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SECURITIES AND EXCHANGE COMMISSION
þ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Federal (State or other jurisdiction of incorporation or organization) | 13-6400946 (I.R.S. Employer Identification No.) | |
101 Park Avenue, New York, N.Y. (Address of principal executive offices) | 10178 (Zip Code) |
(Registrant’s telephone number, including area code)
Large accelerated filero | Accelerated filero | Non-accelerated filerþ | Smaller reporting companyo | |||
(Do not check if a smaller reporting company) |
FORM 10-Q FOR THE QUARTERLY PERIOD ENDED June 30, 2009
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PART I. FINANCIAL INFORMATION | ||||||||
Item 1. FINANCIAL STATEMENTS (Unaudited): | ||||||||
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Exhibit 31.01 | ||||||||
Exhibit 31.02 | ||||||||
Exhibit 32.01 | ||||||||
Exhibit 32.02 |
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June 30, 2009 | December 31, 2008 | |||||||
Assets | ||||||||
Cash and due from banks (Note 2) | $ | 39,588 | $ | 18,899 | ||||
Interest-bearing deposits (Note 3) | 13,865,009 | 12,169,096 | ||||||
Available-for-sale securities, net of unrealized losses of $10,129 at June 30, 2009 and $64,420 at December 31, 2008 (Note 5) | 2,507,258 | 2,861,869 | ||||||
Held-to-maturity securities (Note 4) | ||||||||
Long-term securities | 10,471,387 | 10,130,543 | ||||||
Certificates of deposit | — | 1,203,000 | ||||||
Advances (Note 6) | 100,457,832 | 109,152,876 | ||||||
Mortgage loans held-for-portfolio, net of allowance for credit losses of $2,759 at June 30, 2009 and $1,406 at December 31, 2008 (Note 7) | 1,381,061 | 1,457,885 | ||||||
Accrued interest receivable | 367,457 | 492,856 | ||||||
Premises, software, and equipment | 14,574 | 13,793 | ||||||
Derivative assets (Note 15) | 8,772 | 20,236 | ||||||
Other assets | 15,935 | 18,838 | ||||||
Total assets | $ | 129,128,873 | $ | 137,539,891 | ||||
Liabilities and capital | ||||||||
Liabilities | ||||||||
Deposits (Note 9) | ||||||||
Interest-bearing demand | $ | 2,232,207 | $ | 1,333,750 | ||||
Non-interest bearing demand | 9,272 | 828 | ||||||
Term | 36,350 | 117,400 | ||||||
Total deposits | 2,277,829 | 1,451,978 | ||||||
Consolidated obligations, net (Note 8) | ||||||||
Bonds (Includes $550,303 at June 30, 2009 and $998,942 at December 31, 2008 at fair value under the fair value option) | 72,184,176 | 82,256,705 | ||||||
Discount notes | 47,275,915 | 46,329,906 | ||||||
Total consolidated obligations | 119,460,091 | 128,586,611 | ||||||
Mandatorily redeemable capital stock (Note 11) | 128,254 | 143,121 | ||||||
Accrued interest payable | 280,889 | 426,144 | ||||||
Affordable Housing Program (Note 10) | 140,037 | 122,449 | ||||||
Payable to REFCORP (Note 10) | 45,640 | 4,780 | ||||||
Derivative liabilities (Note 15) | 825,512 | 861,660 | ||||||
Other liabilities | 120,579 | 75,753 | ||||||
Total liabilities | 123,278,831 | 131,672,496 | ||||||
Commitments and Contingencies(Notes 8, 10, 15 and 17) | ||||||||
Capital(Note 11) | ||||||||
Capital stock ($100 par value), putable, issued and outstanding shares: 53,703 and 55,857 at June 30, 2009 and December 31, 2008 | 5,370,279 | 5,585,700 | ||||||
Unrestricted retained earnings | 600,003 | 382,856 | ||||||
Accumulated other comprehensive income (loss) (Note 12) | ||||||||
Net unrealized loss on available-for-sale securities | (10,129 | ) | (64,420 | ) | ||||
Non-credit portion of OTTI on held-to-maturity securities | (77,398 | ) | — | |||||
Accretion of non-credit portion of impairment losses on held-to-maturity securities | 239 | — | ||||||
Net unrealized loss on hedging activities | (26,402 | ) | (30,191 | ) | ||||
Employee supplemental retirement plans (Note 14) | (6,550 | ) | (6,550 | ) | ||||
Total capital | 5,850,042 | 5,867,395 | ||||||
Total liabilities and capital | $ | 129,128,873 | $ | 137,539,891 | ||||
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Three months ended | Six months ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Interest income | ||||||||||||||||
Advances (Note 6) | $ | 351,295 | $ | 661,142 | $ | 853,517 | $ | 1,532,927 | ||||||||
Interest-bearing deposits (Note 3) | 9,123 | 4,848 | 18,041 | 13,846 | ||||||||||||
Federal funds sold | 1 | 19,187 | 69 | 48,605 | ||||||||||||
Available-for-sale securities (Note 5) | 7,772 | 23,092 | 16,291 | 32,575 | ||||||||||||
Held-to-maturity securities (Note 4) | ||||||||||||||||
Long-term securities | 117,863 | 123,900 | 244,683 | 258,248 | ||||||||||||
Certificates of deposit | 33 | 58,987 | 541 | 161,238 | ||||||||||||
Mortgage loans held-for-portfolio (Note 7) | 18,169 | 19,399 | 37,273 | 39,032 | ||||||||||||
Loans to other FHLBanks and other | — | — | — | 3 | ||||||||||||
Total interest income | 504,256 | 910,555 | 1,170,415 | 2,086,474 | ||||||||||||
Interest expense | ||||||||||||||||
Consolidated obligations-bonds (Note 8) | 248,280 | 592,573 | 591,987 | 1,323,834 | ||||||||||||
Consolidated obligations-discount notes (Note 8) | 52,203 | 146,562 | 141,581 | 417,845 | ||||||||||||
Deposits (Note 9) | 709 | 10,690 | 1,486 | 25,865 | ||||||||||||
Mandatorily redeemable capital stock (Note 11) | 2,794 | 2,656 | 3,672 | 6,934 | ||||||||||||
Cash collateral held and other borrowings | 11 | 269 | 48 | 739 | ||||||||||||
Total interest expense | 303,997 | 752,750 | 738,774 | 1,775,217 | ||||||||||||
Net interest income before provision for credit losses | 200,259 | 157,805 | 431,641 | 311,257 | ||||||||||||
Provision for credit losses on mortgage loans | 925 | 216 | 1,368 | 246 | ||||||||||||
Net interest income after provision for credit losses | 199,334 | 157,589 | 430,273 | 311,011 | ||||||||||||
Other income (loss) | ||||||||||||||||
Service fees | 1,096 | 797 | 2,080 | 1,487 | ||||||||||||
Instruments held at fair value — Unrealized gain (loss) (Note 16) | (86 | ) | — | 8,226 | — | |||||||||||
Total OTTI losses | (72,789 | ) | — | (87,991 | ) | — | ||||||||||
Portion of loss recognized in other comprehensive income | 67,460 | — | 77,398 | — | ||||||||||||
Net impairment losses recognized in earnings | (5,329 | ) | — | (10,593 | ) | — | ||||||||||
Net realized and unrealized gain (loss) on derivatives and hedging activities (Note 15) | 78,640 | (40,547 | ) | 64,974 | (39,681 | ) | ||||||||||
Net realized gain from sale of available-for-sale and held-to-maturity securities (Notes 4 and 5) | 281 | — | 721 | — | ||||||||||||
Other | 52 | 1,107 | 98 | 925 | ||||||||||||
Total other income (loss) | 74,654 | (38,643 | ) | 65,506 | (37,269 | ) | ||||||||||
Other expenses | ||||||||||||||||
Operating | 18,066 | 16,488 | 36,160 | 32,941 | ||||||||||||
Finance Agency and Office of Finance | 1,862 | 1,465 | 3,829 | 2,917 | ||||||||||||
Total other expenses | 19,928 | 17,953 | 39,989 | 35,858 | ||||||||||||
Income before assessments | 254,060 | 100,993 | 455,790 | 237,884 | ||||||||||||
Affordable Housing Program (Note 10) | 21,025 | 8,515 | 37,582 | 20,127 | ||||||||||||
REFCORP (Note 10) | 46,607 | 18,496 | 83,642 | 43,551 | ||||||||||||
Total assessments | 67,632 | 27,011 | 121,224 | 63,678 | ||||||||||||
Net income | $ | 186,428 | $ | 73,982 | $ | 334,566 | $ | 174,206 | ||||||||
Basic earnings per share (Note 13) | $ | 3.52 | $ | 1.57 | $ | 6.22 | $ | 3.85 | ||||||||
Cash dividends paid per share | $ | 1.38 | $ | 1.94 | $ | 2.14 | $ | 4.06 | ||||||||
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Accumulated | ||||||||||||||||||||||||
Capital Stock1 | Other | Total | ||||||||||||||||||||||
Class B | Retained | Comprehensive | Total | Comprehensive | ||||||||||||||||||||
Shares | Par Value | Earnings | Income (Loss) | Capital | Income (Loss) | |||||||||||||||||||
Balance, December 31, 2007 | 43,680 | $ | 4,367,971 | $ | 418,295 | $ | (35,675 | ) | $ | 4,750,591 | ||||||||||||||
Proceeds from sale of capital stock | 21,906 | 2,190,644 | — | — | 2,190,644 | |||||||||||||||||||
Redemption of capital stock | (15,793 | ) | (1,579,325 | ) | — | — | (1,579,325 | ) | ||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (648 | ) | (64,759 | ) | — | — | (64,759 | ) | ||||||||||||||||
Cash dividends ($4.06 per share) on capital stock | — | — | (174,111 | ) | — | (174,111 | ) | |||||||||||||||||
Net Income | — | — | 174,206 | — | 174,206 | $ | 174,206 | |||||||||||||||||
Net change in Accumulated other comprehensive income (Loss): | ||||||||||||||||||||||||
Net unrealized loss on available-for-sale securities | — | — | — | (29,239 | ) | (29,239 | ) | (29,239 | ) | |||||||||||||||
Hedging activities | — | — | — | (3,483 | ) | (3,483 | ) | (3,483 | ) | |||||||||||||||
$ | 141,484 | |||||||||||||||||||||||
Balance, June 30, 2008 | 49,145 | $ | 4,914,531 | $ | 418,390 | $ | (68,397 | ) | $ | 5,264,524 | ||||||||||||||
Balance, December 31, 2008 | 55,857 | $ | 5,585,700 | $ | 382,856 | $ | (101,161 | ) | $ | 5,867,395 | ||||||||||||||
Proceeds from sale of capital stock | 20,394 | 2,039,372 | — | — | 2,039,372 | |||||||||||||||||||
Redemption of capital stock | (22,548 | ) | (2,254,793 | ) | — | — | (2,254,793 | ) | ||||||||||||||||
Cash dividends ($2.14 per share) on capital stock | — | — | (117,419 | ) | — | (117,419 | ) | |||||||||||||||||
Net Income | — | — | 334,566 | — | 334,566 | $ | 334,566 | |||||||||||||||||
Net change in Accumulated other comprehensive income (Loss): | ||||||||||||||||||||||||
Non-credit portion of OTTI on held-to-maturity securities | — | — | — | (77,398 | ) | (77,398 | ) | (77,398 | ) | |||||||||||||||
Accretion of non-credit portion of impairment losses on held-to-maturity securities | — | — | — | 239 | 239 | 239 | ||||||||||||||||||
Net unrealized loss on available-for-sale securities | — | — | — | 54,291 | 54,291 | 54,291 | ||||||||||||||||||
Hedging activities | — | — | — | 3,789 | 3,789 | 3,789 | ||||||||||||||||||
$ | 315,487 | |||||||||||||||||||||||
Balance, June 30, 2009 | 53,703 | $ | 5,370,279 | $ | 600,003 | $ | (120,240 | ) | $ | 5,850,042 | ||||||||||||||
1 | Putable stock |
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Six months ended | ||||||||
June 30 | ||||||||
2009 | 2008 | |||||||
Operating activities | ||||||||
Net Income | $ | 334,566 | $ | 174,206 | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Depreciation and amortization: | ||||||||
Net premiums and discounts on consolidated obligations, investments, mortgage loans and other adjustments | (86,658 | ) | (126,252 | ) | ||||
Concessions on consolidated obligations | 2,979 | 5,619 | ||||||
Premises, software, and equipment | 2,651 | 2,358 | ||||||
Provision for credit losses on mortgage loans | 1,368 | 246 | ||||||
Net realized (gains) from redemption of held-to-maturity securities | (281 | ) | (1,058 | ) | ||||
Net realized (gains) from sale of available-for-sale securities | (440 | ) | — | |||||
Net impairment losses on held-to-maturity securities | 10,593 | — | ||||||
Change in net fair value adjustments on derivatives and hedging activities | 11,210 | (24,248 | ) | |||||
Change in fair value adjustments on financial instruments held at fair value | (8,226 | ) | — | |||||
Net change in: | ||||||||
Accrued interest receivable | 125,398 | 126,344 | ||||||
Derivative assets due to accrued interest | 217,719 | 181,121 | ||||||
Derivative liabilities due to accrued interest | (206,376 | ) | (43,335 | ) | ||||
Other assets | 2,400 | 2,815 | ||||||
Affordable Housing Program liability | 17,588 | 5,117 | ||||||
Accrued interest payable | (152,667 | ) | (143,665 | ) | ||||
REFCORP liability | 40,860 | (5,482 | ) | |||||
Other liabilities | (3,176 | ) | 4,126 | |||||
Total adjustments | (25,058 | ) | (16,294 | ) | ||||
Net cash provided by operating activities | 309,508 | 157,912 | ||||||
Investing activities | ||||||||
Net change in: | ||||||||
Interest-bearing deposits | (73,661 | ) | (153,800 | ) | ||||
Federal funds sold | — | 468,000 | ||||||
Deposits with other FHLBanks | (51 | ) | (72 | ) | ||||
Premises, software, and equipment | (3,431 | ) | (2,517 | ) | ||||
Held-to-maturity securities: | ||||||||
Long-term securities | ||||||||
Purchased | (1,957,079 | ) | (1,344,343 | ) | ||||
Repayments | 1,495,990 | 1,295,623 | ||||||
In-substance maturities | 36,224 | 92,674 | ||||||
Net change in certificates of deposit | 1,203,000 | 2,175,200 | ||||||
Available-for-sale securities: | ||||||||
Purchased | (447 | ) | (3,244,190 | ) | ||||
Proceeds | 280,545 | 153,688 | ||||||
Proceeds from sales | 131,859 | 187 | ||||||
Advances: | ||||||||
Principal collected | 244,561,800 | 202,966,409 | ||||||
Made | (237,878,829 | ) | (211,746,366 | ) | ||||
Mortgage loans held-for-portfolio: | ||||||||
Principal collected | 146,148 | 94,554 | ||||||
Purchased and originated | (71,520 | ) | (60,933 | ) | ||||
Loans to other FHLBanks | ||||||||
Principal collected | — | 55,000 | ||||||
Net cash provided (used) by investing activities | 7,870,548 | (9,250,886 | ) | |||||
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Statements of Cash Flows — Unaudited (in thousands)
For the six months ended June 30, 2009 and 2008
Six months ended | ||||||||
June 30, | ||||||||
2009 | 2008 | |||||||
Financing activities | ||||||||
Net change in: | ||||||||
Deposits and other borrowings1 | $ | 680,915 | $ | 199,722 | ||||
Short-term loans from other FHLBanks: | ||||||||
Proceeds from loans | — | 1,260,000 | ||||||
Payments for loans | — | (1,260,000 | ) | |||||
Consolidated obligation bonds: | ||||||||
Proceeds from issuance | 23,163,182 | 41,297,167 | ||||||
Payments for maturing and early retirement | (32,670,019 | ) | (23,672,523 | ) | ||||
Consolidated obligation discount notes: | ||||||||
Proceeds from issuance | 736,175,377 | 404,084,967 | ||||||
Payments for maturing | (735,161,115 | ) | (413,086,021 | ) | ||||
Capital stock: | ||||||||
Proceeds from issuance | 2,039,372 | 2,190,644 | ||||||
Payments for redemption / repurchase | (2,254,793 | ) | (1,579,325 | ) | ||||
Redemption of Mandatorily redeemable capital stock | (14,867 | ) | (134,053 | ) | ||||
Cash dividends paid2 | (117,419 | ) | (174,111 | ) | ||||
Net cash (used) provided by financing activities | (8,159,367 | ) | 9,126,467 | |||||
Net increase in cash and cash equivalents | 20,689 | 33,493 | ||||||
Cash and cash equivalents at beginning of the period | 18,899 | 7,909 | ||||||
Cash and cash equivalents at end of the period | $ | 39,588 | $ | 41,402 | ||||
Supplemental disclosures: | ||||||||
Interest paid | $ | 972,345 | $ | 1,544,721 | ||||
Affordable Housing Program payments3 | $ | 19,994 | $ | 15,009 | ||||
REFCORP payments | $ | 42,782 | $ | 49,033 | ||||
Transfers of mortgage loans to real estate owned | $ | 491 | $ | 144 | ||||
Portion of non-credit OTTI losses on held-to-maturity securities | $ | 77,398 | $ | — |
1 | Includes $131,726 of cash flows from derivatives for the six months ended June 30, 2009 and none for the six months ended June 30, 2008. | |
2 | Does not include payments to holders of Mandatorily redeemable capital stock. | |
3 | AHP payments = (beginning accrual – ending accrual) + AHP assessment for the period; payments represent funds released to the Affordable Housing Program. |
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June 30, 2009 | ||||||||||||||||||||||||||||||||||||||||
AMBAC | MBIA | FSA | Uninsured | |||||||||||||||||||||||||||||||||||||
Carrying | Fair | Carrying | Fair | Carrying | Fair | Carrying | Fair | Gross | ||||||||||||||||||||||||||||||||
Ratings | Count | Value | Value | Value | Value | Value | Value | Value | Value | Losses | ||||||||||||||||||||||||||||||
AAA | 21 | $ | — | $ | — | $ | — | $ | — | $ | 11,062 | $ | 6,953 | $ | 342,616 | $ | 258,313 | $ | (88,412 | ) | ||||||||||||||||||||
AA | 2 | — | — | 3,144 | 2,426 | — | — | 21,462 | 13,812 | (8,368 | ) | |||||||||||||||||||||||||||||
A | 1 | — | — | — | — | — | — | 49,004 | 44,585 | (4,419 | ) | |||||||||||||||||||||||||||||
BBB | 4 | 49,112 | 27,679 | — | — | — | — | — | — | (21,433 | ) | |||||||||||||||||||||||||||||
BB | 1 | — | — | — | — | — | — | 30,962 | 25,360 | (5,602 | ) | |||||||||||||||||||||||||||||
Total | 29 | $ | 49,112 | $ | 27,679 | $ | 3,144 | $ | 2,426 | $ | 11,062 | $ | 6,953 | $ | 444,044 | $ | 342,070 | $ | (128,234 | ) | ||||||||||||||||||||
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June 30, 2009 | ||||||||||||||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer AMBAC | Uninsured | OTTI | Gross OTTI Losses | ||||||||||||||||||||||||||||||||||||||||
Fair | Fair | Fair | Credit | Non-credit | Less than | More than | ||||||||||||||||||||||||||||||||||||||
Ratings | Count | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||||||||||||||
AAA | 1 | $ | — | $ | — | $ | — | $ | — | $ | 61,277 | $ | 56,538 | $ | (438 | ) | $ | (2,766 | ) | $ | (3,204 | ) | $ | — | ||||||||||||||||||||
A | 2 | — | — | 55,780 | 32,388 | — | — | (2,038 | ) | (21,345 | ) | — | (23,383 | ) | ||||||||||||||||||||||||||||||
BBB | 2 | — | — | 54,303 | 32,475 | — | — | (679 | ) | (21,141 | ) | — | (21,820 | ) | ||||||||||||||||||||||||||||||
BB | 6 | 13,559 | 7,918 | 69,672 | 45,180 | — | — | (4,099 | ) | (25,761 | ) | — | (29,860 | ) | ||||||||||||||||||||||||||||||
B | 1 | 23,022 | 13,636 | — | — | — | — | (3,339 | ) | (6,385 | ) | — | (9,724 | ) | ||||||||||||||||||||||||||||||
Total | 12 | $ | 36,581 | $ | 21,554 | $ | 179,755 | $ | 110,043 | $ | 61,277 | $ | 56,538 | $ | (10,593 | ) | $ | (77,398 | ) | $ | (3,204 | ) | $ | (84,787 | ) | |||||||||||||||||||
Note: | One security rated triple-A is a prime RMBS; all other 11 OTTI securities are subprime RMBS. | |
Gross Losses include realized cumulative credit losses of $10.6 million year-to-date June 30, 2009. |
March 31, 2009 | ||||||||||||||||||||||||||||
Insurer MBIA | OTTI | Gross OTTI Losses | ||||||||||||||||||||||||||
Fair | Credit | Non-credit | Less than | More than | ||||||||||||||||||||||||
Ratings | Count | UPB | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||
BB | 1 | $ | 13,752 | $ | 8,273 | $ | (1,926 | ) | $ | (3,553 | ) | $ | — | $ | (5,479 | ) | ||||||||||||
B | 1 | 23,259 | 13,535 | (3,339 | ) | (6,385 | ) | — | (9,724 | ) | ||||||||||||||||||
Total | 2 | $ | 37,011 | $ | 21,808 | $ | (5,265 | ) | $ | (9,938 | ) | $ | — | $ | (15,203 | ) | ||||||||||||
Note: | OTTI securities are subprime RMBS. | |
Gross Losses include realized credit losses of $5.3 million year-to-date March 31, 2009 |
Key Base Assumption — OTTI Securities | ||||||||||||||||||||||||||||||||||||
CDR | CPR | Loss Severity % | WAL Years | |||||||||||||||||||||||||||||||||
Count | Range | Average | Range | Average | Range | Average | Range | Average | ||||||||||||||||||||||||||||
AAA** | 1 | 2.0 | 2.0 | 14.0 | 14.0 | 40.0 | 40.0 | 3.4 | 3.4 | |||||||||||||||||||||||||||
Vector based*1 | 1 | 8.0 | 8.0 | 12.4 | 12.4 | 51.1 | 51.1 | 4.4 | 4.4 | |||||||||||||||||||||||||||
Point-in-time based**2 | 10 | 12.1- 3.4 | 7.2 | 10.2 - 2.0 | 4.9 | 100.0 - 60.0 | 94.1 | 8.2 - 4.3 | 6.3 | |||||||||||||||||||||||||||
Total | 12 | |||||||||||||||||||||||||||||||||||
* | Average and data based on loan level information. | |
** | Average and data based on security level information. | |
1 | Security rated BBB | |
2 | Securities rated A, B, BBB |
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Protection time horizon calculation | ||||||||
AMBAC | MBIA | |||||||
Burnout period (months) | 105 | 32 | ||||||
Coverage ignore date | 3/1/2018 | 2/1/2012 | ||||||
Number of OTTI securities | 9 | 2 |
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Three months ended | Six months ended | |||||||||||||||
June 30, 2009 | June 30, 2008 | June 30, 2009 | June 30, 2008 | |||||||||||||
Beginning balance | $ | 5,264 | $ | — | $ | — | $ | — | ||||||||
Additions to the credit component for OTTI loss not previously recognized | 5,329 | — | 10,593 | — | ||||||||||||
Credit component of OTTI reclassified to earnings | — | — | — | — | ||||||||||||
Ending balance | $ | 10,593 | $ | — | $ | 10,593 | $ | — | ||||||||
June 30, 2009 | ||||||||||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||||||||||
Cost | OTTI | Carrying | Unrealized | Unrealized | Fair | |||||||||||||||||||
Basis | in OCI | Value | Holding Gains | Holding Losses | Value | |||||||||||||||||||
State and local housing agency bonds | $ | 768,206 | $ | — | $ | 768,206 | $ | 3,547 | $ | (25,108 | ) | $ | 746,645 | |||||||||||
Mortgage-backed securities | 9,780,340 | (77,159 | ) | 9,703,181 | 256,380 | (237,104 | ) | 9,722,457 | ||||||||||||||||
Total | $ | 10,548,546 | $ | (77,159 | ) | $ | 10,471,387 | $ | 259,927 | $ | (262,212 | ) | $ | 10,469,102 | ||||||||||
December 31, 2008 | ||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||
Cost | Unrealized | Unrealized | Fair | |||||||||||||
Basis | Holding Gains | Holding Losses | Value | |||||||||||||
State and local housing agency bonds | $ | 804,100 | $ | 6,573 | $ | (47,512 | ) | $ | 763,161 | |||||||
Mortgage-backed securities | 9,326,443 | 187,531 | (342,662 | ) | 9,171,312 | |||||||||||
Certificates of deposit | 1,203,000 | 328 | — | 1,203,328 | ||||||||||||
Total | $ | 11,333,543 | $ | 194,432 | $ | (390,174 | ) | $ | 11,137,801 | |||||||
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Table of Contents
June 30, 2009 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
Non-MBS Investment Securities | ||||||||||||||||||||||||
State and local housing agency obligations | $ | 278,404 | $ | (24,334 | ) | $ | 11,611 | $ | (774 | ) | $ | 290,015 | $ | (25,108 | ) | |||||||||
Total Non-MBS | 278,404 | (24,334 | ) | 11,611 | (774 | ) | 290,015 | (25,108 | ) | |||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||
MBS — Other US Obligations | ||||||||||||||||||||||||
Ginnie Mae | 194,758 | (1,517 | ) | 2,926 | (18 | ) | 197,684 | (1,535 | ) | |||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | 357,141 | (745 | ) | 3,298 | (5 | ) | 360,439 | (750 | ) | |||||||||||||||
Freddie Mac | 714,485 | (6,570 | ) | — | — | 714,485 | (6,570 | ) | ||||||||||||||||
Total MBS-GSE | 1,071,626 | (7,315 | ) | 3,298 | (5 | ) | 1,074,924 | (7,320 | ) | |||||||||||||||
MBS-Private-Label | 97,977 | (2,899 | ) | 957,826 | (302,509 | ) | 1,055,803 | (305,408 | ) | |||||||||||||||
Total MBS | 1,364,361 | (11,731 | ) | 964,050 | (302,532 | ) | 2,328,411 | (314,263 | ) | |||||||||||||||
Total | $ | 1,642,765 | $ | (36,065 | ) | $ | 975,661 | $ | (303,306 | ) | $ | 2,618,426 | $ | (339,371 | ) | |||||||||
December 31, 2008 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
Non-MBS Investment Securities | ||||||||||||||||||||||||
State and local housing agency obligations | $ | 78,261 | $ | (16,065 | ) | $ | 84,108 | $ | (31,447 | ) | $ | 162,369 | $ | (47,512 | ) | |||||||||
Total Non-MBS | 78,261 | (16,065 | ) | 84,108 | (31,447 | ) | 162,369 | (47,512 | ) | |||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||
MBS — Other US Obligations | ||||||||||||||||||||||||
Ginnie Mae | 6,137 | (187 | ) | — | — | 6,137 | (187 | ) | ||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | 3,452 | (125 | ) | — | — | 3,452 | (125 | ) | ||||||||||||||||
Freddie Mac | 1,102 | (30 | ) | 32 | — | 1,134 | (30 | ) | ||||||||||||||||
Total MBS-GSE | 4,554 | (155 | ) | 32 | — | 4,586 | (155 | ) | ||||||||||||||||
MBS-Private-Label | 509,273 | (115,061 | ) | 718,321 | (227,259 | ) | 1,227,594 | (342,320 | ) | |||||||||||||||
Total MBS | 519,964 | (115,403 | ) | 718,353 | (227,259 | ) | 1,238,317 | (342,662 | ) | |||||||||||||||
Total Temporarily Impaired | $ | 598,225 | $ | (131,468 | ) | $ | 802,461 | $ | (258,706 | ) | $ | 1,400,686 | $ | (390,174 | ) | |||||||||
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June 30, 2009 | ||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||
Cost | Unrealized | Unrealized | Fair | |||||||||||||
Basis | Gains | Losses | Value | |||||||||||||
Cash equivalents | $ | 899 | $ | — | $ | — | $ | 899 | ||||||||
Equity funds | 9,752 | 37 | (3,155 | ) | 6,634 | |||||||||||
Fixed income funds | 3,350 | 135 | — | 3,485 | ||||||||||||
Mortgage-backed securities | 2,503,386 | 7,473 | (14,619 | ) | 2,496,240 | |||||||||||
Total | $ | 2,517,387 | $ | 7,645 | $ | (17,774 | ) | $ | 2,507,258 | |||||||
December 31, 2008 | ||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||
Cost | Unrealized | Unrealized | Fair | |||||||||||||
Basis | Gains | Losses | Value | |||||||||||||
Cash equivalents | $ | 836 | $ | — | $ | — | $ | 836 | ||||||||
Equity funds | 8,978 | — | (3,516 | ) | 5,462 | |||||||||||
Fixed income funds | 3,833 | 66 | (10 | ) | 3,889 | |||||||||||
Mortgage-backed securities | 2,912,642 | 364 | (61,324 | ) | 2,851,682 | |||||||||||
Total | $ | 2,926,289 | $ | 430 | $ | (64,850 | ) | $ | 2,861,869 | |||||||
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Table of Contents
June 30, 2009 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | $ | — | $ | — | $ | 1,121,352 | $ | (10,427 | ) | $ | 1,121,352 | $ | (10,427 | ) | ||||||||||
Freddie Mac | — | — | 733,587 | (4,192 | ) | 733,587 | (4,192 | ) | ||||||||||||||||
Total MBS-GSE | — | — | 1,854,939 | (14,619 | ) | 1,854,939 | (14,619 | ) | ||||||||||||||||
Total Temporarily Impaired | $ | — | $ | — | $ | 1,854,939 | $ | (14,619 | ) | $ | 1,854,939 | $ | (14,619 | ) | ||||||||||
December 31, 2008 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | $ | 1,662,928 | $ | (35,047 | ) | $ | 142,630 | $ | (3,539 | ) | $ | 1,805,558 | $ | (38,586 | ) | |||||||||
Freddie Mac | 957,617 | (21,744 | ) | 39,077 | (994 | ) | 996,694 | (22,738 | ) | |||||||||||||||
Total MBS-GSE | 2,620,545 | (56,791 | ) | 181,707 | (4,533 | ) | 2,802,252 | (61,324 | ) | |||||||||||||||
Total Temporarily Impaired | $ | 2,620,545 | $ | (56,791 | ) | $ | 181,707 | $ | (4,533 | ) | $ | 2,802,252 | $ | (61,324 | ) | |||||||||
Notes: | Does not include unrealized losses of $3.2 million and $3.5 million at June 30, 2009 and December 31, 2008 in several grantor trusts comprising of money market and mutual funds. |
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June 30, 2009 | December 31, 2008 | |||||||||||||||||||||||
Weighted2 | Weighted2 | |||||||||||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||||||||||
Amount | Yield | of Total | Amount | Yield | of Total | |||||||||||||||||||
Overdrawn demand deposit accounts | $ | 143 | 1.25 | % | — | % | $ | — | — | % | — | % | ||||||||||||
Due in one year or less | 22,953,697 | 1.70 | 23.74 | 32,420,095 | 2.52 | 31.36 | ||||||||||||||||||
Due after one year through two years | 16,408,127 | 3.15 | 16.97 | 16,150,121 | 3.71 | 15.62 | ||||||||||||||||||
Due after two years through three years | 8,784,046 | 3.09 | 9.08 | 7,634,680 | 3.76 | 7.39 | ||||||||||||||||||
Due after three years through four years | 7,907,571 | 3.34 | 8.18 | 6,852,514 | 3.74 | 6.63 | ||||||||||||||||||
Due after four years through five years | 3,659,912 | 3.55 | 3.78 | 3,210,575 | 3.88 | 3.11 | ||||||||||||||||||
Due after five years through six years | 1,894,612 | 3.55 | 1.96 | 836,689 | 3.74 | 0.81 | ||||||||||||||||||
Thereafter | 35,088,649 | 3.83 | 36.29 | 36,275,053 | 3.96 | 35.08 | ||||||||||||||||||
Total par value | 96,696,757 | 3.09 | % | 100.00 | % | 103,379,727 | 3.44 | % | 100.00 | % | ||||||||||||||
Discount on AHP advances1 | (292 | ) | (330 | ) | ||||||||||||||||||||
SFAS 133 hedging basis adjustments1 | 3,761,367 | 5,773,479 | ||||||||||||||||||||||
Total | $ | 100,457,832 | $ | 109,152,876 | ||||||||||||||||||||
1 | Discounts on AHP advances were amortized to interest income using the level-yield method and were not significant for all periods reported. Interest rates on AHP advances ranged from 1.25% to 3.50% at June 30, 2009 and 1.25% to 6.04% at December 31, 2008. | |
2 | The weighed average yield is the weighted average coupon rates for advances, unadjusted for swaps. For floating-rate bonds, the weighted average rate is the rate outstanding at the reporting dates. |
June 30, 2009 | December 31, 2008 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Overdrawn demand deposit accounts | $ | 143 | — | % | $ | — | — | % | ||||||||
Due or putable in one year or less | 56,475,109 | 58.40 | 63,251,007 | 61.18 | ||||||||||||
Due or putable after one year through two years | 19,014,077 | 19.66 | 18,975,821 | 18.36 | ||||||||||||
Due or putable after two years through three years | 8,826,796 | 9.13 | 10,867,530 | 10.51 | ||||||||||||
Due or putable after three years through four years | 6,734,271 | 6.96 | 5,293,364 | 5.12 | ||||||||||||
Due or putable after four years through five years | 3,030,912 | 3.14 | 2,728,075 | 2.64 | ||||||||||||
Due or putable after five years through six years | 257,612 | 0.27 | 230,189 | 0.22 | ||||||||||||
Thereafter | 2,357,837 | 2.44 | 2,033,741 | 1.97 | ||||||||||||
Total par value | 96,696,757 | 100.00 | % | 103,379,727 | 100.00 | % | ||||||||||
Discount on AHP advances | (292 | ) | (330 | ) | ||||||||||||
SFAS 133 hedging basis adjustments | 3,761,367 | 5,773,479 | ||||||||||||||
Total | $ | 100,457,832 | $ | 109,152,876 | ||||||||||||
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June 30, 2009 | December 31, 2008 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Real Estate: | ||||||||||||||||
Fixed medium-term single-family mortgages | $ | 430,982 | 31.21 | % | $ | 467,845 | 32.15 | % | ||||||||
Fixed long-term single-family mortgages | 945,617 | 68.50 | 983,493 | 67.58 | ||||||||||||
Multi-family mortgages | 3,959 | 0.29 | 4,009 | 0.27 | ||||||||||||
Total par value | 1,380,558 | 100.00 | % | 1,455,347 | 100.00 | % | ||||||||||
Unamortized premiums | 9,738 | 10,662 | ||||||||||||||
Unamortized discounts | (5,892 | ) | (6,310 | ) | ||||||||||||
Basis adjustment1 | (584 | ) | (408 | ) | ||||||||||||
Total mortgage loans held-for-portfolio | 1,383,820 | 1,459,291 | ||||||||||||||
Allowance for credit losses | (2,759 | ) | (1,406 | ) | ||||||||||||
Total mortgage loans held-for-portfolio after allowance for credit losses | $ | 1,381,061 | $ | 1,457,885 | ||||||||||||
1 | Represents fair value basis of open and closed delivery commitments. |
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Table of Contents
Three months ended June 30, | Six months ended June 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Beginning balance | $ | 1,848 | $ | 663 | $ | 1,405 | $ | 633 | ||||||||
Charge-offs | (14 | ) | — | (14 | ) | — | ||||||||||
Provision for credit losses on mortgage loans | 925 | 216 | 1,368 | 246 | ||||||||||||
Ending balance | $ | 2,759 | $ | 879 | $ | 2,759 | $ | 879 | ||||||||
June 30, 2009 | December 31, 2008 | |||||||
Secured by 1-4 family | $ | 577 | $ | 507 | ||||
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Table of Contents
June 30, 2009 | December 31, 2008 | |||||||
Percentage of unpledged qualifying assets to consolidated obligations | 108 | % | 107 | % | ||||
33
Table of Contents
June 30, 2009 | December 31, 2008 | |||||||
Consolidated obligation bonds-amortized cost | $ | 71,460,743 | $ | 80,978,383 | ||||
SFAS 133 fair value basis adjustments | 718,872 | 1,254,523 | ||||||
Fair value basis on terminated hedges | 4,258 | 7,857 | ||||||
SFAS 159 valuation adjustments and accrued interest | 303 | 15,942 | ||||||
Total Consolidated obligation-bonds | $ | 72,184,176 | $ | 82,256,705 | ||||
Discount notes-amortized cost | $ | 47,275,915 | $ | 46,329,545 | ||||
Fair value basis adjustments | — | 361 | ||||||
Total Consolidated obligation-discount notes | $ | 47,275,915 | $ | 46,329,906 | ||||
June 30, 2009 | December 31, 2008 | |||||||||||||||||||||||
Weighted | Weighted | |||||||||||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||||||||||
Maturity | Amount | Rate1 | of total | Amount | Rate1 | of total | ||||||||||||||||||
One year or less | $ | 44,765,600 | 1.19 | % | 62.72 | % | $ | 49,568,550 | 1.93 | % | 61.23 | % | ||||||||||||
Over one year through two years | 12,921,150 | 2.73 | 18.10 | 16,192,550 | 3.20 | 20.00 | ||||||||||||||||||
Over two years through three years | 5,196,545 | 3.21 | 7.28 | 5,299,700 | 3.73 | 6.55 | ||||||||||||||||||
Over three years through four years | 2,528,980 | 4.20 | 3.54 | 2,469,575 | 4.75 | 3.05 | ||||||||||||||||||
Over four years through five years | 2,298,550 | 4.47 | 3.22 | 3,352,450 | 3.99 | 4.14 | ||||||||||||||||||
Over five years through six years | 1,249,500 | 5.10 | 1.75 | 989,300 | 5.06 | 1.22 | ||||||||||||||||||
Thereafter | 2,415,050 | 5.33 | 3.39 | 3,082,050 | 5.35 | 3.81 | ||||||||||||||||||
Total par value | 71,375,375 | 2.04 | % | 100.00 | % | 80,954,175 | 2.64 | % | 100.00 | % | ||||||||||||||
Bond premiums | 121,689 | 63,737 | ||||||||||||||||||||||
Bond discounts | (36,321 | ) | (39,529 | ) | ||||||||||||||||||||
SFAS 133 fair value basis adjustments | 718,872 | 1,254,523 | ||||||||||||||||||||||
Fair value basis adjustments on terminated hedges | 4,258 | 7,857 | ||||||||||||||||||||||
SFAS 159 valuation adjustments and accrued interest | 303 | 15,942 | ||||||||||||||||||||||
Total bonds | $ | 72,184,176 | $ | 82,256,705 | ||||||||||||||||||||
1 | Weighted average rate represents the weighted average coupons of bonds, unadjusted for swaps. The weighted average coupon of bonds outstanding at June 30, 2009 and December 31, 2008, represent contractual coupons payable to investors. |
34
Table of Contents
June 30, 2009 | December 31, 2008 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | total | Amount | total | |||||||||||||
Year of Maturity or next call date | ||||||||||||||||
Due or callable in one year or less | $ | 47,674,600 | 66.79 | % | $ | 53,034,550 | 65.51 | % | ||||||||
Due or callable after one year through two years | 11,935,950 | 16.72 | 15,472,350 | 19.11 | ||||||||||||
Due or callable after two years through three years | 4,516,545 | 6.33 | 4,843,700 | 5.98 | ||||||||||||
Due or callable after three years through four years | 2,044,980 | 2.87 | 1,445,575 | 1.79 | ||||||||||||
Due or callable after four years through five years | 2,088,550 | 2.93 | 2,954,450 | 3.65 | ||||||||||||
Due or callable after five years through six years | 955,000 | 1.33 | 684,800 | 0.85 | ||||||||||||
Thereafter | 2,159,750 | 3.03 | 2,518,750 | 3.11 | ||||||||||||
Total par value | 71,375,375 | 100.00 | % | 80,954,175 | 100.00 | % | ||||||||||
Bond premiums | 121,689 | 63,737 | ||||||||||||||
Bond discounts | (36,321 | ) | (39,529 | ) | ||||||||||||
SFAS 133 fair value adjustments | 718,872 | 1,254,523 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 4,258 | 7,857 | ||||||||||||||
SFAS 159 valuation adjustments and accrued interest | 303 | 15,942 | ||||||||||||||
Total carrying value | $ | 72,184,176 | $ | 82,256,705 | ||||||||||||
June 30, 2009 | December 31, 2008 | |||||||
Par value | $ | 47,308,571 | $ | 46,431,347 | ||||
Amortized cost | $ | 47,275,915 | $ | 46,329,545 | ||||
Fair value basis adjustments | — | 361 | ||||||
Total | $ | 47,275,915 | $ | 46,329,906 | ||||
Weighted average interest rate | 0.26 | % | 1.00 | % | ||||
June 30, 2009 | December 31, 2008 | |||||||
Due in one year or less | $ | 36,350 | $ | 117,400 | ||||
Total term deposits | $ | 36,350 | $ | 117,400 | ||||
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Table of Contents
Three months ended June 30, | Six months ended June 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Beginning balance | $ | 128,368 | $ | 124,332 | $ | 122,449 | $ | 119,052 | ||||||||
Additions from current period’s assessments | 21,025 | 8,515 | 37,582 | 20,127 | ||||||||||||
Net disbursements for grants and programs | (9,356 | ) | (8,677 | ) | (19,994 | ) | (15,009 | ) | ||||||||
Ending balance | $ | 140,037 | $ | 124,170 | $ | 140,037 | $ | 124,170 | ||||||||
36
Table of Contents
1 | On December 12, 2007 the Finance Board, the predecessor of the Finance Agency, approved amendments to the FHLBNY’s capital plan which allow the FHLBNY to recalculate the membership stock purchase requirement any time after 30 days subsequent to a merger. The amendments also permit the FHLBNY to use a zero mortgage asset base in performing the calculation, which recognizes the fact that the corporate entity that was once its member no longer exists. As a result of these amendments, the FHLBNY could determine that all of the membership stock formerly held by the member would become excess stock, which would give the FHLBNY the discretion, but not the obligation, to repurchase that stock prior to the expiration of the five-year notice period. |
37
Table of Contents
June 30, 2009 | December 31, 2008 | |||||||||||||||
Required4 | Actual | Required4 | Actual | |||||||||||||
Regulatory capital requirements: | ||||||||||||||||
Risk-based capital1 | $ | 575,387 | $ | 6,098,536 | $ | 650,333 | $ | 6,111,676 | ||||||||
Total capital-to-asset ratio | 4.00 | % | 4.72 | % | 4.00 | % | 4.44 | % | ||||||||
Total capital2 | $ | 5,165,155 | $ | 6,101,296 | $ | 5,501,596 | $ | 6,113,082 | ||||||||
Leverage ratio | 5.00 | % | 7.09 | % | 5.00 | % | 6.67 | % | ||||||||
Leverage capital3 | $ | 6,456,444 | $ | 9,150,564 | $ | 6,876,995 | $ | 9,168,920 |
1 | Actual “Risk-based capital” is capital stock and retained earnings plus mandatorily redeemable capital stock. Section 932.2 of the Finance Agency’s regulations also refers to this amount as “Permanent Capital.” | |
2 | Actual “Total capital” is “Risk-based capital” plus allowance for credit losses. Does not include reserves for the Lehman Brothers receivable which is a specific reserve. | |
3 | Actual Leverage capital is “Risk-based capital” times 1.5 plus allowance for loan losses. | |
4 | Required minimum. |
38
Table of Contents
June 30, 2009 | December 31, 2008 | |||||||
Redemption less than one year | $ | 80,186 | $ | 38,328 | ||||
Redemption from one year to less than three years | 40,981 | 83,159 | ||||||
Redemption from three years to less than five years | 2,127 | 14,646 | ||||||
Redemption after five years or greater | 4,960 | 6,988 | ||||||
Total | $ | 128,254 | $ | 143,121 | ||||
Three months ended June 30, 2009 | ||||||||||||||||||||||||||||||||
Accretion of | ||||||||||||||||||||||||||||||||
non-credit portion | Accumulated | |||||||||||||||||||||||||||||||
Available- | Non-credit | of impairment | Cash | Supplemental | Other | Total | ||||||||||||||||||||||||||
for-sale | OTTI on HTM | losses on | flow | Retirement | Comprehensive | Net | Comprehensive | |||||||||||||||||||||||||
securities | securities | HTM securities | hedges | Plans | Income (Loss) | Income | Income | |||||||||||||||||||||||||
March 31, 2008 | $ | (17,034 | ) | $ | — | $ | — | $ | (35,436 | ) | $ | (5,087 | ) | $ | (57,557 | ) | ||||||||||||||||
Net change | (12,578 | ) | — | — | 1,738 | — | (10,840 | ) | $ | 73,982 | $ | 63,142 | ||||||||||||||||||||
June 30, 2008 | $ | (29,612 | ) | $ | — | $ | — | $ | (33,698 | ) | $ | (5,087 | ) | $ | (68,397 | ) | ||||||||||||||||
March 31, 2009 | $ | (33,994 | ) | $ | (9,938 | ) | $ | — | $ | (28,312 | ) | $ | (6,550 | ) | $ | (78,794 | ) | |||||||||||||||
Net change | 23,865 | (67,460 | ) | 239 | 1,910 | — | (41,446 | ) | $ | 186,428 | $ | 144,982 | ||||||||||||||||||||
June 30, 2009 | $ | (10,129 | ) | $ | (77,398 | ) | $ | 239 | $ | (26,402 | ) | $ | (6,550 | ) | $ | (120,240 | ) | |||||||||||||||
39
Table of Contents
Six months ended June 30, 2009 | ||||||||||||||||||||||||||||||||
Accretion of | ||||||||||||||||||||||||||||||||
non-credit portion | Accumulated | |||||||||||||||||||||||||||||||
Available- | Non-credit | of impairment | Cash | Supplemental | Other | Total | ||||||||||||||||||||||||||
for-sale | OTTI on HTM | losses on | flow | Retirement | Comprehensive | Net | Comprehensive | |||||||||||||||||||||||||
securities | securities | HTM securities | hedges | Plans | Income (Loss) | Income | Income | |||||||||||||||||||||||||
December 31, 2007 | $ | (373 | ) | $ | — | $ | — | $ | (30,215 | ) | $ | (5,087 | ) | $ | (35,675 | ) | ||||||||||||||||
Net change | (29,239 | ) | — | — | (3,483 | ) | — | (32,722 | ) | $ | 174,206 | $ | 141,484 | |||||||||||||||||||
June 30, 2008 | $ | (29,612 | ) | $ | — | $ | — | $ | (33,698 | ) | $ | (5,087 | ) | $ | (68,397 | ) | ||||||||||||||||
December 31, 2008 | $ | (64,420 | ) | $ | — | $ | — | $ | (30,191 | ) | $ | (6,550 | ) | $ | (101,161 | ) | ||||||||||||||||
Net change | 54,291 | (77,398 | ) | 239 | 3,789 | — | (19,079 | ) | $ | 334,566 | $ | 315,487 | ||||||||||||||||||||
June 30, 2009 | $ | (10,129 | ) | $ | (77,398 | ) | $ | 239 | $ | (26,402 | ) | $ | (6,550 | ) | $ | (120,240 | ) | |||||||||||||||
Three months ended June 30, | Six months ended June 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Net income | $ | 186,428 | $ | 73,982 | $ | 334,566 | $ | 174,206 | ||||||||
Net income available to stockholders | $ | 186,428 | $ | 73,982 | $ | 334,566 | $ | 174,206 | ||||||||
Weighted average shares of capital | 54,336 | 48,765 | 55,152 | 47,117 | ||||||||||||
Less: Mandatorily redeemable capital stock | (1,345 | ) | (1,743 | ) | (1,387 | ) | (1,844 | ) | ||||||||
Average number of shares of capital used to calculate earnings per share | 52,991 | 47,022 | 53,765 | 45,273 | ||||||||||||
Net earnings per share of capital | $ | 3.52 | $ | 1.57 | $ | 6.22 | $ | 3.85 | ||||||||
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Three months ended June 30, | Six months ended June 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Defined Benefit Plan | $ | 1,442 | $ | 1,494 | $ | 2,883 | $ | 2,989 | ||||||||
Benefit Equalization Plan (defined benefit) | 514 | 470 | 1,029 | 939 | ||||||||||||
Defined Contribution Plan and BEP Thrift | 542 | 299 | 784 | 485 | ||||||||||||
Postretirement Health Benefit Plan | 251 | 250 | 502 | 499 | ||||||||||||
Total retirement plan expenses | $ | 2,749 | $ | 2,513 | $ | 5,198 | $ | 4,912 | ||||||||
Three months ended June 30, | Six months ended June 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Service cost | $ | 152 | $ | 153 | $ | 305 | $ | 306 | ||||||||
Interest cost | 263 | 237 | 526 | 473 | ||||||||||||
Amortization of unrecognized prior service cost | (36 | ) | (36 | ) | (72 | ) | (72 | ) | ||||||||
Amortization of unrecognized net loss | 135 | 116 | 270 | 232 | ||||||||||||
Net periodic benefit cost | $ | 514 | $ | 470 | $ | 1,029 | $ | 939 | ||||||||
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June 30, 2009 | December 31, 2008 | |||||||
Discount rate * | 6.14 | % | 6.14 | % | ||||
Salary increases | 5.50 | % | 5.50 | % | ||||
Amortization period (years) | 8 | 8 | ||||||
Benefits paid during the periods | $ | (544 | ) | $ | (392 | ) |
* | The discount rate was based on the Citigroup Pension Liability Index at December 31, 2008 and adjusted for durations. |
Three months ended June 30, | Six months ended June 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Service cost (benefits attributed to service during the period) | $ | 139 | $ | 128 | $ | 278 | $ | 256 | ||||||||
Interest cost on accumulated postretirement health benefit obligation | 217 | 228 | 434 | 454 | ||||||||||||
Amortization of loss | 78 | 77 | 156 | 155 | ||||||||||||
Amortization of prior service cost/(credit) | (183 | ) | (183 | ) | (366 | ) | (366 | ) | ||||||||
Net periodic postretirement health benefit cost | $ | 251 | $ | 250 | $ | 502 | $ | 499 | ||||||||
June 30, 2009 | December 31, 2008 | |||||||
Weighted average discount rate at the end of the year* | 6.14 | % | 6.14 | % | ||||
Health care cost trend rates: | ||||||||
Assumed for next year | 7.00 | % | 7.00 | % | ||||
Ultimate rate | 5.00 | % | 5.00 | % | ||||
Year that ultimate rate is reached | 2011 | 2011 | ||||||
Alternative amortization methods used to amortize | ||||||||
Prior service cost | Straight - line | Straight - line | ||||||
Unrecognized net (gain) or loss | Straight - line | Straight - line |
* | The discount rate was based on the Citigroup Pension Liability Index at December 31, 2008 and adjusted for durations. |
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June 30, 2009 | ||||||||||||
Notional Amount | Derivative | Derivative | ||||||||||
of Derivatives | Assets | Liabilities | ||||||||||
Fair value of derivative instruments | ||||||||||||
Derivatives designated under SFAS 133 | ||||||||||||
Interest rate swaps | $ | 90,739,662 | $ | 1,056,114 | $ | (4,168,056 | ) | |||||
Total derivatives in SFAS 133 hedging relationships | $ | 90,739,662 | $ | 1,056,114 | $ | (4,168,056 | ) | |||||
Derivatives not designated under SFAS 133 | ||||||||||||
Interest rate swaps | $ | 38,436,500 | $ | 142,734 | $ | (101,167 | ) | |||||
Interest rate caps or floors | 2,332,000 | 47,147 | (8,306 | ) | ||||||||
Mortgage delivery commitments | 3,954 | 2 | (30 | ) | ||||||||
Other | 830,000 | 2,625 | (1,921 | ) | ||||||||
Total derivatives not designated under SFAS 133 | $ | 41,602,454 | $ | 192,508 | $ | (111,424 | ) | |||||
Total derivatives before netting and collateral adjustments | $ | 132,342,116 | $ | 1,248,622 | $ | (4,279,480 | ) | |||||
Netting adjustments | $ | (1,239,850 | ) | $ | 1,239,850 | |||||||
Cash collateral and related accrued interest | — | 2,214,118 | ||||||||||
Total Collateral and Netting Adjustments | $ | (1,239,850 | ) | $ | 3,453,968 | |||||||
Total reported on the Statements of Condition | $ | 8,772 | $ | (825,512 | ) | |||||||
December 31, 2008 | ||||||||||||
Notional Amount | Derivative | Derivative | ||||||||||
of Derivatives | Assets | Liabilities | ||||||||||
Fair value of derivative instruments | ||||||||||||
Derivatives designated under SFAS 133 | ||||||||||||
Interest rate swaps | $ | 84,582,796 | $ | 1,640,507 | $ | (6,117,173 | ) | |||||
Total derivatives in SFAS 133 hedging relationships | $ | 84,582,796 | $ | 1,640,507 | $ | (6,117,173 | ) | |||||
Derivatives not designated under SFAS 133 | ||||||||||||
Interest rate swaps | $ | 39,691,142 | $ | 207,243 | $ | (361,836 | ) | |||||
Interest rate caps or floors | 2,357,000 | 16,318 | (8,360 | ) | ||||||||
Mortgage delivery commitments | 10,395 | 2 | (110 | ) | ||||||||
Other | 1,283,000 | 25,558 | (18,734 | ) | ||||||||
Total derivatives not designated under SFAS 133 | $ | 43,341,537 | $ | 249,121 | $ | (389,040 | ) | |||||
Total derivatives before netting and collateral adjustments | $ | 127,924,333 | $ | 1,889,628 | $ | (6,506,213 | ) | |||||
Netting adjustments | $ | (1,808,183 | ) | $ | 1,808,183 | |||||||
Cash collateral and related accrued interest | (61,209 | ) | 3,836,370 | |||||||||
Total collateral and netting adjustments | $ | (1,869,392 | ) | $ | 5,644,553 | |||||||
Total reported on the Statements of Condition | $ | 20,236 | $ | (861,660 | ) | |||||||
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Three months ended June 30, | Six months ended June 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Gain (Loss) | Gain (Loss) | Gain (Loss) | Gain (Loss) | |||||||||||||
Derivatives and hedged items in SFAS 133 hedging | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | $ | 5,322 | $ | (1,001 | ) | $ | (5,289 | ) | $ | (1,637 | ) | |||||
Consolidated obligations-bonds | 5,138 | (6,071 | ) | 18,020 | (3,985 | ) | ||||||||||
Net gain (loss) related to fair value hedge ineffectiveness | $ | 10,460 | $ | (7,072 | ) | $ | 12,731 | $ | (5,622 | ) | ||||||
Net gain (loss) related to cash flow hedge ineffectiveness | $ | — | $ | — | $ | — | $ | (9 | ) | |||||||
Derivatives not designated under SFAS 133 hedging | ||||||||||||||||
Economic hedges | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | $ | 1,022 | $ | 2,319 | $ | 5,362 | $ | 1,108 | ||||||||
Consolidated obligations-bonds | 41,761 | (19,165 | ) | 73,242 | (18,141 | ) | ||||||||||
Consolidated obligations-discount notes | 6,723 | (2,949 | ) | 6,120 | (2,894 | ) | ||||||||||
Member intermediation | (20 | ) | (2 | ) | (173 | ) | (2 | ) | ||||||||
Balance sheet | 174 | — | 2,407 | — | ||||||||||||
Accrued interest-swaps | (9,912 | ) | (16,140 | ) | (56,135 | ) | (16,170 | ) | ||||||||
Accrued interest-intermediation | 19 | 1 | 45 | 3 | ||||||||||||
Caps and floors | ||||||||||||||||
Advances | (321 | ) | (409 | ) | (750 | ) | (953 | ) | ||||||||
Balance sheet | 29,766 | 3,006 | 31,416 | 3,005 | ||||||||||||
Accrued interest-options | (1,253 | ) | (8 | ) | (1,945 | ) | 118 | |||||||||
Mortgage delivery commitments | (156 | ) | (128 | ) | (96 | ) | (124 | ) | ||||||||
Swaps under fair value option | ||||||||||||||||
Consolidated obligations-bonds | 310 | — | (7,374 | ) | — | |||||||||||
Accrued interest on FVO swaps | 67 | — | 124 | — | ||||||||||||
Net gain (loss) related to derivatives not designated as hedging instruments under SFAS 133 | $ | 68,180 | $ | (33,475 | ) | $ | 52,243 | $ | (34,050 | ) | ||||||
Net gain (loss) on derivatives and hedging activities | $ | 78,640 | $ | (40,547 | ) | $ | 64,974 | $ | (39,681 | ) | ||||||
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Three months ended June 30, | ||||||||||||||||||||||||||||||||
2009 | 2008 | |||||||||||||||||||||||||||||||
Gain (Loss) on | Gain (Loss) on | Effect of Derivatives | Gain (Loss) on | Gain (Loss) on | Effect of Derivatives | |||||||||||||||||||||||||||
Derivative | Hedged Item | Earnings Impact | on Net Interest Income | Derivative | Hedged Item | Earnings Impact | on Net Interest Income | |||||||||||||||||||||||||
FAS 133 hedged item type | ||||||||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||||||||
Advances | $ | 1,318,444 | $ | (1,313,122 | ) | $ | 5,322 | $ | (417,556 | ) | $ | 1,543,067 | $ | (1,544,068 | ) | $ | (1,001 | ) | $ | (166,608 | ) | |||||||||||
Consolidated obligations-bonds | (353,207 | ) | 358,345 | 5,138 | 128,603 | (362,888 | ) | 356,817 | (6,071 | ) | 125,689 | |||||||||||||||||||||
Consolidated obligations-notes | — | — | — | 31 | — | — | — | — | ||||||||||||||||||||||||
Economic hedges | ||||||||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||||||||
Advances | 1,022 | 1,022 | 2,319 | 2,319 | ||||||||||||||||||||||||||||
Consolidated obligations-bonds | 41,761 | 41,761 | (19,165 | ) | (19,165 | ) | ||||||||||||||||||||||||||
Consolidated obligations-notes | 6,723 | 6,723 | (2,949 | ) | (2,949 | ) | ||||||||||||||||||||||||||
Member intermediation | (20 | ) | (20 | ) | (2 | ) | (2 | ) | ||||||||||||||||||||||||
Balance sheet | 174 | 174 | — | — | ||||||||||||||||||||||||||||
Accrued interest-swaps | (9,912 | ) | (9,912 | ) | (16,140 | ) | (16,140 | ) | ||||||||||||||||||||||||
Accrued interest-intermediation | 19 | 19 | 1 | 1 | ||||||||||||||||||||||||||||
Caps and floors | ||||||||||||||||||||||||||||||||
Advances | (321 | ) | (321 | ) | (409 | ) | (409 | ) | ||||||||||||||||||||||||
Balance sheet | 29,766 | 29,766 | 3,006 | 3,006 | ||||||||||||||||||||||||||||
Accrued interest-options | (1,253 | ) | (1,253 | ) | (8 | ) | (8 | ) | ||||||||||||||||||||||||
Mortgage delivery commitments | (156 | ) | (156 | ) | (128 | ) | (128 | ) | ||||||||||||||||||||||||
Total | $ | 1,033,040 | $ | (954,777 | ) | $ | 78,263 | $ | (288,922 | ) | $ | 1,146,704 | $ | (1,187,251 | ) | $ | (40,547 | ) | $ | (40,919 | ) | |||||||||||
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Six months ended June 30, | ||||||||||||||||||||||||||||||||
2009 | 2008 | |||||||||||||||||||||||||||||||
Gain (Loss) on | Gain (Loss) on | Effect of Derivatives | Gain (Loss) on | Gain (Loss) on | Effect of Derivatives | |||||||||||||||||||||||||||
Derivative | Hedged Item | Earnings Impact | on Net Interest Income | Derivative | Hedged Item | Earnings Impact | on Net Interest Income | |||||||||||||||||||||||||
FAS 133 hedged item type | ||||||||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||||||||
Advances | $ | 2,002,002 | $ | (2,007,291 | ) | $ | (5,289 | ) | $ | (749,591 | ) | $ | (1,779 | ) | $ | 142 | $ | (1,637 | ) | $ | (169,832 | ) | ||||||||||
Consolidated obligations-bonds | (517,402 | ) | 535,422 | 18,020 | 232,683 | (55,483 | ) | 51,498 | (3,985 | ) | 169,609 | |||||||||||||||||||||
Consolidated obligations-notes | — | — | — | 474 | — | — | — | — | ||||||||||||||||||||||||
Cash Flow hedges ineffectiveness | — | — | (9 | ) | (9 | ) | ||||||||||||||||||||||||||
Economic hedges | ||||||||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||||||||
Advances | 5,362 | — | 5,362 | — | 1,108 | — | 1,108 | — | ||||||||||||||||||||||||
Consolidated obligations-bonds | 73,242 | — | 73,242 | — | (18,141 | ) | — | (18,141 | ) | — | ||||||||||||||||||||||
Consolidated obligations-notes | 6,120 | — | 6,120 | — | (2,894 | ) | — | (2,894 | ) | — | ||||||||||||||||||||||
Member intermediation | (173 | ) | — | (173 | ) | — | (2 | ) | — | (2 | ) | — | ||||||||||||||||||||
Balance sheet | 2,407 | — | 2,407 | — | — | — | — | — | ||||||||||||||||||||||||
Accrued interest-swaps | (56,135 | ) | — | (56,135 | ) | — | (16,170 | ) | — | (16,170 | ) | — | ||||||||||||||||||||
Accrued interest-intermediation | 45 | — | 45 | — | 3 | — | 3 | — | ||||||||||||||||||||||||
Caps and floors | ||||||||||||||||||||||||||||||||
Advances | (750 | ) | — | (750 | ) | — | (953 | ) | — | (953 | ) | — | ||||||||||||||||||||
Balance sheet | 31,416 | — | 31,416 | — | 3,005 | — | 3,005 | — | ||||||||||||||||||||||||
Accrued interest-options | (1,945 | ) | — | (1,945 | ) | — | 118 | — | 118 | — | ||||||||||||||||||||||
Mortgage delivery commitments | (96 | ) | — | (96 | ) | — | (124 | ) | — | (124 | ) | — | ||||||||||||||||||||
Total | $ | 1,544,093 | $ | (1,471,869 | ) | $ | 72,224 | $ | (516,434 | ) | $ | (91,321 | ) | $ | 51,640 | $ | (39,681 | ) | $ | (223 | ) | |||||||||||
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Three months ended June 30, | ||||||||||||||||||||||||||||
2009 | 2008 | |||||||||||||||||||||||||||
OCI | OCI | |||||||||||||||||||||||||||
Gains/(Losses) | Gains/(Losses) | |||||||||||||||||||||||||||
Location: | Amount | Ineffectiveness | Location: | Amount | Ineffectiveness | |||||||||||||||||||||||
Recognized in | Reclassified to | Reclassified to | Recognized in | Recognized in | Reclassified to | Reclassified to | Recognized in | |||||||||||||||||||||
OCI1 | Earnings1 | Earnings1 | Earnings | OCI1 | Earnings1 | Earnings1 | Earnings | |||||||||||||||||||||
The effect of cash flow hedge related to Interest rate swaps | ||||||||||||||||||||||||||||
Advances | $ | — | Interest Income | $ | — | $ | — | $ | — | Interest Income | $ | — | $ | — | ||||||||||||||
Consolidated obligations-bonds | — | Interest Expense | 1,910 | 194 | Interest Expense | 1,544 | — | |||||||||||||||||||||
Total | $ | — | $ | 1,910 | $ | — | $ | 194 | $ | 1,544 | $ | — | ||||||||||||||||
1 | Effective portion |
Six months ended June 30, | ||||||||||||||||||||||||||||
2009 | 2008 | |||||||||||||||||||||||||||
OCI | OCI | |||||||||||||||||||||||||||
Gains/(Losses) | Gains/(Losses) | |||||||||||||||||||||||||||
Location: | Amount | Ineffectiveness | Location: | Amount | Ineffectiveness | |||||||||||||||||||||||
Recognized in | Reclassified to | Reclassified to | Recognized in | Recognized in | Reclassified to | Reclassified to | Recognized in | |||||||||||||||||||||
OCI1 | Earnings1 | Earnings1 | Earnings | OCI1 | Earnings1 | Earnings1 | Earnings | |||||||||||||||||||||
The effect of cash flow hedge related to Interest rate swaps | ||||||||||||||||||||||||||||
Advances | $ | — | Interest Income | $ | — | $ | — | $ | — | Interest Income | $ | — | $ | — | ||||||||||||||
Consolidated obligations-bonds | — | Interest Expense | 3,789 | — | (6,170 | ) | Interest Expense | 2,678 | 9 | |||||||||||||||||||
Total | $ | — | $ | 3,789 | $ | — | $ | (6,170 | ) | $ | 2,678 | $ | 9 | |||||||||||||||
1 | Effective portion |
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June 30, 2009 | ||||||||||||||||||||
Netting | ||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Adjustments | ||||||||||||||||
Assets | ||||||||||||||||||||
Available-for-sale securities | $ | 2,507,258 | $ | — | $ | 2,507,258 | $ | — | $ | — | ||||||||||
Derivative assets | 8,772 | — | 1,248,622 | — | (1,239,850 | ) | ||||||||||||||
Total assets at fair value | $ | 2,516,030 | $ | — | $ | 3,755,880 | $ | — | $ | (1,239,850 | ) | |||||||||
Liabilities | ||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||
Bonds | $ | (550,303 | ) | $ | — | $ | (550,303 | ) | $ | — | $ | — | ||||||||
Derivative liabilities | (825,512 | ) | — | (4,279,480 | ) | — | 3,453,968 | |||||||||||||
Total liabilities at fair value | $ | (1,375,815 | ) | $ | — | $ | (4,829,783 | ) | $ | — | $ | 3,453,968 | ||||||||
December 31, 2008 | ||||||||||||||||||||
Netting | ||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Adjustments | ||||||||||||||||
Assets | ||||||||||||||||||||
Available-for-sale securities | $ | 2,861,869 | $ | — | $ | 2,861,869 | $ | — | $ | — | ||||||||||
Derivative assets | 20,236 | — | 1,386,859 | — | (1,366,623 | ) | ||||||||||||||
Total assets at fair value | $ | 2,882,105 | $ | — | $ | 4,248,728 | $ | — | $ | (1,366,623 | ) | |||||||||
Liabilities | ||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||
Bonds | $ | (998,942 | ) | $ | — | $ | (998,942 | ) | $ | — | $ | — | ||||||||
Derivative liabilities | (861,660 | ) | — | (5,978,026 | ) | — | 5,116,366 | |||||||||||||
Total liabilities at fair value | $ | (1,860,602 | ) | $ | — | $ | (6,976,968 | ) | $ | — | $ | 5,116,366 | ||||||||
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Credit Loss | ||||||||||||||||||||||||
June 30, 2009 | ||||||||||||||||||||||||
Fair Value | Level 1 | Level 2 | Level 3 | Three months | Six months | |||||||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||||||
Private-label residential MBS | $ | 188,135 | $ | — | $ | — | $ | 188,135 | $ | 5,329 | $ | 10,593 | ||||||||||||
Total | $ | 188,135 | $ | — | $ | — | $ | 188,135 | $ | 5,329 | $ | 10,593 | ||||||||||||
June 30, 2009 | December 31, 2008 | |||||||||||||||
Carrying | Estimated | Carrying | Estimated | |||||||||||||
Financial Instruments | Value | Fair Value | Value | Fair Value | ||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | 39,588 | $ | 39,588 | $ | 18,899 | $ | 18,899 | ||||||||
Interest-bearing deposits | 13,865,009 | 13,867,574 | 12,169,096 | 12,170,681 | ||||||||||||
Available-for-sale securities | 2,507,258 | 2,507,258 | 2,861,869 | 2,861,869 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | 10,471,387 | 10,469,102 | 10,130,543 | 9,934,473 | ||||||||||||
Certificates of deposit | — | — | 1,203,000 | 1,203,328 | ||||||||||||
Advances | 100,457,832 | 100,879,367 | 109,152,876 | 109,421,358 | ||||||||||||
Mortgage loans, net | 1,381,061 | 1,430,787 | 1,457,885 | 1,496,329 | ||||||||||||
Accrued interest receivable | 367,457 | 367,457 | 492,856 | 492,856 | ||||||||||||
Derivative assets | 8,772 | 8,772 | 20,236 | 20,236 | ||||||||||||
Other financial assets | 2,357 | 2,357 | 2,713 | 2,713 | ||||||||||||
Liabilities | ||||||||||||||||
Deposits | 2,277,829 | 2,277,907 | 1,451,978 | 1,452,648 | ||||||||||||
Consolidated obligations: | ||||||||||||||||
Bonds | 72,184,176 | 72,515,020 | 82,256,705 | 82,533,048 | ||||||||||||
Discount notes | 47,275,915 | 47,290,806 | 46,329,906 | 46,408,907 | ||||||||||||
Mandatorily redeemable capital stock | 128,254 | 128,254 | 143,121 | 143,121 | ||||||||||||
Accrued interest payable | 280,889 | 280,889 | 426,144 | 426,144 | ||||||||||||
Derivative liabilities | 825,512 | 825,512 | 861,660 | 861,660 | ||||||||||||
Other financial liabilities | 83,438 | 83,438 | 38,594 | 38,594 |
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Three months ended | Six months ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Balance, beginning of the period | $ | 25,377 | $ | — | $ | 998,942 | $ | — | ||||||||
New transaction elected for fair value option | 550,000 | — | 550,000 | — | ||||||||||||
Maturities and terminations | (25,000 | ) | — | (983,000 | ) | — | ||||||||||
Change in fair value | 86 | — | (8,226 | ) | — | |||||||||||
Change in accrued interest | (160 | ) | — | (7,413 | ) | — | ||||||||||
Balance, end of the period | $ | 550,303 | — | $ | 550,303 | — | ||||||||||
Three months ended June 30, 2009 | Six months ended June 30, 2009 | |||||||||||||||||||||||
Interest expense on | Total change in fair | Interest expense on | Total change in fair | |||||||||||||||||||||
consolidated obligation | Net gain(loss) due to | value included in | consolidated obligation | Net gain(loss) due to | value included in | |||||||||||||||||||
bonds | changes in fair value | current period earnings | bonds | changes in fair value | current period earnings | |||||||||||||||||||
Consolidated obligations-bonds | $ | (215 | ) | $ | (86 | ) | $ | (301 | ) | $ | (1,289 | ) | $ | 8,226 | $ | 6,937 | ||||||||
June 30, 2009 | ||||||||||||
Fair value | ||||||||||||
Principal Balance | Fair value | over/(under) | ||||||||||
Consolidated obligations-bonds | $ | 550,000 | $ | 550,303 | $ | 303 | ||||||
December 31, 2008 | ||||||||||||
Fair value | ||||||||||||
Principal Balance | Fair value | over/(under) | ||||||||||
Consolidated obligations-bonds | $ | 983,000 | $ | 998,942 | $ | 15,942 | ||||||
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June 30, 2009 | ||||||||||||||||||||
Payments due or expiration terms by period | ||||||||||||||||||||
Less than | One year | Greater than three | Greater than | |||||||||||||||||
�� | one year | to three years | years to five years | five years | Total | |||||||||||||||
Contractual Obligations | ||||||||||||||||||||
Consolidated obligations-bonds at par1 | $ | 44,765,600 | $ | 18,117,695 | $ | 4,827,530 | $ | 3,664,550 | $ | 71,375,375 | ||||||||||
Mandatorily redeemable capital stock1 | 80,186 | 40,981 | 2,127 | 4,960 | 128,254 | |||||||||||||||
Premises (lease obligations)2 | 3,060 | 6,120 | 5,816 | 7,595 | 22,591 | |||||||||||||||
Total contractual obligations | 44,848,846 | 18,164,796 | 4,835,473 | 3,677,105 | 71,526,220 | |||||||||||||||
Other commitments | ||||||||||||||||||||
Standby letters of credit | 1,007,156 | 3,628 | 12,115 | 7,934 | 1,030,833 | |||||||||||||||
Consolidated obligation-bonds/ discount notes traded not settled | 1,809,648 | 1,809,648 | ||||||||||||||||||
Open delivery commitments (MPF) | 3,954 | 3,954 | ||||||||||||||||||
Total other commitments | 2,820,758 | 3,628 | 12,115 | 7,934 | 2,844,435 | |||||||||||||||
Total obligations and commitments | $ | 47,669,604 | $ | 18,168,424 | $ | 4,847,588 | $ | 3,685,039 | $ | 74,370,655 | ||||||||||
1 | Mandatorily redeemable capital stock is categorized by the dates at which the corresponding advances outstanding mature. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock, under which stock may not be redeemed until the later of five years from the date the member becomes a nonmember or the related advance matures. Callable bonds contain exercise date or a series of exercise dates that may result in a shorter redemption period. | |
2 | Immaterial amount of commitments for equipment leases not included. |
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June 30, 2009 | December 31, 2008 | |||||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | — | $ | 39,588 | $ | — | $ | 18,899 | ||||||||
Interest-bearing deposits | — | 13,865,009 | — | 12,169,096 | ||||||||||||
Federal funds sold | — | — | — | — | ||||||||||||
Available-for-sale securities | — | 2,507,258 | — | 2,861,869 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | — | 10,471,387 | — | 10,130,543 | ||||||||||||
Certificates of deposit | — | — | — | 1,203,000 | ||||||||||||
Advances | 100,457,832 | — | 109,152,876 | — | ||||||||||||
Mortgage loans1 | — | 1,381,061 | — | 1,457,885 | ||||||||||||
Accrued interest receivable | 320,668 | 46,789 | 433,755 | 59,101 | ||||||||||||
Premises, software, and equipment | — | 14,574 | — | 13,793 | ||||||||||||
Derivative assets2 | — | 8,772 | — | 20,236 | ||||||||||||
Other assets3 | 204 | 15,731 | 153 | 18,685 | ||||||||||||
Total assets | $ | 100,778,704 | $ | 28,350,169 | $ | 109,586,784 | $ | 27,953,107 | ||||||||
Liabilities and capital | ||||||||||||||||
Deposits | $ | 2,277,829 | $ | — | $ | 1,451,978 | $ | — | ||||||||
Consolidated obligations | — | 119,460,091 | — | 128,586,611 | ||||||||||||
Mandatorily redeemable capital stock | 128,254 | — | 143,121 | — | ||||||||||||
Accrued interest payable | 373 | 280,516 | 814 | 425,330 | ||||||||||||
Affordable Housing Program4 | 140,037 | — | 122,449 | — | ||||||||||||
Payable to REFCORP | — | 45,640 | — | 4,780 | ||||||||||||
Derivative liabilities2 | — | 825,512 | — | 861,660 | ||||||||||||
Other liabilities5 | 79,004 | 41,575 | 31,003 | 44,750 | ||||||||||||
Total liabilities | $ | 2,625,497 | $ | 120,653,334 | $ | 1,749,365 | $ | 129,923,131 | ||||||||
Capital | 5,850,042 | — | 5,867,395 | — | ||||||||||||
Total liabilities and capital | $ | 8,475,539 | $ | 120,653,334 | $ | 7,616,760 | $ | 129,923,131 | ||||||||
1 | Includes insignificant amounts of mortgage loans purchased from members of another FHLBank. | |
2 | Derivative assets and liabilities include insignificant fair values due to intermediation activities on behalf of members. | |
3 | Includes insignificant amounts of miscellaneous assets that are considered related party. | |
4 | Represents funds not yet disbursed to eligible programs. | |
5 | Related column includes member pass-through reserves at the Federal Reserve Bank. |
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Three months ended | ||||||||||||||||
June 30, 2009 | June 30, 2008 | |||||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||||
Interest income | ||||||||||||||||
Advances | $ | 351,295 | $ | — | $ | 661,142 | $ | — | ||||||||
Interest-bearing deposits 1 | — | 9,123 | — | 4,848 | ||||||||||||
Federal funds sold | — | 1 | — | 19,187 | ||||||||||||
Available-for-sale securities | — | 7,772 | — | 23,092 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | — | 117,863 | — | 123,900 | ||||||||||||
Certificates of deposit | — | 33 | — | 58,987 | ||||||||||||
Mortgage loans2 | — | 18,169 | — | 19,399 | ||||||||||||
Loans to other FHLBanks and other | — | — | — | — | ||||||||||||
Total interest income | $ | 351,295 | $ | 152,961 | $ | 661,142 | $ | 249,413 | ||||||||
Interest expense | ||||||||||||||||
Consolidated obligations | $ | — | 300,483 | $ | — | 739,135 | ||||||||||
Deposits | 709 | — | 10,690 | — | ||||||||||||
Mandatorily redeemable capital stock | 2,794 | — | 2,656 | — | ||||||||||||
Cash collateral held and other borrowings | — | 11 | 14 | 255 | ||||||||||||
Total interest expense | $ | 3,503 | $ | 300,494 | $ | 13,360 | $ | 739,390 | ||||||||
Service fees | $ | 1,096 | $ | — | $ | 797 | $ | — | ||||||||
1 | Includes de minimis amounts of interest income from MPF service provider. | |
2 | Includes de minimis amounts of mortgage interest income from loans purchased from members of another FHLBank. |
Six months ended | ||||||||||||||||
June 30, 2009 | June 30, 2008 | |||||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||||
Interest income | ||||||||||||||||
Advances | $ | 853,517 | $ | — | $ | 1,532,927 | — | |||||||||
Interest-bearing deposits 1 | — | 18,041 | — | 13,846 | ||||||||||||
Federal funds sold | — | 69 | — | 48,605 | ||||||||||||
Available-for-sale securities | — | 16,291 | — | 32,575 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | — | 244,683 | — | 258,248 | ||||||||||||
Certificates of deposit | — | 541 | — | 161,238 | ||||||||||||
Mortgage loans2 | — | 37,273 | — | 39,032 | ||||||||||||
Loans to other FHLBanks and other | — | — | 3 | — | ||||||||||||
Total interest income | $ | 853,517 | $ | 316,898 | $ | 1,532,930 | $ | 553,544 | ||||||||
Interest expense | ||||||||||||||||
Consolidated obligations | $ | — | 733,568 | — | $ | 1,741,679 | ||||||||||
Deposits | 1,486 | — | 25,865 | — | ||||||||||||
Mandatorily redeemable capital stock | 3,672 | — | 6,934 | — | ||||||||||||
Cash collateral held and other borrowings | — | 48 | 159 | 580 | ||||||||||||
Total interest expense | $ | 5,158 | $ | 733,616 | $ | 32,958 | $ | 1,742,259 | ||||||||
Service fees | $ | 2,080 | $ | — | $ | 1,487 | $ | — | ||||||||
1 | Includes de minimis amounts of interest income from MPF service provider. | |
2 | Includes de minimis amounts of mortgage interest income from loans purchased from members of another FHLBank. |
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June 30, 2009 | ||||||||||||||||||||
Percentage of | ||||||||||||||||||||
Par | Total Par Value | Interest Income | ||||||||||||||||||
City | State | Advances | of Advances | Three months | Six months | |||||||||||||||
Hudson City Savings Bank 1 | Paramus | NJ | $ | 17,325,000 | 17.9 | % | $ | 177,134 | $ | 353,204 | ||||||||||
Metropolitan Life Insurance Company | New York | NY | 14,905,000 | 15.4 | 91,777 | 195,083 | ||||||||||||||
New York Community Bank 1 | Westbury | NY | 8,444,012 | 8.7 | 77,336 | 154,716 | ||||||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 7,094,170 | 7.3 | 28,224 | 64,723 | ||||||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 3,842,000 | 4.0 | 10,994 | 21,805 | ||||||||||||||
Total | $ | 51,610,182 | 53.3 | % | $ | 385,465 | $ | 789,531 | ||||||||||||
1 | Officer of member bank also serves on the Board of Directors of the FHLBNY. |
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December 31, 2008 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | Interest | ||||||||||||||
City | State | Advances | of Advances | Income | ||||||||||||
Hudson City Savings Bank1 | Paramus | NJ | $ | 17,525,000 | 17.0 | % | $ | 671,146 | ||||||||
Metropolitan Life Insurance Company | New York | NY | 15,105,000 | 14.6 | 260,420 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 7,999,689 | 7.7 | 257,649 | |||||||||||
New York Community Bank1 | Westbury | NY | 7,796,517 | 7.5 | 337,019 | |||||||||||
Astoria Federal Savings and Loan Assn | Long Island City | NY | 3,738,000 | 3.6 | 151,066 | |||||||||||
Total | $ | 52,164,206 | 50.4 | % | $ | 1,677,300 | ||||||||||
1 | Officer of member bank also serves on the Board of Directors of the FHLBNY. |
June 30, 2008 | ||||||||||||||||||||
Percentage of | ||||||||||||||||||||
Par | Total Par Value | Interest Income | ||||||||||||||||||
City | State | Advances | of Advances | Three months | Six months | |||||||||||||||
Hudson City Savings Bank 1 | Paramus | NJ | $ | 16,275,000 | 18.2 | % | $ | 106,396 | $ | 265,445 | ||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 8,490,413 | 9.5 | 39,204 | 107,772 | ||||||||||||||
New York Community Bank 1 | Westbury | NY | 8,124,721 | 9.1 | 58,336 | 149,496 | ||||||||||||||
Metropolitan Life Insurance Company | New York | NY | 6,030,000 | 6.7 | 29,839 | 84,408 | ||||||||||||||
HSBC Bank USA, National Association | New York | NY | 4,008,311 | 4.5 | 24,886 | 72,306 | ||||||||||||||
Total | $ | 42,928,445 | 48.0 | % | $ | 258,661 | $ | 679,427 | ||||||||||||
1 | Officer of member bank also serves on the Board of Directors of the FHLBNY. |
Number | Percent | |||||||||
June 30, 2009 | of shares | of total | ||||||||
Name of beneficial owner | Principal Executive Office Address | owned | capital stock | |||||||
Hudson City Savings Bank1 | West 80 Century Road Paramus, NJ 07652 | 8,770 | 15.95 | % | ||||||
Metropolitan Life Insurance Company | 200 Park Ave New York, NY 10166 | 7,970 | 14.50 | |||||||
New York Community Bank1 | 615 Merrick Ave Westbury, NY 11590 | 4,273 | 7.77 | |||||||
Manufacturers and Traders Trust Company | One M&T Plaza Buffalo, NY 14203 | 3,902 | 7.10 | |||||||
24,915 | 45.32 | % | ||||||||
1 | Officer of member bank also serves on the Board of Directors of the FHLBNY. |
Number | Percent | |||||||||
December 31, 2008 | of shares | of total | ||||||||
Name of beneficial owner | Principal Executive Office Address | owned | capital stock | |||||||
Hudson City Savings Bank | West 80 Century Road, Paramus, NJ 07652 | 8,656 | 15.11 | % | ||||||
Metropolitan Life Insurance Company | 200 Park Ave., New York, NY 10166 | 8,302 | 14.49 | |||||||
Manufacturers and Traders Trust Company | One M & T Plaza, Buffalo, NY 14203 | 4,327 | 7.55 | |||||||
New York Community Bank | 615 Merrick Avenue, Westbury, NY 11590 | 3,928 | 6.86 | |||||||
25,213 | 44.01 | % | ||||||||
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Statements of Condition | June 30, | December 31, | ||||||||||||||||||||||
(dollars in millions) | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Investments (1) | $ | 12,979 | $ | 14,195 | $ | 25,034 | $ | 20,503 | $ | 20,945 | $ | 17,271 | ||||||||||||
Interest bearing balance at FRB | 13,865 | 12,169 | — | — | — | — | ||||||||||||||||||
Advances | 100,458 | 109,153 | 82,090 | 59,012 | 61,902 | 68,507 | ||||||||||||||||||
Mortgage loans | 1,381 | 1,458 | 1,492 | 1,483 | 1,467 | 1,178 | ||||||||||||||||||
Total assets | 129,129 | 137,540 | 109,245 | 81,579 | 84,761 | 87,347 | ||||||||||||||||||
Deposits and borrowings | 2,278 | 1,452 | 1,606 | 2,266 | 2,650 | 2,297 | ||||||||||||||||||
Consolidated obligations | 119,460 | 128,587 | 101,117 | 74,234 | 77,279 | 80,157 | ||||||||||||||||||
Mandatorily redeemable capital stock | 128 | 143 | 239 | 110 | 18 | 127 | ||||||||||||||||||
AHP liability | 140 | 122 | 119 | 102 | 91 | 82 | ||||||||||||||||||
REFCORP liability | 46 | 5 | 24 | 17 | 14 | 10 | ||||||||||||||||||
Capital stock | 5,370 | 5,586 | 4,368 | 3,546 | 3,590 | 3,655 | ||||||||||||||||||
Retained earnings | 600 | 383 | 418 | 369 | 291 | 223 | ||||||||||||||||||
Equity to asset ratio (2) | 4.53 | % | 4.27 | % | 4.35 | % | 4.79 | % | 4.58 | % | 4.44 | % | ||||||||||||
Three months ended | Six months ended | |||||||||||||||||||||||||||||||||||
Statements of Condition | June 30, | June 30, | Years ended December 31, | |||||||||||||||||||||||||||||||||
Averages (dollars in millions) | 2009 | 2008 | 2009 | 2008 | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||||||||||||||
Investments (1) | $ | 12,369 | $ | 23,000 | $ | 12,662 | $ | 22,841 | $ | 22,253 | $ | 22,155 | $ | 19,431 | $ | 19,347 | $ | 16,292 | ||||||||||||||||||
Interest bearing balance at FRB ** | 12,647 | — | 12,092 | — | 1,322 | — | — | — | — | |||||||||||||||||||||||||||
Advances | 99,769 | 88,202 | 102,541 | 85,409 | 92,617 | 65,454 | 64,658 | 63,446 | 65,289 | |||||||||||||||||||||||||||
Mortgage loans | 1,405 | 1,465 | 1,427 | 1,472 | 1,465 | 1,502 | 1,471 | 1,360 | 928 | |||||||||||||||||||||||||||
Total assets | 129,133 | 114,242 | 132,007 | 111,472 | 119,710 | 89,961 | 86,319 | 85,254 | 84,344 | |||||||||||||||||||||||||||
Interest-bearing deposits and other borrowings | 2,181 | 2,239 | 1,967 | 2,172 | 2,003 | 2,202 | 1,709 | 2,100 | 1,971 | |||||||||||||||||||||||||||
Consolidated obligations | 116,838 | 104,253 | 119,752 | 101,643 | 109,691 | 82,233 | 79,314 | 77,629 | 76,105 | |||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 134 | 174 | 139 | 184 | 166 | 146 | 51 | 56 | 238 | |||||||||||||||||||||||||||
AHP liability | 132 | 123 | 128 | 122 | 122 | 108 | 95 | 84 | 83 | |||||||||||||||||||||||||||
REFCORP liability | 22 | 10 | 22 | 11 | 6 | 10 | 9 | 7 | 4 | |||||||||||||||||||||||||||
Capital stock | 5,299 | 4,702 | 5,376 | 4,527 | 4,923 | 3,771 | 3,737 | 3,604 | 3,554 | |||||||||||||||||||||||||||
Retained earnings | 522 | 394 | 476 | 393 | 381 | 362 | 314 | 251 | 159 |
Operating Results and other data | Three months ended | Six months ended | ||||||||||||||||||||||||||||||||||
(dollars in millions) | June 30, | June 30, | Years ended December 31, | |||||||||||||||||||||||||||||||||
(except earnings and dividends per share) | 2009 | 2008 | 2009 | 2008 | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||||||||||||||
Net interest income (3) | $ | 200 | $ | 158 | $ | 432 | $ | 311 | $ | 694 | $ | 499 | $ | 470 | $ | 395 | $ | 268 | ||||||||||||||||||
Net income | 186 | 74 | 335 | 174 | 259 | 323 | 285 | 230 | 161 | |||||||||||||||||||||||||||
Dividends paid in cash (6) | 75 | 85 | 117 | 174 | 294 | 273 | 208 | 162 | 66 | |||||||||||||||||||||||||||
AHP expense | 21 | 9 | 38 | 20 | 30 | 37 | 32 | 26 | 19 | |||||||||||||||||||||||||||
REFCORP expense | 47 | 18 | 84 | 44 | 65 | 81 | 71 | 58 | 40 | |||||||||||||||||||||||||||
Return on average equity* (4) | 13.00 | % | 5.90 | % | 11.69 | % | 7.19 | % | 4.95 | % | 7.85 | % | 7.04 | % | 5.97 | % | 4.34 | % | ||||||||||||||||||
Return on average assets* | 0.58 | % | 0.26 | % | 0.51 | % | 0.31 | % | 0.22 | % | 0.36 | % | 0.33 | % | 0.27 | % | 0.19 | % | ||||||||||||||||||
Operating expenses | $ | 18 | $ | 16 | $ | 36 | $ | 33 | $ | 66 | $ | 67 | $ | 63 | $ | 59 | $ | 51 | ||||||||||||||||||
Operating expenses ratio* (5) | 0.06 | % | 0.06 | % | 0.06 | % | 0.06 | % | 0.06 | % | 0.07 | % | 0.07 | % | 0.07 | % | 0.06 | % | ||||||||||||||||||
Earnings per share | $ | 3.52 | $ | 1.57 | $ | 6.22 | $ | 3.85 | $ | 5.26 | $ | 8.57 | $ | 7.63 | $ | 6.36 | $ | 4.55 | ||||||||||||||||||
Dividend per share | $ | 1.38 | $ | 1.94 | $ | 2.14 | $ | 4.06 | $ | 6.55 | $ | 7.51 | $ | 5.59 | $ | 4.50 | $ | 1.83 | ||||||||||||||||||
Headcount (Full/part time) | 264 | 249 | 264 | 249 | 251 | 246 | 232 | 221 | 210 |
(1) | Investments include held-to-maturity securities, available for-sale securities, Federal funds, and loans to other FHLBanks. | |
(2) | Equity to asset ratio is capital stock plus retained earnings and accumulated other comprehensive income (loss) as a percentage of total assets. | |
(3) | Net interest income is net interest income before the provision for credit losses on mortgage loans. | |
(4) | Return on average equity is net income as a percentage of average capital stock plus average retained earnings and average accumulated other comprehensive income (loss). | |
(5) | Operating expenses as a percentage of total average assets. | |
(6) | Excludes dividends paid to non members classified as interest expense under FASB 150. | |
* | Annualized. | |
** | FRB program commenced in October 2008. The average balance is annualized YTD. |
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Three months ended June 30, | Six months ended June 30, | |||||||||||||||||||||||
Percentage | Percentage | |||||||||||||||||||||||
2009 | 2008 | Variance | 2009 | 2008 | Variance | |||||||||||||||||||
Interest Income | ||||||||||||||||||||||||
Advances | $ | 351,295 | $ | 661,142 | (46.87 | )% | $ | 853,517 | $ | 1,532,927 | (44.32 | )% | ||||||||||||
Interest-bearing deposits | 9,123 | 4,848 | 88.18 | 18,041 | 13,846 | 30.30 | ||||||||||||||||||
Federal funds sold | 1 | 19,187 | (99.99 | ) | 69 | 48,605 | (99.86 | ) | ||||||||||||||||
Available-for-sale securities | 7,772 | 23,092 | (66.34 | ) | 16,291 | 32,575 | (49.99 | ) | ||||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||||||
Long-term securities | 117,863 | 123,900 | (4.87 | ) | 244,683 | 258,248 | (5.25 | ) | ||||||||||||||||
Certificates of deposit | 33 | 58,987 | (99.94 | ) | 541 | 161,238 | (99.66 | ) | ||||||||||||||||
Mortgage loans held-for-portfolio | 18,169 | 19,399 | (6.34 | ) | 37,273 | 39,032 | (4.51 | ) | ||||||||||||||||
Loans to other FHLBanks and other | — | — | — | — | 3 | (100.00 | ) | |||||||||||||||||
Total interest income | $ | 504,256 | $ | 910,555 | (44.62 | )% | $ | 1,170,415 | $ | 2,086,474 | (43.90 | )% | ||||||||||||
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June 30, | June 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Advance Interest Income | ||||||||||||||||
Advance interest income before adjustment for interest rate swaps | $ | 768,626 | $ | 827,323 | $ | 1,602,014 | $ | 1,701,711 | ||||||||
Net interest adjustment from interest rate swaps | (417,331 | ) | (166,181 | ) | (748,497 | ) | (168,784 | ) | ||||||||
Total Advance interest income reported | $ | 351,295 | $ | 661,142 | $ | 853,517 | $ | 1,532,927 | ||||||||
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Percentage | Percentage | |||||||||||||||||||||||
2009 | 2008 | Variance | 2009 | 2008 | Variance | |||||||||||||||||||
Interest Expense | ||||||||||||||||||||||||
Consolidated obligations-bonds | $ | 248,280 | $ | 592,573 | (58.10 | )% | $ | 591,987 | $ | 1,323,834 | (55.28 | )% | ||||||||||||
Consolidated obligations-discount notes | 52,203 | 146,562 | (64.38 | ) | 141,581 | 417,845 | (66.12 | ) | ||||||||||||||||
Deposits | 709 | 10,690 | (93.37 | ) | 1,486 | 25,865 | (94.25 | ) | ||||||||||||||||
Mandatorily redeemable capital stock | 2,794 | 2,656 | 5.20 | 3,672 | 6,934 | (47.04 | ) | |||||||||||||||||
Cash collateral held and other borrowings | 11 | 269 | (95.91 | ) | 48 | 739 | (93.50 | ) | ||||||||||||||||
Total interest expense | $ | 303,997 | $ | 752,750 | (59.62 | )% | $ | 738,774 | $ | 1,775,217 | (58.38 | )% | ||||||||||||
Three months ended | Six months ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Consolidated bonds and discount notes-Interest expense | ||||||||||||||||
Bonds-Interest expense before adjustment for swaps | $ | 376,883 | $ | 718,262 | $ | 824,670 | $ | 1,493,443 | ||||||||
Discount notes-Interest expense before adjustment for swaps | 52,234 | 146,562 | 142,055 | 417,845 | ||||||||||||
Net interest adjustment for interest rate swaps | (128,634 | ) | (125,689 | ) | (233,157 | ) | (169,609 | ) | ||||||||
Total Consolidated bonds and discount notes-interest expense reported | $ | 300,483 | $ | 739,135 | $ | 733,568 | $ | 1,741,679 | ||||||||
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Percentage | ||||||||||||
2009 | 2008 | Variance | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 351,295 | $ | 661,142 | (46.87 | )% | ||||||
Interest-bearing deposits | 9,123 | 4,848 | 88.18 | |||||||||
Federal funds sold | 1 | 19,187 | (99.99 | ) | ||||||||
Available-for-sale securities | 7,772 | 23,092 | (66.34 | ) | ||||||||
Held-to-maturity securities | ||||||||||||
Long-term securities | 117,863 | 123,900 | (4.87 | ) | ||||||||
Certificates of deposit | 33 | 58,987 | (99.94 | ) | ||||||||
Mortgage loans held-for-portfolio | 18,169 | 19,399 | (6.34 | ) | ||||||||
Total interest income | 504,256 | 910,555 | (44.62 | ) | ||||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | 248,280 | 592,573 | (58.10 | ) | ||||||||
Consolidated obligations-discount notes | 52,203 | 146,562 | (64.38 | ) | ||||||||
Deposits | 709 | 10,690 | (93.37 | ) | ||||||||
Mandatorily redeemable capital stock | 2,794 | 2,656 | 5.20 | |||||||||
Cash collateral held and other borrowings | 11 | 269 | (95.91 | ) | ||||||||
Total interest expense | 303,997 | 752,750 | (59.62 | ) | ||||||||
Net interest income before provision for credit losses | $ | 200,259 | $ | 157,805 | 26.90 | % | ||||||
Six months ended June 30, | ||||||||||||
Percentage | ||||||||||||
2009 | 2008 | Variance | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 853,517 | $ | 1,532,927 | (44.32 | )% | ||||||
Interest-bearing deposits | 18,041 | 13,846 | 30.30 | |||||||||
Federal funds sold | 69 | 48,605 | (99.86 | ) | ||||||||
Available-for-sale securities | 16,291 | 32,575 | (49.99 | ) | ||||||||
Held-to-maturity securities | ||||||||||||
Long-term securities | 244,683 | 258,248 | (5.25 | ) | ||||||||
Certificates of deposit | 541 | 161,238 | (99.66 | ) | ||||||||
Mortgage loans held-for-portfolio | 37,273 | 39,032 | (4.51 | ) | ||||||||
Loans to other FHLBanks and other | — | 3 | (100.00 | ) | ||||||||
Total interest income | 1,170,415 | 2,086,474 | (43.90 | ) | ||||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | 591,987 | 1,323,834 | (55.28 | ) | ||||||||
Consolidated obligations-discount notes | 141,581 | 417,845 | (66.12 | ) | ||||||||
Deposits | 1,486 | 25,865 | (94.25 | ) | ||||||||
Mandatorily redeemable capital stock | 3,672 | 6,934 | (47.04 | ) | ||||||||
Cash collateral held and other borrowings | 48 | 739 | (93.50 | ) | ||||||||
Total interest expense | 738,774 | 1,775,217 | (58.38 | ) | ||||||||
Net interest income before provision for credit losses | $ | 431,641 | $ | 311,257 | 38.68 | % | ||||||
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June 30, | June 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Interest Income | $ | 921,587 | $ | 1,076,736 | $ | 1,918,912 | $ | 2,255,258 | ||||||||
Net interest adjustment from interest rate swaps | (417,331 | ) | (166,181 | ) | (748,497 | ) | (168,784 | ) | ||||||||
Reported Interest Income | 504,256 | 910,555 | 1,170,415 | 2,086,474 | ||||||||||||
Interest Expense | 432,631 | 878,439 | 971,931 | 1,944,826 | ||||||||||||
Net interest adjustment from interest rate swaps | (128,634 | ) | (125,689 | ) | (233,157 | ) | (169,609 | ) | ||||||||
Reported Interest Expense | 303,997 | 752,750 | 738,774 | 1,775,217 | ||||||||||||
Net Interest income (Margin) | $ | 200,259 | $ | 157,805 | $ | 431,641 | $ | 311,257 | ||||||||
Net interest adjustment — interest rate swaps | $ | (288,697 | ) | $ | (40,492 | ) | $ | (515,340 | ) | $ | 825 | |||||
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Three months ended June 30, 2009 | Three months ended June 30, 2008 | |||||||||||||||||||||||
Amount | ROA | Net Spread | Amount | ROA | Net Spread | |||||||||||||||||||
GAAP net interest income | $ | 200,259 | 0.62 | % | 0.55 | % | $ | 157,805 | 0.56 | % | 0.38 | % | ||||||||||||
Interest expense | ||||||||||||||||||||||||
Swaps not designated in a hedging relationship | (9,912 | ) | (0.03 | ) | (0.03 | ) | (16,140 | ) | (0.06 | ) | (0.06 | ) | ||||||||||||
Economic net interest income | $ | 190,347 | 0.59 | % | 0.52 | % | $ | 141,665 | 0.50 | % | 0.32 | % | ||||||||||||
Six months ended June 30, 2009 | Six months ended June 30, 2008 | |||||||||||||||||||||||
Amount | ROA | Net Spread | Amount | ROA | Net Spread | |||||||||||||||||||
GAAP net interest income | $ | 431,641 | 0.66 | % | 0.58 | % | $ | 311,257 | 0.57 | % | 0.36 | % | ||||||||||||
Interest expense | ||||||||||||||||||||||||
Swaps not designated in a hedging relationship | (56,135 | ) | (0.08 | ) | (0.09 | ) | (16,170 | ) | (0.03 | ) | (0.03 | ) | ||||||||||||
Economic net interest income | $ | 375,506 | 0.58 | % | 0.49 | % | $ | 295,087 | 0.54 | % | 0.33 | % | ||||||||||||
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June 30, 2009 | June 30, 2008 | |||||||||||||||||||||||
Interest | Interest | |||||||||||||||||||||||
Average | Income/ | Average | Income/ | |||||||||||||||||||||
(dollars in thousands) | Balance | Expense | Rate1 | Balance | Expense | Rate1 | ||||||||||||||||||
Earning Assets: | ||||||||||||||||||||||||
Advances | $ | 99,768,516 | $ | 351,295 | 1.41 | % | $ | 88,202,082 | $ | 661,142 | 3.01 | % | ||||||||||||
Certificates of deposit and others | 2,424,837 | 9,156 | 1.51 | 8,452,710 | 63,835 | 3.04 | ||||||||||||||||||
Federal funds sold and other overnight funds | 12,659,476 | 1 | — | 3,363,451 | 19,187 | 2.29 | ||||||||||||||||||
Investments | 12,357,367 | 125,635 | 4.08 | 12,089,612 | 146,992 | 4.89 | ||||||||||||||||||
Mortgage and other loans | 1,405,043 | 18,169 | 5.19 | 1,465,280 | 19,399 | 5.32 | ||||||||||||||||||
Total interest-earning assets | $ | 128,615,239 | $ | 504,256 | 1.57 | % | $ | 113,573,135 | $ | 910,555 | 3.22 | % | ||||||||||||
Funded By: | ||||||||||||||||||||||||
Consolidated obligations-bonds | $ | 68,091,680 | $ | 248,280 | 1.46 | $ | 79,107,647 | $ | 592,573 | 3.01 | ||||||||||||||
Consolidated obligations-discount notes | 48,746,680 | 52,203 | 0.43 | 25,144,866 | 146,562 | 2.34 | ||||||||||||||||||
Interest-bearing deposits and other borrowings | 2,211,474 | 720 | 0.13 | 2,285,117 | 10,959 | 1.93 | ||||||||||||||||||
Mandatorily redeemable capital stock | 134,481 | 2,794 | 8.33 | 174,279 | 2,656 | 6.13 | ||||||||||||||||||
Total interest-bearing liabilities | 119,184,315 | 303,997 | 1.02 | % | 106,711,909 | 752,750 | 2.84 | % | ||||||||||||||||
Capital and other non-interest- bearing funds | 9,430,924 | — | 6,861,226 | — | ||||||||||||||||||||
Total Funding | $ | 128,615,239 | $ | 303,997 | $ | 113,573,135 | $ | 752,750 | ||||||||||||||||
Net Interest Income/Spread | $ | 200,259 | 0.55 | % | $ | 157,805 | 0.38 | % | ||||||||||||||||
Net Interest Margin | ||||||||||||||||||||||||
(Net interest income/Earning Assets) | 0.62 | % | 0.56 | % | ||||||||||||||||||||
1 | Reported yields with respect to advances and debt may not necessarily equal the coupons on the instruments as derivatives are extensively used to change the yield and optionality characteristics of the underlying hedged items. When fixed-rate debt is issued by the Bank and hedged with an interest rate derivative, it effectively converts the debt into a simple floating-rate bond. Similarly, the Bank makes fixed-rate advances to members and hedges the advance with a pay-fixed, receive-variable interest rate derivative that effectively converts the fixed-rate asset to one that floats with prevailing LIBOR rates. Average balance sheet information is presented as it is more representative of activity throughout the periods presented. For most components of the average balances, a daily weighted average balance is calculated for the period. When daily weighted average balance information is not available, a simple monthly average balance is calculated. Average yields are derived by dividing income by the average balances of the related assets and average costs are derived by dividing expenses by the average balances of the related liabilities. Yields and rates are annualized. |
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June 30, 2009 | June 30, 2008 | |||||||||||||||||||||||
Interest | Interest | |||||||||||||||||||||||
Average | Income/ | Average | Income/ | |||||||||||||||||||||
(dollars in thousands) | Balance | Expense | Rate1 | Balance | Expense | Rate1 | ||||||||||||||||||
Earning Assets: | ||||||||||||||||||||||||
Advances | $ | 102,541,171 | $ | 853,517 | 1.68 | % | $ | 85,408,537 | $ | 1,532,927 | 3.61 | % | ||||||||||||
Certificates of deposit and others | 2,807,138 | 18,582 | 1.33 | 9,128,586 | 175,087 | 3.86 | ||||||||||||||||||
Federal funds sold and other overnight funds | 12,122,991 | 69 | — | 3,254,945 | 48,605 | 3.00 | ||||||||||||||||||
Investments | 12,538,407 | 260,974 | 4.20 | 11,505,253 | 290,823 | 5.08 | ||||||||||||||||||
Mortgage and other loans | 1,427,349 | 37,273 | 5.27 | 1,472,653 | 39,032 | 5.33 | ||||||||||||||||||
Total interest-earning assets | $ | 131,437,056 | $ | 1,170,415 | 1.80 | % | $ | 110,769,974 | $ | 2,086,474 | 3.79 | % | ||||||||||||
Funded By: | ||||||||||||||||||||||||
Consolidated obligations-bonds | $ | 72,294,172 | $ | 591,987 | 1.65 | $ | 74,568,232 | $ | 1,323,834 | 3.57 | ||||||||||||||
Consolidated obligations-discount notes | 47,457,921 | 141,581 | 0.60 | 27,074,807 | 417,845 | 3.10 | ||||||||||||||||||
Interest-bearing deposits and other borrowings | 2,018,757 | 1,534 | 0.15 | 2,233,089 | 26,604 | 2.40 | ||||||||||||||||||
Mandatorily redeemable capital stock | 138,702 | 3,672 | 5.34 | 184,432 | 6,934 | 7.56 | ||||||||||||||||||
Total interest-bearing liabilities | 121,909,552 | 738,774 | 1.22 | % | 104,060,560 | 1,775,217 | 3.43 | % | ||||||||||||||||
Capital and other non-interest- bearing funds | 9,527,504 | — | 6,709,414 | — | ||||||||||||||||||||
Total Funding | $ | 131,437,056 | $ | 738,774 | $ | 110,769,974 | $ | 1,775,217 | ||||||||||||||||
Net Interest Income/Spread | $ | 431,641 | 0.58 | % | $ | 311,257 | 0.36 | % | ||||||||||||||||
Net Interest Margin | ||||||||||||||||||||||||
(Net interest income/Earning Assets) | 0.66 | % | 0.57 | % | ||||||||||||||||||||
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Three months ended | ||||||||||||
June 30, 2009 vs. June 30, 2008 | ||||||||||||
Increase (decrease) | ||||||||||||
Volume | Rate | Total | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 86,937 | $ | (396,784 | ) | $ | (309,847 | ) | ||||
Certificates of deposit and others | (45,647 | ) | (9,032 | ) | (54,679 | ) | ||||||
Federal funds sold and other overnight funds | 53,175 | (72,361 | ) | (19,186 | ) | |||||||
Investments | 3,264 | (24,621 | ) | (21,357 | ) | |||||||
Mortgage loans and other loans | (800 | ) | (430 | ) | (1,230 | ) | ||||||
Total interest income | 96,929 | (503,228 | ) | (406,299 | ) | |||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | (82,744 | ) | (261,549 | ) | (344,293 | ) | ||||||
Consolidated obligations-discount notes | 137,945 | (232,304 | ) | (94,359 | ) | |||||||
Deposits and borrowings | (354 | ) | (9,885 | ) | (10,239 | ) | ||||||
Mandatorily redeemable capital stock | (608 | ) | 746 | 138 | ||||||||
Total interest expense | 54,239 | (502,992 | ) | (448,753 | ) | |||||||
Changes in Net Interest Income | $ | 42,690 | $ | (236 | ) | $ | 42,454 | |||||
Six months ended | ||||||||||||
June 30, 2009 vs. June 30, 2008 | ||||||||||||
Increase (decrease) | ||||||||||||
Volume | Rate | Total | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 306,648 | $ | (986,058 | ) | $ | (679,410 | ) | ||||
Certificates of deposit and others | (120,910 | ) | (35,595 | ) | (156,505 | ) | ||||||
Federal funds sold and other overnight funds | 132,056 | (180,592 | ) | (48,536 | ) | |||||||
Investments | 26,042 | (55,891 | ) | (29,849 | ) | |||||||
Mortgage loans and other loans | (1,197 | ) | (562 | ) | (1,759 | ) | ||||||
Total interest income | 342,639 | (1,258,698 | ) | (916,059 | ) | |||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | (40,260 | ) | (691,587 | ) | (731,847 | ) | ||||||
Consolidated obligations-discount notes | 313,701 | (589,965 | ) | (276,264 | ) | |||||||
Deposits and borrowings | (2,546 | ) | (22,524 | ) | (25,070 | ) | ||||||
Mandatorily redeemable capital stock | (1,715 | ) | (1,547 | ) | (3,262 | ) | ||||||
Total interest expense | 269,180 | (1,305,623 | ) | (1,036,443 | ) | |||||||
Changes in Net Interest Income | $ | 73,459 | $ | 46,925 | $ | 120,384 | ||||||
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Three months ended | Six months ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Other income (loss): | ||||||||||||||||
Service fees | $ | 1,096 | $ | 797 | $ | 2,080 | $ | 1,487 | ||||||||
Instruments held at fair value — Unrealized gain (loss) | (86 | ) | — | 8,226 | — | |||||||||||
Total OTTI losses | (72,789 | ) | — | (87,991 | ) | — | ||||||||||
Portion of loss recognized in other comprehensive income | 67,460 | — | 77,398 | — | ||||||||||||
Net impairment losses recognized in earnings | (5,329 | ) | — | (10,593 | ) | — | ||||||||||
Net realized and unrealized gain (loss) on derivatives and hedging activities | 78,640 | (40,547 | ) | 64,974 | (39,681 | ) | ||||||||||
Net realized gain from sale of available-for-sale securities and held-to-maturity securities | 281 | — | 721 | — | ||||||||||||
Other | 52 | 1,107 | 98 | 925 | ||||||||||||
Total other income (loss) | $ | 74,654 | $ | (38,643 | ) | $ | 65,506 | $ | (37,269 | ) | ||||||
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June 30, 2009 | ||||||||||||||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer AMBAC | Uninsured | OTTI | Gross OTTI Losses | ||||||||||||||||||||||||||||||||||||||||
Fair | Fair | Fair | Credit | Non-credit | Less than | More than | ||||||||||||||||||||||||||||||||||||||
Ratings | Count | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||||||||||||||
AAA | 1 | $ | — | $ | — | $ | — | $ | — | $ | 61,277 | $ | 56,538 | $ | (438 | ) | $ | (2,766 | ) | $ | (3,204 | ) | $ | — | ||||||||||||||||||||
A | 2 | — | — | 55,780 | 32,388 | — | — | (2,038 | ) | (21,345 | ) | — | (23,383 | ) | ||||||||||||||||||||||||||||||
BBB | 2 | — | — | 54,303 | 32,475 | — | — | (679 | ) | (21,141 | ) | — | (21,820 | ) | ||||||||||||||||||||||||||||||
BB | 6 | 13,559 | 7,918 | 69,672 | 45,180 | — | — | (4,099 | ) | (25,761 | ) | — | (29,860 | ) | ||||||||||||||||||||||||||||||
B | 1 | 23,022 | 13,636 | — | — | — | — | (3,339 | ) | (6,385 | ) | — | (9,724 | ) | ||||||||||||||||||||||||||||||
Total | 12 | $ | 36,581 | $ | 21,554 | $ | 179,755 | $ | 110,043 | $ | 61,277 | $ | 56,538 | $ | (10,593 | ) | $ | (77,398 | ) | $ | (3,204 | ) | $ | (84,787 | ) | |||||||||||||||||||
Note: | Gross Losses include realized credit losses of $10.6 million year-to-date June 30, 2009. Non-credit losses are unrealized and recognized in Accumulated other comprehensive income (loss). |
March 31, 2009 | ||||||||||||||||||||||||||||
Insurer MBIA | OTTI | Gross OTTI Losses | ||||||||||||||||||||||||||
Fair | Credit | Non-credit | Less than | More than | ||||||||||||||||||||||||
Ratings | Count | UPB | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||
BB | 1 | $ | 13,752 | $ | 8,273 | $ | (1,926 | ) | $ | (3,553 | ) | $ | — | $ | (5,479 | ) | ||||||||||||
B | 1 | 23,259 | 13,535 | (3,339 | ) | (6,385 | ) | — | (9,724 | ) | ||||||||||||||||||
Total | 2 | $ | 37,011 | $ | 21,808 | $ | (5,265 | ) | $ | (9,938 | ) | $ | — | $ | (15,203 | ) | ||||||||||||
Note: | Gross Losses include realized credit losses of $5.3 million year-to-date March 31, 2009. Non-credit losses are unrealized and recognized in Accumulated other comprehensive income (loss). |
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June 30, | June 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Earnings impact of derivatives and hedging activities gain (loss): | ||||||||||||||||
SFAS 133 Hedging | ||||||||||||||||
Cash flow hedges-ineffectiveness | $ | — | $ | — | $ | — | $ | (9 | ) | |||||||
Fair value hedges-ineffectiveness | 10,460 | (7,072 | ) | 12,731 | (5,622 | ) | ||||||||||
Economic Hedging | ||||||||||||||||
Economic hedges-fair value changes-options | 29,445 | 2,597 | 30,666 | 2,052 | ||||||||||||
Net interest income-options | (1,253 | ) | (8 | ) | (1,945 | ) | 118 | |||||||||
Economic hedges-fair value changes-MPF delivery commitments | (156 | ) | (128 | ) | (96 | ) | (124 | ) | ||||||||
Fair value changes-economic hedges1 | 49,486 | (19,797 | ) | 84,551 | (19,929 | ) | ||||||||||
Net interest expense-economic hedges1 | (9,893 | ) | (16,139 | ) | (56,090 | ) | (16,167 | ) | ||||||||
Macro hedge-swaps | 174 | — | 2,407 | — | ||||||||||||
Fair value matched to hedge liabilities designated under SFAS 159 | ||||||||||||||||
Fair value changes-interest rate swaps | 377 | — | (7,250 | ) | — | |||||||||||
Net impact on derivatives and hedging activities | $ | 78,640 | $ | (40,547 | ) | $ | 64,974 | $ | (39,681 | ) | ||||||
1 | Includes de minimis amount of net gains on member intermediated swaps. |
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• | Interest rate swaps— In the current year two quarters, the primary economic hedges were : (1) Interest rate “Basis swaps” that synthetically converted floating-rate funding based on Prime rate, Federal funds rate, and the 1-month LIBOR rate to 3-month LIBOR rate. (2) Interest rate swaps hedging balance sheet risk. (3) Interest rate swaps hedging discount notes. (4) Interest-rate swaps hedging short-term fixed-rate consolidated obligation bonds. Changes in the fair values of interest rate swaps in economic hedges, often referred to as “one-sided marks” resulted in a net favorable fair value gains of $49.7 million in the current year second quarter and $87.0 million year-to-date. As described in the previous paragraph, most of the net fair value gains are reversal of previously recorded fair value losses. Fair value gains were partly offset by interest expense associated with the interest rate swaps in economic hedges that resulted in net expense of $9.9 million in the current year second quarter and $56.1 million year-to-date. |
• | Changes in fair values of swaps in an economic hedge of consolidated obligation bonds accounted under the FVO, resulted in a net fair value gain of $0.4 million in the current year second quarter and a net loss of $7.3 million year-to-date 2009. |
• | Interest rate caps— were also designated as economic hedges, and fair value changes of purchased caps resulted in net fair value gains of $29.4 million in current year second quarter and $30.7 million year-to-date. The Bank has $1.9 billion (notional amount) in purchased interest rate caps and mitigates certain balance sheet risk metrics. The fair values of the caps were recorded as derivative assets in the Statements of Condition with an offset in the Statements of Income as Net realized and unrealized gain (loss) from derivatives and hedging activities. In a rising interest rate environment at June 30, 2009, relative to December 31, 2008, the fair values of interest rate caps exhibited favorable fair value gains, which will reverse over the contractual life of the caps if held to maturity. |
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Three months ended | Six months ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
Accumulated other comprehensive income/(loss) from cash flow hedges | 2009 | 2008 | 2009 | 2008 | ||||||||||||
Beginning of period | $ | (28,312 | ) | $ | (35,436 | ) | $ | (30,191 | ) | $ | (30,215 | ) | ||||
Net hedging transactions | — | 194 | — | (6,161 | ) | |||||||||||
Reclassified into earnings | 1,910 | 1,544 | 3,789 | 2,678 | ||||||||||||
End of period | $ | (26,402 | ) | $ | (33,698 | ) | $ | (26,402 | ) | $ | (33,698 | ) | ||||
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Three months ended June 30, | Six months ended June 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Other expenses: | ||||||||||||||||
Operating | $ | 18,066 | $ | 16,488 | $ | 36,160 | $ | 32,941 | ||||||||
Finance Agency and Office of Finance | 1,862 | 1,465 | 3,829 | 2,917 | ||||||||||||
Total other expenses | $ | 19,928 | $ | 17,953 | $ | 39,989 | $ | 35,858 | ||||||||
Three months ended June 30, | ||||||||||||||||
Percentage of | Percentage of | |||||||||||||||
2009 | total | 2008 | total | |||||||||||||
Salaries and employee benefits | $ | 11,873 | 65.72 | % | $ | 11,029 | 66.89 | % | ||||||||
Temporary workers | 22 | 0.12 | 91 | 0.55 | ||||||||||||
Occupancy | 1,089 | 6.03 | 1,024 | 6.21 | ||||||||||||
Depreciation and leasehold amortization | 1,327 | 7.35 | 1,198 | 7.26 | ||||||||||||
Computer service agreements and contractual services | 1,813 | 10.04 | 974 | 5.91 | ||||||||||||
Professional and legal fees | 339 | 1.87 | 626 | 3.80 | ||||||||||||
Other | 1,603 | 8.87 | 1,546 | 9.38 | ||||||||||||
Total operating expenses | $ | 18,066 | 100.00 | % | $ | 16,488 | 100.00 | % | ||||||||
Six months ended June 30, | ||||||||||||||||
Percentage of | Percentage of | |||||||||||||||
2009 | total | 2008 | total | |||||||||||||
Salaries and employee benefits | $ | 23,961 | 66.26 | % | $ | 22,381 | 67.94 | % | ||||||||
Temporary workers | 125 | 0.35 | 105 | 0.32 | ||||||||||||
Occupancy | 2,145 | 5.93 | 2,005 | 6.09 | ||||||||||||
Depreciation and leasehold amortization | 2,651 | 7.33 | 2,358 | 7.16 | ||||||||||||
Computer service agreements and contractual services | 3,274 | 9.06 | 2,216 | 6.73 | ||||||||||||
Professional and legal fees | 788 | 2.18 | 962 | 2.92 | ||||||||||||
Other | 3,216 | 8.89 | 2,914 | 8.84 | ||||||||||||
Total operating expenses | $ | 36,160 | 100.00 | % | $ | 32,941 | 100.00 | % | ||||||||
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Net change in | Net change in | |||||||||||||||
(Dollars in thousands) | June 30, 2009 | December 31, 2008 | dollar amount | percentage | ||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | 39,588 | $ | 18,899 | $ | 20,689 | 109.47 | % | ||||||||
Interest-bearing deposits | 13,865,009 | 12,169,096 | 1,695,913 | 13.94 | ||||||||||||
Available-for-sale securities | 2,507,258 | 2,861,869 | (354,611 | ) | (12.39 | ) | ||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | 10,471,387 | 10,130,543 | 340,844 | 3.36 | ||||||||||||
Certificates of deposit | — | 1,203,000 | (1,203,000 | ) | (100.00 | ) | ||||||||||
Advances | 100,457,832 | 109,152,876 | (8,695,044 | ) | (7.97 | ) | ||||||||||
Mortgage loans held-for-portfolio | 1,381,061 | 1,457,885 | (76,824 | ) | (5.27 | ) | ||||||||||
Accrued interest receivable | 367,457 | 492,856 | (125,399 | ) | (25.44 | ) | ||||||||||
Premises, software, and equipment | 14,574 | 13,793 | 781 | 5.66 | ||||||||||||
Derivative assets | 8,772 | 20,236 | (11,464 | ) | (56.65 | ) | ||||||||||
Other assets | 15,935 | 18,838 | (2,903 | ) | (15.41 | ) | ||||||||||
Total assets | $ | 129,128,873 | $ | 137,539,891 | $ | (8,411,018 | ) | (6.12 | )% | |||||||
Liabilities | ||||||||||||||||
Deposits | ||||||||||||||||
Interest-bearing demand | $ | 2,232,207 | $ | 1,333,750 | $ | 898,457 | 67.36 | % | ||||||||
Non-interest bearing demand | 9,272 | 828 | 8,444 | NM | ||||||||||||
Term | 36,350 | 117,400 | (81,050 | ) | (69.04 | ) | ||||||||||
Total deposits | 2,277,829 | 1,451,978 | 825,851 | 56.88 | ||||||||||||
Consolidated obligations | ||||||||||||||||
Bonds | 72,184,176 | 82,256,705 | (10,072,529 | ) | (12.25 | ) | ||||||||||
Discount notes | 47,275,915 | 46,329,906 | 946,009 | 2.04 | ||||||||||||
Total consolidated obligations | 119,460,091 | 128,586,611 | (9,126,520 | ) | (7.10 | ) | ||||||||||
Mandatorily redeemable capital stock | 128,254 | 143,121 | (14,867 | ) | (10.39 | ) | ||||||||||
Accrued interest payable | 280,889 | 426,144 | (145,255 | ) | (34.09 | ) | ||||||||||
Affordable Housing Program | 140,037 | 122,449 | 17,588 | 14.36 | ||||||||||||
Payable to REFCORP | 45,640 | 4,780 | 40,860 | NM | ||||||||||||
Derivative liabilities | 825,512 | 861,660 | (36,148 | ) | (4.20 | ) | ||||||||||
Other liabilities | 120,579 | 75,753 | 44,826 | 59.17 | ||||||||||||
Total liabilities | 123,278,831 | 131,672,496 | (8,393,665 | ) | (6.37 | ) | ||||||||||
Capital | 5,850,042 | 5,867,395 | (17,353 | ) | (0.30 | ) | ||||||||||
Total liabilities and capital | $ | 129,128,873 | $ | 137,539,891 | $ | (8,411,018 | ) | (6.12 | )% | |||||||
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June 30, 2009 | December 31, 2008 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amounts | of total | Amounts | of total | |||||||||||||
Adjustable Rate Credit — ARCs | $ | 17,335,850 | 17.93 | % | $ | 20,205,850 | 19.55 | % | ||||||||
Fixed Rate Advances | 71,911,256 | 74.37 | 71,860,685 | 69.51 | ||||||||||||
Short-Term Advances | 5,220,950 | 5.40 | 7,793,500 | 7.54 | ||||||||||||
Mortgage Matched Advances | 614,030 | 0.64 | 693,559 | 0.67 | ||||||||||||
Overnight Line of Credit (OLOC) Advances | 760,159 | 0.78 | 2,039,423 | 1.97 | ||||||||||||
All other categories | 854,512 | 0.88 | 786,710 | 0.76 | ||||||||||||
Total par value | 96,696,757 | 100.00 | % | 103,379,727 | 100.00 | % | ||||||||||
Discount on AHP Advances | (292 | ) | (330 | ) | ||||||||||||
SFAS 133 hedging adjustments | 3,761,367 | 5,773,479 | ||||||||||||||
Total | $ | 100,457,832 | $ | 109,152,876 | ||||||||||||
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• | makes extensive use of the derivatives to restructure interest rates on fixed-rate advances, both putable or convertible and non-putable (“bullet”), to better match the FHLBNY’s cash flows, to enhance yields, and to manage risk from a changing interest rate environment. |
• | converts at the time of issuance, certain simple fixed-rate bullet and putable fixed-rate advances into synthetic floating-rate advances by the simultaneous execution of interest rate swaps that convert the cash flows of the fixed-rate advances to conventional adjustable rate instruments tied to an index, typically 3-month LIBOR. |
• | uses derivatives to manage the risks arising from changing market prices and volatility of a fixed coupon advance by matching the cash flows of the advance to the cash flows of the derivative, and making the FHLBNY indifferent to changes in market conditions. Putable advances are typically hedged by an offsetting derivative with a mirror-image call option with identical terms. |
• | adjusts the reported carrying value of hedged fixed-rate advances for changes in their fair value (“fair value basis” or “fair value”) that are attributable to the risk being hedged in accordance with hedge accounting rules. Amounts reported for advances in the Statements of Condition include fair value hedge basis adjustments. |
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June 30, 2009 | ||||||||||||||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer AMBAC | Uninsured | OTTI | Gross OTTI Losses | ||||||||||||||||||||||||||||||||||||||||
Fair | Fair | Fair | Credit | Non-credit | Less than | More than | ||||||||||||||||||||||||||||||||||||||
Ratings | Count | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||||||||||||||
AAA | 1 | $ | — | $ | — | $ | — | $ | — | $ | 61,277 | $ | 56,538 | $ | (438 | ) | $ | (2,766 | ) | $ | (3,204 | ) | $ | — | ||||||||||||||||||||
A | 2 | — | — | 55,780 | 32,388 | — | — | (2,038 | ) | (21,345 | ) | — | (23,383 | ) | ||||||||||||||||||||||||||||||
BBB | 2 | — | — | 54,303 | 32,475 | — | — | (679 | ) | (21,141 | ) | — | (21,820 | ) | ||||||||||||||||||||||||||||||
BB | 6 | 13,559 | 7,918 | 69,672 | 45,180 | — | — | (4,099 | ) | (25,761 | ) | — | (29,860 | ) | ||||||||||||||||||||||||||||||
B | 1 | 23,022 | 13,636 | — | — | — | — | (3,339 | ) | (6,385 | ) | — | (9,724 | ) | ||||||||||||||||||||||||||||||
Total | 12 | $ | 36,581 | $ | 21,554 | $ | 179,755 | $ | 110,043 | $ | 61,277 | $ | 56,538 | $ | (10,593 | ) | $ | (77,398 | ) | $ | (3,204 | ) | $ | (84,787 | ) | |||||||||||||||||||
Note: | Gross Losses include realized credit losses of $10.6 million year-to-date June 30, 2009. Non-credit losses are unrealized and recognized in Accumulated other comprehensive income (loss). |
March 31, 2009 | ||||||||||||||||||||||||||||
Insurer MBIA | OTTI | Gross OTTI Losses | ||||||||||||||||||||||||||
Fair | Credit | Non-credit | Less than | More than | ||||||||||||||||||||||||
Ratings | Count | UPB | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||
BB | 1 | $ | 13,752 | $ | 8,273 | $ | (1,926 | ) | $ | (3,553 | ) | $ | — | $ | (5,479 | ) | ||||||||||||
B | 1 | 23,259 | 13,535 | (3,339 | ) | (6,385 | ) | — | (9,724 | ) | ||||||||||||||||||
Total | 2 | $ | 37,011 | $ | 21,808 | $ | (5,265 | ) | $ | (9,938 | ) | $ | — | $ | (15,203 | ) | ||||||||||||
Note: | Gross Losses include realized credit losses of $5.3 million year-to-date March 31, 2009. Non-credit losses are unrealized and recognized in Accumulated other comprehensive income (loss). |
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June 30, | December 31, | Dollar | Percentage | |||||||||||||
2009 | 2008 | Variance | Variance | |||||||||||||
State and local housing agency obligations1 | $ | 768,206 | $ | 804,100 | $ | (35,894 | ) | (4.46 | )% | |||||||
Mortgage-backed securities | ||||||||||||||||
Available-for-sale securities, at fair value | 2,496,240 | 2,851,682 | (355,442 | ) | (12.46 | ) | ||||||||||
Held-to-maturity securities, at carrying value | 9,703,181 | 9,326,443 | 376,738 | 4.04 | ||||||||||||
12,967,627 | 12,982,225 | (14,598 | ) | (0.11 | ) | |||||||||||
Grantor trusts2 | 11,018 | 10,187 | 831 | 8.16 | ||||||||||||
Certificates of deposit1 | — | 1,203,000 | (1,203,000 | ) | (100.00 | ) | ||||||||||
Total investments | $ | 12,978,645 | $ | 14,195,412 | $ | (1,216,767 | ) | (8.57 | )% | |||||||
1 | Classified as held-to-maturity securities, at carrying value. | |
2 | Classified as available-for-sale securities, at fair value represent investments in registered mutual funds and other fixed-income securities maintained under the grantor trusts. | |
Note: | Excludes $13.9 billion in interest-earning balance at Federal Reserve Bank of New York at June 30, 2009 ($12.2 billion at December 31, 2008). |
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June 30, | Percentage | December 31, | Percentage | |||||||||||||
2009 | of total | 2008 | of total | |||||||||||||
U.S. government sponsored enterprise residential mortgage-backed securities | $ | 8,169,490 | 84.19 | % | $ | 7,577,036 | 81.24 | % | ||||||||
U.S. agency residential mortgage-backed securities | 199,756 | 2.06 | 6,325 | 0.07 | ||||||||||||
U.S. agency commercial mortgage-backed securities | 49,882 | 0.51 | — | — | ||||||||||||
Private-label issued securities backed by home equity loans | 505,664 | 5.21 | 636,466 | 6.83 | ||||||||||||
Private-label issued residential mortgage-backed securities | 521,738 | 5.38 | 609,908 | 6.54 | ||||||||||||
Private-label issued commercial mortgage-backed securities | 40,642 | 0.42 | 266,994 | 2.86 | ||||||||||||
Private-label issued securities backed by manufactured housing loans | 216,009 | 2.23 | 229,714 | 2.46 | ||||||||||||
Total Held-to-maturity securities-mortgage-backed securities | $ | 9,703,181 | 100.00 | % | $ | 9,326,443 | 100.00 | % | ||||||||
June 30, | Percentage | December 31, | Percentage | |||||||||||||
2009 | of total | 2008 | of total | |||||||||||||
Fannie Mae | $ | 1,726,276 | 69.16 | % | $ | 1,854,988 | 65.05 | % | ||||||||
Freddie Mac | 769,964 | 30.84 | 996,694 | 34.95 | ||||||||||||
Total AFS mortgage-backed securities | 2,496,240 | 100.00 | % | 2,851,682 | 100.00 | % | ||||||||||
Grantor Trusts — Mutual funds | 11,018 | 10,187 | ||||||||||||||
Total Available-for-sale portfolio | $ | 2,507,258 | $ | 2,861,869 | ||||||||||||
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June 30, 2009 | ||||||||||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||||||||||
Cost | OTTI | Carrying | Unrealized | Unrealized | Fair | |||||||||||||||||||
Basis | in OCI | Value | Holding Gains | Holding Losses | Value | |||||||||||||||||||
State and local housing agency bonds | $ | 768,206 | $ | — | $ | 768,206 | $ | 3,547 | $ | (25,108 | ) | $ | 746,645 | |||||||||||
Mortgage-backed securities | 9,780,340 | (77,159 | ) | 9,703,181 | 256,380 | (237,104 | ) | 9,722,457 | ||||||||||||||||
Total | $ | 10,548,546 | $ | (77,159 | ) | $ | 10,471,387 | $ | 259,927 | $ | (262,212 | ) | $ | 10,469,102 | ||||||||||
December 31, 2008 | ||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||
Cost | Unrealized | Unrealized | Fair | |||||||||||||
Basis | Holding Gains | Holding Losses | Value | |||||||||||||
State and local housing agency bonds | $ | 804,100 | $ | 6,573 | $ | (47,512 | ) | $ | 763,161 | |||||||
Mortgage-backed securities | 9,326,443 | 187,531 | (342,662 | ) | 9,171,312 | |||||||||||
Certificates of deposit | 1,203,000 | 328 | — | 1,203,328 | ||||||||||||
Total | $ | 11,333,543 | $ | 194,432 | $ | (390,174 | ) | $ | 11,137,801 | |||||||
June 30, 2009 | ||||||||||||||||||||||||
Below | ||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Grade | Total | |||||||||||||||||||
Long-term securities | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 9,130,393 | $ | 288,669 | $ | 104,777 | $ | 62,288 | $ | 117,054 | $ | 9,703,181 | ||||||||||||
State and local housing bonds | 74,048 | 614,793 | 23,145 | 56,220 | — | 768,206 | ||||||||||||||||||
Total Long-term securities | 9,204,441 | 903,462 | 127,922 | 118,508 | 117,054 | 10,471,387 | ||||||||||||||||||
Total | $ | 9,204,441 | $ | 903,462 | $ | 127,922 | $ | 118,508 | $ | 117,054 | $ | 10,471,387 | ||||||||||||
December 31, 2008 | ||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Total | ||||||||||||||||
Long-term securities | ||||||||||||||||||||
Mortgage-backed securities | $ | 8,705,952 | $ | 229,714 | $ | 192,678 | $ | 198,099 | $ | 9,326,443 | ||||||||||
State and local housing bonds | 74,881 | 672,999 | — | 56,220 | 804,100 | |||||||||||||||
Total Long-term securities | 8,780,833 | 902,713 | 192,678 | 254,319 | 10,130,543 | |||||||||||||||
Short-term securities | ||||||||||||||||||||
Certificates of deposit | — | 628,000 | 575,000 | — | 1,203,000 | |||||||||||||||
Total | $ | 8,780,833 | $ | 1,530,713 | $ | 767,678 | $ | 254,319 | $ | 11,333,543 | ||||||||||
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June 30, 2009 | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Unrated | Total | |||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 2,496,240 | $ | — | $ | — | $ | — | $ | — | $ | 2,496,240 | ||||||||||||
Other — Grantor trusts | — | — | — | — | 11,018 | 11,018 | ||||||||||||||||||
Total | $ | 2,496,240 | $ | — | $ | — | $ | — | $ | 11,018 | $ | 2,507,258 | ||||||||||||
December 31, 2008 | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Unrated | Total | |||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 2,851,682 | $ | — | $ | — | $ | — | $ | — | $ | 2,851,682 | ||||||||||||
Other — Grantor trusts | — | — | — | — | 10,187 | 10,187 | ||||||||||||||||||
Total | $ | 2,851,682 | $ | — | $ | — | $ | — | $ | 10,187 | $ | 2,861,869 | ||||||||||||
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June 30, 2009 | December 31, 2008 | |||||||||||||||
Amortized | Fair | Amortized | Fair | |||||||||||||
Cost Basis | Value | Cost Basis | Value | |||||||||||||
State and local housing agency obligations | ||||||||||||||||
Due in one year or less | $ | — | $ | — | $ | — | $ | — | ||||||||
Due after one year through five years | 14,985 | 15,105 | 17,665 | 18,209 | ||||||||||||
Due after five years through ten years | 60,400 | 61,150 | 60,400 | 55,060 | ||||||||||||
Due after ten years | 692,821 | 670,390 | 726,035 | 689,892 | ||||||||||||
State and local housing agency obligations | 768,206 | 746,645 | 804,100 | 763,161 | ||||||||||||
Mortgage-backed securities | ||||||||||||||||
Due in one year or less | 40,642 | 40,568 | 257,999 | 258,120 | ||||||||||||
Due after one year through five years | 3,125 | 2,860 | — | — | ||||||||||||
Due after five years through ten years | 1,231,832 | 1,255,407 | 1,142,000 | 1,149,541 | ||||||||||||
Due after ten years | 8,504,741 | 8,423,622 | 7,926,444 | 7,763,651 | ||||||||||||
Mortgage-backed securities | 9,780,340 | 9,722,457 | 9,326,443 | 9,171,312 | ||||||||||||
Certificates of deposit | ||||||||||||||||
Due in one year or less | — | — | 1,203,000 | 1,203,328 | ||||||||||||
Certificates of deposit | — | — | 1,203,000 | 1,203,328 | ||||||||||||
Total held-to-maturity securities | $ | 10,548,546 | $ | 10,469,102 | $ | 11,333,543 | $ | 11,137,801 | ||||||||
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June 30, 2009 | December 31, 2008 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Real Estate: | ||||||||||||||||
Fixed medium-term single-family mortgages | $ | 430,982 | 31.21 | % | $ | 467,845 | 32.15 | % | ||||||||
Fixed long-term single-family mortgages | 945,617 | 68.50 | 983,493 | 67.58 | ||||||||||||
Multi-family mortgages | 3,959 | 0.29 | 4,009 | 0.27 | ||||||||||||
Total par value | 1,380,558 | 100.00 | % | 1,455,347 | 100.00 | % | ||||||||||
Unamortized premiums | 9,738 | 10,662 | ||||||||||||||
Unamortized discounts | (5,892 | ) | (6,310 | ) | ||||||||||||
Basis adjustment1 | (584 | ) | (408 | ) | ||||||||||||
Total mortgage loans held-for-portfolio | 1,383,820 | 1,459,291 | ||||||||||||||
Allowance for credit losses | (2,759 | ) | (1,406 | ) | ||||||||||||
Total mortgage loans held-for-portfolio after allowance for credit losses | $ | 1,381,061 | $ | 1,457,885 | ||||||||||||
1 | Represents fair value basis of open and closed delivery commitments. |
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• | In response to market demand for shorter-term debt, the Bank increased its issuance of discount notes, which have maturities from overnight to 365 days. The upward trends in issuance volume of discount notes are illustrative of the tactical adjustments adopted by the FHLBNY. Average outstanding balances of discount notes, a measure of volume, was $24.7 billion in the third quarter of 2008. It increased to $34.5 billion in the fourth quarter of 2008. In the first and second quarters of 2009, volume rose dramatically to $46.2 billion and $48.7 billion. The utilization rate of discount notes to fund total assets is another useful measurement indicator. At March 31, 2009, discount notes outstanding were $48.7 billion, and funded 38.0% of the total assets at that date; at June 30, 2009, outstanding balance was $47.3 billion and funded 36.6% of total assets, compared to $46.3 billion at December 31, 2008, which funded 33.7% of total assets. |
• | In the current year second quarter, the FHLBNY has also relied more on overnight and very short-term discount notes to take advantage of lower funding costs of overnight issuance of discount notes. |
• | Floating-rate bonds outstanding at June 30, 2009 declined from the balances at December 31, 2008. Maturing bonds were not replaced because of unfavorable spreads demanded by investors and compared to other GSE issued LIBOR indexed floaters. In 2008, the FHLBNY had issued short-term floating-rate bonds, indexed to rates other than 3-month LIBOR and had swapped the coupons back to 3-month LIBOR. A significant percentage will mature in 2009. |
• | Reacting to investor preference for shorter and medium-term debt, the FHLBNY increased the issuance of medium-term non-callable bonds. Investors have been receptive to FHLBanks’ non-callable bonds compared to alternative debt available in the capital markets and execution pricing has been relatively more favorable for the FHLBank bonds. |
• | FHLBank callable-bonds, which have been traditionally considered by investors to be competitively priced, were under price pressure in 2008 and in the current year, and the Bank’s use of funding with callable debt has declined because of the erosion of their price advantage. Investor preferences are for short maturity bullet bonds and floaters primarily due to demand from the domestic money funds. Maturing callable bonds were replaced with non-callable shorter-term bonds and floating-rate bonds. |
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June 30, 2009 | December 31, 2008 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Fixed-rate, non-callable | $ | 41,521,075 | 58.17 | % | $ | 36,367,875 | 44.92 | % | ||||||||
Fixed-rate, callable | 3,328,800 | 4.67 | 4,828,300 | 5.96 | ||||||||||||
Step Up, non-callable | 73,000 | 0.10 | — | — | ||||||||||||
Step Up, callable | 835,000 | 1.17 | 73,000 | 0.09 | ||||||||||||
Step Down, callable | — | — | 15,000 | 0.02 | ||||||||||||
Single-index floating rate | 25,617,500 | 35.89 | 39,670,000 | 49.01 | ||||||||||||
Total par value | 71,375,375 | 100.00 | % | 80,954,175 | 100.00 | % | ||||||||||
Bond premiums | 121,689 | 63,737 | ||||||||||||||
Bond discounts | (36,321 | ) | (39,529 | ) | ||||||||||||
SFAS 133 fair value basis adjustments | 718,872 | 1,254,523 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 4,258 | 7,857 | ||||||||||||||
SFAS 159 valuation adjustments and accrued interest | 303 | 15,942 | ||||||||||||||
Total bonds | $ | 72,184,176 | $ | 82,256,705 | ||||||||||||
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• | Makes extensive use of the derivatives to restructure interest rates on consolidated obligation bonds, both callable and non-callable, to better meet its members’ funding needs, to reduce funding costs, and to manage risk in a changing market environment. |
• | Converts at the time of issuance, certain simple fixed-rate bullet and callable bonds into synthetic floating-rate bonds by the simultaneous execution of interest rate swaps that convert the cash flows of the fixed-rate bonds to conventional adjustable rate instruments tied to an index, typically 3-month LIBOR. |
• | Uses derivatives to manage the risk arising from changing market prices and volatility of a fixed coupon bond by matching the cash flows of the bond to the cash flows of the derivative and making the FHLBNY indifferent to changes in market conditions. Except when issued to fund MBS and MPF loans, callable bonds are typically hedged by an offsetting derivative with a mirror-image call option and identical terms. |
• | Adjusts the reported carrying value of hedged consolidated bonds for changes in their fair value (“fair value basis adjustments” or “fair value”) that are attributable to the risk being hedged in accordance with hedge accounting rules. Amounts reported for consolidated obligation bonds in the Statements of Condition include fair value basis adjustments. |
• | Lowers its funding cost by the issuance of a callable bond and the execution of an associated interest rate swap with mirrored call options, which results in funding at a lower cost than the FHLBNY would otherwise have achieved. The issuance of callable bonds and the simultaneous swapping with a derivative instrument depends on the price relationships in both the bond and the derivatives markets. |
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June 30, 2009 | December 31, 2008 | |||||||
Par value | $ | 47,308,571 | $ | 46,431,347 | ||||
Amortized cost | $ | 47,275,915 | $ | 46,329,545 | ||||
Fair value basis adjustments | — | 361 | ||||||
Total | $ | 47,275,915 | $ | 46,329,906 | ||||
Weighted average interest rate | 0.26 | % | 1.00 | % | ||||
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Three months ended June 30, | Six months ended June 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Beginning balance | $ | 139,961 | $ | 181,824 | $ | 143,121 | $ | 238,596 | ||||||||
Capital stock subject to mandatory redemption reclassified from equity | — | 6,415 | — | 64,759 | ||||||||||||
Redemption of mandatorily redeemable capital stock1 | (11,707 | ) | (18,937 | ) | (14,867 | ) | (134,053 | ) | ||||||||
Ending balance | $ | 128,254 | $ | 169,302 | $ | 128,254 | $ | 169,302 | ||||||||
Accrued interest payable | $ | 1,878 | $ | 3,380 | $ | 1,878 | $ | 3,380 | ||||||||
1 | Redemption includes repayment of excess stock. (The annualized rate accrual is at 5.60% for June 30, 2009 and 7.80% for June 30, 2008) |
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'
June 30, 2009 | December 31, 2008 | |||||||||||
Derivatives/Terms | Hedging Strategy | Accounting Designation | Notional Amount | Notional Amount | ||||||||
Pay fixed, receive floating interest rate swap | To convert fixed rate on a fixed rate advance to a LIBOR floating rate | Economic Hedge of fair value risk | $ | 136 | $ | 618 | ||||||
Pay fixed, receive floating interest rate swap cancelable by counterparty | To convert fixed rate on a fixed rate advance to a LIBOR floating rate putable advance | Fair Value Hedge | $ | 41,485 | $ | 41,824 | ||||||
Pay fixed, receive floating interest rate swap no longer cancelable by counterparty | To convert fixed rate on a fixed rate advance to a LIBOR floating rate no-longer putable | Fair Value Hedge | $ | 1,891 | $ | 1,405 | ||||||
Pay fixed, receive floating interest rate swap non-cancelable | To convert fixed rate on a fixed rate advance to a LIBOR floating rate non-putable | Fair Value Hedge | $ | 22,971 | $ | 18,444 | ||||||
Purchased interest rate cap | To offset the cap embedded in the variable rate advance | Economic Hedge of fair value risk | $ | 440 | $ | 465 | ||||||
Receive fixed, pay floating interest rate swap | To convert fixed rate consolidated obligation bond debt to a LIBOR floating rate | Economic Hedge of fair value risk | $ | 9,123 | $ | 4,515 | ||||||
Receive fixed, pay floating interest rate swap cancelable by counterparty | To convert fixed rate consolidated obligation bond debt to a LIBOR floating rate callable bond | Fair Value Hedge | $ | 2,625 | $ | 2,148 | ||||||
Receive fixed, pay floating interest rate swap no longer cancelable | To convert fixed rate consolidated obligation bond debt to a LIBOR floating rate no-longer callable | Fair Value Hedge | $ | 218 | $ | 373 | ||||||
Receive fixed, pay floating interest rate swap non-cancelable | To convert fixed rate consolidated obligation bond debt to a LIBOR floating rate non-callable | Fair Value Hedge | $ | 21,550 | $ | 19,609 | ||||||
Receive fixed, pay floating interest rate swap (non-callable) | To convert the fixed rate consolidated obligation discount note debt to a LIBOR floating rate. | Fair Value Hedge | $ | — | $ | 779 | ||||||
Receive fixed, pay floating interest rate swap (non-callable) | To convert the fixed rate consolidated obligation discount note debt to a LIBOR floating rate. | Economic Hedge of fair value risk | $ | 9,953 | $ | 7,509 | ||||||
Basis swap | To convert non-LIBOR index to LIBOR to reduce interest rate sensitivity and repricing gaps. | Economic Hedge of cash flows | $ | 6,535 | $ | 14,360 | ||||||
Basis swap | To convert 1M LIBOR index to 3M LIBOR to reduce interest rate sensitivity and repricing gaps. | Economic Hedge of cash flows | $ | 10,590 | $ | 10,590 | ||||||
Receive fixed, pay floating interest rate swap no longer cancelable | Fixed rate callable bond converted to a LIBOR floating rate; matched to callable bond accounted for under the fair value option of SFAS 159. | SFAS 159 | $ | — | $ | 400 | ||||||
Receive fixed, pay floating interest rate swap with an option to call at the swap counterparty’s option | Fixed rate callable bond converted to a LIBOR floating rate; matched to callable bond accounted for under the fair value option of SFAS 159. | SFAS 159 | $ | 550 | $ | 583 | ||||||
Pay fixed, receive floating interest rate swap | Economic hedge on the Balance Sheet | Economic Hedge | $ | 1,050 | $ | 1,050 | ||||||
Receive fixed, pay floating interest rate swap | Economic hedge on the Balance Sheet | Economic Hedge | $ | 1,050 | $ | 1,050 | ||||||
Purchased interest rate cap | Economic hedge on the Balance Sheet | Economic Hedge | $ | 1,892 | $ | 1,892 | ||||||
Intermediary positions Interest rate swaps Interest rate caps | To offset interest rate swaps and caps executed with members by executing offsetting derivatives with counterparties. | Economic Hedge of fair value risk | $ | 280 | $ | 300 |
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June 30, 2009 | December 31, 2008 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Notional | Fair Value | Notional | Fair Value | |||||||||||||
Interest rate swaps | ||||||||||||||||
Fair value — SFAS 133 | $ | 90,739,662 | $ | (3,063,351 | ) | $ | 84,582,796 | $ | (4,531,004 | ) | ||||||
Economic | 38,436,500 | 29,062 | 39,691,142 | (76,412 | ) | |||||||||||
Fair value matched to hedge liabilities designated under SFAS 159 | 550,000 | 325 | 983,000 | 7,699 | ||||||||||||
Interest rate caps/floors | ||||||||||||||||
Economic-fair value changes | 2,332,000 | 39,583 | 2,357,000 | 8,174 | ||||||||||||
Mortgage delivery commitments (MPF) | ||||||||||||||||
Economic-fair value changes | 3,954 | (28 | ) | 10,395 | (108 | ) | ||||||||||
Other | ||||||||||||||||
Intermediation | 280,000 | 311 | 300,000 | 484 | ||||||||||||
Total | $ | 132,342,116 | $ | (2,994,098 | ) | $ | 127,924,333 | $ | (4,591,167 | ) | ||||||
Total derivatives, excluding accrued interest | $ | (2,994,098 | ) | $ | (4,591,167 | ) | ||||||||||
Cash collateral pledged to counteparties | 2,214,118 | 3,836,370 | ||||||||||||||
Cash collateral received from counterparties | — | (61,209 | ) | |||||||||||||
Accrued interest | (36,760 | ) | (25,418 | ) | ||||||||||||
Net derivative balance | $ | (816,740 | ) | $ | (841,424 | ) | ||||||||||
Net derivative asset balance | $ | 8,772 | $ | 20,236 | ||||||||||||
Net derivative liability balance | (825,512 | ) | (861,660 | ) | ||||||||||||
Net derivative balance | $ | (816,740 | ) | $ | (841,424 | ) | ||||||||||
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June 30, 2009 | December 31, 2008 | |||||||||||||||
Total estimated | Total estimated | |||||||||||||||
fair value | fair value | |||||||||||||||
(excluding | (excluding | |||||||||||||||
Total notional | accrued | Total notional | accrued | |||||||||||||
amount | interest) | amount | interest) | |||||||||||||
Fair value hedges under SFAS 133 | ||||||||||||||||
Advances-fair value hedges | $ | 66,346,882 | $ | (3,772,913 | ) | $ | 61,673,607 | $ | (5,758,653 | ) | ||||||
Consolidated obligations-fair value hedges | 24,392,780 | 709,562 | 22,909,189 | 1,227,649 | ||||||||||||
Economic hedges | ||||||||||||||||
Advances-economic hedges | 575,828 | 831 | 1,082,700 | (24,520 | ) | |||||||||||
Consolidated obligations-economic hedges | 36,200,672 | 33,730 | 36,973,442 | (45,884 | ) | |||||||||||
MPF loan-commitments | 3,954 | (28 | ) | 10,395 | (108 | ) | ||||||||||
Balance sheet (Caps)-economic hedges | 1,892,000 | 39,581 | 1,892,000 | 8,164 | ||||||||||||
Intermediary positions-economic hedges | 280,000 | 311 | 300,000 | 484 | ||||||||||||
Macro hedges | 2,100,000 | (5,497 | ) | 2,100,000 | (5,998 | ) | ||||||||||
FVO-Designated derivatives (Economic hedges) | ||||||||||||||||
Interest rate swaps-consolidated obligations-bonds | 550,000 | 325 | 983,000 | 7,699 | ||||||||||||
Total notional and fair value | $ | 132,342,116 | $ | (2,994,098 | ) | $ | 127,924,333 | $ | (4,591,167 | ) | ||||||
Total derivatives, excluding accrued interest | $ | (2,994,098 | ) | $ | (4,591,167 | ) | ||||||||||
Cash collateral pledged to counterparties | 2,214,118 | 3,836,370 | ||||||||||||||
Cash collateral received from counterparties | — | (61,209 | ) | |||||||||||||
Accrued interest | (36,760 | ) | (25,418 | ) | ||||||||||||
Net derivative balance | $ | (816,740 | ) | $ | (841,424 | ) | ||||||||||
Net derivative asset balance | $ | 8,772 | $ | 20,236 | ||||||||||||
Net derivative liability balance | (825,512 | ) | (861,660 | ) | ||||||||||||
Net derivative balance | $ | (816,740 | ) | $ | (841,424 | ) | ||||||||||
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June 30, | December 31, | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||||||
Advances | $ | 100,457,832 | $ | 109,152,876 | $ | 82,089,667 | $ | 59,012,394 | $ | 61,901,534 | $ | 68,507,487 | ||||||||||||
Mortgage loans before allowance for credit losses | $ | 1,383,820 | $ | 1,459,291 | $ | 1,492,261 | $ | 1,484,012 | $ | 1,467,525 | $ | 1,178,590 | ||||||||||||
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June 30, 2009 | ||||||||||||||||||||
Percentage of | ||||||||||||||||||||
Par | Total Par Value | Interest Income | ||||||||||||||||||
City | State | Advances | of Advances | Three months | Six months | |||||||||||||||
Hudson City Savings Bank 1 | Paramus | NJ | $ | 17,325,000 | 17.9 | % | $ | 177,134 | $ | 353,204 | ||||||||||
Metropolitan Life Insurance Company | New York | NY | 14,905,000 | 15.4 | 91,777 | 195,083 | ||||||||||||||
New York Community Bank 1 | Westbury | NY | 8,444,012 | 8.7 | 77,336 | 154,716 | ||||||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 7,094,170 | 7.3 | 28,224 | 64,723 | ||||||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 3,842,000 | 4.0 | 10,994 | 21,805 | ||||||||||||||
Total | $ | 51,610,182 | 53.3 | % | $ | 385,465 | $ | 789,531 | ||||||||||||
1 | Officer of member bank also serves on the Board of Directors of the FHLBNY. |
June 30, 2008 | ||||||||||||||||||||
Percentage of | ||||||||||||||||||||
Par | Total Par Value | Interest Income | ||||||||||||||||||
City | State | Advances | of Advances | Three months | Six months | |||||||||||||||
Hudson City Savings Bank 1 | Paramus | NJ | $ | 16,275,000 | 18.2 | % | $ | 106,396 | $ | 265,445 | ||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 8,490,413 | 9.5 | 39,204 | 107,772 | ||||||||||||||
New York Community Bank 1 | Westbury | NY | 8,124,721 | 9.1 | 58,336 | 149,496 | ||||||||||||||
Metropolitan Life Insurance Company | New York | NY | 6,030,000 | 6.7 | 29,839 | 84,408 | ||||||||||||||
HSBC Bank USA, National Association | New York | NY | 4,008,311 | 4.5 | 24,886 | 72,306 | ||||||||||||||
Total | $ | 42,928,445 | 48.0 | % | $ | 258,661 | $ | 679,427 | ||||||||||||
1 | Officer of member bank also serves on the Board of Directors of the FHLBNY. |
December 31, 2008 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | Interest | ||||||||||||||
City | State | Advances | of Advances | Income | ||||||||||||
Hudson City Savings Bank1 | Paramus | NJ | $ | 17,525,000 | 17.0 | % | $ | 671,146 | ||||||||
Metropolitan Life Insurance Company | New York | NY | 15,105,000 | 14.6 | 260,420 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 7,999,689 | 7.7 | 257,649 | |||||||||||
New York Community Bank1 | Westbury | NY | 7,796,517 | 7.5 | 337,019 | |||||||||||
Astoria Federal Savings and Loan Assn. | Long Island City | NY | 3,738,000 | 3.6 | 151,066 | |||||||||||
Total | $ | 52,164,206 | 50.4 | % | $ | 1,677,300 | ||||||||||
1 | Officer of member bank also serves on the Board of Directors of the FHLBNY. |
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Ultimate | Member of | Advances | ||||||
Former Member | Acquiree Bank | FHLB | as of June 30, 2009 | |||||
Citizens Bank, National Association | RBS Citizens, National Association | Boston | $ | 1,250,000 | ||||
Independence Community Bank | Sovereign Bank | Pittsburgh | 510,000 | |||||
The Yardville National Bank | PNC Bank, N.A. | Pittsburgh | 223,000 | |||||
Summit Bank | Bank of America, N.A. | Atlanta | 201,527 | |||||
Susquehanna Patriot Bank | Susquehanna Bank | Pittsburgh | 100,000 | |||||
Others | Various | Various | 87,761 | |||||
Total | $ | 2,372,288 | ||||||
Ultimate | Member of | Advances | ||||||
Former Member | Acquiree Bank | FHLB | as of December 31, 2008 | |||||
Citizens Bank, National Association | RBS Citizens, National Association | Boston | $ | 1,500,000 | ||||
Independence Community Bank | Sovereign Bank | Pittsburgh | 575,000 | |||||
The Yardville National Bank | PNC Bank, N.A. | Pittsburgh | 223,000 | |||||
Summit Bank | Bank of America, N.A. | Atlanta | 215,516 | |||||
Susquehanna Patriot Bank | Susquehanna Bank | Pittsburgh | 100,000 | |||||
Others | Various | Various | 89,154 | |||||
Total | $ | 2,702,670 | ||||||
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June 30, | December 31, | Dollar | Percentage | |||||||||||||
2009 | 2008 | Variance | Variance | |||||||||||||
State and local housing agency obligations1 | $ | 768,206 | $ | 804,100 | $ | (35,894 | ) | (4.46 | )% | |||||||
Mortgage-backed securities | ||||||||||||||||
Available-for-sale securities, at fair value | 2,496,240 | 2,851,682 | (355,442 | ) | (12.46 | ) | ||||||||||
Held-to-maturity securities, at carrying value | 9,703,181 | 9,326,443 | 376,738 | 4.04 | ||||||||||||
12,967,627 | 12,982,225 | (14,598 | ) | (0.11 | ) | |||||||||||
Grantor trusts2 | 11,018 | 10,187 | 831 | 8.16 | ||||||||||||
Certificates of deposit1 | — | 1,203,000 | (1,203,000 | ) | (100.00 | ) | ||||||||||
Total investments | ||||||||||||||||
$ | 12,978,645 | $ | 14,195,412 | $ | (1,216,767 | ) | (8.57 | )% | ||||||||
1 | Classified as held-to-maturity securities, at carrying value | |
2 | Classified as available-for-sale securities, at fair value represent investments in registered mutual funds and other fixed-income securities maintained under the grantor trusts |
Note: | Excludes $13.9 billion in interest-earning balance at Federal Reserve Bank of New York at June 30, 2009 ($12.2 billion at December 31, 2008). |
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• | State and local housing finance agency bonds— At June 30, 2009 the percentage of state and housing finance agency bonds that were rated triple-A was 9.6%. Double-A rated securities were $614.8 million, or 80.0%. The remaining securities were rated single-A and triple-B. At December 31, 2008 the percentage of state and housing finance agency bonds that were rated triple-A was 9.3%. Double-A rated securities were $673.0 million, or 83.7%. The remaining securities were rated triple-B. | |
• | Short-term instruments— At June 30, 2009, short-term investments were comprised of interest-bearing deposits at the Federal Reserve Bank of New York. At December 31, 2008, substantially all short-term investments in certificates of deposits were to financial institutions that were rated single — A, or better. |
NRSRO Ratings — June 30, 2009 | ||||||||||||||||||||||||
Below | ||||||||||||||||||||||||
Carrying | Investment | |||||||||||||||||||||||
Issued, guaranteed or insured by: | Value | AAA | AA | A | BBB | Grade | ||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||
Fannie Mae | $ | 1,264,252 | $ | 1,264,252 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Freddie Mac | 378,284 | 378,284 | — | — | — | — | ||||||||||||||||||
Total pools of mortgages | 1,642,536 | 1,642,536 | — | — | — | — | ||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||
Fannie Mae | 2,390,243 | 2,390,243 | — | — | — | — | ||||||||||||||||||
Freddie Mac | 4,136,711 | 4,136,711 | — | — | — | — | ||||||||||||||||||
Ginnie Mae | 199,756 | 199,756 | — | — | — | — | ||||||||||||||||||
Total CMOs/REMICs | 6,726,710 | 6,726,710 | �� | — | — | — | — | |||||||||||||||||
Ginnie Mae-CMBS | 49,882 | 49,882 | — | — | — | — | ||||||||||||||||||
Non-GSE MBS | ||||||||||||||||||||||||
CMOs/REMICs | 521,738 | 441,771 | — | 49,005 | — | 30,962 | ||||||||||||||||||
Commercial mortgage-backed securities | 40,642 | 40,642 | — | — | — | — | ||||||||||||||||||
Total non-federal-agency MBS | 562,380 | 482,413 | — | 49,005 | — | 30,962 | ||||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||
Manufactured housing (insured) | 216,009 | — | 216,009 | — | — | — | ||||||||||||||||||
Home equity loans (insured) | 266,412 | 11,062 | 51,198 | 55,772 | 62,288 | 86,092 | ||||||||||||||||||
Home equity loans (uninsured) | 239,252 | 217,790 | 21,462 | — | — | — | ||||||||||||||||||
Total asset-backed securities | 721,673 | 228,852 | 288,669 | 55,772 | 62,288 | 86,092 | ||||||||||||||||||
Total mortgage-backed securities | $ | 9,703,181 | $ | 9,130,393 | $ | 288,669 | $ | 104,777 | $ | 62,288 | $ | 117,054 | ||||||||||||
Other | ||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 768,206 | $ | 74,048 | $ | 614,793 | $ | 23,145 | $ | 56,220 | $ | — | ||||||||||||
Total other | $ | 768,206 | $ | 74,048 | $ | 614,793 | $ | 23,145 | $ | 56,220 | $ | — | ||||||||||||
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Carrying | NRSRO Ratings — December 31, 2008 | |||||||||||||||||||
Issued, guaranteed or insured by: | Value | AAA | AA | A | BBB | |||||||||||||||
Pools of Mortgages | ||||||||||||||||||||
Fannie Mae | $ | 1,400,058 | $ | 1,400,058 | $ | — | $ | — | $ | — | ||||||||||
Freddie Mac | 422,088 | 422,088 | — | — | — | |||||||||||||||
Total pools of mortgages | 1,822,146 | 1,822,146 | — | — | — | |||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||
Fannie Mae | 2,032,050 | 2,032,050 | — | — | — | |||||||||||||||
Freddie Mac | 3,722,840 | 3,722,840 | — | — | — | |||||||||||||||
Ginnie Mae | 6,325 | 6,325 | — | — | — | |||||||||||||||
Total CMOs/REMICs | 5,761,215 | 5,761,215 | — | — | — | |||||||||||||||
Non-GSE MBS | ||||||||||||||||||||
CMOs/REMICs | 609,908 | 509,056 | — | 62,401 | 38,451 | |||||||||||||||
Commercial mortgage-backed securities | 266,994 | 266,994 | — | — | — | |||||||||||||||
Total non-federal-agency MBS | 876,902 | 776,050 | — | 62,401 | 38,451 | |||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||
Manufactured housing (insured) | 229,714 | — | 229,714 | — | — | |||||||||||||||
Home equity loans (insured) | 376,587 | 86,662 | — | 130,277 | 159,648 | |||||||||||||||
Home equity loans (uninsured) | 259,879 | 259,879 | — | — | — | |||||||||||||||
Total asset-backed securities | 866,180 | 346,541 | 229,714 | 130,277 | 159,648 | |||||||||||||||
Total mortgage-backed securities | $ | 9,326,443 | $ | 8,705,952 | $ | 229,714 | $ | 192,678 | $ | 198,099 | ||||||||||
Other | ||||||||||||||||||||
State and local housing finance agency obligations | $ | 804,100 | $ | 74,881 | $ | 672,999 | $ | — | $ | 56,220 | ||||||||||
Certificates of deposit | 1,203,000 | — | 628,000 | 575,000 | — | |||||||||||||||
Total other | $ | 2,007,100 | $ | 74,881 | $ | 1,300,999 | $ | 575,000 | $ | 56,220 | ||||||||||
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NRSRO Ratings — June 30, 2009 | ||||||||||||||||
Issued, guaranteed or insured by: | Fair Value | AAA | AA | A | ||||||||||||
Pools of Mortgages | ||||||||||||||||
Fannie Mae | $ | — | $ | — | $ | — | $ | — | ||||||||
Freddie Mac | — | — | — | — | ||||||||||||
Total pools of mortgages | — | — | — | — | ||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||
Fannie Mae | 1,726,276 | 1,726,276 | — | — | ||||||||||||
Freddie Mac | 769,964 | 769,964 | — | — | ||||||||||||
Ginnie Mae | — | — | — | — | ||||||||||||
Total CMOs/REMICs | 2,496,240 | 2,496,240 | — | — | ||||||||||||
Non-GSE MBS | ||||||||||||||||
CMOs/REMICs | — | — | — | — | ||||||||||||
Commercial mortgage-backed securities | — | — | — | — | ||||||||||||
Total non-federal-agency MBS | — | — | — | — | ||||||||||||
Asset-Backed Securities | ||||||||||||||||
Manufactured housing (insured) | — | — | — | — | ||||||||||||
Home equity loans (insured) | — | — | — | — | ||||||||||||
Home equity loans (uninsured) | — | — | — | — | ||||||||||||
Total asset-backed securities | — | — | — | — | ||||||||||||
Total mortgage-backed securities | $ | 2,496,240 | $ | 2,496,240 | $ | — | $ | — | ||||||||
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NRSRO Ratings — December 31, 2008 | ||||||||||||||||
Issued, guaranteed or insured by: | Fair Value | AAA | AA | A | ||||||||||||
Pools of Mortgages | ||||||||||||||||
Fannie Mae | $ | — | $ | — | $ | — | $ | — | ||||||||
Freddie Mac | — | — | — | — | ||||||||||||
Total pools of mortgages | — | — | — | — | ||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||
Fannie Mae | 1,854,988 | 1,854,988 | — | — | ||||||||||||
Freddie Mac | 996,694 | 996,694 | — | — | ||||||||||||
Ginnie Mae | — | — | — | — | ||||||||||||
Total CMOs/REMICs | 2,851,682 | 2,851,682 | — | — | ||||||||||||
Non-GSE MBS | ||||||||||||||||
CMOs/REMICs | — | — | — | — | ||||||||||||
Commercial mortgage-backed securities | — | — | — | — | ||||||||||||
Total non-federal-agency MBS | — | — | — | — | ||||||||||||
Asset-Backed Securities | ||||||||||||||||
Manufactured housing (insured) | — | — | — | — | ||||||||||||
Home equity loans (insured) | — | — | — | — | ||||||||||||
Home equity loans (uninsured) | — | — | — | — | ||||||||||||
Total asset-backed securities | — | — | — | — | ||||||||||||
Total mortgage-backed securities | $ | 2,851,682 | $ | 2,851,682 | $ | — | $ | — | ||||||||
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June 30, | Percentage | December 31, | Percentage | |||||||||||||
2009 | of total | 2008 | of total | |||||||||||||
U.S. government sponsored enterprise residential mortgage-backed securities | ||||||||||||||||
Fannie Mae | $ | 3,654,495 | 37.66 | % | $ | 3,432,108 | 36.80 | % | ||||||||
Freddie Mac | 4,514,995 | 46.53 | 4,144,928 | 44.44 | ||||||||||||
U.S. agency residential mortgage-backed securities | 199,756 | 2.06 | 6,325 | 0.07 | ||||||||||||
U.S. agency commercial mortgage-backed securities | 49,882 | 0.51 | — | — | ||||||||||||
Private-label issued securities | 1,284,053 | 13.24 | 1,743,082 | 18.69 | ||||||||||||
Total Held-to-maturity securities-mortgage-backed securities | $ | 9,703,181 | 100.00 | % | $ | 9,326,443 | 100.00 | % | ||||||||
June 30, 2009 | December 31, 2008 | |||||||||||||||||||||||
Variable | Variable | |||||||||||||||||||||||
Private-label MBS | Fixed Rate | Rate | Total | Fixed Rate | Rate | Total | ||||||||||||||||||
Private-label RMBS | ||||||||||||||||||||||||
Prime | $ | 512,589 | $ | 4,711 | $ | 517,300 | $ | 596,430 | $ | 4,811 | $ | 601,241 | ||||||||||||
Alt-A | 7,819 | 3,965 | 11,784 | 9,129 | 4,177 | 13,306 | ||||||||||||||||||
Total PL RMBS | 520,408 | 8,676 | 529,084 | 605,559 | 8,988 | 614,547 | ||||||||||||||||||
Private-label CMBS | ||||||||||||||||||||||||
Prime | 40,643 | — | 40,643 | 266,860 | — | 266,860 | ||||||||||||||||||
Total PL CMBS | 40,643 | — | 40,643 | 266,860 | — | 266,860 | ||||||||||||||||||
Home Equity Loans | ||||||||||||||||||||||||
Subprime | 470,906 | 119,526 | 590,432 | 504,565 | 132,135 | 636,700 | ||||||||||||||||||
Total Home Equity Loans | 470,906 | 119,526 | 590,432 | 504,565 | 132,135 | 636,700 | ||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||
Subprime | 216,032 | — | 216,032 | 229,738 | — | 229,738 | ||||||||||||||||||
Total Manufactured Housing Loans | 216,032 | — | 216,032 | 229,738 | — | 229,738 | ||||||||||||||||||
Total UPB of private-label MBS | $ | 1,247,989 | $ | 128,202 | $ | 1,376,191 | $ | 1,606,722 | $ | 141,123 | $ | 1,747,845 | ||||||||||||
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June 30, 2009 | ||||||||||||||||||||||||||||||||||||||||
AMBAC | MBIA | FSA | Uninsured | |||||||||||||||||||||||||||||||||||||
Carrying | Fair | Carrying | Fair | Carrying | Fair | Carrying | Fair | Gross | ||||||||||||||||||||||||||||||||
Ratings | Count | value | Value | value | Value | value | Value | value | Value | Losses | ||||||||||||||||||||||||||||||
AAA | 21 | $ | — | $ | — | $ | — | $ | — | $ | 11,062 | $ | 6,953 | $ | 342,616 | $ | 258,313 | $ | (88,412 | ) | ||||||||||||||||||||
AA | 2 | — | — | 3,144 | 2,426 | — | — | 21,462 | 13,812 | (8,368 | ) | |||||||||||||||||||||||||||||
A | 1 | — | — | — | — | — | — | 49,004 | 44,585 | (4,419 | ) | |||||||||||||||||||||||||||||
BBB | 4 | 49,112 | 27,679 | — | — | — | — | — | — | (21,433 | ) | |||||||||||||||||||||||||||||
BB | 1 | — | — | — | — | — | — | 30,962 | 25,360 | (5,602 | ) | |||||||||||||||||||||||||||||
Total | 29 | $ | 49,112 | $ | 27,679 | $ | 3,144 | $ | 2,426 | $ | 11,062 | $ | 6,953 | $ | 444,044 | $ | 342,070 | $ | (128,234 | ) | ||||||||||||||||||||
June 30, 2009 | ||||||||||||||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer AMBAC | Uninsured | OTTI | Gross OTTI Losses | ||||||||||||||||||||||||||||||||||||||||
Fair | Fair | Fair | Credit | Non-credit | Less than | More than | ||||||||||||||||||||||||||||||||||||||
Ratings | Count | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||||||||||||||
AAA | 1 | $ | — | $ | — | $ | — | $ | — | $ | 61,277 | $ | 56,538 | $ | (438 | ) | $ | (2,766 | ) | $ | (3,204 | ) | $ | — | ||||||||||||||||||||
A | 2 | — | — | 55,780 | 32,388 | — | — | (2,038 | ) | (21,345 | ) | — | (23,383 | ) | ||||||||||||||||||||||||||||||
BBB | 2 | — | — | 54,303 | 32,475 | — | — | (679 | ) | (21,141 | ) | — | (21,820 | ) | ||||||||||||||||||||||||||||||
BB | 6 | 13,559 | 7,918 | 69,672 | 45,180 | — | — | (4,099 | ) | (25,761 | ) | — | (29,860 | ) | ||||||||||||||||||||||||||||||
B | 1 | 23,022 | 13,636 | — | — | — | — | (3,339 | ) | (6,385 | ) | — | (9,724 | ) | ||||||||||||||||||||||||||||||
Total | 12 | $ | 36,581 | $ | 21,554 | $ | 179,755 | $ | 110,043 | $ | 61,277 | $ | 56,538 | $ | (10,593 | ) | $ | (77,398 | ) | $ | (3,204 | ) | $ | (84,787 | ) | |||||||||||||||||||
Note: | One security rated triple-A is a prime RMBS; all other 11 OTTI securities are subprime RMBS. Gross Losses include realized cumulative credit losses of $10.6 million year-to-date June 30, 2009. |
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March 31, 2009 | ||||||||||||||||||||||||||||
Insurer MBIA | OTTI | Gross OTTI Losses | ||||||||||||||||||||||||||
Fair | Credit | Non-credit | Less than | More than | ||||||||||||||||||||||||
Ratings | Count | UPB | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||
BB | 1 | $ | 13,752 | $ | 8,273 | $ | (1,926 | ) | $ | (3,553 | ) | $ | — | $ | (5,479 | ) | ||||||||||||
B | 1 | 23,259 | 13,535 | (3,339 | ) | (6,385 | ) | — | (9,724 | ) | ||||||||||||||||||
Total | 2 | $ | 37,011 | $ | 21,808 | $ | (5,265 | ) | $ | (9,938 | ) | $ | — | $ | (15,203 | ) | ||||||||||||
Note: | OTTI securities are subprime RMBS. | |
Gross Losses include realized credit losses of $5.3 million year-to-date March 31, 2009 | ||
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June 30, 2009 | ||||||||||||||||||||||||||||||||||||||||
Unpaid Principal Balance | ||||||||||||||||||||||||||||||||||||||||
Below | Gross | |||||||||||||||||||||||||||||||||||||||
Ratings | Investment | Amortized | Unrealized | Total OTTI | ||||||||||||||||||||||||||||||||||||
Private-label MBS | Subtotal | Triple-A | Double-A | Single-A | Triple-B | Grade | Cost | (Losses) | Fair Value | Losses | ||||||||||||||||||||||||||||||
RMBS | ||||||||||||||||||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||||||||||||||||||
2006 | $ | 80,781 | $ | — | $ | — | $ | 49,472 | $ | — | $ | 31,309 | $ | 79,967 | $ | (10,022 | ) | $ | 69,945 | $ | — | |||||||||||||||||||
2005 | 95,789 | 95,789 | — | — | — | — | 93,472 | (3,422 | ) | 90,050 | (3,203 | ) | ||||||||||||||||||||||||||||
2004 and earlier | 340,730 | 340,730 | — | — | — | — | 339,277 | (10,825 | ) | 328,452 | — | |||||||||||||||||||||||||||||
Total RMBS Prime | 517,300 | 436,519 | — | 49,472 | — | 31,309 | 512,716 | (24,269 | ) | 488,447 | (3,203 | ) | ||||||||||||||||||||||||||||
Alt-A | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 11,784 | 11,784 | — | — | — | — | 11,788 | (1,897 | ) | 9,891 | — | |||||||||||||||||||||||||||||
Total RMBS | 529,084 | 448,303 | — | 49,472 | — | 31,309 | 524,504 | (26,166 | ) | 498,338 | (3,203 | ) | ||||||||||||||||||||||||||||
CMBS | ||||||||||||||||||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 40,643 | 40,643 | — | — | — | — | 40,642 | (75 | ) | 40,567 | — | |||||||||||||||||||||||||||||
HEL | ||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 590,432 | 228,923 | 96,058 | 55,781 | 72,589 | 137,081 | 580,057 | (212,602 | ) | 367,455 | (84,788 | ) | ||||||||||||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 216,032 | — | 216,032 | — | — | — | 216,009 | (66,565 | ) | 149,444 | — | |||||||||||||||||||||||||||||
Total PLMBS | $ | 1,376,191 | $ | 717,869 | $ | 312,090 | $ | 105,253 | $ | 72,589 | $ | 168,390 | $ | 1,361,212 | $ | (305,408 | ) | $ | 1,055,804 | $ | (87,991 | ) | ||||||||||||||||||
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December 31, 2008 | ||||||||||||||||||||||||||||||||
Unpaid Principal Balance | Gross | |||||||||||||||||||||||||||||||
Ratings | Amortized | Unrealized | ||||||||||||||||||||||||||||||
Private-label MBS | Subtotal | Triple-A | Double-A | Single-A | Triple-B | Cost | (Losses) | Fair Value | ||||||||||||||||||||||||
RMBS | ||||||||||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||||||||||
2006 | $ | 101,843 | $ | — | $ | — | $ | 62,968 | $ | 38,875 | $ | 100,851 | $ | (20,544 | ) | $ | 80,308 | |||||||||||||||
2005 | 110,334 | 110,334 | — | — | — | 108,254 | (5,415 | ) | 102,839 | |||||||||||||||||||||||
2004 | 168,166 | 168,166 | — | — | — | 168,173 | (8,363 | ) | 159,810 | |||||||||||||||||||||||
2003 and earlier | 220,898 | 220,898 | — | — | — | 219,318 | (6,722 | ) | 212,596 | |||||||||||||||||||||||
Total RMBS Prime | 601,241 | 499,398 | — | 62,968 | 38,875 | 596,596 | (41,044 | ) | 555,553 | |||||||||||||||||||||||
Alt-A | ||||||||||||||||||||||||||||||||
2003 and earlier | 13,306 | 13,306 | — | — | — | 13,310 | (1,662 | ) | 11,648 | |||||||||||||||||||||||
Total RMBS | 614,547 | 512,704 | — | 62,968 | 38,875 | 609,906 | (42,706 | ) | 567,201 | |||||||||||||||||||||||
CMBS | ||||||||||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||||||||||
2003 and earlier | 266,860 | 266,860 | — | — | — | 266,994 | (127 | ) | 267,016 | |||||||||||||||||||||||
HEL | ||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||
2003 and earlier | 636,700 | 346,631 | — | 130,404 | 159,665 | 636,466 | (224,069 | ) | 412,397 | |||||||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||
2003 and earlier | 229,738 | — | 229,738 | — | — | 229,714 | (75,418 | ) | 154,296 | |||||||||||||||||||||||
Total PLMBS | $ | 1,747,845 | $ | 1,126,195 | $ | 229,738 | $ | 193,372 | $ | 198,540 | $ | 1,743,080 | $ | (342,320 | ) | $ | 1,400,910 | |||||||||||||||
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June 30, 2009 | ||||||||||||||||
Original | ||||||||||||||||
Weighted- | Weighted- | Weighted- | Weighted- Average | |||||||||||||
Average Market | Average Credit | Average Credit | Collateral | |||||||||||||
Private-label MBS | Price1 | Support % | Support % | Delinquency % | ||||||||||||
RMBS | ||||||||||||||||
Prime | ||||||||||||||||
2006 | $ | 86.59 | 3.74 | % | 4.91 | % | 3.26 | % | ||||||||
2005 | 94.01 | 2.71 | 3.58 | 1.37 | ||||||||||||
2004 and earlier | 96.40 | 1.57 | 2.65 | 0.40 | ||||||||||||
Total RMBS Prime | 94.42 | 2.12 | 3.17 | 1.03 | ||||||||||||
Alt-A | ||||||||||||||||
2004 and earlier | 83.93 | 10.42 | 31.84 | 9.40 | ||||||||||||
Total RMBS | 94.19 | 2.30 | 3.81 | 1.21 | ||||||||||||
CMBS | ||||||||||||||||
Prime | ||||||||||||||||
2004 and earlier | 99.82 | 26.50 | 68.62 | — | ||||||||||||
HEL | ||||||||||||||||
Subprime | ||||||||||||||||
2004 and earlier | 62.23 | 58.02 | 65.34 | 15.93 | ||||||||||||
Manufactured Housing Loans | ||||||||||||||||
Subprime | ||||||||||||||||
2004 and earlier | 69.18 | 58.21 | 56.18 | 3.39 | ||||||||||||
Total Private-label MBS | $ | 76.72 | 35.70 | % | 40.35 | % | 7.83 | % | ||||||||
1 | Represents weighted-average market price based on par equaling $100.00. Combined weighted-average collateral delinquency rates is calculated based on UPB amount. |
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December 31, 2008 | ||||||||||||||||
Original | ||||||||||||||||
Weighted- | Weighted- | Weighted- | Weighted- | |||||||||||||
Average Market | Average Credit | Average Credit | Average Collateral | |||||||||||||
Private-label MBS | Price1 | Support % | Support % | Delinquency % | ||||||||||||
RMBS | ||||||||||||||||
Prime | ||||||||||||||||
2006 | $ | 78.85 | 3.71 | % | 4.56 | % | 0.86 | % | ||||||||
2005 | 93.21 | 2.68 | 3.26 | 1.00 | ||||||||||||
2004 | 95.03 | 2.05 | 2.86 | 0.40 | ||||||||||||
2003 and earlier | 96.24 | 1.21 | 2.17 | 0.27 | ||||||||||||
Total RMBS Prime | 92.40 | 2.14 | 2.97 | 0.54 | ||||||||||||
Alt-A | ||||||||||||||||
2003 and earlier | 87.54 | 10.22 | 31.60 | 10.56 | ||||||||||||
Total RMBS | 92.30 | 2.31 | 3.59 | 0.76 | ||||||||||||
CMBS | ||||||||||||||||
Prime | ||||||||||||||||
2003 and earlier | 100.06 | 26.69 | 38.73 | — | ||||||||||||
HEL | ||||||||||||||||
Subprime | ||||||||||||||||
2003 and earlier | 64.77 | 58.31 | 65.66 | 12.53 | ||||||||||||
Manufactured Housing Loans | ||||||||||||||||
Subprime | ||||||||||||||||
2003 and earlier | 67.16 | 58.26 | 55.99 | 1.88 | ||||||||||||
Total Private-label MBS | $ | 80.15 | 33.79 | % | 38.45 | % | 5.08 | % | ||||||||
1 | Represents weighted-average market price based on par equaling $100.00. Combined weighted-average collateral delinquency rates will be calculated based on UPB amount. |
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June 30, 2009 | December 31, 2008 | |||||||||||||||||||||||
Gross | Weighted-Average | Gross | Weighted-Average | |||||||||||||||||||||
Amortized | Unrealized | Collateral | Amortized | Unrealized | Collateral | |||||||||||||||||||
Cost | (Losses) | Delinquency %1 | Cost | (Losses) | Delinquency %1 | |||||||||||||||||||
Private-label MBS | ||||||||||||||||||||||||
RMBS | ||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||
Rated Triple A | $ | 432,749 | $ | (14,248 | ) | 0.61 | % | $ | 495,744 | $ | (20,500 | ) | 0.48 | % | ||||||||||
Rated Single A | 49,005 | (4,419 | ) | 1.67 | 62,401 | (12,027 | ) | 0.76 | ||||||||||||||||
Rated Triple B | — | — | — | 38,451 | (8,517 | ) | 1.01 | |||||||||||||||||
Below Investment Grade | 30,962 | (5,602 | ) | 5.78 | — | — | — | |||||||||||||||||
Total of RMBS Prime | 512,716 | (24,269 | ) | 1.03 | 596,596 | (41,044 | ) | 0.54 | ||||||||||||||||
Alt-A | ||||||||||||||||||||||||
Rated Triple A | 11,788 | (1,897 | ) | 9.40 | 13,310 | (1,662 | ) | 10.56 | ||||||||||||||||
Total of RMBS | 524,504 | (26,166 | ) | 1.21 | 609,906 | (42,706 | ) | 0.76 | ||||||||||||||||
CMBS | ||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||
Rated Triple A | 40,642 | (75 | ) | — | 266,994 | (127 | ) | — | ||||||||||||||||
HEL | ||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
Rated Triple A | 228,851 | (82,748 | ) | 17.09 | 346,541 | (105,673 | ) | 13.54 | ||||||||||||||||
Rated Double A | 96,044 | (33,970 | ) | 11.56 | — | — | — | |||||||||||||||||
Rated Single A | 53,734 | (21,345 | ) | 13.92 | 130,277 | (50,977 | ) | 5.68 | ||||||||||||||||
Rated Triple B | 71,907 | (31,052 | ) | 12.10 | 159,648 | (67,419 | ) | 15.96 | ||||||||||||||||
Below Investment Grade | 129,521 | (43,487 | ) | 19.89 | — | — | — | |||||||||||||||||
Total of HEL Subprime | 580,057 | (212,602 | ) | 15.93 | 636,466 | (224,069 | ) | 12.53 | ||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
Rated Double A | 216,009 | (66,565 | ) | 3.39 | 229,714 | (75,418 | ) | 1.88 | ||||||||||||||||
Grand Total | $ | 1,361,212 | $ | (305,408 | ) | 7.83 | % | $ | 1,743,080 | $ | (342,320 | ) | 5.08 | % | ||||||||||
1 | Weighted-average collateral delinquency rate is determined based on the underlying loans that are 60 days or more past due. The reported delinquency percentage represents weighted-average based on the dollar amounts of the individual securities in the category and their respective delinquencies. Combined weighted-average collateral delinquency rates are calculated based on UPB amount. |
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Three months ended June 30, | Six months ended June 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Beginning balance | $ | 13,848 | $ | 13,072 | $ | 13,765 | $ | 12,947 | ||||||||
Additions | 114 | 256 | 197 | 381 | ||||||||||||
Charge-offs | (14 | ) | — | (14 | ) | — | ||||||||||
Ending balance | $ | 13,948 | $ | 13,328 | $ | 13,948 | $ | 13,328 | ||||||||
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Three months ended June 30, | Six months ended June 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Beginning balance | $ | 1,848 | $ | 663 | $ | 1,405 | $ | 633 | ||||||||
Charge-offs | (14 | ) | — | (14 | ) | — | ||||||||||
Provision for credit losses on mortgage loans | 925 | 216 | 1,368 | 246 | ||||||||||||
Ending balance | $ | 2,759 | $ | 879 | $ | 2,759 | $ | 879 | ||||||||
June 30, 2009 | December 31, 2008 | |||||||
Mortgage loans, net of provisions for credit losses | $ | 1,381,061 | $ | 1,457,885 | ||||
Non-performing mortgage loans held-for-portfolio | $ | 10,773 | $ | 4,792 | ||||
Mortgage loans past due 90 days or more and still accruing interest | $ | 577 | $ | 507 | ||||
Three months ended June 30, | Six months ended June 30, | |||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Interest contractually due | $ | 168 | $ | 51 | $ | 320 | $ | 108 | ||||||||
Interest actually received | 150 | 41 | 286 | 87 | ||||||||||||
Shortfall | $ | 18 | $ | 10 | $ | 34 | $ | 21 | ||||||||
1 | The Bank does not recognize interest received as income from uninsured loans past due 90-days or greater. |
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June 30, 2009 | ||||||||||||||||
Total Net | ||||||||||||||||
Number of | Notional | Exposure at | Net Exposure | |||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | after Collateral | ||||||||||||
AAA | 1 | $ | 14,409,577 | $ | — | $ | — | |||||||||
AA | 5 | 29,137,774 | — | — | ||||||||||||
A | 8 | 88,650,811 | — | — | ||||||||||||
Members (Note 1) | 2 | 140,000 | — | — | ||||||||||||
Delivery Commitments | — | 3,954 | — | — | ||||||||||||
Total | 16 | $ | 132,342,116 | $ | — | $ | — | |||||||||
Note 1: | Fair values of $8.8 million comprising of intermediated transactions with members and interest-rate caps sold to members (with capped floating-rate advances) were fully collateralized at June 30, 2009. |
December 31, 2008 | ||||||||||||||||
Total Net | ||||||||||||||||
Number of | Notional | Exposure at | Net Exposure | |||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | after Collateral | ||||||||||||
AAA | 1 | $ | 9,167,456 | $ | — | $ | — | |||||||||
AA | 6 | 39,939,946 | — | — | ||||||||||||
A | 7 | 78,656,536 | 64,890 | 3,681 | ||||||||||||
Members (Note 1) | 3 | 150,000 | 8,465 | — | ||||||||||||
Delivery Commitments | — | 10,395 | — | — | ||||||||||||
Total | 17 | $ | 127,924,333 | $ | 73,355 | $ | 3,681 | |||||||||
Note 1: | Fair values of $16.6 million comprising of intermediated transactions with members and interest-rate caps sold to members (with capped floating-rate advances) were fully collateralized at December 31, 2008. |
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• | Obligations of the United States; | |
• | Deposits in banks or trust companies; or | |
• | Advances with a maturity not to exceed five years. |
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Average Deposit | Average Actual | |||||||||||
For the quarters ended | Reserve Required | Deposit Liquidity | Excess | |||||||||
June 30, 2009 | $ | 2,190 | $ | 57,886 | $ | 55,696 | ||||||
March 31, 2009 | 1,753 | 63,267 | 61,514 | |||||||||
December 31, 2008 | 2,022 | 66,246 | 64,224 |
Average Balance Sheet | Average Actual | |||||||||||
For the quarters ended | Liquidity Requirement | Operational Liquidity | Excess | |||||||||
June 30, 2009 | $ | 11,925 | $ | 25,904 | $ | 13,979 | ||||||
March 31, 2009 | 9,543 | 20,893 | 11,350 | |||||||||
December 31, 2008 | 8,226 | 14,827 | 6,601 |
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Average Five Day | Average Actual | |||||||||||
For the quarters ended | Requirement | Contingency Liquidity | Excess | |||||||||
June 30, 2009 | $ | 11,877 | $ | 21,030 | $ | 9,153 | ||||||
March 31, 2009 | 7,443 | 18,709 | 11,266 | |||||||||
December 31, 2008 | 4,727 | 12,930 | 8,203 |
June 30, 2009 | December 31, 2008 | |||||||
Consolidated Obligations: | ||||||||
Bonds | $ | 72,184,176 | $ | 82,256,705 | ||||
Discount Notes | 47,275,915 | 46,329,906 | ||||||
Total consolidated obligations | 119,460,091 | 128,586,611 | ||||||
Unpledged assets | ||||||||
Cash | 39,588 | 18,899 | ||||||
Less: Member pass-through reserves at the FRB | (79,003 | ) | (31,003 | ) | ||||
Secured Advances | 100,457,832 | 109,152,876 | ||||||
Investments1 | 26,843,858 | 26,364,661 | ||||||
Mortgage loans | 1,381,061 | 1,457,885 | ||||||
Accrued interest receivable on advances and investments | 367,457 | 492,856 | ||||||
Less: Pledged Assets | (2,351 | ) | (2,669 | ) | ||||
129,008,442 | 137,453,505 | |||||||
Excess unpledged assets | $ | 9,548,351 | $ | 8,866,894 | ||||
1 | At June 30, 2009, the Bank pledged $2.4 million to the FDIC see Note 4- Held-to-maturity securities. The Bank also provided to the U.S. Treasury a listing of $22.0 billion in advances with respect to a lending agreement. See Note 17 — Commitments and Contingencies. |
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June 30, 2009 | December 31, 2008 | |||||||||||||||
Actual | Limits | Actual | Limits | |||||||||||||
Mortgage securities investment authority1 | 206 | % | 300 | % | 207 | % | 300 | % | ||||||||
1 | The measurement date is on a one-month “look-back” basis. |
Moody’s Investors Service | S & P | |||||||||||
Year | Outlook | Rating | Long-Term Outlook | Rating | ||||||||
2009 | June 19, 2009 - Affirmed | Aaa/Stable | July 13, 2009 | Long-Term rating affirmed | outlook stable | AAA/Stable | ||||||
February 2, 2009 - Affirmed | Aaa/Stable | |||||||||||
2008 | October 29, 2008 - Affirmed | Aaa/Stable | June 16, 2008 | Long-Term rating affirmed | outlook stable | AAA/Stable | ||||||
April 17, 2008 - Affirmed | Aaa/Stable |
Moody’s Investors Service | S & P | |||||||||
Year | Outlook | Rating | Short-Term Outlook | Rating | ||||||
2009 | June 19, 2009 - Affirmed | P-1 | July 13, 2009 | Short-Term rating affirmed | A-1+ | |||||
February 2, 2009 - Affirmed | P-1 | |||||||||
2008 | October 29, 2008 - Affirmed | P-1 | June 16, 2008 | Short-Term rating affirmed | A-1+ | |||||
April 17, 2008 - Affirmed | P-1 |
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• | The option-adjusted DOE is limited to a range of +/- four years in the rates unchanged case and to a range of +/- six years in the +/-200bps shock cases. Due to the low interest rate environment beginning in early 2008, the -200bps shocks were restricted during the quarter ends to -115bps for June 2008, and -100bps for September 2008. The DOE downshock limits were adjusted in those cases to +/-4.85 years in March, +/-5.18 years in June, and +/-5.00 years in September. In December 2008, March 2009, and June 2009 rates were too low for a constrained downshock and the tests were not performed. | ||
• | The one-year cumulative re-pricing gap is limited to 10 percent of total assets. | ||
• | The sensitivity of expected net interest income over a one-year period is limited to a - -15 percent change under both the +/-200bps shocks compared to the rates unchanged case. | ||
• | The potential decline in the market value of equity is limited to a 10 percent change under the +/-200bps shocks. | ||
• | KRD exposure at any of nine term points (3-month, 1-year, 2-year, 3-year, 5-year, 7-year, 10-year, 15-year, and 30-year) is limited to between +/-12 months. |
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Base Case DOE | -200bps DOE | +200bps DOE | ||||||||||
June 30, 2008 | 0.87 | -2.65 | 1.99 | |||||||||
September 30, 2008 | 0.39 | -2.51 | 1.66 | |||||||||
December 31, 2008 | -2.05 | N/A | 1.44 | |||||||||
March 31, 2009 | -2.24 | N/A | 1.23 | |||||||||
June 30, 2009 | -0.83 | N/A | 1.67 |
One Year Re-pricing Gap | ||||
June 30, 2008 | $ | 3.017 Billion | ||
September 30, 2008 | $ | 3.359 Billion | ||
December 31, 2008 | $ | 9.764 Billion | ||
March 31, 2009 | $ | 7.593 Billion | ||
June 30, 2009 | $ | 5.936 Billion |
Sensitivity in the | Sensitivity in the | |||||||
-200bps Shock | +200bps Shock | |||||||
June 30, 2008 | 1.64 | % | -9.81 | % | ||||
September 30, 2008 | 3.18 | % | -5.91 | % | ||||
December 31, 2008 | N/A | 24.73 | % | |||||
March 31, 2009 | N/A | 13.11 | % | |||||
June 30, 2009 | N/A | 0.43 | % |
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Downshock | +200bps | |||||||
Change in | Change in | |||||||
MVE | MVE | |||||||
June 30, 2008 | -0.57 | % | -3.41 | % | ||||
September 30, 2008 | -0.72 | % | -2.50 | % | ||||
December 31, 2008 | N/A | -0.43 | % | |||||
March 31, 2009 | N/A | 1.01 | % | |||||
June 30, 2009 | N/A | -1.81 | % |
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Interest Rate Sensitivity | ||||||||||||||||||||
June 30, 2009 | ||||||||||||||||||||
More than | More than | More than | ||||||||||||||||||
Six months | six months to | one year to | three years to | More than | ||||||||||||||||
or less | one year | three years | five years | five years | ||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||
Non-MBS Investments | $ | 16,824 | $ | 171 | $ | 435 | $ | 233 | $ | 466 | ||||||||||
MBS Investments | 6,634 | 1,205 | 2,759 | 1,063 | 632 | |||||||||||||||
Adjustable-rate loans and advances | 17,336 | — | — | — | — | |||||||||||||||
Net unswapped | 40,795 | 1,376 | 3,194 | 1,296 | 1,098 | |||||||||||||||
Fixed-rate loans and advances | 11,802 | 3,580 | 19,012 | 9,868 | 35,099 | |||||||||||||||
Swaps hedging advances | 63,648 | (2,097 | ) | (16,939 | ) | (9,546 | ) | (35,066 | ) | |||||||||||
Net fixed-rate loans and advances | 75,450 | 1,482 | 2,073 | 322 | 33 | |||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | |||||||||||||||
Total interest-earning assets | $ | 116,245 | $ | 2,858 | $ | 5,267 | $ | 1,618 | $ | 1,131 | ||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||
Deposits | $ | 2,266 | $ | 3 | $ | — | $ | — | $ | — | ||||||||||
Discount notes | 44,714 | 2,562 | — | — | — | |||||||||||||||
Swapped discount notes | 2,361 | (2,361 | ) | — | — | — | ||||||||||||||
Net discount notes | 47,076 | 200 | — | — | — | |||||||||||||||
Consolidated Obligation Bonds | ||||||||||||||||||||
FHLB bonds | 25,591 | 21,501 | 16,505 | 4,572 | 3,292 | |||||||||||||||
Swaps hedging bonds | 35,901 | (19,371 | ) | (11,936 | ) | (3,210 | ) | (1,385 | ) | |||||||||||
Net FHLB bonds | 61,492 | 2,130 | 4,569 | 1,362 | 1,907 | |||||||||||||||
Total interest-bearing liabilities | $ | 110,833 | $ | 2,334 | $ | 4,569 | $ | 1,362 | $ | 1,907 | ||||||||||
Post hedge gaps1: | ||||||||||||||||||||
Periodic gap | $ | 5,411 | $ | 524 | $ | 699 | $ | 256 | $ | (776 | ) | |||||||||
Cumulative gaps | $ | 5,411 | $ | 5,936 | $ | 6,634 | $ | 6,890 | $ | 6,114 |
Note: | Numbers may not add due to rounding. | |
1 | Repricing gaps are estimated at the scheduled rate reset dates for floating rate instruments, and at maturity for fixed rate instruments. For callable instruments, the repricing period is estimated by the earlier of the estimated call date under the current interest rate environment or the instrument’s contractual maturity. |
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Interest Rate Sensitivity | ||||||||||||||||||||
December 31, 2008 | ||||||||||||||||||||
More than | More than | More than | ||||||||||||||||||
Six months | six months to | one year to | three years to | More than | ||||||||||||||||
or less | one year | three years | five years | five years | ||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||
Non-MBS Investments | $ | 18,298 | $ | 405 | $ | 404 | $ | 126 | $ | 259 | ||||||||||
MBS Investments | 6,938 | 2,940 | 1,801 | 350 | 209 | |||||||||||||||
Adjustable-rate loans and advances | 20,206 | — | — | — | — | |||||||||||||||
Net unswapped | 45,442 | 3,345 | 2,206 | 475 | 468 | |||||||||||||||
Fixed-rate loans and advances | 21,972 | 3,725 | 14,712 | 7,539 | 35,226 | |||||||||||||||
Swaps hedging advances | 56,677 | (2,842 | ) | (11,801 | ) | (6,864 | ) | (35,170 | ) | |||||||||||
Net fixed-rate loans and advances | 78,649 | 882 | 2,911 | 675 | 56 | |||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | |||||||||||||||
Total interest-earning assets | $ | 124,091 | $ | 4,227 | $ | 5,117 | $ | 1,151 | $ | 524 | ||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||
Deposits | $ | 1,497 | $ | 15 | $ | — | $ | — | $ | — | ||||||||||
Discount notes | 43,981 | 2,348 | — | — | — | |||||||||||||||
Swapped discount notes | 2,031 | (2,031 | ) | — | — | — | ||||||||||||||
Net discount notes | 46,012 | 318 | — | — | — | |||||||||||||||
Consolidated Obligation Bonds | ||||||||||||||||||||
FHLB bonds | 36,367 | 16,153 | 19,613 | 5,405 | 3,441 | |||||||||||||||
Swaps hedging bonds | 32,833 | (14,640 | ) | (13,571 | ) | (3,178 | ) | (1,445 | ) | |||||||||||
Net FHLB bonds | 69,200 | 1,513 | 6,043 | 2,227 | 1,996 | |||||||||||||||
Total interest-bearing liabilities | $ | 116,709 | $ | 1,846 | $ | 6,043 | $ | 2,227 | $ | 1,996 | ||||||||||
Post hedge gaps1: | ||||||||||||||||||||
Periodic gap | $ | 7,382 | $ | 2,382 | $ | (926 | ) | $ | (1,076 | ) | $ | (1,472 | ) | |||||||
Cumulative gaps | $ | 7,382 | $ | 9,764 | $ | 8,837 | $ | 7,761 | $ | 6,289 |
Note: | Numbers may not add due to rounding. | |
1 | Repricing gaps are estimated at the scheduled rate reset dates for floating rate instruments, and at maturity for fixed rate instruments. For callable instruments, the repricing period is estimated by the earlier of the estimated call date under the current interest rate environment or the instrument’s contractual maturity. |
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(a) | Evaluation of Disclosure Controls and Procedures: An evaluation of the Bank’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “Act”)) was carried out under the supervision and with the participation of the Bank’s President and Chief Executive Officer, Alfred A. DelliBovi, and Senior Vice President and Chief Financial Officer, Patrick A. Morgan, at June 30, 2009. Based on this evaluation, they concluded that as of June 30, 2009, the Bank’s disclosure controls and procedures were effective, at a reasonable level of assurance, in ensuring that the information required to be disclosed by the Bank in the reports it files or submits under the Act is (i) accumulated and communicated to the Bank’s management (including the President and Chief Executive Officer and Senior Vice President and Chief Financial Officer) in a timely manner, and (ii) recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. | ||
(b) | Changes in Internal Control Over Financial Reporting: There were no changes in the Bank’s internal control over financial reporting (as defined in Rules 13a-15(f) and 15d-15(f) under the Act) during the Bank’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting. |
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Exhibit No. | Identification of Exhibit | |
31.01 | Certification Pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934 and Section 302 of the Sarbanes-Oxley Act of 2002 by Chief Executive Officer | |
31.02 | Certification Pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934 and Section 302 of the Sarbanes-Oxley Act of 2002 by Chief Financial Officer | |
32.01 | Certification of Chief Executive Officer furnished pursuant to Section 906 of the Sarbanes-Oxley Act 2002, 18 U.S.C. Section 1350 | |
32.02 | Certification of Chief Financial Officer furnished pursuant to Section 906 of the Sarbanes-Oxley Act 2002, 18 U.S.C. Section 1350 |
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FEDERAL HOME LOAN BANK OF NEW YORK (Registrant) | ||||
By: | /s/ Patrick A. Morgan | |||
Patrick A. Morgan | ||||
Senior Vice President and Chief Financial Officer Federal Home Loan Bank of New York (on behalf of the Registrant and as Principal Financial Officer) | ||||
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Exhibit No. | Identification of Exhibit | |
31.01 | Certification Pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934 and Section 302 of the Sarbanes-Oxley Act of 2002 by Chief Executive Officer | |
31.02 | Certification Pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934 and Section 302 of the Sarbanes-Oxley Act of 2002 by Chief Financial Officer | |
32.01 | Certification of Chief Executive Officer furnished pursuant to Section 906 of the Sarbanes-Oxley Act 2002, 18 U.S.C. Section 1350 | |
32.02 | Certification of Chief Financial Officer furnished pursuant to Section 906 of the Sarbanes-Oxley Act 2002, 18 U.S.C. Section 1350 |
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