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SECURITIES AND EXCHANGE COMMISSION
þ | ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Federal | 13-6400946 | |
(State or other jurisdiction of | (I.R.S. Employer | |
incorporation or organization) | Identification No.) | |
101 Park Avenue | ||
New York, New York | 10178 | |
(Address of principal executive offices) | (Zip code) |
(Registrant’s telephone number, including area code)
Securities registered pursuant to Section 12(g) of the Act:
Class B Stock, putable, par value $100
(Title of class)
Large accelerated filero | Accelerated filero | Non-accelerated filerþ | Smaller reporting companyo | |||
(Do not check if a smaller reporting company) |
2009 Annual Report on Form 10-K
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Exhibit 10.05 | ||||||||
Exhibit 10.07 | ||||||||
Exhibit 10.08 | ||||||||
Exhibit 10.09 | ||||||||
Exhibit 10.10 | ||||||||
Exhibit 10.11 | ||||||||
Exhibit 10.12 | ||||||||
Exhibit 12.01 | ||||||||
Exhibit 31.01 | ||||||||
Exhibit 31.02 | ||||||||
Exhibit 32.01 | ||||||||
Exhibit 32.02 | ||||||||
Exhibit 99.01 | ||||||||
Exhibit 99.02 |
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Commercial | Thrift | Credit | Insurance | |||||||||||||||||
Banks | Institutions | Unions | Companies | Total | ||||||||||||||||
December 31, 2009 | 160 | 112 | 54 | 5 | 331 | |||||||||||||||
December 31, 2008 | 151 | 115 | 40 | 5 | 311 |
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• | Overnight Line of Credit Program (“OLOC”): The OLOC program gives members a short-term, flexible, readily accessible revolving line of credit for immediate liquidity needs. OLOC Advances mature on the next business day, at which time the advance is repaid. Interest is calculated on a 360-day basis, charged daily, and priced at a spread to the prevailing Federal funds rate. |
• | Fixed-Rate Advances: Fixed-Rate Advances are flexible funding tools that can be used by members to meet short- to long-term liquidity needs. Terms vary from 2 days to 30 years. |
• | Adjustable-Rate Credit Advances(“ARC”):ARC advances are medium- and long-term loans that can be pegged to a variety of indices, such as 1-month LIBOR, 3-month LIBOR, the Federal funds rate, or Prime. Members use an ARC advance to manage interest rate and basis risks by efficiently matching the interest rate index and repricing characteristics of floating-rate assets and liabilities. The interest rate is set and reset (depending upon the maturity of the advance and the type of index) at a spread to that designated index. |
• | Amortizing Advances:Amortizing Advances are medium- or long-term, fixed-rate loans with fixed amortizing schedules structured to match the payment characteristics of a mortgage loan or portfolio of mortgage loans held by the member. Terms offered are from one to 30 years with constant principal and interest payments. |
• | Putable Advances:Putable advances are medium- to long-term loans that are structured so the member sells the Bank an option or a strip of options. If the advance is put by the Bank at the end of the lockout period, the member has the option to pay off the advance or request replacement funding with an advance product of their choice at the current market rates as established by the Bank. |
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• | Mortgage characteristics.MPF Loans must be qualifying 5- to 30-year conventional or Government fixed-rate, fully amortizing mortgage loans, secured by first liens on owner-occupied one-to-four unit single-family residential properties and single unit second homes. Conventional loan size, which is established annually as required by Federal Housing Finance Agency regulations, may not exceed the loan limits permitted to be set except in areas designated by the Department of Housing and Urban Development (“HUD”) as High-Cost Areas where the permitted loan size is higher. Condominium, planned unit development and manufactured homes are acceptable property types as are mortgages on leasehold estates (though manufactured homes must be on land owned in fee simple by the borrower). |
• | Loan-to-Value Ratio and Primary Mortgage Insurance. The maximum loan-to-value ratio (“LTV”) for conventional MPF Loans must not exceed 95%. AHP mortgage loans may have LTVs up to 100% (but may not exceed 105% total LTV, which compares the property value to the total amount of all mortgages outstanding against a property). Government MPF Loans may not exceed the LTV limits set by the applicable federal agency. Conventional MPF Loans with LTVs greater than 80% require certain amounts of mortgage guaranty insurance (“MI”), called primary MI. |
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• | Documentation and Compliance with Applicable Law. The mortgage documents and mortgage transaction must comply with all applicable laws and mortgage loans must be documented using standard Fannie Mae/Freddie Mac Uniform Instruments. |
• | Ineligible Mortgage Loans. The following types of mortgage loans are not eligible for delivery under the MPF Program: (1) mortgage loans that are not ratable by S&P; (2) mortgage loans not meeting the MPF Program eligibility requirements as set forth in the MPF Guides and agreements; and (3) mortgage loans that are classified as high cost, high rate, high risk, Home Ownership and Equity Protection Act (HOEPA) loans or loans in similar categories defined under predatory lending or abusive lending laws. |
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PFI Credit | Servicing | |||||||||
Enhancement | Credit | Credit | Fee | |||||||
MPF Bank | Size | Enhancement | Enhancement | retained | ||||||
Product Name | FLA1 | Description | Fee to PFI | Fee Offset2 | by PFI | |||||
Original MPF | 3 to 5 basis points/added each year based on the unpaid balance | Equivalent to “AA” | 9 to 11 basis points/year — paid monthly | No | 25 basis points/year | |||||
MPF 100 | 100 basis points fixed based on the size of the loan pool at closing | After FLA to “AA” | 7 to 10 basis points/year — paid monthly; performance based after 2 or 3 years | Yes — After first 2 to 3 years | 25 basis points/year | |||||
MPF 125 | 100 basis points fixed based on the size of the loan pool at closing | After FLA to “AA” | 7 to 10 basis points/year — paid monthly; performance based | Yes | 25 basis points/year | |||||
MPF Xtra | N/A | N/A | N/A | N/A | 25 basis points/year | |||||
MPF Plus | Sized to equal expected losses | 0-20 bps after FLA and SMI to “AA” | 6 to 7 basis points/year fixed plus 6 to 7 basis points/year; performance based (delayed for 1 year); all fees paid monthly | Yes | 25 basis points/year | |||||
MPF Government | N/A | N/A (Unreimbursed Servicing Expenses) | N/A | N/A | 44 basis points/year plus 2 basis points/year3 |
1 | MPF Program Master Commitments participated in or held by the Bank as of December 31, 2009. | |
2 | Future payouts of performance-based credit enhancement fees are reduced when losses are allocated to the FLA. | |
3 | For Government Loan Master Commitments issued after February 1, 2007, only the customary 0.44% (44 basis points) per annum servicing fee is paid based on the outstanding aggregate principal balance of the MPF Government Loans. |
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• | each pays its respective pro rata share of each MPF Loan acquired under a Delivery Commitment and related Master Commitment based upon the participation percentage in effect at the time; |
• | each receives its respective pro rata share of principal and interest payments and is responsible for credit enhancement fees based upon its participation percentage for each MPF Loan under the related Delivery Commitment; |
• | each is responsible for its respective pro rata share of First Loss Account (“FLA”) exposure and losses incurred with respect to the Master Commitment based upon the overall risk sharing percentage for the Master Commitment; and |
• | each may economically hedge its share of the Delivery Commitments as they are issued during the open period. |
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• | First,to the MPF Bank, up to an agreed upon amount, called a First Loss Account. |
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• | Second,to the PFI under its credit enhancement obligation, losses for each Master Commitment in excess of the FLA, if any, up to the CE Amount. The CE Amount may consist of a direct liability of the PFI to pay credit losses up to a specified amount, a contractual obligation of the PFI to provide SMI or a combination of both. For a description of the CE Amount calculation, see “Setting Credit Enhancement Levels,” below. |
• | Third,any remaining unallocated losses are absorbed by the MPF Bank. |
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• | Instruments such as common stock that represent ownership in an entity. Exceptions include stock in small business investment companies and certain investments targeted at low-income persons or communities; |
• | Instruments issued by non-U.S. entities, other than those issued by U.S. branches and agency offices of foreign commercial banks; and |
• | Non-investment-grade debt instruments. Exceptions include certain investments targeted at low-income persons or communities and instruments that were downgraded after purchase. |
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• | Interest-only or principal-only stripped mortgage-backed securities; |
• | Residual-interest or interest-accrual classes of collateralized mortgage obligations (CMOs) and real estate mortgage investment conduits (REMICs); |
• | Fixed-rate or floating-rate mortgage-backed securities that, on the trade date are at rates equal to their contractual caps and whose average lives vary by more than six years under an assumed instantaneous interest rate change of 300 basis points; and |
• | Non-U.S. dollar denominated securities. |
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• | Cash; |
• | Obligations of, or fully guaranteed by, the United States; |
• | Secured advances; |
• | Mortgages that have a guaranty, insurance, or commitment from the United States or any agency of the United States; |
• | Investments described in section 16(a) of the FHLBank Act, including securities that a fiduciary or trust fund may purchase under the laws of the state in which the FHLBank is located; and |
• | Other securities that are rated Aaa by Moody’s or AAA by Standard & Poor’s. |
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2009 | 2008 | 2007 | ||||||||||
Retained earnings, beginning of year | $ | 382,856 | $ | 418,295 | $ | 368,688 | ||||||
Net Income for the year | 570,755 | 259,060 | 323,105 | |||||||||
953,611 | 677,355 | 691,793 | ||||||||||
Dividend paid in the year1 | (264,737 | ) | (294,499 | ) | (273,498 | ) | ||||||
Retained earnings, end of year | $ | 688,874 | $ | 382,856 | $ | 418,295 | ||||||
1 | Dividends are not accrued at quarter end; they are declared and paid subsequent to the end of the quarter. |
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• | the amount and the period over which the advances were prepaid or repaid; | ||
• | the amount and timing of any corresponding decreases in activity-based capital; | ||
• | the profitability of the advances; | ||
• | the size and profitability of the FHLBNY’s short- and long-term investments; and | ||
• | the extent to which consolidated obligations matured as the advances were prepaid or repaid. |
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2009 | 2008 | 2007 | ||||||||||||||||||||||||||
Month Paid | Amount | Dividend Rate | Month Paid | Amount | Dividend Rate | Amount | Dividend Rate | |||||||||||||||||||||
November | $ | 75,139 | 5.60 | % | October | $ | 45,748 | 3.50 | % | $ | 78,810 | 8.05 | % | |||||||||||||||
August | 75,862 | 5.60 | July | 78,810 | 6.50 | 68,840 | 7.50 | |||||||||||||||||||||
May | 77,293 | 5.60 | April | 88,182 | 7.80 | 67,280 | 7.50 | |||||||||||||||||||||
January | 43,180 | 3.00 | January | 94,404 | 8.40 | 67,203 | 7.00 | |||||||||||||||||||||
$ | 271,474 | $ | 307,144 | $ | 282,133 | |||||||||||||||||||||||
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Statements of Condition | December 31, | |||||||||||||||||||
(dollars in millions) | 2009 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||
Investments (1) | $ | 16,222 | $ | 14,195 | $ | 25,034 | $ | 20,503 | $ | 20,945 | ||||||||||
Interest bearing balance at FRB * | — | 12,169 | — | — | — | |||||||||||||||
Advances | 94,349 | 109,153 | 82,090 | 59,012 | 61,902 | |||||||||||||||
Mortgage loans held-for-portfolio, net of allowance for credit losses (2) | 1,318 | 1,458 | 1,492 | 1,483 | 1,467 | |||||||||||||||
Total assets | 114,461 | 137,540 | 109,245 | 81,579 | 84,761 | |||||||||||||||
Deposits and borrowings | 2,631 | 1,452 | 1,606 | 2,266 | 2,650 | |||||||||||||||
Consolidated obligations, net | ||||||||||||||||||||
Bonds | 74,008 | 82,257 | 66,326 | 62,043 | 56,769 | |||||||||||||||
Discount notes | 30,828 | 46,330 | 34,791 | 12,191 | 20,510 | |||||||||||||||
Total consolidated obligations | 104,836 | 128,587 | 101,117 | 74,234 | 77,279 | |||||||||||||||
Mandatorily redeemable capital stock | 126 | 143 | 239 | 110 | 18 | |||||||||||||||
AHP liability | 144 | 122 | 119 | 102 | 91 | |||||||||||||||
REFCORP liability | 24 | 5 | 24 | 17 | 14 | |||||||||||||||
Capital stock | 5,059 | 5,585 | 4,368 | 3,546 | 3,590 | |||||||||||||||
Retained earnings | 689 | 383 | 418 | 369 | 291 | |||||||||||||||
Accumulated other comprehensive income (loss) | (145 | ) | (101 | ) | (35 | ) | (11 | ) | 4 | |||||||||||
Total capital | 5,603 | 5,867 | 4,751 | 3,904 | 3,885 | |||||||||||||||
Equity to asset ratio (3) | 4.90 | % | 4.27 | % | 4.35 | % | 4.79 | % | 4.58 | % |
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Statements of Condition | Years ended December 31, | |||||||||||||||||||
Averages (dollars in millions) | 2009 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||
Investments (1) | $ | 15,987 | $ | 22,253 | $ | 22,155 | $ | 19,431 | $ | 19,347 | ||||||||||
Interest bearing balance at FRB * | 6,046 | 1,322 | — | — | — | |||||||||||||||
Advances | 98,966 | 92,617 | 65,454 | 64,658 | 63,446 | |||||||||||||||
Mortgage loans | 1,386 | 1,465 | 1,502 | 1,471 | 1,360 | |||||||||||||||
Total assets | 125,461 | 119,710 | 89,961 | 86,319 | 85,254 | |||||||||||||||
Interest-bearing deposits and other borrowings | 2,095 | 2,003 | 2,202 | 1,709 | 2,100 | |||||||||||||||
Consolidated obligations, net | ||||||||||||||||||||
Bonds | 71,860 | 81,342 | 63,277 | 60,932 | 56,975 | |||||||||||||||
Discount notes | 41,496 | 28,349 | 18,956 | 18,382 | 20,654 | |||||||||||||||
Total consolidated obligations | 113,356 | 109,691 | 82,233 | 79,314 | 77,629 | |||||||||||||||
Mandatorily redeemable capital stock | 137 | 166 | 146 | 51 | 56 | |||||||||||||||
AHP liability | 135 | 122 | 108 | 95 | 84 | |||||||||||||||
REFCORP liability | 21 | 6 | 10 | 9 | 7 | |||||||||||||||
Capital stock | 5,244 | 4,923 | 3,771 | 3,737 | 3,604 | |||||||||||||||
Retained earnings | 558 | 381 | 362 | 313 | 247 | |||||||||||||||
Accumulated other comprehensive income (loss) | (106 | ) | (74 | ) | (17 | ) | 1 | 4 | ||||||||||||
Total capital | 5,696 | 5,230 | 4,116 | 4,051 | 3,855 |
Operating Results and other data | ||||||||||||||||||||
(dollars in millions) | Years ended December 31, | |||||||||||||||||||
(except earnings and dividends per share) | 2009 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||
Net interest income (4) | $ | 701 | $ | 694 | $ | 499 | $ | 470 | $ | 395 | ||||||||||
Net income | 571 | 259 | 323 | 285 | 230 | |||||||||||||||
Dividends paid in cash (7) | 265 | 294 | 273 | 208 | 162 | |||||||||||||||
AHP expense | 64 | 30 | 37 | 32 | 26 | |||||||||||||||
REFCORP expense | 143 | 65 | 81 | 71 | 58 | |||||||||||||||
Return on average equity (5) | 10.02 | % | 4.95 | % | 7.85 | % | 7.04 | % | 5.97 | % | ||||||||||
Return on average assets | 0.45 | % | 0.22 | % | 0.36 | % | 0.33 | % | 0.27 | % | ||||||||||
Other income (loss) | $ | 164 | $ | (267 | ) | $ | 14 | $ | (13 | ) | $ | (18 | ) | |||||||
Operating expenses | 76 | 66 | 67 | 63 | 59 | |||||||||||||||
Finance Agency and Office of Finance | 8 | 7 | 5 | 5 | 6 | |||||||||||||||
Total other expenses | 84 | 73 | 72 | 68 | 65 | |||||||||||||||
Operating expenses ratio (6) | 0.06 | % | 0.06 | % | 0.07 | % | 0.07 | % | 0.07 | % | ||||||||||
Earnings per share | $ | 10.88 | $ | 5.26 | $ | 8.57 | $ | 7.63 | $ | 6.36 | ||||||||||
Dividend per share | $ | 4.95 | $ | 6.55 | $ | 7.51 | $ | 5.59 | $ | 4.50 | ||||||||||
Headcount (Full/part time) | 264 | 251 | 246 | 232 | 221 |
(1) | Investments include held-to-maturity securities, available for-sale securities, Federal funds, loans to other FHLBanks, and other interest bearing deposits. | |
(2) | Allowances for credit losses were $4.5 million, $1.4 million, $0.6 million, $0.6 million, and $0.6 million for the years ended December 31, 2009, 2008, 2007, 2006, and 2005. | |
(3) | Equity to asset ratio is capital stock plus retained earnings and Accumulated other comprehensive income (loss) as a percentage of total assets. | |
(4) | Net interest income is net interest income before the provision for credit losses on mortgage loans. | |
(5) | Return on average equity is net income as a percentage of average capital stock plus average retained earnings and average Accumulated other comprehensive income (loss). | |
(6) | Operating expenses as a percentage of total average assets. | |
(7) | Excludes dividends accrued to non-members classified as interest expense under the accounting standards for certain financial instruments with characteristics of both liabilities and equity. | |
* | FRB program commenced in October 2008. On July 2, 2009, the Bank was no longer eligible to collect interest on excess balances. The average balance is annualized YTD. |
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2009 (unaudited) | ||||||||||||||||
4th Quarter | 3rd Quarter | 2nd Quarter | 1st Quarter | |||||||||||||
Interest income | $ | 307,742 | $ | 379,530 | $ | 504,256 | $ | 666,159 | ||||||||
Interest expense | 192,627 | 225,678 | 303,997 | 434,777 | ||||||||||||
Net interest income | 115,115 | 153,852 | 200,259 | 231,382 | ||||||||||||
Provision (Recovery) for credit losses | 1,142 | 598 | 925 | 443 | ||||||||||||
Other income (loss) | 41,419 | 57,444 | 74,654 | (9,147 | ) | |||||||||||
Other expenses and assessments | 59,423 | 70,479 | 87,560 | 73,653 | ||||||||||||
19,146 | 13,633 | 13,831 | 83,243 | |||||||||||||
Net income | $ | 95,969 | $ | 140,219 | $ | 186,428 | $ | 148,139 | ||||||||
2008 (unaudited) | ||||||||||||||||
4th Quarter | 3rd Quarter | 2nd Quarter | 1st Quarter | |||||||||||||
Interest income | $ | 1,035,467 | $ | 936,938 | $ | 910,555 | $ | 1,175,919 | ||||||||
Interest expense | 809,898 | 779,265 | 752,750 | 1,022,468 | ||||||||||||
Net interest income | 225,569 | 157,673 | 157,805 | 153,451 | ||||||||||||
Provision (Recovery) for credit losses | 558 | (31 | ) | 216 | 30 | |||||||||||
Other income (loss) | (144,760 | ) | (85,430 | ) | (38,643 | ) | 1,374 | |||||||||
Other expenses and assessments | 35,187 | 32,484 | 44,964 | 54,571 | ||||||||||||
180,505 | 117,883 | 83,823 | 53,227 | |||||||||||||
Net income | $ | 45,064 | $ | 39,790 | $ | 73,982 | $ | 100,224 | ||||||||
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• | the Bank’s projections regarding income, retained earnings, and dividend payouts; |
• | the Bank’s expectations relating to future balance sheet growth; |
• | the Bank’s targets under the Bank’s retained earnings plan; and |
• | the Bank’s expectations regarding the size of its mortgage-loan portfolio, particularly as compared to prior periods. |
• | changes in economic and market conditions; |
• | changes in demand for Bank advances and other products resulting from changes in members’ deposit flows and credit demands or otherwise; |
• | an increase in advance prepayments as a result of changes in interest rates or other factors; |
• | the volatility of market prices, rates, and indices that could affect the value of collateral held by the Bank as security for obligations of Bank members and counterparties to interest-rate-exchange agreements and similar agreements; |
• | political events, including legislative developments that affect the Bank, its members, counterparties, and/or investors in the COs of the FHLBanks; |
• | competitive forces including, without limitation, other sources of funding available to Bank members, other entities borrowing funds in the capital markets, and the ability to attract and retain skilled employees; |
• | the pace of technological change and the ability of the Bank to develop and support technology and information systems, including the internet, sufficient to manage the risks of the Bank’s business effectively; |
• | changes in investor demand for COs and/or the terms of interest-rate-exchange-agreements and similar agreements; |
• | timing and volume of market activity; |
• | ability to introduce new or adequately adapt current Bank products and services and successfully manage the risks associated with those products and services, including new types of collateral used to secure advances; |
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• | risk of loss arising from litigation filed against one or more of the FHLBanks; |
• | realization of losses arising from the Bank’s joint and several liability on COs; |
• | risk of loss due to fluctuations in the housing market; |
• | inflation or deflation; and |
• | issues and events within the FHLBank System and in the political arena that may lead to regulatory, judicial, or other developments that may affect the marketability of the COs, the Bank’s financial obligations with respect to COs, and the Bank’s ability to access the capital markets. |
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Page | ||||
Executive Overview | 41 | |||
2009 Highlights | 42 | |||
2010 Business Outlook | 45 | |||
Trends in the Financial Markets | 47 | |||
Recently Issued Accounting Standards and Interpretations | 48 | |||
Significant Accounting Policies and Estimates | 48 | |||
Legislative and Regulatory Developments | 58 | |||
Financial Condition — Assets, Liabilities, Capital, Commitments and Contingencies | 72 | |||
Advances | 74 | |||
Investments | 82 | |||
Mortgage Loans Held-for-Portfolio | 90 | |||
Deposit Liabilities | 91 | |||
Debt Financing Activity and Consolidated Obligations | 92 | |||
Rating Actions With Respect to the FHLBNY | 103 | |||
Mandatorily Redeemable Capital Stock | 103 | |||
Capital Resources | 104 | |||
Stockholders’ Capital and Dividend | 106 | |||
Derivative Instruments and Hedging Activities | 108 | |||
Liquidity | 116 | |||
Results of Operations | 121 | |||
Net Income | 121 | |||
Interest Income | 124 | |||
Interest Expense | 126 | |||
Net Interest Income | 127 | |||
Earnings Impact of Derivatives and Hedging activities | 138 | |||
Operating Expenses | 143 | |||
Asset Quality and Concentration - | ||||
Advances, Investment Securities, Mortgage Loans, and Counterparty Risks | 145 | |||
Commitments, Contingencies and Off-Balance Sheet Arrangements | 174 | |||
Quantitative and Qualitative Disclosures about Market Risk | 177 |
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Table | Description | Page | ||||||
- | Selected Financial Data | 34 | ||||||
1 | Market Interest Rates | 47 | ||||||
2 | Statements of Condition — Year-Over-Year Comparison | 72 | ||||||
3 | Advances by Product Type | 75 | ||||||
4 | Advances Outstanding by Year of Maturity | 77 | ||||||
5 | Advances by Interest-Rate Payment Terms | 78 | ||||||
6 | Variable-Rate Advances | 78 | ||||||
7 | Advances by Call Date | 81 | ||||||
8 | Investments by Categories | 83 | ||||||
9 | Mortgage-Backed Securities — By Issuer | 84 | ||||||
10 | Available-for-Sale Securities Composition | 85 | ||||||
11 | External Rating of the Held-to-Maturity Portfolio | 86 | ||||||
12 | External Rating of the Available-for-Sale Portfolio | 86 | ||||||
13 | Mortgage-Backed Securities Weighted Average Rates by Contractual Maturities | 87 | ||||||
14 | Mortgage Loans by Loan Type | 90 | ||||||
15 | Mortgage Loans — Conventional and Insured Loans | 91 | ||||||
16 | Mortgage Loans — Allowance for Credit Losses | 91 | ||||||
17 | Consolidated Obligation Bonds by Type | 95 | ||||||
18 | Consolidated Obligation Bonds — Maturity or Next Call Date | 101 | ||||||
19 | Discount Notes Outstanding | 102 | ||||||
20 | FHLBNY Ratings | 103 | ||||||
21 | Derivative Hedging Strategies | 109 | ||||||
22 | Derivative Financial Instruments by Hedge Designation | 110 | ||||||
23 | Derivative Financial Instruments by Product | 111 | ||||||
24 | Derivatives Counterparty Notional Balance by Credit Ratings | 113 | ||||||
25 | Deposit Liquidity | 118 | ||||||
26 | Operational Liquidity | 118 | ||||||
27 | Contingency Liquidity | 119 | ||||||
28 | Unpledged Asset | 120 | ||||||
29 | FHFA MBS Limits | 120 | ||||||
30 | Interest Income — Principal Sources | 124 | ||||||
31 | Impact of Interest Rate Swaps on Interest Income Earned from Advances | 124 | ||||||
32 | Interest Expenses — Principal Categories | 126 | ||||||
33 | Consolidated Obligations — Interest Expenses | 126 | ||||||
34 | Impact of Interest Rate Swaps on Consolidated Obligation Interest Expense | 127 | ||||||
35 | Components of Net Interest Income | 128 | ||||||
36 | Net Interest Adjustments from Hedge Qualifying Interest-Rate Swaps | 130 | ||||||
37 | GAAP Versus Economic Basis — Contrasting Net Interest Income, Net Income Spread and Return on Earning Assets | 131 | ||||||
38 | Spread and Yield Analysis | 132 | ||||||
39 | Rate and Volume Analysis | 133 | ||||||
40 | Other Income | 136 | ||||||
41 | Earnings Impact of Derivatives and Hedging Activities — By Financial Instrument Type | 138 | ||||||
42 | Earnings Impact of Derivatives — By Hedge Type | 139 | ||||||
43 | Accumulated Other Comprehensive Income (Loss) to Current Period Income From Cash Flow Hedges | 142 | ||||||
44 | Other Expenses | 143 | ||||||
45 | Operating Expenses | 143 | ||||||
46 | Affordable Housing Program Liabilities | 144 | ||||||
47 | REFCORP | 144 | ||||||
48 | Advances and Mortgage Loan Portfolios | 145 | ||||||
49 | Collateral Supporting Advances to Members | 148 | ||||||
50 | Collateral Supporting Member Obligations Other Than Advances | 148 | ||||||
51 | Location of Collateral Held | 149 | ||||||
52 | Top Ten Advance Holders | 150 | ||||||
53 | Year-Over-Year Change in Investments | 151 | ||||||
54 | NRSRO Held-to-Maturity Securities | 152 | ||||||
55 | NRSRO Available-for-Sale Securities | 154 | ||||||
56 | Carrying Value Basis of Held-to-Maturity Mortgage-Backed Securities by Issuer | 156 | ||||||
57 | Non-Agency Private Label Mortgage — And Asset-Backed Securities | 157 | ||||||
58 | Monoline Insurance Protection on Credit Impaired PLMBS | 158 | ||||||
59 | PLMBS by Year of Securitization and External Rating | 159 | ||||||
60 | Weighted-Average Market Price of MBS | 161 | ||||||
61 | PLMBS Security Types Delinquencies | 163 | ||||||
62 | MPF by Loss Layers | 164 | ||||||
63 | Mortgage Loans — Past Due | 165 | ||||||
64 | Mortgage Loans — Interest Short-Fall | 166 | ||||||
65 | Mortgage Loans — Allowance for Credit Losses | 166 | ||||||
66 | Top Five Participating Financial Institutions — Concentration | 168 | ||||||
67 | Roll-Forward First Loss Account | 169 | ||||||
68 | Credit Exposure by Counterparty Credit Rating | 172 | ||||||
69 | Contractual Obligations and Other Commitments | 176 |
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• | Changes in the fair values of the basis swaps and other derivatives designated as economic hedges were marked to fair value through earnings with no offsetting changes in fair values of the hedged financial instruments. The FHLBNY had issued floating-rate debt primarily in 2008 that were either indexed to 1-month LIBOR, or the prime and the daily Federal funds rate, and the swaps were executed to synthetically convert the cash flows to 3-month LIBOR rates. In 2009, $23.0 billion of basis swaps matured and almost all previously recorded fair value losses reversed. When interest rate swaps are held to their contractual maturity (or put/call dates), nearly all of the cumulative net fair value gains and losses that are unrealized will generally reverse over time, and fair value changes will sum to zero. The fair value basis of the remaining $2.0 billion of such swaps was not significant as the bonds were nearing maturity. |
• | Additional fair value gains were recorded in 2009 on $19.1 billion of new swaps executed in 2009 ($13.1 billion fixed-for-floating rate swaps, and $6.0 billion of basis swaps) and designated as economic hedges of short-term non-callable bonds. In an upward sloping yield curve environment, the pay fixed-rate, receive LIBOR-indexed swaps were in an unrealized fair value gain positions at December 31, 2009. The swaps will mature in 2010 and unrealized gains will reverse. |
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Year-to-date December 31, | ||||||||||||||||
2009 | 2008 | 2009 | 2008 | |||||||||||||
Average | Average | Ending Rate | Ending Rate | |||||||||||||
Federal Funds Rate | 0.25 | % | 2.08 | % | 0.25 | % | 0.25 | % | ||||||||
3-month LIBOR | 0.69 | 2.93 | 0.25 | 1.43 | ||||||||||||
2-year U.S. Treasury | 0.94 | 2.00 | 1.14 | 0.77 | ||||||||||||
5-year Treasury | 2.18 | 2.79 | 2.68 | 1.55 | ||||||||||||
10-year Treasury | 3.24 | 3.64 | 3.84 | 2.21 | ||||||||||||
15-year residential mortgage note rate | 4.59 | 5.88 | 4.57 | 5.11 | ||||||||||||
30-year residential mortgage note rate | 5.03 | % | 6.24 | % | 5.08 | % | 5.28 | % |
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• | Market approach — This technique uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities. |
• | Income approach — This technique uses valuation techniques to convert future amounts (for example, cash flows or earnings) to a single present amount (discounted), based on assumptions used by market participants. The present value technique used to measure fair value depends on the facts and circumstances specific to the asset or liability being measured and the availability of data. |
• | Cost approach — This approach is based on the amount that currently would be required to replace the service capacity of an asset (often referred to as current replacement cost). |
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• | Monitoring the creditworthiness and financial condition of the institutions to which it lends funds. |
• | Reviewing the quality and value of collateral pledged by members. |
• | Estimating borrowing capacity based on collateral value and type for each member, including assessment of margin requirements based on factors such as cost to liquidate and inherent risk exposure based on collateral type. |
• | Evaluating historical loss experience. |
• | Evaluation of members to ensure that they meet the eligibility standards for participation in the MPF Program. |
• | Evaluation of the purchased and originated loans to ensure that they are qualifying conventional, conforming fixed-rate, first lien mortgage loans with fully amortizing loan terms of up to 30 years, secured by owner-occupied, single-family residential properties. |
• | Estimation of loss exposure and historical loss experience to establish an adequate level of loss reserves. |
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• | Hedging strategy |
• | Identification of the item being hedged |
• | Determination of the accounting designation |
• | Determination of method used to assess the effectiveness of the hedge relationship |
• | Assessment that the hedge is expected to be effective in the future if designated as a qualifying hedge accounting standards for derivatives and hedging. |
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• | Adjustments of the effective yields for mortgage-backed securities are recorded on a retrospective basis, meaning as if the new estimated life of the security had been known at its original acquisition date. Changes in interest rates have a direct impact on prepayment speeds and estimated life, which will result in yield adjustments and can be a source of income volatility. Reductions in interest rates generally accelerate prepayments, which accelerate the amortization of premiums and reduce current earnings. Typically, declining interest rates also accelerate the accretion of discounts, thereby increasing current earnings. On the other hand, in a rising interest rate environment, prepayments will generally extend over a longer period, shifting some of the premium amortization and discount accretion to future periods. |
• | The Bank uses the contractual method to amortize premiums and accrete discounts on mortgage loans held-for-portfolio. The contractual method recognizes the income effects of premiums and discounts in a manner that is reflective of the actual behavior of the mortgage loans during the period in which the behavior occurs while also reflecting the contractual terms of the assets without regard to changes in estimated prepayments based upon assumptions about future borrower behavior. |
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• | established the Finance Agency effective on the date of enactment of HERA to regulate (i) Fannie Mae and Freddie Mac (collectively, the “Enterprises”), (ii) the FHLBanks (together with the Enterprises, the “Regulated Entities”) and (iii) the Office of Finance; |
• | eliminated the Office of Federal Housing Enterprise Oversight (“OFHEO”) and the Finance Board no later than one year after enactment and restricted their activities during such period to those necessary to wind up their affairs (on October 27, 2008, the Finance Agency announced that the formal integration of OFHEO and the Finance Board into the Finance Agency had been completed); |
• | established a director (“Director”) of the Finance Agency with broad authority over the Regulated Entities; |
• | amended certain aspects of the FHLBanks’ corporate governance; |
• | authorizes voluntary mergers of FHLBanks with the approval of the Director and permits the Director to liquidate a FHLBank; |
• | made, or requires the Director to study and report on, other changes regarding the membership and activities of the FHLBanks; |
• | provides that all regulations, orders, directives and determinations issued by the Finance Board and OFHEO prior to enactment of HERA immediately transfer to the Finance Agency and remain in force unless modified, terminated, or set aside by the Director; and |
• | granted the Secretary of the Treasury the temporary authority (through December 31, 2009 and subject to certain conditions) to purchase obligations and other securities issued by Fannie Mae, Freddie Mac, and the FHLBanks. |
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December 31, | ||||||||||||||||
Net change in | Net change in | |||||||||||||||
(Dollars in thousands) | 2009 | 2008 | dollar amount | percentage | ||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | 2,189,252 | $ | 18,899 | $ | 2,170,353 | NM | % | ||||||||
Interest-bearing deposits | — | 12,169,096 | (12,169,096 | ) | (100.00 | ) | ||||||||||
Federal funds sold | 3,450,000 | — | 3,450,000 | N/A | ||||||||||||
Available-for-sale securities | 2,253,153 | 2,861,869 | (608,716 | ) | (21.27 | ) | ||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | 10,519,282 | 10,130,543 | 388,739 | 3.84 | ||||||||||||
Certificates of deposit | — | 1,203,000 | (1,203,000 | ) | (100.00 | ) | ||||||||||
Advances | 94,348,751 | 109,152,876 | (14,804,125 | ) | (13.56 | ) | ||||||||||
Mortgage loans held-for-portfolio | 1,317,547 | 1,457,885 | (140,338 | ) | (9.63 | ) | ||||||||||
Accrued interest receivable | 340,510 | 492,856 | (152,346 | ) | (30.91 | ) | ||||||||||
Premises, software, and equipment | 14,792 | 13,793 | 999 | 7.24 | ||||||||||||
Derivative assets | 8,280 | 20,236 | (11,956 | ) | (59.08 | ) | ||||||||||
Other assets | 19,339 | 18,838 | 501 | 2.66 | ||||||||||||
Total assets | $ | 114,460,906 | $ | 137,539,891 | $ | (23,078,985 | ) | (16.78 | )% | |||||||
Liabilities | ||||||||||||||||
Deposits | ||||||||||||||||
Interest-bearing demand | $ | 2,616,812 | $ | 1,333,750 | $ | 1,283,062 | 96.20 | % | ||||||||
Non-interest bearing demand | 6,499 | 828 | 5,671 | 684.90 | ||||||||||||
Term | 7,200 | 117,400 | (110,200 | ) | (93.87 | ) | ||||||||||
Total deposits | 2,630,511 | 1,451,978 | 1,178,533 | 81.17 | ||||||||||||
Consolidated obligations | ||||||||||||||||
Bonds | 74,007,978 | 82,256,705 | (8,248,727 | ) | (10.03 | ) | ||||||||||
Discount notes | 30,827,639 | 46,329,906 | (15,502,267 | ) | (33.46 | ) | ||||||||||
Total consolidated obligations | 104,835,617 | 128,586,611 | (23,750,994 | ) | (18.47 | ) | ||||||||||
Mandatorily redeemable capital stock | 126,294 | 143,121 | (16,827 | ) | (11.76 | ) | ||||||||||
Accrued interest payable | 277,788 | 426,144 | (148,356 | ) | (34.81 | ) | ||||||||||
Affordable Housing Program | 144,489 | 122,449 | 22,040 | 18.00 | ||||||||||||
Payable to REFCORP | 24,234 | 4,780 | 19,454 | 406.99 | ||||||||||||
Derivative liabilities | 746,176 | 861,660 | (115,484 | ) | (13.40 | ) | ||||||||||
Other liabilities | 72,506 | 75,753 | (3,247 | ) | (4.29 | ) | ||||||||||
Total liabilities | 108,857,615 | 131,672,496 | (22,814,881 | ) | (17.33 | ) | ||||||||||
Capital | 5,603,291 | 5,867,395 | (264,104 | ) | (4.50 | ) | ||||||||||
Total liabilities and capital | $ | 114,460,906 | $ | 137,539,891 | $ | (23,078,985 | ) | (16.78 | )% | |||||||
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December 31, 2009 | December 31, 2008 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amounts | of total | Amounts | of total | |||||||||||||
Adjustable Rate Credit — ARCs | $ | 14,100,850 | 15.54 | % | $ | 20,205,850 | 19.55 | % | ||||||||
Fixed Rate Advances | 71,943,468 | 79.29 | 71,860,685 | 69.51 | ||||||||||||
Short-Term Advances | 2,173,321 | 2.39 | 7,793,500 | 7.54 | ||||||||||||
Mortgage Matched Advances | 606,883 | 0.67 | 693,559 | 0.67 | ||||||||||||
Overnight Line of Credit (OLOC) Advances | 926,517 | 1.02 | 2,039,423 | 1.97 | ||||||||||||
All other categories | 986,661 | 1.09 | 786,710 | 0.76 | ||||||||||||
Total par value | 90,737,700 | 100.00 | % | 103,379,727 | 100.00 | % | ||||||||||
Discount on AHP Advances | (260 | ) | (330 | ) | ||||||||||||
Hedging adjustments | 3,611,311 | 5,773,479 | ||||||||||||||
Total | $ | 94,348,751 | $ | 109,152,876 | ||||||||||||
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December 31, | ||||||||||||||||||||||||
2009 | 2008 | |||||||||||||||||||||||
Weighted2 | Weighted2 | |||||||||||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||||||||||
Amount | Yield | of Total | Amount | Yield | of Total | |||||||||||||||||||
Overdrawn demand deposit accounts | $ | 2,022 | 1.20 | % | — | % | $ | — | — | % | — | % | ||||||||||||
Due in one year or less | 24,128,022 | 2.07 | 26.59 | 32,420,095 | 2.52 | 31.36 | ||||||||||||||||||
Due after one year through two years | 10,819,349 | 2.73 | 11.92 | 16,150,121 | 3.71 | 15.62 | ||||||||||||||||||
Due after two years through three years | 10,069,555 | 2.91 | 11.10 | 7,634,680 | 3.76 | 7.39 | ||||||||||||||||||
Due after three years through four years | 5,804,448 | 3.32 | 6.40 | 6,852,514 | 3.74 | 6.63 | ||||||||||||||||||
Due after four years through five years | 3,364,706 | 3.19 | 3.71 | 3,210,575 | 3.88 | 3.11 | ||||||||||||||||||
Due after five years through six years | 2,807,329 | 3.91 | 3.09 | 836,689 | 3.74 | 0.81 | ||||||||||||||||||
Thereafter | 33,742,269 | 3.78 | 37.19 | 36,275,053 | 3.96 | 35.08 | ||||||||||||||||||
Total par value | 90,737,700 | 3.06 | % | 100.00 | % | 103,379,727 | 3.44 | % | 100.00 | % | ||||||||||||||
Discount on AHP advances1 | (260 | ) | (330 | ) | ||||||||||||||||||||
Hedging adjustments1 | 3,611,311 | 5,773,479 | ||||||||||||||||||||||
Total | $ | 94,348,751 | $ | 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. Amortization of fair value basis adjustments for terminated hedges was a charge to interest income and amounted to ($0.8) million, ($2.0) million, and ($0.4) million for the years ended December 31, 2009, 2008 and 2007. All other amortization charged to interest income aggregated were not significant for all periods reported. Interest rates on AHP advances ranged from 1.25% to 4.00% at December 31, 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 advances, the weighted average rate is the rate outstanding at the reporting dates. |
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December 31, | ||||||||||||||||
2009 | 2008 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of total | Amount | of total | |||||||||||||
Fixed-rate | $ | 76,634,828 | 84.46 | % | $ | 83,173,877 | 80.45 | % | ||||||||
Variable-rate | 13,730,850 | 15.13 | 19,740,850 | 19.10 | ||||||||||||
Variable-rate capped | 370,000 | 0.41 | 465,000 | 0.45 | ||||||||||||
Overdrawn demand deposit accounts | 2,022 | — | — | — | ||||||||||||
Total par value | 90,737,700 | 100.00 | % | 103,379,727 | 100.00 | % | ||||||||||
Discount on AHP Advances | (260 | ) | (330 | ) | ||||||||||||
Hedging basis adjustments | 3,611,311 | 5,773,479 | ||||||||||||||
Total | $ | 94,348,751 | $ | 109,152,876 | ||||||||||||
December 31, | ||||||||
2009 | 2008 | |||||||
LIBOR indexed | $ | 14,100,500 | $ | 18,980,500 | ||||
Overdrawn demand deposit accounts | 2,022 | — | ||||||
Federal funds | — | 1,225,000 | ||||||
Prime | 350 | 350 | ||||||
Total | $ | 14,102,872 | $ | 20,205,850 | ||||
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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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December 31, | ||||||||||||||||
Percentage of | Percentage of | |||||||||||||||
2009 | Total | 2008 | Total | |||||||||||||
Overdrawn demand deposit accounts | $ | 2,022 | — | % | $ | — | — | % | ||||||||
Due or putable in one year or less | 56,978,134 | 62.79 | 63,251,007 | 61.18 | ||||||||||||
Due or putable after one year through two years | 14,082,199 | 15.52 | 18,975,821 | 18.36 | ||||||||||||
Due or putable after two years through three years | 8,991,805 | 9.91 | 10,867,530 | 10.51 | ||||||||||||
Due or putable after three years through four years | 5,374,048 | 5.92 | 5,293,364 | 5.12 | ||||||||||||
Due or putable after four years through five years | 2,826,206 | 3.12 | 2,728,075 | 2.64 | ||||||||||||
Due or putable after five years through six years | 158,329 | 0.18 | 230,189 | 0.22 | ||||||||||||
Thereafter | 2,324,957 | 2.56 | 2,033,741 | 1.97 | ||||||||||||
Total par value | 90,737,700 | 100.00 | % | 103,379,727 | 100.00 | % | ||||||||||
Discount on AHP advances | (260 | ) | (330 | ) | ||||||||||||
Hedging adjustments | 3,611,311 | 5,773,479 | ||||||||||||||
Total | $ | 94,348,751 | $ | 109,152,876 | ||||||||||||
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December 31, | December 31, | Dollar | Percentage | |||||||||||||
2009 | 2008 | Variance | Variance | |||||||||||||
State and local housing finance agency obligations1 | $ | 751,751 | $ | 804,100 | $ | (52,349 | ) | (6.51 | )% | |||||||
Mortgage-backed securities | ||||||||||||||||
Available-for-sale securities, at fair value | 2,240,564 | 2,851,683 | (611,119 | ) | (21.43 | ) | ||||||||||
Held-to-maturity securities, at carrying value | 9,767,531 | 9,326,443 | 441,088 | 4.73 | ||||||||||||
12,759,846 | 12,982,226 | (222,380 | ) | (1.71 | ) | |||||||||||
Grantor trusts2 | 12,589 | 10,186 | 2,403 | 23.59 | ||||||||||||
Certificates of deposit1 | — | 1,203,000 | (1,203,000 | ) | (100.00 | ) | ||||||||||
Federal funds sold | 3,450,000 | — | 3,450,000 | NA | ||||||||||||
Total investments | $ | 16,222,435 | $ | 14,195,412 | $ | 2,027,023 | 14.28 | % | ||||||||
1 | Classified as held-to-maturity securities, at carrying value | |
2 | Classified as available-for-sale securities, at fair value and represents investments in registered mutual funds and other fixed-income securities maintained under the grantor trusts |
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December 31, | Percentage | December 31, | Percentage | |||||||||||||
2009 | of total | 2008 | of total | |||||||||||||
U.S. government sponsored enterprise residential mortgage-backed securities | $ | 8,482,139 | 86.84 | % | $ | 7,577,036 | 81.24 | % | ||||||||
U.S. agency residential mortgage-backed securities | 171,531 | 1.76 | 6,325 | 0.07 | ||||||||||||
U.S. agency commercial mortgage-backed securities | 49,526 | 0.51 | — | — | ||||||||||||
Private-label issued securities backed by home equity loans | 417,151 | 4.27 | 636,466 | 6.83 | ||||||||||||
Private-label issued residential mortgage-backed securities | 444,906 | 4.55 | 609,908 | 6.54 | ||||||||||||
Private-label issued commercial mortgage-backed securities | — | — | 266,994 | 2.86 | ||||||||||||
Private-label issued securities backed by manufactured housing loans | 202,278 | 2.07 | 229,714 | 2.46 | ||||||||||||
Total Held-to-maturity securities-mortgage-backed securities | $ | 9,767,531 | 100.00 | % | $ | 9,326,443 | 100.00 | % | ||||||||
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December 31, | Percentage | December 31, | Percentage | |||||||||||||
2009 | of total | 2008 | of total | |||||||||||||
Fannie Mae | $ | 1,544,500 | 68.93 | % | $ | 1,854,989 | 65.05 | % | ||||||||
Freddie Mac | 696,064 | 31.07 | 996,694 | 34.95 | ||||||||||||
Total AFS mortgage-backed securities | 2,240,564 | 100.00 | % | 2,851,683 | 100.00 | % | ||||||||||
Grantor Trusts — Mutual funds | 12,589 | 10,186 | ||||||||||||||
Total Available-for-sale portfolio | $ | 2,253,153 | $ | 2,861,869 | ||||||||||||
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December 31, 2009 | ||||||||||||||||||||||||
Below | ||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Grade | Total | |||||||||||||||||||
Long-term securities | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 9,205,018 | $ | 299,314 | $ | 65,921 | $ | 31,261 | $ | 166,017 | $ | 9,767,531 | ||||||||||||
State and local housing finance agency obligations | 72,992 | 601,109 | 21,430 | 56,220 | — | 751,751 | ||||||||||||||||||
Total Long-term securities | 9,278,010 | 900,423 | 87,351 | 87,481 | 166,017 | 10,519,282 | ||||||||||||||||||
Short-term securities | ||||||||||||||||||||||||
Certificates of deposit | — | — | — | — | — | — | ||||||||||||||||||
Total | $ | 9,278,010 | $ | 900,423 | $ | 87,351 | $ | 87,481 | $ | 166,017 | $ | 10,519,282 | ||||||||||||
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 finance agency obligations | 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 | ||||||||||
December 31, 2009 | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Unrated | Total | |||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 2,240,564 | $ | — | $ | — | $ | — | $ | — | $ | 2,240,564 | ||||||||||||
Other — Grantor trusts | — | — | — | — | 12,589 | 12,589 | ||||||||||||||||||
Total | $ | 2,240,564 | $ | — | $ | — | $ | — | $ | 12,589 | $ | 2,253,153 | ||||||||||||
December 31, 2008 | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Unrated | Total | |||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 2,851,683 | $ | — | $ | — | $ | — | $ | — | $ | 2,851,683 | ||||||||||||
Other — Grantor trusts | — | — | — | — | 10,186 | 10,186 | ||||||||||||||||||
Total | $ | 2,851,683 | $ | — | $ | — | $ | — | $ | 10,186 | $ | 2,861,869 | ||||||||||||
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December 31, 2009 | December 31, 2008 | |||||||||||||||
Amortized | Weighted | Amortized | Weighted | |||||||||||||
Cost | Average rate | Cost | Average rate | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
Due in one year or less | $ | — | — | % | $ | 257,999 | 7.39 | % | ||||||||
Due after one year through five years | 2,663 | 6.25 | — | — | ||||||||||||
Due after five years through ten years | 1,140,153 | 4.78 | 1,142,000 | 4.76 | ||||||||||||
Due after ten years | 10,977,950 | 3.21 | 10,839,087 | 4.24 | ||||||||||||
Total mortgage-backed securities | $ | 12,120,766 | 3.36 | % | $ | 12,239,086 | 4.36 | % | ||||||||
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December 31, | ||||||||||||||||
Percentage of | Percentage of | |||||||||||||||
2009 | Total | 2008 | Total | |||||||||||||
Real Estate: | ||||||||||||||||
Fixed medium-term single-family mortgages | $ | 388,072 | 29.43 | % | $ | 467,845 | 32.15 | % | ||||||||
Fixed long-term single-family mortgages | 926,856 | 70.27 | 983,493 | 67.58 | ||||||||||||
Multi-family mortgages | 3,908 | 0.30 | 4,009 | 0.27 | ||||||||||||
Total par value | 1,318,836 | 100.00 | % | 1,455,347 | 100.00 | % | ||||||||||
Unamortized premiums | 9,095 | 10,662 | ||||||||||||||
Unamortized discounts | (5,425 | ) | (6,310 | ) | ||||||||||||
Basis adjustment1 | (461 | ) | (408 | ) | ||||||||||||
Total mortgage loans held-for-portfolio | 1,322,045 | 1,459,291 | ||||||||||||||
Allowance for credit losses | (4,498 | ) | (1,406 | ) | ||||||||||||
Total mortgage loans held-for-portfolio after allowance for credit losses | $ | 1,317,547 | $ | 1,457,885 | ||||||||||||
1 | Represents fair value basis of open and closed delivery commitments. |
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December 31, | ||||||||
2009 | 2008 | |||||||
Federal Housing Administration and Veteran Administration insured loans | $ | 5,975 | $ | 6,983 | ||||
Conventional loans | 1,308,953 | 1,444,356 | ||||||
Others | 3,908 | 4,008 | ||||||
Total par value | $ | 1,318,836 | $ | 1,455,347 | ||||
Years ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Beginning balance | $ | 1,406 | $ | 633 | $ | 593 | ||||||
Charge-offs | (16 | ) | — | — | ||||||||
Provision for credit losses on mortgage loans | 3,108 | 773 | 40 | |||||||||
Ending balance | $ | 4,498 | $ | 1,406 | $ | 633 | ||||||
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December 31, | ||||||||||||||||
Percentage of | Percentage of | |||||||||||||||
2009 | Total | 2008 | Total | |||||||||||||
Fixed-rate, non-callable | $ | 48,647,625 | 66.31 | % | $ | 36,367,875 | 44.92 | % | ||||||||
Fixed-rate, callable | 8,374,800 | 11.42 | 4,828,300 | 5.96 | ||||||||||||
Step Up, non-callable | 53,000 | 0.07 | — | — | ||||||||||||
Step Up, callable | 3,305,000 | 4.51 | 73,000 | 0.09 | ||||||||||||
Step Down, callable | — | — | 15,000 | 0.02 | ||||||||||||
Single-index floating rate | 12,977,500 | 17.69 | 39,670,000 | 49.01 | ||||||||||||
Total par value | 73,357,925 | 100.00 | % | 80,954,175 | 100.00 | % | ||||||||||
Bond premiums | 112,866 | 63,737 | ||||||||||||||
Bond discounts | (33,852 | ) | (39,529 | ) | ||||||||||||
Fair value basis adjustments | 572,537 | 1,254,523 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 2,761 | 7,857 | ||||||||||||||
Fair value option valuation adjustments and accrued interest | (4,259 | ) | 15,942 | |||||||||||||
Total bonds | $ | 74,007,978 | $ | 82,256,705 | ||||||||||||
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• | Discount notes— Average outstanding balances of discount notes, a measure of volume, was $24.7 billion in the third quarter of 2008, and increased to $34.5 billion in the fourth quarter of 2008. In response to market demand for shorter-term debt in the first two quarters of 2009, the Bank increased its issuance of discount notes. Volume grew dramatically to $46.2 billion and $48.7 billion in the first and second quarters of 2009. Starting very early in the third quarter of 2009, discount note pricing became relatively unfavorable, and the FHLBNY did not replace a significant portion of its maturing term-discount notes. The 1-month LIBOR reset lower, spreads to LIBOR tightened, and both negatively impacted pricing. Average outstanding balance of discount notes was allowed to decline to $39.5 billion in the third quarter of 2009, and to $31.7 billion in the fourth quarter of 2009. The utilization rate of discount notes to fund total assets, which is one measure of the Bank’s funding tactics, was 36.6% at June 30, 2009, a high for the year, declined to 26.9% at December 31, 2009. The comparable utilization rate at December 31, 2008 was 33.7%. |
• | Floating rate bonds— Floating-rate bonds have declined steadily through the four quarters in 2009, and maturing bonds were not replaced because of marketplace perception of a pricing advantage of comparable GSE issued LIBOR-indexed floaters. FHLBank floating-rate bonds were extensively used in 2008, when the Bank issued floating-rate debt, indexed to 1-month LIBOR, Prime, and Fed effective rates, an innovative shift in funding tactics to take advantage of the historically wide spread between 3-month LIBOR and other indices. By executing interest rate swaps concurrently with the issuances of the floating-rate bonds and swapping the non-3 month LIBOR indices for 3-month LIBOR, the Bank effectively created variable funding that was indexed to 3-month LIBOR. |
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• | Non-callable bonds— Non-callable bonds were the primary funding vehicle for the FHLBNY in 2009. Issuances of non-callable debt are predicated partly on pricing of such debt and investor demand, and partly on the need to achieve asset/liability management goals. The Bank has made a strong effort to issue fixed-rate longer-term debt and lock-in the relative low rates in the current interest-rate environment. This has been a challenge as investor appetite for term debt has continued to be lukewarm, given investor preference for discount notes, short-term bullets and short lock-out callable debt. Investor demand for non-callable debt has been uneven through 2009. In the second and third quarters of 2009, investors were receptive to the FHLBank non-callable bonds as an alternative to comparable debt available in the capital markets. Execution pricing for non-callable bonds was perceived as relatively more favorable. Responding to favorable investor demand, the FHLBNY increased the issuance of medium-term non-callable bonds. Non-callable bonds were $35.4 billion at March 31, 2009, grew to $41.5 billion at June 30, 2009 and to $47.5 billion at September 30, 2009. Since then, investor demand shifted to FHLBank issued short-term fixed-rate callable debt, and callable step-up bonds. As a result, issuances of non-callable bonds grew only marginally to $48.6 billion at December 31, 2009. |
• | Callable-bonds— FHLBank longer-term fixed-rate callable-bonds, which had been considered by investors to be competitively priced, have not been an attractive investment asset for investors over the last several years, and continued to be under price pressure through most of 2009. The Bank’s use of funding with longer-term callable debt declined because of the erosion of their price advantage and weak demand. From time to time, the FHLBank has also issued fixed-rate callable bonds with a one-year maturity and a short lockout call option. This debt structure had grown in demand primarily from domestic money market funds as it offered an alternative investment to 3-month discount notes at an attractive pricing to similar maturity discount notes. During most of 2008 and 2009, issuances of such debt were limited. Early in the third quarter of 2009, short lockout callables (with call dates as short as 3 months from issue date) were once again sought out by investors, who saw a pricing advantage over similar maturity discount notes. In response, issuance volume increased and outstanding balances grew from $3.3 billion at June 30, 2009 to $4.8 billion at September 30, 2009, and to $8.4 billion at December 31, 2009. |
• | Callable step-up bonds— In the third quarter of 2009, the FHLBNY acquired $1.5 billion of callable step-up bonds, primarily with Bermudan call options, and outstanding balances grew to $3.3 billion at December 31, 2009, up from only $73.0 million at December 31, 2008. In the third quarter of 2009, short-term LIBOR rates reset lower. From the 12-month point and beyond, the yield curve steepened. Typically, as short and long-term rates diverge, step-up bonds become more popular as they offer a coupon structure that reflects the shape of the yield curve. Demand for callable step-up bonds in a variety of maturities has been steady during the fourth quarter of 2009, and the FHLBanks have responded by increasing the issuances of such bond structures. |
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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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December 31, | ||||||||||||||||
Percentage | Percentage | |||||||||||||||
2009 | of total | 2008 | of total | |||||||||||||
Year of Maturity or next call date | ||||||||||||||||
Due or callable in one year or less | $ | 50,481,350 | 68.82 | % | $ | 53,034,550 | 65.51 | % | ||||||||
Due or callable after one year through two years | 11,352,200 | 15.48 | 15,472,350 | 19.11 | ||||||||||||
Due or callable after two years through three years | 4,073,575 | 5.55 | 4,843,700 | 5.98 | ||||||||||||
Due or callable after three years through four years | 3,606,250 | 4.91 | 1,445,575 | 1.79 | ||||||||||||
Due or callable after four years through five years | 1,325,800 | 1.81 | 2,954,450 | 3.65 | ||||||||||||
Due or callable after five years through six years | 529,050 | 0.72 | 684,800 | 0.85 | ||||||||||||
Thereafter | 1,989,700 | 2.71 | 2,518,750 | 3.11 | ||||||||||||
Total par value | 73,357,925 | 100.00 | % | 80,954,175 | 100.00 | % | ||||||||||
Bond premiums | 112,866 | 63,737 | ||||||||||||||
Bond discounts | (33,852 | ) | (39,529 | ) | ||||||||||||
Fair value basis adjustments | 572,537 | 1,254,523 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 2,761 | 7,857 | ||||||||||||||
Fair value option valuation adjustments and accrued interest | (4,259 | ) | 15,942 | |||||||||||||
Total bonds | $ | 74,007,978 | $ | 82,256,705 | ||||||||||||
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December 31, | ||||||||
2009 | 2008 | |||||||
Par value | $ | 30,838,104 | $ | 46,431,347 | ||||
Amortized cost | $ | 30,827,639 | $ | 46,329,545 | ||||
Fair value basis adjustments | — | 361 | ||||||
Total | $ | 30,827,639 | $ | 46,329,906 | ||||
Weighted average interest rate | 0.15 | % | 1.00 | % | ||||
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Moody’s Investors Service | S & P | |||||||||
Year | Outlook | Rating | Short-Term Outlook | Rating | ||||||
2009 | June 19, 2009 - Affirmed | P-1 | July 13, 2009 | Short-Term rating affirmed | A-1+ | |||||
February 2, 2009 - Affirmed | P-1 | |||||||||
2008 | October 29, 2008 - Affirmed | P-1 | June 16, 2008 | Short-Term rating affirmed | A-1+ | |||||
April 17, 2008 - Affirmed | P-1 |
Moody’s Investors Service | S & P | |||||||||||||
Year | Outlook | Rating | Long-Term Outlook | Rating | ||||||||||
2009 | June 19, 2009 - Affirmed | Aaa/Stable | July 13, 2009 | Long-Term rating affirmed | outlook stable | AAA/Stable | ||||||||
February 2, 2009 - Affirmed | Aaa/Stable | |||||||||||||
2008 | October 29, 2008 - Affirmed | Aaa/Stable | June 16, 2008 | Long-Term rating affirmed | outlook stable | AAA/Stable | ||||||||
April 17, 2008 - Affirmed | Aaa/Stable |
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• | Net unrealized fair value losses declined to $3.4 million at December 31, 2009, compared to a loss of $64.4 million at December 31, 2008. Unrealized fair value losses on available-for-sale securities reversed almost entirely at December 31, 2009 from a year earlier, resulting in a favorable change of $61.0 million. | ||
• | In 2009 based on the management’s determination of a decrease in cash flows expected to be collected (cash flow shortfall) 17 held-to-maturity private-label MBS were determined to be OTTI, and the Bank recorded non-credit component losses in AOCI. At December 31, 2009, the amount of net loss in AOCI was $110.6 million. No OTTI was recognized in prior years. | ||
• | Net unrealized losses from cash flow hedges of $22.7 million ($30.2 million at December 31, 2008) were principally from terminated hedges of anticipated issuances of debt. These unrealized losses will be recorded in future periods as an expense over the terms of the hedged bonds as a yield adjustment to the fixed coupons of the debt. Over the next 12 months it is expected that $6.9 million of net losses will be reclassified as a charge to earnings. | ||
• | Minimum additional actuarially determined liabilities due on the Bank’s supplemental pension plans of $7.9 million at December 31, 2009 ($6.6 million at December 31, 2008). |
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December 31, 2009 | December 31, 2008 | |||||||||||
Notional Amount | Notional Amount | |||||||||||
Derivatives/Terms | Hedging Strategy | Accounting Designation | (in millions) | (in millions) | ||||||||
Pay fixed, receive floating interest rate swap | To convert fixed rate on a fixed rate advance to a LIBOR floating rate | Economic Hedge of fair value risk | $ | 123 | $ | 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 | $ | 40,252 | $ | 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 | $ | 2,283 | $ | 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 | $ | 23,367 | $ | 18,444 | ||||||
Purchased interest rate cap | To offset the cap embedded in the variable rate advance | Economic Hedge of fair value risk | $ | 390 | $ | 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 | $ | 13,113 | $ | 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 | $ | 6,785 | $ | 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 | $ | 108 | $ | 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 | $ | 25,982 | $ | 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 | $ | 3,784 | $ | 7,509 | ||||||
Basis swap | To convert non-LIBOR index to LIBOR to reduce interest rate sensitivity and repricing gaps. | Economic Hedge of cash flows | $ | 6,035 | $ | 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 | $ | 1,950 | $ | 10,590 | ||||||
Receive fixed, pay floating interest rate swap cancelable by counterparty | Fixed rate callable bond converted to a LIBOR floating rate; matched to callable bond accounted for under fair value option. | Fair Value Option | $ | 5,690 | $ | 583 | ||||||
Receive fixed, pay floating interest rate swap no longer cancelable | Fixed rate callable bond converted to a LIBOR floating rate; matched to bond no-longer callable accounted for under fair value option. | Fair Value Option | $ | — | $ | 400 | ||||||
Receive fixed, pay floating interest rate swap non-cancelable | Fixed rate callable bond converted to a LIBOR floating rate; matched to non-callable bond accounted for under fair value option. | Fair Value Option | $ | 350 | $ | — | ||||||
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 and caps | To offset interest rate swaps and caps executed with members by executing offsetting derivatives with counterparties | Economic Hedge of fair value risk | $ | 320 | $ | 300 |
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December 31, 2009 | December 31, 2008 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Notional | Fair Value | Notional | Fair Value | |||||||||||||
Interest rate swaps | ||||||||||||||||
Derivatives in fair value hedging relationships | $ | 98,776,447 | $ | (3,056,718 | ) | $ | 84,582,796 | $ | (4,531,004 | ) | ||||||
Derivatives not designated as hedging instruments | 27,104,963 | 31,723 | 39,691,142 | (76,412 | ) | |||||||||||
Derivatives matching bonds designated under FVO | 6,040,000 | (2,632 | ) | 983,000 | 7,699 | |||||||||||
Interest rate caps/floors | ||||||||||||||||
Economic-fair value changes | 2,282,000 | 71,494 | 2,357,000 | 8,174 | ||||||||||||
Mortgage delivery commitments (MPF) | ||||||||||||||||
Economic-fair value changes | 4,210 | (39 | ) | 10,395 | (108 | ) | ||||||||||
Other | ||||||||||||||||
Intermediation | 320,000 | 352 | 300,000 | 484 | ||||||||||||
Total | $ | 134,527,620 | $ | (2,955,820 | ) | $ | 127,924,333 | $ | (4,591,167 | ) | ||||||
Total derivatives, excluding accrued interest | $ | (2,955,820 | ) | $ | (4,591,167 | ) | ||||||||||
Cash collateral pledged to counterparties | 2,237,028 | 3,836,370 | ||||||||||||||
Cash collateral received from counterparties | — | (61,209 | ) | |||||||||||||
Accrued interest | (19,104 | ) | (25,418 | ) | ||||||||||||
Net derivative balance | $ | (737,896 | ) | $ | (841,424 | ) | ||||||||||
Net derivative asset balance | $ | 8,280 | $ | 20,236 | ||||||||||||
Net derivative liability balance | (746,176 | ) | (861,660 | ) | ||||||||||||
Net derivative balance | $ | (737,896 | ) | $ | (841,424 | ) | ||||||||||
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December 31, 2009 | December 31, 2008 | |||||||||||||||
Total estimated | Total estimated | |||||||||||||||
�� | fair value | fair value | ||||||||||||||
(excluding | (excluding | |||||||||||||||
Total notional | accrued | Total notional | accrued | |||||||||||||
amount | interest) | amount | interest) | |||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||
Advances-fair value hedges | $ | 65,901,667 | $ | (3,622,141 | ) | $ | 61,673,607 | $ | (5,758,653 | ) | ||||||
Consolidated obligations-fair value hedges | 32,874,780 | 565,423 | 22,909,189 | 1,227,649 | ||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||
Advances-economic hedges | 513,089 | (196 | ) | 1,082,700 | (24,520 | ) | ||||||||||
Consolidated obligations-economic hedges | 24,881,874 | 36,954 | 36,973,442 | (45,884 | ) | |||||||||||
MPF loan-commitments | 4,210 | (39 | ) | 10,395 | (108 | ) | ||||||||||
Balance sheet | 1,892,000 | 71,494 | 1,892,000 | 8,164 | ||||||||||||
Intermediary positions-economic hedges | 320,000 | 352 | 300,000 | 484 | ||||||||||||
Balance sheet-macro hedges swaps | 2,100,000 | (5,035 | ) | 2,100,000 | (5,998 | ) | ||||||||||
Derivatives matching bonds designated under FVO | ||||||||||||||||
Interest rate swaps-consolidated obligations-bonds | 6,040,000 | (2,632 | ) | 983,000 | 7,699 | |||||||||||
Total notional and fair value | $ | 134,527,620 | $ | (2,955,820 | ) | $ | 127,924,333 | $ | (4,591,167 | ) | ||||||
Total derivatives, excluding accrued interest | $ | (2,955,820 | ) | $ | (4,591,167 | ) | ||||||||||
Cash collateral pledged to counterparties | 2,237,028 | 3,836,370 | ||||||||||||||
Cash collateral received from counterparties | — | (61,209 | ) | |||||||||||||
Accrued interest | (19,104 | ) | (25,418 | ) | ||||||||||||
Net derivative balance | $ | (737,896 | ) | $ | (841,424 | ) | ||||||||||
Net derivative asset balance | $ | 8,280 | $ | 20,236 | ||||||||||||
Net derivative liability balance | (746,176 | ) | (861,660 | ) | ||||||||||||
Net derivative balance | $ | (737,896 | ) | $ | (841,424 | ) | ||||||||||
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December 31, 2009 | ||||||||||||||||
Total Net | ||||||||||||||||
Number of | Notional | Exposure at | Net Exposure after | |||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | Cash Collateral3 | ||||||||||||
AAA | — | $ | — | $ | — | $ | — | |||||||||
AA | 7 | 45,652,167 | 684 | 684 | ||||||||||||
A | 8 | 88,711,243 | — | — | ||||||||||||
Members (Note1 and Note2) | 2 | 160,000 | 7,596 | 7,596 | ||||||||||||
Delivery Commitments | — | 4,210 | — | — | ||||||||||||
Total | 17 | $ | 134,527,620 | $ | 8,280 | $ | 8,280 | |||||||||
December 31, 2008 | ||||||||||||||||
Total Net | ||||||||||||||||
Number of | Notional | Exposure at | Net Exposure after | |||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | Cash Collateral3 | ||||||||||||
AAA | 1 | $ | 9,167,456 | $ | — | $ | — | |||||||||
AA | 6 | 39,939,946 | — | — | ||||||||||||
A | 7 | 78,656,536 | 64,890 | 3,681 | ||||||||||||
Members (Note1 and Note2) | 3 | 150,000 | 16,555 | 16,555 | ||||||||||||
Delivery Commitments | — | 10,395 | — | — | ||||||||||||
Total | 17 | $ | 127,924,333 | $ | 81,445 | $ | 20,236 | |||||||||
Note1: | Fair values of $7.6 million and $16.6 million comprising of intermediated transactions with members and interest-rate caps sold to members (with capped floating-rate advances) were collateralized at December 31, 2009 and December 31, 2008. | |
Note2: | Members are required to pledge collateral to secure derivatives purchased by the FHLBNY as an intermediary on behalf of its members. Eligible collateral includes: (1) one-to-four-family and multi-family mortgages; (2) U.S. Treasury and government-agency securities; (3) mortgage-backed securities; and (4) certain other collateral which is real estate-related and has a readily ascertainable value, and in which the FHLBNY can perfect a security interest. As a result of the collateral agreements with its members, the FHLBNY believes that its maximum credit exposure due to the intermediated transactions was $0 at December 31, 2009 and December 31, 2008. | |
Note3: | As reported in the Statements of Condition. |
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• | Inception prospective assessment.Upon designation of the hedging relationship and on an ongoing basis, FHLBNY is required to demonstrate that it expects the hedging relationship to be highly effective. This is a forward-looking consideration. The prospective assessment at designation uses sensitivity analysis employing an option adjusted valuation model to generate changes in market value of the hedged item and the swap. These projected market values are then analyzed over multiple instantaneous, parallel rate shocks. The hedge is expected to be highly effective if the change in fair value of the swap divided by the change in the fair value of the hedged item is within the 80% -125% dollar value offset boundaries. See additional description of regression analysis in following paragraphs. | |
• | Ongoing prospective assessment. For purposes of assessing effectiveness on an ongoing basis, the Bank will utilize the regression results from its retrospective assessment as a means of demonstrating that it expects all “long-haul” hedge relationships to be highly effective in future periods (i.e., it will use the regression for both its ongoing prospective and retrospective assessment). | |
• | Retrospective assessment.At least quarterly, FHLBNY will be required to determine whether the hedging relationship was highly effective in offsetting changes in fair value or cash flows through the date of the periodic assessment. This is an evaluation of the past experience. |
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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 | |||||||||
December 31, 2009 | $ | 2,364 | $ | 53,089 | $ | 50,725 | ||||||
September 30, 2009 | 2,189 | 55,890 | 53,701 | |||||||||
June 30, 2009 | 2,190 | 57,886 | 55,696 | |||||||||
March 31, 2009 | 1,753 | 63,267 | 61,514 | |||||||||
December 31, 2008 | 2,022 | 66,246 | 64,224 | |||||||||
September 30, 2008 | 1,657 | 55,038 | 53,381 | |||||||||
June 30, 2008 | 2,239 | 51,053 | 48,814 | |||||||||
March 31, 2008 | 2,091 | 47,764 | 45,673 |
Average Balance Sheet | Average Actual | |||||||||||
For the quarters ended | Liquidity Requirement | Operational Liquidity | Excess | |||||||||
December 31, 2009 | $ | 6,710 | $ | 16,388 | $ | 9,678 | ||||||
September 30, 2009 | 18,348 | 22,205 | 3,857 | |||||||||
June 30, 2009 | 11,925 | 25,904 | 13,979 | |||||||||
March 31, 2009 | 9,543 | 20,893 | 11,350 | |||||||||
December 31, 2008 | 8,226 | 14,827 | 6,601 | |||||||||
September 30, 2008 | 7,548 | 21,337 | 13,789 | |||||||||
June 30, 2008 | 7,440 | 20,018 | 12,578 | |||||||||
March 31, 2008 | 5,229 | 18,232 | 13,003 |
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Average Five Day | Average Actual | |||||||||||
For the quarters ended | Requirement | Contingency Liquidity | Excess | |||||||||
December 31, 2009 | $ | 2,188 | $ | 15,309 | $ | 13,121 | ||||||
September 30, 2009 | 2,962 | 16,676 | 13,714 | |||||||||
June 30, 2009 | 11,877 | 21,030 | 9,153 | |||||||||
March 31, 2009 | 7,443 | 18,709 | 11,266 | |||||||||
December 31, 2008 | 4,727 | 12,930 | 8,203 | |||||||||
September 30, 2008 | 4,210 | 18,795 | 14,585 | |||||||||
June 30, 2008 | 3,948 | 17,186 | 13,238 | |||||||||
March 31, 2008 | 4,887 | 16,382 | 11,495 |
• | Cash; | ||
• | Obligations of, or fully guaranteed by, the United States; | ||
• | Secured advances; | ||
• | Mortgages that have any guaranty, insurance, or commitment from the United States or any agency of the United States; | ||
• | Investments described in section 16(a) of the FHLBank Act, including securities that a fiduciary or trust fund may purchase under the laws of the state in which the FHLBank is located; and | ||
• | Other securities that are rated Aaa by Moody’s or AAA by Standard & Poor’s. |
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December 31, | ||||||||
2009 | 2008 | |||||||
Consolidated Obligations: | ||||||||
Bonds | $ | 74,007,978 | $ | 82,256,705 | ||||
Discount Notes | 30,827,639 | 46,329,906 | ||||||
Total consolidated obligations | 104,835,617 | 128,586,611 | ||||||
Unpledged assets | ||||||||
Cash | 2,189,252 | 18,899 | ||||||
Less: Member pass-through reserves at the FRB | (29,331 | ) | (31,003 | ) | ||||
Secured Advances 1 | 94,348,751 | 109,152,876 | ||||||
Investments1 | 16,222,615 | 26,364,661 | ||||||
Mortgage loans | 1,317,547 | 1,457,885 | ||||||
Accrued interest receivable on advances and investments | 340,510 | 492,856 | ||||||
Less: Pledged Assets | (2,045 | ) | (2,669 | ) | ||||
114,387,299 | 137,453,505 | |||||||
Excess unpledged assets | $ | 9,551,682 | $ | 8,866,894 | ||||
1 | At December 31, 2009, the Bank pledged $2.0 million to the FDIC see Note 4- Held-to-maturity securities. The Bank also provided to the U.S. Treasury a listing of $10.3 billion in advances with respect to a lending agreement. See Note 19 — Commitments and Contingencies. | |
Finance Agency regulations require the FHLBanks to maintain, in the aggregate, unpledged qualifying assets equal to the consolidated obligations outstanding. Qualifying assets are defined as cash; secured advances; assets with an assessment or rating at least equivalent to the current assessment or rating of the consolidated obligations; obligations, participations, mortgages, or other securities of or issued by the United States or an agency of the United States; and such securities in which fiduciary and trust funds may invest under the laws of the state in which the FHLBank is located. |
December 31, 2009 | December 31, 2008 | |||||||||||||||
Actual | Limits | Actual | Limits | |||||||||||||
Mortgage securities investment authority1 | 213 | % | 300 | % | 207 | % | 300 | % | ||||||||
1 | The measurement date is on a one-month “look-back” basis. |
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• | Swaps designated as economic hedges were primarily interest rate basis swaps executed to reduce the FHLBNY’s debt expense exposure to changes in the 3-month LIBOR rates. The FHLBNY had issued floating-rate debt that were either indexed to 1-month LIBOR, prime, or the daily Federal funds rate, and the swaps synthetically converted the combined debt and swap cash flows to 3-month LIBOR rates. The basis swaps and other interest rate swaps were designated as economic hedges, because management could not establish with certainty that the hedges would be highly effective hedges in future periods, or the hedges had ceased to be highly effective hedges, or the operational burden of establishing hedge accounting was significant. The derivatives designated as economic hedges are marked to fair value through earnings with no offsetting changes in fair values of the hedged financial instruments. Favorable fair value gains of interest rate swaps in 2009 were primarily the reversal of fair value losses recorded in 2008 from swaps that had matured or were nearing maturity in 2009. When interest rate swaps are held to their contractual maturity (or put/call dates), nearly all of the cumulative net fair value gains and losses that are unrealized will generally reverse over time, and fair value changes will sum to zero. |
• | Purchased interest rate caps also exhibited fair value gains in 2009. Fair values of interest rate caps are impacted by the level of interest rates, volatility (variability of interest rates), and terms to maturity. Long-term rates have been rising and in this interest rate environment, purchased caps will show favorable fair value gains. Such gains are unrealized and will also reverse if the caps are held to their contractual maturities. |
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December 31, | Percentage | Percentage | ||||||||||||||||||
2009 | 2008 | 2007 | Variance 2009 | Variance 2008 | ||||||||||||||||
Interest Income | ||||||||||||||||||||
Advances | $ | 1,270,643 | $ | 3,030,799 | $ | 3,495,312 | (58.08 | )% | (13.29) | % | ||||||||||
Interest-bearing deposits | 19,865 | 28,012 | 3,333 | (29.08 | ) | 740.44 | ||||||||||||||
Federal funds sold | 3,238 | 77,976 | 192,845 | (95.85 | ) | (59.57 | ) | |||||||||||||
Available-for-sale securities | 28,842 | 80,746 | — | (64.28 | ) | N/A | ||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||
Long-term securities | 461,491 | 531,151 | 596,761 | (13.11 | ) | (10.99 | ) | |||||||||||||
Certificates of deposit | 1,626 | 232,300 | 408,308 | (99.30 | ) | (43.11 | ) | |||||||||||||
Mortgage loans held-for-portfolio | 71,980 | 77,862 | 78,937 | (7.55 | ) | (1.36 | ) | |||||||||||||
Loans to other FHLBanks and other | 2 | 33 | 9 | (93.94 | ) | 266.67 | ||||||||||||||
Total interest income | $ | 1,857,687 | $ | 4,058,879 | $ | 4,775,505 | (54.23 | )% | (15.01 | )% | ||||||||||
Years ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Advance Interest Income | ||||||||||||
Advance interest income before adjustment for interest rate swaps | $ | 3,062,649 | $ | 3,483,979 | $ | 3,139,311 | ||||||
Net interest adjustment from interest rate swaps1 | (1,792,006 | ) | (453,180 | ) | 356,001 | |||||||
Total Advance interest income reported | $ | 1,270,643 | $ | 3,030,799 | $ | 3,495,312 | ||||||
1 | Interest portion only |
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December 31, | Percentage | Percentage | ||||||||||||||||||
2009 | 2008 | 2007 | Variance 2009 | Variance 2008 | ||||||||||||||||
Interest Expense | ||||||||||||||||||||
Consolidated obligations-bonds | $ | 953,970 | $ | 2,620,431 | $ | 3,215,560 | (63.59 | )% | (18.51 | )% | ||||||||||
Consolidated obligations-discount notes | 193,041 | 697,729 | 937,534 | (72.33 | ) | (25.58 | ) | |||||||||||||
Deposits | 2,512 | 36,193 | 106,777 | (93.06 | ) | (66.10 | ) | |||||||||||||
Mandatorily redeemable capital stock | 7,507 | 8,984 | 11,731 | (16.44 | ) | (23.42 | ) | |||||||||||||
Cash collateral held and other borrowings | 49 | 1,044 | 4,516 | (95.31 | ) | (76.88 | ) | |||||||||||||
Total interest expense | $ | 1,157,079 | $ | 3,364,381 | $ | 4,276,118 | (65.61 | )% | (21.32 | )% | ||||||||||
Years ended December 31, | ||||||||||||||||||||||||
Percentage | Percentage | Percentage | ||||||||||||||||||||||
2009 | of total | 2008 | of total | 2007 | of total | |||||||||||||||||||
Fixed-rate Bonds | $ | 1,360,419 | 79.71 | % | $ | 2,052,066 | 56.13 | % | $ | 2,710,748 | 68.13 | % | ||||||||||||
Floating-rate Bonds | 153,198 | 8.98 | 906,452 | 24.79 | 330,710 | 8.31 | ||||||||||||||||||
Discount Notes | 193,041 | 11.31 | 697,729 | 19.08 | 937,534 | 23.56 | ||||||||||||||||||
1,706,658 | 100.00 | % | 3,656,247 | 100.00 | % | 3,978,992 | 100.00 | % | ||||||||||||||||
Net Impact of interest rate swaps | (559,647 | ) | (338,087 | ) | 174,102 | |||||||||||||||||||
Reported Interest Expense | $ | 1,147,011 | $ | 3,318,160 | $ | 4,153,094 | ||||||||||||||||||
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Years ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Consolidated bonds and discount notes-Interest expense | ||||||||||||
Bonds-Interest expense before adjustment for swaps | $ | 1,513,617 | $ | 2,958,518 | $ | 3,041,458 | ||||||
Discount notes-Interest expense before adjustment for swaps | 193,041 | 697,729 | 937,534 | |||||||||
Net interest adjustment for interest rate swaps1 | (559,647 | ) | (338,087 | ) | 174,102 | |||||||
Total Consolidated bonds and discount notes-interest expense reported | $ | 1,147,011 | $ | 3,318,160 | $ | 4,153,094 | ||||||
1 | Interest portion only |
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December 31, | Percentage | Percentage | ||||||||||||||||||
2009 | 2008 | 2007 | Variance 2009 | Variance 2008 | ||||||||||||||||
Interest Income | ||||||||||||||||||||
Advances | $ | 1,270,643 | $ | 3,030,799 | $ | 3,495,312 | (58.08 | )% | (13.29 | )% | ||||||||||
Interest-bearing deposits | 19,865 | 28,012 | 3,333 | (29.08 | ) | 740.44 | ||||||||||||||
Federal funds sold | 3,238 | 77,976 | 192,845 | (95.85 | ) | (59.57 | ) | |||||||||||||
Available-for-sale securities | 28,842 | 80,746 | — | (64.28 | ) | N/A | ||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||
Long-term securities | 461,491 | 531,151 | 596,761 | (13.11 | ) | (10.99 | ) | |||||||||||||
Certificates of deposit | 1,626 | 232,300 | 408,308 | (99.30 | ) | (43.11 | ) | |||||||||||||
Mortgage loans held-for-portfolio | 71,980 | 77,862 | 78,937 | (7.55 | ) | (1.36 | ) | |||||||||||||
Loans to other FHLBanks and other | 2 | 33 | 9 | (93.94 | ) | 266.67 | ||||||||||||||
Total interest income | 1,857,687 | 4,058,879 | 4,775,505 | (54.23 | ) | (15.01 | ) | |||||||||||||
Interest Expense | ||||||||||||||||||||
Consolidated obligations-bonds | 953,970 | 2,620,431 | 3,215,560 | (63.59 | ) | (18.51 | ) | |||||||||||||
Consolidated obligations-discount notes | 193,041 | 697,729 | 937,534 | (72.33 | ) | (25.58 | ) | |||||||||||||
Deposits | 2,512 | 36,193 | 106,777 | (93.06 | ) | (66.10 | ) | |||||||||||||
Mandatorily redeemable capital stock | 7,507 | 8,984 | 11,731 | (16.44 | ) | (23.42 | ) | |||||||||||||
Cash collateral held and other borrowings | 49 | 1,044 | 4,516 | (95.31 | ) | (76.88 | ) | |||||||||||||
Total interest expense | 1,157,079 | 3,364,381 | 4,276,118 | (65.61 | ) | (21.32 | ) | |||||||||||||
Net interest income before provision for credit losses | $ | 700,608 | $ | 694,498 | $ | 499,387 | 0.88 | % | 39.07 | % | ||||||||||
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Years ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Interest Income | $ | 3,649,693 | $ | 4,512,059 | $ | 4,419,504 | ||||||
Net interest adjustment from interest rate swaps | (1,792,006 | ) | (453,180 | ) | 356,001 | |||||||
Reported interest income | 1,857,687 | 4,058,879 | 4,775,505 | |||||||||
Interest Expense | 1,716,726 | 3,702,468 | 4,102,016 | |||||||||
Net interest adjustment from interest rate swaps | (559,647 | ) | (338,087 | ) | 174,102 | |||||||
Reported interest expense | 1,157,079 | 3,364,381 | 4,276,118 | |||||||||
Net interest income (Margin) | $ | 700,608 | $ | 694,498 | $ | 499,387 | ||||||
Net interest adjustment — interest rate swaps | $ | (1,232,359 | ) | $ | (115,093 | ) | $ | 181,899 | ||||
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Years ended December 31, | ||||||||||||||||||||||||||||||||||||
2009 | 2008 | 2007 | ||||||||||||||||||||||||||||||||||
Amount | ROA | Net Spread | Amount | ROA | Net Spread | Amount | ROA | Net Spread | ||||||||||||||||||||||||||||
GAAP net interest income | $ | 700,608 | 0.56 | % | 0.49 | % | $ | 694,498 | 0.59 | % | 0.41 | % | $ | 499,387 | 0.56 | % | 0.30 | % | ||||||||||||||||||
Interest income (expense) | ||||||||||||||||||||||||||||||||||||
Swaps not designated in a hedging relationship | 8,026 | 0.01 | 0.01 | (127,056 | ) | (0.11 | ) | (0.11 | ) | 1,887 | — | — | ||||||||||||||||||||||||
Economic net interest income | $ | 708,634 | 0.57 | % | 0.50 | % | $ | 567,442 | 0.48 | % | 0.30 | % | $ | 501,274 | 0.56 | % | 0.30 | % | ||||||||||||||||||
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Years ended December 31, | ||||||||||||||||||||||||||||||||||||
2009 | 2008 | 2007 | ||||||||||||||||||||||||||||||||||
Interest | Interest | Interest | ||||||||||||||||||||||||||||||||||
Average | Income/ | Average | Income/ | Average | Income/ | |||||||||||||||||||||||||||||||
(dollars in thousands) | Balance | Expense | Rate1 | Balance | Expense | Rate1 | Balance | Expense | Rate1 | |||||||||||||||||||||||||||
Earning Assets: | ||||||||||||||||||||||||||||||||||||
Advances | $ | 98,965,716 | $ | 1,270,643 | 1.28 | % | $ | 92,616,501 | $ | 3,030,799 | 3.27 | % | $ | 65,454,319 | $ | 3,495,312 | 5.34 | % | ||||||||||||||||||
Certificates of deposit and other | 3,263,671 | 6,096 | 0.19 | 7,802,425 | 251,600 | 3.22 | 7,689,475 | 411,641 | 5.35 | |||||||||||||||||||||||||||
Federal funds sold and other overnight funds | 8,386,126 | 18,635 | 0.22 | 4,333,408 | 86,688 | 2.00 | 3,741,385 | 192,845 | 5.15 | |||||||||||||||||||||||||||
Investments | 12,761,836 | 490,333 | 3.84 | 12,441,712 | 611,897 | 4.92 | 10,798,926 | 596,761 | 5.53 | |||||||||||||||||||||||||||
Mortgage and other loans | 1,386,964 | 71,980 | 5.19 | 1,467,561 | 77,895 | 5.31 | 1,502,320 | 78,946 | 5.25 | |||||||||||||||||||||||||||
Total interest-earning assets | $ | 124,764,313 | $ | 1,857,687 | 1.49 | % | $ | 118,661,607 | $ | 4,058,879 | 3.42 | % | $ | 89,186,425 | $ | 4,775,505 | 5.35 | % | ||||||||||||||||||
Funded By: | ||||||||||||||||||||||||||||||||||||
Consolidated obligations-bonds | $ | 71,860,494 | $ | 953,970 | 1.33 | $ | 81,341,452 | $ | 2,620,431 | 3.22 | $ | 63,276,726 | $ | 3,215,560 | 5.08 | |||||||||||||||||||||
Consolidated obligations-discount notes | 41,495,955 | 193,041 | 0.47 | 28,349,373 | 697,729 | 2.46 | 18,956,390 | 937,534 | 4.95 | |||||||||||||||||||||||||||
Interest-bearing deposits and other borrowings | 2,121,718 | 2,561 | 0.12 | 2,058,389 | 37,237 | 1.81 | 2,285,523 | 111,293 | 4.87 | |||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 137,126 | 7,507 | 5.47 | 166,372 | 8,984 | 5.40 | 146,286 | 11,731 | 8.02 | |||||||||||||||||||||||||||
Total interest-bearing liabilities | 115,615,293 | 1,157,079 | 1.00 | % | 111,915,586 | 3,364,381 | 3.01 | % | 84,664,925 | 4,276,118 | 5.05 | % | ||||||||||||||||||||||||
Capital and other non-interest-bearing funds | 9,149,020 | — | 6,746,021 | — | 4,521,500 | — | ||||||||||||||||||||||||||||||
Total Funding | $ | 124,764,313 | $ | 1,157,079 | $ | 118,661,607 | $ | 3,364,381 | $ | 89,186,425 | $ | 4,276,118 | ||||||||||||||||||||||||
Net Interest Income/Spread | $ | 700,608 | 0.49 | % | $ | 694,498 | 0.41 | % | $ | 499,387 | 0.30 | % | ||||||||||||||||||||||||
Net Interest Margin (Net interest income/Earning Assets) | 0.56 | % | 0.59 | % | 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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For the years ended | ||||||||||||
December 31, 2009 vs. December 31, 2008 | ||||||||||||
Increase (decrease) | ||||||||||||
Volume | Rate | Total | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 207,773 | $ | (1,967,929 | ) | $ | (1,760,156 | ) | ||||
Certificates of deposit and other | (146,358 | ) | (99,146 | ) | (245,504 | ) | ||||||
Federal funds sold and other overnight funds | 81,073 | (149,126 | ) | (68,053 | ) | |||||||
Investments | 15,744 | (137,308 | ) | (121,564 | ) | |||||||
Mortgage loans and other loans | (4,278 | ) | (1,637 | ) | (5,915 | ) | ||||||
Total interest income | 153,954 | (2,355,146 | ) | (2,201,192 | ) | |||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | (305,431 | ) | (1,361,030 | ) | (1,666,461 | ) | ||||||
Consolidated obligations-discount notes | 323,561 | (828,249 | ) | (504,688 | ) | |||||||
Deposits and borrowings | 1,146 | (35,822 | ) | (34,676 | ) | |||||||
Mandatorily redeemable capital stock | (1,579 | ) | 102 | (1,477 | ) | |||||||
Total interest expense | 17,697 | (2,224,999 | ) | (2,207,302 | ) | |||||||
Changes in Net Interest Income | $ | 136,257 | $ | (130,147 | ) | $ | 6,110 | |||||
For the years ended | ||||||||||||
December 31, 2008 vs. December 31, 2007 | ||||||||||||
Increase (decrease) | ||||||||||||
Volume | Rate | Total | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 1,450,481 | $ | (1,914,994 | ) | $ | (464,513 | ) | ||||
Certificates of deposit and other | 6,047 | (166,088 | ) | (160,041 | ) | |||||||
Federal funds sold and other overnight funds | 30,516 | (136,673 | ) | (106,157 | ) | |||||||
Investments | 90,782 | (75,646 | ) | 15,136 | ||||||||
Mortgage loans and other loans | (1,827 | ) | 776 | (1,051 | ) | |||||||
Total interest income | 1,575,999 | (2,292,625 | ) | (716,626 | ) | |||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | 918,002 | (1,513,131 | ) | (595,129 | ) | |||||||
Consolidated obligations-discount notes | 464,553 | (704,358 | ) | (239,805 | ) | |||||||
Deposits and borrowings | (11,060 | ) | (62,996 | ) | (74,056 | ) | ||||||
Mandatorily redeemable capital stock | 1,611 | (4,358 | ) | (2,747 | ) | |||||||
Total interest expense | 1,373,106 | (2,284,843 | ) | (911,737 | ) | |||||||
Changes in Net Interest Income | $ | 202,893 | $ | (7,782 | ) | $ | 195,111 | |||||
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Years ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Other income (loss): | ||||||||||||
Service fees | $ | 4,165 | $ | 3,357 | $ | 3,324 | ||||||
Instruments held at fair value — Unrealized gain (loss) | 15,523 | (8,325 | ) | — | ||||||||
Total OTTI losses | (140,912 | ) | — | — | ||||||||
Portion of loss recognized in other comprehensive income | 120,096 | — | — | |||||||||
Net impairment losses recognized in earnings | (20,816 | ) | — | — | ||||||||
Net realized and unrealized gain (loss) on derivatives and hedging activities | 164,700 | (199,259 | ) | 18,356 | ||||||||
Net realized gain from sale of available-for-sale and redemption of held-to-maturity securities | 721 | 1,058 | — | |||||||||
Provision for derivative counterparty credit losses | — | (64,523 | ) | — | ||||||||
Other | 77 | 233 | (8,180 | ) | ||||||||
Total other income (loss) | $ | 164,370 | $ | (267,459 | ) | $ | 13,500 | |||||
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December 31, 2009 | ||||||||||||||||||||||||||||
Consolidated | Consolidated | |||||||||||||||||||||||||||
MPF | Obligation | Obligation | Balance | Intermediary | ||||||||||||||||||||||||
Earnings Impact | Advances | Loans | Bonds | Discount Notes | Sheet | Positions | Total | |||||||||||||||||||||
Amortization/accretion of hedging activities reported in net interest income | $ | (1,226 | ) | $ | 36 | $ | (1,980 | ) | $ | 361 | $ | — | $ | — | $ | (2,809 | ) | |||||||||||
Net realized and unrealized gains (losses) on derivatives and hedging activities | (4,542 | ) | — | 25,648 | — | — | — | 21,106 | ||||||||||||||||||||
Net gains (losses) derivatives-FVO | — | — | (1,168 | ) | — | — | — | (1,168 | ) | |||||||||||||||||||
Gains (losses)-economic hedges | (6,409 | ) | (20 | ) | 52,311 | 33,606 | 65,321 | (47 | ) | 144,762 | ||||||||||||||||||
Reported in other income | (10,951 | ) | (20 | ) | 76,791 | 33,606 | 65,321 | (47 | ) | 164,700 | ||||||||||||||||||
Total | $ | (12,177 | ) | $ | 16 | $ | 74,811 | $ | 33,967 | $ | 65,321 | $ | (47 | ) | $ | 161,891 | ||||||||||||
December 31, 2008 | ||||||||||||||||||||||||||||
Consolidated | Consolidated | |||||||||||||||||||||||||||
MPF | Obligation | Obligation | Balance | Intermediary | ||||||||||||||||||||||||
Earnings Impact | Advances | Loans | Bonds | Discount Notes | Sheet | Positions | Total | |||||||||||||||||||||
Amortization/accretion of hedging activities reported in net interest income | $ | (2,472 | ) | $ | 81 | $ | (459 | ) | $ | — | $ | — | $ | — | $ | (2,850 | ) | |||||||||||
Net realized and unrealized gains (losses) on derivatives and hedging activities | 31,838 | — | (43,539 | ) | (333 | ) | — | — | (12,034 | ) | ||||||||||||||||||
Net gains (losses) derivatives-FVO | — | — | 7,193 | — | — | — | 7,193 | |||||||||||||||||||||
Gains (losses)-economic hedges | (22,656 | ) | (3 | ) | (159,686 | ) | 8,142 | (20,695 | ) | 480 | (194,418 | ) | ||||||||||||||||
Reported in other income | 9,182 | (3 | ) | (196,032 | ) | 7,809 | (20,695 | ) | 480 | (199,259 | ) | |||||||||||||||||
Total | $ | 6,710 | $ | 78 | $ | (196,491 | ) | $ | 7,809 | $ | (20,695 | ) | $ | 480 | $ | (202,109 | ) | |||||||||||
December 31, 2007 | ||||||||||||||||||||||||||||
Consolidated | Consolidated | |||||||||||||||||||||||||||
MPF | Obligation | Obligation | Balance | Intermediary | ||||||||||||||||||||||||
Earnings Impact | Advances | Loans | Bonds | Discount Notes | Sheet | Positions | Total | |||||||||||||||||||||
Amortization/accretion of hedging activities reported in net interest income | $ | (1,322 | ) | $ | (159 | ) | $ | 854 | $ | — | $ | — | $ | — | $ | (627 | ) | |||||||||||
Net realized and unrealized gains (losses) on derivatives and hedging activities | 7,968 | — | (2,049 | ) | — | — | — | 5,919 | ||||||||||||||||||||
Gains (losses)-economic hedges | 1,021 | (171 | ) | 11,517 | 43 | — | 27 | 12,437 | ||||||||||||||||||||
Reported in other income | 8,989 | (171 | ) | 9,468 | 43 | — | 27 | 18,356 | ||||||||||||||||||||
Total | $ | 7,667 | $ | (330 | ) | $ | 10,322 | $ | 43 | $ | — | $ | 27 | $ | 17,729 | |||||||||||||
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Years ended December 31, | ||||||||||||
2009 | 2008 | 20072 | ||||||||||
Earnings impact of derivatives and hedging activities gain (loss): | ||||||||||||
Derivatives designated as hedging instruments3 | ||||||||||||
Cash flow hedges-ineffectiveness | $ | — | $ | (9 | ) | $ | 9 | |||||
Fair value hedges-ineffectiveness | 21,105 | (12,025 | ) | 5,910 | ||||||||
Derivatives not designated as hedging instruments | ||||||||||||
Economic hedges-fair value changes-options | 61,977 | (40,773 | ) | (2,611 | ) | |||||||
Net interest income-options | (5,798 | ) | 101 | 3,630 | ||||||||
Economic hedges-fair value changes-MPF delivery commitments | (20 | ) | (3 | ) | (171 | ) | ||||||
Fair value changes-economic hedges1 | 86,786 | (45,239 | ) | 9,695 | ||||||||
Net interest expense-economic hedges1 | (1,051 | ) | (126,533 | ) | 1,894 | |||||||
Balance sheet — Macro hedges swaps | 2,869 | 18,029 | — | |||||||||
Derivatives matched to bonds designated under FVO | ||||||||||||
Fair value changes-interest rate swaps/bonds | (1,168 | ) | 7,193 | — | ||||||||
Net impact on derivatives and hedging activities | $ | 164,700 | $ | (199,259 | ) | $ | 18,356 | |||||
1 | Includes de minimis amount of net gains on member intermediated swaps. | |
2 | Presentation for prior periods have been conformed to match current period presentation and had no impact on the net gains (losses) on derivatives and hedging activities. | |
3 | Net interest settlements from interest rate swaps hedging advances and consolidated obligations in a designated accounting relationship are recorded in interest income and interest expense. See Tables 31 and 32 for details. |
• | Hedge ineffectiveness from fair value hedges of advances and consolidated obligation liabilities that qualified for hedge accounting treatment. Hedge ineffectiveness is typically the difference between changes in fair values of hedged consolidated obligation bonds and advances due to changes in the benchmark rate (adopted as the 3-month LIBOR rate) and changes in the fair value of the associated derivatives. | ||
• | Fair value changes of interest rate swaps designated in economic hedges of consolidated obligation bonds, without the offsetting benefit of fair value changes of the hedged bonds. | ||
• | Fair value changes of interest rate caps designated in economic hedges of GSE issued capped floating-rate MBS. In a rising rate environment, purchased caps are exhibiting favorable fair value gains. Such gains are unrealized and will also reverse if the caps are held to their contractual maturities. | ||
• | Income or expense, primarily interest accruals, associated with the interest rate swaps designated as economic hedges. |
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• | 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. | ||
• | Interest rate swaps hedging balance sheet risk. | ||
• | Interest rate swaps hedging discount notes and short-term fixed-rate consolidated obligation bonds. | ||
�� | Interest rate swaps that had been de-designated as economic hedges of advances and bonds because the hedges had became ineffective. |
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• | In 2009, net fair value gains of $86.8 million were principally due to the reversal of almost all fair value losses recorded in the Statements of Condition at December 31, 2008 on $25.0 billion of basis swaps designated as economic hedges of consolidated obligation bonds. In 2009, $23.0 billion of basis swaps matured and almost all previously recorded fair value losses reversed. The fair value basis of the remaining $2.0 billion of such swaps was not significant as the bonds were nearing maturity. Additional fair value gains were recorded in 2009 on $19.1 billion of new swaps executed in 2009 ($13.1 billion fixed-for-floating rate swaps, and $6.0 billion of basis swaps) and designated as economic hedges of short-term non-callable bonds. In an upward sloping yield curve environment, the pay fixed-rate, receive LIBOR-indexed swaps were in an unrealized fair value gain positions at December 31, 2009. The swaps will mature in 2010 and unrealized gains will reverse. | ||
• | In 2008, net fair value losses of $45.2 million were principally due to: |
• | In 2008, $25.0 billion in notional amounts of basis swaps were executed to hedge floating-rate bonds indexed with spreads to 1-month LIBOR, Prime and the Federal funds effective rates. The basis swaps were designated as economic hedges. Simultaneous with the issuance of the debt, the Bank executed interest-rate basis swaps that required the swap counterparties to pay to the FHLBNY interest cash flows that matched the Bank’s interest payment obligations to investors on the debt — spreads to Prime, Federal funds effective rate and 1-month LIBOR. In exchange, the Bank was required to pay the swap counterparty a spread to the 3-month LIBOR index. This exchange of cash flows made the Bank indifferent to changes in the relationship between the 3-month LIBOR and the non-LIBOR indices from an economic perspective. Fair value changes of the swaps in relationship to 3-month LIBOR were “marked-to-market” without the benefit of offsetting changes in the fair values of the floating debt. In 2008, the historical relationships between 3-month LIBOR and the 1-month LIBOR rate, the Prime rate and the Federal funds effective rates were extraordinarily volatile. At December 31, 2008, the historical spreads narrowed from its historical levels causing the forward basis spreads to narrow as well and was the primary factor that explains the fair value losses in 2008. |
• | In 2008, certain swaps had to be de-designated in the third quarter of 2008 and subsequently re-designated. In the interim, the derivatives were designated as standalone and $20.8 million in fair value losses were recorded in the third and fourth quarters of 2008 due to extraordinary market volatility in that period. |
• | In 2007, certain short lock-out callable swaps had been designated as economic hedges of similar debt structures, and resulted in net fair value gains of $9.7 million. |
• | In 2009, net interest expenses of $1.1 million were recorded as a component of derivatives and hedging activities. They represented the net cash flows from swaps that were designated as economic hedges of consolidated obligation bonds, discount notes, and a handful of advances. |
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• | In 2008, net cash flow expense was very significant. Interest expenses of $126.5 million from swaps, primarily basis swaps, were recorded as a component of derivatives and hedging activities. Under the contractual terms of the basis swaps, the FHLBNY was receiving cash flows indexed to an agreed upon spread to the daily Federal funds effectives, the 1-month LIBOR rate, and Prime, and in return paying cash flows indexed to an agreed upon spread to the 3-month LIBOR rate. The daily Federal funds rates and the 1-month LIBOR rates were considerably lower in 2008 than the 3-month LIBOR rates, and resulted in net cash outflows. The formula for computing the cash flows of swaps indexed to the Prime rate also resulted in net cash outflows. These factors explain the significant expenses recorded in 2008. | ||
• | In 2007, the swap cash flows from swaps designated in economic hedges were favorable and net gains of $1.9 million were recorded. |
Years ended December 31, | ||||||||||||
Accumulated other comprehensive income/(loss) from cash flow hedges | 2009 | 2008 | 2007 | |||||||||
Beginning of period | $ | (30,191 | ) | $ | (30,215 | ) | $ | (4,763 | ) | |||
Net hedging transactions | — | (6,100 | ) | (26,114 | ) | |||||||
Reclassified into earnings | 7,508 | 6,124 | 662 | |||||||||
End of period | $ | (22,683 | ) | $ | (30,191 | ) | $ | (30,215 | ) | |||
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Years ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Other expenses: | ||||||||||||
Operating | $ | 76,065 | $ | 66,263 | $ | 66,569 | ||||||
Finance Agency and Office of Finance | 8,110 | 6,395 | 5,193 | |||||||||
Total other expenses | $ | 84,175 | $ | 72,658 | $ | 71,762 | ||||||
Years ended December 31, | ||||||||||||||||||||||||
Percentage | Percentage | Percentage | ||||||||||||||||||||||
2009 | of total | 2008 | of total | 2007 | of total | |||||||||||||||||||
Salaries and employee benefits | $ | 49,778 | 65.44 | % | $ | 44,370 | 66.96 | % | $ | 44,740 | 67.21 | % | ||||||||||||
Temporary workers | 162 | 0.21 | 282 | 0.43 | 125 | 0.19 | ||||||||||||||||||
Occupancy | 4,347 | 5.71 | 4,079 | 6.16 | 3,957 | 5.94 | ||||||||||||||||||
Depreciation and leasehold amortization | 5,405 | 7.11 | 4,971 | 7.50 | 4,498 | 6.76 | ||||||||||||||||||
Computer service agreements and contractual services | 6,798 | 8.94 | 5,053 | 7.62 | 5,202 | 7.81 | ||||||||||||||||||
Professional and legal fees | 3,274 | 4.30 | 2,469 | 3.73 | 2,538 | 3.81 | ||||||||||||||||||
Other * | 6,301 | 8.29 | 5,039 | 7.60 | 5,509 | 8.28 | ||||||||||||||||||
Total operating expenses | $ | 76,065 | 100.00 | % | $ | 66,263 | 100.00 | % | $ | 66,569 | 100.00 | % | ||||||||||||
* | Other primarily represents- audit fees, director fees and expenses, insurance and telecommunications. |
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Years ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Beginning balance | $ | 122,449 | $ | 119,052 | $ | 101,898 | ||||||
Additions from current period’s assessments | 64,251 | 29,783 | 37,204 | |||||||||
Net disbursements for grants and programs | (42,211 | ) | (26,386 | ) | (20,050 | ) | ||||||
Ending balance | $ | 144,489 | $ | 122,449 | $ | 119,052 | ||||||
Years ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Beginning balance | $ | 4,780 | $ | 23,998 | $ | 17,475 | ||||||
Additions from current period’s assessments | 142,689 | 64,765 | 80,776 | |||||||||
Net disbursements to REFCORP | (123,235 | ) | (83,983 | ) | (74,253 | ) | ||||||
Ending balance | $ | 24,234 | $ | 4,780 | $ | 23,998 | ||||||
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2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||
Advances | $ | 94,348,751 | $ | 109,152,876 | $ | 82,089,667 | $ | 59,012,394 | $ | 61,901,534 | ||||||||||
Mortgage loans before allowance for credit losses | $ | 1,322,045 | $ | 1,459,291 | $ | 1,492,261 | $ | 1,484,012 | $ | 1,467,525 | ||||||||||
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• | Allows a member to retain possession of the collateral assigned to the FHLBNY, if the member executes a written security agreement and agrees to hold such collateral for the benefit of the FHLBNY; or |
• | Requires the member specifically to assign or place physical possession of such collateral with the FHLBNY or its safekeeping agent. |
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Underlying Collateral for Advances | ||||||||||||||||
Securities and | ||||||||||||||||
Advances1 | Mortgage Loans2 | Deposits2 | Total2 | |||||||||||||
December 31, 2009 | $ | 90,737,700 | $ | 111,346,235 | $ | 49,564,456 | $ | 160,910,691 | ||||||||
December 31, 2008 | $ | 103,379,727 | $ | 129,887,513 | $ | 54,067,104 | $ | 183,954,617 |
Note1 | Par value | |
Note2 | Estimate market value |
Underlying Collateral for Other Obligations | ||||||||||||||||
Other | Securities and | |||||||||||||||
Obligations1 | Mortgage Loans2 | Deposits2 | Total 2 | |||||||||||||
December 31, 2009 | $ | 720,622 | $ | 2,257,204 | $ | 126,970 | $ | 2,384,174 | ||||||||
December 31, 2008 | $ | 932,073 | $ | 1,804,514 | $ | 151,548 | $ | 1,956,062 |
Note1 | Standby financial letters of credit, derivatives and members’ credit enhancement guarantee amount (“MPFCE”) | |
Note2 | Estimated market value |
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Estimated Market Values | ||||||||||||||||
Collateral in | Collateral | |||||||||||||||
Physical | Specifically | Collateral | Total Collateral | |||||||||||||
Possession | Listed | Pledged for AHP | Received | |||||||||||||
December 31, 2009 | $ | 57,660,864 | $ | 105,714,763 | $ | (80,762 | ) | $ | 163,294,865 | |||||||
December 31, 2008 | $ | 60,462,019 | $ | 125,527,047 | $ | (78,387 | ) | $ | 185,910,679 |
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December 31, 2009 | ||||||||||||||||||
Percentage of | ||||||||||||||||||
Par | Total Par Value | |||||||||||||||||
City | State | Advances | of Advances | Interest Income | ||||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,275,000 | 19.0 | % | $ | 710,900 | ||||||||||
Metropolitan Life Insurance Company | New York | NY | 13,680,000 | 15.1 | 356,120 | |||||||||||||
New York Community Bank* | Westbury | NY | 7,343,174 | 8.1 | 310,991 | |||||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 5,005,641 | 5.5 | 97,628 | |||||||||||||
The Prudential Insurance Company of America | Newark | NJ | 3,500,000 | 3.9 | 93,601 | |||||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 3,000,000 | 3.3 | 120,870 | |||||||||||||
Emigrant Bank | New York | NY | 2,475,000 | 2.7 | 64,131 | |||||||||||||
Doral Bank | San Juan | PR | 2,473,420 | 2.7 | 86,389 | |||||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 2,430,500 | 2.7 | 46,142 | |||||||||||||
Valley National Bank | Wayne | NJ | 2,322,500 | 2.6 | 103,707 | |||||||||||||
Total | $ | 59,505,235 | 65.6 | % | $ | 1,990,479 | ||||||||||||
* | Officer of member bank also served on the Board of Directors of the FHLBNY. |
December 31, 2008 | ||||||||||||||||||
Percentage of | ||||||||||||||||||
Par | Total Par Value | |||||||||||||||||
City | State | Advances | of Advances | Interest Income | ||||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,525,000 | 17.0 | % | $ | 671,146 | ||||||||||
Metropolitan Life Insurance Company | New York | NY | 15,105,000 | 14.6 | 260,420 | |||||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 7,999,689 | 7.7 | 257,649 | |||||||||||||
New York Community Bank* | Westbury | NY | 7,796,517 | 7.5 | 337,019 | |||||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 3,738,000 | 3.6 | 151,066 | |||||||||||||
The Prudential Insurance Company of America | Newark | NJ | 3,000,000 | 2.9 | 13,082 | |||||||||||||
Merrill Lynch Bank & Trust Co., FSB | New York | NY | 2,972,000 | 2.9 | 68,625 | |||||||||||||
Valley National Bank | Wayne | NJ | 2,646,500 | 2.6 | 103,918 | |||||||||||||
Emigrant Bank | New York | NY | 2,525,000 | 2.4 | 64,116 | |||||||||||||
Doral Bank | San Juan | PR | 2,412,500 | 2.3 | 89,643 | |||||||||||||
Total | $ | 65,720,206 | 63.5 | % | $ | 2,016,684 | ||||||||||||
* | At December 31, 2008, officer of member bank also served on the Board of Directors of the FHLBNY. |
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December 31, | December 31, | Dollar | Percentage | |||||||||||||
2009 | 2008 | Variance | Variance | |||||||||||||
State and local housing finance agency obligations1 | $ | 751,751 | $ | 804,100 | $ | (52,349 | ) | (6.51 | )% | |||||||
Mortgage-backed securities | ||||||||||||||||
Available-for-sale securities, at fair value | 2,240,564 | 2,851,683 | (611,119 | ) | (21.43 | ) | ||||||||||
Held-to-maturity securities, at carrying value | 9,767,531 | 9,326,443 | 441,088 | 4.73 | ||||||||||||
12,759,846 | 12,982,226 | (222,380 | ) | (1.71 | ) | |||||||||||
Grantor trusts2 | 12,589 | 10,186 | 2,403 | 23.59 | ||||||||||||
Certificates of deposit1 | — | 1,203,000 | (1,203,000 | ) | (100.00 | ) | ||||||||||
Federal funds sold | 3,450,000 | — | 3,450,000 | NA | ||||||||||||
Total investments | $ | 16,222,435 | $ | 14,195,412 | $ | 2,027,023 | 14.28 | % | ||||||||
1 | Classified as held-to-maturity securities, at carrying value | |
2 | Classified as available-for-sale securities, at fair value and represents investments in registered mutual funds and other fixed-income securities maintained under the grantor trusts |
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NRSRO Ratings — December 31, 2009 | ||||||||||||||||||||||||
Below | ||||||||||||||||||||||||
Carrying | Investment | |||||||||||||||||||||||
Issued, guaranteed or insured: | Value | AAA | AA | A | BBB | Grade | ||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||
Fannie Mae | $ | 1,137,514 | $ | 1,137,514 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Freddie Mac | 335,369 | 335,369 | — | — | — | — | ||||||||||||||||||
Total pools of mortgages | 1,472,883 | 1,472,883 | — | — | — | — | ||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||
Fannie Mae | 2,609,254 | 2,609,254 | — | — | — | — | ||||||||||||||||||
Freddie Mac | 4,400,002 | 4,400,002 | — | — | — | — | ||||||||||||||||||
Ginnie Mae | 171,531 | 171,531 | — | — | — | — | ||||||||||||||||||
Total CMOs/REMICs | 7,180,787 | 7,180,787 | — | — | — | — | ||||||||||||||||||
Ginnie Mae-CMBS | 49,526 | 49,526 | — | — | — | — | ||||||||||||||||||
Non-GSE MBS | ||||||||||||||||||||||||
CMOs/REMICs | 444,906 | 319,583 | 12,510 | 38,332 | — | 74,481 | ||||||||||||||||||
Commercial mortgage-backed securities | — | — | — | — | — | — | ||||||||||||||||||
Total non-federal-agency MBS | 444,906 | 319,583 | 12,510 | 38,332 | — | 74,481 | ||||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||
Manufactured housing (insured) | 202,278 | — | 202,278 | — | — | — | ||||||||||||||||||
Home equity loans (insured) | 227,834 | 10,399 | 71,653 | 27,589 | 26,657 | 91,536 | ||||||||||||||||||
Home equity loans (uninsured) | 189,317 | 171,840 | 12,873 | — | 4,604 | — | ||||||||||||||||||
Total asset-backed securities | 619,429 | 182,239 | 286,804 | 27,589 | 31,261 | 91,536 | ||||||||||||||||||
Total mortgage-backed securities | $ | 9,767,531 | $ | 9,205,018 | $ | 299,314 | $ | 65,921 | $ | 31,261 | $ | 166,017 | ||||||||||||
Other | ||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 751,751 | $ | 72,992 | $ | 601,109 | $ | 21,430 | $ | 56,220 | $ | — | ||||||||||||
Certificates of deposit | — | — | — | — | — | — | ||||||||||||||||||
Total other | $ | 751,751 | $ | 72,992 | $ | 601,109 | $ | 21,430 | $ | 56,220 | $ | — | ||||||||||||
Total Held-to-maturity securities | $ | 10,519,282 | $ | 9,278,010 | $ | 900,423 | $ | 87,351 | $ | 87,481 | $ | 166,017 | ||||||||||||
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Carrying | NRSRO Ratings — December 31, 2008 | |||||||||||||||||||
Issued, guaranteed or insured: | 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 | ||||||||||
Total Held-to-maturity securities | $ | 11,333,543 | $ | 8,780,833 | $ | 1,530,713 | $ | 767,678 | $ | 254,319 | ||||||||||
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NRSRO Ratings — December 31, 2009 | ||||||||||||||||
Issued, guaranteed or insured: | Fair Value | AAA | AA | A | ||||||||||||
Pools of Mortgages | ||||||||||||||||
Fannie Mae | $ | — | $ | — | $ | — | $ | — | ||||||||
Freddie Mac | — | — | — | — | ||||||||||||
Total pools of mortgages | — | — | — | — | ||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||
Fannie Mae | 1,544,500 | 1,544,500 | — | — | ||||||||||||
Freddie Mac | 696,064 | 696,064 | — | — | ||||||||||||
Ginnie Mae | — | — | — | — | ||||||||||||
Total CMOs/REMICs | 2,240,564 | 2,240,564 | — | — | ||||||||||||
Non-GSE MBS | ||||||||||||||||
CMOs/REMICs | — | — | — | — | ||||||||||||
Commercial mortgage-backed securities | — | — | — | — | ||||||||||||
Total non-federal-agency MBS | — | — | — | — | ||||||||||||
Asset-Backed Securities | ||||||||||||||||
Manufactured housing (insured) | — | — | — | — | ||||||||||||
Home equity loans (insured) | — | — | — | — | ||||||||||||
Home equity loans (uninsured) | — | — | — | — | ||||||||||||
Total asset-backed securities | — | — | — | — | ||||||||||||
Total AFS mortgage-backed securities | $ | 2,240,564 | $ | 2,240,564 | $ | — | $ | — | ||||||||
Other | ||||||||||||||||
Fixed income funds, equity funds and cash equivalents* | $ | 12,589 | ||||||||||||||
Total Available-for-sale securities | $ | 2,253,153 | ||||||||||||||
* | Unrated |
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NRSRO Ratings — December 31, 2008 | ||||||||||||||||
Issued, guaranteed or insured: | Fair Value | AAA | AA | A | ||||||||||||
Pools of Mortgages | ||||||||||||||||
Fannie Mae | $ | — | $ | — | $ | — | $ | — | ||||||||
Freddie Mac | — | — | — | — | ||||||||||||
Total pools of mortgages | — | — | — | — | ||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||
Fannie Mae | 1,854,989 | 1,854,989 | — | — | ||||||||||||
Freddie Mac | 996,694 | 996,694 | — | — | ||||||||||||
Ginnie Mae | — | — | — | — | ||||||||||||
Total CMOs/REMICs | 2,851,683 | 2,851,683 | — | — | ||||||||||||
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 AFS mortgage-backed securities | $ | 2,851,683 | $ | 2,851,683 | $ | — | $ | — | ||||||||
Other | ||||||||||||||||
Fixed income funds, equity funds and cash equivalents* | $ | 10,186 | ||||||||||||||
Total Available-for-sale securities | $ | 2,861,869 | ||||||||||||||
* | Unrated |
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December 31, | Percentage | December 31, | Percentage | |||||||||||||
2009 | of total | 2008 | of total | |||||||||||||
U.S. government sponsored enterprise residential mortgage-backed securities | ||||||||||||||||
Fannie Mae | $ | 3,746,768 | 38.36 | % | $ | 3,432,108 | 36.80 | % | ||||||||
Freddie Mac | 4,735,371 | 48.48 | 4,144,928 | 44.44 | ||||||||||||
U.S. agency residential mortgage-backed securities | 171,531 | 1.76 | 6,325 | 0.07 | ||||||||||||
U.S. agency commercial mortgage-backed securities | 49,526 | 0.51 | — | — | ||||||||||||
Private-label issued securities | 1,064,335 | 10.89 | 1,743,082 | 18.69 | ||||||||||||
Total Held-to-maturity securities-mortgage-backed securities | $ | 9,767,531 | 100.00 | % | $ | 9,326,443 | 100.00 | % | ||||||||
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December 31, 2009 | December 31, 2008 | |||||||||||||||||||||||
Variable | Variable | |||||||||||||||||||||||
Private-label MBS | Fixed Rate | Rate | Total | Fixed Rate | Rate | Total | ||||||||||||||||||
Private-label RMBS | ||||||||||||||||||||||||
Prime | $ | 435,913 | $ | 4,359 | $ | 440,272 | $ | 596,430 | $ | 4,811 | $ | 601,241 | ||||||||||||
Alt-A | 7,229 | 3,713 | 10,942 | 9,129 | 4,177 | 13,306 | ||||||||||||||||||
Total PL RMBS | 443,142 | 8,072 | 451,214 | 605,559 | 8,988 | 614,547 | ||||||||||||||||||
Private-label CMBS | ||||||||||||||||||||||||
Prime | — | — | — | 266,860 | — | 266,860 | ||||||||||||||||||
Total PL CMBS | — | — | — | 266,860 | — | 266,860 | ||||||||||||||||||
Home Equity Loans | ||||||||||||||||||||||||
Subprime | 437,042 | 108,801 | 545,843 | 504,565 | 132,135 | 636,700 | ||||||||||||||||||
Total Home Equity Loans | 437,042 | 108,801 | 545,843 | 504,565 | 132,135 | 636,700 | ||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||
Subprime | 202,299 | — | 202,299 | 229,738 | — | 229,738 | ||||||||||||||||||
Total Manufactured Housing Loans | 202,299 | — | 202,299 | 229,738 | — | 229,738 | ||||||||||||||||||
Total UPB of private-label MBS | $ | 1,082,483 | $ | 116,873 | $ | 1,199,356 | $ | 1,606,722 | $ | 141,123 | $ | 1,747,845 | ||||||||||||
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December 31, 2009 | ||||||||||||||||||||||||
Insurer MBIA | Cumulative OTTI Recorded | |||||||||||||||||||||||
No. of | Amortized | Carrying | Fair | Credit | Non-credit | |||||||||||||||||||
Ratings | Securities | Cost Basis | Value | Value | Loss | Loss | ||||||||||||||||||
Impaired* | 2 | $ | 29,051 | $ | 19,679 | $ | 17,161 | $ | (5,370 | ) | $ | (10,075 | ) | |||||||||||
Unimpaired | 1 | 2,885 | 2,886 | 2,276 | — | — | ||||||||||||||||||
Total | 3 | $ | 31,936 | $ | 22,565 | $ | 19,437 | $ | (5,370 | ) | $ | (10,075 | ) | |||||||||||
December 31, 2009 | ||||||||||||||||||||||||
Insurer Ambac | Cumulative OTTI Recorded | |||||||||||||||||||||||
No. of | Amortized | Carrying | Fair | Credit | Non-credit | |||||||||||||||||||
Ratings | Securities | Cost Basis | Value | Value | Loss | Loss | ||||||||||||||||||
Impaired* | 12 | $ | 185,156 | $ | 115,083 | $ | 127,470 | $ | (13,255 | ) | $ | (77,705 | ) | |||||||||||
Unimpaired | 1 | 11,019 | 11,019 | 6,386 | — | — | ||||||||||||||||||
Total | 13 | $ | 196,175 | $ | 126,102 | $ | 133,856 | $ | (13,255 | ) | $ | (77,705 | ) | |||||||||||
* | OTTI |
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December 31, 2009 | ||||||||||||||||||||||||||||||||||||||||
Unpaid Principal Balance | ||||||||||||||||||||||||||||||||||||||||
Below | Gross | |||||||||||||||||||||||||||||||||||||||
Ratings | Investment | Amortized | Unrealized | Total OTTI | ||||||||||||||||||||||||||||||||||||
Private-label MBS | Subtotal | Triple-A | Double-A | Single-A | Triple-B | Grade | Cost | (Losses) | Fair Value | Losses | ||||||||||||||||||||||||||||||
RMBS | ||||||||||||||||||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||||||||||||||||||
2006 | $ | 63,276 | $ | — | $ | — | $ | 38,689 | $ | — | $ | 24,587 | $ | 62,654 | $ | (2,396 | ) | $ | 60,258 | $ | — | |||||||||||||||||||
2005 | 82,982 | 28,687 | — | — | — | 54,295 | 80,996 | (1,708 | ) | 79,288 | (3,204 | ) | ||||||||||||||||||||||||||||
2004 and earlier | 294,014 | 281,240 | 12,774 | — | — | — | 292,773 | (3,696 | ) | 289,958 | — | |||||||||||||||||||||||||||||
Total RMBS Prime | 440,272 | 309,927 | 12,774 | 38,689 | — | 78,882 | 436,423 | (7,800 | ) | 429,504 | (3,204 | ) | ||||||||||||||||||||||||||||
Alt-A | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 10,942 | 10,942 | — | — | — | — | 10,944 | (938 | ) | 10,006 | — | |||||||||||||||||||||||||||||
Total RMBS | 451,214 | 320,869 | 12,774 | 38,689 | — | 78,882 | 447,367 | (8,738 | ) | 439,510 | (3,204 | ) | ||||||||||||||||||||||||||||
CMBS | ||||||||||||||||||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
HEL | ||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 545,843 | 205,480 | 91,782 | 48,838 | 43,035 | 156,708 | 525,260 | (151,818 | ) | 373,442 | (137,708 | ) | ||||||||||||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 202,299 | — | 202,299 | — | — | — | 202,278 | (37,101 | ) | 165,177 | — | |||||||||||||||||||||||||||||
Total PLMBS | $ | 1,199,356 | $ | 526,349 | $ | 306,855 | $ | 87,527 | $ | 43,035 | $ | 235,590 | $ | 1,174,905 | $ | (197,657 | ) | $ | 978,129 | $ | (140,912 | ) | ||||||||||||||||||
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December 31, 2008 | ||||||||||||||||||||||||||||||||
Unpaid Principal Balance | ||||||||||||||||||||||||||||||||
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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December 31, 2009 | ||||||||||||
Original | ||||||||||||
Weighted- | Weighted- | Weighted-Average | ||||||||||
Average Credit | Average Credit | Collateral | ||||||||||
Private-label MBS | Support % | Support % | Delinquency % | |||||||||
RMBS | ||||||||||||
Prime | ||||||||||||
2006 | 3.74 | % | 5.16 | % | 5.47 | % | ||||||
2005 | 2.67 | 3.82 | 2.32 | |||||||||
2004 and earlier | 1.58 | 2.82 | 0.79 | |||||||||
Total RMBS Prime | 2.10 | 3.35 | 1.75 | |||||||||
Alt-A | ||||||||||||
2004 and earlier | 10.73 | 32.35 | 11.22 | |||||||||
Total RMBS | 2.30 | 4.05 | 1.98 | |||||||||
CMBS | ||||||||||||
Prime | ||||||||||||
2004 and earlier | — | — | — | |||||||||
HEL | ||||||||||||
Subprime | ||||||||||||
2004 and earlier | 57.86 | 65.34 | 17.40 | |||||||||
Manufactured Housing Loans | ||||||||||||
Subprime | ||||||||||||
2004 and earlier | 57.78 | 55.56 | 3.64 | |||||||||
Total Private-label MBS | 36.95 | % | 40.63 | % | 9.28 | % | ||||||
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December 31, 2008 | ||||||||||||
Original | ||||||||||||
Weighted- | Weighted- | Weighted-Average | ||||||||||
Average Credit | Average Credit | Collateral | ||||||||||
Private-label MBS | Support % | Support % | Delinquency % | |||||||||
RMBS | ||||||||||||
Prime | ||||||||||||
2006 | 3.71 | % | 4.56 | % | 0.86 | % | ||||||
2005 | 2.68 | 3.26 | 1.00 | |||||||||
2004 | 2.05 | 2.86 | 0.40 | |||||||||
2003 and earlier | 1.21 | 2.17 | 0.27 | |||||||||
Total RMBS Prime | 2.14 | 2.97 | 0.54 | |||||||||
Alt-A | ||||||||||||
2003 and earlier | 10.22 | 31.60 | 10.56 | |||||||||
Total RMBS | 2.31 | 3.59 | 0.76 | |||||||||
CMBS | ||||||||||||
Prime | ||||||||||||
2003 and earlier | 26.69 | 38.73 | — | |||||||||
HEL | ||||||||||||
Subprime | ||||||||||||
2003 and earlier | 58.31 | 65.66 | 12.53 | |||||||||
Manufactured Housing Loans | ||||||||||||
Subprime | ||||||||||||
2003 and earlier | 58.26 | 55.99 | 1.88 | |||||||||
Total Private-label MBS | 33.79 | % | 38.45 | % | 5.08 | % | ||||||
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December 31, 2009 | December 31, 2008 | |||||||||||||||||||||||
Gross | Weighted-Average | Gross | Weighted-Average | |||||||||||||||||||||
Amortized | Unrealized | Collateral | Amortized | Unrealized | Collateral | |||||||||||||||||||
Private-label MBS | Cost | (Losses) | Delinquency %1 | Cost | (Losses) | Delinquency %1 | ||||||||||||||||||
RMBS | ||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||
Rated Triple A | $ | 308,639 | $ | (4,499 | ) | 0.69 | % | $ | 495,744 | $ | (20,500 | ) | 0.48 | % | ||||||||||
Rated Double A | 12,510 | — | 1.38 | — | — | — | ||||||||||||||||||
Rated Single A | 38,332 | (1,000 | ) | 4.64 | 62,401 | (12,027 | ) | 0.76 | ||||||||||||||||
Rated Triple B | — | — | — | 38,451 | (8,517 | ) | 1.01 | |||||||||||||||||
Below Investment Grade | 76,942 | (2,301 | ) | 4.55 | — | — | — | |||||||||||||||||
Total of RMBS Prime | 436,423 | (7,800 | ) | 1.75 | 596,596 | (41,044 | ) | 0.54 | ||||||||||||||||
Alt-A | ||||||||||||||||||||||||
Rated Triple A | 10,944 | (938 | ) | 11.22 | 13,310 | (1,662 | ) | 10.56 | ||||||||||||||||
Total of RMBS | 447,367 | (8,738 | ) | 1.98 | 609,906 | (42,706 | ) | 0.76 | ||||||||||||||||
CMBS | ||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||
Rated Triple A | — | — | — | 266,994 | (127 | ) | — | |||||||||||||||||
HEL | ||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
Rated Triple A | 204,356 | (54,224 | ) | 18.26 | 346,541 | (105,673 | ) | 13.54 | ||||||||||||||||
Rated Double A | 91,074 | (22,534 | ) | 10.96 | — | — | — | |||||||||||||||||
Rated Single A | 46,792 | (15,930 | ) | 16.32 | 130,277 | (50,977 | ) | 5.68 | ||||||||||||||||
Rated Triple B | 41,902 | (15,798 | ) | 13.18 | 159,648 | (67,419 | ) | 15.96 | ||||||||||||||||
Below Investment Grade | 141,136 | (43,332 | ) | 21.53 | — | — | — | |||||||||||||||||
Total of HEL Subprime | 525,260 | (151,818 | ) | 17.40 | 636,466 | (224,069 | ) | 12.53 | ||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
Rated Double A | 202,278 | (37,101 | ) | 3.64 | 229,714 | (75,418 | ) | 1.88 | ||||||||||||||||
Grand Total | $ | 1,174,905 | $ | (197,657 | ) | 9.28 | % | $ | 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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December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Original MPF | $ | 280,312 | $ | 197,516 | $ | 153,939 | ||||||
MPF 100 | 30,542 | 36,838 | 40,532 | |||||||||
MPF 125 | 392,097 | 467,479 | 433,864 | |||||||||
MPF 125 Plus | 606,002 | 742,523 | 847,091 | |||||||||
Other | 9,883 | 10,991 | 8,359 | |||||||||
Total MPF Loans * | $ | 1,318,836 | $ | 1,455,347 | $ | 1,483,785 | ||||||
* | Par amount of total mortgage loan held-for-portfolio includes CMA, par amount at December 31, 2009 was $3.9 million |
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• | MPF single-family fully amortizing residential loans are comprised of “Fixed 15” years or less, greater than 15 years but less than or equal to 20 years and greater than 20 years but less than or equal to 30 years maturity. Property types consist of 1-4 family attached, detached, and planned unit developments, condominiums, and non-mobile manufactured housing properties. |
• | Multi-family portfolio consists of “Ten-year balloon” notes collateralized by multi-family units from 5 to 1000 units in the metropolitan area of New York City. These participations were purchased under Community Mortgage Asset program, which has been suspended indefinitely and the portfolio is running off. Loans were underwritten to debt service coverage not to be less than 125% and a loan-to-value ratio not to exceed 75%. |
December 31, | ||||||||
2009 | 2008 | |||||||
Mortgage loans, net of provisions for credit losses | $ | 1,317,547 | $ | 1,457,885 | ||||
Non-performing mortgage loans held-for-portfolio | $ | 16,007 | $ | 4,792 | ||||
Mortgage loans past due 90 days or more and still accruing interest | $ | 570 | $ | 507 | ||||
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Years ended December 31, | ||||||||
2009 | 2008 | |||||||
Interest contractually due1 | $ | 714 | $ | 168 | ||||
Interest actually received | 626 | 146 | ||||||
Shortfall | $ | 88 | $ | 22 | ||||
1 | The Bank does not recognize interest received as income from uninsured loans past due 90-days or greater. |
Years ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Beginning balance | $ | 1,406 | $ | 633 | $ | 593 | ||||||
Charge-offs | (16 | ) | — | — | ||||||||
Provision for credit losses on mortgage loans | 3,108 | 773 | 40 | |||||||||
Ending balance | $ | 4,498 | $ | 1,406 | $ | 633 | ||||||
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December 31, 2009 | ||||||||
Mortgage | Percent of Total | |||||||
Loans | Mortgage Loans | |||||||
Manufacturers and Traders Trust Company | $ | 607,072 | 46.17 | % | ||||
Astoria Federal Savings and Loan Association | 220,268 | 16.75 | ||||||
Elmira Savings and Loan F.A. | 61,663 | 4.69 | ||||||
Ocean First Bank | 51,277 | 3.90 | ||||||
CFCU Community Credit Union | 42,344 | 3.22 | ||||||
All Others | 332,304 | 25.27 | ||||||
Total1 | $ | 1,314,928 | 100.00 | % | ||||
December 31, 2008 | ||||||||
Mortgage | Percent of Total | |||||||
Loans | Mortgage Loans | |||||||
Manufacturers and Traders Trust Company | $ | 743,853 | 51.25 | % | ||||
Astoria Federal Savings and Loan Association | 264,516 | 18.23 | ||||||
Elmira Savings and Loan F.A. | 80,241 | 5.53 | ||||||
Ocean First Bank | 61,890 | 4.26 | ||||||
The Lyons National Bank | 27,269 | 1.88 | ||||||
All Others | 273,569 | 18.85 | ||||||
Total1 | $ | 1,451,338 | 100.00 | % | ||||
Note1 | Totals do not include CMA loans. |
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Years ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Beginning balance | $ | 13,765 | $ | 12,947 | $ | 12,162 | ||||||
Additions | 192 | 839 | 785 | |||||||||
Charge-offs | (23 | ) | (21 | ) | — | |||||||
Recoveries | — | — | — | |||||||||
Ending balance | $ | 13,934 | $ | 13,765 | $ | 12,947 | ||||||
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December 31, 2009 | ||||||||||||||||
Total Net | ||||||||||||||||
Number of | Notional | Exposure at | Net Exposure after | |||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | Cash Collateral3 | ||||||||||||
AAA | — | $ | — | $ | — | $ | — | |||||||||
AA | 7 | 45,652,167 | 684 | 684 | ||||||||||||
A | 8 | 88,711,243 | — | — | ||||||||||||
Members (Note1 and Note2) | 2 | 160,000 | 7,596 | 7,596 | ||||||||||||
Delivery Commitments | — | 4,210 | — | — | ||||||||||||
Total | 17 | $ | 134,527,620 | $ | 8,280 | $ | 8,280 | |||||||||
December 31, 2008 | ||||||||||||||||
Total Net | ||||||||||||||||
Number of | Notional | Exposure at | Net Exposure after | |||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | Cash Collateral3 | ||||||||||||
AAA | 1 | $ | 9,167,456 | $ | — | $ | — | |||||||||
AA | 6 | 39,939,946 | — | — | ||||||||||||
A | 7 | 78,656,536 | 64,890 | 3,681 | ||||||||||||
Members (Note1 and Note2) | 3 | 150,000 | 16,555 | 16,555 | ||||||||||||
Delivery Commitments | — | 10,395 | — | — | ||||||||||||
Total | 17 | $ | 127,924,333 | $ | 81,445 | $ | 20,236 | |||||||||
Note1: | Fair values of $7.6 million and $16.6 million comprising of intermediated transactions with members and interest-rate caps sold to members (with capped floating-rate advances) were collateralized at December 31, 2009 and December 31, 2008. | |
Note2: | Members are required to pledge collateral to secure derivatives purchased by the FHLBNY as an intermediary on behalf of its members. Eligible collateral includes: (1) one-to-four-family and multi-family mortgages; (2) U.S. Treasury and government-agency securities; (3) mortgage-backed securities; and (4) certain other collateral which is real estate-related and has a readily ascertainable value, and in which the FHLBNY can perfect a security interest. As a result of the collateral agreements with its members, the FHLBNY believes that its maximum credit exposure due to the intermediated transactions was $0 at December 31, 2009 and December 31, 2008. | |
Note3: | As reported in the Statements of Condition. |
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December 31, 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 | $ | 40,896,550 | $ | 23,430,775 | $ | 6,091,550 | $ | 2,939,050 | $ | 73,357,925 | ||||||||||
Mandatorily redeemable capital stock1 | 102,453 | 16,766 | 2,118 | 4,957 | 126,294 | |||||||||||||||
Premises (lease obligations)2 | 3,060 | 6,161 | 5,413 | 6,427 | 21,061 | |||||||||||||||
Total contractual obligations | 41,002,063 | 23,453,702 | 6,099,081 | 2,950,434 | 73,505,280 | |||||||||||||||
Other commitments | ||||||||||||||||||||
Standby letters of credit | 667,554 | 9,139 | 15,023 | 6,199 | 697,915 | |||||||||||||||
Consolidated obligations-bonds/ discount notes traded not settled | 2,145,000 | — | — | — | 2,145,000 | |||||||||||||||
Firm commitment-advances | 100,000 | — | — | — | 100,000 | |||||||||||||||
Open delivery commitments (MPF) | 4,210 | — | — | — | 4,210 | |||||||||||||||
Total other commitments | 2,916,764 | 9,139 | 15,023 | 6,199 | 2,947,125 | |||||||||||||||
Total obligations and commitments | $ | 43,918,827 | $ | 23,462,841 | $ | 6,114,104 | $ | 2,956,633 | $ | 76,452,405 | ||||||||||
1 | Callable bonds contain exercise date or a series of exercise dates that may result in a shorter redemption period. Mandatorily redeemable capital stock is categorized by the dates at which the corresponding advances outstanding mature. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock, under which stock may not be redeemed until the later of five years from the date the member becomes a nonmember or the related advance matures. | |
2 | Immaterial amount of commitments for equipment leases are not included. |
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• | 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 December 2008, March 2009, June 2009, September 2009, and December 2009 rates were too low for a meaningful parallel down-shock measurement. |
• | The one-year cumulative re-pricing gap is limited to 10 percent of total assets. |
• | The sensitivity of expected net interest income over a one-year period is limited to a - -15 percent change under both the +/-200bps shocks compared to the rates unchanged case. |
• | The potential decline in the market value of equity is limited to a 10 percent change under the +/-200bps shocks. |
• | KRD exposure at any of nine term points (3-month, 1-year, 2-year, 3-year, 5-year, 7-year, 10-year, 15-year, and 30-year) is limited to between +/-12 months. |
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Base Case DOE | -200bps DOE | +200bps DOE | ||||||||||
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 | |||||||||
September 30, 2009 | -0.39 | N/A | 3.88 | |||||||||
December 31, 2009 | 0.42 | N/A | 3.68 |
One Year Re- | ||||
pricing Gap | ||||
December 31, 2008 | $9.764 Billion | |||
March 31, 2009 | $7.593 Billion | |||
June 30, 2009 | $5.936 Billion | |||
September 30, 2009 | $5.480 Billion | |||
December 31, 2009 | $4.626 Billion |
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Sensitivity in | Sensitivity in | |||||||
the -200bps | the +200bps | |||||||
Shock | Shock | |||||||
December 31, 2008 | N/A | 24.73 | % | |||||
March 31, 2009 | N/A | 13.11 | % | |||||
June 30, 2009 | N/A | 0.43 | % | |||||
September 30, 2009 | N/A | 9.23 | % | |||||
December 31, 2009 | N/A | 4.53 | % |
Down-shock | +200bps Change in | |||||||
Change in MVE | MVE | |||||||
December 31, 2008 | N/A | -0.43 | % | |||||
March 31, 2009 | N/A | 1.01 | % | |||||
June 30, 2009 | N/A | -1.81 | % | |||||
September 30, 2009 | N/A | -4.68 | % | |||||
December 31, 2009 | N/A | -5.08 | % |
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Interest Rate Sensitivity | ||||||||||||||||||||
December 31, 2009 | ||||||||||||||||||||
More than | More than | More than | ||||||||||||||||||
Six months | six months to | one year to | three years to | More than | ||||||||||||||||
or less | one year | three years | five years | five years | ||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||
Non-MBS Investments | $ | 8,621 | $ | 124 | $ | 371 | $ | 249 | $ | 587 | ||||||||||
MBS Investments | 6,773 | 903 | 2,420 | 1,167 | 879 | |||||||||||||||
Adjustable-rate loans and advances | 14,101 | — | — | — | — | |||||||||||||||
Net unswapped | 29,495 | 1,027 | 2,791 | 1,416 | 1,466 | |||||||||||||||
Fixed-rate loans and advances | 9,588 | 7,853 | 16,124 | 8,254 | 34,814 | |||||||||||||||
Swaps hedging advances | 63,852 | (6,722 | ) | (14,389 | ) | (7,950 | ) | (34,791 | ) | |||||||||||
Net fixed-rate loans and advances | 73,441 | 1,131 | 1,735 | 304 | 23 | |||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | |||||||||||||||
Total interest-earning assets | $ | 102,935 | $ | 2,158 | $ | 4,526 | $ | 1,720 | $ | 1,489 | ||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||
Deposits | $ | 2,590 | $ | — | $ | — | $ | — | $ | — | ||||||||||
Discount notes | 28,770 | 2,057 | — | — | — | |||||||||||||||
Swapped discount notes | 1,422 | (1,422 | ) | — | — | — | ||||||||||||||
Net discount notes | 30,193 | 635 | — | — | — | |||||||||||||||
Consolidated Obligation Bonds | ||||||||||||||||||||
FHLB bonds | 25,717 | 16,014 | 22,829 | 6,033 | 2,844 | |||||||||||||||
Swaps hedging bonds | 39,617 | (14,298 | ) | (19,513 | ) | (4,501 | ) | (1,305 | ) | |||||||||||
Net FHLB bonds | 65,334 | 1,716 | 3,316 | 1,532 | 1,539 | |||||||||||||||
Total interest-bearing liabilities | $ | 98,117 | $ | 2,351 | $ | 3,316 | $ | 1,532 | $ | 1,539 | ||||||||||
Post hedge gaps1: | ||||||||||||||||||||
Periodic gap | $ | 4,819 | $ | (193 | ) | $ | 1,210 | $ | 188 | $ | (50 | ) | ||||||||
Cumulative gaps | $ | 4,819 | $ | 4,626 | $ | 5,837 | $ | 6,024 | $ | 5,974 |
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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PAGE | ||||
Financial Statements | ||||
184 | ||||
185 | ||||
186 | ||||
187 | ||||
188 | ||||
189 | ||||
191 | ||||
Supplementary Data | ||||
34 |
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New York, NY
March 25, 2010
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As of December 31, 2009 and 2008
December 31, | ||||||||
2009 | 2008 | |||||||
Assets | ||||||||
Cash and due from banks (Note 2) | $ | 2,189,252 | $ | 18,899 | ||||
Interest-bearing deposits (Note 3) | — | 12,169,096 | ||||||
Federal funds sold | 3,450,000 | — | ||||||
Available-for-sale securities, net of unrealized losses of $3,409 and $64,420 at December 31, 2009 and 2008 (Note 5) | 2,253,153 | 2,861,869 | ||||||
Held-to-maturity securities (Note 4) | ||||||||
Long-term securities | 10,519,282 | 10,130,543 | ||||||
Certificates of deposit | — | 1,203,000 | ||||||
Advances (Note 6) | 94,348,751 | 109,152,876 | ||||||
Mortgage loans held-for-portfolio, net of allowance for credit losses of $4,498 and $1,406 at December 31, 2009 and 2008 (Note 7) | 1,317,547 | 1,457,885 | ||||||
Accrued interest receivable | 340,510 | 492,856 | ||||||
Premises, software, and equipment | 14,792 | 13,793 | ||||||
Derivative assets (Note 17) | 8,280 | 20,236 | ||||||
Other assets | 19,339 | 18,838 | ||||||
Total assets | $ | 114,460,906 | $ | 137,539,891 | ||||
Liabilities and capital | ||||||||
Liabilities | ||||||||
Deposits (Note 8) | ||||||||
Interest-bearing demand | $ | 2,616,812 | $ | 1,333,750 | ||||
Non-interest bearing demand | 6,499 | 828 | ||||||
Term | 7,200 | 117,400 | ||||||
Total deposits | 2,630,511 | 1,451,978 | ||||||
Consolidated obligations, net (Note 10) | ||||||||
Bonds (Includes $6,035,741 and $998,942 at December 31, 2009 and 2008 at fair value under the fair value option) | 74,007,978 | 82,256,705 | ||||||
Discount notes | 30,827,639 | 46,329,906 | ||||||
Total consolidated obligations | 104,835,617 | 128,586,611 | ||||||
Mandatorily redeemable capital stock (Note 11) | 126,294 | 143,121 | ||||||
Accrued interest payable | 277,788 | 426,144 | ||||||
Affordable Housing Program (Note 12) | 144,489 | 122,449 | ||||||
Payable to REFCORP (Note 12) | 24,234 | 4,780 | ||||||
Derivative liabilities (Note 17) | 746,176 | 861,660 | ||||||
Other liabilities | 72,506 | 75,753 | ||||||
Total liabilities | 108,857,615 | 131,672,496 | ||||||
Commitments and Contingencies(Notes 10, 12, 17 and 19) | ||||||||
Capital(Note 13) | ||||||||
Capital stock ($100 par value), putable, issued and outstanding shares: | ||||||||
50,590 and 55,857 at December 31, 2009 and 2008 | 5,058,956 | 5,585,700 | ||||||
Retained earnings | 688,874 | 382,856 | ||||||
Accumulated other comprehensive income (loss) (Note 14) | ||||||||
Net unrealized loss on available-for-sale securities | (3,409 | ) | (64,420 | ) | ||||
Non-credit portion of OTTI on held-to-maturity securities, net of accretion | (110,570 | ) | — | |||||
Net unrealized loss on hedging activities | (22,683 | ) | (30,191 | ) | ||||
Employee supplemental retirement plans (Note 16) | (7,877 | ) | (6,550 | ) | ||||
Total capital | 5,603,291 | 5,867,395 | ||||||
Total liabilities and capital | $ | 114,460,906 | $ | 137,539,891 | ||||
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Years Ended December 31, 2009, 2008, and 2007
2009 | 2008 | 2007 | ||||||||||
Interest income | ||||||||||||
Advances (Note 6) | $ | 1,270,643 | $ | 3,030,799 | $ | 3,495,312 | ||||||
Interest-bearing deposits (Note 3) | 19,865 | 28,012 | 3,333 | |||||||||
Federal funds sold | 3,238 | 77,976 | 192,845 | |||||||||
Available-for-sale securities (Note 5) | 28,842 | 80,746 | — | |||||||||
Held-to-maturity securities (Note 4) | ||||||||||||
Long-term securities | 461,491 | 531,151 | 596,761 | |||||||||
Certificates of deposit | 1,626 | 232,300 | 408,308 | |||||||||
Mortgage loans held-for-portfolio (Note 7) | 71,980 | 77,862 | 78,937 | |||||||||
Loans to other FHLBanks and other (Note 20) | 2 | 33 | 9 | |||||||||
Total interest income | 1,857,687 | 4,058,879 | 4,775,505 | |||||||||
Interest expense | ||||||||||||
Consolidated obligations-bonds (Note 10) | 953,970 | 2,620,431 | 3,215,560 | |||||||||
Consolidated obligations-discount notes (Note 10) | 193,041 | 697,729 | 937,534 | |||||||||
Deposits (Note 8) | 2,512 | 36,193 | 106,777 | |||||||||
Mandatorily redeemable capital stock (Note 11) | 7,507 | 8,984 | 11,731 | |||||||||
Cash collateral held and other borrowings (Note 20) | 49 | 1,044 | 4,516 | |||||||||
Total interest expense | 1,157,079 | 3,364,381 | 4,276,118 | |||||||||
Net interest income before provision for credit losses | 700,608 | 694,498 | 499,387 | |||||||||
Provision for credit losses on mortgage loans | 3,108 | 773 | 40 | |||||||||
Net interest income after provision for credit losses | 697,500 | 693,725 | 499,347 | |||||||||
Other income (loss) | ||||||||||||
Service fees | 4,165 | 3,357 | 3,324 | |||||||||
Instruments held at fair value — Unrealized gain (loss) (Note 18) | 15,523 | (8,325 | ) | — | ||||||||
Total OTTI losses | (140,912 | ) | — | — | ||||||||
Portion of loss recognized in other comprehensive income | 120,096 | — | — | |||||||||
Net impairment losses recognized in earnings | (20,816 | ) | — | — | ||||||||
Net realized and unrealized gain (loss) on derivatives and hedging activities (Note 17) | 164,700 | (199,259 | ) | 18,356 | ||||||||
Net realized gain from sale of available-for-sale and redemption of held-to-maturity securities (Notes 4 and 5) | 721 | 1,058 | — | |||||||||
Provision for derivative counterparty credit losses (Notes 17 and 19) | — | (64,523 | ) | — | ||||||||
Other | 77 | 233 | (8,180 | ) | ||||||||
Total other income (loss) | 164,370 | (267,459 | ) | 13,500 | ||||||||
Other expenses | ||||||||||||
Operating | 76,065 | 66,263 | 66,569 | |||||||||
Finance Agency and Office of Finance | 8,110 | 6,395 | 5,193 | |||||||||
Total other expenses | 84,175 | 72,658 | 71,762 | |||||||||
Income before assessments | 777,695 | 353,608 | 441,085 | |||||||||
Affordable Housing Program (Note 12) | 64,251 | 29,783 | 37,204 | |||||||||
REFCORP (Note 12) | 142,689 | 64,765 | 80,776 | |||||||||
Total assessments | 206,940 | 94,548 | 117,980 | |||||||||
Net income | $ | 570,755 | $ | 259,060 | $ | 323,105 | ||||||
Basic earnings per share (Note 15) | $ | 10.88 | $ | 5.26 | $ | 8.57 | ||||||
Cash dividends paid per share | $ | 4.95 | $ | 6.55 | $ | 7.51 | ||||||
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Years Ended December 31, 2009, 2008, and 2007
Accumulated | ||||||||||||||||||||||||
Capital Stock1 | Other | Total | ||||||||||||||||||||||
Class B | Retained | Comprehensive | Total | Comprehensive | ||||||||||||||||||||
Shares | Par Value | Earnings | Income (Loss) | Capital | Income (Loss) | |||||||||||||||||||
Balance, December 31, 2006 | 35,463 | $ | 3,546,253 | $ | 368,688 | $ | (10,548 | ) | $ | 3,904,393 | ||||||||||||||
Proceeds from sale of capital stock | 32,535 | 3,253,548 | — | — | 3,253,548 | |||||||||||||||||||
Redemption of capital stock | (22,448 | ) | (2,244,849 | ) | — | — | (2,244,849 | ) | ||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (1,870 | ) | (186,981 | ) | — | — | (186,981 | ) | ||||||||||||||||
Cash dividends ($7.51 per share) on capital stock | — | — | (273,498 | ) | — | (273,498 | ) | |||||||||||||||||
Net Income | — | — | 323,105 | — | 323,105 | $ | 323,105 | |||||||||||||||||
Net change in Accumulated other comprehensive income (Loss): | ||||||||||||||||||||||||
Net unrealized loss on available-for-sale securities | — | — | — | (373 | ) | (373 | ) | (373 | ) | |||||||||||||||
Hedging activities | — | — | — | (25,452 | ) | (25,452 | ) | (25,452 | ) | |||||||||||||||
Employee supplemental retirement plans | — | — | — | 698 | 698 | 698 | ||||||||||||||||||
$ | 297,978 | |||||||||||||||||||||||
Balance, December 31, 2007 | 43,680 | $ | 4,367,971 | $ | 418,295 | $ | (35,675 | ) | $ | 4,750,591 | ||||||||||||||
Proceeds from sale of capital stock | 51,315 | $ | 5,131,525 | $ | — | $ | — | $ | 5,131,525 | |||||||||||||||
Redemption of capital stock | (38,490 | ) | (3,849,038 | ) | — | — | (3,849,038 | ) | ||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (648 | ) | (64,758 | ) | — | — | (64,758 | ) | ||||||||||||||||
Cash dividends ($6.55 per share) on capital stock | — | — | (294,499 | ) | — | (294,499 | ) | |||||||||||||||||
Net Income | — | — | 259,060 | — | 259,060 | $ | 259,060 | |||||||||||||||||
Net change in Accumulated other comprehensive income (Loss): | ||||||||||||||||||||||||
Net unrealized loss on available-for-sale securities | — | — | — | (64,047 | ) | (64,047 | ) | (64,047 | ) | |||||||||||||||
Hedging activities | — | — | — | 24 | 24 | 24 | ||||||||||||||||||
Employee supplemental retirement plans | — | — | — | (1,463 | ) | (1,463 | ) | (1,463 | ) | |||||||||||||||
$ | 193,574 | |||||||||||||||||||||||
Balance, December 31, 2008 | 55,857 | $ | 5,585,700 | $ | 382,856 | $ | (101,161 | ) | $ | 5,867,395 | ||||||||||||||
Proceeds from sale of capital stock | 32,095 | $ | 3,209,506 | $ | — | $ | — | $ | 3,209,506 | |||||||||||||||
Redemption of capital stock | (36,864 | ) | (3,686,402 | ) | — | — | (3,686,402 | ) | ||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (498 | ) | (49,848 | ) | — | — | (49,848 | ) | ||||||||||||||||
Cash dividends ($4.95 per share) on capital stock | — | — | (264,737 | ) | — | (264,737 | ) | |||||||||||||||||
Net Income | — | — | 570,755 | — | 570,755 | $ | 570,755 | |||||||||||||||||
Net change in Accumulated other comprehensive income (Loss): | ||||||||||||||||||||||||
Non-credit portion of OTTI on held-to-maturity securities, net of accretion | — | — | — | (110,570 | ) | (110,570 | ) | (110,570 | ) | |||||||||||||||
Net unrealized gain on available-for-sale securities | — | — | — | 61,011 | 61,011 | 61,011 | ||||||||||||||||||
Hedging activities | — | — | — | 7,508 | 7,508 | 7,508 | ||||||||||||||||||
Employee supplemental retirement plans | — | — | — | (1,327 | ) | (1,327 | ) | (1,327 | ) | |||||||||||||||
$ | 527,377 | |||||||||||||||||||||||
Balance, December 31, 2009 | 50,590 | $ | 5,058,956 | $ | 688,874 | $ | (144,539 | ) | $ | 5,603,291 | ||||||||||||||
1 | Putable stock |
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Years Ended December 31, 2009, 2008, and 2007
2009 | 2008 | 2007 | ||||||||||
Operating activities | ||||||||||||
Net Income | $ | 570,755 | $ | 259,060 | $ | 323,105 | ||||||
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 | (120,715 | ) | (78,409 | ) | 106,372 | |||||||
Concessions on consolidated obligations | 7,006 | 8,772 | 12,810 | |||||||||
Premises, software, and equipment | 5,405 | 4,971 | 4,498 | |||||||||
Provision for derivative counterparty credit losses | — | 64,523 | — | |||||||||
Provision for credit losses on mortgage loans | 3,108 | 773 | 40 | |||||||||
Net realized (gains) from redemption of held-to-maturity securities | (281 | ) | (1,058 | ) | — | |||||||
Net realized (gains) from sale of available-for-sale securities | (440 | ) | — | — | ||||||||
Credit impairment losses on held-to-maturity securities | 20,816 | — | — | |||||||||
Change in net fair value adjustments on derivatives and hedging activities | 188,151 | (386,416 | ) | (6,387 | ) | |||||||
Change in fair value adjustments on financial instruments held at fair value | (15,523 | ) | 8,325 | — | ||||||||
Net change in: | ||||||||||||
Accrued interest receivable | 152,345 | 69,467 | (156,200 | ) | ||||||||
Derivative assets due to accrued interest | 246,371 | 185,343 | 70,134 | |||||||||
Derivative liabilities due to accrued interest | (252,684 | ) | 78,731 | (7,538 | ) | |||||||
Other assets | 814 | (67,367 | ) | (18 | ) | |||||||
Affordable Housing Program liability | 22,040 | 3,397 | 17,155 | |||||||||
Accrued interest payable | (153,033 | ) | (222,109 | ) | (79,345 | ) | ||||||
REFCORP liability | 19,454 | (19,218 | ) | 6,522 | ||||||||
Other liabilities | (1,575 | ) | 3,813 | (18,483 | ) | |||||||
Total adjustments | 121,259 | (346,462 | ) | (50,440 | ) | |||||||
Net cash provided (used) by operating activities | 692,014 | (87,402 | ) | 272,665 | ||||||||
Investing activities | ||||||||||||
Net change in: | ||||||||||||
Interest-bearing deposits | 13,768,437 | (15,609,066 | ) | (396,400 | ) | |||||||
Federal funds sold | (3,450,000 | ) | 4,381,000 | (720,000 | ) | |||||||
Deposits with other FHLBanks | (25 | ) | (67 | ) | (10 | ) | ||||||
Premises, software, and equipment | (6,404 | ) | (5,610 | ) | (6,545 | ) | ||||||
Held-to-maturity securities: | ||||||||||||
Long-term securities | ||||||||||||
Purchased | (3,511,033 | ) | (2,284,435 | ) | (1,080,245 | ) | ||||||
Repayments | 2,919,664 | 2,334,966 | 2,044,987 | |||||||||
In-substance maturities | 77,701 | 102,390 | — | |||||||||
Net change in certificates of deposit | 1,203,000 | 9,097,200 | (4,709,200 | ) | ||||||||
Available-for-sale securities: | ||||||||||||
Purchased | (710 | ) | (3,244,495 | ) | (13,704 | ) | ||||||
Proceeds | 543,924 | 335,314 | — | |||||||||
Proceeds from sales | 132,461 | 653 | 144 | |||||||||
Advances: | ||||||||||||
Principal collected | 370,709,084 | 596,335,124 | 397,682,249 | |||||||||
Made | (358,067,057 | ) | (619,122,796 | ) | (419,285,033 | ) | ||||||
Mortgage loans held-for-portfolio: | ||||||||||||
Principal collected | 285,888 | 170,272 | 165,262 | |||||||||
Purchased and originated | (150,058 | ) | (138,255 | ) | (175,148 | ) | ||||||
Principal collected on other loans made | — | — | 113 | |||||||||
Loans to other FHLBanks | ||||||||||||
Loans made | (472,000 | ) | (661,000 | ) | (55,000 | ) | ||||||
Principal collected | 472,000 | 716,000 | — | |||||||||
Net cash provided (used) by investing activities | 24,454,872 | (27,592,805 | ) | (26,548,530 | ) | |||||||
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Statements of Cash Flows — (in thousands)
Years Ended December 31, 2009, 2008, and 2007
2009 | 2008 | 2007 | ||||||||||
Financing activities | ||||||||||||
Net change in: | ||||||||||||
Deposits and other borrowings1 | $ | 772,634 | $ | 328,165 | $ | (766,373 | ) | |||||
Short-term loans from other FHLBanks: | ||||||||||||
Proceeds from loans | 135,000 | 1,260,000 | 662,000 | |||||||||
Payments for loans | (135,000 | ) | (1,260,000 | ) | (662,000 | ) | ||||||
Consolidated obligation bonds: | ||||||||||||
Proceeds from issuance | 54,502,275 | 62,035,840 | 42,535,228 | |||||||||
Payments for maturing and early retirement | (62,024,547 | ) | (47,118,882 | ) | (38,180,904 | ) | ||||||
Payments for transfers to other FHLBanks | — | — | (490,884 | ) | ||||||||
Consolidated obligation discount notes: | ||||||||||||
Proceeds from issuance | 862,167,891 | 686,114,086 | 441,178,795 | |||||||||
Payments for maturing | (877,586,478 | ) | (674,495,767 | ) | (418,707,804 | ) | ||||||
Capital stock: | ||||||||||||
Proceeds from issuance | 3,209,506 | 5,131,525 | 3,253,548 | |||||||||
Payments for redemption / repurchase | (3,686,402 | ) | (3,849,038 | ) | (2,244,849 | ) | ||||||
Redemption of Mandatorily redeemable capital stock | (66,675 | ) | (160,233 | ) | (58,335 | ) | ||||||
Cash dividends paid2 | (264,737 | ) | (294,499 | ) | (273,498 | ) | ||||||
Net cash (used) provided by financing activities | (22,976,533 | ) | 27,691,197 | 26,244,924 | ||||||||
Net increase (decrease) in cash and cash equivalents | 2,170,353 | 10,990 | (30,941 | ) | ||||||||
Cash and cash equivalents at beginning of the period | 18,899 | 7,909 | 38,850 | |||||||||
Cash and cash equivalents at end of the period | $ | 2,189,252 | $ | 18,899 | $ | 7,909 | ||||||
Supplemental disclosures: | ||||||||||||
Interest paid | $ | 1,401,932 | $ | 2,821,378 | $ | 3,419,404 | ||||||
Affordable Housing Program payments3 | $ | 42,211 | $ | 26,386 | $ | 20,050 | ||||||
REFCORP payments | $ | 123,235 | $ | 83,983 | $ | 74,253 | ||||||
Transfers of mortgage loans to real estate owned | $ | 1,400 | $ | 755 | $ | 356 | ||||||
Portion of non-credit OTTI losses on held-to-maturity securities | $ | 120,096 | $ | — | $ | — |
1 | Cash flows from derivatives considered as financing activity — $343,018 cash out-flows in 2009; $450,393 cash in-flows in 2008; and $0 in 2007. | |
2 | Does not include payments to holders of Mandatorily redeemable capital stock. | |
3 | AHP payments = (beginning accrual - ending accrual) + AHP assessment for the period; payments represent funds released to the Affordable Housing Program. |
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• | Market approach — This technique uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities. |
• | Income approach — This technique uses valuation techniques to convert future amounts (for example, cash flows or earnings) to a single present amount (discounted), based on assumptions used by market participants. The present value technique used to measure fair value depends on the facts and circumstances specific to the asset or liability being measured and the availability of data. |
• | Cost approach — This approach is based on the amount that currently would be required to replace the service capacity of an asset (often referred to as current replacement cost). |
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201
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• | a member requests redemption of excess membership stock; |
• | a member delivers notice of its intent to withdraw from membership; or |
• | a member attains non-member status (through merger into or acquisition by a non-member, or involuntary termination from membership). |
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(1) | a qualifying1 hedge of the fair value of a recognized asset or liability or an unrecognized firm commitment (a “fair value” hedge); |
(2) | a qualifying1 hedge of a forecasted transaction or the variability of cash flows that are to be received or paid in connection with a recognized asset or liability (a “cash flow” hedge); |
(3) | a non-qualifying1 hedge of an asset or liability (“economic hedge”) for asset-liability management purposes; or |
(4) | a non-qualifying1 hedge of another derivative (an “intermediation” hedge) that is offered as a product to members or used to offset other derivatives with non-member counterparties. |
1 | Note: The terms “qualifying” and “non-qualifying” refer to accounting standards for derivatives and hedging. |
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December 31, 2009 | ||||||||||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||||||||||
Cost | OTTI | Carrying | Unrecognized | Unrecognized | Fair | |||||||||||||||||||
Issued, guaranteed or insured: | Basis | in OCI | Value | Holding Gains | Holding Losses | Value | ||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||
Fannie Mae | $ | 1,137,514 | $ | — | $ | 1,137,514 | $ | 38,378 | $ | — | $ | 1,175,892 | ||||||||||||
Freddie Mac | 335,368 | — | 335,368 | 12,903 | — | 348,271 | ||||||||||||||||||
Total pools of mortgages | 1,472,882 | — | 1,472,882 | 51,281 | — | 1,524,163 | ||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||
Fannie Mae | 2,609,254 | — | 2,609,254 | 70,222 | (2,192 | ) | 2,677,284 | |||||||||||||||||
Freddie Mac | 4,400,003 | — | 4,400,003 | 128,952 | (3,752 | ) | 4,525,203 | |||||||||||||||||
Ginnie Mae | 171,531 | — | 171,531 | 245 | (1,026 | ) | 170,750 | |||||||||||||||||
Total CMOs/REMICs | 7,180,788 | — | 7,180,788 | 199,419 | (6,970 | ) | 7,373,237 | |||||||||||||||||
Ginnie Mae-CMBS | 49,526 | — | 49,526 | 62 | — | 49,588 | ||||||||||||||||||
Non-GSE MBS | ||||||||||||||||||||||||
CMOs/REMICs | 447,367 | (2,461 | ) | 444,906 | 2,437 | (7,833 | ) | 439,510 | ||||||||||||||||
Commercial MBS | — | — | — | — | — | — | ||||||||||||||||||
Total non-federal-agency MBS | 447,367 | (2,461 | ) | 444,906 | 2,437 | (7,833 | ) | 439,510 | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||
Manufactured housing (insured) | 202,278 | — | 202,278 | — | (37,101 | ) | 165,177 | |||||||||||||||||
Home equity loans (insured) | 307,279 | (79,445 | ) | 227,834 | 12,795 | (25,136 | ) | 215,493 | ||||||||||||||||
Home equity loans (uninsured) | 217,981 | (28,664 | ) | 189,317 | 3,436 | (34,804 | ) | 157,949 | ||||||||||||||||
Total asset-backed securities | 727,538 | (108,109 | ) | 619,429 | 16,231 | (97,041 | ) | 538,619 | ||||||||||||||||
Total MBS | $ | 9,878,101 | $ | (110,570 | ) | $ | 9,767,531 | $ | 269,430 | $ | (111,844 | ) | $ | 9,925,117 | ||||||||||
Other | ||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 751,751 | $ | — | $ | 751,751 | $ | 3,430 | $ | (11,046 | ) | $ | 744,135 | |||||||||||
Certificates of deposit | — | — | — | — | — | — | ||||||||||||||||||
Total other | $ | 751,751 | $ | — | $ | 751,751 | $ | 3,430 | $ | (11,046 | ) | $ | 744,135 | |||||||||||
Total Held-to-maturity securities | $ | 10,629,852 | $ | (110,570 | ) | $ | 10,519,282 | $ | 272,860 | $ | (122,890 | ) | $ | 10,669,252 | ||||||||||
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December 31, 2008 | ||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||
Cost | Unrealized | Unrealized | Fair | |||||||||||||
Issued, guaranteed or insured: | Basis | Holding Gains | Holding Losses | Value | ||||||||||||
Pools of Mortgages | ||||||||||||||||
Fannie Mae | $ | 1,400,058 | $ | 26,789 | $ | — | $ | 1,426,847 | ||||||||
Freddie Mac | 422,088 | 7,860 | — | 429,948 | ||||||||||||
Total pools of mortgages | 1,822,146 | 34,649 | — | 1,856,795 | ||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||
Fannie Mae | 2,032,051 | 51,138 | (125 | ) | 2,083,064 | |||||||||||
Freddie Mac | 3,722,840 | 101,595 | (30 | ) | 3,824,405 | |||||||||||
Ginnie Mae | 6,325 | — | (187 | ) | 6,138 | |||||||||||
Total CMOs/REMICs | 5,761,216 | 152,733 | (342 | ) | 5,913,607 | |||||||||||
Non-GSE MBS | ||||||||||||||||
CMOs/REMICs | 609,907 | — | (42,706 | ) | 567,201 | |||||||||||
Commercial mortgage-backed securities | 266,994 | 149 | (127 | ) | 267,016 | |||||||||||
Total non-federal-agency MBS | 876,901 | 149 | (42,833 | ) | 834,217 | |||||||||||
Asset-Backed Securities | ||||||||||||||||
Manufactured housing (insured) | 229,714 | — | (75,418 | ) | 154,296 | |||||||||||
Home equity loans (insured) | 376,587 | — | (144,957 | ) | 231,630 | |||||||||||
Home equity loans (uninsured) | 259,879 | — | (79,112 | ) | 180,767 | |||||||||||
Total asset-backed securities | 866,180 | — | (299,487 | ) | 566,693 | |||||||||||
Total mortgage-backed securities | $ | 9,326,443 | $ | 187,531 | $ | (342,662 | ) | $ | 9,171,312 | |||||||
Other | ||||||||||||||||
State and local housing finance agency obligations | $ | 804,100 | $ | 6,573 | $ | (47,512 | ) | $ | 763,161 | |||||||
Certificates of deposit | 1,203,000 | 328 | — | 1,203,328 | ||||||||||||
Total other | $ | 2,007,100 | $ | 6,901 | $ | (47,512 | ) | $ | 1,966,489 | |||||||
Total Held-to-maturity securities | $ | 11,333,543 | $ | 194,432 | $ | (390,174 | ) | $ | 11,137,801 | |||||||
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December 31, 2009 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
Non-MBS Investment Securities | ||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 212,112 | $ | (8,611 | ) | $ | 43,955 | $ | (2,435 | ) | $ | 256,067 | $ | (11,046 | ) | |||||||||
Total Non-MBS | 212,112 | (8,611 | ) | 43,955 | (2,435 | ) | 256,067 | (11,046 | ) | |||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||
MBS — Other US Obligations | ||||||||||||||||||||||||
Ginnie Mae | 122,359 | (1,020 | ) | 2,274 | (6 | ) | 124,633 | (1,026 | ) | |||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | 780,645 | (2,192 | ) | — | — | 780,645 | (2,192 | ) | ||||||||||||||||
Freddie Mac | 814,881 | (3,752 | ) | — | — | 814,881 | (3,752 | ) | ||||||||||||||||
Total MBS-GSE | 1,595,526 | (5,944 | ) | — | — | 1,595,526 | (5,944 | ) | ||||||||||||||||
MBS-Private-Label | 113,140 | (1,523 | ) | 765,445 | (196,134 | ) | 878,585 | (197,657 | ) | |||||||||||||||
Total MBS | 1,831,025 | (8,487 | ) | 767,719 | (196,140 | ) | 2,598,744 | (204,627 | ) | |||||||||||||||
Total | $ | 2,043,137 | $ | (17,098 | ) | $ | 811,674 | $ | (198,575 | ) | $ | 2,854,811 | $ | (215,673 | ) | |||||||||
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 finance 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 | $ | 598,225 | $ | (131,468 | ) | $ | 802,461 | $ | (258,706 | ) | $ | 1,400,686 | $ | (390,174 | ) | |||||||||
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December 31, 2009 | December 31, 2008 | |||||||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||||||
Cost | Fair Value | Cost | Fair Value | |||||||||||||
State and local housing finance agency obligations | ||||||||||||||||
Due in one year or less | $ | 2,820 | $ | 2,869 | $ | — | $ | — | ||||||||
Due after one year through five years | 9,315 | 9,338 | 17,665 | 18,209 | ||||||||||||
Due after five years through ten years | 62,065 | 62,766 | 60,400 | 55,060 | ||||||||||||
Due after ten years | 677,551 | 669,162 | 726,035 | 689,892 | ||||||||||||
State and local housing finance agency obligations | 751,751 | 744,135 | 804,100 | 763,161 | ||||||||||||
Mortgage-backed securities | ||||||||||||||||
Due in one year or less | — | — | 257,999 | 258,120 | ||||||||||||
Due after one year through five years | 2,661 | 2,645 | — | — | ||||||||||||
Due after five years through ten years | 1,140,154 | 1,172,718 | 1,142,000 | 1,149,541 | ||||||||||||
Due after ten years | 8,735,286 | 8,749,754 | 7,926,444 | 7,763,651 | ||||||||||||
Mortgage-backed securities | 9,878,101 | 9,925,117 | 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 | $ | 10,629,852 | $ | 10,669,252 | $ | 11,333,543 | $ | 11,137,801 | ||||||||
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December 31, 2009 | ||||||||||||
Amortized | OTTI | Carrying | ||||||||||
Cost Basis | in OCI | Value | ||||||||||
Mortgage-backed securities | ||||||||||||
CMO | ||||||||||||
Fixed | $ | 4,281,206 | $ | (5,047 | ) | $ | 4,276,159 | |||||
Floating | 3,089,976 | — | 3,089,976 | |||||||||
CMO Total | 7,371,182 | (5,047 | ) | 7,366,135 | ||||||||
Pass Thru | ||||||||||||
Fixed | 2,396,776 | (104,146 | ) | 2,292,630 | ||||||||
Floating | 110,143 | (1,377 | ) | 108,766 | ||||||||
Pass Thru Total | 2,506,919 | (105,523 | ) | 2,401,396 | ||||||||
Total MBS | 9,878,101 | (110,570 | ) | 9,767,531 | ||||||||
State and local housing finance agency obligations | ||||||||||||
Fixed | 173,781 | — | 173,781 | |||||||||
Floating | 577,970 | — | 577,970 | |||||||||
751,751 | — | 751,751 | ||||||||||
Total Held-to-maturity securities | $ | 10,629,852 | $ | (110,570 | ) | $ | 10,519,282 | |||||
December 31, 2008 | ||||||||||||
Amortized | OTTI | Carrying | ||||||||||
Cost Basis1 | in OCI | Value | ||||||||||
Mortgage-backed securities | ||||||||||||
CMO | ||||||||||||
Fixed | $ | 6,213,857 | $ | — | $ | 6,213,857 | ||||||
Floating | 17,406 | — | 17,406 | |||||||||
CMO Total | 6,231,263 | — | 6,231,263 | |||||||||
Pass Thru | ||||||||||||
Fixed | 2,960,477 | — | 2,960,477 | |||||||||
Floating | 134,703 | — | 134,703 | |||||||||
Pass Thru Total | 3,095,180 | — | 3,095,180 | |||||||||
Total MBS | 9,326,443 | — | 9,326,443 | |||||||||
State and local housing finance agency obligations | ||||||||||||
Fixed | 240,820 | — | 240,820 | |||||||||
Floating | 563,280 | — | 563,280 | |||||||||
804,100 | — | 804,100 | ||||||||||
Total Held-to-maturity securities | $ | 10,130,543 | $ | — | $ | 10,130,543 | ||||||
1 | Does not include short-term investments classified as HTM. |
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December 31, 2009 | As of December 31, 2009 | |||||||||||||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI | Gross Unrecognized Losses | ||||||||||||||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | Less than | More than | |||||||||||||||||||||||||||||||||||||
Classification | Count | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||||||||||||||
RMBS-Prime* | 1 | $ | — | $ | — | $ | — | $ | — | $ | 54,295 | $ | 51,715 | $ | (438 | ) | $ | (2,766 | ) | $ | (1,187 | ) | $ | — | ||||||||||||||||||||
HEL Subprime* | 16 | 34,425 | 17,161 | 198,532 | 127,470 | 80,774 | 53,783 | (20,378 | ) | (117,330 | ) | — | (13,674 | ) | ||||||||||||||||||||||||||||||
Total | 17 | $ | 34,425 | $ | 17,161 | $ | 198,532 | $ | 127,470 | $ | 135,069 | $ | 105,498 | $ | (20,816 | ) | $ | (120,096 | ) | $ | (1,187 | ) | $ | (13,674 | ) | |||||||||||||||||||
* | RMBS-Prime — Private-label MBS supported by prime residential loans; HEL Subprime — MBS supported by home equity loans. |
Q4 2009 activity | As of December 31, 2009 | |||||||||||||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI | Gross Unrecognized Losses | ||||||||||||||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | Less than | More than | |||||||||||||||||||||||||||||||||||||
Classification | Count | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||||||||||||||
RMBS-Prime* | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||||
HEL Subprime* | 8 | — | — | 89,092 | 53,027 | 20,118 | 12,874 | (6,540 | ) | (16,212 | ) | — | (2,663 | ) | ||||||||||||||||||||||||||||||
Total | 8 | $ | — | $ | — | $ | 89,092 | $ | 53,027 | $ | 20,118 | $ | 12,874 | $ | (6,540 | ) | $ | (16,212 | ) | $ | — | $ | (2,663 | ) | ||||||||||||||||||||
* | RMBS-Prime — Private-label MBS supported by prime residential loans; HEL Subprime — MBS supported by home equity loans. |
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Key Base Assumption — OTTI Securities | ||||||||||||||||||||||||
CDR | CPR | Loss Severity % | ||||||||||||||||||||||
Range | Average | Range | Average | Range | Average | |||||||||||||||||||
RMBS-Prime* | 2.0 | 2.0 | 14.0 | 14.0 | 40.0 | 40.0 | ||||||||||||||||||
HEL Subprime* | 3.55-16.80 | 7.7 | 2.00-16.80 | 6.3 | 51.1-100.0 | 86.8 |
* | RMBS-Prime — Private-label MBS supported by prime residential loans; | |
HEL Subprime — MBS supported by home equity loans. | ||
** | Conditional Prepayment Rate (CPR): 1-((1-SMM^12) where, SMM is defined as the “Single Monthly Mortality (SMM)” = (Voluntary partial and full prepayments + repurchases + Liquidated Balances)/Beginning Principal Balance — Scheduled Principal). Voluntary prepayment excludes the liquidated balances mentioned above. | |
** | Conditional Default Rate (CDR): 1-((1-MDR)^12) where, MDR is defined as the “Monthly Default Rate (MDR)” = (Beginning Principal Balance of Liquidated Loans)/(Total Beginning Principal Balance). | |
** | Loss Severity(Principal and interest in the current period) = Sum (Total Realized Loss Amount)/Sum (Beginning Principal and interest Balance of Liquidated Loans). | |
** | If the present value of cash flows expected to be collected (discounted at the security’s effective yield) is less than the amortized cost basis of the security, an other-than-temporary impairment is considered to have occurred because the entire amortized cost basis of the security will not be recovered. The Bank considers whether or not it will recover the entire amortized cost of the security by comparing the present value of the cash flows expected to be collected from the security (discounted at the security’s effective yield) with the amortized cost basis of the security. |
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Protection time horizon calculation | ||||||||
Ambac | MBIA | |||||||
December 31, 2009 | ||||||||
Burnout period (months) | 18 | 18 | ||||||
Coverage ignore date | 6/30/2011 | 6/30/2011 | ||||||
September 30, 2009 | ||||||||
Burnout period (months) | 83 | 31 | ||||||
Coverage ignore date | 7/31/2016 | 3/31/2012 | ||||||
June 30, 2009 | ||||||||
Burnout period (months) | 105 | 32 | ||||||
Coverage ignore date | 3/1/2018 | 2/1/2012 | ||||||
March 31, 2009 | ||||||||
Burnout period (months) | 116 | 50 | ||||||
Coverage ignore date | 11/30/2018 | 5/31/2018 |
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December 31, | ||||||||
2009 | 2008 | |||||||
Beginning balance | $ | — | $ | — | ||||
Additions to the credit component for OTTI loss not previously recognized | 20,816 | — | ||||||
Additional credit losses for which an OTTI charge was previously recognized | — | — | ||||||
Increases in cash flows expected to be collected, recognized over the remaining life of the securities | — | — | ||||||
Ending balance | $ | 20,816 | $ | — | ||||
�� | ||||||||||||||||||||||||||||||||
For the year ended December 31, 2009 | ||||||||||||||||||||||||||||||||
Actual Results — Base Case HPI Scenario | Pro-forma Results — Adverse HPI Scenario | |||||||||||||||||||||||||||||||
# of | OTTI related to | OTTI related to | # of | OTTI related to | OTTI related to | |||||||||||||||||||||||||||
Securities | UPB | credit loss | non-credit loss | Securities | UPB | credit loss | non-credit loss | |||||||||||||||||||||||||
RMBS Prime | 1 | $ | 54,295 | $ | 438 | $ | 2,461 | 3 | $ | 117,571 | $ | 699 | $ | 4,595 | ||||||||||||||||||
Alt-A | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
HEL Subprime | 16 | 313,731 | 20,378 | 108,109 | 16 | 313,731 | 23,163 | 105,324 | ||||||||||||||||||||||||
Total | 17 | $ | 368,026 | $ | 20,816 | $ | 110,570 | 19 | $ | 431,302 | $ | 23,862 | $ | 109,919 | ||||||||||||||||||
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December 31, 2009 | ||||||||||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||||||||||
Cost | OTTI | Carrying | Unrealized | Unrealized | Fair | |||||||||||||||||||
Basis | in OCI | Value | Gains | Losses | Value | |||||||||||||||||||
Cash equivalents | $ | 1,230 | $ | — | $ | 1,230 | $ | — | $ | — | $ | 1,230 | ||||||||||||
Equity funds | 8,995 | — | 8,995 | 57 | (1,561 | ) | 7,491 | |||||||||||||||||
Fixed income funds | 3,672 | — | 3,672 | 196 | — | 3,868 | ||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||
CMO-Floating | 2,242,665 | — | 2,242,665 | 6,937 | (9,038 | ) | 2,240,564 | |||||||||||||||||
Total | $ | 2,256,562 | $ | — | $ | 2,256,562 | $ | 7,190 | $ | (10,599 | ) | $ | 2,253,153 | |||||||||||
December 31, 2008 | ||||||||||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||||||||||
Cost | OTTI | Carrying | Unrealized | Unrealized | Fair | |||||||||||||||||||
Basis | in OCI | Value | Gains | Losses | Value | |||||||||||||||||||
Cash equivalents | $ | 835 | $ | — | $ | 835 | $ | — | $ | — | $ | 835 | ||||||||||||
Equity funds | 8,978 | — | 8,978 | — | (3,516 | ) | 5,462 | |||||||||||||||||
Fixed income funds | 3,833 | — | 3,833 | 66 | (10 | ) | 3,889 | |||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||
CMO-Floating | 2,912,643 | — | 2,912,643 | 364 | (61,324 | ) | 2,851,683 | |||||||||||||||||
Total | $ | 2,926,289 | $ | — | $ | 2,926,289 | $ | 430 | $ | (64,850 | ) | $ | 2,861,869 | |||||||||||
December 31, 2009 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | $ | — | $ | — | $ | 1,006,860 | $ | (6,394 | ) | $ | 1,006,860 | $ | (6,394 | ) | ||||||||||
Freddie Mac | — | — | 662,237 | (2,644 | ) | 662,237 | (2,644 | ) | ||||||||||||||||
Total MBS-GSE | — | — | 1,669,097 | (9,038 | ) | 1,669,097 | (9,038 | ) | ||||||||||||||||
Total Temporarily Impaired | $ | — | $ | — | $ | 1,669,097 | $ | (9,038 | ) | $ | 1,669,097 | $ | (9,038 | ) | ||||||||||
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 | ) | |||||||||
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December 31, 2009 | December 31, 2008 | |||||||||||||||
Amortized | Fair | Amortized | Fair | |||||||||||||
Cost Basis | Value | Cost Basis | Value | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
GSE issued Pass-throughs Due after ten years | $ | 2,242,665 | $ | 2,240,564 | $ | 2,912,643 | $ | 2,851,683 | ||||||||
Fixed income funds, equity funds and cash equivalents* | 13,897 | 12,589 | 13,646 | 10,186 | ||||||||||||
Total | $ | 2,256,562 | $ | 2,253,153 | $ | 2,926,289 | $ | 2,861,869 | ||||||||
* | Determined to be redeemable at anytime. |
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December 31, | ||||||||||||||||
2009 | 2008 | |||||||||||||||
Amortized Cost | Carrying Value | Amortized Cost | Carrying Value | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
Mortgage pass-throughs-GSE issued | ||||||||||||||||
Variable-rate* | $ | 2,242,665 | $ | 2,240,564 | $ | 2,912,643 | $ | 2,851,683 | ||||||||
Fixed-rate | — | — | — | — | ||||||||||||
2,242,665 | 2,240,564 | 2,912,643 | 2,851,683 | |||||||||||||
Fixed income funds, equity funds and cash equivalents | 13,897 | 12,589 | 13,646 | 10,186 | ||||||||||||
Total | $ | 2,256,562 | $ | 2,253,153 | $ | 2,926,289 | $ | 2,861,869 | ||||||||
* | LIBOR Indexed |
December 31, | ||||||||||||||||||||||||
2009 | 2008 | |||||||||||||||||||||||
Weighted2 | Weighted2 | |||||||||||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||||||||||
Amount | Yield | of Total | Amount | Yield | of Total | |||||||||||||||||||
Overdrawn demand deposit accounts | $ | 2,022 | 1.20 | % | — | % | $ | — | — | % | — | % | ||||||||||||
Due in one year or less | 24,128,022 | 2.07 | 26.59 | 32,420,095 | 2.52 | 31.36 | ||||||||||||||||||
Due after one year through two years | 10,819,349 | 2.73 | 11.92 | 16,150,121 | 3.71 | 15.62 | ||||||||||||||||||
Due after two years through three years | 10,069,555 | 2.91 | 11.10 | 7,634,680 | 3.76 | 7.39 | ||||||||||||||||||
Due after three years through four years | 5,804,448 | 3.32 | 6.40 | 6,852,514 | 3.74 | 6.63 | ||||||||||||||||||
Due after four years through five years | 3,364,706 | 3.19 | 3.71 | 3,210,575 | 3.88 | 3.11 | ||||||||||||||||||
Due after five years through six years | 2,807,329 | 3.91 | 3.09 | 836,689 | 3.74 | 0.81 | ||||||||||||||||||
Thereafter | 33,742,269 | 3.78 | 37.19 | 36,275,053 | 3.96 | 35.08 | ||||||||||||||||||
Total par value | 90,737,700 | 3.06 | % | 100.00 | % | 103,379,727 | 3.44 | % | 100.00 | % | ||||||||||||||
Discount on AHP advances1 | (260 | ) | (330 | ) | ||||||||||||||||||||
Hedging adjustments1 | 3,611,311 | 5,773,479 | ||||||||||||||||||||||
Total | $ | 94,348,751 | $ | 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. Amortization of fair value basis adjustments for terminated hedges was a charge to interest income and amounted to ($0.8) million, ($2.0) million, and ($0.4) million for the years ended December 31, 2009, 2008 and 2007. All other amortization charged to interest income aggregated were not significant for all periods reported. Interest rates on AHP advances ranged from 1.25% to 4.00% at December 31, 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 advances, the weighted average rate is the rate outstanding at the reporting dates. |
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December 31, | ||||||||||||||||
Percentage of | Percentage of | |||||||||||||||
2009 | Total | 2008 | Total | |||||||||||||
Overdrawn demand deposit accounts | $ | 2,022 | — | % | $ | — | — | % | ||||||||
Due or putable in one year or less | 56,978,134 | 62.79 | 63,251,007 | 61.18 | ||||||||||||
Due or putable after one year through two years | 14,082,199 | 15.52 | 18,975,821 | 18.36 | ||||||||||||
Due or putable after two years through three years | 8,991,805 | 9.91 | 10,867,530 | 10.51 | ||||||||||||
Due or putable after three years through four years | 5,374,048 | 5.92 | 5,293,364 | 5.12 | ||||||||||||
Due or putable after four years through five years | 2,826,206 | 3.12 | 2,728,075 | 2.64 | ||||||||||||
Due or putable after five years through six years | 158,329 | 0.18 | 230,189 | 0.22 | ||||||||||||
Thereafter | 2,324,957 | 2.56 | 2,033,741 | 1.97 | ||||||||||||
Total par value | 90,737,700 | 100.00 | % | 103,379,727 | 100.00 | % | ||||||||||
Discount on AHP advances | (260 | ) | (330 | ) | ||||||||||||
Hedging adjustments | 3,611,311 | 5,773,479 | ||||||||||||||
Total | $ | 94,348,751 | $ | 109,152,876 | ||||||||||||
(1) | Allows a member to retain possession of the collateral assigned to the FHLBNY, if the member executes a written security agreement and agrees to hold such collateral for the benefit of the FHLBNY; or | ||
(2) | Requires the member specifically to assign or place physical possession of such collateral with the FHLBNY or its safekeeping agent. |
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December 31, | ||||||||||||||||
2009 | 2008 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of total | Amount | of total | |||||||||||||
Fixed-rate | $ | 76,634,828 | 84.46 | % | $ | 83,173,877 | 80.45 | % | ||||||||
Variable-rate | 13,730,850 | 15.13 | 19,740,850 | 19.10 | ||||||||||||
Variable-rate capped | 370,000 | 0.41 | 465,000 | 0.45 | ||||||||||||
Overdrawn demand deposit accounts | 2,022 | — | — | — | ||||||||||||
Total par value | 90,737,700 | 100.00 | % | 103,379,727 | 100.00 | % | ||||||||||
Discount on AHP Advances | (260 | ) | (330 | ) | ||||||||||||
Hedging basis adjustments | 3,611,311 | 5,773,479 | ||||||||||||||
Total | $ | 94,348,751 | $ | 109,152,876 | ||||||||||||
December 31, | ||||||||||||||||
Percentage of | Percentage of | |||||||||||||||
2009 | Total | 2008 | Total | |||||||||||||
Real Estate: | ||||||||||||||||
Fixed medium-term single-family mortgages | $ | 388,072 | 29.43 | % | $ | 467,845 | 32.15 | % | ||||||||
Fixed long-term single-family mortgages | 926,856 | 70.27 | 983,493 | 67.58 | ||||||||||||
Multi-family mortgages | 3,908 | 0.30 | 4,009 | 0.27 | ||||||||||||
Total par value | 1,318,836 | 100.00 | % | 1,455,347 | 100.00 | % | ||||||||||
Unamortized premiums | 9,095 | 10,662 | ||||||||||||||
Unamortized discounts | (5,425 | ) | (6,310 | ) | ||||||||||||
Basis adjustment1 | (461 | ) | (408 | ) | ||||||||||||
Total mortgage loans held-for-portfolio | 1,322,045 | 1,459,291 | ||||||||||||||
Allowance for credit losses | (4,498 | ) | (1,406 | ) | ||||||||||||
Total mortgage loans held-for-portfolio after allowance for credit losses | $ | 1,317,547 | $ | 1,457,885 | ||||||||||||
1 | Represents fair value basis of open and closed delivery commitments. |
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Years ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Beginning balance | $ | 1,406 | $ | 633 | $ | 593 | ||||||
Charge-offs | (16 | ) | — | — | ||||||||
Provision for credit losses on mortgage loans | 3,108 | 773 | 40 | |||||||||
Ending balance | $ | 4,498 | $ | 1,406 | $ | 633 | ||||||
December 31, 2009 | December 31, 2008 | |||||||
Secured by 1-4 family | $ | 570 | $ | 507 | ||||
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December 31, 2009 | December 31, 2008 | |||||||
Due in one year or less | $ | 7,200 | $ | 117,400 | ||||
Total term deposits | $ | 7,200 | $ | 117,400 | ||||
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December 31, 2009 | December 31, 2008 | |||||||
Percentage of unpledged qualifying assets to consolidated obligations | 109 | % | 107 | % | ||||
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December 31, 2009 | December 31, 2008 | |||||||
Consolidated obligation bonds-amortized cost | $ | 73,436,939 | $ | 80,978,383 | ||||
Fair value basis adjustments | 572,537 | 1,254,523 | ||||||
Fair value basis on terminated hedges | 2,761 | 7,857 | ||||||
Fair value option valuation adjustments and accrued interest | (4,259 | ) | 15,942 | |||||
Total Consolidated obligation-bonds | $ | 74,007,978 | $ | 82,256,705 | ||||
Discount notes-amortized cost | $ | 30,827,639 | $ | 46,329,545 | ||||
Fair value basis adjustments | — | 361 | ||||||
Total Consolidated obligation-discount notes | $ | 30,827,639 | $ | 46,329,906 | ||||
December 31, | ||||||||||||||||||||||||
2009 | 2008 | |||||||||||||||||||||||
Weighted | Weighted | |||||||||||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||||||||||
Maturity | Amount | Rate1 | of total | Amount | Rate1 | of total | ||||||||||||||||||
One year or less | $ | 40,896,550 | 1.34 | % | 55.75 | % | $ | 49,568,550 | 1.93 | % | 61.23 | % | ||||||||||||
Over one year through two years | 15,912,200 | 1.69 | 21.69 | 16,192,550 | 3.20 | 20.00 | ||||||||||||||||||
Over two years through three years | 7,518,575 | 2.28 | 10.25 | 5,299,700 | 3.73 | 6.55 | ||||||||||||||||||
Over three years through four years | 3,961,250 | 3.49 | 5.40 | 2,469,575 | 4.75 | 3.05 | ||||||||||||||||||
Over four years through five years | 2,130,300 | 4.27 | 2.90 | 3,352,450 | 3.99 | 4.14 | ||||||||||||||||||
Over five years through six years | 644,350 | 5.15 | 0.88 | 989,300 | 5.06 | 1.22 | ||||||||||||||||||
Thereafter | 2,294,700 | 5.06 | 3.13 | 3,082,050 | 5.35 | 3.81 | ||||||||||||||||||
Total par value | 73,357,925 | 1.87 | % | 100.00 | % | 80,954,175 | 2.64 | % | 100.00 | % | ||||||||||||||
Bond premiums | 112,866 | 63,737 | ||||||||||||||||||||||
Bond discounts | (33,852 | ) | (39,529 | ) | ||||||||||||||||||||
Fair value basis adjustments | 572,537 | 1,254,523 | ||||||||||||||||||||||
Fair value basis adjustments on terminated hedges | 2,761 | 7,857 | ||||||||||||||||||||||
Fair value option valuation adjustments and accrued interest | (4,259 | ) | 15,942 | |||||||||||||||||||||
Total bonds | $ | 74,007,978 | $ | 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 December 31, 2009 and 2008, represent contractual coupons payable to investors. |
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December 31, | ||||||||||||||||
Percentage | Percentage | |||||||||||||||
2009 | of total | 2008 | of total | |||||||||||||
Year of Maturity or next call date | ||||||||||||||||
Due or callable in one year or less | $ | 50,481,350 | 68.82 | % | $ | 53,034,550 | 65.51 | % | ||||||||
Due or callable after one year through two years | 11,352,200 | 15.48 | 15,472,350 | 19.11 | ||||||||||||
Due or callable after two years through three years | 4,073,575 | 5.55 | 4,843,700 | 5.98 | ||||||||||||
Due or callable after three years through four years | 3,606,250 | 4.91 | 1,445,575 | 1.79 | ||||||||||||
Due or callable after four years through five years | 1,325,800 | 1.81 | 2,954,450 | 3.65 | ||||||||||||
Due or callable after five years through six years | 529,050 | 0.72 | 684,800 | 0.85 | ||||||||||||
Thereafter | 1,989,700 | 2.71 | 2,518,750 | 3.11 | ||||||||||||
Total par value | 73,357,925 | 100.00 | % | 80,954,175 | 100.00 | % | ||||||||||
Bond premiums | 112,866 | 63,737 | ||||||||||||||
Bond discounts | (33,852 | ) | (39,529 | ) | ||||||||||||
Fair value basis adjustments | 572,537 | 1,254,523 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 2,761 | 7,857 | ||||||||||||||
Fair value option valuation adjustments and accrued interest | (4,259 | ) | 15,942 | |||||||||||||
Total bonds | $ | 74,007,978 | $ | 82,256,705 | ||||||||||||
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December 31, | ||||||||
2009 | 2008 | |||||||
Non-callable | $ | 61,678,125 | $ | 76,037,875 | ||||
Callable | 11,679,800 | 4,916,300 | ||||||
Total par value | $ | 73,357,925 | $ | 80,954,175 | ||||
December 31, | ||||||||||||||||
Percentage of | Percentage of | |||||||||||||||
2009 | Total | 2008 | Total | |||||||||||||
Fixed-rate, non-callable | $ | 48,647,625 | 66.31 | % | $ | 36,367,875 | 44.92 | % | ||||||||
Fixed-rate, callable | 8,374,800 | 11.42 | 4,828,300 | 5.96 | ||||||||||||
Step Up, non-callable | 53,000 | 0.07 | — | — | ||||||||||||
Step Up, callable | 3,305,000 | 4.51 | 73,000 | 0.09 | ||||||||||||
Step Down, callable | — | — | 15,000 | 0.02 | ||||||||||||
Single-index floating rate | 12,977,500 | 17.69 | 39,670,000 | 49.01 | ||||||||||||
Total par value | 73,357,925 | 100.00 | % | 80,954,175 | 100.00 | % | ||||||||||
Bond premiums | 112,866 | 63,737 | ||||||||||||||
Bond discounts | (33,852 | ) | (39,529 | ) | ||||||||||||
Fair value basis adjustments | 572,537 | 1,254,523 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 2,761 | 7,857 | ||||||||||||||
Fair value option valuation adjustments and accrued interest | (4,259 | ) | 15,942 | |||||||||||||
Total bonds | $ | 74,007,978 | $ | 82,256,705 | ||||||||||||
December 31, | ||||||||
2009 | 2008 | |||||||
Par value | $ | 30,838,104 | $ | 46,431,347 | ||||
Amortized cost | $ | 30,827,639 | $ | 46,329,545 | ||||
Fair value basis adjustments | — | 361 | ||||||
Total | $ | 30,827,639 | $ | 46,329,906 | ||||
Weighted average interest rate | 0.15 | % | 1.00 | % | ||||
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December 31, | ||||||||
2009 | 2008 | |||||||
Redemption less than one year | $ | 102,453 | $ | 38,328 | ||||
Redemption from one year to less than three years | 16,766 | 83,159 | ||||||
Redemption from three years to less than five years | 2,118 | 14,646 | ||||||
Redemption after five years or greater | 4,957 | 6,988 | ||||||
Total | $ | 126,294 | $ | 143,121 | ||||
December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Beginning balance | $ | 143,121 | $ | 238,596 | $ | 109,950 | ||||||
Capital stock subject to mandatory redemption reclassified from equity | 49,848 | 64,758 | 186,981 | |||||||||
Redemption of mandatorily redeemable capital stock1 | (66,675 | ) | (160,233 | ) | (58,335 | ) | ||||||
Ending balance | $ | 126,294 | $ | 143,121 | $ | 238,596 | ||||||
Accrued interest payable | $ | 2,029 | $ | 1,260 | $ | 4,921 | ||||||
1 | Redemption includes repayment of excess stock. | |
(The annualized accrual rates were 5.60%, 3.50% and 8.05% for 2009, 2008 and 2007) |
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Years ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Beginning balance | $ | 122,449 | $ | 119,052 | $ | 101,898 | ||||||
Additions from current period’s assessments | 64,251 | 29,783 | 37,204 | |||||||||
Net disbursements for grants and programs | (42,211 | ) | (26,386 | ) | (20,050 | ) | ||||||
Ending balance | $ | 144,489 | $ | 122,449 | $ | 119,052 | ||||||
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December 31, 2009 | December 31, 2008 | |||||||||||||||
Required4 | Actual | Required4 | Actual | |||||||||||||
Regulatory capital requirements: | ||||||||||||||||
Risk-based capital1 | $ | 606,716 | $ | 5,874,125 | $ | 650,333 | $ | 6,111,676 | ||||||||
Total capital-to-asset ratio | 4.00 | % | 5.14 | % | 4.00 | % | 4.44 | % | ||||||||
Total capital2 | $ | 4,578,436 | $ | 5,878,623 | $ | 5,501,596 | $ | 6,113,082 | ||||||||
Leverage ratio | 5.00 | % | 7.70 | % | 5.00 | % | 6.67 | % | ||||||||
Leverage capital3 | $ | 5,723,045 | $ | 8,815,685 | $ | 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 | Required “ Total capital” is 4% of total assets. Actual “Total capital” is “Actual Risk-based capital” plus allowance for credit losses. Does not include reserves for the Lehman Brothers receivable which is a specific reserve. | |
3 | Actual Leverage capital is “Risk-based capital” times 1.5 plus allowance for loan losses. | |
4 | Required minimum. |
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Non-credit | Accumulated | |||||||||||||||||||||||||||
Available- | OTTI on HTM | Cash | Supplemental | Other | Total | |||||||||||||||||||||||
for-sale | securities, | flow | Retirement | Comprehensive | Net | Comprehensive | ||||||||||||||||||||||
securities | net of accretion | hedges | Plans | Income (Loss) | Income | Income | ||||||||||||||||||||||
Balance, December 31, 2006 | $ | — | $ | — | $ | (4,763 | ) | $ | (5,785 | ) | $ | (10,548 | ) | |||||||||||||||
Net change | (373 | ) | — | (25,452 | ) | 698 | (25,127 | ) | $ | 323,105 | $ | 297,978 | ||||||||||||||||
Balance, December 31, 2007 | (373 | ) | — | (30,215 | ) | (5,087 | ) | (35,675 | ) | |||||||||||||||||||
Net change | (64,047 | ) | — | 24 | (1,463 | ) | (65,486 | ) | $ | 259,060 | $ | 193,574 | ||||||||||||||||
Balance, December 31, 2008 | (64,420 | ) | — | (30,191 | ) | (6,550 | ) | (101,161 | ) | |||||||||||||||||||
Net change | 61,011 | (110,570 | ) | 7,508 | (1,327 | ) | (43,378 | ) | $ | 570,755 | $ | 527,377 | ||||||||||||||||
Balance, December 31, 2009 | $ | (3,409 | ) | $ | (110,570 | ) | $ | (22,683 | ) | $ | (7,877 | ) | $ | (144,539 | ) | |||||||||||||
December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Net income | $ | 570,755 | $ | 259,060 | $ | 323,105 | ||||||
Net income available to stockholders | $ | 570,755 | $ | 259,060 | $ | 323,105 | ||||||
Weighted average shares of capital | 53,807 | 50,894 | 39,178 | |||||||||
Less: Mandatorily redeemable capital stock | (1,371 | ) | (1,664 | ) | (1,463 | ) | ||||||
Average number of shares of capital used to calculate earnings per share | 52,436 | 49,230 | 37,715 | |||||||||
Net earnings per share of capital | $ | 10.88 | $ | 5.26 | $ | 8.57 | ||||||
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December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Defined Benefit Plan | $ | 5,506 | $ | 5,872 | $ | 6,006 | ||||||
Benefit Equalization Plan (defined benefit) | 2,059 | 1,878 | 1,908 | |||||||||
Defined Contribution Plan and BEP Thrift | 1,772 | 721 | 1,346 | |||||||||
Postretirement Health Benefit Plan | 1,017 | 990 | 2,377 | |||||||||
Total retirement plan expenses | $ | 10,354 | $ | 9,461 | $ | 11,637 | ||||||
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December 31, | ||||||||
2009 | 2008 | |||||||
Accumulated benefit obligation | $ | 16,103 | $ | 14,030 | ||||
Effect of future salary increase | 3,289 | 3,392 | ||||||
Projected benefit obligation | 19,392 | 17,422 | ||||||
Unrecognized prior service cost | 380 | 523 | ||||||
Unrecognized net (loss) | (6,464 | ) | (6,158 | ) | ||||
Accrued pension cost | $ | 13,308 | $ | 11,787 | ||||
December 31, | ||||||||
2009 | 2008 | |||||||
Projected benefit obligation at the beginning of the year | $ | 17,422 | $ | 15,031 | ||||
Service | 610 | 614 | ||||||
Interest | 1,053 | 944 | ||||||
Benefits paid | (537 | ) | (392 | ) | ||||
Actuarial loss | 844 | 1,225 | ||||||
Projected benefit obligation at the end of the year | $ | 19,392 | $ | 17,422 | ||||
December 31, | ||||||||
2009 | 2008 | |||||||
Unrecognized (gain)/loss | $ | 6,464 | $ | 6,158 | ||||
Prior service cost | (380 | ) | (523 | ) | ||||
Accumulated other comprehensive loss | $ | 6,084 | $ | 5,635 | ||||
December 31, | ||||||||
2009 | 2008 | |||||||
Fair value of the plan assets at the beginning of the year | $ | — | $ | — | ||||
Employer contributions | 537 | 392 | ||||||
Benefits paid | (537 | ) | (392 | ) | ||||
Fair value of the plan assets at the end of the year | $ | — | $ | — | ||||
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December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Service cost | $ | 610 | $ | 614 | $ | 626 | ||||||
Interest cost | 1,053 | 944 | 880 | |||||||||
Amortization of unrecognized prior service cost | (143 | ) | (143 | ) | (112 | ) | ||||||
Amortization of unrecognized net loss | 539 | 463 | 514 | |||||||||
Net periodic benefit cost | $ | 2,059 | $ | 1,878 | $ | 1,908 | ||||||
December 31, | ||||||||
2009 | 2008 | |||||||
Net loss (gain) | $ | 845 | $ | 1,225 | ||||
Prior service cost (benefit) | — | — | ||||||
Amortization of net loss (gain) | (539 | ) | (463 | ) | ||||
Amortization of prior service cost (benefit) | 143 | 143 | ||||||
Amortization of net obligation | — | — | ||||||
Total recognized in other comprehensive income | $ | 449 | $ | 905 | ||||
Total recognized in net periodic benefit cost and other comprehensive income | $ | 2,508 | $ | 2,783 | ||||
December 31, | ||||||||
2010 | 2009 | |||||||
Expected amortization of net (gain)/loss | $ | 578 | $ | 539 | ||||
Expected amortization of prior service cost/(credit) | $ | (67 | ) | $ | (143 | ) | ||
Expected amortization of transition obligation/(asset) | $ | — | $ | — |
2009 | 2008 | 2007 | ||||||||||
Discount rate * | 5.87 | % | 6.14 | % | 6.37 | % | ||||||
Salary increases | 5.50 | % | 5.50 | % | 5.50 | % | ||||||
Amortization period (years) | 8 | 8 | 8 | |||||||||
Benefits paid during the year | $ | (537 | ) | $ | (392 | ) | $ | (346 | ) |
* | The discount rate was based on the Citigroup Pension Liability Index at December 31, 2009 and adjusted for duration. |
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Years | Payments | |||
2010 | $ | 739 | ||
2011 | 971 | |||
2012 | 999 | |||
2013 | 1,038 | |||
2014 | 1,118 | |||
2015-2019 | 6,370 | |||
Total | $ | 11,235 | ||
December 31, | ||||||||
2009 | 2008 | |||||||
Accumulated postretirement benefit obligation at the beginning of the year | $ | 14,357 | $ | 13,109 | ||||
Service cost | 566 | 505 | ||||||
Interest cost | 867 | 820 | ||||||
Actuarial loss | (628 | ) | (184 | ) | ||||
Benefits paid, net of participants’ contributions | (410 | ) | (296 | ) | ||||
Change in plan assumptions | 1,089 | 403 | ||||||
Accumulated postretirement benefit obligation at the end of the year | 15,841 | 14,357 | ||||||
Unrecognized net gain | — | — | ||||||
Accrued postretirement benefit cost | $ | 15,841 | $ | 14,357 | ||||
December 31, | ||||||||
2009 | 2008 | |||||||
Fair value of plan assets at the beginning of the year | $ | — | $ | — | ||||
Employer contributions | 410 | 296 | ||||||
Benefits paid, net of participants’ contributions and subsidy received | (410 | ) | (296 | ) | ||||
Fair value of plan assets at the end of the year | $ | — | $ | — | ||||
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December 31, | ||||||||
2009 | 2008 | |||||||
Prior service cost/(credit) | $ | (2,835 | ) | $ | (3,566 | ) | ||
Net loss/(gain) | 4,628 | 4,481 | ||||||
Accrued pension cost | $ | 1,793 | $ | 915 | ||||
December 31, | ||||||||
2010 | 2009 | |||||||
Expected amortization of net (gain)/loss | $ | 314 | $ | 312 | ||||
Expected amortization of prior service cost/(credit) | $ | (731 | ) | $ | (731 | ) | ||
Expected amortization of transition obligation/(asset) | $ | — | $ | — |
December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Service cost (benefits attributed to service during the period) | $ | 566 | $ | 505 | $ | 727 | ||||||
Interest cost on accumulated postretirement health benefit obligation | 867 | 820 | 903 | |||||||||
Amortization of loss | 315 | 396 | 319 | |||||||||
Additional gain on recognition of plan amendment | — | — | 611 | |||||||||
Amortization of prior service cost/(credit) | (731 | ) | (731 | ) | (183 | ) | ||||||
Net periodic postretirement health benefit cost | $ | 1,017 | $ | 990 | $ | 2,377 | ||||||
December 31, | ||||||||
2009 | 2008 | |||||||
Net loss (gain) | $ | 462 | $ | 218 | ||||
Prior service cost (benefit) | — | — | ||||||
Amortization of net loss (gain) | (315 | ) | (396 | ) | ||||
Amortization of prior service cost (benefit) | 731 | 731 | ||||||
Amortization of net obligation | — | — | ||||||
Total recognized in other comprehensive income | $ | 878 | $ | 553 | ||||
Total recognized in net periodic benefit cost and other comprehensive income | $ | 1,895 | $ | 1,543 | ||||
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2009 | 2008 | 2007 | ||||||||||
Weighted average discount rate at the end of the year | 5.87 | % | 6.14 | % | 6.37 | % | ||||||
Health care cost trend rates: | ||||||||||||
Assumed for next year | 10.00 | % | 7.00 | % | 7.00 | % | ||||||
Pre 65 Ultimate rate | 5.00 | % | 5.00 | % | 4.50 | % | ||||||
Pre 65 Year that ultimate rate is reached | 2016 | 2011 | 2010 | |||||||||
Post 65 Ultimate rate | 6.00 | % | 5.50 | % | 5.00 | % | ||||||
Post 65 Year that ultimate rate is reached | 2016 | 2016 | 2016 | |||||||||
Alternative amortization methods used to amortize | ||||||||||||
Prior service cost | Straight - line | Straight - line | Straight - line | |||||||||
Unrecognized net (gain) or loss | Straight - line | Straight - line | Straight - line |
Years | Payments | |||
2010 | $ | 555 | ||
2011 | 641 | |||
2012 | 733 | |||
2013 | 806 | |||
2014 | 879 | |||
2015-2019 | 5,484 | |||
Total | $ | 9,098 | ||
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December 31, 2009 | ||||||||||||
Notional Amount of | Derivative | |||||||||||
Derivatives | Derivative Assets | Liabilities | ||||||||||
Fair value of derivatives instruments | ||||||||||||
Derivatives in fair value hedging relationships | ||||||||||||
Interest rate swaps | $ | 98,776,447 | $ | 854,699 | $ | (3,974,207 | ) | |||||
Total derivatives in hedging relationships | $ | 98,776,447 | $ | 854,699 | $ | (3,974,207 | ) | |||||
Derivatives not designated as hedging instruments | ||||||||||||
Interest rate swaps | $ | 33,144,963 | $ | 147,239 | $ | (73,450 | ) | |||||
Interest rate caps or floors | 2,282,000 | 77,999 | (7,525 | ) | ||||||||
Mortgage delivery commitments | 4,210 | — | (39 | ) | ||||||||
Other* | 320,000 | 1,316 | (956 | ) | ||||||||
Total derivatives not designated as hedging instruments | $ | 35,751,173 | $ | 226,554 | $ | (81,970 | ) | |||||
Total derivatives before netting and collateral adjustments | $ | 134,527,620 | $ | 1,081,253 | $ | (4,056,177 | ) | |||||
Netting adjustments | $ | (1,072,973 | ) | $ | 1,072,973 | |||||||
Cash collateral and related accrued interest | — | 2,237,028 | ||||||||||
Total collateral and netting adjustments | $ | (1,072,973 | ) | $ | 3,310,001 | |||||||
Total reported on the Statements of Condition | $ | 8,280 | $ | (746,176 | ) | |||||||
* | Other: Comprised of swaps intermediated for members. |
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December 31, 2008 | ||||||||||||
Notional Amount of | Derivative | |||||||||||
Derivatives | Derivative Assets | Liabilities | ||||||||||
Fair value of derivatives instruments | ||||||||||||
Derivatives in fair value hedging relationships | ||||||||||||
Interest rate swaps | $ | 84,582,796 | $ | 1,640,507 | $ | (6,117,173 | ) | |||||
Total derivatives in hedging relationships | $ | 84,582,796 | $ | 1,640,507 | $ | (6,117,173 | ) | |||||
Derivatives not designated as hedging instruments | ||||||||||||
Interest rate swaps | $ | 40,674,142 | $ | 222,615 | $ | (370,876 | ) | |||||
Interest rate caps or floors | 2,357,000 | 16,318 | (8,360 | ) | ||||||||
Mortgage delivery commitments | 10,395 | 2 | (110 | ) | ||||||||
Other* | 300,000 | 10,186 | (9,694 | ) | ||||||||
Total derivatives not designated as hedging instruments | $ | 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 | ) | |||||||
* | Other: Comprised of swaps intermediated for members. |
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Years ended December 31, | ||||||||||||
2009 | 2008 | 2007 | ||||||||||
Gain (Loss) | Gain (Loss) | Gain (Loss) | ||||||||||
Derivatives designated as hedging instruments | ||||||||||||
Interest rate swaps | ||||||||||||
Advances | $ | (4,542 | ) | $ | 31,838 | $ | 7,968 | |||||
Consolidated obligations-bonds | 25,647 | (43,530 | ) | (2,058 | ) | |||||||
Consolidated obligations-discount notes | — | (333 | ) | — | ||||||||
Net gain (loss) related to fair value hedge ineffectiveness | 21,105 | (12,025 | ) | 5,910 | ||||||||
Net gain (loss) related to cash flow hedge ineffectiveness | — | (9 | ) | 9 | ||||||||
Derivatives not designated as hedging instruments | ||||||||||||
Economic hedges | ||||||||||||
Interest rate swaps | ||||||||||||
Advances | 4,491 | (20,833 | ) | 2 | ||||||||
Consolidated obligations-bonds | 92,070 | (38,763 | ) | 9,622 | ||||||||
Consolidated obligations-discount notes | (9,643 | ) | 13,895 | 52 | ||||||||
Member intermediation | (132 | ) | 462 | 19 | ||||||||
Balance sheet-macro hedges swaps | 2,869 | 18,029 | — | |||||||||
Accrued interest-swaps | (1,136 | ) | (126,551 | ) | 1,887 | |||||||
Accrued interest-intermediation | 85 | 18 | 7 | |||||||||
Caps and floors | ||||||||||||
Advances | (1,353 | ) | (2,050 | ) | (2,611 | ) | ||||||
Balance sheet | 63,330 | (38,723 | ) | — | ||||||||
Accrued interest-options | (5,798 | ) | 101 | 3,630 | ||||||||
Mortgage delivery commitments | (20 | ) | (3 | ) | (171 | ) | ||||||
Swaps matching instruments designated under FVO | ||||||||||||
Consolidated obligations-bonds | (10,330 | ) | 7,698 | — | ||||||||
Accrued interest on FVO swaps | 9,162 | (505 | ) | — | ||||||||
Net gain (loss) related to derivatives not designated as hedging instruments | 143,595 | (187,225 | ) | 12,437 | ||||||||
Net gain (loss) on derivatives and hedging activities | $ | 164,700 | $ | (199,259 | ) | $ | 18,356 | |||||
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December 31, 2009 | ||||||||||||||||
Effect of | ||||||||||||||||
Derivatives on | ||||||||||||||||
Gain (Loss) on | Gain (Loss) on | Net Interest | ||||||||||||||
Derivative | Hedged Item | Earnings Impact | Income1 | |||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | $ | 2,147,467 | $ | (2,152,009 | ) | $ | (4,542 | ) | $ | (1,793,232 | ) | |||||
Consolidated obligations-bonds | (655,908 | ) | 681,555 | 25,647 | 559,647 | |||||||||||
Consolidated obligations-notes | — | — | — | 474 | ||||||||||||
Fair value hedges — Net impact | 1,491,559 | $ | (1,470,454 | ) | 21,105 | (1,233,111 | ) | |||||||||
Cash flow hedges ineffectiveness | — | — | — | — | ||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | 4,491 | — | 4,491 | — | ||||||||||||
Consolidated obligations-bonds | 92,070 | — | 92,070 | — | ||||||||||||
Consolidated obligations-notes | (9,643 | ) | — | (9,643 | ) | — | ||||||||||
Member intermediation | (132 | ) | — | (132 | ) | — | ||||||||||
Balance sheet-macro hedges swaps | 2,869 | — | 2,869 | — | ||||||||||||
Accrued interest-swaps | (1,136 | ) | — | (1,136 | ) | — | ||||||||||
Accrued interest-intermediation | 85 | — | 85 | — | ||||||||||||
Caps and floors | ||||||||||||||||
Advances | (1,353 | ) | — | (1,353 | ) | — | ||||||||||
Member intermediation Balance sheet | 63,330 | — | 63,330 | — | ||||||||||||
Accrued interest-options | (5,798 | ) | — | (5,798 | ) | — | ||||||||||
Mortgage delivery commitments | (20 | ) | — | (20 | ) | — | ||||||||||
Swaps matching instruments designated under FVO | ||||||||||||||||
Advances | — | — | — | — | ||||||||||||
Consolidated obligations-bonds | (10,330 | ) | — | (10,330 | ) | — | ||||||||||
Consolidated obligations — discount notes | — | — | — | — | ||||||||||||
Accrued interest on FVO swaps | 9,162 | — | 9,162 | — | ||||||||||||
Total | $ | 1,635,154 | $ | (1,470,454 | ) | $ | 164,700 | $ | (1,233,111 | ) | ||||||
1 | Represents interest expense and income generated from hedge qualifying interest-rate swaps that were recorded with interest income and expense of the hedged bonds, discount notes, and advances. |
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December 31, 2008 | ||||||||||||||||
Effect of | ||||||||||||||||
Derivatives on | ||||||||||||||||
Gain (Loss) on | Gain (Loss) on | Net Interest | ||||||||||||||
Derivative | Hedged Item | Earnings Impact | Income1 | |||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | $ | (4,362,202 | ) | $ | 4,394,040 | $ | 31,838 | $ | (455,652 | ) | ||||||
Consolidated obligations-bonds | 963,271 | (1,006,801 | ) | (43,530 | ) | 338,087 | ||||||||||
Consolidated obligations-notes | 29 | (362 | ) | (333 | ) | 161 | ||||||||||
Fair value hedges ineffectiveness | (3,398,902 | ) | $ | 3,386,877 | (12,025 | ) | (117,404 | ) | ||||||||
Cash flow hedges ineffectiveness | (9 | ) | — | (9 | ) | — | ||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | (20,833 | ) | — | (20,833 | ) | — | ||||||||||
Consolidated obligations-bonds | (38,763 | ) | — | (38,763 | ) | — | ||||||||||
Consolidated obligations-notes | 13,895 | — | 13,895 | — | ||||||||||||
Member intermediation | 462 | — | 462 | — | ||||||||||||
Balance sheet-macro hedges swaps | 18,029 | — | 18,029 | — | ||||||||||||
Accrued interest-swaps | (126,551 | ) | — | (126,551 | ) | — | ||||||||||
Accrued interest-intermediation | 18 | — | 18 | — | ||||||||||||
Caps and floors | ||||||||||||||||
Advances | (2,050 | ) | — | (2,050 | ) | — | ||||||||||
Balance sheet | (38,723 | ) | — | (38,723 | ) | — | ||||||||||
Accrued interest-options | 101 | — | 101 | — | ||||||||||||
Mortgage delivery commitments | (3 | ) | — | (3 | ) | — | ||||||||||
Swaps matching instruments designated under FVO | ||||||||||||||||
Consolidated obligations-bonds | 7,698 | — | 7,698 | — | ||||||||||||
Accrued interest on FVO swaps | (505 | ) | — | (505 | ) | — | ||||||||||
Total | $ | (3,586,136 | ) | $ | 3,386,877 | $ | (199,259 | ) | $ | (117,404 | ) | |||||
1 | Represents interest expense and income generated from hedge qualifying interest-rate swaps that were recorded with interest income and expense of the hedged bonds, discount notes, and advances. |
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December 31, 2007 | ||||||||||||||||
Effect of | ||||||||||||||||
Derivatives on | ||||||||||||||||
Gain (Loss) on | Gain (Loss) on | Net Interest | ||||||||||||||
Derivative | Hedged Item | Earnings Impact | Income1 | |||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | $ | (1,488,421 | ) | $ | 1,496,389 | $ | 7,968 | $ | 354,679 | |||||||
Consolidated obligations-bonds | 412,247 | (414,305 | ) | (2,058 | ) | (174,102 | ) | |||||||||
Consolidated obligations-notes | — | — | — | — | ||||||||||||
Fair value hedges ineffectiveness | (1,076,174 | ) | $ | 1,082,084 | 5,910 | 180,577 | ||||||||||
Cash flow hedges ineffectiveness | 9 | — | 9 | — | ||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | 2 | — | 2 | — | ||||||||||||
Consolidated obligations-bonds | 9,622 | — | 9,622 | — | ||||||||||||
Consolidated obligations-notes | 52 | — | 52 | — | ||||||||||||
Member intermediation | 19 | — | 19 | — | ||||||||||||
Balance sheet-macro hedges swaps | — | — | — | — | ||||||||||||
Accrued interest-swaps | 1,887 | — | 1,887 | — | ||||||||||||
Accrued interest-intermediation | 7 | — | 7 | — | ||||||||||||
Caps and floors | ||||||||||||||||
Advances | (2,611 | ) | — | (2,611 | ) | — | ||||||||||
Balance sheet | — | — | — | — | ||||||||||||
Accrued interest-options | 3,630 | — | 3,630 | — | ||||||||||||
Mortgage delivery commitments | (171 | ) | — | (171 | ) | — | ||||||||||
Total | $ | (1,063,728 | ) | $ | 1,082,084 | $ | 18,356 | $ | 180,577 | |||||||
Note: The FHLBNY did not designate any hedged item under the FVO in 2007. | ||
1 | Represents interest expense and income generated from hedge qualifying interest-rate swaps that were recorded with interest income and expense of the hedged bonds, discount notes, and advances. |
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December 31, 2009 | ||||||||||||||
OCI | ||||||||||||||
Gains/(Losses) | ||||||||||||||
Location: | Amount | Ineffectiveness | ||||||||||||
Recognized | Reclassified to | Reclassified to | Recognized in | |||||||||||
in OCI1 | Earnings1 | Earnings1 | Earnings | |||||||||||
The effect of cash flow hedge related to Interest rate swaps | ||||||||||||||
Advances | $ | — | Interest Income | $ | — | $ | — | |||||||
Consolidated obligations-bonds | — | Interest Expense | 7,508 | — | ||||||||||
Total | $ | — | $ | 7,508 | $ | — | ||||||||
December 31, 2008 | ||||||||||||||
OCI | ||||||||||||||
Gains/(Losses) | ||||||||||||||
Location: | Amount | Ineffectiveness | ||||||||||||
Recognized | Reclassified to | Reclassified to | Recognized in | |||||||||||
in OCI 1, 2 | Earnings1 | Earnings1 | Earnings | |||||||||||
The effect of cash flow hedge related to Interest rate swaps | ||||||||||||||
Advances | $ | — | Interest Income | $ | — | $ | — | |||||||
Consolidated obligations-bonds | (6,109 | ) | Interest Expense | 6,124 | 9 | |||||||||
Total | $ | (6,109 | ) | $ | 6,124 | $ | 9 | |||||||
December 31, 2007 | ||||||||||||||
OCI | ||||||||||||||
Gains/(Losses) | ||||||||||||||
Location: | Amount | Ineffectiveness | ||||||||||||
Recognized | Reclassified to | Reclassified to | Recognized in | |||||||||||
in OCI1, 2 | Earnings 1 | Earnings1 | Earnings | |||||||||||
The effect of cash flow hedge related to Interest rate swaps | ||||||||||||||
Advances | $ | — | Interest Income | $ | — | $ | — | |||||||
Consolidated obligations-bonds | (26,105 | ) | Interest Expense | 662 | (9 | ) | ||||||||
Total | $ | (26,105 | ) | $ | 662 | $ | (9 | ) | ||||||
1 | Effective portion | |
2 | Represents effective portion of basis adjustments to AOCI in periods 2009, 2008, and 2007 from cash flowhedging transactions. |
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December 31, 2009 | ||||||||||||||||||||
Netting | ||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Adjustments | ||||||||||||||||
Assets | ||||||||||||||||||||
Available-for-sale securities | $ | 2,253,153 | $ | — | $ | 2,253,153 | $ | — | $ | — | ||||||||||
Derivative assets(a) | 8,280 | 1,081,253 | (1,072,973 | ) | ||||||||||||||||
Total assets at fair value | $ | 2,261,433 | $ | — | $ | 3,334,406 | $ | — | $ | (1,072,973 | ) | |||||||||
Liabilities | ||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||
Bonds(b) | $ | (6,035,741 | ) | $ | — | $ | (6,035,741 | ) | $ | — | $ | — | ||||||||
Derivative liabilities(a) | (746,176 | ) | — | (4,056,177 | ) | — | 3,310,001 | |||||||||||||
Total liabilities at fair value | $ | (6,781,917 | ) | $ | — | $ | (10,091,918 | ) | $ | — | $ | 3,310,001 | ||||||||
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(a) | 20,236 | — | 1,386,859 | — | (1,366,623 | ) | ||||||||||||||
Other assets | — | — | — | — | — | |||||||||||||||
Total assets at fair value | $ | 2,882,105 | $ | — | $ | 4,248,728 | $ | — | $ | (1,366,623 | ) | |||||||||
Liabilities | ||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||
Bonds(b) | $ | (998,942 | ) | $ | — | $ | (998,942 | ) | $ | — | $ | — | ||||||||
Derivative liabilities(a) | (861,660 | ) | — | (5,978,026 | ) | — | 5,116,366 | |||||||||||||
Total liabilities at fair value | $ | (1,860,602 | ) | $ | — | $ | (6,976,968 | ) | $ | — | $ | 5,116,366 | ||||||||
Level 1 — Quoted prices in active markets for identical assets. | ||
Level 2 — Significant other observable inputs. | ||
Level 3 — Significant unobservable inputs. | ||
(a) | Derivative assets and liabilities were interest-rate contracts, except for de minimis amount of mortgage delivery contracts. | |
(b) | Based on its analysis of the nature of risks of the FHLBNY’s debt measured at fair value, theFHLBNY has determined that presenting the debt as a single class is appropriate. |
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Credit Loss * | ||||||||||||||||||||
Fair Value | Level 1 | Level 2 | Level 3 | December 31, 2009 | ||||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||
Private-label residential MBS | $ | 42,922 | $ | — | $ | — | $ | 42,922 | $ | 20,816 | ||||||||||
Total | $ | 42,922 | $ | — | $ | — | $ | 42,922 | $ | 20,816 | ||||||||||
* | Note: Cumulative credit losses of $20.8 million include credit losses on Held-to-maturity securities that were OTTI in previous quarters of 2009. For Held-to-maturity securities that were previously credit impaired but no additional credit impairment were deemed necessary at December 31, 2009, the securities were recorded at their carrying values and not re-adjusted to their fair values. At December 31, 2009, the FHLBNY also wrote down certain MBS to their fair values ($42.9 million) when it was determined that the securities were credit impaired at December 31, 2009, and their carrying values prior to write-down ($59.9 million) were in excess of their fair values. |
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December 31, 2009 | December 31, 2008 | |||||||||||||||
Carrying | Estimated | Carrying | Estimated | |||||||||||||
Financial Instruments | Value | Fair Value | Value | Fair Value | ||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | 2,189,252 | $ | 2,189,252 | $ | 18,899 | $ | 18,899 | ||||||||
Interest-bearing deposits | — | — | 12,169,096 | 12,170,681 | ||||||||||||
Federal funds sold | 3,450,000 | 3,449,997 | — | — | ||||||||||||
Available-for-sale securities | 2,253,153 | 2,253,153 | 2,861,869 | 2,861,869 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | 10,519,282 | 10,669,252 | 10,130,543 | 9,934,473 | ||||||||||||
Certificates of deposit | — | — | 1,203,000 | 1,203,328 | ||||||||||||
Advances | 94,348,751 | 94,624,708 | 109,152,876 | 109,421,358 | ||||||||||||
Mortgage loans held-for-portfolio, net | 1,317,547 | 1,366,538 | 1,457,885 | 1,496,329 | ||||||||||||
Accrued interest receivable | 340,510 | 340,510 | 492,856 | 492,856 | ||||||||||||
Derivative assets | 8,280 | 8,280 | 20,236 | 20,236 | ||||||||||||
Other financial assets | 3,412 | 3,412 | 2,713 | 2,713 | ||||||||||||
Liabilities | ||||||||||||||||
Deposits | 2,630,511 | 2,630,513 | 1,451,978 | 1,452,648 | ||||||||||||
Consolidated obligations: | ||||||||||||||||
Bonds | 74,007,978 | 74,279,737 | 82,256,705 | 82,533,048 | ||||||||||||
Discount notes | 30,827,639 | 30,831,201 | 46,329,906 | 46,408,907 | ||||||||||||
Mandatorily redeemable capital stock | 126,294 | 126,294 | 143,121 | 143,121 | ||||||||||||
Accrued interest payable | 277,788 | 277,788 | 426,144 | 426,144 | ||||||||||||
Derivative liabilities | 746,176 | 746,176 | 861,660 | 861,660 | ||||||||||||
Other financial liabilities | 38,832 | 38,832 | 38,594 | 38,594 |
Years ended December 31, | ||||||||
2009 | 2008 | |||||||
Balance, beginning of the period | $ | (998,942 | ) | $ | — | |||
New transaction elected for fair value option | (10,100,000 | ) | (1,014,000 | ) | ||||
Maturities and terminations | 5,043,000 | 31,000 | ||||||
Change in fair value | 15,523 | (8,325 | ) | |||||
Change in accrued interest | 4,678 | (7,617 | ) | |||||
Balance, end of the period | $ | (6,035,741 | ) | $ | (998,942 | ) | ||
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Years ended December 31, | ||||||||||||||||||||||||
2009 | 2008 | |||||||||||||||||||||||
Interest expense on | Net gain(loss) due | Total change in fair value | Interest expense on | Net gain(loss) due | Total change in fair value | |||||||||||||||||||
consolidated | to changes in fair | included in current | consolidated | to changes in fair | included in current period | |||||||||||||||||||
obligation bonds | value | period earnings | obligation bonds | value | earnings | |||||||||||||||||||
Consolidated obligations-bonds | $ | (10,869 | ) | $ | 15,523 | $ | 4,654 | $ | (7,835 | ) | $ | (8,325 | ) | $ | (16,160 | ) | ||||||||
Years ended December 31, | ||||||||||||||||||||||||
2009 | 2008 | |||||||||||||||||||||||
Fair value | Fair value | |||||||||||||||||||||||
Principal Balance | Fair value | over/(under) | Principal Balance | Fair value | over/(under) | |||||||||||||||||||
Consolidated obligations-bonds | $ | 6,040,000 | $ | 6,035,741 | $ | (4,259 | ) | $ | 983,000 | $ | 998,942 | $ | 15,942 | |||||||||||
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December 31, 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 | $ | 40,896,550 | $ | 23,430,775 | $ | 6,091,550 | $ | 2,939,050 | $ | 73,357,925 | ||||||||||
Mandatorily redeemable capital stock1 | 102,453 | 16,766 | 2,118 | 4,957 | 126,294 | |||||||||||||||
Premises (lease obligations)2 | 3,060 | 6,161 | 5,413 | 6,427 | 21,061 | |||||||||||||||
Total contractual obligations | 41,002,063 | 23,453,702 | 6,099,081 | 2,950,434 | 73,505,280 | |||||||||||||||
Other commitments | ||||||||||||||||||||
Standby letters of credit | 667,554 | 9,139 | 15,023 | 6,199 | 697,915 | |||||||||||||||
Consolidated obligations-bonds/ discount notes traded not settled | 2,145,000 | — | — | — | 2,145,000 | |||||||||||||||
Firm commitment-advances | 100,000 | — | — | — | 100,000 | |||||||||||||||
Open delivery commitments (MPF) | 4,210 | — | — | — | 4,210 | |||||||||||||||
Total other commitments | 2,916,764 | 9,139 | 15,023 | 6,199 | 2,947,125 | |||||||||||||||
Total obligations and commitments | $ | 43,918,827 | $ | 23,462,841 | $ | 6,114,104 | $ | 2,956,633 | $ | 76,452,405 | ||||||||||
1 | Callable bonds contain exercise date or a series of exercise dates that may result in a shorter redemption period. Mandatorily redeemable capital stock is categorized by the dates at which the corresponding advances outstanding mature. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock, under which stock may not be redeemed until the later of five years from the date the member becomes a nonmember or the related advance matures. | |
2 | Immaterial amount of commitments for equipment leases not included. |
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December 31, 2009 | December 31, 2008 | |||||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | — | $ | 2,189,252 | $ | — | $ | 18,899 | ||||||||
Interest-bearing deposits | — | — | — | 12,169,096 | ||||||||||||
Federal funds sold | — | 3,450,000 | — | — | ||||||||||||
Available-for-sale securities | — | 2,253,153 | — | 2,861,869 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | — | 10,519,282 | — | 10,130,543 | ||||||||||||
Certificates of deposit | — | — | — | 1,203,000 | ||||||||||||
Advances | 94,348,751 | — | 109,152,876 | — | ||||||||||||
Mortgage loans 1 | — | 1,317,547 | — | 1,457,885 | ||||||||||||
Accrued interest receivable | 299,684 | 40,826 | 433,755 | 59,101 | ||||||||||||
Premises, software, and equipment | — | 14,792 | — | 13,793 | ||||||||||||
Derivative assets2 | — | 8,280 | — | 20,236 | ||||||||||||
Other assets3 | 179 | 19,160 | 153 | 18,685 | ||||||||||||
Total assets | $ | 94,648,614 | $ | 19,812,292 | $ | 109,586,784 | $ | 27,953,107 | ||||||||
Liabilities and capital | ||||||||||||||||
Deposits | $ | 2,630,511 | $ | — | $ | 1,451,978 | $ | — | ||||||||
Consolidated obligations | — | 104,835,617 | — | 128,586,611 | ||||||||||||
Mandatorily redeemable capital stock | 126,294 | — | 143,121 | — | ||||||||||||
Accrued interest payable | 16 | 277,772 | 814 | 425,330 | ||||||||||||
Affordable Housing Program4 | 144,489 | — | 122,449 | — | ||||||||||||
Payable to REFCORP | — | 24,234 | — | 4,780 | ||||||||||||
Derivative liabilities2 | — | 746,176 | — | 861,660 | ||||||||||||
Other liabilities5 | 29,330 | 43,176 | 31,003 | 44,750 | ||||||||||||
Total liabilities | $ | 2,930,640 | $ | 105,926,975 | $ | 1,749,365 | $ | 129,923,131 | ||||||||
Capital | 5,603,291 | — | 5,867,395 | — | ||||||||||||
Total liabilities and capital | $ | 8,533,931 | $ | 105,926,975 | $ | 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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Years ended December 31, | ||||||||||||||||||||||||
2009 | 2008 | 2007 | ||||||||||||||||||||||
Related | Unrelated | Related | Unrelated | Related | Unrelated | |||||||||||||||||||
Interest income | ||||||||||||||||||||||||
Advances | $ | 1,270,643 | $ | — | $ | 3,030,799 | $ | — | $ | 3,495,312 | $ | — | ||||||||||||
Interest-bearing deposits 1 | — | 19,865 | — | 28,012 | — | 3,333 | ||||||||||||||||||
Federal funds sold | — | 3,238 | — | 77,976 | — | 192,845 | ||||||||||||||||||
Available-for-sale securities | — | 28,842 | — | 80,746 | — | — | ||||||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||||||
Long-term securities | — | 461,491 | — | 531,151 | — | 596,761 | ||||||||||||||||||
Certificates of deposit | — | 1,626 | — | 232,300 | — | 408,308 | ||||||||||||||||||
Mortgage loans2 | — | 71,980 | — | 77,862 | — | 78,937 | ||||||||||||||||||
Loans to other FHLBanks and other | 2 | — | 33 | — | 7 | 2 | ||||||||||||||||||
Total interest income | $ | 1,270,645 | $ | 587,042 | $ | 3,030,832 | $ | 1,028,047 | $ | 3,495,319 | $ | 1,280,186 | ||||||||||||
Interest expense | ||||||||||||||||||||||||
Consolidated obligations | $ | — | $ | 1,147,011 | $ | — | $ | 3,318,160 | $ | — | $ | 4,153,094 | ||||||||||||
Deposits | 2,512 | — | 36,193 | — | 106,777 | — | ||||||||||||||||||
Mandatorily redeemable capital stock | 7,507 | — | 8,984 | — | 11,731 | — | ||||||||||||||||||
Cash collateral held and other borrowings | — | 49 | 163 | 881 | 146 | 4,370 | ||||||||||||||||||
Total interest expense | $ | 10,019 | $ | 1,147,060 | $ | 45,340 | $ | 3,319,041 | $ | 118,654 | $ | 4,157,464 | ||||||||||||
Service fees | $ | 4,165 | $ | — | $ | 3,357 | $ | — | $ | 3,324 | $ | — | ||||||||||||
1 | Includes de minimis amounts of interest income from MPF service provider. | |
2 | Includes de minimis amounts of mortgage interest income from loans purchased from members of another FHLBank. |
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December 31, 2009 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | |||||||||||||||
City | State | Advances | of Advances | Interest Income | ||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,275,000 | 19.0 | % | $ | 710,900 | ||||||||
Metropolitan Life Insurance Company | New York | NY | 13,680,000 | 15.1 | 356,120 | |||||||||||
New York Community Bank* | Westbury | NY | 7,343,174 | 8.1 | 310,991 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 5,005,641 | 5.5 | 97,628 | |||||||||||
The Prudential Insurance Company of America | Newark | NJ | 3,500,000 | 3.9 | 93,601 | |||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 3,000,000 | 3.3 | 120,870 | |||||||||||
Emigrant Bank | New York | NY | 2,475,000 | 2.7 | 64,131 | |||||||||||
Doral Bank | San Juan | PR | 2,473,420 | 2.7 | 86,389 | |||||||||||
MetLife Bank, N.A. | Bridgewater | NJ | 2,430,500 | 2.7 | �� | 46,142 | ||||||||||
Valley National Bank | Wayne | NJ | 2,322,500 | 2.6 | 103,707 | |||||||||||
Total | $ | 59,505,235 | 65.6 | % | $ | 1,990,479 | ||||||||||
* | Officer of member bank also served on the Board of Directors of the FHLBNY. |
December 31, 2008 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | |||||||||||||||
City | State | Advances | of Advances | Interest Income | ||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 17,525,000 | 17.0 | % | $ | 671,146 | ||||||||
Metropolitan Life Insurance Company | New York | NY | 15,105,000 | 14.6 | 260,420 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 7,999,689 | 7.7 | 257,649 | |||||||||||
New York Community Bank* | Westbury | NY | 7,796,517 | 7.5 | 337,019 | |||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 3,738,000 | 3.6 | 151,066 | |||||||||||
The Prudential Insurance Company of America | Newark | NJ | 3,000,000 | 2.9 | 13,082 | |||||||||||
Merrill Lynch Bank & Trust Co., FSB | New York | NY | 2,972,000 | 2.9 | 68,625 | |||||||||||
Valley National Bank | Wayne | NJ | 2,646,500 | 2.6 | 103,918 | |||||||||||
Emigrant Bank | New York | NY | 2,525,000 | 2.4 | 64,116 | |||||||||||
Doral Bank | San Juan | PR | 2,412,500 | 2.3 | 89,643 | |||||||||||
Total | $ | 65,720,206 | 63.5 | % | $ | 2,016,684 | ||||||||||
* | At December 31, 2008, officer of member bank also served on the Board of Directors of the FHLBNY. |
December 31, 2007 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | |||||||||||||||
City | State | Advances | of Advances | Interest Income | ||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | $ | 14,191,000 | 17.6 | % | $ | 461,568 | ||||||||
New York Community Bank* | Westbury | NY | 8,138,625 | 10.1 | 326,012 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 6,505,625 | 8.1 | 247,104 | |||||||||||
HSBC Bank USA, National Association | New York | NY | 5,508,585 | 6.8 | 240,347 | |||||||||||
Metropolitan Life Insurance Company | New York | NY | 4,555,000 | 5.7 | 81,724 | |||||||||||
Astoria Federal Savings and Loan Assn.* | Lake Success | NY | 3,548,000 | 4.4 | 124,045 | |||||||||||
Valley National Bank | Wayne | NJ | 2,223,000 | 2.8 | 67,548 | |||||||||||
RBS Citizens, National Association | Providence | NJ | 1,750,000 | 2.2 | 87,266 | |||||||||||
Doral Bank | San Juan | PR | 1,422,500 | 1.8 | 57,686 | |||||||||||
R-G Premier Bank of Puerto Rico | San Juan | PR | 1,379,970 | 1.6 | 72,994 | |||||||||||
Total | $ | 49,222,305 | 61.1 | % | $ | 1,766,294 | ||||||||||
* | At December 31, 2007, officer of member bank also served on the Board of Directors of the FHLBNY. |
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Number | Percent | |||||||||
February 28, 2010 | of shares | of total | ||||||||
Name of beneficial owner | Principal Executive Office Address | owned | capital stock | |||||||
Hudson City Savings Bank * | West 80 Century Road, Paramus, NJ 07652 | 8,748 | 17.43 | % | ||||||
Metropolitan Life Insurance Company | 200 Park Avenue, New York, NY 10166 | 7,419 | 14.78 | |||||||
New York Community Bank * | 615 Merrick Avenue, Westbury, NY 11590 | 3,777 | 7.53 | |||||||
Manufacturers and Traders Trust Company | One M&T Plaza, Buffalo, NY 14203 | 2,934 | 5.85 | |||||||
22,878 | 45.59 | % | ||||||||
Number | Percent | |||||||||
December 31, 2009 | of shares | of total | ||||||||
Name of beneficial owner | Principal Executive Office Address | owned | capital stock | |||||||
Hudson City Savings Bank* | West 80 Century Road, Paramus, NJ 07652 | 8,748 | 16.87 | % | ||||||
Metropolitan Life Insurance Company | 200 Park Avenue, New York, NY 10166 | 7,419 | 14.31 | |||||||
New York Community Bank* | 615 Merrick Avenue, Westbury, NY 11590 | 3,777 | 7.28 | |||||||
Manufacturers And Traders Trust Company | One M&T Plaza, Buffalo, NY 14203 | 2,952 | 5.69 | |||||||
22,896 | 44.15 | % | ||||||||
* | Officer of member bank also serves on the Board of Directors of the FHLBNY. |
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(a) | Evaluation of Disclosure Controls and Procedures: An evaluation of the Bank’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “Act”)) was carried out under the supervision and with the participation of the Bank’s President and Chief Executive Officer, Alfred A. DelliBovi, and Senior Vice President and Chief Financial Officer, Patrick A. Morgan, at December 31, 2009. Based on this evaluation, they concluded that as of December 31, 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 fourth quarter that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting. |
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Total Member | Member Directorships | |||||||
Directorships | Up For Election During | |||||||
State | for 2009 and for 2010 | the 2009 Election Process | ||||||
New Jersey | 4 | 1 | ||||||
New York | 5 | 1 | ||||||
Puerto Rico & U.S. Virgin Islands | 1 | 1 | ||||||
District Total | 10 | 3 |
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Expiration | ||||||||||||||||||||
Bank | Start of | of Current | Represents | |||||||||||||||||
Age as of | Director | Current Term | Term | Bank | Director | |||||||||||||||
Director Name | 3/25/2010 | Since | 1/1/ | 12/31/ | Members in | Type | ||||||||||||||
Michael M. Horn (Chair)a | 70 | 4/2007 | 2010 | 2013 | 2nd District | Independent | ||||||||||||||
José Ramon González (Vice Chair) b | 55 | 1/2004 | 2010 | 2013 | PR & USVI | Member | ||||||||||||||
Anne Evans Estabrook | 65 | 1/2004 | 2008 | 2010 | 2nd District | Independent | ||||||||||||||
Joseph R. Ficalora | 63 | 1/2005 | 2008 | 2010 | NY | Member | ||||||||||||||
Jay M. Ford | 60 | 6/2008 | 2009 | 2012 | NJ | Member | ||||||||||||||
James W. Fulmer c | 58 | 1/2007 | 2010 | 2013 | NY | Member | ||||||||||||||
Ronald E. Hermance, Jr. | 62 | 1/2005 | 2008 | 2010 | NJ | Member | ||||||||||||||
Katherine J. Liseno c | 65 | 1/2004 | 2010 | 2013 | NJ | Member | ||||||||||||||
Kevin J. Lynch | 63 | 1/2005 | 2008 | 2010 | NJ | Member | ||||||||||||||
Joseph J. Melone d | 78 | 4/2007 | 2010 | 2011 | 2nd District | Independent | ||||||||||||||
Richard S. Mroz | 48 | 3/2002 | 2008 | 2010 | 2nd District | Independent | ||||||||||||||
Thomas M. O’Brien | 59 | 4/2008 | 2009 | 2012 | NY | Member | ||||||||||||||
C. Cathleen Raffaeli | 53 | 4/2007 | 2009 | 2012 | 2nd District | Independent | ||||||||||||||
Edwin C. Reed | 56 | 4/2007 | 2009 | 2012 | 2nd District | Independent | ||||||||||||||
John M. Scarchilli | 58 | 8/2006 | 2008 | 2010 | NY | Member | ||||||||||||||
DeForest B. Soaries, Jr. | 58 | 1/2009 | 2009 | 2011 | 2nd District | Independent | ||||||||||||||
George Strayton | 66 | 6/2006 | 2009 | 2011 | NY | Member |
a | Mr. Horn served on the Board as an Independent Director throughout 2009, and his term expired on December 31, 2009. On November 17, 2009, he was elected by the Bank’s membership to serve as an Independent Director for a new four year term commencing January 1, 2010. In addition, Mr. Horn became Board Chair on May 13, 2008, and this term expired on December 31, 2009. On December 17, 2009, the Board elected Mr. Horn to serve as Board Chair for a new two year term commencing January 1, 2010. | |
b | Mr. González served on the Board as a Member Director representing the interests of Puerto Rico and U.S. Virgin Island members throughout 2009, and his term expired on December 31, 2009. On December 17, 2009, he was elected by the Board to serve as a Member Director for a new four year term commencing January 1, 2010. As no nominations were received from the Bank’s members in Puerto Rico and the U.S. Virgin Islands during the course of the Bank’s 2009 Member Director election process, the Board had the authority under Finance Agency regulations to fill this position. Mr. Gonzalez’ current term as Vice Chair of the Board began on January 1, 2009 and continues through and until December 31, 2010. | |
c | Mr. Fulmer and Ms. Liseno served on the Board as Member Directors representing the interests of, respectively, New York and New Jersey members throughout 2009, and their terms expired on December 31, 2009. On August 27, 2009, they were declared elected by the Bank in accordance with Finance Agency regulations to serve as Member Directors for new four year terms commencing January 1, 2010. No Member Director election was held among the Bank’s membership in 2009 in, respectively, New York and New Jersey as no other nominations (except for those nominating Mr. Fulmer and Ms. Liseno) were received from the Bank’s members in those states during the course of the Bank’s 2009 director election process. | |
d | Mr. Melone served on the Board as an Independent Director throughout 2009, and his term expired on December 31, 2009. On November 17, 2009, he was elected by the Bank’s membership to serve as an Independent Director for a new two year term commencing January 1, 2010. |
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Management | ||||||||||||||
Age as of | Employee of | Committee | ||||||||||||
Executive officer | Position held | 3/27/2010 | Bank since | member since | ||||||||||
Alfred A. DelliBovi | President & Chief Executive Officer | 64 | 11/30/92 | 03/31/04 | ||||||||||
Eric P. Amig | Senior Vice President & Director of Bank Relations | 51 | 02/01/93 | 01/01/09 | ||||||||||
G. Robert Fusco * | Senior Vice President, CIO & Head of Enterprise Services | 51 | 03/02/87 | 05/01/09 | ||||||||||
Adam Goldstein | Senior Vice President & Head of Marketing & Sales | 36 | 07/14/97 | 03/20/08 | ||||||||||
Robert R. Hans ** | Senior Vice President & Head of Technology & Support Services | 60 | 01/03/72 | 03/31/04 | ||||||||||
Paul B. Héroux | Senior Vice President & Head of Member Services | 51 | 02/27/84 | 03/31/04 | ||||||||||
Peter S. Leung | Senior Vice President & Chief Risk Officer | 55 | 01/20/04 | 03/31/04 | ||||||||||
Patrick A. Morgan | Senior Vice President & Chief Financial Officer | 69 | 02/16/99 | 03/31/04 | ||||||||||
Kevin M. Neylan | Senior Vice President & Head of Strategy and Business Development | 52 | 04/30/01 | 03/31/04 | ||||||||||
Craig E. Reynolds | Senior Vice President & Head of Asset Liability Management | 61 | 06/27/94 | 03/31/04 |
* | Left employment 1/8/93; rehired 5/10/93 | |
** | Retired 4/30/09 |
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1. | review and recommend to the Board changes regarding the Bank’s compensation and benefits programs for employees and retirees; |
2. | review and approve individual performance ratings and related merit increases for the Bank’s Chief Executive Officer and for the other Management Committee members; |
3. | review salary adjustments for Bank officers; |
4. | review and approve annually the Bank’s Incentive Compensation Plan (“Incentive Plan”), year-end Plan results and Plan award payouts; |
5. | advise the Board on compensation, benefits and human resources matters affecting Bank employees; |
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6. | review and discuss with Bank management the Compensation Discussion and Analysis (“CD&A”) to be included in the Bank’s Form 10-K and determine whether to recommend to the Board that the CD&A be included in the Form 10-K; and |
7. | review and monitor compensation arrangements for the Bank’s executives so that the Bank continues to retain, attract, motivate and align quality management consistent with the investment rationale and performance objectives contained in the Bank’s annual business plan and budget, subject to the direction of the Board. |
1. | Executive compensation must be reasonable and comparable to that offered to executives in similar positions at other comparable financial institutions. |
2. | Executive incentive compensation should be consistent with sound risk management and preservation of the par value of the Bank’s capital stock. |
3. | A significant percentage of an executive’s incentive-based compensation should be tied to longer-term performance and outcome-indicators. |
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4. | A significant percentage of an executive’s incentive-based compensation should be deferred and made contingent upon performance over several years. |
5. | The board of directors of each FHLBank and the OF should promote accountability and transparency in the process of setting compensation. |
• | Maintenance of an overall greater emphasis on base salary and benefits (versus annual and long-term incentives) than would be typical of regional/commercial banks. |
• | The use of regional/commercial banks (see the peer group list in Section I below) as the primary peer group for benchmarking at the 50th percentile of the peer group total compensation (a) cash compensation (i.e., base salary, and,for exempt employees, “variable” or “at risk” short-term incentive compensation); and (b) health and welfare programs and other benefits), discounted for purposes of establishing competitive pay levels by 15% to account for the incremental value provided by the Bank’s benefit programs. |
• | A philosophical determination to match Bank officer positions one position level down versus commercial/regional banks. The rationale is that officer positions at commercial/regional banks are one level more significant than at the Bank because they may manage multiple business lines in multiple locations. In contrast, the Bank generally recruits senior level positions from a ‘divisional’ level at commercial/regional banks and not the higher ‘corporate’ level. |
• | The targeting of cash compensation pay at the 75th percentile of the FHLBanks where regional/commercial bank data is not available. The 15% discount to account for the incremental value provided by the Bank’s benefit programs will not be applied to benchmark results from the other FHLBanks, as the other FHLBanks offer similar benefits. |
• | A commitment to conduct detailed cash compensation benchmarking for approximately one-third of the Bank’s Officer positions each year. (In this regard, the Bank collects information regarding benchmarking from Aon as well as a variety of other reputable sources.) |
• | A commitment to evaluate the value of total compensation delivered to employees including base pay, incentive compensation, retirement and health & welfare benefits in determining market competitiveness every third year. |
• | Geographical area — The New York Metropolitan area is a highly competitive market for talent in the financial disciplines; |
• | Cost of living — The New York Metropolitan area has a high cost of living that may require compensation premiums for some positions, particularly at more junior levels; and |
• | Availability of/demand for talent — Recruiting critical positions with high market demand typically requires a recruiting premium to entice an individual to change firms. |
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Australia & New | Cargill | GMAC | Royal Bank of Canada | |||
Zealand Banking | CIBC World Markets | HSBC Bank | Royal Bank of | |||
Group | Citigroup | HSBC Corporate, | Scotland/Greenwich | |||
ABN AMRO | Citizens Bank | Investment Banking | Capital | |||
Allied Irish Bank | Commerzbank | & Markets | Societe Generale | |||
The Bank of Nova | Commonwealth Bank | Hypo Vereinsbank | Standard Chartered Bank | |||
Scotia | of Australia | ING Bank | Sumitomo Mitsui | |||
Banco Santander | DVB Bank | JP Morgan Chase | Banking Corporation | |||
Bank of New | DZ Bank | KeyCorp | SunTrust Banks | |||
York/Mellon | Deutsche Bank | Lloyds TSB | TD Securities | |||
Bank of Tokyo — | Dresdner Kleinwort | M&T Bank | Wachovia Corporation | |||
Mitsubishi UFJ | Wasserstein | Corporation | Wells Fargo Bank | |||
Bank of America | Fifth Third Bank | Mizuho Corporate | WestLB | |||
BMO Financial | Fortis Financial | Bank, Ltd. | Westpac Banking | |||
Group | Services LLC | National Australia | Corporation | |||
BNP Paribas | GE Commercial | Bank | ||||
Brown Brothers | Finance | Rabobank Nederland | ||||
Harriman | ||||||
The CIT Group |
• | cash compensation was generally below the Bank’s peer groups and heavily weighted towards base pay (Note: the Bank is prohibited by law from offering equity-based compensation, and the Bank does not offer long-term incentives); |
• | added together, cash compensation and retirement-related benefits were slightly above the Bank’s peers(and heavily weighted towards benefits); |
• | added together, cash compensation, retirement-related benefits and health & welfare benefits were generally above the Bank’s peers and heavily weighted towards benefits; and |
• | the mix of compensation and benefits was consistent with the risk-averse culture of the Bank. |
• | the dominant features of the Bank’s current compensation and benefits program which stressed fixed compensation over variable to support the Bank’s risk-averse culture should be retained; |
• | greater weight on benefits vs. competitor peer group should be retained; and |
• | heavier reliance on base pay vs. incentive pay should be retained. |
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• | Maintenance of an overall greater emphasis on base salary and benefits (versus annual and long-term incentives) than would be typical of regional/commercial banks. |
• | The use of regional/commercial banks (see the peer group list in Section I above) as the primary peer group for benchmarking at the 50th percentile of the peer group total compensation (a) cash compensation (i.e., base salary, and,for exempt employees, “variable” or “at risk” short-term incentive compensation); and (b) health and welfare programs and other benefits), discounted for purposes of establishing competitive pay levels by 15% to account for the incremental value provided by the Bank’s benefit programs. |
• | A philosophical determination to match Bank officer positions one position level down versus commercial/regional banks. The rationale is that officer positions at commercial/regional banks are one level more significant than at the Bank because they may manage multiple business lines in multiple locations. In contrast, the Bank generally recruits senior level positions from a ‘divisional’ level at commercial/regional banks and not the higher ‘corporate’ level. |
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• | The targeting of cash compensation pay at the 75th percentile of the FHLBanks where regional/commercial bank data is not available. The 15% discount to account for the incremental value provided by the Bank’s benefit programs will not be applied to benchmark results from the other FHLBanks, as the other FHLBanks offer similar benefits. |
• | A commitment to conduct detailed cash compensation benchmarking for approximately one-third of the Bank’s Officer positions each year. (In this regard, the Bank collects information regarding benchmarking from Aon as well as a variety of other reputable sources.) |
• | A commitment to evaluate the value of total compensation delivered to employees including base pay, incentive compensation, retirement and health & welfare benefits in determining market competitiveness every third year. |
• | Geographical area — New York City is a highly competitive market. |
• | Cost of living — The New York Metropolitan area has a high cost of living that may require compensation premiums for some positions, particularly at more junior levels. |
• | Availability of/demand for talent — Recruiting critical positions with high market demand typically requires a recruiting premium to entice an individual to change firms. |
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Goals Category | Weighting | Goal | Goal Basis | |||||
Business Effectiveness | 80 | % | Return | Dividend Capacity as forecasted in the Bank’s 2009 business plan. (50% of the category) | ||||
Risk | Enterprise Risk Level in the Bank’s 2009 business plan balance sheet as measured by the methodology used to calculate the Bank’s retained earnings target. (50% of the category) | |||||||
Mission Effectiveness | 10 | % | Mission | The Bank’s achievements in specific areas of housing and community development activities. | ||||
Growth Effectiveness | 10 | % | New Members | Number of new members and other activities during 2009 to position the Bank for future growth and mission fulfillment. |
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DEFINED BENEFIT PLAN | GRANDFATHERED | NON-GRANDFATHERED | ||
PROVISIONS | EMPLOYEES | EMPLOYEES | ||
Benefit Multiplier | 2.5% | 2.0% | ||
Final Average Pay Period | High 3 Year | High 5 Year | ||
Normal Form of Payment | Guaranteed 12 Year Payout | Life Annuity | ||
Cost of Living Adjustments | 1% Per Year Cumulative Commencing at Age 66 | None | ||
Early Retirement Subsidy<65: | ||||
a) Rule of 70 | 1.5% Per Year | 3% Per Year | ||
b) Rule of 70 Not Met | 3% Per Year | Actuarial Equivalent | ||
*Vesting | 20% Per Year Commencing | 5 Year Cliff | ||
Second Year of Employment |
* | Greater of DB Plan Vesting or New Plan Vesting applied to employees participating in the DB Plan prior to July 1, 2008. |
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* | Provide to the participants of the Nonqualified Defined Contribution Portion of the BEP as of November 10, 2009, with respect to 2009, an additional cash payment on the second payroll following the end of 2009 in an amount equal to 6% of base pay in excess of IRS limitations for 2009 less amounts included for the DC BEP for 2009; and | |
* | Beginning in 2010, provide to the participants of the Nonqualified Defined Contribution Portion of the BEP as of November 10, 2009, an additional annual cash payment on the first or second payroll following the end of a calendar year in an amount equal to 6% of base pay in excess of IRS limitations for such prior year. |
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Completed | ||||
Years of | Percentage of Premium | |||
Service | Paid by Retiree | |||
10 | 50.0 | % | ||
11 | 47.5 | % | ||
12 | 45.0 | % | ||
13 | 42.5 | % | ||
14 | 40.0 | % | ||
15 | 37.5 | % | ||
16 | 35.0 | % | ||
17 | 32.5 | % | ||
18 | 30.0 | % | ||
19 | 27.5 | % | ||
20 or more | 25.0 | % |
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Provisions for | ||||
Grandfathered | Provisions for Non-Grandfathered | |||
Retirees | Retirees | |||
Plan Type | Defined Benefit | Defined Dollar Plan | ||
Medical Plan Formula | 1) Same coverage offered to active employees prior to age 65 | 1) Retiree, (and covered individual), is eligible for $45/month x years of service after age 45, and has attainted the age of 62. There is a 3% Cost of Living Adjustment each year | ||
2) Supplement Medicare coverage for retirees Age 65 and over | 2) Retiree, (and covered individual), is eligible for $25/month x years of service after age 45 and after age 65. There is a 3% Cost of Living Adjustment each year | |||
Employer | ||||
Cost Share Examples: | 0% for Pre-62 | $0 for Pre-62 Pre-65/Post-65 | ||
10 years of service after age 45 | 50% for Post-62 | $5400/$3000 | ||
15 years of service after age 45 | 62.5% for Post-62 | $8100/$4500 | ||
20 years of service after age 45 | 75% for Post-62 | $10800/$6000 |
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Short and Long Term Disability Insurance
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James W. Fulmer
José R. González
Katherine J. Liseno
Kevin J. Lynch
Richard S. Mroz
Thomas M. O’Brien
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Change in | ||||||||||||||||||||||||||||||||||||
Non-Equity | Pension Value | All Other | ||||||||||||||||||||||||||||||||||
Incentive | and Nonqualified | Compensation | ||||||||||||||||||||||||||||||||||
Plan | Deferred | (4,5,6,7,8,9,10,11) | ||||||||||||||||||||||||||||||||||
Stock | Option | Compensation | Compensation | (D,E,F,G,H, I,J) | ||||||||||||||||||||||||||||||||
Name and PrincipalPosition | Year | Salary (13) (14) | Bonus | Awards | Awards | (1)(A)(a) | (2,3) (B,C) (b,c) | (d,e,f,g,h,i,j) | Total | |||||||||||||||||||||||||||
Alfred A. DelliBovi | 2009 | $ | 649,494 | — | — | — | $ | 503,592 | $ | 1,010,379 | $ | 72,917 | $ | 2,236,382 | ||||||||||||||||||||||
President & | 2008 | $ | 615,634 | — | — | — | $ | 379,938 | $ | 1,092,000 | $ | 76,328 | $ | 2,163,900 | ||||||||||||||||||||||
Chief Executive Officer (PEO) | 2007 | $ | 583,539 | — | — | — | $ | 421,964 | $ | 479,000 | $ | 75,855 | $ | 1,560,358 | ||||||||||||||||||||||
Peter S. Leung | 2009 | $ | 423,294 | — | — | — | $ | 239,805 | $ | 323,067 | $ | 41,095 | $ | 1,027,261 | ||||||||||||||||||||||
Senior Vice President, | 2008 | $ | 405,066 | — | — | — | $ | 181,414 | $ | 328,000 | $ | 49,045 | $ | 963,525 | ||||||||||||||||||||||
Chief Risk Officer | 2007 | $ | 387,623 | — | — | — | $ | 204,407 | $ | 499,000 | $ | 46,917 | $ | 1,137,947 | ||||||||||||||||||||||
Paul B. Héroux | 2009 | $ | 300,980 | — | — | — | $ | 170,511 | $ | 282,434 | $ | 45,464 | $ | 799,389 | ||||||||||||||||||||||
Senior Vice President, | 2008 | $ | 288,019 | — | — | — | $ | 128,993 | $ | 400,000 | $ | 57,200 | $ | 874,212 | ||||||||||||||||||||||
Head of Member Services | 2007 | $ | 275,616 | — | — | — | $ | 145,342 | $ | 171,000 | $ | 43,425 | $ | 635,383 | ||||||||||||||||||||||
Patrick A. Morgan | 2009 | $ | 319,154 | — | — | — | $ | 180,807 | $ | 172,000 | $ | 34,552 | $ | 706,513 | ||||||||||||||||||||||
Senior Vice President, | 2008 | $ | 305,411 | — | — | — | $ | 136,782 | $ | 268,000 | $ | 36,933 | $ | 747,126 | ||||||||||||||||||||||
Chief Financial Officer (PFO) | 2007 | $ | 292,259 | — | — | — | $ | 154,118 | $ | 279,000 | $ | 31,184 | $ | 756,561 | ||||||||||||||||||||||
Kevin M. Neylan(12) | 2009 | $ | 310,415 | — | — | — | $ | 175,856 | $ | 185,411 | $ | 41,596 | $ | 713,278 | ||||||||||||||||||||||
Senior Vice President, Head of Strategy & Business Development |
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1 | Bonuses are not provided by the Bank. However, the non-equity incentive plan compensation in the above table may be considered by some to be deemed a “bonus”. | |
2 | Change in Pension Value for the Pentegra Defined Benefit Plan for Financial Institutions: |
P. Leung — $143,000
P. Morgan — $104,000
P. Héroux — $192,000
K. Neylan — $91,000
3 | Change in Pension Value for the Nonqualified Defined Benefit Portion of the Benefit Equalization Plan: |
P. Leung — $145,000
P. Morgan — $60,000
P. Héroux — $60,000
K. Neylan — $57,000
4 | Change in Nonqualified Deferred Compensation Earnings: |
P. Leung — $35,067
P. Morgan — $8,000
P. Héroux — $30,434
K. Neylan — $37,411
5 | For all Named Executive Officers, includes these items paid by the Bank for all employees: amount of funds matched by the Bank in connection with the Pentegra Defined Contribution Plan for Financial Institutions, payment of group term life insurance premium, payment of long term disability insurance premium, payment of health insurance premium, payment of dental insurance premium, payment of vision insurance premium and payment of employee assistance program premium. | |
6 | Includes these items paid by the Bank for all eligible officers: amount of funds matched by the Bank in connection with the Nonqualified Defined Contribution Portion of the Benefit Equalization Plan (amount of funds matched for A. DelliBovi was $21,999, for P. Leung $15,526, for P. Morgan $9,724, for Paul Heroux $1,722 and for K. Neylan $6,715). | |
7 | For A. DelliBovi, includes value of leased automobile ($8,100). | |
8 | For Paul Heroux, includes payment of this item paid by the Bank for all eligible employees: Years of Service Award. | |
9 | For P. Leung, P. Heroux, and K. Neylan, includes payment of this item paid by the Bank for all eligible officers: officer physical examination. | |
10 | For A. DelliBovi and P. Héroux, includes this item paid by the Bank for all eligible officers: payment of term life insurance premium. | |
11 | For P. Heroux and for K. Neylan, includes payment of this item paid by the Bank for all employees: fitness center reimbursement. | |
12 | K. Neylan is a new NEO in 2009. | |
13 | Figures represent salaries approved by the Bank’s Board of Directors for the year 2009. |
A | Bonuses are not provided by the Bank. However, the non-equity incentive plan compensation in the above table may be considered by some to be deemed a “bonus”. | |
B | Change in Pension Value for the Pentegra Defined Benefit Plan for Financial Institutions: |
P. Morgan — $74,000
P. Leung — $105,000
P. Héroux — $156,000
C | Change in Pension Value for the Nonqualified Defined Benefit Portion of the Bank’s Benefit Equalization Plan: |
P. Morgan — $194,000
P. Leung — $223,000
P. Héroux — $244,000
D | For all Named Executive Officers, includes these items paid by the Bank for all employees: amount of funds matched by the Bank in connection with the Pentegra Defined Contribution Plan for Financial Institutions, payment of group term life insurance premium, payment of long term disability insurance premium, payment of health insurance premium, payment of aggregate and individual “stop loss” coverage (i.e., insurance to protect the Bank against significant insurance claims paid under its self-insured health insurance plan), payment of health and dental administrative charges (i.e., network medical utilization charges, network medical administrative charges, and dental indemnity administrative charges), payment of dental insurance premium, payment of vision insurance premium and payment of employee assistance program premium. |
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E | For A. DelliBovi, P. Morgan, and P. Leung, includes these items paid by the Bank for all eligible officers: amount of funds matched by the Bank in connection with the Nonqualified Defined Contribution Portion of the Benefit Equalization Plan (amount of funds matched for A. DelliBovi was $23,407, for P. Morgan $9,908 and for P. Leung $17,016). | |
F | For A. DelliBovi, includes value of leased automobile ($8,100). | |
G | For A. DelliBovi, includes payment of this item paid by the Bank for all eligible employees: Years of Service Award. | |
H | For A. DelliBovi, includes payment of this item paid by the Bank for all eligible officers: officer physical examination. | |
I | For A. DelliBovi and P. Héroux, includes this item paid by the Bank for all eligible officers: payment of term life insurance premium. | |
j | For P. Heroux, includes payment of this item paid by the Bank for all eligible employees: Nonqualified Profit Sharing Plan. | |
14 | Figures represent salaries approved by the Bank’s Board of Directors for the year 2008. Figures previously reported in the Bank’s 10-K for 2008 used information reflecting actual salaries received in the year 2008. |
a | Bonuses are not provided by the Bank. However, the non-equity incentive plan compensation in the above table may be considered by some to be deemed a “bonus”. | |
b | Change in Pension Value for the Pentegra Defined Benefit Plan for Financial Institutions: |
P. Morgan — $91,000
P. Leung — $51,000
P. Héroux — $67,000
c | Change in Pension Value for the Nonqualified Defined Benefit Portion of the Bank’s Benefit Equalization Plan: |
P. Morgan — $188,000
P. Leung — $448,000
P. Héroux — $104,000
d | For all Named Executive Officers, includes these items paid by the Bank for all employees: amount of funds matched by the Bank in connection with the Pentegra Defined Contribution Plan for Financial Institutions, payment of group term life insurance premium, payment of long term disability insurance premium, payment of health insurance premium, payment of aggregate and individual “stop loss” coverage (i.e., insurance to protect the Bank against significant insurance claims paid under its self-insured health insurance plan), payment of health and dental administrative charges (i.e., network medical utilization charges, network medical administrative charges, and dental indemnity administrative charges), payment of dental insurance premium, and payment of employee assistance program premium. | |
e | For A. DelliBovi, P. Leung, and P. Héroux , includes these items paid by the Bank for all eligible officers: amount of funds matched by the Bank in connection with the Nonqualified Defined Contribution Portion of the Benefit Equalization Plan (amount of funds matched for A. DelliBovi was $22,839, for P. Leung $15,994 and for P. Héroux $4,732). | |
f | For A. DelliBovi, P. Leung, and P. Morgan, includes this item paid by the Bank for all participating employees: payment of vision insurance premium. | |
g | For A. DelliBovi, includes value of leased automobile ($11,856). | |
h | For P. Héroux, includes payment of this item paid by the Bank for all eligible officers: officer physical examination. | |
i | For A. DelliBovi,and P. Héroux, includes this item paid by the Bank for all eligible officers: payment of term life insurance premium. | |
j | �� | For P. Héroux, includes payment of this item paid by the Bank for all eligible employees: fitness center membership reimbursement. |
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Grants of Plan-Based Awards for Fiscal Year 2009 | ||||||||||||||||||||||||||||||||||||||||||||
All Other | All Other | Exercise | Grant | |||||||||||||||||||||||||||||||||||||||||
Stock | Option | or | Date | |||||||||||||||||||||||||||||||||||||||||
Awards: | Awards: | Base | Fair Value | |||||||||||||||||||||||||||||||||||||||||
Estimated Future Payouts | Estimated Future Payouts | Number of | Number of | Price of | of Stock | |||||||||||||||||||||||||||||||||||||||
Under Non-Equity Incentive | Under Equity Incentive | Shares of | Securities | Option | and Option | |||||||||||||||||||||||||||||||||||||||
Grant | Plan Awards (2) (3) | Plan Awards | Stock | Underlying | Awards | Awards | ||||||||||||||||||||||||||||||||||||||
Name | Date (1) | Threshold | Target | Maximum | Threshold | Target | Maximum | or Units | Options | ($/Sh) | ($/Sh) | |||||||||||||||||||||||||||||||||
Alfred A. DelliBovi | 03/18/09 | $ | 142,889 | $ | 259,798 | $ | 493,615 | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Peter S. Leung | 03/18/09 | $ | 69,844 | $ | 126,988 | $ | 241,278 | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Paul B. Héroux | 03/18/09 | $ | 49,662 | $ | 90,294 | $ | 171,559 | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Patrick A. Morgan | 03/18/09 | $ | 52,660 | $ | 95,746 | $ | 181,918 | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Kevin M. Neylan | 03/18/09 | $ | 51,218 | $ | 93,125 | $ | 176,937 | — | — | — | — | — | — | — |
1 | On this date, the Board of Directors’ Compensation and Human Resources Committee approved the 2009 Incentive Compensation Plan (“ICP”). Approval of the ICP does not mean a payout is guaranteed. | |
2 | Figures represent an assumed rating attained by the NEO of at least a specified threshold rating within the “Meets Requirements” category for the Named Executive Officers with respect to their individual performance. | |
3 | Amounts represent potential awards under the 2009 Incentive Compensation Plan; actual amounts awarded are reflected in the Summary Compensation Table above. |
2009 (1) | 2010 (2) | |||||||
Alfred A. DelliBovi | $ | 649,494 | $ | 678,721 | ||||
Patrick A. Morgan | 319,154 | 330,324 | ||||||
Peter S. Leung | 423,294 | 438,109 | ||||||
Paul B. Héroux | 300,980 | 311,514 | ||||||
Kevin M. Neylan | 310,415 | 321,280 |
2 Figures represent salaries approved by the Bank’s Board of Directors for the year 2010.
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GoalsCategory | Weighting | Goal | Goal Basis | |||||
Business Effectiveness | 80 | % | Return | Dividend Capacity as forecasted in the Bank’s 2009 business plan. (50% of the category) | ||||
Risk | Enterprise Risk Level in the Bank’s 2009 business plan balance sheet as measured by the methodology used to calculate the Bank’s retained earnings target. (50% of the category) | |||||||
Mission Effectiveness | 10 | % | Mission | The Bank’s achievements in specific areas of housing and community development activities. | ||||
Growth Effectiveness | 10 | % | New Members | Number of new members and other activities during 2009 to position the Bank for future growth and mission fulfillment. |
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AND OPTION EXERCISES AND STOCK VESTED
Pension Benefits for Fiscal Year 2009 | |||||||||||||||||
Number of | Present Value | Payment During | |||||||||||||||
Plan | Years Credited | of Accumulated | Last | ||||||||||||||
Name | Name | Service [1] | Benefit [2] | Fiscal Year | |||||||||||||
Alfred A. DelliBovi | Pentegra Defined Benefit Plan for Financial Institutions Qualified Plan | 16.75 | $ | 1,156,000 | — | ||||||||||||
Nonqualified Defined Benefit Portion of the Benefit Equalization Plan | 16.75 | $ | 3,823,000 | — | |||||||||||||
Peter S. Leung | Pentegra Defined Benefit Plan for Financial Institutions Qualified Plan | 12.50 | $ | 560,000 | — | ||||||||||||
Nonqualified Defined Benefit Portion of the Benefit Equalization Plan (3) | 12.50 | $ | 816,000 | — | |||||||||||||
Paul B. Héroux | Pentegra Defined Benefit Plan for Financial Institutions Qualified Plan | 25.50 | $ | 832,000 | — | ||||||||||||
Nonqualified Defined Benefit Portion of the Benefit Equalization Plan | 25.50 | $ | 699,000 | — | |||||||||||||
Patrick A. Morgan | Pentegra Defined Benefit Plan for Financial Institutions Qualified Plan | 10.50 | $ | 734,000 | — | ||||||||||||
Nonqualified Defined Benefit Portion of the Benefit Equalization Plan | 10.50 | $ | 672,000 | — | |||||||||||||
Kevin M. Neylan | Pentegra Defined Benefit Plan for Financial Institutions Qualified Plan | 8.33 | $ | 303,000 | — | ||||||||||||
Nonqualified Defined Benefit Portion of the Benefit Equalization Plan | 8.33 | $ | 246,000 | — |
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1 | Number of years of credited service pertains to eligibility/participation in the qualified plan. Years of credited service for the Nonqualified Defined Benefit Portion of the Benefit Equalization Plan are the same as for the Pentegra Defined Benefit Plan for Financial Institutions Qualified Plan. However, the dates of eligible enrollment for both the Qualified and Nonqualified Defined Benefit plans may differ because enrollment eligibility in the nonqualified plan is much more stringent than for the qualified plan. | |
2 | As of 12/31/2009. | |
3 | Mr. Leung’s 12.5 years of credited service includes 3.6 years of credited service working for the Office of Thrift Supervision; 3.0 years of credited service working for the Federal Home Loan Bank of Dallas (including two months of severance) and 5.9 years of credited service working for the Federal Home Loan Bank of New York. |
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DEFINED BENEFIT PLAN | GRANDFATHERED | NON-GRANDFATHERED | ||
PROVISIONS | EMPLOYEES | EMPLOYEES | ||
Benefit Multiplier | 2.5% | 2.0% | ||
Final Average Pay Period | High 3 Year | High 5 Year | ||
Normal Form of Payment | Guaranteed 12 Year Payout | Life Annuity | ||
Cost of Living Adjustments | 1% Per Year Cumulative Commencing at Age 66 | None | ||
Early Retirement Subsidy<65: | ||||
a) Rule of 70 | 1.5% Per Year | 3% Per Year | ||
b) Rule of 70 Not Met | 3% Per Year | Actuarial Equivalent | ||
*Vesting | 20% Per Year Commencing Second Year of Employment | 5 Year Cliff |
* | Greater of DB Plan Vesting or New Plan Vesting applied to employees participating in the DB Plan prior to July 1, 2008. |
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Nonqualified Deferred Compensation for Fiscal Year 2009 | ||||||||||||||||||||
Executive | Registrant | Aggregate | Aggregate | Aggregate | ||||||||||||||||
Contributions in | Contributions in | Earnings in | Withdrawals/ | Balance at | ||||||||||||||||
Name | Last FY (1) | Last FY (2) | Last FY | Distributions | Last FYE | |||||||||||||||
Alfred A. DelliBovi | $ | 11,016 | $ | 21,999 | $ | 211,379 | — | $ | 1,124,656 | |||||||||||
Patrick A. Morgan | $ | 33,144 | $ | 9,724 | $ | 8,000 | — | $ | 86,209 | |||||||||||
Paul B. Héroux | $ | 1,479 | $ | 1,722 | $ | 30,434 | — | $ | 173,805 | |||||||||||
Peter S. Leung | $ | 51,138 | $ | 15,526 | $ | 35,067 | — | $ | 199,552 | |||||||||||
Kevin M. Neylan | $ | 17,425 | $ | 6,715 | $ | 37,411 | — | $ | 232,271 |
1 | These amounts are included in the “Salary” column of the Summary Compensation Table; these amounts would have been paid as salary but for deferral into the Nonqualified Defined Contribution portion of the Benefit Equalization Plan. | |
2 | These totals are also included in the “All Other Compensation” column of the Summary Compensation Table. |
* | Provide to the participants of the Nonqualified Defined Contribution Portion of the BEP as of November 10, 2009, with respect to 2009, an additional cash payment on the second payroll following the end of 2009 in an amount equal to 6% of base pay in excess of IRS limitations for 2009 less amounts included for the DC BEP for 2009; and | |
* | Beginning in 2010, provide to the participants of the Nonqualified Defined Contribution Portion of the BEP as of November 10, 2009, an additional annual cash payment on the first or second payroll following the end of a calendar year in an amount equal to 6% of base pay in excess of IRS limitations for such prior year. |
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Number of weeks Used to | 2009 Annual | |||||||||||
Calculate Severance Amount | Base Salary | Severance Amount | ||||||||||
Alfred A. DelliBovi | 36 | $ | 649,494 | $ | 449,650 | |||||||
Peter S. Leung | 24 | $ | 423,294 | $ | 195,366 | |||||||
Patrick A. Morgan | 36 | $ | 319,154 | $ | 220,953 | |||||||
Paul B. Héroux | 36 | $ | 300,980 | $ | 208,371 | |||||||
Kevin M. Neylan | 36 | $ | 310,415 | $ | 214,903 |
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Change in Pension | ||||||||||||||||||||||||||||
Value and | ||||||||||||||||||||||||||||
Nonqualified | ||||||||||||||||||||||||||||
Fees | Non-Equity | Deferred | All | |||||||||||||||||||||||||
Earned or | Stock | Option | Incentive Plan | Compensation | Other | |||||||||||||||||||||||
Name | Paid in Cash | Awards | Awards | Compensation | Earnings | Compensation | Total | |||||||||||||||||||||
Michael M. Horn | $ | 60,000 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 60,000 | ||||||||||||||
José R. González | 55,000 | — | — | — | — | — | 55,000 | |||||||||||||||||||||
Anne E. Estabrook | 50,000 | — | — | — | — | — | 50,000 | |||||||||||||||||||||
Joseph R. Ficalora | 45,000 | — | — | — | — | — | 45,000 | |||||||||||||||||||||
Jay M. Ford | 45,000 | — | — | — | — | — | 45,000 | |||||||||||||||||||||
James W. Fulmer | 45,000 | — | — | — | — | — | 45,000 | |||||||||||||||||||||
Ronald E. Hermance, Jr. | 50,000 | — | — | — | — | — | 50,000 | |||||||||||||||||||||
Katherine J. Liseno | 45,000 | — | — | — | — | — | 45,000 | |||||||||||||||||||||
Kevin J. Lynch | 50,000 | — | — | — | — | — | 50,000 | |||||||||||||||||||||
Joseph J. Melone | 11,250 | — | — | — | 33,750 | — | 45,000 | |||||||||||||||||||||
Richard S. Mroz | 50,000 | — | — | — | — | — | 50,000 | |||||||||||||||||||||
Thomas M. O’Brien | 45,000 | — | — | — | — | — | 45,000 | |||||||||||||||||||||
C. Cathleen Raffaeli | 50,000 | — | — | — | — | — | 50,000 | |||||||||||||||||||||
Edwin C. Reed | 45,000 | — | — | — | — | — | 45,000 | |||||||||||||||||||||
John M. Scarchilli | 45,000 | — | — | — | — | — | 45,000 | |||||||||||||||||||||
DeForest B. Soaries, Jr. | 45,000 | — | — | — | — | — | 45,000 | |||||||||||||||||||||
George Strayton | 50,000 | — | — | — | — | — | 50,000 | |||||||||||||||||||||
$ | 786,250 | $ | — | $ | — | $ | — | $ | 33,750 | $ | — | $ | 820,000 | |||||||||||||||
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Fees For Board Service | ||||
(Paid Quarterly | ||||
Position | in Arrears) | |||
Chairman | $ | 15,000 | ||
Vice Chairman | $ | 13,750 | ||
Committee Chair * | $ | 12,500 | ||
All Other Directors | $ | 11,250 |
Position | Annual Limit | |||
Chairman | $ | 60,000 | ||
Vice Chairman | $ | 55,000 | ||
Committee Chair | $ | 50,000 | ||
All Other Directors | $ | 45,000 |
Fees For Each Board | ||||
Meeting Attended | ||||
(Paid Quarterly | ||||
Position | in Arrears) | |||
Chairman | $ | 6,000 | ||
Vice Chairman | $ | 5,500 | ||
Committee Chair * | $ | 5,000 | ||
All Other Directors | $ | 4,500 |
Position | Annual Limit | |||
Chairman | $ | 60,000 | ||
Vice Chairman | $ | 55,000 | ||
Committee Chair | $ | 50,000 | ||
All Other Directors | $ | 45,000 |
* | A Committee Chair does not receive any additional payment if he or she serves as the Chair of more than one Board Committee. In addition, the Board Chair and Board Vice Chair does not receive any additional compensation if they serve as a Chair of one or more Board Committees. |
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• | Meetings of the Board and Board Committees |
• | Meetings requested by the Federal Housing Finance Agency |
• | Meetings of Federal Home Loan Bank System committees |
• | Federal Home Loan Bank System director orientation meetings |
• | Meetings of the Council of Federal Home Loan Banks and Council committees |
• | Attendance at other events on behalf of the Bank with prior approval of the Board of Directors |
Directors’ Expenses | ||||
Reimbursed | ||||
Name | (Paid in Cash) | |||
Michael M. Horn | $ | 3,908 | ||
José R. González | 17,801 | |||
Anne E. Estabrook | 4,121 | |||
Joseph R. Ficalora | 420 | |||
Jay M. Ford | 3,207 | |||
James W. Fulmer | 5,678 | |||
Ronald E. Hermance, Jr. | — | |||
Katherine J. Liseno | 2,759 | |||
Kevin J. Lynch | 2,955 | |||
Joseph J. Melone | 2,359 | |||
Richard S. Mroz | 3,793 | |||
Thomas M. O’Brien | 1,160 | |||
C. Cathleen Raffaeli | — | |||
Edwin C. Reed | 1,868 | |||
John M. Scarchilli | 1,332 | |||
DeForest B. Soaries, Jr. | — | |||
George Strayton | 1,156 | |||
$ | 52,517 | |||
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Number | Percent | |||||||||
February 28, 2010 | of shares | of total | ||||||||
Name of beneficial owner | Principal Executive Office Address | owned | capital stock | |||||||
Hudson City Savings Bank * | West 80 Century Road, Paramus, NJ 07652 | 8,748 | 17.43 | % | ||||||
Metropolitan Life Insurance Company | 200 Park Avenue, New York, NY 10166 | 7,419 | 14.78 | |||||||
New York Community Bank * | 615 Merrick Avenue, Westbury, NY 11590 | 3,777 | 7.53 | |||||||
Manufacturers and Traders Trust Company | One M&T Plaza, Buffalo, NY 14203 | 2,934 | 5.85 | |||||||
22,878 | 45.59 | % | ||||||||
Number | Percent | |||||||||
December 31, 2009 | of shares | of total | ||||||||
Name of beneficial owner | Principal Executive Office Address | owned | capital stock | |||||||
Hudson City Savings Bank * | West 80 Century Road, Paramus, NJ 07652 | 8,748 | 16.87 | % | ||||||
Metropolitan Life Insurance Company | 200 Park Avenue, New York, NY 10166 | 7,419 | 14.31 | |||||||
New York Community Bank * | 615 Merrick Avenue, Westbury, NY 11590 | 3,777 | 7.28 | |||||||
Manufacturers And Traders Trust Company | One M&T Plaza, Buffalo, NY 14203 | 2,952 | 5.69 | |||||||
22,896 | 44.15 | % | ||||||||
* | Officer of member bank also serves on the Board of Directors of the FHLBNY. |
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Number | Percent | |||||||||||||
of shares | of total | |||||||||||||
Name | Director | City | State | owned | capital stock | |||||||||
Hudson City Savings Bank | Ronald E. Hermance, Jr. | Paramus | New Jersey | 8,748 | 16.87 | % | ||||||||
New York Community Bank | Joseph R. Ficalora | Westbury | New York | 3,777 | 7.28 | |||||||||
Banco Santander Puerto Rico | José R. González | San Juan | Puerto Rico | 554 | 1.07 | |||||||||
Provident Bank | George Strayton | Montebello | New York | 278 | 0.54 | |||||||||
Oritani Bank | Kevin J. Lynch | Township of Washington | New Jersey | 255 | 0.49 | |||||||||
State Bank of Long Island | Thomas M. O’Brien | Jericho | New York | 39 | 0.08 | |||||||||
Crest Savings Bank | Jay M. Ford | Wildwood | New Jersey | 27 | 0.05 | |||||||||
The Bank of Castile | James W. Fulmer | Batavia | New York | 27 | 0.05 | |||||||||
Metuchen Savings Bank | Katherine J. Liseno | Metuchen | New Jersey | 19 | 0.04 | |||||||||
Pioneer Savings Bank | John M. Scarchilli | Troy | New York | 17 | 0.03 | |||||||||
13,741 | 26.50 | % | ||||||||||||
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20091 | 20081 | 2007 | ||||||||||
Audit Fees | $ | 1,139 | $ | 1,341 | $ | 1,163 | ||||||
Audit-related Fees | 54 | 56 | 33 | |||||||||
Tax Fees | 57 | — | — | |||||||||
All Other Fees | 2 | 2 | 18 | |||||||||
$ | 1,252 | $ | 1,399 | $ | 1,214 | |||||||
1 | The 2009 and 2008 amounts in the table do not include the assessment from the Office of Finance (“OF”) for the Bank’s share of the audit fees of approximately $83 thousand and $36 thousand incurred in connection with the audit of the combined financial statements published by the OF. |
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(a) | 1. | Financial Statements |
2. | Financial Statement Schedules |
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3. | Exhibits |
Exhibit | Filed with | |||||||||||
No. | Description | this Form 10-K | Form | File No. | Date Filed | |||||||
3.01 | Restated Organization Certificate of the Federal Home Loan Bank of New York (“Bank”) | 8-K | 000-51397 | 12/1/2005 | ||||||||
3.02 | Bylaws of the Bank | 8-K | 000-51397 | 9/23/2009 | ||||||||
4.01 | Amended and Restated Capital Plan of the Bank | 10-K | 000-51397 | 4/1/2009 | ||||||||
10.01 | Bank 2008 Incentive Compensation Plan*a | 10-Q | 000-51397 | 5/14/2008 | ||||||||
10.02 | Bank 2009 Incentive Compensation Plan*a | 10-Q | 000-51397 | 5/15/2009 | ||||||||
10.03 | 2008 Director Compensation Policya | 10-Q | 000-51397 | 5/14/2008 | ||||||||
10.04 | 2009 Director Compensation Policya | 10-Q | 000-51397 | 5/15/2009 | ||||||||
10.05 | 2010 Director Compensation Policya | X | ||||||||||
10.06 | Bank Severance Pay Plana | 10-K | 000-51397 | 3/28/2008 | ||||||||
10.07 | Qualified Defined Benefit Plan a | X | ||||||||||
10.08 | Qualified Defined Contribution Plan a | X | ||||||||||
10.09 | Bank Benefit Equalization Plana | X | ||||||||||
10.10 | Nonqualified Profit Sharing Plana | X | ||||||||||
10.11 | Nonqualified Deferred Compensation Plana | X | ||||||||||
10.12 | Compensatory Arrangements for Named Executive Officersa | X | ||||||||||
10.13 | Federal Home Loan Banks P&I Funding and Contingency Plan Agreement | 8-K | 000-51397 | 6/27/2006 | ||||||||
10.14 | Lending Facility with United States Treasury | 8-K | 000-51397 | 9/9/2008 | ||||||||
12.01 | Computation of Ratio of Earnings to Fixed Charges | X | ||||||||||
31.01 | Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the President and Chief Executive Officer | X | ||||||||||
31.02 | Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Senior Vice President and Chief Financial Officer | X | ||||||||||
32.01 | Certification by the President and Chief Executive Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||
32.02 | Certification by the Senior Vice President and Chief Financial Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||
99.01 | Audit Committee Report | X | ||||||||||
99.02 | Audit Committee Charter | X |
* | Confidential treatment has been granted with respect to certain portions of this exhibit. Omitted portions have been filed separately with the Securities and Exchange Commission. | |
a | This exhibit includes a management contract, compensatory plan or arrangement required to be noted herein. |
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Federal Home Loan Bank of New York | ||||
By: | /s/ Alfred A. DelliBovi | |||
Alfred A. DelliBovi | ||||
President and Chief Executive Officer (Principal Executive Officer) |
Signature | Title | Date | ||
/s/ Alfred A. DelliBovi | President and Chief Executive Officer | March 25, 2010 | ||
(Principal Executive Officer) | ||||
/s/ Patrick A. Morgan | Senior Vice President and Chief Financial Officer | March 25, 2010 | ||
(Principal Financial Officer) | ||||
/s/ Backer Ali | Vice President and Controller | March 25, 2010 | ||
(Principal Accounting Officer) | ||||
/s/ Michael M. Horn | Chairman of the Board of Directors | March 25, 2010 | ||
/s/ José R. González | Vice Chairman of the Board of Directors | March 25, 2010 | ||
/s/ Anne Evans Estabrook | Director | March 25, 2010 | ||
/s/ Joseph R. Ficalora | Director | March 25, 2010 |
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Signature | Title | Date | ||
/s/ Jay M. Ford | Director | March 25, 2010 | ||
/s/ James W. Fulmer | Director | March 25, 2010 | ||
/s/ Ronald E. Hermance, Jr. | Director | March 25, 2010 | ||
/s/ Katherine J. Liseno | Director | March 25, 2010 | ||
/s/ Kevin J. Lynch | Director | March 25, 2010 | ||
/s/ Joseph J. Melone | Director | March 25, 2010 | ||
/s/ Richard S. Mroz | Director | March 25, 2010 | ||
/s/ Thomas M. O’Brien | Director | March 25, 2010 | ||
/s/ C. Cathleen Raffaeli | Director | March 25, 2010 | ||
/s/ Edwin C. Reed | Director | March 25, 2010 | ||
/s/ John M. Scarchilli | Director | March 25, 2010 | ||
/s/ DeForest B. Soaries, Jr. | Director | March 25, 2010 | ||
/s/ George Strayton | Director | March 25, 2010 |
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