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SECURITIES AND EXCHANGE COMMISSION
þ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Federal | 13-6400946 | |
(State or other jurisdiction of | (I.R.S. Employer | |
incorporation or organization) | Identification No.) | |
101 Park Avenue, New York, N.Y. | 10178 | |
(Address of principal executive offices) | (Zip Code) |
(Registrant’s telephone number, including area code)
Large accelerated filero | Accelerated filero | Non-accelerated filerþ | Smaller reporting companyo | |||
(Do not check if a smaller reporting company) |
FORM 10-Q FOR THE QUARTERLY PERIOD ENDED MARCH 31, 2009
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PART I. FINANCIAL INFORMATION | ||||||||
Item 1. FINANCIAL STATEMENTS (Unaudited): | ||||||||
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Exhibit 10.01 | ||||||||
Exhibit 10.02 | ||||||||
Exhibit 31.01 | ||||||||
Exhibit 31.02 | ||||||||
Exhibit 32.01 | ||||||||
Exhibit 32.02 |
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March 31, 2009 | December 31, 2008 | |||||||
Assets | ||||||||
Cash and due from banks (Note 2) | $ | 32,136 | $ | 18,899 | ||||
Interest-bearing deposits (Note 3) | 8,602,233 | 12,169,096 | ||||||
Federal funds sold | 500,000 | — | ||||||
Available-for-sale securities, net of unrealized losses of $33,994 at March 31, 2009 and $64,420 at December 31, 2008 (Note 5) | 2,641,996 | 2,861,869 | ||||||
Held-to-maturity securities (Note 4) | ||||||||
Long-term securities | 9,935,079 | 10,130,543 | ||||||
Certificates of deposit | 300,000 | 1,203,000 | ||||||
Advances (Note 6) | 104,463,598 | 109,152,876 | ||||||
Mortgage loans held-for-portfolio, net of allowance for credit losses of $1,848 at March 31, 2009 and $1,406 at December 31, 2008 (Note 7) | 1,430,899 | 1,457,885 | ||||||
Accrued interest receivable | 411,500 | 492,856 | ||||||
Premises, software, and equipment | 13,817 | 13,793 | ||||||
Derivative assets (Note 15) | 11,463 | 20,236 | ||||||
Other assets | 16,217 | 18,838 | ||||||
Total assets | $ | 128,358,938 | $ | 137,539,891 | ||||
Liabilities and capital | ||||||||
Liabilities | ||||||||
Deposits (Note 9) | ||||||||
Interest-bearing demand | $ | 2,306,887 | $ | 1,333,750 | ||||
Non-interest bearing demand | 7,528 | 828 | ||||||
Term | 58,000 | 117,400 | ||||||
Total deposits | 2,372,415 | 1,451,978 | ||||||
Consolidated obligations, net (Note 8) | ||||||||
Bonds (Includes $25,377 at March 31, 2009 and $998,942 at December 31, 2008 at fair value under the fair value option) | 69,582,076 | 82,256,705 | ||||||
Discount notes | 48,721,626 | 46,329,906 | ||||||
Total consolidated obligations | 118,303,702 | 128,586,611 | ||||||
Mandatorily redeemable capital stock (Note 11) | 139,961 | 143,121 | ||||||
Accrued interest payable | 385,121 | 426,144 | ||||||
Affordable Housing Program (Note 10) | 128,368 | 122,449 | ||||||
Payable to REFCORP (Note 10) | 41,815 | 4,780 | ||||||
Derivative liabilities (Note 15) | 1,031,771 | 861,660 | ||||||
Other liabilities | 132,658 | 75,753 | ||||||
Total liabilities | 122,535,811 | 131,672,496 | ||||||
Commitments and Contingencies(Notes 8, 10, 15 and 17) | ||||||||
Capital(Note 11) | ||||||||
Capital stock ($100 par value), putable, issued and outstanding shares: | ||||||||
54,130 and 55,857 at March 31, 2009 and December 31, 2008 | 5,413,026 | 5,585,700 | ||||||
Unrestricted retained earnings | 488,895 | 382,856 | ||||||
Accumulated other comprehensive income (loss) (Note 12) | ||||||||
Net unrealized loss on available-for-sale securities | (33,994 | ) | (64,420 | ) | ||||
Non-credit portion of OTTI on held-to-maturity securities | (9,938 | ) | — | |||||
Net unrealized loss on hedging activities | (28,312 | ) | (30,191 | ) | ||||
Employee supplemental retirement plans (Note 14) | (6,550 | ) | (6,550 | ) | ||||
Total capital | 5,823,127 | 5,867,395 | ||||||
Total liabilities and capital | $ | 128,358,938 | $ | 137,539,891 | ||||
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March 31, | ||||||||
2009 | 2008 | |||||||
Interest income | ||||||||
Advances (Note 6) | $ | 502,222 | $ | 871,785 | ||||
Interest-bearing deposits (Note 3) | 8,918 | 8,999 | ||||||
Federal funds sold | 68 | 29,418 | ||||||
Available-for-sale securities (Note 5) | 8,519 | 9,483 | ||||||
Held-to-maturity securities (Note 4) | ||||||||
Long-term securities | 126,820 | 134,348 | ||||||
Certificates of deposit | 508 | 102,252 | ||||||
Mortgage loans held-for-portfolio (Note 7) | 19,104 | 19,633 | ||||||
Loans to other FHLBanks and other | — | 1 | ||||||
Total interest income | 666,159 | 1,175,919 | ||||||
Interest expense | ||||||||
Consolidated obligations-bonds (Note 8) | 343,707 | 731,261 | ||||||
Consolidated obligations-discount notes (Note 8) | 89,378 | 271,283 | ||||||
Deposits (Note 9) | 777 | 15,175 | ||||||
Mandatorily redeemable capital stock (Note 11) | 878 | 4,278 | ||||||
Cash collateral held and other borrowings | 37 | 471 | ||||||
Total interest expense | 434,777 | 1,022,468 | ||||||
Net interest income before provision for credit losses | 231,382 | 153,451 | ||||||
Provision for credit losses on mortgage loans | 443 | 30 | ||||||
Net interest income after provision for credit losses | 230,939 | 153,421 | ||||||
Other income (loss) | ||||||||
Service fees | 985 | 691 | ||||||
Instruments held at fair value — Unrealized gain (Note 16) | 8,313 | — | ||||||
Total OTTI losses | (15,203 | ) | — | |||||
Portion of loss recognized in other comprehensive income | 9,938 | — | ||||||
Net impairment losses recognized in earnings | (5,265 | ) | — | |||||
Net realized and unrealized gain (loss) on derivatives and hedging activities (Note 15) | (13,666 | ) | 866 | |||||
Net realized gain from sale of available-for-sale securities (Note 5) | 440 | — | ||||||
Other | 46 | (183 | ) | |||||
Total other income (loss) | (9,147 | ) | 1,374 | |||||
Other expenses | ||||||||
Operating | 18,094 | 16,451 | ||||||
Finance Agency and Office of Finance | 1,967 | 1,453 | ||||||
Total other expenses | 20,061 | 17,904 | ||||||
Income before assessments | 201,731 | 136,891 | ||||||
Affordable Housing Program (Note 10) | 16,557 | 11,611 | ||||||
REFCORP (Note 10) | 37,035 | 25,056 | ||||||
Total assessments | 53,592 | 36,667 | ||||||
Net income | $ | 148,139 | $ | 100,224 | ||||
Basic earnings per share (Note 13) | $ | 2.72 | $ | 2.30 | ||||
Cash dividends paid per share | $ | 0.75 | $ | 2.12 | ||||
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Accumulated | ||||||||||||||||||||||||
Capital Stock1 | Other | Total | ||||||||||||||||||||||
Class B | Retained | Comprehensive | Total | Comprehensive | ||||||||||||||||||||
Shares | Par Value | Earnings | Income (Loss) | Capital | Income (Loss) | |||||||||||||||||||
Balance, December 31, 2007 | 43,680 | $ | 4,367,971 | $ | 418,295 | $ | (35,675 | ) | $ | 4,750,591 | ||||||||||||||
Proceeds from sale of capital stock | 9,287 | 928,754 | — | — | 928,754 | |||||||||||||||||||
Redemption of capital stock | (7,623 | ) | (762,253 | ) | — | — | (762,253 | ) | ||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | (583 | ) | (58,344 | ) | — | — | (58,344 | ) | ||||||||||||||||
Cash dividends ($2.12 per share) on capital stock | — | — | (89,270 | ) | — | (89,270 | ) | |||||||||||||||||
Net Income | — | — | 100,224 | — | 100,224 | $ | 100,224 | |||||||||||||||||
Net change in Accumulated other comprehensive income: | ||||||||||||||||||||||||
Net unrealized loss on available-for-sale securities | — | — | — | (16,661 | ) | (16,661 | ) | (16,661 | ) | |||||||||||||||
Hedging activities | — | — | — | (5,221 | ) | (5,221 | ) | (5,221 | ) | |||||||||||||||
$ | 78,342 | |||||||||||||||||||||||
Balance, March 31, 2008 | 44,761 | $ | 4,476,128 | $ | 429,249 | $ | (57,557 | ) | $ | 4,847,820 | ||||||||||||||
Balance, December 31, 2008 | 55,857 | $ | 5,585,700 | $ | 382,856 | $ | (101,161 | ) | $ | 5,867,395 | ||||||||||||||
Proceeds from sale of capital stock | 10,418 | 1,041,817 | — | — | 1,041,817 | |||||||||||||||||||
Redemption of capital stock | (12,145 | ) | (1,214,491 | ) | — | — | (1,214,491 | ) | ||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | — | — | — | — | — | |||||||||||||||||||
Cash dividends ($0.75 per share) on capital stock | — | — | (42,100 | ) | — | (42,100 | ) | |||||||||||||||||
Net Income | — | — | 148,139 | — | 148,139 | $ | 148,139 | |||||||||||||||||
Net change in Accumulated other comprehensive income: | ||||||||||||||||||||||||
Non-credit portion of OTTI on held-to-maturity securities | — | — | — | (9,938 | ) | (9,938 | ) | (9,938 | ) | |||||||||||||||
Net unrealized loss on available-for-sale securities | — | — | — | 30,426 | 30,426 | 30,426 | ||||||||||||||||||
Hedging activities | — | — | — | 1,879 | 1,879 | 1,879 | ||||||||||||||||||
$ | 170,506 | |||||||||||||||||||||||
Balance, March 31, 2009 | 54,130 | $ | 5,413,026 | $ | 488,895 | $ | (78,794 | ) | $ | 5,823,127 | ||||||||||||||
1 | Putable stock |
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March 31, | ||||||||
2009 | 2008 | |||||||
Operating activities | ||||||||
Net Income | $ | 148,139 | $ | 100,224 | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Depreciation and amortization: | ||||||||
Net premiums and discounts on consolidated obligations, investments, mortgage loans and other adjustments | (16,488 | ) | (117,965 | ) | ||||
Concessions on consolidated obligations | 1,858 | 3,362 | ||||||
Premises, software, and equipment | 1,323 | 1,159 | ||||||
Provision for credit losses on mortgage loans | 443 | 30 | ||||||
Net realized (gains) from sale of available-for-sale securities | (440 | ) | — | |||||
Net impairment losses on held-to-maturity securities | 5,265 | — | ||||||
Change in net fair value adjustments on derivatives and hedging activities | 10,927 | (1,010 | ) | |||||
Change in fair value adjustments on financial instruments held at fair value | (8,313 | ) | — | |||||
Net change in: | ||||||||
Accrued interest receivable | 81,356 | 93,986 | ||||||
Derivative assets due to accrued interest | 122,496 | 37,513 | ||||||
Derivative liabilities due to accrued interest | (184,242 | ) | (36,709 | ) | ||||
Other assets | 2,353 | 1,473 | ||||||
Affordable Housing Program liability | 5,919 | 5,280 | ||||||
Accrued interest payable | (48,275 | ) | 19,615 | |||||
REFCORP liability | 37,035 | 1,058 | ||||||
Other liabilities | (2,619 | ) | (1,380 | ) | ||||
Total adjustments | 8,598 | 6,412 | ||||||
Net cash provided by operating activities | 156,737 | 106,636 | ||||||
Investing activities | ||||||||
Net change in: | ||||||||
Interest-bearing deposits | 4,328,324 | (1,335,400 | ) | |||||
Federal funds sold | (500,000 | ) | 436,000 | |||||
Deposits with other FHLBanks | (3 | ) | (24 | ) | ||||
Premises, software, and equipment | (1,348 | ) | (527 | ) | ||||
Held-to-maturity securities: | ||||||||
Long-term securities | ||||||||
Purchased | (395,221 | ) | — | |||||
Repayments | 624,495 | 659,318 | ||||||
In-substance maturities | 1,479 | — | ||||||
Net change in certificates of deposit | 903,000 | 5,330,200 | ||||||
Available-for-sale securities: | ||||||||
Purchased | (346 | ) | (2,034,289 | ) | ||||
Proceeds | 120,446 | 35,520 | ||||||
Proceeds from sales | 131,780 | — | ||||||
Advances: | ||||||||
Principal collected | 159,760,816 | 97,001,879 | ||||||
Made | (155,769,454 | ) | (99,324,959 | ) | ||||
Mortgage loans held-for-portfolio: | ||||||||
Principal collected | 54,415 | 44,048 | ||||||
Purchased and originated | (28,208 | ) | (21,032 | ) | ||||
Loans to other FHLBanks | ||||||||
Principal collected | — | 55,000 | ||||||
Net cash provided by investing activities | 9,230,175 | 845,734 | ||||||
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Statements of Cash Flows — Unaudited (in thousands)
For the three months ended March 31, 2009 and 2008
March 31, | ||||||||
2009 | 2008 | |||||||
Financing activities | ||||||||
Net change in: | ||||||||
Deposits and other borrowings* | $ | 919,256 | $ | 958,632 | ||||
Short-term loans from other FHLBanks: | ||||||||
Proceeds from loans | — | 985,000 | ||||||
Payments for loans | — | (985,000 | ) | |||||
Consolidated obligation bonds: | ||||||||
Proceeds from issuance | 5,795,744 | 22,215,081 | ||||||
Payments for maturing and early retirement | (18,272,802 | ) | (15,711,852 | ) | ||||
Consolidated obligation discount notes: | ||||||||
Proceeds from issuance | 190,143,891 | 179,164,083 | ||||||
Payments for maturing | (187,741,830 | ) | (187,514,958 | ) | ||||
Capital stock: | ||||||||
Proceeds from issuance | 1,041,817 | 928,754 | ||||||
Payments for redemption / repurchase | (1,214,491 | ) | (762,253 | ) | ||||
Redemption of Mandatorily redeemable capital stock | (3,160 | ) | (115,116 | ) | ||||
Cash dividends paid1 | (42,100 | ) | (89,270 | ) | ||||
Net cash (used) by financing activities | (9,373,675 | ) | (926,899 | ) | ||||
Net increase in cash and cash equivalents | 13,237 | 25,471 | ||||||
Cash and cash equivalents at beginning of the period | 18,899 | 7,909 | ||||||
Cash and cash equivalents at end of the period | $ | 32,136 | $ | 33,380 | ||||
Supplemental disclosures: | ||||||||
Interest paid | $ | 583,725 | $ | 767,340 | ||||
Affordable Housing Program payments2 | $ | 10,638 | $ | 6,331 | ||||
REFCORP payments | $ | — | $ | 23,998 | ||||
Transfers of mortgage loans to real estate owned | $ | 108 | $ | 116 | ||||
Portion of non-credit losses on held-to-maturity securities | $ | 9,938 | $ | — |
1 | Does not include payments to holders of Mandatorily redeemable capital stock. | |
2 | AHP payments = (beginning accrual - ending accrual) + AHP assessment for the period; payments represent funds released to the Affordable Housing Program. | |
* | Includes $41,605 of cash flows from derivatives in the first quarter of 2009 and none in the first quarter of 2008. |
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AMBAC | MBIA | Uninsured | ||||||||||||||||||||||||||||||
Amortized | Fair | Amortized | Fair | Amortized | Fair | Gross | ||||||||||||||||||||||||||
Ratings | Count | Cost Basis | Value | Cost Basis | Value | Cost Basis | Value | Losses | ||||||||||||||||||||||||
AAA | 6 | $ | — | $ | — | $ | — | $ | — | $ | 117,561 | $ | 63,078 | $ | (54,483 | ) | ||||||||||||||||
AA | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
A | 3 | 87,099 | 46,833 | — | — | — | — | (40,266 | ) | |||||||||||||||||||||||
BBB | 8 | 108,065 | 63,380 | — | — | — | — | (44,685 | ) | |||||||||||||||||||||||
BB | 1 | — | — | 13,752 | 8,273 | — | — | (5,479 | ) | |||||||||||||||||||||||
B | 1 | — | — | 23,259 | 13,535 | — | — | (9,724 | ) | |||||||||||||||||||||||
Total | 19 | $ | 195,164 | $ | 110,213 | $ | 37,011 | $ | 21,808 | $ | 117,561 | $ | 63,078 | $ | (154,637 | ) | ||||||||||||||||
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Insurer MBIA | OTTI | Gross Losses | ||||||||||||||||||||||||||
Amortized | Fair | Credit | Non-credit | Less than | More than | |||||||||||||||||||||||
Ratings | Count | Cost Basis | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||
BB | 1 | $ | 13,752 | $ | 8,273 | $ | (1,926 | ) | $ | (3,553 | ) | $ | — | $ | (5,479 | ) | ||||||||||||
B | 1 | 23,259 | 13,535 | (3,339 | ) | (6,385 | ) | — | (9,724 | ) | ||||||||||||||||||
Total | 2 | $ | 37,011 | $ | 21,808 | $ | (5,265 | ) | $ | (9,938 | ) | $ | — | $ | (15,203 | ) | ||||||||||||
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March 31, | ||||
2009 | ||||
Beginning balance, January 1, 2009 | $ | — | ||
Additions to the credit component for OTTI loss not previously recognized | 5,265 | |||
Credit component of OTTI reclassified to OCI | — | |||
Ending balance, March 31, 2009 | $ | 5,265 | ||
March 31, 2009 | ||||||||||||||||||||
Amortized | Gross | Gross | Total | |||||||||||||||||
Cost | Unrealized | Unrealized | Fair | OTTI | ||||||||||||||||
Basis | Holding Gains | Holding Losses | Value | in OCI | ||||||||||||||||
State and local housing agency bonds | $ | 802,637 | $ | 3,504 | $ | (74,369 | ) | $ | 731,772 | $ | — | |||||||||
Mortgage-backed securities | 9,132,442 | 251,107 | (331,196 | ) | 9,052,353 | (9,938 | ) | |||||||||||||
Certificates of deposit | 300,000 | 17 | — | 300,017 | — | |||||||||||||||
Total | $ | 10,235,079 | $ | 254,628 | $ | (405,565 | ) | $ | 10,084,142 | $ | (9,938 | ) | ||||||||
December 31, 2008 | ||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||
Cost | Unrealized | Unrealized | Fair | |||||||||||||
Basis | Holding Gains | Holding Losses | Value | |||||||||||||
State and local housing agency bonds | $ | 804,100 | $ | 6,573 | $ | (47,512 | ) | $ | 763,161 | |||||||
Mortgage-backed securities | 9,326,443 | 187,531 | (342,662 | ) | 9,171,312 | |||||||||||
Certificates of deposit | 1,203,000 | 328 | — | 1,203,328 | ||||||||||||
Total | $ | 11,333,543 | $ | 194,432 | $ | (390,174 | ) | $ | 11,137,801 | |||||||
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March 31, 2009 | ||||||||||||||||||||||||
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 | $ | 440,114 | $ | (36,697 | ) | $ | 102,883 | $ | (37,672 | ) | $ | 542,997 | $ | (74,369 | ) | |||||||||
Total Non-MBS | 440,114 | (36,697 | ) | 102,883 | (37,672 | ) | 542,997 | (74,369 | ) | |||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||
MBS — Other US Obligations | ||||||||||||||||||||||||
Ginnie Mae | 2,717 | (53 | ) | 3,216 | (76 | ) | 5,933 | (129 | ) | |||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | 82,900 | (510 | ) | 3,145 | (76 | ) | 86,045 | (586 | ) | |||||||||||||||
Freddie Mac | 1,064 | (17 | ) | — | — | 1,064 | (17 | ) | ||||||||||||||||
Total MBS-GSE | 83,964 | (527 | ) | 3,145 | (76 | ) | 87,109 | (603 | ) | |||||||||||||||
MBS-Private Label | 317,407 | (40,903 | ) | 873,826 | (289,561 | ) | 1,191,233 | (330,464 | ) | |||||||||||||||
Total MBS | 404,088 | (41,483 | ) | 880,187 | (289,713 | ) | 1,284,275 | (331,196 | ) | |||||||||||||||
Total Temporarily Impaired | 844,202 | (78,180 | ) | 983,070 | (327,385 | ) | 1,827,272 | (405,565 | ) | |||||||||||||||
OTTI Securities | — | — | 21,808 | (9,938 | ) | 21,808 | (9,938 | ) | ||||||||||||||||
Total MBS in Gros Unrealized Loss Positions | $ | 844,202 | $ | (78,180 | ) | $ | 1,004,878 | $ | (337,323 | ) | $ | 1,849,080 | $ | (415,503 | ) | |||||||||
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 | |||||||||||||||||||
Non-MBS Investment Securities | ||||||||||||||||||||||||
State and local housing agency obligations | $ | 78,261 | $ | (16,065 | ) | $ | 84,108 | $ | (31,447 | ) | $ | 162,369 | $ | (47,512 | ) | |||||||||
Total Non-MBS | 78,261 | (16,065 | ) | 84,108 | (31,447 | ) | 162,369 | (47,512 | ) | |||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||
MBS — Other US Obligations | ||||||||||||||||||||||||
Ginnie Mae | 6,137 | (187 | ) | — | — | 6,137 | (187 | ) | ||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||
Fannie Mae | 3,452 | (125 | ) | — | — | 3,452 | (125 | ) | ||||||||||||||||
Freddie Mac | 1,102 | (30 | ) | 32 | — | 1,134 | (30 | ) | ||||||||||||||||
Total MBS-GSE | 4,554 | (155 | ) | 32 | — | 4,586 | (155 | ) | ||||||||||||||||
MBS-Private Label | 509,273 | (115,061 | ) | 718,321 | (227,259 | ) | 1,227,594 | (342,320 | ) | |||||||||||||||
Total MBS | 519,964 | (115,403 | ) | 718,353 | (227,259 | ) | 1,238,317 | (342,662 | ) | |||||||||||||||
Total Temporarily Impaired | $ | 598,225 | $ | (131,468 | ) | $ | 802,461 | $ | (258,706 | ) | $ | 1,400,686 | $ | (390,174 | ) | |||||||||
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March 31, 2009 | ||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||
Cost | Unrealized | Unrealized | Fair | |||||||||||||
Basis | Gains | Losses | Value | |||||||||||||
Cash equivalents | $ | 846 | $ | — | $ | — | $ | 846 | ||||||||
Equity funds | 9,288 | — | (4,114 | ) | 5,174 | |||||||||||
Fixed income funds | 3,795 | 48 | (11 | ) | 3,832 | |||||||||||
Mortgage-backed securities | 2,662,061 | 2,603 | (32,520 | ) | 2,632,144 | |||||||||||
Total | $ | 2,675,990 | $ | 2,651 | $ | (36,645 | ) | $ | 2,641,996 | |||||||
December 31, 2008 | ||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||
Cost | Unrealized | Unrealized | Fair | |||||||||||||
Basis | Gains | Losses | Value | |||||||||||||
Cash equivalents | $ | 836 | $ | — | $ | — | $ | 836 | ||||||||
Equity funds | 8,978 | — | (3,516 | ) | 5,462 | |||||||||||
Fixed income funds | 3,833 | 66 | (10 | ) | 3,889 | |||||||||||
Mortgage-backed securities | 2,912,642 | 364 | (61,324 | ) | 2,851,682 | |||||||||||
Total | $ | 2,926,289 | $ | 430 | $ | (64,850 | ) | $ | 2,861,869 | |||||||
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March 31, 2009 | ||||||||||||||||||||||||
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 | $ | 270,453 | $ | (2,588 | ) | $ | 1,202,238 | $ | (20,688 | ) | $ | 1,472,691 | $ | (23,276 | ) | |||||||||
Freddie Mac | 321,407 | (3,465 | ) | 463,798 | (5,779 | ) | 785,205 | (9,244 | ) | |||||||||||||||
Total MBS-GSE | 591,860 | (6,053 | ) | 1,666,036 | (26,467 | ) | 2,257,896 | (32,520 | ) | |||||||||||||||
Total Temporarily Impaired | $ | 591,860 | $ | (6,053 | ) | $ | 1,666,036 | $ | (26,467 | ) | $ | 2,257,896 | $ | (32,520 | ) | |||||||||
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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March 31, 2009 | December 31, 2008 | |||||||||||||||||||||||
�� | Weighted2 | Weighted2 | ||||||||||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||||||||||
Amount | Yield | of Total | Amount | Yield | of Total | |||||||||||||||||||
Overdrawn demand deposit accounts | $ | — | — | % | — | % | $ | — | — | % | — | % | ||||||||||||
Due in one year or less | 25,389,467 | 2.00 | 25.55 | 32,420,095 | 2.52 | 31.36 | ||||||||||||||||||
Due after one year through two years | 17,132,974 | 3.15 | 17.24 | 16,150,121 | 3.71 | 15.62 | ||||||||||||||||||
Due after two years through three years | 7,902,987 | 3.18 | 7.95 | 7,634,680 | 3.76 | 7.39 | ||||||||||||||||||
Due after three years through four years | 7,377,085 | 3.39 | 7.42 | 6,852,514 | 3.74 | 6.63 | ||||||||||||||||||
Due after four years through five years | 4,279,074 | 3.60 | 4.31 | 3,210,575 | 3.88 | 3.11 | ||||||||||||||||||
Due after five years through six years | 1,305,230 | 3.39 | 1.31 | 836,689 | 3.74 | 0.81 | ||||||||||||||||||
Thereafter | 36,001,548 | 3.83 | 36.22 | 36,275,053 | 3.96 | 35.08 | ||||||||||||||||||
Total par value | 99,388,365 | 3.15 | % | 100.00 | % | 103,379,727 | 3.44 | % | 100.00 | % | ||||||||||||||
Discount on AHP advances1 | (310 | ) | (330 | ) | ||||||||||||||||||||
SFAS 133 hedging basis adjustments1 | 5,075,543 | 5,773,479 | ||||||||||||||||||||||
Total | $ | 104,463,598 | $ | 109,152,876 | ||||||||||||||||||||
1 | Discounts on AHP advances were amortized to interest income using the level-yield method and were not significant for all periods reported. Interest rates on AHP advances ranged from 1.25% to 4.00% at March 31, 2009 and 1.25% to 6.04% at December 31, 2008. | |
2 | The weighed average yield is the weighted average coupon rates for advances, unadjusted for swaps. For floating-rate bonds, the weighted average rate is the rate outstanding at the reporting dates. |
March 31, 2009 | December 31, 2008 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | total | Amount | total | |||||||||||||
Overdrawn demand deposit accounts | $ | — | — | % | $ | — | — | % | ||||||||
Due or putable in one year or less | 58,699,279 | 59.06 | 63,251,007 | 61.18 | ||||||||||||
Due or putable after one year through two years | 18,552,824 | 18.67 | 18,975,821 | 18.36 | ||||||||||||
Due or putable after two years through three years | 9,704,537 | 9.76 | 10,867,530 | 10.51 | ||||||||||||
Due or putable after three years through four years | 6,028,185 | 6.07 | 5,293,364 | 5.12 | ||||||||||||
Due or putable after four years through five years | 3,673,324 | 3.70 | 2,728,075 | 2.64 | ||||||||||||
Due or putable after five years through six years | 678,480 | 0.68 | 230,189 | 0.22 | ||||||||||||
Thereafter | 2,051,736 | 2.06 | 2,033,741 | 1.97 | ||||||||||||
Total par value | 99,388,365 | 100.00 | % | 103,379,727 | 100.00 | % | ||||||||||
Discount on AHP advances | (310 | ) | (330 | ) | ||||||||||||
SFAS 133 hedging basis adjustments | 5,075,543 | 5,773,479 | ||||||||||||||
Total | $ | 104,463,598 | $ | 109,152,876 | ||||||||||||
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March 31, 2009 | December 31, 2008 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Real Estate: | ||||||||||||||||
Fixed medium-term single-family mortgages | $ | 451,675 | 31.61 | % | $ | 467,845 | 32.15 | % | ||||||||
Fixed long-term single-family mortgages | 973,362 | 68.11 | 983,493 | 67.58 | ||||||||||||
Multi-family mortgages | 3,984 | 0.28 | 4,009 | 0.27 | ||||||||||||
Total par value | 1,429,021 | 100.00 | % | 1,455,347 | 100.00 | % | ||||||||||
Unamortized premiums | 10,272 | 10,662 | ||||||||||||||
Unamortized discounts | (6,092 | ) | (6,310 | ) | ||||||||||||
Basis adjustment1 | (454 | ) | (408 | ) | ||||||||||||
Total mortgage loans held-for-portfolio | 1,432,747 | 1,459,291 | ||||||||||||||
Allowance for credit losses | (1,848 | ) | (1,406 | ) | ||||||||||||
Total mortgage loans held-for-portfolio after allowance for credit losses | $ | 1,430,899 | $ | 1,457,885 | ||||||||||||
1 | Represents fair value basis of open and closed delivery commitments. |
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Three months ended March 31, | ||||||||
2009 | 2008 | |||||||
Beginning balance | $ | 1,405 | $ | 633 | ||||
Charge-offs | — | — | ||||||
Recoveries | — | — | ||||||
Net charge-offs | — | — | ||||||
Provision (Recovery) for credit losses on mortgage loans | 443 | 30 | ||||||
Ending balance | $ | 1,848 | $ | 663 | ||||
March 31, 2009 | December 31, 2008 | |||||||
Secured by 1-4 family | $ | 719 | $ | 507 | ||||
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March 31, 2009 | December 31, 2008 | |||||||
Percentage of unpledged qualifying assets to consolidated obligations | 108 | % | 107 | % | ||||
30
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March 31, 2009 | December 31, 2008 | |||||||
Consolidated obligation bonds-amortized cost | $ | 68,497,600 | $ | 80,978,383 | ||||
SFAS 133 fair value basis adjustments | 1,077,217 | 1,254,523 | ||||||
Fair value basis on terminated hedges | 6,882 | 7,857 | ||||||
SFAS 159 valuation adjustments and accrued interest | 377 | 15,942 | ||||||
Total Consolidated obligation-bonds | $ | 69,582,076 | $ | 82,256,705 | ||||
Discount notes-amortized cost | $ | 48,721,469 | $ | 46,329,545 | ||||
Fair value basis adjustments | 157 | 361 | ||||||
Total Consolidated obligation-discount notes | $ | 48,721,626 | $ | 46,329,906 | ||||
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March 31, 2009 | December 31, 2008 | |||||||||||||||||||||||
Weighted | Weighted | |||||||||||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||||||||||
Maturity | Amount | Rate1 | of total | Amount | Rate1 | of total | ||||||||||||||||||
One year or less | $ | 41,894,850 | 1.51 | % | 61.18 | % | $ | 49,568,550 | 1.93 | % | 61.23 | % | ||||||||||||
Over one year through two years | 12,760,050 | 3.05 | 18.63 | 16,192,550 | 3.20 | 20.00 | ||||||||||||||||||
Over two years through three years | 4,414,800 | 3.76 | 6.45 | 5,299,700 | 3.73 | 6.55 | ||||||||||||||||||
Over three years through four years | 2,604,575 | 4.01 | 3.80 | 2,469,575 | 4.75 | 3.05 | ||||||||||||||||||
Over four years through five years | 3,047,850 | 4.01 | 4.45 | 3,352,450 | 3.99 | 4.14 | ||||||||||||||||||
Over five years through six years | 1,015,000 | 5.18 | 1.48 | 989,300 | 5.06 | 1.22 | ||||||||||||||||||
Thereafter | 2,743,050 | 5.29 | 4.01 | 3,082,050 | 5.35 | 3.81 | ||||||||||||||||||
Total par value | 68,480,175 | 2.35 | % | 100.00 | % | 80,954,175 | 2.64 | % | 100.00 | % | ||||||||||||||
Bond premiums | 55,406 | 63,737 | ||||||||||||||||||||||
Bond discounts | (37,981 | ) | (39,529 | ) | ||||||||||||||||||||
SFAS 133 fair value basis adjustments | 1,077,217 | 1,254,523 | ||||||||||||||||||||||
Fair value basis adjustments on terminated hedges | 6,882 | 7,857 | ||||||||||||||||||||||
SFAS 159 valuation adjustments and accrued interest | 377 | 15,942 | ||||||||||||||||||||||
Total bonds | $ | 69,582,076 | $ | 82,256,705 | ||||||||||||||||||||
1 | Weighted average rate represents the weighted average coupons of bonds, unadjusted for swaps. The weighted average coupon of bonds outstanding at March 31, 2009 and December 31, 2008, represent contractual coupons payable to investors. |
March 31, 2009 | December 31, 2008 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | total | Amount | total | |||||||||||||
Year of Maturity or next call date | ||||||||||||||||
Due or callable in one year or less | $ | 43,773,850 | 63.93 | % | $ | 53,034,550 | 65.51 | % | ||||||||
Due or callable after one year through two years | 12,484,850 | 18.23 | 15,472,350 | 19.11 | ||||||||||||
Due or callable after two years through three years | 4,179,800 | 6.10 | 4,843,700 | 5.98 | ||||||||||||
Due or callable after three years through four years | 2,030,575 | 2.97 | 1,445,575 | 1.79 | ||||||||||||
Due or callable after four years through five years | 2,817,850 | 4.11 | 2,954,450 | 3.65 | ||||||||||||
Due or callable after five years through six years | 680,500 | 0.99 | 684,800 | 0.85 | ||||||||||||
Thereafter | 2,512,750 | 3.67 | 2,518,750 | 3.11 | ||||||||||||
Total par value | 68,480,175 | 100.00 | % | 80,954,175 | 100.00 | % | ||||||||||
Bond premiums | 55,406 | 63,737 | ||||||||||||||
Bond discounts | (37,981 | ) | (39,529 | ) | ||||||||||||
SFAS 133 fair value adjustments | 1,077,217 | 1,254,523 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 6,882 | 7,857 | ||||||||||||||
SFAS 159 valuation adjustments and accrued interest | 377 | 15,942 | ||||||||||||||
Total carrying value | $ | 69,582,076 | $ | 82,256,705 | ||||||||||||
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March 31, 2009 | December 31, 2008 | |||||||
Par value | $ | 48,779,633 | $ | 46,431,347 | ||||
Amortized cost | $ | 48,721,469 | $ | 46,329,545 | ||||
Fair value basis adjustments | 157 | 361 | ||||||
Total | $ | 48,721,626 | $ | 46,329,906 | ||||
Weighted average interest rate | 0.58 | % | 1.00 | % | ||||
March 31, 2009 | December 31, 2008 | |||||||
Due in one year or less | $ | 58,000 | $ | 117,400 | ||||
Total term deposits | $ | 58,000 | $ | 117,400 | ||||
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Three months ended March 31, | ||||||||
2009 | 2008 | |||||||
Beginning balance | $ | 122,449 | $ | 119,052 | ||||
Additions from current period’s assessments | 16,557 | 11,611 | ||||||
Net disbursements for grants and programs | (10,638 | ) | (6,331 | ) | ||||
Ending balance | $ | 128,368 | $ | 124,332 | ||||
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1 | On December 12, 2007 the Finance Board, the predecessor of the Finance Agency, approved amendments to the FHLBNY’s capital plan which allow the FHLBNY to recalculate the membership stock purchase requirement any time after 30 days subsequent to a merger. The amendments also permit the FHLBNY to use a zero mortgage asset base in performing the calculation, which recognizes the fact that the corporate entity that was once its member no longer exists. As a result of these amendments, the FHLBNY could determine that all of the membership stock formerly held by the member would become excess stock, which would give the FHLBNY the discretion, but not the obligation, to repurchase that stock prior to the expiration of the five-year notice period. |
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March 31, 2009 | December 31, 2008 | |||||||||||||||
Required4 | Actual | Required4 | Actual | |||||||||||||
Regulatory capital requirements: | ||||||||||||||||
Risk-based capital1 | $ | 595,197 | $ | 6,041,881 | $ | 650,333 | $ | 6,111,676 | ||||||||
Total capital-to-asset ratio | 4.00 | % | 4.71 | % | 4.00 | % | 4.44 | % | ||||||||
Total capital2 | $ | 5,134,358 | $ | 6,043,730 | $ | 5,501,596 | $ | 6,113,082 | ||||||||
Leverage ratio | 5.00 | % | 7.06 | % | 5.00 | % | 6.67 | % | ||||||||
Leverage capital3 | $ | 6,417,947 | $ | 9,064,670 | $ | 6,876,995 | $ | 9,168,920 |
1 | Actual “Risk-based capital” is capital stock and retained earnings plus mandatorily redeemable capital stock. Section 932.2 of the Finance Agency’s regulations also refers to this amount as “Permanent Capital.” | |
2 | Actual “Total capital” is “Risk-based capital” plus allowance for credit losses. Does not include reserves for the Lehman Brothers receivable which is a specific reserve. | |
3 | Actual Leverage capital is “Risk-based capital” times 1.5 plus allowance for loan losses. | |
4 | Required minimum. |
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March 31, 2009 | December 31, 2008 | |||||||
Redemption less than one year | $ | 57,680 | $ | 38,328 | ||||
Redemption from one year to less than three years | 74,287 | 83,159 | ||||||
Redemption from three years to less than five years | 2,582 | 14,646 | ||||||
Redemption after five years or greater | 5,412 | 6,988 | ||||||
Total | $ | 139,961 | $ | 143,121 | ||||
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Accumulated | ||||||||||||||||||||||||||||
Available- | Non-credit | Cash | Supplemental | Other | Total | |||||||||||||||||||||||
for-sale | OTTI on HTM | flow | Retirement | Comprehensive | Net | Comprehensive | ||||||||||||||||||||||
securities | securities | hedges | Plans | Income (Loss) | Income | Income | ||||||||||||||||||||||
December 31, 2007 | $ | (373 | ) | $ | — | $ | (30,215 | ) | $ | (5,087 | ) | $ | (35,675 | ) | ||||||||||||||
Net change | (16,661 | ) | — | (5,221 | ) | — | (21,882 | ) | $ | 100,224 | $ | 78,342 | ||||||||||||||||
March 31, 2008 | $ | (17,034 | ) | $ | — | $ | (35,436 | ) | $ | (5,087 | ) | $ | (57,557 | ) | ||||||||||||||
December 31, 2008 | $ | (64,420 | ) | $ | — | $ | (30,191 | ) | $ | (6,550 | ) | $ | (101,161 | ) | ||||||||||||||
Net change | 30,426 | (9,938 | ) | 1,879 | — | 22,367 | $ | 148,139 | $ | 170,506 | ||||||||||||||||||
March 31, 2009 | $ | (33,994 | ) | $ | (9,938 | ) | $ | (28,312 | ) | $ | (6,550 | ) | $ | (78,794 | ) | |||||||||||||
Three months ended March 31, | ||||||||
2009 | 2008 | |||||||
Net income | $ | 148,139 | $ | 100,224 | ||||
Net income available to stockholders | $ | 148,139 | $ | 100,224 | ||||
Weighted average shares of capital | 55,976 | 45,469 | ||||||
Less: Mandatorily redeemable capital stock | (1,430 | ) | (1,946 | ) | ||||
Average number of shares of capital used to calculate earnings per share | 54,546 | 43,523 | ||||||
Net earnings per share of capital | $ | 2.72 | $ | 2.30 | ||||
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Table of Contents
Three months ended March 31, | ||||||||
2009 | 2008 | |||||||
Defined Benefit Plan | $ | 1,441 | $ | 1,495 | ||||
Benefit Equalization Plan (defined benefit) | 515 | 469 | ||||||
Defined Contribution Plan and BEP Thrift | 242 | 186 | ||||||
Postretirement Health Benefit Plan | 251 | 249 | ||||||
Total retirement plan expenses | $ | 2,449 | $ | 2,399 | ||||
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Table of Contents
Three months ended March 31, | ||||||||
2009 | 2008 | |||||||
Service cost | $ | 153 | $ | 153 | ||||
Interest cost | 263 | 236 | ||||||
Amortization of unrecognized prior service cost | (36 | ) | (36 | ) | ||||
Amortization of unrecognized net loss | 135 | 116 | ||||||
Net periodic benefit cost | $ | 515 | $ | 469 | ||||
March 31, | December 31, | |||||||
2009 | 2008 | |||||||
Discount rate * | 6.14 | % | 6.14 | % | ||||
Salary increases | 5.50 | % | 5.50 | % | ||||
Amortization period (years) | 8 | 8 | ||||||
Benefits paid during the year | $ | (544 | ) | $ | (392 | ) |
* | The discount rate was based on the Citigroup Pension Liability Index at December 31, 2008 and adjusted for durations. |
Three months ended March 31, | ||||||||
2009 | 2008 | |||||||
Service cost (benefits attributed to service during the period) | $ | 139 | $ | 128 | ||||
Interest cost on accumulated postretirement health benefit obligation | 217 | 227 | ||||||
Amortization of loss | 78 | 77 | ||||||
Amortization of prior service cost/(credit) | (183 | ) | (183 | ) | ||||
Net periodic postretirement health benefit cost | $ | 251 | $ | 249 | ||||
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Table of Contents
March 31, | December 31, | |||||||
2009 | 2008 | |||||||
Weighted average discount rate at the end of the year* | 6.14 | % | 6.14 | % | ||||
Health care cost trend rates: | ||||||||
Assumed for next year | 7.00 | % | 7.00 | % | ||||
Ultimate rate | 5.00 | % | 5.00 | % | ||||
Year that ultimate rate is reached | 2011 | 2011 | ||||||
Alternative amortization methods used to amortize | ||||||||
Prior service cost | Straight - line | Straight - line | ||||||
Unrecognized net (gain) or loss | Straight - line | Straight - line |
* | The discount rate was based on the Citigroup Pension Liability Index at December 31, 2008 and adjusted for durations. |
41
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42
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43
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44
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45
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March 31, 2009 | ||||||||||||
Notional Amount | Derivative | Derivative | ||||||||||
of Derivatives | Assets | Liabilities | ||||||||||
Fair value of derivative instruments | ||||||||||||
Derivatives designated under SFAS 133 | ||||||||||||
Interest rate swaps | ||||||||||||
Advances | $ | 65,880,831 | $ | 1,064 | $ | (5,077,069 | ) | |||||
Consolidated obligation-bonds | 21,815,280 | 1,063,957 | (754 | ) | ||||||||
Total derivatives in SFAS 133 hedging relationships | $ | 87,696,111 | $ | 1,065,021 | $ | (5,077,823 | ) | |||||
Derivatives not designated under SFAS 133 | ||||||||||||
Interest rate swaps | ||||||||||||
Advances | $ | 392,200 | $ | — | $ | (16,377 | ) | |||||
Consolidated obligation-bonds | 22,625,000 | 3,948 | (32,074 | ) | ||||||||
Consolidated obligation-discount notes | 13,062,369 | 13,572 | (200 | ) | ||||||||
Balance sheet | 2,100,000 | 88,611 | (94,282 | ) | ||||||||
Interest rate caps or floors | ||||||||||||
Balance sheet | 1,892,000 | 9,814 | — | |||||||||
Advances | 465,000 | 7,941 | (7,935 | ) | ||||||||
Mortgage delivery commitments | 3,739 | 8 | (6 | ) | ||||||||
Other | 305,000 | 2,244 | (1,898 | ) | ||||||||
Total derivatives not designated under SFAS 133 | $ | 40,845,308 | $ | 126,138 | $ | (152,772 | ) | |||||
Total derivatives before netting and collateral adjustments | ||||||||||||
Netting adjustments | $ | (1,471,648 | ) | $ | 1,471,648 | |||||||
Accrued Interest | 380,273 | (343,944 | ) | |||||||||
Cash collateral and related accrued interest | (88,321 | ) | 3,071,120 | |||||||||
Total Collateral and Netting Adjustments | $ | (1,179,696 | ) | $ | 4,198,824 | |||||||
Totals reported on the Statements of Condition | $ | 11,463 | $ | (1,031,771 | ) | |||||||
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December 31, 2008 | ||||||||||||
Notional Amount | Derivative | Derivative | ||||||||||
of Derivatives | Assets | Liabilities | ||||||||||
Fair values of derivative instruments | ||||||||||||
Derivatives designated under SFAS 133 | ||||||||||||
Interest rate swaps | ||||||||||||
Advances | $ | 61,673,607 | $ | 82 | $ | (5,758,736 | ) | |||||
Consolidated obligation-bonds | 22,130,280 | 1,228,464 | (843 | ) | ||||||||
Consolidated obligation-discount notes | 778,909 | 129 | (100 | ) | ||||||||
Total derivatives in SFAS 133 hedging relationships | $ | 84,582,796 | $ | 1,228,675 | $ | (5,759,679 | ) | |||||
Derivatives not designated under SFAS 133 | ||||||||||||
Interest rate swaps | ||||||||||||
Advances | $ | 617,700 | $ | 34 | $ | (24,564 | ) | |||||
Consolidated obligation-bonds | 29,465,000 | 12,123 | (71,953 | ) | ||||||||
Consolidated obligation discount-notes | 7,508,442 | 14,512 | (566 | ) | ||||||||
Balance sheet | 2,100,000 | 98,079 | (104,077 | ) | ||||||||
Interest rate caps or floors | ||||||||||||
Balance sheet | 1,892,000 | 8,164 | — | |||||||||
Advances | 465,000 | 8,090 | (8,080 | ) | ||||||||
Mortgage delivery commitments | 10,395 | 2 | (110 | ) | ||||||||
Other | 1,283,000 | 17,180 | (8,997 | ) | ||||||||
Total derivatives not designated under SFAS 133 | $ | 43,341,537 | $ | 158,184 | $ | (218,347 | ) | |||||
Total derivatives before netting and collateral adjustments | ||||||||||||
Netting adjustments | $ | (1,808,183 | ) | $ | 1,808,183 | |||||||
Accrued Interest | 502,769 | (528,187 | ) | |||||||||
Cash collateral and related accrued interest | (61,209 | ) | 3,836,370 | |||||||||
Total collateral and netting adjustments | $ | (1,366,623 | ) | $ | 5,116,366 | |||||||
Totals reported on the Statements of Condition | $ | 20,236 | $ | (861,660 | ) | |||||||
47
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March 31, 2009 | March 31, 2008 | |||||||
Gain (Loss) | Gain (Loss) | |||||||
Derivatives and hedged items in SFAS 133 hedging | ||||||||
Interest rate swaps | ||||||||
Advances | $ | (10,611 | ) | $ | (637 | ) | ||
Consolidated obligations-bonds | 12,882 | 2,086 | ||||||
Net gain (loss) related to fair value hedge ineffectiveness | $ | 2,271 | $ | 1,449 | ||||
Net gain (loss) related to cash flow hedge ineffectiveness | $ | — | $ | 447 | ||||
Derivatives not designated under SFAS 133 hedging | ||||||||
Economic hedges | ||||||||
Interest rate swaps | ||||||||
Advances | $ | 4,340 | $ | (1,210 | ) | |||
Consolidated obligations-bonds | 31,482 | 1,025 | ||||||
Consolidated obligations-discount notes | (603 | ) | 55 | |||||
Member intermediation | (153 | ) | (1 | ) | ||||
Balance sheet | 2,233 | — | ||||||
Accrued interest-swaps | (46,222 | ) | (486 | ) | ||||
Accrued interest-intermediation | 25 | 2 | ||||||
Caps and floors | ||||||||
Advances | (429 | ) | (544 | ) | ||||
Balance sheet | 1,650 | — | ||||||
Accrued interest-options | (692 | ) | 126 | |||||
Mortgage delivery committments | 59 | 3 | ||||||
Swaps under fair value option | — | — | ||||||
Consolidated obligations-bonds | (7,684 | ) | — | |||||
Accrued interest on FVO swaps | 57 | — | ||||||
Net gain (loss) related to derivatives not designated as hedging instruments under SFAS 133 | $ | (15,937 | ) | $ | (1,030 | ) | ||
Net gain (loss) on derivatives and hedging activities | $ | (13,666 | ) | $ | 866 | |||
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March 31, 2009 | ||||||||||||||||||||
Net Fair Value | Effect of | Effect of | ||||||||||||||||||
Gain (Loss) on | Gain (Loss) on | Hedge | Derivatives on Net | Amortization of | ||||||||||||||||
Derivative | Hedged Item | Ineffectiveness | Interest Income | Basis Adjustment | ||||||||||||||||
FAS 133 hedged item type | ||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||
Advances | $ | 683,558 | $ | (694,169 | ) | $ | (10,611 | ) | $ | (331,166 | ) | $ | (869 | ) | ||||||
Consolidated obligations-bonds | (164,195 | ) | 177,077 | 12,882 | 104,753 | (674 | ) | |||||||||||||
Consolidated obligations-notes | — | — | — | 239 | 204 | |||||||||||||||
Economic hedges | ||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||
Advances | 4,340 | — | 4,340 | — | — | |||||||||||||||
Consolidated obligations-bonds | 31,482 | — | 31,482 | — | — | |||||||||||||||
Consolidated obligations-notes | (603 | ) | — | (603 | ) | — | — | |||||||||||||
Member intermediation | (153 | ) | — | (153 | ) | — | — | |||||||||||||
Balance sheet | 2,233 | — | 2,233 | — | — | |||||||||||||||
Accrued interest-swaps | (46,222 | ) | — | (46,222 | ) | — | — | |||||||||||||
Accrued interest-intermediation | 25 | — | 25 | — | — | |||||||||||||||
Caps and floors | ||||||||||||||||||||
Advances | (429 | ) | — | (429 | ) | — | — | |||||||||||||
Balance sheet | 1,650 | — | 1,650 | — | — | |||||||||||||||
Accrued interest-options | (692 | ) | — | (692 | ) | — | — | |||||||||||||
Mortgage delivery commitments | 59 | — | 59 | — | — | |||||||||||||||
Total | $ | 511,053 | $ | (517,092 | ) | $ | (6,039 | ) | $ | (226,174 | ) | $ | (1,339 | ) | ||||||
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March 31, 2008 | ||||||||||||||||||||
Net Fair Value | Effect of | Effect of | ||||||||||||||||||
Gain (Loss) on | Gain (Loss) on | Hedge | Derivatives on Net | Amortization of | ||||||||||||||||
Derivative | Hedged Item | Ineffectiveness | Interest Income | Basis Adjustment | ||||||||||||||||
FAS 133 hedged item type | ||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||
Advances | $ | (1,544,847 | ) | $ | 1,544,210 | $ | (637 | ) | $ | (2,602 | ) | $ | (622 | ) | ||||||
Consolidated obligations-bonds | 307,405 | (305,319 | ) | 2,086 | 39,168 | 4,751 | ||||||||||||||
Cash flow hedges ineffectiveness | 447 | — | 447 | — | — | |||||||||||||||
Economic hedges | ||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||
Advances | (1,210 | ) | — | (1,210 | ) | — | — | |||||||||||||
Consolidated obligations-bonds | 1,025 | — | 1,025 | — | — | |||||||||||||||
Consolidated obligations-notes | 55 | — | 55 | — | — | |||||||||||||||
Member intermediation | (1 | ) | — | (1 | ) | — | — | |||||||||||||
Accrued interest-swaps | (486 | ) | — | (486 | ) | — | — | |||||||||||||
Accrued interest-intermediation | 2 | — | 2 | — | — | |||||||||||||||
Caps and floors | ||||||||||||||||||||
Advances | (544 | ) | — | (544 | ) | — | — | |||||||||||||
Accrued interest-options | 126 | — | 126 | — | — | |||||||||||||||
Mortgage delivery commitments | 3 | — | 3 | — | — | |||||||||||||||
Total | $ | (1,238,025 | ) | $ | 1,238,891 | $ | 866 | $ | 36,566 | $ | 4,129 | |||||||||
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March 31, 2009 | ||||||||||||||||
OCI | ||||||||||||||||
Gains/(Losses) | ||||||||||||||||
Location: | Amount | Ineffectiveness | ||||||||||||||
Recognized | Reclassified to | Reclassified to | Recognized in | |||||||||||||
in OCI1 | Earnings1 | Earnings1 | Earnings | |||||||||||||
The effect of cash flow hedge related to | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | $ | — | Interest Income | $ | — | $ | — | |||||||||
Consolidated obligations-bonds | — | Interest Expense | 1,879 | — | ||||||||||||
Total | $ | — | $ | 1,879 | $ | — | ||||||||||
March 31, 2008 | ||||||||||||||||
OCI | ||||||||||||||||
Gains/(Losses) | ||||||||||||||||
Location: | Amount | Ineffectiveness | ||||||||||||||
Recognized | Reclassified to | Reclassified to | Recognized in | |||||||||||||
in OCI1 | Earnings1 | Earnings1 | Earnings | |||||||||||||
The effect of cash flow hedge related to | ||||||||||||||||
Interest rate swaps | ||||||||||||||||
Advances | $ | — | Interest Income | $ | — | $ | — | |||||||||
Consolidated obligations-bonds | (6,364 | ) | Interest Expense | 1,134 | 9 | |||||||||||
Total | $ | (6,364 | ) | $ | 1,134 | $ | 9 | |||||||||
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March 31, 2009 | ||||||||||||||||||||
Netting | ||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Adjustments | ||||||||||||||||
Assets | ||||||||||||||||||||
Available-for-sale securities | $ | 2,641,996 | $ | — | $ | 2,641,996 | $ | — | $ | — | ||||||||||
Derivative assets | 11,463 | — | 1,191,159 | — | (1,179,696 | ) | ||||||||||||||
Total assets at fair value | $ | 2,653,459 | $ | — | $ | 3,833,155 | $ | — | $ | (1,179,696 | ) | |||||||||
Liabilities | ||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||
Discount notes | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Bonds | (25,377 | ) | — | (25,377 | ) | — | — | |||||||||||||
Derivative liabilities | (1,031,771 | ) | — | (5,230,595 | ) | — | 4,198,824 | |||||||||||||
Total liabilities at fair value | $ | (1,057,148 | ) | $ | — | $ | (5,255,972 | ) | $ | — | $ | 4,198,824 | ||||||||
December 31, 2008 | ||||||||||||||||||||
Netting | ||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Adjustments | ||||||||||||||||
Assets | ||||||||||||||||||||
Available-for-sale securities | $ | 2,861,869 | $ | — | $ | 2,861,869 | $ | — | $ | — | ||||||||||
Derivative assets | 20,236 | — | 1,386,859 | — | (1,366,623 | ) | ||||||||||||||
Total assets at fair value | $ | 2,882,105 | $ | — | $ | 4,248,728 | $ | — | $ | (1,366,623 | ) | |||||||||
Liabilities | ||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||
Discount notes | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Bonds | (998,942 | ) | — | (998,942 | ) | — | — | |||||||||||||
Derivative liabilities | (861,660 | ) | — | (5,978,026 | ) | — | 5,116,366 | |||||||||||||
Total liabilities at fair value | $ | (1,860,602 | ) | $ | — | $ | (6,976,968 | ) | $ | — | $ | 5,116,366 | ||||||||
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March 31, 2009 | ||||||||||||
Carrying | Net Unrealized | Estimated | ||||||||||
Financial Instruments | Value | Gains/Losses | Fair Value | |||||||||
Assets | ||||||||||||
Cash and due from banks | $ | 32,136 | $ | — | $ | 32,136 | ||||||
Interest-bearing deposits | 8,602,233 | 1,600 | 8,603,833 | |||||||||
Federal funds sold | 500,000 | 1 | 500,001 | |||||||||
Available-for-sale securities | 2,641,996 | — | 2,641,996 | |||||||||
Held-to-maturity securities | ||||||||||||
Long-term securities | 9,935,079 | (150,954 | ) | 9,784,125 | ||||||||
Certificates of deposit | 300,000 | 17 | 300,017 | |||||||||
Advances | 104,463,598 | 88,450 | 104,552,048 | |||||||||
Mortgage loans, net | 1,430,899 | 55,608 | 1,486,507 | |||||||||
Accrued interest receivable | 411,500 | — | 411,500 | |||||||||
Derivative assets | 11,463 | — | 11,463 | |||||||||
Other financial assets | 3,427 | — | 3,427 | |||||||||
Liabilities | ||||||||||||
Deposits | 2,372,415 | 270 | 2,372,685 | |||||||||
Consolidated obligations: | ||||||||||||
Bonds | 69,582,076 | 112,890 | 69,694,966 | |||||||||
Discount notes | 48,721,626 | 29,355 | 48,750,981 | |||||||||
Mandatorily redeemable capital stock | 139,961 | — | 139,961 | |||||||||
Accrued interest payable | 385,121 | — | 385,121 | |||||||||
Derivative liabilities | 1,031,771 | — | 1,031,771 | |||||||||
Other financial liabilities | 44,467 | — | 44,467 |
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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 |
March 31, 2009 | December 31, 2008 | |||||||
Balance, beginning of the period | $ | 998,942 | $ | — | ||||
New transaction elected for fair value option | — | 1,014,000 | ||||||
Maturities and terminations | (958,000 | ) | (31,000 | ) | ||||
Change in fair value | (8,313 | ) | 8,325 | |||||
Change in accrued interest | (7,252 | ) | 7,617 | |||||
Balance, end of the period | $ | 25,377 | $ | 998,942 | ||||
Interest expense on | Total change in fair | |||||||||||
consolidated obligation | Net gain(loss) due to | value included in | ||||||||||
bonds | changes in fair value | current period earnings | ||||||||||
Period ended March 31, 2009 | ||||||||||||
Consolidated obligation-bonds | $ | (1,074 | ) | $ | 8,313 | $ | 7,239 | |||||
Period ended March 31, 2008 | ||||||||||||
Consolidated obligation-bonds | $ | — | $ | — | $ | — | ||||||
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March 31, 2009 | ||||||||||||
Fair value | ||||||||||||
Principal Balance | Fair value | over/(under) | ||||||||||
Consolidated obligation-bonds | $ | 25,000 | $ | 25,377 | $ | 377 | ||||||
December 31, 2008 | ||||||||||||
Fair value | ||||||||||||
Principal Balance | Fair value | over/(under) | ||||||||||
Consolidated obligation-bonds | $ | 983,000 | $ | 998,942 | $ | 15,942 | ||||||
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March 31, 2009 | ||||||||||||||||||||
Payments due or expiration terms by period | ||||||||||||||||||||
Less than | One year | Greater than three | Greater than | |||||||||||||||||
one year | to three years | years to five years | five years | Total | ||||||||||||||||
Contractual Obligations | ||||||||||||||||||||
Consolidated obligations-bonds at par1 | $ | 41,894,850 | $ | 17,174,850 | $ | 5,652,425 | $ | 3,758,050 | $ | 68,480,175 | ||||||||||
Mandatorily redeemable capital stock1 | 57,680 | 74,287 | 2,582 | 5,412 | 139,961 | |||||||||||||||
Premises (lease obligations)2 | 3,060 | 6,120 | 5,999 | 8,180 | 23,359 | |||||||||||||||
Total contractual obligations | 41,955,590 | 17,255,257 | 5,661,006 | 3,771,642 | 68,643,495 | |||||||||||||||
Other commitments | ||||||||||||||||||||
Standby letters of credit | 846,108 | 19,643 | 15,868 | 7,934 | 889,553 | |||||||||||||||
Unused lines of credit and other conditional commitments | 19,996,890 | — | — | — | 19,996,890 | |||||||||||||||
Consolidated obligation-bonds/discount notes traded not settled | 1,622,513 | — | — | — | 1,622,513 | |||||||||||||||
MBS purchase | 50,000 | — | — | — | 50,000 | |||||||||||||||
Open delivery commitments (MPF) | 3,739 | — | — | — | 3,739 | |||||||||||||||
Total other commitments | 22,519,250 | 19,643 | 15,868 | 7,934 | 22,562,695 | |||||||||||||||
Total obligations and commitments | $ | 64,474,840 | $ | 17,274,900 | $ | 5,676,874 | $ | 3,779,576 | $ | 91,206,190 | ||||||||||
1 | Mandatorily redeemable capital stock is categorized by the dates at which the corresponding advances outstanding mature. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock, under which stock may not be redeemed until the later of five years from the date the member becomes a nonmember or the related advance matures. Callable bonds contain exercise date or a series of exercise dates that may result in a shorter redemption period. | |
2 | Immaterial amount of commitments for equipment leases not included. |
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March 31, 2009 | December 31, 2008 | |||||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | — | $ | 32,136 | $ | — | $ | 18,899 | ||||||||
Interest-bearing deposits | — | 8,602,233 | — | 12,169,096 | ||||||||||||
Federal funds sold | — | 500,000 | — | — | ||||||||||||
Available-for-sale securities | — | 2,641,996 | — | 2,861,869 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | — | 9,935,079 | — | 10,130,543 | ||||||||||||
Certificates of deposit | — | 300,000 | — | 1,203,000 | ||||||||||||
Advances | 104,463,598 | — | 109,152,876 | — | ||||||||||||
Mortgage loans 1 | — | 1,430,899 | — | 1,457,885 | ||||||||||||
Accrued interest receivable | 356,566 | 54,934 | 433,755 | 59,101 | ||||||||||||
Premises, software, and equipment | — | 13,817 | — | 13,793 | ||||||||||||
Derivative assets2 | — | 11,463 | — | 20,236 | ||||||||||||
Other assets3 | 157 | 16,060 | 153 | 18,685 | ||||||||||||
Total assets | $ | 104,820,321 | $ | 23,538,617 | $ | 109,586,784 | $ | 27,953,107 | ||||||||
Liabilities and capital | ||||||||||||||||
Deposits | $ | 2,372,415 | $ | — | $ | 1,451,978 | $ | — | ||||||||
Consolidated obligations | — | 118,303,702 | — | 128,586,611 | ||||||||||||
Mandatorily redeemable capital stock | 139,961 | — | 143,121 | — | ||||||||||||
Accrued interest payable | 672 | 384,449 | 814 | 425,330 | ||||||||||||
Affordable Housing Program4 | 128,368 | — | 122,449 | — | ||||||||||||
Payable to REFCORP | — | 41,815 | — | 4,780 | ||||||||||||
Derivative liabilities2 | — | 1,031,771 | — | 861,660 | ||||||||||||
Other liabilities5 | 40,527 | 92,131 | 31,003 | 44,750 | ||||||||||||
Total liabilities | $ | 2,681,943 | $ | 119,853,868 | $ | 1,749,365 | $ | 129,923,131 | ||||||||
Capital | 5,823,127 | — | 5,867,395 | — | ||||||||||||
Total liabilities and capital | $ | 8,505,070 | $ | 119,853,868 | $ | 7,616,760 | $ | 129,923,131 | ||||||||
1 | Includes insignificant amounts of mortgage loans purchased from members of another FHLBank. | |
2 | Derivative assets and liabilities include insignificant fair values due to intermediation activities on behalf of members. | |
3 | Includes insignificant amounts of miscellaneous assets that are considered related party. | |
4 | Represents funds not yet disbursed to eligible programs. | |
5 | Related column includes member pass-through reserves at the Federal Reserve Bank. |
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Three months ended | ||||||||||||||||
March 31, 2009 | March 31, 2008 | |||||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||||
Interest income | ||||||||||||||||
Advances | $ | 502,222 | $ | — | $ | 871,785 | $ | — | ||||||||
Interest-bearing deposits 1 | — | 8,918 | — | 8,998 | ||||||||||||
Federal funds sold | — | 68 | — | 29,418 | ||||||||||||
Available-for-sale securities | — | 8,519 | — | 9,483 | ||||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | — | 126,820 | — | 134,348 | ||||||||||||
Certificates of deposit | — | 508 | — | 102,253 | ||||||||||||
Mortgage loans2 | — | 19,104 | — | 19,633 | ||||||||||||
Loans to other FHLBanks and other | — | — | 1 | — | ||||||||||||
Total interest income | $ | 502,222 | $ | 163,937 | $ | 871,786 | $ | 304,133 | ||||||||
Interest expense | ||||||||||||||||
Consolidated obligations | $ | — | 433,085 | — | $ | 1,002,544 | ||||||||||
Deposits | 777 | — | 15,175 | — | ||||||||||||
Mandatorily redeemable capital stock | 878 | — | 4,278 | — | ||||||||||||
Cash collateral held and other borrowings | — | 37 | 146 | 325 | ||||||||||||
Total interest expense | $ | 1,655 | $ | 433,122 | $ | 19,599 | $ | 1,002,869 | ||||||||
Service fees | $ | 985 | $ | — | $ | 691 | $ | — | ||||||||
1 | Includes de minimis amounts of interest income from MPF service provider. | |
2 | Includes de minimis amounts of mortgage interest income from loans purchased from members of another FHLBank. |
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March 31, 2009 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | Interest | ||||||||||||||
City | State | Advances | of Advances | Income | ||||||||||||
Hudson City Savings Bank1 | Paramus | NJ | $ | 17,575,000 | 17.7 | % | $ | 176,070 | ||||||||
Metropolitan Life Insurance Company | New York | NY | 15,105,000 | 15.2 | 103,306 | |||||||||||
New York Community Bank1 | Westbury | NY | 8,143,214 | 8.2 | 77,380 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 7,479,282 | 7.5 | 36,499 | |||||||||||
Prudential Insurance Co. of America | Newark | NJ | 4,500,000 | 4.5 | 24,618 | |||||||||||
Total | $ | 52,802,496 | 53.1 | % | $ | 417,873 | ||||||||||
1 | Officer of member bank also serves on the Board of Directors of the FHLBNY. |
December 31, 2008 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | Interest | ||||||||||||||
City | State | Advances | of Advances | Income | ||||||||||||
Hudson City Savings Bank | Paramus | NJ | $ | 17,525,000 | 17.0 | % | $ | 671,146 | ||||||||
Metropolitan Life Insurance Company | New York | NY | 15,105,000 | 14.6 | 260,420 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 7,999,689 | 7.7 | 257,649 | |||||||||||
New York Community Bank | Westbury | NY | 7,796,517 | 7.5 | 337,019 | |||||||||||
Astoria Federal Savings and Loan Assn. | Long Island City | NY | 3,738,000 | 3.6 | 151,066 | |||||||||||
Total | $ | 52,164,206 | 50.4 | % | $ | 1,677,300 | ||||||||||
March 31, 2008 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | Interest | ||||||||||||||
City | State | Advances | of Advances | Income | ||||||||||||
Hudson City Savings Bank | Paramus | NJ | $ | 15,275,000 | 18.4 | % | $ | 159,048 | ||||||||
New York Community Bank | Westbury | NY | 8,088,623 | 9.8 | 91,160 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 6,430,522 | 7.8 | 68,568 | |||||||||||
Metropolitan Life Insurance Company | New York | NY | 5,405,000 | 6.5 | 54,569 | |||||||||||
HSBC Bank USA, National Association | New York | NY | 4,008,445 | 4.8 | 52,707 | |||||||||||
Total | $ | 39,207,590 | 47.3 | % | $ | 426,052 | ||||||||||
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Number | Percent | |||||||||
March 31, 2009 | of shares | of total | ||||||||
Name of beneficial owner | Principal Executive Office Address | owned | capital stock | |||||||
Hudson City Savings Bank * | West 80 Century Road, Paramus, NJ 07652 | 8,678 | 15.63 | % | ||||||
Metropolitan Life Insurance Company | 200 Park Ave., New York, NY 10166 | 8,302 | 14.95 | |||||||
Manufacturers and Traders Trust Company | One M & T Plaza, Buffalo, NY 14203 | 4,089 | 7.36 | |||||||
New York Community Bank * | 615 Merrick Avenue, Westbury, NY 11590 | 4,084 | 7.35 | |||||||
25,153 | 45.29 | % | ||||||||
* | Officer of member bank also serves on the Board of Directors of the FHLBNY. |
Number | Percent | |||||||||
December 31, 2008 | of shares | of total | ||||||||
Name of beneficial owner | Principal Executive Office Address | owned | capital stock | |||||||
Hudson City Savings Bank | West 80 Century Road, Paramus, NJ 07652 | 8,656 | 15.11 | % | ||||||
Metropolitan Life Insurance Company | 200 Park Ave., New York, NY 10166 | 8,302 | 14.49 | |||||||
Manufacturers and Traders Trust Company | One M & T Plaza, Buffalo, NY 14203 | 4,327 | 7.55 | |||||||
New York Community Bank | 615 Merrick Avenue, Westbury, NY 11590 | 3,928 | 6.86 | |||||||
25,213 | 44.01 | % | ||||||||
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• | Net interest income before the provision for credit losses, a key metric for the FHLBNY, was $231.4 million for the current year first quarter, up by $77.9 million, or 50.8% from the prior year first quarter. 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 60 basis points for the current year first quarter, up from 32 basis points in the prior year first quarter. Net interest spread is the difference between yields on interest-earning assets and yields on interest-bearing liabilities. Return on average earning-assets was 70 basis points for the current year first quarter, up from 57 from the prior year first quarter. |
• | Net interest income GAAP Vs Economic basis— These measurement metrics are based on “Generally Accepted Accounting Principles” or GAAP basis. Under GAAP, interest expense or income on interest rate swaps designated in an economic hedge is reported as hedging losses or gains in Other income (loss) as a Net realized and unrealized gain (loss) from derivatives and hedging activities as an expense in the Statements of Income. Other income (loss) is not a component of Net interest income. The effect of this was to reduce reported interest expense on debt by $46.9 million, which increased Net interest income on a GAAP basis by $46.9 million. The expense was recorded as a derivative hedging loss and increased losses from derivative hedging activities for the current year first quarter by $46.9 million. Net income remained unchanged. On an economic basis, Net interest income in the current year first quarter was $184.5 million. The comparable Net interest income for the prior year first quarter on an economic basis was $153.4 million, almost the same as on a GAAP basis because of the insignificant amounts of hedges in an economic basis in the prior year period. |
• | Net interest spread GAAP Vs. Economic basis— On a GAAP basis, Net interest spread earned was 60 basis points in current year first quarter. 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 16 basis points to 44 basis points in current year first quarter. 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 70 basis points in the current year first quarter. On an economic basis, the return on average earnings assets for the current year first quarter would have been 56 basis points. |
• | Reported Net realized and unrealized gain (loss) from derivatives and hedging activities was a loss of $13.7 million in the current year first quarter, compared to a gain of $0.9 million in prior year first quarter. Two factors were the primary components of the reported loss in the current year first quarter. Changes in the fair values of interest rate swaps in economic hedges, often referred to as “one-sided marks” made a positive contribution of $38.7 million from hedging activities, which was primarily the reversal of previously recognized fair value unrealized losses. Interest expense associated with the interest rate swaps in economic hedges resulted in net expense of $46.9 million in the current year first quarter and was recorded as hedging expenses in Other income (loss). |
• | OTTI of $5.3 million was recorded as a charge to Other income (loss). In the current year first quarter, management determined that two held-to-maturity private-label MBS had become credit impaired. The impairment charge represented the credit loss component of OTTI. The non-credit component of OTTI was $9.9 million recorded as a loss in Accumulated other comprehensive income (loss). The total OTTI, which is the difference between the amortized cost basis and the fair value of the two securities was $15.2 million. The two securities are insured by MBIA Insurance Corp. (“MBIA”) and management’s analysis, and in part due to the recent reorganization of MBIA determined that future credit losses due to projected collateral shortfalls of the two securities would not be supported by MBIA. See Significant Accounting Policies and Estimates in Note 1 for more information about impairment methodology and bond insurer analysis. |
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• | Advances declined by 4.3% to $104.5 billion at March 31, 2009, compared with $109.2 billion at December 31, 2008. Member demand for advance borrowings in the current year first quarter has been concentrated in the longer-term fixed-rate advance products. Outstanding amounts of short-term fixed-rate advances, adjustable-rate advances, and overnight borrowings declined at March 31, 2009 compared to outstanding balances at December 31, 2008. In the current year first quarter, fixed-rate advances, specifically those collateralized by marketable securities grew and partially offset the declining demand of adjustable-rate products. |
• | 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. To accommodate members’ funding needs at reasonable spreads, the Bank increased its issuance of discount notes that have maturities from overnight to 365 days. At March 31, 2009, discount notes outstanding were $48.7 billion, and funded 38.0% of the Total assets at that date, compared to $46.3 billion at December 31, 2008, which funded 33.7% of Total assets. |
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• | Investments in mortgage-backed securities designated as held-to-maturity declined to $9.1 billion at March 31, 2009 from $9.3 billion at December 31, 2008. The Bank purchased GSE and agency issued securities of $445.2 million in the current year first quarter. State and local housing agency bonds declined slightly to $802.6 million at March 31, 2009, compared to $804.1 million at December 31, 2008. Investments in short-term certificates of deposits also designated as held-to-maturity were allowed to decline to $300.0 million at March 31, 2009 from $1.2 billion at December 31, 2008. Investments designated as held-to-maturity are recorded at an amortized cost basis. When a held-to-maturity security is impaired, its fair value becomes the new amortized cost basis. An other-than-temporary total impairment charge of $15.2 million was recorded at March 31, 2009, and the amortized cost basis of the two securities were written down to fair value. The credit component of the total OTTI of $15.2 million was $5.3 million. |
• | MBS designated as available-for-sale comprised entirely of variable-rate GSE and U.S. government agency issued securities. Amortized cost basis declined to $2.7 billion at March 31, 2009, from $2.9 billion at December 31, 2008 as paydowns and sales outpaced new acquisitions. No MBS was purchased in the current year first quarter for the available-for-sale portfolio. The Bank sold $131.7 million of GSE issued available-for-sale securities and realized a small gain. Available-for-sale securities are recorded in the Statements of Condition at fair values. Net unrealized losses at March 31, 2009 were $29.9 million compared to net unrealized losses of $61.0 million at December 31, 2008. |
• | Shareholders’ equity, the sum of Capital stock, Retained earnings, and Accumulated other comprehensive income (loss) was $5.8 billion at March 31, 2009, a decline of $44.3 million from December 31, 2008. Capital stock, a component of shareholders’ equity, at March 31, 2009 was $5.4 billion, a decline of $172.7 million as compared to December 31, 2008. The decrease in Capital stock was consistent with decrease 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 $488.9 million, up by $106.0 million from December 31, 2008. Two dividends paid out of retained earnings amounted to $42.1 million in the current year first quarter. Accumulated other comprehensive loss was $78.8 million at March 31, 2009 compared to a loss of $101.2 million at December 31, 2008, and comprised of net unrealized losses from cash flow hedging activities, additional liabilities on employee pension plans, net unrealized fair value losses on available-for-sale securities, and non-credit component of OTTI on held-to-maturity securities. |
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Statements of Condition | March 31, | December 31, | ||||||||||||||||||||||
(dollars in millions) | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Investments (1) | $ | 13,377 | $ | 14,195 | $ | 25,034 | $ | 20,503 | $ | 20,945 | $ | 17,271 | ||||||||||||
Interest bearing balance at FRB | 8,602 | 12,169 | — | — | — | — | ||||||||||||||||||
Advances | 104,464 | 109,153 | 82,090 | 59,012 | 61,902 | 68,507 | ||||||||||||||||||
Mortgage loans | 1,431 | 1,458 | 1,492 | 1,483 | 1,467 | 1,178 | ||||||||||||||||||
Total assets | 128,359 | 137,540 | 109,245 | 81,579 | 84,761 | 87,347 | ||||||||||||||||||
Deposits and borrowings | 2,372 | 1,452 | 1,606 | 2,266 | 2,650 | 2,297 | ||||||||||||||||||
Consolidated obligations | 118,304 | 128,587 | 101,117 | 74,234 | 77,279 | 80,157 | ||||||||||||||||||
Mandatorily redeemable capital stock | 140 | 143 | 239 | 110 | 18 | 127 | ||||||||||||||||||
AHP liability | 128 | 122 | 119 | 102 | 91 | 82 | ||||||||||||||||||
REFCORP liability | 42 | 5 | 24 | 17 | 14 | 10 | ||||||||||||||||||
Capital stock | 5,413 | 5,586 | 4,368 | 3,546 | 3,590 | 3,655 | ||||||||||||||||||
Retained earnings | 489 | 383 | 418 | 369 | 291 | 223 | ||||||||||||||||||
Equity to asset ratio (2) | 4.54 | % | 4.27 | % | 4.35 | % | 4.79 | % | 4.58 | % | 4.44 | % |
Statements of Condition | Three months ended | |||||||||||||||||||||||||||
Averages | March 31, | Years ended December 31, | ||||||||||||||||||||||||||
(dollars in millions) | 2009 | 2008 | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||||||||
Investments (1) | $ | 12,963 | $ | 23,863 | $ | 22,253 | $ | 22,155 | $ | 19,431 | $ | 19,347 | $ | 16,292 | ||||||||||||||
Interest bearing balance at FRB ** | 11,538 | — | 1,322 | — | — | — | — | |||||||||||||||||||||
Advances | 105,344 | 82,615 | 92,617 | 65,454 | 64,658 | 63,446 | 65,289 | |||||||||||||||||||||
Mortgage loans | 1,450 | 1,479 | 1,465 | 1,502 | 1,471 | 1,360 | 928 | |||||||||||||||||||||
Total assets | 134,915 | 108,702 | 119,710 | 89,961 | 86,319 | 85,254 | 84,344 | |||||||||||||||||||||
Interest-bearing deposits and other borrowings | 1,749 | 2,105 | 2,003 | 2,202 | 1,709 | 2,100 | 1,971 | |||||||||||||||||||||
Consolidated obligations | 122,698 | 99,034 | 109,691 | 82,233 | 79,314 | 77,629 | 76,105 | |||||||||||||||||||||
Mandatorily redeemable capital stock | 143 | 195 | 166 | 146 | 51 | 56 | 238 | |||||||||||||||||||||
AHP liability | 125 | 121 | 122 | 108 | 95 | 84 | 83 | |||||||||||||||||||||
REFCORP liability | 22 | 12 | 6 | 10 | 9 | 7 | 4 | |||||||||||||||||||||
Capital stock | 5,455 | 4,352 | 4,923 | 3,771 | 3,737 | 3,604 | 3,554 | |||||||||||||||||||||
Retained earnings | 429 | 391 | 381 | 362 | 314 | 251 | 159 |
Operating Results and other data | Three months ended | |||||||||||||||||||||||||||
(dollars in millions) | March 31, | Years ended December 31, | ||||||||||||||||||||||||||
(except earnings and dividends per share) | 2009 | 2008 | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||||||||
Net interest income (3) | $ | 231 | $ | 153 | $ | 694 | $ | 499 | $ | 470 | $ | 395 | $ | 268 | ||||||||||||||
Net income | 148 | 100 | 259 | 323 | 285 | 230 | 161 | |||||||||||||||||||||
Dividends paid in cash (6) | 42 | 89 | 294 | 273 | 208 | 162 | 66 | |||||||||||||||||||||
AHP expense | 17 | 12 | 30 | 37 | 32 | 26 | 19 | |||||||||||||||||||||
REFCORP expense | 37 | 25 | 65 | 81 | 71 | 58 | 40 | |||||||||||||||||||||
Return on average equity* (4) | 10.37 | % | 8.59 | % | 4.95 | % | 7.85 | % | 7.04 | % | 5.97 | % | 4.34 | % | ||||||||||||||
Return on average assets* | 0.45 | % | 0.37 | % | 0.22 | % | 0.36 | % | 0.33 | % | 0.27 | % | 0.19 | % | ||||||||||||||
Operating expenses | $ | 18 | $ | 16 | $ | 66 | $ | 67 | $ | 63 | $ | 59 | $ | 51 | ||||||||||||||
Operating expenses ratio* (5) | 0.05 | % | 0.06 | % | 0.06 | % | 0.07 | % | 0.07 | % | 0.07 | % | 0.06 | % | ||||||||||||||
Earnings per share | $ | 2.72 | $ | 2.30 | $ | 5.26 | $ | 8.57 | $ | 7.63 | $ | 6.36 | $ | 4.55 | ||||||||||||||
Dividend per share | $ | 0.75 | $ | 2.12 | $ | 6.55 | $ | 7.51 | $ | 5.59 | $ | 4.50 | $ | 1.83 | ||||||||||||||
Headcount (Full/part time) | 256 | 241 | 251 | 246 | 232 | 221 | 210 |
(1) | Investments include held-to-maturity securities, available for-sale securities, Federal funds, and loans to other FHLBanks. | |
(2) | Equity to asset ratio is capital stock plus retained earnings and accumulated other comprehensive income (loss) as a percentage of total assets. | |
(3) | Net interest income is net interest income before the provision for credit losses on mortgage loans. | |
(4) | Return on average equity is net income as a percentage of average capital stock plus average retained earnings and average accumulated other comprehensive income (loss). | |
(5) | Operating expenses as a percentage of total average assets. | |
(6) | Excludes dividends paid to non members classified as interest expense under FASB 150. | |
* | Annualized. | |
** | FRB program commenced in October 2008. The average balance is annualized YTD. |
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Three months ended March 31, | ||||||||||||
Percentage | ||||||||||||
2009 | 2008 | Variance | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 502,222 | $ | 871,785 | (42.39 | )% | ||||||
Interest-bearing deposits | 8,918 | 8,999 | (0.90 | ) | ||||||||
Federal funds sold | 68 | 29,418 | (99.77 | ) | ||||||||
Available-for-sale securities | 8,519 | 9,483 | (10.17 | ) | ||||||||
Held-to-maturity securities | ||||||||||||
Long-term securities | 126,820 | 134,348 | (5.60 | ) | ||||||||
Certificates of deposit | 508 | 102,252 | (99.50 | ) | ||||||||
Mortgage loans held-for-portfolio | 19,104 | 19,633 | (2.69 | ) | ||||||||
Loans to other FHLBanks and other | — | 1 | (100.00 | ) | ||||||||
Total interest income | $ | 666,159 | $ | 1,175,919 | (43.35 | )% | ||||||
Three months ended March 31, | ||||||||
2009 | 2008 | |||||||
Advance Interest Income | ||||||||
Advance interest income before adjustment for interest rate swaps | $ | 833,388 | $ | 874,387 | ||||
Net interest adjustment from interest rate swaps | (331,166 | ) | (2,602 | ) | ||||
Total Advance interest income reported | $ | 502,222 | $ | 871,785 | ||||
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Three months ended March 31, | ||||||||||||
Percentage | ||||||||||||
2009 | 2008 | Variance | ||||||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | $ | 343,707 | $ | 731,261 | (53.00 | )% | ||||||
Consolidated obligations-discount notes | 89,378 | 271,283 | (67.05 | ) | ||||||||
Deposits | 777 | 15,175 | (94.88 | ) | ||||||||
Mandatorily redeemable capital stock | 878 | 4,278 | (79.48 | ) | ||||||||
Cash collateral held and other borrowings | 37 | 471 | (92.14 | ) | ||||||||
Total interest expense | $ | 434,777 | $ | 1,022,468 | (57.48 | )% | ||||||
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Three months ended March 31, | ||||||||
2009 | 2008 | |||||||
Consolidated bonds and discount notes-Interest expense | ||||||||
Bonds-Interest expense before adjustment for swaps | $ | 447,786 | $ | 775,180 | ||||
Discount notes-Interest expense before adjustments for swaps | 89,822 | 271,283 | ||||||
Net interest adjustment for interest rate swaps | (104,523 | ) | (43,919 | ) | ||||
Total Consolidated bonds and discount notes-interest expense reported | $ | 433,085 | $ | 1,002,544 | ||||
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Three months ended March 31, | ||||||||||||
Percentage | ||||||||||||
2009 | 2008 | Variance | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 502,222 | $ | 871,785 | (42.39 | )% | ||||||
Interest-bearing deposits | 8,918 | 8,999 | (0.90 | ) | ||||||||
Federal funds sold | 68 | 29,418 | (99.77 | ) | ||||||||
Available-for-sale securities | 8,519 | 9,483 | (10.17 | ) | ||||||||
Held-to-maturity securities | ||||||||||||
Long-term securities | 126,820 | 134,348 | (5.60 | ) | ||||||||
Certificates of deposit | 508 | 102,252 | (99.50 | ) | ||||||||
Mortgage loans held-for-portfolio | 19,104 | 19,633 | (2.69 | ) | ||||||||
Loans to other FHLBanks and other | — | 1 | (100.00 | ) | ||||||||
Total interest income | 666,159 | 1,175,919 | (43.35 | ) | ||||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | 343,707 | 731,261 | (53.00 | ) | ||||||||
Consolidated obligations-discount notes | 89,378 | 271,283 | (67.05 | ) | ||||||||
Deposits | 777 | 15,175 | (94.88 | ) | ||||||||
Mandatorily redeemable capital stock | 878 | 4,278 | (79.48 | ) | ||||||||
Cash collateral held and other borrowings | 37 | 471 | (92.14 | ) | ||||||||
Total interest expense | 434,777 | 1,022,468 | (57.48 | ) | ||||||||
Net interest income before provision for credit losses | $ | 231,382 | $ | 153,451 | 50.79 | % | ||||||
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March 31, 2009 | March 31, 2008 | |||||||||||||||||||||||
Interest | Interest | |||||||||||||||||||||||
Average | Income/ | Average | Income/ | |||||||||||||||||||||
(dollars in thousands) | Balance | Expense | Rate1 | Balance | Expense | Rate1 | ||||||||||||||||||
Earning Assets: | ||||||||||||||||||||||||
Advances | $ | 105,343,748 | $ | 502,222 | 1.93 | % | $ | 82,614,991 | $ | 871,785 | 4.24 | % | ||||||||||||
Certificates of deposit and others | 3,193,686 | 2,062 | 0.26 | 9,804,462 | 111,251 | 4.56 | ||||||||||||||||||
Federal funds sold and other overnight funds | 11,584,490 | 7,432 | 0.26 | 3,146,439 | 29,418 | 3.76 | ||||||||||||||||||
Investments | 12,721,259 | 135,339 | 4.31 | 10,920,895 | 143,831 | 5.30 | ||||||||||||||||||
Mortgage and other loans | 1,449,902 | 19,104 | 5.34 | 1,480,027 | 19,634 | 5.34 | ||||||||||||||||||
Total interest-earning assets | $ | 134,293,085 | $ | 666,159 | 2.01 | % | $ | 107,966,814 | $ | 1,175,919 | 4.38 | % | ||||||||||||
Funded By: | ||||||||||||||||||||||||
Consolidated obligations-bonds | $ | 76,543,358 | $ | 343,707 | 1.82 | $ | 70,028,817 | $ | 731,261 | 4.20 | ||||||||||||||
Consolidated obligations-discount notes | 46,154,843 | 89,378 | 0.79 | 29,004,748 | 271,283 | 3.76 | ||||||||||||||||||
Interest-bearing deposits and other borrowings | 1,823,898 | 814 | 0.18 | 2,181,061 | 15,646 | 2.89 | ||||||||||||||||||
Mandatorily redeemable capital stock | 142,971 | 878 | 2.49 | 194,586 | 4,278 | 8.84 | ||||||||||||||||||
Total interest-bearing liabilities | 124,665,070 | 434,777 | 1.41 | % | 101,409,212 | 1,022,468 | 4.06 | % | ||||||||||||||||
Capital and other non-interest- bearing funds | 9,628,015 | — | 6,557,602 | — | ||||||||||||||||||||
Total Funding | $ | 134,293,085 | $ | 434,777 | $ | 107,966,814 | $ | 1,022,468 | ||||||||||||||||
Net Interest Income/Spread | $ | 231,382 | 0.60 | % | $ | 153,451 | 0.32 | % | ||||||||||||||||
Net Interest Margin | ||||||||||||||||||||||||
(Net interest income/Earning Assets) | 0.70 | % | 0.57 | % | ||||||||||||||||||||
1 | Reported yields with respect to advances and debt may not necessarily equal the coupons on the instruments as derivatives are extensively used to change the yield and optionality characteristics of the underlying hedged items. When fixed-rate debt is issued by the Bank and hedged with an interest rate derivative, it effectively converts the debt into a simple floating-rate bond. Similarly, the Bank makes fixed-rate advances to members and hedges the advance with a pay-fixed, receive-variable interest rate derivative that effectively converts the fixed-rate asset to one that floats with prevailing LIBOR rates. Average balance sheet information is presented as it is more representative of activity throughout the periods presented. For most components of the average balances, a daily weighted average balance is calculated for the period. When daily weighted average balance information is not available, a simple monthly average balance is calculated. Average yields are derived by dividing income by the average balances of the related assets and average costs are derived by dividing expenses by the average balances of the related liabilities. Yields and rates are annualized. |
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Three months ended | ||||||||||||
March 31, 2009 vs. March 31, 2008 | ||||||||||||
Increase (decrease) | ||||||||||||
Volume | Rate | Total | ||||||||||
Interest Income | ||||||||||||
Advances | $ | 237,857 | $ | (607,420 | ) | $ | (369,563 | ) | ||||
Certificates of deposit and others | (74,391 | ) | (27,434 | ) | (101,825 | ) | ||||||
Federal funds sold and other overnight funds | 78,239 | (107,589 | ) | (29,350 | ) | |||||||
Investments | 23,515 | (32,007 | ) | (8,492 | ) | |||||||
Mortgage loans and other loans | (397 | ) | (133 | ) | (530 | ) | ||||||
Total interest income | 264,823 | (774,583 | ) | (509,760 | ) | |||||||
Interest Expense | ||||||||||||
Consolidated obligations-bonds | 67,463 | (455,017 | ) | (387,554 | ) | |||||||
Consolidated obligations-discount notes | 159,077 | (340,982 | ) | (181,905 | ) | |||||||
Deposits and borrowings | (2,541 | ) | (12,291 | ) | (14,832 | ) | ||||||
Mandatorily redeemable capital stock | (1,125 | ) | (2,275 | ) | (3,400 | ) | ||||||
Total interest expense | 222,874 | (810,565 | ) | (587,691 | ) | |||||||
Changes in Net Interest Income | $ | 41,949 | $ | 35,982 | $ | 77,931 | ||||||
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The following table summarizes non-interest income (loss) (in thousands):
Three months ended March 31, | ||||||||
2009 | 2008 | |||||||
Other income (loss): | ||||||||
Service fees | $ | 985 | $ | 691 | ||||
Instruments held at fair value — Unrealized gain | 8,313 | — | ||||||
Total OTTI losses | (15,203 | ) | — | |||||
Portion of loss recognized in other comprehensive income | 9,938 | — | ||||||
Net impairment losses recognized in earnings | (5,265 | ) | — | |||||
Net realized and unrealized gain (loss) on derivatives and hedging activities | (13,666 | ) | 866 | |||||
Net realized gain from sale of available-for-sale securities | 440 | — | ||||||
Other | 46 | (183 | ) | |||||
Total other income (loss) | $ | (9,147 | ) | $ | 1,374 | |||
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Insurer MBIA | OTTI | Gross Losses | ||||||||||||||||||||||||||
Amortized | Fair | Credit | Non-credit | Less than | More than | |||||||||||||||||||||||
Ratings | Count | Cost Basis | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||
BB | 1 | $ | 13,752 | $ | 8,273 | $ | (1,926 | ) | $ | (3,553 | ) | $ | — | $ | (5,479 | ) | ||||||||||||
B | 1 | 23,259 | 13,535 | (3,339 | ) | (6,385 | ) | — | (9,724 | ) | ||||||||||||||||||
Total | 2 | $ | 37,011 | $ | 21,808 | $ | (5,265 | ) | $ | (9,938 | ) | $ | — | $ | (15,203 | ) | ||||||||||||
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Three months ended March 31, | ||||||||
2009 | 20082 | |||||||
Earnings impact of derivatives and hedging activities gain (loss): | ||||||||
SFAS 133 Hedging | ||||||||
Cash flow hedge-ineffectiveness | $ | — | $ | 447 | ||||
Fair value hedges-ineffectiveness | 2,271 | 1,449 | ||||||
Economic Hedging | ||||||||
Economic hedges-fair value changes-options | 1,221 | (544 | ) | |||||
Net interest income-options | (692 | ) | 126 | |||||
Economic hedges-fair value changes-MPF delivery commitments | 59 | 3 | ||||||
Fair value changes-economic hedges1 | 35,065 | (131 | ) | |||||
Net interest expense-economic hedges1 | (46,196 | ) | (484 | ) | ||||
Macro hedge-swaps | 2,233 | — | ||||||
Fair value matched to hedge liabilities designated under SFAS 159 | ||||||||
Fair value changes-interest rate swaps | (7,627 | ) | — | |||||
Net impact on derivatives and hedging activities | $ | (13,666 | ) | $ | 866 | |||
1 | Includes de minimis amount of net gains on member intermediated swaps. |
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• | Interest rate swaps— In the current year first quarter, 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. Changes in the fair values of interest rate swaps in economic hedges, often referred to as “one-sided marks” made a positive contribution of $38.7 million from hedging activities. Interest expense associated with the interest rate swaps in economic hedges resulted in net expense of $46.9 million in the current year first quarter and was recorded as hedging expenses in Other income (loss) as Net realized and unrealized gain (loss) from derivatives and hedging activities. |
• | Changes in fair values of swaps in an economic hedge of consolidated obligation bonds accounted under SFAS 159, “Fair Value Option”, resulted in a loss of $7.6 million in 2008. The accounting under SFAS 159 was introduced for the first time in the third quarter of 2008. |
• | Interest rate caps— were also designated as economic hedges, and fair value changes of purchased caps resulted in a gain of $1.2 million in current year first quarter. 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 fair value of the caps is recorded as derivative assets in the Statements of Condition. In a rising interest rate environment at March 31, 2009, relative to December 31, 2008, the fair values of interest rate caps increased at March 31, 2009, contributing to a gain from hedging activities. |
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March 31, 2009 | December 31, 2008 | |||||||
Accumulated other comprehensive income/(loss) from cash flow hedges | ||||||||
Beginning of period | $ | (30,191 | ) | $ | (30,215 | ) | ||
Net hedging transactions | — | (6,100 | ) | |||||
Reclassified into earnings | 1,879 | 6,124 | ||||||
End of period | $ | (28,312 | ) | $ | (30,191 | ) | ||
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Three months ended March 31, | ||||||||
2009 | 2008 | |||||||
Other expenses: | ||||||||
Operating | $ | 18,094 | $ | 16,451 | ||||
Finance Agency and Office of Finance | 1,967 | 1,453 | ||||||
Total other expenses | $ | 20,061 | $ | 17,904 | ||||
Three months ended March 31, | ||||||||||||||||
Percentage of | Percentage of | |||||||||||||||
2009 | total | 2008 | total | |||||||||||||
Salaries and employee benefits | $ | 12,088 | 66.81 | % | $ | 11,352 | 69.00 | % | ||||||||
Temporary workers | 103 | 0.57 | 14 | 0.09 | ||||||||||||
Occupancy | 1,056 | 5.83 | 981 | 5.96 | ||||||||||||
Depreciation and leasehold amortization | 1,324 | 7.32 | 1,159 | 7.05 | ||||||||||||
Computer service agreements and contractual services | 1,462 | 8.08 | 1,243 | 7.56 | ||||||||||||
Professional and legal fees | 449 | 2.48 | 336 | 2.04 | ||||||||||||
Other | 1,612 | 8.91 | 1,366 | 8.30 | ||||||||||||
Total operating expenses | $ | 18,094 | 100.00 | % | $ | 16,451 | 100.00 | % | ||||||||
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Net change in | Net change in | |||||||||||||||
(Dollars in thousands) | March 31, 2009 | December 31, 2008 | dollar amount | percentage | ||||||||||||
Assets | ||||||||||||||||
Cash and due from banks | $ | 32,136 | $ | 18,899 | $ | 13,237 | 70.04 | % | ||||||||
Interest-bearing deposits | 8,602,233 | 12,169,096 | (3,566,863 | ) | (29.31 | ) | ||||||||||
Federal funds sold | 500,000 | — | 500,000 | NM | ||||||||||||
Available-for-sale securities | 2,641,996 | 2,861,869 | (219,873 | ) | (7.68 | ) | ||||||||||
Held-to-maturity securities | ||||||||||||||||
Long-term securities | 9,935,079 | 10,130,543 | (195,464 | ) | (1.93 | ) | ||||||||||
Certificates of deposit | 300,000 | 1,203,000 | (903,000 | ) | (75.06 | ) | ||||||||||
Advances | 104,463,598 | 109,152,876 | (4,689,278 | ) | (4.30 | ) | ||||||||||
Mortgage loans held-for-portfolio | 1,430,899 | 1,457,885 | (26,986 | ) | (1.85 | ) | ||||||||||
Accrued interest receivable | 411,500 | 492,856 | (81,356 | ) | (16.51 | ) | ||||||||||
Premises, software, and equipment | 13,817 | 13,793 | 24 | 0.17 | ||||||||||||
Derivative assets | 11,463 | 20,236 | (8,773 | ) | (43.35 | ) | ||||||||||
Other assets | 16,217 | 18,838 | (2,621 | ) | (13.91 | ) | ||||||||||
Total assets | $ | 128,358,938 | $ | 137,539,891 | $ | (9,180,953 | ) | (6.68 | )% | |||||||
Liabilities | ||||||||||||||||
Deposits | ||||||||||||||||
Interest-bearing demand | $ | 2,306,887 | $ | 1,333,750 | $ | 973,137 | 72.96 | % | ||||||||
Non-interest bearing demand | 7,528 | 828 | 6,700 | NM | ||||||||||||
Term | 58,000 | 117,400 | (59,400 | ) | (50.60 | ) | ||||||||||
Total deposits | 2,372,415 | 1,451,978 | 920,437 | 63.39 | ||||||||||||
Consolidated obligations | ||||||||||||||||
Bonds | 69,582,076 | 82,256,705 | (12,674,629 | ) | (15.41 | ) | ||||||||||
Discount notes | 48,721,626 | 46,329,906 | 2,391,720 | 5.16 | ||||||||||||
Total consolidated obligations | 118,303,702 | 128,586,611 | (10,282,909 | ) | (8.00 | ) | ||||||||||
Mandatorily redeemable capital stock | 139,961 | 143,121 | (3,160 | ) | (2.21 | ) | ||||||||||
Accrued interest payable | 385,121 | 426,144 | (41,023 | ) | (9.63 | ) | ||||||||||
Affordable Housing Program | 128,368 | 122,449 | 5,919 | 4.83 | ||||||||||||
Payable to REFCORP | 41,815 | 4,780 | 37,035 | NM | ||||||||||||
Derivative liabilities | 1,031,771 | 861,660 | 170,111 | 19.74 | ||||||||||||
Other liabilities | 132,658 | 75,753 | 56,905 | 75.12 | ||||||||||||
Total liabilities | 122,535,811 | 131,672,496 | (9,136,685 | ) | (6.94 | ) | ||||||||||
Capital | 5,823,127 | 5,867,395 | (44,268 | ) | (0.75 | ) | ||||||||||
Total liabilities and capital | $ | 128,358,938 | $ | 137,539,891 | $ | (9,180,953 | ) | (6.68 | )% | |||||||
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March 31, 2009 | December 31, 2008 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amounts | of total | Amounts | of total | |||||||||||||
Adjustable Rate Credit — ARCs | $ | 18,530,850 | 18.65 | % | $ | 20,205,850 | 19.55 | % | ||||||||
Fixed Rate Advances | 73,958,276 | 74.41 | 71,860,685 | 69.51 | ||||||||||||
Short-Term Advances | 4,554,950 | 4.58 | 7,793,500 | 7.54 | ||||||||||||
Mortgage Matched Advances | 653,908 | 0.66 | 693,559 | 0.67 | ||||||||||||
Overnight Line of Credit (OLOC) Advances | 853,244 | 0.86 | 2,039,423 | 1.97 | ||||||||||||
All other categories | 837,137 | 0.84 | 786,710 | 0.76 | ||||||||||||
Total par value | 99,388,365 | 100.00 | % | 103,379,727 | 100.00 | % | ||||||||||
Discount on AHP Advances | (310 | ) | (330 | ) | ||||||||||||
SFAS 133 hedging adjustments | 5,075,543 | 5,773,479 | ||||||||||||||
Total | $ | 104,463,598 | $ | 109,152,876 | ||||||||||||
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• | makes extensive use of the derivatives to restructure interest rates on fixed-rate advances, both putable or convertible and non-putable (“bullet”), to better match the FHLBNY’s cash flows, to enhance yields, and to manage risk from a changing 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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March 31, | December 31, | Dollar | Percentage | |||||||||||||
2009 | 2008 | Variance | Variance | |||||||||||||
State and local housing agency obligations1 | $ | 802,637 | $ | 804,100 | $ | (1,463 | ) | (0.18 | )% | |||||||
Mortgage-backed securities | ||||||||||||||||
Available-for-sale securities, at fair value | 2,632,144 | 2,851,682 | (219,538 | ) | (7.70 | ) | ||||||||||
Held-to-maturity securities, at amortized cost | 9,132,442 | 9,326,443 | (194,001 | ) | (2.08 | ) | ||||||||||
Total long-term securities | 12,567,223 | 12,982,225 | (415,002 | ) | (3.20 | ) | ||||||||||
Grantor trusts2 | 9,852 | 10,187 | (335 | ) | (3.29 | ) | ||||||||||
Certificates of deposit1 | 300,000 | 1,203,000 | (903,000 | ) | (75.06 | ) | ||||||||||
Federal funds sold | 500,000 | — | 500,000 | NA | ||||||||||||
Total investments | $ | 13,377,075 | $ | 14,195,412 | $ | (818,337 | ) | (5.76 | )% | |||||||
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 $8.6 billion in interest-earning balance at Federal Reserve Bank of New York at March 31, 2009 ($12.2 billion at December 31, 2008). |
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March 31, | Percentage | December 31, | Percentage | |||||||||||||
2009 | of total | 2008 | of total | |||||||||||||
U.S. government sponsored enterprise residentialmortgage-backed securities | $ | 7,532,841 | 82.48 | % | $ | 7,577,036 | 81.24 | % | ||||||||
U.S. agency residential mortgage-backed securities | 6,063 | 0.07 | 6,325 | 0.07 | ||||||||||||
U.S. agency commercial mortgage-backed securities | 50,000 | 0.55 | — | — | ||||||||||||
Private-label issued securities backed by home equity loans | 599,733 | 6.57 | 636,466 | 6.83 | ||||||||||||
Private-label issued residential mortgage-backed securities | 576,729 | 6.31 | 609,908 | 6.54 | ||||||||||||
Private-label issued commercial mortgage-backed securities | 143,631 | 1.57 | 266,994 | 2.86 | ||||||||||||
Private-label issued securities backed by manufactured housing loans | 223,445 | 2.45 | 229,714 | 2.46 | ||||||||||||
Total Held-to-maturity securities — MBS | $ | 9,132,442 | 100.00 | % | $ | 9,326,443 | 100.00 | % | ||||||||
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March 31, 2009 | ||||||||||||||||||||
Amortized | Gross | Gross | Total | |||||||||||||||||
Cost | Unrealized | Unrealized | Fair | OTTI | ||||||||||||||||
Basis | Holding Gains | Holding Losses | Value | in OCI | ||||||||||||||||
State and local housing agency bonds | $ | 802,637 | $ | 3,504 | $ | (74,369 | ) | $ | 731,772 | $ | — | |||||||||
Mortgage-backed securities | 9,132,442 | 251,107 | (331,196 | ) | 9,052,353 | (9,938 | ) | |||||||||||||
Certificates of deposit | 300,000 | 17 | — | 300,017 | — | |||||||||||||||
Total | $ | 10,235,079 | $ | 254,628 | $ | (405,565 | ) | $ | 10,084,142 | $ | (9,938 | ) | ||||||||
December 31, 2008 | ||||||||||||||||
Amortized | Gross | Gross | ||||||||||||||
Cost | Unrealized | Unrealized | Fair | |||||||||||||
Basis | Holding Gains | Holding Losses | Value | |||||||||||||
State and local housing agency bonds | $ | 804,100 | $ | 6,573 | $ | (47,512 | ) | $ | 763,161 | |||||||
Mortgage-backed securities | 9,326,443 | 187,531 | (342,662 | ) | 9,171,312 | |||||||||||
Certificates of deposit | 1,203,000 | 328 | — | 1,203,328 | ||||||||||||
Total | $ | 11,333,543 | $ | 194,432 | $ | (390,174 | ) | $ | 11,137,801 | |||||||
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March 31, 2009 | ||||||||||||||||||||||||
Below | ||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Grade | Total | |||||||||||||||||||
Long-term securities | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 8,478,436 | $ | 299,766 | $ | 179,617 | $ | 152,815 | $ | 21,808 | $ | 9,132,442 | ||||||||||||
State and local housing bonds | 74,637 | 671,780 | — | 56,220 | — | 802,637 | ||||||||||||||||||
Total Long-term securities | 8,553,073 | 971,546 | 179,617 | 209,035 | 21,808 | 9,935,079 | ||||||||||||||||||
Short-term securities | ||||||||||||||||||||||||
Certificates of deposit | — | — | 300,000 | — | — | 300,000 | ||||||||||||||||||
Total | $ | 8,553,073 | $ | 971,546 | $ | 479,617 | $ | 209,035 | $ | 21,808 | $ | 10,235,079 | ||||||||||||
December 31, 2008 | ||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Total | ||||||||||||||||
Long-term securities | ||||||||||||||||||||
Mortgage-backed securities | $ | 8,705,952 | $ | 229,714 | $ | 192,678 | $ | 198,099 | $ | 9,326,443 | ||||||||||
State and local housing bonds | 74,881 | 672,999 | — | 56,220 | 804,100 | |||||||||||||||
Total Long-term securities | 8,780,833 | 902,713 | 192,678 | 254,319 | 10,130,543 | |||||||||||||||
Short-term securities | ||||||||||||||||||||
Certificates of deposit | — | 628,000 | 575,000 | — | 1,203,000 | |||||||||||||||
Total | $ | 8,780,833 | $ | 1,530,713 | $ | 767,678 | $ | 254,319 | $ | 11,333,543 | ||||||||||
March 31, 2009 | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Unrated | Total | |||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 2,632,144 | $ | — | $ | — | $ | — | $ | — | $ | 2,632,144 | ||||||||||||
Other — Grantor trusts | — | — | — | — | 9,852 | 9,852 | ||||||||||||||||||
Total | $ | 2,632,144 | $ | — | $ | — | $ | — | $ | 9,852 | $ | 2,641,996 | ||||||||||||
December 31, 2008 | ||||||||||||||||||||||||
AAA-rated | AA-rated | A-rated | BBB-rated | Unrated | Total | |||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||||||
Mortgage-backed securities | $ | 2,851,682 | $ | — | $ | — | $ | — | $ | — | $ | 2,851,682 | ||||||||||||
Other — Grantor trusts | — | — | — | — | 10,187 | 10,187 | ||||||||||||||||||
Total | $ | 2,851,682 | $ | — | $ | — | $ | — | $ | 10,187 | $ | 2,861,869 | ||||||||||||
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March 31, 2009 | December 31, 2008 | |||||||||||||||
Amortized | Fair | Amortized | Fair | |||||||||||||
Cost Basis | Value | Cost Basis | Value | |||||||||||||
State and local housing agency obligations | ||||||||||||||||
Due in one year or less | $ | — | $ | — | $ | — | $ | — | ||||||||
Due after one year through five years | 17,665 | 17,808 | 17,665 | 18,209 | ||||||||||||
Due after five years through ten years | 60,400 | 54,210 | 60,400 | 55,060 | ||||||||||||
Due after ten years | 724,572 | 659,754 | 726,035 | 689,892 | ||||||||||||
State and local housing agency obligations | 802,637 | 731,772 | 804,100 | 763,161 | ||||||||||||
Mortgage-backed securities | ||||||||||||||||
Due in one year or less | 139,451 | 139,111 | 257,999 | 258,120 | ||||||||||||
Due after one year through five years | 3,504 | 3,244 | — | — | ||||||||||||
Due after five years through ten years | 1,149,921 | 1,173,405 | 1,142,000 | 1,149,541 | ||||||||||||
Due after ten years | 7,839,566 | 7,736,593 | 7,926,444 | 7,763,651 | ||||||||||||
Mortgage-backed securities | 9,132,442 | 9,052,353 | 9,326,443 | 9,171,312 | ||||||||||||
Certificates of deposit | ||||||||||||||||
Due in one year or less | 300,000 | 300,017 | 1,203,000 | 1,203,328 | ||||||||||||
Due after one year through five years | — | — | — | — | ||||||||||||
Due after five years through ten years | — | — | — | — | ||||||||||||
Due after ten years | — | — | — | — | ||||||||||||
Certificates of deposit | 300,000 | 300,017 | 1,203,000 | 1,203,328 | ||||||||||||
Total held-to-maturity securities | $ | 10,235,079 | $ | 10,084,142 | $ | 11,333,543 | $ | 11,137,801 | ||||||||
March 31, 2009 | December 31, 2008 | |||||||||||||||
Amortized | Weighted | Amortized | Weighted | |||||||||||||
Cost Basis | Average rate | Cost Basis | Average rate | |||||||||||||
Mortgage-backed securities | ||||||||||||||||
Due in one year or less | $ | 139,451 | 7.42 | % | $ | 257,999 | 7.39 | % | ||||||||
Due after one year through five years | 3,504 | 6.25 | — | — | ||||||||||||
Due after five years through ten years | 1,149,921 | 4.74 | 1,142,000 | 4.76 | ||||||||||||
Due after ten years | 10,501,627 | 3.28 | 10,839,086 | 4.24 | ||||||||||||
Total mortgage-backed securities | $ | 11,794,503 | 4.08 | % | $ | 12,239,085 | 4.36 | % | ||||||||
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March 31, 2009 | December 31, 2008 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | total | Amount | total | |||||||||||||
Real Estate: | ||||||||||||||||
Fixed medium-term single-family mortgages | $ | 451,675 | 31.61 | % | $ | 467,845 | 32.15 | % | ||||||||
Fixed long-term single-family mortgages | 973,362 | 68.11 | 983,493 | 67.58 | ||||||||||||
Multi-family mortgages | 3,984 | 0.28 | 4,009 | 0.27 | ||||||||||||
Total par value | 1,429,021 | 100.00 | % | 1,455,347 | 100.00 | % | ||||||||||
Unamortized premiums | 10,272 | 10,662 | ||||||||||||||
Unamortized discounts | (6,092 | ) | (6,310 | ) | ||||||||||||
Basis adjustment1 | (454 | ) | (408 | ) | ||||||||||||
Total mortgage loans held-for-portfolio | 1,432,747 | 1,459,291 | ||||||||||||||
Allowance for credit losses | (1,848 | ) | (1,406 | ) | ||||||||||||
Total mortgage loans held-for-portfolio after allowance for credit losses | $ | 1,430,899 | $ | 1,457,885 | ||||||||||||
1 | Represents fair value basis of open and closed delivery commitments. |
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• | In response to market demand for shorter-term debt, the Bank increased its issuance of discount notes which have maturities from overnight to 365 days. At March 31, 2009, discount notes outstanding were $48.7 billion, and funded 38.0% of the total assets at that date, compared to $46.3 billion at December 31, 2008, which funded 33.7% of Total assets. Discount notes outstanding in the current year first quarter averaged $46.1 billion, compared to an average of $29.0 billion in the prior year first quarter and an average of $28.3 billion in the 12 months ended December 31, 2008. In the current year first quarter, the FHLBNY issued $190.1 billion of discount notes up from $179.2 billion in the prior year first quarter. |
• | Floating-rate bonds outstanding at March 31, 2009 declined from the balances at December 31, 2008. Maturing bonds were not replaced because of unfavorable spreads compared to other GSE issued LIBOR indexed floaters. In 2008, the FHLBNY had issued short-term floating-rate bonds, indexed to rates other than 3-month LIBOR and swapping the coupons back to 3-month LIBOR. A significant percentage will mature in 2009. |
• | Reacting to investor preference for shorter and medium-term debt, the FHLBNY increased the issuance of medium-term non-callable bonds. Investors have been receptive to FHLBanks’ non-callable bonds compared to alternative debt available in the capital markets and execution pricing has been relatively more favorable for the FHLBank bonds. FHLBank callable-bonds, which have been traditionally considered by investors to be competitively priced, were under price pressure in 2008 and in the current year first quarter, 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 $2.5 billion at March 31, 2009, down from $4.8 billion at December 31, 2008. |
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March 31, 2009 | December 31, 2008 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | total | Amount | total | |||||||||||||
Fixed-rate, non-callable | $ | 35,423,875 | 51.73 | % | $ | 36,367,875 | 44.92 | % | ||||||||
Fixed-rate, callable | 2,538,300 | 3.71 | 4,828,300 | 5.96 | ||||||||||||
Step Up, callable | 73,000 | 0.11 | 73,000 | 0.09 | ||||||||||||
Step Down, callable | — | — | 15,000 | 0.02 | ||||||||||||
Single-index floating rate | 30,445,000 | 44.45 | 39,670,000 | 49.01 | ||||||||||||
Total par value | 68,480,175 | 100.00 | % | 80,954,175 | 100.00 | % | ||||||||||
Bond premiums | 55,406 | 63,737 | ||||||||||||||
Bond discounts | (37,981 | ) | (39,529 | ) | ||||||||||||
SFAS 133 fair value basis adjustments | 1,077,217 | 1,254,523 | ||||||||||||||
Fair value basis adjustments on terminated hedges | 6,882 | 7,857 | ||||||||||||||
SFAS 159 valuation adjustments and accrued interest | 377 | 15,942 | ||||||||||||||
Total bonds | $ | 69,582,076 | $ | 82,256,705 | ||||||||||||
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• | Makes extensive use of the derivatives to restructure interest rates on consolidated obligation bonds, both callable and non-callable, to better meet its members’ funding needs, to reduce funding costs, and to manage risk in a changing market environment. |
• | Converts at the time of issuance, certain simple fixed-rate bullet and callable bonds into synthetic floating-rate bonds by the simultaneous execution of interest rate swaps that convert the cash flows of the fixed-rate bonds to conventional adjustable rate instruments tied to an index, typically 3-month LIBOR. |
• | Uses derivatives to manage the risk arising from changing market prices and volatility of a fixed coupon bond by matching the cash flows of the bond to the cash flows of the derivative and making the FHLBNY indifferent to changes in market conditions. Except when issued to fund MBS and MPF loans, callable bonds are typically hedged by an offsetting derivative with a mirror-image call option with identical terms. |
• | Adjusts the reported carrying value of hedged consolidated bonds for changes in their fair value (“fair value basis adjustments” or “fair value”) that are attributable to the risk being hedged in accordance with hedge accounting rules. Amounts reported for consolidated obligation bonds in the Statements of Condition include fair value hedge basis adjustments. |
• | Lowers funding cost by the issuance of a callable bond and the execution of an associated interest rate swap with mirrored call options, which results in funding at a lower cost than the FHLBNY would otherwise have achieved. The 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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March 31, 2009 | December 31, 2008 | |||||||
Par value | $ | 48,779,633 | $ | 46,431,347 | ||||
Amortized cost | $ | 48,721,469 | $ | 46,329,545 | ||||
Fair value basis adjustments | 157 | 361 | ||||||
Total | $ | 48,721,626 | $ | 46,329,906 | ||||
Weighted average interest rate | 0.58 | % | 1.00 | % | ||||
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Three months ended March 31, | ||||||||
2009 | 2008 | |||||||
Beginning balance | $ | 143,121 | $ | 238,596 | ||||
Capital stock subject to mandatory redemption reclassified from equity | — | 58,344 | ||||||
Redemption of mandatorily redeemable capital stock1 | (3,160 | ) | (115,116 | ) | ||||
Ending balance | $ | 139,961 | $ | 181,824 | ||||
Accrued interest payable | $ | 1,058 | $ | 4,064 | ||||
1 | Redemption includes repayment of excess stock. (The annualized rate accrual is at 3.00% for March 31, 2009 and 8.40% for March 31, 2008) |
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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 | Economic Hedge of fair value risk | $ | 392 | ||||
advance to a LIBOR floating rate | ||||||||
Pay fixed, receive floating interest rate swap cancelable | To convert fixed rate on a fixed rate advance | Fair Value Hedge | $ | 41,740 | ||||
by counterparty | to a LIBOR floating rate putable advance | |||||||
Pay fixed, receive floating interest rate swap no longer | To convert fixed rate on a fixed rate advance | Fair Value Hedge | $ | 1,429 | ||||
cancelable by counterparty | to a LIBOR floating rate no-longer putable | |||||||
Pay fixed, receive floating interest rate swap | To convert fixed rate on a fixed rate advance | Fair Value Hedge | $ | 22,712 | ||||
non-cancelable | to a LIBOR floating rate non-putable | |||||||
Purchased interest rate cap | To offset the cap embedded in the | Economic Hedge of fair value risk | $ | 465 | ||||
variable rate advance | ||||||||
Receive fixed, pay floating interest rate swap | To convert fixed rate consolidated | Economic Hedge of fair value risk | $ | 3,400 | ||||
obligation bond debt to a LIBOR floating rate | ||||||||
Receive fixed, pay floating interest rate swap | To convert fixed rate consolidated obligation | Fair Value Hedge | $ | 1,507 | ||||
cancelable by counterparty | bond debt to a LIBOR floating rate callable bond | |||||||
Receive fixed, pay floating interest rate swap no | To convert fixed rate consolidated obligation | Fair Value Hedge | $ | 278 | ||||
longer cancelable | bond debt to a LIBOR floating rate no-longer callable | |||||||
Receive fixed, pay floating interest rate swap | To convert fixed rate consolidated obligation | Fair Value Hedge | $ | 20,030 | ||||
non-cancelable | bond debt to a LIBOR floating rate non-callable | |||||||
Receive fixed, pay floating interest rate swap | To convert the fixed rate consolidated | Economic Hedge of fair value risk | $ | 13,063 | ||||
(non-callable) | obligation discount note debt to a LIBOR floating rate. | |||||||
Basis swap | To convert non-LIBOR index to LIBOR | Economic Hedge of cash flows | $ | 8,635 | ||||
to reduce interest rate sensitivity and | ||||||||
repricing gaps. | ||||||||
Basis swap | To convert 1M LIBOR index to 3M LIBOR | Economic Hedge of cash flows | $ | 10,590 | ||||
to reduce interest rate sensitivity and | ||||||||
repricing gaps. | ||||||||
Receive fixed, pay floating interest rate swap with | Fixed rate callable bond converted | SFAS 159 | $ | 25 | ||||
an option to call at the swap counterparty’s option | to a LIBOR floating rate; matched to | |||||||
callable bond accounted for under | ||||||||
the fair value option of SFAS 159. | ||||||||
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 | To offset interest rate swaps and caps | Economic Hedge of fair value risk | $ | 280 | ||||
Interest rate swaps | executed with members by executing | |||||||
Interest rate caps | offsetting derivatives with counterparties. |
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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 | Economic Hedge of fair value risk | $ | 618 | ||||
advance to a LIBOR floating rate | Fair Value Hedge | $ | 61,673 | |||||
Purchased interest rate cap | To offset the cap embedded in the | Economic Hedge of fair value risk | $ | 465 | ||||
variable rate advance | ||||||||
Receive fixed, pay floating interest rate swap | To convert the fixed rate consolidated | Economic Hedge of fair value risk | $ | 4,500 | ||||
(non-callable) | obligation bond debt to a LIBOR floating rate | Fair Value Hedge | $ | 19,982 | ||||
Receive fixed, pay floating interest rate swap | To convert the fixed rate consolidated | Economic Hedge of fair value risk | $ | 15 | ||||
with an option to call held by the counterparty | obligation bond debt to a LIBOR floating rate; | Fair Value Hedge | $ | 2,148 | ||||
swap is callable on the same day as | ||||||||
the consolidated obligation bond debt. | ||||||||
Receive fixed, pay floating interest rate swap | To convert the fixed rate consolidated | Economic Hedge of fair value risk | $ | 7,509 | ||||
(non-callable) | obligation discount note debt to a LIBOR floating rate. | Fair Value Hedge | $ | 779 | ||||
Basis swap | To convert non-LIBOR index to LIBOR | Economic Hedge of cash flows | $ | 14,360 | ||||
to reduce interest rate sensitivity and | ||||||||
repricing gaps. | ||||||||
Basis swap | To convert 1M LIBOR index to 3M LIBOR | Economic Hedge of cash flows | $ | 10,590 | ||||
to reduce interest rate sensitivity and | ||||||||
repricing gaps. | ||||||||
Receive fixed, pay floating interest rate swap | Fixed rate callable bond converted | SFAS 159 | $ | 983 | ||||
with an option to call at the swap counterparty’s | to a LIBOR floating rate; matched to | |||||||
option | callable bond accounted for under | |||||||
the fair value option of SFAS 159. | ||||||||
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 | To offset interest rate swaps and caps | Economic Hedge of fair value risk | $ | 300 | ||||
Interest rate swaps | executed with members by executing | |||||||
Interest rate caps | offsetting derivatives with counterparties. |
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March 31, 2009 | December 31, 2008 | |||||||||||||||
Estimated | Estimated | |||||||||||||||
Notional | Fair Value | Notional | Fair Value | |||||||||||||
Interest rate swaps | ||||||||||||||||
Fair value — SFAS 133 | $ | 87,696,111 | $ | (4,012,802 | ) | $ | 84,582,796 | $ | (4,531,004 | ) | ||||||
Economic | 38,179,569 | (36,802 | ) | 39,691,142 | (76,412 | ) | ||||||||||
Fair value matched to hedge liabilities designated under SFAS 159 | 25,000 | 15 | 983,000 | 7,699 | ||||||||||||
Interest rate caps/floors | ||||||||||||||||
Economic-fair value changes | 2,357,000 | 9,820 | 2,357,000 | 8,174 | ||||||||||||
Mortgage delivery commitments (MPF) | ||||||||||||||||
Economic-fair value changes | 3,739 | 2 | 10,395 | (108 | ) | |||||||||||
Other | ||||||||||||||||
Intermediation | 280,000 | 331 | 300,000 | 484 | ||||||||||||
Total | $ | 128,541,419 | $ | (4,039,436 | ) | $ | 127,924,333 | $ | (4,591,167 | ) | ||||||
Total derivatives, excluding accrued interest | $ | (4,039,436 | ) | $ | (4,591,167 | ) | ||||||||||
Cash collateral pledged to counteparties | 3,071,120 | 3,836,370 | ||||||||||||||
Cash collateral received from counterparties | (88,321 | ) | (61,209 | ) | ||||||||||||
Accrued interest | 36,329 | (25,418 | ) | |||||||||||||
Net derivative balance | $ | (1,020,308 | ) | $ | (841,424 | ) | ||||||||||
Net derivative asset balance | $ | 11,463 | $ | 20,236 | ||||||||||||
Net derivative liability balance | (1,031,771 | ) | (861,660 | ) | ||||||||||||
Net derivative balance | $ | (1,020,308 | ) | $ | (841,424 | ) | ||||||||||
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March 31, 2009 | December 31, 2008 | |||||||||||||||
Total estimated | Total estimated | |||||||||||||||
fair value | fair value | |||||||||||||||
(excluding | (excluding | |||||||||||||||
Total notional | accrued | Total notional | accrued | |||||||||||||
amount | interest) | amount | interest) | |||||||||||||
Fair value hedges under SFAS 133 | ||||||||||||||||
Advances-fair value hedges | $ | 65,880,831 | $ | (5,076,005 | ) | $ | 61,673,607 | $ | (5,758,653 | ) | ||||||
Consolidated obligations-fair value hedges | 21,815,280 | 1,063,203 | 22,909,189 | 1,227,649 | ||||||||||||
Economic hedges | ||||||||||||||||
Advances-economic hedges | 857,200 | (16,371 | ) | 1,082,700 | (24,520 | ) | ||||||||||
Consolidated obligations-economic hedges | 35,687,369 | (14,754 | ) | 36,973,442 | (45,884 | ) | ||||||||||
MPF loan-commitments | 3,739 | 2 | 10,395 | (108 | ) | |||||||||||
Balance sheet (Caps)-economic hedges | 1,892,000 | 9,814 | 1,892,000 | 8,164 | ||||||||||||
Intermediary positions-economic hedges | 280,000 | 331 | 300,000 | 484 | ||||||||||||
Macro hedges | 2,100,000 | (5,671 | ) | 2,100,000 | (5,998 | ) | ||||||||||
FVO-Designated derivatives (Economic hedges) | ||||||||||||||||
Interest rate swaps-Consolidated Obligation-Bonds | 25,000 | 15 | 983,000 | 7,699 | ||||||||||||
Total notional and fair value | $ | 128,541,419 | $ | (4,039,436 | ) | $ | 127,924,333 | $ | (4,591,167 | ) | ||||||
Total derivatives, excluding accrued interest | $ | (4,039,436 | ) | $ | (4,591,167 | ) | ||||||||||
Cash collateral pledged to counterparties | 3,071,120 | 3,836,370 | ||||||||||||||
Cash collateral received from counterparties | (88,321 | ) | (61,209 | ) | ||||||||||||
Accrued interest | 36,329 | (25,418 | ) | |||||||||||||
Net derivative balance | $ | (1,020,308 | ) | $ | (841,424 | ) | ||||||||||
Net derivative asset balance | $ | 11,463 | $ | 20,236 | ||||||||||||
Net derivative liability balance | (1,031,771 | ) | (861,660 | ) | ||||||||||||
Net derivative balance | $ | (1,020,308 | ) | $ | (841,424 | ) | ||||||||||
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March 31, | December 31, | |||||||||||||||||||||||
2009 | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||||||
Advances | $ | 104,463,598 | $ | 109,152,876 | $ | 82,089,667 | $ | 59,012,394 | $ | 61,901,534 | $ | 68,507,487 | ||||||||||||
Mortgage loans before allowance for credit losses | $ | 1,432,747 | $ | 1,459,291 | $ | 1,492,261 | $ | 1,484,012 | $ | 1,467,525 | $ | 1,178,590 | ||||||||||||
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March 31, 2009 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | Interest | ||||||||||||||
City | State | Advances | of Advances | Income | ||||||||||||
Hudson City Savings Bank1 | Paramus | NJ | $ | 17,575,000 | 17.7 | % | $ | 176,070 | ||||||||
Metropolitan Life Insurance Company | New York | NY | 15,105,000 | 15.2 | 103,306 | |||||||||||
New York Community Bank1 | Westbury | NY | 8,143,214 | 8.2 | 77,380 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 7,479,282 | 7.5 | 36,499 | |||||||||||
Prudential Insurance Co. of America | Newark | NJ | 4,500,000 | 4.5 | 24,618 | |||||||||||
Total | $ | 52,802,496 | 53.1 | % | $ | 417,873 | ||||||||||
1 | Officer of member bank also serves on the Board of Directors of the FHLBNY. |
March 31, 2008 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | Interest | ||||||||||||||
City | State | Advances | of Advances | Income | ||||||||||||
Hudson City Savings Bank | Paramus | NJ | $ | 15,275,000 | 18.4 | % | $ | 159,048 | ||||||||
New York Community Bank | Westbury | NY | 8,088,623 | 9.8 | 91,160 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 6,430,522 | 7.8 | 68,568 | |||||||||||
Metropolitan Life Insurance Company | New York | NY | 5,405,000 | 6.5 | 54,569 | |||||||||||
HSBC Bank USA, National Association | New York | NY | 4,008,445 | 4.8 | 52,707 | |||||||||||
Total | $ | 39,207,590 | 47.3 | % | $ | 426,052 | ||||||||||
December 31, 2008 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | Interest | ||||||||||||||
City | State | Advances | of Advances | Income | ||||||||||||
Hudson City Savings Bank | Paramus | NJ | $ | 17,525,000 | 17.0 | % | $ | 671,146 | ||||||||
Metropolitan Life Insurance Company | New York | NY | 15,105,000 | 14.6 | 260,420 | |||||||||||
Manufacturers and Traders Trust Company | Buffalo | NY | 7,999,689 | 7.7 | 257,649 | |||||||||||
New York Community Bank | Westbury | NY | 7,796,517 | 7.5 | 337,019 | |||||||||||
Astoria Federal Savings and Loan Assn. | Long Island City | NY | 3,738,000 | 3.6 | 151,066 | |||||||||||
Total | $ | 52,164,206 | 50.4 | % | $ | 1,677,300 | ||||||||||
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Ultimate | Member of | Advances | ||||||
Former Member | Acquiree Bank | FHLB | as of March 31, 2009 | |||||
Citizens Bank, National Association | RBS Citizens, National Association | Boston | $ | 1,500,000 | ||||
Independence Community Bank | Sovereign Bank | Pittsburgh | 510,000 | |||||
The Yardville National Bank | PNC Bank, N.A. | Pittsburgh | 223,000 | |||||
Summit Bank | Bank of America, N.A. | Atlanta | 210,573 | |||||
Susquehanna Patriot Bank | Susquehanna Bank | Pittsburgh | 100,000 | |||||
Others | Various | Various | 88,877 | |||||
Total | $ | 2,632,450 | ||||||
Ultimate | Member of | Advances | ||||||
Former Member | Acquiree Bank | FHLB | as of December 31, 2008 | |||||
Citizens Bank, National Association | RBS Citizens, National Association | Boston | $ | 1,500,000 | ||||
Independence Community Bank | Sovereign Bank | Pittsburgh | 575,000 | |||||
The Yardville National Bank | PNC Bank, N.A. | Pittsburgh | 223,000 | |||||
Summit Bank | Bank of America, N.A. | Atlanta | 215,516 | |||||
Susquehanna Patriot Bank | Susquehanna Bank | Pittsburgh | 100,000 | |||||
Others | Various | Various | 89,154 | |||||
Total | $ | 2,702,670 | ||||||
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March 31, | December 31, | Dollar | Percentage | |||||||||||||
2009 | 2008 | Variance | Variance | |||||||||||||
State and local housing agency obligations1 | $ | 802,637 | $ | 804,100 | $ | (1,463 | ) | (0.18 | )% | |||||||
Mortgage-backed securities | ||||||||||||||||
Available-for-sale securities, at fair value | 2,632,144 | 2,851,682 | (219,538 | ) | (7.70 | ) | ||||||||||
Held-to-maturity securities, at amortized cost | 9,132,442 | 9,326,443 | (194,001 | ) | (2.08 | ) | ||||||||||
Total long-term securities | 12,567,223 | 12,982,225 | (415,002 | ) | (3.20 | ) | ||||||||||
Grantor trusts2 | 9,852 | 10,187 | (335 | ) | (3.29 | ) | ||||||||||
Certificates of deposit1 | 300,000 | 1,203,000 | (903,000 | ) | (75.06 | ) | ||||||||||
Federal funds sold | 500,000 | — | 500,000 | NA | ||||||||||||
Total investments | $ | 13,377,075 | $ | 14,195,412 | $ | (818,337 | ) | (5.76 | )% | |||||||
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 $8.6 billion in interest-earning balance at Federal Reserve Bank of New York at March 31, 2009 ($12.2 billion at December 31, 2008). |
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• | State and local housing finance agency bonds— At March 31, 2009 the percentage of state and housing finance agency bonds that were rated triple-A was 9.3%. Double-A rated securities were $671.8 million, or 83.7%. The remaining securities were rated triple-B. At December 31, 2008 the percentage of state and housing finance agency bonds that were rated triple-A was 9.3%. Double-A rated securities were $673.0 million, or 83.7%. The remaining securities were rated triple-B. | |
• | Short-term instruments— Substantially all short-term investments in certificates of deposits were to financial institutions that were rated single — A, or better at March 31, 2009 and December 31, 2008. |
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NRSRO Ratings- March 31, 2009 | ||||||||||||||||||||||||
Amortized | Below | |||||||||||||||||||||||
Cost | Investment | |||||||||||||||||||||||
Issued, guaranteed or insured by: | Basis | AAA | AA | A | BBB | Grade | ||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||
Fannie Mae | $ | 1,344,738 | $ | 1,344,738 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Freddie Mac | 405,368 | 405,368 | — | — | — | — | ||||||||||||||||||
Total pools of mortgages | 1,750,106 | 1,750,106 | — | — | — | — | ||||||||||||||||||
Collateralized Mortgage Obligations/RealEstate Mortgage Investment Conduits | ||||||||||||||||||||||||
Fannie Mae | 2,222,312 | 2,222,312 | — | — | — | — | ||||||||||||||||||
Freddie Mac | 3,560,423 | 3,560,423 | — | — | — | — | ||||||||||||||||||
Ginnie Mae | 6,063 | 6,063 | — | — | — | — | ||||||||||||||||||
Total CMOs/REMICs | 5,788,798 | 5,788,798 | — | — | — | — | ||||||||||||||||||
Ginnie Mae-CMBS | 50,000 | 50,000 | — | — | — | — | ||||||||||||||||||
Non-GSE MBS | ||||||||||||||||||||||||
CMOs/REMICs | 576,729 | 483,727 | — | 57,511 | 35,491 | — | ||||||||||||||||||
Commercial mortgage-backed securities | 143,631 | 143,631 | — | — | — | — | ||||||||||||||||||
Total non-federal-agency MBS | 720,360 | 627,358 | — | 57,511 | 35,491 | — | ||||||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||||||
Manufactured housing (insured) | 223,445 | — | 223,445 | — | — | — | ||||||||||||||||||
Home equity loans (insured) | 349,370 | 11,811 | 76,321 | 122,106 | 117,324 | 21,808 | ||||||||||||||||||
Home equity loans (uninsured) | 250,363 | 250,363 | — | — | — | — | ||||||||||||||||||
Total asset-backed securities | 823,178 | 262,174 | 299,766 | 122,106 | 117,324 | 21,808 | ||||||||||||||||||
Total mortgage-backed securities | $ | 9,132,442 | $ | 8,478,436 | $ | 299,766 | $ | 179,617 | $ | 152,815 | $ | 21,808 | ||||||||||||
Other | ||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 802,637 | $ | 74,637 | $ | 671,780 | $ | — | $ | 56,220 | $ | — | ||||||||||||
Certificates of deposit | 300,000 | — | — | 300,000 | — | — | ||||||||||||||||||
Total other | $ | 1,102,637 | $ | 74,637 | $ | 671,780 | $ | 300,000 | $ | 56,220 | $ | — | ||||||||||||
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Amortized | NRSRO Ratings - December 31, 2008 | |||||||||||||||||||
Issued, guaranteed or insured by: | Cost Basis | 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/RealEstate Mortgage Investment Conduits | ||||||||||||||||||||
Fannie Mae | 2,032,050 | 2,032,050 | — | — | — | |||||||||||||||
Freddie Mac | 3,722,840 | 3,722,840 | — | — | — | |||||||||||||||
Ginnie Mae | 6,325 | 6,325 | — | — | — | |||||||||||||||
Total CMOs/REMICs | 5,761,215 | 5,761,215 | — | — | — | |||||||||||||||
Non-GSE MBS | ||||||||||||||||||||
CMOs/REMICs | 609,908 | 509,056 | — | 62,401 | 38,451 | |||||||||||||||
Commercial mortgage-backed securities | 266,994 | 266,994 | — | — | — | |||||||||||||||
Total non-federal-agency MBS | 876,902 | 776,050 | — | 62,401 | 38,451 | |||||||||||||||
Asset-Backed Securities | ||||||||||||||||||||
Manufactured housing (insured) | 229,714 | — | 229,714 | — | — | |||||||||||||||
Home equity loans (insured) | 376,587 | 86,662 | — | 130,277 | 159,648 | |||||||||||||||
Home equity loans (uninsured) | 259,879 | 259,879 | — | — | — | |||||||||||||||
Total asset-backed securities | 866,180 | 346,541 | 229,714 | 130,277 | 159,648 | |||||||||||||||
Total mortgage-backed securities | $ | 9,326,443 | $ | 8,705,952 | $ | 229,714 | $ | 192,678 | $ | 198,099 | ||||||||||
Other | ||||||||||||||||||||
State and local housing finance agency obligations | $ | 804,100 | $ | 74,881 | $ | 672,999 | $ | — | $ | 56,220 | ||||||||||
Certificates of deposit | 1,203,000 | — | 628,000 | 575,000 | — | |||||||||||||||
Total other | $ | 2,007,100 | $ | 74,881 | $ | 1,300,999 | $ | 575,000 | $ | 56,220 | ||||||||||
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NRSRO Ratings - March 31, 2009 | ||||||||||||||||
Issued, guaranteed or insured by: | Fair Value | AAA | AA | A | ||||||||||||
Pools of Mortgages | ||||||||||||||||
Fannie Mae | $ | — | $ | — | $ | — | $ | — | ||||||||
Freddie Mac | — | — | — | — | ||||||||||||
Total pools of mortgages | — | — | — | — | ||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||
Fannie Mae | 1,808,937 | 1,808,937 | — | — | ||||||||||||
Freddie Mac | 823,207 | 823,207 | — | — | ||||||||||||
Ginnie Mae | — | — | — | — | ||||||||||||
Total CMOs/REMICs | 2,632,144 | 2,632,144 | — | — | ||||||||||||
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 | $ | 2,632,144 | $ | 2,632,144 | $ | — | $ | — | ||||||||
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NRSRO Ratings - December 31, 2008 | ||||||||||||||||
Issued, guaranteed or insured by: | Fair Value | AAA | AA | A | ||||||||||||
Pools of Mortgages | ||||||||||||||||
Fannie Mae | $ | — | $ | — | $ | — | $ | — | ||||||||
Freddie Mac | — | — | — | — | ||||||||||||
Total pools of mortgages | — | — | — | — | ||||||||||||
Collateralized Mortgage Obligations/RealEstate Mortgage Investment Conduits | ||||||||||||||||
Fannie Mae | 1,854,988 | 1,854,988 | — | — | ||||||||||||
Freddie Mac | 996,694 | 996,694 | — | — | ||||||||||||
Ginnie Mae | — | — | — | — | ||||||||||||
Total CMOs/REMICs | 2,851,682 | 2,851,682 | — | — | ||||||||||||
Non-GSE MBS | ||||||||||||||||
CMOs/REMICs | — | — | — | — | ||||||||||||
Commercial mortgage-backed securities | — | — | — | — | ||||||||||||
Total non-federal-agency MBS | — | — | — | — | ||||||||||||
Asset-Backed Securities | ||||||||||||||||
Manufactured housing (insured) | — | — | — | — | ||||||||||||
Home equity loans (insured) | — | — | — | — | ||||||||||||
Home equity loans (uninsured) | — | — | — | — | ||||||||||||
Total asset-backed securities | — | — | — | — | ||||||||||||
Total mortgage-backed securities | $ | 2,851,682 | $ | 2,851,682 | $ | — | $ | — | ||||||||
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March 31, | Percentage | December 31, | Percentage | |||||||||||||
2009 | of total | 2008 | of total | |||||||||||||
U.S. government sponsored enterprise residentialmortgage-backed securities | $ | 7,532,841 | 82.48 | % | $ | 7,577,036 | 81.24 | % | ||||||||
U.S. agency residential mortgage-backed securities | 6,063 | 0.07 | 6,325 | 0.07 | ||||||||||||
U.S. agency commercial mortgage-backed securities | 50,000 | 0.55 | — | — | ||||||||||||
Private-label issued securities backed by home equity loans | 599,733 | 6.57 | 636,466 | 6.83 | ||||||||||||
Private-label issued residential mortgage-backed securities | 576,729 | 6.31 | 609,908 | 6.54 | ||||||||||||
Private-label issued commercial mortgage-backed securities | 143,631 | 1.57 | 266,994 | 2.86 | ||||||||||||
Private-label issued securities backed by manufactured housing loans | 223,445 | 2.45 | 229,714 | 2.46 | ||||||||||||
Total Held-to-maturity securities — MBS | $ | 9,132,442 | 100.00 | % | $ | 9,326,443 | 100.00 | % | ||||||||
March 31, 2009 | December 31, 2008 | |||||||||||||||||||||||
Variable | Variable | |||||||||||||||||||||||
Private-label MBS | Fixed Rate | Rate | Total | Fixed Rate | Rate | Total | ||||||||||||||||||
Private-label RMBS | ||||||||||||||||||||||||
Prime | $ | 563,881 | $ | 4,773 | $ | 568,654 | $ | 596,430 | $ | 4,811 | $ | 601,241 | ||||||||||||
Alt-A | 8,494 | 4,033 | 12,527 | 9,129 | 4,177 | 13,306 | ||||||||||||||||||
Total PL RMBS | 572,375 | 8,806 | 581,181 | 605,559 | 8,988 | 614,547 | ||||||||||||||||||
Private-label CMBS | ||||||||||||||||||||||||
Prime | 143,497 | — | 143,497 | 266,860 | — | 266,860 | ||||||||||||||||||
Total PL CMBS | 143,497 | — | 143,497 | 266,860 | — | 266,860 | ||||||||||||||||||
Home Equity Loans | ||||||||||||||||||||||||
Subprime | 488,799 | 126,359 | 615,158 | 504,565 | 132,135 | 636,700 | ||||||||||||||||||
Total Home Equity Loans | 488,799 | 126,359 | 615,158 | 504,565 | 132,135 | 636,700 | ||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||
Subprime | 223,469 | — | 223,469 | 229,738 | — | 229,738 | ||||||||||||||||||
Total Manufactured Housing Loans | 223,469 | — | 223,469 | 229,738 | — | 229,738 | ||||||||||||||||||
Total UPB of private-label MBS | $ | 1,428,140 | $ | 135,165 | $ | 1,563,305 | $ | 1,606,722 | $ | 141,123 | $ | 1,747,845 | ||||||||||||
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AMBAC | MBIA | Uninsured | ||||||||||||||||||||||||||||||
Amortized | Fair | Amortized | Fair | Amortized | Fair | Gross | ||||||||||||||||||||||||||
Ratings | Count | Cost Basis | Value | Cost Basis | Value | Cost Basis | Value | Losses | ||||||||||||||||||||||||
AAA | 6 | $ | — | $ | — | $ | — | $ | — | $ | 117,561 | $ | 63,078 | $ | (54,483 | ) | ||||||||||||||||
AA | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
A | 3 | 87,099 | 46,833 | — | — | — | — | (40,266 | ) | |||||||||||||||||||||||
BBB | 8 | 108,065 | 63,380 | — | — | — | — | (44,685 | ) | |||||||||||||||||||||||
BB | 1 | — | — | 13,752 | 8,273 | — | — | (5,479 | ) | |||||||||||||||||||||||
B | 1 | — | — | 23,259 | 13,535 | — | — | (9,724 | ) | |||||||||||||||||||||||
Total | 19 | $ | 195,164 | $ | 110,213 | $ | 37,011 | $ | 21,808 | $ | 117,561 | $ | 63,078 | $ | (154,637 | ) | ||||||||||||||||
Insurer MBIA | OTTI | Gross Losses | ||||||||||||||||||||||||||
Amortized | Fair | Credit | Non-credit | Less than | More than | |||||||||||||||||||||||
Ratings | Count | Cost Basis | Value | Loss | Loss | 12 months | 12 months | |||||||||||||||||||||
BB | 1 | $ | 13,752 | $ | 8,273 | $ | (1,926 | ) | $ | (3,553 | ) | $ | — | $ | (5,479 | ) | ||||||||||||
B | 1 | 23,259 | 13,535 | (3,339 | ) | (6,385 | ) | — | (9,724 | ) | ||||||||||||||||||
Total | 2 | $ | 37,011 | $ | 21,808 | $ | (5,265 | ) | $ | (9,938 | ) | $ | — | $ | (15,203 | ) | ||||||||||||
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March 31, 2009 | December 31, 2008 | |||||||||||||||||||||||
% of | % of | |||||||||||||||||||||||
By Year of Securitization | Fair Value | UPB | UPB | Fair Value | UPB | UPB | ||||||||||||||||||
RMBS | ||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||
2006 | $ | 82,254 | $ | 93,928 | 87.57 | % | $ | 80,308 | $ | 101,843 | 78.85 | % | ||||||||||||
2005 | 98,096 | 104,449 | 93.92 | 102,839 | 110,334 | 93.21 | ||||||||||||||||||
2004 and earlier | 356,477 | 370,277 | 96.27 | 372,406 | 389,064 | 95.72 | ||||||||||||||||||
Total of RMBS Prime | 536,827 | 568,654 | 94.40 | 555,553 | 601,241 | 92.40 | ||||||||||||||||||
Alt-A | ||||||||||||||||||||||||
2004 and earlier | 10,251 | 12,527 | 81.83 | 11,648 | 13,306 | 87.54 | ||||||||||||||||||
Total of RMBS | 547,078 | 581,181 | 94.13 | 567,201 | 614,547 | 92.30 | ||||||||||||||||||
CMBS | ||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||
2004 and earlier | 143,248 | 143,497 | 99.83 | 267,016 | 266,860 | 100.06 | ||||||||||||||||||
HEL | ||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
2004 and earlier | 372,025 | 615,158 | 60.48 | 412,397 | 636,700 | 64.77 | ||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
2004 and earlier | 150,724 | 223,469 | 67.45 | 154,296 | 229,738 | 67.16 | ||||||||||||||||||
Total of all Private-label MBS | $ | 1,213,075 | $ | 1,563,305 | 77.60 | % | $ | 1,400,910 | $ | 1,747,845 | 80.15 | % | ||||||||||||
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March 31, 2009 | ||||||||||||||||||||||||||||||||||||||||
Unpaid Principal Balance | ||||||||||||||||||||||||||||||||||||||||
Below | Gross | |||||||||||||||||||||||||||||||||||||||
Ratings | Investment | Amortized | Unrealized | Total OTTI | ||||||||||||||||||||||||||||||||||||
Private-label MBS | Subtotal | Triple-A | Double-A | Single-A | Triple-B | Grade | Cost | (Losses) | Fair Value | Losses | ||||||||||||||||||||||||||||||
RMBS | ||||||||||||||||||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||||||||||||||||||
2006 | $ | 93,928 | $ | — | $ | — | $ | 58,047 | $ | 35,881 | $ | — | $ | 93,002 | $ | (10,747 | ) | $ | 82,254 | $ | — | |||||||||||||||||||
2005 | 104,449 | 104,449 | — | — | — | — | 102,437 | (4,341 | ) | 98,096 | — | |||||||||||||||||||||||||||||
2004 and earlier | 370,277 | 370,277 | — | — | — | — | 368,760 | (12,283 | ) | 356,477 | — | |||||||||||||||||||||||||||||
Total RMBS Prime | 568,654 | 474,726 | — | 58,047 | 35,881 | — | 564,199 | (27,371 | ) | 536,827 | — | |||||||||||||||||||||||||||||
Alt-A | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 12,527 | 12,527 | — | — | — | — | 12,530 | (2,279 | ) | 10,251 | — | |||||||||||||||||||||||||||||
Total RMBS | 581,181 | 487,253 | — | 58,047 | 35,881 | — | 576,729 | (29,650 | ) | 547,078 | — | |||||||||||||||||||||||||||||
�� | ||||||||||||||||||||||||||||||||||||||||
CMBS | ||||||||||||||||||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 143,497 | 143,497 | — | — | — | — | 143,631 | (383 | ) | 143,248 | — | |||||||||||||||||||||||||||||
HEL | ||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 615,158 | 262,248 | 76,333 | 122,228 | 117,334 | 37,015 | 599,733 | (237,647 | ) | 372,025 | (15,203 | ) | ||||||||||||||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||||||||||||||||||
2004 and earlier | 223,469 | — | 223,469 | — | — | — | 223,445 | (72,722 | ) | 150,724 | — | |||||||||||||||||||||||||||||
Total PLMBS | $ | 1,563,305 | $ | 892,998 | $ | 299,802 | $ | 180,275 | $ | 153,215 | $ | 37,015 | $ | 1,543,538 | $ | (340,402 | ) | $ | 1,213,075 | $ | (15,203 | ) | ||||||||||||||||||
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December 31, 2008 | ||||||||||||||||||||||||||||||||
Unpaid Principal Balance | Gross | |||||||||||||||||||||||||||||||
Ratings | Amortized | Unrealized | ||||||||||||||||||||||||||||||
Private-label MBS | Subtotal | Triple-A | Double-A | Single-A | Triple-B | Cost | (Losses) | Fair Value | ||||||||||||||||||||||||
RMBS | ||||||||||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||||||||||
2006 | $ | 101,843 | $ | — | $ | — | $ | 62,968 | $ | 38,874 | $ | 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 PLMBS | $ | 1,747,845 | $ | 1,126,195 | $ | 229,738 | $ | 193,372 | $ | 198,539 | $ | 1,743,080 | $ | (342,320 | ) | $ | 1,400,910 | |||||||||||||||
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March 31, 2009 | ||||||||||||||||
Original | ||||||||||||||||
Weighted- | Weighted- | Weighted- | Weighted-Average | |||||||||||||
Average Market | Average Credit | Average Credit | Collateral | |||||||||||||
Private-label MBS | Price1 | Support % | Support % | Delinquency % | ||||||||||||
RMBS | ||||||||||||||||
Prime | ||||||||||||||||
2006 | $ | 87.57 | 3.71 | % | 4.69 | % | 0.93 | % | ||||||||
2005 | 93.92 | 2.67 | 3.35 | 1.27 | ||||||||||||
2004 and earlier | 96.27 | 1.56 | 2.51 | 0.38 | ||||||||||||
Total RMBS Prime | 94.40 | 2.12 | 3.02 | 0.63 | ||||||||||||
Alt-A | ||||||||||||||||
2004 and earlier | 81.83 | 10.38 | 31.81 | 7.97 | ||||||||||||
Total RMBS | 94.13 | 2.30 | 3.64 | 0.79 | ||||||||||||
CMBS | ||||||||||||||||
Prime | ||||||||||||||||
2004 and earlier | 99.83 | 26.59 | 48.33 | — | ||||||||||||
HEL | ||||||||||||||||
Subprime | ||||||||||||||||
2004 and earlier | 60.48 | 58.27 | 65.84 | 14.65 | ||||||||||||
Manufactured Housing Loans | ||||||||||||||||
Subprime | ||||||||||||||||
2004 and earlier | 67.45 | 58.23 | 56.06 | 3.64 | ||||||||||||
Total Private-label MBS | $ | 77.60 | 34.55 | % | 39.71 | % | 6.58 | % | ||||||||
1 | Represents weighted-average market price based on par equaling $100.00. Combined weighted-average collateral delinquency rates will be calculated based on UPB amount. |
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December 31, 2008 | ||||||||||||||||
Original | ||||||||||||||||
Weighted- | Weighted- | Weighted- | Weighted-Average | |||||||||||||
Average Market | Average Credit | Average Credit | Collateral | |||||||||||||
Private-label MBS | Price1 | Support % | Support % | Delinquency % | ||||||||||||
RMBS | ||||||||||||||||
Prime | ||||||||||||||||
2006 | $ | 78.85 | 3.71 | % | 4.56 | % | 0.86 | % | ||||||||
2005 | 93.21 | 2.68 | 3.26 | 1.00 | ||||||||||||
2004 | 95.03 | 2.05 | 2.86 | 0.40 | ||||||||||||
2003 and earlier | 96.24 | 1.21 | 2.17 | 0.27 | ||||||||||||
Total RMBS Prime | 92.40 | 2.14 | 2.97 | 0.54 | ||||||||||||
Alt-A | ||||||||||||||||
2003 and earlier | 87.54 | 10.22 | 31.60 | 10.56 | ||||||||||||
Total RMBS | 92.30 | 2.31 | 3.59 | 0.76 | ||||||||||||
CMBS | ||||||||||||||||
Prime | ||||||||||||||||
2003 and earlier | 100.06 | 26.69 | 38.73 | — | ||||||||||||
HEL | ||||||||||||||||
Subprime | ||||||||||||||||
2003 and earlier | 64.77 | 58.31 | 65.66 | 12.53 | ||||||||||||
Manufactured Housing Loans | ||||||||||||||||
Subprime | ||||||||||||||||
2003 and earlier | 67.16 | 58.26 | 55.99 | 1.88 | ||||||||||||
Total Private-label MBS | $ | 80.15 | 33.79 | % | 38.45 | % | 5.08 | % | ||||||||
1 | Represents weighted-average market price based on par equaling $100.00. Combined weighted-average collateral delinquency rates will be calculated based on UPB amount. |
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March 31, 2009 | December 31, 2008 | |||||||||||||||||||||||
Gross | Weighted- Average | Gross | Weighted- Average | |||||||||||||||||||||
Amortized | Unrealized | Collateral | Amortized | Unrealized | Collateral | |||||||||||||||||||
Private-label MBS | Cost | (Losses) | Delinquency %1 | Amortized Cost | (Losses) | Delinquency %1 | ||||||||||||||||||
RMBS | ||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||
Rated Triple A | $ | 471,197 | $ | (16,624 | ) | 0.57 | % | $ | 495,744 | $ | (20,500 | ) | 0.48 | % | ||||||||||
Rated Single A | 57,511 | (7,343 | ) | 0.82 | 62,401 | (12,027 | ) | 0.76 | ||||||||||||||||
Rated Triple B | 35,491 | (3,404 | ) | 1.11 | 38,451 | (8,517 | ) | 1.01 | ||||||||||||||||
Total of RMBS Prime | 564,199 | (27,371 | ) | 0.63 | 596,596 | (41,044 | ) | 0.54 | ||||||||||||||||
Alt-A | ||||||||||||||||||||||||
Rated Triple A | 12,530 | (2,279 | ) | 7.97 | 13,310 | (1,662 | ) | 10.56 | ||||||||||||||||
Total of RMBS | 576,729 | (29,650 | ) | 0.79 | 609,906 | (42,706 | ) | 0.76 | ||||||||||||||||
CMBS | ||||||||||||||||||||||||
Prime | ||||||||||||||||||||||||
Rated Triple A | 143,631 | (383 | ) | — | 266,994 | (127 | ) | — | ||||||||||||||||
HEL | �� | |||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
Rated Triple A | 262,174 | (106,157 | ) | 16.53 | 346,541 | (105,673 | ) | 13.54 | ||||||||||||||||
Rated Double A | 76,321 | (24,302 | ) | 5.69 | — | — | — | |||||||||||||||||
Rated Single A | 122,106 | (49,611 | ) | 10.93 | 130,277 | (50,977 | ) | 5.68 | ||||||||||||||||
Rated Triple B | 117,324 | (47,639 | ) | 15.81 | 159,648 | (67,419 | ) | 15.96 | ||||||||||||||||
Below Investment Grade | 21,808 | (9,938 | ) | 28.51 | — | — | — | |||||||||||||||||
Total of HEL Subprime | 599,733 | (237,647 | ) | 14.65 | 636,466 | (224,069 | ) | 12.53 | ||||||||||||||||
Manufactured Housing Loans | ||||||||||||||||||||||||
Subprime | ||||||||||||||||||||||||
Rated Double A | 223,445 | (72,722 | ) | 3.64 | 229,714 | (75,418 | ) | 1.88 | ||||||||||||||||
Grand Total | $ | 1,543,538 | $ | (340,402 | ) | 6.58 | % | $ | 1,743,080 | $ | (342,320 | ) | 5.08 | % | ||||||||||
1 | Weighted-average collateral delinquency rate is determined based on the underlying loans that are 60 days or more past due. The reported delinquency percentage represents weighted-average based on the dollar amounts of the individual securities in the category and their respective delinquencies. Combined weighted-average collateral delinquency rates are calculated based on UPB amount. |
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Three months ended March 31, | ||||||||
2009 | 2008 | |||||||
Beginning balance | $ | 13,765 | $ | 12,947 | ||||
Additions | 83 | 125 | ||||||
Charge-offs | — | — | ||||||
Recoveries | — | — | ||||||
Ending balance | $ | 13,848 | $ | 13,072 | ||||
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Three months ended March 31, | ||||||||
2009 | 2008 | |||||||
Beginning balance | $ | 1,405 | $ | 633 | ||||
Charge-offs | — | — | ||||||
Recoveries | — | — | ||||||
Net charge-offs | — | — | ||||||
Provision for credit losses on mortgage loans | 443 | 30 | ||||||
Ending balance | $ | 1,848 | $ | 663 | ||||
March 31, 2009 | December 31, 2008 | |||||||
Mortgage loans, net of provisions for credit losses | $ | 1,430,899 | $ | 1,457,885 | ||||
Non-performing mortgage loans held-for-portfolio | $ | 7,088 | $ | 4,792 | ||||
Mortgage loans past due 90 days or more and still accruing interest | $ | 719 | $ | 507 | ||||
Three months ended March 31, | ||||||||
2009 | 2008 | |||||||
Interest contractually due | $ | 112 | $ | 50 | ||||
Interest actually received | 98 | 39 | ||||||
Shortfall | $ | 14 | $ | 11 | ||||
Interest reported as income1 | $ | — | $ | — | ||||
1 | The Bank does not recognize interest received as income from uninsured loans past due 90-days or greater. |
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March 31, 2009 | ||||||||||||||||
Total Net | ||||||||||||||||
Number of | Notional | Exposure at | Net Exposure | |||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | after Collateral | ||||||||||||
AAA | 1 | $ | 11,707,390 | $ | — | $ | — | |||||||||
AA | 5 | 29,168,929 | — | — | ||||||||||||
A | 8 | 87,521,361 | 89,558 | 1,237 | ||||||||||||
Members | 2 | 140,000 | — | — | ||||||||||||
Delivery Commitments | — | 3,739 | — | — | ||||||||||||
Total | 16 | $ | 128,541,419 | $ | 89,558 | $ | 1,237 | |||||||||
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 | |||||||||
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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 | |||||||||
March 31, 2009 | $ | 1,753 | $ | 63,267 | $ | 61,514 | ||||||
December 31, 2008 | 2,022 | 66,246 | 64,224 |
Average Balance Sheet | Average Actual | |||||||||||
For the quarters ended | Liquidity Requirement | Operational Liquidity | Excess | |||||||||
March 31, 2009 | $ | 9,543 | $ | 20,893 | $ | 11,350 | ||||||
December 31, 2008 | 8,226 | 14,827 | 6,601 |
Average Five Day | Average Actual | |||||||||||
For the quarters ended | Requirement | Contingency Liquidity | Excess | |||||||||
March 31, 2009 | $ | 7,443 | $ | 18,709 | $ | 11,266 | ||||||
December 31, 2008 | 4,727 | 12,930 | 8,203 |
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March 31, 2009 | December 31, 2008 | |||||||
Consolidated Obligations: | ||||||||
Bonds | $ | 69,582,076 | $ | 82,256,705 | ||||
Discount Notes | 48,721,626 | 46,329,906 | ||||||
Total consolidated obligations | 118,303,702 | 128,586,611 | ||||||
Unpledged assets | ||||||||
Cash | 32,136 | 18,899 | ||||||
Less: Member pass-through reserves at the FRB | (40,527 | ) | (31,003 | ) | ||||
Secured Advances | 104,463,598 | 109,152,876 | ||||||
Investments1 | 21,979,464 | 26,364,661 | ||||||
Mortgage loans | 1,430,899 | 1,457,885 | ||||||
Accrued interest receivable on advances and investments | 411,500 | 492,856 | ||||||
Less: Pledged Assets | (2,528 | ) | (2,669 | ) | ||||
128,274,542 | 137,453,505 | |||||||
Excess unpledged assets | $ | 9,970,840 | $ | 8,866,894 | ||||
1 | At March 31, 2009, the Bank pledged $2.5 million to the FDIC see Note 4- Held-to-maturity securities. The Bank also provided to the U.S. Treasury a listing of $23.8 billion in advances with respect to a lending agreement. See Note 17 — Commitments and Contingencies. |
March 31, 2009 | December 31, 2008 | |||||||||||||||
Actual | Limits | Actual | Limits | |||||||||||||
Mortgage securities investment authority1 | 197 | % | 300 | % | 207 | % | 300 | % | ||||||||
1 | The measurement date is on a one-month “look-back” basis. |
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Moody’s Investors Service | S & P | |||||||||||||
Year | Outlook | Rating | Long-Term Outlook | Rating | ||||||||||
2009 | February 2, 2009 - Affirmed | Aaa/Stable | ||||||||||||
2008 | October 29, 2008 - Affirmed | Aaa/Stable | June 16, 2008 | Long-Term rating affirmed | outlook stable | AAA/Stable | ||||||||
April 17, 2008 - Affirmed | Aaa/Stable | |||||||||||||
2006 | September 21, 2006 | Long-Term rating upgraded | outlook stable | AAA/Stable |
Moody’s Investors Service | S & P | ||||||||||
Year | Outlook | Rating | Short-Term Outlook | Rating | |||||||
2009 | February 2, 2009 - Affirmed | P-1 | |||||||||
2008 | October 29, 2008 - Affirmed | P-1 | June 16, 2008 | Short-Term rating affirmed | A-1+ | ||||||
April 17, 2008 - Affirmed | P-1 | ||||||||||
2006 | September 21, 2006 | Short-Term rating affirmed | A-1+ |
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• | The option-adjusted DOE is limited to a range of +/- four years in the rates unchanged case and to a range of +/- six years in the +/-200bps shock cases. Due to the low interest rate environment beginning in early 2008, the -200bps shocks were restricted during the quarter ends to -85bps for March 2008, -115bps for June 2008, and -100bps for September 2008. The DOE downshock limits were adjusted in those cases to +/-4.85 years in March, +/-5.18 years in June, and +/-5.00 years in September. In December 2008 and March 2009 rates were too low for a constrained downshock and the test was not performed. |
• | The one-year cumulative re-pricing gap is limited to 10 percent of total assets. |
• | The sensitivity of expected net interest income over a one-year period is limited to a - -15 percent change under both the +/-200bps shocks compared to the rates unchanged case. |
• | The potential decline in the market value of equity is limited to a 10 percent change under the +/-200bps shocks. |
• | KRD exposure at any of nine term points (3-month, 1-year, 2-year, 3-year, 5-year, 7-year, 10-year, 15-year, and 30-year) is limited to between +/-12 months. |
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Base Case DOE | -200bps DOE | +200bps DOE | ||||||||||
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 | |||||||||
March 31, 2009 | -2.24 | N/A | 1.23 |
One Year Re- | ||||
pricing Gap | ||||
March 31, 2008 | $3.725 Billion | |||
June 30, 2008 | $3.017 Billion | |||
September 30, 2008 | $3.359 Billion | |||
December 31, 2008 | $9.764 Billion | |||
March 31, 2009 | $7.593 Billion |
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Sensitivity in | Sensitivity in | |||||||
the -200bps | the +200bps | |||||||
Shock | Shock | |||||||
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 | % | |||||
March 31, 2009 | N/A | 13.11 | % |
Downshock | +200bps Change in | |||||||
Change in MVE | MVE | |||||||
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 | % | |||||
March 31, 2009 | N/A | 1.01 | % |
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Interest Rate Sensitivity | ||||||||||||||||||||
March 31, 2009 | ||||||||||||||||||||
More than | More than | More than | ||||||||||||||||||
Six months | six months to | one year to | three years to | More than | ||||||||||||||||
or less | one year | three years | five years | five years | ||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||
Non-MBS Investments | $ | 13,534 | $ | 236 | $ | 427 | $ | 186 | $ | 363 | ||||||||||
MBS Investments | 6,636 | 1,669 | 2,355 | 612 | 486 | |||||||||||||||
Adjustable-rate loans and advances | 18,531 | — | — | — | — | |||||||||||||||
Net unswapped | 38,701 | 1,906 | 2,782 | 798 | 849 | |||||||||||||||
Fixed-rate loans and advances | 14,528 | 4,541 | 17,175 | 9,343 | 35,270 | |||||||||||||||
Swaps hedging advances | 61,734 | (2,765 | ) | (14,883 | ) | (8,859 | ) | (35,226 | ) | |||||||||||
Net fixed-rate loans and advances | 76,262 | 1,776 | 2,292 | 483 | 44 | |||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | |||||||||||||||
Total interest-earning assets | $ | 114,963 | $ | 3,682 | $ | 5,074 | $ | 1,282 | $ | 894 | ||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||
Deposits | $ | 2,450 | $ | 7 | $ | — | $ | — | $ | — | ||||||||||
Discount notes | 44,779 | 3,942 | — | — | — | |||||||||||||||
Swapped discount notes | 3,692 | (3,692 | ) | — | — | — | ||||||||||||||
Net discount notes | 48,471 | 250 | — | — | — | |||||||||||||||
Consolidated Obligation Bonds | ||||||||||||||||||||
FHLB bonds | 29,424 | 13,833 | 16,543 | 5,322 | 3,375 | |||||||||||||||
Swaps hedging bonds | 28,305 | (11,689 | ) | (11,753 | ) | (3,473 | ) | (1,390 | ) | |||||||||||
Net FHLB bonds | 57,729 | 2,144 | 4,790 | 1,849 | 1,985 | |||||||||||||||
Total interest-bearing liabilities | $ | 108,650 | $ | 2,402 | $ | 4,790 | $ | 1,849 | $ | 1,985 | ||||||||||
Post hedge gaps1: | ||||||||||||||||||||
Periodic gap | $ | 6,312 | $ | 1,280 | $ | 284 | $ | (567 | ) | $ | (1,092 | ) | ||||||||
Cumulative gaps | $ | 6,312 | $ | 7,593 | $ | 7,877 | $ | 7,309 | $ | 6,218 |
Note: | Numbers may not add due to rounding. | |
1 | Repricing gaps are estimated at the scheduled rate reset dates for floating rate instruments, and at maturity for fixed rate instruments. For callable instruments, the repricing period is estimated by the earlier of the estimated call date under the current interest rate environment or the instrument’s contractual maturity. |
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Interest Rate Sensitivity | ||||||||||||||||||||
December 31, 2008 | ||||||||||||||||||||
More than | More than | More than | ||||||||||||||||||
Six months | six months to | one year to | three years to | More than | ||||||||||||||||
or less | one year | three years | five years | five years | ||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||
Non-MBS Investments | $ | 18,298 | $ | 405 | $ | 404 | $ | 126 | $ | 259 | ||||||||||
MBS Investments | 6,938 | 2,940 | 1,801 | 350 | 209 | |||||||||||||||
Adjustable-rate loans and advances | 20,206 | — | — | — | — | |||||||||||||||
Net unswapped | 45,442 | 3,345 | 2,206 | 475 | 468 | |||||||||||||||
Fixed-rate loans and advances | 21,972 | 3,725 | 14,712 | 7,539 | 35,226 | |||||||||||||||
Swaps hedging advances | 56,677 | (2,842 | ) | (11,801 | ) | (6,864 | ) | (35,170 | ) | |||||||||||
Net fixed-rate loans and advances | 78,649 | 882 | 2,911 | 675 | 56 | |||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | |||||||||||||||
Total interest-earning assets | $ | 124,091 | $ | 4,227 | $ | 5,117 | $ | 1,151 | $ | 524 | ||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||
Deposits | $ | 1,497 | $ | 15 | $ | — | $ | — | $ | — | ||||||||||
Discount notes | 43,981 | 2,348 | — | — | — | |||||||||||||||
Swapped discount notes | 2,031 | (2,031 | ) | — | — | — | ||||||||||||||
Net discount notes | 46,012 | 318 | — | — | — | |||||||||||||||
Consolidated Obligation Bonds | ||||||||||||||||||||
FHLB bonds | 36,367 | 16,153 | 19,613 | 5,405 | 3,441 | |||||||||||||||
Swaps hedging bonds | 32,833 | (14,640 | ) | (13,571 | ) | (3,178 | ) | (1,445 | ) | |||||||||||
Net FHLB bonds | 69,200 | 1,513 | 6,043 | 2,227 | 1,996 | |||||||||||||||
Total interest-bearing liabilities | $ | 116,709 | $ | 1,846 | $ | 6,043 | $ | 2,227 | $ | 1,996 | ||||||||||
Post hedge gaps1: | ||||||||||||||||||||
Periodic gap | $ | 7,382 | $ | 2,382 | $ | (926 | ) | $ | (1,076 | ) | $ | (1,472 | ) | |||||||
Cumulative gaps | $ | 7,382 | $ | 9,764 | $ | 8,837 | $ | 7,761 | $ | 6,289 |
Note: | Numbers may not add due to rounding. | |
1 | Repricing gaps are estimated at the scheduled rate reset dates for floating rate instruments, and at maturity for fixed rate instruments. For callable instruments, the repricing period is estimated by the earlier of the estimated call date under the current interest rate environment or the instrument’s contractual maturity. |
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(a) | Evaluation of Disclosure Controls and Procedures: An evaluation of the Bank’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “Act”)) was carried out under the supervision and with the participation of the Bank’s President and Chief Executive Officer, Alfred A. DelliBovi, and Senior Vice President and Chief Financial Officer, Patrick A. Morgan, at March 31, 2009. Based on this evaluation, they concluded that as of March 31, 2009, the Bank’s disclosure controls and procedures were effective, at a reasonable level of assurance, in ensuring that the information required to be disclosed by the Bank in the reports it files or submits under the Act is (i) accumulated and communicated to the Bank’s management (including the President and Chief Executive Officer and Senior Vice President and Chief Financial Officer) in a timely manner, and (ii) recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(b) | Changes in Internal Control Over Financial Reporting: There were no changes in the Bank’s internal control over financial reporting (as defined in Rules 13a-15(f) and 15d-15(f) under the Act) during the Bank’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting. |
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Exhibit No. | Identification of Exhibit | |||
4.01 | Amended FHLBNY Capital Plan (incorporated by reference to Exhibit 4.01 to the registrant’s Current Report on Form 8-K filed on April 1, 2009) | |||
10.01 | Bank 2009 Incentive Compensation Plan*** | |||
10.02 | Bank 2009 Director Compensation Policy* | |||
31.01 | Certification Pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934 and Section 302 of the Sarbanes-Oxley Act of 2002 by Chief Executive Officer | |||
31.02 | Certification Pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934 and Section 302 of the Sarbanes-Oxley Act of 2002 by Chief Financial Officer | |||
32.01 | Certification of Chief Executive Officer furnished pursuant to Section 906 of the Sarbanes-Oxley Act 2002, 18 U.S.C. Section 1350 | |||
32.02 | Certification of Chief Financial Officer furnished pursuant to Section 906 of the Sarbanes-Oxley Act 2002, 18 U.S.C. Section 1350 |
* | This exhibit includes a management contract, compensatory plan or arrangement required to be noted herein. | |
** | Portion of the exhibit have been omitted and separately filed with the U.S. Securities and Exchange Commission with a request for confidential treatment. |
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FEDERAL HOME LOAN BANK OF NEW YORK (Registrant) | ||||
By: | /s/ Patrick A. Morgan | |||
Patrick A. Morgan | ||||
Senior Vice President and Chief Financial Officer Federal Home Loan Bank of New York (on behalf of the Registrant and as Principal Financial Officer) |
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Exhibit No. | Description | |||
10.01 | Bank 2009 Incentive Compensation Plan*** | |||
10.02 | Bank 2009 Director Compensation Policy* | |||
31.01 | Certification Pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934 and Section 302 of the Sarbanes-Oxley Act of 2002 by Chief Executive Officer | |||
31.02 | Certification Pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934 and Section 302 of the Sarbanes-Oxley Act of 2002 by Chief Financial Officer | |||
32.01 | Certification of Chief Executive Officer furnished pursuant to Section 906 of the Sarbanes-Oxley Act 2002, 18 U.S.C. Section 1350 | |||
32.02 | Certification of Chief Financial Officer furnished pursuant to Section 906 of the Sarbanes-Oxley Act 2002, 18 U.S.C. Section 1350 |
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