounts | |||||||||||||||||||
loans % | outstanding % | loans % | outstanding % | loans % | outstanding % | |||||||||||||||||||
New York State | 73.3 | % | 67.7 | % | 73.5 | % | 66.7 | % | 73.3 | % | 69.8 | % |
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December 31, 2010 | ||||||||||||||||||||||||
Total Net | Credit Exposure | Other | Net | |||||||||||||||||||||
Number of | Notional | Exposure at | Net of | Collateral | Credit | |||||||||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | Cash Collateral3 | Held2 | Exposure | ||||||||||||||||||
AAA | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
AA | 8 | 43,283,429 | 25,385 | 16,085 | — | 16,085 | ||||||||||||||||||
A | 8 | 77,132,931 | — | — | — | — | ||||||||||||||||||
Members (Notes1&2) | 2 | 275,000 | 5,925 | 5,925 | 5,925 | — | ||||||||||||||||||
Delivery Commitments | — | 29,993 | — | — | — | — | ||||||||||||||||||
Total | 18 | $ | 120,721,353 | $ | 31,310 | $ | 22,010 | $ | 5,925 | $ | 16,085 | |||||||||||||
December 31, 2009 | ||||||||||||||||||||||||
Total Net | Credit Exposure | Other | Net | |||||||||||||||||||||
Number of | Notional | Exposure at | Net of | Collateral | Credit | |||||||||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | Cash Collateral3 | Held2 | Exposure | ||||||||||||||||||
AAA | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
AA | 7 | 45,652,167 | 684 | 684 | — | 684 | ||||||||||||||||||
A | 8 | 88,711,243 | — | — | — | — | ||||||||||||||||||
Members (Notes1&2) | 2 | 160,000 | 7,596 | 7,596 | 7,596 | — | ||||||||||||||||||
Delivery Commitments | — | 4,210 | — | — | — | — | ||||||||||||||||||
Total | 17 | $ | 134,527,620 | $ | 8,280 | $ | 8,280 | $ | 7,596 | $ | 684 | |||||||||||||
Note1: | Fair values of $5.9 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 December 31, 2010 and December 31, 2009. | |
Note2: | Members are required to pledge collateral to secure derivatives purchased by the FHLBNY as an intermediary on behalf of its members. Eligible collateral includes: (1) one-to-four-family and multi-family mortgages; (2) U.S. Treasury and government-agency securities; (3) mortgage-backed securities; and (4) certain other collateral which is real estate-related and has a readily ascertainable value, and in which the FHLBNY can perfect a security interest. As a result of the collateral agreements with its members, the FHLBNY believes that its maximum credit exposure due to the intermediated transactions was $0 at December 31, 2010 and December 31, 2009. | |
Note3: | As reported in the Statements of Condition. |
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December 31, 2010 | ||||||||||||||||||||
Payments Due or Expiration Terms by Period | ||||||||||||||||||||
Less Than | One Year | Greater Than Three | Greater Than | |||||||||||||||||
One Year | to Three Years | Years to Five Years | Five Years | Total | ||||||||||||||||
Contractual Obligations | ||||||||||||||||||||
Consolidated obligations-bonds at par1 | $ | 33,302,200 | $ | 26,567,325 | $ | 7,690,755 | $ | 3,421,700 | $ | 70,981,980 | ||||||||||
Mandatorily redeemable capital stock1 | 27,875 | 17,019 | 2,035 | 16,290 | 63,219 | |||||||||||||||
Premises (lease obligations)2 | 3,060 | 6,177 | 4,674 | 4,090 | 18,001 | |||||||||||||||
Total contractual obligations | 33,333,135 | 26,590,521 | 7,697,464 | 3,442,080 | 71,063,200 | |||||||||||||||
Other commitments | ||||||||||||||||||||
Standby letters of credit | 2,218,352 | 19,769 | 42,472 | 3,861 | 2,284,454 | |||||||||||||||
Consolidated obligations-bonds/ discount notes traded not settled | 58,000 | — | — | — | 58,000 | |||||||||||||||
Commitment to fund pension | 11,952 | — | — | — | 11,952 | |||||||||||||||
Open delivery commitments (MPF) | 29,993 | — | — | — | 29,993 | |||||||||||||||
Total other commitments | 2,318,297 | 19,769 | 42,472 | 3,861 | 2,384,399 | |||||||||||||||
Total obligations and commitments | $ | 35,651,432 | $ | 26,610,290 | $ | 7,739,936 | $ | 3,445,941 | $ | 73,447,599 | ||||||||||
1 | Callable bonds contain exercise date or a series of exercise dates that may result in a shorter redemption period. Mandatorily redeemable capital stock is categorized by the dates at which the corresponding advances outstanding mature. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock, under which stock may not be redeemed until the later of five years from the date the member becomes a nonmember or the related advance matures. | |
2 | Immaterial amount of commitments for equipment leases are not included. |
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ITEM 7A. | QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK |
• | The option-adjusted DOE is limited to a range of +2.0 years to -3.5 years in the rates unchanged case and to a range of +/-6.0 years in the +/-200bps shock cases. Due to the low interest rate environment beginning in early 2008, the December 2009, March 2010, June 2010, September 2010, and December 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 through the 3-year term point and a cumulative limit of +/-30 months from the 5-year through 30-year term points. |
Base Case DOE | -200bps DOE | +200bps DOE | ||||||||||
December 31, 2009 | 0.42 | N/A | 3.68 | |||||||||
March 31, 2010 | -0.51 | N/A | 3.81 | |||||||||
June 30, 2010 | -1.20 | N/A | 2.80 | |||||||||
September 30, 2010 | -2.13 | N/A | 1.46 | |||||||||
December 31, 2010 | -1.09 | N/A | 2.92 |
One Year Re- | ||||
pricing Gap | ||||
December 31, 2009 | $4.626 Billion | |||
March 31, 2010 | $4.753 Billion | |||
June 30, 2010 | $4.939 Billion | |||
September 30, 2010 | $6.888 Billion | |||
December 31, 2010 | $5.565 Billion |
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Sensitivity in | Sensitivity in | |||||||
the -200bps | the +200bps | |||||||
Shock | Shock | |||||||
December 31, 2009 | N/A | 4.53 | % | |||||
March 31, 2010 | N/A | 3.13 | % | |||||
June 30, 2010 | N/A | 12.20 | % | |||||
September 30, 2010 | N/A | 12.96 | % | |||||
December 31, 2010 | N/A | 9.05 | % |
Down-shock | +200bps Change in | |||||||
Change in MVE | MVE | |||||||
December 31, 2009 | N/A | -5.08 | % | |||||
March 31, 2010 | N/A | -4.53 | % | |||||
June 30, 2010 | N/A | -1.62 | % | |||||
September 30, 2010 | N/A | 1.63 | % | |||||
December 31, 2010 | N/A | -2.75 | % |
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Interest Rate Sensitivity | ||||||||||||||||||||
December 31, 2010 | ||||||||||||||||||||
More Than | More Than | More Than | ||||||||||||||||||
Six Months | Six Months to | One Year to | Three Years to | More Than | ||||||||||||||||
or Less | One Year | Three Years | Five Years | Five Years | ||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||
Non-MBS Investments | $ | 9,240 | $ | 169 | $ | 374 | $ | 245 | $ | 399 | ||||||||||
MBS Investments | 7,306 | 874 | 1,485 | 411 | 993 | |||||||||||||||
Adjustable-rate loans and advances | 8,121 | — | — | — | — | |||||||||||||||
Net unswapped | 24,667 | 1,043 | 1,859 | 656 | 1,392 | |||||||||||||||
Fixed-rate loans and advances | 10,994 | 3,469 | 13,971 | 10,561 | 29,824 | |||||||||||||||
Swaps hedging advances | 56,262 | (3,041 | ) | (13,069 | ) | (10,347 | ) | (29,805 | ) | |||||||||||
Net fixed-rate loans and advances | 67,256 | 428 | 902 | 214 | 19 | |||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | |||||||||||||||
Total interest-earning assets | $ | 91,923 | $ | 1,471 | $ | 2,761 | $ | 870 | $ | 1,411 | ||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||
Deposits | $ | 2,454 | $ | — | $ | — | $ | — | $ | — | ||||||||||
Discount notes | 19,120 | 271 | — | — | — | |||||||||||||||
Swapped discount notes | 100 | (100 | ) | |||||||||||||||||
Net discount notes | 19,220 | 171 | — | — | — | |||||||||||||||
Consolidated Obligation Bonds | ||||||||||||||||||||
FHLB bonds | 21,722 | 14,333 | 23,856 | 7,793 | 3,410 | |||||||||||||||
Swaps hedging bonds | 43,497 | (13,567 | ) | (21,638 | ) | (6,167 | ) | (2,125 | ) | |||||||||||
Net FHLB bonds | 65,219 | 766 | 2,218 | 1,626 | 1,285 | |||||||||||||||
Total interest-bearing liabilities | $ | 86,893 | $ | 937 | $ | 2,218 | $ | 1,626 | $ | 1,285 | ||||||||||
Post hedge gaps1: | ||||||||||||||||||||
Periodic gap | $ | 5,030 | $ | 534 | $ | 543 | $ | (756 | ) | $ | 126 | |||||||||
Cumulative gaps | $ | 5,030 | $ | 5,564 | $ | 6,107 | $ | 5,351 | $ | 5,477 |
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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ITEM 8. | FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA. |
PAGE | ||||
Financial Statements | ||||
116 | ||||
117 | ||||
118 | ||||
119 | ||||
120 | ||||
121 | ||||
123 | ||||
Supplementary Data | ||||
Supplementary financial data for each full quarter within the two years ended December 31, 2010, are included in ITEM 6. SELECTED FINANCIAL DATA. | ||||
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New York, NY
March 25, 2011
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December 31, 2010 | December 31, 2009 | |||||||
Assets | ||||||||
Cash and due from banks (Note 3) | $ | 660,873 | $ | 2,189,252 | ||||
Federal funds sold | 4,988,000 | 3,450,000 | ||||||
Available-for-sale securities, net of unrealized gains (losses) of $22,965 at December 31, 2010 and ($3,409) at December 31, 2009 (Note 6) | 3,990,082 | 2,253,153 | ||||||
Held-to-maturity securities (Note 5) | ||||||||
Long-term securities | 7,761,192 | 10,519,282 | ||||||
Advances (Note 7) | 81,200,336 | 94,348,751 | ||||||
Mortgage loans held-for-portfolio, net of allowance for credit losses of $5,760 at December 31, 2010 and $4,498 at December 31, 2009 (Note 8) | 1,265,804 | 1,317,547 | ||||||
Accrued interest receivable | 287,335 | 340,510 | ||||||
Premises, software, and equipment | 14,932 | 14,792 | ||||||
Derivative assets (Note 18) | 22,010 | 8,280 | ||||||
Other assets | 21,506 | 19,339 | ||||||
Total assets | $ | 100,212,070 | $ | 114,460,906 | ||||
Liabilities and capital | ||||||||
Liabilities | ||||||||
Deposits (Note 9) | ||||||||
Interest-bearing demand | $ | 2,401,882 | $ | 2,616,812 | ||||
Non-interest bearing demand | 9,898 | 6,499 | ||||||
Term | 42,700 | 7,200 | ||||||
Total deposits | 2,454,480 | 2,630,511 | ||||||
Consolidated obligations, net (Note 11) | ||||||||
Bonds (Includes $14,281,463 at December 31, 2010 and $6,035,741 at December 31, 2009 at fair value under the fair value option) | 71,742,627 | 74,007,978 | ||||||
Discount notes (Includes $956,338 at December 31, 2010 and $0 at December 31, 2009 at fair value under the fair value option) | 19,391,452 | 30,827,639 | ||||||
Total consolidated obligations | 91,134,079 | 104,835,617 | ||||||
Mandatorily redeemable capital stock (Note 12) | 63,219 | 126,294 | ||||||
Accrued interest payable | 197,266 | 277,788 | ||||||
Affordable Housing Program (Note 13) | 138,365 | 144,489 | ||||||
Payable to REFCORP (Note 13) | 21,617 | 24,234 | ||||||
Derivative liabilities (Note 18) | 954,898 | 746,176 | ||||||
Other liabilities | 103,777 | 72,506 | ||||||
Total liabilities | 95,067,701 | 108,857,615 | ||||||
Commitments and Contingencies(Notes 11, 13, 18 and 20) | ||||||||
Capital(Note 14) | ||||||||
Capital stock ($100 par value), putable, issued and outstanding shares: | ||||||||
45,290 at December 31, 2010 and 50,590 at December 31, 2009 | 4,528,962 | 5,058,956 | ||||||
Retained earnings | 712,091 | 688,874 | ||||||
Accumulated other comprehensive income (loss) (Note 15) | ||||||||
Net unrealized gains (losses) on available-for-sale securities | 22,965 | (3,409 | ) | |||||
Non-credit portion of OTTI on held-to-maturity securities, net of accretion | (92,926 | ) | (110,570 | ) | ||||
Net unrealized losses on hedging activities | (15,196 | ) | (22,683 | ) | ||||
Employee supplemental retirement plans (Note 17) | (11,527 | ) | (7,877 | ) | ||||
Total capital | 5,144,369 | 5,603,291 | ||||||
Total liabilities and capital | $ | 100,212,070 | $ | 114,460,906 | ||||
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2010 | 2009 | 2008 | ||||||||||
Interest income | ||||||||||||
Advances (Note 7) | $ | 614,801 | $ | 1,270,643 | $ | 3,030,799 | ||||||
Interest-bearing deposits | 5,461 | 19,865 | 28,012 | |||||||||
Federal funds sold | 9,061 | 3,238 | 77,976 | |||||||||
Available-for-sale securities (Note 6) | 31,465 | 28,842 | 80,746 | |||||||||
Held-to-maturity securities (Note 5) | ||||||||||||
Long-term securities | 352,398 | 461,491 | 531,151 | |||||||||
Certificates of deposit | — | 1,626 | 232,300 | |||||||||
Mortgage loans held-for-portfolio (Note 8) | 65,422 | 71,980 | 77,862 | |||||||||
Loans to other FHLBanks and other | — | 2 | 33 | |||||||||
Total interest income | 1,078,608 | 1,857,687 | 4,058,879 | |||||||||
Interest expense | ||||||||||||
Consolidated obligations-bonds (Note 11) | 572,730 | 953,970 | 2,620,431 | |||||||||
Consolidated obligations-discount notes (Note 11) | 42,237 | 193,041 | 697,729 | |||||||||
Deposits (Note 9) | 3,502 | 2,512 | 36,193 | |||||||||
Mandatorily redeemable capital stock (Note 12) | 4,329 | 7,507 | 8,984 | |||||||||
Cash collateral held and other borrowings (Note 21) | 26 | 49 | 1,044 | |||||||||
Total interest expense | 622,824 | 1,157,079 | 3,364,381 | |||||||||
Net interest income before provision for credit losses | 455,784 | 700,608 | 694,498 | |||||||||
Provision for credit losses on mortgage loans | 1,409 | 3,108 | 773 | |||||||||
Net interest income after provision for credit losses | 454,375 | 697,500 | 693,725 | |||||||||
Other income (loss) | ||||||||||||
Service fees | 4,918 | 4,165 | 3,357 | |||||||||
Instruments held at fair value — Unrealized (losses) gains (Note 19) | (3,343 | ) | 15,523 | (8,325 | ) | |||||||
Total OTTI losses | (5,052 | ) | (140,912 | ) | — | |||||||
Net amount of impairment losses reclassified (from) to Accumulated other comprehensive loss | (3,270 | ) | 120,096 | — | ||||||||
Net impairment losses recognized in earnings | (8,322 | ) | (20,816 | ) | — | |||||||
Net realized and unrealized (losses) gains on derivatives and hedging activities (Note 18) | 26,756 | 164,700 | (199,259 | ) | ||||||||
Net realized gains from sale of available-for-sale securities and redemption of held-to-maturity securities (Note 5 and 6) | 931 | 721 | 1,058 | |||||||||
Provision for derivative counterparty credit losses (Notes 18 and 20) | — | — | (64,523 | ) | ||||||||
Other | (4,399 | ) | 77 | 233 | ||||||||
Total other income (loss) | 16,541 | 164,370 | (267,459 | ) | ||||||||
Other expenses | ||||||||||||
Operating | 85,593 | 76,065 | 66,263 | |||||||||
Finance Agency and Office of Finance | 9,822 | 8,110 | 6,395 | |||||||||
Total other expenses | 95,415 | 84,175 | 72,658 | |||||||||
Income before assessments | 375,501 | 777,695 | 353,608 | |||||||||
Affordable Housing Program (Note 13) | 31,095 | 64,251 | 29,783 | |||||||||
REFCORP (Note 13) | 68,881 | 142,689 | 64,765 | |||||||||
Total assessments | 99,976 | 206,940 | 94,548 | |||||||||
Net income | $ | 275,525 | $ | 570,755 | $ | 259,060 | ||||||
�� | ||||||||||||
Basic earnings per share (Note 16) | $ | 5.86 | $ | 10.88 | $ | 5.26 | ||||||
Cash dividends paid per share | $ | 5.24 | $ | 4.95 | $ | 6.55 | ||||||
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Accumulated | ||||||||||||||||||||||||
Capital Stock1 | Other | Total | ||||||||||||||||||||||
Class B | Retained | Comprehensive | Total | Comprehensive | ||||||||||||||||||||
Shares | Par Value | Earnings | Income (Loss) | Capital | Income (Loss) | |||||||||||||||||||
Balance, December 31, 2007 | 43,680 | $ | 4,367,971 | $ | 418,295 | $ | (35,675 | ) | $ | 4,750,591 | ||||||||||||||
Proceeds from sale of capital stock | 51,315 | 5,131,525 | — | — | 5,131,525 | |||||||||||||||||||
Redemption of capital stock | (38,490 | ) | (3,849,038 | ) | — | — | (3,849,038 | ) | ||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (648 | ) | (64,758 | ) | — | — | (64,758 | ) | ||||||||||||||||
Cash dividends ($6.55 per share) on capital stock | — | — | (294,499 | ) | — | (294,499 | ) | |||||||||||||||||
Net Income | — | — | 259,060 | — | 259,060 | $ | 259,060 | |||||||||||||||||
Net change in Accumulated other comprehensive income (loss): | ||||||||||||||||||||||||
Net unrealized losses on available-for-sale securities | — | — | — | (64,047 | ) | (64,047 | ) | (64,047 | ) | |||||||||||||||
Hedging activities | — | — | — | 24 | 24 | 24 | ||||||||||||||||||
Employee supplemental retirement plans | — | — | — | (1,463 | ) | (1,463 | ) | (1,463 | ) | |||||||||||||||
$ | 193,574 | |||||||||||||||||||||||
Balance, December 31, 2008 | 55,857 | $ | 5,585,700 | $ | 382,856 | $ | (101,161 | ) | $ | 5,867,395 | ||||||||||||||
Proceeds from sale of capital stock | 32,095 | $ | 3,209,506 | $ | — | $ | — | $ | 3,209,506 | |||||||||||||||
Redemption of capital stock | (36,864 | ) | (3,686,402 | ) | — | — | (3,686,402 | ) | ||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (498 | ) | (49,848 | ) | — | — | (49,848 | ) | ||||||||||||||||
Cash dividends ($4.95 per share) on capital stock | — | — | (264,737 | ) | — | (264,737 | ) | |||||||||||||||||
Net Income | — | — | 570,755 | — | 570,755 | $ | 570,755 | |||||||||||||||||
Net change in Accumulated other comprehensive income (loss): | ||||||||||||||||||||||||
Non-credit portion of OTTI on held-to-maturity securities, net of accretion | — | — | — | (110,570 | ) | (110,570 | ) | (110,570 | ) | |||||||||||||||
Net unrealized gains on available-for-sale securities | — | — | — | 61,011 | 61,011 | 61,011 | ||||||||||||||||||
Hedging activities | — | — | — | 7,508 | 7,508 | 7,508 | ||||||||||||||||||
Employee supplemental retirement plans | — | — | — | (1,327 | ) | (1,327 | ) | (1,327 | ) | |||||||||||||||
$ | 527,377 | |||||||||||||||||||||||
Balance, December 31, 2009 | 50,590 | $ | 5,058,956 | $ | 688,874 | $ | (144,539 | ) | $ | 5,603,291 | ||||||||||||||
Proceeds from sale of capital stock | 18,749 | $ | 1,874,910 | $ | — | $ | — | $ | 1,874,910 | |||||||||||||||
Redemption of capital stock | (23,566 | ) | (2,356,594 | ) | — | — | (2,356,594 | ) | ||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (483 | ) | (48,310 | ) | — | — | (48,310 | ) | ||||||||||||||||
Cash dividends ($5.24 per share) on capital stock | — | — | (252,308 | ) | — | (252,308 | ) | |||||||||||||||||
Net Income | — | — | 275,525 | — | 275,525 | $ | 275,525 | |||||||||||||||||
Net change in Accumulated other comprehensive income (loss): | ||||||||||||||||||||||||
Non-credit portion of OTTI on held-to-maturity securities, net of accretion | — | — | — | 17,644 | 17,644 | 17,644 | ||||||||||||||||||
Net unrealized gains on available-for-sale securities | — | — | — | 26,374 | 26,374 | 26,374 | ||||||||||||||||||
Hedging activities | — | — | — | 7,487 | 7,487 | 7,487 | ||||||||||||||||||
Employee supplemental retirement plans | — | — | — | (3,650 | ) | (3,650 | ) | (3,650 | ) | |||||||||||||||
$ | 323,380 | |||||||||||||||||||||||
Balance, December 31, 2010 | 45,290 | $ | 4,528,962 | $ | 712,091 | $ | (96,684 | ) | $ | 5,144,369 | ||||||||||||||
1 | Putable stock |
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2010 | 2009 | 2008 | ||||||||||
Operating activities | ||||||||||||
Net Income | $ | 275,525 | $ | 570,755 | $ | 259,060 | ||||||
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 | (61,255 | ) | (120,715 | ) | (78,409 | ) | ||||||
Concessions on consolidated obligations | 12,978 | 7,006 | 8,772 | |||||||||
Premises, software, and equipment | 5,646 | 5,405 | 4,971 | |||||||||
Provision for derivative counterparty credit losses | — | — | 64,523 | |||||||||
Provision for credit losses on mortgage loans | 1,409 | 3,108 | 773 | |||||||||
Net realized (gains) from redemption of held-to-maturity securities | (223 | ) | (281 | ) | (1,058 | ) | ||||||
Net realized (gains) from sale of available-for-sale securities | (708 | ) | (440 | ) | — | |||||||
Credit impairment losses on held-to-maturity securities | 8,322 | 20,816 | — | |||||||||
Change in net fair value adjustments on derivatives and hedging activities | 504,841 | 188,151 | (386,416 | ) | ||||||||
Change in fair value adjustments on financial instruments held at fair value | 3,343 | (15,523 | ) | 8,325 | ||||||||
Net change in: | ||||||||||||
Accrued interest receivable | 53,175 | 152,345 | 69,467 | |||||||||
Derivative assets due to accrued interest | 67,998 | 246,371 | 185,343 | |||||||||
Derivative liabilities due to accrued interest | (37,141 | ) | (252,684 | ) | 78,731 | |||||||
Other assets | (2,584 | ) | 814 | (67,367 | ) | |||||||
Affordable Housing Program liability | (6,124 | ) | 22,040 | 3,397 | ||||||||
Accrued interest payable | (73,358 | ) | (153,033 | ) | (222,109 | ) | ||||||
REFCORP liability | (2,617 | ) | 19,454 | (19,218 | ) | |||||||
Other liabilities | 11,117 | (1,575 | ) | 3,813 | ||||||||
Total adjustments | 484,819 | 121,259 | (346,462 | ) | ||||||||
Net cash provided (used) by operating activities | 760,344 | 692,014 | (87,402 | ) | ||||||||
Investing activities | ||||||||||||
Net change in: | ||||||||||||
Interest-bearing deposits | (502,374 | ) | 13,768,437 | (15,609,066 | ) | |||||||
Federal funds sold | (1,538,000 | ) | (3,450,000 | ) | 4,381,000 | |||||||
Deposits with other FHLBanks | 66 | (25 | ) | (67 | ) | |||||||
Premises, software, and equipment | (5,786 | ) | (6,404 | ) | (5,610 | ) | ||||||
Held-to-maturity securities: | ||||||||||||
Long-term securities | ||||||||||||
Purchased | (551,113 | ) | (3,511,033 | ) | (2,284,435 | ) | ||||||
Repayments | 3,302,202 | 2,919,664 | 2,334,966 | |||||||||
In-substance maturities | 22,523 | 77,701 | 102,390 | |||||||||
Net change in certificates of deposit | — | 1,203,000 | 9,097,200 | |||||||||
Available-for-sale securities: | ||||||||||||
Purchased | (2,860,592 | ) | (710 | ) | (3,244,495 | ) | ||||||
Proceeds | 1,121,667 | 543,924 | 335,314 | |||||||||
Proceeds from sales | 36,877 | 132,461 | 653 | |||||||||
Advances: | ||||||||||||
Principal collected | 224,670,438 | 370,709,084 | 596,335,124 | |||||||||
Made | (210,872,277 | ) | (358,067,057 | ) | (619,122,796 | ) | ||||||
Mortgage loans held-for-portfolio: | ||||||||||||
Principal collected | 245,580 | 285,888 | 170,272 | |||||||||
Purchased and originated | (195,777 | ) | (150,058 | ) | (138,255 | ) | ||||||
Loans to other FHLBanks | ||||||||||||
Loans made | (27,000 | ) | (472,000 | ) | (661,000 | ) | ||||||
Principal collected | 27,000 | 472,000 | 716,000 | |||||||||
Net cash provided (used) by investing activities | 12,873,434 | 24,454,872 | (27,592,805 | ) | ||||||||
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Statements of Cash Flows — (in thousands)
Years Ended December 31, 2010, 2009 and 2008
2010 | 2009 | 2008 | ||||||||||
Financing activities | ||||||||||||
Net change in: | ||||||||||||
Deposits and other borrowings1 | $ | (586,540 | ) | $ | 772,634 | $ | 328,165 | |||||
Short-term loans from other FHLBanks: | ||||||||||||
Proceeds from loans | — | 135,000 | 1,260,000 | |||||||||
Payments for loans | — | (135,000 | ) | (1,260,000 | ) | |||||||
Consolidated obligation bonds: | ||||||||||||
Proceeds from issuance | 68,041,134 | 54,502,275 | 62,035,840 | |||||||||
Payments for maturing and early retirement | (70,571,842 | ) | (62,024,547 | ) | (47,118,882 | ) | ||||||
Net proceeds on bonds transferred from other FHLBanks | 224,664 | — | — | |||||||||
Consolidated obligation discount notes: | ||||||||||||
Proceeds from issuance | 121,978,200 | 862,167,891 | 686,114,086 | |||||||||
Payments for maturing | (133,402,396 | ) | (877,586,478 | ) | (674,495,767 | ) | ||||||
Capital stock: | ||||||||||||
Proceeds from issuance | 1,874,910 | 3,209,506 | 5,131,525 | |||||||||
Payments for redemption / repurchase | (2,356,594 | ) | (3,686,402 | ) | (3,849,038 | ) | ||||||
Redemption of Mandatorily redeemable capital stock | (111,385 | ) | (66,675 | ) | (160,233 | ) | ||||||
Cash dividends paid2 | (252,308 | ) | (264,737 | ) | (294,499 | ) | ||||||
Net cash (used) provided by financing activities | (15,162,157 | ) | (22,976,533 | ) | 27,691,197 | |||||||
Net (decrease) increase in cash and due from banks | (1,528,379 | ) | 2,170,353 | 10,990 | ||||||||
Cash and due from banks at beginning of the period | 2,189,252 | 18,899 | 7,909 | |||||||||
Cash and due from banks at end of the period | $ | 660,873 | $ | 2,189,252 | $ | 18,899 | ||||||
Supplemental disclosures: | ||||||||||||
Interest paid | $ | 722,595 | $ | 1,401,932 | $ | 2,821,378 | ||||||
Affordable Housing Program payments3 | $ | 37,219 | $ | 42,211 | $ | 26,386 | ||||||
REFCORP payments | $ | 71,498 | $ | 123,235 | $ | 83,983 | ||||||
Transfers of mortgage loans to real estate owned | $ | 1,305 | $ | 1,400 | $ | 755 | ||||||
Portion of non-credit OTTI (gains) losses on held-to-maturity securities | $ | (3,270 | ) | $ | 120,096 | $ | — |
1 | Cash flows from derivatives containing financing elements were considered as a financing activity — $439,963 cash out-flows in 2010, $343,018 cash out-flows in 2009; $450,393 cash in-flows in 2008. | |
2 | Does not include payments to holders of mandatorily redeemable capital stock. | |
3 | AHP payments = (beginning accrual - ending accrual) + AHP assessment for the period; payments represent funds released to the Affordable Housing Program. |
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• | Market approach — This technique uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities. |
• | Income approach — This technique uses valuation techniques to convert future amounts (for example, cash flows or earnings) to a single present amount (discounted), based on assumptions used by market participants. The present value technique used to measure fair value depends on the facts and circumstances specific to the asset or liability being measured and the availability of data. |
• | Cost approach — This approach is based on the amount that currently would be required to replace the service capacity of an asset (often referred to as current replacement cost). |
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• | a member requests redemption of excess membership stock; |
• | a member delivers notice of its intent to withdraw from membership; and |
• | a member attains non-member status (through merger into or acquisition by a non-member, or involuntary termination from membership). |
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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 | The terms “qualifying” and “non-qualifying” refer to accounting standards for derivatives and hedging. |
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December 31, | ||||||||||||||||
2010 | 2009 | |||||||||||||||
Accumulated | Accumulated | |||||||||||||||
Fixed Assets | Assets | Depreciation | Assets | Depreciation | ||||||||||||
Premises, Furniture, and Equipment | $ | 11,617 | $ | (8,017 | ) | $ | 11,133 | $ | (7,390 | ) | ||||||
Computer Software and Hardware | 40,314 | (28,982 | ) | 35,012 | (23,963 | ) | ||||||||||
Total: | $ | 51,931 | $ | (36,999 | ) | $ | 46,145 | $ | (31,353 | ) | ||||||
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December 31, 2010 | ||||||||||||||||||||||||
Gross | Gross | |||||||||||||||||||||||
Amortized | OTTI | Carrying | Unrecognized | Unrecognized | Fair | |||||||||||||||||||
Issued, guaranteed or insured: | Cost | in OCI | Value | Holding Gains | Holding Losses | Value | ||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||
Fannie Mae | $ | 857,387 | $ | — | $ | 857,387 | $ | 48,712 | $ | — | $ | 906,099 | ||||||||||||
Freddie Mac | 244,041 | — | 244,041 | 13,316 | — | 257,357 | ||||||||||||||||||
Total pools of mortgages | 1,101,428 | — | 1,101,428 | 62,028 | — | 1,163,456 | ||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||
Fannie Mae | 1,637,261 | — | 1,637,261 | 52,935 | — | 1,690,196 | ||||||||||||||||||
Freddie Mac | 2,790,103 | — | 2,790,103 | 92,746 | — | 2,882,849 | ||||||||||||||||||
Ginnie Mae | 116,126 | — | 116,126 | 936 | — | 117,062 | ||||||||||||||||||
Total CMOs/REMICs | 4,543,490 | — | 4,543,490 | 146,617 | — | 4,690,107 | ||||||||||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||||||||||
Fannie Mae | 100,492 | — | 100,492 | — | $ | (2,516 | ) | 97,976 | ||||||||||||||||
Freddie Mac | 375,901 | — | 375,901 | 1,031 | $ | (5,315 | ) | 371,617 | ||||||||||||||||
Ginnie Mae | 48,747 | — | 48,747 | 1,857 | — | 50,604 | ||||||||||||||||||
Total commercial mortgage-backed securities | 525,140 | — | 525,140 | 2,888 | $ | (7,831 | ) | 520,197 | ||||||||||||||||
Non-GSE MBS | ||||||||||||||||||||||||
CMOs/REMICs | 294,686 | (2,209 | ) | 292,477 | 6,228 | (916 | ) | 297,789 | ||||||||||||||||
Commercial MBS | — | — | — | — | — | — | ||||||||||||||||||
Total non-federal-agency MBS | 294,686 | (2,209 | ) | 292,477 | 6,228 | (916 | ) | 297,789 | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||
Manufactured housing (insured) | 176,592 | — | 176,592 | — | (21,437 | ) | 155,155 | |||||||||||||||||
Home equity loans (insured) | 257,889 | (66,252 | ) | 191,637 | 35,550 | (4,316 | ) | 222,871 | ||||||||||||||||
Home equity loans (uninsured) | 184,284 | (24,465 | ) | 159,819 | 17,780 | (21,478 | ) | 156,121 | ||||||||||||||||
Total asset-backed securities | 618,765 | (90,717 | ) | 528,048 | 53,330 | (47,231 | ) | 534,147 | ||||||||||||||||
Total MBS | $ | 7,083,509 | $ | (92,926 | ) | $ | 6,990,583 | $ | 271,091 | $ | (55,978 | ) | $ | 7,205,696 | ||||||||||
Other | ||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 770,609 | $ | — | $ | 770,609 | $ | 1,434 | $ | (79,439 | ) | $ | 692,604 | |||||||||||
Total other | $ | 770,609 | $ | — | $ | 770,609 | $ | 1,434 | $ | (79,439 | ) | $ | 692,604 | |||||||||||
Total Held-to-maturity securities | $ | 7,854,118 | $ | (92,926 | ) | $ | 7,761,192 | $ | 272,525 | $ | (135,417 | ) | $ | 7,898,300 | ||||||||||
December 31, 2009 | ||||||||||||||||||||||||
Gross | Gross | |||||||||||||||||||||||
Amortized | OTTI | Carrying | Unrecognized | Unrecognized | Fair | |||||||||||||||||||
Issued, guaranteed or insured: | Cost | 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 | |||||||||||
Total other | $ | 751,751 | $ | — | $ | 751,751 | $ | 3,430 | $ | (11,046 | ) | $ | 744,135 | |||||||||||
Total Held-to-maturity securities | $ | 10,629,852 | $ | (110,570 | ) | $ | 10,519,282 | $ | 272,860 | $ | (122,890 | ) | $ | 10,669,252 | ||||||||||
1 | Unrecognized gross holding gains and losses represent the difference between carrying value and fair value of a held-to-maturity security.At December 31, 2010 and 2009, the FHLBNY had pledged MBS with an amortized cost basis of $2.7 million and $2.0 million to the FDIC in connection with deposits maintained by the FDIC at the FHLBNY. |
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December 31, 2010 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
Non-MBS Investment Securities | ||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 20,945 | $ | (1,270 | ) | $ | 309,476 | $ | (78,169 | ) | $ | 330,421 | $ | (79,439 | ) | |||||||||
Total Non-MBS | 20,945 | (1,270 | ) | 309,476 | (78,169 | ) | 330,421 | (79,439 | ) | |||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||
MBS — Other US Obligations | ||||||||||||||||||||||||
Ginnie Mae | — | — | — | — | — | — | ||||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae-CMBS | 97,976 | (2,516 | ) | — | — | 97,976 | (2,516 | ) | ||||||||||||||||
Freddie Mac-CMBS | 196,658 | (5,315 | ) | — | — | 196,658 | (5,315 | ) | ||||||||||||||||
Total MBS-GSE | 294,634 | (7,831 | ) | — | — | 294,634 | (7,831 | ) | ||||||||||||||||
MBS-Private-Label — CMOs | 5,017 | (19 | ) | 593,667 | (87,302 | ) | 598,684 | (87,321 | ) | |||||||||||||||
Total MBS | 299,651 | (7,850 | ) | 593,667 | (87,302 | ) | 893,318 | (95,152 | ) | |||||||||||||||
Total | $ | 320,596 | $ | (9,120 | ) | $ | 903,143 | $ | (165,471 | ) | $ | 1,223,739 | $ | (174,591 | ) | |||||||||
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-CMOs | 122,359 | (1,020 | ) | 2,274 | (6 | ) | 124,633 | (1,026 | ) | |||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae-CMOs | 780,645 | (2,192 | ) | — | — | 780,645 | (2,192 | ) | ||||||||||||||||
Freddie Mac-CMOs | 814,881 | (3,752 | ) | — | — | 814,881 | (3,752 | ) | ||||||||||||||||
Total MBS-GSE | 1,595,526 | (5,944 | ) | — | — | 1,595,526 | (5,944 | ) | ||||||||||||||||
MBS-Private-Label — CMOs | 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 | ) | |||||||||
1 | Unrealized losses represent the difference between amortized cost and fair value of a security. The baseline measure of unrealized losses is amortized cost, which is not adjusted for non-credit OTTI. Unrealized losses will not equal gross unrecognized losses, which is adjusted for non-credit OTTI. |
December 31, 2010 | December 31, 2009 | |||||||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||||||
Cost | Fair Value | Cost | Fair Value | |||||||||||||
State and local housing finance agency obligations | ||||||||||||||||
Due in one year or less | $ | — | $ | — | $ | 2,820 | $ | 2,869 | ||||||||
Due after one year through five years | 6,415 | 6,467 | 9,315 | 9,338 | ||||||||||||
Due after five years through ten years | 61,945 | 60,667 | 62,065 | 62,766 | ||||||||||||
Due after ten years | 702,249 | 625,470 | 677,551 | 669,162 | ||||||||||||
State and local housing finance agency obligations | 770,609 | 692,604 | 751,751 | 744,135 | ||||||||||||
Mortgage-backed securities | ||||||||||||||||
Due in one year or less | — | — | — | — | ||||||||||||
Due after one year through five years | 1,730 | 1,768 | 2,661 | 2,645 | ||||||||||||
Due after five years through ten years | 1,324,480 | 1,351,936 | 1,140,154 | 1,172,718 | ||||||||||||
Due after ten years | 5,757,299 | 5,851,992 | 8,735,286 | 8,749,754 | ||||||||||||
Mortgage-backed securities | 7,083,509 | 7,205,696 | 9,878,101 | 9,925,117 | ||||||||||||
Certificates of deposit | ||||||||||||||||
Due in one year or less | — | — | — | — | ||||||||||||
Certificates of deposit | — | — | — | — | ||||||||||||
Total Held-to-maturity securities | $ | 7,854,118 | $ | 7,898,300 | $ | 10,629,852 | $ | 10,669,252 | ||||||||
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December 31, 2010 | ||||||||||||
Amortized | OTTI | Carrying | ||||||||||
Cost | in OCI | Value | ||||||||||
Mortgage-backed securities | ||||||||||||
CMO | ||||||||||||
Fixed | $ | 3,064,470 | $ | (3,673 | ) | $ | 3,060,797 | |||||
Floating | 2,105,272 | — | 2,105,272 | |||||||||
CMO Total | 5,169,742 | (3,673 | ) | 5,166,069 | ||||||||
Pass Thru | ||||||||||||
Fixed | 1,830,665 | (88,032 | ) | 1,742,633 | ||||||||
Floating | 83,102 | (1,221 | ) | 81,881 | ||||||||
Pass Thru Total | 1,913,767 | (89,253 | ) | 1,824,514 | ||||||||
Total MBS | 7,083,509 | (92,926 | ) | 6,990,583 | ||||||||
State and local housing finance agency obligations | ||||||||||||
Fixed | 135,344 | — | 135,344 | |||||||||
Floating | 635,265 | — | 635,265 | |||||||||
770,609 | — | 770,609 | ||||||||||
Total Held-to-maturity securities | $ | 7,854,118 | $ | (92,926 | ) | $ | 7,761,192 | |||||
December 31, 2009 | ||||||||||||
Amortized | OTTI | Carrying | ||||||||||
Cost | in OCI | Value | ||||||||||
Mortgage-backed securities | ||||||||||||
CMO | ||||||||||||
Fixed | $ | 4,281,206 | $ | (5,047 | ) | $ | 4,276,159 | |||||
Floating | 3,089,976 | — | 3,089,976 | |||||||||
CMO Total | 7,371,182 | (5,047 | ) | 7,366,135 | ||||||||
Pass Thru | ||||||||||||
Fixed | 2,396,776 | (104,146 | ) | 2,292,630 | ||||||||
Floating | 110,143 | (1,377 | ) | 108,766 | ||||||||
Pass Thru Total | 2,506,919 | (105,523 | ) | 2,401,396 | ||||||||
Total MBS | 9,878,101 | (110,570 | ) | 9,767,531 | ||||||||
State and local housing finance agency obligations | ||||||||||||
Fixed | 173,781 | — | 173,781 | |||||||||
Floating | 577,970 | — | 577,970 | |||||||||
751,751 | — | 751,751 | ||||||||||
Total Held-to-maturity securities | $ | 10,629,852 | $ | (110,570 | ) | $ | 10,519,282 | |||||
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Year ended December 31, 2010 | ||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI | |||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | |||||||||||||||||||||||||||
Classification | UPB | Value | UPB | Value | UPB | Value | Loss | Loss 1 | ||||||||||||||||||||||||
RMBS-Prime* | $ | — | $ | — | $ | — | $ | — | $ | 58,269 | $ | 55,631 | $ | (176 | ) | $ | (303 | ) | ||||||||||||||
HEL Subprime* | 31,256 | 17,090 | 173,220 | 129,804 | 70,747 | 62,300 | (8,146 | ) | 3,573 | |||||||||||||||||||||||
Total | $ | 31,256 | $ | 17,090 | $ | 173,220 | $ | 129,804 | $ | 129,016 | $ | 117,931 | $ | (8,322 | ) | $ | 3,270 | |||||||||||||||
* | RMBS-Prime — Private-label MBS supported by prime residential loans; HEL Subprime — MBS supported by home equity loans. | |
1 | �� | Positive non-credit loss represents the net amount of non-credit losses reclassified from OCI to increase the carrying value of securities previously deemed OTTI. |
Quarter ended December 31, 2010 | ||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI | |||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | |||||||||||||||||||||||||||
Classification | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | ||||||||||||||||||||||||
RMBS-Prime* | $ | — | $ | — | $ | — | $ | — | $ | 16,477 | $ | 15,827 | $ | (176 | ) | $ | (303 | ) | ||||||||||||||
HEL Subprime* | 11,375 | 6,932 | 6,282 | 3,863 | — | — | (409 | ) | — | |||||||||||||||||||||||
Total | $ | 11,375 | $ | 6,932 | $ | 6,282 | $ | 3,863 | $ | 16,477 | $ | 15,827 | $ | (585 | ) | $ | (303 | ) | ||||||||||||||
* | RMBS-Prime — Private-label MBS supported by prime residential loans; HEL Subprime — MBS supported by home equity loans. |
Quarter ended December 31, 2009 | ||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI | |||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | |||||||||||||||||||||||||||
Classification | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | ||||||||||||||||||||||||
HEL Subprime* | $ | — | $ | — | $ | 89,092 | $ | 53,027 | $ | 20,118 | $ | 12,874 | $ | (6,540 | ) | $ | (16,212 | ) | ||||||||||||||
Total | $ | — | $ | — | $ | 89,092 | $ | 53,027 | $ | 20,118 | $ | 12,874 | $ | (6,540 | ) | $ | (16,212 | ) | ||||||||||||||
* | HEL Subprime — MBS supported by home equity loans. |
Year ended December 31, 2009 | ||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI | |||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | |||||||||||||||||||||||||||
Classification | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | ||||||||||||||||||||||||
RMBS-Prime* | $ | — | $ | — | $ | — | $ | — | $ | 54,295 | $ | 51,715 | $ | (438 | ) | $ | (2,766 | ) | ||||||||||||||
HEL Subprime* | 34,425 | 17,161 | 198,532 | 127,470 | 80,774 | 53,783 | (20,378 | ) | (117,330 | ) | ||||||||||||||||||||||
Total | $ | 34,425 | $ | 17,161 | $ | 198,532 | $ | 127,470 | $ | 135,069 | $ | 105,498 | $ | (20,816 | ) | $ | (120,096 | ) | ||||||||||||||
* | RMBS-Prime — Private-label MBS supported by prime residential loans; HEL Subprime — MBS supported by home equity loans. |
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December 31, | ||||||||
2010 | 2009 | |||||||
Beginning balance | $ | 20,816 | $ | — | ||||
Additions to the credit component for OTTI loss not previously recognized | 176 | 20,816 | ||||||
Additional credit losses for which an OTTI charge was previously recognized | 8,146 | — | ||||||
Increases in cash flows expected to be collected, recognized over the remaining life of the securities | — | — | ||||||
Ending balance | $ | 29,138 | $ | 20,816 | ||||
Key Base Assumption — OTTI Securities Life-to-Date | ||||||||||||||||||||||||
CDR | CPR | Loss Severity % | ||||||||||||||||||||||
Security Classification | Range | Average | Range | Average | Range | Average | ||||||||||||||||||
RMBS Prime | 2.0-3.6 | 2.3 | 7.1-14.0 | 12.6 | 40.0-65.1 | 45.2 | ||||||||||||||||||
HEL Subprime | 4.3-16.8 | 7.6 | 2.0-10.2 | 5.0 | 52.2-100.0 | 84.9 |
Key Base Assumption — All PLMBS at Quarter End | ||||||||||||||||||||||||
CDR | CPR | Loss Severity % | ||||||||||||||||||||||
Security Classification | Range | Average | Range | Average | Range | Average | ||||||||||||||||||
RMBS Prime | 1.0-2.0 | 1.4 | 7.1-40.6 | 24.3 | 30.0-48.6 | 34.9 | ||||||||||||||||||
Alt-A | 1.0-7.9 | 3.5 | 2.0-16.9 | 4.7 | 30.0-30.0 | 30.0 | ||||||||||||||||||
HEL Subprime | 1.0-7.9 | 4.0 | 2.0-11.3 | 4.5 | 30.0-100.0 | 68.8 |
** | Conditional Prepayment Rate (CPR): 1-((1-SMM)^12) where, SMM is defined as the “Single Monthly Mortality (SMM)” = (Voluntary partial and full prepayments + repurchases + Liquidated Balances)/(Beginning Principal Balance — Scheduled Principal). Voluntary prepayment excludes the liquidated balances mentioned above. | |
** | Conditional Default Rate (CDR): 1-((1-MDR)^12) where, MDR is defined as the “Monthly Default Rate (MDR)” = (Beginning Principal Balance of Liquidated Loans)/(Total Beginning Principal Balance). | |
** | Loss Severity(Principal and interest in the current period) = Sum (Total Realized Loss Amount)/Sum (Beginning Principal and interest Balance of Liquidated Loans). | |
** | If the present value of cash flows expected to be collected (discounted at the security’s effective yield) is less than the amortized cost basis of the security, other-than-temporary impairment is considered to have occurred because the entire amortized cost basis of the security will not be recovered. The Bank considers whether or not it will recover the entire amortized cost of the security by comparing the present value of the cash flows expected to be collected from the security (discounted at the security’s effective yield) with the amortized cost basis of the security. |
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Burnout Period | ||||||||
Ambac | MBIA | |||||||
December 31, 2010 | ||||||||
Burnout period (months) | — | 6 | ||||||
Coverage ignore date | 12/31/2010 | 6/30/2011 | ||||||
September 30, 2010 | ||||||||
Burnout period (months) | — | 9 | ||||||
Coverage ignore date | 9/30/2010 | 6/30/2011 | ||||||
June 30, 2010 | ||||||||
Burnout period (months) | — | 12 | ||||||
Coverage ignore date | 6/30/2010 | 6/30/2011 | ||||||
March 31, 2010 | ||||||||
Burnout period (months) | — | 15 | ||||||
Coverage ignore date | 3/31/2010 | 6/30/2011 |
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December 31, 2010 | ||||||||||||||||||||
Gross | Gross | |||||||||||||||||||
Amortized | OTTI | Unrealized | Unrealized | Fair | ||||||||||||||||
Cost | in OCI | Gains | Losses | Value | ||||||||||||||||
Cash equivalents | $ | 120 | $ | — | $ | — | $ | — | $ | 120 | ||||||||||
Equity funds | 6,715 | — | 182 | (651 | ) | 6,246 | ||||||||||||||
Fixed income funds | 3,374 | — | 207 | — | 3,581 | |||||||||||||||
GSE and U.S. Obligations | ||||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||
CMO-Floating | 3,906,932 | — | 26,588 | (3,157 | ) | 3,930,363 | ||||||||||||||
CMBS-Floating | 49,976 | — | — | (204 | ) | 49,772 | ||||||||||||||
Total | $ | 3,967,117 | $ | — | $ | 26,977 | $ | (4,012 | ) | $ | 3,990,082 | |||||||||
December 31, 2009 | ||||||||||||||||||||
Gross | Gross | |||||||||||||||||||
Amortized | OTTI | Unrealized | Unrealized | Fair | ||||||||||||||||
Cost | in OCI | Gains | Losses | Value | ||||||||||||||||
Cash equivalents | $ | 1,230 | $ | — | $ | — | $ | — | $ | 1,230 | ||||||||||
Equity funds | 8,995 | — | 57 | (1,561 | ) | 7,491 | ||||||||||||||
Fixed income funds | 3,672 | — | 196 | — | 3,868 | |||||||||||||||
GSE and U.S. Obligations | ||||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||
CMO-Floating | 2,242,665 | — | 6,937 | (9,038 | ) | 2,240,564 | ||||||||||||||
CMBS-Floating | — | — | — | — | — | |||||||||||||||
Total | $ | 2,256,562 | $ | — | $ | 7,190 | $ | (10,599 | ) | $ | 2,253,153 | |||||||||
1 | The carrying value of Available-for-sale securities equals fair value. |
December 31, 2010 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||
MBS — Other US Obligations | ||||||||||||||||||||||||
Ginnie Mae- CMOs | $ | 71,922 | $ | (192 | ) | $ | — | $ | — | $ | 71,922 | $ | (192 | ) | ||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae-CMOs | 374,535 | (1,267 | ) | — | — | 374,535 | (1,267 | ) | ||||||||||||||||
Fannie Mae-CMBS | 49,772 | (204 | ) | — | — | 49,772 | (204 | ) | ||||||||||||||||
Freddie Mac-CMOs | 368,652 | (1,698 | ) | — | — | 368,652 | (1,698 | ) | ||||||||||||||||
Total MBS-GSE | 792,959 | (3,169 | ) | — | — | 792,959 | (3,169 | ) | ||||||||||||||||
Total Temporarily Impaired | $ | 864,881 | $ | (3,361 | ) | $ | — | $ | — | $ | 864,881 | $ | (3,361 | ) | ||||||||||
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-CMOs | $ | — | $ | — | $ | 1,006,860 | $ | (6,394 | ) | $ | 1,006,860 | $ | (6,394 | ) | ||||||||||
Freddie Mac-CMOs | — | — | 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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December 31, 2010 | December 31, 2009 | |||||||||||||||
Amortized | Fair | Amortized | Fair | |||||||||||||
Cost Basis | Value | Cost Basis | Value | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
GSE/U.S. agency issued CMO | ||||||||||||||||
Due after ten years | $ | 3,906,932 | $ | 3,930,363 | $ | 2,242,665 | $ | 2,240,564 | ||||||||
GSE/U.S. agency issued CMBS | ||||||||||||||||
Due after five years through ten years | 49,976 | 49,772 | — | — | ||||||||||||
Fixed income funds, equity funds and cash equivalents* | 10,209 | 9,947 | 13,897 | 12,589 | ||||||||||||
Total | $ | 3,967,117 | $ | 3,990,082 | $ | 2,256,562 | $ | 2,253,153 | ||||||||
* | Determined to be redeemable at anytime. | |
1 | The carrying value of Available-for-sale securities equals fair value. |
December 31, 2010 | December 31, 2009 | |||||||||||||||
Amortized Cost | Fair Value | Amortized Cost | Fair Value | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
Mortgage pass-throughs-GSE/U.S. agency issued | ||||||||||||||||
Variable-rate* | $ | 3,906,932 | $ | 3,930,363 | $ | 2,242,665 | $ | 2,240,564 | ||||||||
Variable-rate CMBS* | 49,976 | 49,772 | — | — | ||||||||||||
Fixed-rate | — | — | — | — | ||||||||||||
3,956,908 | 3,980,135 | 2,242,665 | 2,240,564 | |||||||||||||
Fixed income funds, equity funds and cash equivalents | 10,209 | 9,947 | 13,897 | 12,589 | ||||||||||||
Total | $ | 3,967,117 | $ | 3,990,082 | $ | 2,256,562 | $ | 2,253,153 | ||||||||
* | LIBOR Indexed |
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December 31, 2010 | December 31, 2009 | |||||||||||||||||||||||
Weighted2 | Weighted2 | |||||||||||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||||||||||
Amount | Yield | of Total | Amount | Yield | of Total | |||||||||||||||||||
Overdrawn demand deposit accounts | $ | 196 | 1.15 | % | — | % | $ | 2,022 | 1.20 | % | — | % | ||||||||||||
Due in one year or less | 16,872,651 | 1.77 | 21.94 | 24,128,022 | 2.07 | 26.59 | ||||||||||||||||||
Due after one year through two years | 9,488,116 | 2.81 | 12.33 | 10,819,349 | 2.73 | 11.92 | ||||||||||||||||||
Due after two years through three years | 7,221,496 | 2.94 | 9.39 | 10,069,555 | 2.91 | 11.10 | ||||||||||||||||||
Due after three years through four years | 5,004,502 | 2.69 | 6.50 | 5,804,448 | 3.32 | 6.40 | ||||||||||||||||||
Due after four years through five years | 6,832,709 | 2.93 | 8.88 | 3,364,706 | 3.19 | 3.71 | ||||||||||||||||||
Due after five years through six years | 9,590,448 | 4.32 | 12.46 | 2,807,329 | 3.91 | 3.09 | ||||||||||||||||||
Thereafter | 21,929,421 | 3.68 | 28.50 | 33,742,269 | 3.78 | 37.19 | ||||||||||||||||||
Total par value | 76,939,539 | 3.03 | % | 100.00 | % | 90,737,700 | 3.06 | % | 100.00 | % | ||||||||||||||
Discount on AHP advances1 | (42 | ) | (260 | ) | ||||||||||||||||||||
Hedging adjustments | 4,260,839 | 3,611,311 | ||||||||||||||||||||||
Total | $ | 81,200,336 | $ | 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 3.50% at December 31, 2010 and 1.25% to 4.00% at 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. |
December 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of Total | Amount | of Total | |||||||||||||
Overdrawn demand deposit accounts | $ | 196 | — | % | $ | 2,022 | — | % | ||||||||
Due or putable\callable in one year or less1 | 49,443,712 | 64.26 | 56,978,134 | 62.79 | ||||||||||||
Due or putable after one year through two years | 8,889,867 | 11.55 | 14,082,199 | 15.52 | ||||||||||||
Due or putable after two years through three years | 6,959,596 | 9.05 | 8,991,805 | 9.91 | ||||||||||||
Due or putable after three years through four years | 4,744,502 | 6.17 | 5,374,048 | 5.92 | ||||||||||||
Due or putable after four years through five years | 4,145,209 | 5.39 | 2,826,206 | 3.12 | ||||||||||||
Due or putable after five years through six years | 815,948 | 1.06 | 158,329 | 0.18 | ||||||||||||
Thereafter | 1,940,509 | 2.52 | 2,324,957 | 2.56 | ||||||||||||
Total par value | 76,939,539 | 100.00 | % | 90,737,700 | 100.00 | % | ||||||||||
Discount on AHP advances | (42 | ) | (260 | ) | ||||||||||||
Hedging adjustments | 4,260,839 | 3,611,311 | ||||||||||||||
Total | $ | 81,200,336 | $ | 94,348,751 | ||||||||||||
1 | Due or putable in one year or less includes two callable advances. |
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(1) | 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 |
(2) | Requires the member specifically to assign or place physical possession of such collateral with the FHLBNY or its safekeeping agent. |
December 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of Total | Amount | of Total | |||||||||||||
Fixed-rate | $ | 68,818,343 | 89.44 | % | $ | 76,634,828 | 84.46 | % | ||||||||
Variable-rate | 8,121,000 | 10.56 | 13,730,850 | 15.13 | ||||||||||||
Variable-rate capped | — | — | 370,000 | 0.41 | ||||||||||||
Overdrawn demand deposit accounts | 196 | — | 2,022 | — | ||||||||||||
Total par value | 76,939,539 | 100.00 | % | 90,737,700 | 100.00 | % | ||||||||||
Discount on AHP Advances | (42 | ) | (260 | ) | ||||||||||||
Hedging basis adjustments | 4,260,839 | 3,611,311 | ||||||||||||||
Total | $ | 81,200,336 | $ | 94,348,751 | ||||||||||||
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December 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Real Estate: | ||||||||||||||||
Fixed medium-term single-family mortgages | $ | 342,081 | 27.05 | % | $ | 388,072 | 29.43 | % | ||||||||
Fixed long-term single-family mortgages | 918,741 | 72.65 | 926,856 | 70.27 | ||||||||||||
Multi-family mortgages | 3,799 | 0.30 | 3,908 | 0.30 | ||||||||||||
Total par value | 1,264,621 | 100.00 | % | 1,318,836 | 100.00 | % | ||||||||||
Unamortized premiums | 11,333 | 9,095 | ||||||||||||||
Unamortized discounts | (4,357 | ) | (5,425 | ) | ||||||||||||
Basis adjustment1 | (33 | ) | (461 | ) | ||||||||||||
Total mortgage loans held-for-portfolio | 1,271,564 | 1,322,045 | ||||||||||||||
Allowance for credit losses | (5,760 | ) | (4,498 | ) | ||||||||||||
Total mortgage loans held-for-portfolio after allowance for credit losses | $ | 1,265,804 | $ | 1,317,547 | ||||||||||||
1 | Represents fair value basis of open and closed delivery commitments. |
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Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Beginning balance | $ | 4,498 | $ | 1,406 | $ | 633 | ||||||
Charge-offs | (223 | ) | (16 | ) | — | |||||||
Recoveries | 76 | — | — | |||||||||
Provision for credit losses on mortgage loans | 1,409 | 3,108 | 773 | |||||||||
Ending balance | $ | 5,760 | $ | 4,498 | $ | 1,406 | ||||||
December 31, | ||||||||
2010 | 2009 | |||||||
Mortgage loans, net of provisions for credit losses | $ | 1,265,804 | $ | 1,317,547 | ||||
Non-performing mortgage loans | $ | 26,781 | $ | 16,007 | ||||
Insured MPF loans past due 90 days or more and still accruing interest | $ | 574 | $ | 570 | ||||
1 | Includes loans classified as sub-standard, doubtful or loss under regulatory criteria. |
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December 31, 2010 | ||||||||||||||||||||
Unpaid | Average | Interest | ||||||||||||||||||
Recorded | Principal | Related | Recorded | Income | ||||||||||||||||
Investment | Balance | Allowance | Investment | Recognized | ||||||||||||||||
With no related allowance: | ||||||||||||||||||||
Conventional MPF Loans1 | $ | 5,876 | $ | 5,856 | $ | — | $ | 4,867 | $ | — | ||||||||||
Insured Loans | — | — | — | — | — | |||||||||||||||
$ | 5,876 | $ | 5,856 | $ | — | $ | 4,867 | $ | — | |||||||||||
With an allowance: | ||||||||||||||||||||
Conventional MPF Loans1 | $ | 20,909 | $ | 20,925 | $ | 5,760 | $ | 18,402 | $ | — | ||||||||||
Insured Loans | — | — | — | — | — | |||||||||||||||
$ | 20,909 | $ | 20,925 | $ | 5,760 | $ | 18,402 | $ | — | |||||||||||
Total: | ||||||||||||||||||||
Conventional MPF Loans1 | $ | 26,785 | $ | 26,781 | $ | 5,760 | $ | 23,269 | $ | — | ||||||||||
Insured Loans | — | — | — | — | — | |||||||||||||||
$ | 26,785 | $ | 26,781 | $ | 5,760 | $ | 23,269 | $ | — | |||||||||||
December 31, 2009 | ||||||||||||||||||||
Unpaid | Average | Interest | ||||||||||||||||||
Recorded | Principal | Related | Recorded | Income | ||||||||||||||||
Investment | Balance | Allowance | Investment | Recognized | ||||||||||||||||
With no related allowance: | ||||||||||||||||||||
Conventional MPF Loans1 | $ | 3,222 | $ | 3,211 | $ | — | $ | 2,277 | $ | — | ||||||||||
Insured Loans | — | — | — | — | — | |||||||||||||||
$ | 3,222 | $ | 3,211 | $ | — | $ | 2,277 | $ | — | |||||||||||
With an allowance: | ||||||||||||||||||||
Conventional MPF Loans1 | $ | 12,786 | $ | 12,796 | $ | 4,498 | $ | 9,433 | $ | — | ||||||||||
Insured Loans | — | — | — | — | — | |||||||||||||||
$ | 12,786 | $ | 12,796 | $ | 4,498 | $ | 9,433 | $ | — | |||||||||||
Total: | ||||||||||||||||||||
Conventional MPF Loans1 | $ | 16,008 | $ | 16,007 | $ | 4,498 | $ | 11,710 | $ | — | ||||||||||
Insured Loans | — | — | — | — | — | |||||||||||||||
$ | 16,008 | $ | 16,007 | $ | 4,498 | $ | 11,710 | $ | — | |||||||||||
1 | Based on analysis of the nature of risks of the Bank’s investments in MPF loans, including its methodologies for identifying and measuring impairment, the management of the FHLBNY has determined that presenting such loans as a single class is appropriate. |
Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Interest contractually due1 | $ | 1,254 | $ | 714 | $ | 168 | ||||||
Interest actually received | 1,171 | 626 | 146 | |||||||||
Shortfall | $ | 83 | $ | 88 | $ | 22 | ||||||
1 | The Bank does not recognize interest received as income from uninsured loans past due 90-days or greater. |
December 31, 2010 | December 31, 2009 | |||||||||||||||
Conventional | Insured | Conventional | Insured | |||||||||||||
MPF Loans | Loans | MPF Loans | Loans | |||||||||||||
Past due 30 - 59 days* | $ | 19,484 | $ | 764 | $ | 25,319 | $ | 913 | ||||||||
Past due 60 - 89 days* | 6,350 | 204 | 7,675 | 362 | ||||||||||||
Past due 90 days or more* | 12,493 | 289 | 7,953 | 300 | ||||||||||||
$ | 38,327 | $ | 1,257 | $ | 40,947 | $ | 1,575 | |||||||||
Loans in process of foreclosure | $ | 14,612 | $ | 285 | $ | 8,515 | $ | 271 | ||||||||
Real estate owned inventory | $ | 600 | $ | 1,126 | ||||||||||||
* | Does not include loans in foreclosure |
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Original MPF. The FLA starts out at zero on the day the first MPF Loan under a Master Commitment is purchased but increases monthly over the life of the Master Commitment at a rate that ranges from 0.03% to 0.05% (3 to 5 basis points) per annum based on the month end outstanding aggregate principal balance of the Master Commitment. The FLA is structured so that over time, it should cover expected losses on a Master Commitment, though losses early in the life of the Master Commitment could exceed the FLA and be charged in part to the PFI’s CE Amount. |
MPF 100 and MPF 125. The FLA is equal to 1.00% (100 basis points) of the aggregate principal balance of the MPF Loans funded under the Master Commitment. Once the Master Commitment is fully funded, the FLA is intended to cover expected losses on that Master Commitment, although the FHLBNY may economically recover a portion of losses incurred under the FLA by withholding performance CE Fees payable to the PFI. |
MPF Plus. The FLA is equal to an agreed upon number of basis points of the aggregate principal balance of the MPF Loans funded under the Master Commitment that is not less than the amount of expected losses on the Master Commitment. Once the Master Commitment is fully funded, the FLA is intended to cover expected losses on that Master Commitment, although the FHLBNY may economically recover a portion of losses incurred under the FLA by withholding performance CE Fees payable to the PFI. |
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December 31, | ||||||||
2010 | 2009 | |||||||
Due in one year or less | $ | 42,700 | $ | 7,200 | ||||
Total term deposits | $ | 42,700 | $ | 7,200 | ||||
Decenber 31, | ||||||||
2010 | 2009 | |||||||
Percentage of unpledged qualifying assets to consolidated obligations | 110 | % | 109 | % | ||||
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December 31, | ||||||||
2010 | 2009 | |||||||
Consolidated obligation bonds-amortized cost | $ | 71,114,070 | $ | 73,436,939 | ||||
Fair value basis adjustments | 622,593 | 572,537 | ||||||
Fair value basis on terminated hedges | 501 | 2,761 | ||||||
FVO- valuation adjustments and accrued interest | 5,463 | (4,259 | ) | |||||
Total Consolidated obligation-bonds | $ | 71,742,627 | $ | 74,007,978 | ||||
Discount notes-amortized cost | $ | 19,388,317 | $ | 30,827,639 | ||||
FVO-valuation adjustments and remaining accretion | 3,135 | — | ||||||
Total Consolidated obligation-discount notes | $ | 19,391,452 | $ | 30,827,639 | ||||
December 31, 2010 | December 31, 2009 | |||||||||||||||||||||||
Weighted | Weighted | |||||||||||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||||||||||
Maturity | Amount | Rate1 | of Total | Amount | Rate1 | of Total | ||||||||||||||||||
One year or less | $ | 33,302,200 | 0.91 | % | 46.91 | % | $ | 40,896,550 | 1.34 | % | 55.75 | % | ||||||||||||
Over one year through two years | 17,037,375 | 1.12 | 24.00 | 15,912,200 | 1.69 | 21.69 | ||||||||||||||||||
Over two years through three years | 9,529,950 | 2.21 | 13.43 | 7,518,575 | 2.28 | 10.25 | ||||||||||||||||||
Over three years through four years | 3,689,355 | 2.82 | 5.20 | 3,961,250 | 3.49 | 5.40 | ||||||||||||||||||
Over four years through five years | 4,001,400 | 2.36 | 5.64 | 2,130,300 | 4.27 | 2.90 | ||||||||||||||||||
Over five years through six years | 462,500 | 3.34 | 0.65 | 644,350 | 5.15 | 0.88 | ||||||||||||||||||
Thereafter | 2,959,200 | 4.04 | 4.17 | 2,294,700 | 5.06 | 3.13 | ||||||||||||||||||
70,981,980 | 1.46 | % | 100.00 | % | 73,357,925 | 1.87 | % | 100.00 | % | |||||||||||||||
Bond premiums | 163,830 | 112,866 | ||||||||||||||||||||||
Bond discounts | (31,740 | ) | (33,852 | ) | ||||||||||||||||||||
Fair value basis adjustments | 622,593 | 572,537 | ||||||||||||||||||||||
Fair value basis adjustments on terminated hedges | 501 | 2,761 | ||||||||||||||||||||||
FVO-valuation adjustments and accrued interest | 5,463 | (4,259 | ) | |||||||||||||||||||||
$ | 71,742,627 | $ | 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 December 31, 2010 and December 31, 2009 represent contractual coupons payable to investors. |
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December 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Year of Maturity or next call date | ||||||||||||||||
Due or callable in one year or less | $ | 40,228,200 | 56.67 | % | $ | 50,481,350 | 68.82 | % | ||||||||
Due or callable after one year through two years | 15,671,375 | 22.08 | 11,352,200 | 15.48 | ||||||||||||
Due or callable after two years through three years | 7,209,950 | 10.16 | 4,073,575 | 5.55 | ||||||||||||
Due or callable after three years through four years | 2,649,355 | 3.73 | 3,606,250 | 4.91 | ||||||||||||
Due or callable after four years through five years | 2,926,400 | 4.12 | 1,325,800 | 1.81 | ||||||||||||
Due or callable after five years through six years | 227,500 | 0.32 | 529,050 | 0.72 | ||||||||||||
Thereafter | 2,069,200 | 2.92 | 1,989,700 | 2.71 | ||||||||||||
70,981,980 | 100.00 | % | 73,357,925 | 100.00 | % | |||||||||||
Bond premiums | 163,830 | 112,866 | ||||||||||||||
Bond discounts | (31,740 | ) | (33,852 | ) | ||||||||||||
Fair value basis adjustments | 622,593 | 572,537 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 501 | 2,761 | ||||||||||||||
Fair value option valuation adjustments and accrued interest | 5,463 | (4,259 | ) | |||||||||||||
$ | 71,742,627 | $ | 74,007,978 | |||||||||||||
December 31, | ||||||||
2010 | 2009 | |||||||
Non-callable | $ | 59,435,980 | $ | 61,678,125 | ||||
Callable | 11,546,000 | 11,679,800 | ||||||
Total par value | $ | 70,981,980 | $ | 73,357,925 | ||||
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December 31, 2010 | December 31, 2009 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Fixed-rate, non-callable | $ | 43,307,980 | 61.01 | % | $ | 48,647,625 | 66.31 | % | ||||||||
Fixed-rate, callable | 8,821,000 | 12.43 | 8,374,800 | 11.42 | ||||||||||||
Step Up, non-callable | — | — | 53,000 | 0.07 | ||||||||||||
Step Up, callable | 2,725,000 | 3.84 | 3,305,000 | 4.51 | ||||||||||||
Single-index floating rate | 16,128,000 | 22.72 | 12,977,500 | 17.69 | ||||||||||||
Total par value | 70,981,980 | 100.00 | % | 73,357,925 | 100.00 | % | ||||||||||
Bond premiums | 163,830 | 112,866 | ||||||||||||||
Bond discounts | (31,740 | ) | (33,852 | ) | ||||||||||||
Fair value basis adjustments | 622,593 | 572,537 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 501 | 2,761 | ||||||||||||||
Fair value option valuation adjustments and accrued interest | 5,463 | (4,259 | ) | |||||||||||||
Total bonds | $ | 71,742,627 | $ | 74,007,978 | ||||||||||||
December 31, | ||||||||
2010 | 2009 | |||||||
Par value | $ | 19,394,503 | $ | 30,838,104 | ||||
Amortized cost | $ | 19,388,317 | $ | 30,827,639 | ||||
Fair value option valuation adjustments | 3,135 | — | ||||||
Total | $ | 19,391,452 | $ | 30,827,639 | ||||
Weighted average interest rate | 0.16 | % | 0.15 | % | ||||
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December 31, | ||||||||
2010 | 2009 | |||||||
Redemption less than one year | $ | 27,875 | $ | 102,453 | ||||
Redemption from one year to less than three years | 17,019 | 16,766 | ||||||
Redemption from three years to less than five years | 2,035 | 2,118 | ||||||
Redemption after five years or greater | 16,290 | 4,957 | ||||||
Total | $ | 63,219 | $ | 126,294 | ||||
December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Beginning balance | $ | 126,294 | $ | 143,121 | $ | 238,596 | ||||||
Capital stock subject to mandatory redemption reclassified from equity | 48,310 | 49,848 | 64,758 | |||||||||
Redemption of mandatorily redeemable capital stock1 | (111,385 | ) | (66,675 | ) | (160,233 | ) | ||||||
Ending balance | $ | 63,219 | $ | 126,294 | $ | 143,121 | ||||||
Accrued interest payable | $ | 950 | $ | 2,029 | $ | 1,260 | ||||||
1 | Redemption includes repayment of excess stock. (The annualized accrual rates were 6.50%, 5.60%, and 3.50% for 2010, 2009 and 2008.) |
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Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Beginning balance | $ | 144,489 | $ | 122,449 | $ | 119,052 | ||||||
Additions from current period’s assessments | 31,095 | 64,251 | 29,783 | |||||||||
Net disbursements for grants and programs | (37,219 | ) | (42,211 | ) | (26,386 | ) | ||||||
Ending balance | $ | 138,365 | $ | 144,489 | $ | 122,449 | ||||||
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December 31, 2010 | December 31, 2009 | |||||||||||||||
Required4 | Actual | Required4 | Actual | |||||||||||||
Regulatory capital requirements: | ||||||||||||||||
Risk-based capital1 | $ | 538,917 | $ | 5,304,272 | $ | 606,716 | $ | 5,874,125 | ||||||||
Total capital-to-asset ratio | 4.00 | % | 5.30 | % | 4.00 | % | 5.14 | % | ||||||||
Total capital2 | $ | 4,008,483 | $ | 5,310,032 | $ | 4,578,436 | $ | 5,878,623 | ||||||||
Leverage ratio | 5.00 | % | 7.95 | % | 5.00 | % | 7.70 | % | ||||||||
Leverage capital3 | $ | 5,010,604 | $ | 7,962,168 | $ | 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 4.0% 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. |
Non-credit | Reclassification | Accumulated | ||||||||||||||||||||||||||||||
Available- | OTTI on HTM | of Non-credit | Cash | Supplemental | Other | Total | ||||||||||||||||||||||||||
for-sale | Securities, | OTTI to | Flow | Retirement | Comprehensive | Net | Comprehensive | |||||||||||||||||||||||||
Securities | Net of accretion | Net Income | Hedges | Plans | Income (Loss) | Income | Income | |||||||||||||||||||||||||
Balance, December 31, 2007 | $ | (373 | ) | $ | — | $ | — | $ | (30,215 | ) | $ | (5,087 | ) | $ | (35,675 | ) | ||||||||||||||||
Net change | (64,047 | ) | — | — | 24 | (1,463 | ) | (65,486 | ) | $ | 259,060 | $ | 193,574 | |||||||||||||||||||
Balance, December 31, 2008 | (64,420 | ) | — | — | (30,191 | ) | (6,550 | ) | (101,161 | ) | ||||||||||||||||||||||
Net change | 61,011 | (113,562 | ) | 2,992 | 7,508 | (1,327 | ) | (43,378 | ) | $ | 570,755 | $ | 527,377 | |||||||||||||||||||
Balance, December 31, 2009 | (3,409 | ) | (113,562 | ) | 2,992 | (22,683 | ) | (7,877 | ) | (144,539 | ) | |||||||||||||||||||||
Net change | 26,374 | 12,002 | 5,642 | 7,487 | (3,650 | ) | 47,855 | $ | 275,525 | $ | 323,380 | |||||||||||||||||||||
Balance, December 31, 2010 | $ | 22,965 | $ | (101,560 | ) | $ | 8,634 | $ | (15,196 | ) | $ | (11,527 | ) | $ | (96,684 | ) | ||||||||||||||||
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Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Net income | $ | 275,525 | $ | 570,755 | $ | 259,060 | ||||||
Net income available to stockholders | $ | 275,525 | $ | 570,755 | $ | 259,060 | ||||||
Weighted average shares of capital | 47,820 | 53,807 | 50,894 | |||||||||
Less: Mandatorily redeemable capital stock | (826 | ) | (1,371 | ) | (1,664 | ) | ||||||
Average number of shares of capital used to calculate earnings per share | 46,994 | 52,436 | 49,230 | |||||||||
Net earnings per share of capital | $ | 5.86 | $ | 10.88 | $ | 5.26 | ||||||
Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Defined Benefit Plan | $ | 10,680 | $ | 5,506 | $ | 5,872 | ||||||
Benefit Equalization Plan (defined benefit) | 2,281 | 2,059 | 1,878 | |||||||||
Defined Contribution Plan and BEP Thrift | 1,531 | 1,772 | 721 | |||||||||
Postretirement Health Benefit Plan | 1,138 | 1,017 | 990 | |||||||||
Total retirement plan expenses | $ | 15,630 | $ | 10,354 | $ | 9,461 | ||||||
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December 31, | ||||||||
2010 | 2009 | |||||||
Accumulated benefit obligation | $ | 19,625 | $ | 16,103 | ||||
Effect of future salary increases | 5,070 | 3,289 | ||||||
Projected benefit obligation | 24,695 | 19,392 | ||||||
Unrecognized prior service cost | 314 | 380 | ||||||
Unrecognized net (loss) | (9,935 | ) | (6,464 | ) | ||||
Accrued pension cost | $ | 15,074 | $ | 13,308 | ||||
December 31, | ||||||||
2010 | 2009 | |||||||
Projected benefit obligation at the beginning of the year | $ | 19,392 | $ | 17,422 | ||||
Service | 653 | 610 | ||||||
Interest | 1,117 | 1,053 | ||||||
Benefits paid | (515 | ) | (537 | ) | ||||
Actuarial loss | 4,048 | 844 | ||||||
Projected benefit obligation at the end of the year | $ | 24,695 | $ | 19,392 | ||||
December 31, | ||||||||
2010 | 2009 | |||||||
Unrecognized (gain)/loss | $ | 9,935 | $ | 6,464 | ||||
Prior service cost | (314 | ) | (380 | ) | ||||
Accumulated other comprehensive loss | $ | 9,621 | $ | 6,084 | ||||
December 31, | ||||||||
2010 | 2009 | |||||||
Fair value of the plan assets at the beginning of the year | $ | — | $ | — | ||||
Employer contributions | 515 | 537 | ||||||
Benefits paid | (515 | ) | (537 | ) | ||||
Fair value of the plan assets at the end of the year | $ | — | $ | — | ||||
Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Service cost | $ | 653 | $ | 610 | $ | 614 | ||||||
Interest cost | 1,117 | 1,053 | 944 | |||||||||
Amortization of unrecognized prior service cost | (67 | ) | (143 | ) | (143 | ) | ||||||
Amortization of unrecognized net loss | 578 | 539 | 463 | |||||||||
Net periodic benefit cost | $ | 2,281 | $ | 2,059 | $ | 1,878 | ||||||
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December 31, | ||||||||
2010 | 2009 | |||||||
Net loss (gain) | $ | 4,048 | $ | 845 | ||||
Prior service cost (benefit) | — | — | ||||||
Amortization of net loss (gain) | (578 | ) | (539 | ) | ||||
Amortization of prior service cost (benefit) | 67 | 143 | ||||||
Amortization of net obligation | — | — | ||||||
Total recognized in other comprehensive income | $ | 3,537 | $ | 449 | ||||
Total recognized in net periodic benefit cost and other comprehensive income | $ | 5,818 | $ | 2,508 | ||||
December 31, | ||||||||
2011 | 2010 | |||||||
Expected amortization of net (gain)/loss | $ | 879 | $ | 578 | ||||
Expected amortization of prior service cost/(credit) | $ | (53 | ) | $ | (67 | ) | ||
Expected amortization of transition obligation/(asset) | $ | — | $ | — |
Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Discount rate * | 5.35 | % | 5.87 | % | 6.14 | % | ||||||
Salary increases | 5.50 | % | 5.50 | % | 5.50 | % | ||||||
Amortization period (years) | 8 | 8 | 8 | |||||||||
Benefits paid during the year | $ | (515 | ) | $ | (537 | ) | $ | (392 | ) |
* | The discount rate was based on the Citigroup Pension Liability Index at December 31, 2010 and adjusted for duration. |
Years | Payments | |||
2011 | $ | 1,006 | ||
2012 | 1,038 | |||
2013 | 1,086 | |||
2014 | 1,186 | |||
2015 | 1,225 | |||
2016-2020 | 7,306 | |||
Total | $ | 12,847 | ||
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December 31, | ||||||||
2010 | 2009 | |||||||
Accumulated postretirement benefit obligation at the beginning of the year | $ | 15,841 | $ | 14,357 | ||||
Service cost | 620 | 566 | ||||||
Interest cost | 909 | 867 | ||||||
Actuarial loss | (267 | ) | (628 | ) | ||||
Benefits paid, net of participants’ contributions | (364 | ) | (410 | ) | ||||
Change in plan assumptions | (11 | ) | 1,089 | |||||
Accumulated postretirement benefit obligation at the end of the year | 16,728 | 15,841 | ||||||
Unrecognized net gain | — | — | ||||||
Accrued postretirement benefit cost | $ | 16,728 | $ | 15,841 | ||||
December 31, | ||||||||
2010 | 2009 | |||||||
Fair value of plan assets at the beginning of the year | $ | — | $ | — | ||||
Employer contributions | 364 | 410 | ||||||
Benefits paid, net of participants’ contributions and subsidy received | (364 | ) | (410 | ) | ||||
Fair value of plan assets at the end of the year | $ | — | $ | — | ||||
December 31, | ||||||||
2010 | 2009 | |||||||
Prior service cost/(credit) | $ | (2,105 | ) | $ | (2,835 | ) | ||
Net loss/(gain) | 4,011 | 4,628 | ||||||
Accrued pension cost | $ | 1,906 | $ | 1,793 | ||||
December 31, | ||||||||
2011 | 2010 | |||||||
Expected amortization of net (gain)/loss | $ | 266 | $ | 314 | ||||
Expected amortization of prior service cost/(credit) | $ | (731 | ) | $ | (731 | ) | ||
Expected amortization of transition obligation/(asset) | $ | — | $ | — |
Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Service cost (benefits attributed to service during the period) | $ | 621 | $ | 566 | $ | 505 | ||||||
Interest cost on accumulated postretirement health benefit obligation | 909 | 867 | 820 | |||||||||
Amortization of loss | 339 | 315 | 396 | |||||||||
Amortization of prior service cost/(credit) | (731 | ) | (731 | ) | (731 | ) | ||||||
Net periodic postretirement health benefit cost | $ | 1,138 | $ | 1,017 | $ | 990 | ||||||
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December 31, | ||||||||
2010 | 2009 | |||||||
Net loss (gain) | $ | (278 | ) | $ | 462 | |||
Prior service cost (benefit) | — | — | ||||||
Amortization of net loss (gain) | (339 | ) | (315 | ) | ||||
Amortization of prior service cost (benefit) | 731 | 731 | ||||||
Amortization of net obligation | — | — | ||||||
Total recognized in other comprehensive income | $ | 114 | $ | 878 | ||||
Total recognized in net periodic benefit cost and other comprehensive income | $ | 1,251 | $ | 1,895 | ||||
Years ended December 31, | ||||||
2010 | 2009 | 2008 | ||||
Weighted average discount rate at the end of the year | 5.35% | 5.87% | 6.14% | |||
Health care cost trend rates: | ||||||
Assumed for next year | 9.00% | 10.00% | 7.00% | |||
Pre 65 Ultimate rate | 5.00% | 5.00% | 5.00% | |||
Pre 65 Year that ultimate rate is reached | 2016 | 2016 | 2011 | |||
Post 65 Ultimate rate | 6.00% | 6.00% | 5.50% | |||
Post 65 Year that ultimate rate is reached | 2016 | 2016 | 2016 | |||
Alternative amortization methods used to amortize | ||||||
Prior service cost | Straight – line | Straight – line | Straight – line | |||
Unrecognized net (gain) or loss | Straight – line | Straight – line | Straight – line |
Years | Payments | |||
2011 | $ | 582 | ||
2012 | 660 | |||
2013 | 732 | |||
2014 | 803 | |||
2015 | 876 | |||
2016-2020 | 5,504 | |||
Total | $ | 9,157 | ||
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December 31, 2010 | ||||||||||||
Notional Amount of | Derivative | Derivative | ||||||||||
Derivatives | Assets | Liabilities | ||||||||||
Fair value of derivatives instruments | ||||||||||||
Derivatives designated in hedging relationships | ||||||||||||
Interest rate swaps-fair value hedges | $ | 93,840,813 | $ | 944,807 | $ | (4,661,102 | ) | |||||
Total derivatives in hedging instruments | $ | 93,840,813 | $ | 944,807 | $ | (4,661,102 | ) | |||||
Derivatives not designated as hedging instruments | ||||||||||||
Interest rate swaps | $ | 24,400,547 | $ | 23,911 | $ | (12,543 | ) | |||||
Interest rate caps or floors | 1,900,000 | 41,881 | (107 | ) | ||||||||
Mortgage delivery commitments | 29,993 | 9 | (523 | ) | ||||||||
Other* | 550,000 | 6,069 | (5,392 | ) | ||||||||
Total derivatives not designated as hedging instruments | $ | 26,880,540 | $ | 71,870 | $ | (18,565 | ) | |||||
Total derivatives before netting and collateral adjustments | $ | 120,721,353 | $ | 1,016,677 | $ | (4,679,667 | ) | |||||
Netting adjustments | $ | (994,667 | ) | $ | 994,667 | |||||||
Cash collateral and related accrued interest | — | 2,730,102 | ||||||||||
Total collateral and netting adjustments | $ | (994,667 | ) | $ | 3,724,769 | |||||||
Total reported on the Statements of Condition | $ | 22,010 | $ | (954,898 | ) | |||||||
December 31, 2009 | ||||||||||||
Notional Amount of | Derivative | Derivative | ||||||||||
Derivatives | Assets | Liabilities | ||||||||||
Fair value of derivatives instruments | ||||||||||||
Derivatives designated in hedging relationships | ||||||||||||
Interest rate swaps-fair value hedges | $ | 98,776,447 | $ | 854,699 | $ | (3,974,207 | ) | |||||
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. |
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Years ended December 31, | ||||||||||||
2010 | 2009 | 2008 | ||||||||||
Gain (Loss) | Gain (Loss) | Gain (Loss) | ||||||||||
Derivatives designated as hedging instruments | ||||||||||||
Interest rate swaps | ||||||||||||
Advances | $ | 3,240 | $ | (4,542 | ) | $ | 31,838 | |||||
Consolidated obligations-bonds | 9,144 | 25,647 | (43,530 | ) | ||||||||
Consolidated obligations-discount notes | — | — | (333 | ) | ||||||||
Net gain (loss) related to fair value hedge ineffectiveness | 12,384 | 21,105 | (12,025 | ) | ||||||||
Net gain (loss) related to cash flow hedge ineffectiveness | — | — | (9 | ) | ||||||||
Derivatives not designated as hedging instruments | ||||||||||||
Economic hedges | ||||||||||||
Interest rate swaps | ||||||||||||
Advances | (1,693 | ) | 4,491 | (20,833 | ) | |||||||
Consolidated obligations-bonds | (32,316 | ) | 92,070 | (38,763 | ) | |||||||
Consolidated obligations-discount notes | (4,332 | ) | (9,643 | ) | 13,895 | |||||||
Member intermediation | 307 | (132 | ) | 462 | ||||||||
Balance sheet-macro hedges swaps | 173 | 2,869 | 18,029 | |||||||||
Fair Value-Total net losses and gains | (37,861 | ) | 89,655 | (27,210 | ) | |||||||
Accrued interest-swaps | 51,468 | (1,136 | ) | (126,551 | ) | |||||||
Accrued interest-intermediation | 138 | 85 | 18 | |||||||||
Interest accrual | 51,606 | (1,051 | ) | (126,533 | ) | |||||||
Total impact of swaps | 13,745 | 88,604 | (153,743 | ) | ||||||||
Caps and floors | ||||||||||||
Advances | (437 | ) | (1,353 | ) | (2,050 | ) | ||||||
Balance sheet | (29,709 | ) | 63,330 | (38,723 | ) | |||||||
Fair Value-Total net losses and gains | (30,146 | ) | 61,977 | (40,773 | ) | |||||||
Accrued interest-options | (2,598 | ) | (5,798 | ) | 101 | |||||||
Total impact of caps and floors | (32,744 | ) | 56,179 | (40,672 | ) | |||||||
Mortgage delivery commitments | (24 | ) | (20 | ) | (3 | ) | ||||||
Swaps economically hedging instruments designated under FVO | ||||||||||||
Consolidated obligations-bonds | 2,127 | (10,330 | ) | 7,698 | ||||||||
Consolidated obligations-discount notes | 1,282 | — | — | |||||||||
Fair value-Total FVO net gains and losses | 3,409 | (10,330 | ) | 7,698 | ||||||||
Accrued interest on swaps | 29,986 | 9,162 | (505 | ) | ||||||||
Total impact-Swaps hedging instruments under FVO | 33,395 | (1,168 | ) | 7,193 | ||||||||
Net gain (loss) related to derivatives not designated as hedging instruments | 14,372 | 143,595 | (187,225 | ) | ||||||||
Net realized and unrealized gain (loss) on derivatives and hedging activities | $ | 26,756 | $ | 164,700 | $ | (199,259 | ) | |||||
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December 31, 2010 | ||||||||||||||
OCI | ||||||||||||||
Gains/(Losses) | ||||||||||||||
Location: | Amount | Ineffectiveness | ||||||||||||
Recorded in | Reclassified to | Reclassified to | Recognized in | |||||||||||
OCI 1, 2 | Earnings1 | Earnings1 | Earnings | |||||||||||
The effect of cash flow hedge related to Interest rate swaps | ||||||||||||||
Advances | $ | — | Interest Income | $ | — | $ | — | |||||||
Consolidated obligations-bonds | (249 | ) | Interest Expense | 7,736 | — | |||||||||
Total | $ | (249 | ) | $ | 7,736 | $ | — | |||||||
December 31, 2009 | ||||||||||||||
OCI | ||||||||||||||
Gains/(Losses) | ||||||||||||||
Location: | Amount | Ineffectiveness | ||||||||||||
Recorded in | Reclassified to | Reclassified to | Recognized in | |||||||||||
OCI 1, 2 | Earnings1 | Earnings1 | Earnings | |||||||||||
The effect of cash flow hedge related to Interest rate swaps | ||||||||||||||
Advances | $ | — | Interest Income | $ | — | $ | — | |||||||
Consolidated obligations-bonds | — | Interest Expense | 7,508 | — | ||||||||||
Total | $ | — | $ | 7,508 | $ | — | ||||||||
December 31, 2008 | ||||||||||||||
OCI | ||||||||||||||
Gains/(Losses) | ||||||||||||||
Location: | Amount | Ineffectiveness | ||||||||||||
Recorded in | Reclassified to | Reclassified to | Recognized in | |||||||||||
OCI 1, 2 | Earnings1 | Earnings1 | Earnings | |||||||||||
The effect of cash flow hedge related to Interest rate swaps | ||||||||||||||
Advances | $ | — | Interest Income | $ | — | $ | — | |||||||
Consolidated obligations-bonds | (6,109 | ) | Interest Expense | 6,124 | 9 | |||||||||
Total | $ | (6,109 | ) | $ | 6,124 | $ | 9 | |||||||
1 | Effective portion | |
2 | Represents effective portion of basis adjustments to AOCI from cash flow hedging transactions. |
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December 31, 2010 | ||||||||||||||||||||
Netting | ||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Adjustments | ||||||||||||||||
Assets | ||||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||
GSE/U.S. agency issued MBS | $ | 3,980,135 | $ | — | $ | 3,980,135 | $ | — | $ | — | ||||||||||
Equity and bond funds | 9,947 | — | 9,947 | — | — | |||||||||||||||
Derivative assets(a) | ||||||||||||||||||||
Interest-rate derivatives | 22,001 | — | 1,016,668 | — | (994,667 | ) | ||||||||||||||
Mortgage delivery commitments | 9 | — | 9 | — | — | |||||||||||||||
Total assets at fair value | $ | 4,012,092 | $ | — | $ | 5,006,759 | $ | — | $ | (994,667 | ) | |||||||||
Liabilities | ||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||
Discount notes (to the extent FVO is elected) | $ | (956,338 | ) | $ | — | $ | (956,338 | ) | $ | — | $ | — | ||||||||
Bonds (to the extent FVO is elected)(b) | (14,281,463 | ) | — | (14,281,463 | ) | — | — | |||||||||||||
Derivative liabilities(a) | ||||||||||||||||||||
Interest-rate derivatives | (954,375 | ) | — | (4,679,144 | ) | — | 3,724,769 | |||||||||||||
Mortgage delivery commitments | (523 | ) | — | (523 | ) | — | — | |||||||||||||
Total liabilities at fair value | $ | (16,192,699 | ) | $ | — | $ | (19,917,468 | ) | $ | — | $ | 3,724,769 | ||||||||
�� |
December 31, 2009 | ||||||||||||||||||||
Netting | ||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Adjustments | ||||||||||||||||
Assets | ||||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||
GSE/U.S. agency 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 FVO is elected) | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Bonds (to the extent FVO 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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December 31, 2010 | ||||||||||||||||
Fair Value | Level 1 | Level 2 | Level 3 | |||||||||||||
Held-to-maturity securities | ||||||||||||||||
Private-label residential mortgage-backed securities | $ | 15,827 | $ | — | $ | — | $ | 15,827 | ||||||||
Total | $ | 15,827 | $ | — | $ | — | $ | 15,827 | ||||||||
Note: | Certain OTTI securities were written down to their fair values ($15.8 million) when it was determined that their carrying values prior to write-down ($16.3 million) were in excess of their fair values. For Held-to-maturity securities that were previously credit impaired but no additional credit impairment were deemed necessary at December 31, 2010, the securities were recorded at their carrying values and not re-adjusted to their fair values. |
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 | ||||||||
December 31, 2010 | December 31, 2009 | |||||||||||||||
Carrying | Estimated | Carrying | Estimated | |||||||||||||
Financial Instruments | Value | Fair Value | Value | Fair Value | ||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | 660,873 | $ | 660,873 | $ | 2,189,252 | $ | 2,189,252 | ||||||||
Federal funds sold | 4,988,000 | 4,987,976 | 3,450,000 | 3,449,997 | ||||||||||||
Available-for-sale securities | 3,990,082 | 3,990,082 | 2,253,153 | 2,253,153 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | 7,761,192 | 7,898,300 | 10,519,282 | 10,669,252 | ||||||||||||
Advances | 81,200,336 | 81,292,598 | 94,348,751 | 94,624,708 | ||||||||||||
Mortgage loans held-for-portfolio, net | 1,265,804 | 1,328,787 | 1,317,547 | 1,366,538 | ||||||||||||
Accrued interest receivable | 287,335 | 287,335 | 340,510 | 340,510 | ||||||||||||
Derivative assets | 22,010 | 22,010 | 8,280 | 8,280 | ||||||||||||
Other financial assets | 3,981 | 3,981 | 3,412 | 3,412 | ||||||||||||
Liabilities | ||||||||||||||||
Deposits | 2,454,480 | 2,454,488 | 2,630,511 | 2,630,513 | ||||||||||||
Consolidated obligations: | ||||||||||||||||
Bonds | 71,742,627 | 71,926,039 | 74,007,978 | 74,279,737 | ||||||||||||
Discount notes | 19,391,452 | 19,391,743 | 30,827,639 | 30,831,201 | ||||||||||||
Mandatorily redeemable capital stock | 63,219 | 63,219 | 126,294 | 126,294 | ||||||||||||
Accrued interest payable | 197,266 | 197,266 | 277,788 | 277,788 | ||||||||||||
Derivative liabilities | 954,898 | 954,898 | 746,176 | 746,176 | ||||||||||||
Other financial liabilities | 58,818 | 58,818 | 38,832 | 38,832 |
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Years ended December 31, | ||||||||||||||||
2010 | 2009 | 2008 | 2010 | |||||||||||||
Bonds | Bonds | Bonds | Discount Notes* | |||||||||||||
Balance, beginning of the period | $ | (6,035,741 | ) | $ | (998,942 | ) | $ | — | $ | — | ||||||
New transactions elected for fair value option | (25,471,000 | ) | (10,100,000 | ) | (1,014,000 | ) | (1,851,991 | ) | ||||||||
Maturities and terminations | 17,235,000 | 5,043,000 | 31,000 | 898,788 | ||||||||||||
Changes in fair value | (2,556 | ) | 15,523 | (8,325 | ) | (787 | ) | |||||||||
Changes in accrued interest/unaccreted balance | (7,166 | ) | 4,678 | (7,617 | ) | (2,348 | ) | |||||||||
Balance, end of the period | $ | (14,281,463 | ) | $ | (6,035,741 | ) | $ | (998,942 | ) | $ | (956,338 | ) | ||||
* | Note: Discount notes were not designated under FVO at December 31, 2009 and 2008 |
December 31, 2010 | ||||||||||||
Interest | Total Change in | |||||||||||
Expense on | Net Gain(Loss) | Fair Value Included | ||||||||||
Consolidated | Due to Changes in | in Current Period | ||||||||||
Obligations | Fair Value | Earnings | ||||||||||
Consolidated obligations-bonds | $ | (40,983 | ) | $ | (2,556 | ) | $ | (43,539 | ) | |||
Consolidated obligations-discount notes | (2,348 | ) | (787 | ) | (3,135 | ) | ||||||
$ | (43,331 | ) | $ | (3,343 | ) | $ | (46,674 | ) | ||||
December 31, 2009 | ||||||||||||
Interest | Total Change in | |||||||||||
Expense on | Net Gain(Loss) | Fair Value Included | ||||||||||
Consolidated | Due to Changes in | in Current Period | ||||||||||
Obligations | Fair Value | Earnings | ||||||||||
Consolidated obligations-bonds | $ | (10,869 | ) | $ | 15,523 | $ | 4,654 | |||||
Consolidated obligations-discount notes | — | — | — | |||||||||
$ | (10,869 | ) | $ | 15,523 | $ | 4,654 | ||||||
December 31, 2008 | ||||||||||||
Interest | Total Change in | |||||||||||
Expense on | Net Gain(Loss) | Fair Value Included | ||||||||||
Consolidated | Due to Changes in | in Current Period | ||||||||||
Obligations | Fair Value | Earnings | ||||||||||
Consolidated obligations-bonds | $ | (7,835 | ) | $ | (8,325 | ) | $ | (16,160 | ) | |||
Consolidated obligations-discount notes | — | — | — | |||||||||
$ | (7,835 | ) | $ | (8,325 | ) | $ | (16,160 | ) | ||||
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December 31, 2010 | ||||||||||||
Fair Value | ||||||||||||
Principal Balance | Fair Value | Over/(Under) | ||||||||||
Consolidated obligations-bonds | $ | 14,276,000 | $ | 14,281,463 | $ | 5,463 | ||||||
Consolidated obligations-discount notes | 953,203 | 956,338 | 3,135 | |||||||||
$ | 15,229,203 | $ | 15,237,801 | $ | 8,598 | |||||||
December 31, 2009 | ||||||||||||
Fair Value | ||||||||||||
Principal 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 | ) | ||||||
December 31, 2008 | ||||||||||||
Fair Value | ||||||||||||
Principal Balance | Fair Value | Over/(Under) | ||||||||||
Consolidated obligations-bonds | $ | 983,000 | $ | 998,942 | $ | 15,942 | ||||||
Consolidated obligations-discount notes | — | — | — | |||||||||
$ | 983,000 | $ | 998,942 | $ | 15,942 | |||||||
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December 31, 2010 | ||||||||||||||||||||
Payments Due or Expiration Terms by Period | ||||||||||||||||||||
Less Than | One Year | Greater Than Three | Greater Than | |||||||||||||||||
One Year | to Three Years | Years to Five Years | Five Years | Total | ||||||||||||||||
Contractual Obligations | ||||||||||||||||||||
Consolidated obligations-bonds at par1 | $ | 33,302,200 | $ | 26,567,325 | $ | 7,690,755 | $ | 3,421,700 | $ | 70,981,980 | ||||||||||
Mandatorily redeemable capital stock1 | 27,875 | 17,019 | 2,035 | 16,290 | 63,219 | |||||||||||||||
Premises (lease obligations)2 | 3,060 | 6,177 | 4,674 | 4,090 | 18,001 | |||||||||||||||
Total contractual obligations | 33,333,135 | 26,590,521 | 7,697,464 | 3,442,080 | 71,063,200 | |||||||||||||||
Other commitments | ||||||||||||||||||||
Standby letters of credit | 2,218,352 | 19,769 | 42,472 | 3,861 | 2,284,454 | |||||||||||||||
Consolidated obligations-bonds/discount notes traded not settled | 58,000 | — | — | — | 58,000 | |||||||||||||||
Commitment to fund pension | 11,952 | — | — | — | 11,952 | |||||||||||||||
Open delivery commitments (MPF) | 29,993 | — | — | — | 29,993 | |||||||||||||||
Total other commitments | 2,318,297 | 19,769 | 42,472 | 3,861 | 2,384,399 | |||||||||||||||
Total obligations and commitments | $ | 35,651,432 | $ | 26,610,290 | $ | 7,739,936 | $ | 3,445,941 | $ | 73,447,599 | ||||||||||
1 | Callable bonds contain exercise date or a series of exercise dates that may result in a shorter redemption period. Mandatorily redeemable capital stock is categorized by the dates at which the corresponding advances outstanding mature. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock, under which stock may not be redeemed until the later of five years from the date the member becomes a nonmember or the related advance matures. | |
2 | Immaterial amount of commitments for equipment leases are not included. |
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December 31, 2010 | December 31, 2009 | |||||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | — | $ | 660,873 | $ | — | $ | 2,189,252 | ||||||||
Federal funds sold | — | 4,988,000 | — | 3,450,000 | ||||||||||||
Available-for-sale securities | — | 3,990,082 | — | 2,253,153 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | — | 7,761,192 | — | 10,519,282 | ||||||||||||
Advances | 81,200,336 | — | 94,348,751 | — | ||||||||||||
Mortgage loans 1 | — | 1,265,804 | — | 1,317,547 | ||||||||||||
Accrued interest receivable | 256,617 | 30,718 | 299,684 | 40,826 | ||||||||||||
Premises, software, and equipment | — | 14,932 | — | 14,792 | ||||||||||||
Derivative assets2 | — | 22,010 | — | 8,280 | ||||||||||||
Other assets3 | 113 | 21,393 | 179 | 19,160 | ||||||||||||
Total assets | $ | 81,457,066 | $ | 18,755,004 | $ | 94,648,614 | $ | 19,812,292 | ||||||||
Liabilities and capital | ||||||||||||||||
Deposits | $ | 2,454,480 | $ | — | $ | 2,630,511 | $ | — | ||||||||
Consolidated obligations | — | 91,134,079 | — | 104,835,617 | ||||||||||||
Mandatorily redeemable capital stock | 63,219 | — | 126,294 | — | ||||||||||||
Accrued interest payable | 10 | 197,256 | 16 | 277,772 | ||||||||||||
Affordable Housing Program4 | 138,365 | — | 144,489 | — | ||||||||||||
Payable to REFCORP | — | 21,617 | — | 24,234 | ||||||||||||
Derivative liabilities2 | — | 954,898 | — | 746,176 | ||||||||||||
Other liabilities5 | 49,484 | 54,293 | 29,330 | 43,176 | ||||||||||||
Total liabilities | $ | 2,705,558 | $ | 92,362,143 | $ | 2,930,640 | $ | 105,926,975 | ||||||||
Capital | 5,144,369 | — | 5,603,291 | — | ||||||||||||
Total liabilities and capital | $ | 7,849,927 | $ | 92,362,143 | $ | 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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Years ended December 31, | ||||||||||||||||||||||||
2010 | 2009 | 2008 | ||||||||||||||||||||||
Related | Unrelated | Related | Unrelated | Related | Unrelated | |||||||||||||||||||
Interest income | ||||||||||||||||||||||||
Advances | $ | 614,801 | $ | — | $ | 1,270,643 | $ | — | $ | 3,030,799 | $ | — | ||||||||||||
Interest-bearing deposits 1 | — | 5,461 | — | 19,865 | — | 28,012 | ||||||||||||||||||
Federal funds sold | — | 9,061 | — | 3,238 | — | 77,976 | ||||||||||||||||||
Available-for-sale securities | — | 31,465 | — | 28,842 | — | 80,746 | ||||||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||||||
Long-term securities | — | 352,398 | — | 461,491 | — | 531,151 | ||||||||||||||||||
Certificates of deposit | — | — | — | 1,626 | — | 232,300 | ||||||||||||||||||
Mortgage loans2 | — | 65,422 | — | 71,980 | — | 77,862 | ||||||||||||||||||
Loans to other FHLBanks and other | — | — | 2 | — | 33 | — | ||||||||||||||||||
Total interest income | $ | 614,801 | $ | 463,807 | $ | 1,270,645 | $ | 587,042 | $ | 3,030,832 | $ | 1,028,047 | ||||||||||||
Interest expense | ||||||||||||||||||||||||
Consolidated obligations | $ | — | $ | 614,967 | $ | — | $ | 1,147,011 | $ | — | $ | 3,318,160 | ||||||||||||
Deposits | 3,502 | — | 2,512 | — | 36,193 | — | ||||||||||||||||||
Mandatorily redeemable capital stock | 4,329 | — | 7,507 | — | 8,984 | — | ||||||||||||||||||
Cash collateral held and other borrowings | — | 26 | — | 49 | 163 | 881 | ||||||||||||||||||
Total interest expense | $ | 7,831 | $ | 614,993 | $ | 10,019 | $ | 1,147,060 | $ | 45,340 | $ | 3,319,041 | ||||||||||||
Service fees | $ | 4,918 | $ | — | $ | 4,165 | $ | — | $ | 3,357 | $ | — | ||||||||||||
1 | Includes de minimis amounts of interest income from MPF service provider. | |
2 | Includes de minimis amounts of mortgage interest income from loans purchased from members of another FHLBank. |
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December 31, 2010 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | 12-months | ||||||||||||||
City | State | Advances | of Advances | Interest Income | ||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,025,000 | 22.1 | % | $ | 705,743 | ||||||||
Metropolitan Life Insurance Company | New York | NY | 12,555,000 | 16.3 | 294,526 | |||||||||||
New York Community Bank* | Westbury | NY | 7,793,165 | 10.1 | 307,102 | |||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 3,789,500 | 4.9 | 61,036 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 2,758,000 | 3.6 | 42,979 | |||||||||||
The Prudential Insurance Co. of America | Newark | NJ | 2,500,000 | 3.3 | 77,544 | |||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 2,391,000 | 3.1 | 107,917 | |||||||||||
Valley National Bank | Wayne | NJ | 2,310,500 | 3.0 | 98,680 | |||||||||||
New York Life Insurance Company | New York | NY | 1,500,000 | 2.0 | 14,678 | |||||||||||
First Niagara Bank, National Association | Buffalo | NY | 1,473,493 | 1.9 | 24,911 | |||||||||||
Total | $ | 54,095,658 | 70.3 | % | $ | 1,735,116 | ||||||||||
* | 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. |
December 31, 2008 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | 12-months | ||||||||||||||
City | State | Advances | of Advances | Interest Income | ||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,525,000 | 17.0 | % | $ | 671,146 | ||||||||
Metropolitan Life Insurance Company | New York | NY | 15,105,000 | 14.6 | 260,420 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 7,999,689 | 7.7 | 257,649 | |||||||||||
New York Community Bank* | Westbury | NY | 7,796,517 | 7.5 | 337,019 | |||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 3,738,000 | 3.6 | 151,066 | |||||||||||
The Prudential Insurance Co. of America | Newark | NJ | 3,000,000 | 2.9 | 13,082 | |||||||||||
Merrill Lynch Bank & Trust Co., FSB | New York | NY | 2,972,000 | 2.9 | 68,625 | |||||||||||
Valley National Bank | Wayne | NJ | 2,646,500 | 2.6 | 103,918 | |||||||||||
Emigrant Bank | New York | NY | 2,525,000 | 2.4 | 64,116 | |||||||||||
Doral Bank | San Juan | PR | 2,412,500 | 2.3 | 89,643 | |||||||||||
Total | $ | 65,720,206 | 63.5 | % | $ | 2,016,684 | ||||||||||
* | At December 31, 2008, officer of member bank also served on the Board of Directors of the FHLBNY. |
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Number | Percent | |||||||||
February 28, 2011 | 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 | 8,697 | 19.55 | % | ||||||
Metropolitan Life Insurance Company | 200 Park Avenue, New York, NY 10166 | 6,934 | 15.59 | |||||||
New York Community Bank* | 615 Merrick Avenue, Westbury, NY 11590-6644 | 3,867 | 8.70 | |||||||
19,498 | 43.84 | % | ||||||||
Number | Percent | |||||||||
December 31, 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 | 8,719 | 18.99 | % | ||||||
Metropolitan Life Insurance Company | 200 Park Avenue, New York, NY 10166 | 7,035 | 15.32 | |||||||
New York Community Bank* | 615 Merrick Avenue, Westbury, NY 11590-6644 | 4,093 | 8.91 | |||||||
19,847 | 43.22 | % | ||||||||
* | Officer of member bank also served on the Board of Directors of the FHLBNY. |
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ITEM 9. | CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE. |
ITEM 9A. | CONTROLS AND PROCEDURES. |
(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 December 31, 2010. Based on this evaluation, they concluded that as of December 31, 2010, the Bank’s disclosure controls and procedures were effective at a reasonable level of assurance in ensuring that the information required to be disclosed by the Bank in the reports it files or submits under the Act is (i) accumulated and communicated to the Bank’s management (including the President and Chief Executive Officer and Senior Vice President and Chief Financial Officer) in a timely manner, and (ii) recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. | ||
(b) | Changes in Internal Control Over Financial Reporting: There were no changes in the Bank’s internal control over financial reporting (as defined in Rules 13a-15(f) and 15d-15(f) under the Act) during the Bank’s fourth quarter that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting. |
ITEM 9B. | OTHER INFORMATION. |
ITEM 10. | DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE. |
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Start of | Expiration | Represents | ||||||||||||||||||
Bank | Current | of Current | Bank | |||||||||||||||||
Age as of | Director | Term | Term | Members | Director | |||||||||||||||
Director Name | 3/25/2011 | Since | 1/1/ | 12/31/ | in | Type | ||||||||||||||
Michael M. Horn (Chair) | 71 | 4/2007 | 2010 | 2013 | 2nd District | Independent | ||||||||||||||
José Ramon González (Vice Chair) | 56 | 1/2004 | 2010 | 2013 | PR & USVI | Member | ||||||||||||||
John R. Burana | 61 | 12/2010 | 2011 | 2011 | NY | Member | ||||||||||||||
Anne Evans Estabrookb | 66 | 1/2004 | 2011 | 2014 | 2nd District | Independent | ||||||||||||||
Joseph R. Ficalorac | 64 | 1/2005 | 2011 | 2014 | NY | Member | ||||||||||||||
Jay M. Ford | 61 | 6/2008 | 2009 | 2012 | NJ | Member | ||||||||||||||
James W. Fulmer | 59 | 1/2007 | 2010 | 2013 | NY | Member | ||||||||||||||
Ronald E. Hermance, Jr.d | 63 | 1/2005 | 2011 | 2014 | NJ | Member | ||||||||||||||
Katherine J. Liseno | 66 | 1/2004 | 2010 | 2013 | NJ | Member | ||||||||||||||
Kevin J. Lynchd | 64 | 1/2005 | 2011 | 2014 | NJ | Member | ||||||||||||||
Joseph J. Melone | 79 | 4/2007 | 2010 | 2011 | 2nd District | Independent | ||||||||||||||
Richard S. Mrozb | 49 | 3/2002 | 2011 | 2014 | 2nd District | Independent | ||||||||||||||
Thomas M. O’Brien | 60 | 4/2008 | 2009 | 2012 | NY | Member | ||||||||||||||
C. Cathleen Raffaeli | 54 | 4/2007 | 2009 | 2012 | 2nd District | Independent | ||||||||||||||
Edwin C. Reed | 57 | 4/2007 | 2009 | 2012 | 2nd District | Independent | ||||||||||||||
John M. Scarchillie | — | 8/2006 | — | — | NY | Member | ||||||||||||||
DeForest B. Soaries, Jr. | 59 | 1/2009 | 2009 | 2011 | 2nd District | Independent | ||||||||||||||
George Strayton | 67 | 6/2006 | 2009 | 2011 | NY | Member |
a | On November 18, 2010, Mr. Buran was elected by the Board to fill the vacancy that arose as a result of the passing of Mr. John Scarchilli and serve as a Member Director representing the interests of New York members for the period from December 1, 2010 through December 31, 2010. In addition, on November 4, 2010, Mr. Buran was elected by the Bank’s membership to serve as a Member Director representing the interests of New York members for a new one year term commencing January 1, 2011. | |
b | Ms. Estabrook and Mr. Mroz served on the Board as Independent Directors throughout 2010, and their terms expired on December 31, 2010. On November 4, 2010, they were elected by the Bank’s membership to serve as Independent Directors for new terms of four years each commencing January 1, 2011. | |
c | Mr. Ficalora served on the Board as a Member Director representing the interests of New York members throughout 2010, and his term expired on December 31, 2010. On November 4, 2010, Mr. Ficalora was elected by the Bank’s membership to serve as a Member Director representing the interests of New York members for a new four year term commencing January 1, 2011. | |
d | Mr. Hermance and Mr. Lynch served on the Board as Member Directors representing the interests of New Jersey members throughout 2010, and their terms expired on December 31, 2010. On September 8, 2010, they were declared elected by the Bank in accordance with Finance Agency regulations to serve as Member Directors for new terms of four years each commencing January 1, 2011. In accordance with FHFA regulations, no Member Director election was held among the Bank’s membership in 2010 in New Jersey as no other nominations (except for those nominating Mr. Hermance and Mr. Lynch) were received from the Bank’s New Jersey members during the course of the Bank’s 2010 director election process. | |
e | Mr. Scarchilli served on the Board in 2010 as a Member Director representing the interests of New York members until he passed away on June 5, 2010. His term was set to expire on December 31, 2010. |
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Management | ||||||||||
Age as of | Employee of | Committee | ||||||||
Executive Officer | Position held as of 3/27/11 | 3/27/2011 | Bank Since | Member Since | ||||||
Alfred A. DelliBovi | President & Chief Executive Officer | 65 | 11/30/92 | 03/31/04 | ||||||
Eric P. Amig | Senior Vice President & Director of Bank Relations | 52 | 02/01/93 | 01/01/09 | ||||||
John F. Edelen | Senior Vice President & Chief Risk Officer | 49 | 05/27/97 | 01/01/11 | ||||||
G. Robert Fusco * | Senior Vice President, CIO & Head of Enterprise Services | 52 | 03/02/87 | 05/01/09 | ||||||
Adam Goldstein | Senior Vice President & Head of Marketing & Sales | 37 | 07/14/97 | 03/20/08 | ||||||
Paul B. Héroux | Senior Vice President & Head of Member Services | 52 | 02/27/84 | 03/31/04 | ||||||
Peter S. Leung | Senior Vice President & Head of Asset Liability Management | 56 | 01/20/04 | 03/31/04 | ||||||
Patrick A. Morgan | Senior Vice President & Chief Financial Officer | 70 | 02/16/99 | 03/31/04 | ||||||
Kevin M. Neylan | Senior Vice President & Head of Strategy and Business Development | 53 | 04/30/01 | 03/31/04 | ||||||
Craig E. Reynolds ** | Senior Vice President, Asset Liability Management | 62 | 06/27/94 | 03/31/04 |
* | Left employment 1/8/93; rehired 5/10/93. | |
** | Retired on 3/4/11. Position listed as held in this table is position held as of that date. |
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ITEM 11. | EXECUTIVE COMPENSATION. |
1. | review and recommend to the Board changes regarding the Bank’s compensation and benefits programs for employees and retirees; | ||
2. | review and approve individual performance ratings and related merit increases for the Bank’s Chief Executive Officer and for the other Management Committee members; | ||
3. | review salary adjustments for Bank officers; | ||
4. | review and approve annually the Bank’s Incentive Compensation Plan (“Incentive Plan”), year-end Incentive Plan results and Incentive Plan award payouts; | ||
5. | advise the Board on compensation, benefits and human resources matters affecting Bank employees; | ||
6. | review and discuss with Bank management the Compensation Discussion and Analysis (“CD&A”) to be included in the Bank’s Form 10-K and determine whether to recommend to the Board that the CD&A be included in the Form 10-K; and | ||
7. | review and monitor compensation arrangements for the Bank’s executives so that the Bank continues to retain, attract, motivate and align quality management consistent with the investment rationale and performance objectives contained in the Bank’s annual business plan and budget, subject to the direction of the Board. |
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1. | Executive compensation must be reasonable and comparable to that offered to executives in similar positions at other comparable financial institutions. | ||
2. | Executive incentive compensation should be consistent with sound risk management and preservation of the par value of the Bank’s capital stock. | ||
3. | A significant percentage of an executive’s incentive-based compensation should be tied to longer-term performance and outcome-indicators. | ||
4. | A significant percentage of an executive’s incentive-based compensation should be deferred and made contingent upon performance over several years. | ||
5. | The board of directors of each FHLBank and the Office of Finance should promote accountability and transparency in the process of setting compensation. |
• | Maintenance of an overall greater emphasis on base salary and benefits (versus annual and long-term incentives) than would be typical of regional/commercial banks. | ||
• | The use of regional/commercial banks (see the peer group list in Section I below) as the primary peer group for benchmarking at the 50th percentile of the peer group total compensation (a) cash compensation (i.e., base salary, and,for exempt employees, “variable” or “at risk” short-term incentive compensation); and (b) health and welfare programs and other benefits), discounted for purposes of establishing competitive pay levels by 15% to account for the incremental value provided by the Bank’s benefit programs. | ||
• | A philosophical determination to match Bank officer positions one position level down versus commercial/regional banks. The rationale is that officer positions at commercial/regional banks may manage multiple business lines in multiple locations. In addition, the Bank generally recruits senior level positions from a ‘divisional’ level at large commercial/regional banks and not the higher ‘corporate’ level. | ||
• | The targeting of cash compensation pay at the 75th percentile of the FHLBanks where regional/commercial bank data is not available. The 15% discount to account for the incremental value provided by the Bank’s benefit programs will not be applied to benchmark results from the other FHLBanks, as the other FHLBanks offer similar benefits. | ||
• | A commitment to conduct detailed cash compensation benchmarking for approximately one-third of the Bank’s Officer positions each year. (In this regard, the Bank uses benchmarking information from Aon as well as a variety of other reputable sources.) | ||
• | A commitment to evaluate the value of total compensation delivered to employees including base pay, incentive compensation, retirement and health and welfare benefits in determining market competitiveness every third year. |
• | Geographical area — The New York metropolitan area is a highly competitive market for talent in the financial disciplines; | ||
• | Cost of living — The New York metropolitan area has a high cost of living that may require compensation premiums for some positions, particularly at more junior levels; and | ||
• | Availability of/demand for talent — Recruiting critical positions with high market demand typically requires a recruiting premium to entice an individual to change firms. |
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Australia & New Zealand Banking Group | Cargill | KeyCorp | ||
ABN AMRO | CIBC World Markets | Lloyds TSB | ||
The Bank of Nova Scotia | Citigroup | M&T Bank Corporation | ||
Banco Santander | Commerzbank | Mizuho Corporate Bank, Ltd. | ||
Bank of Tokyo — Mitsubishi UFJ | DVB Bank | National Australia Bank | ||
Bank of America Merrill Lynch | DZ Bank | Rabobank Nederland | ||
BMO Financial Group | Fannie Mae | Royal Bank of Canada | ||
BNP Paribas | Federal Home Loan Bank System | Royal Bank of Scotland | ||
Brown Brothers Harriman | Fifth Third Bank | Societe Generale | ||
The CIT Group | Freddie Mac | Standard Chartered Bank | ||
Capital One | GE Commercial Finance | Sumitomo Mitsui Banking Corporation | ||
HSBC Bank | SunTrust Banks | |||
HSBC Global Banking & Markets | TD Securities | |||
ING Bank | Wells Fargo Bank | |||
JP Morgan Chase | WestLB | |||
Westpac Banking Corporation |
• | cash compensation was generally below the Bank’s peer groups and heavily weighted towards base pay (Note: the Bank is prohibited by law from offering equity-based compensation and the Bank does not offer long-term incentives); | ||
• | added together, cash compensation and retirement-related benefits were slightly above the Bank’s peers(and heavily weighted towards benefits); | ||
• | added together, cash compensation, retirement-related benefits and health and welfare benefits were generally above the Bank’s peers and heavily weighted towards benefits; and | ||
• | the mix of compensation and benefits was consistent with the risk-averse culture of the Bank. |
• | the dominant features of the Bank’s current compensation and benefits program which stressed fixed compensation over variable to support the Bank’s risk-averse culture should be retained; | ||
• | greater weight on benefits vs. competitor peer group should be retained; and | ||
• | heavier reliance on base pay vs. incentive pay should be retained. |
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• | Maintenance of an overall greater emphasis on base salary and benefits (versus annual and long-term incentives) than would be typical of regional/commercial banks. | ||
• | The use of regional/commercial banks (see the peer group list in Section I above) as the primary peer group for benchmarking at the 50th percentile of the peer group total compensation (a) cash compensation (i.e., base salary, and,for exempt employees, “variable” or “at risk” short-term incentive compensation) (b) retirement-related benefits; and (c) health and welfare programs and other benefits), discounted for purposes of establishing competitive pay levels by 15% to account for the incremental value provided by the Bank’s benefit programs. | ||
• | A philosophical determination to match Bank officer positions one position level down versus commercial/regional banks. The rationale is that officer positions at commercial/regional banks are one level more significant than at the Bank because they may manage multiple business lines in multiple locations. In addition, the Bank generally recruits senior level positions from a ‘divisional’ level at commercial/regional banks and not the higher ‘corporate’ level. | ||
• | The targeting of cash compensation pay at the 75th percentile of the FHLBanks where regional/commercial bank data is not available. The 15% discount to account for the incremental value provided by the Bank’s benefit programs will not be applied to benchmark results from the other FHLBanks, as the other FHLBanks offer similar benefits. | ||
• | A commitment to conduct detailed cash compensation benchmarking for approximately one-third of the Bank’s Officer positions each year | ||
• | A commitment to evaluate the value of total compensation delivered to employees including base pay, incentive compensation, retirement and health and welfare benefits in determining market competitiveness every third year. |
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• | Geographical area — New York City is a highly competitive market. | ||
• | Cost of living — The New York metropolitan area has a high cost of living that may require compensation premiums for some positions, particularly at more junior levels. | ||
• | Availability of/demand for talent — Recruiting critical positions with high market demand typically requires a recruiting premium to entice an individual to change firms. |
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Goals Category | Weighting | Goal | Goal Basis | |||||
Business Effectiveness | 80 | % | Return | Dividend Capacity as forecasted in the Bank’s 2010 business plan. (50% of the category) | ||||
Risk | Enterprise Risk Level in the Bank’s 2010 business plan balance sheet as measured by the methodology used to calculate the Bank’s retained earnings target. (50% of the category) | |||||||
Mission Effectiveness | 10 | % | Mission | The Bank’s achievements in specific areas of housing and community development activities. | ||||
Growth Effectiveness | 10 | % | New Members | Number of new members and new/return borrowers during 2010 to position the Bank for future growth and mission fulfillment. |
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DEFINED BENEFIT PLAN | GRANDFATHERED | NON-GRANDFATHERED | ||
PROVISIONS | EMPLOYEES | EMPLOYEES | ||
Benefit Multiplier | 2.5% | 2.0% | ||
Final Average Pay Period | High 3 Year | High 5 Year | ||
Normal Form of Payment | Guaranteed 12 Year Payout | Life Annuity | ||
Cost of Living Adjustments | 1% Per Year Cumulative Commencing at Age 66 | None | ||
Early Retirement Subsidy<65: | ||||
a) Rule of 70 | 1.5% Per Year | 3% Per Year | ||
b) Rule of 70 Not Met | 3% Per Year | Actuarial Equivalent | ||
*Vesting | 20% Per Year Commencing | 5 Year Cliff | ||
Second Year of Employment |
* | Greater of DB Plan Vesting or New Plan Vesting applied to employees participating in the DB Plan prior to July 1, 2008. |
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Completed | ||||
Years of | Percentage of Premium | |||
Service | Paid by Retiree | |||
10 | 50.0 | % | ||
11 | 47.5 | % | ||
12 | 45.0 | % | ||
13 | 42.5 | % | ||
14 | 40.0 | % | ||
15 | 37.5 | % | ||
16 | 35.0 | % | ||
17 | 32.5 | % | ||
18 | 30.0 | % | ||
19 | 27.5 | % | ||
20 or more | 25.0 | % |
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Provisions for | ||||
Grandfathered | Provisions for Non-Grandfathered | |||
Retirees | Retirees | |||
Plan Type | Defined Benefit | Defined Dollar Plan | ||
Medical Plan Formula | 1) Same coverage offered to active employees prior to age 65 | 1) Retiree, (and covered individual), is eligible for $45/month x years of service after age 45, and has attained the age of 62. There is a 3% Cost of Living Adjustment each year | ||
2) Supplement Medicare coverage for retirees Age 65 and over | 2) Retiree, (and covered individual), is eligible for $25/month x years of service after age 45 and after age 65. There is a 3% Cost of Living Adjustment each year | |||
Employer | ||||
Cost Share Examples: | 0% for Pre-62 | $0 for Pre-62 Pre-65/Post-65 | ||
10 years of service after age 45 | 50% for Post-62 | $5,400/$3,000 | ||
15 years of service after age 45 | 62.5% for Post-62 | $8,100/$4,500 | ||
20 years of service after age 45 | 75% for Post-62 | $10,800/$6,000 |
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James W. Fulmer
José R. González
Katherine J. Liseno
Kevin J. Lynch
Richard S. Mroz
Thomas M. O’Brien
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Change in | ||||||||||||||||||||||||||||||||||||
Pension Value | ||||||||||||||||||||||||||||||||||||
Non-Equity | and Nonqualified | All Other | ||||||||||||||||||||||||||||||||||
Incentive | Deferred | Compensation | ||||||||||||||||||||||||||||||||||
Plan | Compensation | (g, h, i, j, k, l, m, n) | ||||||||||||||||||||||||||||||||||
Salary | Stock | Option | Compensation | (b,c,d,e,f) | (5,6,7,8,9,10,11) | |||||||||||||||||||||||||||||||
Name and Principal Position | Year | (13) (14) (15) | Bonus | Awards | Awards | (a) (1) (A) | (2,3,4) (B,C) | (D, E, F, G, H, I, J) | Total | |||||||||||||||||||||||||||
Alfred A. DelliBovi | 2010 | $ | 678,721 | — | — | — | $ | 526,090 | $ | 1,434,998 | $ | 69,177 | $ | 2,708,986 | ||||||||||||||||||||||
President & | 2009 | $ | 649,494 | — | — | — | $ | 503,592 | $ | 1,010,379 | $ | 72,917 | $ | 2,236,382 | ||||||||||||||||||||||
Chief Executive Officer (PEO) | 2008 | $ | 615,634 | — | — | — | $ | 379,938 | $ | 1,092,000 | $ | 76,328 | $ | 2,163,900 | ||||||||||||||||||||||
Peter S. Leung | 2010 | $ | 438,109 | — | — | — | $ | 248,119 | $ | 458,721 | $ | 36,545 | $ | 1,181,494 | ||||||||||||||||||||||
Senior Vice President, | 2009 | $ | 423,294 | — | — | — | $ | 239,805 | $ | 323,067 | $ | 41,095 | $ | 1,027,261 | ||||||||||||||||||||||
Chief Risk Officer | 2008 | $ | 405,066 | — | — | — | $ | 181,414 | $ | 328,000 | $ | 49,045 | $ | 963,525 | ||||||||||||||||||||||
Paul B. Héroux | 2010 | $ | 311,514 | — | — | — | $ | 176,423 | $ | 428,561 | $ | 93,205 | $ | 1,009,703 | ||||||||||||||||||||||
Senior Vice President, | 2009 | $ | 300,980 | — | — | — | $ | 170,511 | $ | 282,434 | $ | 45,464 | $ | 799,389 | ||||||||||||||||||||||
Head of Member Services | 2008 | $ | 288,019 | — | — | — | $ | 128,993 | $ | 400,000 | $ | 57,200 | $ | 874,212 | ||||||||||||||||||||||
Patrick A. Morgan | 2010 | $ | 330,324 | — | — | — | $ | 187,076 | $ | 274,232 | $ | 35,078 | $ | 826,710 | ||||||||||||||||||||||
Senior Vice President, | 2009 | $ | 319,154 | — | — | — | $ | 180,807 | $ | 172,000 | $ | 34,552 | $ | 706,513 | ||||||||||||||||||||||
Chief Financial Officer (PFO) | 2008 | $ | 305,411 | — | — | — | $ | 136,782 | $ | 268,000 | $ | 36,933 | $ | 747,126 | ||||||||||||||||||||||
Kevin M. Neylan(12) | 2010 | $ | 321,280 | — | — | — | $ | 181,954 | $ | 250,146 | $ | 44,062 | $ | 797,442 | ||||||||||||||||||||||
Senior Vice President, | 2009 | $ | 310,415 | — | — | — | $ | 175,856 | $ | 185,411 | $ | 41,596 | $ | 713,278 | ||||||||||||||||||||||
Head of Strategy & Business Development |
a | Bonuses are not provided by the Bank. However, the non-equity incentive plan compensation in the above table may be considered by some to be deemed a “bonus”. | |
b | Change in Pension Value for the Pentegra Defined Benefit Plan for Financial Institutions |
P. Leung — $143,000
P. Morgan — $109,000
P. Héroux — $181,000
K. Neylan — $98,000
c | Change in Pension Value for the Nonqualified Defined Benefit Portion of the Benefit Equalization Plan: |
P. Leung — $292,000
P. Morgan — $158,000
P. Héroux — $229,000
K. Neylan — $129,000
d | Change in Nonqualified Defined Compensation Earnings of the BEP: |
P. Leung — $18,602
P. Morgan —$7,232
P. Héroux — $15,712
K. Neylan — $23,146
e | Change in Nonqualified Deferred Compensation Plan Earnings: |
f | Change in Nonqualified Profit Sharing Plan Earnings: |
g | For all Named Executive Officers, includes these items paid by the Bank for all employees: amount of funds matched by the Bank in connection with the Pentegra Defined Contribution Plan for Financial Institutions, payment of group term life insurance premium, payment of long term disability insurance premium, payment of health insurance premium, payment of dental insurance premium, payment of vision insurance premium and payment of employee assistance program premium. | |
h | For A. DelliBovi, includes value of leased automobile ($9,620). | |
i | For A. DelliBovi, and P. Leung includes payment of this item paid by the Bank for all eligible officers: officer physical examination. | |
j | For A. DelliBovi and P. Héroux, includes payment of this item paid by the Bank: payment of term life insurance premium. |
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k | For P. Heroux and for K. Neylan, includes payment of this item paid by the Bank for all employees: fitness center reimbursement | |
l | All participants received a payment for the replacement plan for the Nonqualified Defined Contribution Portion of the BEP | |
m | For P.Heroux ($37,719), includes payment for the replacement plan for the Nonqualified Profit Sharing Plan | |
n | For A. DelliBovi($9,013), P. Heroux ($11,952), and K. Neylan ($3,825), includes a payment for Reimbursement for Financial Counseling Costs Incurred in 2010 for Participants in Terminated Plans |
15 | Figures represent salaries approved by the Bank’s Board of Directors for the year 2010 |
1 | Bonuses are not provided by the Bank. However, the non-equity incentive plan compensation in the above table may be considered by some to be deemed a “bonus”. | |
2 | Change in Pension Value for the Pentegra Defined Benefit Plan for Financial Institutions: |
P. Leung — $143,000
P. Morgan — $104,000
P. Héroux — $192,000
K. Neylan — $91,000
3 | Change in Pension Value for the Nonqualified Defined Benefit Portion of the Benefit Equalization Plan: |
P. Leung — $145,000
P. Morgan — $60,000
P. Héroux — $60,000
K. Neylan — $57,000
4 | Change in Nonqualified Defined Contribution Earnings of the BEP: |
P. Leung — $35,067
P. Morgan — $8,000
P. Héroux — $30,434
K. Neylan — $37,411
5 | For all Named Executive Officers, includes these items paid by the Bank for all employees: amount of funds matched by the Bank in connection with the Pentegra Defined Contribution Plan for Financial Institutions, payment of group term life insurance premium, payment of long term disability insurance premium, payment of health insurance premium, payment of dental insurance premium, payment of vision insurance premium and payment of employee assistance program premium. | |
6 | Includes these items paid by the Bank for all eligible officers: amount of funds matched by the Bank in connection with the Nonqualified Defined Contribution Portion of the Benefit Equalization Plan (amount of funds matched for A. DelliBovi was $21,999, for P. Leung $15,526, for P. Morgan $9,724, for Paul Heroux $1,722 and for K. Neylan $6,715). | |
7 | For A. DelliBovi, includes value of leased automobile ($8,100). | |
8 | For Paul Heroux, includes payment of this item paid by the Bank for all eligible employees: Years of Service Award. | |
9 | For P. Leung, P. Heroux, and K. Neylan, includes payment of this item paid by the Bank for all eligible officers: officer physical examination. | |
10 | For A. DelliBovi and P. Héroux, includes this item paid by the Bank: payment of term life insurance premium. | |
11 | For P. Heroux and for K. Neylan, includes payment of this item paid by the Bank for all employees: fitness center reimbursement. | |
12 | K. Neylan is a new NEO in 2009. | |
13 | Figures represent salaries approved by the Bank’s Board of Directors for the year 2009. |
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A | Bonuses are not provided by the Bank. However, the non-equity incentive plan compensation in the above table may be considered by some to be deemed a “bonus”. | |
B | Change in Pension Value for the Pentegra Defined Benefit Plan for Financial Institutions: |
P. Morgan — $74,000
P. Leung — $105,000
P. Héroux — $156,000
C | Change in Pension Value for the Nonqualified Defined Benefit Portion of the Bank’s Benefit Equalization Plan: |
P. Morgan — $194,000
P. Leung — $223,000
P. Héroux — $244,000
D | For all Named Executive Officers, includes these items paid by the Bank for all employees: amount of funds matched by the Bank in connection with the Pentegra Defined Contribution Plan for Financial Institutions, payment of group term life insurance premium, payment of long term disability insurance premium, payment of health insurance premium, payment of aggregate and individual “stop loss” coverage (i.e., insurance to protect the Bank against significant insurance claims paid under its self-insured health insurance plan), payment of health and dental administrative charges (i.e., network medical utilization charges, network medical administrative charges, and dental indemnity administrative charges), payment of dental insurance premium, payment of vision insurance premium and payment of employee assistance program premium. | |
E | For A. DelliBovi, P. Morgan, and P. Leung, includes these items paid by the Bank for all eligible officers: amount of funds matched by the Bank in connection with the Nonqualified Defined Contribution Portion of the Benefit Equalization Plan (amount of funds matched for A. DelliBovi was $23,407, for P. Morgan $9,908 and for P. Leung $17,016). | |
F | For A. DelliBovi, includes value of leased automobile ($8,100). | |
G | For A. DelliBovi, includes payment of this item paid by the Bank for all eligible employees: Years of Service Award. | |
H | For A. DelliBovi, includes payment of this item paid by the Bank for all eligible officers: officer physical examination. | |
I | For A. DelliBovi and P. Héroux, includes this item paid by the Bank: payment of term life insurance premium. | |
J | For P. Heroux, includes payment of this item paid by the Bank for all eligible employees: Nonqualified Profit Sharing Plan. | |
14 | Figures represent salaries approved by the Bank’s Board of Directors for the year 2008. Figures previously reported in the Bank’s 10-K for 2008 used information reflecting actual salaries received in the year 2008. |
Grants of Plan-Based Awards for Fiscal Year 2010 | ||||||||||||||||||||||||||||||||||||||||||||
All Other | All Other | Exercise | Grant | |||||||||||||||||||||||||||||||||||||||||
Stock | Option | or | Date | |||||||||||||||||||||||||||||||||||||||||
Awards: | Awards: | Base | Fair Value | |||||||||||||||||||||||||||||||||||||||||
Estimated Future Payouts | Estimated Future Payouts | Number of | Number of | Price of | of Stock | |||||||||||||||||||||||||||||||||||||||
Under Non-Equity Incentive | Under Equity Incentive | Shares of | Securities | Option | and Option | |||||||||||||||||||||||||||||||||||||||
Grant | Plan Awards (2) (3) | Plan Awards | Stock | Underlying | Awards | Awards | ||||||||||||||||||||||||||||||||||||||
Name | Date (1) | Threshold | Target | Maximum | Threshold | Target | Maximum | or Units | Options | ($/Sh) | ($/Sh) | |||||||||||||||||||||||||||||||||
Alfred A. DelliBovi | 02/23/2010 | $ | 149,319 | $ | 271,488 | $ | 515,828 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||||
Peter S. Leung | 02/23/2010 | $ | 72,288 | $ | 131,433 | $ | 249,722 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||||
Paul B. Héroux | 02/23/2010 | $ | 51,400 | $ | 93,454 | $ | 177,563 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||||
Patrick A. Morgan | 02/23/2010 | $ | 54,503 | $ | 99,097 | $ | 188,285 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||||
Kevin M. Neylan | 02/23/2010 | $ | 53,011 | $ | 96,384 | $ | 183,130 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — |
1 | On this date, the Board of Directors’ Compensation and Human Resources Committee approved the 2010 Incentive Compensation Plan (“ICP”). Approval of the ICP does not mean a payout is guaranteed. | |
2 | Figures represent an assumed rating attained by the NEO of at least a specified threshold rating within the “Meets Requirements” category for the Named Executive Officers with respect to their individual performance. | |
3 | Amounts represent potential awards under the 2010 Incentive Compensation Plan. |
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2010 | 2011 | |||||||
(1) | (2) | |||||||
Alfred A. DelliBovi | $ | 678,721 | $ | 709,263 | ||||
Patrick A. Morgan | 330,324 | 341,885 | ||||||
Peter S. Leung | 438,109 | 453,443 | ||||||
Paul B. Héroux | 311,514 | 322,417 | ||||||
Kevin M. Neylan | 321,280 | 332,525 |
1 | Figures represent salaries approved by the Bank’s Board of Directors for the year 2010 | |
2 | Figures represent salaries approved by the Bank’s Board of Directors for the year 2011 |
Goals Category | Weighting | Goal | Goal Basis | |||||
Business Effectiveness | 80 | % | Return | Dividend Capacity as forecasted in the Bank’s 2010 business plan. (50% of the category) | ||||
Risk | Enterprise Risk Level in the Bank’s 2010 business plan balance sheet as measured by the methodology used to calculate the Bank’s retained earnings target. (50% of the category) | |||||||
Mission Effectiveness | 10 | % | Mission | The Bank’s achievements in specific areas of housing and community development activities. | ||||
Growth Effectiveness | 10 | % | New Members | Number of new members and new/return borrowers during 2010 to position the Bank for future growth and mission fulfillment. |
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AND OPTION EXERCISES AND STOCK VESTED
Pension Benefits for Fiscal Year 2010 | ||||||||||||||
Number of | Present Value | Payment During | ||||||||||||
Plan | Years Credited | of Accumulated | Last | |||||||||||
Name | Name | Service [1] | Benefit [2] | Fiscal Year | ||||||||||
Alfred A. DelliBovi | Pentegra Defined Benefit Plan for Financial Institutions Qualified Plan | 17.75 | $ | 1,384,000 | — | |||||||||
Nonqualified Defined Benefit Portion of the Benefit Equalization Plan | 17.75 | $ | 4,929,000 | — | ||||||||||
Peter S. Leung | Pentegra Defined Benefit Plan for Financial Institutions Qualified Plan | 13.50 | $ | 703,000 | — | |||||||||
Nonqualified Defined Benefit Portion of the Benefit Equalization Plan (3) | 13.50 | $ | 1,108,000 | — | ||||||||||
Paul B. Héroux | Pentegra Defined Benefit Plan for Financial Institutions Qualified Plan | 26.50 | $ | 1,013,000 | — | |||||||||
Nonqualified Defined Benefit Portion of the Benefit Equalization Plan | 26.50 | $ | 928,000 | — | ||||||||||
Patrick A. Morgan | Pentegra Defined Benefit Plan for Financial Institutions Qualified Plan | 11.50 | $ | 843,000 | — | |||||||||
Nonqualified Defined Benefit Portion of the Benefit Equalization Plan | 11.50 | $ | 830,000 | — | ||||||||||
Kevin M. Neylan | Pentegra Defined Benefit Plan for Financial Institutions Qualified Plan | 9.33 | $ | 401,000 | — | |||||||||
Nonqualified Defined Benefit Portion of the Benefit Equalization Plan | 9.33 | $ | 375,000 | — |
1 | Number of years of credited service pertains toeligibility/participation in the qualified plan. Years of credited service for the Nonqualified Defined Benefit Portion of the Benefit Equalization Plan are the same as for the Pentegra Defined Benefit Plan for Financial Institutions Qualified Plan. | |
2 | As of 12/31/2010. | |
3 | Mr. Leung’s 13.5 years of credited service includes 3.6 years of credited service working for the Office of Thrift Supervision; 3.0 years of credited service working for the Federal Home Loan Bank of Dallas (including two months of severance) and 6.9 years of credited service working for the Federal Home Loan Bank of New York. |
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DEFINED BENEFIT PLAN | GRANDFATHERED | NON-GRANDFATHERED | ||
PROVISIONS | EMPLOYEES | EMPLOYEES | ||
Benefit Multiplier | 2.5% | 2.0% | ||
Final Average Pay Period | High 3 Year | High 5 Year | ||
Normal Form of Payment | Guaranteed 12 Year Payout | Life Annuity | ||
Cost of Living Adjustments | 1% Per Year Cumulative | None | ||
Commencing at Age 66 | ||||
Early Retirement Subsidy<65: | ||||
a) Rule of 70 | 1.5% Per Year | 3% Per Year | ||
b) Rule of 70 Not Met | 3% Per Year | Actuarial Equivalent | ||
*Vesting | 20% Per Year Commencing | 5 Year Cliff | ||
Second Year of Employment |
* | Greater of DB Plan Vesting or New Plan Vesting applied to employees participating in the DB Plan prior to July 1, 2008. |
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Nonqualified Defined Contribution Portion of the Defined Benefit Plan for Fiscal Year 2010 | ||||||||||||||||||||
Executive | Registrant | Aggregate | Aggregate | Aggregate | ||||||||||||||||
Contributions in | Contributions in | Earnings in | Withdrawals/ | Balance at | ||||||||||||||||
Name | Last FY | Last FY | Last FY (1) | Distributions | Last FYE | |||||||||||||||
Alfred A. DelliBovi | — | — | $ | 100,998 | $ | 1,225,654 | — | |||||||||||||
Patrick A. Morgan | — | — | $ | 7,232 | $ | 93,441 | — | |||||||||||||
Paul B. Héroux | — | — | $ | 15,712 | $ | 189,517 | — | |||||||||||||
Peter S. Leung | — | — | $ | 18,602 | $ | 218,154 | — | |||||||||||||
Kevin M. Neylan | — | — | $ | 23,146 | $ | 255,417 | — | |||||||||||||
Nonqualified Deferred Compensation Plan for Fiscal Year 2010 | ||||||||||||||||||||
Executive | Registrant | Aggregate | Aggregate | Aggregate | ||||||||||||||||
Contributions in | Contributions in | Earnings in | Withdrawals/ | Balance at | ||||||||||||||||
Name | Last FY | Last FY | Last FY (1) | Distributions | Last FYE | |||||||||||||||
Peter S. Leung | — | — | $ | 5,119 | $ | 294,767 | — | |||||||||||||
Nonqualified Profit Sharing Plan for Fiscal Year 2010 | ||||||||||||||||||||
Executive | Registrant | Aggregate | Aggregate | Aggregate | ||||||||||||||||
Contributions in | Contributions in | Earnings in | Withdrawals/ | Balance at | ||||||||||||||||
Name | Last FY | Last FY | Last FY (1) | Distributions | Last FYE | |||||||||||||||
Paul B. Héroux | — | — | $ | 2,849 | $ | 21,034 | — |
1 | The earnings are included in the Summary Compensation Table above under “Change in Pension Value and Nonqualified Deferred Compensation” |
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Number of Weeks Used to | 2010 Annual | |||||||||||
Calculate Severance Amount | Base Salary | Severance Amount | ||||||||||
Alfred A. DelliBovi | 36 | $ | 678,721 | $ | 469,884 | |||||||
Peter S. Leung(1) (2) | 26 | $ | 438,109 | $ | 219,055 | |||||||
Patrick A. Morgan | 36 | $ | 330,324 | $ | 228,686 | |||||||
Paul B. Héroux | 36 | $ | 311,514 | $ | 215,664 | |||||||
Kevin M. Neylan | 36 | $ | 321,280 | $ | 222,425 |
1 | With respect to the Bank’s Form 10-K for the year 2009 filed in 2010, Peter Leung’s number of weeks of severance was mistakenly reported as 24 weeks with a severance amount of $195,366; however, the numbers of weeks of severance should have been reported as 22 weeks and the severance amount should have been reported as $179,806. | |
2 | With respect to the Bank’s 10-K for the year 2008 filed in 2009, Peter Leung’s number of weeks of severance was mistakenly reported as 20 weeks with a severance amount of $155,795; however, the number of weeks of severance should have been reported as 18 weeks and the severance amount should have been reported as $140,215. |
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Change in Pension | ||||||||||||||||||||||||||||
Value and | ||||||||||||||||||||||||||||
Fees | Non-Equity | Nonqualified | All | |||||||||||||||||||||||||
Earned or | Stock | Option | Incentive Plan | Deferred Compensation | Other | |||||||||||||||||||||||
Name | Paid in Cash | Awards | Awards | Compensation | Earnings | Compensation | Total | |||||||||||||||||||||
Michael M. Horn | $ | 60,000 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 60,000 | ||||||||||||||
José R. González | 55,000 | — | — | — | — | — | 55,000 | |||||||||||||||||||||
John R. Buran | 4,500 | — | — | — | — | — | 4,500 | |||||||||||||||||||||
Anne E. Estabrook | 50,000 | — | — | — | — | — | 50,000 | |||||||||||||||||||||
Joseph R. Ficalora | 45,000 | — | — | — | — | — | 45,000 | |||||||||||||||||||||
Jay M. Ford | 45,000 | — | — | — | — | — | 45,000 | |||||||||||||||||||||
James W. Fulmer | 45,000 | — | — | — | — | — | 45,000 | |||||||||||||||||||||
Ronald E. Hermance, Jr. | 50,000 | — | — | — | — | — | 50,000 | |||||||||||||||||||||
Katherine J. Liseno | 45,000 | — | — | — | — | — | 45,000 | |||||||||||||||||||||
Kevin J. Lynch | 50,000 | — | — | — | — | — | 50,000 | |||||||||||||||||||||
Joseph J. Melone | 45,000 | — | — | — | — | 45,000 | ||||||||||||||||||||||
Richard S. Mroz | 50,000 | — | — | — | — | — | 50,000 | |||||||||||||||||||||
Thomas M. O’Brien | 45,000 | — | — | — | — | — | 45,000 | |||||||||||||||||||||
C. Cathleen Raffaeli | 50,000 | — | — | — | — | — | 50,000 | |||||||||||||||||||||
Edwin C. Reed | 45,000 | — | — | — | — | — | 45,000 | |||||||||||||||||||||
John M. Scarchilli | 13,500 | — | — | — | — | — | 13,500 | |||||||||||||||||||||
DeForest B. Soaries, Jr. | 45,000 | — | — | — | — | — | 45,000 | |||||||||||||||||||||
George Strayton | 50,000 | — | — | — | — | — | 50,000 | |||||||||||||||||||||
$ | 793,000 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 793,000 | |||||||||||||||
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Fees For Each Board | ||||
Meeting Attended (Paid | ||||
Quarterly | ||||
Position | in Arrears) | |||
Chairman | $ | 6,000 | ||
Vice Chairman | $ | 5,500 | ||
Committee Chair * | $ | 5,500 | ||
All Other Directors | $ | 4,500 |
Position | Annual Limit | |||
Chairman | $ | 60,000 | ||
Vice Chairman | $ | 55,000 | ||
Committee Chair | $ | 50,000 | ||
All Other Directors | $ | 45,000 |
Fees For Each Board | ||||
Meeting Attended (Paid | ||||
Quarterly | ||||
Position | in Arrears)** | |||
Chairman | $ | 11,111 | ||
Vice Chairman | $ | 9,444 | ||
Committee Chair * | $ | 9,444 | ||
All Other Directors | $ | 8,333 |
Position | Annual Limit | |||
Chairman | $ | 100,000 | ||
Vice Chairman | $ | 85,000 | ||
Committee Chair | $ | 85,000 | ||
All Other Directors | $ | 75,000 |
* | A Committee Chair does not receive any additional payment if he or she serves as the Chair of more than one Board Committee. In addition, the Board Chair and Board Vice Chair do not receive any additional compensation if they serve as a Chair of one or more Board Committees. | |
** | The numbers in the below column represent payments for each of eight meetings attended. If a ninth meeting is attended in 2011, payments for the ninth meeting shall be as follows: Chairman, $11,112; Vice Chairman, $9,448; Committee Chair, $9,448; and all other Directors, $8,336. |
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• | Meetings of the Board and Board Committees |
• | Meetings requested by the Federal Housing Finance Agency |
• | Meetings of Federal Home Loan Bank System committees |
• | Federal Home Loan Bank System director orientation meetings |
• | Meetings of the Council of Federal Home Loan Banks and Council committees |
• | Attendance at other events on behalf of the Bank with prior approval of the Board of Directors |
Directors’ Expenses | ||||
Reimbursed | ||||
Name | (Paid in Cash) | |||
Michael M. Horn | $ | 6,104 | ||
José R. González | 20,797 | |||
John R. Buran | — | |||
Anne E. Estabrook | 3,974 | |||
Joseph R. Ficalora | — | |||
Jay M. Ford | 4,539 | |||
James W. Fulmer | 5,028 | |||
Ronald E. Hermance, Jr. | — | |||
Katherine J. Liseno | 3,425 | |||
Kevin J. Lynch | 3,746 | |||
Joseph J. Melone | 805 | |||
Richard S. Mroz | 4,686 | |||
Thomas M. O’Brien | 356 | |||
C. Cathleen Raffaeli | — | |||
Edwin C. Reed | — | |||
John M. Scarchilli | 130 | |||
DeForest B. Soaries, Jr. | 3,846 | |||
George Strayton | 1,595 | |||
�� | ||||
$ | 59,031 | |||
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ITEM 12. | SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS. |
Number | Percent | |||||||||
February 28, 2011 | 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 | 8,697 | 19.55 | % | ||||||
Metropolitan Life Insurance Company | 200 Park Avenue, New York, NY 10166 | 6,934 | 15.59 | |||||||
New York Community Bank* | 615 Merrick Avenue, Westbury, NY 11590-6644 | 3,867 | 8.70 | |||||||
19,498 | 43.84 | % | ||||||||
Number | Percent | |||||||||
December 31, 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 | 8,719 | 18.99 | % | ||||||
Metropolitan Life Insurance Company | 200 Park Avenue, New York, NY 10166 | 7,035 | 15.32 | |||||||
New York Community Bank* | 615 Merrick Avenue, Westbury, NY 11590-6644 | 4,093 | 8.91 | |||||||
19,847 | 43.22 | % | ||||||||
* | Officer of member bank also served on the Board of Directors of the FHLBNY. |
Number | Percent | |||||||||||||
of Shares | of Total | |||||||||||||
Name | Director | City | State | Owned | Capital Stock | |||||||||
Hudson City Savings Bank, FSB | Ronald E. Hermance, Jr. | Paramus | NJ | 8,719 | 18.99 | % | ||||||||
New York Community Bank | Joseph R. Ficalora | Westbury | NY | 4,093 | 8.91 | |||||||||
Flushing Savings Bank, FSB | John R. Buran | Lake Success | NY | 316 | 0.69 | |||||||||
Oritani Bank | Kevin J. Lynch | Township of Washington | NJ | 308 | 0.67 | |||||||||
Provident Bank | George Strayton | Montebello | NY | 233 | 0.51 | |||||||||
Oriental Bank and Trust | José R. González | San Juan | PR | 225 | 0.49 | |||||||||
AXA Equitable Life Insurance Company | Joseph J. Melone | New York | NY | 125 | 0.27 | |||||||||
State Bank of Long Island | Thomas M. O’Brien | Jericho | NY | 30 | 0.06 | |||||||||
Crest Savings Bank | Jay M. Ford | Wildwood | NJ | 26 | 0.06 | |||||||||
The Bank of Castile | James W. Fulmer | Batavia | NY | 23 | 0.05 | |||||||||
Metuchen Savings Bank | Katherine J. Liseno | Metuchen | NJ | 15 | 0.03 | |||||||||
14,113 | 30.73 | % | ||||||||||||
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ITEM 13. | CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE. |
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ITEM 14. | PRINCIPAL ACCOUNTING FEES AND SERVICES. |
Years ended December 31, | ||||||||||||
20101 | 20091 | 20081 | ||||||||||
Audit Fees | $ | 835 | $ | 1,139 | $ | 1,341 | ||||||
Audit-related Fees | 66 | 54 | 56 | |||||||||
Tax Fees | 20 | 57 | — | |||||||||
All Other Fees | 4 | 2 | 2 | |||||||||
$ | 925 | $ | 1,252 | $ | 1,399 | |||||||
1 | The amounts in the table do not include the assessment from the Office of Finance (“OF”) for the Bank’s share of the audit fees of approximately $56 thousand, $83 thousand and $36 thousand, for 2010, 2009 and 2008, incurred in connection with the audit of the combined financial statements published by the OF. |
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ITEM 15. | EXHIBITS AND FINANCIAL STATEMENT SCHEDULES. |
(a) | 1. Financial Statements |
The financial statements included as part of this Form 10-K are identified in the index to the Financial Statements appearing in ITEM 8 of this Form 10-K, which index is incorporated in this ITEM 15 by reference. | |||
2. | Financial Statement Schedules | ||
Financial statement schedules have been omitted because they are not applicable or the required information is shown in the financial statements or notes, under ITEM 8, “Financial Statements and Supplementary Data.” | |||
3. | Exhibits |
Filed with | ||||||||||||
No. | Exhibit Description | this Form 10-K | Form | File No. | Date Filed | |||||||
3.01 | Restated Organization Certificate of the Federal Home Loan Bank of New York (“Bank”) | 8-K | 000-51397 | 12/1/2005 | ||||||||
3.02 | Bylaws of the Bank | 8-K | 000-51397 | 9/23/2009 | ||||||||
4.01 | Amended and Restated Capital Plan of the Bank | 10-K | 000-51397 | 4/1/2009 | ||||||||
10.01 | Bank 2009 Incentive Compensation Plan*a | 10-Q | 000-51397 | 5/15/2009 | ||||||||
10.02 | Bank 2010 Incentive Compensation Plan*a | 10-Q | 000-51397 | 5/12/2010 | ||||||||
10.03 | 2009 Director Compensation Policya | 10-Q | 000-51397 | 5/15/2009 | ||||||||
10.04 | 2010 Director Compensation Policya | 10-K | 000-51397 | 3/25/2010 | ||||||||
10.05 | 2011 Director Compensation Policya | X | ||||||||||
10.06 | Bank Severance Pay Plana | X | ||||||||||
10.07 | Qualified Defined Benefit Plana | 10-K | 000-51397 | 3/25/2010 | ||||||||
10.08 | Qualified Defined Contribution Plana | 10-K | 000-51397 | 3/25/2010 | ||||||||
10.09 | Bank Benefit Equalization Plana | 10-K | 000-51397 | 3/25/2010 | ||||||||
10.10 | Nonqualified Profit Sharing Plana | 10-K | 000-51397 | 3/25/2010 | ||||||||
10.11 | Nonqualified Deferred Compensation Plana | 10-K | 000-51397 | 3/25/2010 | ||||||||
10.12 | Thrift Restoration Plana | 10-Q | 000-51397 | 8/12/2010 | ||||||||
10.13 | Profit Sharing Plana | 10-Q | 000-51397 | 8/12/2010 | ||||||||
10.14 | Compensatory Arrangements for Named Executive Officersa | X | ||||||||||
10.15 | Federal Home Loan Banks P&I Funding and Contingency Plan Agreement | 8-K | 000-51397 | 6/27/2006 | ||||||||
10.16 | Lending Facility with United States Treasury | 8-K | 000-51397 | 9/9/2008 | ||||||||
10.17 | Joint Capital Enhancement Agreement | 8-K | 000-51397 | 3/1/2011 | ||||||||
12.01 | Computation of Ratio of Earnings to Fixed Charges | X | ||||||||||
31.01 | Certification of Registrant’s Chief Executive Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||
31.02 | Certification of the Registrant’s Chief Financial Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||
32.01 | Certification of Registrant’s Chief Executive Officer, as required by Section 906 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||
32.02 | Certification of Registrant’s Chief Financial Officer, as required by Section 906 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||
99.01 | Audit Committee Report | X | ||||||||||
99.02 | Audit Committee Charter | X |
* | Confidential treatment has been granted with respect to certain portions of this exhibit. Omitted portions have been filed separately with the Securities and Exchange Commission. | |
a | This exhibit includes a management contract, compensatory plan or arrangement required to be noted herein. |
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Federal Home Loan Bank of New York | ||||
By: | /s/ Alfred A. DelliBovi | |||
Alfred A. DelliBovi | ||||
President and Chief Executive Officer (Principal Executive Officer) | ||||
Signature | Title | Date | ||
/s/ Alfred A. DelliBovi | President and Chief Executive Officer | March 25, 2011 | ||
(Principal Executive Officer) | ||||
/s/ Patrick A. Morgan | Senior Vice President and Chief Financial Officer | March 25, 2011 | ||
(Principal Financial Officer) | ||||
/s/ Backer Ali | Vice President and Controller | March 25, 2011 | ||
(Principal Accounting Officer) | ||||
/s/ Michael M. Horn | Chairman of the Board of Directors | March 25, 2011 | ||
/s/ José R. González | Vice Chairman of the Board of Directors | March 25, 2011 | ||
/s/ John R. Buran | Director | March 25, 2011 | ||
/s/ Anne Evans Estabrook | Director | March 25, 2011 | ||
/s/ Joseph R. Ficalora | Director | March 25, 2011 | ||
/s/ Jay M. Ford | Director | March 25, 2011 | ||
/s/ James W. Fulmer | Director | March 25, 2011 | ||
/s/ Ronald E. Hermance, Jr. | Director | March 25, 2011 | ||
/s/ Katherine J. Liseno | Director | March 25, 2011 |
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Signature | Title | Date | ||
/s/ Kevin J. Lynch | Director | March 25, 2011 | ||
/s/ Joseph J. Melone | Director | March 25, 2011 | ||
/s/ Richard S. Mroz | Director | March 25, 2011 | ||
/s/ Thomas M. O’Brien | Director | March 25, 2011 | ||
/s/ C. Cathleen Raffaeli | Director | March 25, 2011 | ||
/s/ Edwin C. Reed | Director | March 25, 2011 | ||
/s/ DeForest B. Soaries, Jr. | Director | March 25, 2011 | ||
/s/ George Strayton | Director | March 25, 2011 |
228