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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 |
Federally chartered corporation | 13-6400946 | |
(State or other jurisdiction of | (I.R.S. employer | |
incorporation or organization) | identification number) | |
101 Park Avenue | 10178 | |
New York, New York | (Zip code) | |
(Address of principal executive offices) |
(Registrant’s telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Act: | None | |||
Title of Each Class: None | ||||
Securities registered pursuant to Section 12(g) of the Act: | Name of Each Exchange on | |||
Class B Stock, putable, par value $100 | Which Registered: None | |||
(Title of Class) |
Large accelerated filero | Accelerated filero | Non-accelerated filerþ |
Fiscal Year Ended December 31, 2005
Table of Contents Form 10-K
PART I | ||||||||
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EX-10.01: 2005 EXECUTIVE INCENTIVE PLAN | ||||||||
EX-12.01: COMPUTATION OF RATIOS OS EARNINGS TO FIXED CHARGES | ||||||||
EX-31.01: CERTIFICATION | ||||||||
EX-31.02: CERTIFICATION | ||||||||
EX-32.01: CERTIFICATION | ||||||||
EX-32.02: CERTIFICATION | ||||||||
EX-99.01: AUDIT COMMITTEE REPORT |
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Commercial | Thrift | Credit | Insurance | |||||||||||||
Banks | Institutions | Unions | Companies | |||||||||||||
December 31, 2005 | 144 | 124 | 29 | — | ||||||||||||
December 31, 2004 | 148 | 127 | 27 | — | ||||||||||||
December 31, 2003 | 150 | 132 | 25 | — |
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• | Adjustable-Rate Credit Advances(“ARC”).Adjustable-Rate Credit Advances are medium- and long-term lending that can be pegged to one of a variety of indices, such as 1-month LIBOR, 3-month LIBOR, or the Federal funds rate. Members use an Adjustable-Rate Credit Advance to manage interest rate and basis risks by efficiently matching the interest rate index and the repricing characteristics of floating-rate assets and liabilities. The interest rate is set and reset (depending upon the maturity of the advance and the type of index) at a spread to that designated index. Principal is due at maturity and interest payments are due at every reset date including the final payment. | ||
• | Convertible Advances.Regular Convertible Advances are medium- to long-term lending that is structured so that the member sells the FHLBNY an option or a strip of options. If the advance is put by the FHLBNY at the end of the lockout period, the member has the option to convert the funding to an advance product of their choice at the then current market rates as established by the FHLBNY for the advance type, or pay off the advance. | ||
• | Fixed-Rate Advance. Fixed-Rate Advances are flexible funding tools that can be used by members to meet short-to long-term liquidity needs. Terms vary from 1-year to 30-years. | ||
• | Overnight Repricing Advance Program. The Overnight Line of Credit (“OLOC”) Advances are short-term, flexible, readily accessible revolving lines of credit for immediate liquidity needs. Advances issued under the Overnight Line of Credit commitments mature on the next succeeding business day at which time the advance is repaid. Interest is calculated on a 360-day basis and is charged daily, and is priced at a spread to the then-prevailing Federal funds rate. | ||
• | Repurchase Agreement (“Repo”) Advance. Repurchase Agreement Advances are secured by eligible securities that can be structured to have fixed or variable interest rates, “bullet” or quarterly interest payments, and a put option by which the FHLBNY receives an option to require payment after a predetermined lockout period. Members may use U.S Treasuries, Agency- issued debentures and mortgage-backed securities as collateral. | ||
• | Mortgage-Matched Advance .Mortgage-matched Advances are medium- or long-term lending that are fixed-rate, with fixed amortizing schedules and are structured to match the payment characteristics of a mortgage loan or portfolio of mortgage loans held by the member. Terms offered are from one to 30 years, with constant principal and interest payments. |
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• | Conforming loan size, which is established annually as required by the Acquired Member Assets Regulation and may not exceed that for the other Government Sponsored Enterprises (e.g. Fannie Mae and Freddie Mac) each year. Mortgage Partnership Finance purchases loans that are limited to Office of Federal Housing Enterprise Oversight’s single-family loan limits; fixed-rate fully amortizing loans. |
• | Fixed-rate, fully-amortizing loans with terms from 5 to 30 years; |
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• | Secured by first liens on residential owner occupied primary residences and second homes; primary residences may be up to four units. |
• | 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); |
• | 95% maximum loan-to-value ratio (“LTV”); except for FHLBank Affordable Housing Program mortgage loans which may have loan-to-value ratios up to 100% (but may not exceed 105% total loan-to-value ratio, which compares the property value to the total amount of all mortgages outstanding against a property) and Veterans Administration and Federal Housing Administration insured Mortgage Partnership Finance Loans which may not exceed the loan-to-value ratio limits set by Federal Housing Administration and VA; |
• | Mortgage Partnership Finance Loans with loan-to-value ratios greater than 80.0% with mortgage guaranty insurance (“MI”) from a mortgage guaranty insurance company rated at least “AA” or “Aa” and acceptable to Standard & Poor’s Rating Services, a division of the McGraw-Hill Companies (“S&P”); |
• | Unseasoned or current production with up to 5 payments made by the borrowers; |
• | Credit reports and credit scores for each borrower; for borrowers with no credit score, alternative verification of credit is permitted; |
• | Analysis of debt ratios; |
• | Verification of income and sources of funds, if applicable; |
• | Property appraisal; |
• | Customary property or hazard insurance, and flood insurance, if applicable; from insurers acceptably rated as detailed in the Mortgage Partnership Finance Guides; |
• | Title insurance or, in those areas where title insurance is not customary, an attorney’s opinion of title; |
• | The mortgage documents, mortgage transaction, and mortgaged property must comply with all applicable laws and loans must be documented using standard Fannie Mae/Freddie Mac Uniform Instruments; |
• | Loans that are not ratable by a rating agency are not eligible for delivery under the Mortgage Partnership Finance Program; and |
• | Loans that are classified as high cost, high rate, high risk, HOEPA loans or loans in similar categories defined under predatory lending or abusive lending laws are not eligible for delivery under the Mortgage Partnership Finance Program. |
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• | Such coverage is required for Mortgage Partnership Finance Loans with loan-to-value ratio greater than 80%. |
• | The First Loss Account* represents the amount of potential expected losses which the Bank must incur before the member’s credit enhancement becomes available to cover losses. | |
• | The First Loss Account is not a segregated account where funds are accumulated to cover losses. It is simply a mechanism the Bank uses for tracking its potential loss exposure. |
• | The Participating Financial Institution’s Credit Enhancement Amount is sized using the Mortgage Partnership Finance Program First Loss Account methodology to equal the amount of losses in excess of, or including, the First Loss Account (depending on the Mortgage Partnership Finance product) that would need to be paid so that any losses in excess of the Credit Enhancement Amount and initial First Loss Account would be equivalent to losses experienced by an investor in an “AA” rated mortgage backed security. The Participating Financial Institution may procure supplemental mortgage insurance to cover losses equal to all or a portion of the Credit Enhancement Amount (except that losses generally classified as special hazard losses are not covered by supplemental mortgage insurance). | |
• | The Participating Financial Institution is paid a monthly credit enhancement fee for managing credit risk on the Mortgage Partnership Finance Loans. In most cases, the credit enhancement fees are performance based which further motivates the Participating Financial Institution’s to minimize loan losses on Mortgage Partnership Finance Loans. | |
Fifth,any remaining unallocated losses are absorbed by the Mortgage Partnership Finance Bank. |
* | The First Loss Account feature is offered with all conventional mortgage loan products. |
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• | The First Loss Account starts out at zero on the day the first Mortgage Partnership Finance 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. | |
• | Over time the First Loss Account is expected to cover expected losses on a Master Commitment, though losses early in the life of the Master Commitment could exceed the First Loss Account and be charged in part to the Participating Financial Institution’s Credit Enhancement Amount. |
• | The Participating Financial Institution’s Credit Enhancement Amount is sized using the Mortgage Partnership Finance Program methodology to equal the amount needed for the Master Commitment to have a rating equivalent to a “AA” rated mortgage backed security, without giving effect to the First Loss Account. |
• | The Participating Financial Institution is paid a monthly credit enhancement fee, typically 0.10% (10 basis points) per annum, based on the aggregate outstanding principal balance of the Mortgage Partnership Finance Loans in the Master Commitment. |
![](https://capedge.com/proxy/10-K/0000950123-06-003927/y19008y1900803.gif)
• | The First Loss Account is equal to 1.00% (100 basis points) of the aggregate principal balance of the Mortgage Partnership Finance Loans funded under the Master Commitment. | |
• | Once the Master Commitment is fully funded, the First Loss Account is expected to cover expected losses on that Master Commitment. |
• | The Participating Financial Institution Credit Enhancement Amount is calculated using the Mortgage Partnership Finance Program methodology to equal the difference between the amounts needed for the Master Commitment to have a rating equivalent to an “AA” rated mortgage backed security and the amount of the First Loss Account. | |
• | The credit enhancement fee is between 0.07% and 0.10% (7 and 10 basis points) per annum of the aggregate outstanding principal balance of the Mortgage Partnership Finance Loans in the Master Commitment. | |
• | In addition, the Participating Financial Institution monthly credit enhancement fee after the first two or three years becomes performance based in that it is reduced by losses charged to the First Loss Account. | |
• | Under the Mortgage Partnership Finance 100 product, Participating Financial Institution originates loans as agent for the MPF Bank and the Mortgage Partnership Finance Bank provides the funds to close the loans (“table funding”). This differs from the other Mortgage Partnership Finance products in which the MPF Bank purchases loans that have already been closed by the Participating Financial Institution. |
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• | 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 expected to cover expected losses on that Master Commitment. |
• | The PFI’s CE Amount is calculated using the MPF Program methodology to equal the difference between the amount needed for the Master Commitment to have a rating equivalent to a “AA” rated mortgage backed security and the amount of the FLA. | |
• | The credit enhancement fee is between 0.07% and 0.10% (7 and 10 basis points) per annum of the aggregate outstanding principal balance of the MPF Loans in the Master Commitment and is performance based in that it is reduced by losses charged to the FLA. |
• | Only Government Mortgage Partnership Finance Loans are eligible for sale under this product. | |
• | The Participating Financial Institution provides and maintains Federal Housing Administration insurance or a Veterans Administration guaranty for the Government Mortgage Partnership Finance Loans and the Participating Financial Institution is responsible for compliance with all Federal Housing Administration or Veterans Administration requirements and for obtaining the benefit of the Federal Housing Administration insurance or the Veterans Administration guaranty with respect to defaulted Government Mortgage Partnership Finance Loans. | |
• | The Participating Financial Institution’s servicing obligations are essentially identical to those undertaken for servicing loans in a Ginnie Mae security. Because the Participating Financial Institution servicing these Mortgage Partnership Finance Loans assumes the risk with respect to amounts not reimbursed by either the Federal Housing Administration or Veterans Administration, the structure results in the Mortgage Partnership Finance Banks having assets that are expected to perform the same as Ginnie Mae securities. | |
• | The Participating Financial Institution is paid a monthly Government Loan fee equal to 0.02% (2 basis points) per annum based on the month end outstanding aggregate principal balance of the Master Commitment in addition to the customary 44 basis point (0.44%) per annum servicing fee that is retained by the Participating Financial Institution on a monthly basis based on the outstanding aggregate principal balance of the Mortgage Partnership Finance Loans. | |
• | Only Participating Financial Institutions that are licensed or qualified to originate and service Federal Housing Administration and Veterans Administration loans and that maintain a mortgage loan delinquency ratio that is acceptable to the Mortgage Partnership Finance Provider and that is comparable to the national average and/or regional delinquency rates as published by the Mortgage Bankers Association from time-to-time are eligible to sell and service Government Mortgage Partnership Finance Loans under the Mortgage Partnership Finance Program. |
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• | 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 expected to cover expected losses on that Master Commitment. |
• | The PFI is required to provide an SMI policy covering the MPF Loans in the Master Commitment and having a deductible initially equal to the FLA. | |
• | Depending upon the amount of the SMI policy, the PFI may or may not have a separate CE Amount obligation. | |
• | The total amount of the PFI’s CE Amount (including the SMI policy) is calculated using the MPF Program methodology to equal the difference between the amount needed for the Master Commitment to have a rating equivalent to a “AA” rated mortgage backed security and the amount of the FLA. | |
• | The performance based portion of the credit enhancement fee is typically between 0.06% and 0.07% (6 and 7 basis points) per annum of the aggregate outstanding balance of the MPF Loans in the Master Commitment. The performance based fee is reduced by losses charge to the FLA and is delayed for one year from the date MPF Loans are sold to the MPF Bank. The fixed portion of the credit enhancement fee is typically 0.07% (7 basis points) per annum of the aggregate outstanding principal balance of the MPF Loans in the Master Commitment. The lower performance based credit enhancement fee is for Master Commitments without a direct PFI CE Amount obligation. |
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Participating | ||||||||||||||||||||||
Financial | Average | |||||||||||||||||||||
Mortgage | Institution | Preferred | Credit | Servicing | ||||||||||||||||||
Partnership | Direct Credit | Financial | Enhancement Fee | Fee to | ||||||||||||||||||
Finance Bank | Enhancement | Institution Credit | to Participating | Credit | Participating | |||||||||||||||||
First Loss | Size | Enhancement | Financial | Enhancement | Financial | |||||||||||||||||
Product Name | Account * | Description | Size* | Institution | Fee Offset1 | Institution | ||||||||||||||||
Original Mortgage Partnership Finance | 3 to 5 basis points/added each year based on the unpaid balance | Equivalent to “AA” | 3.17 | % | 9 to 11 basis points/year — paid monthly | No | 25 basis points/year | |||||||||||||||
Mortgage Partnership Finance 100 | 100 basis points fixed based on the size of the loan pool at closing | After First Loss Account to “AA” | 0.88 | % | 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 | |||||||||||||||
Mortgage Partnership Finance 125 | 100 basis points fixed based on the size of the loan pool at closing | After First Loss Account to “AA” | 0.67 | % | 7 to 10 basis points/year — paid monthly; performance based | Yes | 25 basis points/year | |||||||||||||||
Mortgage Partnership Finance Plus | Sized to equal expected losses | 0-20 bps after First Loss Account and SMI | 0.04 | % | 13 or 14 basis points/year divided between a fixed fee and a performance based (delayed for 1 year) fee; all fees paid monthly | Yes, for performance based fee | 25 basis points/year | |||||||||||||||
Mortgage Partnership Finance for Federal Housing Administration/Veter an’s Administration | N/A | N/A (Unreimbursed Servicing Expenses) | N/A | 2 basis points/year - - paid monthly2 | N/A | 44 basis points/year | ||||||||||||||||
* | As of December 31, 2005 and 2004 | |
1 | May not exceed the First Loss Account amount for the life of the pool. | |
2 | Government Loan Fee |
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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. |
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• | 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; and | ||
• | Non-U.S. dollar denominated securities. |
• | 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; |
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• | 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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2005 | 2004 | 2003 | ||||||||||
Retained earnings, beginning of year | $ | 223,434 | $ | 126,697 | $ | 244,436 | ||||||
Net Income for the year | 230,158 | 161,276 | 45,816 | |||||||||
453,592 | 287,973 | 290,252 | ||||||||||
Dividend paid in the year* | (162,179 | ) | (64,539 | ) | (163,555 | ) | ||||||
Retained earnings, end of year | $ | 291,413 | $ | 223,434 | $ | 126,697 | ||||||
* | Dividends are not accrued at quarter end; they are declared and paid in the month following the end of the quarter. |
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2005 | 2004 | 2003 | ||||||||||||||||||||||
Month Paid | Amount | Dividend Rate | Amount | Dividend Rate | Amount | Dividend Rate | ||||||||||||||||||
January | $ | 28,715,153 | 3.05 | % | $ | 13,847,480 | 1.45 | % | $ | 55,510,425 | 5.58 | % | ||||||||||||
April | 42,573,260 | 4.70 | % | 14,680,897 | 1.58 | % | 54,043,185 | 5.36 | % | |||||||||||||||
July | 45,969,840 | 5.00 | % | 20,173,495 | 2.08 | % | 54,001,228 | 5.05 | % | |||||||||||||||
October | 48,639,214 | 5.25 | % | 21,114,755 | 2.22 | % | — | — | ||||||||||||||||
$ | 165,897,467 | $ | 69,816,627 | $ | 163,554,838 | |||||||||||||||||||
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Statements of Condition (dollars in millions, | As of December 31, | |||||||||||||||||||
except ratios) | 2005 | 2004 | 2003 | 2002 | 2001 | |||||||||||||||
Investments (1) | $ | 21,190 | $ | 18,363 | $ | 14,217 | $ | 23,598 | $ | 19,200 | ||||||||||
Advances | 61,902 | 68,507 | 63,923 | 68,926 | 60,962 | |||||||||||||||
Mortgage loans held-for-investment, net | 1,467 | 1,178 | 672 | 435 | 425 | |||||||||||||||
Total assets | 85,014 | 88,439 | 79,230 | 93,606 | 81,240 | |||||||||||||||
Deposits and other borrowings | 2,658 | 2,297 | 2,100 | 2,743 | 2,862 | |||||||||||||||
Consolidated obligations | 77,279 | 80,157 | 70,857 | 83,512 | 72,628 | |||||||||||||||
Mandatorily redeemable stock | 18 | 127 | — | — | — | |||||||||||||||
AHP liability | 91 | 82 | 93 | 110 | 105 | |||||||||||||||
REFCORP liability | 14 | 10 | — | 14 | 20 | |||||||||||||||
Capital stock | 3,590 | 3,655 | 3,639 | 4,051 | 3,733 | |||||||||||||||
Unrestricted retained earnings | 291 | 223 | 127 | 244 | 177 | |||||||||||||||
Equity to asset ratio (2) | 4.57 | % | 4.38 | % | 4.75 | % | 4.59 | % | 4.81 | % |
For the years ended December 31, | ||||||||||||||||||||
Averages (dollars in millions) | 2005 | 2004 | 2003 | 2002 | 2001 | |||||||||||||||
Investments (1) | $ | 19,944 | $ | 17,642 | $ | 19,833 | $ | 20,677 | $ | 22,017 | ||||||||||
Advances | 63,446 | 65,289 | 70,943 | 64,210 | 54,295 | |||||||||||||||
Mortgage loans held for investment, net | 1,360 | 928 | 527 | 400 | 475 | |||||||||||||||
Total assets | 85,254 | 84,344 | 92,747 | 86,682 | 77,972 | |||||||||||||||
Deposits and other borrowings | 2,112 | 1,968 | 2,952 | 2,908 | 2,825 | |||||||||||||||
Consolidated obligations, net | 77,629 | 76,105 | 81,818 | 76,907 | 70,077 | |||||||||||||||
Mandatorily Redeemable stock | 56 | 238 | — | — | — | |||||||||||||||
AHP liability | 84 | 83 | 105 | 107 | 97 | |||||||||||||||
REFCORP liability | 7 | 4 | 2 | 8 | 12 | |||||||||||||||
Capital stock | 3,604 | 3,554 | 4,082 | 3,768 | 3,673 | |||||||||||||||
Retained earnings | 251 | 159 | 193 | 204 | 129 | |||||||||||||||
Operating Results (dollars in millions, except percentages) | ||||||||||||||||||||
Net interest income (3) | $ | 395 | $ | 268 | $ | 299 | $ | 389 | $ | 408 | ||||||||||
Net income (4) | $ | 230 | $ | 161 | $ | 46 | $ | 234 | $ | 285 | ||||||||||
Dividends paid in cash | $ | 162 | $ | 66 | $ | 164 | $ | 167 | $ | 229 | ||||||||||
AHP expense | $ | 26 | $ | 19 | $ | 5 | $ | 26 | $ | 32 | ||||||||||
REFCORP expense | $ | 58 | $ | 40 | $ | 11 | $ | 59 | $ | 71 | ||||||||||
Return on average equity | 5.97 | % | 4.34 | % | 1.08 | % | 5.89 | % | 7.50 | % | ||||||||||
Return on average assets | 0.27 | % | 0.19 | % | 0.05 | % | 0.27 | % | 0.37 | % | ||||||||||
Operating expenses | $ | 59 | $ | 51 | $ | 48 | $ | 39 | $ | 35 | ||||||||||
Operating expenses as a percent of average assets | 0.07 | % | 0.06 | % | 0.05 | % | 0.04 | % | 0.04 | % | ||||||||||
Earnings per share | $ | 6.36 | $ | 4.55 | $ | 1.12 | $ | 6.21 | $ | 7.76 | ||||||||||
Dividend per share | $ | 4.50 | $ | 1.83 | $ | 3.97 | $ | 4.51 | $ | 6.29 | ||||||||||
Headcount (Full time and part time) | 221 | 210 | 206 | 200 | 201 |
(1) | Investments include held-to-maturity securities, available-for-sale securities, interest-bearing deposits, Federal funds sold and Loans to other FHLBanks. | |
(2) | Total capital ratio is capital stock plus retained earnings and accumulated other comprehensive income (loss) as a percentage of total assets at period-end. | |
(3) | Net interest income is net interest income before the provision for credit losses on mortgage loans. | |
(4) | See “Management’s Discussion and Analysis” | |
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2005 (unaudited) | ||||||||||||||||
4th Quarter | 3rd Quarter | 2nd Quarter | 1st Quarter | |||||||||||||
Interest income | $ | 886,515 | $ | 818,571 | $ | 748,433 | $ | 667,527 | ||||||||
Interest expense | 783,120 | 718,818 | 654,053 | 570,082 | ||||||||||||
Net interest income | 103,395 | 99,753 | 94,380 | 97,445 | ||||||||||||
Provision for credit loss | (3 | ) | (14 | ) | (24 | ) | (34 | ) | ||||||||
Other Income (loss) | (10,241 | ) | (287 | ) | (5,771 | ) | (1,558 | ) | ||||||||
Other expenses | (36,904 | ) | (38,316 | ) | (35,110 | ) | (37,662 | ) | ||||||||
Net income before cumulative effects | 56,247 | 61,136 | 53,475 | 58,191 | ||||||||||||
Cumulative effect adjustment | — | — | — | 1,109 | ||||||||||||
Net Income after cumulative effect | $ | 56,247 | $ | 61,136 | $ | 53,475 | $ | 59,300 | ||||||||
2004 (unaudited) | ||||||||||||||||
4th Quarter | 3rd Quarter | 2nd Quarter | 1st Quarter | |||||||||||||
Interest income | $ | 584,507 | $ | 496,911 | $ | 435,920 | $ | 409,634 | ||||||||
Interest expense | 507,037 | 426,950 | 366,859 | 357,634 | ||||||||||||
Net interest income | 77,470 | 69,961 | 69,061 | 52,000 | ||||||||||||
Provision for credit loss | — | — | — | — | ||||||||||||
Other income (loss) | (1,947 | ) | (130 | ) | 10,989 | 55 | ||||||||||
Other expenses | (31,348 | ) | (28,650 | ) | (31,274 | ) | (23,606 | ) | ||||||||
Net income before cumulative effects | 44,175 | 41,181 | 48,776 | 28,449 | ||||||||||||
Cumulative effect adjustment | — | — | — | (1,305 | ) | |||||||||||
Net income after cumulative effect | $ | 44,175 | $ | 41,181 | $ | 48,776 | $ | 27,144 | ||||||||
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• | Demand for FHLBNY advances resulting from changes in FHLBNY members’ deposit flows and credit demands; |
• | Volatility of market prices, rates, and indices or other factors that could affect the value of investments or collateral held by the FHLBNY as security for the obligations of FHLBNY members and counterparties to derivatives and similar agreements, which could result from the effects of, and changes in, various monetary or fiscal policies and regulations, including those determined by the Federal Reserve Board and the Federal Deposit Insurance Corporation; |
• | Political events, including legislative, regulatory, judicial, or other developments that affect the FHLBNY, its members, counterparties, and/or investors in the consolidated obligations of the FHLBanks, such as changes in the Federal Home Loan Bank Act or Finance Board regulations that affect FHLBNY’s operations and regulatory oversight; |
• | Competitive forces, including other sources of funding available to FHLBNY members without limitation, other entities borrowing funds in the capital markets, the ability to attract and retain skilled individuals; and general economic and market conditions. |
• | The pace of technological change and the ability to develop and support technology and information systems, including the Internet, sufficient to manage the risks of the FHLBNY’s business effectively; |
• | Changes in investor demand for consolidated obligations and/or the terms of derivatives and similar agreements, including without limitation changes in the relative attractiveness of consolidated obligations as compared to other investment opportunities; |
• | Timing and volume of market activity; |
• | Ability to introduce new products and services and to 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; and |
• | Inflation/deflation. |
• | Merger and acquisition activities resulting in reduction of members in the FHLBNY’s district. |
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Year-to-date | Year-to-date | |||||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2005 | 2004 | 2005 | 2004 | |||||||||||||
Average | Average | Ending Rate | Ending Rate | |||||||||||||
Federal Funds Rate | 3.19 | 1.35 | 4.25 | 2.24 | ||||||||||||
3-month LIBOR | 3.57 | 1.62 | 4.54 | 2.56 | ||||||||||||
2-year U.S.Treasury | 3.84 | 2.36 | 4.40 | 3.07 | ||||||||||||
5-year Treasury | 4.04 | 3.42 | 4.35 | 3.61 | ||||||||||||
10-year Treasury | 4.28 | 4.26 | 4.39 | 4.22 | ||||||||||||
15-year residential mortgage note rate | 5.41 | 5.13 | 5.74 | 5.12 | ||||||||||||
30-year residential mortgage note rate | 5.85 | 5.78 | 6.15 | 5.67 |
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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 to secure advances. | ||
• | 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 Mortgage Partnership Finance 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. |
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• | Approximately 5 percent of assets (State or local housing agency obligations, available-for-sale mortgage-backed securities, certain variable rate mortgage-backed securities, and certain mortgage-backed securities backed by manufactured homes) are valued using market pricing and a combination of dealer, market maker, or other external pricing source. |
• | The fair values derived from the use of Level 2 estimates are not material. |
• | All of the FHLBNY’s investment securities are marketable and can, theoretically, be priced using open market quotes. However, they generally do not have enough liquidity and would require special quotes from market makers. The fair values of about 95% of mortgage-backed securities are priced using pricing services provided by specialist securities pricing services. The loans acquired and originated under the MPF and CMA programs are priced using market information (pricing and spreads) as input to standard option valuation models. | ||
• | The fair values of all derivatives are valued using market information, including forward rates and expected volatilities, as input to standard option valuation models. | ||
• | With regard to the FHLBNY’s liabilities, the consolidated obligations do have a secondary market but there are limits to its liquidity and the FHLBNY’s ability to obtain timely quotes, particularly with regard to option-embedded issues that are seldom traded. Therefore, FHLBNY prices its bonds off of the current consolidated obligations market curve, which has a daily active market. The fair values of consolidated obligation debt (bonds and discount notes) are computed using standard option valuation models using market data: 1) consolidate obligation debt curve that is available to the public and published by the Office of Finance, and 2) LIBOR curve and volatilities. | ||
• | Variable rate advances are valued with market spreads, volatilities and using standard option valuation models. |
• | Fixed-rate advances with or without put options are all valued with internal assumptions and using standard valuation models. |
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• | Hedging strategy | ||
• | Identification of the item being hedged | ||
• | Determination of the accounting designation under SFAS 133 | ||
• | 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 hedge under SFAS 133 |
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Moody’s Investors Service | Standard & Poors | |||||||||
Year | Outlook | Rating | Short-Term Outlook | Rating | ||||||
2002 | July 31, 2002 — Affirmed | P-1 | March 22, 2002 | Short Term rating affirmed | A-1+ | |||||
2003 | March 17, 2003 | Short Term rating affirmed | A-1 + | |||||||
August 8, 2003 | Short Term rating affirmed | A-1 + | ||||||||
September 26, 2003 | Short Term rating affirmed | A-1 + | ||||||||
November 17, 2003 | Short Term rating affirmed | A-1 + | ||||||||
2004 | April 15, 2004 | Short Term rating affirmed | A-1 + | |||||||
2005 | October 14, 2005 — Affirmed | P-1 | April 29, 2005 | Short Term rating affirmed | A-1 + |
Moody’s Investors Service | Standard & Poors | |||||||||||
Year | Outlook | Rating | Long-Term Outlook | Rating | ||||||||
2002 | July 31, 2002 Affirmed | Aaa/S table | March 22, 2002 | Long Term rating affirmed | outlooks table | AAA/S table | ||||||
2003 | September 26, 2003 Affirmed | Aaa/S table | March 17, 2003 | Long Term rating affirmed | outlooks table | AAA/Stable | ||||||
August 8, 2003 | Long Term rating affirmed | outlook revised to negative | AAA/Negative | |||||||||
September 26, 2003 | Long Term rating downgraded | outlook revised to stable | AA+/Stable | |||||||||
November 17, 2003 | Long Term rating affirmed | outlook stable | AA+/Stable | |||||||||
2004 | April 15, 2004 | Long Term rating affirmed | outlook stable | AA+/Stable | ||||||||
2005 | October 14, 2005 Affirmed | Aaa/S table | April 29, 2005 | Long Term rating affirmed | outlook stable | AA+/Stable |
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December 31, 2005 | December 31, 2004 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amounts | of total | Amounts | of total | |||||||||||||
Adjustable Rate Credit — ARCs | $ | 13,545,279 | 21.95 | % | $ | 13,891,305 | 20.65 | % | ||||||||
Fixed Rate Advances | 25,652,854 | 41.58 | % | 24,116,211 | 35.86 | % | ||||||||||
Repurchase (Repo) Agreement | 15,564,415 | 25.23 | % | 19,526,844 | 29.03 | % | ||||||||||
Short-T erm Advances | 4,163,555 | 6.75 | % | 7,761,630 | 11.54 | % | ||||||||||
Mortgage Matched Advances | 913,534 | 1.48 | % | 1,032,075 | 1.53 | % | ||||||||||
Overnight Line of Credit (OLOC) Advances | 1,751,168 | 2.84 | % | 841,225 | 1.25 | % | ||||||||||
All other categories | 102,502 | 0.17 | % | 95,336 | 0.14 | % | ||||||||||
Total par value of advances | $ | 61,693,307 | 100.00 | % | $ | 67,264,626 | 100.00 | % | ||||||||
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December 31, 2005 | December 31, 2004 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Amount | Average | Amount | Average | |||||||||||||
Overdrawn demand deposit accounts | $ | — | 0.00 | % | $ | 237 | 4.75 | % | ||||||||
Due in one year or less | 15,645,155 | 4.12 | % | 23,111,281 | 2.90 | % | ||||||||||
Due after one year through two years | 8,858,008 | 4.16 | % | 7,583,635 | 3.38 | % | ||||||||||
Due after two years through three years | 11,493,647 | 4.45 | % | 7,967,893 | 3.05 | % | ||||||||||
Due after three years through four years | 2,641,601 | 4.90 | % | 8,435,962 | 3.79 | % | ||||||||||
Due after four years through five years | 7,615,315 | 5.42 | % | 2,300,288 | 4.91 | % | ||||||||||
Thereafter | 15,439,581 | 4.00 | % | 17,865,330 | 4.65 | % | ||||||||||
Total par value | 61,693,307 | 4.35 | % | 67,264,626 | 3.62 | % | ||||||||||
Discount on AHP advances* | (624 | ) | (786 | ) | ||||||||||||
Net premium on advances* | 1,122 | 1,784 | ||||||||||||||
SFAS 133 hedging adjustments* | 207,729 | 1,241,863 | ||||||||||||||
Total | $ | 61,901,534 | $ | 68,507,487 | ||||||||||||
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�� | ||||||||
December 31, 2005 | December 31, 2004 | |||||||
Overdrawn demand deposit accounts | $ | — | $ | 237 | ||||
Due in one year or less | 33,494,173 | 39,671,293 | ||||||
Due after one year through two years | 12,857,041 | 10,042,141 | ||||||
Due after two years through three years | 10,476,785 | 9,475,176 | ||||||
Due after three years through four years | 1,761,451 | 5,718,400 | ||||||
Due after four years through five years | 1,600,715 | 804,388 | ||||||
Thereafter | 1,503,142 | 1,552,991 | ||||||
Total par value | 61,693,307 | 67,264,626 | ||||||
Discount on AHP advances | (624 | ) | (786 | ) | ||||
Net premium on advances | 1,122 | 1,784 | ||||||
SFAS 133 hedging adjustments | 207,729 | 1,241,863 | ||||||
Total | $ | 61,901,534 | $ | 68,507,487 | ||||
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December 31, 2005 | December 31, 2004 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of total | Amount | of total | |||||||||||||
Fixed-rate | $ | 48,148,028 | 78.05 | % | $ | 53,373,084 | 79.35 | % | ||||||||
Variable-rate | 11,927,085 | 19.33 | % | 11,959,522 | 17.78 | % | ||||||||||
Variable-rate capped | 1,618,194 | 2.62 | % | 1,932,020 | 2.87 | % | ||||||||||
Total par value | $ | 61,693,307 | 100.00 | % | $ | 67,264,626 | 100.00 | % | ||||||||
December 31, | December 31, | |||||||
2005 | 2004 | |||||||
LIBOR indexed | $ | 12,832,429 | $ | 13,791,055 | ||||
Federal funds | 712,500 | 100,137 | ||||||
Prime | 350 | 350 | ||||||
Total | $ | 13,545,279 | $ | 13,891,542 | ||||
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December 31, | December 31, | Dollar | Percentage | |||||||||||||
2005 | 2004 | Variance | Variance | |||||||||||||
State or local housing agency obligations | $ | 992,578 | $ | 1,056,982 | $ | (64,404 | ) | -6.09 | % | |||||||
Mortgage-backed Securities | 8,573,863 | 11,527,055 | (2,953,192 | ) | -25.62 | % | ||||||||||
Total investment securities | $ | 9,566,441 | $ | 12,584,037 | $ | (3,017,596 | ) | -23.98 | % | |||||||
Interest-bearing deposits* | 8,698,807 | 2,806,870 | 5,891,937 | 209.91 | % | |||||||||||
Federal funds sold | 2,925,000 | 2,972,000 | (47,000 | ) | -1.58 | % | ||||||||||
Total investments | $ | 21,190,248 | $ | 18,362,907 | $ | 2,827,341 | 15.40 | % | ||||||||
*Excludes bank deposits |
December 31, 2005 | ||||||||||||||||
Gross | Gross | Estimated | ||||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
State or local housing agency obligations | $ | 992,578 | $ | 16,069 | $ | — | $ | 1,008,647 | ||||||||
Mortgage-backed securities | 8,573,863 | 72,908 | (125,844 | ) | 8,520,927 | |||||||||||
Total | $ | 9,566,441 | $ | 88,977 | $ | (125,844 | ) | $ | 9,529,574 | |||||||
December 31, 2004 | ||||||||||||||||
Gross | Gross | Estimated | ||||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
State or local housing agency obligations | $ | 1,056,982 | $ | 26,669 | $ | (718 | ) | $ | 1,082,933 | |||||||
Mortgage-backed securities | 10,813,692 | 220,060 | (21,808 | ) | 11,011,944 | |||||||||||
Total | $ | 11,870,674 | $ | 246,729 | $ | (22,526 | ) | $ | 12,094,877 | |||||||
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December 31, 2005 | December 31, 2004 | |||||||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||||||
Cost | Fair Value | Cost | Fair Value | |||||||||||||
State and local housing bonds | ||||||||||||||||
Due in one year or less | $ | — | $ | — | $ | — | $ | — | ||||||||
Due after one year through five years | 12,853 | 13,415 | — | — | ||||||||||||
Due after five years through ten years | 35,930 | 36,922 | 48,063 | 50,156 | ||||||||||||
Due after ten years | 943,795 | 958,310 | 1,008,919 | 1,032,777 | ||||||||||||
State and local housing finance agency bonds | 992,578 | 1,008,647 | 1,056,982 | 1,082,933 | ||||||||||||
Mortgage-backed securities | ||||||||||||||||
Due in one year or less | — | — | — | — | ||||||||||||
Due after one year through five years | 1,281,487 | 1,329,776 | 1,512,286 | 1,632,348 | ||||||||||||
Due after five years through ten years | 11,556 | 11,515 | 17,402 | 17,641 | ||||||||||||
Due after ten years | 7,280,820 | 7,179,636 | 9,284,004 | 9,361,955 | ||||||||||||
Mortgage-backed securities | 8,573,863 | 8,520,927 | 10,813,692 | 11,011,944 | ||||||||||||
Total securities | $ | 9,566,441 | $ | 9,529,574 | $ | 11,870,674 | $ | 12,094,877 | ||||||||
December 31, 2005 | December 31, 2004 | |||||||||||||||
Amortized | Weighted Average | Amortized | Weighted Average | |||||||||||||
Cost | Rate | Cost | Rate | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
Due in one year or less | $ | — | $ | — | ||||||||||||
Due after one year through five years | 1,281,487 | 6.73 | % | 1,512,286 | 6.71 | % | ||||||||||
Due after five years through ten years | 11,556 | 6.25 | % | 17,402 | 6.24 | % | ||||||||||
Due after ten years | 7,280,820 | 5.10 | % | 9,284,004 | 4.82 | % | ||||||||||
Total mortgage-backed securities | $ | 8,573,863 | 5.34 | % | $ | 10,813,692 | 4.92 | % | ||||||||
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December 31, 2005 | December 31, 2004 | |||||||
Mortgage-backed securities — amortized cost | $ | — | $ | 711,123 | ||||
Unrealized gain on available-for-sale securities | — | 2,240 | ||||||
Estimated Fair Value | $ | — | $ | 713,363 | ||||
December 31, 2005 | December 31, 2004 | |||||||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||||||
Cost | Fair Value | Cost | Fair Value | |||||||||||||
Due in one year or less | $ | — | $ | — | $ | — | $ | — | ||||||||
Due after one year through five years | — | — | — | — | ||||||||||||
Due after five years through ten years | — | — | — | — | ||||||||||||
Due after ten years | 711,123 | 713,363 | ||||||||||||||
Total | $ | — | $ | — | $ | 711,123 | $ | 713,363 | ||||||||
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December 31, 2005 | December 31, 2004 | |||||||
U.S. government sponsored enterprise residential mortgage-backed securities | $ | 3,967,551 | $ | 4,867,677 | ||||
U.S. agency residential mortgage-backed securities | 11,471 | 217,710 | ||||||
Home equity loans | 1,600,847 | 3,156,431 | ||||||
Non-federal agency residential mortgage-backed securities | 790,233 | 664,611 | ||||||
Non-federal agency commercial mortgage-backed securities | 1,840,410 | 2,188,731 | ||||||
Manufactured housing loans | 363,351 | 431,895 | ||||||
Total mortgage-backed and asset- backed securities | $ | 8,573,863 | $ | 11,527,055 | ||||
* | Includes available-for-sale securities aggregating $0 and $711 million, on a cost basis, at December 31, 2005 and 2004. |
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NRSRO Ratings- December 31, 2005 | ||||||||||||||||
Amount | AAA | AA | A | |||||||||||||
Issued, guaranteed or insured by: | ||||||||||||||||
Pools of Mortgages | ||||||||||||||||
Fannie Mae | $ | 1,934,397 | $ | 1,934,397 | $ | — | $ | — | ||||||||
Freddie Mac | 545,587 | 545,587 | — | — | ||||||||||||
Total pools of mortgages | 2,479,984 | 2,479,984 | — | — | ||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||
Fannie Mae | 530,252 | 530,252 | — | — | ||||||||||||
Freddie Mac | 957,315 | 957,315 | — | — | ||||||||||||
Ginnie Mae | 11,471 | 11,471 | — | — | ||||||||||||
Total CMOs/REMICs | 1,499,038 | 1,499,038 | — | — | ||||||||||||
Non-GSE MBS | ||||||||||||||||
CMOs/REMICs | 790,233 | 790,233 | — | — | ||||||||||||
Commercial mortgage-backed securities | 1,840,410 | 1,840,410 | — | — | ||||||||||||
Total non-federal-agency MBS | 2,630,643 | 2,630,643 | — | — | ||||||||||||
Asset-Backed Securities | ||||||||||||||||
Manufactured housing (insured) | 363,351 | 363,351 | — | — | ||||||||||||
Home equity loans (insured) | 886,830 | 886,830 | — | — | ||||||||||||
Home equity loans (uninsured) | 714,017 | 714,017 | — | — | ||||||||||||
Total asset-backed securities | 1,964,198 | 1,964,198 | — | — | ||||||||||||
Total mortgage-backed securities | $ | 8,573,863 | $ | 8,573,863 | $ | — | $ | — | ||||||||
Other | ||||||||||||||||
State and local housing finance agency obligations | $ | 992,578 | $ | 434,036 | $ | 558,542 | $ | — | ||||||||
Interest-bearing deposits | 8,699,107 | 8,698,807 | 300 | |||||||||||||
Overnight Federal funds | 2,925,000 | 2,925,000 | — | |||||||||||||
Total other | $ | 12,616,685 | $ | 12,057,843 | $ | 558,842 | $ | — | ||||||||
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NRSRO Ratings- December 31, 2004 | ||||||||||||||||
Amount | AAA | AA | A | |||||||||||||
Issued, guaranteed or insured by: | ||||||||||||||||
Pools of Mortgages | ||||||||||||||||
Fannie Mae | $ | 2,370,522 | $ | 2,370,522 | $ | — | $ | — | ||||||||
Freddie Mac | 656,542 | 656,542 | — | — | ||||||||||||
Total pools of mortgages | 3,027,064 | 3,027,064 | — | — | ||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||
Fannie Mae | 759,270 | 759,270 | — | — | ||||||||||||
Freddie Mac | 1,081,342 | 1,081,342 | — | — | ||||||||||||
Ginnie Mae | 217,710 | 217,710 | — | — | ||||||||||||
Total CMOs/REMICs | 2,058,322 | 2,058,322 | — | — | ||||||||||||
Non-GSE MBS | ||||||||||||||||
CMOs/REMICs | 655,964 | 655,964 | — | — | ||||||||||||
Commercial mortgage-backed securities | 2,188,732 | 2,188,732 | — | — | ||||||||||||
Total non-federal-agency MBS | 2,844,696 | 2,844,696 | — | — | ||||||||||||
Asset-Backed Securities | ||||||||||||||||
Manufactured housing (insured) | 431,895 | 431,895 | — | — | ||||||||||||
Home equity loans (insured) | 3,165,078 | 3,165,078 | — | — | ||||||||||||
Home equity loans (uninsured) | — | — | — | — | ||||||||||||
Total asset-backed securities | 3,596,973 | 3,596,973 | — | — | ||||||||||||
Total mortgage-backed securities | $ | 11,527,055 | $ | 11,527,055 | $ | — | $ | — | ||||||||
Other | ||||||||||||||||
State and local housing finance agency obligations | $ | 1,056,982 | $ | 374,842 | $ | 682,140 | $ | — | ||||||||
Interest-bearing deposits | 2,806,870 | 19,170 | 653,938 | 2,133,762 | ||||||||||||
Overnight Federal funds | 2,972,000 | — | — | 2,972,000 | ||||||||||||
Total other | $ | 6,835,852 | $ | 394,012 | $ | 1,336,078 | $ | 5,105,762 | ||||||||
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December 31, | ||||||||||||||||
2005 | Percentage | 2004 | Percentage | |||||||||||||
Real Estate: | ||||||||||||||||
Fixed medium-term single-family mortgages | $ | 596,236 | 40.8 | % | $ | 516,666 | 44.2 | % | ||||||||
Fixed long-term single-family mortgages | 853,738 | 58.5 | % | 641,730 | 54.8 | % | ||||||||||
Multi-family mortgages | 6,859 | 0.5 | % | 9,493 | 0.8 | % | ||||||||||
Non-residential mortgages | 2,713 | 0.2 | % | 2,771 | 0.2 | % | ||||||||||
Total par value | 1,459,546 | 100.0 | % | 1,170,660 | 100.0 | % | ||||||||||
Net unamortized premiums | 14,789 | 13,294 | ||||||||||||||
Net unamortized discounts | (6,381 | ) | (4,882 | ) | ||||||||||||
Basis adjustment | (429 | ) | (482 | ) | ||||||||||||
Total mortgage loans held-for-portfolio | 1,467,525 | 1,178,590 | ||||||||||||||
Allowance for credit losses | (582 | ) | (507 | ) | ||||||||||||
Total mortgage loans held-for-portfolio after allowance for credit losses | $ | 1,466,943 | $ | 1,178,083 | ||||||||||||
December 31, 2005 | December 31, 2004 | |||||||
Federal Housing Administration and Veteran Administration insured loans | $ | 14,302 | $ | 20,632 | ||||
Conventional loans | 1,435,672 | 1,137,765 | ||||||
Others | 9,572 | 12,263 | ||||||
Total par value | $ | 1,459,546 | $ | 1,170,660 | ||||
For the years ended | ||||||||||||
December 31, | ||||||||||||
2005 | 2004 | 2003 | ||||||||||
Balance, beginning of period | $ | 507 | $ | 507 | $ | 428 | ||||||
Charge offs | — | — | — | |||||||||
Recoveries | — | — | — | |||||||||
Net charge-off | — | — | — | |||||||||
Provision for credit losses | 75 | — | 79 | |||||||||
Balance, end of period | $ | 582 | $ | 507 | $ | 507 | ||||||
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December 31, 2005 | December 31, 2004 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Maturity | Amount | Rate | Amount | Rate | ||||||||||||
1 year or less | $ | 21,715,080 | 3.57 | % | $ | 25,348,025 | 2.64 | % | ||||||||
over 1 year through 2 years | 15,632,185 | 3.83 | % | 16,297,480 | 3.41 | % | ||||||||||
over 2 years through 3 years | 11,266,170 | 4.19 | % | 8,688,675 | 3.54 | % | ||||||||||
over 3 years through 4 years | 2,690,100 | 4.06 | % | 4,561,750 | 4.00 | % | ||||||||||
over 4 years through 5 years | 2,250,700 | 4.35 | % | 2,227,200 | 3.89 | % | ||||||||||
over 5 years through 6 years | 931,500 | 4.56 | % | 1,028,350 | 4.57 | % | ||||||||||
Thereafter | 2,632,700 | 5.09 | % | 2,434,650 | 5.14 | % | ||||||||||
Total par value | 57,118,435 | 3.90 | % | 60,586,130 | 3.26 | % | ||||||||||
Bond premiums | 48,547 | 112,768 | ||||||||||||||
Bond discounts | (19,244 | ) | (19,957 | ) | ||||||||||||
SFAS 133 fair value adjustments | (375,885 | ) | (161,370 | ) | ||||||||||||
Deferred net gains on terminated hedges | (3,231 | ) | (2,215 | ) | ||||||||||||
Total | $ | 56,768,622 | $ | 60,515,356 | ||||||||||||
December 31, 2005 | December 31, 2004 | |||||||
Year of Maturity or next call date | ||||||||
Due or callable in one year or less | $ | 38,111,080 | $ | 37,897,285 | ||||
Due or callable after one year through two years | 9,131,685 | 12,616,220 | ||||||
Due or callable after two years through three years | 6,727,170 | 4,948,175 | ||||||
Due or callable after three years through four years | 844,600 | 3,202,750 | ||||||
Due or callable after four years through five years | 855,000 | 696,700 | ||||||
Due or callable after five years through six years | 318,500 | 605,350 | ||||||
Thereafter | 1,130,400 | 619,650 | ||||||
Total par value | $ | 57,118,435 | $ | 60,586,130 | ||||
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December 31, 2005 | December 31, 2004 | |||||||
Fixed-rate, Non-callable | $ | 34,113,135 | $ | 34,635,470 | ||||
Fixed-rate, Callable | 15,687,300 | 19,001,260 | ||||||
Step Ups | 6,443,000 | 1,260,000 | ||||||
Single-index Floating Rate | 875,000 | 5,689,400 | ||||||
Total | $ | 57,118,435 | $ | 60,586,130 | ||||
Weighted | ||||||||||||
Book | Par | Average | ||||||||||
Value | Value | Interest Rate | ||||||||||
December 31, 2005 | $ | 20,510,525 | $ | 20,651,191 | 4.05 | % | ||||||
December 31, 2004 | $ | 19,641,626 | $ | 19,670,201 | 1.90 | % | ||||||
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Moody’s Investors Service | Standard & Poors | |||||||||||||||||||
Year | Outlook | Rating | Short-Term Outlook | Rating | ||||||||||||||||
2002 | July 31, 2002 - Affirmed | P | -1 | March 22, 2002 | Short Term rating affirmed | A-1+ | ||||||||||||||
2003 | March 17, 2003 | Short Term rating affirmed | A-1+ | |||||||||||||||||
August 8, 2003 | Short Term rating affirmed | A-1+ | ||||||||||||||||||
September 26, 2003 | Short Term rating affirmed | A-1+ | ||||||||||||||||||
November 17, 2003 | Short Term rating affirmed | A-1+ | ||||||||||||||||||
2004 | April 15, 2004 | Short Term rating affirmed | A-1+ | |||||||||||||||||
2005 | October 14, 2005 - Affirmed | P | -1 | April 29, 2005 | Short Term rating affirmed | A-1+ |
Moody’s Investors Service | Standard & Poors | |||||||||||||||||||||||
Year | Outlook | Rating | Long-Term Outlook | Rating | ||||||||||||||||||||
2002 | July 31, 2002 | Aaa/Stable | March 22, 2002 | Long Term rating affirmed | outlook stable | AAA/Stable | ||||||||||||||||||
Affirmed | ||||||||||||||||||||||||
2003 | September 26, 2003 | Aaa/Stable | March 17, 2003 | Long Term rating affirmed | outlook stable | AAA/Stable | ||||||||||||||||||
Affirmed | August 8, 2003 | Long Term rating affirmed | outlook revised to negative | AAA/Negative | ||||||||||||||||||||
September 26, 2003 | Long Term rating downgraded | outlook revised to stable | AA+/Stable | |||||||||||||||||||||
November 17, 2003 | Long Term rating affirmed | outlook stable | AA+/Stable | |||||||||||||||||||||
2004 | April 15, 2004 | Long Term rating affirmed | outlook stable | AA+/Stable | ||||||||||||||||||||
2005 | October 14, 2005 | Aaa/Stable | April 29, 2005 | Long Term rating affirmed | outlook stable | AA+/Stable | ||||||||||||||||||
Affirmed |
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Derivatives | Hedging | Notional | |||||||||||
Terms | Strategy | Accounting Designation | Amount (in millions) | ||||||||||
Pay fixed, receive floating interest rate swap | To convert fixed rate on a fixed rate advance to a LIBOR floating rate | Fair Value Hedge | $ | 32,667 | |||||||||
Purchased interest rate cap | To offset the cap embedded in the variable rate advance | Fair Value Hedge | $ | 1,618 | |||||||||
Receive fixed, pay floating interest rate swap (non-callable) | To convert the fixed rate consolidated obligation debt to a LIBOR floating rate | Fair Value Hedge | $ | 18,507 | |||||||||
Pay fixed, receive LIBOR interest rate swap | To offset the variability of cash flows associated with interest payments on forecasted issuance of fixed rate consolidated obligation debt. | Cash Flow Hedge | $ | 788 | |||||||||
Received fixed, pay floating interest rate swap with an option to call. | To convert the fixed rate consolidated obligation debt to LIBOR floating rate; swap is callable on the same day as the consolidated obligation debt. | Fair Value Hedge | $ | 19,556 | |||||||||
Intermediary positions Interest rate swaps Interest rate caps | To offset interest rate swaps and caps executed with members by executing offsetting derivatives with counterparties. | Economic Hedge | $ | 130 | |||||||||
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Short-Cut | Long-Haul | Total | ||||||||||||||||||||||
Derivative Hedging by Product Type: | Notional | Fair Values | Notional | Fair Values | Notional | Fair Values | ||||||||||||||||||
Advances | $ | 29,962 | $ | (202 | ) | $ | 4,323 | $ | (6 | ) | $ | 34,285 | $ | (208 | ) | |||||||||
Consolidated Obligations | 13,731 | (93 | ) | 25,119 | (293 | ) | 38,850 | (386 | ) | |||||||||||||||
Mortgage Commitments* | — | — | 1 | — | 1 | — | ||||||||||||||||||
Others* | — | — | 130 | — | 130 | — | ||||||||||||||||||
Total | $ | 43,693 | $ | (295 | ) | $ | 29,573 | $ | (299 | ) | $ | 73,266 | $ | (594 | ) | |||||||||
SFAS 133 Hedge Classification: | ||||||||||||||||||||||||
Fair Value Hedge | $ | 43,693 | $ | (295 | ) | $ | 27,031 | $ | (300 | ) | $ | 70,724 | $ | (595 | ) | |||||||||
Cash Flow Hedges | — | — | 788 | 1 | 788 | 1 | ||||||||||||||||||
Intermediation | — | — | 130 | — | 130 | — | ||||||||||||||||||
Economic Hedges | — | — | 1,624 | — | 1,624 | — | ||||||||||||||||||
Total | $ | 43,693 | $ | (295 | ) | $ | 29,573 | $ | (299 | ) | $ | 73,266 | $ | (594 | ) | |||||||||
* | Fair Values are not significant; mortgage commitments are no longer hedged commencing 4th quarter 2005 |
Short-Cut | Long-Haul | Total | ||||||||||||||||||||||
Derivative Hedging by Product Type: | Notional | Fair Values | Notional | Fair Values | Notional | Fair Values | ||||||||||||||||||
Advances | $ | 28,356 | $ | (1,173 | ) | $ | 1,346 | $ | (65 | ) | $ | 29,702 | $ | (1,238 | ) | |||||||||
Consolidated Obligations | 14,248 | (33 | ) | 20,074 | (135 | ) | 34,322 | (168 | ) | |||||||||||||||
Mortgage Commitments* | 10 | — | — | — | 10 | — | ||||||||||||||||||
Others* | — | — | 2,111 | — | 2,111 | — | ||||||||||||||||||
Total | $ | 42,614 | $ | (1,206 | ) | $ | 23,531 | $ | (200 | ) | $ | 66,145 | $ | (1,406 | ) | |||||||||
SFAS 133 Hedge Classification: | ||||||||||||||||||||||||
Fair Value Hedge | $ | 41,892 | $ | (1,209 | ) | $ | 21,420 | $ | (197 | ) | $ | 63,312 | $ | (1,406 | ) | |||||||||
Cash Flow Hedges | 722 | 3 | — | — | 722 | 3 | ||||||||||||||||||
Intermediation | — | — | 112 | — | 112 | — | ||||||||||||||||||
Economic Hedges | — | — | 1,999 | (3 | ) | 1,999 | (3 | ) | ||||||||||||||||
Total | $ | 42,614 | $ | (1,206 | ) | $ | 23,531 | $ | (200 | ) | $ | 66,145 | $ | (1,406 | ) | |||||||||
* | Fair Values are not significant |
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December 31, 2005 | December 31, 2004 | |||||||||||||||
Total estimated | Total estimated | |||||||||||||||
fair value | fair value | |||||||||||||||
(excluding | (excluding | |||||||||||||||
Total notional | accrued | Total notional | accrued | |||||||||||||
amount | interest) | amount | interest) | |||||||||||||
Advances — fair value hedges | $ | 32,662,378 | $ | (208,249 | ) | $ | 29,701,594 | $ | (1,237,680 | ) | ||||||
Advances — economic hedges | 1,623,194 | (135 | ) | 1,999,140 | (3,413 | ) | ||||||||||
Consolidated obligations — fair value hedges | 38,062,240 | (386,335 | ) | 33,610,060 | (168,178 | ) | ||||||||||
Mortgage loans — commitment | 657 | — | 10,316 | 16 | ||||||||||||
Balance sheet — economic hedges | — | — | — | — | ||||||||||||
Cash Flow- anticipated transactions | 788,000 | 528 | 712,150 | 3,057 | ||||||||||||
Intermediary positions — economic hedges | 130,000 | 5 | 112,000 | 9 | ||||||||||||
Total notional and fair value | $ | 73,266,469 | $ | (594,186 | ) | $ | 66,145,260 | $ | (1,406,189 | ) | ||||||
Total derivatives, excluding accrued interest | $ | (594,186 | ) | $ | (1,406,189 | ) | ||||||||||
Accrued interest | 121,516 | 45,042 | ||||||||||||||
Net derivative balance | $ | (472,670 | ) | $ | (1,361,147 | ) | ||||||||||
Net derivative asset balance | $ | 19,197 | $ | 11,048 | ||||||||||||
Net derivative liability balance | (491,867 | ) | (1,372,195 | ) | ||||||||||||
Net derivative balance | $ | (472,670 | ) | $ | (1,361,147 | ) | ||||||||||
to earnings.
For the years ended December 31, | ||||||||||||
2005 | 2004 | 2003 | ||||||||||
Accumulated gains and (losses), beginning of year | $ | 898 | $ | (13 | ) | $ | — | |||||
Net hedging transactions | 6,054 | 2,161 | (31 | ) | ||||||||
Reclassified into earnings | (1,600 | ) | (1,250 | ) | 18 | |||||||
Accumulated gains and (losses), end of year | $ | 5,352 | $ | 898 | $ | (13 | ) | |||||
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For the year ended December 31, 2005 | ||||||||||||||||||||||||
Consolidated | ||||||||||||||||||||||||
MPF | Obligation | Economic | Intermediary | |||||||||||||||||||||
Earnings Impact | Advances | Loans | Bonds | Hedges | Positions | Total | ||||||||||||||||||
Amortization/accretion of hedging activities in net margin | $ | (460 | ) | $ | 154 | $ | 6,706 | $ | — | $ | — | $ | 6,400 | |||||||||||
Net realized and unrealized gains (losses) on derivatives and hedging activities | (8,640 | ) | (582 | ) | (241 | ) | — | (3 | ) | (9,466 | ) | |||||||||||||
Total | $ | (9,100 | ) | $ | (428 | ) | $ | 6,465 | $ | — | $ | (3 | ) | $ | (3,066 | ) | ||||||||
For the year ended December 31, 2004 | ||||||||||||||||||||||||
Consolidated | ||||||||||||||||||||||||
MPF | Obligation | Economic | Intermediary | |||||||||||||||||||||
Earnings Impact | Advances | Loans | Bonds | Hedges | Positions | Total | ||||||||||||||||||
Amortization/accretion of hedging activities in net margin | $ | (352 | ) | $ | 57 | $ | 5,914 | $ | — | $ | — | $ | 5,619 | |||||||||||
Net realized and unrealized gains (losses) on derivatives and hedging activities | (7,132 | ) | (57 | ) | 13,760 | 1,707 | (4 | ) | 8,274 | |||||||||||||||
Total | $ | (7,484 | ) | $ | — | $ | 19,674 | $ | 1,707 | $ | (4 | ) | $ | 13,893 | ||||||||||
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December 31, 2005 | ||||||||||||||||
Total Net | ||||||||||||||||
Number of | Notional | Exposure at | Net Exposure | |||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | after Collateral | ||||||||||||
AAA | 1 | $ | 4,971,463 | $ | — | $ | — | |||||||||
AA | 9 | 39,388,721 | 5,167 | — | ||||||||||||
A | 6 | 23,347,665 | 14,030 | 4,695 | ||||||||||||
BBB | 1 | 5,492,963 | — | — | ||||||||||||
Members | 3 | 65,000 | — | — | ||||||||||||
Delivery Commitments | 657 | — | — | |||||||||||||
Total | 20 | $ | 73,266,469 | $ | 19,197 | $ | 4,695 | |||||||||
December 31, 2004 | ||||||||||||||||
Total Net | ||||||||||||||||
Number of | Notional | Exposure at | Net Exposure | |||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | after Collateral | ||||||||||||
AAA | $ | — | $ | — | $ | — | ||||||||||
AA | 5 | 22,276,326 | 10,982 | 10,382 | ||||||||||||
A | 12 | 43,802,618 | — | — | ||||||||||||
Members | 3 | 56,000 | 43 | 7 | ||||||||||||
Delivery Commitments | 10,316 | 16 | — | |||||||||||||
Total | 20 | $ | 66,145,260 | $ | 11,041 | $ | 10,389 | |||||||||
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§ | Prospective assessment.Upon designation of the hedging relationship and on an ongoing basis, FHLBNY will be required to demonstrate that it expects the hedging relationships to be highly effective. This is a forward-looking relationship consideration. The FHLBNY 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%-120% dollar value offset boundaries. | |
§ | 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. |
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• | 20% of the sum of its daily average overnight and demand deposits and other overnight borrowings, and | ||
• | 10% of the sum of its daily average term deposits, consolidated obligations and other borrowings that mature within one year. |
• | Overnight funds and overnight deposits placed with eligible financial institutions; | ||
• | Overnight and term-resale agreements with eligible counterparties that mature in 31 days or less and that use for collateral (1) securities that are eligible investments under the investment guidelines, and (2) mortgages insured by the Federal Housing Administration or guaranteed by the Veterans Administration; | ||
• | Negotiable certificates of deposit placed with eligible financial institutions; bankers’ acceptances drawn on and accepted by eligible financial institutions; and commercial paper issued in U.S. financial markets and rated P-1 by Moody’s or A-1 by Standard & Poor’s, that on settlement date have a remaining term to maturity not exceeding 9 months. | ||
• | Marketable direct obligations of the U.S. government that mature in 36 months or less; | ||
• | Marketable direct obligations of U.S. government-sponsored agencies and instrumentalities that mature in 36 months or less and for which the credit of such institution is pledged for repayment of both principal and interest; and | ||
• | Cash and collected balances held at a Federal Reserve Bank or other eligible financial institutions, net of member pass-throughs. |
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• | Obligations of the United States; | ||
• | Deposits in banks or trust companies; or | ||
• | Advances with a maturity of not to exceed five years. |
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Average Deposit | Average Actual | |||||||||||
For the quarter ended | Reserve Required | Deposit Liquidity | Excess | |||||||||
March 31, 2004 | $ | 2,326 | $ | 41,020 | $ | 38,694 | ||||||
June 30, 2004 | 2,084 | 42,169 | 40,085 | |||||||||
September 30, 2004 | 4,968 | 43,531 | 38,563 | |||||||||
December 31, 2004 | 5,281 | 45,207 | 39,926 | |||||||||
March 31, 2005 | 2,150 | 44,667 | 42,517 | |||||||||
June 30, 2005 | 2,222 | 43,642 | 41,420 | |||||||||
September 30, 2005 | 2,022 | 41,795 | 39,773 | |||||||||
December 31, 2005 | 1,976 | 42,602 | 40,626 |
Average | ||||||||||||
Balance Sheet | Average | |||||||||||
Liquidity | Operational | |||||||||||
For the quarter ended | Requirement | Liquidity | Excess | |||||||||
March 31, 2004 | $ | 4,944 | $ | 15,084 | $ | 10,140 | ||||||
June 30, 2004 | 8,536 | 19,273 | 10,737 | |||||||||
September 30, 2004 | 8,160 | 17,544 | 9,384 | |||||||||
December 31, 2004 | 4,300 | 16,510 | 12,210 | |||||||||
March 31, 2005 | 5,507 | 16,311 | 10,804 | |||||||||
June 30, 2005 | 5,484 | 16,988 | 11,504 | |||||||||
September 30, 2005 | 5,488 | 19,642 | 14,154 | |||||||||
December 31, 2005 | 4,314 | 17,328 | 13,014 |
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Average Five Day | Average | |||||||||||
For the quarter ended | Requirement | Contingency Liquidity | Excess | |||||||||
March 31, 2004 | $ | 5,878 | $ | 11,883 | $ | 6,005 | ||||||
June 30, 2004 | 5,937 | 15,328 | 9,391 | |||||||||
September 30, 2004 | 4,711 | 13,943 | 9,232 | |||||||||
December 31, 2004 | 4,507 | 13,641 | 9,134 | |||||||||
March 31, 2005 | 3,600 | 13,709 | 10,109 | |||||||||
June 30, 2005 | 4,785 | 14,615 | 9,830 | |||||||||
September 30, 2005 | 2,155 | 14,345 | 12,190 | |||||||||
December 31, 2005 | 2,740 | 15,390 | 12,650 |
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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. |
December 31, | ||||||||
2005 | 2004 | |||||||
Consolidated Obligations: | ||||||||
Bonds | $ | 56,768,622 | $ | 60,515,356 | ||||
Discount Notes | 20,510,525 | 19,641,626 | ||||||
$ | 77,279,147 | $ | 80,156,982 | |||||
Unpledged assets | ||||||||
Cash | 22,114 | 22,376 | ||||||
Less: Member pass-through reserves at the FRB | (47,469 | ) | (54,082 | ) | ||||
Secured Advances | 61,901,534 | 68,507,487 | ||||||
Investments | 21,190,548 | 18,362,906 | ||||||
Mortgage Loans | 1,466,943 | 1,178,083 | ||||||
Other loans | 320 | 511 | ||||||
Accrued interest receivable on advances and investments | 377,254 | 315,768 | ||||||
Less: Pledged Assets | (244,807 | ) | (1,091,677 | ) | ||||
84,666,437 | 87,241,372 | |||||||
Excess unpledged assets | $ | 7,387,290 | $ | 7,084,390 | ||||
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December 31, 2005 | December 31, 2004 | |||||||||||||||
Actual | Limits | Actual | Limits | |||||||||||||
Mortgage securities investment authority | 220 | % | 300 | % | 287 | % | 300 | % | ||||||||
Leverage Ratio (Note 1) | ||||||||||||||||
Ratio of total assets to capital | N/A | N/A | 22.10 | 25 times | ||||||||||||
Percentage of non-mortgage assets to total assets* | N/A | N/A | (0.34 | )% | 11.00 | % | ||||||||||
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For the years ended | ||||||||||||
December, 31 | ||||||||||||
2005 | 2004 | 2003 | ||||||||||
ARC Advances | $ | 443,080 | $ | 188,119 | $ | 166,775 | ||||||
Fixed Rate Advances | 1,078,680 | 1,071,656 | 1,237,177 | |||||||||
Short Term Advances | 143,877 | 97,134 | 72,349 | |||||||||
Community Investment Advances | 5,103 | 4,777 | 5,310 | |||||||||
Overnight Line of Credit Advances | 38,377 | 10,310 | 7,410 | |||||||||
Affordable Ho using Pro gram Advances | 344 | 460 | 567 | |||||||||
Repurchase Agreement Advances | 799,026 | 807,557 | 897,264 | |||||||||
Mortgage Match Advances | 36,775 | 40,532 | 42,115 | |||||||||
Total Interest Income | 2,545,262 | 2,220,545 | 2,428,967 | |||||||||
Net Impact of interest-rate swaps | (370,314 | ) | (972,977 | ) | (1,135,977 | ) | ||||||
Reported Interest Income | $ | 2,174,948 | $ | 1,247,568 | $ | 1,292,990 | ||||||
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For the years ended | ||||||||||||
December, 31 | ||||||||||||
2005 | 2004 | 2003 | ||||||||||
Fixed-rate Bonds | $ | 1,905,853 | $ | 1,734,176 | $ | 2,023,597 | ||||||
Floating-rate Bonds | 69,179 | 92,207 | 59,362 | |||||||||
Discount Notes | 658,655 | 254,357 | 280,133 | |||||||||
2,633,687 | 2,080,740 | 2,363,092 | ||||||||||
Net Impact of interest rate swaps and amortization of basis | 27,110 | (449,519 | ) | (629,429 | ) | |||||||
Reported Interest Expense | $ | 2,660,797 | $ | 1,631,221 | $ | 1,733,663 | ||||||
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For the years ended | ||||||||||||||||
December 31, | Dollar | Percentage | ||||||||||||||
2005 | 2004 | Variance | Variance | |||||||||||||
Interest Income | ||||||||||||||||
Advances | $ | 2,174,948 | $ | 1,247,568 | $ | 927,380 | 74.34 | % | ||||||||
Mortgage loans held for portfolio | 69,312 | 48,291 | 21,021 | 43.53 | % | |||||||||||
Investments and Other | 876,785 | 631,113 | 245,672 | 38.93 | % | |||||||||||
Total interest income | 3,121,045 | 1,926,972 | 1,194,073 | 61.97 | % | |||||||||||
Interest Expense | ||||||||||||||||
Consolidated obligations | 2,660,796 | 1,631,221 | 1,029,575 | 63.12 | % | |||||||||||
Other | 65,277 | 27,259 | 38,018 | 139.47 | % | |||||||||||
Total interest expense | 2,726,073 | 1,658,480 | 1,067,593 | 64.37 | % | |||||||||||
Net interest income before credit loss provision | $ | 394,972 | $ | 268,492 | $ | 126,480 | 47.11 | % | ||||||||
For the years ended | ||||||||||||||||
December 31, | Dollar | Percentage | ||||||||||||||
2004 | 2003 | Variance | Variance | |||||||||||||
Interest Income | ||||||||||||||||
Advances | $ | 1,247,568 | $ | 1,292,990 | $ | (45,422 | ) | (3.51 | %) | |||||||
Mortgage loans held for portfolio | 48,291 | 29,099 | 19,192 | 65.95 | % | |||||||||||
Investments and Other | 631,113 | 738,366 | (107,253 | ) | (14.53 | %) | ||||||||||
Total interest income | 1,926,972 | 2,060,455 | (133,483 | ) | (6.48 | %) | ||||||||||
Interest Expense | ||||||||||||||||
Consolidated obligations | 1,631,221 | 1,733,663 | (102,442 | ) | (5.91 | %) | ||||||||||
Other | 27,259 | 28,269 | (1,010 | ) | (3.57 | %) | ||||||||||
Total interest expense | 1,658,480 | 1,761,932 | (103,452 | ) | (5.87 | %) | ||||||||||
Net interest income before credit loss provision | $ | 268,492 | $ | 298,523 | $ | (30,031 | ) | (10.06 | %) | |||||||
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1. | First, the benefits from selective pricing increases instituted through most advance products during the latter part of 2004 were more fully realized in 2005 as maturing advances were being replaced by new advances at the new pricing. In addition, the mix of the advance business, which had been trending towards the relatively lower margin, short-term advances during the first half of 2004, reversed somewhat and demand for the relatively higher margin, fixed-rate advances increased in 2005. | ||
2. | Second, the benefits from selectively retiring high-coupon debt in 2004 were also being realized in 2005. The FHLBNY has continued its practice of selectively retiring debt associated with the funding of advances or investments that were paid off early. In 2004, net interest spread still remained compressed through the second quarter of 2004 partly from the carrying costs of high-priced liabilities that were associated with $1.9 billion in long-term mortgage-backed securities sold in the third quarter of 2003 because of deteriorating creditworthiness of those securities. The effort to restructure the liabilities and reduce the high-priced funding was underway in 2004 but the full effect was not realized until 2005. | ||
3. | Third, a significant portion of net interest income was derived from earnings on assets funded by non-interest bearing capital and other funds. While average total capital and non-interest bearing funds declined to $5.0 billion in 2005 from $5.8 billion in 2004, the weighted-average yield on assets increased by 138 basis points to 3.68 percent, compared to 2.30 percent in 2004. As market interest rates rose, coupons and yields on assets rose. The expansion in asset yields, driven primarily from a steadily rising rate environment, contributed an additional $49.0 million in net interest income from non-interest bearing capital and other funds. |
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For the years ended | ||||||||||||||||||||||||||||||||||||
December 31, 2005 | December 31, 2004 | December 31, 2003 | ||||||||||||||||||||||||||||||||||
Interest | Interest | Interest | ||||||||||||||||||||||||||||||||||
Average | Income/ | Average | Income/ | Average | Income/ | |||||||||||||||||||||||||||||||
Balance | Expense | Rate | Balance | Expense | Rate | Balance | Expense | Rate | ||||||||||||||||||||||||||||
Earning Assets : | ||||||||||||||||||||||||||||||||||||
Advances | $ | 63,446 | $ | 2,175 | 3.43 | % | $ | 65,289 | $ | 1,248 | 1.91 | % | $ | 70,942 | $ | 1,293 | 1.82 | % | ||||||||||||||||||
Interest-earning deposits | 5,656 | 194 | 3.42 | % | 4,461 | 61 | 1.37 | % | 5,547 | 67 | 1.21 | % | ||||||||||||||||||||||||
Federal funds sold | 2,969 | 97 | 3.28 | % | 1,094 | 16 | 1.50 | % | 1,350 | 16 | 1.22 | % | ||||||||||||||||||||||||
Investments | 11,317 | 586 | 5.17 | % | 12,087 | 553 | 4.58 | % | 12,936 | 652 | 5.04 | % | ||||||||||||||||||||||||
Mortgage and other loans | 1,362 | 69 | 5.07 | % | 935 | 49 | 5.24 | % | 596 | 32 | 5.31 | % | ||||||||||||||||||||||||
Total interest- earning assets | 84,750 | 3,121 | 3.68 | % | 83,866 | 1,927 | 2.30 | % | 91,371 | 2,060 | 2.26 | % | ||||||||||||||||||||||||
Funded By: | ||||||||||||||||||||||||||||||||||||
Consolidated obligations | 77,629 | 2,661 | 3.43 | % | 76,105 | 1,631 | 2.14 | % | 81,817 | 1,734 | 2.12 | % | ||||||||||||||||||||||||
Interest-bearing deposits and | ||||||||||||||||||||||||||||||||||||
other borrowings | 2,168 | 65 | 3.01 | % | 1,969 | 27 | 1.38 | % | 2,976 | 28 | 0.95 | % | ||||||||||||||||||||||||
Total interest- bearing liabilities | 79,797 | 2,726 | 3.42 | % | 78,074 | 1,658 | 2.12 | % | 84,793 | 1,762 | 2.08 | % | ||||||||||||||||||||||||
Capital and other non- interest- bearing funds | 4,953 | — | 5,792 | — | 6,578 | — | ||||||||||||||||||||||||||||||
Total funding | $ | 84,750 | 2,726 | $ | 83,866 | 1,658 | $ | 91,371 | 1,762 | |||||||||||||||||||||||||||
Net Interest Spread | $ | 395 | 0.266 | % | $ | 269 | 0.174 | % | $ | 298 | 0.177 | % | ||||||||||||||||||||||||
Net Interest margin (Net interest income /Earning Assets) | 0.466 | % | 0.321 | % | 0.326 | % | ||||||||||||||||||||||||||||||
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For the year ended | ||||||||||||
December 31, 2005 vs. December 31, 2004 | ||||||||||||
Increase (decrease) | ||||||||||||
Volume | Rate | Total | ||||||||||
Interest Income | ||||||||||||
Advances | $ | (35.2 | ) | $ | 962.6 | $ | 927.4 | |||||
Interest-earning deposits | 16.4 | 116.2 | 132.6 | |||||||||
Federal funds sold | 28.2 | 52.7 | 80.9 | |||||||||
Investments | (35.3 | ) | 67.3 | 32.0 | ||||||||
Mortgage loans | 22.9 | (1.8 | ) | 21.1 | ||||||||
Total interest income | (3.0 | ) | 1,197.0 | 1,194.0 | ||||||||
Interest Expense | ||||||||||||
Consolidated obligations | 32.7 | 996.9 | 1,029.6 | |||||||||
Deposits and borrowings | 2.7 | 35.3 | 38.0 | |||||||||
Total interest expense | 35.4 | 1,032.2 | 1,067.6 | |||||||||
Changes in Net Interest Income | $ | (38.4 | ) | $ | 164.8 | $ | 126.4 | |||||
For the year ended | ||||||||||||
December 31, 2004 vs. December 31, 2003 | ||||||||||||
Increase (decrease) | ||||||||||||
(in millions) | Volume | Rate | Total | |||||||||
Interest Income | ||||||||||||
Advances | $ | (103.0 | ) | $ | 57.6 | $ | (45.4 | ) | ||||
Interest-earning deposits | (13.1 | ) | 7.1 | (6.0 | ) | |||||||
Federal funds sold | (3.1 | ) | 3.1 | — | ||||||||
Investments | (42.8 | ) | (55.8 | ) | (98.6 | ) | ||||||
Mortgage loans | 22.1 | (2.9 | ) | 19.2 | ||||||||
Other loans | (2.4 | ) | (0.1 | ) | (2.5 | ) | ||||||
Total interest income | (142.3 | ) | 9.0 | (133.3 | ) | |||||||
Interest Expense | ||||||||||||
Consolidated obligations | (121.0 | ) | 18.6 | (102.4 | ) | |||||||
Deposits and borrowings | (9.6 | ) | 8.6 | (1.0 | ) | |||||||
Total interest expense | (130.6 | ) | 27.2 | (103.4 | ) | |||||||
Changes in Net Interest Income | $ | (11.7 | ) | $ | (18.2 | ) | $ | (29.9 | ) | |||
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For the years ended | ||||||||||||
December 31, | ||||||||||||
2005 | 2004 | 2003 | ||||||||||
Other income (loss): | ||||||||||||
Service fees | $ | 4,666 | $ | 4,751 | $ | 4,936 | ||||||
Net realized and unrealized (loss) gain on derivatives and hedging activities | (9,466 | ) | 8,274 | (827 | ) | |||||||
Net realized gain (loss) from sale of available-for-sale and held- to-maturity securities | 1,895 | — | (189,226 | ) | ||||||||
Losses from extinguishment of debt and other | (14,952 | ) | (4,059 | ) | — | |||||||
Total other income (Loss) | $ | (17,857 | ) | $ | 8,966 | $ | (185,117 | ) | ||||
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For the years ended | ||||||||||||
December 31, | ||||||||||||
2005 | 2004 | 2003 | ||||||||||
Other expenses: | ||||||||||||
Operating | $ | 59,067 | $ | 51,103 | $ | 47,749 | ||||||
Finance Board and Office of Finance | 5,506 | 4,812 | 4,964 | |||||||||
Other, net | — | — | (1,746 | ) | ||||||||
Total other expenses | $ | 64,573 | $ | 55,915 | $ | 50,967 | ||||||
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2005 | 2004 | 2003 | ||||||||||
Salaries and employee benefits | $ | 39,253 | $ | 34,041 | $ | 29,813 | ||||||
Temporary workers | 318 | 202 | 868 | |||||||||
Occupancy | 3,516 | 3,505 | 3,504 | |||||||||
Depreciation and leasehold improvements | 3,562 | 3,990 | 2,936 | |||||||||
Computer service agreements and contractual service | 3,641 | 3,233 | 2,169 | |||||||||
Professional fees | 2,572 | 728 | 1,870 | |||||||||
Legal | 800 | 862 | 1,140 | |||||||||
Other | 5,405 | 4,542 | 5,449 | |||||||||
Total operating expenses | $ | 59,067 | $ | 51,103 | $ | 47,749 | ||||||
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2005 | 2004 | 2003 | ||||||||||
Beginning balance | $ | 81,580 | $ | 92,541 | $ | 109,848 | ||||||
Additions from current year’s assessments | 25,878 | 18,643 | 5,091 | |||||||||
Net disbursements for grants and programs | (16,454 | ) | (29,604 | ) | (22,398 | ) | ||||||
Ending balance | $ | 91,004 | $ | 81,580 | $ | 92,541 | ||||||
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2005 | 2004 | 2003 | 2002 | 2001 | ||||||||||||||||
Advances | $ | 61,901,534 | $ | 68,507,487 | $ | 63,923,184 | $ | 68,926,073 | $ | 60,962,103 | ||||||||||
Mortgage loans before allowance for credit losses | $ | 1,467,525 | $ | 1,178,590 | $ | 672,151 | $ | 435,561 | $ | 425,348 | ||||||||||
Non- performing mortgage loans | $ | 803 | $ | 519 | $ | 115 | $ | 129 | $ | 49 | ||||||||||
Mortgage loans past due 90 days or more and still accruing interest | $ | 1,373 | $ | 1,898 | $ | 2,732 | $ | 7,428 | $ | 8,895 | ||||||||||
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December 31, 2005 | ||||||||||||
Par | Percent of Total | |||||||||||
City | State | Advances | Par Advances | |||||||||
New York Community Bank * | Westbury | NY | $ | 6,476,364 | 10.5 | % | ||||||
HSBC Bank USA, National Association | Wilmington | DE | 5,008,817 | 8.1 | % | |||||||
Hudson City Savings Bank * | Paramus | NJ | 4,300,000 | 7.0 | % | |||||||
North Fork Bank | Mattituck | NY | 4,075,015 | 6.6 | % | |||||||
Manufacturers and Traders T rust Company | Buffalo | NY | 3,653,730 | 5.9 | % | |||||||
$ | 23,513,926 | 38.1 | % | |||||||||
December 31, 2004 | ||||||||||||
Par | Percent of Total | |||||||||||
City | State | Advances | Par Advances | |||||||||
GreenPoint Bank | New York | NY | $ | 5,125,015 | 7.6 | % | ||||||
HSBC Bank USA | Buffalo | NY | 5,011,786 | 7.5 | % | |||||||
New York Comm unity Bank | Westbury | NY | 4,644,290 | 6.9 | % | |||||||
Independence Community Bank * | New York | NY | 3,958,000 | 5.9 | % | |||||||
Manufacturers and Traders Trust Company * | Buffalo | NY | 3,529,333 | 5.2 | % | |||||||
$ | 22,268,424 | 33.1 | % | |||||||||
* | Officer of member bank also served on the Board of Directors of the FHLBNY |
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December 31, 2005 | December 31, 2004 | December 31, 2003 | ||||||||||
Original MPF | $ | 129,482 | $ | 113,155 | $ | 74,940 | ||||||
MPF 100 | 48,360 | 46,617 | 40,158 | |||||||||
MPF 125 | 462,796 | 455,477 | 382,783 | |||||||||
MPF 125 Plus | 795,087 | 522,375 | 98,597 | |||||||||
Other | 14,302 | 20,631 | 38,818 | |||||||||
$ | 1,450,027 | $ | 1,158,255 | $ | 635,296 | |||||||
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• | Mortgage Partnership Finance single-family fully amortizing residential loans comprise 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. 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 loan to value not to exceed 75%. | ||
• | The non-residential loan is a community development syndication loan with four banks participating. Citicorp, Carver Federal, Chase Manhattan Development Corp and the FHLBNY. The FHLBNY’s prorated share is 40%. The property is collateralized by a retail building of approximately 50,000 square feet occupied by a grocery store as the single tenant. |
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December 31, 2005 | December 31, 2004 | |||||||
Mortgage loan s held-for-portfolio, net of provisions for credit losses | $ | 1,466,943 | $ | 1,178,083 | ||||
Non-performing mortgage loans held-for-portfolio | $ | 803 | $ | 519 | ||||
Mortgage loan s held for-portfolio past due 90 days or more and still accruing interest | $ | 1,373 | $ | 1,898 | ||||
For the | For the | |||||||
year ended | year ended | |||||||
December 31, 2005 | December 31, 2004 | |||||||
Interest contractually due during the period | $ | 14 | $ | 10 | ||||
Interest actually received during the period | — | — | ||||||
Shortfall | $ | 14 | $ | 10 | ||||
For the years ended | ||||||||||||
December 31, | ||||||||||||
2005 | 2004 | 2003 | ||||||||||
Balance, beginning of period | $ | 507 | $ | 507 | $ | 428 | ||||||
Charge offs | — | — | — | |||||||||
Recoveries | — | — | — | |||||||||
Net charge- off | — | — | — | |||||||||
Provision for credit losses | 75 | — | 79 | |||||||||
Balance, end of period | $ | 582 | $ | 507 | $ | 507 | ||||||
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December 31, 2005 | ||||||||
Mortgage | Percent of Total | |||||||
Loans | Mortgage Loans | |||||||
Manufacturers and Traders Trust Company | $ | 797,581 | 55.00 | % | ||||
Astoria Federal Savings and Loan Association | 272,291 | 18.78 | % | |||||
Elmira Savings and Loan. F.A. | 112,831 | 7.78 | % | |||||
Ocean First Bank | 45,324 | 3.13 | % | |||||
The Lyons National Bank | 35,534 | 2.45 | % | |||||
All Others | 186,466 | 12.86 | % | |||||
Total | $ | 1,450,027 | 100.00 | % | ||||
December 31, 2004 | ||||||||
Mortgage | Percent of Total | |||||||
Loans | Mortgage Loans | |||||||
Manufacturers and Traders Trust Company | $ | 525,619 | 45.38 | % | ||||
Astoria Federal Savings and Loan Association | 272,979 | 23.57 | % | |||||
Elmira Savings and Loan. F.A. | 115,779 | 10.00 | % | |||||
Ocean First Bank | 31,220 | 2.70 | % | |||||
The Lyons National Bank | 26,049 | 2.25 | % | |||||
All Others | 186,609 | 16.10 | % | |||||
Total | $ | 1,158,255 | 100.00 | % | ||||
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First Loss Memo Account | ||||||||||||
For the years | ||||||||||||
ended December 31, | ||||||||||||
2005 | 2004 | 2003 | ||||||||||
Beginning of year balance | $ | 9,335,540 | $ | 5,607,000 | $ | 3,367,000 | ||||||
Additions | 1,982,718 | 3,728,540 | 2,240,000 | |||||||||
Charge-offs | — | — | — | |||||||||
Recoveries | — | |||||||||||
End of year balance | $ | 11,318,258 | $ | 9,335,540 | $ | 5,607,000 | ||||||
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Payments due or expiration terms by period | ||||||||||||||||||||
> 1 year | > 3 years | |||||||||||||||||||
<= 1 year | <= 3 years | <= 5 years | > 5 years | Total | ||||||||||||||||
Contractual Obligations | ||||||||||||||||||||
Consolidated obligations-bonds at par | $ | 21,715,080 | $ | 26,898,355 | $ | 4,940,800 | $ | 3,564,200 | $ | 57,118,435 | ||||||||||
Mandatorily redeemable capital stock | 109 | 7,904 | 10,034 | 40 | 18,087 | |||||||||||||||
Premise and equipment (rental and lease obligations) | 2,770 | 5,610 | 4,346 | 15,397 | 28,123 | |||||||||||||||
Total contractual obligations | 21,717,959 | 26,911,869 | 4,955,180 | 3,579,637 | 57,164,645 | |||||||||||||||
Other commitments | ||||||||||||||||||||
Standby letters of credit | 180,253 | 40,694 | 5,605 | 11,699 | 238,251 | |||||||||||||||
Unused lines of credit and other commitments | 20,788,694 | — | — | — | 20,788,694 | |||||||||||||||
Consolidated obligation bonds traded not settled | 141,000 | — | — | — | 141,000 | |||||||||||||||
Open delivery commitments | 657 | — | — | — | 657 | |||||||||||||||
Total other commitments | 21,110,604 | 40,694 | 5,605 | 11,699 | 21,168,602 | |||||||||||||||
Total contractual obligations and commitments | $ | 42,828,563 | $ | 26,952,563 | $ | 4,960,785 | $ | 3,591,336 | $ | 78,333,247 | ||||||||||
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Duration of Equity (in years) | December 31, 2005 | December 31, 2004 | December 31, 2003 | |||||||||
Base | 0.98 | 1.50 | 2.18 | |||||||||
Up-Base | 1.73 | 3.46 | 2.99 | |||||||||
Down-Base | -1.77 | -1.43 | 1.83 | |||||||||
Duration Gap (in months) | 0.24 | 0.50 | 0.86 |
2005 Duration Measures | ||||||||||||||||
(as of month-end, in years) | ||||||||||||||||
Assets | Liabilities | Gap | Equity | |||||||||||||
January | 0.67 | 0.64 | 0.03 | 1.20 | ||||||||||||
February | 0.71 | 0.64 | 0.07 | 2.17 | ||||||||||||
March | 0.74 | 0.66 | 0.08 | 2.34 | ||||||||||||
April | 0.68 | 0.64 | 0.05 | 1.63 | ||||||||||||
May | 0.64 | 0.62 | 0.01 | 0.88 | ||||||||||||
June | 0.62 | 0.61 | 0.01 | 0.82 | ||||||||||||
July | 0.65 | 0.61 | 0.04 | 1.46 | ||||||||||||
August | 0.63 | 0.62 | 0.01 | 0.79 | ||||||||||||
September | 0.65 | 0.60 | 0.05 | 1.60 | ||||||||||||
October | 0.68 | 0.60 | 0.08 | 2.12 | ||||||||||||
November | 0.65 | 0.58 | 0.07 | 2.02 | ||||||||||||
December | 0.59 | 0.57 | 0.02 | 0.98 |
2004 Duration Measures | ||||||||||||||||
(as of month-end, in years) | ||||||||||||||||
Duration of | Duration | Duration | Duration of | |||||||||||||
Assets | Liabilities | Gap | Equity | |||||||||||||
January | 0.75 | 0.66 | 0.09 | 2.46 | ||||||||||||
February | 0.71 | 0.64 | 0.07 | 2.12 | ||||||||||||
March | 0.73 | 0.69 | 0.04 | 1.57 | ||||||||||||
April | 0.81 | 0.71 | 0.10 | 2.66 | ||||||||||||
May | 0.82 | 0.69 | 0.13 | 3.36 | ||||||||||||
June | 0.85 | 0.72 | 0.13 | 3.25 | ||||||||||||
July | 0.82 | 0.70 | 0.12 | 3.11 | ||||||||||||
August | 0.77 | 0.68 | 0.09 | 2.46 | ||||||||||||
September | 0.76 | 0.68 | 0.08 | 2.41 | ||||||||||||
October | 0.71 | 0.65 | 0.06 | 1.89 | ||||||||||||
November | 0.71 | 0.63 | 0.08 | 2.28 | ||||||||||||
December | 0.69 | 0.65 | 0.04 | 1.50 |
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2003 Duration Measures | ||||||||||||||||
(as of month-end, in years) | ||||||||||||||||
Duration of | Duration | Duration | Duration of | |||||||||||||
Assets | Liabilities | Gap | Equity | |||||||||||||
January | 0.76 | 0.71 | 0.05 | 1.80 | ||||||||||||
February | 0.73 | 0.71 | 0.03 | 1.25 | ||||||||||||
March | 0.73 | 0.69 | 0.04 | 1.48 | ||||||||||||
April | 0.71 | 0.67 | 0.03 | 1.38 | ||||||||||||
May | 0.67 | 0.63 | 0.04 | 1.49 | ||||||||||||
June | 0.71 | 0.65 | 0.06 | 1.86 | ||||||||||||
July | 0.74 | 0.64 | 0.10 | 2.99 | ||||||||||||
August | 0.79 | 0.68 | 0.12 | 3.12 | ||||||||||||
September | 0.74 | 0.75 | (0.01 | ) | 0.56 | |||||||||||
October | 0.74 | 0.71 | 0.03 | 1.34 | ||||||||||||
November | 0.80 | 0.71 | 0.08 | 2.38 | ||||||||||||
December | 0.80 | 0.73 | 0.07 | 2.18 |
Interest Rate Sensitivity Period-December 31, 2005 | ||||||||||||||||||||
More than | More than | More than | ||||||||||||||||||
6 Months or | 6 Months to | 1 Year to | 3 Years to | More than | ||||||||||||||||
Less | 1 Year | 3 Years | 5 Years | 5 Years | ||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||
Non-MBS Investments | $ | 12,121 | $ | 377 | $ | 410 | $ | 320 | $ | 855 | ||||||||||
MBS Investments | 1,157 | 603 | 3,202 | 1,627 | 1,985 | |||||||||||||||
Adjustable-rate loans and advances | 13,545 | — | — | — | — | |||||||||||||||
Fixed-rate loans and advances | 10,411 | 2,356 | 10,888 | 9,233 | 15,260 | |||||||||||||||
Swaps hedging advances | 30,781 | (769 | ) | (6,701 | ) | (8,281 | ) | (15,030 | ) | |||||||||||
Net fixed-rate loans and advances | 41,192 | 1,587 | 4,187 | 952 | 230 | |||||||||||||||
Interbank loans | — | — | — | — | — | |||||||||||||||
Total interest-earning assets | 68,015 | 2,568 | 7,799 | 2,899 | 3,070 | |||||||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||
Deposits | $ | 2,658 | $ | $ | — | $ | — | $ | — | |||||||||||
Discount notes | 20,032 | 479 | — | — | — | |||||||||||||||
Swaps hedging discount notes | — | — | — | — | — | |||||||||||||||
FHLB bonds | 12,539 | 9,535 | 27,130 | 5,597 | 2,346 | |||||||||||||||
Swaps hedging bonds | 30,299 | (7,490 | ) | (18,731 | ) | (3,223 | ) | (855 | ) | |||||||||||
Net FHLB bonds | 42,838 | 2,045 | 8,399 | 2,374 | 1,491 | |||||||||||||||
Total interest-bearing liabilities | $ | 65,529 | $ | 2,524 | $ | 8,399 | $ | 2,374 | $ | 1,491 | ||||||||||
Post hedge gaps: | ||||||||||||||||||||
Periodic Gap | $ | 2,487 | $ | 43 | $ | (600 | ) | $ | 525 | $ | 1,579 | |||||||||
Cumulative gap | 2,487 | 2,530 | 1,930 | 2,455 | 4,034 |
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Interest Rate Sensitivity Period-December 31, 2004 | ||||||||||||||||||||
More than | More than | More than | ||||||||||||||||||
6 Months or | 6 Months to | 1 Year to | 3 Years to | More than | ||||||||||||||||
Less | 1 Year | 3 Years | 5 Years | 5 Years | ||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||
Non-MBS Investments | $ | 6,616 | $ | 129 | $ | 383 | $ | 242 | $ | 636 | ||||||||||
MBS Investments | 2,907 | 800 | 2,760 | 2,962 | 2,095 | |||||||||||||||
Adjustable-rate loans and advances | 13,891 | — | — | — | — | |||||||||||||||
Fixed-rate loans and advances | 14,370 | 4,457 | 9,063 | 7,939 | 17,546 | |||||||||||||||
Swaps hedging advances | 28,851 | (2,176 | ) | (3,995 | ) | (5,450 | ) | (17,230 | ) | |||||||||||
Net fixed-rate loans and advances | 43,221 | 2,281 | 5,068 | 2,489 | 316 | |||||||||||||||
Interbank loans | — | — | — | — | — | |||||||||||||||
Total interest-earning assets | $ | 66,635 | $ | 3,210 | $ | 8,211 | $ | 5,693 | $ | 3,047 | ||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||
Deposits | $ | 2,296 | $ | 1 | $ | — | $ | — | $ | — | ||||||||||
Discount notes | 19,609 | 33 | — | — | — | |||||||||||||||
Swaps hedging discount notes | — | — | — | — | — | |||||||||||||||
FHLB bonds | 18,522 | 6,995 | 25,627 | 7,064 | 2,471 | |||||||||||||||
Swaps hedging bonds | 23,091 | (3,848 | ) | (15,675 | ) | (2,525 | ) | (1,043 | ) | |||||||||||
Net FHLB bonds | 41,613 | 3,147 | 9,952 | 4,539 | 1,428 | |||||||||||||||
Total interest-bearing liabilities | $ | 63,518 | $ | 3,181 | $ | 9,952 | $ | 4,539 | $ | 1,428 | ||||||||||
Post hedge gaps: | ||||||||||||||||||||
Gaps | $ | 3,118 | $ | 29 | $ | (1,741 | ) | $ | 1,154 | $ | 1,619 | |||||||||
Cumulative gaps | $ | 3,118 | $ | 3,147 | $ | 1,406 | $ | 2,560 | $ | 4,179 |
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Interest Rate Sensitivity Period-December 31, 2003 | ||||||||||||||||||||
More than | More than | More than | ||||||||||||||||||
6 Months or | 6 Months to | 1 Year to | 3 Years to | More than | ||||||||||||||||
Less | 1 Year | 3 Years | 5 Years | 5 Years | ||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||
Non-MBS Investments | $ | 3,652 | $ | 78 | $ | 243 | $ | 150 | $ | 504 | ||||||||||
MBS Investments | 3,428 | 788 | 2,071 | 2,502 | 1,407 | |||||||||||||||
Adjustable-rate loans and advances | 10,788 | — | — | — | — | |||||||||||||||
Fixed-rate loans and advances | 10,554 | 3,178 | 10,320 | 8,467 | 18,458 | |||||||||||||||
Swaps hedging advances | 30,583 | (1,182 | ) | (5,508 | ) | (5,840 | ) | (18,052 | ) | |||||||||||
Net fixed-rate loans and advances | 41,137 | 1,996 | 4,812 | 2,627 | 406 | |||||||||||||||
Interbank loans | 60 | — | — | — | — | |||||||||||||||
Total interest-earning assets | $ | 59,065 | $ | 2,862 | $ | 7,126 | $ | 5,279 | $ | 2,317 | ||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||
Deposits | $ | 2,097 | $ | 6 | $ | — | $ | — | $ | — | ||||||||||
Discount notes | 16,232 | 574 | — | — | — | |||||||||||||||
Swaps hedging discount notes | 7 | (7 | ) | — | — | — | ||||||||||||||
FHLB bonds | 12,559 | 7,323 | 23,885 | 7,369 | 2,637 | |||||||||||||||
Swaps hedging bonds | 23,237 | (4,411 | ) | (14,246 | ) | (2,810 | ) | (1,770 | ) | |||||||||||
Net FHLB bonds | 35,796 | 2,912 | 9,639 | 4,559 | 867 | |||||||||||||||
Total interest-bearing liabilities | $ | 54,132 | $ | 3,485 | $ | 9,639 | $ | 4,559 | $ | 867 | ||||||||||
Post hedge gaps: | ||||||||||||||||||||
Gaps | $ | 4,933 | $ | (623 | ) | $ | (2,514 | ) | $ | 720 | $ | 1,450 | ||||||||
Cumulative gaps | $ | 4,933 | $ | 4,310 | $ | 1,796 | $ | 2,516 | $ | 3,966 |
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PricewaterhouseCoopers LLP | ||
300 Madison Avenue | ||
New York NY 10017 | ||
Telephone (646) 471-3000 | ||
Facsimile (813) 286 6000 |
the Federal Home Loan Bank of New York:
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As of December 31, 2005 and 2004
December 31, | December 31, | |||||||
2005 | 2004 | |||||||
Assets | ||||||||
Cash and due from banks (Notes 1 and 3) | $ | 22,114 | $ | 22,376 | ||||
Interest-bearing deposits, includes $244.8 million pledged at December 31, 2005, and $1.1 billion at December 31, 2004 (Note 4) | 8,699,107 | 2,806,870 | ||||||
Federal funds sold | 2,925,000 | 2,972,000 | ||||||
Available-for-sale securities, net of unrealized gain of $2.2 million at December 31, 2004 (Note 6) | — | 713,363 | ||||||
Held-to-maturity securities, includes $0 pledged at December 31, 2005 and 2004 (Note 5) | 9,566,441 | 11,870,674 | ||||||
Advances (Note 7) | 61,901,534 | 68,507,487 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses of $582 thousand at December 31, 2005, and $507 thousand at December 31, 2004 (Note 9) | 1,466,943 | 1,178,083 | ||||||
Accrued interest receivable | 377,253 | 315,768 | ||||||
Premises and equipment, net | 11,257 | 13,030 | ||||||
Derivative assets (Note 19) | 19,197 | 11,048 | ||||||
Other assets | 24,672 | 28,261 | ||||||
Total assets | $ | 85,013,518 | $ | 88,438,960 | ||||
Liabilities and capital Liabilities | ||||||||
Deposits (Note 11) | ||||||||
Interest-bearing demand | $ | 2,637,168 | $ | 2,194,959 | ||||
Non-interest bearing demand | 969 | 1,660 | ||||||
Term | 19,525 | 101,000 | ||||||
Total deposits | 2,657,662 | 2,297,619 | ||||||
Consolidated obligations, net (Note 13) | ||||||||
Bonds | 56,768,622 | 60,515,356 | ||||||
Discount Notes | 20,510,525 | 19,641,626 | ||||||
Total consolidated obligations | 77,279,147 | 80,156,982 | ||||||
Mandatorily redeemable capital stock (Notes 14 and 15) | 18,087 | 126,581 | ||||||
Accrued interest payable | 498,318 | 437,743 | ||||||
Affordable Housing Program (Notes 1 and 8) | 91,004 | 81,580 | ||||||
Payable to REFCORP (Notes 1 and 8) | 14,062 | 9,966 | ||||||
Derivative liabilities (Note 19) | 491,866 | 1,372,195 | ||||||
Other liabilities | 77,992 | 77,164 | ||||||
Total liabilities | 81,128,138 | 84,559,830 | ||||||
Commitments and Contingencies (Notes 8, 13, 19 and 21) | ||||||||
Capital (Notes 1, 14 and 15) | ||||||||
Capital stock ($100 par value), putable, issued and outstanding shares: | ||||||||
35,905 at December 31, 2005, and 36,550 at December 31, 2004 | 3,590,454 | 3,655,047 | ||||||
Unrestricted retained earnings | 291,413 | 223,434 | ||||||
Accumulated other comprehensive income (loss) (Note 16) | ||||||||
Net unrealized gain on available-for-sale securities | — | 2,240 | ||||||
Net unrealized gain on hedging activities | 5,352 | 898 | ||||||
Minimum liability on benefits equalization plan (Note 18) | (1,839 | ) | (2,489 | ) | ||||
Total capital | 3,885,380 | 3,879,130 | ||||||
Total liabilities and capital | $ | 85,013,518 | $ | 88,438,960 | ||||
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Years Ended December 31, 2005, 2004, and 2003
2005 | 2004 | 2003 | ||||||||||
Interest income | ||||||||||||
Advances (Note 7) | $ | 2,174,948 | $ | 1,247,568 | $ | 1,292,990 | ||||||
Interest-bearing deposits | 193,668 | 61,096 | 67,113 | |||||||||
Federal funds sold | 97,547 | 16,434 | 16,493 | |||||||||
Available-for-sale securities (Note 6) | 19,519 | 7,797 | — | |||||||||
Held-to-maturity securities (Note 5) | 566,009 | 545,660 | 652,207 | |||||||||
Mortgage loans held for portfolio (Note 9) | 69,312 | 48,291 | 29,099 | |||||||||
Loans to other FHLBanks (Note 10) | 9 | 78 | 2,491 | |||||||||
Other | 33 | 48 | 62 | |||||||||
Total interest income | 3,121,045 | 1,926,972 | 2,060,455 | |||||||||
Interest expense | ||||||||||||
Consolidated obligations bonds (Note 13) | 2,001,960 | 1,376,858 | 1,453,620 | |||||||||
Consolidated obligations discount notes (Note 13) | 658,837 | 254,363 | 280,043 | |||||||||
Deposits (Note 11) | 62,237 | 21,913 | 27,977 | |||||||||
Mandatorily redeemable stock (Note 14) | 2,747 | 5,201 | — | |||||||||
Cash collateral held and others borrowings | 292 | 145 | 292 | |||||||||
Total interest expense | 2,726,073 | 1,658,480 | 1,761,932 | |||||||||
Net interest income before provision for credit losses | 394,972 | 268,492 | 298,523 | |||||||||
Provision for credit losses on mortgage loans | 75 | — | 79 | |||||||||
Net interest income after provision for credit losses | 394,897 | 268,492 | 298,444 | |||||||||
Other income (loss) | ||||||||||||
Service fees | 4,666 | 4,751 | 4,936 | |||||||||
Net realized and unrealized (loss) gain on derivatives and hedging activities (Notes 1 and 19) | (9,466 | ) | 8,274 | (827 | ) | |||||||
Net realized gain (loss) from sale of available-for-sale and held-to-maturity securities (Note 6) | 1,895 | — | (189,226 | ) | ||||||||
Losses from extinguishment of debt and other (Note 13) | (14,952 | ) | (4,059 | ) | — | |||||||
Total other income (loss) | (17,857 | ) | 8,966 | (185,117 | ) | |||||||
Other expenses | ||||||||||||
Operating | 59,067 | 51,103 | 47,749 | |||||||||
Finance Board and Office of Finance (Note 1) | 5,506 | 4,812 | 4,964 | |||||||||
Other | — | — | (1,746 | ) | ||||||||
Total other expenses | 64,573 | 55,915 | 50,967 | |||||||||
Income before assessments | 312,467 | 221,543 | 62,360 | |||||||||
Affordable Housing Program (Notes 1 and 8) | 25,878 | 18,643 | 5,091 | |||||||||
REFCORP (Notes 1 and 8) | 57,540 | 40,319 | 11,453 | |||||||||
Total assessments | 83,418 | 58,962 | 16,544 | |||||||||
Income before cumulative effects of changes in accounting principles | 229,049 | 162,581 | 45,816 | |||||||||
Cumulative effects of changes in accounting principles (Note 2) | 1,109 | (1,305 | ) | — | ||||||||
Net income | $ | 230,158 | $ | 161,276 | $ | 45,816 | ||||||
Basic earnings per share: (Note 17) | ||||||||||||
Earnings before cumulative effects of changes in accounting principles | $ | 6.33 | $ | 4.59 | $ | 1.12 | ||||||
Cumulative effects of changes in accounting principles | 0.03 | (0.04 | ) | — | ||||||||
Net earnings per share | $ | 6.36 | $ | 4.55 | $ | 1.12 | ||||||
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Years Ended December 31, 2005, 2004, and 2003
Accumulated | ||||||||||||||||||||||||||||||||
Capital Stock* | Capital Stock* | Other | Total | |||||||||||||||||||||||||||||
Pre-Exchange | Class B | Retained | Comprehensive | Total | Comprehensive | |||||||||||||||||||||||||||
Shares | Par Value | Shares | Pav Value | Earnings | Income (Loss) | Capital | Income (Loss) | |||||||||||||||||||||||||
Balance, December 31, 2002 | 40,511 | $ | 4,051,182 | — | — | $ | 244,436 | — | $ | 4,295,618 | ||||||||||||||||||||||
Proceeds from sale of capital stock | 15,080 | 1,508,038 | — | — | — | — | 1,508,038 | |||||||||||||||||||||||||
Redemption of capital stock | (19,205 | ) | (1,920,500 | ) | — | — | — | — | (1,920,500 | ) | ||||||||||||||||||||||
Net Income | — | — | — | — | 45,816 | — | 45,816 | $ | 45,816 | |||||||||||||||||||||||
Other comprehensive loss | ||||||||||||||||||||||||||||||||
Net unrealized gain (loss) on hedging activity | — | — | — | — | — | (13 | ) | (13 | ) | (13 | ) | |||||||||||||||||||||
Minimum liability on Benefit Equalization Plan | — | — | — | — | — | (2,013 | ) | (2,013 | ) | (2,013 | ) | |||||||||||||||||||||
Cash dividends ($3.97 per share) on capital stock | — | — | — | — | (163,555 | ) | — | (163,555 | ) | |||||||||||||||||||||||
$ | 43,790 | |||||||||||||||||||||||||||||||
Balance, December 31, 2003 | 36,386 | 3,638,720 | — | — | 126,697 | (2,026 | ) | 3,763,391 | ||||||||||||||||||||||||
Proceeds from sale of capital stock | 21,742 | 2,174,170 | — | — | — | — | 2,174,170 | |||||||||||||||||||||||||
Redemption of capital stock | (17,999 | ) | (1,799,956 | ) | — | — | — | — | (1,799,956 | ) | ||||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (3,579 | ) | (357,887 | ) | — | — | (357,887 | ) | ||||||||||||||||||||||||
Net Income | — | — | — | — | 161,276 | — | 161,276 | 161,276 | ||||||||||||||||||||||||
Other comprehensive loss | ||||||||||||||||||||||||||||||||
Net unrealized gain on available-for-sale securities | — | — | — | — | — | 2,240 | 2,240 | 2,240 | ||||||||||||||||||||||||
Net unrealized gain on hedging activity | — | — | — | — | — | 911 | 911 | 911 | ||||||||||||||||||||||||
Minimum liability on Benefit Equalization Plan | — | — | — | — | — | (476 | ) | (476 | ) | (476 | ) | |||||||||||||||||||||
Cash dividends ($1.83 per share) on capital stock | — | — | — | — | (64,539 | ) | — | (64,539 | ) | |||||||||||||||||||||||
$ | 163,951 | |||||||||||||||||||||||||||||||
Balance, December 31, 2004 | 36,550 | 3,655,047 | — | — | 223,434 | 649 | 3,879,130 | |||||||||||||||||||||||||
* | putable stock |
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Years Ended December 31, 2005, 2004, and 2003
Accumulated | ||||||||||||||||||||||||||||||||
Capital Stock* | Capital Stock* | Other | Total | |||||||||||||||||||||||||||||
Pre-Exchange | Class B | Retained | Comprehensive | Total | Comprehensive | |||||||||||||||||||||||||||
Shares | Par Value | Shares | Pav Value | Earnings | Income (Loss) | Capital | Income (Loss) | |||||||||||||||||||||||||
Proceeds from sale of capital stock- Pre-Exchange | 23,911 | 2,391,050 | — | — | — | — | 2,391,050 | |||||||||||||||||||||||||
Redemption of capital stock- Pre-Exchange | (22,987 | ) | (2,298,640 | ) | — | — | — | — | (2,298,640 | ) | ||||||||||||||||||||||
Proceeds from sale of capital stock — Class B | 2,763 | 276,296 | — | — | 276,296 | |||||||||||||||||||||||||||
Redemption of capital stock- Class B | (4,332 | ) | (433,299 | ) | — | — | (433,299 | ) | ||||||||||||||||||||||||
Capital Exchange | (37,474 | ) | (3,747,457 | ) | 37,474 | 3,747,457 | — | |||||||||||||||||||||||||
Net Income | — | — | — | — | 230,158 | — | 230,158 | $ | 230,158 | |||||||||||||||||||||||
Other comprehensive income (loss) | ||||||||||||||||||||||||||||||||
Change in fair value during the year of available-for-sale securities | — | — | — | — | — | (490 | ) | (490 | ) | (490 | ) | |||||||||||||||||||||
Reclassification to earnings from sale of available-for-sale securities | — | — | — | — | (1,750 | ) | (1,750 | ) | (1,750 | ) | ||||||||||||||||||||||
Net unrealized gain on hedging activities | — | — | — | — | — | 4,454 | 4,454 | 4,454 | ||||||||||||||||||||||||
Minimum liability on Benefit Equalization Plan | — | — | — | — | — | 650 | 650 | 650 | ||||||||||||||||||||||||
Cash dividends ($4.50 per share) on capital stock | — | — | — | — | (162,179 | ) | (162,179 | ) | ||||||||||||||||||||||||
$ | 233,022 | |||||||||||||||||||||||||||||||
Balance, December 31, 2005 | — | $ | — | 35,905 | $ | 3,590,454 | $ | 291,413 | $ | 3,513 | $ | 3,885,380 | ||||||||||||||||||||
* | putable stock |
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Years Ended December 31, 2005, 2004, and 2003
2005 | 2004 | 2003 | ||||||||||
Operating Activities | ||||||||||||
Net Income | $ | 230,158 | $ | 161,276 | $ | 45,816 | ||||||
Cumulative effects of changes in accounting principles | (1,109 | ) | 1,305 | — | ||||||||
Income before cumulative effects of changes in accounting principles | 229,049 | 162,581 | 45,816 | |||||||||
Adjustments to reconcile net income before cumulative effects of changes in accounting principles to net cash provided by (used in) operating activities | ||||||||||||
Depreciation and amortization | ||||||||||||
Net premiums and discounts on consolidated obligations, investments, and mortgage loans | 17,586 | (1,969 | ) | (37,759 | ) | |||||||
Concessions on consolidated obligations | 12,769 | 14,440 | 25,809 | |||||||||
Amortization of basis on hedges | (1,375 | ) | (3,055 | ) | (133 | ) | ||||||
Premises and equipment | 3,562 | 3,990 | 3,714 | |||||||||
Provision for credit losses on mortgage loans | 75 | — | 79 | |||||||||
Net realized (gains) losses on sale of held-to-maturity securities | (145 | ) | — | 189,226 | ||||||||
Net realized (gain) on sale of available-for-sale securities | (1,750 | ) | — | — | ||||||||
Loss due to change in net fair value adjustments on derivatives and hedging activities | 7,717 | 1,245 | 2,502 | |||||||||
(Increase) decrease in accrued interest receivable | (61,485 | ) | (27,941 | ) | 89,382 | |||||||
(Increase) decrease in derivative assets, net of accrued interest | (87,358 | ) | (455 | ) | 39,930 | |||||||
Increase (decrease) in derivative liabilities, net of accrued interest | 10,883 | (14,952 | ) | (11,193 | ) | |||||||
Decrease (Increase) in other assets | 1,453 | (8,026 | ) | (13,707 | ) | |||||||
Increase (decrease) in Affordable Housing Program liability | 9,424 | (10,961 | ) | (17,308 | ) | |||||||
Increase (decrease) in accrued interest payable | 60,574 | 11,306 | (113,044 | ) | ||||||||
Increase (decrease) in REFCORP liability | 4,095 | 9,966 | (13,846 | ) | ||||||||
Increase (decrease) in other liabilities | 7,802 | (165 | ) | 38,230 | ||||||||
Total adjustments | (16,173 | ) | (26,577 | ) | 181,882 | |||||||
Net cash provided by operating activities | 212,876 | 136,004 | 227,698 | |||||||||
Investing activities | ||||||||||||
Net (increase) decrease in interest-bearing deposits | (5,892,237 | ) | (1,152,991 | ) | 5,994,891 | |||||||
Net decrease (increase) in Federal funds sold | 47,000 | (1,829,000 | ) | 1,789,000 | ||||||||
Proceeds from sale of held-to-maturity securities | 9,064 | — | 1,597,881 | |||||||||
Purchase of held-to-maturity securities | (707,559 | ) | (4,036,184 | ) | (4,815,770 | ) | ||||||
Proceeds from maturities of held-to-maturity securities | 3,006,033 | 3,512,602 | 4,634,611 | |||||||||
Proceeds from maturities of available-for-sale securities | 141,460 | — | — | |||||||||
Proceeds from sale of available-for-sale securities | 1,593,762 | — | — | |||||||||
Purchase of available-for-sale securities | (1,020,179 | ) | (711,130 | ) | — | |||||||
Principal collected on advances | 434,147,848 | 533,224,883 | 845,456,110 | |||||||||
Advances made | (428,576,529 | ) | (538,667,268 | ) | (841,209,805 | ) | ||||||
Purchase of mortgage loans held for investment | (450,827 | ) | (654,856 | ) | (870,668 | ) | ||||||
Principal collected on mortgage loans held for portfolio | 161,069 | 145,882 | 632,602 | |||||||||
Principal collected on other loans made | 191 | 175 | 161 | |||||||||
Net decrease (increase) in deposits with other FHLBanks mortgage programs | — | 724 | (474 | ) | ||||||||
Increase in premises and equipment | (1,789 | ) | (1,098 | ) | (4,989 | ) | ||||||
Net cash provided by (used in) investing activities | 2,457,307 | (10,168,261 | ) | 13,203,550 | ||||||||
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Years Ended December 31, 2005, 2004, and 2003
2005 | 2004 | 2003 | ||||||||||
Financing activities | ||||||||||||
Increase (decrease) in deposits and other borrowings | $ | 244,936 | $ | 196,798 | $ | (642,456 | ) | |||||
Proceeds from issuance of consolidated obligation bonds | 23,386,194 | 29,544,145 | 44,534,244 | |||||||||
Proceeds from issuance of consolidated obligation discount notes | 671,632,148 | 961,591,191 | 1,023,313,238 | |||||||||
Payments for maturing/early retirement of consolidated obligation bonds | (26,870,995 | ) | (22,580,980 | ) | (51,570,185 | ) | ||||||
Payments for maturing consolidated obligation discount notes | (670,835,956 | ) | (958,794,378 | ) | (1,028,534,705 | ) | ||||||
Proceeds from issuance of capital stock | 2,667,345 | 2,174,169 | 1,508,038 | |||||||||
Payments for redemption of capital stock | (2,623,443 | ) | (1,799,955 | ) | (1,920,500 | ) | ||||||
Payments for redemption of mandatorily redeemable capital stock | (108,495 | ) | (231,306 | ) | — | |||||||
Cash dividends paid | (162,179 | ) | (65,844 | ) | (163,555 | ) | ||||||
Net cash (used in) provided by financing activities | (2,670,445 | ) | 10,033,840 | (13,475,881 | ) | |||||||
Net (decrease) increase in cash and cash equivalents | (262 | ) | 1,583 | (44,633 | ) | |||||||
Cash and cash equivalents at beginning of the period | 22,376 | 20,793 | 65,426 | |||||||||
Cash and cash equivalents at end of the period | $ | 22,114 | $ | 22,376 | $ | 20,793 | ||||||
Supplemental disclosures: | ||||||||||||
Interest paid | $ | 1,944,489 | $ | 1,116,132 | $ | 2,046,886 | ||||||
AHP payments * | $ | 16,455 | $ | 30,266 | $ | 22,398 | ||||||
REFCORP payments | $ | 53,444 | $ | 15,437 | $ | 40,085 | ||||||
Investing activities | ||||||||||||
Loans made to other FHLBanks | $ | (100,000 | ) | $ | (1,575,000 | ) | $ | (7,453,000 | ) | |||
Principal collected on loans to other FHLBanks | 100,000 | 1,635,000 | 7,443,000 | |||||||||
Net change in loans to other FHLBanks | $ | — | $ | 60,000 | $ | (10,000 | ) | |||||
Financing activities | ||||||||||||
Proceeds from short-term borrowings from other FHLBanks | $ | 765,000 | $ | 2,801,000 | $ | 6,456,000 | ||||||
Payment of short-term borrowings from other FHLBanks | (765,000 | ) | (2,801,000 | ) | (6,456,000 | ) | ||||||
Net change in borrowings from other FHLBanks | $ | — | $ | — | $ | — | ||||||
* | AHP payments = (beginning accrual — ending accrual) + AHP assessment for the year; it represents funds released to the AHP. |
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Notes to Financial Statements
(1) | a hedge of the fair value of a recognized asset or liability or an unrecognized firm commitment (a “fair value” hedge); | ||
(2) | a 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 hedge of the foreign currency component of a hedged item in a fair value or cash flow hedge; | ||
(4) | a non-qualifying hedge of an asset or liability (“economic hedge”) for asset-liability management purposes; or | ||
(5) | a non-qualifying 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. |
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Notes to Financial Statements
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Notes to Financial Statements
• | a member requests redemption of excess stock; | ||
• | a member delivers notice of its intent to withdraw from membership; or | ||
• | a member attains non-member status (through merger into or acquisition by a non-member, or involuntary termination from membership); or |
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Notes to Financial Statements
• | a member requests redemption of excess stock; | ||
• | a member delivers notice of its intent to withdraw from membership; or | ||
• | a member attains non-member status (through merger into or acquisition by a non-member, or involuntary termination from membership); |
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158
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Notes to Financial Statements
December 31, 2005 | ||||||||||||||||
Gross | Gross | Estimated | ||||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
State or local housing agency obligations | $ | 992,578 | $ | 16,069 | $ | — | $ | 1,008,647 | ||||||||
Mortgage-backed securities | 8,573,863 | 72,908 | (125,844 | ) | 8,520,927 | |||||||||||
Total | $ | 9,566,441 | $ | 88,977 | $ | (125,844 | ) | $ | 9,529,574 | |||||||
December 31, 2004 | ||||||||||||||||
Gross | Gross | Estimated | ||||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
State or local housing agency obligations | $ | 1,056,982 | $ | 26,669 | $ | (718 | ) | $ | 1,082,933 | |||||||
Mortgage-backed securities | 10,813,692 | 220,060 | (21,808 | ) | 11,011,944 | |||||||||||
Total | $ | 11,870,674 | $ | 246,729 | $ | (22,526 | ) | $ | 12,094,877 | |||||||
December 31, 2003 | ||||||||||||||||
Gross | Gross | Estimated | ||||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
State or local housing agency obligations | $ | 1,164,486 | $ | 33,269 | $ | (508 | ) | $ | 1,197,247 | |||||||
Mortgage-backed securities | 10,194,881 | 361,756 | (5,596 | ) | 10,551,041 | |||||||||||
Total | $ | 11,359,367 | $ | 395,025 | $ | (6,104 | ) | $ | 11,748,288 | |||||||
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Less than 12 months | 12 months or more | |||||||||||||||
Estimated Fair | Unrealized | Estimated Fair | Unrealized | |||||||||||||
Value | Losses | Value | Losses | |||||||||||||
Mortgage- and residential asset-backed securities — fixed rate | ||||||||||||||||
AAA-rated | $ | 2,812,278 | $ | 46,888 | $ | 2,548,174 | $ | 78,914 | ||||||||
AA-rated | — | — | — | — | ||||||||||||
Below AA | — | — | — | — | ||||||||||||
Mortgage- and residential asset-backed securities — variable rate | ||||||||||||||||
AAA-rated | 134,958 | 42 | — | — | ||||||||||||
AA-rated | — | — | — | — | ||||||||||||
Below AA | — | — | — | — | ||||||||||||
2,947,236 | 46,930 | 2,548,174 | 78,914 | |||||||||||||
State and local housing finance agencigs — fixed rate | ||||||||||||||||
AAA-rated | — | — | — | — | ||||||||||||
AA-rated | — | — | — | — | ||||||||||||
Below AA | — | — | — | — | ||||||||||||
State and local housing finance agencies — variable rate | ||||||||||||||||
AAA-rated | — | — | ||||||||||||||
AA-rated | — | — | ||||||||||||||
Below AA | — | — | — | — | ||||||||||||
— | — | — | — | |||||||||||||
Total temporarily impaired | $ | 2,947,236 | $ | 46,930 | $ | 2,548,174 | $ | 78,914 | ||||||||
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Less than 12 months | 12 months or more | |||||||||||||||
Estimated Fair | Unrealized | Estimated Fair | Unrealized | |||||||||||||
Value | Losses | Value | Losses | |||||||||||||
Mortgage- and residential asset-backed securities — fixed rate | ||||||||||||||||
AAA-rated | $ | 3,904,642 | $ | 21,212 | $ | 7,357 | $ | 236 | ||||||||
AA-rated | — | — | — | — | ||||||||||||
Below AA | — | — | — | — | ||||||||||||
Mortgage- and residential asset-backed securities — variable rate | ||||||||||||||||
AAA-rated | 181,751 | 360 | — | — | ||||||||||||
AA-rated | — | — | — | — | ||||||||||||
Below AA | — | — | — | — | ||||||||||||
�� | ||||||||||||||||
4,086,393 | 21,572 | 7,357 | 236 | |||||||||||||
State and local housing finance agencies-fixed rate | ||||||||||||||||
AAA-rated | — | — | — | — | ||||||||||||
AA-rated | — | — | — | — | ||||||||||||
Below AA | — | — | — | — | ||||||||||||
State and local housing finance agencies-variable rate | ||||||||||||||||
AAA-rated | — | — | 39,645 | 355 | ||||||||||||
AA-rated | — | — | 24,636 | 363 | ||||||||||||
Below AA | — | — | — | — | ||||||||||||
— | — | 64,281 | 718 | |||||||||||||
Total temporarily impaired | $ | 4,086,393 | $ | 21,572 | $ | 71,638 | $ | 954 | ||||||||
December 31, 2005 | December 31, 2004 | |||||||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||||||
Cost | Fair Value | Cost | Fair Value | |||||||||||||
Due in one year or less | $ | — | $ | — | $ | — | $ | — | ||||||||
Due after one year through five years | 12,853 | 13,415 | — | — | ||||||||||||
Due after five years through ten years | 35,930 | 36,922 | 48,063 | 50,156 | ||||||||||||
Due after ten years | 943,795 | 958,310 | 1,008,919 | 1,032,777 | ||||||||||||
State and local housing finance agency bonds | 992,578 | 1,008,647 | 1,056,982 | 1,082,933 | ||||||||||||
Mortgage-backed securities | ||||||||||||||||
Due in one year or less | — | — | — | — | ||||||||||||
Due after one year through five years | 1,281,487 | 1,329,776 | 1,512,286 | 1,632,348 | ||||||||||||
Due after five years through ten years | 11,556 | 11,515 | 17,402 | 17,641 | ||||||||||||
Due after ten years | 7,280,820 | 7,179,636 | 9,284,004 | 9,361,955 | ||||||||||||
Total mortgage-backed securities | 8,573,863 | 8,520,927 | 10,813,692 | 11,011,944 | ||||||||||||
Total securities | $ | 9,566,441 | $ | 9,529,574 | $ | 11,870,674 | $ | 12,094,877 | ||||||||
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December 31, 2005 | December 31, 2004 | |||||||
Amortized cost of held-to-maturity securities other than mortgage-backed securities | ||||||||
Fixed-rate | $ | 343,478 | $ | 355,902 | ||||
Variable-rate | 649,100 | 701,080 | ||||||
992,578 | 1,056,982 | |||||||
Amortized cost of held-to-maturity mortgage related securities | ||||||||
Pass-through securities | ||||||||
Fixed-rate | 4,660,481 | 5,760,446 | ||||||
Variable-rate | 510,789 | 1,321,394 | ||||||
Collateralized mortgage obligations | ||||||||
Fixed-rate | 3,371,425 | 3,687,353 | ||||||
Variable-rate | 31,168 | 44,499 | ||||||
8,573,863 | 10,813,692 | |||||||
Total | $ | 9,566,441 | $ | 11,870,674 | ||||
December 31, 2005 | December 31, 2004 | |||||||
Mortgage-backed securities — amortized cost | $ | — | $ | 711,123 | ||||
Unrealized gain on available-for-sale securities | — | 2,240 | ||||||
Estimated Fair Value | $ | — | $ | 713,363 | ||||
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December 31, 2005 | December 31, 2004 | |||||||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||||||
Cost | Fair Value | Cost | Fair Value | |||||||||||||
Due in one year or less | $ | — | $ | — | $ | — | $ | — | ||||||||
Due after one year through five years | — | — | — | — | ||||||||||||
Due after five years through ten years | — | — | — | — | ||||||||||||
Due after ten years | 711,123 | 713,363 | ||||||||||||||
Total | $ | — | $ | — | $ | 711,123 | $ | 713,363 | ||||||||
December 31, 2005 | December 31, 2004 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Amount | Average | Amount | Average | |||||||||||||
Overdrawn demand deposit accounts | $ | — | 0.00 | % | $ | 237 | 4.75 | % | ||||||||
Due in one year or less | 15,645,155 | 4.12 | % | 23,111,281 | 2.90 | % | ||||||||||
Due after one year through two years | 8,858,008 | 4.16 | % | 7,583,635 | 3.38 | % | ||||||||||
Due after two years through three years | 11,493,647 | 4.45 | % | 7,967,893 | 3.05 | % | ||||||||||
Due after three years through four years | 2,641,601 | 4.90 | % | 8,435,962 | 3.79 | % | ||||||||||
Due after four years through five years | 7,615,315 | 5.42 | % | 2,300,288 | 4.91 | % | ||||||||||
Thereafter | 15,439,581 | 4.00 | % | 17,865,330 | 4.65 | % | ||||||||||
Total par value | 61,693,307 | 4.35 | % | 67,264,626 | 3.62 | % | ||||||||||
Discount on AHP advances* | (624 | ) | (786 | ) | ||||||||||||
Net premium on advances* | 1,122 | 1,784 | ||||||||||||||
SFAS 133 hedging adjustments* | 207,729 | 1,241,863 | ||||||||||||||
Total | $ | 61,901,534 | $ | 68,507,487 | ||||||||||||
* | Discounts on AHP advances are amortized to interest income using the level-yield method and were not significant for all periods reported. Amortization of fair value basis adjustments were a charge to interest income and amounted to ($0.5) million, ($0.4) million, and ($1.3) million for the years ended December 31, 2005, 2004 and 2003. All other amortization charged to interest income aggregated ($0.7) million, ($0.7) million, and ($0.3) million for the years ended December 31, 2005, 2004 and 2003. |
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December 31, 2005 | December 31, 2004 | |||||||
Overdrawn demand deposit accounts | $ | — | $ | 237 | ||||
Due in one year or less | 33,494,173 | 39,671,293 | ||||||
Due after one year through two years | 12,857,041 | 10,042,141 | ||||||
Due after two years through three years | 10,476,785 | 9,475,176 | ||||||
Due after three years through four years | 1,761,451 | 5,718,400 | ||||||
Due after four years through five years | 1,600,715 | 804,388 | ||||||
Thereafter | 1,503,142 | 1,552,991 | ||||||
Total par value | $ | 61,693,307 | $ | 67,264,626 | ||||
(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. |
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168
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December 31, 2005 | December 31, 2004 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of total | Amount | of total | |||||||||||||
Fixed-rate | $ | 48,148,028 | 78.05 | % | $ | 53,373,084 | 79.35 | % | ||||||||
Variable-rate | 11,927,085 | 19.33 | % | 11,959,522 | 17.78 | % | ||||||||||
Variable-rate capped | 1,618,194 | 2.62 | % | 1,932,020 | 2.87 | % | ||||||||||
Total par value | $ | 61,693,307 | 100.00 | % | $ | 67,264,626 | 100.00 | % | ||||||||
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December 31, | ||||||||||||||||
2005 | Percentage | 2004 | Percentage | |||||||||||||
Real Estate: | ||||||||||||||||
Fixed medium-term single-family mortgages | $ | 596,236 | 40.8 | % | $ | 516,666 | 44.2 | % | ||||||||
Fixed long-term single-family mortgages | 853,738 | 58.5 | % | 641,730 | 54.8 | % | ||||||||||
Multi-family mortgages | 6,859 | 0.5 | % | 9,493 | 0.8 | % | ||||||||||
Non-residential mortgages | 2,713 | 0.2 | % | 2,771 | 0.2 | % | ||||||||||
Total par value | 1,459,546 | 100.0 | % | 1,170,660 | 100.0 | % | ||||||||||
Net unamortized premiums | 14,789 | 13,294 | ||||||||||||||
Net unamortized discounts | (6,381 | ) | (4,882 | ) | ||||||||||||
Basis adjustment | (429 | ) | (482 | ) | ||||||||||||
Total mortgage loans held-for-portfolio | 1,467,525 | 1,178,590 | ||||||||||||||
Allowance for credit losses | (582 | ) | (507 | ) | ||||||||||||
Total mortgage loans held-for-portfolio after allowance for credit losses | $ | 1,466,943 | $ | 1,178,083 | ||||||||||||
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For the years ended | ||||||||||||
December 31, | ||||||||||||
2005 | 2004 | 2003 | ||||||||||
Balance, beginning of period | $ | 507 | $ | 507 | $ | 428 | ||||||
Charge offs | — | — | — | |||||||||
Recoveries | — | — | — | |||||||||
Net charge- off | — | — | — | |||||||||
Provision for credit losses | 75 | — | 79 | |||||||||
Balance, end of period | $ | 582 | $ | 507 | $ | 507 | ||||||
December 31, 2005 | December 31, 2004 | |||||||
Secured by 1-4 family | $ | 1,373 | $ | 1,898 | ||||
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172
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December 31, 2005 | December 31, 2004 | |||||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | — | $ | 22,114 | $ | — | $ | 22,376 | ||||||||
Interest-bearing deposits | — | 8,699,107 | — | 2,806,870 | ||||||||||||
Federal funds sold | — | 2,925,000 | — | 2,972,000 | ||||||||||||
Available-for-sale securities | — | — | — | 713,363 | ||||||||||||
Held-to-maturity securities | — | 9,566,441 | — | 11,870,674 | ||||||||||||
Advances | 61,901,534 | — | 68,507,487 | — | ||||||||||||
Mortgage loans* | — | 1,466,943 | — | 1,178,083 | ||||||||||||
Accrued interest receivable | 276,796 | 100,457 | 252,517 | 63,251 | ||||||||||||
Premises and equipment, net | — | 11,257 | — | 13,030 | ||||||||||||
Derivative assets | — | 19,197 | — | 11,048 | ||||||||||||
Other assets** | — | 24,672 | — | 28,261 | ||||||||||||
$ | 62,178,330 | $ | 22,835,188 | $ | 68,760,004 | $ | 19,678,956 | |||||||||
Liabilities | ||||||||||||||||
Deposits | $ | 2,657,662 | $ | — | $ | 2,297,619 | $ | — | ||||||||
Consolidated obligations | — | 77,279,147 | — | 80,156,982 | ||||||||||||
Mandatorily redeemable capital stock | 18,087 | — | 126,581 | — | ||||||||||||
Accrued interest payable | — | 498,318 | — | 437,743 | ||||||||||||
Affordable Housing Program**** | 91,004 | — | 81,580 | — | ||||||||||||
Payable to REFCORP | — | 14,062 | — | 9,966 | ||||||||||||
Derivative liabilities | — | 491,866 | — | 1,372,195 | ||||||||||||
Other liabilities*** | 47,468 | 30,524 | 54,082 | 23,082 | ||||||||||||
Total liabilities | 2,814,221 | 78,313,917 | 2,559,862 | 81,999,968 | ||||||||||||
Capital | 3,885,380 | — | 3,879,130 | — | ||||||||||||
$ | 6,699,601 | $ | 78,313,917 | $ | 6,438,992 | $ | 81,999,968 | |||||||||
* | Includes de minimis amount of mortgage loans purchased from members of another FHLBank. | |
** | Includes not significant amounts of miscellaneous assets that are considered related party | |
*** | Includes member pass-through reserves at the Federal Reserve Bank. | |
**** | Funds not yet disbursed to eligible programs. |
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December 31, 2005 | December 31, 2004 | December 31, 2003 | ||||||||||||||||||||||
Related | Unrelated | Related | Unrelated | Related | Unrelated | |||||||||||||||||||
Interest income | ||||||||||||||||||||||||
Advances | $ | 2,174,948 | $ | — | $ | 1,247,568 | $ | — | $ | 1,292,990 | $ | — | ||||||||||||
Interest-bearing deposits | — | 193,668 | — | 61,096 | — | 67,113 | ||||||||||||||||||
Federal funds sold | — | 97,547 | — | 16,434 | — | 16,493 | ||||||||||||||||||
Available-for-sale securities | — | 19,519 | — | 7,797 | — | — | ||||||||||||||||||
Held-to-maturity securities | — | 566,009 | — | 545,660 | — | 652,207 | ||||||||||||||||||
Mortgage loans and participations* | — | 69,312 | — | 48,291 | — | 29,099 | ||||||||||||||||||
Loans to other FHLBanks | 9 | — | 78 | — | 2,491 | — | ||||||||||||||||||
Collateral pledged | — | 33 | — | 48 | — | 62 | ||||||||||||||||||
Total interest income | $ | 2,174,957 | $ | 946,088 | $ | 1,247,646 | $ | 679,326 | $ | 1,295,481 | $ | 764,974 | ||||||||||||
Interest expense | ||||||||||||||||||||||||
Consolidated obligations | $ | — | $ | 2,660,797 | $ | — | $ | 1,631,221 | $ | — | $ | 1,733,663 | ||||||||||||
Deposits | 62,237 | — | 21,913 | — | 27,977 | — | ||||||||||||||||||
Mandatorily redeemable stock | 2,747 | — | 5,201 | — | — | — | ||||||||||||||||||
Cash collateral held and other | 67 | 225 | 111 | 34 | 24 | 268 | ||||||||||||||||||
Total interest expense | $ | 65,051 | $ | 2,661,022 | $ | 27,225 | $ | 1,631,255 | $ | 28,001 | $ | 1,733,931 | ||||||||||||
Service fees | $ | 4,666 | $ | — | $ | 4,751 | $ | — | $ | 4,936 | $ | — | ||||||||||||
* | Includes de minimis amount of mortgage interest income from loans purchased from members of another FHLBank. |
December 31, 2005 | December 31, 2004 | |||||||
Due in one year or less | $ | 19,525 | $ | 101,000 | ||||
Total term deposits | $ | 19,525 | $ | 101,000 | ||||
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December 31, | ||||||||
2005 | 2004 | |||||||
Percentage of unpledged qualified assets to consolidated obligations | 110 | % | 109 | % | ||||
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176
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December 31, 2005 | December 31, 2004 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Maturity | Amount | Rate | Amount | Rate | ||||||||||||
1 year or less | $ | 21,715,080 | 3.57 | % | $ | 25,348,025 | 2.64 | % | ||||||||
over 1 year through 2 years | 15,632,185 | 3.83 | % | 16,297,480 | 3.41 | % | ||||||||||
over 2 years through 3 years | 11,266,170 | 4.19 | % | 8,688,675 | 3.54 | % | ||||||||||
over 3 years through 4 years | 2,690,100 | 4.06 | % | 4,561,750 | 4.00 | % | ||||||||||
over 4 years through 5 years | 2,250,700 | 4.35 | % | 2,227,200 | 3.89 | % | ||||||||||
over 5 years through 6 years | 931,500 | 4.56 | % | 1,028,350 | 4.57 | % | ||||||||||
Thereafter | 2,632,700 | 5.09 | % | 2,434,650 | 5.14 | % | ||||||||||
Total par value | 57,118,435 | 3.90 | % | 60,586,130 | 3.26 | % | ||||||||||
Bond premiums | 48,547 | 112,768 | ||||||||||||||
Bond discounts | (19,244 | ) | (19,957 | ) | ||||||||||||
SFAS 133 fair value adjustments | (375,885 | ) | (161,370 | ) | ||||||||||||
Deferred net gains on terminated hedges | (3,231 | ) | (2,215 | ) | ||||||||||||
Total | $ | 56,768,622 | $ | 60,515,356 | ||||||||||||
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December 31, 2005 | December 31, 2004 | |||||||
Non-callable/non-putable | $ | 35,013,135 | $ | 40,355,470 | ||||
Callable | 22,105,300 | 20,230,660 | ||||||
Total par value | $ | 57,118,435 | $ | 60,586,130 | ||||
December 31, 2005 | December 31, 2004 | |||||||
Year of Maturity or next call date | ||||||||
Due or callable in one year or less | $ | 38,111,080 | $ | 37,897,285 | ||||
Due or callable after one year through two years | 9,131,685 | 12,616,220 | ||||||
Due or callable after two years through three years | 6,727,170 | 4,948,175 | ||||||
Due or callable after three years through four years | 844,600 | 3,202,750 | ||||||
Due or callable after four years through five years | 855,000 | 696,700 | ||||||
Thereafter | 1,448,900 | 1,225,000 | ||||||
Total par value | $ | 57,118,435 | $ | 60,586,130 | ||||
December 31, 2005 | December 31, 2004 | |||||||
Fixed-rate, Non-callable | $ | 34,113,135 | $ | 34,635,470 | ||||
Fixed-rate, Callable | 15,687,300 | 19,001,260 | ||||||
Step Ups | 6,443,000 | 1,260,000 | ||||||
Single-index Floating Rate | 875,000 | 5,689,400 | ||||||
Total | $ | 57,118,435 | $ | 60,586,130 | ||||
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Weighted | ||||||||||||
Book | Par | Average | ||||||||||
Value | Value | Interest Rate | ||||||||||
December 31, 2005 | $ | 20,510,525 | $ | 20,651,191 | 4.05 | % | ||||||
December 31, 2004 | $ | 19,641,626 | $ | 19,670,201 | 1.90 | % | ||||||
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December 31, 2005 | December 31, 2004 | |||||||
Redemption within one year | $ | 109 | $ | 106,141 | ||||
Redemption after one year through two years | 7,904 | 175 | ||||||
Redemption after three years through five years | 10,034 | 9,923 | ||||||
Redemption after six years through ten years | 40 | 10,294 | ||||||
Redemption after eleven years through fifteen years | — | 48 | ||||||
$ | 18,087 | $ | 126,581 | |||||
December 31, 2005 | December 31, 2004 | |||||||
Balance, beginning of year | $ | 126,581 | $ | — | ||||
Capital stock subject to mandatory redemption reclassified from equity | — | 357,887 | ||||||
Redemption of mandatorily redeemable capital stock | (108,494 | ) | (231,306 | ) | ||||
Balance, end of year | $ | 18,087 | $ | 126,581 | ||||
Net accrued interest payable, end of the year | $ | 258 | $ | 1,228 | ||||
(5.25% annualized for 2005; 3.00% annualized for 2004) |
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December 31, 2005 | December 31, 2004 | |||||||||||||||
Actual | Limits | Actual | Limits | |||||||||||||
Mortgage securities investment authority | 220 | % | 300 | % | 287 | % | 300 | % | ||||||||
Leverage limits (Note 1) | ||||||||||||||||
Ratio of total assets to capital limit | N/A | N/A | 22.10 | 25 times | ||||||||||||
Percentage of non-mortgage assets to total assets* | N/A | N/A | (0.34 | )% | 11.00 | % | ||||||||||
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• | 5 % of the member’s total outstanding advances plus 5 percent of the FHLBNY’s interest in the aggregate unpaid principal balance of all loans sold by the members to the FHLBNY, or | ||
• | 1% of the member’s total unpaid principal balance of residential mortgage loans (usually as of the most recent year-end), or | ||
• | $500. |
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December 31, 2005 | ||||||||
Required | Actual | |||||||
Regulatory capital requirements: | ||||||||
Risk-based capital* | $ | 626,486 | $ | 3,899,954 | ||||
Total capital-to-asset ratio | 4.00 | % | 4.57 | % | ||||
Total capital | $ | 3,400,541 | $ | 3,899,954 | ||||
Leverage ratio | 5.00 | % | 6.88 | % | ||||
Leverage capital | $ | 4,250,676 | $ | 5,849,931 |
Available- | Benefits | Accumulated other | ||||||||||||||
for-sale | Cash-flow | Equalization | Comprehensive | |||||||||||||
securities | hedges | Plan | Income (Loss)) | |||||||||||||
Balance, December 31, 2002 | $ | — | $ | — | $ | — | $ | — | ||||||||
Net change | — | (13 | ) | (2,013 | ) | (2,026 | ) | |||||||||
Balance, December 31, 2003 | — | (13 | ) | (2,013 | ) | (2,026 | ) | |||||||||
Net change | 2,240 | 911 | (476 | ) | 2,675 | |||||||||||
Balance, December 31, 2004 | 2,240 | 898 | (2,489 | ) | 649 | |||||||||||
Net change | (2,240 | ) | 4,454 | 650 | 2,864 | |||||||||||
Balance, December 31, 2005 | $ | — | $ | 5,352 | $ | (1,839 | ) | $ | 3,513 | |||||||
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2005 | 2004 | 2003 | ||||||||||
Net income before cumulative effects of changes in accounting principles | $ | 229,049 | $ | 162,581 | $ | 45,816 | ||||||
Cumulative effects of changes in accounting principles | 1,109 | (1,305 | ) | — | ||||||||
Net income available to stockholders | $ | 230,158 | $ | 161,276 | $ | 45,816 | ||||||
Weighted average shares of capital | 36,591 | 37,917 | 40,816 | |||||||||
Less: Mandatorily redeemable capital | (427 | ) | (2,467 | ) | — | |||||||
Average number of shares of capital used to calculate earnings per share | 36,164 | 35,450 | 40,816 | |||||||||
Earnings per share of capital before cumulative effects of changes in accounting principles | $ | 6.33 | $ | 4.59 | $ | 1.12 | ||||||
Cumulative effects of changes in accounting principles | 0.03 | (0.04 | ) | — | ||||||||
Net earnings per share of capital | $ | 6.36 | $ | 4.55 | $ | 1.12 | ||||||
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2005 | 2004 | ||||||||
Accumulated benefit obligation | $ | 10,425 | $ | 8,819 | |||||
Effect of future salary increase | 2,961 | 2,606 | |||||||
Projected benefit obligation | 13,386 | 11,425 | |||||||
Unrecognized prior service cost | 332 | 383 | |||||||
Unrecognized net (gain) | (5,132 | ) | (5,478 | )* | |||||
Accrued pension cost | $ | 8,586 | $ | 6,330 | * | ||||
* | Revised |
2005 | 2004 | |||||||
Projected benefit obligation at the beginning of the year | $ | 11,425 | $ | 10,760 | ||||
Service | 526 | 600 | ||||||
Interest | 676 | 664 | ||||||
Benefits paid | (341 | ) | (303 | ) | ||||
Actuarial loss | 499 | — | ||||||
Change in discount rate | 601 | 351 | ||||||
Retiree and deferred vested cost | — | (647 | ) | |||||
Projected benefit obligation at the end of the year | $ | 13,386 | $ | 11,425 | ||||
2005 | 2004 | |||||||
Accrued benefit obligation | $ | 10,425 | $ | 8,819 | ||||
Net amount recognized | (8,586 | ) | (6,330 | ) | ||||
Accumulated other comprehensive loss | $ | 1,839 | $ | 2,489 | ||||
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2005 | 2004 | |||||||
Fair value of the plan assets at the beginning of the year | $ | — | $ | — | ||||
Employer contributions | 341 | 303 | ||||||
Benefits paid | (341 | ) | (303 | ) | ||||
Fair value of the plan assets at the end of the year | $ | — | $ | — | ||||
2005 | 2004 | 2003 | ||||||||||
Service | $ | 526 | $ | 600 | $ | 379 | ||||||
Interest | 676 | 664 | 512 | |||||||||
Amortization of unrecognized prior service cost | (50 | ) | (50 | ) | (50 | ) | ||||||
Amortization of unrecognized net loss | 823 | 671 | 372 | |||||||||
Net periodic benefit cost | $ | 1,975 | $ | 1,885 | $ | 1,213 | ||||||
2005 | 2004 | 2003 | ||||||||||
Discount rate | 5.50 | % | 6.00 | % | 6.25 | % | ||||||
Salary Increases | 5.50 | % | 5.50 | % | 5.50 | % | ||||||
Amortization period (years) | 7 | 8 | 8 | |||||||||
Benefits paid during the year | $ | (341 | ) | $ | (303 | ) | $ | (207 | ) |
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Years | Payments | |||
2006 | $ | 410 | ||
2007 | 470 | |||
2008 | 551 | |||
2009 | 610 | |||
20010 | 661 | |||
2011-2015 | 4,471 | |||
$ | 7,173 | |||
2005 | 2004 | |||||||
Accumulated postretirement benefit obligation at the beginning of the year | $ | 9,478 | $ | 6,132 | ||||
Service cost | 505 | 498 | ||||||
Interest cost | 546 | 495 | ||||||
Actuarial loss | 199 | 1,406 | ||||||
Benefits paid | (408 | ) | (326 | ) | ||||
Participants’ contributions | 48 | 41 | ||||||
Change in plan assumptions | — | 1,232 | ||||||
Accumulated postretirement benefit obligation at the end of the year | 10,368 | 9,478 | ||||||
Unrecognized net gain | (1,153 | ) | (1,949 | ) | ||||
Accrued postretirement benefit cost | $ | 9,215 | $ | 7,529 | ||||
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2005 | 2004 | |||||||
Fair value of plan assets at the beginning of the year | $ | — | $ | — | ||||
Employer contributions | 360 | 285 | ||||||
Participant’s contributions | 48 | 41 | ||||||
Benefits paid | (408 | ) | (326 | ) | ||||
Fair Value of plan assets at the end of the year | $ | — | $ | — | ||||
2005 | 2004 | 2003 | ||||||||||
Service cost (benefits attributed to service during the period) | $ | 505 | $ | 498 | $ | 277 | ||||||
Interest cost on accumulated postretirement benefit obligation | 546 | 495 | 353 | |||||||||
Amortization of loss | 574 | 361 | 80 | |||||||||
Net periodic postretirement benefit cost | $ | 1,625 | $ | 1,354 | $ | 710 | ||||||
2005 | 2004 | 2003 | ||||||||||
Weighted average discount rate at the end of the year | 5.50 | % | 5.75 | % | 6.25 | % | ||||||
Health care cost trend rates: | ||||||||||||
Assumed for next year | 8.00 | % | 9.00 | % | 8.00 | % | ||||||
Ultimate rate | 4.50 | % | 4.50 | % | 4.50 | % | ||||||
Year that ultimate rate is reached | 2010 | 2010 | 2010 | |||||||||
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 |
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Years | Payments | |||
2006 | $ | 397 | ||
2007 | 418 | |||
2008 | 452 | |||
2009 | 505 | |||
2010 | 537 | |||
2011-2015 | 3,345 | |||
Total | $ | 5,654 | ||
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Notes to Financial Statements
December 31, 2005 | December 31, 2004 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Notional | Fair Value | Notional | Fair Value | |||||||||||||
Interest rate swaps | ||||||||||||||||
Fair value | $ | 70,724,618 | $ | (594,584 | ) | $ | 63,311,654 | $ | (1,405,858 | ) | ||||||
Cash flow | 788,000 | 528 | 712,150 | 3,058 | ||||||||||||
Economic | 5,000 | (128 | ) | 67,140 | (3,402 | ) | ||||||||||
Interest rate caps/floors | — | |||||||||||||||
Fair Value | 1,618,194 | (7 | ) | 1,932,000 | (11 | ) | ||||||||||
Mortgage delivery commitments | ||||||||||||||||
Fair value | 657 | — | — | — | ||||||||||||
Cash flow | — | — | 10,316 | 16 | ||||||||||||
Other | ||||||||||||||||
Intermediation | 130,000 | 5 | 112,000 | 9 | ||||||||||||
Total | $ | 73,266,469 | $ | (594,186 | ) | $ | 66,145,260 | $ | (1,406,188 | ) | ||||||
December 31, | December 31, | December 31, | ||||||||||
2005 | 2004 | 2003 | ||||||||||
Net (losses) gains on derivatives and hedging activities | ||||||||||||
(Losses) gains related to fair value hedge ineffectiveness | $ | (10,982 | ) | $ | 6,567 | $ | 498 | |||||
Gains (losses) on economic hedges | 1,516 | 1,707 | (1,325 | ) | ||||||||
Net (losses) gain on derivatives hedging activities | $ | (9,466 | ) | $ | 8,274 | $ | (827 | ) | ||||
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Net | ||||||||||||
Unrealized | Estimated | |||||||||||
Carrying | Gains | Fair | ||||||||||
Financial Instruments | Value | Losses | Value | |||||||||
Assets | ||||||||||||
Cash and due from banks | $ | 22,114 | $ | — | $ | 22,114 | ||||||
Interest-bearing deposits | 8,699,107 | (1,205 | ) | 8,697,902 | ||||||||
Federal funds sold | 2,925,000 | 28 | 2,925,028 | |||||||||
Held-to-maturity securities | 9,566,441 | (36,867 | ) | 9,529,574 | ||||||||
Advances | 61,901,534 | (122,412 | ) | 61,779,122 | ||||||||
Mortgage loans | 1,466,943 | (21,503 | ) | 1,445,440 | ||||||||
Accrued interest receivable | 377,253 | — | 377,253 | |||||||||
Derivative assets | 19,197 | — | 19,197 | |||||||||
Other financial assets | 1,074 | — | 1,074 | |||||||||
Liabilities | ||||||||||||
Deposits | 2,657,662 | (2 | ) | 2,657,660 | ||||||||
Consolidated obligations | ||||||||||||
Discount notes | 20,510,525 | (3,115 | ) | 20,507,410 | ||||||||
Bonds | 56,768,622 | (178,235 | ) | 56,590,387 | ||||||||
Mandatorily redeemable capital stock | 18,087 | — | 18,087 | |||||||||
Accrued interest payable | 498,318 | — | 498,318 | |||||||||
Derivative liabilities | 491,866 | — | 491,866 | |||||||||
Other financial liabilities | 54,638 | — | 54,638 |
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Net | ||||||||||||
Unrealized | Estimated | |||||||||||
Carrying | Gains | Fair | ||||||||||
Financial Instruments | Value | Losses | Value | |||||||||
Assets | ||||||||||||
Cash and due from banks | $ | 22,376 | $ | — | $ | 22,376 | ||||||
Interest-bearing deposits | 2,806,870 | 27 | 2,806,897 | |||||||||
Deposits for mortgage loan programs with other FHLBanks | — | — | — | |||||||||
Federal funds sold | 2,972,000 | (19 | ) | 2,971,981 | ||||||||
Available-for-sale securities | 713,363 | — | 713,363 | |||||||||
Held-to-maturity securities | 11,870,674 | 224,203 | 12,094,877 | |||||||||
Advances | 68,507,487 | (3,466 | ) | 68,504,021 | ||||||||
Mortgage loans | 1,178,083 | 11,860 | 1,189,943 | |||||||||
Accrued interest receivable | 315,768 | — | 315,768 | |||||||||
Derivative assets | 11,048 | — | 11,048 | |||||||||
Other financial assets | 3,810 | — | 3,810 | |||||||||
Liabilities | ||||||||||||
Deposits | 2,297,619 | (3 | ) | 2,297,616 | ||||||||
Consolidated obligations | ||||||||||||
Discount notes | 19,641,626 | (3,134 | ) | 19,638,492 | ||||||||
Bonds | 60,515,356 | 166,313 | 60,681,669 | |||||||||
Mandatorily redeemable capital stock | 126,581 | — | 126,581 | |||||||||
Accrued interest payable | 437,743 | — | 437,743 | |||||||||
Derivative liabilities | 1,372,195 | — | 1,372,195 | |||||||||
Other financial liabilities | 59,111 | — | 59,111 |
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Payments due or expiration terms by period | ||||||||||||||||||||
> 1 year | > 3 years | |||||||||||||||||||
<= 1 year | <= 3 years | <= 5 years | > 5 years | Total | ||||||||||||||||
Contractual Obligations | ||||||||||||||||||||
Consolidated obligations-bonds at par | $ | 21,715,080 | $ | 26,898,355 | $ | 4,940,800 | $ | 3,564,200 | $ | 57,118,435 | ||||||||||
Mandatorily redeemable capital stock | 109 | 7,904 | 10,034 | 40 | 18,087 | |||||||||||||||
Premise and equipment (rental and lease obligations) | 2,770 | 5,610 | 4,346 | 15,397 | 28,123 | |||||||||||||||
Total contractual obligations | 21,717,959 | 26,911,869 | 4,955,180 | 3,579,637 | 57,164,645 | |||||||||||||||
Other commitments | ||||||||||||||||||||
Standby letters of credit | 180,253 | 40,694 | 5,605 | 11,699 | 238,251 | |||||||||||||||
Unused lines of credit and other conditional commitments | 20,788,694 | — | — | — | 20,788,694 | |||||||||||||||
Consolidated obligation bonds traded not settled | 141,000 | — | — | — | 141,000 | |||||||||||||||
Open delivery commitments | 657 | — | — | — | 657 | |||||||||||||||
Total other commitments | 21,110,604 | 40,694 | 5,605 | 11,699 | 21,168,602 | |||||||||||||||
Total contractual obligations and commitments | $ | 42,828,563 | $ | 26,952,563 | $ | 4,960,785 | $ | 3,591,336 | $ | 78,333,247 | ||||||||||
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December 31, 2005 | ||||||||||||||||
Par | Percent of Total | |||||||||||||||
City | State | Advances | Par Advances** | |||||||||||||
New York Community Bank * | Westbury | NY | $ | 6,476,364 | 10.5 | % | ||||||||||
HSBC Bank USA, National Association | Wilmington | DE | 5,008,817 | 8.1 | % | |||||||||||
Hudson City Savings Bank * | Paramus | NJ | 4,300,000 | 7.0 | % | |||||||||||
North Fork Bank | Mattituck | NY | 4,075,015 | 6.6 | % | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 3,653,730 | 5.9 | % | |||||||||||
$ | 23,513,926 | 38.1 | % | |||||||||||||
December 31, 2004 | ||||||||||||||||
Par | Percent of Total | |||||||||||||||
City | State | Advances | Par Advances** | |||||||||||||
GreenPoint Bank | New York | NY | $ | 5,125,015 | 7.6 | % | ||||||||||
HSBC Bank USA | Buffalo | NY | 5,011,786 | 7.5 | % | |||||||||||
New York Community Bank | Westbury | NY | 4,644,290 | 6.9 | % | |||||||||||
Independence Community Bank * | New York | NY | 3,958,000 | 5.9 | % | |||||||||||
Manufacturers and Traders Trust Company * | Buffalo | NY | 3,529,333 | 5.2 | % | |||||||||||
$ | 22,268,424 | 33.1 | % | |||||||||||||
* | Officer of member bank also served on the Board of Directors of the FHLBNY | |
** | Percentage calculated on par value of advances before adjustment for SFAS 133. |
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December 31, 2005 | ||||
New York Community Bank | $ | 263,161 | ||
North Fork Bank | 261,795 | |||
HSBC Bank USA, National Association | 167,798 | |||
Hudson City Savings Bank | 139,769 | |||
Manufacturers and Traders Trust Company | 138,552 | |||
$ | 971,075 | |||
December 31, 2004 | ||||
New York Community Bank | $ | 196,510 | ||
GreenPoint Bank | 145,738 | |||
Independence Community Bank | 131,164 | |||
Washington Mutual Bank | 60,887 | |||
HSBC Bank USA | 35,507 | |||
$ | 569,806 | |||
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Expiration | ||||||||||||
Director | of Term | |||||||||||
Name | Age | Since | December 31, | |||||||||
Kenneth J. Abt | 63 | 1998 | 2006 | |||||||||
Sanford A. Belden | 63 | 2004 | 2006 | |||||||||
Harry P. Doherty | 63 | 2000 | 2008 | |||||||||
George L. Engelke, Jr. | 67 | 1999 | 2007 | |||||||||
Anne Evans Estabrook | 61 | 2004 | 2006 | |||||||||
Carl A. Florio | 57 | 2006 | 2008 | |||||||||
Joseph R. Ficalora | 59 | 2005 | 2007 | |||||||||
José R. González | 51 | 2004 | 2006 | |||||||||
Ronald E. Hermance Jr. | 58 | 2005 | 2007 | |||||||||
David W. Lindstrom | 66 | 2003 | 2008 | |||||||||
Katherine J. Liseno | 60 | 2004 | 2006 | |||||||||
Kevin J. Lynch | 59 | 2005 | 2007 | |||||||||
Richard S. Mroz | 44 | 2002 | 2006 |
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Employee of | ||||||
Executive officer | Position held | Age | bank since | |||
Alfred A. DelliBovi | President & Chief Executive Officer | 59 | 11/30/92 | |||
James A. Gilmore | Senior Vice President & Head of Marketing & Sales | 58 | 02/14/84 | |||
Robert R. Hans | Senior Vice President & Head of Technology & Support Services | 56 | 01/03/72* | |||
Paul B. Héroux | Senior Vice President & Head of Member Services | 47 | 02/27/84 | |||
Peter S. Leung | Senior Vice President & Chief Risk Officer | 50 | 01/20/04 | |||
Patrick A. Morgan | Senior Vice President & Chief Financial Officer | 65 | 02/16/99 | |||
Kevin M. Neylan | Senior Vice President of Strategic & Organizational Performance | 48 | 04/30/01 | |||
Craig E. Reynolds | Senior Vice President & Head of Asset Liability Management | 56 | 06/27/94 |
* | Rehired 9/16/75 |
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Annual Compensation | ||||||||||||||||||||||||
Other | All | |||||||||||||||||||||||
Annual | LTIP | Other | ||||||||||||||||||||||
Name and Principal Position | Year | Salary | Bonus | Compensation* | Payouts | Compensation** | ||||||||||||||||||
Alfred A. DelliBovi | 2005 | $ | 534,436 | $ | 361,536 | $ | 2,574 | $ | 41,448 | |||||||||||||||
President & | 2004 | 511,846 | 160,050 | 1,597 | 40,068 | |||||||||||||||||||
Chief Executive Officer | 2003 | 511,630 | — | 1,580 | 42,552 | |||||||||||||||||||
Peter S. Leung | 2005 | $ | 355,005 | $ | 182,781 | $ | 12,600 | |||||||||||||||||
Senior Vice President & | 2004 | 319,077 | 175,532 | 22,776 | ||||||||||||||||||||
Chief Risk Officer | 2003 | — | — | — | ||||||||||||||||||||
Paul B. Héroux | 2005 | $ | 252,424 | $ | 129,965 | $ | 16,176 | |||||||||||||||||
Senior Vice President & | 2004 | 242,666 | 53,996 | 15,799 | ||||||||||||||||||||
Head of Member Services | 2003 | 241,465 | — | 15,778 | ||||||||||||||||||||
Patrick A. Morgan | 2005 | $ | 248,783 | $ | 165,521 | $ | 12,346 | |||||||||||||||||
Senior Vice President & | 2004 | 175,872 | 39,296 | 10,340 | ||||||||||||||||||||
Chief Financial Officer | 2003 | 173,195 | — | 7,644 | ||||||||||||||||||||
Craig E. Reynolds | 2005 | $ | 247,730 | $ | 127,525 | $ | 24,112 | |||||||||||||||||
Senior Vice President & | 2004 | 239,508 | 53,494 | 23,366 | ||||||||||||||||||||
Head of Asset Liability Management | 2003 | 239,441 | — | 23,366 |
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All Other Compensation | ||||||||||||||||||||||
Pension | Life | Relocation | All | |||||||||||||||||||
Name and Principal Position | Year | Related* | Insurance | Expense | Others** | Total | ||||||||||||||||
Alfred A. DelliBovi | 2005 | $ | 32,088 | $ | 9,360 | $ | — | $ | — | $ | 41,448 | |||||||||||
2004 | 30,708 | 9,360 | — | — | 40,068 | |||||||||||||||||
2003 | 33,192 | 9,360 | — | — | 42,552 | |||||||||||||||||
Peter S. Leung | 2005 | $ | 12,600 | $ | — | $ | — | $ | — | $ | 12,600 | |||||||||||
2004 | 10,998 | — | 11,778 | — | 22,776 | |||||||||||||||||
2003 | — | — | — | — | — | |||||||||||||||||
Paul B. Héroux | 2005 | $ | 15,156 | $ | 1,020 | $ | — | $ | — | $ | 16,176 | |||||||||||
2004 | 14,508 | 1,020 | — | 271 | 15,799 | |||||||||||||||||
2003 | 14,508 | 1,020 | — | 250 | 15,778 | |||||||||||||||||
Patrick A. Morgan | 2005 | $ | 12,346 | $ | — | $ | — | $ | — | $ | 12,346 | |||||||||||
2004 | 10,340 | — | — | — | 10,340 | |||||||||||||||||
2003 | 7,644 | — | — | — | 7,644 | |||||||||||||||||
Craig E. Reynolds | 2005 | $ | 14,868 | $ | 8,990 | $ | — | $ | 254 | $ | 24,112 | |||||||||||
2004 | 14,376 | 8,990 | — | — | 23,366 | |||||||||||||||||
2003 | 14,376 | 8,990 | — | — | 23,366 |
** Fitness reimbursement for Mr. Héroux and a service anniversary award for Mr. Reynolds
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Years of Service1 2 | ||||||||||||||||||||||||
Three-year | ||||||||||||||||||||||||
average compensation3 | 5 | 10 | 15 | 20 | 25 | 30 | ||||||||||||||||||
$150,000 | $ | 18,750 | $ | 37,500 | $ | 56,250 | $ | 75,000 | $ | 93,750 | $ | 112,500 | ||||||||||||
$200,000 | $ | 25,000 | $ | 50,000 | $ | 75,000 | $ | 100,000 | $ | 125,000 | $ | 150,000 | ||||||||||||
$250,000 | $ | 31,250 | $ | 62,500 | $ | 93,750 | $ | 125,000 | $ | 156,250 | $ | 187,500 | ||||||||||||
$300,000 | $ | 37,500 | $ | 75,000 | $ | 112,500 | $ | 150,000 | $ | 187,500 | $ | 225,000 | ||||||||||||
$350,000 | $ | 43,750 | $ | 87,500 | $ | 131,250 | $ | 175,000 | $ | 218,750 | $ | 262,500 | ||||||||||||
$400,000 | $ | 50,000 | $ | 100,000 | $ | 150,000 | $ | 200,000 | $ | 250,000 | $ | 300,000 | ||||||||||||
$450,000 | $ | 56,250 | $ | 112,500 | $ | 168,750 | $ | 225,000 | $ | 281,250 | $ | 337,500 | ||||||||||||
$500,000 | $ | 62,500 | $ | 125,000 | $ | 187,500 | $ | 250,000 | $ | 312,500 | $ | 375,000 | ||||||||||||
$550,000 | $ | 68,750 | $ | 137,500 | $ | 206,250 | $ | 275,000 | $ | 343,750 | $ | 412,500 | ||||||||||||
$600,000 | $ | 75,000 | $ | 150,000 | $ | 225,000 | $ | 300,000 | $ | 375,000 | $ | 450,000 | ||||||||||||
$650,000 | $ | 81,250 | $ | 162,500 | $ | 243,750 | $ | 325,000 | $ | 406,250 | $ | 487,500 | ||||||||||||
$700,000 | $ | 87,500 | $ | 175,000 | $ | 262,500 | $ | 350,000 | $ | 437,500 | $ | 525,000 | ||||||||||||
$750,000 | $ | 93,750 | $ | 187,500 | $ | 281,250 | $ | 375,000 | $ | 468,750 | $ | 562,500 | ||||||||||||
$800,000 | $ | 100,000 | $ | 200,000 | $ | 300,000 | $ | 400,000 | $ | 500,000 | $ | 600,000 | ||||||||||||
$850,000 | $ | 106,250 | $ | 212,500 | $ | 318,750 | $ | 425,000 | $ | 531,250 | $ | 637,500 |
Mr. Héroux — 21 years and 6 months.
Mr. Reynolds — 11 years and 2 months.
Mr. Morgan — 6 years and 6 months.
Mr. Leung — 8 years and 6 months.
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Address of | beneficial owner | |||||||||||
Number of | Percent of | |||||||||||
Name of beneficial owner | City | State | shares owned | Total Capital Stock | ||||||||
New York Community Bank | Westbury | NY | 3,691 | 10.05 | % | |||||||
HSBC Bank USA, National Association | Wilmington | DE | 3,600 | 9.80 | % | |||||||
North Fork Bank | Melville | NY | 2,595 | 7.07 | % | |||||||
Hudson City Savings Bank * | Paramus | NJ | 2,569 | 7.00 | % | |||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 2,437 | 6.64 | % | |||||||
14,892 | 40.56 | % | ||||||||||
* | Officer of member bank also served on the Board of Directors of the FHLBNY |
Address of beneficial owner | Percentage | |||||||||||||
Shares | of total | |||||||||||||
Name of beneficial owner | Director | City | State | owned | capital stock | |||||||||
New York Community Bank | Joseph R. Ficalora | Westbury | New York | 3,266 | 9.05 | % | ||||||||
Hudson City Savings Bank | Ronald E. Hermance, Jr | Paramus | New Jersey | 2,270 | 6.29 | % | ||||||||
Independence Community Bank | Harry P. Doherty | Brooklyn | New York | 1,673 | 4.64 | % | ||||||||
Astoria Federal Savings and Loan Assoc. | George Engelke, Jr | Lake Success | New York | 1,452 | 4.03 | % | ||||||||
First Niagara Bank | G. Thomas Bowers | Lockport | New York | 473 | 1.31 | % | ||||||||
Banco Santander Puerto Rico | José R. González | Hato Rey | Puerto Rico | 419 | 1.16 | % | ||||||||
Community Bank, N.A. | Sanford A. Belden | Dewitt | New York | 288 | 0.80 | % | ||||||||
Oritani Savings Bank | Kevin J. Lynch | Washington | New Jersey | 92 | 0.26 | % | ||||||||
Franklin Savings Bank, S.L.A. | David W. Lindstrom | Pilesgrove | New Jersey | 20 | 0.05 | % | ||||||||
Metuchen Savings Bank | Katherine J. Liseno | Metuchen | New Jersey | 15 | 0.04 | % | ||||||||
First Federal Savings of Middletown | Kenneth J. Abt | Middletown | New York | 1 | 0.00 | % | ||||||||
9,969 | 27.63 | % | ||||||||||||
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2005 | 2004 | |||||||
Audit Fees | $ | 1,057 | $ | 436 | ||||
Audit- Related Fees | 174 | 161 | ||||||
Tax Fees | 29 | — | ||||||
All Other Fees | 9 | 8 | ||||||
$ | 1,269 | $ | 605 | |||||
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(a) | 1. Financial Statements |
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 | 8-K | 000-51397 | 12/1/2005 | ||||||||
3.02 | Revised By-Laws of the Federal Home Loan Bank of New York | 8-K | 000-51397 | 12/1/2005 | ||||||||
4.01 | Federal Home Loan Bank of New York’s Capital Plan Information Statement | 8-K | 000-51397 | 12/1/2005 | ||||||||
*10.01 | 2005 Executive Incentive Plan | X | ||||||||||
10.02 | 2005 Directors’ Compensation Policy | 10 | ||||||||||
10.03 | Financial Institutions Thrift Plan | 10 | ||||||||||
10.04 | The Comprehensive Retirement Program | 10 | ||||||||||
10.05 | Retiree Medical Benefits Plan | 10 | ||||||||||
10.05 | Benefit Equalization Plan | 10 | ||||||||||
12.01 | Computation of ratios of earnings to fixed charges | X | ||||||||||
22.01 | Election of Directors Report | 8-K | 000-51397 | 11/8/2005 | ||||||||
31.01 | Certification of the 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 |
(b) | See the Exhibits listed under Item 15(a) (3) above |
(c) | The financial statement schedules required by this item are listed under Item 15(a) (2) above. |
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Table of Contents
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 30, 2006 | ||
(Principal Executive Officer) | ||||
/s/ Patrick A. Morgan | Senior Vice President and Chief Financial Officer | March 30, 2006 | ||
(Principal Financial Officer) | ||||
/s/ Backer Ali | Vice President and Controller | March 30, 2006 | ||
(Principal Accounting Officer) | ||||
/s/ George L. Engelke, Jr. | Chairman of the Board of Directors | March 30, 2006 | ||
/s/ Kenneth J. Abt | Director | March 30, 2006 | ||
/s/ Sanford A. Belden | Director | March 30, 2006 | ||
/s/ Harry P. Doherty | Director | March 30, 2006 | ||
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Table of Contents
Signature | Title | Date | ||
/s/ Anne Evans Estabrook | Director | March 30, 2006 | ||
/s/ Joseph R. Ficalora | Director | March 30, 2006 | ||
/s/ Carl A. Florio | Director | March 30, 2006 | ||
/s/ José Ramon González | Director | March 30, 2006 | ||
/s/ Ronald E. Hermance, Jr. | Director | March 30, 2006 | ||
/s/ David W. Lindstrom | Director | March 30, 2006 | ||
/s/ Katherine J. Liseno | Director | March 30, 2006 | ||
/s/ Kevin J. Lynch | Director | March 30, 2006 | ||
/s/ Richard S. Mroz | Director | March 30, 2006 | ||
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