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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 |
Federally chartered corporation (State or other jurisdiction of incorporation or organization) | 13-6400946 (I.R.S. Employer Identification No.) | |
101 Park Avenue New York, New York (Address of principal executive offices) | 10178 (Zip code) |
(Registrant’s telephone number, including area code)
(Title of class)
Yeso Noþ
Yeso Noþ
Yesþ Noo
Large accelerated filero | Accelerated filero | Non-accelerated filerþ | Smaller reporting companyo | |||
(Do not check if a smaller reporting company) |
Yeso Noþ
2007 Annual Report on Form 10-K
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Exhibit 4.01 | ||||||||
Exhibit 10.01 | ||||||||
Exhibit 10.04 | ||||||||
Exhibit 10.05 | ||||||||
Exhibit 10.06 | ||||||||
Exhibit 10.07 | ||||||||
Exhibit 10.08 | ||||||||
Exhibit 10.09 | ||||||||
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, 2007 | 139 | 116 | 35 | 1 | 291 | |||||||||||||||
December 31, 2006 | 141 | 120 | 31 | 1 | 293 |
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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. | ||
• | Repurchase Agreement (“REPO”) Advances: REPO Advances are secured by eligible securities and can be structured to have fixed or variable interest rate, “bullet” or quarterly interest payments, or a put option, by which the FHLBNY purchases an option to terminate the advance and require repayment after a predetermined lockout period. Members may use U.S Treasuries, Agency-issued debentures, and mortgage-backed securities as collateral. | ||
• | 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. Principal is due at maturity and interest payments are due at every reset date, including the final payment. | ||
• | 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. | ||
• | Convertible Advances:Convertible Advances, also referred to as 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 to 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 conforming 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. Conforming loan size, which is established annually as required by Finance Board regulations, may not exceed the loan limits permitted to be set by the Office of Federal Housing Enterprise Oversight (“OFHEO”) each year. Condominium, planned unit development and manufactured homes are acceptable property types as are mortgages on leasehold estates (though manufactured homes must be on land owned in fee simple by the borrower). |
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• | Loan-to-Value Ratio and Primary Mortgage Insurance. The maximum loan-to-value ratio (“LTV”) for conventional MPF Loans must not exceed 95%. 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, from an MI company rated at least “AA” or “Aa” and acceptable to S&P. | ||
• | 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 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, 2007. | |
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. | ||
Original MPF. The FLA starts out at zero on the day the first MPF Loan under a Master Commitment is purchased but increases monthly over the life of the Master Commitment at a rate that ranges from 0.03% to 0.05% (3 to 5 basis points) per annum based on the month end outstanding aggregate principal balance of the Master Commitment. The FLA is structured so that over time, it should cover expected losses on a Master Commitment, though losses early in the life of the Master Commitment could exceed the FLA and be charged in part to the PFI’s CE Amount. | |||
MPF 100 and MPF 125. The FLA is equal to 1.00% (100 basis points) of the aggregate principal balance of the MPF Loans funded under the Master Commitment. Once the Master Commitment is fully funded, the FLA is expected to cover expected losses on that Master Commitment, although the MPF Bank may economically recover a portion of losses incurred under the FLA by withholding performance CE Fees payable to the PFI. |
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MPF Plus. The FLA is equal to an agreed upon number of basis points of the aggregate principal balance of the MPF Loans funded under the Master Commitment that is not less than the amount of expected losses on the Master Commitment. Once the Master Commitment is fully funded, the FLA is expected to cover expected losses on that Master Commitment, although the MPF Bank may economically recover a portion of losses incurred under the FLA by withholding performance CE Fees payable to the PFI. | |||
• | Second,to the PFI under its credit enhancement obligation, losses for each Master Commitment in excess of the FLA, if any, up to the CE Amount. The CE Amount may consist of a direct liability of the PFI to pay credit losses up to a specified amount, a contractual obligation of the PFI to provide SMI or a combination of both. For a description of the CE Amount calculation see “Setting Credit Enhancement Levels,” below. | ||
• | Third,any remaining unallocated losses are absorbed by the MPF Bank. |
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• | Instruments such as common stock that represent ownership in an entity. Exceptions include stock in small business investment companies and certain investments targeted at low-income persons or communities; | ||
• | Instruments issued by non-U.S. entities, other than those issued by U.S. branches and agency offices of foreign commercial banks; and | ||
• | Non-investment-grade debt instruments. Exceptions include certain investments targeted at low-income persons or communities and instruments that were downgraded after purchase. |
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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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2007 | 2006 | 2005 | ||||||||||
Retained earnings, beginning of year | $ | 368,688 | $ | 291,413 | $ | 223,434 | ||||||
Net Income for the year | 323,105 | 285,195 | 230,158 | |||||||||
691,793 | 576,608 | 453,592 | ||||||||||
Dividend paid in the year* | (273,498 | ) | (207,920 | ) | (162,179 | ) | ||||||
Retained earnings, end of year | $ | 418,295 | $ | 368,688 | $ | 291,413 | ||||||
* | Dividends are not accrued at quarter end; they are declared and paid in the month following the end of the quarter. |
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• | 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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Total Elective | Directorships | |||||||
Directorships | Up For Election | |||||||
State | for 2008 | in 2007 | ||||||
New Jersey | 4 | 2 | ||||||
New York | 5 | 2 | ||||||
Puerto Rico & U.S. Virgin Islands | 1 | 0 | ||||||
District Total | 10 | 4 |
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2007 | 2006 | 2005 | ||||||||||||||||||||||
Month Paid | Amount | Dividend Rate | Amount | Dividend Rate | Amount | Dividend Rate | ||||||||||||||||||
January | $ | 67,203 | 7.00 | % | $ | 46,369 | 5.11 | % | $ | 28,715 | 3.05 | % | ||||||||||||
April | 67,280 | 7.50 | 47,137 | 5.25 | 42,573 | 4.70 | ||||||||||||||||||
July | 68,840 | 7.50 | 53,913 | 5.75 | 45,970 | 5.00 | ||||||||||||||||||
October | 78,810 | 8.05 | 62,020 | 6.25 | 48,639 | 5.25 | ||||||||||||||||||
$ | 282,133 | $ | 209,439 | $ | 165,897 | |||||||||||||||||||
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Statements of Condition | December 31, | |||||||||||||||||||
(dollars in millions) | 2007 | 2006 | 2005 | 2004 | 2003 | |||||||||||||||
Investments (1) | $ | 25,431 | $ | 20,503 | $ | 21,190 | $ | 18,363 | $ | 14,217 | ||||||||||
Advances | 82,090 | 59,012 | 61,902 | 68,507 | 63,923 | |||||||||||||||
Mortgage loans | 1,492 | 1,483 | 1,467 | 1,178 | 672 | |||||||||||||||
Total assets | 109,683 | 81,703 | 85,014 | 88,439 | 79,230 | |||||||||||||||
Deposits and borrowings | 1,647 | 2,390 | 2,658 | 2,297 | 2,100 | |||||||||||||||
Consolidated obligations | 101,117 | 74,234 | 77,279 | 80,157 | 70,857 | |||||||||||||||
Mandatorily redeemable capital stock | 239 | 110 | 18 | 127 | — | |||||||||||||||
AHP liability | 119 | 102 | 91 | 82 | 93 | |||||||||||||||
REFCORP liability | 24 | 17 | 14 | 10 | — | |||||||||||||||
Capital stock | 4,368 | 3,546 | 3,590 | 3,655 | 3,639 | |||||||||||||||
Retained earnings | 418 | 369 | 291 | 223 | 127 | |||||||||||||||
Equity to asset ratio (2) | 4.33 | % | 4.79 | % | 4.57 | % | 4.38 | % | 4.75 | % |
Statements of Condition | Years ended December 31, | |||||||||||||||||||
Averages (dollars in millions) | 2007 | 2006 | 2005 | 2004 | 2003 | |||||||||||||||
Investments (1) | $ | 22,230 | $ | 19,490 | $ | 19,944 | $ | 17,642 | $ | 19,833 | ||||||||||
Advances | 65,454 | 64,658 | 63,446 | 65,289 | 70,943 | |||||||||||||||
Mortgage loans | 1,502 | 1,471 | 1,360 | 928 | 527 | |||||||||||||||
Total assets | 89,961 | 86,319 | 85,254 | 84,344 | 92,747 | |||||||||||||||
Interest-bearing deposits and other borrowings | 2,286 | 1,773 | 2,112 | 1,968 | 2,952 | |||||||||||||||
Consolidated obligations | 82,233 | 79,314 | 77,629 | 76,105 | 81,818 | |||||||||||||||
Mandatorily redeemable capital stock | 146 | 51 | 56 | 238 | — | |||||||||||||||
AHP liability | 108 | 95 | 84 | 83 | 105 | |||||||||||||||
REFCORP liability | 10 | 9 | 7 | 4 | 2 | |||||||||||||||
Capital stock | 3,771 | 3,737 | 3,604 | 3,554 | 4,082 | |||||||||||||||
Retained earnings | 362 | 314 | 251 | 159 | 193 |
Operating Results and other data | ||||||||||||||||||||
(dollars in millions, | Years ended December 31, | |||||||||||||||||||
except earnings and dividends per share) | 2007 | 2006 | 2005 | 2004 | 2003 | |||||||||||||||
Net interest income (3) | $ | 499 | $ | 470 | $ | 395 | $ | 268 | $ | 299 | ||||||||||
Net income | 323 | 285 | 230 | 161 | 46 | |||||||||||||||
Dividends paid in cash | 273 | 208 | 162 | 66 | 164 | |||||||||||||||
AHP expense | 37 | 32 | 26 | 19 | 5 | |||||||||||||||
REFCORP expense | 81 | 71 | 58 | 40 | 11 | |||||||||||||||
Return on average equity (4) | 7.85 | % | 7.04 | % | 5.97 | % | 4.34 | % | 1.08 | % | ||||||||||
Return on average assets | 0.36 | % | 0.33 | % | 0.27 | % | 0.19 | % | 0.05 | % | ||||||||||
Operating expenses | $ | 67 | $ | 63 | $ | 59 | $ | 51 | $ | 48 | ||||||||||
Operating expenses ratio (5) | 0.07 | % | 0.07 | % | 0.07 | % | 0.06 | % | 0.05 | % | ||||||||||
Earnings per share | $ | 8.57 | $ | 7.63 | $ | 6.36 | $ | 4.55 | $ | 1.12 | ||||||||||
Dividend per share | $ | 7.51 | $ | 5.59 | $ | 4.50 | $ | 1.83 | $ | 3.97 | ||||||||||
Headcount (Full/part time) | 246 | 232 | 221 | 210 | 206 |
(1) | Investments include held-to-maturity securities, available for-sale securities, interest-bearing deposits, Federal funds, and loans to other FHLBanks. | |
(2) | Equity to asset ratio is capital stock plus retained earnings and accumulated other comprehensive income (loss) as a percentage of total assets. | |
(3) | Net interest income is net interest income before the provision for credit losses on mortgage loans. | |
(4) | Return on average equity is net income as a percentage of average capital stock plus average retained earnings and average accumulated other comprehensive income (loss). | |
(5) | Operating expenses as a percentage of average assets. |
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2007 (unaudited) | ||||||||||||||||
4th Quarter | 3rd Quarter | 2nd Quarter | 1st Quarter | |||||||||||||
Interest income | $ | 1,375,801 | $ | 1,221,924 | $ | 1,102,469 | $ | 1,075,311 | ||||||||
Interest expense | 1,227,981 | 1,095,902 | 989,612 | 962,623 | ||||||||||||
Net interest income | 147,820 | 126,022 | 112,857 | 112,688 | ||||||||||||
Provision for credit loss | 40 | — | — | — | ||||||||||||
Other income (loss) | 2,040 | 8,006 | 1,460 | 1,994 | ||||||||||||
Other expenses | 53,830 | 48,813 | 43,690 | 43,409 | ||||||||||||
51,830 | 40,807 | 42,230 | 41,415 | |||||||||||||
Net income | $ | 95,990 | $ | 85,215 | $ | 70,627 | $ | 71,273 | ||||||||
2006 (unaudited) | ||||||||||||||||
4th Quarter | 3rd Quarter | 2nd Quarter | 1st Quarter | |||||||||||||
Interest income | $ | 1,174,997 | $ | 1,212,398 | $ | 1,069,478 | $ | 947,374 | ||||||||
Interest expense | 1,045,761 | 1,089,978 | 954,255 | 844,135 | ||||||||||||
Net interest income | 129,236 | 122,420 | 115,223 | 103,239 | ||||||||||||
Provision for credit loss | 10 | — | 1 | — | ||||||||||||
Other income (loss) | (14,705 | ) | (1,057 | ) | 3,647 | (1,124 | ) | |||||||||
Other expenses | 44,256 | 44,538 | 43,451 | 39,428 | ||||||||||||
58,971 | 45,595 | 39,805 | 40,552 | |||||||||||||
Net income | $ | 70,265 | $ | 76,825 | $ | 75,418 | $ | 62,687 | ||||||||
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OPERATIONS
• | the Bank’s projections regarding income, retained earnings, and dividend payouts; | ||
• | the Bank’s expectations relating to future balance sheet growth; | ||
• | the Bank’s targets under the Bank’s retained earnings plan; and | ||
• | the Bank’s expectations regarding the size of its mortgage-loan portfolio, particularly as compared to prior periods. |
• | changes in economic and market conditions; | ||
• | changes in demand for Bank advances and other products resulting from changes in members’ deposit flows and credit demands or otherwise; | ||
• | an increase in advance prepayments as a result of changes in interest rates or other factors; | ||
• | the volatility of market prices, rates, and indices that could affect the value of collateral held by the Bank as security for obligations of Bank members and counterparties to interest-rate-exchange agreements and similar agreements; | ||
• | political events, including legislative developments that affect the Bank, its members, counterparties, and/or investors in the COs of the FHLBanks; | ||
• | competitive forces including, without limitation, other sources of funding available to Bank members, other entities borrowing funds in the capital markets, and the ability to attract and retain skilled employees; | ||
• | the pace of technological change and the ability of the Bank to develop and support technology and information systems, including the internet, sufficient to manage the risks of the Bank’s business effectively; | ||
• | changes in investor demand for COs and/or the terms of interest-rate-exchange-agreements and similar agreements; | ||
• | timing and volume of market activity; |
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• | ability to introduce new or adequately adapt current Bank products and services and successfully manage the risks associated with those products and services, including new types of collateral used to secure advances; | ||
• | risk of loss arising from litigation filed against one or more of the FHLBanks; | ||
• | realization of losses arising from the Bank’s joint and several liability on COs; | ||
• | risk of loss due to fluctuations in the housing market; | ||
• | inflation or deflation; and | ||
• | issues and events within the FHLBank System and in the political arena that may lead to regulatory, judicial, or other developments that may affect the marketability of the COs, the Bank’s financial obligations with respect to COs, and the Bank’s ability to access the capital markets. |
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• | Net interest income after the provision for credit losses, a key metric for the FHLBNY, was $499.4 million for 2007, up by $29.3 million, or 6.2% from the prior year. Net interest income represents the difference between income from interest-earning assets and interest expenses paid on interest-bearing liabilities. Net interest spread earned was 30 basis points in 2007, up slightly from 29.5 basis points in 2006. Net interest spread is the difference between yields on interest-earning assets and yields on interest-bearing liabilities. Return on average earning-assets increased to 56 basis points in 2007, up from 54.9 basis points from the prior year, and improved returns were directly attributable to the increase in net income in 2007 compared to 2006. | |
• | Net realized and unrealized gain from hedging activities resulted in net gains of $18.4 million in 2007, compared to net gains of $9.7 million in 2006. The increase primarily represented net unrealized gains from fair value hedges designated as economic hedges in 2007. | |
• | Operating Expenses were $66.6 million in 2007, up by $3.4 million, or 5.3% from the prior year. Increases were primarily from higher charges for the supplemental pension and postretirement health benefit plans, the cost of additions to staffing levels, and the inflationary cost of employment and related expenses. | |
• | REFCORP assessments were $80.8 million in 2007, up by $9.5 million, from 2006. AHP assessments were $37.2 million, up by $5.2 million, from 2006. Assessments are calculated on net income before assessments and the increase was due to higher net income in 2007 compared to 2006. | |
• | Cash dividends were paid to stockholders in each of the quarters in 2007. In 2007, they totaled $7.51 per share of capital stock (par value $100), up from $5.59 in 2006. |
• | Advances grew by over 39.1% to $82.1 billion at December 31, 2007, compared with $59.0 billion at December 31, 2006. In the recent market turmoil in the third quarter of 2007, member borrowings grew from $61.2 billion at June 30, 2007 to $75.1 billion at September 30, 2007, an increase of over 21.0% in one quarter. Demand for advances continued through the fourth quarter of 2007. While this unprecedented increase in borrowing was concentrated among the large members, a broad base of the membership also increased their borrowings from the FHLBNY. |
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• | Events in the market place also caused a surge in demand by investors for shorter-term debt issued by the FHLBanks, including those issued by the FHLBNY. Issuances of discount notes, which have maturities from overnight to 365 days, rose to record levels at attractive sub-LIBOR spreads. Discount notes issued to investors and outstanding at December 31, 2007 were $34.8 billion, an increase of $22.6 billion, or 185.4%, from December 31, 2006. The ratio of discount notes to total assets at December 31, 2007 was 31.7%, a significant increase from 14.9% at December 31, 2006. Almost all of the increase occurred in the third quarter and fourth quarter of 2007. | |
• | Held-to-maturity securities consisting of mortgage-backed securities and state and local housing agency bonds declined to $10.3 billion at December 31, 2007, compared to $11.3 billion at December 31, 2006, as paydowns outpaced new acquisitions. Acquisitions continued to be selective during 2007 and remained opportunistic. When market conditions met the Bank’s risk-reward preferences, acquisition was considered and pursued. All $1.1 billion in MBS acquired in 2007, were triple-A rated securities, with a heavy concentration in agency issued collateralized mortgage obligations (CMOs), which are supported by agency pass-through securities. In January 2008, three mortgage-backed securities, book value $86.8 million and market value of $85.7 million at December 31, 2007, were downgraded by Fitch Investor Services. These securities are insured by Ambac Assurance Corp. (“Ambac”). On February 25, 2008, S&P affirmed Ambac’s rating at triple-AAA with a negative watch. For more information about the downgrades and securities under negative watch, see Investment Quality in the section of this MD&A captioned “Asset Quality”. | |
• | Shareholders’ equity, the sum of Capital stock, Retained earnings and Accumulated other comprehensive income (loss) was $4.8 billion at December 31, 2007, up by $846.2 million, from December 31, 2006. Capital stock at December 31, 2007 was $4.4 billion, up by $821.7 million, compared to December 31, 2006. The increase in capital stock was consistent with increases in advances borrowed by members since members are required to purchase stock at par value of $100 as a prerequisite to membership and to hold FHLBNY stock as a percentage of advances borrowed from the FHLBNY. Under present capital stock management practice, stock in excess of amount necessary to support advance activity is redeemed daily by the FHLBNY. As a result, the amount of capital stock outstanding varies in line with members’ outstanding advance borrowings. |
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Year-to-date December 31, | ||||||||||||||||
2007 | 2006 | 2007 | 2006 | |||||||||||||
Average | Average | Ending Rate | Ending Rate | |||||||||||||
Federal Funds Rate | 5.05 | 4.97 | 4.25 | 5.25 | ||||||||||||
3-month LIBOR | 5.30 | 5.20 | 4.70 | 5.36 | ||||||||||||
2-year U.S.Treasury | 4.36 | 4.82 | 3.05 | 4.81 | ||||||||||||
5-year Treasury | 4.42 | 4.75 | 3.44 | 4.69 | ||||||||||||
10-year Treasury | 4.63 | 4.79 | 4.03 | 4.70 | ||||||||||||
15-year residential mortgage note rate | 5.94 | 6.01 | 5.60 | 5.93 | ||||||||||||
30-year residential mortgage note rate | 6.27 | 6.36 | 6.05 | 6.22 |
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• | Monitoring the creditworthiness and financial condition of the institutions to which it lends funds. | ||
• | Reviewing the quality and value of collateral pledged by members to secure advances. | ||
• | Estimating borrowing capacity based on collateral value and type for each member, including assessment of margin requirements based on factors such as cost to liquidate and inherent risk exposure based on collateral type. | ||
• | Evaluating historical loss experience. |
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• | Evaluation of members to ensure that they meet the eligibility standards for participation in the 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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• | Approximately 5 percent of investments (Investments in “State or local housing agency obligations”, certain variable rate mortgage-backed securities, and certain mortgage-backed securities backed by manufactured homes) are valued using market pricing and a combination of dealer, market maker, or other external pricing source. |
• | The fair values derived from such estimates are not material. |
• | All of the FHLBNY’s investment securities are marketable and can be priced using open market quotes. However, they generally do not have enough liquidity and would require special quotes from market makers. The fair values of about 95% of mortgage-backed securities are priced using pricing services provided by specialist securities pricing services. The loans acquired and originated under the MPF and CMA programs are priced using market information (pricing and spreads) as input to standard option valuation models. | ||
• | The Bank’s derivatives consist primarily of over-the-counter contracts and a de minimis amount of commitments to purchase mortgage assets. Derivatives are valued using industry-standard models that utilize market inputs that can be corroborated from widely accepted third-party sources. Model selection and inputs do not involve significant judgments. The Bank’s interest rate swaps, caps and floors trade in deep and liquid markets, and the Bank is able to validate derivative pricing data on a large number of its derivatives at trade execution. | ||
• | With regard to the FHLBNY’s liabilities, the consolidated obligations do have a secondary market but there are limits to its liquidity and the FHLBNY’s ability to obtain timely quotes, particularly with regard to option-embedded issues that are seldom traded. Therefore, FHLBNY prices its bonds off of the current consolidated obligations market curve, which has a daily active market. The fair values of consolidated obligation debt (bonds and discount notes) are computed using standard option valuation models using market data: (1) consolidated obligation debt curve that is available to the public and published by the Office of Finance, and (2) LIBOR curve and volatilities. | ||
• | Variable rate advances are valued with market spreads, volatilities and using standard option valuation models. |
• | Fixed-rate advances with or without put options are all valued with internal assumptions and using standard valuation models. |
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• | Hedging strategy | ||
• | Identification of the item being hedged | ||
• | Determination of the accounting designation under SFAS 133 | ||
• | Determination of method used to assess the effectiveness of the hedge relationship | ||
• | Assessment that the hedge is expected to be effective in the future if designated as a hedge under SFAS 133 |
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December 31, | ||||||||
2007 | 2006 | |||||||
Assets | ||||||||
Cash and due from banks | $ | 7,909 | $ | 38,850 | ||||
Interest-bearing deposits | 10,696,687 | 5,591,077 | ||||||
Federal funds sold | 4,381,000 | 3,661,000 | ||||||
Available-for-sale securities | 13,187 | — | ||||||
Held-to-maturity securities | 10,284,754 | 11,251,098 | ||||||
Advances | 82,089,667 | 59,012,394 | ||||||
Mortgage loans held-for-portfolio | 1,491,628 | 1,483,419 | ||||||
Loans to other FHLBanks | 55,000 | — | ||||||
Accrued interest receivable | 562,323 | 406,123 | ||||||
Premises, software, and equipment, net | 13,154 | 11,107 | ||||||
Derivative assets | 70,278 | 224,775 | ||||||
All other assets | 17,004 | 23,144 | ||||||
Total assets | $ | 109,682,591 | $ | 81,702,987 | ||||
Liabilities | ||||||||
Deposits | ||||||||
Interest-bearing demand | $ | 1,627,339 | $ | 2,307,733 | ||||
Non-interest bearing demand | 2,596 | 1,795 | ||||||
Term | 16,900 | 80,000 | ||||||
Total deposits | 1,646,835 | 2,389,528 | ||||||
Consolidated obligations | ||||||||
Bonds | 66,325,817 | 62,042,675 | ||||||
Discount notes | 34,791,570 | 12,191,553 | ||||||
Total consolidated obligations | 101,117,387 | 74,234,228 | ||||||
Mandatorily redeemable capital stock | 238,596 | 109,950 | ||||||
Accrued interest payable | 655,870 | 735,215 | ||||||
Affordable Housing Program | 119,052 | 101,898 | ||||||
Payable to REFCORP | 23,998 | 17,475 | ||||||
Derivative liabilities | 1,069,742 | 107,615 | ||||||
Other liabilities | 60,520 | 102,685 | ||||||
Total liabilities | 104,932,000 | 77,798,594 | ||||||
Capital | 4,750,591 | 3,904,393 | ||||||
Total liabilities and capital | $ | 109,682,591 | $ | 81,702,987 | ||||
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December 31, 2007 | December 31, 2006 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amounts | of total | Amounts | of total | |||||||||||||
Adjustable Rate Credit - ARCs | $ | 19,812,544 | 24.58 | % | $ | 13,251,464 | 22.47 | % | ||||||||
Fixed Rate Advances | 37,313,594 | 46.30 | 29,873,543 | 50.64 | ||||||||||||
Repurchase (Repo) Agreement | 16,098,080 | 19.97 | 11,969,036 | 20.29 | ||||||||||||
Short-Term Advances | 4,590,805 | 5.70 | 1,824,705 | 3.09 | ||||||||||||
Mortgage Matched Advances | 690,058 | 0.86 | 757,050 | 1.28 | ||||||||||||
Overnight Line of Credit (OLOC) Advances | 1,767,080 | 2.19 | 1,187,685 | 2.02 | ||||||||||||
All other categories | 319,893 | 0.40 | 125,787 | 0.21 | ||||||||||||
Total par value of advances | 80,592,054 | 100.00 | % | 58,989,270 | 100.00 | % | ||||||||||
Discount on AHP Advances | (417 | ) | (519 | ) | ||||||||||||
Net premium on advances | — | 489 | ||||||||||||||
SFAS 133 hedging adjustments | 1,498,030 | 23,154 | ||||||||||||||
Total | $ | 82,089,667 | $ | 59,012,394 | ||||||||||||
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December 31, | ||||||||||||||||
2007 | 2006 | |||||||||||||||
Weighted1 | Weighted1 | |||||||||||||||
Amount | Average Yield | Amount | Average Yield | |||||||||||||
Overdrawn demand deposit accounts | $ | — | 0.00 | % | $ | 498 | 6.05 | % | ||||||||
Due in one year or less | 24,140,285 | 4.72 | 12,273,636 | 4.91 | ||||||||||||
Due after one year through two years | 7,714,912 | 4.87 | 12,450,960 | 4.99 | ||||||||||||
Due after two years through three years | 8,730,643 | 5.13 | 4,108,983 | 5.05 | ||||||||||||
Due after three years through four years | 3,153,113 | 4.89 | 5,744,505 | 5.45 | ||||||||||||
Due after four years through five years | 5,988,142 | 4.76 | 2,591,828 | 4.86 | ||||||||||||
Due after five years through six years | 556,095 | 3.44 | 2,279,706 | 4.18 | ||||||||||||
Thereafter | 30,308,864 | 4.29 | 19,539,154 | 4.22 | ||||||||||||
Total par value | 80,592,054 | 4.62 | % | 58,989,270 | 4.73 | % | ||||||||||
Discount on AHP advances * | (417 | ) | (519 | ) | ||||||||||||
Net premium on advances * | — | 489 | ||||||||||||||
SFAS 133 hedging basis adjustments * | 1,498,030 | 23,154 | ||||||||||||||
Total | $ | 82,089,667 | $ | 59,012,394 | ||||||||||||
* | 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 ($0.4) million, ($0.4) million, and ($0.5) million for the years ended December 31, 2007, 2006 and 2005. All other amortization charged to interest income aggregated ($0.5) million, ($0.6) million, and ($0.7) million for the years ended December 31, 2007, 2006 and 2005. Interest rates on AHP advances ranged from 1.25% to 6.04% in 2007 and 1.25% to 8.29% in 2006. | |
1 | The weighted average yield is the weighted average coupon rates for advances, unadjusted for interest rate swaps. |
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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 market 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 advances 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 under SFAS 133. Amounts reported for advances in the Statements of condition include fair value hedge basis adjustments. |
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• | At June 30, 2007, recorded fair basis adjustment was a net unrealized loss of $170.7 million, a change from a net gain position of $132.5 million at March 31, 2007. At June 30, 2007, the yield curve had steepened compared to March 31, 2007, with higher rates at the longer-end of the yield curve. Since hedged advances are typically fixed-rate and long in tenor, in a rising rate environment, fixed-rate advances exhibited declining fair value basis adjustments under the accounting provisions of SFAS 133, and was consistent with the net unrealized loss of $170.7 million at June 30, 2007. | |
• | At September 30, 2007, fair value basis was a net gain of $521.4 million, a dramatic change from the amount at June 30, 2007. At December 31, 2007, fair value basis adjustment net gains increased to $1.5 billion. These changes are consistent with the changes in the declining term structure of interest rates during 2007. In a declining interest rate environment in the fourth quarter of 2007, the fair values of the Bank’s hedged advances, which were almost entirely fixed-rate, exhibited gains under the accounting provisions of SFAS 133. Hedge volume was up significantly in line with growing demand for advances. The Bank had hedged $47.0 billion of par amounts of advances at December 31, 2007, up significantly from $35.6 billion at December 31, 2006. | |
• | The two factors, decline in the rate environment and significant increase in volumes of hedged fixed-rate advances at December 31, 2007 explain the changes at year-end 2007. |
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December 31, | ||||||||
2007 | 2006 | |||||||
Overdrawn demand deposit accounts | $ | — | $ | 498 | ||||
Due or putable in one year or less | 48,005,147 | 29,962,181 | ||||||
Due or putable after one year through two years | 16,112,362 | 16,745,798 | ||||||
Due or putable after two years through three years | 7,546,243 | 6,341,532 | ||||||
Due or putable after three years through four years | 2,607,563 | 2,504,205 | ||||||
Due or putable after four years through five years | 4,180,492 | 1,668,578 | ||||||
Due or putable after five years through six years | 121,095 | 442,706 | ||||||
Thereafter | 2,019,152 | 1,323,772 | ||||||
Total par value | 80,592,054 | 58,989,270 | ||||||
Discount on AHP advances | (417 | ) | (519 | ) | ||||
Net premium on advances | — | 489 | ||||||
SFAS 133 hedging basis adjustments | 1,498,030 | 23,154 | ||||||
Total | $ | 82,089,667 | $ | 59,012,394 | ||||
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December 31, | ||||||||||||||||
2007 | 2006 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of total | Amount | of total | |||||||||||||
Fixed-rate | $ | 60,779,510 | 75.42 | % | $ | 45,737,308 | 77.53 | % | ||||||||
Variable-rate | 18,654,850 | 23.15 | 12,014,268 | 20.37 | ||||||||||||
Variable-rate capped | 1,157,694 | 1.43 | 1,237,694 | 2.10 | ||||||||||||
Total par value | 80,592,054 | 100.00 | % | 58,989,270 | 100.00 | % | ||||||||||
Discount on AHP Advances | (417 | ) | (519 | ) | ||||||||||||
Net premium on advances | — | 489 | ||||||||||||||
SFAS 133 hedging basis adjustments | 1,498,030 | 23,154 | ||||||||||||||
Total | $ | 82,089,667 | $ | 59,012,394 | ||||||||||||
December 31, | ||||||||
2007 | 2006 | |||||||
LIBOR indexed | $ | 19,487,194 | $ | 12,736,114 | ||||
Federal funds | 325,000 | 515,000 | ||||||
Overdrawn demand deposit accounts | — | 498 | ||||||
Prime | 350 | 350 | ||||||
Total | $ | 19,812,544 | $ | 13,251,962 | ||||
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December 31, | December 31, | Dollar | Percentage | |||||||||||||
2007 | 2006 | Variance | Variance | |||||||||||||
State and local housing agency obligations | $ | 576,971 | $ | 618,810 | $ | (41,839 | ) | (6.76) | % | |||||||
Mortgage-backed securities | 9,707,783 | 10,632,288 | (924,505 | ) | (8.70 | ) | ||||||||||
Total investment securities | 10,284,754 | 11,251,098 | (966,344 | ) | (8.59 | ) | ||||||||||
Grantor trusts | 13,187 | — | 13,187 | n/a | ||||||||||||
Interest-bearing deposits* | 10,696,600 | 5,591,000 | 5,105,600 | 91.32 | ||||||||||||
Federal funds sold | 4,381,000 | 3,661,000 | 720,000 | 19.67 | ||||||||||||
Total investments | $ | 25,375,541 | $ | 20,503,098 | $ | 4,872,443 | 23.76 | % | ||||||||
* | Excludes bank deposits at another FHLBank. |
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December 31, 2007 | ||||||||||||||||
Gross | Gross | Estimated | ||||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
State and local housing agency obligations | $ | 576,971 | $ | 9,780 | $ | (200 | ) | $ | 586,551 | |||||||
Mortgage-backed securities | 9,707,783 | 82,670 | (97,191 | ) | 9,693,262 | |||||||||||
Total | $ | 10,284,754 | $ | 92,450 | $ | (97,391 | ) | $ | 10,279,813 | |||||||
December 31, 2006 | ||||||||||||||||
Gross | Gross | Estimated | ||||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
State and local housing agency obligations | $ | 618,810 | $ | 11,141 | $ | (283 | ) | $ | 629,668 | |||||||
Mortgage-backed securities | 10,632,288 | 47,184 | (139,371 | ) | 10,540,101 | |||||||||||
Total | $ | 11,251,098 | $ | 58,325 | $ | (139,654 | ) | $ | 11,169,769 | |||||||
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• | In January 2008, three mortgage-backed securities, with amortized cost of $86.8 million and a market value $81.9 million at December 31, 2007, were downgraded by Fitch Investor Services to double-A. Both S&P and Moody’s continued to rate the securities as triple-A. The three securities are insured by Ambac Assurance Corp. (“Ambac”). On February 25, 2008, S&P reaffirmed Ambac’s rating as triple-A with negative watch. Additionally, 13 mortgage-backed securities, with amortized cost of $267.2 million and market value $260.0 million at December 31, 2007, were placed under negative watch by both S&P and Moody’s. These securities are insured by Ambac and MBIA Insurance Corp. (“MBIA”). On February 25, 2008, S&P also reaffirmed MBIA’s rating as triple-A with negative outlook. Between February 28, 2008 and March 14, 2008, all three rating agencies, S&P, Moody’s and Fitch, removed the 13 securities from negative watch. S&P and Moody’s reaffirmed their triple-A rating. Fitch reaffirmed its double-A rating. | ||
• | Investments in two bonds issued by state and local housing finance agencies were also placed under negative watch by S&P and Moody’s in February 2008. The two bonds are insured by MBIA. Amortized cost and market values of the two bonds was $110.6 million at December 31, 2007. |
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December 31, 2007 | December 31, 2006 | |||||||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||||||
Cost | Fair Value | Cost | Fair Value | |||||||||||||
State and local housing bonds | ||||||||||||||||
Due in one year or less | $ | — | $ | — | $ | — | $ | — | ||||||||
Due after one year through five years | 32,009 | 32,474 | 24,549 | 25,171 | ||||||||||||
Due after five years through ten years | 20,400 | 20,938 | 17,115 | 17,115 | ||||||||||||
Due after ten years | 524,562 | 533,139 | 577,146 | 587,382 | ||||||||||||
State and local housing finance agency bonds | 576,971 | 586,551 | 618,810 | 629,668 | ||||||||||||
Mortgage-backed securities | ||||||||||||||||
Due in one year or less | 243,309 | 242,471 | 98,897 | 99,338 | ||||||||||||
Due after one year through five years | 546,303 | 555,003 | 1,104,246 | 1,125,038 | ||||||||||||
Due after five years through ten years | 103,792 | 104,563 | 133,511 | 132,966 | ||||||||||||
Due after ten years | 8,814,379 | 8,791,225 | 9,295,634 | 9,182,759 | ||||||||||||
Mortgage-backed securities | 9,707,783 | 9,693,262 | 10,632,288 | 10,540,101 | ||||||||||||
Total securities | $ | 10,284,754 | $ | 10,279,813 | $ | 11,251,098 | $ | 11,169,769 | ||||||||
December 31, 2007 | December 31, 2006 | |||||||||||||||
Amortized | Weighted | Amortized | Weighted | |||||||||||||
Cost | Average rate | Cost | Average rate | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
Due in one year or less | $ | 243,309 | 6.22 | % | $ | 98,897 | 5.80 | % | ||||||||
Due after one year through five years | 546,303 | 7.15 | 1,104,246 | 6.75 | ||||||||||||
Due after five years through ten years | 103,792 | 5.43 | 133,511 | 5.43 | ||||||||||||
Due after ten years | 8,814,379 | 5.31 | 9,295,634 | 5.35 | ||||||||||||
Total mortgage-backed securities | $ | 9,707,783 | 5.44 | % | $ | 10,632,288 | 5.50 | % | ||||||||
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December 31, | ||||||||
2007 | 2006 | |||||||
U.S. government sponsored enterprise residential mortgage-backed securities | $ | 6,829,668 | $ | 6,851,964 | ||||
U.S. agency residential mortgage-backed securities | 7,482 | 9,061 | ||||||
Securities backed by home equity loans | 792,617 | 1,043,110 | ||||||
Non-federal agency residential mortgage-backed securities | 729,331 | 857,321 | ||||||
Non-federal agency commercial mortgage-backed securities | 1,087,713 | 1,563,489 | ||||||
Securities backed by manufactured housing loans | 260,972 | 307,343 | ||||||
Total mortgage-backed securities | $ | 9,707,783 | $ | 10,632,288 | ||||
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NRSRO Ratings- December 31, 2007 | ||||||||||||||||
Issued, guaranteed or insured by: | Amount | AAA | AA | A | ||||||||||||
Pools of Mortgages | ||||||||||||||||
Fannie Mae | $ | 1,588,563 | $ | 1,588,563 | $ | — | $ | — | ||||||||
Freddie Mac | 488,237 | 488,237 | — | — | ||||||||||||
Total pools of mortgages | 2,076,800 | 2,076,800 | — | — | ||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||
Fannie Mae | 1,548,318 | 1,548,318 | — | — | ||||||||||||
Freddie Mac | 3,204,550 | 3,204,550 | — | — | ||||||||||||
Ginnie Mae | 7,482 | 7,482 | — | — | ||||||||||||
Total CMOs/REMICs | 4,760,350 | 4,760,350 | — | — | ||||||||||||
Non-GSE MBS | ||||||||||||||||
CMOs/REMICs | 729,331 | 729,331 | — | — | ||||||||||||
Commercial mortgage-backed securities | 1,087,713 | 1,087,713 | — | — | ||||||||||||
Total non-federal-agency MBS | 1,817,044 | 1,817,044 | — | — | ||||||||||||
Asset-Backed Securities | ||||||||||||||||
Manufactured housing (insured) | 260,972 | 260,972 | — | — | ||||||||||||
Home equity loans (insured) | 457,294 | 457,294 | — | — | ||||||||||||
Home equity loans (uninsured) | 335,323 | 335,323 | — | — | ||||||||||||
Total asset-backed securities | 1,053,589 | 1,053,589 | — | — | ||||||||||||
Total mortgage-backed securities | $ | 9,707,783 | $ | 9,707,783 | $ | — | $ | — | ||||||||
Non-MBS Investment securities | ||||||||||||||||
State and local housing finance agency obligations | $ | 576,971 | $ | 271,252 | $ | 305,719 | $ | — | ||||||||
Short-term Investments* | ||||||||||||||||
Interest-bearing deposits | $ | 10,696,687 | ||||||||||||||
Federal funds sold | 4,381,000 | |||||||||||||||
Total Short-term investments | $ | 15,077,687 | ||||||||||||||
* | Short-term investments were placed with counterparties with ratings that were single-A or better at December 31, 2007. |
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NRSRO Ratings- December 31, 2006 | ||||||||||||||||
Issued, guaranteed or insured by: | Amount | AAA | AA | A | ||||||||||||
Pools of Mortgages | ||||||||||||||||
Fannie Mae | $ | 2,060,642 | $ | 2,060,642 | $ | — | $ | — | ||||||||
Freddie Mac | 1,138,687 | 1,138,687 | — | — | ||||||||||||
Total pools of mortgages | 3,199,329 | 3,199,329 | — | — | ||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||
Fannie Mae | 1,351,084 | 1,351,084 | — | — | ||||||||||||
Freddie Mac | 2,301,550 | 2,301,550 | — | — | ||||||||||||
Ginnie Mae | 9,061 | 9,061 | — | — | ||||||||||||
Total CMOs/REMICs | 3,661,695 | 3,661,695 | — | — | ||||||||||||
Non-GSE MBS | ||||||||||||||||
CMOs/REMICs | 857,321 | 857,321 | — | — | ||||||||||||
Commercial mortgage-backed securities | 1,563,489 | 1,563,489 | — | — | ||||||||||||
Total non-federal-agency MBS | 2,420,810 | 2,420,810 | — | — | ||||||||||||
Asset-Backed Securities | ||||||||||||||||
Manufactured housing (insured) | 307,344 | 307,344 | — | — | ||||||||||||
Home equity loans (insured) | 595,397 | 595,397 | — | — | ||||||||||||
Home equity loans (uninsured) | 447,713 | 447,713 | — | — | ||||||||||||
Total asset-backed securities | 1,350,454 | 1,350,454 | — | — | ||||||||||||
Total mortgage-backed securities | $ | 10,632,288 | $ | 10,632,288 | $ | — | $ | — | ||||||||
Other | ||||||||||||||||
State and local housing finance agency obligations | $ | 618,810 | $ | 294,322 | $ | 324,488 | $ | — | ||||||||
Interest-bearing deposits | 5,591,077 | 5,591,000 | 77 | — | ||||||||||||
Federal funds sold | 3,661,000 | 3,661,000 | — | — | ||||||||||||
Total other | $ | 9,870,887 | $ | 9,546,322 | $ | 324,565 | $ | — | ||||||||
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December 31, | ||||||||||||||||
2007 | Percentage | 2006 | Percentage | |||||||||||||
Real Estate: | ||||||||||||||||
Fixed medium-term single-family mortgages | $ | 529,839 | 35.61 | % | $ | 575,114 | 38.90 | % | ||||||||
Fixed long-term single-family mortgages | 953,946 | 64.11 | 897,153 | 60.70 | ||||||||||||
Multi-family mortgages | 4,102 | 0.28 | 4,940 | 0.40 | ||||||||||||
Total par value | 1,487,887 | 100.00 | % | 1,477,207 | 100.00 | % | ||||||||||
Unamortized premiums | 11,779 | 13,323 | ||||||||||||||
Unamortized discounts | (6,805 | ) | (6,288 | ) | ||||||||||||
Basis adjustment1 | (600 | ) | (230 | ) | ||||||||||||
Total mortgage loans held-for-portfolio | 1,492,261 | 1,484,012 | ||||||||||||||
Allowance for credit losses | (633 | ) | (593 | ) | ||||||||||||
Total mortgage loans held-for-portfolio after allowance for credit losses | $ | 1,491,628 | $ | 1,483,419 | ||||||||||||
1 | Represents fair value basis of open and closed delivery commitments. |
December 31, | ||||||||
2007 | 2006 | |||||||
Federal Housing Administration and Veteran Administration insured loans | $ | 8,360 | $ | 10,643 | ||||
Conventional loans | 1,475,425 | 1,461,624 | ||||||
Others | 4,102 | 4,940 | ||||||
Total par value | $ | 1,487,887 | $ | 1,477,207 | ||||
Year ended December 31, | ||||||||||||
2007 | 2006 | 2005 | ||||||||||
Beginning balance | $ | 593 | $ | 582 | $ | 507 | ||||||
Charge-offs | — | (18 | ) | — | ||||||||
Recoveries | — | 18 | — | |||||||||
Net charge-offs | — | — | — | |||||||||
Provision for credit losses | 40 | 11 | 75 | |||||||||
Ending balance | $ | 633 | $ | 593 | $ | 582 | ||||||
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• | First, in response to market demand for shorter-term debt, the Bank increased its issuance of discount notes which have maturities from overnight to 365 days. Issuance pattern of discount notes was uneven during the quarters in 2007, a reflection of the dramatic changes in the capital markets starting in the third quarter of 2007. Discount notes outstanding at December 31, 2006 were $12.2 billion, increased |
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to $14.0 billion at March 31, 2007, but were down to $12.8 billion at June 30, 2007 when discount note issuances were at unattractive execution levels. In the third quarter, in response to investor demand for liquidity in general and specifically for short-term liquidity, the Bank increased its issuance of discount notes and outstanding balances grew to $30.1 billion at September 30, 2007. Investor demand for discount notes continued through the fourth quarter and remained at favorable execution levels for the FHLBNY. Discount notes issued by the FHLBNY and outstanding reached a record level at $34.8 billion at December 31, 2007. | ||
• | Second, the Bank also increased its issuance of shorter-maturity bonds to replace maturing debt or debt that was being called by the Bank at pre-determined call exercise dates. Investor demand for shorter-term debt resulted in better execution pricing for issuing FHLBanks, and the FHLBNY increased its issuance of discount notes at very favorable spreads to LIBOR and improved the Bank’s cost of funding. In the same period of time, member demand for ARC Advances, which reprice at short intervals, and member demand for short-term advances also saw unprecedented growth, and the Bank was able to issue short-term debt and finance short-term advances and ARC advances efficiently. |
December 31, | ||||||||
2007 | 2006 | |||||||
Fixed-rate, non-callable | $ | 39,642,670 | $ | 37,328,640 | ||||
Fixed-rate, callable | 11,420,300 | 17,039,000 | ||||||
Step Up, non-callable | — | 50,000 | ||||||
Step Up, callable | 843,000 | 3,688,000 | ||||||
Step Down, non-callable | — | — | ||||||
Step Down, callable | 15,000 | — | ||||||
Single-index floating rate | 14,135,000 | 4,100,000 | ||||||
Total par value | 66,055,970 | 62,205,640 | ||||||
Bond premiums | 38,586 | 23,334 | ||||||
Bond discounts | (28,529 | ) | (33,300 | ) | ||||
SFAS 133 fair value basis adjustments | 259,405 | (151,222 | ) | |||||
Fair value basis adjustments on terminated hedges | 385 | (1,777 | ) | |||||
Total bonds | $ | 66,325,817 | $ | 62,042,675 | ||||
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December 31, | ||||||||||||||||
2007 | 2006 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Maturity | Amount | Rate1 | Amount | Rate1 | ||||||||||||
One year or less | $ | 38,027,475 | 4.69 | % | $ | 25,888,510 | 4.35 | % | ||||||||
Over one year through two years | 11,047,950 | 4.78 | 20,458,280 | 4.69 | ||||||||||||
Over two years through three years | 6,344,300 | 4.85 | 6,007,350 | 4.80 | ||||||||||||
Over three years through four years | 2,309,100 | 4.99 | 3,275,700 | 4.62 | ||||||||||||
Over four years through five years | 2,972,845 | 5.14 | 2,077,900 | 5.00 | ||||||||||||
Over five years through six years | 728,250 | 5.27 | 529,800 | 4.71 | ||||||||||||
Thereafter | 4,626,050 | 5.31 | 3,968,100 | 5.29 | ||||||||||||
Total par value | 66,055,970 | 4.80 | % | 62,205,640 | 4.60 | % | ||||||||||
Bond premiums | 38,586 | 23,334 | ||||||||||||||
Bond discounts | (28,529 | ) | (33,300 | ) | ||||||||||||
SFAS 133 fair value basis adjustments | 259,405 | (151,222 | ) | |||||||||||||
Fair value basis adjustments on terminated hedges | 385 | (1,777 | ) | |||||||||||||
Total bonds | $ | 66,325,817 | $ | 62,042,675 | ||||||||||||
1 | Weighted average rate represents the weighted average coupons of bonds, unadjusted for swaps. The weighted average coupon of bonds outstanding at December 31, 2007 and 2006, represent contractual coupons payable to investors. |
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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 match 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 with 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 hedge basis adjustments. | |
• | Lowers 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 continued attractiveness of 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, | ||||||||
2007 | 2006 | |||||||
Year of Maturity or next call date | ||||||||
Due or callable in one year or less | $ | 47,346,975 | $ | 40,152,210 | ||||
Due or callable after one year through two years | 9,924,450 | 14,786,280 | ||||||
Due or callable after two years through three years | 3,551,100 | 1,959,650 | ||||||
Due or callable after three years through four years | 980,100 | 1,608,000 | ||||||
Due or callable after four years through five years | 910,845 | 928,900 | ||||||
Due or callable after five years through six years | 435,250 | 284,800 | ||||||
Thereafter | 2,907,250 | 2,485,800 | ||||||
Total par value | 66,055,970 | 62,205,640 | ||||||
Bond premiums | 38,586 | 23,334 | ||||||
Bond discounts | (28,529 | ) | (33,300 | ) | ||||
SFAS 133 fair value adjustments | 259,405 | (151,222 | ) | |||||
Fair value basis adjustments on terminated hedges | 385 | (1,777 | ) | |||||
Total carrying value | $ | 66,325,817 | $ | 62,042,675 | ||||
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Weighted | ||||||||||||
Book | Par | Average | ||||||||||
Value | Value | Interest Rate | ||||||||||
December 31, 2007 | $ | 34,791,570 | $ | 34,984,105 | 4.28 | % | ||||||
December 31, 2006 | $ | 12,191,553 | $ | 12,255,625 | 5.10 | % | ||||||
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Moody ’s Investors Service | S & P | |||||||||
Year | Outlook | Rating | Short-Term Outlook | Rating | ||||||
2005 | June 30, 2005 - Affirmed | P-1 | ||||||||
2006 | September 21, 2006 | Short Term rating affirmed | A-1+ | |||||||
Long-Term Ratings: | ||||||||||
Moody’s Investors Service | S & P | |||||||||
Year | Outlook | Rating | Long-Term Outlook | Rating | ||||||
2005 | June 30, 2005 - Affirmed | Aaa/Stable | ||||||||
2006 | September 21, 2006 | Long Term rating upgraded | outlook stable AAA/Stable |
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Notional Amount | ||||||||
Derivatives Terms | Hedging Strategy | Accounting Designation | (in millions) | |||||
Pay fixed, receive floating interest rate swap | To convert fixed rate on a fixed rate advance to a LIBOR floating rate | Fair Value Hedge | $ | 46,953 | ||||
Purchased interest rate cap | To offset the cap embedded in the variable rate advance | Fair Value Hedge | $ | 1,158 | ||||
Receive fixed, pay floating interest rate swap (non- callable) | To convert the fixed rate consolidated obligation debt to a LIBOR floating rate | Fair Value Hedge | $ | 27,351 | ||||
Pay fixed, receive LIBOR interest rate swap | To offset the variability of cash flows associated with interest payments on forecasted issuance of fixed rate consolidated obligation debt. | Cash flow hedge | $ | 128 | ||||
Receive fixed, pay floating interest rate swap with an optional to call | To convert the fixed rate consolidated obligation debt to a LIBOR floating rate; swap is callable on the same day as the consolidated obligation debt. | Fair Value Hedge | $ | 9,000 | ||||
Intermediary positions Interest rate swaps Interest rate caps | To offset interest rate swaps and caps executed with members by executing offsetting derivatives with counterparties. | Economic Hedge | $ | 70 |
Notional Amount | ||||||||
Derivatives Terms | Hedging Strategy | Accounting Designation | (in millions) | |||||
Pay fixed, receive floating interest rate swap | To convert fixed rate on a fixed rate advance to a LIBOR floating rate | Fair Value Hedge | $ | 35,615 | ||||
Purchased interest rate cap | To offset the cap embedded in the variable rate advance | Fair Value Hedge | $ | 1,238 | ||||
Receive fixed, pay floating interest rate swap (non- callable) | To convert the fixed rate consolidated obligation debt to a LIBOR floating rate | Fair Value Hedge | $ | 23,638 | ||||
Pay fixed, receive LIBOR interest rate swap | To offset the variability of cash flows associated with interest payments on forecasted issuance of fixed rate consolidated obligation debt. | Cash flow hedge | — | |||||
Receive fixed, pay floating interest rate swap with an optional to call | To convert the fixed rate consolidated obligation debt to a LIBOR floating rate; swap is callable on the same day as the consolidated obligation debt. | Fair Value Hedge | $ | 17,047 | ||||
Intermediary positions Interest rate swaps Interest rate caps | To offset interest rate swaps and caps executed with members by executing offsetting derivatives with counterparties. | Economic Hedge | $ | 50 |
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Short-Cut1 | Long-Haul1 | Total | ||||||||||||||||||||||
Notional | Fair Values | Notional | Fair Values | Notional | Fair Values | |||||||||||||||||||
Derivative Hedging by Product Type: | ||||||||||||||||||||||||
Advances | $ | 41,364 | $ | (1,314 | ) | $ | 5,589 | $ | (181 | ) | $ | 46,953 | $ | (1,495 | ) | |||||||||
Consolidated bonds-SFAS 133 qualifying | 15,212 | 52 | 19,729 | 200 | 34,941 | 252 | ||||||||||||||||||
Consolidated bonds- Economic hedges | 1,538 | 5 | 1,538 | 5 | ||||||||||||||||||||
Mortgage commitments* | — | — | 1 | — | 1 | — | ||||||||||||||||||
Caps and floors | — | — | 1,158 | — | 1,158 | — | ||||||||||||||||||
Others — intermediation | — | — | 70 | — | 70 | — | ||||||||||||||||||
Total | $ | 56,576 | $ | (1,262 | ) | $ | 28,085 | $ | 24 | $ | 84,661 | $ | (1,238 | ) | ||||||||||
SFAS 133 Hedge Classification: | ||||||||||||||||||||||||
Fair value hedges | $ | 56,576 | $ | (1,262 | ) | $ | 25,190 | $ | 19 | $ | 81,766 | $ | (1,243 | ) | ||||||||||
Cash flow hedges | — | — | 128 | — | 128 | — | ||||||||||||||||||
Intermediation ** | — | — | 70 | — | 70 | — | ||||||||||||||||||
Economic hedges ** | — | — | 2,697 | 5 | 2,697 | $ | 5 | |||||||||||||||||
Total | $ | 56,576 | $ | (1,262 | ) | $ | 28,085 | $ | 24 | $ | 84,661 | $ | (1,238 | ) | ||||||||||
Short-Cut1 | Long-Haul1 | Total | ||||||||||||||||||||||
Notional | Fair Values | Notional | Fair Values | Notional | Fair Values | |||||||||||||||||||
Derivative Hedging by Product Type: | ||||||||||||||||||||||||
Advances | $ | 30,703 | $ | (29 | ) | $ | 4,912 | $ | 5 | $ | 35,615 | $ | (24 | ) | ||||||||||
Consolidated bonds-SFAS 133 qualifying | 13,116 | (65 | ) | 27,394 | (95 | ) | 40,510 | (160 | ) | |||||||||||||||
Consolidated bonds-Economic hedges | 175 | 175 | — | |||||||||||||||||||||
Mortgage commitments* | — | — | 9 | — | 9 | — | ||||||||||||||||||
Caps and floors | — | — | 1,238 | — | 1,238 | — | ||||||||||||||||||
Others — intermediation | — | — | 50 | — | 50 | — | ||||||||||||||||||
Total | $ | 43,819 | $ | (94 | ) | $ | 33,778 | $ | (90 | ) | $ | 77,597 | $ | (184 | ) | |||||||||
SFAS 133 Hedge Classification: | ||||||||||||||||||||||||
Fair value hedges | $ | 43,819 | $ | (94 | ) | $ | 32,306 | $ | (90 | ) | $ | 76,125 | $ | (184 | ) | |||||||||
Cash flow hedges | — | — | — | — | — | — | ||||||||||||||||||
Intermediation ** | — | — | 50 | — | 50 | — | ||||||||||||||||||
Economic hedges ** | — | — | 1,422 | — | 1,422 | — | ||||||||||||||||||
Total | $ | 43,819 | $ | (94 | ) | $ | 33,778 | $ | (90 | ) | $ | 77,597 | $ | (184 | ) | |||||||||
* | Fair values are not significant; mortgage commitments were no longer hedged commencing 4th quarter 2005. |
** | Intermediation and economic hedges represented derivative transactions that did not qualify for hedge accounting treatment under SFAS 133, and were included under the caption “Long-Haul” for display purposes only. |
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December 31, | ||||||||||||||||
2007 | 2006 | |||||||||||||||
Total estimated | Total estimated | |||||||||||||||
fair value | fair value | |||||||||||||||
(excluding | (excluding | |||||||||||||||
Total notional | accrued | Total notional | accrued | |||||||||||||
amount | interest) | amount | interest) | |||||||||||||
Advances-fair value hedges | $ | 46,953,298 | $ | (1,495,055 | ) | $ | 35,615,115 | $ | (23,889 | ) | ||||||
Advances (Caps)-economic hedges | 1,157,694 | 2 | 1,237,694 | — | ||||||||||||
Consolidated obligations-fair value hedges | 34,813,015 | 251,628 | 40,510,105 | (159,919 | ) | |||||||||||
Consolidated obligations-economic hedges | 1,538,100 | 5,454 | 175,000 | (253 | ) | |||||||||||
MPF loan-commitments | 1,351 | 5 | 9,497 | (35 | ) | |||||||||||
Cash Flow-anticipated transactions | 127,500 | (177 | ) | — | — | |||||||||||
Intermediary positions-economic hedges | 70,000 | 22 | 50,000 | 3 | ||||||||||||
Total notional and fair value | $ | 84,660,958 | $ | (1,238,121 | ) | $ | 77,597,411 | $ | (184,093 | ) | ||||||
Total derivatives, excluding accrued interest | $ | (1,238,121 | ) | $ | (184,093 | ) | ||||||||||
Accrued interest | 238,657 | 301,253 | ||||||||||||||
Net derivative balance | $ | (999,464 | ) | $ | 117,160 | |||||||||||
Net derivative asset balance | $ | 70,278 | $ | 224,775 | ||||||||||||
Net derivative liability balance | (1,069,742 | ) | (107,615 | ) | ||||||||||||
Net derivative balance | $ | (999,464 | ) | $ | 117,160 | |||||||||||
Years ended December 31, | ||||||||||||
2007 | 2006 | 2005 | ||||||||||
Accumulated other comprehensive income/(loss) from cash flow hedges | ||||||||||||
Beginning of period | $ | (4,763 | ) | $ | 5,352 | $ | 898 | |||||
Net hedging transactions | (26,114 | ) | (7,897 | ) | 6,054 | |||||||
Reclassified into earnings | 662 | (2,218 | ) | (1,600 | ) | |||||||
End of period | $ | (30,215 | ) | $ | (4,763 | ) | $ | 5,352 | ||||
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2007 | ||||||||||||||||||||||||
Consolidated | Consolidated | |||||||||||||||||||||||
MPF | Obligation | Obligation | Intermediary | |||||||||||||||||||||
Earnings Impact | Advances | Loans | Bonds | Discount Notes | 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 | |||||||||||
2006 | ||||||||||||||||||||||||
Consolidated | Consolidated | |||||||||||||||||||||||
MPF | Obligation | Obligation | Intermediary | |||||||||||||||||||||
Earnings Impact | Advances | Loans | Bonds | Discount Notes | Positions | Total | ||||||||||||||||||
Amortization/accretion of hedging activities reported in net interest income | $ | (2,489 | ) | $ | 142 | $ | 8,380 | $ | — | $ | — | $ | 6,033 | |||||||||||
Net realized and unrealized gains (losses) on derivatives and hedging activities | $ | 3,505 | $ | — | $ | (355 | ) | $ | — | $ | — | $ | 3,150 | |||||||||||
Gains (losses)- Economic hedges | 5,761 | 22 | 740 | — | 3 | 6,526 | ||||||||||||||||||
Reported in Other Income | $ | 9,266 | $ | 22 | $ | 385 | $ | — | $ | 3 | $ | 9,676 | ||||||||||||
Total | $ | 6,777 | $ | 164 | $ | 8,765 | $ | — | $ | 3 | $ | 15,709 | ||||||||||||
2005 | ||||||||||||||||||||||||
Consolidated | Consolidated | |||||||||||||||||||||||
MPF | Obligation | Obligation | Intermediary | |||||||||||||||||||||
Earnings Impact | Advances | Loans | Bonds | Discount Notes | Positions | Total | ||||||||||||||||||
Amortization/accretion of hedging activities reported in net interest income | $ | (460 | ) | $ | 154 | $ | 6,706 | $ | — | $ | — | $ | 6,400 | |||||||||||
Net realized and unrealized gains (losses) on derivatives and hedging activities | $ | (405 | ) | $ | — | $ | (260 | ) | $ | — | $ | — | $ | (665 | ) | |||||||||
Gains (losses)- Economic hedges | (8,235 | ) | (582 | ) | 19 | — | (3 | ) | (8,801 | ) | ||||||||||||||
Reported in Other Income | $ | (8,640 | ) | $ | (582 | ) | $ | (241 | ) | $ | — | $ | (3 | ) | $ | (9,466 | ) | |||||||
Total | $ | (9,100 | ) | $ | (428 | ) | $ | 6,465 | $ | — | $ | (3 | ) | $ | (3,066 | ) | ||||||||
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December 31, 2007 | ||||||||||||||||
Total Net | ||||||||||||||||
Number of | Notional | Exposure at | Net Exposure | |||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | after Collateral | ||||||||||||
AAA | 1 | $ | 2,301,444 | $ | — | $ | — | |||||||||
AA | 14 | 63,076,269 | 69,520 | 28,220 | ||||||||||||
A | 3 | 19,246,894 | — | — | ||||||||||||
Members | 3 | 35,000 | 753 | — | ||||||||||||
Delivery Commitments | — | 1,351 | 5 | — | ||||||||||||
Total | 21 | $ | 84,660,958 | $ | 70,278 | $ | 28,220 | |||||||||
December 31, 2006 | ||||||||||||||||
Total Net | ||||||||||||||||
Number of | Notional | Exposure at | Net Exposure | |||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | after Collateral | ||||||||||||
AAA | 1 | $ | 2,874,229 | $ | — | $ | — | |||||||||
AA | 14 | 57,905,862 | 215,744 | 91,744 | ||||||||||||
A | 3 | 16,782,823 | 9,031 | 9,031 | ||||||||||||
Members | 3 | 25,000 | — | — | ||||||||||||
Delivery Commitments | — | 9,497 | — | — | ||||||||||||
Total | 21 | $ | 77,597,411 | $ | 224,775 | $ | 100,775 | |||||||||
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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 relationships to be highly effective. This is a forward-looking relationship 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. | |
• | 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 for 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, 2007 | $ | 1,776 | $ | 48,254 | $ | 46,478 | ||||||
September 30, 2007 | 2,686 | 38,277 | 35,591 | |||||||||
June 30, 2007 | 2,726 | 35,853 | 33,127 | |||||||||
March 31, 2007 | 1,796 | 37,559 | 35,763 | |||||||||
December 31, 2006 | 1,944 | 42,386 | 40,442 | |||||||||
September 30, 2006 | 1,745 | 48,347 | 46,602 | |||||||||
June 30, 2006 | 1,976 | 45,797 | 43,821 | |||||||||
March 31, 2006 | 1,378 | 45,001 | 43,623 |
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Average Balance Sheet | Average Actual | |||||||||||
For the quarters ended | Liquidity Requirement | Operational Liquidity | Excess | |||||||||
December 31, 2007 | $ | 4,830 | $ | 19,522 | $ | 14,692 | ||||||
September 30, 2007 | 2,290 | 16,716 | 14,426 | |||||||||
June 30, 2007 | 2,186 | 15,653 | 13,467 | |||||||||
March 31, 2007 | 3,482 | 16,033 | 12,551 | |||||||||
December 31, 2006 | 5,852 | 16,970 | 11,118 | |||||||||
September 30, 2006 | 5,506 | 17,763 | 12,257 | |||||||||
June 30, 2006 | 4,388 | 16,444 | 12,056 | |||||||||
March 31, 2006 | 4,252 | 17,007 | 12,755 |
Average Five Day | Average Actual | |||||||||||
For the quarters ended | Requirement | Contingency Liquidity | Excess | |||||||||
December 31, 2007 | $ | 2,966 | $ | 17,914 | $ | 14,948 | ||||||
September 30, 2007 | 1,530 | 15,643 | 14,113 | |||||||||
June 30, 2007 | 1,115 | 14,460 | 13,345 | |||||||||
March 31, 2007 | 1,476 | 14,509 | 13,033 | |||||||||
December 31, 2006 | 2,130 | 14,852 | 12,722 | |||||||||
September 30, 2006 | 3,934 | 15,755 | 11,821 | |||||||||
June 30, 2006 | 2,490 | 14,428 | 11,938 | |||||||||
March 31, 2006 | 3,114 | 14,797 | 11,683 |
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• | Cash; | ||
• | Obligations of, or fully guaranteed by, the United States; | ||
• | Secured advances; | ||
• | Mortgages that have any guaranty, insurance, or commitment from the United States or any agency of the United States; | ||
• | Investments described in section 16(a) of the FHLBank Act, including securities that a fiduciary or trust fund may purchase under the laws of the state in which the FHLBank is located; and | ||
• | Other securities that are rated Aaa by Moody’s or AAA by Standard & Poor’s. |
December 31, | ||||||||
2007 | 2006 | |||||||
Consolidated Obligations: | ||||||||
Bonds | $ | 66,325,817 | $ | 62,042,675 | ||||
Discount Notes | 34,791,570 | 12,191,553 | ||||||
Total consolidated obligations | 101,117,387 | 74,234,228 | ||||||
Unpledged assets | ||||||||
Cash | 7,909 | 38,850 | ||||||
Less: Member pass-through reserves at the FRB | (19,584 | ) | (43,265 | ) | ||||
Secured Advances | 82,089,667 | 59,012,394 | ||||||
Investments | 25,375,628 | 20,503,175 | ||||||
Mortgage Loans | 1,491,628 | 1,483,419 | ||||||
Other loans* | — | 112 | ||||||
Accrued interest receivable on advances and investments | 562,323 | 406,123 | ||||||
Less: Pledged Assets | (396,400 | ) | — | |||||
109,111,171 | 81,400,808 | |||||||
Excess unpledged assets | $ | 7,993,784 | $ | 7,166,580 | ||||
* | Excludes $55 million overnight loan to another FHLBank. |
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December 31, 2007 | December 31, 2006 | |||||||||||||||
Actual | Limits | Actual | Limits | |||||||||||||
Mortgage securities investment authority1 | 198 | % | 300 | % | 254 | % | 300 | % | ||||||||
1 | The measurement date is on a one-month “look-back” basis. |
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December 31, | Percentage | Percentage | ||||||||||||||||||
2007 | 2006 | 2005 | Variance 2007 | Variance 2006 | ||||||||||||||||
Interest Income | ||||||||||||||||||||
Advances | $ | 3,495,312 | $ | 3,302,174 | $ | 2,174,948 | 5.85 | % | 51.83 | % | ||||||||||
Interest-bearing deposits | 411,647 | 300,499 | 193,668 | 36.99 | 55.16 | |||||||||||||||
Federal funds sold | 192,845 | 145,420 | 97,547 | 32.61 | 49.08 | |||||||||||||||
Available-for-sale securities | — | — | 19,519 | — | (100.00 | ) | ||||||||||||||
Held-to-maturity securities | 596,761 | 580,002 | 566,009 | 2.89 | 2.47 | |||||||||||||||
Mortgage loans held-for-portfolio | 78,937 | 76,111 | 69,312 | 3.71 | 9.81 | |||||||||||||||
Loans to other FHLBanks | 2 | 37 | 9 | (94.60 | ) | 311.11 | ||||||||||||||
Other | 1 | 4 | 33 | (75.00 | ) | (87.88 | ) | |||||||||||||
Total interest income | 4,775,505 | 4,404,247 | 3,121,045 | 8.43 | 41.11 | |||||||||||||||
Interest Expense | ||||||||||||||||||||
Consolidated obligations-bonds | 3,215,560 | 2,944,241 | 2,001,960 | 9.22 | 47.07 | |||||||||||||||
Consolidated obligations-discount notes | 937,534 | 901,978 | 658,837 | 3.94 | 36.90 | |||||||||||||||
Deposits | 106,777 | 81,442 | 62,237 | 31.11 | 30.86 | |||||||||||||||
Mandatorily redeemable capital stock | 11,731 | 3,086 | 2,747 | 280.14 | 12.30 | |||||||||||||||
Cash collateral held and other borrowings | 4,516 | 3,382 | 292 | 33.53 | 1,058.22 | |||||||||||||||
Total interest expense | 4,276,118 | 3,934,129 | 2,726,073 | 8.69 | 44.31 | |||||||||||||||
Net interest income before provision for credit losses | $ | 499,387 | $ | 470,118 | $ | 394,972 | 6.23 | % | 19.03 | % | ||||||||||
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Years ended December 31, | ||||||||||||
2007 | 2006 | 2005 | ||||||||||
Advance Interest Income | ||||||||||||
Advance interest income before adjustment for interest rate swaps | $ | 3,139,311 | $ | 3,065,361 | $ | 2,546,995 | ||||||
Net interest adjustment for interest rate swaps | 356,001 | 236,813 | (372,047 | ) | ||||||||
Total Advance interest income reported | $ | 3,495,312 | $ | 3,302,174 | $ | 2,174,948 | ||||||
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Years ended December 31, | ||||||||||||
2007 | 2006 | 2005 | ||||||||||
Fixed-rate Bonds | $ | 2,710,748 | $ | 2,538,401 | $ | 1,905,853 | ||||||
Floating-rate Bonds | 330,709 | 100,445 | 69,179 | |||||||||
Discount Notes | 937,535 | 901,978 | 658,655 | |||||||||
3,978,992 | 3,540,824 | 2,633,687 | ||||||||||
Net Impact of interest rate swaps and amortization of basis | 174,102 | 305,395 | 27,110 | |||||||||
Reported Interest Expense | $ | 4,153,094 | $ | 3,846,219 | $ | 2,660,797 | ||||||
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Years ended December 31, | ||||||||||||
2007 | 2006 | 2005 | ||||||||||
Consolidated bonds-Interest expense | ||||||||||||
Gross interest expense before adjustment for interest rate swaps | $ | 3,041,458 | $ | 2,638,846 | $ | 1,974,850 | ||||||
Net interest adjustment for interest rate swaps | 174,102 | 305,395 | 27,110 | |||||||||
Total Consolidated bonds-interest expense reported | $ | 3,215,560 | $ | 2,944,241 | $ | 2,001,960 | ||||||
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Years ended December 31, | ||||||||||||||||||||||||||||||||||||
2007 | 2006 | 2005 | ||||||||||||||||||||||||||||||||||
Interest | Interest | Interest | ||||||||||||||||||||||||||||||||||
Average | Income/ | Average | Income/ | Average | Income/ | |||||||||||||||||||||||||||||||
(dollars in thousands) | Balance | Expense | Rate 1 | Balance | Expense | Rate 1 | Balance | Expense | Rate 1 | |||||||||||||||||||||||||||
Earning Assets: | ||||||||||||||||||||||||||||||||||||
Advances | $ | 65,454,319 | $ | 3,495,312 | 5.34 | % | $ | 64,657,774 | $ | 3,302,174 | 5.11 | % | $ | 63,446,436 | $ | 2,174,948 | 3.43 | % | ||||||||||||||||||
Interest-earning deposits | 7,689,475 | 411,647 | 5.35 | 6,005,662 | 300,499 | 5.00 | 5,655,463 | 193,668 | 3.42 | |||||||||||||||||||||||||||
Federal funds sold | 3,741,385 | 192,845 | 5.15 | 2,851,611 | 145,420 | 5.10 | 2,969,419 | 97,547 | 3.28 | |||||||||||||||||||||||||||
Investments | 10,798,926 | 596,761 | 5.53 | 10,632,295 | 580,002 | 5.46 | 11,317,140 | 585,528 | 5.17 | |||||||||||||||||||||||||||
Mortgage and other loans | 1,502,320 | 78,940 | 5.25 | 1,471,434 | 76,152 | 5.18 | 1,361,517 | 69,354 | 5.07 | |||||||||||||||||||||||||||
Total interest-earning assets | $ | 89,186,425 | $ | 4,775,505 | 5.35 | % | $ | 85,618,776 | $ | 4,404,247 | 5.14 | % | $ | 84,749,975 | $ | 3,121,045 | 3.68 | % | ||||||||||||||||||
Funded By: | ||||||||||||||||||||||||||||||||||||
Consolidated obligations-bonds | $ | 63,276,726 | $ | 3,215,560 | 5.08 | 60,932,425 | 2,944,241 | 4.83 | 56,975,120 | 2,001,960 | 3.51 | |||||||||||||||||||||||||
Consolidated obligations-discount notes | 18,956,390 | 937,534 | 4.95 | 18,381,469 | 901,978 | 4.91 | 20,654,321 | 658,837 | 3.19 | |||||||||||||||||||||||||||
Interest-bearing deposits and other borrowings | 2,285,523 | 111,293 | 4.87 | 1,773,104 | 84,824 | 4.78 | 2,112,202 | 62,529 | 2.96 | |||||||||||||||||||||||||||
Mandatorily redeemable stock | 146,286 | 11,731 | 8.02 | 50,948 | 3,086 | 6.06 | 55,512 | 2,747 | 4.95 | |||||||||||||||||||||||||||
Total interest-bearing liabilities | 84,664,925 | 4,276,118 | 5.05 | % | 81,137,946 | 3,934,129 | 4.85 | % | 79,797,155 | 2,726,073 | 3.42 | % | ||||||||||||||||||||||||
Capital and other non-interest- bearing funds | 4,521,500 | — | 4,480,830 | — | 4,952,820 | — | ||||||||||||||||||||||||||||||
Total Funding | $ | 89,186,425 | $ | 4,276,118 | $ | 85,618,776 | $ | 3,934,129 | $ | 84,749,975 | $ | 2,726,073 | ||||||||||||||||||||||||
Net Interest Spread | $ | 499,387 | 0.30 | % | $ | 470,118 | 0.29 | % | $ | 394,972 | 0.26 | % | ||||||||||||||||||||||||
Net Interest Margin (Net interest income/Earning Assets) | 0.56 | % | 0.55 | % | 0.47 | % | ||||||||||||||||||||||||||||||
Note1: | 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, typically resulting in funding at an advantageous price. 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, 2007 vs. December 31, 2006 | ||||||||||||
Increase (decrease) | ||||||||||||
Volume | Rate | Total | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 40,681 | $ | 152,457 | $ | 193,138 | ||||||
Interest-earning deposits | 84,251 | 26,897 | 111,148 | |||||||||
Federal funds sold | 45,375 | 2,050 | 47,425 | |||||||||
Investments | 9,090 | 7,669 | 16,759 | |||||||||
Mortgage loans and other loans | 1,598 | 1,190 | 2,788 | |||||||||
Total interest income | 180,995 | 190,263 | 371,258 | |||||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | 113,276 | 158,043 | 271,319 | |||||||||
Consolidated obligations-discount notes | 28,211 | 7,345 | 35,556 | |||||||||
Deposits and borrowings | 24,515 | 1,954 | 26,469 | |||||||||
Mandatorily redeemable stock | 5,774 | 2,871 | 8,645 | |||||||||
Total interest expense | 171,776 | 170,213 | 341,989 | |||||||||
Changes in Net Interest Income | $ | 9,219 | $ | 20,050 | $ | 29,269 | ||||||
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For the years ended | ||||||||||||
December 31, 2006 vs. December 31, 2005 | ||||||||||||
Increase (decrease) | ||||||||||||
Volume | Rate | Total | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 41,525 | $ | 1,085,701 | $ | 1,127,226 | ||||||
Interest-earning deposits | 11,992 | 94,839 | 106,831 | |||||||||
Federal funds sold | (3,870 | ) | 51,743 | 47,873 | ||||||||
Investments | (35,433 | ) | 29,907 | (5,526 | ) | |||||||
Mortgage loans and other loans | 5,577 | 1,221 | 6,798 | |||||||||
Total interest income | 19,791 | 1,263,411 | 1,283,202 | |||||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | 139,050 | 803,231 | 942,281 | |||||||||
Consolidated obligations-discount notes | (72,500 | ) | 315,641 | 243,141 | ||||||||
Deposits and borrowings | (10,039 | ) | 32,334 | 22,295 | ||||||||
Mandatorily redeemable stock | (226 | ) | 565 | 339 | ||||||||
Total interest expense | 56,285 | 1,151,771 | 1,208,056 | |||||||||
Changes in Net Interest Income | $ | (36,494 | ) | $ | 111,640 | $ | 75,146 | |||||
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Years ended December 31, | ||||||||||||
2007 | 2006 | 2005 | ||||||||||
Other income (loss): | ||||||||||||
Service fees | $ | 3,324 | $ | 3,368 | $ | 4,666 | ||||||
Net realized and unrealized gain (loss) on derivatives and hedging activities | 18,356 | 9,676 | (9,466 | ) | ||||||||
Net realized gain from sale of available-for-sale and held-to-maturity securities | — | — | 1,895 | |||||||||
Losses from extinguishment of debt and other | (8,180 | ) | (26,283 | ) | (14,952 | ) | ||||||
Total other income (loss) | $ | 13,500 | $ | (13,239 | ) | $ | (17,857 | ) | ||||
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• | SFAS 133 qualifying fair value debt hedgesof the Bank’s debt resulted in a net loss of $2.1 million in 2007 on total notional hedged amount of $34.9 billion at December 31, 2007. Net unrealized losses were $6.7 million, partly offset by realized gains of $4.7 million. In comparison, loss in the prior year from SFAS 133 qualifying debt hedges was $0.4 million on total notional of $40.5 billion. Realized gains in 2006 of $6.4 million were offset by unrealized losses of $6.8 million. | ||
• | SFAS 133 non-qualifying fair value debt hedgesresulted in net unrealized gain of $9.7 million in 2007. The notional amount outstanding of non-qualifying debt hedges at December 31, 2007 was $1.5 billion. Net accruals of $1.9 million in 2007 from non-qualifying or economic hedges were recorded as realized gains. In the prior year, the impact of non-qualifying debt hedges was $0.6 million, primarily representing net interest accruals associated with non-qualifying debt hedges. Gains and losses from non-qualifying and economic hedges are classified as economic hedges, and also included in Other income (loss) as a Net realized and unrealized gain (loss) from derivatives and hedging activities. While such hedges do not meet the SFAS 133 hedge accounting criteria, the hedges were executed to mitigate business risk and met the Bank’s risk management objectives. | ||
• | SFAS 133 qualifying hedges of anticipatory issuances of debt (cash flow hedges)resulted in a de minimis impact due to ineffectiveness recorded through earnings in 2007 and 2006. The notional amount outstanding was $127.5 million at December 31, 2007. There were no cash flow hedges outstanding at December 31, 2006. |
• | SFAS 133 qualifying fair value advance hedgesin 2007 resulted in net gains of $8.0 million, including $1.0 million from the amortization of previously recorded basis adjustments. Total notional amount of hedges was $47.0 billion at December 31, 2007. In 2006, SFAS 133 qualifying hedges resulted in net gains of $3.5 million, including $2.1 million from the amortization of previously recorded basis adjustments. | ||
• | SFAS 133 non-qualifying advance hedgesin 2007 and 2006 were de minimis. |
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• | Net realized and unrealized gains from qualifying fair value hedges using receive-fixed, pay-variable swaps, a strategy used mainly to hedge the Bank’s fixed-rate liabilities resulted in net recorded losses of $0.4 million in 2006. | |
• | Net realized and unrealized gains from qualifying fair value hedges using pay-fixed, receive-variable swaps resulted in a reported ineffectiveness of $1.4 million in 2006. The average notional amount of such fair value interest rate swaps was $35.1 billion in 2006. In addition, amortization of basis adjustments from modified hedged resulted in a reported gain of $2.1 million in 2006 and $3.6 million in 2005. | |
• | Termination of option contracts that had been associated with variable-rate advances prepaid by member in 2006 and designated as economic hedges resulted in a one-time gain of $4.5 million. This was offset by changes in the fair value basis of options resulting in reported losses of $6.6 million, principally from market-amortization of the time value of purchased options approaching expiration. Net interest income accruals from in-the-money option contracts associated with variable-rate advances contributed $7.9 million in realized gains in 2006. Purchased options, indexed to LIBOR, became “in-the-money” during 2006 as short-term interest rates rose past the contractual “strike prices” of option contracts, and the Bank accrued to income the difference between the option strike price and prevailing LIBOR rates. Under hedge accounting rules, such periodic contractual interest income is also considered as cash flows from economic hedges and was recorded as a Net realized and unrealized gain (loss) on derivatives and hedging activities. In 2005, interest accruals from in-the-money options were not material and market amortization and changes in fair value of purchased options resulted in reported losses of $10.5 million. |
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• | Net realized and unrealized gains from economic hedges totaled $0.8 million in 2006 and $2.0 million in 2005. In prior years and most of 2005, the Bank accounted for mortgage loan delivery commitments as “cash flow” hedges under the provisions of SFAS 133. In the fourth quarter of 2005, the Bank began to account for mortgage delivery commitments as economic hedges with an insignificant impact to earnings in 2005. In 2005, the FHLBNY corrected its estimation methodology for valuing hedged advances, which resulted in a cumulative charge of $3.5 million. |
Years ended December 31, | ||||||||||||
2007 | 2006 | 2005 | ||||||||||
Other expenses: | ||||||||||||
Operating | $ | 66,569 | $ | 63,203 | $ | 59,067 | ||||||
Finance Board and Office of Finance | 5,193 | 5,140 | 5,506 | |||||||||
Total other expenses | $ | 71,762 | $ | 68,343 | $ | 64,573 | ||||||
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Years ended December 31, | ||||||||||||
2007 | 2006 | 2005 | ||||||||||
Salaries and employee benefits | $ | 44,740 | $ | 41,292 | $ | 39,253 | ||||||
Temporary workers | 125 | 257 | 318 | |||||||||
Occupancy | 3,957 | 3,732 | 3,516 | |||||||||
Depreciation and leasehold amortization | 4,498 | 3,903 | 3,562 | |||||||||
Computer service agreements and contractual services | 5,202 | 4,519 | 3,641 | |||||||||
Professional and legal fees | 2,538 | 3,786 | 3,372 | |||||||||
Other | 5,509 | 5,714 | 5,405 | |||||||||
Total operating expenses | $ | 66,569 | $ | 63,203 | $ | 59,067 | ||||||
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Years ended December 31, | ||||||||||||
2007 | 2006 | 2005 | ||||||||||
Beginning balance | $ | 101,898 | $ | 91,004 | $ | 81,580 | ||||||
Additions from current period’s assessments | 37,204 | 32,031 | 25,878 | |||||||||
Net disbursements for grants and programs | (20,050 | ) | (21,137 | ) | (16,454 | ) | ||||||
Ending balance | $ | 119,052 | $ | 101,898 | $ | 91,004 | ||||||
Years ended December 31, | ||||||||||||
2007 | 2006 | 2005 | ||||||||||
Beginning balance | $ | 17,475 | $ | 14,062 | $ | 9,966 | ||||||
Additions from current period’s assessments | 80,776 | 71,299 | 57,540 | |||||||||
Net disbursements to REFCORP | (74,253 | ) | (67,886 | ) | (53,444 | ) | ||||||
Ending balance | $ | 23,998 | $ | 17,475 | $ | 14,062 | ||||||
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2007 | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Advances | $ | 82,089,667 | $ | 59,012,394 | $ | 61,901,534 | $ | 68,507,487 | $ | 63,923,184 | ||||||||||
Mortgage loans before allowance for credit losses | $ | 1,492,261 | $ | 1,484,012 | $ | 1,467,525 | $ | 1,178,590 | $ | 672,151 | ||||||||||
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December 31, 2007 | ||||||||||||||||
Par | Percent of | Interest | ||||||||||||||
City | State | Advances | Total ** | Income | ||||||||||||
Hudson City Savings Bank* | 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 Lfe Insurance Company | New York | NY | 4,555,000 | 5.7 | 81,724 | |||||||||||
Total | $ | 38,898,835 | 48.3 | % | $ | 1,356,755 | ||||||||||
* | Officer of member bank also served on the Board of Directors of the FHLBNY. | |
** | Percentage calculated on par value of advances. |
December 31, 2006 | ||||||||||||||||
Par | Percent of | Interest | ||||||||||||||
City | State | Advances | Total ** | Income | ||||||||||||
Hudson City Savings Bank* | Paramus | NJ | $ | 8,873,000 | 15.0 | % | $ | 289,348 | ||||||||
New York Community Bank* | Westbury | NY | 7,878,877 | 13.4 | 315,626 | |||||||||||
HSBC Bank USA, National Association | New York | NY | 5,009,503 | 8.5 | 260,749 | |||||||||||
Manufacturers and Traders Trust Company | �� | Buffalo | NY | 3,423,231 | 5.8 | 188,514 | ||||||||||
Astoria Federal Savings and Loan Assn. | Long Island City | NY | 2,480,000 | 4.2 | 114,426 | |||||||||||
Total | $ | 27,664,611 | 46.9 | % | $ | 1,168,663 | ||||||||||
* | Officer of member bank also served on the Board of Directors of the FHLBNY. | |
** | Percentage calculated on par value of advances. |
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December 31, 2005 | ||||||||||||||||
Par | Percent of | Interest | ||||||||||||||
City | State | Advances | Total ** | Income | ||||||||||||
New York Community Bank* | Westbury | NY | $ | 6,476,364 | 10.5 | % | $ | 263,161 | ||||||||
HSBC Bank USA, National Association | New York | NY | 5,008,817 | 8.1 | 167,798 | |||||||||||
Hudson City Savings Bank* | Paramus | NJ | 4,300,000 | 7.0 | 139,769 | |||||||||||
North Fork Bank | Mattituck | NY | 4,075,015 | 6.6 | 261,795 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 3,653,730 | 5.9 | 138,552 | |||||||||||
Total | $ | 23,513,926 | 38.1 | % | $ | 971,075 | ||||||||||
* | Officer of member bank also served on the Board of Directors of the FHLBNY. | |
** | Percentage calculated on par value of advances. |
Ultimate | Member of | Advances | ||||||
Former Member | Acquiree Bank | FHLB | as of December 31, 2007 | |||||
Citizens Bank, National Association | RBS Citizens, National Association | Boston | $ | 1,750,000 | ||||
Independence Community Bank | Sovereign Bank | Pittsburgh | 978,000 | |||||
Summit Bank | Bank of America, NA | Boston | 231,090 | |||||
Susquehanna Patriot Bank | Susquehanna Bank DV | Pittsburgh | 125,000 | |||||
Dime Savings Bank | Washington Mutual Bank | San Francisco | 103,298 | |||||
Others | Various | Various | 90,256 | |||||
Total | $ | 3,277,644 | ||||||
Ultimate | Member of | Advances | ||||||
Former Member | Acquiree Bank | FHLB | as of December 31, 2006 | |||||
Independence Community Bank | Sovereign Bank | Pittsburgh | $ | 1,378,000 | ||||
Fleet National Bank | Bank of America, National Association | Boston | 287,225 | |||||
Dime Savings Bank | Washington Mutual Bank | San Francisco | 103,488 | |||||
Empire Corporate Federal Credit Union | Members United Corporate Federal Credit Union | Chicago | 6,082 | |||||
N/A | NJ Housing & Mortgage Finance Agency | N/A | 2,802 | |||||
Others | Various | Various | 3,282 | |||||
Total | $ | 1,780,879 | ||||||
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NRSRO Ratings- December 31, 2007 | ||||||||||||||||
Issued, guaranteed or insured by: | Amount | AAA | AA | A | ||||||||||||
Pools of Mortgages | ||||||||||||||||
Fannie Mae | $ | 1,588,563 | $ | 1,588,563 | $ | — | $ | — | ||||||||
Freddie Mac | 488,237 | 488,237 | — | — | ||||||||||||
Total pools of mortgages | 2,076,800 | 2,076,800 | — | — | ||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||
Fannie Mae | 1,548,318 | 1,548,318 | — | — | ||||||||||||
Freddie Mac | 3,204,550 | 3,204,550 | — | — | ||||||||||||
Ginnie Mae | 7,482 | 7,482 | — | — | ||||||||||||
Total CMOs/REMICs | 4,760,350 | 4,760,350 | — | — | ||||||||||||
Non-GSE MBS | ||||||||||||||||
CMOs/REMICs | 729,331 | 729,331 | — | — | ||||||||||||
Commercial mortgage-backed securities | 1,087,713 | 1,087,713 | — | — | ||||||||||||
Total non-federal-agency MBS | 1,817,044 | 1,817,044 | — | — | ||||||||||||
Asset-Backed Securities | ||||||||||||||||
Manufactured housing (insured) | 260,972 | 260,972 | — | — | ||||||||||||
Home equity loans (insured) | 457,294 | 457,294 | — | — | ||||||||||||
Home equity loans (uninsured) | 335,323 | 335,323 | — | — | ||||||||||||
Total asset-backed securities | 1,053,589 | 1,053,589 | — | — | ||||||||||||
Total mortgage-backed securities | $ | 9,707,783 | $ | 9,707,783 | $ | — | $ | — | ||||||||
Non-MBS Investment securities | ||||||||||||||||
State and local housing finance agency obligations | $ | 576,971 | $ | 271,252 | $ | 305,719 | $ | — | ||||||||
Short-term Investments* | ||||||||||||||||
Interest-bearing deposits | $ | 10,696,687 | ||||||||||||||
Federal funds sold | 4,381,000 | |||||||||||||||
Total Short-term investments | $ | 15,077,687 | ||||||||||||||
* | Short-term investments were placed with counterparties with ratings that were single-A or better at December 31, 2007. |
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December 31, 2007 | ||||||||||||||||||||||||
Low FICO2 | High HLTVs3 | |||||||||||||||||||||||
Totals | RMBS | RMBS | ||||||||||||||||||||||
Book | Market Value | Book | Market Value | Book | Market Value | |||||||||||||||||||
Securities downgraded1 | $ | 86,790 | $ | 81,913 | $ | 50,787 | $ | 48,092 | $ | 36,003 | $ | 33,821 | ||||||||||||
Securities under downgrade watch | 267,210 | 260,000 | 222,421 | 217,202 | 44,789 | 42,798 | ||||||||||||||||||
354,000 | 341,913 | 273,208 | 265,294 | 80,792 | 76,619 | |||||||||||||||||||
Securities — Stable | 438,616 | 415,361 | 438,616 | 415,361 | — | — | ||||||||||||||||||
$ | 792,616 | $ | 757,274 | $ | 711,824 | $ | 680,655 | $ | 80,792 | $ | 76,619 | |||||||||||||
January 31, 2008 | ||||||||||||||||||||||||
Low FICO2 | High HLTVs3 | |||||||||||||||||||||||
Totals | RMBS | RMBS | ||||||||||||||||||||||
Book | Market Value | Book | Market Value | Book | Market Value | |||||||||||||||||||
Securities downgraded1 | $ | 85,710 | $ | 80,520 | $ | 50,215 | $ | 47,525 | $ | 35,495 | $ | 32,995 | ||||||||||||
Securities under downgrade watch | 262,816 | 251,096 | 218,733 | 208,918 | 44,083 | 42,178 | ||||||||||||||||||
348,526 | 331,616 | 268,948 | 256,443 | 79,578 | 75,173 | |||||||||||||||||||
Securities — Stable | 429,408 | 409,495 | 429,408 | 409,495 | — | — | ||||||||||||||||||
$ | 777,934 | $ | 741,111 | $ | 698,356 | $ | 665,938 | $ | 79,578 | $ | 75,173 | |||||||||||||
1 | See discussions below. |
• | At December 31, 2007, 16 mortgage-backed securities with an amortized cost of $354.0 million and market value of $341.9 million were insured either by MBIA Insurance Corp. (“MBIA”) or Ambac Assurance Corp. (“Ambac”), both of which were rated triple -A by S&P, Moody’s and Fitch at the time of purchase. During December 2007 and January 2008 S&P and Moody’s placed MBIA and Ambac on negative outlook and negative watch for a possible downgrade. On February 25, S&P affirmed MBIA at triple-A with a negative outlook; it also affirmed Ambac at triple-A with a negative watch. | ||
• | In January 2008, two mortgage-backed securities with low FICO scores were downgraded to double-A negative watch by Fitch. The two securities are insured by Ambac. Moody’s continues to rate the two securities as triple-A. S&P rates only one of the two securities which is rated triple-A. At December 31, 2007, the book value of the two securities was $50.8 million and market value was $48.1 million. At January 31, 2008, the book value of the two securities was $50.2 million and market value was $47.5 million. Between February and March 2008, Fitch reaffirmed its double-A rating to the two securities and removed the negative watch. |
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• | S&P and Moody’s also placed 12 mortgage-backed securities with low FICO scores under negative watch in February 2008. At December 31, 2007, book value of the 12 securities was $222.4 million and market value was $217.2 million. At January 31, 2008, the book value was $218.7 million and the market value was $208.9 million. Between February 25, 2008 and March 12, 2008, S&P and Moody’s removed the 12 securities from negative watch. S&P and Moody’s re-affirmed their triple-A rating. |
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Mortgage-backed security insurance coverage | ||||||||||||||
December 31, 2007 | ||||||||||||||
Number of securities | Security class | Amortized cost | Market value | |||||||||||
Bank purchased insurance (WRAP) | ||||||||||||||
MBIA | 3 | CMBS | $ | 177,450 | $ | 176,780 | ||||||||
FSA | 2 | RMBS | 83,413 | 78,315 | ||||||||||
FSA | 2 | Manuctured Housing Bonds | 260,972 | 260,522 | ||||||||||
7 | 521,835 | 515,617 | ||||||||||||
Insured at issuance | ||||||||||||||
MBIA & AMBAC | 16 | RMBS | 354,000 | 341,913 | ||||||||||
FSA | 2 | RMBS | 19,881 | 19,795 | ||||||||||
18 | 373,881 | 361,708 | ||||||||||||
Total | 25 | $ | 895,716 | $ | 877,325 | |||||||||
Mortgage-backed security insurance coverage | ||||||||||||||
January 31, 2008 | ||||||||||||||
Number of securities | Security class | Amortized cost | Market value | |||||||||||
Bank purchased insurance (WRAP) | ||||||||||||||
MBIA | 3 | CMBS | $ | 165,129 | $ | 164,523 | ||||||||
FSA | 2 | RMBS | 82,886 | 78,535 | ||||||||||
FSA | 2 | Manuctured Housing Bonds | 258,147 | 261,528 | ||||||||||
7 | 506,162 | 504,586 | ||||||||||||
Insured at issuance | ||||||||||||||
MBIA & AMBAC | 16 | RMBS | 348,526 | 331,616 | ||||||||||
FSA | 2 | RMBS | 19,724 | 19,622 | ||||||||||
18 | 368,250 | 351,238 | ||||||||||||
Total | 25 | $ | 874,412 | $ | 855,824 | |||||||||
1 | Rated triple-A by S&P and Moody’s; double-A by Fitch | |
2 | Rated triple-A by S&P, Moody’s and Fitch |
Note: | CMBS is commercial mortgage-backed security; RMBS is residential mortgage-backed security. Manufactured Housing Bond is a mortgage backed security supported by manufactured housing loans. |
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December 31, | ||||||||||||
2007 | 2006 | 2005 | ||||||||||
Original MPF | $ | 153,939 | $ | 141,027 | $ | 129,482 | ||||||
MPF 100 | 40,532 | 45,731 | 48,360 | |||||||||
MPF 125 | 433,864 | 444,122 | 462,796 | |||||||||
MPF 125 Plus | 847,091 | 830,744 | 795,087 | |||||||||
Other | 8,359 | 10,643 | 14,302 | |||||||||
Total MPF Loans * | $ | 1,483,785 | $ | 1,472,267 | $ | 1,450,027 | ||||||
* | Par amount of total mortgage loan held-for-portfolio includes CMA, par amount at December 31, 2007 was $4,102. |
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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, | ||||||||
2007 | 2006 | |||||||
Mortgage loans, net of provisions for credit losses | $ | 1,491,628 | $ | 1,483,419 | ||||
Non-performing mortgage loans held-for-portfolio | $ | 4,179 | $ | 2,089 | ||||
Mortgage loans past due 90 days or more and still accruing interest | $ | 384 | $ | 850 | ||||
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Years ended December 31, | ||||||||
2007 | 2006 | |||||||
Interest contractually due | $ | 137 | $ | 49 | ||||
Interest actually received | 112 | 43 | ||||||
Shortfall | $ | 25 | $ | 6 | ||||
Interest reported as income1 | $ | — | $ | — | ||||
1 | The Bank does not recognize interest received as income from uninsured loans past due 90-days or greater. |
Years ended December 31, | ||||||||||||
2007 | 2006 | 2005 | ||||||||||
Beginning balance | $ | 593 | $ | 582 | $ | 507 | ||||||
Charge-offs | — | (18 | ) | — | ||||||||
Recoveries | — | 18 | — | |||||||||
Net charge-offs | — | — | — | |||||||||
Provision for credit losses | 40 | 11 | 75 | |||||||||
Ending balance | $ | 633 | $ | 593 | $ | 582 | ||||||
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December 31, 2007 | ||||||||
Mortgage | Percent of Total | |||||||
Loans | Mortgage Loans | |||||||
Manufacturers and Traders Trust Company | $ | 848,759 | 57.20 | % | ||||
Astoria Federal Savings and Loan Association | 257,609 | 17.36 | ||||||
Community Bank NA | 109,059 | 7.35 | ||||||
Ocean First Bank | 60,488 | 4.08 | ||||||
The Lyons National Bank | 31,392 | 2.12 | ||||||
All Others | 176,478 | 11.89 | ||||||
Total1 | $ | 1,483,785 | 100.00 | % | ||||
December 31, 2006 | ||||||||
Mortgage | Percent of Total | |||||||
Loans | Mortgage Loans | |||||||
Manufacturers and Traders Trust Company | $ | 832,712 | 56.56 | % | ||||
Astoria Federal Savings and Loan Association | 257,486 | 17.49 | ||||||
Elmira Savings and Loan F.A. | 101,438 | 6.89 | ||||||
Ocean First Bank | 55,932 | 3.80 | ||||||
The Lyons National Bank | 34,883 | 2.37 | ||||||
All Others | 189,816 | 12.89 | ||||||
Total1 | $ | 1,472,267 | 100.00 | % | ||||
1 | Totals do not include CMA loans. |
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Years ended December 31, | ||||||||||||
2007 | 2006 | 2005 | ||||||||||
Beginning balance | $ | 12,162 | $ | 11,319 | $ | 9,336 | ||||||
Additions | 785 | 843 | 1,983 | |||||||||
Charge-offs | — | — | — | |||||||||
Recoveries | — | — | — | |||||||||
Ending balance | $ | 12,947 | $ | 12,162 | $ | 11,319 | ||||||
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Payments due or expiration terms by period 1 | ||||||||||||||||||||
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 par | $ | 38,027,475 | $ | 17,392,250 | $ | 5,281,945 | $ | 5,354,300 | $ | 66,055,970 | ||||||||||
Mandatorily redeemable capital stock1 | 127,010 | 94,629 | 15,281 | 1,676 | 238,596 | |||||||||||||||
Premise and equipment (rental and lease obligations) | 2,992 | 4,589 | 4,346 | 12,047 | 23,974 | |||||||||||||||
Total contractual obligations | 38,157,477 | 17,491,468 | 5,301,572 | 5,368,023 | 66,318,540 | |||||||||||||||
Other commitments | ||||||||||||||||||||
Standby letters of credit | 408,009 | 4,882 | 20,928 | 8,443 | 442,262 | |||||||||||||||
Unused lines of credit and other conditional commitments | 19,512,009 | — | — | — | 19,512,009 | |||||||||||||||
Consolidated obligation bonds/discount notes traded not settled | 956,937 | — | — | — | 956,937 | |||||||||||||||
Firm commitment-advances | 5,350 | — | — | — | 5,350 | |||||||||||||||
Open delivery commitments (MPF) | 1,351 | — | — | — | 1,351 | |||||||||||||||
Total other commitments | 20,883,656 | 4,882 | 20,928 | 8,443 | 20,917,909 | |||||||||||||||
Total obligations and commitments | $ | 59,041,133 | $ | 17,496,350 | $ | 5,322,500 | $ | 5,376,466 | $ | 87,236,449 | ||||||||||
1 | Mandatorily redeemable capital stock is categorized by the dates at which the corresponding advances outstanding mature. Excess capital stock is redeemed at that time, and 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. |
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• | The option-adjusted DOE is limited to a range of +/- four years in the interest rates unchanged case and to a range of +/- six years in the +/-200bps shock cases. | |
• | 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. |
Base Case DOE | -200bps DOE | +200bps DOE | ||||||||||
December 31, 2006 | 1.10 | -3.11 | 2.84 | |||||||||
March 31, 2007 | 1.12 | -2.91 | 2.93 | |||||||||
June 30, 2007 | 1.86 | -3.21 | 2.74 | |||||||||
September 30, 2007 | 1.31 | -4.18 | 2.35 | |||||||||
December 31, 2007 | -0.59 | -4.77 | 1.48 |
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One Year Re- | ||||
pricing Gap | ||||
December 31, 2006 | $2.801 Billion | |||
March 31, 2007 | $2.513 Billion | |||
June 30, 2007 | $3.419 Billion | |||
September 30, 2007 | $3.136 Billion | |||
December 31, 2007 | $3.671 Billion |
Sensitivity in | Sensitivity in | |||||||
the - 200bps | the +200bps | |||||||
Shock | Shock | |||||||
December 31, 2006 | -2.23 | % | -1.96 | % | ||||
March 31, 2007 | 11.66 | % | -9.92 | % | ||||
June 30, 2007 | -6.05 | % | 5.37 | % | ||||
September 30, 2007 | 10.25 | % | -9.07 | % | ||||
December 31, 2007 | -10.13 | % | 3.45 | % |
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-200bps Change | +200bps Change | |||||||
in MVE | in MVE | |||||||
December 31, 2006 | -2.68 | % | -4.54 | % | ||||
March 31, 2007 | -2.70 | % | -4.68 | % | ||||
June 30, 2007 | -1.12 | % | -4.95 | % | ||||
September 30, 2007 | -3.30 | % | -4.22 | % | ||||
December 31, 2007 | -6.51 | % | -1.77 | % |
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Interest Rate Sensitivity | ||||||||||||||||||||
December 31, 2007 | ||||||||||||||||||||
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 | $ | 15,469 | $ | 130 | $ | 428 | $ | 312 | $ | 808 | ||||||||||
MBS Investments | 1,446 | 1,332 | 3,109 | 1,814 | 2,007 | |||||||||||||||
Adjustable-rate loans and advances | 19,813 | — | — | — | — | |||||||||||||||
Net unswapped | 36,728 | 1,462 | 3,537 | 2,126 | 2,816 | |||||||||||||||
Fixed-rate loans and advances | 11,364 | 3,476 | 10,188 | 6,767 | 28,985 | |||||||||||||||
Swaps hedging advances | 45,017 | (1,624 | ) | (8,196 | ) | (6,343 | ) | (28,855 | ) | |||||||||||
Net fixed-rate loans and advances | 56,382 | 1,852 | 1,992 | 424 | 130 | |||||||||||||||
Loans to other FHLBanks | 55 | — | — | — | — | |||||||||||||||
Total interest-earning assets | $ | 93,165 | $ | 3,314 | $ | 5,529 | $ | 2,550 | $ | 2,946 | ||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||
Deposits | $ | 1,644 | $ | — | $ | — | $ | — | $ | — | ||||||||||
Discount notes | 34,234 | 557 | — | — | — | |||||||||||||||
Swapped discount notes | — | — | — | — | — | |||||||||||||||
Net discount notes | 34,234 | 557 | — | — | — | |||||||||||||||
Consolidated Obligation Bonds | ||||||||||||||||||||
FHLB bonds | 26,215 | 17,407 | 13,242 | 5,022 | 4,180 | |||||||||||||||
Swaps hedging bonds | 26,551 | (13,801 | ) | (7,946 | ) | (2,760 | ) | (2,045 | ) | |||||||||||
Net FHLB bonds | 52,766 | 3,606 | 5,297 | 2,262 | 2,135 | |||||||||||||||
Total interest-bearing liabilities | $ | 88,645 | $ | 4,163 | $ | 5,297 | $ | 2,262 | $ | 2,135 | ||||||||||
Post hedge gaps: | ||||||||||||||||||||
Periodic gap | $ | 4,520 | $ | (849 | ) | $ | 232 | $ | 287 | $ | 811 | |||||||||
Cumulative gaps | $ | 4,520 | $ | 3,671 | $ | 3,903 | $ | 4,190 | $ | 5,001 |
1 | Repricings 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 expected call date under the current interest rate environment or the instrument’s contractual maturity. |
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Interest Rate Sensitivity | ||||||||||||||||||||
December 31, 2006 | ||||||||||||||||||||
More than | More than | More than | ||||||||||||||||||
Six months | six months to | one year to | three years to | More than | ||||||||||||||||
or less | one year | three years | five years | five years | ||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||
Non-MBS Investments | $ | 9,669 | $ | 126 | $ | 408 | $ | 309 | $ | 843 | ||||||||||
MBS Investments | 1,150 | 994 | 4,153 | 1,907 | 2,428 | |||||||||||||||
Adjustable-rate loans and advances | 13,251 | — | — | — | — | |||||||||||||||
Net unswapped | 24,071 | 1,120 | 4,561 | 2,216 | 3,271 | |||||||||||||||
Fixed-rate loans and advances | 5,678 | 2,744 | 9,799 | 7,073 | 20,444 | |||||||||||||||
Swaps hedging advances | 34,745 | (1,593 | ) | (6,415 | ) | (6,483 | ) | (20,254 | ) | |||||||||||
Net fixed-rate loans and advances | 40,423 | 1,151 | 3,384 | 590 | 189 | |||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | |||||||||||||||
Total interest-earning assets | $ | 64,494 | $ | 2,271 | $ | 7,946 | $ | 2,806 | $ | 3,460 | ||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||
Deposits | $ | 2,389 | $ | — | $ | — | $ | — | $ | — | ||||||||||
Discount notes | 12,171 | 21 | — | — | — | |||||||||||||||
Swapped discount notes | — | — | — | — | — | |||||||||||||||
Net discount notes | 12,171 | 21 | — | — | — | |||||||||||||||
Consolidated Obligation Bonds | ||||||||||||||||||||
FHLB bonds | 18,339 | 11,747 | 23,070 | 5,560 | 3,481 | |||||||||||||||
Swaps hedging bonds | 28,344 | (9,045 | ) | (15,071 | ) | (2,313 | ) | (1,915 | ) | |||||||||||
Net FHLB bonds | 46,683 | 2,701 | 7,999 | 3,247 | 1,566 | |||||||||||||||
Total interest-bearing liabilities | $ | 61,243 | $ | 2,722 | $ | 7,999 | $ | 3,247 | $ | 1,566 | ||||||||||
Post hedge gaps: | ||||||||||||||||||||
Periodic gap | $ | 3,251 | $ | (451 | ) | $ | (53 | ) | $ | (441 | ) | $ | 1,894 | |||||||
Cumulative gaps | $ | 3,251 | $ | 2,801 | $ | 2,747 | $ | 2,306 | $ | 4,201 |
1 | Repricings 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 expected call date under the current interest rate environment or the instrument’s contractual maturity. |
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PAGE | ||||
Financial Statements | ||||
155 | ||||
156 | ||||
157 | ||||
158 | ||||
159 | ||||
160 | ||||
162 | ||||
36 |
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New York, New York
March 27, 2008
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As of December 31, 2007 and 2006
December 31, | ||||||||
2007 | 2006 | |||||||
Assets | ||||||||
Cash and due from banks (Notes 1 and 3) | $ | 7,909 | $ | 38,850 | ||||
Interest-bearing deposits, includes $396,400 and $0 pledged at December 31, 2007 and 2006 (Note 4) | 10,696,687 | 5,591,077 | ||||||
Federal funds sold | 4,381,000 | 3,661,000 | ||||||
Available-for-sale securities, net of unrealized losses of $373 at December 31, 2007 (Note 6) | 13,187 | — | ||||||
Held-to-maturity securities, includes $0 pledged at December 31, 2007 and 2006 (Note 5) | 10,284,754 | 11,251,098 | ||||||
Advances (Note 7) | 82,089,667 | 59,012,394 | ||||||
Mortgage loans held-for-portfolio, net of allowance for credit losses of $633 and $593 at December 31, 2007 and 2006 (Note 9) | 1,491,628 | 1,483,419 | ||||||
Loans to other FHLBanks (Note 10) | 55,000 | — | ||||||
Accrued interest receivable | 562,323 | 406,123 | ||||||
Premises, software, and equipment, net | 13,154 | 11,107 | ||||||
Derivative assets (Note 19) | 70,278 | 224,775 | ||||||
Other assets | 17,004 | 23,144 | ||||||
Total assets | $ | 109,682,591 | $ | 81,702,987 | ||||
Liabilities and capital | ||||||||
Liabilities | ||||||||
Deposits (Note 11) | ||||||||
Interest-bearing demand | $ | 1,627,339 | $ | 2,307,733 | ||||
Non-interest bearing demand | 2,596 | 1,795 | ||||||
Term | 16,900 | 80,000 | ||||||
Total deposits | 1,646,835 | 2,389,528 | ||||||
Consolidated obligations, net (Note 13) | ||||||||
Bonds | 66,325,817 | 62,042,675 | ||||||
Discount notes | 34,791,570 | 12,191,553 | ||||||
Total consolidated obligations | 101,117,387 | 74,234,228 | ||||||
Mandatorily redeemable capital stock (Notes 14 and 15) | 238,596 | 109,950 | ||||||
Accrued interest payable | 655,870 | 735,215 | ||||||
Affordable Housing Program (Notes 1 and 8) | 119,052 | 101,898 | ||||||
Payable to REFCORP (Notes 1 and 8) | 23,998 | 17,475 | ||||||
Derivative liabilities (Note 19) | 1,069,742 | 107,615 | ||||||
Other liabilities | 60,520 | 102,685 | ||||||
Total liabilities | 104,932,000 | 77,798,594 | ||||||
Commitments and Contingencies(Notes 8, 13, 19 and 21) | ||||||||
Capital(Notes 1, 14, and 15) | ||||||||
Capital stock ($100 par value), putable, issued and outstanding shares: 43,680 and 35,463 at December 31, 2007 and 2006 | 4,367,971 | 3,546,253 | ||||||
Unrestricted retained earnings | 418,295 | 368,688 | ||||||
Accumulated other comprehensive income (loss) (Note 16) | ||||||||
Net unrealized loss on available-for-sale securities | (373 | ) | — | |||||
Net unrealized loss on hedging activities | (30,215 | ) | (4,763 | ) | ||||
Employee supplemental retirement plans (Note 18) | (5,087 | ) | (5,785 | ) | ||||
Total capital | 4,750,591 | 3,904,393 | ||||||
Total liabilities and capital | $ | 109,682,591 | $ | 81,702,987 | ||||
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Years Ended December 31, 2007, 2006, and 2005
2007 | 2006 | 2005 | ||||||||||
Interest income | ||||||||||||
Advances (Note 7) | $ | 3,495,312 | $ | 3,302,174 | $ | 2,174,948 | ||||||
Interest-bearing deposits | 411,647 | 300,499 | 193,668 | |||||||||
Federal funds sold | 192,845 | 145,420 | 97,547 | |||||||||
Available-for-sale securities (Note 6) | — | — | 19,519 | |||||||||
Held-to-maturity securities (Note 5) | 596,761 | 580,002 | 566,009 | |||||||||
Mortgage loans held-for-portfolio (Note 9) | 78,937 | 76,111 | 69,312 | |||||||||
Loans to other FHLBanks (Note 10) | 2 | 37 | 9 | |||||||||
Other | 1 | 4 | 33 | |||||||||
Total interest income | 4,775,505 | 4,404,247 | 3,121,045 | |||||||||
Interest expense | ||||||||||||
Consolidated obligations-bonds (Note 13) | 3,215,560 | 2,944,241 | 2,001,960 | |||||||||
Consolidated obligations-discount notes (Note 13) | 937,534 | 901,978 | 658,837 | |||||||||
Deposits (Note 11) | 106,777 | 81,442 | 62,237 | |||||||||
Mandatorily redeemable capital stock (Note 14) | 11,731 | 3,086 | 2,747 | |||||||||
Cash collateral held and other borrowings | 4,516 | 3,382 | 292 | |||||||||
Total interest expense | 4,276,118 | 3,934,129 | 2,726,073 | |||||||||
Net interest income before provision for credit losses | 499,387 | 470,118 | 394,972 | |||||||||
Provision for credit losses on mortgage loans | 40 | 11 | 75 | |||||||||
Net interest income after provision for credit losses | 499,347 | 470,107 | 394,897 | |||||||||
Other income (loss) | ||||||||||||
Service fees | 3,324 | 3,368 | 4,666 | |||||||||
Net realized and unrealized gain (loss) on derivatives and hedging activities (Notes 1 and 19) | 18,356 | 9,676 | (9,466 | ) | ||||||||
Net realized gain from sale of available-for-sale and held-to-maturity securities (Note 6) | — | — | 1,895 | |||||||||
Losses from extinguishment of debt and other (Note 13) | (8,180 | ) | (26,283 | ) | (14,952 | ) | ||||||
Total other income (loss) | 13,500 | (13,239 | ) | (17,857 | ) | |||||||
Other expenses | ||||||||||||
Operating | 66,569 | 63,203 | 59,067 | |||||||||
Finance Board and Office of Finance | 5,193 | 5,140 | 5,506 | |||||||||
Total other expenses | 71,762 | 68,343 | 64,573 | |||||||||
Income before assessments | 441,085 | 388,525 | 312,467 | |||||||||
Affordable Housing Program (Notes 1 and 8) | 37,204 | 32,031 | 25,878 | |||||||||
REFCORP (Notes 1 and 8) | 80,776 | 71,299 | 57,540 | |||||||||
Total assessments | 117,980 | 103,330 | 83,418 | |||||||||
Income before cumulative effect of a change in accounting principle | 323,105 | 285,195 | 229,049 | |||||||||
Cumulative effect of a change in accounting principle (Note 2) | — | — | 1,109 | |||||||||
Net income | $ | 323,105 | $ | 285,195 | $ | 230,158 | ||||||
Basic earnings per share: (Note 17) | ||||||||||||
Earnings before cumulative effect of a change in accounting principle | $ | 8.57 | $ | 7.63 | $ | 6.33 | ||||||
Cumulative effect of a change in accounting principle | — | — | 0.03 | |||||||||
Net earnings per share | $ | 8.57 | $ | 7.63 | $ | 6.36 | ||||||
Cash dividends paid per share | $ | 7.51 | $ | 5.59 | $ | 4.50 | ||||||
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Years Ended December 31, 2007, 2006, and 2005
Accumulated | ||||||||||||||||||||||||||||||||
Capital Stock* | Capital Stock* | Other | Total | |||||||||||||||||||||||||||||
Pre-Exchange | Class B | Retained | Comprehensive | Total | Comprehensive | |||||||||||||||||||||||||||
Shares | Par Value | Shares | Par Value | Earnings | Income (Loss) | Capital | Income (Loss) | |||||||||||||||||||||||||
Balance, December 31, 2004 | 36,550 | $ | 3,655,047 | — | $ | — | $ | 223,434 | $ | 649 | $ | 3,879,130 | ||||||||||||||||||||
Proceeds from sale of capital stock-Pre-exchange | 23,911 | 2,391,050 | — | — | — | — | 2,391,050 | |||||||||||||||||||||||||
Redemption of capital stock- Pre-exchange | (22,987 | ) | (2,298,640 | ) | — | — | — | — | (2,298,640 | ) | ||||||||||||||||||||||
Proceeds from sale of capital stock-Class B | — | — | 2,763 | 276,296 | — | — | 276,296 | |||||||||||||||||||||||||
Redemption of capital stock- Class B | — | — | (4,332 | ) | (433,299 | ) | — | — | (433,299 | ) | ||||||||||||||||||||||
Capital exchange | (37,474 | ) | (3,747,457 | ) | 37,474 | 3,747,457 | — | — | — | |||||||||||||||||||||||
Cash dividends ($4.50 per share) on capital stock | — | — | — | — | (162,179 | ) | — | (162,179 | ) | |||||||||||||||||||||||
Net Income | — | — | — | — | 230,158 | — | 230,158 | $ | 230,158 | |||||||||||||||||||||||
Other comprehensive income (loss): | ||||||||||||||||||||||||||||||||
Changes in fair value during the year of available-for- sale securities | — | — | — | — | — | (490 | ) | (490 | ) | (490 | ) | |||||||||||||||||||||
Reclassification to earnings from sale of available-for- sale securities | — | — | — | — | — | (1,750 | ) | (1,750 | ) | (1,750 | ) | |||||||||||||||||||||
Net change in hedging activities | — | — | — | — | — | 4,454 | 4,454 | 4,454 | ||||||||||||||||||||||||
Additional minimum liability on Benefit Equalization Plan | — | — | — | — | — | 650 | 650 | 650 | ||||||||||||||||||||||||
$ | 233,022 | |||||||||||||||||||||||||||||||
Balance, December 31, 2005 | — | $ | — | 35,905 | $ | 3,590,454 | $ | 291,413 | $ | 3,513 | $ | 3,885,380 | ||||||||||||||||||||
Proceeds from sale of capital stock | — | $ | — | 34,695 | $ | 3,469,533 | $ | — | $ | — | $ | 3,469,533 | ||||||||||||||||||||
Redemption of capital stock | — | — | (32,829 | ) | (3,282,884 | ) | — | — | (3,282,884 | ) | ||||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | — | — | (2,308 | ) | (230,850 | ) | — | — | (230,850 | ) | ||||||||||||||||||||||
Adjustments to initially apply FASB Statement No. 158 | — | — | — | — | — | (6,141 | ) | (6,141 | ) | |||||||||||||||||||||||
Cash dividends ($5.59 per share) on capital stock | — | — | — | — | (207,920 | ) | — | (207,920 | ) | |||||||||||||||||||||||
Net Income | — | — | — | — | 285,195 | — | 285,195 | $ | 285,195 | |||||||||||||||||||||||
Other comprehensive income (loss): | ||||||||||||||||||||||||||||||||
Net change in hedging activities | — | — | — | — | — | (10,115 | ) | (10,115 | ) | (10,115 | ) | |||||||||||||||||||||
Additional minimum liability on Benefit Equalization Plan | — | — | — | — | — | 2,195 | 2,195 | 2,195 | ||||||||||||||||||||||||
$ | 277,275 | |||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||
Other comprehensive income (loss): | ||||||||||||||||||||||||||||||||
Net unrealized (loss) on available-for-sale securities | — | — | — | — | — | (373 | ) | (373 | ) | (373 | ) | |||||||||||||||||||||
Net change in hedging activities | — | — | — | — | — | (25,452 | ) | (25,452 | ) | (25,452 | ) | |||||||||||||||||||||
Additional minimum liability on pension plans | — | — | — | — | — | 698 | 698 | 698 | ||||||||||||||||||||||||
$ | 297,978 | |||||||||||||||||||||||||||||||
Balance, December 31, 2007 | — | $ | — | 43,680 | $ | 4,367,971 | $ | 418,295 | $ | (35,675 | ) | $ | 4,750,591 | |||||||||||||||||||
* | Putable stock |
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Years Ended December 31, 2007, 2006, and 2005
2007 | 2006 | 2005 | ||||||||||
Operating activities | ||||||||||||
Net Income | $ | 323,105 | $ | 285,195 | $ | 230,158 | ||||||
Cumulative effect of a change in accounting principle before assessments | — | — | (1,109 | ) | ||||||||
Income before cumulative effect of change in accounting principle | $ | 323,105 | $ | 285,195 | $ | 229,049 | ||||||
Adjustments to reconcile net income before cumulative effects of change in accounting principle to net cash provided by operating activities: | ||||||||||||
Depreciation and amortization: | ||||||||||||
Net premiums and discounts on consolidated obligations, investments, and mortgage loans | 106,372 | (53,162 | ) | 16,211 | ||||||||
Concessions on consolidated obligations | 12,810 | 13,293 | 12,769 | |||||||||
Premises, software, and equipment, net | 4,498 | 3,903 | 3,562 | |||||||||
Provision for credit losses on mortgage loans | 40 | 11 | 75 | |||||||||
Net realized gain on in-substance maturity of held-to-maturity securities | — | — | (145 | ) | ||||||||
Net realized gain on sale of available-for-sale securities | — | — | (1,750 | ) | ||||||||
Change in net fair value adjustments on derivatives and hedging activities | (6,387 | ) | 6,962 | 7,717 | ||||||||
Net change in: | ||||||||||||
Accrued interest receivable | (156,200 | ) | (28,870 | ) | (61,485 | ) | ||||||
Derivative assets due to accrued interest | 70,134 | (311,266 | ) | (87,358 | ) | |||||||
Derivative liabilities due to accrued interest | (7,538 | ) | 131,530 | 10,883 | ||||||||
Other assets | (18 | ) | (204 | ) | 1,453 | |||||||
Affordable Housing Program liability | 17,155 | 10,894 | 9,424 | |||||||||
Accrued interest payable | (79,345 | ) | 236,897 | 60,574 | ||||||||
REFCORP liability | 6,522 | 3,413 | 4,095 | |||||||||
Other liabilities | (18,483 | ) | 13,681 | 7,802 | ||||||||
Total adjustments | (50,440 | ) | 27,082 | (16,173 | ) | |||||||
Net cash provided by operating activities | 272,665 | 312,277 | 212,876 | |||||||||
Investing activities | ||||||||||||
Net change in: | ||||||||||||
Interest-bearing deposits | (5,105,600 | ) | 3,107,807 | (5,892,237 | ) | |||||||
Federal funds sold | (720,000 | ) | (736,000 | ) | 47,000 | |||||||
Deposits with other FHLBank’s mortgage programs | (10 | ) | 223 | — | ||||||||
Premises, software, and equipment, net | (6,545 | ) | (3,752 | ) | (1,789 | ) | ||||||
Held-to-maturity securities: | ||||||||||||
Purchased | (1,080,245 | ) | (4,000,314 | ) | (707,559 | ) | ||||||
Proceeds | 2,044,987 | 2,310,782 | 3,006,033 | |||||||||
Proceeds from sales | — | — | 9,064 | |||||||||
Available-for-sale securities: | ||||||||||||
Purchased | (13,704 | ) | — | (1,020,179 | ) | |||||||
Proceeds | — | — | 1,593,762 | |||||||||
Proceeds from sales | 144 | — | 141,460 | |||||||||
Advances: | ||||||||||||
Principal collected | 397,682,249 | 580,751,936 | 434,147,848 | |||||||||
Made | (419,285,033 | ) | (578,047,900 | ) | (428,576,529 | ) | ||||||
Mortgage loans held-for-portfolio: | ||||||||||||
Principal collected | 165,262 | 167,003 | 161,069 | |||||||||
Purchased and originated | (175,148 | ) | (184,901 | ) | (450,827 | ) | ||||||
Principal collected on other loans made | 113 | 208 | 191 | |||||||||
Loans to other FHLBanks | ||||||||||||
Loans made | (55,000 | ) | (250,000 | ) | (100,000 | ) | ||||||
Principal collected | — | 250,000 | 100,000 | |||||||||
Net cash (used in) provided by investing activities | (26,548,530 | ) | 3,365,092 | 2,457,307 | ||||||||
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Statements of Cash Flows – (in thousands)
Years Ended December 31, 2007, 2006, and 2005
2007 | 2006 | 2005 | ||||||||||
Financing activities | ||||||||||||
Net change in: | ||||||||||||
Deposits and other borrowings | $ | (766,373 | ) | $ | (272,339 | ) | $ | 244,936 | ||||
Short-term borrowings from other FHLBanks: | ||||||||||||
Proceeds from borrowings | 662,000 | 435,000 | 765,000 | |||||||||
Payments for borrowings | (662,000 | ) | (435,000 | ) | (765,000 | ) | ||||||
Consolidated obligation bonds: | ||||||||||||
Proceeds from issuance | 42,535,228 | 32,546,862 | 23,380,258 | |||||||||
Payments for maturing and early retirement | (38,180,904 | ) | (26,695,917 | ) | (26,641,384 | ) | ||||||
Payments for transfers to other FHLBanks | (490,884 | ) | (779,705 | ) | (229,611 | ) | ||||||
Proceeds from transfers from other FHLBanks | — | — | 5,936 | |||||||||
Consolidated obligation discount notes: | ||||||||||||
Proceeds from issuance | 441,178,795 | 592,280,096 | 671,632,148 | |||||||||
Payments for maturing | (418,707,804 | ) | (600,579,371 | ) | (670,835,956 | ) | ||||||
Capital stock: | ||||||||||||
Proceeds from issuance | 3,253,548 | 3,469,533 | 2,667,345 | |||||||||
Payments for redemption | (2,244,849 | ) | (3,282,884 | ) | (2,623,443 | ) | ||||||
Redemption of Mandatorily redeemable capital stock | (58,335 | ) | (138,988 | ) | (108,495 | ) | ||||||
Cash dividends paid * | (273,498 | ) | (207,920 | ) | (162,179 | ) | ||||||
Net cash provided by (used in) financing activities | 26,244,924 | (3,660,633 | ) | (2,670,445 | ) | |||||||
Net (decrease) increase in cash and cash equivalents | (30,941 | ) | 16,736 | (262 | ) | |||||||
Cash and cash equivalents at beginning of the period | 38,850 | 22,114 | 22,376 | |||||||||
Cash and cash equivalents at end of the period | $ | 7,909 | $ | 38,850 | $ | 22,114 | ||||||
Supplemental disclosures: | ||||||||||||
Interest paid | $ | 3,419,404 | $ | 2,642,907 | $ | 1,944,489 | ||||||
Affordable Housing Program payments ** | $ | 20,050 | $ | 21,137 | $ | 16,455 | ||||||
REFCORP payments | $ | 74,253 | $ | 67,885 | $ | 53,444 |
* | Does not include payments to holders of Mandatorily redeemable capital stock. | |
** | AHP payments = (beginning accrual - ending accrual) + AHP assessment for the year; payments represent funds released to the Affordable Housing Program. |
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Notes to Financial Statements
162
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Notes to Financial Statements
163
Table of Contents
Notes to Financial Statements
164
Table of Contents
Notes to Financial Statements
165
Table of Contents
Notes to Financial Statements
166
Table of Contents
Notes to Financial Statements
167
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Notes to Financial Statements
168
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Notes to Financial Statements
(1) | a hedge of the fair value of a recognized asset or liability or an unrecognized firm commitment (a “fair value” hedge); |
(2) | a hedge of a forecasted transaction or the variability of cash flows that are to be received or paid in connection with a recognized asset or liability (a “cash flow” hedge); |
(3) | a hedge of the foreign currency component of a hedged item in a fair value or cash flow hedge; |
(4) | a non-qualifying hedge of an asset or liability (“economic hedge”) for asset-liability management purposes; or |
(5) | a non-qualifying hedge of another derivative (an “intermediation” hedge) that is offered as a product to members or used to offset other derivatives with non-member counterparties. |
1 | Highly effective hedging relationships that use an interest rate swap as the hedging instrument to hedge a recognized asset or liability and that meet the criteria under paragraph 68 of SFAS 133 to qualify for an assumption of no ineffectiveness. |
169
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Notes to Financial Statements
170
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Notes to Financial Statements
171
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Notes to Financial Statements
• | 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). |
172
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Notes to Financial Statements
173
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Notes to Financial Statements
174
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Notes to Financial Statements
Note 2. | Change in Accounting Principle, and Recently Issued Accounting Standards & Interpretations |
175
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Notes to Financial Statements
176
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Notes to Financial Statements
December 31, 2007 | ||||||||||||||||
Gross | Gross | Estimated | ||||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
State and local housing agency obligations | $ | 576,971 | $ | 9,780 | $ | (200 | ) | $ | 586,551 | |||||||
Mortgage-backed securities | 9,707,783 | 82,670 | (97,191 | ) | 9,693,262 | |||||||||||
Total | $ | 10,284,754 | $ | 92,450 | $ | (97,391 | ) | $ | 10,279,813 | |||||||
December 31, 2006 | ||||||||||||||||
Gross | Gross | Estimated | ||||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
State and local housing agency obligations | $ | 618,810 | $ | 11,141 | $ | (283 | ) | $ | 629,668 | |||||||
Mortgage-backed securities | 10,632,288 | 47,184 | (139,371 | ) | 10,540,101 | |||||||||||
Total | $ | 11,251,098 | $ | 58,325 | $ | (139,654 | ) | $ | 11,169,769 | |||||||
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Notes to Financial Statements
December 31, 2007 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated Fair | Unrealized | Estimated Fair | Unrealized | Estimated Fair | Unrealized | |||||||||||||||||||
Value | Losses | Value | Losses | Value | Losses | |||||||||||||||||||
Mortgage-backed securities-fixed rate | ||||||||||||||||||||||||
AAA-rated | $ | 1,844,399 | $ | 35,652 | $ | 2,484,388 | $ | 55,740 | $ | 4,328,787 | $ | 91,392 | ||||||||||||
AA-rated | — | — | — | — | — | — | ||||||||||||||||||
Below AA | — | — | — | — | — | — | ||||||||||||||||||
Mortgage-backed securities-variable rate | ||||||||||||||||||||||||
AAA-rated | 185,167 | 5,799 | — | — | 185,167 | 5,799 | ||||||||||||||||||
AA-rated | — | — | — | — | — | — | ||||||||||||||||||
Below AA | — | — | — | — | — | — | ||||||||||||||||||
2,029,566 | 41,451 | 2,484,388 | 55,740 | 4,513,954 | 97,191 | |||||||||||||||||||
State and local housing finance agencies-fixed rate | ||||||||||||||||||||||||
AAA-rated | — | — | — | — | — | — | ||||||||||||||||||
AA-rated | — | — | 9,800 | 200 | 9,800 | 200 | ||||||||||||||||||
Below AA | — | — | — | — | — | — | ||||||||||||||||||
State and local housing finance agencies-variable rate | ||||||||||||||||||||||||
AAA-rated | — | — | — | — | — | — | ||||||||||||||||||
AA-rated | — | — | — | — | — | — | ||||||||||||||||||
Below AA | — | — | — | — | — | — | ||||||||||||||||||
— | — | 9,800 | 200 | 9,800 | 200 | |||||||||||||||||||
$ | 2,029,566 | $ | 41,451 | $ | 2,494,188 | $ | 55,940 | $ | 4,523,754 | $ | 97,391 | |||||||||||||
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Notes to Financial Statements
December 31, 2006 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated Fair | Unrealized | Estimated Fair | Unrealized | Estimated Fair | Unrealized | |||||||||||||||||||
Value | Losses | Value | Losses | Value | Losses | |||||||||||||||||||
Mortgage-backed securities-fixed rate | ||||||||||||||||||||||||
AAA-rated | $ | 1,434,317 | $ | 7,082 | $ | 4,528,193 | $ | 132,247 | $ | 5,962,510 | $ | 139,329 | ||||||||||||
AA-rated | — | — | — | — | — | — | ||||||||||||||||||
Below AA | — | — | — | — | — | — | ||||||||||||||||||
Mortgage-backed securities-variable rate | ||||||||||||||||||||||||
AAA-rated | 134,958 | 42 | — | — | 134,958 | 42 | ||||||||||||||||||
AA-rated | — | — | — | — | — | — | ||||||||||||||||||
Below AA | — | — | — | — | — | — | ||||||||||||||||||
1,569,275 | 7,124 | 4,528,193 | 132,247 | 6,097,468 | 139,371 | |||||||||||||||||||
State and local housing finance agencies-fixed rate | ||||||||||||||||||||||||
AAA-rated | — | — | — | — | — | — | ||||||||||||||||||
AA-rated | 15,117 | 283 | — | — | 15,117 | 283 | ||||||||||||||||||
Below AA | — | — | — | — | — | — | ||||||||||||||||||
State and local housing finance agencies-variable rate | ||||||||||||||||||||||||
AAA-rated | — | — | — | — | — | — | ||||||||||||||||||
AA-rated | — | — | — | — | — | — | ||||||||||||||||||
Below AA | — | — | — | — | — | — | ||||||||||||||||||
15,117 | 283 | — | — | 15,117 | 283 | |||||||||||||||||||
$ | 1,584,392 | $ | 7,407 | $ | 4,528,193 | $ | 132,247 | $ | 6,112,585 | $ | 139,654 | |||||||||||||
December 31, 2007 | December 31, 2006 | |||||||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||||||
Cost | Fair Value | Cost | Fair Value | |||||||||||||
State and local housing bonds | ||||||||||||||||
Due in one year or less | $ | — | $ | — | $ | — | $ | — | ||||||||
Due after one year through five years | 32,009 | 32,474 | 24,549 | 25,171 | ||||||||||||
Due after five years through ten years | 20,400 | 20,938 | 17,115 | 17,115 | ||||||||||||
Due after ten years | 524,562 | 533,139 | 577,146 | 587,382 | ||||||||||||
State and local housing finance agency bonds | 576,971 | 586,551 | 618,810 | 629,668 | ||||||||||||
Mortgage-backed securities | ||||||||||||||||
Due in one year or less | 243,309 | 242,471 | 98,897 | 99,338 | ||||||||||||
Due after one year through five years | 546,303 | 555,003 | 1,104,246 | 1,125,038 | ||||||||||||
Due after five years through ten years | 103,792 | 104,563 | 133,511 | 132,966 | ||||||||||||
Due after ten years | 8,814,379 | 8,791,225 | 9,295,634 | 9,182,759 | ||||||||||||
Mortgage-backed securities | 9,707,783 | 9,693,262 | 10,632,288 | 10,540,101 | ||||||||||||
Total securities | $ | 10,284,754 | $ | 10,279,813 | $ | 11,251,098 | $ | 11,169,769 | ||||||||
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Notes to Financial Statements
December 31, | ||||||||
2007 | 2006 | |||||||
Amortized cost of held-to-maturity securities other than mortgage-backed securities | ||||||||
Fixed-rate | $ | 308,180 | $ | 325,845 | ||||
Variable-rate | 268,791 | 292,965 | ||||||
576,971 | 618,810 | |||||||
Amortized cost of held-to-maturity mortgage related securities | ||||||||
Pass-through securities | ||||||||
Fixed-rate | 3,420,037 | 3,805,177 | ||||||
Variable-rate | 188,369 | 249,892 | ||||||
Collateralized mortgage obligations | ||||||||
Fixed-rate | 6,078,767 | 6,552,628 | ||||||
Variable-rate | 20,610 | 24,591 | ||||||
9,707,783 | 10,632,288 | |||||||
Total | $ | 10,284,754 | $ | 11,251,098 | ||||
December 31, 2007 | ||||||||||||||||
Gross | Gross | Estimated | ||||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
Cash equivalents | $ | 791 | $ | — | $ | — | $ | 791 | ||||||||
Equity funds | 8,386 | — | (570 | ) | 7,816 | |||||||||||
Fixed income funds | 4,383 | 197 | — | 4,580 | ||||||||||||
Total | $ | 13,560 | $ | 197 | $ | (570 | ) | $ | 13,187 | |||||||
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Notes to Financial Statements
December 31, | ||||||||||||||||
2007 | 2006 | |||||||||||||||
Weighted 1 | Weighted 1 | |||||||||||||||
Amount | Average Yield | Amount | Average Yield | |||||||||||||
Overdrawn demand deposit accounts | $ | — | 0.00 | % | $ | 498 | 6.05 | % | ||||||||
Due in one year or less | 24,140,285 | 4.72 | 12,273,636 | 4.91 | ||||||||||||
Due after one year through two years | 7,714,912 | 4.87 | 12,450,960 | 4.99 | ||||||||||||
Due after two years through three years | 8,730,643 | 5.13 | 4,108,983 | 5.05 | ||||||||||||
Due after three years through four years | 3,153,113 | 4.89 | 5,744,505 | 5.45 | ||||||||||||
Due after four years through five years | 5,988,142 | 4.76 | 2,591,828 | 4.86 | ||||||||||||
Due after five years through six years | 556,095 | 3.44 | 2,279,706 | 4.18 | ||||||||||||
Thereafter | 30,308,864 | 4.29 | 19,539,154 | 4.22 | ||||||||||||
Total par value | 80,592,054 | 4.62 | % | 58,989,270 | 4.73 | % | ||||||||||
Discount on AHP advances * | (417 | ) | (519 | ) | ||||||||||||
Net premium on advances * | — | 489 | ||||||||||||||
SFAS 133 hedging basis adjustments * | 1,498,030 | 23,154 | ||||||||||||||
Total | $ | 82,089,667 | $ | 59,012,394 | ||||||||||||
* | 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 ($0.4) million, ($0.4) million, and ($0.5) million for the years ended December 31, 2007, 2006 and 2005. All other amortization charged to interest income aggregated ($0.5) million, ($0.6) million, and ($0.7) million for the years ended December 31, 2007, 2006 and 2005. Interest rates on AHP advances ranged from 1.25% to 6.04% in 2007 and 1.25% to 8.29% in 2006. | |
1 | The weighted average yield is the weighted average coupon rates for advances, unadjusted for interest rate swaps. |
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December 31, | ||||||||
2007 | 2006 | |||||||
Overdrawn demand deposit accounts | $ | — | $ | 498 | ||||
Due or putable in one year or less | 48,005,147 | 29,962,181 | ||||||
Due or putable after one year through two years | 16,112,362 | 16,745,798 | ||||||
Due or putable after two years through three years | 7,546,243 | 6,341,532 | ||||||
Due or putable after three years through four years | 2,607,563 | 2,504,205 | ||||||
Due or putable after four years through five years | 4,180,492 | 1,668,578 | ||||||
Due or putable after five years through six years | 121,095 | 442,706 | ||||||
Thereafter | 2,019,152 | 1,323,772 | ||||||
Total par value | 80,592,054 | 58,989,270 | ||||||
Discount on AHP advances | (417 | ) | (519 | ) | ||||
Net premium on advances | — | 489 | ||||||
SFAS 133 hedging basis adjustments | 1,498,030 | 23,154 | ||||||
Total | $ | 82,089,667 | $ | 59,012,394 | ||||
(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, | ||||||||||||||||
2007 | 2006 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of total | Amount | of total | |||||||||||||
Fixed-rate | $ | 60,779,510 | 75.42 | % | $ | 45,737,308 | 77.53 | % | ||||||||
Variable-rate | 18,654,850 | 23.15 | 12,014,268 | 20.37 | ||||||||||||
Variable-rate capped | 1,157,694 | 1.43 | 1,237,694 | 2.10 | ||||||||||||
Total par value | 80,592,054 | 100.00 | % | 58,989,270 | 100.00 | % | ||||||||||
Discount on AHP Advances | (417 | ) | (519 | ) | ||||||||||||
Net premium on advances | — | 489 | ||||||||||||||
SFAS 133 hedging basis adjustments | 1,498,030 | 23,154 | ||||||||||||||
Total | �� | $ | 82,089,667 | $ | 59,012,394 | |||||||||||
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The following provides roll-forward analysis of the Affordable Housing Program (dollars in thousands): |
December 31, | ||||||||||||
2007 | 2006 | 2005 | ||||||||||
Beginning balance | $ | 101,898 | $ | 91,004 | $ | 81,580 | ||||||
Additions from current period’s assessments | 37,204 | 32,031 | 25,878 | |||||||||
Net disbursements for grants and programs | (20,050 | ) | (21,137 | ) | (16,454 | ) | ||||||
Ending balance | $ | 119,052 | $ | 101,898 | $ | 91,004 | ||||||
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December 31, | ||||||||||||||||
2007 | Percentage | 2006 | Percentage | |||||||||||||
Real Estate: | ||||||||||||||||
Fixed medium-term single-family mortgages | $ | 529,839 | 35.61 | % | $ | 575,114 | 38.93 | % | ||||||||
Fixed long-term single-family mortgages | 953,946 | 64.11 | 897,153 | 60.73 | ||||||||||||
Multi-family mortgages | 4,102 | 0.28 | 4,940 | 0.34 | ||||||||||||
Total par value | 1,487,887 | 100.00 | % | 1,477,207 | 100.00 | % | ||||||||||
Unamortized premiums | 11,779 | 13,323 | ||||||||||||||
Unamortized discounts | (6,805 | ) | (6,288 | ) | ||||||||||||
Basis adjustment1 | (600 | ) | (230 | ) | ||||||||||||
Total mortgage loans held-for-portfolio | 1,492,261 | 1,484,012 | ||||||||||||||
Allowance for credit losses | (633 | ) | (593 | ) | ||||||||||||
Total mortgage loans held-for-portfolio after allowance for credit losses | $ | 1,491,628 | $ | 1,483,419 | ||||||||||||
1 | Represents fair value basis of open and closed delivery commitments. |
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Years ended December 31, | ||||||||||||
2007 | 2006 | 2005 | ||||||||||
Beginning balance | $ | 593 | $ | 582 | $ | 507 | ||||||
Charge-offs | — | (18 | ) | — | ||||||||
Recoveries | — | 18 | — | |||||||||
Net charge-offs | — | — | — | |||||||||
Provision for credit losses | 40 | 11 | 75 | |||||||||
Ending balance | $ | 633 | $ | 593 | $ | 582 | ||||||
December 31, | ||||||||
2007 | 2006 | |||||||
Secured by 1-4 family | $ | 384 | $ | 850 | ||||
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187
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December 31, | ||||||||||||||||
2007 | 2006 | |||||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | — | $ | 7,909 | $ | — | $ | 38,850 | ||||||||
Interest-bearing deposits | 87 | 10,696,600 | 77 | 5,591,000 | ||||||||||||
Federal funds sold | — | 4,381,000 | — | 3,661,000 | ||||||||||||
Available-for-sale securities | — | 13,187 | — | — | ||||||||||||
Held-to-maturity securities | — | 10,284,754 | — | 11,251,098 | ||||||||||||
Advances | 82,089,667 | — | 59,012,394 | — | ||||||||||||
Mortgage loans* | — | 1,491,628 | — | 1,483,419 | ||||||||||||
Loans to other FHLBanks | 55,000 | — | — | — | ||||||||||||
Accrued interest receivable | 402,439 | 159,884 | 319,687 | 86,436 | ||||||||||||
Premises, software, and equipment, net | — | 13,154 | — | 11,107 | ||||||||||||
Derivative assets** | — | 70,278 | — | 224,775 | ||||||||||||
Other assets** | — | 17,004 | — | 23,144 | ||||||||||||
Total assets | $ | 82,547,193 | $ | 27,135,398 | $ | 59,332,158 | $ | 22,370,829 | ||||||||
Liabilities and capital | ||||||||||||||||
Deposits | $ | 1,646,835 | $ | — | $ | 2,389,528 | $ | — | ||||||||
Consolidated obligations | — | 101,117,387 | — | 74,234,228 | ||||||||||||
Mandatorily redeemable capital stock | 238,596 | — | 109,950 | — | ||||||||||||
Accrued interest payable | 60 | 655,810 | — | 735,215 | ||||||||||||
Affordable Housing Program*** | 119,052 | — | 101,898 | — | ||||||||||||
Payable to REFCORP | — | 23,998 | — | 17,475 | ||||||||||||
Derivative liabilities** | — | 1,069,742 | — | 107,615 | ||||||||||||
Other liabilities**** | 19,584 | 40,936 | 43,265 | 59,420 | ||||||||||||
Total liabilities | 2,024,127 | 102,907,873 | 2,644,641 | 75,153,953 | ||||||||||||
Capital | 4,750,591 | — | 3,904,393 | — | ||||||||||||
Total liabilities and capital | $ | 6,774,718 | $ | 102,907,873 | $ | 6,549,034 | $ | 75,153,953 | ||||||||
* | Includes insignificant amounts of mortgage loans purchased from members of another FHLBank. | |
** | Includes insignificant amounts that are considered related party. | |
*** | Represents funds not yet disbursed to eligible programs. | |
**** | Related column includes member pass-through reserves at the Federal Reserve Bank. |
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Years ended December 31, | ||||||||||||||||||||||||
2007 | 2006 | 2005 | ||||||||||||||||||||||
Related | Unrelated | Related | Unrelated | Related | Unrelated | |||||||||||||||||||
Interest income | ||||||||||||||||||||||||
Advances | $ | 3,495,312 | $ | — | $ | 3,302,174 | $ | — | $ | 2,174,948 | $ | — | ||||||||||||
Interest-bearing deposits * | — | 411,647 | — | 300,499 | — | 193,668 | ||||||||||||||||||
Federal funds sold | — | 192,845 | — | 145,420 | — | 97,547 | ||||||||||||||||||
Available-for-sales securities | — | — | — | — | — | 19,519 | ||||||||||||||||||
Held-to-maturity securities | — | 596,761 | — | 580,002 | — | 566,009 | ||||||||||||||||||
Mortgage loans ** | — | 78,937 | — | 76,111 | — | 69,312 | ||||||||||||||||||
Loans to other FHLBanks | 2 | — | 37 | — | 9 | — | ||||||||||||||||||
Others | — | 1 | — | 4 | — | 33 | ||||||||||||||||||
Total interest income | $ | 3,495,314 | $ | 1,280,191 | $ | 3,302,211 | $ | 1,102,036 | $ | 2,174,957 | $ | 946,088 | ||||||||||||
Interest expense | ||||||||||||||||||||||||
Consolidated obligations | $ | — | $ | 4,153,094 | $ | — | $ | 3,846,219 | $ | — | $ | 2,660,797 | ||||||||||||
Deposits | 106,777 | — | 81,442 | — | 62,237 | — | ||||||||||||||||||
Mandatorily redeemable capital stock | 11,731 | — | 3,086 | — | 2,747 | — | ||||||||||||||||||
Cash collateral held and other borrowings | 146 | 4,370 | 144 | 3,238 | 67 | 225 | ||||||||||||||||||
Total interest expense | $ | 118,654 | $ | 4,157,464 | $ | 84,672 | $ | 3,849,457 | $ | 65,051 | $ | 2,661,022 | ||||||||||||
Service fees | $ | 3,324 | $ | — | $ | 3,368 | $ | — | $ | 4,666 | $ | — | ||||||||||||
* | Includes deminimis amounts of interest income from MPF service provider. | |
** | Includes deminimis amounts of mortgage interest income from loans purchased from members of another FHLBank. |
December 31, | ||||||||
2007 | 2006 | |||||||
Due in one year or less | $ | 16,900 | $ | 80,000 | ||||
Total term deposits | $ | 16,900 | $ | 80,000 | ||||
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December 31, | ||||||||
2007 | 2006 | |||||||
Percentage of unpledged qualifying assets to consolidated obligations | 108 | % | 110 | % | ||||
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December 31, 2007 | December 31, 2006 | |||||||
Consolidated obligation bonds-amortized cost | $ | 66,066,027 | $ | 62,195,674 | ||||
SFAS 133 fair value basis adjustments | 259,405 | (151,222 | ) | |||||
Fair value basis on terminated hedges | 385 | (1,777 | ) | |||||
Total Consolidated obligation-bonds | $ | 66,325,817 | $ | 62,042,675 | ||||
Discount notes - amortized cost | $ | 34,791,570 | $ | 12,191,553 | ||||
Total Consolidated obligation-discount notes | $ | 34,791,570 | $ | 12,191,553 | ||||
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December 31, | ||||||||||||||||
2007 | 2006 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Average | |||||||||||||||
Maturity | Amount | Rate1 | Amount | Rate1 | ||||||||||||
One year or less | $ | 38,027,475 | 4.69 | % | $ | 25,888,510 | 4.35 | % | ||||||||
Over one year through two years | 11,047,950 | 4.78 | 20,458,280 | 4.69 | ||||||||||||
Over two years through three years | 6,344,300 | 4.85 | 6,007,350 | 4.80 | ||||||||||||
Over three years through four years | 2,309,100 | 4.99 | 3,275,700 | 4.62 | ||||||||||||
Over four years through five years | 2,972,845 | 5.14 | 2,077,900 | 5.00 | ||||||||||||
Over five years through six years | 728,250 | 5.27 | 529,800 | 4.71 | ||||||||||||
Thereafter | 4,626,050 | 5.31 | 3,968,100 | 5.29 | ||||||||||||
Total par value | 66,055,970 | 4.80 | % | 62,205,640 | 4.60 | % | ||||||||||
Bond premiums | 38,586 | 23,334 | ||||||||||||||
Bond discounts | (28,529 | ) | (33,300 | ) | ||||||||||||
SFAS 133 fair value basis adjustments | 259,405 | (151,222 | ) | |||||||||||||
Fair value basis adjustments on terminated hedges | 385 | (1,777 | ) | |||||||||||||
Total carrying value | $ | 66,325,817 | $ | 62,042,675 | ||||||||||||
1 | Weighted average rate represents the weighted average coupons of bonds, unadjusted for swaps. |
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December 31, | ||||||||
2007 | 2006 | |||||||
Year of Maturity or next call date | ||||||||
Due or callable in one year or less | $ | 47,346,975 | $ | 40,152,210 | ||||
Due or callable after one year through two years | 9,924,450 | 14,786,280 | ||||||
Due or callable after two years through three years | 3,551,100 | 1,959,650 | ||||||
Due or callable after three years through four years | 980,100 | 1,608,000 | ||||||
Due or callable after four years through five years | 910,845 | 928,900 | ||||||
Due or callable after five years through six years | 435,250 | 284,800 | ||||||
Thereafter | 2,907,250 | 2,485,800 | ||||||
Total par value | 66,055,970 | 62,205,640 | ||||||
Bond premiums | 38,586 | 23,334 | ||||||
Bond discounts | (28,529 | ) | (33,300 | ) | ||||
SFAS 133 fair value adjustments | 259,405 | (151,222 | ) | |||||
Fair value basis adjustments on terminated hedges | 385 | (1,777 | ) | |||||
Total carrying value | $ | 66,325,817 | $ | 62,042,675 | ||||
December 31, | ||||||||
2007 | 2006 | |||||||
Non-callable/non-putable | $ | 53,777,670 | $ | 41,478,640 | ||||
Callable | 12,278,300 | 20,727,000 | ||||||
Total par value | $ | 66,055,970 | $ | 62,205,640 | ||||
December 31, | ||||||||
2007 | 2006 | |||||||
Fixed-rate, non-callable | $ | 39,642,670 | $ | 37,328,640 | ||||
Fixed-rate, callable | 11,420,300 | 17,039,000 | ||||||
Step Up, non-callable | — | 50,000 | ||||||
Step Up, callable | 843,000 | 3,688,000 | ||||||
Step Down, non-callable | — | — | ||||||
Step Down, callable | 15,000 | — | ||||||
Single-index floating rate | 14,135,000 | 4,100,000 | ||||||
Total par value | 66,055,970 | 62,205,640 | ||||||
Bond premiums | 38,586 | 23,334 | ||||||
Bond discounts | (28,529 | ) | (33,300 | ) | ||||
SFAS 133 fair value basis adjustments | 259,405 | (151,222 | ) | |||||
Fair value basis adjustments on terminated hedges | 385 | (1,777 | ) | |||||
Total carrying value | $ | 66,325,817 | $ | 62,042,675 | ||||
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Weighted | ||||||||||||
Book | Par | Average | ||||||||||
Value | Value | Interest Rate | ||||||||||
December 31, 2007 | $ | 34,791,570 | $ | 34,984,105 | 4.28 | % | ||||||
December 31, 2006 | $ | 12,191,553 | $ | 12,255,625 | 5.10 | % | ||||||
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December 31, | ||||||||
2007 | 2006 | |||||||
Redemption less than one year | $ | 127,010 | $ | 43,184 | ||||
Redemption from one year to less than three years | 94,629 | 29,109 | ||||||
Redemption from three years to less than five years | 15,281 | 30,679 | ||||||
Redemption after five years or greater | 1,676 | 6,978 | ||||||
Total | $ | 238,596 | $ | 109,950 | ||||
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December 31, | ||||||||||||
2007 | 2006 | 2005 | ||||||||||
Beginning balance | $ | 109,950 | $ | 18,087 | $ | 126,581 | ||||||
Capital stock subject to mandatory redemption reclassified from equity | 186,981 | 230,851 | — | |||||||||
Redemption of mandatorily redeemable capital stock* | (58,335 | ) | (138,988 | ) | (108,494 | ) | ||||||
Ending balance | $ | 238,596 | $ | 109,950 | $ | 18,087 | ||||||
Accrued interest payable | $ | 4,921 | $ | 1,825 | $ | 258 | ||||||
* | Redemption includes repayment of excess stock. | |
(The annualized rate accrual is at 8.05%, 6.25% and 5.25% for 2007, 2006 and 2005) |
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• | 5 % of the member’s total outstanding advances plus 5 percent of the FHLBNY’s interest in the aggregate unpaid principal balance of all loans sold by the members to the FHLBNY, or | ||
• | 1% of the member’s total unpaid principal balance of residential mortgage loans (usually as of the most recent year-end), or | ||
• | $500. |
1 | On December 12, 2007 the Finance Board approved amendments to the FHLBNY’s ’s capital plan. The amendments allows the FHLBNY to recalculate the membership stock purchase requirement any time after 30 days subsequent to a merger. The amendments also permit the FHLBNY to use a zero mortgage asset base in performing the calculation, which recognizes the fact that the corporate entity that was once its member no longer exists. As a result of these amendments, the FHLBNY could determine that all of the membership stock formerly held by the member becomes excess stock, which would give the FHLBNY the discretion, but not the obligation, to repurchase that stock prior to the expiration of the five-year notice period. |
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December 31, 2007 | December 31, 2006 | |||||||||||||||
Required* | Actual | Required* | Actual | |||||||||||||
Regulatory capital requirements: | ||||||||||||||||
Risk-based capital1 | $ | 578,653 | $ | 5,024,861 | $ | 611,861 | $ | 4,024,891 | ||||||||
Total capital-to-asset ratio | 4.00 | % | 4.58 | % | 4.00 | % | 4.93 | % | ||||||||
Total capital2 | $ | 4,387,304 | $ | 5,025,494 | $ | 3,268,119 | $ | 4,025,483 | ||||||||
Leverage ratio | 5.00 | % | 6.87 | % | 5.00 | % | 7.39 | % | ||||||||
Leverage capital3 | $ | 5,484,130 | $ | 7,537,925 | $ | 4,085,149 | $ | 6,037,335 |
1. | Actual “Risk-based capital” is capital stock and retained earnings plus mandatorily redeemable capital stock. Section 932.2 of the Finance Board’s regulations also refers to this amount as “Permanent Capital.” | |
2. | Actual “Total capital” is “Risk-based capital” plus allowance for credit losses. | |
3. | Actual Leverage capital is “Risk-based capital” times 1.5 plus allowance for loan losses. | |
* | Required minimum. |
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Accumulated | ||||||||||||||||||||||||
Available- | Cash | Supplemental | Other | Total | ||||||||||||||||||||
for-sale | flow | Retirement | Comprehensive | Net | Comprehensive | |||||||||||||||||||
securities | hedges | Plans | Income (Loss) | Income | Income | |||||||||||||||||||
Balance, December 31, 2004 | $ | 2,240 | $ | 898 | (2,489 | ) | $ | 649 | ||||||||||||||||
Net change | (2,240 | ) | 4,454 | 650 | 2,864 | $ | 230,158 | $ | 233,022 | |||||||||||||||
Balance, December 31, 2005 | — | 5,352 | (1,839 | ) | 3,513 | |||||||||||||||||||
Net change | — | (10,115 | ) | 2,195 | (7,920 | ) | $ | 285,195 | $ | 277,275 | ||||||||||||||
Incremental impact of adopting SFAS 158 | — | — | (6,141 | ) | (6,141 | ) | ||||||||||||||||||
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 | ) | ||||||||||||
December 31, | ||||||||||||
2007 | 2006 | 2005 | ||||||||||
Net income before cumulative effect of change in accounting principal | $ | 323,105 | $ | 285,195 | $ | 229,049 | ||||||
Cumulative effect of change in accounting principle | — | — | 1,109 | |||||||||
Net income available to stockholders | $ | 323,105 | $ | 285,195 | $ | 230,158 | ||||||
Weighted average shares of capital | 39,178 | 37,879 | 36,591 | |||||||||
Less: Mandatorily redeemable capital stock | (1,463 | ) | (509 | ) | (427 | ) | ||||||
Average number of shares of capital used to calculate earnings per share | 37,715 | 37,370 | 36,164 | |||||||||
Earnings per share of capital before cumulative effect of change in accounting principle | $ | 8.57 | $ | 7.63 | $ | 6.33 | ||||||
Cumulative effect of change in accounting principle | — | — | 0.03 | |||||||||
Net earnings per share of capital | $ | 8.57 | $ | 7.63 | $ | 6.36 | ||||||
1 | Basic and diluted earnings per share of capital are the same. The FHLBNY has no dilutive potential common shares or other common stock equivalents. |
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December 31, | ||||||||||||
2007 | 2006 | 2005 | ||||||||||
Defined Benefit Plan | $ | 6,006 | $ | 5,536 | $ | 6,593 | ||||||
Benefit Equalization Plan (Defined Benefits) | 1,908 | 1,260 | 1,975 | |||||||||
Defined Contribution Plan and BEP Thrift | 1,346 | 1,141 | 1,072 | |||||||||
Postretirement Health Benefit Plan | 2,377 | 1,830 | 1,625 | |||||||||
Total retirement plan expenses | $ | 11,637 | $ | 9,767 | $ | 11,265 | ||||||
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December 31, | ||||||||
2007 | 2006 | |||||||
Accumulated benefit obligation | $ | 11,005 | $ | 9,259 | ||||
Effect of future salary increase | 4,026 | 2,321 | ||||||
Projected benefit obligation | 15,031 | 11,580 | ||||||
Unrecognized prior service cost | 666 | 282 | ||||||
Unrecognized net (loss) | (5,396 | ) | (3,123 | ) | ||||
Accrued pension cost | $ | 10,301 | $ | 8,739 | ||||
December 31, | ||||||||
2007 | 2006 | |||||||
Projected benefit obligation at the beginning of the year | $ | 11,580 | $ | 13,386 | ||||
Service | 626 | 388 | ||||||
Interest | 880 | 604 | ||||||
Benefits paid | (346 | ) | (346 | ) | ||||
Actuarial loss/(gain) | 2,786 | (2,234 | ) | |||||
Plan amendments | (495 | ) | — | |||||
Change in discount rate | — | (218 | ) | |||||
Projected benefit obligation at the end of the year | $ | 15,031 | $ | 11,580 | ||||
December 31, | ||||||||
2007 | 2006 | |||||||
Unrecognized (gain)/loss | $ | 5,396 | $ | 3,123 | ||||
Prior services cost | (666 | ) | (282 | ) | ||||
Change in estimate | — | (876 | ) | |||||
Accumulated other comprehensive loss | $ | 4,730 | $ | 1,965 | ||||
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December 31, | ||||||||
2007 | 2006 | |||||||
Fair value of the plan assets at the beginning of the year | $ | — | $ | — | ||||
Employer contributions | 346 | 346 | ||||||
Benefits paid | (346 | ) | (346 | ) | ||||
Fair value of the plan assets at the end of the year | $ | — | $ | — | ||||
Years ended December 31, | ||||||||||||
2007 | 2006 | 2005 | ||||||||||
Service cost | $ | 626 | $ | 388 | $ | 526 | ||||||
Interest cost | 880 | 604 | 676 | |||||||||
Amortization of unrecognized prior service cost | (112 | ) | (50 | ) | (50 | ) | ||||||
Amortization of unrecognized net loss | 514 | 318 | 823 | |||||||||
Net periodic benefit cost | $ | 1,908 | $ | 1,260 | $ | 1,975 | ||||||
December 31, 2007 | ||||
Net loss (gain) | $ | 2,786 | ||
Prior service cost (benefit) | 381 | |||
Amortization of net loss (gain) | (514 | ) | ||
Amortization of prior service cost (benefit) | 112 | |||
Amortization of net obligation | — | |||
Total recognized in other comprehensive income | 2,765 | |||
Total recognized in net periodic benefit cost and other comprehensive income | $ | 4,673 | ||
December 31, 2007 | ||||
Expected amortization of net (gain)/loss | $ | 463 | ||
Expected amortization of prior service cost/(credit) | $ | (143 | ) | |
Expected amortization of transition obligation/(asset) | $ | — |
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2007 | 2006 | 2005 | ||||||||||
Discount rate * | 6.37 | % | 5.65 | % | 5.50 | % | ||||||
Salary increases | 5.50 | % | 5.50 | % | 5.50 | % | ||||||
Amortization period (years) | 8 | 8 | 7 | |||||||||
Benefits paid during the year | $ | (346 | ) | $ | (346 | ) | $ | (341 | ) |
* | The discount rate was based on the Citigroup Pension Liability Index at November 30, 2007, and adjusted by the change in Moody’s Aa corporate bond rate from November 30, 2007 to December 31, 2007. |
Years | Payments | |||
2008 | $ | 416 | ||
2009 | 480 | |||
2010 | 569 | |||
2011 | 772 | |||
2012 | 829 | |||
2013-2017 | 5,490 | |||
Total | $ | 8,556 | ||
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December 31, | ||||||||
2007 | 2006 | |||||||
Accumulated postretirement benefit obligation at the beginning of the year | $ | 14,577 | $ | 10,368 | ||||
Service cost | 727 | 814 | ||||||
Interest cost | 903 | 748 | ||||||
Actuarial loss | 2,574 | 773 | ||||||
Benefits paid, net of participants’ contributions | (381 | ) | (292 | ) | ||||
Change in plan assumptions | (812 | ) | 2,166 | |||||
Change in plan provisions | (4,479 | ) | — | |||||
Accumulated postretirement benefit obligation at the end of the year | 13,109 | 14,577 | ||||||
Unrecognized net gain | — | — | ||||||
Accrued postretirement benefit cost | $ | 13,109 | $ | 14,577 | ||||
December 31, | ||||||||
2007 | 2006 | |||||||
Fair value of plan assets at the beginning of the year | $ | — | $ | — | ||||
Employer contributions | 381 | 292 | ||||||
Benefits paid, net of participants’ contributions and subsidy received | (381 | ) | (292 | ) | ||||
Fair value of plan assets at the end of the year | $ | — | $ | — | ||||
December 31, | ||||||||
2007 | 2006 | |||||||
Prior service cost/(credit) | $ | (4,297 | ) | $ | — | |||
Net loss/(gain) | 4,654 | 3,820 | ||||||
Accrued pension cost | $ | 357 | $ | 3,820 | ||||
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December 31, 2007 | ||||
Expected amortization of net (gain)/loss | $ | 265 | ||
Expected amortization of prior service cost/(credit) | $ | (731 | ) | |
Expected amortization of transition obligation/(asset) | $ | — |
Years ended December 31, | ||||||||||||
2007 | 2006 | 2005 | ||||||||||
Service cost (benefits attributed to service during the period) | $ | 727 | $ | 814 | $ | 505 | ||||||
Interest cost on accumulated postretirement health benefit obligation | 903 | 748 | 546 | |||||||||
Amortization of loss | 319 | 268 | 574 | |||||||||
Additional gain on recognition of plan amendment | 611 | — | — | |||||||||
Amortization of prior service cost/(credit) | (183 | ) | — | — | ||||||||
Net periodic postretirement health benefit cost | $ | 2,377 | $ | 1,830 | $ | 1,625 | ||||||
December 31, 2007 | ||||
Net loss (gain) | $ | 1,763 | ||
Prior service cost (benefit) | (4,479 | ) | ||
Amortization of net loss (gain) | (319 | ) | ||
Amortization of prior service cost (benefit) | (428 | ) | ||
Amortization of net obligation | — | |||
Total recognized in other comprehensive income | (3,463 | ) | ||
Total recognized in net periodic benefit cost and other comprehensive income | $ | (1,086 | ) | |
2007 | 2006 | 2005 | ||||||||||
Weighted average discount rate at the end of the year | 6.37% | 5.65% | 5.50% | |||||||||
Health care cost trend rates: | ||||||||||||
Assumed for next year | 7.00% | 7.00% | 8.00% | |||||||||
Ultimate rate | 4.50% | 4.50% | 4.50% | |||||||||
Year that ultimate rate is reached | 2016 | 2016 | 2010 | |||||||||
Alternative amortization methods used to amortize | ||||||||||||
Prior service cost | Straight - line | Straight - line | Straight - line | |||||||||
Unrecognized net (gain) or loss | Straight - line | Straight - line | Straight - line |
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Years | Payments | |||
2008 | $ | 419 | ||
2009 | 505 | |||
2010 | 598 | |||
2011 | 663 | |||
2012 | 739 | |||
2013-2017 | 4,765 | |||
Total | $ | 7,689 | ||
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December 31, | ||||||||||||||||
2007 | 2006 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Notional | Fair Value | Notional | Fair Value | |||||||||||||
Interest rate swaps | ||||||||||||||||
Fair value | $ | 81,766,313 | $ | (1,243,427 | ) | $ | 76,125,220 | $ | (183,808 | ) | ||||||
Cash flow | 127,500 | (177 | ) | — | — | |||||||||||
Economic | 1,538,100 | 5,454 | 175,000 | (253 | ) | |||||||||||
Interest rate caps/floors | ||||||||||||||||
Economic-fair value changes | 1,157,694 | 2 | 1,237,694 | — | ||||||||||||
Mortgage delivery commitments (MPF) | ||||||||||||||||
Economic-fair value changes | 1,351 | 5 | 9,497 | (35 | ) | |||||||||||
Other | ||||||||||||||||
Intermediation * | 70,000 | 22 | 50,000 | 3 | ||||||||||||
Total | $ | 84,660,958 | $ | (1,238,121 | ) | $ | 77,597,411 | $ | (184,093 | ) | ||||||
Total derivatives, excluding accrued interest | $ | (1,238,121 | ) | $ | (184,093 | ) | ||||||||||
Accrued interest | 238,657 | 301,253 | ||||||||||||||
Net derivative balance | $ | (999,464 | ) | $ | 117,160 | |||||||||||
Net derivative asset balance | $ | 70,278 | $ | 224,775 | ||||||||||||
Net derivative liability balance | (1,069,742 | ) | (107,615 | ) | ||||||||||||
Net derivative balance | $ | (999,464 | ) | $ | 117,160 | |||||||||||
* | Classified as economic. |
Years ended December 31, | ||||||||||||
2007 | 2006 | 2005 | ||||||||||
Earnings impact of derivatives and hedging activities gain (loss): | ||||||||||||
Fair value changes-interest rate swaps | $ | 5,919 | $ | 3,150 | $ | (665 | ) | |||||
Fair value changes-options | (2,611 | ) | (2,101 | ) | (10,481 | ) | ||||||
Net interest accruals-options | 3,630 | 7,862 | 269 | |||||||||
Fair value changes MPF delivery commitments-economic hedges | (171 | ) | 22 | (582 | ) | |||||||
Fair value changes-economic hedges* | 9,695 | 163 | 1,509 | |||||||||
Net interest accruals-economic hedges* | 1,894 | 580 | 484 | |||||||||
Net impact on derivatives and hedging activities | $ | 18,356 | $ | 9,676 | $ | (9,466 | ) | |||||
* | Economic hedges include intermediation and swaps not qualifying for hedge accounting under SFAS 133. |
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December 31, 2007 | ||||||||||||
Carrying | Net Unrealized | Estimated | ||||||||||
Financial Instruments | Value | Gains/Losses | Fair Value | |||||||||
Assets | ||||||||||||
Cash and due from banks | $ | 7,909 | $ | — | $ | 7,909 | ||||||
Interest-bearing deposits | 10,696,687 | 7,091 | 10,703,778 | |||||||||
Federal funds sold | 4,381,000 | 720 | 4,381,720 | |||||||||
Available-for-sale securities | 13,187 | — | 13,187 | |||||||||
Held-to-maturity securities | 10,284,754 | (4,941 | ) | 10,279,813 | ||||||||
Advances | 82,089,667 | 146,865 | 82,236,532 | |||||||||
Loan to other FHLBanks | 55,000 | — | 55,000 | |||||||||
Mortgage loans, net | 1,491,628 | (5,620 | ) | 1,486,008 | ||||||||
Accrued interest receivable | 562,323 | — | 562,323 | |||||||||
Derivative assets | 70,278 | — | 70,278 | |||||||||
Other financial assets | 1,624 | — | 1,624 | |||||||||
Liabilities | ||||||||||||
Deposits | 1,646,835 | 3 | 1,646,838 | |||||||||
Consolidated obligations: | ||||||||||||
Bonds | 66,325,817 | 197,907 | 66,523,724 | |||||||||
Discount notes | 34,791,570 | 6,914 | 34,798,484 | |||||||||
Mandatorily redeemable capital stock | 238,596 | — | 238,596 | |||||||||
Accrued interest payable | 655,870 | — | 655,870 | |||||||||
Derivative liabilities | 1,069,742 | — | 1,069,742 | |||||||||
Other financial liabilities | 28,941 | — | 28,941 |
December 31, 2006 | ||||||||||||
Carrying | Net Unrealized | Estimated | ||||||||||
Financial Instruments | Value | Gains/Losses | Fair Value | |||||||||
Assets | ||||||||||||
Cash and due from banks | $ | 38,850 | $ | — | $ | 38,850 | ||||||
Interest-bearing deposits | 5,591,077 | 62 | 5,591,139 | |||||||||
Federal funds sold | 3,661,000 | 17 | 3,661,017 | |||||||||
Held-to-maturity securities | 11,251,098 | (81,329 | ) | 11,169,769 | ||||||||
Advances | 59,012,394 | (55,450 | ) | 58,956,944 | ||||||||
Mortgage loans, net | 1,483,419 | (24,284 | ) | 1,459,135 | ||||||||
Accrued interest receivable | 406,123 | — | 406,123 | |||||||||
Derivative assets | 224,775 | — | 224,775 | |||||||||
Other financial assets | 2,105 | 6 | 2,111 | |||||||||
Liabilities | ||||||||||||
Deposits | 2,389,528 | 1 | 2,389,529 | |||||||||
Consolidated obligations: | ||||||||||||
Bonds | 62,042,675 | (184,723 | ) | 61,857,952 | ||||||||
Discount notes | 12,191,553 | (1,229 | ) | 12,190,324 | ||||||||
Mandatorily redeemable capital stock | 109,950 | — | 109,950 | |||||||||
Accrued interest payable | 735,215 | — | 735,215 | |||||||||
Derivative liabilities | 107,615 | — | 107,615 | |||||||||
Other financial liabilities | 52,506 | — | 52,506 |
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Payments due or expiration terms by period1 | ||||||||||||||||||||
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 par | $ | 38,027,475 | $ | 17,392,250 | $ | 5,281,945 | $ | 5,354,300 | $ | 66,055,970 | ||||||||||
Mandatorily redeemable capital stock1 | 127,010 | 94,629 | 15,281 | 1,676 | 238,596 | |||||||||||||||
Premise and equipment (rental and lease obligations) | 2,992 | 4,589 | 4,346 | 12,047 | 23,974 | |||||||||||||||
Total contractual obligations | 38,157,477 | 17,491,468 | 5,301,572 | 5,368,023 | 66,318,540 | |||||||||||||||
Other commitments | ||||||||||||||||||||
Standby letters of credit | 408,009 | 4,882 | 20,928 | 8,443 | 442,262 | |||||||||||||||
Unused lines of credit and other conditional commitments | 19,512,009 | — | — | — | 19,512,009 | |||||||||||||||
Consolidated obligation bonds/discount notes traded not settled | 956,937 | — | — | — | 956,937 | |||||||||||||||
Firm commitment-advances | 5,350 | — | — | — | 5,350 | |||||||||||||||
Open delivery commitments (MPF) | 1,351 | — | — | — | 1,351 | |||||||||||||||
Total other commitments | 20,883,656 | 4,882 | 20,928 | 8,443 | 20,917,909 | |||||||||||||||
Total obligations and commitments | $ | 59,041,133 | $ | 17,496,350 | $ | 5,322,500 | $ | 5,376,466 | $ | 87,236,449 | ||||||||||
1 | Mandatorily redeemable capital stock is categorized by the dates at which the corresponding advances outstanding mature. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock under which stock may not be redeemed until the later of five years from the date the member becomes a nonmember or the related advance matures. |
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December 31, 2007 | ||||||||||||||||
Par | Percent of | Interest | ||||||||||||||
City | State | Advances | Total ** | Income | ||||||||||||
Hudson City Savings Bank* | 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 Lfe Insurance Company | New York | NY | 4,555,000 | 5.7 | 81,724 | |||||||||||
Total | $ | 38,898,835 | 48.3 | % | $ | 1,356,755 | ||||||||||
* | Officer of member bank also served on the Board of Directors of the FHLBNY. | |
** | Percentage calculated on par value of advances. |
December 31, 2006 | ||||||||||||||||
Par | Percent of | Interest | ||||||||||||||
City | State | Advances | Total ** | Income | ||||||||||||
Hudson City Savings Bank* | Paramus | NJ | $ | 8,873,000 | 15.0 | % | $ | 289,348 | ||||||||
New York Community Bank* | Westbury | NY | 7,878,877 | 13.4 | 315,626 | |||||||||||
HSBC Bank USA, National Association | New York | NY | 5,009,503 | 8.5 | 260,749 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 3,423,231 | 5.8 | 188,514 | |||||||||||
Astoria Federal Savings and Loan Assn. | Long Island City | NY | 2,480,000 | 4.2 | 114,426 | |||||||||||
Total | $ | 27,664,611 | 46.9 | % | $ | 1,168,663 | ||||||||||
* | Officer of member bank also served on the Board of Directors of the FHLBNY. | |
** | Percentage calculated on par value of advances. |
December 31, 2005 | ||||||||||||||||
Par | Percent of | Interest | ||||||||||||||
City | State | Advances | Total ** | Income | ||||||||||||
New York Community Bank* | Westbury | NY | $ | 6,476,364 | 10.5 | % | $ | 263,161 | ||||||||
HSBC Bank USA, National Association | New York | NY | 5,008,817 | 8.1 | 167,798 | |||||||||||
Hudson City Savings Bank* | Paramus | NJ | 4,300,000 | 7.0 | 139,769 | |||||||||||
North Fork Bank | Mattituck | NY | 4,075,015 | 6.6 | 261,795 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 3,653,730 | 5.9 | 138,552 | |||||||||||
Total | $ | 23,513,926 | 38.1 | % | $ | 971,075 | ||||||||||
* | Officer of member bank also served on the Board of Directors of the FHLBNY. | |
** | Percentage calculated on par value of advances. |
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Number of | Percent of | |||||||||
Name of beneficial owner | Principal Executive Office Address | shares owned | Total Capital Stock | |||||||
Hudson City Savings Bank * | West 80 Century Road, Paramus, NJ 07652 | 6,954 | 15.09 | % | ||||||
New York Community Bank * | 615 Merrick Avenue, Westbury, NY 11590 | 4,115 | 8.93 | |||||||
HSBC Bank USA, National Association | 452 Fifth Avenue, New York, NY 10018 | 3,735 | 8.11 | |||||||
Manufacturers and Traders Trust Company | One M & T Plaza, Buffalo, NY 14203 | 3,653 | 7.93 | |||||||
Metropolitan Life Insurance Company | 200 Park Ave., New York, NY 10166 | 3,390 | 7.36 | |||||||
21,847 | 47.42 | % | ||||||||
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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, 2007. Based on this evaluation, they concluded that as of December 31, 2007, 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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Expiration | Elected to | Appointed | ||||||||
Director | of Term | Represent | by | |||||||
Name | Age | Since | December 31, | Members in | FHFB | |||||
George L. Engelke, Jr. (Past Chair - 2007)a | 69 | 1999 | 2007 | NY | ||||||
David W. Lindstrom (Chair - 2008; Past Vice Chair - 2007) | 68 | 2003 | 2008 | NJ | ||||||
Michael M. Horn (Vice Chair - 2008)b | 68 | 2007 | 2009 | x | ||||||
Anne Evans Estabrookc | 63 | 2004 | 2010 | x | ||||||
Joseph R. Ficalorad | 61 | 2005 | 2010 | NY | ||||||
Carl A. Florioe | 59 | 2006 | 2008 | NY | ||||||
James W. Fulmer | 56 | 2007 | 2009 | NY | ||||||
José Ramon Gonzalez | 53 | 2004 | 2009 | PR & USVI | ||||||
Ronald E. Hermance, Jr.d | 60 | 2005 | 2010 | NJ | ||||||
Katherine J. Liseno | 62 | 2004 | 2009 | NJ | ||||||
Kevin J. Lynchd | 61 | 2005 | 2010 | NJ | ||||||
Joseph J. Meloneb | 76 | 2007 | 2009 | x | ||||||
Richard S. Mrozc | 46 | 2002 | 2010 | x | ||||||
C. Cathleen Raffaelib | 51 | 2007 | 2008 | x | ||||||
Edwin C. Reedb | 54 | 2007 | 2008 | x | ||||||
John M. Scarchillid | 56 | 2006 | 2010 | NY | ||||||
George Strayton | 64 | 2006 | 2008 | NY |
a | Final term ended on December 31, 2007. | |
b | Appointed by the Federal Housing Finance Board to serve on the Board commencing April 12, 2007. | |
c | Reappointed by the Federal Housing Finance Board for a new term commencing January 1, 2008. | |
d | Reelected by the Bank’s membership for a new term commencing January 1, 2008. | |
e | Left office on January 22, 2008 upon termination of employment with Bank member First Niagara Bank; under Finance Board regulations, one must be an officer or director of a member in order to serve as an elected director on the Bank’s Board. |
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Employee of | ||||||||||
Executive officer | Position held | Age | Bank since | |||||||
Alfred A. DelliBovi | President & Chief Executive Officer | 61 | 11/30/92 | |||||||
James A. Gilmore | Senior Vice President & Head of Marketing & Sales | 60 | 02/14/84 | |||||||
Robert R. Hans | Senior Vice President & Head of Technology & Support Services | 58 | 01/03/72 | * | ||||||
Paul B. Héroux | Senior Vice President & Head of Member Services | 49 | 02/27/84 | |||||||
Peter S. Leung | Senior Vice President & Chief Risk Officer | 52 | 01/20/04 | |||||||
Patrick A. Morgan | Senior Vice President & Chief Financial Officer | 67 | 02/16/99 | |||||||
Kevin M. Neylan | Senior Vice President of Strategic & Organizational Performance | 50 | 04/30/01 | |||||||
Craig E. Reynolds | Senior Vice President & Head of Asset Liability Management | 58 | 06/27/94 |
* | Terminated 1/15/75; rehired 9/16/75 |
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Availability/demand for talent — e.g., Recruiting critical positions with high market demand typically requires a recruiting premium to entice an individual to change firms.
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Australia & New Zealand Banking Group ABN AMRO Allied Irish Bank The Bank of Nova Scotia Banco Santander Bank of New York/Mellon Bank of Tokyo — Mitsubishi UFJ Bank of America BMO Financial Group BNP Paribas Brown Brothers Harriman The CIT Group | Cargill CIBC World Markets Citigroup Citizens Bank Commerzbank Commonwealth Bank of Australia DVB Bank DZ Bank Deutsche Bank Dresdner Kleinwort Wasserstein Fifth Third Bank Fortis Financial Services LLC GE Commercial Finance | GMAC HSBC Bank HSBC Corporate, Investment Banking & Markets Hypo Vereinsbank ING Bank JP Morgan Chase KeyCorp Lloyds TSB M&T Bank Corporation Mizuho Corporate Bank, Ltd. National Australia Bank Rabobank Nederland | Royal Bank of Canada Royal Bank of Scotland/Greenwich Capital Societe Generale Standard Chartered Bank Sumitomo Mitsui Banking Corporation SunTrust Banks TD Securities Wachovia Corporation Wells Fargo Bank WestLB Westpac Banking Corporation |
• | 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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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; and | ||
4. | review and approve annually the Bank’s Incentive Compensation Plan (“Plan”), year-end Plan results and Plan award payouts. |
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• | Availability/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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PLAN CHANGES AS OF | ||||
07/01/2008 AFFECTING | ||||
CURRENT PLAN AND | ONLY NON- | |||
DEFINED BENEFIT PLAN | GRANDFATHERED | 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 Current Plan Vesting or New Plan Vesting applied to employees participating in the DB Plan prior to July 1, 2008. |
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Completed | ||||
Years of | Percentage of Premium Paid | |||
Service | 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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Current Provisions | New Provisions for Non-Grandfathered Retirees | |||
Plan Type | Defined Benefit | Defined Dollar Plan | ||
Underlying Medical Plan Formula | Current Active Plan for Pre-Age 65 Coverage | $45/month x Service > Age 45 for Pre-Age 65 Benefits per covered individual (3% COLA) | ||
Supplement Medicare for Post-Age 65 Coverage | $25/month x Service > Age 45 for Post- Age 65 Benefits per covered individual (3% COLA) | |||
Employer | $0 for Pre-62 | |||
Cost Share Examples | 0% for Pre-62 | Pre-65/Post-65 | ||
10 Yrs>45 | 50% for Post-62 | $5400/$3000 | ||
15 Yrs>45 | 62.5% for Post-62 | $8100/$4500 | ||
20 Yrs>45 | 75% for Post-62 | $10800/$6000 |
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Chairman
David W. Lindstrom
Katherine J. Liseno
Kevin J. Lynch
Richard S. Mroz
C. Cathleen Raffaeli
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Change in | ||||||||||||||||||||||||||||||||||||
Pension Value | ||||||||||||||||||||||||||||||||||||
Non-Equity | and Nonqualified | All Other | ||||||||||||||||||||||||||||||||||
Incentive | Deferred | Compensation | ||||||||||||||||||||||||||||||||||
Name and Principal | Stock | Option | Plan | Compensation | (3,4,5,6,7) | |||||||||||||||||||||||||||||||
Position | Year | Salary | Bonus | Awards | Awards | Compensation | (1,2) (a,b) | (c,d,e,f,g,h,i) | Total | |||||||||||||||||||||||||||
Alfred A. DelliBovi | 2007 | $ | 583,539 | — | — | — | $ | 421,964 | $ | 479,000 | $ | 75,855 | $ | 1,560,358 | ||||||||||||||||||||||
President & Chief Executive Officer (PEO) | 2006 | $ | 560,018 | — | — | — | $ | 349,364 | $ | 294,000 | $ | 73,047 | $ | 1,276,429 | ||||||||||||||||||||||
Peter S. Leung | 2007 | $ | 387,623 | — | — | — | $ | 204,407 | $ | 499,000 | $ | 46,917 | $ | 1,137,947 | ||||||||||||||||||||||
Senior Vice President, | 2006 | $ | 371,999 | — | — | — | $ | 176,842 | $ | 47,000 | $ | 34,332 | $ | 630,173 | ||||||||||||||||||||||
Chief Risk Officer | ||||||||||||||||||||||||||||||||||||
Paul B. Héroux | 2007 | $ | 275,616 | — | — | — | $ | 145,342 | $ | 171,000 | $ | 43,425 | $ | 635,383 | ||||||||||||||||||||||
Senior Vice President, | 2006 | $ | 264,507 | — | — | — | $ | 125,742 | $ | 98,000 | $ | 37,880 | $ | 526,129 | ||||||||||||||||||||||
Head of Member Services | ||||||||||||||||||||||||||||||||||||
Patrick A. Morgan | 2007 | $ | 292,259 | — | — | — | $ | 154,118 | $ | 279,000 | $ | 31,184 | $ | 756,561 | ||||||||||||||||||||||
Senior Vice President, | 2006 | $ | 280,479 | — | — | — | $ | 133,335 | $ | 211,000 | $ | 28,793 | $ | 653,607 | ||||||||||||||||||||||
Chief Financial Officer (PFO) | ||||||||||||||||||||||||||||||||||||
Craig E. Reynolds | 2007 | $ | 270,443 | — | — | — | $ | 142,614 | $ | 183,000 | $ | 42,877 | $ | 638,934 | ||||||||||||||||||||||
Senior Vice President, | 2006 | $ | 259,542 | — | — | — | $ | 123,382 | $ | 100,000 | $ | 42,433 | $ | 525,357 | ||||||||||||||||||||||
Head of Asset Liability |
a | 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. Reynolds — $93,000 | |
b | 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 C. Reynolds — $90,000 | |
c | 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. | |
d | For A. DelliBovi, P. Leung, P. Héroux, and C. Reynolds, 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, for P. Héroux $4,732, and for C. Reynolds $8,981). | |
e | For A. DelliBovi, P. Leung, P. Morgan, and C. Reynolds, includes this item paid by the Bank for all participating employees: payment of vision insurance premium. | |
f | For A. DelliBovi, includes value of leased automobile ($11,856). |
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g | For P. Héroux, includes payment of this item paid by the Bank for all eligible officers: officer physical examination. | |
h | For A. DelliBovi, P. Héroux and C. Reynolds, includes this item paid by the Bank for all eligible officers: payment of term life insurance premium. | |
i | For P. Héroux, includes payment of this item paid by the Bank for all eligible employees: fitness center membership reimbursement. |
1 | Change in Pension Value for the Pentegra Defined Benefit Plan for Financial Institutions: P. Morgan — $78,000 P. Leung — $47,000 P. Héroux — $59,000 C. Reynolds — $82,000 | |
2 | Change in Pension Value for the Nonqualified Defined Benefit Portion of the Benefit Equalization Plan: P. Morgan — $133,000 P. Leung — not eligible to participate in the Nonqualified Benefit Portion of the Benefit Equalization Plan as of 12/31/06. P. Héroux — $39,000 C. Reynolds — $18,000 | |
3 | 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. | |
4 | For A. DelliBovi, P. Héroux and C. Reynolds, 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 $19,600, for P. Héroux $3,894 and for C. Reynolds $8,637), and payment of term life insurance premium. | |
5 | For A. DelliBovi, P. Leung, P. Morgan and C. Reynolds, includes this item paid by the Bank for all participating employees: payment of vision insurance premium. | |
6 | For A. DelliBovi, includes value of leased automobile ($12,432). | |
7 | For C. Reynolds, includes payment of this item paid by the Bank for all eligible officers: officer physical examination. |
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Grants of Plan-Based Awards for Fiscal Year 2007 | ||||||||||||||||||||||||||||||||||||||||||||||||
All Other | All Other | Exercise | Grant | |||||||||||||||||||||||||||||||||||||||||||||
Stock | Option | or | Date | |||||||||||||||||||||||||||||||||||||||||||||
Awards: | Awards: | Base | Fair Value | |||||||||||||||||||||||||||||||||||||||||||||
Estimated Future Payouts | Estimated Future Payouts | Number of | Number of | Price of | of Stock | |||||||||||||||||||||||||||||||||||||||||||
Under Non-Equity Incentive | Under Equity Incentive | Shares of | Securities | Option | and Option | |||||||||||||||||||||||||||||||||||||||||||
Grant | Plan Awards (2) | Plan Awards | Stock | Underlying | Awards | Awards | ||||||||||||||||||||||||||||||||||||||||||
Name | Date (1) (a) | Threshold | Target | Maximum | Threshold | Target | Maximum | or Units | Options | ($/Sh) | ($/Sh) | |||||||||||||||||||||||||||||||||||||
Alfred A. DelliBovi | 01/18/07 | $ | 128,379 | $ | 233,416 | $ | 443,490 | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||
Peter S. Leung | 01/18/07 | $ | 63,958 | $ | 116,287 | $ | 220,945 | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||
Paul B. Héroux | 01/18/07 | $ | 45,476 | $ | 82,684 | $ | 157,101 | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||
Patrick A. Morgan | 01/18/07 | $ | 48,223 | $ | 87,678 | $ | 166,588 | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||
Craig E. Reynolds | 01/18/07 | $ | 44,623 | $ | 81,133 | $ | 154,152 | — | — | — | — | — | — | — |
1 | On this date, the Board of Directors’ Compensation and Human Resources Committee approved the 2007 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. |
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2007 | 2008 | |||||||
Alfred A. DelliBovi | $ | 583,539 | $ | 615,634 | ||||
Patrick A. Morgan | 292,259 | 305,411 | ||||||
Peter S. Leung | 387,623 | 405,066 | ||||||
Paul B. Héroux | 275,616 | 288,019 | ||||||
Craig E. Reynolds | 270,443 | 282,613 |
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AND OPTION EXERCISES AND STOCK VESTED
Pension Benefits for Fiscal Year 2007 | ||||||||||||||
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 | 14.75 | $ | 781,000 | — | |||||||||
Nonqualified Defined Benefit Portion of the Benefit Equalization Plan | 14.75 | $ | 2,307,000 | — | ||||||||||
Peter S. Leung | Pentegra Defined Benefit Plan for Financial Institutions Qualified Plan | 10.50 | $ | 312,000 | — | |||||||||
Nonqualified Defined Benefit Portion of the Benefit Equalization Plan (3) | 10.50 | $ | 448,000 | (4) | — | |||||||||
Paul B. Héroux | Pentegra Defined Benefit Plan for Financial Institutions Qualified Plan | 23.50 | $ | 484,000 | — | |||||||||
Nonqualified Defined Benefit Portion of the Benefit Equalization Plan | 23.50 | $ | 395,000 | — | ||||||||||
Patrick A. Morgan | Pentegra Defined Benefit Plan for Financial Institutions Qualified Plan | 8.50 | $ | 556,000 | — | |||||||||
Nonqualified Defined Benefit Portion of the Benefit Equalization Plan | 8.50 | $ | 418,000 | — | ||||||||||
Craig E. Reynolds | Pentegra Defined Benefit Plan for Financial Institutions Qualified Plan | 13.17 | $ | 557,000 | — | |||||||||
Nonqualified Defined Benefit Portion of the Benefit Equalization Plan | 13.17 | $ | 391,000 | — |
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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 12/31/2007. | |
3 | Mr. Leung’s 10.5 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 3.9 years of credited service working for the Federal Home Loan Bank of New York. | |
4 | Mr. Leung was not eligible to participate in 2006, however, once he became eligible to participate all of his previous years of service with Office of Thrift Supervision, Federal Home Loan Bank of Dallas and Federal Home Loan Bank of New York are included in the benefit calculation. |
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Nonqualified Deferred Compensation for Fiscal Year 2007 | ||||||||||||||||||||
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 | $ | 37,809 | $ | 22,839 | $ | 50,158 | — | $ | 1,164,139 | |||||||||||
Patrick A. Morgan [3] | — | — | — | — | — | |||||||||||||||
Paul B. Héroux | $ | 6,532 | $ | 4,732 | $ | (964 | ) | — | $ | 156,114 | ||||||||||
Peter S. Leung | $ | 53,091 | $ | 15,994 | $ | (2,098 | ) | — | $ | 66,987 | ||||||||||
Craig E. Reynolds | $ | 30,844 | $ | 8,981 | $ | 19,014 | — | $ | 425,227 |
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 deferred compensation Benefit Equalization Plan (BEP). | |
2 | These totals are also included in the “All Other Compensation” column of the Summary Compensation Table. | |
3 | Patrick Morgan had not met the eligibility requirements to participate in this benefit as of 12/31/07. |
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Number of Weeks Used to | 2007 Annual | |||||||||||
Calculate Severance Amount | Base Salary | Severance Amount | ||||||||||
Alfred A. DelliBovi | 36 | $ | 583,539 | $ | 403,989 | |||||||
Peter S. Leung | 14 | $ | 387,623 | $ | 104,360 | |||||||
Patrick A. Morgan | 34 | $ | 292,259 | $ | 191,092 | |||||||
Paul B. Heroux | 36 | $ | 275,616 | $ | 190,811 | |||||||
Craig E. Reynolds | 36 | $ | 270,443 | $ | 187,230 |
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Type of Meeting | Position | Meeting Fees | ||
Board | Chairman | $3,800 | ||
Board | Vice Chairman | $3,000 | ||
Board | Director | $2,300 |
Position | Annual Limit | |
Chairman | $29,944 | |
Vice Chairman | $23,955 | |
Director | $17,967 |
Type of Meeting | Position | Meeting Fees | ||
Board | Chairman | $3,904 | ||
Board | Vice Chairman | $3,124 | ||
Board | Director | $2,343 |
Position | Annual Limit | |
Chairman | $31,232 | |
Vice Chairman | $24,986 | |
Director | $18,739 |
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Change in Pension | ||||||||||||||||||||||||||||
Value and | ||||||||||||||||||||||||||||
Fees | Non-Equity | Nonqualified | All | |||||||||||||||||||||||||
Earned or | Stock | Option | Incentive Plan | Deferred Compensation | Other | |||||||||||||||||||||||
Name | Paid in Cash | Awards | Awards | Compensation | Earnings | Compensation | Total | |||||||||||||||||||||
George L. Engelke, Jr. | $ | 29,944 | — | — | — | — | — | $ | 29,944 | |||||||||||||||||||
David W. Lindstrom | 23,955 | — | — | — | — | — | 23,955 | |||||||||||||||||||||
Anne E. Estabrook | 17,967 | — | — | — | — | — | 17,967 | |||||||||||||||||||||
Joseph R. Ficalora | 17,967 | — | — | — | — | — | 17,967 | |||||||||||||||||||||
Carl A. Florio | 17,967 | — | — | — | — | — | 17,967 | |||||||||||||||||||||
James W. Fulmer | 17,967 | — | — | — | — | — | 17,967 | |||||||||||||||||||||
José R. González | 17,967 | — | — | — | — | — | 17,967 | |||||||||||||||||||||
Ronald E. Hermance, Jr. | 17,967 | — | — | — | — | — | 17,967 | |||||||||||||||||||||
Michael M. Horn | 17,967 | — | — | — | — | — | 17,967 | |||||||||||||||||||||
Katherine J. Liseno | 17,967 | — | — | — | — | — | 17,967 | |||||||||||||||||||||
Kevin J. Lynch | 17,967 | — | — | — | — | — | 17,967 | |||||||||||||||||||||
Joseph J. Melone | 16,100 | — | — | — | — | — | 16,100 | |||||||||||||||||||||
Richard S. Mroz | 17,967 | — | — | — | — | — | 17,967 | |||||||||||||||||||||
C. Cathleen Raffaeli | 17,967 | — | — | — | — | — | 17,967 | |||||||||||||||||||||
Edwin C. Reed | 17,967 | — | — | — | — | — | 17,967 | |||||||||||||||||||||
John M. Scarchilli | 17,967 | — | — | — | — | — | 17,967 | |||||||||||||||||||||
George Strayton | 17,967 | — | — | — | — | — | 17,967 | |||||||||||||||||||||
$ | 321,537 | $ | 321,537 | |||||||||||||||||||||||||
• | Meetings of the Board and Board Committees | |
• | Meetings requested by the Federal Housing Finance Board | |
• | 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 |
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Directors’ Expenses | ||||
Reimbursed | ||||
Name | (Paid in Cash) | |||
George L. Engelke, Jr. | $ | 8,126 | ||
David W. Lindstrom | 8,624 | |||
Anne E. Estabrook | 2,180 | |||
Joseph R. Ficalora | — | |||
Carl A. Florio | 3,614 | |||
James W. Fulmer | 4,147 | |||
José R. González | 14,989 | |||
Ronald E. Hermance, Jr. | — | |||
Michael M. Horn | 1,826 | |||
Katherine J. Liseno | 1,372 | |||
Kevin J. Lynch | 2,267 | |||
Joseph J. Melone | 640 | |||
Richard S. Mroz | 5,019 | |||
C. Cathleen Raffaeli | — | |||
Edwin C. Reed | 2,210 | |||
John M. Scarchilli | 1,909 | |||
George Strayton | 1,041 | |||
$ | 57,964 | |||
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ITEM 12. | SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED |
Number | Percent | |||||||||
February 28, 2008 | of shares | of total | ||||||||
Name of beneficial owner | Principal Executive Office Address | owned | capital stock | |||||||
Hudson City Savings Bank * | West 80 Century Road, Paramus, NJ 07652 | 7,354 | 16.36 | % | ||||||
New York Community Bank * | 615 Merrick Avenue, Westbury, NY 11590 | 4,092 | 9.11 | |||||||
Metropolitan Life Insurance Company | 200 Park Ave., New York, NY 10166 | 3,548 | 7.89 | |||||||
Manufacturers and Traders Trust Company | One M & T Plaza, Buffalo, NY 14203 | 3,429 | 7.63 | |||||||
HSBC Bank USA, National Association | 452 Fifth Avenue, New York, NY 10018 | 3,060 | 6.81 | |||||||
21,483 | 47.80 | % | ||||||||
Number | Percent | |||||||||
December 31, 2007 | 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 | 6,954 | 15.09 | % | ||||||
New York Community Bank * | 615 Merrick Avenue, Westbury, NY 11590 | 4,115 | 8.93 | |||||||
HSBC Bank USA, National Association | 452 Fifth Avenue, New York, NY 10018 | 3,735 | 8.11 | |||||||
Manufacturers and Traders Trust Company | One M & T Plaza, Buffalo, NY 14203 | 3,653 | 7.93 | |||||||
Metropolitan Life Insurance Company | 200 Park Ave., New York, NY 10166 | 3,390 | 7.36 | |||||||
21,847 | 47.42 | % | ||||||||
Number | Percent | |||||||||||||
of shares | of total | |||||||||||||
Name | Director | City | State | owned | capital stock | |||||||||
Hudson City Savings Bank | Ronald E. Hermance, Jr. | Paramus | New Jersey | 6,954 | 15.09 | % | ||||||||
New York Community Bank | Joseph R. Ficalora | Westbury | New York | 4,115 | 8.93 | |||||||||
Astoria Federal Savings and Loan Assn. | George L. Engelke, Jr. | Lake Success | New York | 2,015 | 4.37 | |||||||||
Banco Santander Puerto Rico | José R. González | San Juan | Puerto Rico | 646 | 1.40 | |||||||||
First Niagara Bank | Carl A. Florio | Lockport | New York | 522 | 1.13 | |||||||||
Provident Bank | George Strayton | Montebello | New York | 339 | 0.74 | |||||||||
Oritani Savings Bank | Kevin J. Lynch | Washington | New Jersey | 155 | 0.34 | |||||||||
The Bank of Castile | James W. Fulmer | Castile | New York | 31 | 0.07 | |||||||||
Metuchen Savings Bank | Katherine J. Liseno | Metuchen | New Jersey | 26 | 0.06 | |||||||||
Franklin Bank | David W. Lindstrom | Woodstown | New Jersey | 18 | 0.04 | |||||||||
Pioneer Savings Bank | John M. Scarchilli | Troy | New York | 15 | 0.03 | |||||||||
14,836 | 32.20 | % | ||||||||||||
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ITEM 13. | CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE |
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ITEM 14. | PRINCIPAL ACCOUNTING FEES AND SERVICES |
2007 | 2006 | 2005 | ||||||||||
Audit Fees | $ | 1,163 | $ | 1,342 | $ | 1,057 | ||||||
Audit-related Fees | 33 | 60 | 174 | |||||||||
Tax Fees | — | — | 29 | |||||||||
All Other Fees | 18 | 4 | 9 | |||||||||
$ | 1,214 | $ | 1,406 | $ | 1,269 | |||||||
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ITEM 15. | EXHIBITS AND FINANCIAL STATEMENT SCHEDULES |
(a) | 1. | Financial Statements | |
The financial statements included as part of this Form 10-K are identified in the index to the Financial Statements appearing in Item 8 of this Form 10-K, which index is incorporated in this Item 15 by reference. | |||
2. | Financial Statement Schedules | ||
Financial statement schedules have been omitted because they are not applicable or the required information is shown in the financial statements or notes, under Item 8, “Financial Statement and Supplementary Data.” | |||
3. | Exhibits |
Filed with | ||||||||||||||||||||
No. | Exhibit Description | this Form 10-K | Form | File No. | Date Filed | |||||||||||||||
3.01 | Restated Organization Certificate of the Federal Home Loan Bank of New York (“Bank”) | 8-K | 000-51397 | 12/1/2005 | ||||||||||||||||
3.02 | Bylaws of the Bank | 8-K | 000-51397 | 1/29/2007 | ||||||||||||||||
4.01 | Amended and Restated Capital Plan of the Bank | X | ||||||||||||||||||
10.01 | Bank 2006 Incentive Compensation Plan*a | 10-Q | 000-51397 | 5/15/2006 | ||||||||||||||||
10.02 | Bank 2007 Incentive Compensation Plan*a | 10-Q | 000-51397 | 5/11/2007 | ||||||||||||||||
10.03 | 2006 Director Compensation Policya | 10-Q | 000-51397 | 5/15/2006 | ||||||||||||||||
10.04 | 2007 Director Compensation Policya | X | ||||||||||||||||||
10.05 | The Comprehensive Retirement Programa | X | ||||||||||||||||||
10.06 | Bank Benefit Equalization Plana | X | ||||||||||||||||||
10.07 | Nonqualified Profit Sharing Plana | X | ||||||||||||||||||
10.08 | Bank Severance Pay Plana | X | ||||||||||||||||||
10.09 | Compensatory Arrangements for Named Executive Officersa | X | ||||||||||||||||||
10.10 | Federal Home Loan Banks P&I Funding and Contingency Plan Agreement | 8-K | 000-51397 | 6/27/2006 | ||||||||||||||||
12.01 | Computation of Ratio of Earnings to Fixed Charges | X | ||||||||||||||||||
31.01 | Certification of the Registrant’s Chief Executive Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||||||||||
31.02 | Certification of the Registrant’s Chief Financial Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||||||||||
32.01 | Certification of Registrant’s Chief Executive Officer, as required by Section 906 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||||||||||
32.02 | Certification of Registrant’s Chief Financial Officer, as required by Section 906 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||||||||||
99.01 | Audit Committee Report | X | ||||||||||||||||||
99.02 | Audit Committee Charter | X |
Notes: | ||
* | Confidential treatment has been requested with respect to portions of this exhibit. | |
a | This exhibit includes a management contract, compensatory plan or arrangement required to be noted herein. |
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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 28, 2008 | ||
(Principal Executive Officer) | ||||
/s/ Patrick A. Morgan | Senior Vice President and Chief | March 28, 2008 | ||
Financial Officer | ||||
(Principal Financial Officer) | ||||
/s/ Backer Ali | Vice President and Controller | March 28, 2008 | ||
(Principal Accounting Officer) | ||||
/s/ David W. Lindstrom | Chairman of the Board of Directors | March 28, 2008 | ||
/s/ Michael M. Horn | Vice Chairman of the Board of Directors | March 28, 2008 | ||
/s/ Anne Evans Estabrook | Director | March 28, 2008 | ||
/s/ Joseph R. Ficalora | Director | March 28, 2008 | ||
/s/ James W. Fulmer | Director | March 28, 2008 | ||
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Signature | Title | Date | ||
/s/ José Ramon González | Director | March 28, 2008 | ||
/s/ Ronald E. Hermance, Jr. | Director | March 28, 2008 | ||
/s/ Katherine J. Liseno | Director | March 28, 2008 | ||
/s/ Kevin J. Lynch | Director | March 28, 2008 | ||
/s/ Joseph J. Melone | Director | March 28, 2008 | ||
/s/ Richard S. Mroz | Director | March 28, 2008 | ||
/s/ C. Cathleen Raffaeli | Director | March 28, 2008 | ||
/s/ Edwin C. Reed | Director | March 28, 2008 | ||
/s/ John M. Scarchilli | Director | March 28, 2008 | ||
/s/ George Strayton | Director | March 28, 2008 | ||
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Filed with | ||||||||||||||||||||
No. | Exhibit Description | this Form 10-K | Form | File No. | Date Filed | |||||||||||||||
3.01 | Restated Organization Certificate of the Federal Home Loan Bank of New York (“Bank”) | 8-K | 000-51397 | 12/1/2005 | ||||||||||||||||
3.02 | Bylaws of the Bank | 8-K | 000-51397 | 1/29/2007 | ||||||||||||||||
4.01 | Amended and Restated Capital Plan of the Bank | X | ||||||||||||||||||
10.01 | Bank 2006 Incentive Compensation Plan*a | 10-Q | 000-51397 | 5/15/2006 | ||||||||||||||||
10.02 | Bank 2007 Incentive Compensation Plan*a | 10-Q | 000-51397 | 5/11/2007 | ||||||||||||||||
10.03 | 2006 Director Compensation Policya | 10-Q | 000-51397 | 5/15/2006 | ||||||||||||||||
10.04 | 2007 Director Compensation Policya | X | ||||||||||||||||||
10.05 | The Comprehensive Retirement Programa | X | ||||||||||||||||||
10.06 | Bank Benefit Equalization Plana | X | ||||||||||||||||||
10.07 | Nonqualified Profit Sharing Plana | X | ||||||||||||||||||
10.08 | Bank Severance Pay Plana | X | ||||||||||||||||||
10.09 | Compensatory Arrangements for Named Executive Officersa | X | ||||||||||||||||||
10.10 | Federal Home Loan Banks P&I Funding and Contingency Plan Agreement | 8-K | 000-51397 | 6/27/2006 | ||||||||||||||||
12.01 | Computation of Ratio of Earnings to Fixed Charges | X | ||||||||||||||||||
31.01 | Certification of the Registrant’s Chief Executive Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||||||||||
31.02 | Certification of the Registrant’s Chief Financial Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||||||||||
32.01 | Certification of Registrant’s Chief Executive Officer, as required by Section 906 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||||||||||
32.02 | Certification of Registrant’s Chief Financial Officer, as required by Section 906 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||||||||||
99.01 | Audit Committee Report | X | ||||||||||||||||||
99.02 | Audit Committee Charter | X |
Notes: | ||
* | Confidential treatment has been requested with respect to portions of this exhibit. | |
a | This exhibit includes a management contract, compensatory plan or arrangement required to be noted herein. |