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SECURITIES AND EXCHANGE COMMISSION
þ | ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Federal (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)
Large accelerated filero | Accelerated filero | Non-accelerated filerþ (Do not check if a smaller reporting company) | Smaller reporting companyo |
2008 Annual Report on Form 10-K
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Exhibit 10.07 | ||||||||
Exhibit 10.08 | ||||||||
Exhibit 10.09 | ||||||||
Exhibit 10.10 | ||||||||
Exhibit 10.11 | ||||||||
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, 2008 | 151 | 115 | 40 | 5 | 311 | |||||||||||||||
December 31, 2007 | 139 | 116 | 35 | 1 | 291 |
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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. |
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• | 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). |
• | 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 Xtra | N/A | N/A | N/A | N/A | 25 basis points/year | |||||
MPF Plus | Sized to equal expected losses | 0-20 bps after FLA and SMI to “AA” | 6 to 7 basis points/year fixed plus 6 to 7 basis points/year performance based (delayed for 1 year); all fees paid monthly | Yes | 25 basis points/year | |||||
MPF Government | N/A | N/A (Unreimbursed Servicing Expenses) | N/A | N/A | 44 basis points/year plus 2 basis points/year3 |
1 | MPF Program Master Commitments participated in or held by the Bank as of December 31, 2008. | |
2 | Future payouts of performance-based credit enhancement fees are reduced when losses are allocated to the FLA. | |
3 | For Government Loan Master Commitments issued after February 1, 2007, only the customary 0.44% (44 basis points) per annum servicing fee is paid based on the outstanding aggregate principal balance of the MPF Government Loans. |
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• | each pays its respective pro rata share of each MPF Loan acquired under a Delivery Commitment and related Master Commitment based upon the participation percentage in effect at the time; |
• | each receives its respective pro rata share of principal and interest payments and is responsible for credit enhancement fees based upon its participation percentage for each MPF Loan under the related Delivery Commitment; |
• | each is responsible for its respective pro rata share of First Loss Account (“FLA”) exposure and losses incurred with respect to the Master Commitment based upon the overall risk sharing percentage for the Master Commitment; and |
• | each may economically hedge its share of the Delivery Commitments as they are issued during the open period. |
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• | First,to the MPF Bank, up to an agreed upon amount, called a First Loss Account. |
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• | Second,to the PFI under its credit enhancement obligation, losses for each Master Commitment in excess of the FLA, if any, up to the CE Amount. The CE Amount may consist of a direct liability of the PFI to pay credit losses up to a specified amount, a contractual obligation of the PFI to provide SMI or a combination of both. For a description of the CE Amount calculation see “Setting Credit Enhancement Levels,” below. |
• | Third,any remaining unallocated losses are absorbed by the MPF Bank. |
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• | Instruments such as common stock that represent ownership in an entity. Exceptions include stock in small business investment companies and certain investments targeted at low-income persons or communities; |
• | Instruments issued by non-U.S. entities, other than those issued by U.S. branches and agency offices of foreign commercial banks; and |
• | Non-investment-grade debt instruments. Exceptions include certain investments targeted at low-income persons or communities and instruments that were downgraded after purchase. |
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• | Interest-only or principal-only stripped mortgage-backed securities; |
• | Residual-interest or interest-accrual classes of collateralized mortgage obligations (CMOs) and real estate mortgage investment conduits (REMICs); |
• | Fixed-rate or floating-rate mortgage-backed securities that, on the trade date are at rates equal to their contractual caps and whose average lives vary by more than six years under an assumed instantaneous interest rate change of 300 basis points; and |
• | Non-U.S. dollar denominated securities. |
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• | Cash; |
• | Obligations of, or fully guaranteed by, the United States; |
• | Secured advances; |
• | Mortgages that have a guaranty, insurance, or commitment from the United States or any agency of the United States; |
• | Investments described in section 16(a) of the FHLBank Act, including securities that a fiduciary or trust fund may purchase under the laws of the state in which the FHLBank is located; and |
• | Other securities that are rated Aaa by Moody’s or AAA by Standard & Poor’s. |
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2008 | 2007 | 2006 | ||||||||||
Retained earnings, beginning of year | $ | 418,295 | $ | 368,688 | $ | 291,413 | ||||||
Net Income for the year | 259,060 | 323,105 | 285,195 | |||||||||
677,355 | 691,793 | 576,608 | ||||||||||
Dividend paid in the year1 | (294,499 | ) | (273,498 | ) | (207,920 | ) | ||||||
Retained earnings, end of year | $ | 382,856 | $ | 418,295 | $ | 368,688 | ||||||
1 | 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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REFCORP Reinstatement Summary | ||||||||||||
For the Fourth Quarter 2008 Payment | ||||||||||||
Interest Rate Used | ||||||||||||
Amount of | To Discount the | Present Value OF | ||||||||||
Benchmark Payment | Future Benchmark | Benchmark Payment | ||||||||||
Reinstated | Payment | Reinstated | ||||||||||
Payment Due Date | ||||||||||||
July 15, 2012 | $ | (49 | ) | 0.98 | % | $ | (47 | ) | ||||
October 15, 2012 | (75 | ) | 1.06 | % | (72 | ) | ||||||
January 15, 2013 | (75 | ) | 1.03 | % | (72 | ) | ||||||
April 15, 2013 (most distant remaining payment) | (32 | ) | 1.15 | % | (31 | ) | ||||||
Total | $ | (231 | ) | $ | (222 | ) | ||||||
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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 Member | ||||||||
Directorships | Member Directorships | |||||||
State | for 2008 and for 2009 | Up For Election in the 2008 Election Process | ||||||
New Jersey | 4 | 1 | ||||||
New York | 5 | 2 | ||||||
Puerto Rico & U.S. Virgin Islands | 1 | 0 | ||||||
District Total | 10 | 3 |
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2008 | 2007 | 2006 | ||||||||||||||||||||||
Month Paid | Amount | Dividend Rate | Amount | Dividend Rate | Amount | Dividend Rate | ||||||||||||||||||
October | $ | 45,748 | 3.50 | % | $ | 78,810 | 8.05 | % | $ | 62,020 | 6.25 | % | ||||||||||||
July | 78,810 | 6.50 | 68,840 | 7.50 | �� | 53,913 | 5.75 | |||||||||||||||||
April | 88,182 | 7.80 | 67,280 | 7.50 | 47,137 | 5.25 | ||||||||||||||||||
January | 94,404 | 8.40 | 67,203 | 7.00 | 46,369 | 5.11 | ||||||||||||||||||
$ | 307,144 | $ | 282,133 | $ | 209,439 | |||||||||||||||||||
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Statements of Condition | December 31, | |||||||||||||||||||
(dollars in millions) | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Investments (1) | $ | 14,195 | $ | 25,034 | $ | 20,503 | $ | 20,945 | $ | 17,271 | ||||||||||
Interest bearing balance at FRB | 12,169 | — | — | — | — | |||||||||||||||
Advances | 109,153 | 82,090 | 59,012 | 61,902 | 68,507 | |||||||||||||||
Mortgage loans | 1,458 | 1,492 | 1,483 | 1,467 | 1,178 | |||||||||||||||
Total assets | 137,540 | 109,245 | 81,579 | 84,761 | 87,347 | |||||||||||||||
Deposits and borrowings | 1,452 | 1,606 | 2,266 | 2,650 | 2,297 | |||||||||||||||
Consolidated obligations | 128,587 | 101,117 | 74,234 | 77,279 | 80,157 | |||||||||||||||
Mandatorily redeemable capital stock | 143 | 239 | 110 | 18 | 127 | |||||||||||||||
AHP liability | 122 | 119 | 102 | 91 | 82 | |||||||||||||||
REFCORP liability | 5 | 24 | 17 | 14 | 10 | |||||||||||||||
Capital stock | 5,586 | 4,368 | 3,546 | 3,590 | 3,655 | |||||||||||||||
Retained earnings | 383 | 418 | 369 | 291 | 223 | |||||||||||||||
Equity to asset ratio (2) | 4.27 | % | 4.35 | % | 4.79 | % | 4.58 | % | 4.44 | % |
Statements of ConditionAverages | Years ended December 31, | |||||||||||||||||||
(dollars in millions) | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Investments (1) | $ | 22,253 | $ | 22,155 | $ | 19,431 | $ | 19,347 | $ | 16,292 | ||||||||||
Interest bearing balance at FRB | 9,079 | — | — | — | — | |||||||||||||||
Advances | 92,617 | 65,454 | 64,658 | 63,446 | 65,289 | |||||||||||||||
Mortgage loans | 1,465 | 1,502 | 1,471 | 1,360 | 928 | |||||||||||||||
Total assets | 119,710 | 89,961 | 86,319 | 85,254 | 84,344 | |||||||||||||||
Interest-bearing deposits and other borrowings | 2,003 | 2,202 | 1,709 | 2,100 | 1,971 | |||||||||||||||
Consolidated obligations | 109,691 | 82,233 | 79,314 | 77,629 | 76,105 | |||||||||||||||
Mandatorily redeemable capital stock | 166 | 146 | 51 | 56 | 238 | |||||||||||||||
AHP liability | 122 | 108 | 95 | 84 | 83 | |||||||||||||||
REFCORP liability | 6 | 10 | 9 | 7 | 4 | |||||||||||||||
Capital stock | 4,923 | 3,771 | 3,737 | 3,604 | 3,554 | |||||||||||||||
Retained earnings | 381 | 362 | 314 | 251 | 159 |
Operating Results and other data | ||||||||||||||||||||
(dollars in millions) | Years ended December 31, | |||||||||||||||||||
(except earnings and dividends per share) | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||
Net interest income (3) | $ | 694 | $ | 499 | $ | 470 | $ | 395 | $ | 268 | ||||||||||
Net income | 259 | 323 | 285 | 230 | 161 | |||||||||||||||
Dividends paid in cash (6) | 294 | 273 | 208 | 162 | 66 | |||||||||||||||
AHP expense | 30 | 37 | 32 | 26 | 19 | |||||||||||||||
REFCORP expense | 65 | 81 | 71 | 58 | 40 | |||||||||||||||
Return on average equity (4) | 4.95 | % | 7.85 | % | 7.04 | % | 5.97 | % | 4.34 | % | ||||||||||
Return on average assets | 0.22 | % | 0.36 | % | 0.33 | % | 0.27 | % | 0.19 | % | ||||||||||
Operating expenses | $ | 66 | $ | 67 | $ | 63 | $ | 59 | $ | 51 | ||||||||||
Operating expenses ratio (5) | 0.06 | % | 0.07 | % | 0.07 | % | 0.07 | % | 0.06 | % | ||||||||||
Earnings per share | $ | 5.26 | $ | 8.57 | $ | 7.63 | $ | 6.36 | $ | 4.55 | ||||||||||
Dividend per share | $ | 6.55 | $ | 7.51 | $ | 5.59 | $ | 4.50 | $ | 1.83 | ||||||||||
Headcount (Full/part time) | 251 | 246 | 232 | 221 | 210 |
(1) | Investments include held-to-maturity securities, available for-sale securities, federal funds, and loans to other FHLBanks. | |
(2) | Equity to asset ratio is capital stock plus retained earnings and accumulated other comprehensive income (loss) as a percentage of total assets. | |
(3) | Net interest income is net interest income before the provision for credit losses on mortgage loans. | |
(4) | Return on average equity is net income as a percentage of average capital stock plus average retained earnings and average accumulated other comprehensive income (loss). | |
(5) | Operating expenses as a percentage of total average assets. | |
(6) | Excludes dividends paid to non members classified as interest expense under SFAS 150. |
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2008 (unaudited) | ||||||||||||||||
4th Quarter | 3rd Quarter | 2nd Quarter | 1st Quarter | |||||||||||||
Interest income | $ | 1,035,467 | $ | 936,938 | $ | 910,555 | $ | 1,175,919 | ||||||||
Interest expense | 809,898 | 779,265 | 752,750 | 1,022,468 | ||||||||||||
Net interest income | 225,569 | 157,673 | 157,805 | 153,451 | ||||||||||||
Provision (Recovery) for credit losses | 558 | (31 | ) | 216 | 30 | |||||||||||
Other income (loss) | (144,760 | ) | (85,430 | ) | (38,643 | ) | 1,374 | |||||||||
Other expenses and assessments | 35,187 | 32,484 | 44,964 | 54,571 | ||||||||||||
180,505 | 117,883 | 83,823 | 53,227 | |||||||||||||
Net income | $ | 45,064 | $ | 39,790 | $ | 73,982 | $ | 100,224 | ||||||||
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 (Recovery) for credit losses | 40 | — | — | — | ||||||||||||
Other income (loss) | 2,040 | 8,006 | 1,460 | 1,994 | ||||||||||||
Other expenses and assessments | 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 | ||||||||
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Page | ||||
Executive Overview | 42 | |||
2008 Highlights | 43 | |||
2009 Business Outlook | 48 | |||
Trends in the Financial Markets | 50 | |||
Significant Accounting Policies and Estimates | 53 | |||
Recently Issued Accounting Standards and Interpretations | 63 | |||
Legislative and Regulatory Developments | 64 | |||
Financial Condition — Assets, Liabilities, Capital and Commitments | 67 | |||
Advances | 69 | |||
Investments | 77 | |||
Mortgage Loans | 84 | |||
Deposit Liabilities | 85 | |||
Debt Financing Activity and Consolidated Obligations | 86 | |||
Short-Term and Long-Term Rating Actions | 97 | |||
Mandatorily Redeemable Capital Stock | 97 | |||
Capital Resources | 99 | |||
Retained Earnings and Dividend | 101 | |||
Derivative Instruments | 103 | |||
Liquidity | 114 | |||
Results of Operations | 119 | |||
Net Income | 119 | |||
Interest Income | 120 | |||
Interest Expense | 122 | |||
Net Interest Income | 125 | |||
Earnings impact of derivatives and hedging activities | 132 | |||
Operating Expenses | 136 | |||
Asset Quality and Concentration — Advances, Mortgage loans, and investment securities | 138 | |||
Commitments, Contingencies and Off Balance Sheet Arrangements | 167 | |||
Quantitative and Qualitative Disclosures about Market Risk | 170 |
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• | Net interest income is a key metric for the FHLBNY. Net interest income after provision for credit losses on MPF loans, was $693.7 million for 2008, up by $194.4 million, or 38.9% 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 41 basis points in 2008, up from 30.0 basis points in 2007. Net interest spread is the difference between yields earned on interest-earning assets and yields paid on interest-bearing liabilities. Return on average earning-assets increased to 59 basis points in 2008, up from 56 basis points from the prior year. These measurement metrics are based on “Generally Accepted Accounting Principles” or GAAP basis. Under GAAP, interest expense or income of interest rate swaps designated in an economic hedge is reported as hedging losses and gains in Other income (loss) in the Statements of Income. Because of this reporting requirement, $126.5 million of interest expense was reported as a loss from derivatives and hedging activities in Other income (loss) in the Statements of Income. The economic effect of this was to increase reported losses from hedging by $126.5 million, and to reduce reported interest expense from debt by the same amount, which also increased Net interest income on a non-GAAP basis by $126.5 million. Net income remained unchanged. On an economic basis, Net interest income in 2008 was $567.5 million, compared to $693.7 million on a reported GAAP basis. On an economic basis, the comparable Net interest income was $500.2 million and $470.7 million in 2007 and 2006. On a GAAP basis, Net interest spread earned was 41 basis points in 2008, up from 30 basis points in 2007. On an economic basis, the Bank estimates that had the Bank recorded swap interest expenses in Net interest income, it would have reduced Net interest spread by 11 basis points to 30 basis points in 2008. Net interest spread is the difference between annualized yields on interest-earning assets and yields on interest-bearing liabilities. Return on average earning-assets, a measure of the efficiency of the use of interest-earning assets, was 59 basis points in 2008, up from 56 basis points in 2007. On an economic basis, the return on average earnings assets for the current year period would have been 48 basis points. |
• | Reported Net realized and unrealized gain (loss) from derivatives and hedging activities was a loss of $199.3 million in 2008, compared to a gain of $18.4 million in 2007. The reported loss was primarily due to (1) The accounting of interest expense on swaps designated as economic hedges and reported as hedging losses. (2) Fair value changes of swaps and derivatives in economic hedges of debt and advances that were not offset by fair value changes of the hedged bonds and advances because the hedges were not executed under hedge accounting provisions. An economic hedge represents derivative transactions that are an approved risk management hedge but may not qualify for hedge accounting treatment under the provisions of SFAS 133. When derivatives are designated as economic hedges, the fair value changes due to changes in the interest rate and volatility of rates are recorded through the Statements of Income without the offsetting change in the fair values of the hedged advances and debt as would be afforded under SFAS 133 hedge accounting rules. In addition, and as described in the previous paragraph, net swap interest expense and income associated with swaps in economic hedges of assets and liabilities are also reported as hedging losses and gains in Other income (loss) in the Statements of Income. |
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• | Interest rate swaps— In 2008, the primary economic hedges were: (1) Interest rate “Basis swaps” that synthetically converted floating-rate funding based on Prime rate, Federal funds rate, and the 1-month LIBOR rate to 3-month LIBOR rate. (2) Interest rate swaps hedging balance sheet risk. (3) Interest rate swaps hedging discount notes. Adverse changes in the fair values of interest rate swaps in economic hedges, often referred to as “one-sided marks” contributed $51.2 million to the unrealized loss from hedging activities; the losses from economic hedges were partly offset by realized gains, primarily from a gain of $24.0 million realized in September 2008 when swaps that had been executed to economically hedge balance sheet portfolio risk were no longer necessary and were terminated. Interest expense associated with the interest rate swaps in economic hedges resulted in net cash outflows of $126.5 million in 2008 and was recorded as hedging expenses in Other income (loss) as Net realized and unrealized gain (loss) from derivatives and hedging activities. |
• | Interest rate caps— were also designated as economic hedges, and fair value changes of purchased caps resulted in a loss of $40.8 million in 2008, compared to a loss of $2.6 million in the prior year. The Bank had acquired $1.9 billion in notional amounts of interest rate caps in the second quarter of 2008 at a cost of $46.9 million to help mitigate certain balance sheet risk metrics. The caps were recorded as derivative assets in the Statements of Condition. In a declining interest rate environment at December 31, 2008, the fair values of interest rate caps declined, contributing to the loss from hedging activities. |
• | Provision for credit losses of $64.5 million was recorded in the third quarter of 2008 to reserve against receivables due from Lehman Brothers Special Financing Inc., which commenced a case under Chapter 11 of the U.S. Bankruptcy Code on October 3, 2008. The provision was recorded as a charge to Other income (loss) in the Statements of Income. |
• | No other-than-temporary charge was recorded for the FHLBNY’s MBS portfolios in 2008 as the Bank’s analyses determined that unrealized losses were temporary. Determining whether a decline in fair value is other-than-temporary impaired requires significant judgment. The FHLBNY evaluates its individual held-to-maturity investment in private label issued mortgage-and- asset backed securities for other-than-temporary impairment on a quarterly basis. To determine which individual securities are at risk for other-than-temporary impairment, the FHLBNY considers various characteristics of each security. Based on the bond issuers’ continued satisfaction of their obligations under the contractual terms of the securities, the Bank’s evaluation of the fundamentals of the issuers’ financial condition, the estimated performance of the underlying collateral, the estimated support from the monoline insurers under the contractual terms of insurance, and the FHLBNY’s consideration of its intent and ability to hold the securities for a period of time sufficient to allow for the anticipated recovery in the market value of the securities, the FHLBNY believes that these securities were not other-than-temporarily impaired as of December 31, 2008 and 2007. However, without recovery in the near term such that liquidity returns to the mortgage-backed securities market and spreads return to levels that reflect underlying credit characteristics, or if the credit losses of the underlying collateral within the mortgage-backed securities perform worse than expected, or if the presumption of the ability of monoline insurers to support the insured securities identified at December 31, 2008 as dependent on insurance is negatively impacted by their future financial performance, it is likely that other-than-temporary impairment may occur in future periods. |
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• | Operating Expenses were $66.3 million in 2008, slightly down by $0.3 million, from $66.6 million in 2007. |
• | REFCORP assessments were $64.8 million in 2008, down by $16.0 million from 2007. AHP assessments were $29.8 million, down by $7.4 million from 2007. Assessments are calculated on Net income before assessments and the decrease was due to lower Net income in 2008 compared to 2007. For more information about REFCORP and AHP assessments see the section titled Assessments in this Form 10-K. |
• | Cash dividends were paid to stockholders in each of the quarters in 2008. In 2008, they totaled $6.55 per share of capital stock (par value $100), down from $7.51 in 2007. |
• | Advances grew by over 33.0% to $109.2 billion at December 31, 2008, compared with $82.1 billion at December 31, 2007. Member demand for advance borrowings in 2008 has been concentrated in the short-term fixed-rate advance products. Member demand for variable-rate advances did not keep pace with the overall increase in demand for short-term fixed-rate advances. While increase in borrowing was concentrated among the large members, a broad base of the membership also increased their borrowings from the FHLBNY. Advances borrowed by insurance companies have also contributed to the positive trend. |
• | Credit dislocation in the marketplace has continued to drive bond investors to acquire shorter-term debt issued by the FHLBanks, including those issued on behalf of the FHLBNY. As a result of the lukewarm investor demand, the volume of long-term debt issued has been understandably low in 2008. Issuances of discount notes, which have maturities from overnight to 365 days, have fluctuated significantly over the last several years in response to market conditions and investor demand for FHLBank issued short-term debt. Outstanding amounts of discount notes grew to $46.3 billion at December 31, 2008, up from $34.8 billion at December 31, 2007. The surge in demand for discount notes is best illustrated by comparing the balances outstanding at December 31, 2008 to the balance of only $12.2 billion at December 31, 2006, just under a four-fold increase from 2006. Issuance patterns also fluctuated during 2008 in response to changing market conditions and investor appetite in 2008 for discount notes. The Bank had reduced the discount notes outstanding at September 30, 2008 to $28.7 billion, compared to $34.8 billion at December 31, 2007. Since then, spreads returned to levels that were attractive and the Bank increased amounts outstanding to $46.3 billion at December 31, 2008. Favorable investor demand for floating-rate consolidated obligation bonds indexed to rates other than 3-month LIBOR drove pricing to relatively attractive levels and the FHLBNY steadily increased the use of floating-rate bonds to fund its assets. |
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• | Held-to-maturity securities consisting of mortgage-backed securities and state and local housing agency bonds declined slightly to $10.1 billion at December 31, 2008, compared to $10.3 billion at December 31, 2007, as paydowns outpaced new acquisitions. GSE and agency issued mortgage-backed securities were the predominant issuers and constituted $7.6 billion, or 81.3%, of mortgage-backed securities in this category. Acquisitions continued to be selective during 2008 and remained opportunistic. When market conditions met the Bank’s risk-reward preferences, acquisition was considered and pursued. All $2.0 billion in MBS acquired in 2008, were triple-A rated GSE issued collateralized mortgage obligations (“CMOs”), which are supported by agency pass-through securities. The Bank also acquired $328.4 million in New York State and City housing finance agency bonds. |
• | Available-for-sale securities grew to $2.9 billion at December 31, 2008, up from $13.2 million at December 31, 2007. In 2008, the Bank acquired $3.4 billion of GSE issued variable-rate CMOs, and designated these acquisitions as available-for-sale. All securities purchased were rated triple-A. |
• | Shareholders’ equity, the sum of Capital stock, Retained earnings, and Accumulated other comprehensive income (loss) was $5.9 billion at December 31, 2008, up by $1.1 billion from December 31, 2007. Capital stock, a component of shareholders’ equity, at December 31, 2008 was $5.6 billion, up by $1.2 billion as compared to December 31, 2007. The increase in Capital stock was consistent with increases in advances borrowed by members since members are required to purchase stock as a prerequisite to membership and to hold FHLBNY stock as a percentage of advances borrowed from the FHLBNY. The Bank’s current practice is to redeem stock in excess of the amount necessary to support advance activity on a daily basis. As a result, the amount of capital stock outstanding varies in line with members’ outstanding advance borrowings. Unrestricted retained earning was $382.9 million, down by $35.4 million from December 31, 2007. Dividend paid out of retained earnings amounted to $294.5 million during 2008. |
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Year-to-date December 31, | ||||||||||||||||
2008 | 2007 | 2008 | 2007 | |||||||||||||
Average Rate | Average Rate | Ending Rate | Ending Rate | |||||||||||||
Federal Funds Rate | 2.08 | 5.05 | 0.25 | 4.25 | ||||||||||||
3-month LIBOR | 2.93 | 5.30 | 1.43 | 4.70 | ||||||||||||
2-year U.S. Treasury | 2.00 | 4.36 | 0.77 | 3.05 | ||||||||||||
5-year U.S. Treasury | 2.79 | 4.42 | 1.55 | 3.44 | ||||||||||||
10-year U.S. Treasury | 3.64 | 4.63 | 2.21 | 4.03 | ||||||||||||
15-year residential mortgage note rate | 5.88 | 5.94 | 5.11 | 5.60 | ||||||||||||
30-year residential mortgage note rate | 6.24 | 6.27 | 5.28 | 6.05 |
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• | Market approach — This technique uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities. |
• | Income approach — This technique uses valuation techniques to convert future amounts (for example, cash flows or earnings) to a single present amount (discounted), based on assumptions used by market participants. The present value technique used to measure fair value depends on the facts and circumstances specific to the asset or liability being measured and the availability of data. |
• | Cost approach — This approach is based on the amount that currently would be required to replace the service capacity of an asset (often referred to as current replacement cost). |
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• | Monitoring the creditworthiness and financial condition of the institutions to which it lends funds. |
• | Reviewing the quality and value of collateral pledged by members 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. |
• | Evaluation of members to ensure that they meet the eligibility standards for participation in the MPF Program. |
• | Evaluation of the purchased and originated loans to ensure that they are qualifying conventional, conforming fixed-rate, first lien mortgage loans with fully amortizing loan terms of up to 30 years, secured by owner-occupied, single-family residential properties. |
• | Estimation of loss exposure and historical loss experience to establish an adequate level of loss reserves. |
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• | Hedging strategy |
• | Identification of the item being hedged |
• | Determination of the accounting designation 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, | ||||||||||||||||
Net change in | Net change in | |||||||||||||||
2008 | 2007 | dollar amount | percentage | |||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | 18,899 | $ | 7,909 | $ | 10,990 | 138.96 | % | ||||||||
Interest-bearing deposits | 12,169,096 | — | 12,169,096 | NM | ||||||||||||
Federal funds sold | — | 4,381,000 | (4,381,000 | ) | (100.00 | ) | ||||||||||
Available-for-sale securities | 2,861,869 | 13,187 | 2,848,682 | NM | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | 10,130,543 | 10,284,754 | (154,211 | ) | (1.50 | ) | ||||||||||
Certificates of deposit | 1,203,000 | 10,300,200 | (9,097,200 | ) | (88.32 | ) | ||||||||||
Advances | 109,152,876 | 82,089,667 | 27,063,209 | 32.97 | ||||||||||||
Mortgage loans held-for-portfolio | 1,457,885 | 1,491,628 | (33,743 | ) | (2.26 | ) | ||||||||||
Loans to other FHLBanks | — | 55,000 | (55,000 | ) | (100.00 | ) | ||||||||||
Accrued interest receivable | 492,856 | 562,323 | (69,467 | ) | (12.35 | ) | ||||||||||
Premises, software, and equipment | 13,793 | 13,154 | 639 | 4.86 | ||||||||||||
Derivative assets | 20,236 | 28,978 | (8,742 | ) | (30.17 | ) | ||||||||||
All other assets | 18,838 | 17,091 | 1,747 | 10.22 | ||||||||||||
Total assets | $ | 137,539,891 | $ | 109,244,891 | $ | 28,295,000 | 25.90 | % | ||||||||
Liabilities | ||||||||||||||||
Deposits | ||||||||||||||||
Interest-bearing demand | $ | 1,333,750 | $ | 1,586,039 | $ | (252,289 | ) | (15.91 | )% | |||||||
Non-interest bearing demand | 828 | 2,596 | (1,768 | ) | (68.10 | ) | ||||||||||
Term | 117,400 | 16,900 | 100,500 | NM | ||||||||||||
Total deposits | 1,451,978 | 1,605,535 | (153,557 | ) | (9.56 | ) | ||||||||||
Consolidated obligations | ||||||||||||||||
Bonds | 82,256,705 | 66,325,817 | 15,930,888 | 24.02 | ||||||||||||
Discount notes | 46,329,906 | 34,791,570 | 11,538,336 | 33.16 | ||||||||||||
Total consolidated obligations | 128,586,611 | 101,117,387 | 27,469,224 | 27.17 | ||||||||||||
Mandatorily redeemable capital stock | 143,121 | 238,596 | (95,475 | ) | (40.02 | ) | ||||||||||
Accrued interest payable | 426,144 | 655,870 | (229,726 | ) | (35.03 | ) | ||||||||||
Affordable Housing Program | 122,449 | 119,052 | 3,397 | 2.85 | ||||||||||||
Payable to REFCORP | 4,780 | 23,998 | (19,218 | ) | (80.08 | ) | ||||||||||
Derivative liabilities | 861,660 | 673,342 | 188,318 | 27.97 | ||||||||||||
Other liabilities | 75,753 | 60,520 | 15,233 | 25.17 | ||||||||||||
Total liabilities | 131,672,496 | 104,494,300 | 27,178,196 | 26.01 | ||||||||||||
Capital | 5,867,395 | 4,750,591 | 1,116,804 | 23.51 | ||||||||||||
Total liabilities and capital | $ | 137,539,891 | $ | 109,244,891 | $ | 28,295,000 | 25.90 | % | ||||||||
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December 31, 2008 | December 31, 2007 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amounts | of total | Amounts | of total | |||||||||||||
Adjustable Rate Credit — ARCs | $ | 20,205,850 | 19.55 | % | $ | 19,812,544 | 24.58 | % | ||||||||
Fixed Rate Advances | 71,860,685 | 69.51 | 53,411,674 | 66.27 | ||||||||||||
Short-Term Advances | 7,793,500 | 7.54 | 4,590,805 | 5.70 | ||||||||||||
Mortgage Matched Advances | 693,559 | 0.67 | 690,058 | 0.86 | ||||||||||||
Overnight Line of Credit (OLOC) Advances | 2,039,423 | 1.97 | 1,767,080 | 2.19 | ||||||||||||
All other categories | 786,710 | 0.76 | 319,893 | 0.40 | ||||||||||||
Total par value | 103,379,727 | 100.00 | % | 80,592,054 | 100.00 | % | ||||||||||
Discount on AHP Advances | (330 | ) | (417 | ) | ||||||||||||
SFAS 133 hedging adjustments | 5,773,479 | 1,498,030 | ||||||||||||||
Total | $ | 109,152,876 | $ | 82,089,667 | ||||||||||||
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December 31, | ||||||||||||||||||||||||
2008 | 2007 | |||||||||||||||||||||||
Weighted2 | Weighted2 | |||||||||||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||||||||||
Amount | Yield | of Total | Amount | Yield | of Total | |||||||||||||||||||
Overdrawn demand deposit accounts | $ | — | — | % | — | % | $ | — | — | % | — | % | ||||||||||||
Due in one year or less | 32,420,095 | 2.52 | 31.36 | 24,140,285 | 4.72 | 29.95 | ||||||||||||||||||
Due after one year through two years | 16,150,121 | 3.71 | 15.62 | 7,714,912 | 4.87 | 9.57 | ||||||||||||||||||
Due after two years through three years | 7,634,680 | 3.76 | 7.39 | 8,730,643 | 5.13 | 10.83 | ||||||||||||||||||
Due after three years through four years | 6,852,514 | 3.74 | 6.63 | 3,153,113 | 4.89 | 3.91 | ||||||||||||||||||
Due after four years through five years | 3,210,575 | 3.88 | 3.11 | 5,988,142 | 4.76 | 7.43 | ||||||||||||||||||
Due after five years through six years | 836,689 | 3.74 | 0.81 | 556,095 | 3.44 | 0.69 | ||||||||||||||||||
Thereafter | 36,275,053 | 3.96 | 35.08 | 30,308,864 | 4.29 | 37.62 | ||||||||||||||||||
Total par value | 103,379,727 | 3.44 | % | 100.00 | % | 80,592,054 | 4.62 | % | 100.00 | % | ||||||||||||||
Discount on AHP advances1 | (330 | ) | (417 | ) | ||||||||||||||||||||
SFAS 133 hedging basis adjustments1 | 5,773,479 | 1,498,030 | ||||||||||||||||||||||
Total | $ | 109,152,876 | $ | 82,089,667 | ||||||||||||||||||||
1 | Discounts on AHP advances were amortized to interest income using the level-yield method and were not significant for all periods reported. Amortization of fair value basis adjustments for terminated hedges was a charge to interest income and amounted to ($2.0) million, ($0.4) million, and ($0.4) million for the years ended December 31, 2008, 2007 and 2006. All other amortization charged to interest income aggregated ($0.0) million, ($0.5) million, and ($0.6) million for the years ended December 31, 2008, 2007 and 2006. Interest rates on AHP advances ranged from 1.25% to 6.04% in 2008 and 2007. | |
2 | The weighed average yield is the weighted average coupon rates for advances, unadjusted for 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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December 31, | ||||||||||||||||
Percentage of | Percentage of | |||||||||||||||
2008 | total | 2007 | total | |||||||||||||
Overdrawn demand deposit accounts | $ | — | — | % | $ | — | — | % | ||||||||
Due or putable in one year or less | 63,251,007 | 61.18 | 48,005,147 | 59.57 | ||||||||||||
Due or putable after one year through two years | 18,975,821 | 18.36 | 16,112,362 | 19.99 | ||||||||||||
Due or putable after two years through three years | 10,867,530 | 10.51 | 7,546,243 | 9.36 | ||||||||||||
Due or putable after three years through four years | 5,293,364 | 5.12 | 2,607,563 | 3.24 | ||||||||||||
Due or putable after four years through five years | 2,728,075 | 2.64 | 4,180,492 | 5.19 | ||||||||||||
Due or putable after five years through six years | 230,189 | 0.22 | 121,095 | 0.15 | ||||||||||||
Thereafter | 2,033,741 | 1.97 | 2,019,152 | 2.50 | ||||||||||||
Total par value | 103,379,727 | 100.00 | % | 80,592,054 | 100.00 | % | ||||||||||
Discount on AHP advances | (330 | ) | (417 | ) | ||||||||||||
SFAS 133 hedging basis adjustments | 5,773,479 | 1,498,030 | ||||||||||||||
Total | $ | 109,152,876 | $ | 82,089,667 | ||||||||||||
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December 31, | ||||||||||||||||
2008 | 2007 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of total | Amount | of total | |||||||||||||
Fixed-rate | $ | 83,173,877 | 80.45 | % | $ | 60,779,510 | 75.42 | % | ||||||||
Variable-rate | 19,740,850 | 19.10 | 18,654,850 | 23.15 | ||||||||||||
Variable-rate capped | 465,000 | 0.45 | 1,157,694 | 1.43 | ||||||||||||
Total par value | 103,379,727 | 100.00 | % | 80,592,054 | 100.00 | % | ||||||||||
Discount on AHP Advances | (330 | ) | (417 | ) | ||||||||||||
SFAS 133 hedging basis adjustments | 5,773,479 | 1,498,030 | ||||||||||||||
Total | $ | 109,152,876 | $ | 82,089,667 | ||||||||||||
December 31, | ||||||||
2008 | 2007 | |||||||
LIBOR indexed | $ | 18,980,500 | $ | 19,487,194 | ||||
Federal funds | 1,225,000 | 325,000 | ||||||
Prime | 350 | 350 | ||||||
Total | $ | 20,205,850 | $ | 19,812,544 | ||||
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December 31, | December 31, | Dollar | Percentage | ||||||||||||||
2008 | 2007 | Variance | Variance | ||||||||||||||
State and local housing agency obligations1 | $ | 804,100 | $ | 576,971 | $ | 227,129 | 39.37 | % | |||||||||
Mortgage-backed securities | |||||||||||||||||
Available-for-sale securities, at fair value | 2,851,682 | — | 2,851,682 | NA | |||||||||||||
Held-to-maturity securities, at amortized cost | 9,326,443 | 9,707,783 | (381,340 | ) | (3.93 | ) | |||||||||||
Total long-term securities | 12,982,225 | 10,284,754 | 2,697,471 | 26.23 | |||||||||||||
Grantor trusts2 | 10,187 | 13,187 | (3,000 | ) | (22.75 | ) | |||||||||||
Certificates of deposit1 | 1,203,000 | 10,300,200 | (9,097,200 | ) | (88.32 | ) | |||||||||||
Federal funds sold | — | 4,381,000 | (4,381,000 | ) | (100.00 | ) | |||||||||||
Total investments | $ | 14,195,412 | $ | 24,979,141 | $ | (10,783,729 | ) | (43.17 | )% | ||||||||
1 | Classified as held-to-maturity securities, at amortized cost | |
2 | Classified as available-for-sale securities, at fair value represent investments in registered mutual funds and other fixed-income securities maintained under the grantor trusts | |
Note: | Excludes $12.2 billion in interest-earning balance at Federal Reserve Bank of New York at December 31, 2008 ($0 at December 31, 2007) |
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December 31, | Percentage | December 31, | Percentage | |||||||||||||
2008 | of total | 2007 | of total | |||||||||||||
U.S. government sponsored enterprise residential mortgage-backed securities | $ | 7,577,036 | 81.24 | % | $ | 6,829,668 | 70.35 | % | ||||||||
U.S. agency residential mortgage-backed securities | 6,325 | 0.07 | 7,482 | 0.08 | ||||||||||||
Private-label issued securities backed by home equity loans | 636,466 | 6.83 | 752,808 | 7.76 | ||||||||||||
Private-label issued residential mortgage-backed securities | 609,908 | 6.54 | 769,140 | 7.92 | ||||||||||||
Private-label issued commercial mortgage-backed securities | 266,994 | 2.86 | 1,087,713 | 11.20 | ||||||||||||
Private-label issued securities backed by manufactured housing loans | 229,714 | 2.46 | 260,972 | 2.69 | ||||||||||||
Total Held-to-maturity securities — MBS | $ | 9,326,443 | 100.00 | % | $ | 9,707,783 | 100.00 | % | ||||||||
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December 31, 2008 | ||||||||||||||||
Gross | Gross | Estimated | ||||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
State and local housing agency obligations | $ | 804,100 | $ | 6,573 | $ | (47,512 | ) | $ | 763,161 | |||||||
Mortgage-backed securities | 9,326,443 | 187,531 | (342,662 | ) | 9,171,312 | |||||||||||
Certificates of deposit | 1,203,000 | 328 | — | 1,203,328 | ||||||||||||
Total | $ | 11,333,543 | $ | 194,432 | $ | (390,174 | ) | $ | 11,137,801 | |||||||
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 | |||||||||||
Certificates of deposit | 10,300,200 | 7,178 | — | 10,307,378 | ||||||||||||
Total | $ | 20,584,954 | $ | 99,628 | $ | (97,391 | ) | $ | 20,587,191 | |||||||
December 31, 2008 | ||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Total | ||||||||||||||||
Long-term securities | ||||||||||||||||||||
Mortgage-backed securities | $ | 8,705,952 | $ | 229,714 | $ | 192,678 | $ | 198,099 | $ | 9,326,443 | ||||||||||
State and local housing agency obligations | 74,881 | 672,999 | — | 56,220 | 804,100 | |||||||||||||||
Total Long-term securities | 8,780,833 | 902,713 | 192,678 | 254,319 | 10,130,543 | |||||||||||||||
Short-term securities | ||||||||||||||||||||
Certificates of deposit | — | 628,000 | 575,000 | — | 1,203,000 | |||||||||||||||
Total | $ | 8,780,833 | $ | 1,530,713 | $ | 767,678 | $ | 254,319 | $ | 11,333,543 | ||||||||||
December 31, 2007 | ||||||||||||||||
AAA-rated | AA-rated | A-rated | Total | |||||||||||||
Long-term securities | ||||||||||||||||
Mortgage-backed securities | $ | 9,707,783 | $ | — | $ | — | $ | 9,707,783 | ||||||||
State and local housing agency obligations | 271,253 | 305,718 | — | 576,971 | ||||||||||||
Total Long-term securities | 9,979,036 | 305,718 | — | 10,284,754 | ||||||||||||
Short-term securities | ||||||||||||||||
Certificates of deposit | — | 6,988,100 | 3,312,100 | 10,300,200 | ||||||||||||
Total | $ | 9,979,036 | $ | 7,293,818 | $ | 3,312,100 | $ | 20,584,954 | ||||||||
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December 31, 2008 | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Unrated | Total | |||||||||||||||||||
Available-for-sale securities1 | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 2,851,682 | $ | — | $ | — | $ | — | $ | — | $ | 2,851,682 | ||||||||||||
Other — Grantor trusts | — | — | — | 10,187 | 10,187 | |||||||||||||||||||
Total | $ | 2,851,682 | $ | — | $ | — | $ | — | $ | 10,187 | $ | 2,861,869 | ||||||||||||
1 | Available-for-sale securities are at fair value. | |
Note: | The Bank did not have any mortgage-backed securities designated as available-for-sale at December 31, 2007. The amounts outstanding in the two Grantor Trusts totaled $13.2 million at December 31, 2007. |
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December 31, 2008 | December 31, 2007 | |||||||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||||||
Cost | Fair Value | Cost | Fair Value | |||||||||||||
State and local housing agency obligations | ||||||||||||||||
Due in one year or less | $ | — | $ | — | $ | — | $ | — | ||||||||
Due after one year through five years | 17,665 | 18,209 | 32,009 | 32,474 | ||||||||||||
Due after five years through ten years | 60,400 | 55,060 | 20,400 | 20,938 | ||||||||||||
Due after ten years | 726,035 | 689,892 | 524,562 | 533,139 | ||||||||||||
State and local housing agency obligations | 804,100 | 763,161 | 576,971 | 586,551 | ||||||||||||
Mortgage-backed securities | ||||||||||||||||
Due in one year or less | 257,999 | 258,120 | 243,309 | 242,471 | ||||||||||||
Due after one year through five years | — | — | 546,303 | 555,003 | ||||||||||||
Due after five years through ten years | 1,142,000 | 1,149,541 | 103,792 | 104,563 | ||||||||||||
Due after ten years | 7,926,444 | 7,763,651 | 8,814,379 | 8,791,225 | ||||||||||||
Mortgage-backed securities | 9,326,443 | 9,171,312 | 9,707,783 | 9,693,262 | ||||||||||||
Certificates of deposit | ||||||||||||||||
Due in one year or less | 1,203,000 | 1,203,328 | 10,300,200 | 10,307,378 | ||||||||||||
Due after one year through five years | — | — | — | — | ||||||||||||
Due after five years through ten years | — | — | — | — | ||||||||||||
Due after ten years | — | — | — | — | ||||||||||||
Certificates of deposit | 1,203,000 | 1,203,328 | 10,300,200 | 10,307,378 | ||||||||||||
Total held-to-maturity securities | $ | 11,333,543 | $ | 11,137,801 | $ | 20,584,954 | $ | 20,587,191 | ||||||||
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December 31, 2008 | December 31, 2007 | |||||||||||||||
Amortized | Weighted | Amortized | Weighted | |||||||||||||
Cost | Average rate | Cost | Average rate | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
Due in one year or less | $ | 257,999 | 7.39 | % | $ | 243,309 | 6.22 | % | ||||||||
Due after one year through five years | — | — | 546,303 | 7.15 | ||||||||||||
Due after five years through ten years | 1,142,000 | 4.76 | 103,792 | 5.43 | ||||||||||||
Due after ten years | 10,839,086 | 4.24 | 8,814,379 | 5.31 | ||||||||||||
Total mortgage-backed securities | $ | 12,239,085 | 4.36 | % | $ | 9,707,783 | 5.44 | % | ||||||||
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December 31, | ||||||||||||||||
2008 | Percentage | 2007 | Percentage | |||||||||||||
Real Estate: | ||||||||||||||||
Fixed medium-term single-family mortgages | $ | 467,845 | 32.15 | % | $ | 529,839 | 35.61 | % | ||||||||
Fixed long-term single-family mortgages | 983,493 | 67.58 | 953,946 | 64.11 | ||||||||||||
Multi-family mortgages | 4,009 | 0.27 | 4,102 | 0.28 | ||||||||||||
Total par value | 1,455,347 | 100.00 | % | 1,487,887 | 100.00 | % | ||||||||||
Unamortized premiums | 10,662 | 11,779 | ||||||||||||||
Unamortized discounts | (6,310 | ) | (6,805 | ) | ||||||||||||
Basis adjustment1 | (408 | ) | (600 | ) | ||||||||||||
Total mortgage loans held-for-portfolio | 1,459,291 | 1,492,261 | ||||||||||||||
Allowance for credit losses | (1,406 | ) | (633 | ) | ||||||||||||
Total mortgage loans held-for-portfolio after allowance for credit losses | $ | 1,457,885 | $ | 1,491,628 | ||||||||||||
1 | Represents fair value basis of open and closed delivery commitments. |
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December 31, | ||||||||
2008 | 2007 | |||||||
Federal Housing Administration and Veteran Administration insured loans | $ | 6,983 | $ | 8,360 | ||||
Conventional loans | 1,444,356 | 1,475,425 | ||||||
Others | 4,008 | 4,102 | ||||||
Total par value | $ | 1,455,347 | $ | 1,487,887 | ||||
Years ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Beginning balance | $ | 633 | $ | 593 | $ | 582 | ||||||
Charge-offs | 21 | — | (18 | ) | ||||||||
Recoveries | (21 | ) | — | 18 | ||||||||
Net charge-offs | — | — | — | |||||||||
Provision (Recovery) for credit losses on mortgage loans | 773 | 40 | 11 | |||||||||
Ending balance | $ | 1,406 | $ | 633 | $ | 593 | ||||||
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• | In response to market demand for shorter-term debt, the Bank increased its issuance of discount notes which have maturities from overnight to 365 days. In 2008, the Bank issued $686.1 billion of discount notes, up 55.5% from $441.2 billion issued in 2007. Issuance pattern of discount notes was uneven during the quarters in 2008, a reflection of the Bank’s responsiveness to changing conditions in the capital markets during 2008 for FHLBank issued discount notes. In the first quarter, spreads to 3-month LIBOR were favorable and the Bank increased the utilization of discount notes; in the second quarter, reacting to unfavorable trends, the use of discount notes was reduced. Since the second quarter, the Bank has increased the utilization of discount notes and outstanding balances have reached a high of $46.3 billion at December 31, 2008, up from $34.8 billion at December 31, 2007. |
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• | The FHLBNY has stepped up efforts at creating a more diverse funding mix to address any over reliance on discount notes. It increased the issuance of one year bullet and callable bonds and swapping the fixed-rate debt to LIBOR indexed cash flows. In 2008, the FHLBNY issued short-term floating-rate bonds, indexed to rates other than 3-month LIBOR and swapping the coupons back to 3-month LIBOR. The amount of non-3-month LIBOR indexed floating-rate bonds outstanding at December 31, 2008 stood at $25.0 billion, up from $0 at December 31, 2007. |
• | Reacting to investor preference for shorter and medium-term debt, the FHLBNY increased the issuance of medium-term non-callable bonds. Investors have been receptive to FHLBanks’ non-callable bonds compared to alternative debt available in the capital markets and execution pricing has been relatively more favorable for the FHLBank bonds. FHLBank callable-bonds, which have been traditionally considered by investors to be competitively priced have been under price pressure in 2008 and the Bank’s use of funding with callable debt has declined because of the erosion of their price advantage. Maturing callable bonds were replaced with non-callable shorter-term bonds and floating-rate bonds. As a result, Bonds that were callable declined to $4.8 billion, or 5.9% of total bonds outstanding at December 31, 2008, down from $11.4 billion or 17.3% at December 31, 2007. The percentages have been even higher in past years. When callable-bonds were issued, they were issued with relatively shorter effective durations. |
December 31, | ||||||||||||||||
Percentage of | Percentage of | |||||||||||||||
2008 | total | 2007 | total | |||||||||||||
Fixed-rate, non-callable | $ | 36,367,875 | 44.92 | % | $ | 39,642,670 | 60.01 | % | ||||||||
Fixed-rate, callable | 4,828,300 | 5.96 | 11,420,300 | 17.29 | ||||||||||||
Step Up, callable | 73,000 | 0.09 | 843,000 | 1.28 | ||||||||||||
Step Down, callable | 15,000 | 0.02 | 15,000 | 0.02 | ||||||||||||
Single-index floating rate | 39,670,000 | 49.01 | 14,135,000 | 21.40 | ||||||||||||
Total par value | 80,954,175 | 100.00 | % | 66,055,970 | 100.00 | % | ||||||||||
Bond premiums | 63,737 | 38,586 | ||||||||||||||
Bond discounts | (39,529 | ) | (28,529 | ) | ||||||||||||
SFAS 133 fair value basis adjustments | 1,254,523 | 259,405 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 7,857 | 385 | ||||||||||||||
SFAS 159 valuation adjustments and accrued interest | 15,942 | — | ||||||||||||||
Total bonds | $ | 82,256,705 | $ | 66,325,817 | ||||||||||||
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December 31, | ||||||||||||||||||||||||
2008 | 2007 | |||||||||||||||||||||||
Weighted | Weighted | |||||||||||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||||||||||
Maturity | Amount | Rate1 | of total | Amount | Rate1 | of total | ||||||||||||||||||
One year or less | $ | 49,568,550 | 1.93 | % | 61.23 | % | $ | 38,027,475 | 4.69 | % | 57.57 | % | ||||||||||||
Over one year through two years | 16,192,550 | 3.20 | 20.00 | 11,047,950 | 4.78 | 16.73 | ||||||||||||||||||
Over two years through three years | 5,299,700 | 3.73 | 6.55 | 6,344,300 | 4.85 | 9.60 | ||||||||||||||||||
Over three years through four years | 2,469,575 | 4.75 | 3.05 | 2,309,100 | 4.99 | 3.50 | ||||||||||||||||||
Over four years through five years | 3,352,450 | 3.99 | 4.14 | 2,972,845 | 5.14 | 4.50 | ||||||||||||||||||
Over five years through six years | 989,300 | 5.06 | 1.22 | 728,250 | 5.27 | 1.10 | ||||||||||||||||||
Thereafter | 3,082,050 | 5.35 | 3.81 | 4,626,050 | 5.31 | 7.00 | ||||||||||||||||||
Total par value | 80,954,175 | 2.64 | % | 100.00 | % | 66,055,970 | 4.80 | % | 100.00 | % | ||||||||||||||
Bond premiums | 63,737 | 38,586 | ||||||||||||||||||||||
Bond discounts | (39,529 | ) | (28,529 | ) | ||||||||||||||||||||
SFAS 133 fair value basis adjustments | 1,254,523 | 259,405 | ||||||||||||||||||||||
Fair value basis adjustments on terminated hedges | 7,857 | 385 | ||||||||||||||||||||||
SFAS 159 valuation adjustments and accrued interest | 15,942 | — | ||||||||||||||||||||||
Total bonds | $ | 82,256,705 | $ | 66,325,817 | ||||||||||||||||||||
1 | Weighted average rate represents the weighted average coupons of bonds, unadjusted for swaps. The weighted average coupon of bonds outstanding at December 31, 2008 and 2007, 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 meet its members’ funding needs, to reduce funding costs, and to manage risk in a changing market environment. |
• | Converts at the time of issuance, certain simple fixed-rate bullet and callable bonds into synthetic floating-rate bonds by the simultaneous execution of interest rate swaps that convert the cash flows of the fixed-rate bonds to conventional adjustable rate instruments tied to an index, typically 3-month LIBOR. |
• | Uses derivatives to manage the risk arising from changing market prices and volatility of a fixed coupon bond by matching the cash flows of the bond to the cash flows of the derivative and making the FHLBNY indifferent to changes in market conditions. Except when issued to fund MBS and MPF loans, callable bonds are typically hedged by an offsetting derivative with a mirror-image call option with identical terms. |
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• | 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 issuance of callable bonds and the simultaneous swapping with a derivative instrument depends on the price relationships in both the bond and the derivatives markets. |
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December 31, | ||||||||||||||||
Percentage of | Percentage of | |||||||||||||||
2008 | total | 2007 | total | |||||||||||||
Year of Maturity or next call date | ||||||||||||||||
Due or callable in one year or less | $ | 53,034,550 | 65.51 | % | $ | 47,346,975 | 71.68 | % | ||||||||
Due or callable after one year through two years | 15,472,350 | 19.11 | 9,924,450 | 15.02 | ||||||||||||
Due or callable after two years through three years | 4,843,700 | 5.98 | 3,551,100 | 5.38 | ||||||||||||
Due or callable after three years through four years | 1,445,575 | 1.79 | 980,100 | 1.48 | ||||||||||||
Due or callable after four years through five years | 2,954,450 | 3.65 | 910,845 | 1.38 | ||||||||||||
Due or callable after five years through six years | 684,800 | 0.85 | 435,250 | 0.66 | ||||||||||||
Thereafter | 2,518,750 | 3.11 | 2,907,250 | 4.40 | ||||||||||||
Total par value | 80,954,175 | 100.00 | % | 66,055,970 | 100.00 | % | ||||||||||
Bond premiums | 63,737 | 38,586 | ||||||||||||||
Bond discounts | (39,529 | ) | (28,529 | ) | ||||||||||||
SFAS 133 fair value adjustments | 1,254,523 | 259,405 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 7,857 | 385 | ||||||||||||||
SFAS 159 valuation adjustments and accrued interest | 15,942 | — | ||||||||||||||
Total carrying value | $ | 82,256,705 | $ | 66,325,817 | ||||||||||||
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December 31, | ||||||||
2008 | 2007 | |||||||
Par value | $ | 46,431,347 | $ | 34,984,105 | ||||
Amortized cost | $ | 46,329,545 | $ | 34,791,570 | ||||
Fair value basis adjustments | 361 | — | ||||||
Total | $ | 46,329,906 | $ | 34,791,570 | ||||
Weighted average interest rate | 1.00 | % | 4.28 | % | ||||
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Moody’s Investors Service | S & P | |||||||||||
Year | Outlook | Rating | Short-Term Outlook | Rating | ||||||||
2008 | October 29, 2008 — Affirmed April 17, 2008 — Affirmed | P-1 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 | ||||||||
2008 | October 29, 2008 — Affirmed April 17, 2008 — Affirmed | Aaa/Stable 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 | Economic Hedge of fair value risk | $ | 618 | ||||
Fair Value Hedge | $ | 61,673 | ||||||
Purchased interest rate cap | To offset the cap embedded in the variable rate advance | Economic Hedge of fair value risk | $ | 465 | ||||
Receive fixed, pay floating interest rate swap (non-callable) | To convert the fixed rate consolidated obligation bond debt to a LIBOR floating rate | Economic Hedge of fair value risk Fair Value Hedge | $ | 4,500 | ||||
$ | 19,982 | |||||||
Receive fixed, pay floating interest rate swap with an option to call held by the counterparty | To convert the fixed rate consolidated obligation bond debt to a LIBOR floating rate; swap is callable on the same day as the consolidated obligation bond debt. | Economic Hedge of fair value risk Fair Value Hedge | $ | 15 | ||||
$ | 2,148 | |||||||
Receive fixed, pay floating interest rate swap (non-callable) | To convert the fixed rate consolidated obligation discount note debt to a LIBOR floating rate; | Economic Hedge of fair value risk Fair Value Hedge | $ | 7,509 | ||||
$ | 779 | |||||||
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 | $ | — | |||||
Basis swap | To convert non-LIBOR index to LIBOR to reduce interest rate sensitivity and repricing gaps. | Economic Hedge of cash flows | $ | 14,360 | ||||
Basis swap | To convert 1M LIBOR index to 3M LIBOR to reduce interest rate sensitivity and repricing gaps. | Economic Hedge of cash flows | $ | 10,590 | ||||
Receive fixed, pay floating interest rate swap with an option to call at the swap counterparty’s option | Fixed rate callable bond converted to a LIBOR floating rate; matched to callable bond accounted for under the fair value option of SFAS 159. | SFAS 159 | $ | 983 | ||||
Pay fixed, receive floating interest rate swap | Economic hedge on the Balance Sheet | Economic Hedge | $ | 1,050 | ||||
Receive fixed, pay floating interest rate swap | Economic hedge on the Balance Sheet | Economic Hedge | $ | 1,050 | ||||
Purchased interest rate cap | Economic hedge on the Balance Sheet | Economic Hedge | $ | 1,892 | ||||
Intermediary positions Interest rate swaps Interest rate caps | To offset interest rate swaps and caps executed with members by executing offsetting derivatives with counterparties. | Economic Hedge of fair value risk | $ | 300 |
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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 | Economic Hedge of fair value risk | $ | 1,158 | ||||
Receive fixed, pay floating interest rate swap (non-callable) | To convert the fixed rate consolidated obligation debt to a LIBOR floating rate | Economic Hedge of fair value risk | $ | 1,118 | ||||
Fair Value Hedge | $ | 26,233 | ||||||
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 option to call | To convert the fixed rate consolidated obligation debt to a LIBOR floating rate; swap is callable on the same day as | Economic Hedge of fair value risk | $ | 420 | ||||
the consolidated obligation debt. | Fair Value Hedge | $ | 8,580 | |||||
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 |
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Economic | Short-Cut1 | Long-Haul1 | Total | |||||||||||||||||||||||||||||
Derivative Hedging by Product Type: | Notional | Fair Value | Notional | Fair Value | Notional | Fair Value | Notional | Fair Value | ||||||||||||||||||||||||
Advances | $ | 1,667,700 | $ | (128,607 | ) | $ | 44,299,470 | $ | (3,624,901 | ) | $ | 17,374,137 | $ | (2,133,752 | ) | $ | 63,341,307 | $ | (5,887,260 | ) | ||||||||||||
Consolidated bonds-SFAS 133 qualifying | — | — | 14,569,500 | 521,369 | 8,339,689 | 706,280 | 22,909,189 | 1,227,649 | ||||||||||||||||||||||||
Consolidated bonds-SFAS 159 designated | 983,000 | 7,699 | — | — | — | — | 983,000 | 7,699 | ||||||||||||||||||||||||
Consolidated bonds- Economic hedges | 38,023,442 | 52,195 | — | — | — | — | 38,023,442 | 52,195 | ||||||||||||||||||||||||
Mortgage commitments | 10,395 | (108 | ) | — | — | — | — | 10,395 | (108 | ) | ||||||||||||||||||||||
Caps and floors | 2,357,000 | 8,174 | — | — | — | — | 2,357,000 | 8,174 | ||||||||||||||||||||||||
Others — intermediation | 300,000 | 484 | — | — | — | — | 300,000 | 484 | ||||||||||||||||||||||||
Total | $ | 43,341,537 | $ | (60,163 | ) | $ | 58,868,970 | $ | (3,103,532 | ) | $ | 25,713,826 | $ | (1,427,472 | ) | $ | 127,924,333 | $ | (4,591,167 | ) | ||||||||||||
SFAS 133 Hedge Classification: | ||||||||||||||||||||||||||||||||
Fair value hedges | $ | 12,641,142 | $ | (12,700 | ) | $ | 58,868,970 | $ | (3,103,532 | ) | $ | 25,713,826 | $ | (1,427,472 | ) | $ | 97,223,938 | $ | (4,543,704 | ) | ||||||||||||
Cash flow hedges | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Economic: | ||||||||||||||||||||||||||||||||
FVO- Interest Rate Swaps | 983,000 | 7,699 | — | — | — | — | 983,000 | 7,699 | ||||||||||||||||||||||||
Intermediation | 300,000 | 484 | — | — | — | — | 300,000 | 484 | ||||||||||||||||||||||||
Economic hedges -assets/liabilities | 25,425,395 | (57,812 | ) | — | — | — | — | 25,425,395 | (57,812 | ) | ||||||||||||||||||||||
Balance sheet hedges | 2,100,000 | (5,998 | ) | — | — | — | — | 2,100,000 | (5,998 | ) | ||||||||||||||||||||||
Caps and floors | 1,892,000 | 8,164 | — | — | — | — | 1,892,000 | 8,164 | ||||||||||||||||||||||||
Total | $ | 43,341,537 | $ | (60,163 | ) | $ | 58,868,970 | $ | (3,103,532 | ) | $ | 25,713,826 | $ | (1,427,472 | ) | $ | 127,924,333 | $ | (4,591,167 | ) | ||||||||||||
December 31, 2007 | ||||||||||||||||||||||||||||||||
Economic | Short-Cut1 | Long-Haul1 | Total | |||||||||||||||||||||||||||||
Derivative Hedging by Product Type: | Notional | Fair Value | Notional | Fair Value | Notional | Fair Value | Notional | Fair Value | ||||||||||||||||||||||||
Advances | $ | — | $ | — | $ | 41,363,748 | $ | (1,313,860 | ) | $ | 5,589,550 | $ | (181,195 | ) | $ | 46,953,298 | $ | (1,495,055 | ) | |||||||||||||
Consolidated bonds-SFAS 133 qualifying | — | — | 15,212,265 | 52,139 | 19,728,250 | 199,312 | 34,940,515 | 251,451 | ||||||||||||||||||||||||
Consolidated bonds- Economic hedges | 1,538,100 | 5,454 | — | — | — | — | 1,538,100 | 5,454 | ||||||||||||||||||||||||
Mortgage commitments | 1,351 | 5 | — | — | — | — | 1,351 | 5 | ||||||||||||||||||||||||
Caps and floors | 1,157,694 | 2 | — | — | — | — | �� | 1,157,694 | 2 | |||||||||||||||||||||||
Others — intermediation | 70,000 | 22 | — | — | — | — | 70,000 | 22 | ||||||||||||||||||||||||
Total | $ | 2,767,145 | $ | 5,483 | $ | 56,576,013 | $ | (1,261,721 | ) | $ | 25,317,800 | $ | 18,117 | $ | 84,660,958 | $ | (1,238,121 | ) | ||||||||||||||
SFAS 133 Hedge Classification: | ||||||||||||||||||||||||||||||||
Fair value hedges | $ | — | $ | — | $ | 56,576,013 | $ | (1,261,721 | ) | $ | 25,190,300 | $ | 18,294 | $ | 81,766,313 | $ | (1,243,427 | ) | ||||||||||||||
Cash flow hedges | — | — | — | — | 127,500 | (177 | ) | 127,500 | (177 | ) | ||||||||||||||||||||||
Economic: | ||||||||||||||||||||||||||||||||
Intermediation | 70,000 | 22 | — | — | — | — | 70,000 | 22 | ||||||||||||||||||||||||
Economic hedges -assets/liabilities | 1,539,451 | 5,459 | — | — | — | — | 1,539,451 | 5,459 | ||||||||||||||||||||||||
Caps and floors | 1,157,694 | 2 | — | — | — | — | 1,157,694 | 2 | ||||||||||||||||||||||||
Total | $ | 2,767,145 | $ | 5,483 | $ | 56,576,013 | $ | (1,261,721 | ) | $ | 25,317,800 | $ | 18,117 | $ | 84,660,958 | $ | (1,238,121 | ) | ||||||||||||||
Short-cut— Highly effective hedging relationships that use interest rate swaps as the hedging instrument to hedge a recognized asset or liability and that meet criteria under paragraph 68 of SFAS 133 to qualify for an assumption of no ineffectiveness. The short-cut method allows the FHLBNY to assume that the change in fair value of the hedged item attributable to interest rates equals the change in fair value of the derivative during the life of the hedge. | ||
Long-haul— For a hedging relationship that does not qualify for the short-cut method, the FHLBNY measures hedge effectiveness by assessing and recording the change in fair value of the hedged item attributable to the risk being hedged separately from the change in fair value of the derivative. |
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December 31, | ||||||||||||||||
2008 | 2007 | |||||||||||||||
Total estimated | Total estimated | |||||||||||||||
fair value | fair value | |||||||||||||||
(excluding | (excluding | |||||||||||||||
Total notional | accrued | Total notional | accrued | |||||||||||||
amount | interest) | amount | interest) | |||||||||||||
Fair value hedges under SFAS 133 | ||||||||||||||||
Advances-fair value hedges | $ | 61,673,607 | $ | (5,758,653 | ) | $ | 46,953,298 | $ | (1,495,055 | ) | ||||||
Consolidated obligations-fair value hedges | 22,909,189 | 1,227,649 | 34,813,015 | 251,628 | ||||||||||||
Cash Flow-anticipated transactions | — | — | 127,500 | (177 | ) | |||||||||||
Economic hedges | ||||||||||||||||
Advances-economic hedges | 1,082,700 | (24,520 | ) | 1,157,694 | 2 | |||||||||||
Consolidated obligations-economic hedges | 36,973,442 | (45,884 | ) | 1,538,100 | 5,454 | |||||||||||
MPF loan-commitments | 10,395 | (108 | ) | 1,351 | 5 | |||||||||||
Balance sheet (Caps)-economic hedges | 1,892,000 | 8,164 | — | — | ||||||||||||
Intermediary positions-economic hedges | 300,000 | 484 | 70,000 | 22 | ||||||||||||
Macro hedges | 2,100,000 | (5,998 | ) | — | — | |||||||||||
FVO-Designated derivatives (Economic hedges) | ||||||||||||||||
Interest rate swaps-CO Bonds | 983,000 | 7,699 | — | — | ||||||||||||
Total notional and fair value | $ | 127,924,333 | $ | (4,591,167 | ) | $ | 84,660,958 | $ | (1,238,121 | ) | ||||||
Total derivatives, excluding accrued interest | $ | (4,591,167 | ) | $ | (1,238,121 | ) | ||||||||||
Cash collateral pledged to counterparties | 3,836,370 | 396,400 | ||||||||||||||
Cash collateral received from counterparties | (61,209 | ) | (41,300 | ) | ||||||||||||
Accrued interest | (25,418 | ) | 238,657 | |||||||||||||
Net derivative balance | $ | (841,424 | ) | $ | (644,364 | ) | ||||||||||
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2008 | ||||||||||||||||||||||||||||
Consolidated | Consolidated | |||||||||||||||||||||||||||
MPF | Obligation | Obligation | Intermediary | |||||||||||||||||||||||||
Earnings Impact | Advances | Loans | Bonds | Discount Notes | Balance Sheet | Positions | Total | |||||||||||||||||||||
Amortization/accretion of hedging activities reported in net interest income | $ | (2,472 | ) | $ | 81 | $ | (459 | ) | $ | — | $ | — | $ | — | $ | (2,850 | ) | |||||||||||
Net realized and unrealized gains (losses) on derivatives and hedging activities | 31,838 | — | (43,539 | ) | (333 | ) | — | — | (12,034 | ) | ||||||||||||||||||
Net gains (losses) derivatives-FVO | — | — | 7,193 | — | — | — | 7,193 | |||||||||||||||||||||
Gains (losses)- Economic hedges | (22,656 | ) | (3 | ) | (159,686 | ) | 8,142 | (20,695 | ) | 480 | (194,418 | ) | ||||||||||||||||
Reported in Other Income | 9,182 | (3 | ) | (196,032 | ) | 7,809 | (20,695 | ) | 480 | (199,259 | ) | |||||||||||||||||
Total | $ | 6,710 | $ | 78 | $ | (196,491 | ) | $ | 7,809 | $ | (20,695 | ) | $ | 480 | $ | (202,109 | ) | |||||||||||
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 | ||||||||||||
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Years ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Beginning of period | $ | (30,215 | ) | $ | (4,763 | ) | $ | 5,352 | ||||
Net hedging transactions | (6,100 | ) | (26,114 | ) | (7,897 | ) | ||||||
Reclassified into earnings | 6,124 | 662 | (2,218 | ) | ||||||||
End of period | $ | (30,191 | ) | $ | (30,215 | ) | $ | (4,763 | ) | |||
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December 31, 2008 | ||||||||||||||||
Total Net | ||||||||||||||||
Number of | Notional | Exposure at | Net Exposure | |||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | after Collateral | ||||||||||||
AAA | 1 | $ | 9,167,456 | $ | — | $ | — | |||||||||
AA | 6 | 39,939,946 | — | — | ||||||||||||
A | 7 | 78,656,536 | 64,890 | 3,681 | ||||||||||||
Members | 3 | 150,000 | 8,465 | — | ||||||||||||
Delivery Commitments | — | 10,395 | — | — | ||||||||||||
Total | 17 | $ | 127,924,333 | $ | 73,355 | $ | 3,681 | |||||||||
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 | |||||||||
• | 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. See additional description of regression analysis in following paragraphs. |
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• | 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, 2008 | $ | 2,022 | $ | 66,246 | $ | 64,224 | ||||||
September 30, 2008 | 1,657 | 55,038 | 53,381 | |||||||||
June 30, 2008 | 2,239 | 51,053 | 48,814 | |||||||||
March 31, 2008 | 2,091 | 47,764 | 45,673 | |||||||||
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 |
Average Balance Sheet | Average Actual | |||||||||||
For the quarters ended | Liquidity Requirement | Operational Liquidity | Excess | |||||||||
December 31, 2008 | $ | 8,226 | $ | 14,827 | $ | 6,601 | ||||||
September 30, 2008 | 7,548 | 21,337 | 13,789 | |||||||||
June 30, 2008 | 7,440 | 20,018 | 12,578 | |||||||||
March 31, 2008 | 5,229 | 18,232 | 13,003 | |||||||||
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 |
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Average Five Day | Average Actual | |||||||||||
For the quarters ended | Requirement | Contingency Liquidity | Excess | |||||||||
December 31, 2008 | $ | 4,727 | $ | 12,930 | $ | 8,203 | ||||||
September 30, 2008 | 4,210 | 18,795 | 14,585 | |||||||||
June 30, 2008 | 3,948 | 17,186 | 13,238 | |||||||||
March 31, 2008 | 4,887 | 16,382 | 11,495 | |||||||||
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 |
• | Cash; |
• | Obligations of, or fully guaranteed by, the United States; |
• | Secured advances; |
• | Mortgages that have any guaranty, insurance, or commitment from the United States or any agency of the United States; |
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• | Investments described in section 16(a) of the FHLBank Act, including securities that a fiduciary or trust fund may purchase under the laws of the state in which the FHLBank is located; and |
• | Other securities that are rated Aaa by Moody’s or AAA by Standard & Poor’s. |
December 31, | ||||||||
2008 | 2007 | |||||||
Consolidated Obligations: | ||||||||
Bonds | $ | 82,256,705 | $ | 66,325,817 | ||||
Discount Notes | 46,329,906 | 34,791,570 | ||||||
Total consolidated obligations | 128,586,611 | 101,117,387 | ||||||
Unpledged assets | ||||||||
Cash | 18,899 | 7,909 | ||||||
Less: Member pass-through reserves at the FRB | (31,003 | ) | (19,584 | ) | ||||
Secured Advances | 109,152,876 | 82,089,667 | ||||||
Investments1 | 26,364,661 | 24,979,228 | ||||||
Mortgage loans | 1,457,885 | 1,491,628 | ||||||
Other loans2 | — | — | ||||||
Accrued interest receivable on advances and investments | 492,856 | 562,323 | ||||||
Less: Pledged Assets | (2,669 | ) | — | |||||
137,453,505 | 109,111,171 | |||||||
Excess unpledged assets | $ | 8,866,894 | $ | 7,993,784 | ||||
1 | The Bank pledged $2.7 million to the FDIC see Note 5- Held-to-maturity securities. The Bank also provided to the U.S. Treasury a listing of $16.3 billion in advances with respect to a lending agreement. See Note 20 — Commitments and Contingencies. | |
2 | Excludes $55 million overnight loan to another FHLBank as of December 31, 2007. |
December 31, 2008 | December 31, 2007 | |||||||||||||||
Actual | Limits | Actual | Limits | |||||||||||||
Mortgage securities investment authority1 | 207 | % | 300 | % | 198 | % | 300 | % | ||||||||
1 | The measurement date is on a one-month “look-back” basis. |
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December 31, | Percentage | Percentage | ||||||||||||||||||
2008 | 2007 | 2006 | Variance 2008 | Variance 2007 | ||||||||||||||||
Interest Income | ||||||||||||||||||||
Advances | $ | 3,030,799 | $ | 3,495,312 | $ | 3,302,174 | (13.29 | )% | 5.85 | % | ||||||||||
Interest-bearing deposits | 28,012 | 3,333 | 2,744 | 740.44 | 21.47 | |||||||||||||||
Federal funds sold | 77,976 | 192,845 | 145,420 | (59.57 | ) | 32.61 | ||||||||||||||
Available-for-sale securities | 80,746 | — | — | NA | — | |||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||
Long-term securities | 531,151 | 596,761 | 580,002 | (10.99 | ) | 2.89 | ||||||||||||||
Certificates of deposit | 232,300 | 408,308 | 297,742 | (43.11 | ) | 37.13 | ||||||||||||||
Mortgage loans held-for-portfolio | 77,862 | 78,937 | 76,111 | (1.36 | ) | 3.71 | ||||||||||||||
Loans to other FHLBanks and other | 33 | 9 | 54 | 266.67 | (83.33 | ) | ||||||||||||||
Total interest income | $ | 4,058,879 | $ | 4,775,505 | $ | 4,404,247 | (15.01 | )% | 8.43 | % | ||||||||||
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Years ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Advance Interest Income | ||||||||||||
Advance interest income before adjustment for interest rate swaps | $ | 3,483,979 | $ | 3,139,311 | $ | 3,065,361 | ||||||
Net interest adjustment from interest rate swaps | (453,180 | ) | 356,001 | 236,813 | ||||||||
Total Advance interest income reported | $ | 3,030,799 | $ | 3,495,312 | $ | 3,302,174 | ||||||
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December 31, | Percentage | Percentage | ||||||||||||||||||
2008 | 2007 | 2006 | Variance 2008 | Variance 2007 | ||||||||||||||||
Interest Expense | ||||||||||||||||||||
Consolidated obligations-bonds | $ | 2,620,431 | $ | 3,215,560 | $ | 2,944,241 | (18.51 | )% | 9.22 | % | ||||||||||
Consolidated obligations-discount notes | 697,729 | 937,534 | 901,978 | (25.58 | ) | 3.94 | ||||||||||||||
Deposits | 36,193 | 106,777 | 81,442 | (66.10 | ) | 31.11 | ||||||||||||||
Mandatorily redeemable capital stock | 8,984 | 11,731 | 3,086 | (23.42 | ) | 280.14 | ||||||||||||||
Cash collateral held and other borrowings | 1,044 | 4,516 | 3,382 | (76.88 | ) | 33.53 | ||||||||||||||
Total interest expense | $ | 3,364,381 | $ | 4,276,118 | $ | 3,934,129 | (21.32 | )% | 8.69 | % | ||||||||||
Years ended December 31, | ||||||||||||||||||||||||
Percentage of | Percentage of | Percentage of | ||||||||||||||||||||||
2008 | total | 2007 | total | 2006 | total | |||||||||||||||||||
Fixed-rate Bonds | $ | 2,052,066 | 56.13 | % | $ | 2,710,748 | 68.13 | % | $ | 2,538,401 | 71.69 | % | ||||||||||||
Floating-rate Bonds | 906,452 | 24.79 | 330,709 | 8.31 | 100,445 | 2.84 | ||||||||||||||||||
Discount Notes | 697,729 | 19.08 | 937,535 | 23.56 | 901,978 | 25.47 | ||||||||||||||||||
3,656,247 | 100.00 | % | 3,978,992 | 100.00 | % | 3,540,824 | 100.00 | % | ||||||||||||||||
Net Impact of interest rate swaps | (338,087 | ) | 174,102 | 305,395 | ||||||||||||||||||||
Reported Interest Expense | $ | 3,318,160 | $ | 4,153,094 | $ | 3,846,219 | ||||||||||||||||||
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Years ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Consolidated bonds and discount notes-Interest expense | ||||||||||||
Bonds — Interest expense before adjustment for swaps | $ | 2,958,518 | $ | 3,041,458 | $ | 2,638,846 | ||||||
Discount notes — Interest expense before adjustment for swaps | 697,729 | 937,534 | 901,978 | |||||||||
Net interest adjustment for interest rate swaps | (338,087 | ) | 174,102 | 305,395 | ||||||||
Total Consolidated bonds-interest expense reported | $ | 3,318,159 | $ | 4,153,094 | $ | 3,846,219 | ||||||
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December 31, | Percentage | Percentage | ||||||||||||||||||
2008 | 2007 | 2006 | Variance 2008 | Variance 2007 | ||||||||||||||||
Interest Income | ||||||||||||||||||||
Advances | $ | 3,030,799 | $ | 3,495,312 | $ | 3,302,174 | (13.29 | )% | 5.85 | % | ||||||||||
Interest-bearing deposits | 28,012 | 3,333 | 2,744 | 740.44 | 21.47 | |||||||||||||||
Federal funds sold | 77,976 | 192,845 | 145,420 | (59.57 | ) | 32.61 | ||||||||||||||
Available-for-sale securities | 80,746 | — | — | NA | — | |||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||
Long-term securities | 531,151 | 596,761 | 580,002 | (10.99 | ) | 2.89 | ||||||||||||||
Certificates of deposit | 232,300 | 408,308 | 297,742 | (43.11 | ) | 37.13 | ||||||||||||||
Mortgage loans held-for-portfolio | 77,862 | 78,937 | 76,111 | (1.36 | ) | 3.71 | ||||||||||||||
Loans to other FHLBanks and other | 33 | 9 | 54 | 266.67 | (83.33 | ) | ||||||||||||||
Total interest income | 4,058,879 | 4,775,505 | 4,404,247 | (15.01 | ) | 8.43 | ||||||||||||||
Interest Expense | ||||||||||||||||||||
Consolidated obligations-bonds | 2,620,431 | 3,215,560 | 2,944,241 | (18.51 | ) | 9.22 | ||||||||||||||
Consolidated obligations-discount notes | 697,729 | 937,534 | 901,978 | (25.58 | ) | 3.94 | ||||||||||||||
Deposits | 36,193 | 106,777 | 81,442 | (66.10 | ) | 31.11 | ||||||||||||||
Mandatorily redeemable capital stock | 8,984 | 11,731 | 3,086 | (23.42 | ) | 280.14 | ||||||||||||||
Cash collateral held and other borrowings | 1,044 | 4,516 | 3,382 | (76.88 | ) | 33.53 | ||||||||||||||
Total interest expense | 3,364,381 | 4,276,118 | 3,934,129 | (21.32 | ) | 8.69 | ||||||||||||||
Net interest income before provision for credit losses | $ | 694,498 | $ | 499,387 | $ | 470,118 | 39.07 | % | 6.23 | % | ||||||||||
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Years ended December 31, | ||||||||||||||||||||||||||||||||||||
2008 | 2007 | 2006 | ||||||||||||||||||||||||||||||||||
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 | $ | 92,616,501 | $ | 3,030,799 | 3.27 | % | $ | 65,454,319 | $ | 3,495,312 | 5.34 | % | $ | 64,657,774 | $ | 3,302,174 | 5.11 | % | ||||||||||||||||||
Certificates of deposit and others | 7,802,425 | 251,600 | 3.22 | 7,689,475 | 411,641 | 5.35 | 6,005,662 | 300,486 | 5.00 | |||||||||||||||||||||||||||
Federal funds sold and other overnight funds | 4,333,408 | 86,688 | 2.00 | 3,741,385 | 192,845 | 5.15 | 2,851,611 | 145,420 | 5.10 | |||||||||||||||||||||||||||
Investments | 12,441,712 | 611,897 | 4.92 | 10,798,926 | 596,761 | 5.53 | 10,632,295 | 580,002 | 5.46 | |||||||||||||||||||||||||||
Mortgage and other loans | 1,467,561 | 77,895 | 5.31 | 1,502,320 | 78,946 | 5.25 | 1,471,434 | 76,165 | 5.18 | |||||||||||||||||||||||||||
Total interest-earning assets | $ | 118,661,607 | $ | 4,058,879 | 3.42 | % | $ | 89,186,425 | $ | 4,775,505 | 5.35 | % | $ | 85,618,776 | $ | 4,404,247 | 5.14 | % | ||||||||||||||||||
Funded By: | ||||||||||||||||||||||||||||||||||||
Consolidated obligations-bonds | $ | 81,341,452 | $ | 2,620,431 | 3.22 | $ | 63,276,726 | $ | 3,215,560 | 5.08 | $ | 60,932,425 | $ | 2,944,241 | 4.83 | |||||||||||||||||||||
Consolidated obligations-discount notes | 28,349,373 | 697,729 | 2.46 | 18,956,390 | 937,534 | 4.95 | 18,381,469 | 901,978 | 4.91 | |||||||||||||||||||||||||||
Interest-bearing deposits and other borrowings | 2,058,389 | 37,237 | 1.81 | 2,285,523 | 111,293 | 4.87 | 1,773,104 | 84,824 | 4.78 | |||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 166,372 | 8,984 | 5.40 | 146,286 | 11,731 | 8.02 | 50,948 | 3,086 | 6.06 | |||||||||||||||||||||||||||
Total interest-bearing liabilities | 111,915,586 | 3,364,381 | 3.01 | % | 84,664,925 | 4,276,118 | 5.05 | % | 81,137,946 | 3,934,129 | 4.85 | % | ||||||||||||||||||||||||
Capital and other non-interest- bearing funds | 6,746,021 | — | 4,521,500 | — | 4,480,830 | — | ||||||||||||||||||||||||||||||
Total Funding | $ | 118,661,607 | $ | 3,364,381 | $ | 89,186,425 | $ | 4,276,118 | $ | 85,618,776 | $ | 3,934,129 | ||||||||||||||||||||||||
Net Interest Income/Spread | $ | 694,498 | 0.41 | % | $ | 499,387 | 0.30 | % | $ | 470,118 | 0.29 | % | ||||||||||||||||||||||||
Net Interest Margin (Net interest income/Earning Assets) | 0.59 | % | 0.56 | % | 0.55 | % | ||||||||||||||||||||||||||||||
1 | Reported yields with respect to advances and debt may not necessarily equal the coupons on the instruments as derivatives are extensively used to change the yield and optionality characteristics of the underlying hedged items. When fixed-rate debt is issued by the Bank and hedged with an interest rate derivative, it effectively converts the debt into a simple floating-rate bond. Similarly, the Bank makes fixed-rate advances to members and hedges the advance with a pay-fixed, receive-variable interest rate derivative that effectively converts the fixed-rate asset to one that floats with prevailing LIBOR rates. Average balance sheet information is presented as it is more representative of activity throughout the periods presented. For most components of the average balances, a daily weighted average balance is calculated for the period. When daily weighted average balance information is not available, a simple monthly average balance is calculated. Average yields are derived by dividing income by the average balances of the related assets and average costs are derived by dividing expenses by the average balances of the related liabilities. |
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For the years ended | ||||||||||||
December 31, 2008 vs. December 31, 2007 | ||||||||||||
Increase (decrease) | ||||||||||||
Volume | Rate | Total | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 1,450,481 | $ | (1,914,994 | ) | $ | (464,513 | ) | ||||
Certificates of deposit and others | 6,047 | (166,088 | ) | (160,041 | ) | |||||||
Federal funds sold and other overnight funds | 30,516 | (136,673 | ) | (106,157 | ) | |||||||
Investments | 90,782 | (75,646 | ) | 15,136 | ||||||||
Mortgage loans and other loans | (1,827 | ) | 776 | (1,051 | ) | |||||||
Total interest income | 1,575,999 | (2,292,625 | ) | (716,626 | ) | |||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | 918,002 | (1,513,131 | ) | (595,129 | ) | |||||||
Consolidated obligations-discount notes | 464,553 | (704,358 | ) | (239,805 | ) | |||||||
Deposits and borrowings | (11,060 | ) | (62,996 | ) | (74,056 | ) | ||||||
Mandatorily redeemable capital stock | 1,611 | (4,358 | ) | (2,747 | ) | |||||||
Total interest expense | 1,373,106 | (2,284,843 | ) | (911,737 | ) | |||||||
Changes in Net Interest Income | $ | 202,893 | $ | (7,782 | ) | $ | 195,111 | |||||
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 | ||||||
Certificates of deposit and others | 84,247 | 26,908 | 111,155 | |||||||||
Federal funds sold and other overnight funds | 45,375 | 2,050 | 47,425 | |||||||||
Investments | 9,090 | 7,669 | 16,759 | |||||||||
Mortgage loans and other loans | 1,599 | 1,182 | 2,781 | |||||||||
Total interest income | 180,992 | 190,266 | 371,258 | |||||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | 113,276 | 158,043 | 271,319 | |||||||||
Consolidated obligations-discount notes | 28,212 | 7,344 | 35,556 | |||||||||
Deposits and borrowings | 24,514 | 1,955 | 26,469 | |||||||||
Mandatorily redeemable capital stock | 5,774 | 2,871 | 8,645 | |||||||||
Total interest expense | 171,776 | 170,213 | 341,989 | |||||||||
Changes in Net Interest Income | $ | 9,216 | $ | 20,053 | $ | 29,269 | ||||||
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Years ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Other income (loss): | ||||||||||||
Service fees | $ | 3,357 | $ | 3,324 | $ | 3,368 | ||||||
Instruments held at fair value | (8,325 | ) | — | — | ||||||||
Net realized and unrealized gain (loss) on derivatives and hedging activities | (199,259 | ) | 18,356 | 9,676 | ||||||||
Net realized gain from sale of available-for-sale and held-to-maturity securities | 1,058 | — | — | |||||||||
Provision for derivative counterparty credit losses | (64,523 | ) | — | — | ||||||||
Extinguishment of debt and other | 233 | (8,180 | ) | (26,283 | ) | |||||||
Total other income (loss) | $ | (267,459 | ) | $ | 13,500 | $ | (13,239 | ) | ||||
Years ended December 31, | ||||||||||||
2008 | 20072 | 20062 | ||||||||||
Earnings impact of derivatives and hedging activities gain (loss): | ||||||||||||
SFAS 133 Hedging | ||||||||||||
Cash flow hedge-ineffectiveness | $ | (9 | ) | $ | 9 | $ | — | |||||
Fair value hedges-ineffectiveness | (12,025 | ) | 5,910 | 3,150 | ||||||||
Economic Hedging | ||||||||||||
Economic hedges-fair value changes-options | (40,773 | ) | (2,611 | ) | (6,604 | ) | ||||||
Interest income-options | 101 | 3,630 | 7,862 | |||||||||
Economic hedges-fair value changes-MPF delivery commitments | (3 | ) | (171 | ) | 22 | |||||||
Fair value changes-economic hedges1 | (45,239 | ) | 9,695 | 4,666 | ||||||||
Interest expense-economic hedges1 | (126,533 | ) | 1,894 | 580 | ||||||||
Macro hedge-swaps | 18,029 | — | — | |||||||||
Fair value matched to hedge liabilities designated under SFAS 159 | ||||||||||||
Fair value changes-interest rate swaps | 7,193 | — | — | |||||||||
Net impact on derivatives and hedging activities | $ | (199,259 | ) | $ | 18,356 | $ | 9,676 | |||||
1 | Includes de minimis amount of net gains on member intermediated swaps. | |
2 | Presentations for prior periods have been conformed to match current period presentation and had no impact on the Net gains (losses) on derivatives and hedging activities |
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• | Debt hedging- Changes in the benchmark interest rate (LIBOR for the Bank) and implied volatilities of interest rates (i.e., market’s expectation of potential changes in future interest rates) of fair value hedges using receive-fixed, pay-variable swaps hedges of the Bank’s hedged debt resulted in a net loss of $43.9 million in 2008, compared to a loss of $2.1 million and $0.4 million in 2007 and 2006. Significant amounts of consolidated obligation debt hedged in 2008 did not qualify for “short-cut” accounting under the provisions of SFAS 133 and were accounted as “long-haul” hedges. Long-haul hedges do not automatically assume “no-ineffectiveness”. In prior years, the assumption of “no-ineffectiveness” under the “short-cut” method for a greater percentage of hedges resulted in relative little ineffectiveness. |
• | Advance Hedging- Changes in the benchmark interest rate (LIBOR for the Bank) and the implied volatilities of interest rates of fair value hedges using pay-fixed, receive-variable swaps associated with the Bank’s hedged advances resulted in net gain of $31.8 million in 2008, compared to $8.0 million and $3.5 million in 2007 and 2006. In the current year third quarter, the Bank replaced a significant number of swaps that had been executed with Lehman Brothers Special Financing Inc. The swaps had been accounted for under the provisions of SFAS 133 in short-cut hedging relationship. At hedge termination, the short-cut hedges were de-designated and upon replacement, the hedges were re-designated in long-haul hedges and resulted in the recognition of fair value basis adjustment gains in the balance sheet in the third quarter of 2008; the basis gains from the de-designation are also unrealized and will be amortized as a charge to earnings over future periods. |
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• | Changes in the fair values of interest rate swaps and options in an economic hedge in 2008 were a charge to income of $92.0 million, compared to $6.9 million and $1.9 million in 2007 and 2006. The charges primarily represented unrealized losses. The unrealized loss was partly offset by realized gains of $24.0 million in the third quarter of 2008 when swaps that had been executed to economically hedge balance sheet portfolio risk were no longer necessary and were terminated. |
• | Interest payments and accruals associated with derivatives designated as economic was a net expense and a charge of $126.4 million was recorded in Other income as a Net realized and unrealized loss from hedging activities, compared to a charge of $5.5 million in 2007 and an income of $8.4 million in 2006. |
• | Changes in fair values of swaps in an economic hedge of consolidated obligation bonds accounted under SFAS 159, “Fair Value Option”, was an unrealized gain of $7.2 million in 2008. The accounting under SFAS 159 was introduced for the first time in the third quarter of 2008. |
• | In 2008, the Bank issued $10.6 billion in floating-rate bonds indexed with a spread to 1-month LIBOR and $14.4 billion indexed with spreads to the Prime and the Federal funds effective rates. Simultaneous with the issuance of the debt, the Bank executed interest-rate basis swaps that required the swap counterparties to pay to the FHLBNY, on the receive-leg of the swap, interest cash flows that matched the Bank’s interest payment obligations to investors on the debt — spreads to Prime, Federal funds effective rate and 1-month LIBOR. In exchange the Bank was required to pay the swap counterparty a spread to the 3-month LIBOR index on the pay-leg of the swap. This exchange of cash flows made the Bank indifferent to changes in the relationship between the 3-month LIBOR and the non-LIBOR indices from an economic perspective. Because, the Bank designated the basis swaps as economic hedges, the fair value changes of the swaps in relationship to 3-month LIBOR were “marked-to-market” without the benefit of offsetting changes in the fair values of the floating debt. In the current interest-rate environment, the historical relationships between 3-month LIBOR and the 1-month LIBOR rate, the Prime rate and the Federal funds effective rates have been extraordinarily volatile. The historical spreads have narrowed causing the forward basis spreads to narrow as well resulting in unrealized fair value losses. Fair values in an unrealized loss will be recaptured as the swaps are typically held to maturity. |
• | In the second quarter of 2008, the Bank had purchased $1.9 billion of interest-rate caps with final maturities in 2018 and strikes ranging from 6.20% to 6.75% indexed mainly to 1-month LIBOR. The caps were purchased at a cost $46.9 million. In addition, the Bank also has interest rate caps that had been acquired in prior years to offset the future interest rate risk from caps on variable-rate advances sold to members. The aggregate fair values of all caps declined in a lower interest rate environment resulting in a charge of $40.8 million in 2008, compared to charges of $2.6 million and $6.7 million in 2007 and 2006. |
• | Notional amounts of $2.1 billion of interest rate swaps in economic portfolio hedges of the balance sheet remained outstanding at December 31, 2008 and changes in the fair values of the swaps resulted in the recording of $6.0 million in unrealized losses at December 31, 2008. |
• | In the second half of 2008, the Bank executed $1.0 billion in notional amounts of interest rate swaps to offset the fair value volatility of consolidated obligation bonds elected under SFAS 159, “Fair Value Option for Financial Assets and Financial Liabilities", and the swaps were considered to be economic hedges, and “marked to market” through earnings, resulting in a charge of $7.2 million. |
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Years ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Other expenses: | ||||||||||||
Operating | $ | 66,263 | $ | 66,569 | $ | 63,203 | ||||||
Finance Agency and Office of Finance | 6,395 | 5,193 | 5,140 | |||||||||
Total other expenses | $ | 72,658 | $ | 71,762 | $ | 68,343 | ||||||
Years ended December 31, | ||||||||||||||||||||||||
Percentage | Percentage | Percentage | ||||||||||||||||||||||
2008 | of total | 2007 | of total | 2006 | of total | |||||||||||||||||||
Salaries and employee benefits | $ | 44,370 | 66.96 | % | $ | 44,740 | 67.21 | % | $ | 41,292 | 65.33 | % | ||||||||||||
Temporary workers | 282 | 0.43 | 125 | 0.19 | 257 | 0.41 | ||||||||||||||||||
Occupancy | 4,079 | 6.16 | 3,957 | 5.94 | 3,732 | 5.91 | ||||||||||||||||||
Depreciation and leasehold amortization | 4,971 | 7.50 | 4,498 | 6.76 | 3,903 | 6.17 | ||||||||||||||||||
Computer service agreements and contractual services | 5,053 | 7.62 | 5,202 | 7.81 | 4,519 | 7.15 | ||||||||||||||||||
Professional and legal fees | 2,469 | 3.73 | 2,538 | 3.81 | 3,786 | 5.99 | ||||||||||||||||||
Other | 5,039 | 7.60 | 5,509 | 8.28 | 5,714 | 9.04 | ||||||||||||||||||
Total operating expenses | $ | 66,263 | 100.00 | % | $ | 66,569 | 100.00 | % | $ | 63,203 | 100.00 | % | ||||||||||||
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Years ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Beginning balance | $ | 119,052 | $ | 101,898 | $ | 91,004 | ||||||
Additions from current period’s assessments | 29,783 | 37,204 | 32,031 | |||||||||
Net disbursements for grants and programs | (26,386 | ) | (20,050 | ) | (21,137 | ) | ||||||
Ending balance | $ | 122,449 | $ | 119,052 | $ | 101,898 | ||||||
Years ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Beginning balance | $ | 23,998 | $ | 17,475 | $ | 14,062 | ||||||
Additions from current period’s assessments | 64,765 | 80,776 | 71,299 | |||||||||
Net disbursements to REFCORP | (83,983 | ) | (74,253 | ) | (67,886 | ) | ||||||
Ending balance | $ | 4,780 | $ | 23,998 | $ | 17,475 | ||||||
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2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||
Advances | $ | 109,152,876 | $ | 82,089,667 | $ | 59,012,394 | $ | 61,901,534 | $ | 68,507,487 | ||||||||||
Mortgage loans before allowance for credit losses | $ | 1,459,291 | $ | 1,492,261 | $ | 1,484,012 | $ | 1,467,525 | $ | 1,178,590 | ||||||||||
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December 31, 2008 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | Interest | ||||||||||||||
City | State | Advances | of Advances | Income | ||||||||||||
Hudson City Savings Bank 1 | Paramus | NJ | $ | 17,525,000 | 17.0 | % | $ | 671,146 | ||||||||
Metropolitan Life Insurance Company | New York | NY | 15,105,000 | 14.6 | 260,420 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 7,999,689 | 7.7 | 257,649 | |||||||||||
New York Community Bank 1 | Westbury | NY | 7,796,517 | 7.5 | 337,019 | |||||||||||
Astoria Federal Savings and Loan Assn | Long Island City | NY | 3,738,000 | 3.6 | 151,066 | |||||||||||
Total | $ | 52,164,206 | 50.4 | % | $ | 1,677,300 | ||||||||||
1 | Officer of member bank also serves on the Board of Directors of the FHLBNY. |
December 31, 2007 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | Interest | ||||||||||||||
City | State | Advances | of Advances | 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 Life Insurance Company | New York | NY | 4,555,000 | 5.7 | 81,724 | |||||||||||
Total | $ | 38,898,835 | 48.3 | % | $ | 1,356,755 | ||||||||||
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December 31, 2006 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | Interest | ||||||||||||||
City | State | Advances | of Advances | 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 | ||||||||||
Ultimate | Member of | Advances | ||||||
Former Member | Acquiree Bank | FHLB | as of December 31, 2008 | |||||
Citizens Bank, National Association | RBS Citizens, National Association | Boston | $ | 1,500,000 | ||||
Independence Community Bank | Sovereign Bank | Pittsburgh | 575,000 | |||||
The Yardville National Bank | PNC Bank, N.A. | Pittsburgh | 223,000 | |||||
Summit Bank | Bank of America, N.A. | Atlanta | 215,516 | |||||
Susquehanna Patriot Bank | Susquehanna Bank | Pittsburgh | 100,000 | |||||
Others | Various | Various | 89,154 | |||||
Total | $ | 2,702,670 | ||||||
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 | ||||||
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December 31, | December 31, | Dollar | Percentage | |||||||||||||
2008 | 2007 | Variance | Variance | |||||||||||||
State and local housing agency obligations1 | $ | 804,100 | $ | 576,971 | $ | 227,129 | 39.37 | % | ||||||||
Mortgage-backed securities | ||||||||||||||||
Available-for-sale securities, at fair value | 2,851,682 | — | 2,851,682 | NA | ||||||||||||
Held-to-maturity securities, at amortized cost | 9,326,443 | 9,707,783 | (381,340 | ) | (3.93 | ) | ||||||||||
Total long-term securities | 12,982,225 | 10,284,754 | 2,697,471 | 26.23 | ||||||||||||
Grantor trusts2 | 10,187 | 13,187 | (3,000 | ) | (22.75 | ) | ||||||||||
Certificates of deposit1 | 1,203,000 | 10,300,200 | (9,097,200 | ) | (88.32 | ) | ||||||||||
Federal funds sold | — | 4,381,000 | (4,381,000 | ) | (100.00 | ) | ||||||||||
Total investments | $ | 14,195,412 | $ | 24,979,141 | $ | (10,783,729 | ) | (43.17 | )% | |||||||
1 | Classified as held-to-maturity securities, at amortized cost | |
2 | Classified as available-for-sale securities, at fair value represent investments in registered mutual funds and other fixed-income securities maintained under the grantor trusts |
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NRSRO Ratings- December 31, 2008 | ||||||||||||||||||||
Issued, guaranteed or insured by: | Amount | AAA | AA | A | BBB | |||||||||||||||
Pools of Mortgages | ||||||||||||||||||||
Fannie Mae | $ | 1,400,058 | $ | 1,400,058 | $ | — | $ | — | $ | — | ||||||||||
Freddie Mac | 422,088 | 422,088 | — | — | — | |||||||||||||||
Total pools of mortgages | 1,822,146 | 1,822,146 | — | — | — | |||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||
Fannie Mae | 2,032,050 | 2,032,050 | — | — | — | |||||||||||||||
Freddie Mac | 3,722,840 | 3,722,840 | — | — | — | |||||||||||||||
Ginnie Mae | 6,325 | 6,325 | — | — | — | |||||||||||||||
Total CMOs/REMICs | 5,761,215 | 5,761,215 | — | — | — | |||||||||||||||
Non-GSE MBS | ||||||||||||||||||||
CMOs/REMICs | 609,908 | 509,056 | — | 62,401 | 38,451 | |||||||||||||||
Commercial mortgage-backed securities | 266,994 | 266,994 | — | — | — | |||||||||||||||
Total non-federal-agency MBS | 876,902 | 776,050 | — | 62,401 | 38,451 | |||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||
Manufactured housing (insured)* | 229,714 | — | 229,714 | — | — | |||||||||||||||
Home equity loans (insured)* | 376,587 | 86,662 | — | 130,277 | 159,648 | |||||||||||||||
Home equity loans (uninsured) | 259,879 | 259,879 | — | — | — | |||||||||||||||
Total asset-backed securities | 866,180 | 346,541 | 229,714 | 130,277 | 159,648 | |||||||||||||||
Total mortgage-backed securities | $ | 9,326,443 | $ | 8,705,952 | $ | 229,714 | $ | 192,678 | $ | 198,099 | ||||||||||
Other | ||||||||||||||||||||
State and local housing finance agency obligations | $ | 804,100 | $ | 74,881 | $ | 672,999 | $ | — | $ | 56,220 | ||||||||||
Certificates of deposit | 1,203,000 | — | 628,000 | 575,000 | — | |||||||||||||||
Total other | $ | 2,007,100 | $ | 74,881 | $ | 1,300,999 | $ | 575,000 | $ | 56,220 | ||||||||||
* | Securities are insured as part of the deal structure. In addition, 5 securities with amortized cost of $314.8 million at December 31, 2008 were re-insured with a wrap over the performance of the security by monoline insurers. |
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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 | $ | — | $ | — | ||||||||
Other | ||||||||||||||||
State and local housing finance agency obligations | $ | 576,971 | $ | 271,253 | $ | 305,718 | $ | — | ||||||||
Certificates of deposit | 10,300,200 | — | 6,988,100 | 3,312,100 | ||||||||||||
Federal funds sold | 4,381,000 | — | 3,726,000 | 655,000 | ||||||||||||
Total other | $ | 15,258,171 | $ | 271,253 | $ | 11,019,818 | $ | 3,967,100 | ||||||||
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NRSRO Ratings- December 31, 2008 | ||||||||||||||||
Issued, guaranteed or insured by: | Amount | AAA | AA | A | ||||||||||||
Pools of Mortgages | ||||||||||||||||
Fannie Mae | $ | 1,854,988 | $ | 1,854,988 | $ | — | $ | — | ||||||||
Freddie Mac | 996,694 | 996,694 | — | |||||||||||||
Total pools of mortgages | 2,851,682 | 2,851,682 | — | — | ||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||
Fannie Mae | — | — | — | — | ||||||||||||
Freddie Mac | — | — | — | — | ||||||||||||
Ginnie Mae | — | — | — | — | ||||||||||||
Total CMOs/REMICs | — | — | — | — | ||||||||||||
Non-GSE MBS | ||||||||||||||||
CMOs/REMICs | — | — | — | — | ||||||||||||
Commercial mortgage-backed securities | — | — | — | — | ||||||||||||
Total non-federal-agency MBS | — | — | — | — | ||||||||||||
Asset-Backed Securities | ||||||||||||||||
Manufactured housing (insured) | — | — | — | — | ||||||||||||
Home equity loans (insured) | — | — | — | — | ||||||||||||
Home equity loans (uninsured) | — | — | — | — | ||||||||||||
Total asset-backed securities | — | — | — | — | ||||||||||||
Total mortgage-backed securities | $ | 2,851,682 | $ | 2,851,682 | $ | — | $ | — | ||||||||
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December 31, | Percentage | December 31, | Percentage | |||||||||||||
2008 | of total | 2007 | of total | |||||||||||||
U.S. government sponsored enterprise residential mortgage-backed securities | $ | 7,577,036 | 81.24 | % | $ | 6,829,668 | 70.35 | % | ||||||||
U.S. agency residential mortgage-backed securities | 6,325 | 0.07 | 7,482 | 0.08 | ||||||||||||
Private-label issued securities backed by home equity loans | 636,466 | 6.83 | 752,808 | 7.76 | ||||||||||||
Private-label issued residential mortgage-backed securities | 609,908 | 6.54 | 769,140 | 7.92 | ||||||||||||
Private-label issued commercial mortgage-backed securities | 266,994 | 2.86 | 1,087,713 | 11.20 | ||||||||||||
Private-label issued securities backed by manufactured housing loans | 229,714 | 2.46 | 260,972 | 2.69 | ||||||||||||
Total Held-to-maturity securities — MBS | $ | 9,326,443 | 100.00 | % | $ | 9,707,783 | 100.00 | % | ||||||||
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December 31, | ||||||||||||||||||||||||
2008 | 2007 | |||||||||||||||||||||||
Variable | Variable | |||||||||||||||||||||||
Fixed Rate | Rate | Total | Fixed Rate | Rate | Total | |||||||||||||||||||
Private-label MBS | ||||||||||||||||||||||||
Private-label RMBS | ||||||||||||||||||||||||
Prime | $ | 596,430 | $ | 4,811 | $ | 601,241 | $ | 711,423 | $ | 6,312 | $ | 717,735 | ||||||||||||
Alt-A | 9,129 | 4,177 | 13,306 | 11,100 | 5,006 | 16,106 | ||||||||||||||||||
Subprime | — | — | — | — | — | — | ||||||||||||||||||
Total PL RMBS | 605,559 | 8,988 | 614,547 | 722,523 | 11,318 | 733,841 | ||||||||||||||||||
Private-label CMBS | ||||||||||||||||||||||||
Prime | 266,860 | — | 266,860 | 1,083,978 | — | 1,083,978 | ||||||||||||||||||
Total PL CMBS | 266,860 | — | 266,860 | 1,083,978 | — | 1,083,978 | ||||||||||||||||||
Home Equity Loans | ||||||||||||||||||||||||
Prime | — | — | — | — | — | — | ||||||||||||||||||
Alt-A | — | — | — | — | — | — | ||||||||||||||||||
Subprime | 504,565 | 132,135 | 636,700 | 609,426 | 184,716 | 794,142 | ||||||||||||||||||
Total Home Equity Loans | 504,565 | 132,135 | 636,700 | 609,426 | 184,716 | 794,142 | ||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||
Prime | — | — | — | — | — | — | ||||||||||||||||||
Alt-A | — | — | — | — | — | — | ||||||||||||||||||
Subprime | 229,738 | — | 229,738 | 261,001 | — | 261,001 | ||||||||||||||||||
Total Manufactured Housing Loans | 229,738 | — | 229,738 | 261,001 | — | 261,001 | ||||||||||||||||||
Total UPB of private-label MBS | $ | 1,606,722 | $ | 141,123 | $ | 1,747,845 | $ | 2,676,928 | $ | 196,034 | $ | 2,872,962 | ||||||||||||
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At December 31, 2008 | ||||||||||||||||||||||||
Low FICO | High LTVs | |||||||||||||||||||||||
Totals | RMBS | RMBS | ||||||||||||||||||||||
Book Value | Market Value | Book Value | Market Value | Book Value | Market Value | |||||||||||||||||||
Securities downgraded in 2008 | ||||||||||||||||||||||||
Securities under downgrade watch | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Securities not under downgrade watch1 | 289,925 | 171,529 | 227,210 | 139,755 | 62,715 | 31,774 | ||||||||||||||||||
289,925 | 171,529 | 227,210 | 139,755 | 62,715 | 31,774 | |||||||||||||||||||
Securities Stable | ||||||||||||||||||||||||
Securities under downgrade watch | 1,556 | 1,127 | 1,556 | 1,127 | — | — | ||||||||||||||||||
Securities not under downgrade watch1 | 344,985 | 239,741 | 344,985 | 239,741 | — | — | ||||||||||||||||||
346,541 | 240,868 | 346,541 | 240,868 | — | — | |||||||||||||||||||
Total | $ | 636,466 | $ | 412,397 | $ | 573,751 | $ | 380,623 | $ | 62,715 | $ | 31,774 | ||||||||||||
At December 31, 2007 | ||||||||||||||||||||||||
Low FICO | High LTVs | |||||||||||||||||||||||
Totals | RMBS | RMBS | ||||||||||||||||||||||
Book Value | Market Value | Book Value | Market Value | Book Value | Market Value | |||||||||||||||||||
Securities downgraded in 2007 | ||||||||||||||||||||||||
Securities under downgrade watch | $ | 86,790 | $ | 81,913 | $ | 50,787 | $ | 48,092 | $ | 36,003 | $ | 33,821 | ||||||||||||
Securities not 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 | ||||||||||||||||||||||||
Securities under downgrade watch | — | — | — | — | — | — | ||||||||||||||||||
Securities not downgrade watch | 438,616 | 415,361 | 438,616 | 415,361 | — | — | ||||||||||||||||||
438,616 | 415,361 | 438,616 | 415,361 | — | — | |||||||||||||||||||
Total | $ | 792,616 | $ | 757,274 | $ | 711,824 | $ | 680,655 | $ | 80,792 | $ | 76,619 | ||||||||||||
At January 31, 2009 | ||||||||||||||||||||||||
Low FICO | High LTVs | |||||||||||||||||||||||
Totals | RMBS | RMBS | ||||||||||||||||||||||
Book Value | Market Value | Book Value | Market Value | Book Value | Market Value | |||||||||||||||||||
Securities downgraded in 2009 | ||||||||||||||||||||||||
Securities under downgrade watch | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Securities not under downgrade watch | — | — | — | — | — | — | ||||||||||||||||||
— | — | — | — | — | — | |||||||||||||||||||
Securities Stable | ||||||||||||||||||||||||
Securities under downgrade watch | — | — | — | — | — | — | ||||||||||||||||||
Securities not under downgrade watch | 629,861 | 383,769 | 567,901 | 353,277 | 61,960 | 30,492 | ||||||||||||||||||
629,861 | 383,769 | 567,901 | 353,277 | 61,960 | 30,492 | |||||||||||||||||||
Total | $ | 629,861 | $ | 383,769 | $ | 567,901 | $ | 353,277 | $ | 61,960 | $ | 30,492 | ||||||||||||
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December 31, 2008 | December 31, 2007 | |||||||||||||||
Book | Estimated Fair | Book | Estimated Fair | |||||||||||||
Value | Value | Value | Value | |||||||||||||
AAA-rated | $ | 344,985 | $ | 239,741 | $ | 705,827 | $ | 675,360 | ||||||||
AAA-rated-negative watch | 1,556 | 1,127 | 86,789 | 81,914 | ||||||||||||
A-rated | 130,277 | 79,300 | — | — | ||||||||||||
BBB-rated | 159,648 | 92,229 | — | — | ||||||||||||
Total | $ | 636,466 | $ | 412,397 | $ | 792,616 | $ | 757,274 | ||||||||
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December 31, 2008 | December 31, 2007 | |||||||||||||||||||||||
% of | % of | |||||||||||||||||||||||
Fair Value | UPB | UPB | Fair Value | UPB | UPB | |||||||||||||||||||
By Year of Securitization | ||||||||||||||||||||||||
RMBS | ||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||
2006 | $ | 80,308 | $ | 101,843 | 78.85 | % | $ | 128,813 | $ | 129,573 | 99.41 | % | ||||||||||||
2005 | 102,839 | 110,334 | 93.21 | 127,906 | 130,457 | 98.04 | ||||||||||||||||||
2004 | 159,810 | 168,166 | 95.03 | 193,405 | 198,577 | 97.40 | ||||||||||||||||||
2003 and earlier | 212,596 | 220,898 | 96.24 | 251,244 | 259,128 | 96.96 | ||||||||||||||||||
Total of RMBS Prime | 555,553 | 601,241 | 92.40 | 701,368 | 717,735 | 97.72 | ||||||||||||||||||
Alt-A | ||||||||||||||||||||||||
2003 and earlier | 11,648 | 13,306 | 87.54 | 16,095 | 16,106 | 99.94 | ||||||||||||||||||
Total of RMBS | 567,201 | 614,547 | 92.30 | 717,463 | 733,841 | 97.77 | ||||||||||||||||||
CMBS | ||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||
2003 and earlier | 267,016 | 266,860 | 100.06 | 1,093,383 | 1,083,978 | 100.87 | ||||||||||||||||||
HEL | ||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
2003 and earlier | 412,397 | 636,700 | 64.77 | 758,516 | 794,142 | 95.51 | ||||||||||||||||||
Manufactured Housing Loans | �� | |||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
2003 and earlier | 154,296 | 229,738 | 67.16 | 260,522 | 261,001 | 99.82 | ||||||||||||||||||
Total of all Private-label MBS | $ | 1,400,910 | $ | 1,747,845 | 80.15 | % | $ | 2,829,884 | $ | 2,872,962 | 98.50 | % | ||||||||||||
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Unpaid Principal Balance | |||||||||||||||||||||||||||||||||
Gross | |||||||||||||||||||||||||||||||||
Ratings | Amortized | Unrealized | |||||||||||||||||||||||||||||||
Private-label MBS | Subtotal | Triple-A | Double-A | Single-A | Triple-B | Cost | (Losses) | Fair Value1 | |||||||||||||||||||||||||
RMBS | |||||||||||||||||||||||||||||||||
Prime | |||||||||||||||||||||||||||||||||
2006 | $ | 101,843 | $ | — | $ | — | $ | 62,968 | $ | 38,874 | $ | 100,851 | $ | (20,544 | ) | $ | 80,308 | ||||||||||||||||
2005 | 110,334 | 110,334 | — | — | — | 108,254 | (5,415 | ) | 102,839 | ||||||||||||||||||||||||
2004 | 168,166 | 168,166 | — | — | — | 168,173 | (8,363 | ) | 159,810 | ||||||||||||||||||||||||
2003 and earlier | 220,898 | 220,898 | — | — | — | 219,318 | (6,722 | ) | 212,596 | ||||||||||||||||||||||||
Total RMBS Prime | 601,241 | 499,398 | — | 62,968 | 38,874 | 596,596 | (41,044 | ) | 555,553 | ||||||||||||||||||||||||
Alt-A | |||||||||||||||||||||||||||||||||
2003 and earlier | 13,306 | 13,306 | — | — | — | 13,310 | (1,662 | ) | 11,648 | ||||||||||||||||||||||||
Total RMBS | 614,547 | 512,704 | — | 62,968 | 38,874 | 609,906 | (42,706 | ) | 567,201 | ||||||||||||||||||||||||
CMBS | |||||||||||||||||||||||||||||||||
Prime | |||||||||||||||||||||||||||||||||
2003 and earlier | 266,860 | 266,860 | — | — | — | 266,994 | (127 | ) | 267,016 | ||||||||||||||||||||||||
HEL | |||||||||||||||||||||||||||||||||
Subprime | |||||||||||||||||||||||||||||||||
2003 and earlier | 636,700 | 346,631 | — | 130,404 | 159,665 | 636,466 | (224,069 | ) | 412,397 | ||||||||||||||||||||||||
Manufactured Housing Loans | |||||||||||||||||||||||||||||||||
Subprime | |||||||||||||||||||||||||||||||||
2003 and earlier | 229,738 | — | 229,738 | — | — | 229,714 | (75,418 | ) | 154,296 | ||||||||||||||||||||||||
Total Private-label MBS | $ | 1,747,845 | $ | 1,126,195 | $ | 229,738 | $ | 193,372 | $ | 198,539 | $ | 1,743,080 | $ | (342,320 | ) | $ | 1,400,910 | ||||||||||||||||
1 | Fair value includes both gains and losses. |
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December 31, 2008 | |||||||||||||||||||||
Original | |||||||||||||||||||||
Weighted- | Weighted- | Minimum | |||||||||||||||||||
Weighted- | Average | Average | Current | Weighted- Average | |||||||||||||||||
Average Market | Credit | Credit | Credit | Collateral | |||||||||||||||||
Private-label MBS | Price1 | Support % | Support % | Support % | Delinquency % | ||||||||||||||||
RMBS | |||||||||||||||||||||
Prime | |||||||||||||||||||||
2006 | 78.85 | 3.71 | % | 4.56 | % | 2.48 | % | 0.86 | % | ||||||||||||
2005 | 93.21 | 2.68 | 3.26 | 1.23 | 1.00 | ||||||||||||||||
2004 | 95.03 | 2.05 | 2.86 | 1.79 | 0.40 | ||||||||||||||||
2003 and earlier | 96.24 | 1.21 | 2.17 | 1.77 | 0.27 | ||||||||||||||||
Total RMBS Prime | 92.40 | 2.14 | 2.97 | 1.77 | 0.54 | ||||||||||||||||
Alt-A | |||||||||||||||||||||
2003 and earlier | 87.54 | 10.22 | 31.60 | 8.50 | 10.56 | ||||||||||||||||
Total RMBS | 92.30 | 2.31 | 3.59 | 1.77 | 0.76 | ||||||||||||||||
CMBS | |||||||||||||||||||||
Prime | |||||||||||||||||||||
2003 and earlier | 100.06 | 26.69 | 38.73 | 33.93 | 0.00 | ||||||||||||||||
HEL | |||||||||||||||||||||
Subprime | |||||||||||||||||||||
2003 and earlier | 64.77 | 58.31 | 65.66 | 24.47 | 12.53 | ||||||||||||||||
Manufactured Housing Loans | |||||||||||||||||||||
Subprime | |||||||||||||||||||||
2003 and earlier | 67.16 | 58.26 | 55.99 | 15.12 | 1.88 | ||||||||||||||||
Total Private-label MBS | 80.15 | 33.79 | % | 38.45 | % | 1.77 | % | 5.08 | % | ||||||||||||
1 | Represents weighted-average market price based on par equaling $100.00. Combined weighted-average collateral delinquency rates is calculated based on UPB amount. |
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December 31, 2008 | ||||||||||||
Weighted-Average | ||||||||||||
Gross Unrealized | Collateral | |||||||||||
Amortized Cost | (Losses) | Delinquency %1 | ||||||||||
Private-label MBS | ||||||||||||
RMBS | ||||||||||||
Prime | ||||||||||||
Rated Triple A | $ | 495,744 | $ | (20,500 | ) | 0.48 | % | |||||
Rated Single A | 62,401 | (12,027 | ) | 0.76 | ||||||||
Rated Triple B | 38,451 | (8,517 | ) | 1.01 | ||||||||
Total of RMBS Prime | 596,596 | (41,044 | ) | 0.54 | ||||||||
Alt-A | ||||||||||||
Rated Triple A | 13,310 | (1,662 | ) | 10.56 | ||||||||
Total of RMBS | 609,906 | (42,706 | ) | 0.76 | ||||||||
CMBS | ||||||||||||
Prime | ||||||||||||
Rated Triple A | 266,994 | (127 | ) | — | ||||||||
HEL | ||||||||||||
Subprime | ||||||||||||
Rated Triple A | 346,541 | (105,673 | ) | 13.54 | ||||||||
Rated Single A | 130,277 | (50,977 | ) | 5.68 | ||||||||
Rated Triple B | 159,648 | (67,419 | ) | 15.96 | ||||||||
Total of HEL Subprime | 636,466 | (224,069 | ) | 12.53 | ||||||||
Manufactured Housing Loans | ||||||||||||
Subprime | ||||||||||||
Rated Double A | 229,714 | (75,418 | ) | 1.88 | ||||||||
Grand Total | $ | 1,743,080 | $ | (342,320 | ) | 5.08 | % | |||||
1 | Weighted-average collateral delinquency rate is determined based on the underlying loans that are 60 days or more past due. The reported delinquency percentage represents weighted-average based on the dollar amounts of the individual securities in the category and their respective delinquencies. Combined weighted-average collateral delinquency rates is calculated based on UPB amount. |
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Total | AMBAC Assurance Corp | Financial Security Assurance, Inc | MBIA Insurance Corp | |||||||||||||||||||||||||||||
Total | Total | |||||||||||||||||||||||||||||||
Monoline | Gross | Monoline | Gross | Monoline | Gross | Monoline | Gross | |||||||||||||||||||||||||
Insurance | Unrealized | Insurance | Unrealized | Insurance | Unrealized | Insurance | Unrealized | |||||||||||||||||||||||||
Coverage | Losses | Coverage | Losses | Coverage | Losses | Coverage | Losses | |||||||||||||||||||||||||
By Year of Securitization | ||||||||||||||||||||||||||||||||
HEL | ||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||
2003 and earlier | $ | 376,587 | $ | (144,957 | ) | $ | 248,880 | $ | (102,319 | ) | $ | 86,662 | $ | (26,561 | ) | $ | 41,045 | $ | (16,077 | ) | ||||||||||||
CMBS | ||||||||||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||||||||||
2003 and earlier | 9,078 | (100 | ) | — | — | — | — | 9,078 | (100 | ) | ||||||||||||||||||||||
Subtotal | 385,665 | (145,057 | ) | 248,880 | (102,319 | ) | 86,662 | (26,561 | ) | 50,123 | (16,177 | ) | ||||||||||||||||||||
Manufactured Housing Loans | 229,714 | (75,418 | ) | — | — | 229,714 | (75,418 | ) | — | — | ||||||||||||||||||||||
Total | $ | 615,379 | $ | (220,475 | ) | $ | 248,880 | $ | (102,319 | ) | $ | 316,376 | $ | (101,979 | ) | $ | 50,123 | $ | (16,177 | ) | ||||||||||||
Mortgage-backed securities insurance coverage | ||||||||||||||
December 31, 2008 | ||||||||||||||
Number of | Security | Amortized | Market | |||||||||||
securities | class | cost | value | |||||||||||
Bank purchased insurance (WRAP) | ||||||||||||||
MBIA | 1 | CMBS | $ | 9,078 | $ | 8,978 | ||||||||
FSA | 2 | RMBS | 75,994 | 51,805 | ||||||||||
FSA | 2 | Manufactured Housing Bonds | 229,713 | 154,296 | ||||||||||
5 | 314,785 | 215,079 | ||||||||||||
Insured at issuance | ||||||||||||||
MBIA | 3 | RMBS | 41,045 | 24,969 | ||||||||||
AMBAC | 13 | RMBS | 248,880 | 146,561 | ||||||||||
FSA | 1 | RMBS | 10,668 | 8,295 | ||||||||||
17 | 300,593 | 179,825 | ||||||||||||
Total | 22 | $ | 615,378 | $ | 394,904 | |||||||||
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Mortgage-backed securities insurance coverage | ||||||||||||||
December 31, 2007 | ||||||||||||||
Number of | Security | Amortized | Market | |||||||||||
securities | class | cost | value | |||||||||||
Bank purchased insurance (WRAP) | ||||||||||||||
MBIA | 3 | CMBS | $ | 177,450 | $ | 176,780 | ||||||||
FSA | 2 | RMBS | 83,413 | 78,315 | ||||||||||
FSA | 2 | Manufactured Housing Bonds | 260,972 | 260,522 | ||||||||||
7 | 521,835 | 515,617 | ||||||||||||
Insured at issuance | ||||||||||||||
MBIA | 3 | RMBS | 47,453 | 45,045 | ||||||||||
AMBAC | 13 | RMBS | 306,547 | 296,868 | ||||||||||
FSA | 2 | RMBS | 19,881 | 19,795 | ||||||||||
18 | 373,881 | 361,708 | ||||||||||||
Total | 25 | $ | 895,716 | $ | 877,325 | |||||||||
Housing Finance Agency bond insurance coverage | ||||||||||||
December 31, 2008 | ||||||||||||
Number of | Amortized | Market | ||||||||||
securities | cost | value | ||||||||||
Insured at issuance | ||||||||||||
AMBAC | 1 | $ | 40,000 | $ | 33,008 | |||||||
FSA | 6 | 82,115 | 77,345 | |||||||||
MBIA | 3 | 89,756 | 68,321 | |||||||||
All Others | 26 | 592,229 | 584,486 | |||||||||
Total | 36 | $ | 804,100 | $ | 763,160 | |||||||
Housing Finance Agency bond insurance coverage | ||||||||||||
December 31, 2007 | ||||||||||||
Number of | Amortized | Market | ||||||||||
securities | cost | value | ||||||||||
Insured at issuance | ||||||||||||
AMBAC | 1 | $ | 40,000 | $ | 40,000 | |||||||
FSA | 6 | 83,420 | 87,115 | |||||||||
MBIA | 3 | 121,588 | 121,633 | |||||||||
All Others | 23 | 331,963 | 337,803 | |||||||||
Total | 33 | $ | 576,971 | $ | 586,551 | |||||||
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Moody’s | S&P | Fitch | ||||||||||||||||||||||
Credit Rating | Outlook | Credit Rating | Outlook | Credit Rating | Outlook | |||||||||||||||||||
AMBAC Assurance Corporation | Baa1 | Developing | A | Negative | Not Rated | Not Rated | ||||||||||||||||||
Financial Security Assurance, Inc. | Aa3 | Stable | AAA | Negative | AAA | Negative | ||||||||||||||||||
MBIA Insurance Corporation | Baa1 | Developing | AA | Negative | Not Rated | Not Rated | ||||||||||||||||||
Fannie Mae/Freddie Mac | Aaa | Stable | AAA | Negative | AAA | Stable |
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• | MBIA— Two securities, rated triple-B, with amortized cost of $37.6 million and fair value of $22.4 million are rated triple-B and insured by MBIA. MBIA’s insurance arm which provides bond insurance, was downgraded on February 17, 20089 to single-B. The Bank’s analysis at December 31, 2008 projected under various cash flow scenarios indicates that these securities would need support from MBIA to meet scheduled payments in the future. |
• | Ambac— Three securities, rated single-A, with amortized cost of $91.1 million and fair value of $48.6 million, and nine securities, rated triple-B, with amortized cost of $122.2 million and fair value of $70.3 million are insured by Ambac, which is rated triple-B. Currently, Ambac is paying claims on three securities with amortized cost of $28.3 million and fair value of $17.9 million in order to meet current cash flow deficiency within the structure of the securities. The Bank’s analysis at December 31, 2008 projected under various cash flow scenarios indicates that these securities would need support from Ambac to meet scheduled payments in the future. |
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December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Original MPF | $ | 197,516 | $ | 153,939 | $ | 141,027 | ||||||
MPF 100 | 36,838 | 40,532 | 45,731 | |||||||||
MPF 125 | 467,479 | 433,864 | 444,122 | |||||||||
MPF 125 Plus | 742,523 | 847,091 | 830,744 | |||||||||
Other | 10,991 | 8,359 | 10,643 | |||||||||
Total MPF Loans * | $ | 1,455,347 | $ | 1,483,785 | $ | 1,472,267 | ||||||
* | Par amount of total mortgage loan held-for-portfolio includes CMA, par amount at December 31, 2008 was $4.0 million. |
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• | MPF single-family fully amortizing residential loans are comprised of “Fixed 15” years or less, greater than 15 years but less than or equal to 20 years and greater than 20 years but less than or equal to 30 years maturity. Property types consist of 1-4 family attached, detached, and planned unit developments, condominiums, and non-mobile manufactured housing properties. |
• | Multi-family portfolio consists of “Ten-year balloon” notes collateralized by multi-family units from 5 to 1000 units in the metropolitan area of New York City. These participations were purchased under Community Mortgage Asset program, which has been suspended indefinitely and the portfolio is running off. Loans were underwritten to debt service coverage not to be less than 125% and a loan-to-value ratio not to exceed 75%. |
December 31, | ||||||||
2008 | 2007 | |||||||
Mortgage loans, net of provisions for credit losses | $ | 1,457,885 | $ | 1,491,628 | ||||
Non-performing mortgage loans held-for-portfolio | $ | 4,792 | $ | 4,179 | ||||
Mortgage loans past due 90 days or more and still accruing interest | $ | 507 | $ | 384 | ||||
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Years ended December 31, | ||||||||
2008 | 2007 | |||||||
Interest contractually due | $ | 168 | $ | 137 | ||||
Interest actually received | 146 | 112 | ||||||
Shortfall | $ | 22 | $ | 25 | ||||
Interest reported as income1 | $ | — | $ | — | ||||
1 | The Bank does not recognize interest received as income from uninsured loans past due 90-days or greater. |
Year ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Beginning balance | $ | 633 | $ | 593 | $ | 582 | ||||||
Charge-offs | 21 | — | (18 | ) | ||||||||
Recoveries | (21 | ) | — | 18 | ||||||||
Net charge-offs | — | — | — | |||||||||
Provision (Recovery) for credit losses on mortgage loans | 773 | 40 | 11 | |||||||||
Ending balance | $ | 1,406 | $ | 633 | $ | 593 | ||||||
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December 31, 2008 | ||||||||
Mortgage | Percent of Total | |||||||
Loans | Mortgage Loans | |||||||
Manufacturers and Traders Trust Company | $ | 743,853 | 51.25 | % | ||||
Astoria Federal Savings and Loan Association | 264,516 | 18.23 | ||||||
Elmira Savings and Loan F.A. | 80,241 | 5.53 | ||||||
Ocean First Bank | 61,890 | 4.26 | ||||||
The Lyons National Bank | 27,269 | 1.88 | ||||||
All Others | 273,569 | 18.85 | ||||||
Total1 | $ | 1,451,338 | 100.00 | % | ||||
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 | % | ||||
1 | Totals do not include CMA loans. |
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Years ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Beginning balance | $ | 12,947 | $ | 12,162 | $ | 11,319 | ||||||
Additions | 839 | 785 | 843 | |||||||||
Charge-offs | (21 | ) | — | — | ||||||||
Recoveries | — | — | — | |||||||||
Ending balance | $ | 13,765 | $ | 12,947 | $ | 12,162 | ||||||
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December 31, 2008 | ||||||||||||||||||||
Payments due or expiration terms by period | ||||||||||||||||||||
Less than | One year | Greater than three | Greater than | |||||||||||||||||
one year | to three years | years to five years | five years | Total | ||||||||||||||||
Contractual Obligations | ||||||||||||||||||||
Consolidated obligations-bonds at par1 | $ | 49,568,550 | $ | 21,492,250 | $ | 5,822,025 | $ | 4,071,350 | $ | 80,954,175 | ||||||||||
Mandatorily redeemable capital stock1 | 38,328 | 83,159 | 14,646 | 6,988 | 143,121 | |||||||||||||||
Premises (lease obligations)2 | 3,116 | 6,233 | 6,280 | 8,764 | 24,393 | |||||||||||||||
Total contractual obligations | 49,609,994 | 21,581,642 | 5,842,951 | 4,087,102 | 81,121,689 | |||||||||||||||
Other commitments | ||||||||||||||||||||
Standby letters of credit | 864,981 | 19,643 | 16,024 | 7,915 | 908,563 | |||||||||||||||
Unused lines of credit and other conditional commitments | 19,008,345 | — | — | — | 19,008,345 | |||||||||||||||
Consolidated obligation bonds/discount notes traded not settled | 706,501 | — | — | — | 706,501 | |||||||||||||||
Firm commitment-advances | 40,000 | — | — | — | 40,000 | |||||||||||||||
Open delivery commitments (MPF) | 10,395 | — | — | — | 10,395 | |||||||||||||||
Total other commitments | 20,630,222 | 19,643 | 16,024 | 7,915 | 20,673,804 | |||||||||||||||
Total obligations and commitments | $ | 70,240,216 | $ | 21,601,285 | $ | 5,858,975 | $ | 4,095,017 | $ | 101,795,493 | ||||||||||
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. Certain consolidated bonds are callable and if exercised by the Bank may result in a shorter duration than the contractual maturities. | |
2 | Immaterial amount of commitment for equipment leases not included. |
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• | The option-adjusted DOE is limited to a range of +/- four years in the rates unchanged case and to a range of +/- six years in the +/-200bps shock cases. Due to the low interest rate environment beginning in early 2008, the -200bps shocks were restricted during the latest quarter ends to -85bps for March 2008, -115bps for June 2008, -100bps for September 2008, and there was no downshock for December 2008. The DOE downshock limits were adjusted in those cases to +/-4.85 years in March, +/-5.18 years in June, and +/-5.00 years in September. |
• | The one-year cumulative re-pricing gap is limited to 10 percent of total assets. |
• | The sensitivity of expected net interest income over a one-year period is limited to a - -15 percent change under both the +/-200bps shocks compared to the rates unchanged case. |
• | The potential decline in the market value of equity is limited to a 10 percent change under the +/-200bps shocks. |
• | KRD exposure at any of nine term points (3-month, 1-year, 2-year, 3-year, 5-year, 7-year, 10-year, 15-year, and 30-year) is limited to between +/-12 months. |
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Base Case DOE | -200bps DOE | +200bps DOE | ||||||||||
December 31, 2007 | -0.59 | -4.77 | 1.48 | |||||||||
March 31, 2008 | 0.58 | -2.95 | 3.48 | |||||||||
June 30, 2008 | 0.87 | -2.65 | 1.99 | |||||||||
September 30, 2008 | 0.39 | -2.51 | 1.66 | |||||||||
December 31, 2008 | -2.05 | N/A | 1.44 |
One Year Re- | ||||
pricing Gap | ||||
December 31, 2007 | $3.671 Billion | |||
March 31, 2008 | $3.725 Billion | |||
June 30, 2008 | $3.017 Billion | |||
September 30, 2008 | $3.359 Billion | |||
December 31, 2008 | $9.764 Billion |
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Sensitivity in | Sensitivity in | |||||||
the -200bps | the +200bps | |||||||
Shock | Shock | |||||||
December 31, 2007 | -10.13 | % | 3.45 | % | ||||
March 31, 2008 | -9.98 | % | -9.42 | % | ||||
June 30, 2008 | 1.64 | % | -9.81 | % | ||||
September 30, 2008 | 3.18 | % | -5.91 | % | ||||
December 31, 2008 | N/A | 24.73 | % |
Downshock | +200bps Change in | |||||||
Change in MVE | MVE | |||||||
December 31, 2007 | -6.51 | % | -1.77 | % | ||||
March 31, 2008 | -0.97 | % | -5.11 | % | ||||
June 30, 2008 | -0.57 | % | -3.41 | % | ||||
September 30, 2008 | -0.72 | % | -2.50 | % | ||||
December 31, 2008 | N/A | -0.43 | % |
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Interest Rate Sensitivity | ||||||||||||||||||||
December 31, 2008 | ||||||||||||||||||||
More than | More than | More than | ||||||||||||||||||
Six months | six months to | one year to | three years to | More than | ||||||||||||||||
or less | one year | three years | five years | five years | ||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||
Non-MBS Investments | $ | 18,298 | $ | 405 | $ | 404 | $ | 126 | $ | 259 | ||||||||||
MBS Investments | 6,938 | 2,940 | 1,801 | 350 | 209 | |||||||||||||||
Adjustable-rate loans and advances | 20,206 | — | — | — | — | |||||||||||||||
Net unswapped | 45,442 | 3,345 | 2,206 | 475 | 468 | |||||||||||||||
Fixed-rate loans and advances | 21,972 | 3,725 | 14,712 | 7,539 | 35,226 | |||||||||||||||
Swaps hedging advances | 56,677 | (2,842 | ) | (11,801 | ) | (6,864 | ) | (35,170 | ) | |||||||||||
Net fixed-rate loans and advances | 78,649 | 882 | 2,911 | 675 | 56 | |||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | |||||||||||||||
Total interest-earning assets | $ | 124,091 | $ | 4,227 | $ | 5,117 | $ | 1,151 | $ | 524 | ||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||
Deposits | $ | 1,497 | $ | 15 | $ | — | $ | — | $ | — | ||||||||||
Discount notes | 43,981 | 2,348 | — | — | — | |||||||||||||||
Swapped discount notes | 2,031 | (2,031 | ) | — | — | — | ||||||||||||||
Net discount notes | 46,012 | 318 | — | — | — | |||||||||||||||
Consolidated Obligation Bonds | ||||||||||||||||||||
FHLB bonds | 36,367 | 16,153 | 19,613 | 5,405 | 3,441 | |||||||||||||||
Swaps hedging bonds | 32,833 | (14,640 | ) | (13,571 | ) | (3,178 | ) | (1,445 | ) | |||||||||||
Net FHLB bonds | 69,200 | 1,513 | 6,043 | 2,227 | 1,996 | |||||||||||||||
Total interest-bearing liabilities | $ | 116,709 | $ | 1,846 | $ | 6,043 | $ | 2,227 | $ | 1,996 | ||||||||||
Post hedge gaps1: | ||||||||||||||||||||
Periodic gap | $ | 7,382 | $ | 2,382 | $ | (926 | ) | $ | (1,076 | ) | $ | (1,472 | ) | |||||||
Cumulative gaps | $ | 7,382 | $ | 9,764 | $ | 8,837 | $ | 7,761 | $ | 6,289 |
1 | Repricing gaps are estimated at the scheduled rate reset dates for floating rate instruments, and at maturity for fixed rate instruments. For callable instruments, the repricing period is estimated by the earlier of the estimated call date under the current interest rate environment or the instrument’s contractual maturity. |
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Interest Rate Sensitivity | ||||||||||||||||||||
December 31, 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 gaps1: | ||||||||||||||||||||
Periodic gap | $ | 4,520 | $ | (849 | ) | $ | 232 | $ | 287 | $ | 811 | |||||||||
Cumulative gaps | $ | 4,520 | $ | 3,671 | $ | 3,903 | $ | 4,190 | $ | 5,001 |
1 | Repricing gaps are estimated at the scheduled rate reset dates for floating rate instruments, and at maturity for fixed rate instruments. For callable instruments, the repricing period is estimated by the earlier of the estimated call date under the current interest rate environment or the instrument’s contractual maturity. |
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PAGE | ||||
Financial Statements | ||||
177 | ||||
178 | ||||
180 | ||||
181 | ||||
182 | ||||
183 | ||||
185 | ||||
Supplementary Data | ||||
38 |
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Federal Home Loan Bank of New York:
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New York, New York
March 24, 2009
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December 31, | ||||||||
2008 | 2007 | |||||||
Assets | ||||||||
Cash and due from banks (Notes 1 and 2) | $ | 18,899 | $ | 7,909 | ||||
Interest-bearing deposits (Note 3) | 12,169,096 | — | ||||||
Federal funds sold | — | 4,381,000 | ||||||
Available-for-sale securities, net of unrealized losses of $64,420 and $373 at December 31, 2008 and 2007 (Note 5) | 2,861,869 | 13,187 | ||||||
Held-to-maturity securities (Note 4) | ||||||||
Long-term securities | 10,130,543 | 10,284,754 | ||||||
Certificates of deposit | 1,203,000 | 10,300,200 | ||||||
Advances (Note 6) | 109,152,876 | 82,089,667 | ||||||
Mortgage loans held-for-portfolio, net of allowance for credit losses of $1,406 and $633 at December 31, 2008 and 2007 (Note 8) | 1,457,885 | 1,491,628 | ||||||
Loans to other FHLBanks (Note 9) | — | 55,000 | ||||||
Accrued interest receivable | 492,856 | 562,323 | ||||||
Premises, software, and equipment | 13,793 | 13,154 | ||||||
Derivative assets (Note 18) | 20,236 | 28,978 | ||||||
Other assets | 18,838 | 17,091 | ||||||
Total assets | $ | 137,539,891 | $ | 109,244,891 | ||||
Liabilities and capital | ||||||||
Liabilities | ||||||||
Deposits (Note 10) | ||||||||
Interest-bearing demand | $ | 1,333,750 | $ | 1,586,039 | ||||
Non-interest bearing demand | 828 | 2,596 | ||||||
Term | 117,400 | 16,900 | ||||||
Total deposits | 1,451,978 | 1,605,535 | ||||||
Consolidated obligations, net (Note 12) | ||||||||
Bonds (Includes $998,942 at fair value under the fair value option at December 31, 2008) | 82,256,705 | 66,325,817 | ||||||
Discount notes | 46,329,906 | 34,791,570 | ||||||
Total consolidated obligations | 128,586,611 | 101,117,387 | ||||||
Mandatorily redeemable capital stock (Notes 13 and 14) | 143,121 | 238,596 | ||||||
Accrued interest payable | 426,144 | 655,870 | ||||||
Affordable Housing Program (Notes 1 and 7) | 122,449 | 119,052 | ||||||
Payable to REFCORP (Notes 1 and 7) | 4,780 | 23,998 | ||||||
Derivative liabilities (Note 18) | 861,660 | 673,342 | ||||||
Other liabilities | 75,753 | 60,520 | ||||||
Total liabilities | 131,672,496 | 104,494,300 | ||||||
Commitments and Contingencies(Notes 7, 12, 18 and 20) | ||||||||
Capital(Notes 1, 13 and 14) | ||||||||
Capital stock ($100 par value), putable, issued and outstanding shares: 55,857 and 43,680 at December 31, 2008 and 2007 | 5,585,700 | 4,367,971 | ||||||
Unrestricted retained earnings | 382,856 | 418,295 | ||||||
Accumulated other comprehensive income (loss) (Note 15) | ||||||||
Net unrealized loss on available-for-sale securities | (64,420 | ) | (373 | ) | ||||
Net unrealized loss on hedging activities | (30,191 | ) | (30,215 | ) | ||||
Employee supplemental retirement plans (Note 17) | (6,550 | ) | (5,087 | ) | ||||
Total capital | 5,867,395 | 4,750,591 | ||||||
Total liabilities and capital | $ | 137,539,891 | $ | 109,244,891 | ||||
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2008 | 2007 | 2006 | ||||||||||
Interest income | ||||||||||||
Advances (Note 6) | $ | 3,030,799 | $ | 3,495,312 | $ | 3,302,174 | ||||||
Interest-bearing deposits (Note 3) | 28,012 | 3,333 | 2,744 | |||||||||
Federal funds sold | 77,976 | 192,845 | 145,420 | |||||||||
Available-for-sale securities (Note 5) | 80,746 | — | — | |||||||||
Held-to-maturity securities (Note 4) | ||||||||||||
Long-term securities | 531,151 | 596,761 | 580,002 | |||||||||
Certificates of deposit | 232,300 | 408,308 | 297,742 | |||||||||
Mortgage loans held-for-portfolio (Note 8) | 77,862 | 78,937 | 76,111 | |||||||||
Loans to other FHLBanks and other (Note 9) | 33 | 9 | 54 | |||||||||
Total interest income | 4,058,879 | 4,775,505 | 4,404,247 | |||||||||
Interest expense | ||||||||||||
Consolidated obligations-bonds (Note 12) | 2,620,431 | 3,215,560 | 2,944,241 | |||||||||
Consolidated obligations-discount notes (Note 12) | 697,729 | 937,534 | 901,978 | |||||||||
Deposits (Note 10) | 36,193 | 106,777 | 81,442 | |||||||||
Mandatorily redeemable capital stock (Note 13) | 8,984 | 11,731 | 3,086 | |||||||||
Cash collateral held and other borrowings (Notes 9 and 11) | 1,044 | 4,516 | 3,382 | |||||||||
Total interest expense | 3,364,381 | 4,276,118 | 3,934,129 | |||||||||
Net interest income before provision for credit losses | 694,498 | 499,387 | 470,118 | |||||||||
Provision for credit losses on mortgage loans | 773 | 40 | 11 | |||||||||
Net interest income after provision for credit losses | 693,725 | 499,347 | 470,107 | |||||||||
Other income (loss) | ||||||||||||
Service fees | 3,357 | 3,324 | 3,368 | |||||||||
Instruments held at fair value — Unrealized (losses) | (8,325 | ) | — | — | ||||||||
Net realized and unrealized gain (loss) on derivatives and hedging activities (Notes 1 and 18) | (199,259 | ) | 18,356 | 9,676 | ||||||||
Net realized gain from sale of available-for-sale and held-to maturity securities (Notes 4 and 5) | 1,058 | — | — | |||||||||
Provision for derivative counterparty credit losses (Notes 18 and 20) | (64,523 | ) | — | — | ||||||||
Redemption of financial instruments and other (Notes 9 and 12) | 233 | (8,180 | ) | (26,283 | ) | |||||||
Total other income (loss) | (267,459 | ) | 13,500 | (13,239 | ) | |||||||
Other expenses | ||||||||||||
Operating | 66,263 | 66,569 | 63,203 | |||||||||
Finance Agency and Office of Finance | 6,395 | 5,193 | 5,140 | |||||||||
Total other expenses | 72,658 | 71,762 | 68,343 | |||||||||
Income before assessments | 353,608 | 441,085 | 388,525 | |||||||||
Affordable Housing Program (Notes 1 and 7) | 29,783 | 37,204 | 32,031 | |||||||||
REFCORP (Notes 1 and 7) | 64,765 | 80,776 | 71,299 | |||||||||
Total assessments | 94,548 | 117,980 | 103,330 | |||||||||
Net income | $ | 259,060 | $ | 323,105 | $ | 285,195 | ||||||
Basic earnings per share (Note 16) | $ | 5.26 | $ | 8.57 | $ | 7.63 | ||||||
Cash dividends paid per share | $ | 6.55 | $ | 7.51 | $ | 5.59 | ||||||
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Accumulated | ||||||||||||||||||||||||
Capital Stock1 | Other | Total | ||||||||||||||||||||||
Class B | Retained | Comprehensive | Total | Comprehensive | ||||||||||||||||||||
Shares | Par Value | Earnings | Income (Loss) | Capital | Income (Loss) | |||||||||||||||||||
Balance, December 31, 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 | |||||||||||||||||
Net change in other comprehensive income: | ||||||||||||||||||||||||
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 | |||||||||||||||||
Net change in other comprehensive income: | ||||||||||||||||||||||||
Net unrealized loss on available-for-sale securities | — | — | — | (373 | ) | (373 | ) | (373 | ) | |||||||||||||||
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 | ||||||||||||||
Proceeds from sale of capital stock | 51,315 | $ | 5,131,525 | $ | — | $ | — | $ | 5,131,525 | |||||||||||||||
Redemption of capital stock | (38,490 | ) | (3,849,038 | ) | — | — | (3,849,038 | ) | ||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (648 | ) | (64,758 | ) | — | — | (64,758 | ) | ||||||||||||||||
Cash dividends ($6.55 per share) on capital stock | — | — | (294,499 | ) | — | (294,499 | ) | |||||||||||||||||
Net Income | — | — | 259,060 | — | 259,060 | $ | 259,060 | |||||||||||||||||
Net change in other comprehensive income: | ||||||||||||||||||||||||
Net unrealized loss on available-for-sale securities | — | — | — | (64,047 | ) | (64,047 | ) | (64,047 | ) | |||||||||||||||
Hedging activities | — | — | — | 24 | 24 | 24 | ||||||||||||||||||
Pension and postretirement benefits | — | — | — | (1,463 | ) | (1,463 | ) | (1,463 | ) | |||||||||||||||
$ | 193,574 | |||||||||||||||||||||||
Balance, December 31, 2008 | 55,857 | $ | 5,585,700 | $ | 382,856 | $ | (101,161 | ) | $ | 5,867,395 | ||||||||||||||
1 | Putable stock |
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2008 | 2007 | 2006 | ||||||||||
Operating activities | ||||||||||||
Net Income | $ | 259,060 | $ | 323,105 | $ | 285,195 | ||||||
Income before cumulative effects of changes in accounting principles | 259,060 | 323,105 | 285,195 | |||||||||
Adjustments to reconcile net income to net cash (used) provided by operating activities: | ||||||||||||
Depreciation and amortization: | ||||||||||||
Net premiums and discounts on consolidated obligations, investments, mortgage loans and other adjustments | (78,409 | ) | 106,372 | (53,162 | ) | |||||||
Concessions on consolidated obligations | 8,772 | 12,810 | 13,293 | |||||||||
Premises, software, and equipment | 4,971 | 4,498 | 3,903 | |||||||||
Provision for derivative counterparty credit losses | 64,523 | — | — | |||||||||
Provision for credit losses on mortgage loans | 773 | 40 | 11 | |||||||||
Net realized (gains) from sale of available-for-sale and held-to-maturity securities | (1,058 | ) | — | — | ||||||||
Change in net fair value adjustments on derivatives and hedging activities | (386,416 | ) | (6,387 | ) | 6,962 | |||||||
Change in fair value adjustments on financial instruments held at fair value | 8,325 | — | — | |||||||||
Net change in: | ||||||||||||
Accrued interest receivable | 69,467 | (156,200 | ) | (28,870 | ) | |||||||
Derivative assets due to accrued interest | 185,343 | 70,134 | (311,266 | ) | ||||||||
Derivative liabilities due to accrued interest | 78,731 | (7,538 | ) | 131,530 | ||||||||
Other assets | (67,367 | ) | (18 | ) | (204 | ) | ||||||
Affordable Housing Program liability | 3,397 | 17,155 | 10,894 | |||||||||
Accrued interest payable | (222,109 | ) | (79,345 | ) | 236,897 | |||||||
REFCORP liability | (19,218 | ) | 6,522 | 3,413 | ||||||||
Other liabilities | 3,813 | (18,483 | ) | 13,681 | ||||||||
Total adjustments | (346,462 | ) | (50,440 | ) | 27,082 | |||||||
Net cash (used) provided by operating activities | (87,402 | ) | 272,665 | 312,277 | ||||||||
Investing activities | ||||||||||||
Net change in: | ||||||||||||
Interest-bearing deposits | (15,609,066 | ) | (396,400 | ) | 244,807 | |||||||
Federal funds sold | 4,381,000 | (720,000 | ) | (736,000 | ) | |||||||
Deposits with other FHLBanks | (67 | ) | (10 | ) | 223 | |||||||
Premises, software, and equipment | (5,610 | ) | (6,545 | ) | (3,752 | ) | ||||||
Held-to-maturity securities: | ||||||||||||
Long-term securities | ||||||||||||
Purchased | (2,284,435 | ) | (1,080,245 | ) | (4,000,314 | ) | ||||||
Repayments | 2,334,966 | 2,044,987 | 2,310,782 | |||||||||
In-substance maturities | 102,390 | — | — | |||||||||
Net change in certificates of deposit | 9,097,200 | (4,709,200 | ) | 2,863,000 | ||||||||
Available-for-sale securities: | ||||||||||||
Purchased | (3,244,495 | ) | (13,704 | ) | — | |||||||
Proceeds | 335,314 | — | — | |||||||||
Proceeds from sales | 653 | 144 | — | |||||||||
Advances: | ||||||||||||
Principal collected | 596,335,124 | 397,682,249 | 580,751,936 | |||||||||
Made | (619,122,796 | ) | (419,285,033 | ) | (578,047,900 | ) | ||||||
Mortgage loans held-for-portfolio: | ||||||||||||
Principal collected | 170,272 | 165,262 | 167,003 | |||||||||
Purchased and originated | (138,255 | ) | (175,148 | ) | (184,901 | ) | ||||||
Principal collected on other loans made | — | 113 | 208 | |||||||||
Loans to other FHLBanks | ||||||||||||
Loans made | (661,000 | ) | (55,000 | ) | (250,000 | ) | ||||||
Principal collected | 716,000 | — | 250,000 | |||||||||
Net cash (used) provided by investing activities | (27,592,805 | ) | (26,548,530 | ) | 3,365,092 | |||||||
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Statements of Cash Flows – (in thousands)
Years Ended December 31, 2008, 2007, and 2006
2008 | 2007 | 2006 | ||||||||||
Financing activities | ||||||||||||
Net change in: | ||||||||||||
Deposits and other borrowings* | $ | 328,165 | $ | (766,373 | ) | $ | (272,339 | ) | ||||
Short-term loans from other FHLBanks: | ||||||||||||
Proceeds from loans | 1,260,000 | 662,000 | 435,000 | |||||||||
Payments for loans | (1,260,000 | ) | (662,000 | ) | (435,000 | ) | ||||||
Consolidated obligation bonds: | ||||||||||||
Proceeds from issuance | 62,035,840 | 42,535,228 | 32,546,862 | |||||||||
Payments for maturing and early retirement | (47,118,882 | ) | (38,180,904 | ) | (26,695,917 | ) | ||||||
Payments for transfers to other FHLBanks | — | (490,884 | ) | (779,705 | ) | |||||||
Consolidated obligation discount notes: | ||||||||||||
Proceeds from issuance | 686,114,086 | 441,178,795 | 592,280,096 | |||||||||
Payments for maturing | (674,495,767 | ) | (418,707,804 | ) | (600,579,371 | ) | ||||||
Capital stock: | ||||||||||||
Proceeds from issuance | 5,131,525 | 3,253,548 | 3,469,533 | |||||||||
Payments for redemption | (3,849,038 | ) | (2,244,849 | ) | (3,282,884 | ) | ||||||
Redemption of Mandatorily redeemable capital stock | (160,233 | ) | (58,335 | ) | (138,988 | ) | ||||||
Cash dividends paid1 | (294,499 | ) | (273,498 | ) | (207,920 | ) | ||||||
Net cash (used) provided by financing activities | 27,691,197 | 26,244,924 | (3,660,633 | ) | ||||||||
Net increase (decrease) in cash and cash equivalents | 10,990 | (30,941 | ) | 16,736 | ||||||||
Cash and cash equivalents at beginning of the period | 7,909 | 38,850 | 22,114 | |||||||||
Cash and cash equivalents at end of the period | $ | 18,899 | $ | 7,909 | $ | 38,850 | ||||||
Supplemental disclosures: | ||||||||||||
Interest paid | $ | 2,821,378 | $ | 3,419,404 | $ | 2,642,907 | ||||||
Affordable Housing Program payments2 | $ | 26,386 | $ | 20,050 | $ | 21,137 | ||||||
REFCORP payments | $ | 83,983 | $ | 74,253 | $ | 67,885 | ||||||
Transfers of mortgage loans to real estate owned | $ | 755 | $ | 356 | $ | 1 |
1 | Does not include payments to holders of Mandatorily redeemable capital stock. | |
2 | AHP payments = (beginning accrual — ending accrual) + AHP assessment for the year; payments represent funds released to the Affordable Housing Program. | |
* | Includes $450,393 of cash flows from derivatives. |
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187
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188
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Notes to Financial Statements
189
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Notes to Financial Statements
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• | Market approach — This technique uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities. |
• | Income approach — This technique uses valuation techniques to convert future amounts (for example, cash flows or earnings) to a single present amount (discounted), based on assumptions used by market participants. The present value technique used to measure fair value depends on the facts and circumstances specific to the asset or liability being measured and the availability of data. |
• | Cost approach — This approach is based on the amount that currently would be required to replace the service capacity of an asset (often referred to as current replacement cost). |
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193
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194
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195
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196
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(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 non-qualifying hedge of an asset or liability (“economic hedge”) for asset-liability management purposes; or |
(4) | a non-qualifying hedge of another derivative (an “intermediation” hedge) that is offered as a product to members or used to offset other derivatives with non-member counterparties. |
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• | a member requests redemption of excess membership stock; |
• | a member delivers notice of its intent to withdraw from membership; or |
• | a member attains non-member status (through merger into or acquisition by a non-member, or involuntary termination from membership). |
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203
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• | MBIA— Two securities, rated triple-B, with amortized cost basis of $37.6 million and fair value of $22.4 million are insured by MBIA. MBIA’s insurance arm, which provides bond insurance, was downgraded on February 17, 2009 to single-B. The Bank’s analysis at December 31, 2008 projected under various cash flow scenarios indicates that these securities would need support from MBIA to meet scheduled payments in the future. |
• | Ambac— Three securities, rated single-A, with amortized cost basis of $91.1 million and fair value of $48.6 million, and nine securities, rated triple-B, with amortized cost basis of $122.2 million and fair value of $70.3 million are insured by Ambac, which is rated triple-B. Currently, Ambac is paying claims on three securities with amortized cost basis of $28.3 million and fair value of $17.9 million in order to meet current cash flow deficiency within the structure of the securities. The Bank’s analysis at December 31, 2008 projected under various cash flow scenarios indicates that these securities would need support from Ambac to meet scheduled payments in the future. |
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December 31, 2008 | ||||||||||||||||
Gross | Gross | Estimated | ||||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
State and local housing agency obligations | $ | 804,100 | $ | 6,573 | $ | (47,512 | ) | $ | 763,161 | |||||||
Mortgage-backed securities | 9,326,443 | 187,531 | (342,662 | ) | 9,171,312 | |||||||||||
Certificates of deposit | 1,203,000 | 328 | — | 1,203,328 | ||||||||||||
Total | $ | 11,333,543 | $ | 194,432 | $ | (390,174 | ) | $ | 11,137,801 | |||||||
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 | |||||||||||
Certificates of deposit | 10,300,200 | 7,178 | — | 10,307,378 | ||||||||||||
Total | $ | 20,584,954 | $ | 99,628 | $ | (97,391 | ) | $ | 20,587,191 | |||||||
December 31, | Percentage | December 31, | Percentage | |||||||||||||
2008 | of total | 2007 | of total | |||||||||||||
U.S. government sponsored enterprise residential mortgage-backed securities | $ | 7,577,036 | 81.24 | % | $ | 6,829,668 | 70.35 | % | ||||||||
U.S. agency residential mortgage-backed securities | 6,325 | 0.07 | 7,482 | 0.08 | ||||||||||||
Private-label issued securities backed by home equity loans | 636,466 | 6.83 | 752,808 | 7.76 | ||||||||||||
Private-label issued residential mortgage-backed securities | 609,908 | 6.54 | 769,140 | 7.92 | ||||||||||||
Private-label issued commercial mortgage-backed securities | 266,994 | 2.86 | 1,087,713 | 11.20 | ||||||||||||
Private-label issued securities backed by manufactured housing loans | 229,714 | 2.46 | 260,972 | 2.69 | ||||||||||||
Total Held-to-maturity securities—MBS | $ | 9,326,443 | 100.00 | % | $ | 9,707,783 | 100.00 | % | ||||||||
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December 31, 2008 | ||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Total | ||||||||||||||||
Long-term securities | ||||||||||||||||||||
Mortgage-backed securities | $ | 8,705,952 | $ | 229,714 | $ | 192,678 | $ | 198,099 | $ | 9,326,443 | ||||||||||
State and local housing agency obligations | 74,881 | 672,999 | — | 56,220 | 804,100 | |||||||||||||||
Total Long-term securities | 8,780,833 | 902,713 | 192,678 | 254,319 | 10,130,543 | |||||||||||||||
Short-term securities | ||||||||||||||||||||
Certificates of deposit | — | 628,000 | 575,000 | — | 1,203,000 | |||||||||||||||
Total | $ | 8,780,833 | $ | 1,530,713 | $ | 767,678 | $ | 254,319 | $ | 11,333,543 | ||||||||||
December 31, 2007 | ||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Total | ||||||||||||||||
Long-term securities | ||||||||||||||||||||
Mortgage-backed securities | $ | 9,707,783 | $ | — | $ | — | $ | — | $ | 9,707,783 | ||||||||||
State and local housing agency obligations | 271,253 | 305,718 | — | — | 576,971 | |||||||||||||||
Total Long-term securities | 9,979,036 | 305,718 | — | — | 10,284,754 | |||||||||||||||
Short-term securities | ||||||||||||||||||||
Certificates of deposit | — | 6,988,100 | 3,312,100 | — | 10,300,200 | |||||||||||||||
Total | $ | 9,979,036 | $ | 7,293,818 | $ | 3,312,100 | $ | — | $ | 20,584,954 | ||||||||||
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December 31, 2008 (in thousands) | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated Fair | Unrealized | Estimated Fair | Unrealized | Estimated Fair | Unrealized | |||||||||||||||||||
Value | Losses | Value | Losses | Value | Losses | |||||||||||||||||||
Non-MBS Investment Securities | ||||||||||||||||||||||||
State and local housing agency bonds | $ | 78,261 | $ | (16,065 | ) | $ | 84,108 | $ | (31,447 | ) | $ | 162,369 | $ | (47,512 | ) | |||||||||
Total Non-MBS | 78,261 | (16,065 | ) | 84,108 | (31,447 | ) | 162,369 | (47,512 | ) | |||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||
MBS — Other US Obligations | ||||||||||||||||||||||||
Ginnie Mae | 6,137 | (187 | ) | — | — | 6,137 | (187 | ) | ||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | 3,452 | (125 | ) | — | — | 3,452 | (125 | ) | ||||||||||||||||
Freddie Mac | 1,102 | (30 | ) | 32 | — | 1,134 | (30 | ) | ||||||||||||||||
Other | — | — | — | — | — | — | ||||||||||||||||||
Total MBS-GSE | 4,554 | (155 | ) | 32 | — | 4,586 | (155 | ) | ||||||||||||||||
MBS-Other | 509,273 | (115,061 | ) | 718,321 | (227,259 | ) | 1,227,594 | (342,320 | ) | |||||||||||||||
Total MBS | 519,964 | (115,403 | ) | 718,353 | (227,259 | ) | 1,238,317 | (342,662 | ) | |||||||||||||||
Total Temporarily Impaired | $ | 598,225 | $ | (131,468 | ) | $ | 802,461 | $ | (258,706 | ) | $ | 1,400,686 | $ | (390,174 | ) | |||||||||
December 31, 2007 (in thousands) | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated Fair | Unrealized | Estimated Fair | Unrealized | Estimated Fair | Unrealized | |||||||||||||||||||
Value | Losses | Value | Losses | Value | Losses | |||||||||||||||||||
Non-MBS Investment Securities | ||||||||||||||||||||||||
State and local housing agency obligations | $ | — | $ | — | $ | 9,800 | $ | (200 | ) | $ | 9,800 | $ | (200 | ) | ||||||||||
Total Non-MBS | — | — | 9,800 | (200 | ) | 9,800 | (200 | ) | ||||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | 72,283 | (72 | ) | 1,600,551 | (30,995 | ) | 1,672,834 | (31,067 | ) | |||||||||||||||
Freddie Mac | — | — | 931,565 | (10,492 | ) | 931,565 | (10,492 | ) | ||||||||||||||||
Other | — | — | — | — | — | — | ||||||||||||||||||
Total MBS-GSE | 72,283 | (72 | ) | 2,532,116 | (41,487 | ) | 2,604,399 | (41,559 | ) | |||||||||||||||
MBS-Other | 897,575 | (16,747 | ) | 1,010,739 | (38,886 | ) | 1,908,314 | (55,633 | ) | |||||||||||||||
Total MBS | 969,858 | (16,819 | ) | 3,542,855 | (80,373 | ) | 4,512,713 | (97,192 | ) | |||||||||||||||
Total Temporarily Impaired | $ | 969,858 | $ | (16,819 | ) | $ | 3,552,655 | $ | (80,573 | ) | $ | 4,522,513 | $ | (97,392 | ) | |||||||||
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December 31, 2008 | December 31, 2007 | |||||||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||||||
Cost | Fair Value | Cost | Fair Value | |||||||||||||
State and local housing agency obligations | ||||||||||||||||
Due in one year or less | $ | — | $ | — | $ | — | $ | — | ||||||||
Due after one year through five years | 17,665 | 18,209 | 32,009 | 32,474 | ||||||||||||
Due after five years through ten years | 60,400 | 55,060 | 20,400 | 20,938 | ||||||||||||
Due after ten years | 726,035 | 689,892 | 524,562 | 533,139 | ||||||||||||
State and local housing agency obligations | 804,100 | 763,161 | 576,971 | 586,551 | ||||||||||||
Mortgage-backed securities | ||||||||||||||||
Due in one year or less | 257,999 | 258,120 | 243,309 | 242,471 | ||||||||||||
Due after one year through five years | — | — | 546,303 | 555,003 | ||||||||||||
Due after five years through ten years | 1,142,000 | 1,149,541 | 103,792 | 104,563 | ||||||||||||
Due after ten years | 7,926,444 | 7,763,651 | 8,814,379 | 8,791,225 | ||||||||||||
Mortgage-backed securities | 9,326,443 | 9,171,312 | 9,707,783 | 9,693,262 | ||||||||||||
Certificates of deposit | ||||||||||||||||
Due in one year or less | 1,203,000 | 1,203,328 | 10,300,200 | 10,307,378 | ||||||||||||
Due after one year through five years | — | — | — | — | ||||||||||||
Due after five years through ten years | — | — | — | — | ||||||||||||
Due after ten years | — | — | — | — | ||||||||||||
Certificates of deposit | 1,203,000 | 1,203,328 | 10,300,200 | 10,307,378 | ||||||||||||
Total held-to-maturity securities | $ | 11,333,543 | $ | 11,137,801 | $ | 20,584,954 | $ | 20,587,191 | ||||||||
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December 31, | ||||||||
2008 | 2007 | |||||||
State and local housing agency obligations — amortized cost | ||||||||
Fixed-rate | $ | 240,820 | $ | 308,180 | ||||
Variable-rate | 563,280 | 268,791 | ||||||
804,100 | 576,971 | |||||||
Mortgage-backed securities — amortized cost | ||||||||
Pass-through securities | ||||||||
Fixed-rate | 2,960,477 | 3,420,037 | ||||||
Variable-rate | 134,703 | 188,369 | ||||||
Collateralized mortgage obligations | ||||||||
Fixed-rate | 6,213,857 | 6,078,767 | ||||||
Variable-rate | 17,406 | 20,610 | ||||||
9,326,443 | 9,707,783 | |||||||
Total | $ | 10,130,543 | $ | 10,284,754 | ||||
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December 31, 2008 | ||||||||||||||||
Gross | Gross | Estimated | ||||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | Gains | Losses | Value | |||||||||||||
Cash equivalents | $ | 836 | $ | — | $ | — | $ | 836 | ||||||||
Equity funds | 8,978 | — | (3,516 | ) | 5,462 | |||||||||||
Fixed income funds | 3,833 | 66 | (10 | ) | 3,889 | |||||||||||
Mortgage-backed securities | 2,912,642 | 364 | (61,324 | ) | 2,851,682 | |||||||||||
Total | $ | 2,926,289 | $ | 430 | $ | (64,850 | ) | $ | 2,861,869 | |||||||
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 | |||||||
December 31, 2008 | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||
MBS — GSE | ||||||||||||||||||||||||
Fannie Mae | $ | 1,662,928 | $ | (35,047 | ) | $ | 142,630 | $ | (3,539 | ) | $ | 1,805,558 | $ | (38,586 | ) | |||||||||
Freddie Mac | 957,617 | (21,744 | ) | 39,077 | (994 | ) | 996,694 | (22,738 | ) | |||||||||||||||
Total MBS-GSE | 2,620,545 | (56,791 | ) | 181,707 | (4,533 | ) | 2,802,252 | (61,324 | ) | |||||||||||||||
Total Temporarily Impaired | $ | 2,620,545 | $ | (56,791 | ) | $ | 181,707 | $ | (4,533 | ) | $ | 2,802,252 | $ | (61,324 | ) | |||||||||
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December 31, 2008 | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Unrated | Total | |||||||||||||||||||
Available-for-sale securities1 | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 2,851,682 | $ | — | $ | — | $ | — | $ | — | $ | 2,851,682 | ||||||||||||
Other — Grantor trusts | — | — | — | 10,187 | 10,187 | |||||||||||||||||||
Total | $ | 2,851,682 | $ | — | $ | — | $ | — | $ | 10,187 | $ | 2,861,869 | ||||||||||||
1 | Available-for-sale securities are at fair value. |
December 31, 2007 | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Unrated | Total | |||||||||||||||||||
Available-for-sale securities1 | ||||||||||||||||||||||||
Mortgage-backed securities | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Other — Grantor trusts | — | — | — | — | 13,187 | 13,187 | ||||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | 13,187 | $ | 13,187 | ||||||||||||
1 | Available-for-sale securities are at fair value. |
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December 31, | ||||||||||||||||||||||||
2008 | 2007 | |||||||||||||||||||||||
Weighted2 | Weighted2 | |||||||||||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||||||||||
Amount | Yield | of Total | Amount | Yield | of Total | |||||||||||||||||||
Overdrawn demand deposit accounts | $ | — | 0.00 | % | 0.00 | % | $ | — | 0.00 | % | 0.00 | % | ||||||||||||
Due in one year or less | 32,420,095 | 2.52 | 31.36 | 24,140,285 | 4.72 | 29.95 | ||||||||||||||||||
Due after one year through two years | 16,150,121 | 3.71 | 15.62 | 7,714,912 | 4.87 | 9.57 | ||||||||||||||||||
Due after two years through three years | 7,634,680 | 3.76 | 7.39 | 8,730,643 | 5.13 | 10.83 | ||||||||||||||||||
Due after three years through four years | 6,852,514 | 3.74 | 6.63 | 3,153,113 | 4.89 | 3.91 | ||||||||||||||||||
Due after four years through five years | 3,210,575 | 3.88 | 3.11 | 5,988,142 | 4.76 | 7.43 | ||||||||||||||||||
Due after five years through six years | 836,689 | 3.74 | 0.81 | 556,095 | 3.44 | 0.69 | ||||||||||||||||||
Thereafter | 36,275,053 | 3.96 | 35.08 | 30,308,864 | 4.29 | 37.62 | ||||||||||||||||||
Total par value | 103,379,727 | 3.44 | % | 100.00 | % | 80,592,054 | 4.62 | % | 100.00 | % | ||||||||||||||
Discount on AHP advances1 | (330 | ) | (417 | ) | ||||||||||||||||||||
SFAS 133 hedging basis adjustments1 | 5,773,479 | 1,498,030 | ||||||||||||||||||||||
Total | $ | 109,152,876 | $ | 82,089,667 | ||||||||||||||||||||
1 | Discounts on AHP advances were amortized to interest income using the level-yield method and were not significant for all periods reported. Amortization of fair value basis adjustments for terminated hedges was a charge to interest income and amounted to ($2.0) million, ($0.4) million, and ($0.4) million for the years ended December 31, 2008, 2007 and 2006. All other amortization charged to interest income aggregated ($0.0) million, ($0.5) million, and ($0.6) million for the years ended December 31, 2008, 2007 and 2006. Interest rates on AHP advances ranged from 1.25% to 6.04% in 2008 and 2007. | |
2 | The weighed average yield is the weighted average coupon rates for advances, unadjusted for swaps. |
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December 31, | ||||||||||||||||
Percentage of | Percentage of | |||||||||||||||
2008 | total | 2007 | total | |||||||||||||
Overdrawn demand deposit accounts | $ | — | 0.00 | % | $ | — | 0.00 | % | ||||||||
Due or putable in one year or less | 63,251,007 | 61.18 | 48,005,147 | 59.57 | ||||||||||||
Due or putable after one year through two years | 18,975,821 | 18.36 | 16,112,362 | 19.99 | ||||||||||||
Due or putable after two years through three years | 10,867,530 | 10.51 | 7,546,243 | 9.36 | ||||||||||||
Due or putable after three years through four years | 5,293,364 | 5.12 | 2,607,563 | 3.24 | ||||||||||||
Due or putable after four years through five years | 2,728,075 | 2.64 | 4,180,492 | 5.19 | ||||||||||||
Due or putable after five years through six years | 230,189 | 0.22 | 121,095 | 0.15 | ||||||||||||
Thereafter | 2,033,741 | 1.97 | 2,019,152 | 2.50 | ||||||||||||
Total par value | 103,379,727 | 100.00 | % | 80,592,054 | 100.00 | % | ||||||||||
Discount on AHP advances | (330 | ) | (417 | ) | ||||||||||||
SFAS 133 hedging basis adjustments | 5,773,479 | 1,498,030 | ||||||||||||||
Total | $ | 109,152,876 | $ | 82,089,667 | ||||||||||||
(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, | ||||||||||||||||
2008 | 2007 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of total | Amount | of total | |||||||||||||
Fixed-rate | $ | 83,173,877 | 80.45 | % | $ | 60,779,510 | 75.42 | % | ||||||||
Variable-rate | 19,740,850 | 19.10 | 18,654,850 | 23.15 | ||||||||||||
Variable-rate capped | 465,000 | 0.45 | 1,157,694 | 1.43 | ||||||||||||
Total par value | 103,379,727 | 100.00 | % | 80,592,054 | 100.00 | % | ||||||||||
Discount on AHP Advances | (330 | ) | (417 | ) | ||||||||||||
SFAS 133 hedging basis adjustments | 5,773,479 | 1,498,030 | ||||||||||||||
Total | $ | 109,152,876 | $ | 82,089,667 | ||||||||||||
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Years ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Beginning balance | $ | 119,052 | $ | 101,898 | $ | 91,004 | ||||||
Additions from current period’s assessments | 29,783 | 37,204 | 32,031 | |||||||||
Net disbursements for grants and programs | (26,386 | ) | (20,050 | ) | (21,137 | ) | ||||||
Ending balance | $ | 122,449 | $ | 119,052 | $ | 101,898 | ||||||
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December 31, | ||||||||||||||||
2008 | Percentage | 2007 | Percentage | |||||||||||||
Real Estate: | ||||||||||||||||
Fixed medium-term single-family mortgages | $ | 467,845 | 32.15 | % | $ | 529,839 | 35.61 | % | ||||||||
Fixed long-term single-family mortgages | 983,493 | 67.58 | 953,946 | 64.11 | ||||||||||||
Multi-family mortgages | 4,009 | 0.27 | 4,102 | 0.28 | ||||||||||||
Total par value | 1,455,347 | 100.00 | % | 1,487,887 | 100.00 | % | ||||||||||
Unamortized premiums | 10,662 | 11,779 | ||||||||||||||
Unamortized discounts | (6,310 | ) | (6,805 | ) | ||||||||||||
Basis adjustment1 | (408 | ) | (600 | ) | ||||||||||||
Total mortgage loans held-for-portfolio | 1,459,291 | 1,492,261 | ||||||||||||||
Allowance for credit losses | (1,406 | ) | (633 | ) | ||||||||||||
Total mortgage loans held-for-portfolio after allowance for credit losses | $ | 1,457,885 | $ | 1,491,628 | ||||||||||||
1 | Represents fair value basis of open and closed delivery commitments. |
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Year ended December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Beginning balance | $ | 633 | $ | 593 | $ | 582 | ||||||
Charge-offs | 21 | — | (18 | ) | ||||||||
Recoveries | (21 | ) | — | 18 | ||||||||
Net charge-offs | — | — | — | |||||||||
Provision (Recovery) for credit losses on mortgage loans | 773 | 40 | 11 | |||||||||
Ending balance | $ | 1,406 | $ | 633 | $ | 593 | ||||||
December 31, | ||||||||
2008 | 2007 | |||||||
Secured by 1-4 family | $ | 507 | $ | 384 | ||||
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December 31, 2008 | December 31, 2007 | |||||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | — | $ | 18,899 | $ | — | $ | 7,909 | ||||||||
Interest-bearing deposits | — | 12,169,096 | — | — | ||||||||||||
Federal funds sold | — | — | — | 4,381,000 | ||||||||||||
Available-for-sale securities | — | 2,861,869 | — | 13,187 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | — | 10,130,543 | — | 10,284,754 | ||||||||||||
Certificates of deposit | — | 1,203,000 | — | 10,300,200 | ||||||||||||
Advances | 109,152,876 | — | 82,089,667 | — | ||||||||||||
Mortgage loans1 | — | 1,457,885 | — | 1,491,628 | ||||||||||||
Loans to other FHLBanks | — | — | 55,000 | — | ||||||||||||
Accrued interest receivable | 433,755 | 59,101 | 402,439 | 159,884 | ||||||||||||
Premises, software, and equipment | — | 13,793 | — | 13,154 | ||||||||||||
Derivative assets2 | — | 20,236 | — | 28,978 | ||||||||||||
Other assets3 | 153 | 18,685 | 87 | 17,004 | ||||||||||||
Total assets | $ | 109,586,784 | $ | 27,953,107 | $ | 82,547,193 | $ | 26,697,698 | ||||||||
Liabilities and capital | ||||||||||||||||
Deposits | $ | 1,451,978 | $ | — | $ | 1,605,535 | $ | — | ||||||||
Consolidated obligations | — | 128,586,611 | — | 101,117,387 | ||||||||||||
Mandatorily redeemable capital stock | 143,121 | — | 238,596 | — | ||||||||||||
Accrued interest payable | 814 | 425,330 | 60 | 655,810 | ||||||||||||
Affordable Housing Program4 | 122,449 | — | 119,052 | — | ||||||||||||
Payable to REFCORP | — | 4,780 | — | 23,998 | ||||||||||||
Derivative liabilities2 | — | 861,660 | — | 673,342 | ||||||||||||
Other liabilities5 | 31,003 | 44,750 | 19,584 | 40,936 | ||||||||||||
Total liabilities | $ | 1,749,365 | $ | 129,923,131 | $ | 1,982,827 | $ | 102,511,473 | ||||||||
Capital | 5,867,395 | — | 4,750,591 | — | ||||||||||||
Total liabilities and capital | $ | 7,616,760 | $ | 129,923,131 | $ | 6,733,418 | $ | 102,511,473 | ||||||||
1 | Includes insignificant amounts of mortgage loans purchased from members of another FHLBank. | |
2 | Derivative assets and liabilities include insignificant fair values due to intermediation activities on behalf of members. | |
3 | Includes insignificant amounts of miscellaneous assets that are considered related party. | |
4 | Represents funds not yet disbursed to eligible programs. | |
5 | Related column includes member pass-through reserves at the Federal Reserve Bank. |
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Years ended December 31, | ||||||||||||||||||||||||
2008 | 2007 | 2006 | ||||||||||||||||||||||
Related | Unrelated | Related | Unrelated | Related | Unrelated | |||||||||||||||||||
Interest income | ||||||||||||||||||||||||
Advances | $ | 3,030,799 | $ | — | $ | 3,495,312 | $ | — | $ | 3,302,174 | $ | — | ||||||||||||
Interest-bearing deposits1 | — | 28,012 | — | 3,333 | — | 2,744 | ||||||||||||||||||
Federal funds sold | — | 77,976 | — | 192,845 | — | 145,420 | ||||||||||||||||||
Available-for-sale securities | — | 80,746 | — | — | — | — | ||||||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||||||
Long-term securities | — | 531,151 | — | 596,761 | — | 580,002 | ||||||||||||||||||
Certificates of deposit | — | 232,300 | — | 408,308 | — | 297,742 | ||||||||||||||||||
Mortgage loans2 | — | 77,862 | — | 78,937 | — | 76,111 | ||||||||||||||||||
Loans to other FHLBanks and other | 33 | — | 7 | 2 | 49 | 5 | ||||||||||||||||||
Total interest income | $ | 3,030,832 | $ | 1,028,047 | $ | 3,495,319 | $ | 1,280,186 | $ | 3,302,223 | $ | 1,102,024 | ||||||||||||
Interest expense | ||||||||||||||||||||||||
Consolidated obligations | $ | — | 3,318,160 | — | $ | 4,153,094 | $ | — | 3,846,219 | |||||||||||||||
Deposits | 36,193 | — | 106,777 | — | 81,442 | — | ||||||||||||||||||
Mandatorily redeemable capital stock | 8,984 | — | 11,731 | — | 3,086 | — | ||||||||||||||||||
Cash collateral held and other borrowings | 163 | 881 | 146 | 4,370 | 144 | 3,238 | ||||||||||||||||||
Total interest expense | $ | 45,340 | $ | 3,319,041 | $ | 118,654 | $ | 4,157,464 | $ | 84,672 | $ | 3,849,457 | ||||||||||||
Service fees | $ | 3,357 | $ | — | $ | 3,324 | $ | — | $ | 3,368 | $ | — | ||||||||||||
1 | Includes de minimis amounts of interest income from MPF service provider. | |
2 | Includes de minimis amounts of mortgage interest income from loans purchased from members of another FHLBank. |
December 31, | ||||||||
2008 | 2007 | |||||||
Due in one year or less | $ | 117,400 | $ | 16,900 | ||||
Total term deposits | $ | 117,400 | $ | 16,900 | ||||
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December 31, | ||||||||
2008 | 2007 | |||||||
Percentage of unpledged qualifying assets to consolidated obligations | 107 | % | 108 | % | ||||
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December 31, 2008 | December 31, 2007 | |||||||
Consolidated obligation bonds-amortized cost | $ | 80,978,383 | $ | 66,066,027 | ||||
SFAS 133 fair value basis adjustments | 1,254,523 | 259,405 | ||||||
Fair value basis on terminated hedges | 7,857 | 385 | ||||||
SFAS 159 valuation adjustments and accrued interest | 15,942 | — | ||||||
Total Consolidated obligation-bonds | $ | 82,256,705 | $ | 66,325,817 | ||||
Discount notes — amortized cost | $ | 46,329,545 | $ | 34,791,570 | ||||
Fair value basis adjustments | 361 | — | ||||||
Total Consolidated obligation-discount notes | $ | 46,329,906 | �� | $ | 34,791,570 | |||
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December 31, | ||||||||||||||||||||||||
2008 | 2007 | |||||||||||||||||||||||
Weighted | Weighted | |||||||||||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||||||||||
Maturity | Amount | Rate1 | of total | Amount | Rate1 | of total | ||||||||||||||||||
One year or less | $ | 49,568,550 | 1.93 | % | 61.23 | % | $ | 38,027,475 | 4.69 | % | 57.57 | % | ||||||||||||
Over one year through two years | 16,192,550 | 3.20 | 20.00 | 11,047,950 | 4.78 | 16.73 | ||||||||||||||||||
Over two years through three years | 5,299,700 | 3.73 | 6.55 | 6,344,300 | 4.85 | 9.60 | ||||||||||||||||||
Over three years through four years | 2,469,575 | 4.75 | 3.05 | 2,309,100 | 4.99 | 3.50 | ||||||||||||||||||
Over four years through five years | 3,352,450 | 3.99 | 4.14 | 2,972,845 | 5.14 | 4.50 | ||||||||||||||||||
Over five years through six years | 989,300 | 5.06 | 1.22 | 728,250 | 5.27 | 1.10 | ||||||||||||||||||
Thereafter | 3,082,050 | 5.35 | 3.81 | 4,626,050 | 5.31 | 7.00 | ||||||||||||||||||
Total par value | 80,954,175 | 2.64 | % | 100.00 | % | 66,055,970 | 4.80 | % | 100.00 | % | ||||||||||||||
Bond premiums | 63,737 | 38,586 | ||||||||||||||||||||||
Bond discounts | (39,529 | ) | (28,529 | ) | ||||||||||||||||||||
SFAS 133 fair value basis adjustments | 1,254,523 | 259,405 | ||||||||||||||||||||||
Fair value basis adjustments on terminated hedges | 7,857 | 385 | ||||||||||||||||||||||
SFAS 159 valuation adjustments and accrued interest | 15,942 | — | ||||||||||||||||||||||
Total bonds | $ | 82,256,705 | $ | 66,325,817 | ||||||||||||||||||||
1 | Weighted average rate represents the weighted average coupons of bonds, unadjusted for swaps. The weighted average coupon of bonds outstanding at December 31, 2008 and 2007, represent contractual coupons payable to investors. |
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December 31, | ||||||||||||||||
Percentage | Percentage | |||||||||||||||
2008 | of total | 2007 | of total | |||||||||||||
Year of Maturity or next call date | ||||||||||||||||
Due or callable in one year or less | $ | 53,034,550 | 65.51 | % | $ | 47,346,975 | 71.68 | % | ||||||||
Due or callable after one year through two years | 15,472,350 | 19.11 | 9,924,450 | 15.02 | ||||||||||||
Due or callable after two years through three years | 4,843,700 | 5.98 | 3,551,100 | 5.38 | ||||||||||||
Due or callable after three years through four years | 1,445,575 | 1.79 | 980,100 | 1.48 | ||||||||||||
Due or callable after four years through five years | 2,954,450 | 3.65 | 910,845 | 1.38 | ||||||||||||
Due or callable after five years through six years | 684,800 | 0.85 | 435,250 | 0.66 | ||||||||||||
Thereafter | 2,518,750 | 3.11 | 2,907,250 | 4.40 | ||||||||||||
Total par value | 80,954,175 | 100.00 | % | 66,055,970 | 100.00 | % | ||||||||||
Bond premiums | 63,737 | 38,586 | ||||||||||||||
Bond discounts | (39,529 | ) | (28,529 | ) | ||||||||||||
SFAS 133 fair value adjustments | 1,254,523 | 259,405 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 7,857 | 385 | ||||||||||||||
SFAS 159 valuation adjustments and accrued interest | 15,942 | — | ||||||||||||||
Total carrying value | $ | 82,256,705 | $ | 66,325,817 | ||||||||||||
December 31, (in thousands) | ||||||||
2008 | 2007 | |||||||
Non-callable/non-putable | $ | 76,037,875 | $ | 53,777,670 | ||||
Callable | 4,916,300 | 12,278,300 | ||||||
Total par value | $ | 80,954,175 | $ | 66,055,970 | ||||
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December 31, | ||||||||||||||||
Percentage of | Percentage of | |||||||||||||||
2008 | total | 2007 | total | |||||||||||||
Fixed-rate, non-callable | $ | 36,367,875 | 44.92 | % | $ | 39,642,670 | 60.01 | % | ||||||||
Fixed-rate, callable | 4,828,300 | 5.96 | 11,420,300 | 17.29 | ||||||||||||
Step Up, callable | 73,000 | 0.09 | 843,000 | 1.28 | ||||||||||||
Step Down, callable | 15,000 | 0.02 | 15,000 | 0.02 | ||||||||||||
Single-index floating rate | 39,670,000 | 49.01 | 14,135,000 | 21.40 | ||||||||||||
Total par value | 80,954,175 | 100.00 | % | 66,055,970 | 100.00 | % | ||||||||||
Bond premiums | 63,737 | 38,586 | ||||||||||||||
Bond discounts | (39,529 | ) | (28,529 | ) | ||||||||||||
SFAS 133 fair value basis adjustments | 1,254,523 | 259,405 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 7,857 | 385 | ||||||||||||||
SFAS 159 valuation adjustments and accrued interest | 15,942 | — | ||||||||||||||
Total bonds | $ | 82,256,705 | $ | 66,325,817 | ||||||||||||
December 31, | ||||||||
2008 | 2007 | |||||||
Par value | $ | 46,431,347 | $ | 34,984,105 | ||||
Amortized cost | $ | 46,329,545 | $ | 34,791,570 | ||||
Fair value basis adjustments | 361 | — | ||||||
Total | $ | 46,329,906 | $ | 34,791,570 | ||||
Weighted average interest rate | 1.00 | % | 4.28 | % | ||||
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December 31, | ||||||||
2008 | 2007 | |||||||
Redemption less than one year | $ | 38,328 | $ | 127,010 | ||||
Redemption from one year to less than three years | 83,159 | 94,629 | ||||||
Redemption from three years to less than five years | 14,646 | 15,281 | ||||||
Redemption after five years or greater | 6,988 | 1,676 | ||||||
Total | $ | 143,121 | $ | 238,596 | ||||
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December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Beginning balance | $ | 238,596 | $ | 109,950 | $ | 18,087 | ||||||
Capital stock subject to mandatory redemption reclassified from equity | 64,758 | 186,981 | 230,851 | |||||||||
Redemption of mandatorily redeemable capital stock1 | (160,233 | ) | (58,335 | ) | (138,988 | ) | ||||||
Ending balance | $ | 143,121 | $ | 238,596 | $ | 109,950 | ||||||
Accrued interest payable | $ | 1,260 | $ | 4,921 | $ | 1,825 | ||||||
1 | Redemption includes repayment of excess stock. | |
(The annualized rate accrual is at 3.50%, 8.05% and 6.25% for 2008, 2007 and 2006) |
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• | 5 % of the member’s total outstanding advances plus 5 % 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 allow the FHLBNY to recalculate the membership stock purchase requirement any time after 30 days subsequent to a merger. The amendments also permit the FHLBNY to use a zero mortgage asset base in performing the calculation, which recognizes the fact that the corporate entity that was once its member no longer exists. As a result of these amendments, the FHLBNY could determine that all of the membership stock formerly held by the member 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, 2008 | December 31, 2007 | |||||||||||||||
Required4 | Actual | Required4 | Actual | |||||||||||||
Regulatory capital requirements: | ||||||||||||||||
Risk-based capital1 | $ | 650,333 | $ | 6,111,676 | $ | 578,653 | $ | 5,024,861 | ||||||||
Total capital-to-asset ratio | 4.00 | % | 4.44 | % | 4.00 | % | 4.58 | % | ||||||||
Total capital2 | $ | 5,501,596 | $ | 6,113,082 | $ | 4,387,304 | $ | 5,025,494 | ||||||||
Leverage ratio | 5.00 | % | 6.67 | % | 5.00 | % | 6.87 | % | ||||||||
Leverage capital3 | $ | 6,876,995 | $ | 9,168,920 | $ | 5,484,130 | $ | 7,537,925 |
1 | Actual “Risk-based capital” is capital stock and retained earnings plus mandatorily redeemable capital stock. Section 932.2 of the Finance Agency’s regulations also refers to this amount as “Permanent Capital.” | |
2 | Actual “Total capital” is “Risk-based capital” plus allowance for credit losses. Does not include reserves for the Lehman Brothers receivable which is a specific reserve. | |
3 | Actual Leverage capital is “Risk-based capital” times 1.5 plus allowance for loan losses. | |
4 | Required minimum. |
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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, 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 | ) | ||||||||||||||||
Net change | (64,047 | ) | 24 | (1,463 | ) | (65,486 | ) | $ | 259,060 | $ | 193,574 | |||||||||||||
Balance, December 31, 2008 | $ | (64,420 | ) | $ | (30,191 | ) | $ | (6,550 | ) | $ | (101,161 | ) | ||||||||||||
December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Net income | $ | 259,060 | $ | 323,105 | $ | 285,195 | ||||||
Net income available to stockholders | $ | 259,060 | $ | 323,105 | $ | 285,195 | ||||||
Weighted average shares of capital | 50,894 | 39,178 | 37,879 | |||||||||
Less: Mandatorily redeemable capital stock | (1,664 | ) | (1,463 | ) | (509 | ) | ||||||
Average number of shares of capital used to calculate earnings per share | 49,230 | 37,715 | 37,370 | |||||||||
Net earnings per share of capital | $ | 5.26 | $ | 8.57 | $ | 7.63 | ||||||
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December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Defined Benefit Plan | $ | 5,872 | $ | 6,006 | $ | 5,536 | ||||||
Benefit Equalization Plan (defined benefit) | 1,878 | 1,908 | 1,260 | |||||||||
Defined Contribution Plan and BEP Thrift | 721 | 1,346 | 1,141 | |||||||||
Postretirement Health Benefit Plan | 990 | 2,377 | 1,830 | |||||||||
Total retirement plan expenses | $ | 9,461 | $ | 11,637 | $ | 9,767 | ||||||
December 31, | ||||||||
2008 | 2007 | |||||||
Accumulated benefit obligation | $ | 14,030 | $ | 11,005 | ||||
Effect of future salary increase | 3,392 | 4,026 | ||||||
Projected benefit obligation | 17,422 | 15,031 | ||||||
Unrecognized prior service cost | 523 | 666 | ||||||
Unrecognized net (loss) | (6,158 | ) | (5,396 | ) | ||||
Accrued pension cost | $ | 11,787 | $ | 10,301 | ||||
December 31, | ||||||||
2008 | 2007 | |||||||
Projected benefit obligation at the beginning of the year | $ | 15,031 | $ | 11,580 | ||||
Service | 614 | 626 | ||||||
Interest | 944 | 880 | ||||||
Benefits paid | (392 | ) | (346 | ) | ||||
Actuarial loss | 1,225 | 2,786 | ||||||
Plan amendments | — | (495 | ) | |||||
Projected benefit obligation at the end of the year | $ | 17,422 | $ | 15,031 | ||||
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December 31, | ||||||||
2008 | 2007 | |||||||
Unrecognized (gain)/loss | $ | 6,158 | $ | 5,396 | ||||
Prior service cost | (523 | ) | (666 | ) | ||||
Accumulated other comprehensive loss | $ | 5,635 | $ | 4,730 | ||||
December 31, | ||||||||
2008 | 2007 | |||||||
Fair value of the plan assets at the beginning of the year | $ | — | $ | — | ||||
Employer contributions | 392 | 346 | ||||||
Benefits paid | (392 | ) | (346 | ) | ||||
Fair value of the plan assets at the end of the year | $ | — | $ | — | ||||
December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Service cost | $ | 614 | $ | 626 | $ | 388 | ||||||
Interest cost | 944 | 880 | 604 | |||||||||
Amortization of unrecognized prior service cost | (143 | ) | (112 | ) | (50 | ) | ||||||
Amortization of unrecognized net loss | 463 | 514 | 318 | |||||||||
Net periodic benefit cost | $ | 1,878 | $ | 1,908 | $ | 1,260 | ||||||
December 31, | ||||||||
2008 | 2007 | |||||||
Net loss (gain) | $ | 1,225 | $ | 2,786 | ||||
Prior service cost (benefit) | — | 381 | ||||||
Amortization of net loss (gain) | (463 | ) | (514 | ) | ||||
Amortization of prior service cost (benefit) | 143 | 112 | ||||||
Amortization of net obligation | — | — | ||||||
Total recognized in other comprehensive income | $ | 905 | $ | 2,765 | ||||
Total recognized in net periodic benefit cost and other comprehensive income | $ | 2,783 | $ | 4,673 | ||||
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December 31, | ||||||||
2009 | 2008 | |||||||
Expected amortization of net (gain)/loss | $ | 539 | $ | 463 | ||||
Expected amortization of prior service cost/(credit) | $ | (143 | ) | $ | (143 | ) | ||
Expected amortization of transition obligation/(asset) | $ | — | $ | — |
2008 | 2007 | 2006 | ||||||||||
Discount rate * | 6.14 | % | 6.37 | % | 5.65 | % | ||||||
Salary increases | 5.50 | % | 5.50 | % | 5.50 | % | ||||||
Amortization period (years) | 8 | 8 | 8 | |||||||||
Benefits paid during the year | $ | (392 | ) | $ | (346 | ) | $ | (346 | ) |
* | The discount rate was based on the Citigroup Pension Liability Index at December 31, 2008 and adjusted for durations. |
Years | Payments | |||
2009 | $ | 544 | ||
2010 | 639 | |||
2011 | 872 | |||
2012 | 914 | |||
2013 | 972 | |||
2014-2018 | 6,020 | |||
Total | $ | 9,961 | ||
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December 31, | ||||||||
2008 | 2007 | |||||||
Accumulated postretirement benefit obligation at the beginning of the year | $ | 13,109 | $ | 14,577 | ||||
Service cost | 505 | 727 | ||||||
Interest cost | 820 | 903 | ||||||
Actuarial loss | (184 | ) | 2,574 | |||||
Benefits paid, net of participants’ contributions | (296 | ) | (381 | ) | ||||
Change in plan assumptions | 403 | (812 | ) | |||||
Change in plan provisions | — | (4,479 | ) | |||||
Accumulated postretirement benefit obligation at the end of the year | 14,357 | 13,109 | ||||||
Unrecognized net gain | — | — | ||||||
Accrued postretirement benefit cost | $ | 14,357 | $ | 13,109 | ||||
December 31, | ||||||||
2008 | 2007 | |||||||
Fair value of plan assets at the beginning of the year | $ | — | $ | — | ||||
Employer contributions | 296 | 381 | ||||||
Benefits paid, net of participants’ contributions and subsidy received | (296 | ) | (381 | ) | ||||
Fair value of plan assets at the end of the year | $ | — | $ | — | ||||
December 31, | ||||||||
2008 | 2007 | |||||||
Prior service cost/(credit) | $ | (3,566 | ) | $ | (4,297 | ) | ||
Net loss/(gain) | 4,481 | 4,654 | ||||||
Accrued pension cost | $ | 915 | $ | 357 | ||||
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December 31, | ||||||||
2009 | 2008 | |||||||
Expected amortization of net (gain)/loss | $ | 312 | $ | 265 | ||||
Expected amortization of prior service cost/(credit) | $ | (731 | ) | $ | (731 | ) | ||
Expected amortization of transition obligation/(asset) | $ | — | $ | — |
December 31, | ||||||||||||
2008 | 2007 | 2006 | ||||||||||
Service cost (benefits attributed to service during the period) | $ | 505 | $ | 727 | $ | 814 | ||||||
Interest cost on accumulated postretirement health benefit obligation | 820 | 903 | 748 | |||||||||
Amortization of loss | 396 | 319 | 268 | |||||||||
Additional gain on recognition of plan amendment | — | 611 | — | |||||||||
Amortization of prior service cost/(credit) | (731 | ) | (183 | ) | — | |||||||
Net periodic postretirement health benefit cost | $ | 990 | $ | 2,377 | $ | 1,830 | ||||||
December 31, | ||||||||
2008 | 2007 | |||||||
Net loss (gain) | $ | 218 | $ | 1,763 | ||||
Prior service cost (benefit) | — | (4,479 | ) | |||||
Amortization of net loss (gain) | (396 | ) | (319 | ) | ||||
Amortization of prior service cost (benefit) | 731 | (428 | ) | |||||
Amortization of net obligation | — | — | ||||||
Total recognized in other comprehensive income | $ | 553 | $ | (3,463 | ) | |||
Total recognized in net periodic benefit cost and other comprehensive income | $ | 1,543 | $ | (1,086 | ) | |||
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2008 | 2007 | 2006 | ||||||||||
Weighted average discount rate at the end of the year | 6.14 | % | 6.37 | % | 5.65 | % | ||||||
Health care cost trend rates: | ||||||||||||
Assumed for next year | 7.00 | % | 7.00 | % | 7.00 | % | ||||||
Ultimate rate | 5.00 | % | 4.50 | % | 4.50 | % | ||||||
Year that ultimate rate is reached | 2011 | 2016 | 2016 | |||||||||
Alternative amortization methods used to amortize | ||||||||||||
Prior service cost | Straight — line | Straight — line | Straight — line | |||||||||
Unrecognized net (gain) or loss | Straight — line | Straight — line | Straight — line |
Years | Payments | |||
2009 | $ | 502 | ||
2010 | 533 | |||
2011 | 563 | |||
2012 | 594 | |||
2013 | 608 | |||
2014-2018 | 3,139 | |||
Total | $ | 5,939 | ||
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December 31, | ||||||||||||||||
2008 | 2007 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Notional | Fair Value | Notional | Fair Value | |||||||||||||
Interest rate swaps | ||||||||||||||||
Fair value — SFAS 133 | $ | 84,582,796 | $ | (4,531,004 | ) | $ | 81,766,313 | $ | (1,243,427 | ) | ||||||
Cash flow — SFAS 133 | — | — | 127,500 | (177 | ) | |||||||||||
Economic | 39,691,142 | (76,412 | ) | 1,538,100 | 5,454 | |||||||||||
Fair value matched to hedge liabilities designated under SFAS 159 | 983,000 | 7,699 | — | — | ||||||||||||
Interest rate caps/floors | ||||||||||||||||
Economic-fair value changes | 2,357,000 | 8,174 | 1,157,694 | 2 | ||||||||||||
Mortgage delivery commitments (MPF) | ||||||||||||||||
Economic-fair value changes | 10,395 | (108 | ) | 1,351 | 5 | |||||||||||
Other | ||||||||||||||||
Intermediation | 300,000 | 484 | 70,000 | 22 | ||||||||||||
Total | $ | 127,924,333 | $ | (4,591,167 | ) | $ | 84,660,958 | $ | (1,238,121 | ) | ||||||
Total derivatives, excluding accrued interest | $ | (4,591,167 | ) | $ | (1,238,121 | ) | ||||||||||
Cash collateral pledged to counteparties | 3,836,370 | 396,400 | ||||||||||||||
Cash collateral received from counterparties | (61,209 | ) | (41,300 | ) | ||||||||||||
Accrued interest | (25,418 | ) | 238,657 | |||||||||||||
Net derivative balance | $ | (841,424 | ) | $ | (644,364 | ) | ||||||||||
Net derivative asset balance | $ | 20,236 | $ | 28,978 | ||||||||||||
Net derivative liability balance | (861,660 | ) | (673,342 | ) | ||||||||||||
Net derivative balance | $ | (841,424 | ) | $ | (644,364 | ) | ||||||||||
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Years ended December 31, | ||||||||||||
2008 | 20072 | 20062 | ||||||||||
Earnings impact of derivatives and hedging activities gain (loss): | ||||||||||||
SFAS 133 Hedging | ||||||||||||
Cash flow hedge-ineffectiveness | $ | (9 | ) | $ | 9 | $ | — | |||||
Fair value hedges-ineffectiveness | (12,025 | ) | 5,910 | 3,150 | ||||||||
Economic Hedging | ||||||||||||
Economic hedges-fair value changes-options | (40,773 | ) | (2,611 | ) | (6,604 | ) | ||||||
Net interest income-options | 101 | 3,630 | 7,862 | |||||||||
Economic hedges-fair value changes-MPF delivery commitments | (3 | ) | (171 | ) | 22 | |||||||
Fair value changes-economic hedges1 | (45,239 | ) | 9,695 | 4,666 | ||||||||
Net interest expense-economic hedges1 | (126,533 | ) | 1,894 | 580 | ||||||||
Macro hedge-swaps | 18,029 | — | — | |||||||||
Fair value matched to hedge liabilities designated under SFAS 159 | ||||||||||||
Fair value changes-interest rate swaps | 7,193 | — | — | |||||||||
Net impact on derivatives and hedging activities | $ | (199,259 | ) | $ | 18,356 | $ | 9,676 | |||||
1 | Includes de minimis amount of net gains on member intermediated swaps. | |
2 | Presentations for prior periods have been conformed to match current period presentation and had no impact on the Net gains (losses) on derivatives and hedging activities. |
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December 31, 2008 | ||||||||||||||||||||
Netting | ||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Adjustments | ||||||||||||||||
Assets | ||||||||||||||||||||
Available-for-sale securities | $ | 2,861,869 | $ | — | $ | 2,861,869 | $ | — | $ | — | ||||||||||
Advances | — | — | — | — | — | |||||||||||||||
Mortgage Loans | — | — | — | — | — | |||||||||||||||
Derivative assets | 20,236 | — | 81,445 | — | (61,209 | ) | ||||||||||||||
Other assets | — | — | — | — | — | |||||||||||||||
Total assets at fair value | $ | 2,882,105 | $ | — | $ | 2,943,314 | $ | — | $ | (61,209 | ) | |||||||||
Liabilities | ||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||
Discount notes | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Bonds | (998,942 | ) | — | (998,942 | ) | — | — | |||||||||||||
Derivative liabilities | (861,660 | ) | — | (4,698,030 | ) | — | 3,836,370 | |||||||||||||
Total liabilities at fair value | $ | (1,860,602 | ) | $ | — | $ | (5,696,972 | ) | $ | — | $ | 3,836,370 | ||||||||
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December 31, 2008 | ||||||||||||
Carrying | Net Unrealized | Estimated | ||||||||||
Financial Instruments | Value | Gains/Losses | Fair Value | |||||||||
Assets | ||||||||||||
Cash and due from banks | $ | 18,899 | $ | — | $ | 18,899 | ||||||
Interest-bearing deposits | 12,169,096 | 1,585 | 12,170,681 | |||||||||
Federal funds sold | — | — | — | |||||||||
Available-for-sale securities | 2,861,869 | — | 2,861,869 | |||||||||
Held-to-maturity securities | ||||||||||||
Long-term securities | 10,130,543 | (196,070 | ) | 9,934,473 | ||||||||
Certificates of deposit | 1,203,000 | 328 | 1,203,328 | |||||||||
Advances | 109,152,876 | 268,482 | 109,421,358 | |||||||||
Mortgage loans, net | 1,457,885 | 38,444 | 1,496,329 | |||||||||
Accrued interest receivable | 492,856 | — | 492,856 | |||||||||
Derivative assets | 20,236 | — | 20,236 | |||||||||
Other financial assets | 2,713 | — | 2,713 | |||||||||
Liabilities | ||||||||||||
Deposits | 1,451,978 | 670 | 1,452,648 | |||||||||
Consolidated obligations: | ||||||||||||
Bonds | 82,256,705 | 276,343 | 82,533,048 | |||||||||
Discount notes | 46,329,906 | 79,001 | 46,408,907 | |||||||||
Mandatorily redeemable capital stock | 143,121 | — | 143,121 | |||||||||
Accrued interest payable | 426,144 | — | 426,144 | |||||||||
Derivative liabilities | 861,660 | — | 861,660 | |||||||||
Other financial liabilities | 38,594 | — | 38,594 |
December 31, 2007 | ||||||||||||
Carrying | Net Unrealized | Estimated | ||||||||||
Financial Instruments | Value | Gains/Losses | Fair Value | |||||||||
Assets | ||||||||||||
Cash and due from banks | $ | 7,909 | $ | — | $ | 7,909 | ||||||
Federal funds sold | 4,381,000 | 720 | 4,381,720 | |||||||||
Available-for-sale securities | 13,187 | — | 13,187 | |||||||||
Held-to-maturity securities | ||||||||||||
Long-term securities | 10,284,754 | (4,941 | ) | 10,279,813 | ||||||||
Certificates of deposit | 10,300,200 | 7,178 | 10,307,378 | |||||||||
Advances | 82,089,667 | 146,865 | 82,236,532 | |||||||||
Mortgage loans, net | 1,491,628 | (5,620 | ) | 1,486,008 | ||||||||
Loans to other FHLBanks | 55,000 | — | 55,000 | |||||||||
Accrued interest receivable | 562,323 | — | 562,323 | |||||||||
Derivative assets | 28,978 | — | 28,978 | |||||||||
Other financial assets | 1,711 | — | 1,711 | |||||||||
Liabilities | ||||||||||||
Deposits | 1,605,535 | 3 | 1,605,538 | |||||||||
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 | 673,342 | — | 673,342 | |||||||||
Other financial liabilities | 28,941 | — | 28,941 |
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December 31, 2008 | ||||
Balance, beginning of the period | $ | — | ||
New transaction elected for fair value option | 1,014,000 | |||
Maturities and terminations | (31,000 | ) | ||
Change in fair value | 8,325 | |||
Change in accrued interest | 7,617 | |||
Balance, end of the period | $ | 998,942 | ||
Total change in fair | ||||||||||||
Interest expense on | value included in | |||||||||||
consolidated | Net gain(loss) due to | current period | ||||||||||
obligation bonds | changes in fair value | earnings | ||||||||||
Year ended December 31, 2008 | ||||||||||||
Consolidated obligation bonds | $ | (7,835 | ) | $ | (8,325 | ) | $ | (16,160 | ) | |||
December 31, 2008 | ||||||||||||
Fair value | ||||||||||||
Principal Balance | Fair value | over/(under) | ||||||||||
Consolidated obligation bonds | $ | 983,000 | $ | 998,942 | $ | 15,942 | ||||||
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December 31, 2008 | ||||||||||||||||||||
Payments due or expiration terms by period | ||||||||||||||||||||
Less than | One year | Greater than three | Greater than | |||||||||||||||||
one year | to three years | years to five years | five years | Total | ||||||||||||||||
Contractual Obligations | ||||||||||||||||||||
Consolidated obligations-bonds at par1 | $ | 49,568,550 | $ | 21,492,250 | $ | 5,822,025 | $ | 4,071,350 | $ | 80,954,175 | ||||||||||
Mandatorily redeemable capital stock1 | 38,328 | 83,159 | 14,646 | 6,988 | 143,121 | |||||||||||||||
Premises (lease obligations)2 | 3,116 | 6,233 | 6,280 | 8,764 | 24,393 | |||||||||||||||
Total contractual obligations | 49,609,994 | 21,581,642 | 5,842,951 | 4,087,102 | 81,121,689 | |||||||||||||||
Other commitments | ||||||||||||||||||||
Standby letters of credit | 864,981 | 19,643 | 16,024 | 7,915 | 908,563 | |||||||||||||||
Unused lines of credit and other conditional commitments | 19,008,345 | — | — | — | 19,008,345 | |||||||||||||||
Consolidated obligation bonds/discount notes traded not settled | 706,501 | — | — | — | 706,501 | |||||||||||||||
Firm commitment-advances | 40,000 | — | — | — | 40,000 | |||||||||||||||
Open delivery commitments (MPF) | 10,395 | — | — | — | 10,395 | |||||||||||||||
Total other commitments | 20,630,222 | 19,643 | 16,024 | 7,915 | 20,673,804 | |||||||||||||||
Total obligations and commitments | $ | 70,240,216 | $ | 21,601,285 | $ | 5,858,975 | $ | 4,095,017 | $ | 101,795,493 | ||||||||||
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. Certain consolidated bonds are callable and if exercised by the Bank may result in a shorter duration than the contractual maturities. | |
2 | Immaterial amount of commitment for equipment leases not included. |
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December 31, 2008 | ||||||||||||||||||||
Percentage of | ||||||||||||||||||||
Par | Total Par Value | Interest | ||||||||||||||||||
City | State | Advances | of Advances | Income | ||||||||||||||||
Hudson City Savings Bank1 | Paramus | NJ | $ | 17,525,000 | 17.0 | % | $ | 671,146 | ||||||||||||
Metropolitan Life Insurance Company | New York | NY | 15,105,000 | 14.6 | 260,420 | |||||||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 7,999,689 | 7.7 | 257,649 | |||||||||||||||
New York Community Bank1 | Westbury | NY | 7,796,517 | 7.5 | 337,019 | |||||||||||||||
Astoria Federal Savings and Loan Assn. | Long Island City | NY | 3,738,000 | 3.6 | 151,066 | |||||||||||||||
Total | $ | 52,164,206 | 50.4 | % | $ | 1,677,300 | ||||||||||||||
1 | Officer of member bank also serves on the Board of Directors of the FHLBNY. |
December 31, 2007 | ||||||||||||||||||||
Percentage of | ||||||||||||||||||||
Par | Total Par Value | Interest | ||||||||||||||||||
City | State | Advances | of Advances | 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 Life Insurance Company | New York | NY | 4,555,000 | 5.7 | 81,724 | |||||||||||||||
Total | $ | 38,898,835 | 48.3 | % | $ | 1,356,755 | ||||||||||||||
December 31, 2006 | ||||||||||||||||||||
Percentage of | ||||||||||||||||||||
Par | Total Par Value | Interest | ||||||||||||||||||
City | State | Advances | of Advances | 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 | ||||||||||||||
Number | Percent | |||||||||||
December 31, 2008 | of shares | of total | ||||||||||
Name of beneficial owner | Principal Executive Office Address | owned | capital stock | |||||||||
Hudson City Savings Bank * | West 80 Century Road, Paramus, NJ 07652 | 8,656 | 15.11 | % | ||||||||
Metropolitan Life Insurance Company | 200 Park Ave., New York, NY 10166 | 8,302 | 14.49 | |||||||||
Manufacturers and Traders Trust Company | One M & T Plaza, Buffalo, NY 14203 | 4,327 | 7.55 | |||||||||
New York Community Bank * | 615 Merrick Avenue, Westbury, NY 11590 | 3,928 | 6.86 | |||||||||
25,213 | 44.01 | % | ||||||||||
* | Officer of member bank also serves on the Board of Directors of the FHLBNY. |
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(a) | Evaluation of Disclosure Controls and Procedures: An evaluation of the Bank’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “Act”)) was carried out under the supervision and with the participation of the Bank’s President and Chief Executive Officer, Alfred A. DelliBovi, and Senior Vice President and Chief Financial Officer, Patrick A. Morgan, at December 31, 2008. Based on this evaluation, they concluded that as of December 31, 2008, 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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Bank | Expiration | Represents | ||||||||||||||||||
Age as of | Director | of Term | Bank | Director | ||||||||||||||||
Director Name | 3/27/2009 | Since | 12/31/ | Members in | Type | |||||||||||||||
Michael M. Horn (Chair)a | 69 | 4/2007 | 2009 | 2nd District | Independent | |||||||||||||||
José Ramon González (Vice Chair)b | 54 | 1/2004 | 2009 | PR & USVI | Member | |||||||||||||||
David W. Lindstrom (Past Chair) c | 69 | 1/2003 | 2008 | NJ | Member | |||||||||||||||
Anne Evans Estabrook | 64 | 1/2004 | 2010 | 2nd District | Independent | |||||||||||||||
Joseph R. Ficalora | 62 | 1/2005 | 2010 | NY | Member | |||||||||||||||
Carl A. Floriod | 60 | 1/2006 | 2008 | NY | Member | |||||||||||||||
Jay M. Forde | 59 | 6/2008 | 2012 | NJ | Member | |||||||||||||||
James W. Fulmer | 57 | 1/2007 | 2009 | NY | Member | |||||||||||||||
Ronald E. Hermance, Jr. | 61 | 1/2005 | 2010 | NJ | Member | |||||||||||||||
Katherine J. Liseno | 64 | 1/2004 | 2009 | NJ | Member | |||||||||||||||
Kevin J. Lynch | 62 | 1/2005 | 2010 | NJ | Member | |||||||||||||||
Joseph J. Melone | 77 | 4/2007 | 2009 | 2nd District | Independent | |||||||||||||||
Richard S. Mroz | 47 | 3/2002 | 2010 | 2nd District | Independent | |||||||||||||||
Thomas M. O’Brienf | 58 | 4/2008 | 2012 | NY | Member | |||||||||||||||
C. Cathleen Raffaeli | 52 | 4/2007 | 2012 | 2nd District | Independent | |||||||||||||||
Edwin C. Reed | 55 | 4/2007 | 2012 | 2nd District | Independent | |||||||||||||||
John M. Scarchilli | 57 | 8/2006 | 2010 | NY | Member | |||||||||||||||
DeForest B. Soaries, Jr.g | 57 | 1/2009 | 2011 | 2nd District | Independent | |||||||||||||||
George Strayton | 65 | 6/2006 | 2011 | NY | Member |
a | Mr. Horn, who had served as Vice Chair of the Board since January 1, 2008, became Acting Board Chair on May 8, 2008 and Board Chair on May 13, 2008, thus filling the unexpired portion of the Chair term that is scheduled to expire on December 31, 2009. |
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b | Mr. Gonzalez became Board Vice Chair on June 19, 2008, thus filling the unexpired portion of the Vice Chair term that was scheduled to run through December 31, 2008. The Board later elected him to serve as Vice Chair for the years 2009 and 2010. | |
c | Mr. Lindstrom’s service as a director on the Board ended on May 7, 2008 (prior to the end of his scheduled term, which was December 31, 2008) as a result of the end of his employment with Bank member Franklin Bank; under Finance Agency regulations, one must be an officer or director of a member in order to serve as a member director on the Bank’s Board. He served as Board Chair from January 1 through May 7, 2008. | |
d | Mr. Florio’s service as a director on the Board ended on January 22, 2008 (prior to the end of his scheduled term, which was December 31, 2008) as a result of the end of his employment with Bank member First Niagara Bank; under Finance Agency regulations, one must be an officer or director of a member in order to serve as a member director on the Bank’s Board. | |
e | Mr. Ford was elected by the Board on June 19, 2008 to finish Mr. Lindstrom’s unexpired term as Director, which had been scheduled to run through December 31, 2008. He was later elected by the Bank’s membership in New Jersey to serve a new term commencing January 1, 2009. | |
f | Mr. O’Brien was elected by the Board on April 2, 2008 to, commencing on April 3, 2008, finish Mr. Florio’s unexpired term as Director; this term had been scheduled to run through December 31, 2008. He was later elected by the Bank’s membership in New York to serve a new term on the Board commencing January 1, 2009. | |
g | Dr. Soaries was not a member of the Board in 2008. He was elected by the Bank’s membership for a term on the Board commencing January 1, 2009. |
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Management | ||||||||||||||
Age as of | Employee of | Committee | ||||||||||||
Executive officer | Position held | 3/27/2009 | Bank since | member since | ||||||||||
Alfred A. DelliBovi | President & Chief Executive Officer | 63 | 11/30/92 | 03/31/04 | ||||||||||
Eric P. Amig | Senior Vice President & Director of Bank Relations | 50 | 02/01/93 | 01/01/09 | ||||||||||
James A. Gilmore * | Senior Vice President & Head of Marketing & Sales | 61 | 02/14/84 | 03/31/04 | ||||||||||
Adam Goldstein | Senior Vice President & Head of Sales & Marketing | 35 | 07/14/97 | 03/20/08 | ||||||||||
Robert R. Hans ** | Senior Vice President & Head of Technology & Support Services | 59 | 01/03/72 | 03/31/04 | ||||||||||
Paul B. Héroux | Senior Vice President & Head of Member Services | 50 | 02/27/84 | 03/31/04 | ||||||||||
Peter S. Leung | Senior Vice President & Chief Risk Officer | 54 | 01/20/04 | 03/31/04 | ||||||||||
Patrick A. Morgan | Senior Vice President & Chief Financial Officer | 68 | 02/16/99 | 03/31/04 | ||||||||||
Kevin M. Neylan | Senior Vice President & Head of Strategy and Business Development | 51 | 04/30/01 | 03/31/04 | ||||||||||
Craig E. Reynolds | Senior Vice President & Head of Asset Liability Management | 60 | 06/27/94 | 03/31/04 |
* | Retired 3/19/08 | |
** | Terminated 1/15/75; rehired 9/16/75 |
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1. | review and recommend to the Board changes regarding the Bank’s compensation and benefits programs for employees and retirees; |
2. | review and approve individual performance ratings and related merit increases for the Bank’s Chief Executive Officer and for the other Management Committee members; |
3. | review salary adjustments for Bank officers; |
4. | review and approve annually the Bank’s Incentive Compensation Plan (“Incentive Plan”), year-end Plan results and Plan award payouts; |
5. | advise the Board on compensation, benefits and human resources matters affecting Bank employees; |
6. | review and discuss with Bank management the Compensation Discussion and Analysis (“CD&A”) to be included in the Bank’s Form 10-K and determine whether to recommend to the Board that the CD&A be included in the Form10-K; and |
7. | review and monitor compensation arrangements for the Bank’s executives so that the Bank continues to retain, attract, motivate and align quality management consistent with the investment rationale and performance objectives contained in the Bank’s annual business plan and budget, subject to the direction of the Board. |
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• | Geographical area — The New York Metropolitan area is a highly competitive market for talent in the financial disciplines; |
• | Cost of living — The New York Metropolitan area has a high cost of living that may require compensation premiums for some positions, particularly at more junior levels; and |
• | Availability/demand for talent — Recruiting critical positions with high market demand typically requires a recruiting premium to entice an individual to change firms. |
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Australia & New | Cargill | GMAC | Royal Bank of Canada | |||
Zealand Banking | CIBC World Markets | HSBC Bank | Royal Bank of | |||
Group | Citigroup | HSBC Corporate, | Scotland/Greenwich | |||
ABN AMRO | Citizens Bank | Investment Banking | Capital | |||
Allied Irish Bank | Commerzbank | & Markets | Societe Generale | |||
The Bank of Nova | Commonwealth Bank | Hypo Vereinsbank | Standard Chartered Bank | |||
Scotia | of Australia | ING Bank | Sumitomo Mitsui | |||
Banco Santander | DVB Bank | JP Morgan Chase | Banking Corporation | |||
Bank of New | DZ Bank | KeyCorp | SunTrust Banks | |||
York/Mellon | Deutsche Bank | Lloyds TSB | TD Securities | |||
Bank of Tokyo - | Dresdner Kleinwort | M&T Bank | Wachovia Corporation | |||
Mitsubishi UFJ | Wasserstein | Corporation | Wells Fargo Bank | |||
Bank of America | Fifth Third Bank | Mizuho Corporate | WestLB | |||
BMO Financial | Fortis Financial | Bank, Ltd. | Westpac Banking | |||
Group | Services LLC | National Australia | Corporation | |||
BNP Paribas | GE Commercial | Bank | ||||
Brown Brothers | Finance | Rabobank Nederland | ||||
Harriman | ||||||
The CIT Group |
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• | cash compensation was generally below the Bank’s peer groups and heavily weighted towards base pay (the Bank does not have a long-term incentive program); |
• | cash compensation and retirement-related benefits were slightly above the Bank’s peers and heavily weighted towards benefits; |
• | cash compensation, retirement-related benefits and Health & Welfare Benefits were generally above the Bank’s peers and heavily weighted towards benefits; and |
• | mix of compensation and benefits was consistent with the risk-averse culture of the Bank. |
• | 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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• | Maintain an overall greater emphasis on base salary and benefits (versus annual and long-term incentives) than would be typical of regional/commercial banks. |
• | A focus on regional/commercial banks (see the peer group list in Section I above) as the primary peer group for benchmarking at the 50th percentile of the market total compensation (cash compensation [i.e., (i) base salary, and (ii) “variable” or “at risk” short-term incentive compensation]; and health and welfare programs and other benefits), discounted by 15% to account for the incremental value provided by the Bank’s benefit programs for establishing competitive pay levels. |
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• | A philosophical determination to match Bank officer positions one position level down versus commercial/regional banks. The rationale is that officer positions at commercial/regional banks are one level more significant than at the Bank because they manage multiple business lines in multiple locations. In contrast, the Bank generally recruits senior level positions from a ‘divisional’ level at commercial/regional banks and not the higher ‘corporate’ level. |
• | Target cash compensation pay at the 75th percentile of the FHLBanks where regional/commercial bank data is not available. The 15% discount to account for the incremental value provided by the Bank’s benefit programs will not be applied to benchmark results from the other FHLBanks, as the other FHLBanks offer similar benefits. |
• | Conduct detailed cash compensation benchmarking for approximately one-third of the Bank’s Officer positions each year. (In this regard, the Bank collects information regarding benchmarking from Aon as well as a variety of other reputable sources.) |
• | Evaluate the value of total compensation delivered to employees including base pay, incentive compensation, retirement and health & welfare benefits in determining market competitiveness every third year. |
• | Geographical area — New York City is a highly competitive market. |
• | Cost of living — The New York Metropolitan area has a high cost of living that may require compensation premiums for some positions, particularly at more junior levels. |
• | Availability/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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DEFINED BENEFIT PLAN | GRANDFATHERED | NON-GRANDFATHERED | ||
PROVISIONS | EMPLOYEES | EMPLOYEES | ||
Benefit Multiplier | 2.5% | 2.0% | ||
Final Average Pay Period | High 3 Year | High 5 Year | ||
Normal Form of Payment | Guaranteed 12 Year Payout | Life Annuity | ||
Cost of Living Adjustments | 1% Per Year Cumulative Commencing at Age 66 | None | ||
Early Retirement Subsidy<65: | ||||
a) Rule of 70 | 1.5% Per Year | 3% Per Year | ||
b) Rule of 70 Not Met | 3% Per Year | Actuarial Equivalent | ||
*Vesting | 20% Per Year Commencing Second Year of Employment | 5 Year Cliff |
* | Greater of DB Plan Vesting or New Plan Vesting applied to employees participating in the DB Plan prior to July 1, 2008. |
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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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Provisions for | Provisions for | |||
Grandfathered | Non-Grandfathered | |||
Retirees | Retirees | |||
Plan Type | Defined Benefit | Defined Dollar Plan | ||
Medical Plan Formula | 1) Same coverage offered to active employees prior to age 65 | 1) Retiree, (and covered individual), is eligible for $45/month x years of service after age 45, and has attainted the age of 62. There is a 3% Cost of Living Adjustment each year | ||
2) Supplement Medicare coverage for retirees Age 65 and over | 2) Retiree, (and covered individual), is eligible for $25/month x years of service after age 45 and after age 65. There is a 3% Cost of Living Adjustment each year | |||
Employer | ||||
Cost Share Examples: | 0% for Pre-62 | $0 for Pre-62 | ||
10 years of service after age 45 | 50% for Post-62 | Pre-65/Post-65 $5400/$3000 | ||
15 years of service after age 45 | 62.5% for Post-62 | $8100/$4500 | ||
20 years of service after age 45 | 75% for Post-62 | $10800/$6000 |
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James W. Fulmer
José R. González
Katherine J. Liseno
Kevin J. Lynch
Richard S. Mroz
Thomas M. O’Brien
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Change in | ||||||||||||||||||||||||||||||||||||
Non-Equity | Pension Value | All Other | ||||||||||||||||||||||||||||||||||
Incentive | and Nonqualified | Compensation | ||||||||||||||||||||||||||||||||||
Plan | Deferred | (D,E,F,G,H, I,J) | ||||||||||||||||||||||||||||||||||
Name and Principal | Stock | Option | Compensation | Compensation | (d,e,f,g,h,i,j) | |||||||||||||||||||||||||||||||
Position | Year | Salary | Bonus | Awards | Awards | (A) (a) (1) | (B,C) (b,c)(2,3) | (4,5,6,7,8) | Total | |||||||||||||||||||||||||||
Alfred A. DelliBovi | 2008 | $ | 603,054 | — | — | — | $ | 379,938 | $ | 1,092,000 | $ | 76,328 | $ | 2,151,320 | ||||||||||||||||||||||
President & | 2007 | $ | 583,539 | — | — | — | $ | 421,964 | $ | 479,000 | $ | 75,855 | $ | 1,560,358 | ||||||||||||||||||||||
Chief Executive Officer (PEO) | 2006 | $ | 560,018 | — | — | — | $ | 349,364 | $ | 294,000 | $ | 73,047 | $ | 1,276,429 | ||||||||||||||||||||||
Peter S. Leung | 2008 | $ | 396,874 | — | — | — | $ | 181,414 | $ | 328,000 | $ | 49,045 | $ | 955,333 | ||||||||||||||||||||||
Senior Vice President, | 2007 | $ | 387,623 | — | — | — | $ | 204,407 | $ | 499,000 | $ | 46,917 | $ | 1,137,947 | ||||||||||||||||||||||
Chief Risk Officer | 2006 | $ | 371,999 | — | — | — | $ | 176,842 | $ | 47,000 | $ | 34,332 | $ | 630,173 | ||||||||||||||||||||||
Paul B. Héroux | 2008 | $ | 282,194 | — | — | — | $ | 128,993 | $ | 400,000 | $ | 57,200 | $ | 868,387 | ||||||||||||||||||||||
Senior Vice President, | 2007 | $ | 275,616 | — | — | — | $ | 145,342 | $ | 171,000 | $ | 43,425 | $ | 635,383 | ||||||||||||||||||||||
Head of Member Services | 2006 | $ | 264,507 | — | — | — | $ | 125,742 | $ | 98,000 | $ | 37,880 | $ | 526,129 | ||||||||||||||||||||||
Patrick A. Morgan | 2008 | $ | 299,234 | — | — | — | $ | 136,782 | $ | 268,000 | $ | 36,933 | $ | 740,949 | ||||||||||||||||||||||
Senior Vice President, | 2007 | $ | 292,259 | — | — | — | $ | 154,118 | $ | 279,000 | $ | 31,184 | $ | 756,561 | ||||||||||||||||||||||
Chief Financial Officer (PFO) | 2006 | $ | 280,479 | — | — | — | $ | 133,335 | $ | 211,000 | $ | 28,793 | $ | 653,607 | ||||||||||||||||||||||
Craig E. Reynolds | 2008 | $ | 276,897 | — | — | — | $ | 126,572 | $ | 330,000 | $ | 44,657 | $ | 778,126 | ||||||||||||||||||||||
Senior Vice President, | 2007 | $ | 270,443 | — | — | — | $ | 142,614 | $ | 183,000 | $ | 42,877 | $ | 638,934 | ||||||||||||||||||||||
Head of Asset Liability | 2006 | $ | 259,542 | — | — | — | $ | 123,382 | $ | 100,000 | $ | 42,433 | $ | 525,357 |
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A | Bonuses are not provided. However, the non-equity incentive plan compensation in the above table may be considered by some to be deemed a “bonus”. | |
B | Change in Pension Value for the Pentegra Defined Benefit Plan for Financial Institutions: | |
A. | DelliBovi — $151,000 | |
P. | Morgan — $74,000 | |
P. | Leung — $105,000 | |
P. | Héroux — $156,000 | |
C. | Reynolds — $135,000 | |
C | Change in Pension Value for the Nonqualified Defined Benefit Portion of the Bank’s Benefit Equalization Plan: | |
A. | DelliBovi — $941,000 | |
P. | Morgan — $194,000 | |
P. | Leung — $223,000 | |
P. | Héroux — $244,000 | |
C. | Reynolds — $195,000 | |
D | For all Named Executive Officers, includes these items paid by the Bank for all employees: amount of funds matched by the Bank in connection with the Pentegra Defined Contribution Plan for Financial Institutions, payment of group term life insurance premium, payment of long term disability insurance premium, payment of health insurance premium, payment of aggregate and individual “stop loss” coverage (i.e., insurance to protect the Bank against significant insurance claims paid under its self-insured health insurance plan), payment of health and dental administrative charges (i.e., network medical utilization charges, network medical administrative charges, and dental indemnity administrative charges), payment of dental insurance premium, payment of vision insurance premium and payment of employee assistance program premium. | |
E | For A. DelliBovi, P. Morgan, P. Leung, 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 $23,407, for P. Morgan $9,908, for P. Leung $17,016, and for C. Reynolds $5,697). | |
F | For A. DelliBovi, includes value of leased automobile ($8,100). | |
G | For A. DelliBovi, includes payment of this item paid by the Bank for all eligible employees: Years of Service Award. | |
H | For A..DelliBovi, includes payment of this item paid by the Bank for all eligible officers: officer physical examination. | |
I | For A. DelliBovi, P. Héroux and C. Reynolds, includes this item paid by the Bank for all eligible officers: payment of term life insurance premium. | |
J | For P. Heroux, includes payment of this item paid by the Bank for all eligible employees: Nonqualified Profit Sharing Plan. |
a | Bonuses are not provided. However, the non-equity incentive plan compensation in the above table may be considered by some to be deemed a “bonus”. | |
b | Change in Pension Value for the Pentegra Defined Benefit Plan for Financial Institutions: | |
A. | DelliBovi — $126,000 | |
P. | Morgan — $91,000 | |
P. | Leung — $51,000 | |
P. | Héroux — $67,000 | |
C. | Reynolds — $93,000 | |
c | Change in Pension Value for the Nonqualified Defined Benefit Portion of the Bank’s Benefit Equalization Plan: | |
A. | DelliBovi — $353,000 | |
P. | Morgan — $188,000 | |
P. | Leung — $448,000 | |
P. | Héroux — $104,000 | |
C. | Reynolds — $90,000 | |
d | For all Named Executive Officers, includes these items paid by the Bank for all employees: amount of funds matched by the Bank in connection with the Pentegra Defined Contribution Plan for Financial Institutions, payment of group term life insurance premium, payment of long term disability insurance premium, payment of health insurance premium, payment of aggregate and individual “stop loss” coverage (i.e., insurance to protect the Bank against significant insurance claims paid under its self-insured health insurance plan), payment of health and dental administrative charges (i.e., network medical utilization charges, network medical administrative charges, and dental indemnity administrative charges), payment of dental insurance premium, and payment of employee assistance program premium. | |
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e | 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). | |
f | 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. | |
g | For A. DelliBovi, includes value of leased automobile ($11,856). | |
h | For P. Héroux, includes payment of this item paid by the Bank for all eligible officers: officer physical examination. | |
i | For A. DelliBovi, P. Héroux and C. Reynolds, includes this item paid by the Bank for all eligible officers: payment of term life insurance premium. | |
j | For P. Héroux, includes payment of this item paid by the Bank for all eligible employees: fitness center membership reimbursement. |
1 | Bonuses are not provided. However, the non-equity incentive plan compensation in the above table may be considered by some to be deemed a “bonus”. | |
2 | Change in Pension Value for the Pentegra Defined Benefit Plan for Financial Institutions: | |
A. | DelliBovi — $109,000 | |
P. | Morgan — $78,000 | |
P. | Leung — $47,000 | |
P. | Héroux — $59,000 | |
C. | Reynolds — $82,000 | |
3 | Change in Pension Value for the Nonqualified Defined Benefit Portion of the Benefit Equalization Plan: | |
A. | DelliBovi — $185,000 | |
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 | |
4 | 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. | |
5 | 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. | |
6 | 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. | |
7 | For A. DelliBovi, includes value of leased automobile ($12,432). | |
8 | For C. Reynolds, includes payment of this item paid by the Bank for all eligible officers: officer physical examination. |
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Grants of Plan-Based Awards for Fiscal Year 2008 | ||||||||||||||||||||||||||||||||||||||||||||
All Other | All Other | Exercise | Grant | |||||||||||||||||||||||||||||||||||||||||
Stock | Option | or | Date | |||||||||||||||||||||||||||||||||||||||||
Awards: | Awards: | Base | Fair Value | |||||||||||||||||||||||||||||||||||||||||
Estimated Future Payouts | Estimated Future Payouts | Number of | Number of | Price of | of Stock | |||||||||||||||||||||||||||||||||||||||
Under Non-Equity Incentive | Under Equity Incentive | Shares of | Securities | Option | and Option | |||||||||||||||||||||||||||||||||||||||
Grant | Plan Awards (2) (3) | Plan Awards | Stock | Underlying | Awards | Awards | ||||||||||||||||||||||||||||||||||||||
Name | Date (1) | Threshold | Target | Maximum | Threshold | Target | Maximum | or Units | Options | ($/Sh) | ($/Sh) | |||||||||||||||||||||||||||||||||
Alfred A. DelliBovi | 02/26/08 | $ | 135,439 | $ | 246,253 | $ | 467,881 | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Peter S. Leung | 02/26/08 | $ | 66,836 | $ | 121,520 | $ | 230,888 | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Paul B. Héroux | 02/26/08 | $ | 47,524 | $ | 86,406 | $ | 164,171 | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Patrick A. Morgan | 02/26/08 | $ | 50,392 | $ | 91,623 | $ | 174,084 | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Craig E. Reynolds | 02/26/08 | $ | 46,631 | $ | 84,784 | $ | 161,089 | — | — | — | — | — | — | — |
1 | On this date, the Board of Directors’ Compensation and Human Resources Committee approved the 2008 Incentive Compensation Plan (“ICP”). Approval of the ICP does not mean a payout is guaranteed. | |
2 | Figures represent an assumed rating attained by the NEO of at least a specified threshold rating within the “Meets Requirements” category for the Named Executive Officers with respect to their individual performance. | |
3 | Amounts represent potential awards under the 2008 Incentive Compensation Plan; actual amounts awarded are reflected in the Summary Compensation Table above. |
2008 | 2009 | |||||||
Alfred A. DelliBovi | $ | 615,634 | $ | 649,494 | ||||
Patrick A. Morgan | 305,411 | 319,154 | ||||||
Peter S. Leung | 405,066 | 423,294 | ||||||
Paul B. Héroux | 288,019 | 300,980 | ||||||
Craig E. Reynolds | 282,613 | 295,331 |
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AND OPTION EXERCISES AND STOCK VESTED
Pension Benefits for Fiscal Year 2008 | ||||||||||||||
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 | 15.75 | $ | 932,000 | — | |||||||||
Nonqualified Defined Benefit Portion of the Benefit Equalization Plan | 15.75 | $ | 3,248,000 | — | ||||||||||
Peter S. Leung | Pentegra Defined Benefit Plan for Financial Institutions Qualified Plan | 11.50 | $ | 417,000 | — | |||||||||
Nonqualified Defined Benefit Portion of the Benefit Equalization Plan (3) | 11.50 | $ | 671,000 | — | ||||||||||
Paul B. Héroux | Pentegra Defined Benefit Plan for Financial Institutions Qualified Plan | 24.50 | $ | 640,000 | — | |||||||||
Nonqualified Defined Benefit Portion of the Benefit Equalization Plan | 24.50 | $ | 639,000 | — | ||||||||||
Patrick A. Morgan | Pentegra Defined Benefit Plan for Financial Institutions Qualified Plan | 9.50 | $ | 630,000 | — | |||||||||
Nonqualified Defined Benefit Portion of the Benefit Equalization Plan | 9.50 | $ | 612,000 | — | ||||||||||
Craig E. Reynolds | Pentegra Defined Benefit Plan for Financial Institutions Qualified Plan | 14.17 | $ | 692,000 | — | |||||||||
Nonqualified Defined Benefit Portion of the Benefit Equalization Plan | 14.17 | $ | 586,000 | — |
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 12/31/2008. | |
3 | Mr. Leung’s 11.5 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 4.9 years of credited service working for the Federal Home Loan Bank of New York. |
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DEFINED BENEFIT PLAN | GRANDFATHERED | NON-GRANDFATHERED | ||
PROVISIONS | EMPLOYEES | EMPLOYEES | ||
Benefit Multiplier | 2.5% | 2.0% | ||
Final Average Pay Period | High 3 Year | High 5 Year | ||
Normal Form of Payment | Guaranteed 12 Year Payout | Life Annuity | ||
Cost of Living Adjustments | 1% Per Year Cumulative Commencing at Age 66 | None | ||
Early Retirement Subsidy<65: | ||||
a) Rule of 70 | 1.5% Per Year | 3% Per Year | ||
b) Rule of 70 Not Met | 3% Per Year | Actuarial Equivalent | ||
*Vesting | 20% Per Year Commencing Second Year of Employment | 5 Year Cliff |
* | Greater of DB Plan Vesting or New Plan Vesting applied to employees participating in the DB Plan prior to July 1, 2008. |
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Nonqualified Deferred Compensation for Fiscal Year 2008 | ||||||||||||||||||||
Executive | Registrant | Aggregate | Aggregate | Aggregate | ||||||||||||||||
Contributions in | Contributions in | Earnings in | Withdrawals/ | Balance at | ||||||||||||||||
Name | Last FY (1) | Last FY (2) (3) (4) | Last FY (5) | Distributions | Last FYE (6) | |||||||||||||||
Alfred A. DelliBovi | $ | 39,805 | $ | 23,407 | $ | (347,090 | ) | — | $ | 880,261 | ||||||||||
Patrick A. Morgan | $ | 27,377 | $ | 9,908 | $ | (1,944 | ) | — | $ | 35,341 | ||||||||||
Paul B. Héroux | $ | 0 | $ | 16,680 | $ | (15,945 | ) | — | $ | 735 | ||||||||||
Peter S. Leung | $ | 54,906 | $ | 17,016 | $ | (41,088 | ) | — | $ | 97,821 | ||||||||||
Craig E. Reynolds | $ | 2,935 | $ | 5,697 | $ | 12,756 | — | $ | 446,614 |
1 | These amounts are included in the “Salary” column of the Summary Compensation Table; these amounts would have been paid as salary but for deferral into the Nonqualified Defined Contribution Portion of the Benefit Equalization Plan (BEP). | |
2 | These totals are also included in the “All Other Compensation” column of the Summary Compensation Table. | |
3 | Registrant contributions for A. DelliBovi, P. Morgan, P. Leung and C. Reynolds are for the Nonqualified Defined Contribution portion of the Benefit Equalization Plan. P. Heroux elected not to contribute to the Plan. | |
4 | Registrant contributions for P. Heroux are for the Nonqualified Profit Sharing Plan. | |
5 | Aggregate earnings for all participants are for the Nonqualified Defined Contribution portion of the Benefit Equalization Plan. | |
6 | Aggregate balances for A. DelliBovi, P. Morgan, P. Leung and C. Reynolds are for the Nonqualified Defined Contribution portion of the Benefit Equalization Plan. Aggregate balance for P. Heroux is the combined total for the Nonqualified Defined Contribution portion of the Benefit Equalization Plan and the Nonqualified Profit Sharing Plan. |
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Number of weeks Used to | 2008 Annual | |||||||||||
Calculate Severance Amount | Base Salary | Severance Amount | ||||||||||
Alfred A. DelliBovi | 36 | $ | 615,634 | $ | 426,208 | |||||||
Peter S. Leung | 20 | $ | 405,066 | $ | 155,795 | |||||||
Patrick A. Morgan | 36 | $ | 305,411 | $ | 211,438 | |||||||
Paul B. Héroux | 36 | $ | 288,019 | $ | 199,398 | |||||||
Craig E. Reynolds | 36 | $ | 282,613 | $ | 195,655 |
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Change in Pension | ||||||||||||||||||||||||||||
Value and | ||||||||||||||||||||||||||||
Fees | Non-Equity | Nonqualified Deferred | All | |||||||||||||||||||||||||
Earned or | Stock | Option | Incentive Plan | Compensation | Other | |||||||||||||||||||||||
Name | Paid in Cash | Awards | Awards | Compensation | Earnings | Compensation | Total | |||||||||||||||||||||
Michael M. Horn | $ | 31,232 | — | — | — | — | — | $ | 31,232 | |||||||||||||||||||
José R. González | 24,986 | — | — | — | — | — | 24,986 | |||||||||||||||||||||
David W. Lindstrom | 19,520 | — | — | — | — | — | 19,520 | |||||||||||||||||||||
Anne E. Estabrook | 18,739 | — | — | — | — | — | 18,739 | |||||||||||||||||||||
Joseph R. Ficalora | 18,739 | — | — | — | — | — | 18,739 | |||||||||||||||||||||
Carl A. Florio | 2,343 | — | — | — | — | — | 2,343 | |||||||||||||||||||||
Jay M. Ford | 14,058 | — | — | — | — | — | 14,058 | |||||||||||||||||||||
James W. Fulmer | 18,739 | — | — | — | — | — | 18,739 | |||||||||||||||||||||
Ronald E. Hermance, Jr. | 18,739 | — | — | — | — | — | 18,739 | |||||||||||||||||||||
Katherine J. Liseno | 18,739 | — | — | — | — | — | 18,739 | |||||||||||||||||||||
Kevin J. Lynch | 18,739 | — | — | — | — | — | 18,739 | |||||||||||||||||||||
Joseph J. Melone | 18,739 | — | — | — | — | — | 18,739 | |||||||||||||||||||||
Richard S. Mroz | 18,739 | — | — | — | — | — | 18,739 | |||||||||||||||||||||
Thomas M. O’Brien | 16,401 | — | — | — | — | — | 16,401 | |||||||||||||||||||||
C. Cathleen Raffaeli | 18,739 | — | — | — | — | — | 18,739 | |||||||||||||||||||||
Edwin C. Reed | 18,739 | — | — | — | — | — | 18,739 | |||||||||||||||||||||
John M. Scarchilli | 18,739 | — | — | — | — | — | 18,739 | |||||||||||||||||||||
George Strayton | 18,739 | — | — | — | — | — | 18,739 | |||||||||||||||||||||
$ | 333,408 | $ | 333,408 | |||||||||||||||||||||||||
* | All of the Directors listed in the above table served on the Board for at least of portion of 2008. See the footnotes to the Director information table in Item 10 of this Form 10-K for information as to when various Directors left or joined the Board during 2008, as well as information about changes to the Board Chair and Vice Chair during that time. |
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Position | Fee Per Board Meeting | |||
Chairman | $ | 3,904 | ||
Vice Chairman | $ | 3,124 | ||
Director | $ | 2,343 |
Position | Annual Limit | |||
Chairman | $ | 31,232 | ||
Vice Chairman | $ | 24,986 | ||
Director | $ | 18,739 |
Fees For Service Paid | ||||
Quarterly | ||||
Position | in Arrears | |||
Chairman | $ | 15,000 | ||
Vice Chairman | $ | 13,750 | ||
Committee Chair * | $ | 12,500 | ||
All Other Directors | $ | 11,250 |
* | A Committee Chair will not receive any further payment if he or she serves as the Chair of more than one Committee. In addition, the Board Chair and Board Vice Chair will not receive any additional compensation if they serve as a Chair of one or more Board Committees. |
Position | Annual Limit | |||
Chairman | $ | 60,000 | ||
Vice Chairman | $ | 55,000 | ||
Committee Chair | $ | 50,000 | ||
All Other Directors | $ | 45,000 |
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• | 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) | |||
Michael M. Horn | $ | 7,962 | ||
José R. González | 12,975 | |||
David W. Lindstrom | 5,273 | |||
Anne E. Estabrook | 4,015 | |||
Joseph R. Ficalora | — | |||
Carl A. Florio | 436 | |||
Jay M. Ford | 1,109 | |||
James W. Fulmer | 5,956 | |||
Ronald E. Hermance, Jr. | — | |||
Katherine J. Liseno | 2,718 | |||
Kevin J. Lynch | 3,683 | |||
Joseph J. Melone | — | |||
Richard S. Mroz | 4,149 | |||
Thomas M. O’Brien | — | |||
C. Cathleen Raffaeli | 1,003 | |||
Edwin C. Reed | 2,816 | |||
John M. Scarchilli | 3,430 | |||
George Strayton | 795 | |||
$ | 56,320 | |||
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ITEM 12. | SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS |
Number | Percent | |||||||||
February 28, 2009 | of shares | of total | ||||||||
Name of beneficial owner | Principal Executive Office Address | owned | capital stock | |||||||
Hudson City Savings Bank * | West 80 Century Road, Paramus, NJ 07652 | 8,858 | 15.84 | % | ||||||
Metropolitan Life Insurance Company | 200 Park Ave., New York, NY 10166 | 8,302 | 14.84 | |||||||
New York Community Bank * | 615 Merrick Avenue, Westbury, NY 11590 | 4,245 | 7.59 | |||||||
Manufacturers and Traders Trust Company | One M & T Plaza, Buffalo, NY 14203 | 4,091 | 7.31 | |||||||
25,496 | 45.58 | % | ||||||||
Number | Percent | |||||||||
December 31, 2008 | of shares | of total | ||||||||
Name of beneficial owner | Principal Executive Office Address | owned | capital stock | |||||||
Hudson City Savings Bank * | West 80 Century Road, Paramus, NJ 07652 | 8,656 | 15.11 | % | ||||||
Metropolitan Life Insurance Company | 200 Park Ave., New York, NY 10166 | 8,302 | 14.49 | |||||||
Manufacturers and Traders Trust Company | One M & T Plaza, Buffalo, NY 14203 | 4,327 | 7.55 | |||||||
New York Community Bank * | 615 Merrick Avenue, Westbury, NY 11590 | 3,928 | 6.86 | |||||||
25,213 | 44.01 | % | ||||||||
* | Officer of member bank also serves on the Board of Directors of the FHLBNY. |
Number | Percent | |||||||||||||
of shares | of total | |||||||||||||
Name | Director | City | State | owned | capital stock | |||||||||
Hudson City Savings Bank | Ronald E. Hermance, Jr. | Paramus | New Jersey | 8,656 | 15.11 | % | ||||||||
New York Community Bank | Joseph R. Ficalora | Westbury | New York | 3,928 | 6.86 | |||||||||
Banco Santander Puerto Rico | José R. González | San Juan | Puerto Rico | 616 | 1.08 | |||||||||
Provident Bank | George Strayton | Montebello | New York | 292 | 0.51 | |||||||||
Oritani Savings Bank | Kevin J. Lynch | Township of Washington | New Jersey | 241 | 0.42 | |||||||||
The Bank of Castile | James W. Fulmer | Batavia | New York | 30 | 0.05 | |||||||||
Crest Savings Bank | Jay M. Ford | Wildwood | New Jersey | 27 | 0.05 | |||||||||
Metuchen Savings Bank | Katherine J. Liseno | Metuchen | New Jersey | 22 | 0.04 | |||||||||
Pioneer Savings Bank | John M. Scarchilli | Troy | New York | 16 | 0.03 | |||||||||
State Bank of Long Island | Thomas M. O’Brien | Jericho | New York | 14 | 0.02 | |||||||||
13,842 | 24.17 | % | ||||||||||||
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20081 | 2007 | 2006 | ||||||||||
Audit Fees | $ | 1,341 | $ | 1,163 | $ | 1,342 | ||||||
Audit-related Fees | 56 | 33 | 60 | |||||||||
All Other Fees | 2 | 18 | 4 | |||||||||
$ | 1,399 | $ | 1,214 | $ | 1,406 | |||||||
1 | The 2008 amounts in the table do not include the assessment from OF for the Bank’s share of the audit fees of approximately $36 thousand incurred in connection with the audit of the combined financial statements published by the OF. |
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(a) | 1. | Financial Statements |
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.” |
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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 | 4/22/2008 | ||||||||||||||
4.01 | Amended and Restated Capital Plan of the Bank | 10-K | 000-51397 | 3/28/2008 | ||||||||||||||
10.01 | Bank 2007 Incentive Compensation Plan*a | 10-Q | 000-51397 | 5/11/2007 | ||||||||||||||
10.02 | Bank 2008 Incentive Compensation Plan*a | 10-Q | 000-51397 | 5/14/2008 | ||||||||||||||
10.03 | 2007 Director Compensation Policya | 10-K | 000-51397 | 3/28/2008 | ||||||||||||||
10.04 | 2008 Director Compensation Policya | 10-Q | 000-51397 | 5/14/2008 | ||||||||||||||
10.05 | Bank Severance Pay Plana | 10-K | 000-51397 | 3/28/2008 | ||||||||||||||
10.06 | Qualified Defined Benefit Plana b | 10-K | 000-51397 | 3/28/2008 | ||||||||||||||
10.07 | Qualified Defined Contribution Plana c | X | ||||||||||||||||
10.08 | Bank Benefit Equalization Plana | X | ||||||||||||||||
10.09 | Nonqualified Profit Sharing Plana | X | ||||||||||||||||
10.10 | Nonqualified Deferred Compensation Plana | X | ||||||||||||||||
10.11 | Compensatory Arrangements for Named Executive Officersa | X | ||||||||||||||||
10.12 | Federal Home Loan Banks P&I Funding and Contingency Plan Agreement | 8-K | 000-51397 | 6/27/2006 | ||||||||||||||
10.13 | Lending Facility with United States Treasury | 8-K | 000-51397 | 9/9/2008 | ||||||||||||||
12.01 | Computation of Ratio of Earnings to Fixed Charges | X | ||||||||||||||||
31.01 | Certification of Registrant’s Chief Executive Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||||||||
31.02 | Certification of the Registrant’s Chief Financial Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||||||||
32.01 | Certification of Registrant’s Chief Executive Officer, as required by Section 906 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||||||||
32.02 | Certification of Registrant’s Chief Financial Officer, as required by Section 906 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||||||||
99.01 | Audit Committee Report | X | ||||||||||||||||
99.02 | Audit Committee Charter | X |
* | Confidential treatment has been requested with respect to portions of this exhibit. | |
a | This exhibit includes a management contract, compensatory plan or arrangement required to be noted herein. | |
b | This document was identified as the “Comprehensive Retirement Plan” in previous filings. | |
c | This document was identified as the “Financial Institutions Thrift Plan” in previous filings. |
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Federal Home Loan Bank of New York | ||||
By: | /s/ Alfred A. DelliBovi | |||
Alfred A. DelliBovi | ||||
President and Chief Executive Officer (Principal Executive Officer) |
Signature | Title | Date | ||
/s/ Alfred A. DelliBovi | President and Chief Executive Officer | March 27, 2009 | ||
Alfred A. DelliBovi | ||||
(Principal Executive Officer) | ||||
/s/ Patrick A. Morgan | Senior Vice President and Chief Financial Officer | March 27, 2009 | ||
Patrick A. Morgan | ||||
(Principal Financial Officer) | ||||
/s/ Backer Ali | Vice President and Controller | March 27, 2009 | ||
Backer Ali | ||||
(Principal Accounting Officer) | ||||
/s/ Michael M. Horn | Chairman of the Board of Directors | March 27, 2009 | ||
Michael M. Horn | ||||
/s/ José R. González | Vice Chairman of the Board of Directors | March 27, 2009 | ||
José R. González | ||||
/s/ Anne Evans Estabrook | Director | March 27, 2009 | ||
Anne Evans Estabrook | ||||
/s/ Joseph R. Ficalora | Director | March 27, 2009 | ||
Joseph R. Ficalora |
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Signature | Title | Date | ||
/s/ Jay M. Ford | Director | March 27, 2009 | ||
Jay M. Ford | ||||
/s/ James W. Fulmer | Director | March 27, 2009 | ||
James W. Fulmer | ||||
/s/ Ronald E. Hermance, Jr. | Director | March 27, 2009 | ||
Ronald E. Hermance, Jr. | ||||
/s/ Katherine J. Liseno | Director | March 27, 2009 | ||
Katherine J. Liseno | ||||
/s/ Kevin J. Lynch | Director | March 27, 2009 | ||
Kevin J. Lynch | ||||
/s/ Joseph J. Melone | Director | March 27, 2009 | ||
Joseph J. Melone | ||||
/s/ Richard S. Mroz | Director | March 27, 2009 | ||
Richard S. Mroz | ||||
/s/ Thomas M. O’Brien | Director | March 27, 2009 | ||
Thomas M. O’Brien | ||||
/s/ C. Cathleen Raffaeli | Director | March 27, 2009 | ||
C. Cathleen Raffaeli | ||||
/s/ Edwin C. Reed | Director | March 27, 2009 | ||
Edwin C. Reed | ||||
/s/ John M. Scarchilli | Director | March 27, 2009 | ||
John M. Scarchilli | ||||
/s/ DeForest B. Soaries, Jr. | Director | March 27, 2009 | ||
DeForest B. Soaries, Jr. | ||||
/s/ George Strayton | Director | March 27, 2009 | ||
George Strayton |
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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 | 4/22/2008 | ||||||||||||||
4.01 | Amended and Restated Capital Plan of the Bank | 10-K | 000-51397 | 3/28/2008 | ||||||||||||||
10.01 | Bank 2007 Incentive Compensation Plan*a | 10-Q | 000-51397 | 5/11/2007 | ||||||||||||||
10.02 | Bank 2008 Incentive Compensation Plan*a | 10-Q | 000-51397 | 5/14/2008 | ||||||||||||||
10.03 | 2007 Director Compensation Policya | 10-K | 000-51397 | 3/28/2008 | ||||||||||||||
10.04 | 2008 Director Compensation Policya | 10-Q | 000-51397 | 5/14/2008 | ||||||||||||||
10.05 | Bank Severance Pay Plana | 10-K | 000-51397 | 3/28/2008 | ||||||||||||||
10.06 | Qualified Defined Benefit Plana b | 10-K | 000-51397 | 3/28/2008 | ||||||||||||||
10.07 | Qualified Defined Contribution Plana c | X | ||||||||||||||||
10.08 | Bank Benefit Equalization Plana | X | ||||||||||||||||
10.09 | Nonqualified Profit Sharing Plana | X | ||||||||||||||||
10.10 | Nonqualified Deferred Compensation Plana | X | ||||||||||||||||
10.11 | Compensatory Arrangements for Named Executive Officersa | X | ||||||||||||||||
10.12 | Federal Home Loan Banks P&I Funding and Contingency Plan Agreement | 8-K | 000-51397 | 6/27/2006 | ||||||||||||||
10.13 | Lending Facility with United States Treasury | 8-K | 000-51397 | 9/9/2008 | ||||||||||||||
12.01 | Computation of Ratio of Earnings to Fixed Charges | X | ||||||||||||||||
31.01 | Certification of Registrant’s Chief Executive Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||||||||
31.02 | Certification of the Registrant’s Chief Financial Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||||||||
32.01 | Certification of Registrant’s Chief Executive Officer, as required by Section 906 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||||||||
32.02 | Certification of Registrant’s Chief Financial Officer, as required by Section 906 of the Sarbanes-Oxley Act of 2002 | X | ||||||||||||||||
99.01 | Audit Committee Report | X | ||||||||||||||||
99.02 | Audit Committee Charter | X |
* | Confidential treatment has been requested with respect to portions of this exhibit. | |
a | This exhibit includes a management contract, compensatory plan or arrangement required to be noted herein. | |
b | This document was identified as the “Comprehensive Retirement Plan” in previous filings. | |
c | This document was identified as the “Financial Institutions Thrift Plan” in previous filings. |