þ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Federal | 13-6400946 | |
(State or other jurisdiction of | (I.R.S. Employer | |
incorporation or organization) | Identification No.) | |
101 Park Avenue, New York, N.Y. | 10178 | |
(Address of principal executive offices) | (Zip Code) |
Large accelerated filer o
|
Accelerated filer o | Non-accelerated filer þ | Smaller reporting company o | |||
(Do not check if a smaller reporting company) |
Page | ||||||||
PART I. FINANCIAL INFORMATION |
||||||||
ITEM 1. FINANCIAL STATEMENTS (Unaudited): |
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3 | ||||||||
4 | ||||||||
5 | ||||||||
6 | ||||||||
8 | ||||||||
40 | ||||||||
88 | ||||||||
91 | ||||||||
92 | ||||||||
92 | ||||||||
92 | ||||||||
92 | ||||||||
92 | ||||||||
92 | ||||||||
92 | ||||||||
93 | ||||||||
EX-31.01 | ||||||||
EX-31.02 | ||||||||
EX-32.01 | ||||||||
EX-32.02 | ||||||||
EX-101 INSTANCE DOCUMENT | ||||||||
EX-101 SCHEMA DOCUMENT | ||||||||
EX-101 CALCULATION LINKBASE DOCUMENT | ||||||||
EX-101 LABELS LINKBASE DOCUMENT | ||||||||
EX-101 PRESENTATION LINKBASE DOCUMENT | ||||||||
EX-101 DEFINITION LINKBASE DOCUMENT |
2
September 30, 2011 | December 31, 2010 | |||||||
Assets |
||||||||
Cash and due from banks (Note 3) |
$ | 4,744,196 | $ | 660,873 | ||||
Federal funds sold |
4,964,000 | 4,988,000 | ||||||
Available-for-sale securities, net of unrealized gains (losses)
of $16,141 at September 30, 2011 and $22,965 at December 31, 2010 (Note 5) |
3,345,090 | 3,990,082 | ||||||
Held-to-maturity securities (Note 4) |
||||||||
Long-term securities |
8,821,023 | 7,761,192 | ||||||
Advances (Note 6) |
73,779,170 | 81,200,336 | ||||||
Mortgage loans held-for-portfolio, net of allowance for credit losses
of $6,728 at September 30, 2011 and $5,760 at December 31, 2010 (Note 7) |
1,356,912 | 1,265,804 | ||||||
Accrued interest receivable |
243,347 | 287,335 | ||||||
Premises, software, and equipment |
14,115 | 14,932 | ||||||
Derivative assets (Note 15) |
53,373 | 22,010 | ||||||
Other assets |
12,567 | 21,506 | ||||||
Total assets |
$ | 97,333,793 | $ | 100,212,070 | ||||
Liabilities and capital |
||||||||
Liabilities |
||||||||
Deposits (Note 8) |
||||||||
Interest-bearing demand |
$ | 2,485,575 | $ | 2,401,882 | ||||
Non-interest bearing demand |
6,362 | 9,898 | ||||||
Term |
29,000 | 42,700 | ||||||
Total deposits |
2,520,937 | 2,454,480 | ||||||
Consolidated obligations, net (Note 10) |
||||||||
Bonds (Includes $14,341,126 at September 30, 2011 and $14,281,463 at December 31, 2010
at fair value under the fair value option) |
66,280,849 | 71,742,627 | ||||||
Discount notes (Includes $4,125,354 at September 30, 2011 and $956,338 at December
31, 2010
at fair value under the fair value option) |
22,538,777 | 19,391,452 | ||||||
Total consolidated obligations |
88,819,626 | 91,134,079 | ||||||
Mandatorily redeemable capital stock (Note 11) |
58,322 | 63,219 | ||||||
Accrued interest payable |
190,748 | 197,266 | ||||||
Affordable Housing Program |
129,779 | 138,365 | ||||||
Payable to REFCORP |
— | 21,617 | ||||||
Derivative liabilities (Note 15) |
399,394 | 954,898 | ||||||
Other liabilities |
119,020 | 103,777 | ||||||
Total liabilities |
92,237,826 | 95,067,701 | ||||||
Commitments and Contingencies (Notes 11, 15 and 17) |
||||||||
Capital (Note 11) |
||||||||
Capital stock ($100 par value), putable, issued and outstanding shares: 45,717 at September 30, 2011 and 45,290 at December 31, 2010 |
4,571,693 | 4,528,962 | ||||||
Retained earnings |
||||||||
Unrestricted |
700,504 | 712,091 | ||||||
Restricted (Note 11) |
7,820 | — | ||||||
Total retained earnings |
708,324 | 712,091 | ||||||
Accumulated other comprehensive income (loss) (Note 12) |
||||||||
Net unrealized gains on available-for-sale securities |
16,141 | 22,965 | ||||||
Non-credit portion of OTTI on held-to-maturity securities, net of accretion |
(82,270 | ) | (92,926 | ) | ||||
Net unrealized losses on hedging activities |
(106,394 | ) | (15,196 | ) | ||||
Employee supplemental retirement plans (Note 14) |
(11,527 | ) | (11,527 | ) | ||||
Total capital |
5,095,967 | 5,144,369 | ||||||
Total liabilities and capital |
$ | 97,333,793 | $ | 100,212,070 | ||||
3
Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Interest income |
||||||||||||||||
Advances (Note 6) |
$ | 85,440 | $ | 173,459 | $ | 359,640 | $ | 477,303 | ||||||||
Interest-bearing deposits |
700 | 1,699 | 2,221 | 3,766 | ||||||||||||
Federal funds sold |
1,547 | 2,253 | 5,694 | 6,600 | ||||||||||||
Available-for-sale securities (Note 5) |
7,045 | 7,580 | 23,205 | 23,128 | ||||||||||||
Held-to-maturity securities (Note 4) |
||||||||||||||||
Long-term securities |
70,021 | 84,242 | 210,352 | 274,686 | ||||||||||||
Mortgage loans held-for-portfolio (Note 7) |
15,832 | 16,333 | 47,160 | 49,689 | ||||||||||||
Loans to other FHLBanks and other (Note 18) |
1 | — | 1 | — | ||||||||||||
Total interest income |
180,586 | 285,566 | 648,273 | 835,172 | ||||||||||||
Interest expense |
||||||||||||||||
Consolidated obligations-bonds (Note 10) |
93,292 | 147,097 | 310,784 | 448,669 | ||||||||||||
Consolidated obligations-discount notes (Note 10) |
10,286 | 11,456 | 24,695 | 33,069 | ||||||||||||
Deposits (Note 8) |
240 | 959 | 1,068 | 2,813 | ||||||||||||
Mandatorily redeemable capital stock (Note 11) |
660 | 879 | 1,873 | 3,051 | ||||||||||||
Cash collateral held and other borrowings (Note 18) |
25 | 14 | 56 | 14 | ||||||||||||
Total interest expense |
104,503 | 160,405 | 338,476 | 487,616 | ||||||||||||
Net interest income before provision for credit losses |
76,083 | 125,161 | 309,797 | 347,556 | ||||||||||||
Provision for credit losses on mortgage loans |
765 | 231 | 2,967 | 1,137 | ||||||||||||
Net interest income after provision for credit losses |
75,318 | 124,930 | 306,830 | 346,419 | ||||||||||||
Other income (loss) |
||||||||||||||||
Service fees and other |
1,579 | 1,297 | 4,314 | 3,472 | ||||||||||||
Instruments held at fair value — Unrealized gains (losses)(Note 16) |
(5,173 | ) | 55 | (10,574 | ) | (12,612 | ) | |||||||||
Total OTTI losses |
(142 | ) | (498 | ) | (308 | ) | (4,573 | ) | ||||||||
Net amount of impairment losses reclassified (from) to |
||||||||||||||||
Accumulated other comprehensive loss |
(918 | ) | (2,569 | ) | (1,262 | ) | (3,164 | ) | ||||||||
Net impairment losses recognized in earnings |
(1,060 | ) | (3,067 | ) | (1,570 | ) | (7,737 | ) | ||||||||
Net realized and unrealized gains (losses) on derivatives and hedging activities (Note 15) |
(8,608 | ) | 8,444 | 62,606 | (3,344 | ) | ||||||||||
Net realized gains from sale of available-for-sale securities and redemption of held-to-maturity securities (Note 4 and 5) |
— | — | 17 | 708 | ||||||||||||
Losses from extinguishment of debt and other |
(441 | ) | (624 | ) | (55,981 | ) | (1,493 | ) | ||||||||
Total other income (loss) |
(13,703 | ) | 6,105 | (1,188 | ) | (21,006 | ) | |||||||||
Other expenses |
||||||||||||||||
Operating |
6,815 | 6,009 | 21,995 | 19,787 | ||||||||||||
Compensation and Benefits |
12,239 | 15,648 | 65,267 | 41,458 | ||||||||||||
Finance Agency and Office of Finance |
3,220 | 2,036 | 9,730 | 6,447 | ||||||||||||
Total other expenses |
22,274 | 23,693 | 96,992 | 67,692 | ||||||||||||
Income before assessments |
39,341 | 107,342 | 208,650 | 257,721 | ||||||||||||
Affordable Housing Program |
4,036 | 8,852 | 17,981 | 21,350 | ||||||||||||
REFCORP |
(365 | ) | 19,698 | 30,708 | 47,274 | |||||||||||
Total assessments |
3,671 | 28,550 | 48,689 | 68,624 | ||||||||||||
Net income |
$ | 35,670 | $ | 78,792 | $ | 159,961 | $ | 189,097 | ||||||||
Basic earnings per share (Note 13) |
$ | 0.77 | $ | 1.71 | $ | 3.60 | $ | 3.98 | ||||||||
Cash dividends paid per share |
$ | 1.12 | $ | 1.15 | $ | 3.69 | $ | 3.60 | ||||||||
4
Accumulated | ||||||||||||||||||||||||||||||||
Capital Stock(a) | Other | Total | ||||||||||||||||||||||||||||||
Class B | Retained Earnings | Comprehensive | Total | Comprehensive | ||||||||||||||||||||||||||||
Shares | Par Value | Unrestricted | Restricted | Total | Income (Loss) | Capital | Income (Loss) | |||||||||||||||||||||||||
Balance, December 31, 2009 |
50,590 | $ | 5,058,956 | $ | 688,874 | $ | — | $ | 688,874 | $ | (144,539 | ) | $ | 5,603,291 | ||||||||||||||||||
Proceeds from sale of capital stock |
13,902 | 1,390,257 | — | — | — | — | 1,390,257 | |||||||||||||||||||||||||
Redemption of capital stock |
(17,553 | ) | (1,755,299 | ) | — | — | — | — | (1,755,299 | ) | ||||||||||||||||||||||
Shares reclassified to mandatorily
redeemable capital stock |
(303 | ) | (30,308 | ) | — | — | — | — | (30,308 | ) | ||||||||||||||||||||||
Cash dividends ($3.60 per share) on
capital stock |
— | — | (176,756 | ) | — | (176,756 | ) | — | (176,756 | ) | ||||||||||||||||||||||
Net Income |
— | — | 189,097 | — | 189,097 | — | 189,097 | $ | 189,097 | |||||||||||||||||||||||
Net change in Accumulated other
comprehensive income (loss): |
||||||||||||||||||||||||||||||||
Non-credit portion of OTTI on
held-to-maturity securities,
net of accretion |
— | — | — | — | — | 9,293 | 9,293 | 9,293 | ||||||||||||||||||||||||
Reclassification of non-credit
OTTI to net income |
— | — | — | — | — | 5,234 | 5,234 | 5,234 | ||||||||||||||||||||||||
Net unrealized gains on
available-for-sale securities |
— | — | — | — | — | 27,224 | 27,224 | 27,224 | ||||||||||||||||||||||||
Hedging activities |
— | — | — | — | — | 4,951 | 4,951 | 4,951 | ||||||||||||||||||||||||
$ | 235,799 | |||||||||||||||||||||||||||||||
Balance, September 30, 2010 |
46,636 | $ | 4,663,606 | $ | 701,215 | $ | — | $ | 701,215 | $ | (97,837 | ) | $ | 5,266,984 | ||||||||||||||||||
Balance, December 31, 2010 |
45,290 | $ | 4,528,962 | $ | 712,091 | $ | — | $ | 712,091 | $ | (96,684 | ) | $ | 5,144,369 | ||||||||||||||||||
Proceeds from sale of capital stock |
17,489 | 1,748,910 | — | — | — | — | 1,748,910 | |||||||||||||||||||||||||
Redemption of capital stock |
(17,028 | ) | (1,702,830 | ) | — | — | — | — | (1,702,830 | ) | ||||||||||||||||||||||
Shares reclassified to mandatorily
redeemable capital stock |
(34 | ) | (3,349 | ) | — | — | — | — | (3,349 | ) | ||||||||||||||||||||||
Cash dividends ($3.69 per share) on
capital stock |
— | — | (163,728 | ) | — | (163,728 | ) | — | (163,728 | ) | ||||||||||||||||||||||
Net Income |
— | — | 152,141 | 7,820 | 159,961 | — | 159,961 | $ | 159,961 | |||||||||||||||||||||||
Net change in Accumulated other
comprehensive income (loss): |
||||||||||||||||||||||||||||||||
Non-credit portion of OTTI on
held-to-maturity securities,
net of accretion |
— | — | — | — | — | 9,192 | 9,192 | 9,192 | ||||||||||||||||||||||||
Reclassification of non-credit
OTTI to net income |
— | — | — | — | — | 1,464 | 1,464 | 1,464 | ||||||||||||||||||||||||
Net unrealized losses on
available-for-sale securities |
— | — | — | — | — | (6,824 | ) | (6,824 | ) | (6,824 | ) | |||||||||||||||||||||
Hedging activities |
— | — | — | — | — | (91,198 | ) | (91,198 | ) | (91,198 | ) | |||||||||||||||||||||
$ | 72,595 | |||||||||||||||||||||||||||||||
Balance, September 30, 2011 |
45,717 | $ | 4,571,693 | $ | 700,504 | $ | 7,820 | $ | 708,324 | $ | (184,050 | ) | $ | 5,095,967 | ||||||||||||||||||
(a) | Putable stock |
5
Nine months ended | ||||||||
September 30, | ||||||||
2011 | 2010 | |||||||
Operating activities |
||||||||
Net Income |
$ | 159,961 | $ | 189,097 | ||||
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 |
(141,359 | ) | (45,715 | ) | ||||
Concessions on consolidated obligations |
6,841 | 9,666 | ||||||
Premises, software, and equipment |
4,085 | 4,201 | ||||||
Provision for credit losses on mortgage loans |
2,967 | 1,137 | ||||||
Net realized (gains) from redemption of held-to-maturity securities |
(17 | ) | — | |||||
Net realized (gains) from sale of available-for-sale securities |
— | (708 | ) | |||||
Credit impairment losses on held-to-maturity securities |
1,570 | 7,737 | ||||||
Change in net fair value adjustments on derivatives and hedging activities |
430,203 | 406,975 | ||||||
Change in fair value adjustments on financial instruments held at fair value |
10,574 | 12,612 | ||||||
Losses from extinguishment of debt |
55,175 | — | ||||||
Net change in: |
||||||||
Accrued interest receivable |
43,988 | 34,747 | ||||||
Derivative assets due to accrued interest |
28,120 | 23,230 | ||||||
Derivative liabilities due to accrued interest |
(38,102 | ) | (21,895 | ) | ||||
Other assets |
5,112 | 2,856 | ||||||
Affordable Housing Program liability |
(8,586 | ) | (6,494 | ) | ||||
Accrued interest payable |
(10,608 | ) | 3,235 | |||||
REFCORP liability |
(21,617 | ) | (3,674 | ) | ||||
Other liabilities |
719 | 7,933 | ||||||
Total adjustments |
369,065 | 435,843 | ||||||
Net cash provided by operating activities |
529,026 | 624,940 | ||||||
Investing activities |
||||||||
Net change in: |
||||||||
Interest-bearing deposits |
(890,153 | ) | (1,607,030 | ) | ||||
Federal funds sold |
24,000 | (645,000 | ) | |||||
Deposits with other FHLBanks |
(100 | ) | (29 | ) | ||||
Premises, software, and equipment |
(3,268 | ) | (3,959 | ) | ||||
Held-to-maturity securities: |
||||||||
Long-term securities |
||||||||
Purchased |
(2,815,122 | ) | (174,048 | ) | ||||
Repayments |
1,765,520 | 2,482,959 | ||||||
In-substance maturities |
3,935 | — | ||||||
Available-for-sale securities: |
||||||||
Purchased |
(1,094,954 | ) | (1,957,867 | ) | ||||
Repayments |
1,734,926 | 838,129 | ||||||
Proceeds from sales |
486 | 33,398 | ||||||
Advances: |
||||||||
Principal collected |
203,976,117 | 165,792,738 | ||||||
Made |
(196,097,860 | ) | (155,157,849 | ) | ||||
Mortgage loans held-for-portfolio: |
||||||||
Principal collected |
174,324 | 155,621 | ||||||
Purchased |
(268,842 | ) | (106,769 | ) | ||||
Proceeds from sales of REO |
1,140 | — | ||||||
Net cash provided by investing activities |
6,510,149 | 9,650,294 | ||||||
6
Nine months ended | ||||||||
September 30, | ||||||||
2011 | 2010 | |||||||
Financing activities |
||||||||
Net change in: |
||||||||
Deposits and other borrowings |
$ | 227,631 | $ | 1,174,550 | ||||
Derivative contracts with financing element (a) |
(287,280 | ) | (330,004 | ) | ||||
Consolidated obligation bonds: |
||||||||
Proceeds from issuance |
46,999,903 | 52,284,617 | ||||||
Payments for maturing and early retirement |
(52,752,087 | ) | (52,088,457 | ) | ||||
Net payments on bonds transferred to other FHLBanks (b) |
(167,381 | ) | 224,664 | |||||
Consolidated obligation discount notes: |
||||||||
Proceeds from issuance |
126,916,123 | 89,819,657 | ||||||
Payments for maturing |
(123,766,867 | ) | (102,848,990 | ) | ||||
Capital stock: |
||||||||
Proceeds from issuance |
1,748,910 | 1,390,257 | ||||||
Payments for redemption / repurchase |
(1,702,830 | ) | (1,755,299 | ) | ||||
Redemption of Mandatorily redeemable capital stock |
(8,246 | ) | (89,254 | ) | ||||
Cash dividends paid (c) |
(163,728 | ) | (176,756 | ) | ||||
Net cash used by financing activities |
(2,955,852 | ) | (12,395,015 | ) | ||||
Net increase (decrease) in cash and due from banks |
4,083,323 | (2,119,781 | ) | |||||
Cash and due from banks at beginning of the period |
660,873 | 2,189,252 | ||||||
Cash and due from banks at end of the period |
$ | 4,744,196 | $ | 69,471 | ||||
Supplemental disclosures: |
||||||||
Interest paid |
$ | 399,920 | $ | 492,994 | ||||
Affordable Housing Program payments (d) |
$ | 26,567 | $ | 27,844 | ||||
REFCORP payments |
$ | 52,325 | $ | 50,948 | ||||
Transfers of mortgage loans to real estate owned |
$ | 1,138 | $ | 970 | ||||
Portion of non-credit OTTI (gains) losses on held-to-maturity securities |
$ | (1,262 | ) | $ | (3,164 | ) |
(a) | Cash flows from derivatives containing financing elements were considered as a financing activity and were included in borrowing activity. Cash outflows were $287,280 and $330,004 for the nine months ended 2011 and 2010. | |
(b) | For information about bonds transferred to FHLBanks and other related party transactions, see Note 18. | |
(c) | Does not include payments to holders of mandatorily redeemable capital stock. Such payments are reported as interest expense. | |
(d) | AHP payments = (beginning accrual — ending accrual) + AHP assessment for the period; payments represent funds released to the Affordable Housing Program. |
7
8
9
September 30, 2011 | ||||||||||||||||||||||||
OTTI | Gross | Gross | ||||||||||||||||||||||
Amortized | Recognized | Carrying | Unrecognized | Unrecognized | Fair | |||||||||||||||||||
Issued, guaranteed or insured: | Cost | in AOCI | Value | Holding Gains | Holding Losses | Value | ||||||||||||||||||
Pools of Mortgages |
||||||||||||||||||||||||
Fannie Mae |
$ | 703,367 | $ | — | $ | 703,367 | $ | 52,786 | $ | — | $ | 756,153 | ||||||||||||
Freddie Mac |
201,134 | — | 201,134 | 13,846 | — | 214,980 | ||||||||||||||||||
Total pools of mortgages |
904,501 | — | 904,501 | 66,632 | — | 971,133 | ||||||||||||||||||
Collateralized Mortgage Obligations/Real
Estate Mortgage Investment Conduits |
||||||||||||||||||||||||
Fannie Mae |
2,018,369 | — | 2,018,369 | 36,136 | (419 | ) | 2,054,086 | |||||||||||||||||
Freddie Mac |
2,543,314 | — | 2,543,314 | 59,384 | (260 | ) | 2,602,438 | |||||||||||||||||
Ginnie Mae |
95,721 | — | 95,721 | 730 | — | 96,451 | ||||||||||||||||||
Total CMOs/REMICs |
4,657,404 | — | 4,657,404 | 96,250 | (679 | ) | 4,752,975 | |||||||||||||||||
Commercial Mortgage-Backed Securities |
||||||||||||||||||||||||
Fannie Mae |
100,457 | — | 100,457 | 6,782 | — | 107,239 | ||||||||||||||||||
Freddie Mac |
1,628,836 | — | 1,628,836 | 113,763 | — | 1,742,599 | ||||||||||||||||||
Ginnie Mae |
35,685 | — | 35,685 | 1,148 | — | 36,833 | ||||||||||||||||||
Total commercial mortgage-backed securities |
1,764,978 | — | 1,764,978 | 121,693 | — | 1,886,671 | ||||||||||||||||||
Non-GSE MBS (b) |
||||||||||||||||||||||||
CMOs/REMICs |
211,515 | (1,731 | ) | 209,784 | 3,321 | (1,466 | ) | 211,639 | ||||||||||||||||
Commercial MBS |
— | — | — | — | — | — | ||||||||||||||||||
Total non-federal-agency MBS |
211,515 | (1,731 | ) | 209,784 | 3,321 | (1,466 | ) | 211,639 | ||||||||||||||||
Asset-Backed Securities (b) |
||||||||||||||||||||||||
Manufactured housing (insured) |
159,465 | — | 159,465 | — | (8,818 | ) | 150,647 | |||||||||||||||||
Home equity loans (insured) |
237,095 | (59,090 | ) | 178,005 | 34,165 | (5,674 | ) | 206,496 | ||||||||||||||||
Home equity loans (uninsured) |
163,582 | (21,449 | ) | 142,133 | 13,296 | (19,120 | ) | 136,309 | ||||||||||||||||
Total asset-backed securities |
560,142 | (80,539 | ) | 479,603 | 47,461 | (33,612 | ) | 493,452 | ||||||||||||||||
Total MBS |
$ | 8,098,540 | $ | (82,270 | ) | $ | 8,016,270 | $ | 335,357 | $ | (35,757 | ) | $ | 8,315,870 | ||||||||||
Other |
||||||||||||||||||||||||
State and local housing finance
agency obligations |
$ | 804,753 | $ | — | $ | 804,753 | $ | 2,596 | $ | (75,411 | ) | $ | 731,938 | |||||||||||
Total other |
$ | 804,753 | $ | — | $ | 804,753 | $ | 2,596 | $ | (75,411 | ) | $ | 731,938 | |||||||||||
Total Held-to-maturity securities |
$ | 8,903,293 | $ | (82,270 | ) | $ | 8,821,023 | $ | 337,953 | $ | (111,168 | ) | $ | 9,047,808 | ||||||||||
December 31, 2010 | ||||||||||||||||||||||||
OTTI | Gross | Gross | ||||||||||||||||||||||
Amortized | Recognized | Carrying | Unrecognized | Unrecognized | Fair | |||||||||||||||||||
Issued, guaranteed or insured: | Cost | in AOCI | Value | Holding Gains | Holding Losses | Value | ||||||||||||||||||
Pools of Mortgages |
||||||||||||||||||||||||
Fannie Mae |
$ | 857,387 | $ | — | $ | 857,387 | $ | 48,712 | $ | — | $ | 906,099 | ||||||||||||
Freddie Mac |
244,041 | — | 244,041 | 13,316 | — | 257,357 | ||||||||||||||||||
Total pools of mortgages |
1,101,428 | — | 1,101,428 | 62,028 | — | 1,163,456 | ||||||||||||||||||
Collateralized Mortgage Obligations/Real
Estate Mortgage Investment Conduits |
||||||||||||||||||||||||
Fannie Mae |
1,637,261 | — | 1,637,261 | 52,935 | — | 1,690,196 | ||||||||||||||||||
Freddie Mac |
2,790,103 | — | 2,790,103 | 92,746 | — | 2,882,849 | ||||||||||||||||||
Ginnie Mae |
116,126 | — | 116,126 | 936 | — | 117,062 | ||||||||||||||||||
Total CMOs/REMICs |
4,543,490 | — | 4,543,490 | 146,617 | — | 4,690,107 | ||||||||||||||||||
Commercial Mortgage-Backed Securities |
||||||||||||||||||||||||
Fannie Mae |
100,492 | — | 100,492 | — | (2,516 | ) | 97,976 | |||||||||||||||||
Freddie Mac |
375,901 | — | 375,901 | 1,031 | (5,315 | ) | 371,617 | |||||||||||||||||
Ginnie Mae |
48,747 | — | 48,747 | 1,857 | — | 50,604 | ||||||||||||||||||
Total commercial mortgage-backed securities |
525,140 | — | 525,140 | 2,888 | (7,831 | ) | 520,197 | |||||||||||||||||
Non-GSE MBS (b) |
||||||||||||||||||||||||
CMOs/REMICs |
294,686 | (2,209 | ) | 292,477 | 6,228 | (916 | ) | 297,789 | ||||||||||||||||
Commercial MBS |
— | — | — | — | — | — | ||||||||||||||||||
Total non-federal-agency MBS |
294,686 | (2,209 | ) | 292,477 | 6,228 | (916 | ) | 297,789 | ||||||||||||||||
Asset-Backed Securities (b) |
||||||||||||||||||||||||
Manufactured housing (insured) |
176,592 | — | 176,592 | — | (21,437 | ) | 155,155 | |||||||||||||||||
Home equity loans (insured) |
257,889 | (66,252 | ) | 191,637 | 35,550 | (4,316 | ) | 222,871 | ||||||||||||||||
Home equity loans (uninsured) |
184,284 | (24,465 | ) | 159,819 | 17,780 | (21,478 | ) | 156,121 | ||||||||||||||||
Total asset-backed securities |
618,765 | (90,717 | ) | 528,048 | 53,330 | (47,231 | ) | 534,147 | ||||||||||||||||
Total MBS |
$ | 7,083,509 | $ | (92,926 | ) | $ | 6,990,583 | $ | 271,091 | $ | (55,978 | ) | $ | 7,205,696 | ||||||||||
Other |
||||||||||||||||||||||||
State and local housing finance
agency obligations |
$ | 770,609 | $ | — | $ | 770,609 | $ | 1,434 | $ | (79,439 | ) | $ | 692,604 | |||||||||||
Total other |
$ | 770,609 | $ | — | $ | 770,609 | $ | 1,434 | $ | (79,439 | ) | $ | 692,604 | |||||||||||
Total Held-to-maturity securities |
$ | 7,854,118 | $ | (92,926 | ) | $ | 7,761,192 | $ | 272,525 | $ | (135,417 | ) | $ | 7,898,300 | ||||||||||
(a) | Unrecognized gross holding gains and losses represent the difference between carrying value and fair value of a held-to-maturity security. At September 30, 2011 and December 31, 2010, the FHLBNY had pledged MBS with an amortized cost basis of $2.2 million and $2.7 million to the FDIC in connection with deposits maintained by the FDIC at the FHLBNY. | |
(b) | Private-label MBS. |
10
September 30, 2011 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
Non-MBS Investment Securities |
||||||||||||||||||||||||
State and local housing
finance agency obligations |
$ | — | $ | — | $ | 313,329 | $ | (75,411 | ) | $ | 313,329 | $ | (75,411 | ) | ||||||||||
Total Non-MBS |
— | — | 313,329 | (75,411 | ) | 313,329 | (75,411 | ) | ||||||||||||||||
MBS Investment Securities
MBS-GSE |
||||||||||||||||||||||||
Fannie Mae-CMBS |
86,015 | (419 | ) | — | — | 86,015 | (419 | ) | ||||||||||||||||
Freddie Mac-CMBS |
148,751 | (260 | ) | — | — | 148,751 | (260 | ) | ||||||||||||||||
Total MBS-GSE |
234,766 | (679 | ) | — | — | 234,766 | (679 | ) | ||||||||||||||||
MBS-Private-Label-CMOs |
21,883 | (435 | ) | 539,502 | (69,956 | ) | 561,385 | (70,391 | ) | |||||||||||||||
Total MBS |
256,649 | (1,114 | ) | 539,502 | (69,956 | ) | 796,151 | (71,070 | ) | |||||||||||||||
Total |
$ | 256,649 | $ | (1,114 | ) | $ | 852,831 | $ | (145,367 | ) | $ | 1,109,480 | $ | (146,481 | ) | |||||||||
December 31, 2010 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
Non-MBS Investment Securities |
||||||||||||||||||||||||
State and local housing
finance agency obligations |
$ | 20,945 | $ | (1,270 | ) | $ | 309,476 | $ | (78,169 | ) | $ | 330,421 | $ | (79,439 | ) | |||||||||
Total Non-MBS |
20,945 | (1,270 | ) | 309,476 | (78,169 | ) | 330,421 | (79,439 | ) | |||||||||||||||
MBS Investment Securities
MBS-GSE |
||||||||||||||||||||||||
Fannie Mae-CMBS |
97,976 | (2,516 | ) | — | — | 97,976 | (2,516 | ) | ||||||||||||||||
Freddie Mac-CMBS |
196,658 | (5,315 | ) | — | — | 196,658 | (5,315 | ) | ||||||||||||||||
Total MBS-GSE |
294,634 | (7,831 | ) | — | — | 294,634 | (7,831 | ) | ||||||||||||||||
MBS-Private-Label-CMOs |
5,017 | (19 | ) | 593,667 | (87,302 | ) | 598,684 | (87,321 | ) | |||||||||||||||
Total MBS |
299,651 | (7,850 | ) | 593,667 | (87,302 | ) | 893,318 | (95,152 | ) | |||||||||||||||
Total |
$ | 320,596 | $ | (9,120 | ) | $ | 903,143 | $ | (165,471 | ) | $ | 1,223,739 | $ | (174,591 | ) | |||||||||
(a) | Unrealized holding losses represent the difference between amortized cost and fair value of a security. The baseline measure of unrealized holding losses is amortized cost, which is not adjusted for non-credit OTTI. Unrealized holding losses will not equal gross unrecognized losses, which are adjusted for non-credit OTTI. |
September 30, 2011 | December 31, 2010 | |||||||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||||||
Cost | Fair Value | Cost | Fair Value | |||||||||||||
State and local housing finance agency obligations |
||||||||||||||||
Due in one year or less |
$ | — | $ | — | $ | — | $ | — | ||||||||
Due after one year through five years |
4,915 | 4,966 | 6,415 | 6,467 | ||||||||||||
Due after five years through ten years |
60,505 | 60,001 | 61,945 | 60,667 | ||||||||||||
Due after ten years |
739,333 | 666,971 | 702,249 | 625,470 | ||||||||||||
State and local housing finance agency obligations |
804,753 | 731,938 | 770,609 | 692,604 | ||||||||||||
Mortgage-backed securities |
||||||||||||||||
Due in one year or less |
— | — | — | — | ||||||||||||
Due after one year through five years |
1,154 | 1,169 | 1,730 | 1,768 | ||||||||||||
Due after five years through ten years |
2,345,927 | 2,492,412 | 1,324,480 | 1,351,936 | ||||||||||||
Due after ten years |
5,751,459 | 5,822,289 | 5,757,299 | 5,851,992 | ||||||||||||
Mortgage-backed securities |
8,098,540 | 8,315,870 | 7,083,509 | 7,205,696 | ||||||||||||
Total Held-to-maturity securities |
$ | 8,903,293 | $ | 9,047,808 | $ | 7,854,118 | $ | 7,898,300 | ||||||||
11
September 30, 2011 | December 31, 2010 | |||||||||||||||
Amortized | Carrying | Amortized | Carrying | |||||||||||||
Cost | Value | Cost | Value | |||||||||||||
Mortgage-backed securities |
||||||||||||||||
CMO |
||||||||||||||||
Fixed |
$ | 3,429,072 | $ | 3,426,071 | $ | 3,064,470 | $ | 3,060,797 | ||||||||
Floating |
3,069,829 | 3,069,829 | 2,105,272 | 2,105,272 | ||||||||||||
CMO Total |
6,498,901 | 6,495,900 | 5,169,742 | 5,166,069 | ||||||||||||
Pass Thru (a) |
||||||||||||||||
Fixed |
1,469,102 | 1,390,965 | 1,830,665 | 1,742,633 | ||||||||||||
Floating |
130,537 | 129,405 | 83,102 | 81,881 | ||||||||||||
Pass Thru Total |
1,599,639 | 1,520,370 | 1,913,767 | 1,824,514 | ||||||||||||
Total MBS |
8,098,540 | 8,016,270 | 7,083,509 | 6,990,583 | ||||||||||||
State and local housing finance
agency obligations |
||||||||||||||||
Fixed |
113,183 | 113,183 | 135,344 | 135,344 | ||||||||||||
Floating |
691,570 | 691,570 | 635,265 | 635,265 | ||||||||||||
804,753 | 804,753 | 770,609 | 770,609 | |||||||||||||
Total Held-to-maturity securities |
$ | 8,903,293 | $ | 8,821,023 | $ | 7,854,118 | $ | 7,761,192 | ||||||||
(a) | Includes MBS supported by pools of mortgages. |
Three months ended | Nine months ended | |||||||||||||||||||||||||||||||||||||||
Three months ended September 30, 2011 | September 30, 2011 | September 30, 2011 | ||||||||||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI(a) | OTTI(a) | ||||||||||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | Credit | Non-credit | |||||||||||||||||||||||||||||||||
Classification | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | Loss | Loss | ||||||||||||||||||||||||||||||
RMBS-Prime |
$ | — | $ | — | $ | — | $ | — | $ | 11,874 | $ | 11,215 | $ | (81 | ) | $ | (61 | ) | $ | (81 | ) | $ | (61 | ) | ||||||||||||||||
HEL Subprime
(b) |
18,999 | 10,461 | 17,701 | 11,129 | — | — | (979 | ) | 979 | (1,489 | ) | 1,323 | ||||||||||||||||||||||||||||
Total |
$ | 18,999 | $ | 10,461 | $ | 17,701 | $ | 11,129 | $ | 11,874 | $ | 11,215 | $ | (1,060 | ) | $ | 918 | $ | (1,570 | ) | $ | 1,262 | ||||||||||||||||||
Twelve months ended | ||||||||||||||||||||||||||||||||
Year ended December 31, 2010 | December 31, 2010 | |||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI(a) | |||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | |||||||||||||||||||||||||||
Classification | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | ||||||||||||||||||||||||
RMBS-Prime |
$ | — | $ | — | $ | — | $ | — | $ | 58,269 | $ | 55,631 | $ | (176 | ) | $ | (303 | ) | ||||||||||||||
HEL Subprime (b) |
31,256 | 17,090 | 173,220 | 129,804 | 70,747 | 62,300 | (8,146 | ) | 3,573 | |||||||||||||||||||||||
Total |
$ | 31,256 | $ | 17,090 | $ | 173,220 | $ | 129,804 | $ | 129,016 | $ | 117,931 | $ | (8,322 | ) | $ | 3,270 | |||||||||||||||
Three months ended | Nine months ended | |||||||||||||||||||||||||||||||
Three months ended September 30, 2010 | September 30, 2010 | September 30, 2010 | ||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | OTTI(a) | OTTI(a) | |||||||||||||||||||||||||||||
Security | Fair | Fair | Credit | Non-credit | Credit | Non-credit | ||||||||||||||||||||||||||
Classification | UPB | Value | UPB | Value | Loss | Loss | Loss | Loss | ||||||||||||||||||||||||
HEL Subprime (b) |
$ | 31,876 | $ | 15,050 | $ | 16,341 | $ | 8,233 | $ | (3,067 | ) | $ | (2,569 | ) | $ | (7,737 | ) | $ | 3,164 | |||||||||||||
Total |
$ | 31,876 | $ | 15,050 | $ | 16,341 | $ | 8,233 | $ | (3,067 | ) | $ | (2,569 | ) | $ | (7,737 | ) | $ | 3,164 | |||||||||||||
(a) | If the present value of cash flows expected to be collected (discounted at the security’s initial effective yield) is less than the amortized cost basis of the security, an OTTI is considered to have occurred because the entire amortized cost basis of the security will not be recovered. The credit-related OTTI is recognized in earnings. The non-credit portion of OTTI, which represents fair value losses of OTTI securities (excluding the amount of credit loss), is recognized in AOCI. Positive non-credit loss represents the net amount of non-credit loss reclassified from AOCI to increase the carrying value of securities previously deemed OTTI. | |
(b) | HEL Subprime securities are supported by home equity loans. |
12
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Beginning balance |
$ | 29,648 | $ | 25,486 | $ | 29,138 | $ | 20,816 | ||||||||
Additions to the credit component
for OTTI loss not previously recognized |
— | — | 25 | — | ||||||||||||
Additional credit losses for which an OTTI
charge was previously recognized |
1,060 | 3,067 | 1,545 | 7,737 | ||||||||||||
Increases in cash flows expected to be collected,
recognized over the remaining life of the securities |
— | — | — | — | ||||||||||||
Ending balance |
$ | 30,708 | $ | 28,553 | $ | 30,708 | $ | 28,553 | ||||||||
Key Base Assumption - All PLMBS at September 30, 2011 | ||||||||||||||||||||||||
CDR(a) | CPR(b) | Loss Severity %(c) | ||||||||||||||||||||||
Security Classification | Range | Average | Range | Average | Range | Average | ||||||||||||||||||
RMBS Prime |
1.0-2.8 | 1.4 | 8.7-40.7 | 21.8 | 30.0-73.7 | 35.5 | ||||||||||||||||||
Alt-A |
1.0-3.2 | 1.8 | 2.0-13.0 | 4.3 | 30.0-42.1 | 34.6 | ||||||||||||||||||
HEL Subprime |
1.0-9.5 | 3.9 | 2.0-17.6 | 3.6 | 30.0-100.0 | 73.0 |
(a) | Conditional Default Rate (CDR): 1— ((1-MDR)^12) where, MDR is defined as the “Monthly Default Rate (MDR)” = (Beginning Principal Balance of Liquidated Loans)/(Total Beginning Principal Balance). | |
(b) | Conditional Prepayment Rate (CPR): 1— ((1-SMM)^12) where, SMM is defined as the “Single Monthly Mortality (SMM)” = (Voluntary partial and full prepayments + repurchases + Liquidated Balances)/(Beginning Principal Balance — Scheduled Principal). Voluntary prepayment excludes the liquidated balances mentioned above. | |
(c) | Loss Severity (Principal and interest in the current period) = Sum (Total Realized Loss Amount)/Sum (Beginning Principal and Interest Balance of Liquidated Loans). |
September 30, 2011 | ||||||||||||||||||||
OTTI | Gross | Gross | ||||||||||||||||||
Amortized | Recognized | Unrealized | Unrealized | Fair | ||||||||||||||||
Cost | in AOCI | Gains | Losses | Value | ||||||||||||||||
Cash equivalents |
$ | 130 | $ | — | $ | — | $ | — | $ | 130 | ||||||||||
Equity funds |
5,995 | — | — | (841 | ) | 5,154 | ||||||||||||||
Fixed income funds |
3,271 | — | 267 | — | 3,538 | |||||||||||||||
GSE and U.S. Obligations |
||||||||||||||||||||
Mortgage-backed securities |
||||||||||||||||||||
CMO-Floating |
3,269,793 | — | 18,571 | (1,668 | ) | 3,286,696 | ||||||||||||||
CMBS-Floating |
49,760 | — | — | (188 | ) | 49,572 | ||||||||||||||
Total |
$ | 3,328,949 | $ | — | $ | 18,838 | $ | (2,697 | ) | $ | 3,345,090 | |||||||||
December 31, 2010 | ||||||||||||||||||||
OTTI | Gross | Gross | ||||||||||||||||||
Amortized | Recognized | Unrealized | Unrealized | Fair | ||||||||||||||||
Cost | in AOCI | Gains | Losses | Value | ||||||||||||||||
Cash equivalents |
$ | 120 | $ | — | $ | — | $ | — | $ | 120 | ||||||||||
Equity funds |
6,715 | — | 182 | (651 | ) | 6,246 | ||||||||||||||
Fixed income funds |
3,374 | — | 207 | — | 3,581 | |||||||||||||||
GSE and U.S. Obligations |
||||||||||||||||||||
Mortgage-backed securities |
||||||||||||||||||||
CMO-Floating |
3,906,932 | — | 26,588 | (3,157 | ) | 3,930,363 | ||||||||||||||
CMBS-Floating |
49,976 | — | — | (204 | ) | 49,772 | ||||||||||||||
Total |
$ | 3,967,117 | $ | — | $ | 26,977 | $ | (4,012 | ) | $ | 3,990,082 | |||||||||
(a) | The carrying value of available-for-sale securities equals fair value. No available-for-sale securities had been pledged at September 30, 2011 and December 31, 2010. | |
(b) | The Bank has a grantor trust to fund current and future payments for its employee supplemental pension plans and investments in the trust are classified as available-for-sale. The grantor trust invests in money market, equity and fixed-income and bond funds. Daily net asset values are readily available and investments are redeemable at short notice. Realized gains and losses from investments in the funds were not significant. |
13
September 30, 2011 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
MBS Investment Securities |
||||||||||||||||||||||||
MBS-Other US Obligations |
||||||||||||||||||||||||
Ginnie Mae-CMOs |
$ | 68,250 | $ | (38 | ) | $ | — | $ | — | $ | 68,250 | $ | (38 | ) | ||||||||||
MBS-GSE |
||||||||||||||||||||||||
Fannie Mae-CMOs |
418,165 | (684 | ) | 14,096 | (33 | ) | 432,261 | (718 | ) | |||||||||||||||
Fannie Mae-CMBS |
49,572 | (188 | ) | — | — | 49,572 | (188 | ) | ||||||||||||||||
Freddie Mac-CMOs |
395,650 | (895 | ) | 8,682 | (17 | ) | 404,332 | (912 | ) | |||||||||||||||
Total MBS-GSE |
863,387 | (1,767 | ) | 22,778 | (50 | ) | 886,165 | (1,818 | ) | |||||||||||||||
Total Temporarily Impaired |
$ | 931,637 | $ | (1,805 | ) | $ | 22,778 | $ | (50 | ) | $ | 954,415 | $ | (1,856 | ) | |||||||||
December 31, 2010 | ||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||
MBS Investment Securities |
||||||||||||||||||||||||
MBS-Other US Obligations |
||||||||||||||||||||||||
Ginnie Mae-CMOs |
$ | 71,922 | $ | (192 | ) | $ | — | $ | — | $ | 71,922 | $ | (192 | ) | ||||||||||
MBS-GSE |
||||||||||||||||||||||||
Fannie Mae-CMOs |
374,535 | (1,267 | ) | — | — | 374,535 | (1,267 | ) | ||||||||||||||||
Fannie Mae-CMBS |
49,772 | (204 | ) | — | — | 49,772 | (204 | ) | ||||||||||||||||
Freddie Mac-CMOs |
368,652 | (1,698 | ) | — | — | 368,652 | (1,698 | ) | ||||||||||||||||
Total MBS-GSE |
792,959 | (3,169 | ) | — | — | 792,959 | (3,169 | ) | ||||||||||||||||
Total Temporarily Impaired |
$ | 864,881 | $ | (3,361 | ) | $ | — | $ | — | $ | 864,881 | $ | (3,361 | ) | ||||||||||
September 30, 2011 | December 31, 2010 | |||||||||||||||
Amortized | Fair | Amortized | Fair | |||||||||||||
Cost | Value | Cost | Value | |||||||||||||
Mortgage-backed securities |
||||||||||||||||
GSE/U.S. agency issued CMO |
||||||||||||||||
Due after ten years |
$ | 3,269,793 | $ | 3,286,696 | $ | 3,906,932 | $ | 3,930,363 | ||||||||
GSE/U.S. agency issued CMBS |
||||||||||||||||
Due after five years
through ten years |
49,760 | 49,572 | 49,976 | 49,772 | ||||||||||||
Fixed income funds, equity funds
and cash equivalents (b) |
9,396 | 8,822 | 10,209 | 9,947 | ||||||||||||
Total |
$ | 3,328,949 | $ | 3,345,090 | $ | 3,967,117 | $ | 3,990,082 | ||||||||
(a) | The carrying value of available-for-sale securities equals fair value. | |
(b) | Determined to be redeemable at anytime. |
14
September 30, 2011 | December 31, 2010 | |||||||||||||||
Amortized Cost | Fair Value | Amortized Cost | Fair Value | |||||||||||||
Mortgage-backed securities |
||||||||||||||||
Mortgage pass-throughs-GSE/U.S. agency issued |
||||||||||||||||
Variable-rate — LIBOR indexed |
$ | 3,269,793 | $ | 3,286,696 | $ | 3,906,932 | $ | 3,930,363 | ||||||||
Variable-rate CMBS — LIBOR indexed |
49,760 | 49,572 | 49,976 | 49,772 | ||||||||||||
Total (a) |
$ | 3,319,553 | $ | 3,336,268 | $ | 3,956,908 | $ | 3,980,135 | ||||||||
(a) | Total will not agree to total AFS portfolio because bond and equity funds in a grantor trust have been excluded. |
September 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
Weighted(b) | Weighted(b) | |||||||||||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||||||||||
Amount | Yield | of Total | Amount | Yield | of Total | |||||||||||||||||||
Overdrawn demand deposit accounts |
$ | — | — | % | — | % | $ | 196 | 1.15 | % | — | % | ||||||||||||
Due in one year or less |
16,903,303 | 1.65 | 24.48 | 16,872,651 | 1.77 | 21.94 | ||||||||||||||||||
Due after one year through two years |
7,584,982 | 2.50 | 10.98 | 9,488,116 | 2.81 | 12.33 | ||||||||||||||||||
Due after two years through three years |
6,547,132 | 2.34 | 9.48 | 7,221,496 | 2.94 | 9.39 | ||||||||||||||||||
Due after three years through four
years |
4,772,269 | 2.49 | 6.91 | 5,004,502 | 2.69 | 6.50 | ||||||||||||||||||
Due after four years through five years |
12,583,873 | 3.70 | 18.22 | 6,832,709 | 2.93 | 8.88 | ||||||||||||||||||
Due after five years through six years |
13,686,116 | 4.08 | 19.82 | 9,590,448 | 4.32 | 12.46 | ||||||||||||||||||
Thereafter |
6,983,607 | 2.97 | 10.11 | 21,929,421 | 3.68 | 28.50 | ||||||||||||||||||
Total par value |
69,061,282 | 2.86 | % | 100.00 | % | 76,939,539 | 3.03 | % | 100.00 | % | ||||||||||||||
Discount on AHP advances (a) |
(22 | ) | (42 | ) | ||||||||||||||||||||
Hedging adjustments |
4,717,910 | 4,260,839 | ||||||||||||||||||||||
Total |
$ | 73,779,170 | $ | 81,200,336 | ||||||||||||||||||||
(a) | Discounts on AHP advances were amortized to interest income using the level-yield method and were not significant for all periods reported. Interest rates on AHP advances ranged from 1.25% to 3.50% at September 30, 2011 and at December 31, 2010 | |
(b) | The weighted average yield is the weighted average coupon rates for advances, unadjusted for swaps. For floating-rate advances, the weighted average rate is the rate outstanding at the reporting dates. |
15
(1) | Allows a member to retain possession of the mortgage collateral assigned to the FHLBNY if the member executes a written security agreement, provides periodic listings and agrees to hold such collateral for the benefit of the FHLBNY; however securities and cash collateral are always in physical possession; or | ||
(2) | Requires the member specifically to assign or place physical possession of such mortgage collateral with the FHLBNY or its safekeeping agent. |
Indebtedness | Collateral | |||||||||||||||||||||||
Other | Total | Mortgage | Securities and | |||||||||||||||||||||
Advances(b) | Obligations(c) | Indebtedness | Loans(d) | Deposits(d) | Total(d,e) | |||||||||||||||||||
September 30, 2011 |
$ | 69,061,282 | $ | 2,370,341 | $ | 71,431,623 | $ | 150,137,716 | $ | 41,164,472 | $ | 191,302,188 | ||||||||||||
December 31, 2010 |
$ | 76,939,539 | $ | 2,057,501 | $ | 78,997,040 | $ | 105,121,327 | $ | 42,675,062 | $ | 147,796,389 | ||||||||||||
(a) | The level of over-collateralization is on an aggregate basis and may not necessarily be indicative of a similar level of over-collateralization on an individual member basis. At a minimum, each member pledged sufficient collateral to adequately secure the member’s outstanding obligation with the FHLBNY. In addition, most members maintain an excess amount of pledged collateral with the FHLBNY to secure future liquidity needs. | |
(b) | Par value. | |
(c) | Standby financial letters of credit, derivatives and members’ credit enhancement guarantee amount (“MPFCE”). | |
(d) | Estimated market value. | |
(e) | The increase in total collateral is attributable to one new member that is currently only utilizing other obligations. |
Estimated Market Values | ||||||||||||||||
Collateral in | Collateral | Collateral | ||||||||||||||
Physical | Specifically | Pledged for | Total Collateral | |||||||||||||
Possession | Listed | AHP(a) | Received | |||||||||||||
September 30, 2011 |
$ | 46,560,706 | $ | 144,868,505 | $ | (127,023 | ) | $ | 191,302,188 | |||||||
December 31, 2010 |
$ | 48,604,470 | $ | 99,289,202 | $ | (97,283 | ) | $ | 147,796,389 | |||||||
(a) | Primarily pledged by non-members to cover potential recovery of AHP Subsidy in the event of non-compliance. This amount is included in the total collateral pledged, and the FHLBNY allocates to its AHP exposure. |
16
September 30, 2011 | December 31, 2010 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of Total | Amount | of Total | |||||||||||||
Real Estate (a): |
||||||||||||||||
Fixed medium-term single-family mortgages |
$ | 332,368 | 24.59 | % | $ | 342,081 | 27.05 | % | ||||||||
Fixed long-term single-family mortgages |
1,018,814 | 75.39 | 918,741 | 72.65 | ||||||||||||
Multi-family mortgages |
258 | 0.02 | 3,799 | 0.30 | ||||||||||||
Total par value |
1,351,440 | 100.00 | % | 1,264,621 | 100.00 | % | ||||||||||
Unamortized premiums |
14,478 | 11,333 | ||||||||||||||
Unamortized discounts |
(3,868 | ) | (4,357 | ) | ||||||||||||
Basis adjustment (b) |
1,590 | (33 | ) | |||||||||||||
Total mortgage loans held-for-portfolio |
1,363,640 | 1,271,564 | ||||||||||||||
Allowance for credit losses |
(6,728 | ) | (5,760 | ) | ||||||||||||
Total mortgage loans held-for-portfolio after
allowance for credit losses |
$ | 1,356,912 | $ | 1,265,804 | ||||||||||||
(a) | Conventional mortgages constituted the majority of mortgage loans held-for-portfolio. | |
(b) | Represents fair value basis of open and closed delivery commitments. |
17
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Allowance for credit losses: |
||||||||||||||||
Beginning balance |
$ | 6,349 | $ | 5,392 | $ | 5,760 | $ | 4,498 | ||||||||
Charge-offs |
(584 | ) | (97 | ) | (2,421 | ) | (131 | ) | ||||||||
Recoveries |
198 | 11 | 422 | 33 | ||||||||||||
Provision for credit losses on mortgage loans |
765 | 231 | 2,967 | 1,137 | ||||||||||||
Ending balance |
$ | 6,728 | $ | 5,537 | $ | 6,728 | $ | 5,537 | ||||||||
Ending balance, individually evaluated for impairment (b) |
$ | 6,728 | $ | 6,728 | ||||||||||||
Recorded investment, end of period: |
||||||||||||||||
Individually evaluated for impairment — Total impaired loans |
$ | 25,732 | $ | 25,732 | ||||||||||||
Collectively evaluated for impairment (c) |
$ | 16,363 | $ | 16,363 | ||||||||||||
(a) | The Bank assesses impairment on a loan level basis for conventional loans. | |
(b) | Allowance for loan losses associated with loans individually evaluated for impairment. | |
(c) | All government-guaranteed loans are collectively evaluated for impairment. |
September 30, 2011 | December 31, 2010 | |||||||
Mortgage loans, net of provisions for credit losses |
$ | 1,356,912 | $ | 1,265,804 | ||||
Non-performing mortgage loans — Conventional |
$ | 25,351 | $ | 26,781 | ||||
Insured MPF loans past due 90 days or more and still accruing interest |
$ | 304 | $ | 574 | ||||
(a) | Includes loans classified as sub-standard, doubtful or loss under regulatory criteria. |
Three months ended | Nine months ended | |||||||||||||||||||||||||||
September 30, 2011 | September 30, 2011 | September 30, 2011 | ||||||||||||||||||||||||||
Unpaid | Average | Interest | Average | Interest | ||||||||||||||||||||||||
Recorded | Principal | Related | Recorded | Income | Recorded | Income | ||||||||||||||||||||||
Impaired Loans | Investment | Balance | Allowance | Investment | Recognized(b) | Investment | Recognized(b) | |||||||||||||||||||||
With no related allowance: |
||||||||||||||||||||||||||||
Conventional MPF Loans (a) |
$ | 4,434 | $ | 4,432 | $ | — | $ | 4,424 | $ | — | $ | 4,377 | $ | — | ||||||||||||||
With an allowance: |
||||||||||||||||||||||||||||
Conventional MPF Loans (a) |
21,298 | 21,302 | 6,728 | 21,254 | — | 21,658 | — | |||||||||||||||||||||
Total Conventional MPF Loans (a) |
$ | 25,732 | $ | 25,734 | $ | 6,728 | $ | 25,678 | $ | — | $ | 26,035 | $ | — | ||||||||||||||
Year ended December 31, 2010 | ||||||||||||||||||||
Unpaid | Average | Interest | ||||||||||||||||||
Recorded | Principal | Related | Recorded | Income | ||||||||||||||||
Impaired Loans | Investment | Balance | Allowance | Investment | Recognized(b) | |||||||||||||||
With no related allowance: |
||||||||||||||||||||
Conventional MPF Loans (a) |
$ | 5,876 | $ | 5,856 | $ | — | $ | 4,867 | $ | — | ||||||||||
With an allowance: |
||||||||||||||||||||
Conventional MPF Loans (a) |
20,909 | 20,925 | 5,760 | 18,402 | — | |||||||||||||||
Total Conventional MPF Loans (a) |
$ | 26,785 | $ | 26,781 | $ | 5,760 | $ | 23,269 | $ | — | ||||||||||
(a) | Based on analysis of the nature of risks of the Bank’s investments in MPF loans, including its methodologies for identifying and measuring impairment, the management of the FHLBNY has determined that presenting such loans as a single class is appropriate. | |
(b) | Insured loans were not considered impaired. The Bank does not record interest received to income from uninsured loans past due 90-days or greater. |
18
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Interest contractually due (a) |
$ | 378 | $ | 373 | $ | 1,045 | $ | 973 | ||||||||
Interest actually received |
347 | 344 | 967 | 898 | ||||||||||||
Shortfall |
$ | 31 | $ | 29 | $ | 78 | $ | 75 | ||||||||
(a) | The Bank does not recognize interest received as income from uninsured loans past due 90-days or greater. |
September 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
Conventional | Insured | Other | Conventional | Insured | Other | |||||||||||||||||||
MPF Loans | Loans | Loans | MPF Loans | Loans | Loans | |||||||||||||||||||
Mortgage loans: |
||||||||||||||||||||||||
Past due 30 - 59 days |
$ | 20,535 | $ | 514 | $ | — | $ | 19,651 | $ | 768 | $ | — | ||||||||||||
Past due 60 - 89 days |
6,844 | 58 | — | 6,437 | 207 | — | ||||||||||||||||||
Past due 90 days or more |
25,351 | 307 | — | 26,785 | 577 | — | ||||||||||||||||||
Total past due |
52,730 | 879 | — | 52,873 | 1,552 | — | ||||||||||||||||||
Total current loans |
1,299,725 | 15,484 | 259 | 1,214,725 | 4,119 | 3,799 | ||||||||||||||||||
Total mortgage loans |
$ | 1,352,455 | $ | 16,363 | $ | 259 | $ | 1,267,598 | $ | 5,671 | $ | 3,799 | ||||||||||||
Other delinquency statistics: |
||||||||||||||||||||||||
Loans in process of foreclosure,
included above |
$ | 18,147 | $ | 193 | $ | — | $ | 14,615 | $ | 284 | $ | — | ||||||||||||
Serious delinquency rate (b) |
1.89 | % | 1.88 | % | — | % | 2.14 | % | 10.11 | % | — | % | ||||||||||||
Serious delinquent loans total used in
calculation of serious delinquency rate |
$ | 25,569 | $ | 307 | $ | — | $ | 27,112 | $ | 573 | $ | — | ||||||||||||
Past due 90 days or more and still
accruing interest |
$ | — | $ | 307 | $ | — | $ | — | $ | 573 | $ | — | ||||||||||||
Loans on non-accrual status |
$ | 25,351 | $ | — | $ | — | $ | 26,785 | $ | — | $ | — | ||||||||||||
Troubled debt restructurings (c) |
$ | 382 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Real estate owned |
$ | 785 | $ | 600 | ||||||||||||||||||||
(a) | Recorded investments include accrued interest receivable and would not equal reported carrying values. | |
(b) | Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of total loan portfolio class recorded investment. | |
(c) | A troubled debt restructuring is considered to have occurred when a concession is granted to a borrower for economic or legal reasons related to the borrower’s financial difficulties and that concession would not have been considered otherwise. The FHLBNY’s MPF Loan troubled debt restructurings primarily involve modifying the borrower’s monthly payment for a period of up to 36 months, with a cap based on a ratio of the borrower’s housing expense to monthly income. The outstanding principal balance is re-amortized to reflect a principal and interest payment for a term not to exceed 40 years. This would result in a balloon payment at the original maturity date of the loan as the maturity date and number of remaining monthly payments is unchanged. If the housing expense ratio is still not met, the interest rate is reduced for up to 36 months in 0.125% increments below the original note rate, to a floor rate of 3.00%, resulting in reduced principal and interest payments until the target housing expense ratio is met. | |
Certain comparative data were reclassified to conform to the presentation adopted as of September 30, 2011. |
September 30, 2011 | December 31, 2010 | |||||||
Due in one year or less |
$ | 29,000 | $ | 42,700 | ||||
Total term deposits |
$ | 29,000 | $ | 42,700 | ||||
19
September 30, 2011 | December 31, 2010 | |||||||
Percentage of
unpledged
qualifying assets
to consolidated
obligations |
109 | % | 110 | % | ||||
September 30, 2011 | December 31, 2010 | |||||||
Consolidated obligation bonds-amortized cost |
$ | 65,215,869 | $ | 71,114,070 | ||||
Fair value basis adjustments |
1,053,501 | 622,593 | ||||||
Fair value basis on terminated hedges |
353 | 501 | ||||||
FVO (a)-valuation adjustments and accrued interest |
11,126 | 5,463 | ||||||
Total Consolidated obligation-bonds |
$ | 66,280,849 | $ | 71,742,627 | ||||
Discount notes-amortized cost |
$ | 22,536,191 | $ | 19,388,317 | ||||
Fair value basis adjustments |
(404 | ) | — | |||||
FVO (a)-valuation adjustments and remaining accretion |
2,990 | 3,135 | ||||||
Total Consolidated obligation-discount notes |
$ | 22,538,777 | $ | 19,391,452 | ||||
(a) | Accounted under the Fair Value Option rules. |
September 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
Weighted | Weighted | |||||||||||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||||||||||
Maturity | Amount | Rate(b) | of Total | Amount | Rate(b) | of Total | ||||||||||||||||||
One year or less |
$ | 34,940,695 | 0.57 | % | 53.68 | % | $ | 33,302,200 | 0.91 | % | 46.91 | % | ||||||||||||
Over one year through two years |
15,532,480 | 1.33 | 23.87 | 17,037,375 | 1.12 | 24.00 | ||||||||||||||||||
Over two years through three years |
5,084,635 | 2.51 | 7.81 | 9,529,950 | 2.21 | 13.43 | ||||||||||||||||||
Over three years through four years |
4,032,980 | 2.72 | 6.20 | 3,689,355 | 2.82 | 5.20 | ||||||||||||||||||
Over four years through five years |
1,913,200 | 2.21 | 2.94 | 4,001,400 | 2.36 | 5.64 | ||||||||||||||||||
Over five years through six years |
195,700 | 1.98 | 0.30 | 462,500 | 3.34 | 0.65 | ||||||||||||||||||
Thereafter |
3,382,965 | 3.85 | 5.20 | 2,959,200 | 4.04 | 4.17 | ||||||||||||||||||
65,082,655 | 1.26 | % | 100.00 | % | 70,981,980 | 1.46 | % | 100.00 | % | |||||||||||||||
Bond premiums (c) |
162,572 | 163,830 | ||||||||||||||||||||||
Bond discounts (c) |
(29,358 | ) | (31,740 | ) | ||||||||||||||||||||
Fair value basis adjustments |
1,053,501 | 622,593 | ||||||||||||||||||||||
Fair value basis adjustments on terminated hedges |
353 | 501 | ||||||||||||||||||||||
FVO (a)-valuation adjustments and accrued interest |
11,126 | 5,463 | ||||||||||||||||||||||
$ | 66,280,849 | $ | 71,742,627 | |||||||||||||||||||||
(a) | Accounted under the Fair Value Option rules. | |
(b) | Weighted average rate represents the weighted average contractual coupons of bonds, unadjusted for swaps. | |
(c) | Amortization of bond premiums and discounts resulted in net reduction of interest expense of $14.6 million and $40.8 million for the three and nine months ended September 30, 2011, and $8.3 million and $22.6 million for the same periods in 2010. Amortization of basis adjustments from terminated hedges were $1.0 million and $3.0 million, and were recorded as an expense for the three and nine months ended September 30, 2011, and $1.7 million and $4.9 million for the same periods in 2010. |
20
September 30, 2011 | December 31, 2010 | |||||||
Par value |
$ | 22,543,278 | $ | 19,394,503 | ||||
Amortized cost |
$ | 22,536,191 | $ | 19,388,317 | ||||
Fair value basis adjustments |
(404 | ) | — | |||||
Fair value option valuation adjustments |
2,990 | 3,135 | ||||||
Total |
$ | 22,538,777 | $ | 19,391,452 | ||||
Weighted average interest rate |
0.07 | % | 0.16 | % | ||||
21
September 30, 2011 | December 31, 2010 | |||||||||||||||
Required(d) | Actual | Required(d) | Actual | |||||||||||||
Regulatory capital requirements: |
||||||||||||||||
Risk-based capital (a), (e) |
$ | 521,254 | $ | 5,338,339 | $ | 538,917 | $ | 5,304,272 | ||||||||
Total capital-to-asset ratio |
4.00 | % | 5.48 | % | 4.00 | % | 5.29 | % | ||||||||
Total capital (b) |
$ | 3,893,352 | $ | 5,338,339 | $ | 4,008,483 | $ | 5,304,272 | ||||||||
Leverage ratio |
5.00 | % | 8.23 | % | 5.00 | % | 7.94 | % | ||||||||
Leverage capital (c) |
$ | 4,866,690 | $ | 8,007,508 | $ | 5,010,604 | $ | 7,956,408 |
(a) | 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.” | |
(b) | Required “Total capital” is 4.0% of total assets. | |
(c) | Actual “Leverage capital” is Actual “Risk-based capital” times 1.5. | |
(d) | Required minimum. | |
(e) | Under regulatory guidelines issued by the Federal Housing finance Agency (“FHFA”), the Bank’s regulator, concurrently with the rating action on August 8, 2011 by S&P lowered the rating of long-term securities issued by the U.S. government, federal agencies, and other entities, including Fannie Mae, Freddie Mac, and the Federal Home Loan Banks, from AAA to AA+. With regard to this action, consistent with guidance provided by the banking regulators with respect to capital rules, the FHFA provides the following guidance for the Federal Home Loan Banks: the risk weights for Treasury securities and other securities issued or guaranteed by the U.S. Government, government agencies, and government-sponsored entities do not change for purposes of calculating risk-based capital. |
September 30, 2011 | December 31, 2010 | |||||||
Redemption less than one year |
$ | 36,162 | $ | 27,875 | ||||
Redemption from one year to less than three years |
4,565 | 17,019 | ||||||
Redemption from three years to less than five years |
69 | 2,035 | ||||||
Redemption after five years or greater |
17,526 | 16,290 | ||||||
Total |
$ | 58,322 | $ | 63,219 | ||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Voluntary Termination/Notices Received and Pending |
— | — | — | 1 | ||||||||||||
Involuntary Termination (a) |
— | — | 1 | 5 | ||||||||||||
Non-member due to merger |
— | 1 | 1 | 1 |
(a) | The Board of Directors of FHLBank may terminate the membership of any institution that: (1) fails to comply with any requirement of the FHLBank Act, any regulation adopted by the Finance Agency, or any requirement of the Bank’s capital plan; (2) becomes insolvent or otherwise subject to the appointment of a conservator, receiver, or other legal custodian under federal or state law; or (3) would jeopardize the safety or soundness of the FHLBank if it was to remain a member. |
22
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Beginning balance |
$ | 58,221 | $ | 69,569 | $ | 63,219 | $ | 126,294 | ||||||||
Capital stock subject to mandatory redemption
reclassified from equity |
— | 42 | 3,349 | 30,308 | ||||||||||||
Redemption of mandatorily redeemable capital stock (a) |
101 | (2,263 | ) | (8,246 | ) | (89,254 | ) | |||||||||
Ending balance |
$ | 58,322 | $ | 67,348 | $ | 58,322 | $ | 67,348 | ||||||||
Accrued interest payable (b) |
$ | 660 | $ | 794 | $ | 660 | $ | 794 | ||||||||
(a) | Redemption includes repayment of excess stock. | |
(b) | The annualized accrual rates were 4.50% for September 30, 2011 and 4.60% for September 30, 2010. |
Non-credit | Reclassification | Accumulated | ||||||||||||||||||||||||||||||
Available- | OTTI on HTM | of Non-credit | Cash | Supplemental | Other | Total | ||||||||||||||||||||||||||
for-sale | Securities, | OTTI to | Flow | Retirement | Comprehensive | Net | Comprehensive | |||||||||||||||||||||||||
Securities | Net of accretion | Net Income | Hedges | Plans | Income (Loss) | Income | Income (loss) | |||||||||||||||||||||||||
Balance, June 30, 2010 |
$ | 20,182 | $ | (107,534 | ) | $ | 5,657 | $ | (19,614 | ) | $ | (7,877 | ) | $ | (109,186 | ) | ||||||||||||||||
Net change |
3,633 | 3,265 | 2,569 | 1,882 | — | 11,349 | $ | 78,792 | $ | 90,141 | ||||||||||||||||||||||
Balance, September 30, 2010 |
$ | 23,815 | $ | (104,269 | ) | $ | 8,226 | $ | (17,732 | ) | $ | (7,877 | ) | $ | (97,837 | ) | ||||||||||||||||
Balance, June 30, 2011 |
$ | 18,613 | $ | (95,319 | ) | $ | 9,119 | $ | (20,823 | ) | $ | (11,527 | ) | $ | (99,937 | ) | ||||||||||||||||
Net change |
(2,472 | ) | 2,951 | 979 | (85,571 | ) | — | (84,113 | ) | $ | 35,670 | $ | (48,443 | ) | ||||||||||||||||||
Balance, September 30, 2011 |
$ | 16,141 | $ | (92,368 | ) | $ | 10,098 | $ | (106,394 | ) | $ | (11,527 | ) | $ | (184,050 | ) | ||||||||||||||||
Non-credit | Reclassification | Accumulated | ||||||||||||||||||||||||||||||
Available- | OTTI on HTM | of Non-credit | Cash | Supplemental | Other | Total | ||||||||||||||||||||||||||
for-sale | Securities, | OTTI to | Flow | Retirement | Comprehensive | Net | Comprehensive | |||||||||||||||||||||||||
Securities | Net of accretion | Net Income | Hedges | Plans | Income (Loss) | Income | Income (loss) | |||||||||||||||||||||||||
Balance, December 31, 2009 |
$ | (3,409 | ) | $ | (113,562 | ) | $ | 2,992 | $ | (22,683 | ) | $ | (7,877 | ) | $ | (144,539 | ) | |||||||||||||||
Net change |
27,224 | 9,293 | 5,234 | 4,951 | — | 46,702 | $ | 189,097 | $ | 235,799 | ||||||||||||||||||||||
Balance, September 30, 2010 |
$ | 23,815 | $ | (104,269 | ) | $ | 8,226 | $ | (17,732 | ) | $ | (7,877 | ) | $ | (97,837 | ) | ||||||||||||||||
Balance, December 31, 2010 |
$ | 22,965 | $ | (101,560 | ) | $ | 8,634 | $ | (15,196 | ) | $ | (11,527 | ) | $ | (96,684 | ) | ||||||||||||||||
Net change |
(6,824 | ) | 9,192 | 1,464 | (91,198 | ) | — | (87,366 | ) | $ | 159,961 | $ | 72,595 | |||||||||||||||||||
Balance, September 30, 2011 |
$ | 16,141 | $ | (92,368 | ) | $ | 10,098 | $ | (106,394 | ) | $ | (11,527 | ) | $ | (184,050 | ) | ||||||||||||||||
23
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Net income |
$ | 35,670 | $ | 78,792 | $ | 159,961 | $ | 189,097 | ||||||||
Net income available to stockholders |
$ | 35,670 | $ | 78,792 | $ | 159,961 | $ | 189,097 | ||||||||
Weighted average shares of capital |
46,813 | 46,800 | 45,077 | 48,429 | ||||||||||||
Less: Mandatorily redeemable capital stock |
(582 | ) | (685 | ) | (587 | ) | (910 | ) | ||||||||
Average number of shares of capital used to calculate earnings per share |
46,231 | 46,115 | 44,490 | 47,519 | ||||||||||||
Basic earnings per share |
$ | 0.77 | $ | 1.71 | $ | 3.60 | $ | 3.98 | ||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Defined Benefit Plan |
$ | 492 | $ | 4,000 | $ | 29,484 | $ | 6,623 | ||||||||
Benefit Equalization Plan (defined benefit) |
695 | 570 | 2,085 | 1,710 | ||||||||||||
Defined Contribution Plan |
363 | 528 | 1,067 | 1,137 | ||||||||||||
Postretirement Health Benefit Plan |
285 | 281 | 854 | 843 | ||||||||||||
Total retirement plan expenses |
$ | 1,835 | $ | 5,379 | $ | 33,490 | $ | 10,313 | ||||||||
(a) | In March 2011, the FHLBNY contributed $24.0 million to its Defined Benefit Plan to eliminate a funding shortfall. Prior to the contribution the DB Plan’s adjusted funding target attainment percentage (“AFTAP”) was 79.9% (80%) based on the actuarial valuation for the DB Plan. The AFTAP equals DB Plan assets divided by plan liabilities. Under the Pension Protection Act of 2006 (“PPA”), if the AFTAP in any future year is less than 80%, then the DB Plan will be restricted in its ability to provided increased benefits and /or lump sum distributions. If the AFTAP in any future year is less than 60%, then benefit accruals will be frozen. The contribution to the DB Plan was charged to Compensation and Benefits for the three months ended March 31, 2011. |
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Service cost |
$ | 165 | $ | 163 | $ | 495 | $ | 489 | ||||||||
Interest cost |
324 | 279 | 970 | 837 | ||||||||||||
Amortization of unrecognized prior service cost |
(14 | ) | (17 | ) | (40 | ) | (50 | ) | ||||||||
Amortization of unrecognized net loss |
220 | 145 | 660 | 434 | ||||||||||||
Net periodic benefit cost |
$ | 695 | $ | 570 | $ | 2,085 | $ | 1,710 | ||||||||
24
September 30, 2011 | December 31, 2010 | |||||||
Discount rate (a) |
5.35 | % | 5.35 | % | ||||
Salary increases |
5.50 | % | 5.50 | % | ||||
Amortization period (years) |
8 | 8 | ||||||
Benefits paid during the period |
$ | (1,006 | ) (b) | $ | (515 | ) |
(a) | The discount rate was based on the Citigroup Pension Liability Index at December 31, 2010 and adjusted for duration. | |
(b) | Forecast for the entire year. |
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Service cost (benefits attributed to service during the period) |
$ | 180 | $ | 157 | $ | 541 | $ | 470 | ||||||||
Interest cost on accumulated postretirement health benefit obligation |
221 | 229 | 662 | 687 | ||||||||||||
Amortization of loss |
66 | 78 | 199 | 235 | ||||||||||||
Amortization of prior service cost/(credit) |
(182 | ) | (183 | ) | (548 | ) | (549 | ) | ||||||||
Net periodic postretirement health benefit cost |
$ | 285 | $ | 281 | $ | 854 | $ | 843 | ||||||||
September 30, 2011 | December 31, 2010 | |||
Weighted average discount rate |
5.35% | 5.35% | ||
Health care cost trend rates: |
||||
Assumed for next year |
9.00% | 9.00% | ||
Pre 65 Ultimate rate |
5.00% | 5.00% | ||
Pre 65 Year that ultimate rate is reached |
2016 | 2016 | ||
Post 65 Ultimate rate |
6.00% | 6.00% | ||
Post 65 Year that ultimate rate is reached |
2016 | 2016 | ||
Alternative amortization methods used to amortize |
||||
Prior service cost |
Straight - line | Straight - line | ||
Unrecognized net (gain) or loss |
Straight - line | Straight - line |
(a) | The discount rate was based on the Citigroup Pension Liability Index at December 31, 2010 and adjusted for duration. |
25
26
27
September 30, 2011 | ||||||||||||
Notional Amount of | ||||||||||||
Derivatives | Derivative Assets | Derivative Liabilities | ||||||||||
Fair value of derivative instruments |
||||||||||||
Derivatives designated in hedging relationships |
||||||||||||
Interest rate swaps-fair value hedges |
$ | 85,694,024 | $ | 1,191,621 | $ | 4,919,416 | ||||||
Interest rate swaps-cash flow hedges |
858,000 | — | 92,119 | |||||||||
Total derivatives in hedging instruments |
86,552,024 | 1,191,621 | 5,011,535 | |||||||||
Derivatives not designated as hedging instruments |
||||||||||||
Interest rate swaps |
33,076,237 | 12,500 | 26,461 | |||||||||
Interest rate caps or floors |
1,900,000 | 13,510 | 21 | |||||||||
Mortgage delivery commitments |
28,327 | 232 | 18 | |||||||||
Other* |
550,000 | 10,637 | 10,091 | |||||||||
Total derivatives not designated as hedging instruments |
35,554,564 | 36,879 | 36,591 | |||||||||
Total derivatives before netting and collateral adjustments |
$ | 122,106,588 | 1,228,500 | 5,048,126 | ||||||||
Netting adjustments |
(1,019,177 | ) | (1,019,177 | ) | ||||||||
Cash collateral and related accrued interest |
(155,950 | ) | (3,629,555 | ) | ||||||||
Total collateral and netting adjustments |
(1,175,127 | ) | (4,648,732 | ) | ||||||||
Total reported on the Statements of Condition |
$ | 53,373 | $ | 399,394 | ||||||||
December 31, 2010 | ||||||||||||
Notional Amount of | ||||||||||||
Derivatives | Derivative Assets | Derivative Liabilities | ||||||||||
Fair value of derivative instruments |
||||||||||||
Derivatives designated in hedging relationships |
||||||||||||
Interest rate swaps-fair value hedges |
$ | 93,840,813 | $ | 944,807 | $ | 4,661,102 | ||||||
Interest rate swaps-cash flow hedges |
— | — | — | |||||||||
Total derivatives in hedging instruments |
93,840,813 | 944,807 | 4,661,102 | |||||||||
Derivatives not designated as hedging instruments |
||||||||||||
Interest rate swaps |
24,400,547 | 23,911 | 12,543 | |||||||||
Interest rate caps or floors |
1,900,000 | 41,881 | 107 | |||||||||
Mortgage delivery commitments |
29,993 | 9 | 523 | |||||||||
Other* |
550,000 | 6,069 | 5,392 | |||||||||
Total derivatives not designated as hedging instruments |
26,880,540 | 71,870 | 18,565 | |||||||||
Total derivatives before netting and collateral adjustments |
$ | 120,721,353 | 1,016,677 | 4,679,667 | ||||||||
Netting adjustments |
(994,667 | ) | (994,667 | ) | ||||||||
Cash collateral and related accrued interest |
— | (2,730,102 | ) | |||||||||
Total collateral and netting adjustments |
(994,667 | ) | (3,724,769 | ) | ||||||||
Total reported on the Statements of Condition |
$ | 22,010 | $ | 954,898 | ||||||||
* | Other: Comprised of swaps intermediated for members. |
28
Three months ended September 30, | |||||||||||||||||||||||||||||||||||
2011 | 2010 | ||||||||||||||||||||||||||||||||||
Effect of | Effect of | ||||||||||||||||||||||||||||||||||
Derivatives on | Derivatives on | ||||||||||||||||||||||||||||||||||
Gain (Loss) on | Gain (Loss) on | Earnings | Net Interest | Gain (Loss) on | Gain (Loss) on | Earnings | Net Interest | ||||||||||||||||||||||||||||
Derivative | Hedged Item | Impact | Income (a) | Derivative | Hedged Item | Impact | Income (a) | ||||||||||||||||||||||||||||
Derivatives designated as hedging instruments |
|||||||||||||||||||||||||||||||||||
Interest rate swaps |
|||||||||||||||||||||||||||||||||||
Advances |
$ | (1,050,548 | ) | $ | 1,073,284 | $ | 22,736 | $ | (430,967 | ) | $ | (880,233 | ) | $ | 881,448 | $ | 1,215 | $ | (478,422 | ) | |||||||||||||||
Consolidated obligations-bonds |
375,271 | (381,479 | ) | (6,208 | ) | 113,714 | 206,540 | (208,047 | ) | (1,507 | ) | 137,824 | |||||||||||||||||||||||
Consolidated obligations-discount notes |
239 | 404 | 643 | 324 | — | — | — | — | |||||||||||||||||||||||||||
Net gain (loss) related to fair value hedges |
(675,038 | ) | 692,209 | 17,171 | (316,929 | ) | (673,693 | ) | 673,401 | (292 | ) | (340,598 | ) | ||||||||||||||||||||||
Cash flow hedges |
(119 | ) | — | (119 | ) | (4,828 | ) | — | — | — | — | ||||||||||||||||||||||||
Derivatives not designated as hedging instruments |
|||||||||||||||||||||||||||||||||||
Interest rate swaps |
|||||||||||||||||||||||||||||||||||
Advances |
(489 | ) | — | (489 | ) | — | (1,203 | ) | — | (1,203 | ) | — | |||||||||||||||||||||||
Consolidated obligations-bonds |
(14,456 | ) | — | (14,456 | ) | — | 6,753 | — | 6,753 | — | |||||||||||||||||||||||||
Consolidated obligations-discount notes |
30 | — | 30 | — | (231 | ) | — | (231 | ) | — | |||||||||||||||||||||||||
Member intermediation |
(43 | ) | — | (43 | ) | — | 202 | — | 202 | — | |||||||||||||||||||||||||
Balance sheet-macro hedges swaps |
— | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Accrued interest-swaps |
2,624 | — | 2,624 | — | 2,381 | — | 2,381 | — | |||||||||||||||||||||||||||
Accrued interest-intermediation |
47 | — | 47 | — | 42 | — | 42 | — | |||||||||||||||||||||||||||
Caps and floors |
|||||||||||||||||||||||||||||||||||
Advances |
(19 | ) | — | (19 | ) | — | (19 | ) | — | (19 | ) | — | |||||||||||||||||||||||
Balance sheet |
(15,184 | ) | — | (15,184 | ) | — | (14,618 | ) | — | (14,618 | ) | — | |||||||||||||||||||||||
Accrued interest-options |
— | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Mortgage delivery commitments |
1,788 | — | 1,788 | — | 257 | — | 257 | — | |||||||||||||||||||||||||||
Swaps economically hedging
instruments designated under FVO |
|||||||||||||||||||||||||||||||||||
Consolidated obligations-bonds |
(5,732 | ) | — | (5,732 | ) | — | 8,025 | — | 8,025 | — | |||||||||||||||||||||||||
Consolidated obligations-discount notes |
(418 | ) | — | (418 | ) | — | 1,674 | — | 1,674 | — | |||||||||||||||||||||||||
Accrued interest on swaps |
6,192 | — | 6,192 | — | 5,473 | — | 5,473 | — | |||||||||||||||||||||||||||
Net gain (loss) related to derivatives
not designated as hedging instruments |
(25,660 | ) | — | (25,660 | ) | — | 8,736 | — | 8,736 | — | |||||||||||||||||||||||||
Total |
$ | (700,817 | ) | $ | 692,209 | $ | (8,608 | ) | $ | (321,757 | ) | $ | (664,957 | ) | $ | 673,401 | $ | 8,444 | $ | (340,598 | ) | ||||||||||||||
Nine months ended September 30, | |||||||||||||||||||||||||||||||||||
2011 | 2010 | ||||||||||||||||||||||||||||||||||
Effect of | Effect of | ||||||||||||||||||||||||||||||||||
Derivatives on | Derivatives on | ||||||||||||||||||||||||||||||||||
Gain (Loss) on | Gain (Loss) on | Earnings | Net Interest | Gain (Loss) on | Gain (Loss) on | Earnings | Net Interest | ||||||||||||||||||||||||||||
Derivative | Hedged Item | Impact | Income (a) | Derivative | Hedged Item | Impact | Income (a) | ||||||||||||||||||||||||||||
Derivatives designated as hedging instruments |
|||||||||||||||||||||||||||||||||||
Interest rate swaps |
|||||||||||||||||||||||||||||||||||
Advances |
$ | (1,034,404 | ) | $ | 1,113,710 | $ | 79,306 | $ | (1,281,665 | ) | $ | (2,020,332 | ) | $ | 2,020,771 | $ | 439 | $ | (1,519,392 | ) | |||||||||||||||
Consolidated obligations-bonds |
428,266 | (431,173 | ) | (2,907 | ) | 381,400 | 492,043 | (489,735 | ) | 2,308 | 483,049 | ||||||||||||||||||||||||
Consolidated obligations-discount notes |
239 | 404 | 643 | 324 | — | — | — | — | |||||||||||||||||||||||||||
Net gain (loss) related to fair value hedges |
(605,899 | ) | 682,941 | 77,042 | (899,941 | ) | (1,528,289 | ) | 1,531,036 | 2,747 | (1,036,343 | ) | |||||||||||||||||||||||
Cash flow hedges |
(119 | ) | — | (119 | ) | (6,222 | ) | — | — | — | — | ||||||||||||||||||||||||
Derivatives not designated as hedging instruments |
|||||||||||||||||||||||||||||||||||
Interest rate swaps |
|||||||||||||||||||||||||||||||||||
Advances |
(319 | ) | — | (319 | ) | — | (3,164 | ) | — | (3,164 | ) | — | |||||||||||||||||||||||
Consolidated obligations-bonds |
(13,226 | ) | — | (13,226 | ) | — | (29,762 | ) | — | (29,762 | ) | — | |||||||||||||||||||||||
Consolidated obligations-discount notes |
30 | — | 30 | — | (4,331 | ) | — | (4,331 | ) | — | |||||||||||||||||||||||||
Member intermediation |
(130 | ) | — | (130 | ) | — | 357 | — | 357 | — | |||||||||||||||||||||||||
Balance sheet-macro hedges swaps |
— | — | — | — | 173 | — | 173 | — | |||||||||||||||||||||||||||
Accrued interest-swaps |
7,751 | — | 7,751 | — | 46,900 | — | 46,900 | — | |||||||||||||||||||||||||||
Accrued interest-intermediation |
140 | — | 140 | — | 91 | — | 91 | — | |||||||||||||||||||||||||||
Caps and floors |
|||||||||||||||||||||||||||||||||||
Advances |
(56 | ) | — | (56 | ) | — | (418 | ) | — | (418 | ) | — | |||||||||||||||||||||||
Balance sheet |
(28,284 | ) | — | (28,284 | ) | — | (47,901 | ) | — | (47,901 | ) | — | |||||||||||||||||||||||
Accrued interest-options |
— | — | — | — | (2,598 | ) | — | (2,598 | ) | — | |||||||||||||||||||||||||
Mortgage delivery commitments |
2,327 | — | 2,327 | — | 811 | — | 811 | — | |||||||||||||||||||||||||||
Swaps economically hedging
instruments designated under FVO |
|||||||||||||||||||||||||||||||||||
Consolidated obligations-bonds |
(3,754 | ) | — | (3,754 | ) | — | 10,381 | — | 10,381 | — | |||||||||||||||||||||||||
Consolidated obligations-discount notes |
(1,476 | ) | — | (1,476 | ) | — | 2,448 | — | 2,448 | — | |||||||||||||||||||||||||
Accrued interest on swaps |
22,680 | — | 22,680 | — | 20,922 | — | 20,922 | — | |||||||||||||||||||||||||||
Net gain (loss) related to derivatives
not designated as hedging instruments |
(14,317 | ) | — | (14,317 | ) | — | (6,091 | ) | — | (6,091 | ) | — | |||||||||||||||||||||||
Total |
$ | (620,335 | ) | $ | 682,941 | $ | 62,606 | $ | (906,163 | ) | $ | (1,534,380 | ) | $ | 1,531,036 | $ | (3,344 | ) | $ | (1,036,343 | ) | ||||||||||||||
(a) | Represents interest expense and income generated from hedge qualifying interest-rate swaps that were recorded with interest income and expense of the hedged — bonds, discount notes, and advances. |
29
Three months ended September 30, | ||||||||||||||||||||||||||||||||
2011 | 2010 | |||||||||||||||||||||||||||||||
AOCI | AOCI | |||||||||||||||||||||||||||||||
Gains/(Losses) | Gains/(Losses) | |||||||||||||||||||||||||||||||
Location: | Amount | Ineffectiveness | Location: | Amount | Ineffectiveness | |||||||||||||||||||||||||||
Recognized in | Reclassified to | Reclassified to | Recognized in | Recognized in | Reclassified to | Reclassified to | Recognized in | |||||||||||||||||||||||||
AOCI (c), (d) | Earnings (c) | Earnings (c) | Earnings | AOCI(c), (d) | Earnings (c) | Earnings (c) | Earnings | |||||||||||||||||||||||||
The effect of cash flow hedge related to
Interest rate swaps |
||||||||||||||||||||||||||||||||
Advances |
$ | — | Interest Income | $ | — | $ | — | $ | — | Interest Income | $ | — | $ | — | ||||||||||||||||||
Consolidated obligations-bonds (a) |
(5,767 | ) | Interest Expense | 986 | (119 | ) | — | Interest Expense | 1,882 | — | ||||||||||||||||||||||
Consolidated obligations-discount notes (b) |
(80,790 | ) | Interest Expense | — | — | — | Interest Expense | — | — | |||||||||||||||||||||||
Total |
$ | (86,557 | ) | $ | 986 | $ | (119 | ) | $ | — | $ | 1,882 | $ | — | ||||||||||||||||||
Nine months ended September 30, | ||||||||||||||||||||||||||||||||
2011 | 2010 | |||||||||||||||||||||||||||||||
AOCI | AOCI | |||||||||||||||||||||||||||||||
Gains/(Losses) | Gains/(Losses) | |||||||||||||||||||||||||||||||
Location: | Amount | Ineffectiveness | Location: | Amount | Ineffectiveness | |||||||||||||||||||||||||||
Recognized in | Reclassified to | Reclassified to | Recognized in | Recognized in | Reclassified to | Reclassified to | Recognized in | |||||||||||||||||||||||||
AOCI (c), (d) | Earnings (c) | Earnings (c) | Earnings | AOCI(c), (d) | Earnings (c) | Earnings (c) | Earnings | |||||||||||||||||||||||||
The effect of cash flow hedge related to
Interest rate swaps |
||||||||||||||||||||||||||||||||
Advances |
$ | — | Interest Income | $ | — | $ | — | $ | — | Interest Income | $ | — | $ | — | ||||||||||||||||||
Consolidated obligations-bonds (a) |
(2,063 | ) | Interest Expense | 2,984 | (119 | ) | (472 | ) | Interest Expense | 5,423 | — | |||||||||||||||||||||
Consolidated obligations-discount notes (b) |
(92,119 | ) | Interest Expense | — | — | — | Interest Expense | — | — | |||||||||||||||||||||||
Total |
$ | (94,182 | ) | $ | 2,984 | $ | (119 | ) | $ | (472 | ) | $ | 5,423 | $ | — | |||||||||||||||||
(a) | Hedges of anticipated issuance of debt — The maximum period of time that the Bank typically hedges its exposure to the variability in future cash flows for forecasted transactions is between three and nine months. There were no open contracts at September 30, 2011 and December 31, 2010. The amounts in AOCI from terminated and open cash flow hedges representing net unrecognized losses were $14.3 million and $15.2 million at September 30, 2011 and December 31, 2010. At September 30, 2011, it is expected that over the next 12 months about $3.8 million of net losses recorded in AOCI will be recognized as a yield adjustment to consolidated bond interest expense and a charge to earnings. | |
(b) | Hedges of discount note in rolling issuances — The notional amount of the interest rate swap outstanding under this program was $858.0 million at September 30, 2011 and the fair value recorded in AOCI was an unrealized loss of $92.1 million. The program commenced in the first quarter of 2011. The maximum period of time that the Bank typically hedges its exposure to the variability in future cash flows under this strategy is 10 years. | |
(c) | Effective portion. | |
(d) | Represents basis adjustments from cash flow hedging transactions recorded in AOCI. |
30
September 30, 2011 | ||||||||||||||||||||
Netting | ||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Adjustments | ||||||||||||||||
Assets |
||||||||||||||||||||
Available-for-sale securities |
||||||||||||||||||||
GSE/U.S. agency issued MBS |
$ | 3,336,268 | $ | — | $ | 3,336,268 | $ | — | $ | — | ||||||||||
Equity and bond funds |
8,822 | — | 8,822 | — | — | |||||||||||||||
Derivative assets(a) |
||||||||||||||||||||
Interest-rate derivatives |
53,141 | — | 1,228,268 | — | (1,175,127 | ) | ||||||||||||||
Mortgage delivery commitments |
232 | — | 232 | — | — | |||||||||||||||
Total assets at fair value |
$ | 3,398,463 | $ | — | $ | 4,573,590 | $ | — | $ | (1,175,127 | ) | |||||||||
Liabilities |
||||||||||||||||||||
Consolidated obligations: |
||||||||||||||||||||
Discount notes (to the extent FVO is elected) |
$ | (4,125,354 | ) | $ | — | $ | (4,125,354 | ) | $ | — | $ | — | ||||||||
Bonds (to the extent FVO is elected) (b) |
(14,341,126 | ) | — | (14,341,126 | ) | — | — | |||||||||||||
Derivative liabilities(a) |
||||||||||||||||||||
Interest-rate derivatives |
(399,376 | ) | — | (5,048,108 | ) | — | 4,648,732 | |||||||||||||
Mortgage delivery commitments |
(18 | ) | — | (18 | ) | — | — | |||||||||||||
Total liabilities at fair value |
$ | (18,865,874 | ) | $ | — | $ | (23,514,606 | ) | $ | — | $ | 4,648,732 | ||||||||
December 31, 2010 | ||||||||||||||||||||
Netting | ||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Adjustments | ||||||||||||||||
Assets |
||||||||||||||||||||
Available-for-sale securities |
||||||||||||||||||||
GSE/U.S. agency issued MBS |
$ | 3,980,135 | $ | — | $ | 3,980,135 | $ | — | $ | — | ||||||||||
Equity and bond funds |
9,947 | — | 9,947 | — | — | |||||||||||||||
Derivative assets(a) |
||||||||||||||||||||
Interest-rate derivatives |
22,001 | — | 1,016,668 | — | (994,667 | ) | ||||||||||||||
Mortgage delivery commitments |
9 | — | 9 | — | — | |||||||||||||||
Total assets at fair value |
$ | 4,012,092 | $ | — | $ | 5,006,759 | $ | — | $ | (994,667 | ) | |||||||||
Liabilities |
||||||||||||||||||||
Consolidated obligations: |
||||||||||||||||||||
Discount notes (to the extent FVO is elected) |
$ | (956,338 | ) | $ | — | $ | (956,338 | ) | $ | — | $ | — | ||||||||
Bonds (to the extent FVO is elected) (b) |
(14,281,463 | ) | — | (14,281,463 | ) | — | — | |||||||||||||
Derivative liabilities(a) |
||||||||||||||||||||
Interest-rate derivatives |
(954,375 | ) | — | (4,679,144 | ) | — | 3,724,769 | |||||||||||||
Mortgage delivery commitments |
(523 | ) | — | (523 | ) | — | — | |||||||||||||
Total liabilities at fair value |
$ | (16,192,699 | ) | $ | — | $ | (19,917,468 | ) | $ | — | $ | 3,724,769 | ||||||||
Level 1 — Quoted prices in active markets for identical assets. | ||
Level 2 — Significant other observable inputs. | ||
Level 3 — Significant unobservable inputs. | ||
(a) | Derivative assets and liabilities were interest-rate contracts, including de minimis amount of mortgage delivery contracts. Based on an analysis of the nature of the risk, the presentation of derivatives as a single class is appropriate. | |
(b) | Based on its analysis of the nature of risks of the FHLBNY’s debt measured at fair value, the FHLBNY has determined that presenting the debt as a single class is appropriate. |
September 30, 2011 | ||||||||||||||||
Fair Value | Level 1 | Level 2 | Level 3 | |||||||||||||
Held-to-maturity securities |
||||||||||||||||
Private-label residential mortgage-backed securities |
$ | 11,215 | $ | — | $ | — | $ | 11,215 | ||||||||
Total |
$ | 11,215 | $ | — | $ | — | $ | 11,215 | ||||||||
December 31, 2010 | ||||||||||||||||
Fair Value | Level 1 | Level 2 | Level 3 | |||||||||||||
Held-to-maturity securities |
||||||||||||||||
Private-label residential mortgage-backed securities |
$ | 15,827 | $ | — | $ | — | $ | 15,827 | ||||||||
Total |
$ | 15,827 | $ | — | $ | — | $ | 15,827 | ||||||||
31
September 30, 2011 | December 31, 2010 | |||||||||||||||
Carrying | Estimated | Carrying | Estimated | |||||||||||||
Financial Instruments | Value | Fair Value | Value | Fair Value | ||||||||||||
Assets |
||||||||||||||||
Cash and due from banks |
$ | 4,744,196 | $ | 4,744,196 | $ | 660,873 | $ | 660,873 | ||||||||
Federal funds sold |
4,964,000 | 4,964,005 | 4,988,000 | 4,987,976 | ||||||||||||
Available-for-sale securities |
3,345,090 | 3,345,090 | 3,990,082 | 3,990,082 | ||||||||||||
Held-to-maturity securities |
||||||||||||||||
Long-term securities |
8,821,023 | 9,047,808 | 7,761,192 | 7,898,300 | ||||||||||||
Advances |
73,779,170 | 73,809,259 | 81,200,336 | 81,292,598 | ||||||||||||
Mortgage loans held-for-portfolio, net |
1,356,912 | 1,440,251 | 1,265,804 | 1,328,787 | ||||||||||||
Accrued interest receivable |
243,347 | 243,347 | 287,335 | 287,335 | ||||||||||||
Derivative assets |
53,373 | 53,373 | 22,010 | 22,010 | ||||||||||||
Other financial assets |
2,336 | 2,336 | 3,981 | 3,981 | ||||||||||||
Liabilities |
||||||||||||||||
Deposits |
2,520,937 | 2,520,948 | 2,454,480 | 2,454,488 | ||||||||||||
Consolidated obligations |
||||||||||||||||
Bonds |
66,280,849 | 66,465,235 | 71,742,627 | 71,926,039 | ||||||||||||
Discount notes |
22,538,777 | 22,540,144 | 19,391,452 | 19,391,743 | ||||||||||||
Mandatorily redeemable capital stock |
58,322 | 58,322 | 63,219 | 63,219 | ||||||||||||
Accrued interest payable |
190,748 | 190,748 | 197,266 | 197,266 | ||||||||||||
Derivative liabilities |
399,394 | 399,394 | 954,898 | 954,898 | ||||||||||||
Other financial liabilities |
70,230 | 70,230 | 58,818 | 58,818 |
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||||||
Bonds | Discount notes | Bonds | Discount notes | |||||||||||||||||||||||||||||
Balance, beginning of the period |
$ | (9,452,247 | ) | $ | (9,763,246 | ) | $ | (736,746 | ) | $ | (1,753,688 | ) | $ | (14,281,463 | ) | $ | (6,035,741 | ) | $ | (956,338 | ) | $ | — | |||||||||
New transactions elected for fair value option |
(8,450,000 | ) | (6,601,000 | ) | (3,386,076 | ) | — | (25,095,000 | ) | (17,771,000 | ) | (4,022,558 | ) | (1,752,185 | ) | |||||||||||||||||
Maturities and terminations |
3,565,000 | 5,600,000 | — | — | 25,041,000 | 13,060,000 | 853,397 | — | ||||||||||||||||||||||||
Changes in fair value |
(3,800 | ) | 576 | (1,373 | ) | (521 | ) | (9,753 | ) | (11,118 | ) | (821 | ) | (1,494 | ) | |||||||||||||||||
Changes in accrued interest/unaccreted balance |
(79 | ) | 2,434 | (1,159 | ) | (1,692 | ) | 4,090 | (3,377 | ) | 966 | (2,222 | ) | |||||||||||||||||||
Balance, end of the period |
$ | (14,341,126 | ) | $ | (10,761,236 | ) | $ | (4,125,354 | ) | $ | (1,755,901 | ) | $ | (14,341,126 | ) | $ | (10,761,236 | ) | $ | (4,125,354 | ) | $ | (1,755,901 | ) | ||||||||
Three months ended September 30, | ||||||||||||||||||||||||
2011 | 2010 | |||||||||||||||||||||||
Net Gain(Loss) | Total Change in Fair | Net Gain(Loss) | Total Change in Fair | |||||||||||||||||||||
Interest | Due to Changes in | Value Included in Current | Interest | Due to Changes in | Value Included in Current | |||||||||||||||||||
Expense | Fair Value | Period Earnings | Expense | Fair Value | Period Earnings | |||||||||||||||||||
Consolidated obligations-bonds |
$ | (8,093 | ) | $ | (3,800 | ) | $ | (11,893 | ) | $ | (10,926 | ) | $ | 576 | $ | (10,350 | ) | |||||||
Consolidated obligations-discount notes |
(1,159 | ) | (1,373 | ) | (2,532 | ) | (1,692 | ) | (521 | ) | (2,213 | ) | ||||||||||||
$ | (9,252 | ) | $ | (5,173 | ) | $ | (14,425 | ) | $ | (12,618 | ) | $ | 55 | $ | (12,563 | ) | ||||||||
Nine months ended September 30, | ||||||||||||||||||||||||
2011 | 2010 | |||||||||||||||||||||||
Net Gain(Loss) | Total Change in Fair | Net Gain(Loss) | Total Change in Fair | |||||||||||||||||||||
Interest | Due to Changes in | Value Included in Current | Interest | Due to Changes in | Value Included in Current | |||||||||||||||||||
Expense | Fair Value | Period Earnings | Expense | Fair Value | Period Earnings | |||||||||||||||||||
Consolidated obligations-bonds |
$ | (30,732 | ) | $ | (9,753 | ) | $ | (40,485 | ) | $ | (30,011 | ) | $ | (11,118 | ) | $ | (41,129 | ) | ||||||
Consolidated obligations-discount notes |
(2,577 | ) | (821 | ) | (3,398 | ) | (2,222 | ) | (1,494 | ) | (3,716 | ) | ||||||||||||
$ | (33,309 | ) | $ | (10,574 | ) | $ | (43,883 | ) | $ | (32,233 | ) | $ | (12,612 | ) | $ | (44,845 | ) | |||||||
32
September 30, 2011 | ||||||||||||
Principal Balance | Fair Value | Fair Value Over/(Under) | ||||||||||
Consolidated obligations-bonds (a) |
$ | 14,330,000 | $ | 14,341,126 | $ | 11,126 | ||||||
Consolidated obligations-discount notes (b) |
4,122,363 | 4,125,354 | 2,991 | |||||||||
$ | 18,452,363 | $ | 18,466,480 | $ | 14,117 | |||||||
December 31, 2010 | ||||||||||||
Principal Balance | Fair Value | Fair Value Over/(Under) | ||||||||||
Consolidated obligations-bonds (a) |
$ | 14,276,000 | $ | 14,281,463 | $ | 5,463 | ||||||
Consolidated obligations-discount notes (b) |
953,203 | 956,338 | 3,135 | |||||||||
$ | 15,229,203 | $ | 15,237,801 | $ | 8,598 | |||||||
September 30, 2010 | ||||||||||||
Principal Balance | Fair Value | Fair Value Over/(Under) | ||||||||||
Consolidated obligations-bonds |
$ | 10,751,000 | $ | 10,761,236 | $ | 10,236 | ||||||
Consolidated obligations-discount notes |
1,752,185 | 1,755,901 | 3,716 | |||||||||
$ | 12,503,185 | $ | 12,517,137 | $ | 13,952 | |||||||
(a) | Relative to December 31, 2010, fair values of fixed-rate bonds at September 30, 2011 were in greater unrealized loss positions due to decline in observed market yields relative to contractual yields of the bonds. Fair values of fixed-rate liabilities will move inversely as market yields decline. | |
(b) | Compared to December 31, 2010, the FHLBNY designated greater amounts of discount notes under the FVO designation at September 30, 2011 because in a relatively volatile interest rate environment in 2011, it was not possible to predict with a high-degree of certainty that the hedges of short-term discount notes would remain highly effective hedges through their term to maturity. Absent that assurance, the discount notes could not qualify for hedge accounting. |
33
September 30, 2011 | ||||||||||||||||||||
Payments Due or Expiration Terms by Period | ||||||||||||||||||||
Greater Than | Greater Than | |||||||||||||||||||
Less Than | One Year | Three Years | Greater Than | |||||||||||||||||
One Year | to Three Years | to Five Years | Five Years | Total | ||||||||||||||||
Contractual Obligations |
||||||||||||||||||||
Consolidated obligations-bonds at par (a) |
$ | 34,940,695 | $ | 20,617,115 | $ | 5,946,180 | $ | 3,578,665 | $ | 65,082,655 | ||||||||||
Mandatorily redeemable capital stock (a) |
36,162 | 4,565 | 69 | 17,526 | 58,322 | |||||||||||||||
Premises (lease obligations) (b) |
3,060 | 5,635 | 4,674 | 2,337 | 15,706 | |||||||||||||||
Total contractual obligations |
34,979,917 | 20,627,315 | 5,950,923 | 3,598,528 | 65,156,683 | |||||||||||||||
Other commitments |
||||||||||||||||||||
Standby letters of credit |
3,190,869 | 20,666 | 38,157 | 3,861 | 3,253,553 | |||||||||||||||
Consolidated obligations-bonds/
discount notes traded not settled |
500,000 | — | — | — | 500,000 | |||||||||||||||
Open delivery commitments (MPF) |
28,327 | — | — | — | 28,327 | |||||||||||||||
Total other commitments |
3,719,196 | 20,666 | 38,157 | 3,861 | 3,781,880 | |||||||||||||||
Total obligations and commitments |
$ | 38,699,113 | $ | 20,647,981 | $ | 5,989,080 | $ | 3,602,389 | $ | 68,938,563 | ||||||||||
(a) | Callable bonds contain exercise date or a series of exercise dates that may result in a shorter redemption period. Mandatorily redeemable capital stock is categorized by the dates at which the corresponding member obligations 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. | |
(b) | Immaterial amount of commitments for equipment leases are not included. |
34
35
September 30, 2011 | December 31, 2010 | |||||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||||
Assets |
||||||||||||||||
Cash and due from banks |
$ | — | $ | 4,744,196 | $ | — | $ | 660,873 | ||||||||
Interest-bearing deposits |
— | — | — | — | ||||||||||||
Federal funds sold |
— | 4,964,000 | — | 4,988,000 | ||||||||||||
Available-for-sale securities |
— | 3,345,090 | — | 3,990,082 | ||||||||||||
Held-to-maturity securities |
||||||||||||||||
Long-term securities |
— | 8,821,023 | — | 7,761,192 | ||||||||||||
Advances |
73,779,170 | — | 81,200,336 | — | ||||||||||||
Mortgage loans (a) |
— | 1,356,912 | — | 1,265,804 | ||||||||||||
Accrued interest receivable |
213,005 | 30,342 | 256,617 | 30,718 | ||||||||||||
Premises, software, and equipment |
— | 14,115 | — | 14,932 | ||||||||||||
Derivative assets (b) |
— | 53,373 | — | 22,010 | ||||||||||||
Other assets (c) |
213 | 12,354 | 113 | 21,393 | ||||||||||||
Total assets |
$ | 73,992,388 | $ | 23,341,405 | $ | 81,457,066 | $ | 18,755,004 | ||||||||
Liabilities and capital |
||||||||||||||||
Deposits |
$ | 2,520,937 | $ | — | $ | 2,454,480 | $ | — | ||||||||
Consolidated obligations |
— | 88,819,626 | — | 91,134,079 | ||||||||||||
Mandatorily redeemable capital stock |
58,322 | — | 63,219 | — | ||||||||||||
Accrued interest payable |
7 | 190,741 | 10 | 197,256 | ||||||||||||
Affordable Housing Program (d) |
129,779 | — | 138,365 | — | ||||||||||||
Payable to REFCORP |
— | — | — | 21,617 | ||||||||||||
Derivative liabilities (b) |
— | 399,394 | — | 954,898 | ||||||||||||
Other liabilities (e) |
64,008 | 55,012 | 49,484 | 54,293 | ||||||||||||
Total liabilities |
$ | 2,773,053 | $ | 89,464,773 | $ | 2,705,558 | $ | 92,362,143 | ||||||||
Capital |
5,095,967 | — | 5,144,369 | — | ||||||||||||
Total liabilities and capital |
$ | 7,869,020 | $ | 89,464,773 | $ | 7,849,927 | $ | 92,362,143 | ||||||||
(a) | Includes insignificant amounts of mortgage loans purchased from members of another FHLBank. | |
(b) | Derivative assets and liabilities include insignificant fair values due to intermediation activities on behalf of members. | |
(c) | Includes insignificant amounts of miscellaneous assets that are considered related party. | |
(d) | Represents funds not yet disbursed to eligible programs. | |
(e) | Related column includes member pass-through reserves at the Federal Reserve Bank. |
36
Three months ended | ||||||||||||||||
September 30, 2011 | September 30, 2010 | |||||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||||
Interest income |
||||||||||||||||
Advances |
$ | 85,440 | $ | — | $ | 173,459 | $ | — | ||||||||
Interest-bearing deposits (a) |
— | 700 | — | 1,699 | ||||||||||||
Federal funds sold |
— | 1,547 | — | 2,253 | ||||||||||||
Available-for-sale securities |
— | 7,045 | — | 7,580 | ||||||||||||
Held-to-maturity securities |
||||||||||||||||
Long-term securities |
— | 70,021 | — | 84,242 | ||||||||||||
Mortgage loans (b) |
— | 15,832 | — | 16,333 | ||||||||||||
Loans to other FHLBanks and other |
1 | — | — | — | ||||||||||||
Total interest income |
$ | 85,441 | $ | 95,145 | $ | 173,459 | $ | 112,107 | ||||||||
Interest expense |
||||||||||||||||
Consolidated obligations |
$ | — | $ | 103,578 | $ | — | $ | 158,553 | ||||||||
Deposits |
240 | — | 959 | — | ||||||||||||
Mandatorily redeemable capital stock |
660 | — | 879 | — | ||||||||||||
Cash collateral held and other borrowings |
— | 25 | — | 14 | ||||||||||||
Total interest expense |
$ | 900 | $ | 103,603 | $ | 1,838 | $ | 158,567 | ||||||||
Service fees and other |
$ | 1,579 | $ | — | $ | 1,297 | $ | — | ||||||||
Nine months ended | ||||||||||||||||
September 30, 2011 | September 30, 2010 | |||||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||||
Interest income |
||||||||||||||||
Advances |
$ | 359,640 | $ | — | $ | 477,303 | $ | — | ||||||||
Interest-bearing deposits (a) |
— | 2,221 | — | 3,766 | ||||||||||||
Federal funds sold |
— | 5,694 | — | 6,600 | ||||||||||||
Available-for-sale securities |
— | 23,205 | — | 23,128 | ||||||||||||
Held-to-maturity securities |
||||||||||||||||
Long-term securities |
— | 210,352 | — | 274,686 | ||||||||||||
Mortgage loans (b) |
— | 47,160 | — | 49,689 | ||||||||||||
Loans to other FHLBanks and other |
1 | — | — | — | ||||||||||||
Total interest income |
$ | 359,641 | $ | 288,632 | $ | 477,303 | $ | 357,869 | ||||||||
Interest expense |
||||||||||||||||
Consolidated obligations |
$ | — | $ | 335,479 | $ | — | $ | 481,738 | ||||||||
Deposits |
1,068 | — | 2,813 | — | ||||||||||||
Mandatorily redeemable capital stock |
1,873 | — | 3,051 | — | ||||||||||||
Cash collateral held and other borrowings |
— | 56 | — | 14 | ||||||||||||
Total interest expense |
$ | 2,941 | $ | 335,535 | $ | 5,864 | $ | 481,752 | ||||||||
Service fees and other |
$ | 4,314 | $ | — | $ | 3,472 | $ | — | ||||||||
(a) | Includes de minimis amounts of interest income from MPF service provider. | |
(b) | Includes de minimis amounts of mortgage interest income from loans purchased from members of another FHLBank. |
37
September 30, 2011 | ||||||||||||||||||||
Percentage of | ||||||||||||||||||||
Par | Total Par Value | Interest Income | ||||||||||||||||||
City | State | Advances | of Advances | Three months | Nine months | |||||||||||||||
Hudson City Savings Bank, FSB* |
Paramus | NJ | $ | 13,725,000 | 19.9 | % | $ | 124,938 | $ | 405,413 | ||||||||||
Metropolitan Life Insurance Company |
New York | NY | 11,780,000 | 17.1 | 66,990 | 201,027 | ||||||||||||||
New York Community Bank* |
Westbury | NY | 7,693,157 | 11.1 | 76,937 | 228,261 | ||||||||||||||
MetLife Bank, N.A. |
Convent Station | NJ | 4,589,500 | 6.6 | 25,911 | 70,173 | ||||||||||||||
The Prudential Insurance Co. of America |
Newark | NJ | 2,500,000 | 3.6 | 14,088 | 43,064 | ||||||||||||||
Valley National Bank |
Wayne | NJ | 2,104,500 | 3.0 | 22,187 | 68,373 | ||||||||||||||
Investors Bank |
Short Hills | NJ | 2,101,993 | 3.0 | 14,861 | 39,500 | ||||||||||||||
Astoria Federal Savings and Loan Assn. |
Lake Success | NY | 1,944,000 | 2.8 | 17,803 | 55,313 | ||||||||||||||
New York Life Insurance Company |
New York | NY | 1,500,000 | 2.2 | 3,800 | 10,701 | ||||||||||||||
Doral Bank |
San Juan | PR | 1,391,420 | 2.0 | 6,464 | 24,479 | ||||||||||||||
Total |
$ | 49,329,570 | 71.3 | % | $ | 373,979 | $ | 1,146,304 | ||||||||||||
* | At September 30, 2011, officer of member bank also served on the Board of Directors of the FHLBNY. |
December 31, 2010 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | Twelve months | ||||||||||||||
City | State | Advances | of Advances | Interest Income | ||||||||||||
Hudson City Savings Bank, FSB* |
Paramus | NJ | $ | 17,025,000 | 22.1 | % | $ | 705,743 | ||||||||
Metropolitan Life Insurance Company |
New York | NY | 12,555,000 | 16.3 | 294,526 | |||||||||||
New York Community Bank* |
Westbury | NY | 7,793,165 | 10.1 | 307,102 | |||||||||||
MetLife Bank, N.A. |
Convent Station | NJ | 3,789,500 | 4.9 | 61,036 | |||||||||||
Manufacturers and Traders Trust Company |
Buffalo | NY | 2,758,000 | 3.6 | 42,979 | |||||||||||
The Prudential Insurance Co. of America |
Newark | NJ | 2,500,000 | 3.3 | 77,544 | |||||||||||
Astoria Federal Savings and Loan Assn. |
Lake Success | NY | 2,391,000 | 3.1 | 107,917 | |||||||||||
Valley National Bank |
Wayne | NJ | 2,310,500 | 3.0 | 98,680 | |||||||||||
New York Life Insurance Company |
New York | NY | 1,500,000 | 2.0 | 14,678 | |||||||||||
First Niagara Bank, National Association |
Buffalo | NY | 1,473,493 | 1.9 | 24,911 | |||||||||||
Total |
$ | 54,095,658 | 70.3 | % | $ | 1,735,116 | ||||||||||
* | At December 31, 2010, officer of member bank also served on the Board of Directors of the FHLBNY. |
September 30, 2010 | ||||||||||||||||||||
Percentage of | ||||||||||||||||||||
Par | Total Par Value | Interest Income | ||||||||||||||||||
City | State | Advances | of Advances | Three months | Nine months | |||||||||||||||
Hudson City Savings Bank, FSB* |
Paramus | NJ | $ | 17,175,000 | 21.4 | % | $ | 178,029 | $ | 529,488 | ||||||||||
Metropolitan Life Insurance Company |
New York | NY | 13,230,000 | 16.5 | 75,674 | 222,705 | ||||||||||||||
New York Community Bank* |
Westbury | NY | 7,593,167 | 9.5 | 77,416 | 230,083 | ||||||||||||||
MetLife Bank, N.A. |
Bridgewater | NJ | 4,969,500 | 6.2 | 16,368 | 40,514 | ||||||||||||||
Manufacturers and Traders Trust Company |
Buffalo | NY | 3,709,163 | 4.6 | 11,607 | 34,369 | ||||||||||||||
Astoria Federal Savings and Loan Assn. |
Lake Success | NY | 2,735,000 | 3.4 | 27,463 | 83,763 | ||||||||||||||
The Prudential Insurance Co. of America |
Newark | NJ | 2,500,000 | 3.1 | 17,971 | 60,244 | ||||||||||||||
Valley National Bank |
Wayne | NJ | 2,361,500 | 2.9 | 24,677 | 73,885 | ||||||||||||||
Doral Bank |
San Juan | PR | 1,531,420 | 1.9 | 16,471 | 53,041 | ||||||||||||||
New York Life Insurance Company |
New York | NY | 1,500,000 | 1.9 | 4,274 | 11,166 | ||||||||||||||
Total |
$ | 57,304,750 | 71.4 | % | $ | 449,950 | $ | 1,339,258 | ||||||||||||
* | At September 30, 2010, officer of member bank also served on the Board of Directors of the FHLBNY. |
38
Number | Percent | |||||||||
September 30, 2011 | of Shares | of Total | ||||||||
Name of Beneficial Owner | Principal Executive Office Address | Owned | Capital Stock | |||||||
Hudson City Savings Bank, FSB* |
West 80 Century Road, Paramus, NJ 07652 | 7,266 | 15.69 | % | ||||||
Metropolitan Life Insurance Company |
200 Park Avenue, New York, NY 10166 | 6,635 | 14.33 | |||||||
New York Community Bank* |
615 Merrick Avenue, Westbury, NY 11590-6644 | 4,068 | 8.79 | |||||||
Citibank, N.A. |
399 Park Avenue, New York, NY 10043 | 3,647 | 7.88 | |||||||
21,616 | 46.69 | % | ||||||||
Number | Percent | |||||||||
December 31, 2010 | of Shares | of Total | ||||||||
Name of Beneficial Owner | Principal Executive Office Address | Owned | Capital Stock | |||||||
Hudson City Savings Bank, FSB* |
West 80 Century Road, Paramus, NJ 07652 | 8,719 | 18.99 | % | ||||||
Metropolitan Life Insurance Company |
200 Park Avenue, New York, NY 10166 | 7,035 | 15.32 | |||||||
New York Community Bank* |
615 Merrick Avenue, Westbury, NY 11590-6644 | 4,093 | 8.91 | |||||||
19,847 | 43.22 | % | ||||||||
* | At September 30, 2011 and December 31, 2010, officer of member bank also served on the Board of Directors of the FHLBNY. |
39
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Table(s) | Description | Page(s) | ||||||
1.1 - 1.15 | Result of Operations |
47 - 58 | ||||||
2.1 - 2.2 | Assessments |
58 | ||||||
3.1 - 3.3 | Financial Condition |
59 - 60 | ||||||
4.1 - 4.10 | Advances |
61 - 65 | ||||||
5.1 - 5.10 | Investments |
66 - 70 | ||||||
6.1 - 6.3 | Mortgage Loans |
71 - 72 | ||||||
7.1 - 7.10 | Consolidated Obligations |
73 - 77 | ||||||
8.1 - 8.2 | Capital |
77 | ||||||
9.1 - 9.6 | Derivatives |
79 - 81 | ||||||
10.1 - 10.4 | Liquidity |
82 - 84 |
41
Financial Performance of the Federal Home Loan Bank of New York | ||||||||||||||||||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||||||||||
(Dollars in millions, except per share data) | 2011 | 2010 | Change | 2011 | 2010 | Change | ||||||||||||||||||
Net interest income before provision for credit losses |
$ | 76 | $ | 125 | $ | (49 | ) | $ | 310 | $ | 348 | (38 | ) | |||||||||||
Provision for credit losses on mortgage loans |
1 | — | 1 | 3 | 1 | 2 | ||||||||||||||||||
Net OTTI impairment losses |
(1 | ) | (3 | ) | 2 | (2 | ) | (8 | ) | 6 | ||||||||||||||
Other non-interest income (loss) |
(13 | ) | 9 | (22 | ) | 1 | (13 | ) | 14 | |||||||||||||||
Total other income (loss) |
(14 | ) | 6 | (20 | ) | (1 | ) | (21 | ) | 20 | ||||||||||||||
Operating expenses |
7 | 6 | 1 | 22 | 20 | 2 | ||||||||||||||||||
Compensation and Benefits |
12 | 16 | (4 | ) | 65 | 41 | 24 | |||||||||||||||||
Net income |
36 | 79 | (43 | ) | 160 | 189 | (29 | ) | ||||||||||||||||
Earnings per share |
$ | 0.77 | $ | 1.71 | $ | (0.94 | ) | $ | 3.60 | $ | 3.98 | $ | (0.38 | ) | ||||||||||
Dividend per share |
$ | 1.12 | $ | 1.15 | $ | (0.03 | ) | $ | 3.69 | $ | 3.60 | $ | 0.09 |
42
43
44
45
Statements of Condition | September 30, | June 30, | March 31, | December 31, | September 30, | |||||||||||||||||||||||
(dollars in millions) | 2011 | 2011 | 2011 | 2010 | 2010 | |||||||||||||||||||||||
Investments (a) |
$ | 17,130 | $ | 16,413 | $ | 16,855 | $ | 16,739 | $ | 15,690 | ||||||||||||||||||
Advances |
73,779 | 74,791 | 75,487 | 81,200 | 85,697 | |||||||||||||||||||||||
Mortgage loans held-for-portfolio,
net of allowance for credit losses (b) |
1,357 | 1,296 | 1,271 | 1,266 | 1,268 | |||||||||||||||||||||||
Total assets |
97,334 | 98,342 | 96,874 | 100,212 | 103,094 | |||||||||||||||||||||||
Deposits and borrowings |
2,521 | 1,902 | 2,513 | 2,454 | 3,730 | |||||||||||||||||||||||
Consolidated obligations, net |
||||||||||||||||||||||||||||
Bonds |
66,281 | 62,816 | 68,530 | 71,743 | 74,919 | |||||||||||||||||||||||
Discount notes |
22,539 | 27,013 | 19,507 | 19,391 | 17,788 | |||||||||||||||||||||||
Total consolidated obligations |
88,820 | 89,829 | 88,037 | 91,134 | 92,707 | |||||||||||||||||||||||
Mandatorily redeemable capital stock |
58 | 58 | 59 | 63 | 67 | |||||||||||||||||||||||
AHP liability |
130 | 134 | 135 | 138 | 138 | |||||||||||||||||||||||
REFCORP liability |
— | 15 | 19 | 22 | 21 | |||||||||||||||||||||||
Capital |
||||||||||||||||||||||||||||
Capital stock |
4,572 | 4,658 | 4,323 | 4,529 | 4,664 | |||||||||||||||||||||||
Retained earnings |
||||||||||||||||||||||||||||
Unrestricted |
700 | 721 | 717 | 712 | 701 | |||||||||||||||||||||||
Restricted |
8 | — | — | — | — | |||||||||||||||||||||||
Total retained earnings |
708 | 721 | 717 | 712 | 701 | |||||||||||||||||||||||
Accumulated other comprehensive
income (loss) |
(184 | ) | (100 | ) | (97 | ) | (97 | ) | (98 | ) | ||||||||||||||||||
Total capital |
5,096 | 5,279 | 4,943 | 5,144 | 5,267 | |||||||||||||||||||||||
Equity to asset ratio (c) |
5.24 | % | 5.37 | % | 5.10 | % | 5.13 | % | 5.11 | % | ||||||||||||||||||
Three months ended | Nine months ended | |||||||||||||||||||||||||||
Statements of Condition | September 30, | June 30, | March 31, | December 31, | September 30, | September 30, | September 30, | |||||||||||||||||||||
Averages (dollars in millions) | 2011 | 2011 | 2011 | 2010 | 2010 | 2011 | 2010 | |||||||||||||||||||||
Investments (a) |
$ | 21,566 | $ | 20,214 | $ | 19,127 | $ | 17,343 | $ | 16,996 | $ | 20,311 | $ | 17,811 | ||||||||||||||
Advances |
74,524 | 74,797 | 78,406 | 82,562 | 84,164 | 75,895 | 87,036 | |||||||||||||||||||||
Mortgage loans |
1,326 | 1,281 | 1,270 | 1,272 | 1,274 | 1,293 | 1,285 | |||||||||||||||||||||
Total assets |
101,515 | 98,973 | 101,662 | 104,891 | 106,179 | 100,716 | 109,181 | |||||||||||||||||||||
Interest-bearing deposits and other borrowings |
2,325 | 2,270 | 2,401 | 3,290 | 5,062 | 2,332 | 5,108 | |||||||||||||||||||||
Consolidated obligations, net |
||||||||||||||||||||||||||||
Bonds |
65,770 | 66,509 | 72,417 | 72,734 | 69,817 | 68,208 | 71,934 | |||||||||||||||||||||
Discount notes |
24,050 | 21,687 | 17,765 | 18,754 | 21,317 | 21,190 | 22,730 | |||||||||||||||||||||
Total consolidated obligations |
89,820 | 88,196 | 90,182 | 91,488 | 91,134 | 89,398 | 94,664 | |||||||||||||||||||||
Mandatorily redeemable capital stock |
58 | 59 | 59 | 58 | 68 | 59 | 91 | |||||||||||||||||||||
AHP liability |
131 | 133 | 137 | 137 | 141 | 134 | 143 | |||||||||||||||||||||
REFCORP liability |
2 | 9 | 10 | 11 | 10 | 7 | 9 | |||||||||||||||||||||
Capital |
||||||||||||||||||||||||||||
Capital stock |
4,623 | 4,308 | 4,414 | 4,543 | 4,611 | 4,449 | 4,752 | |||||||||||||||||||||
Retained earnings |
||||||||||||||||||||||||||||
Unrestricted |
710 | 714 | 701 | 687 | 679 | 709 | 666 | |||||||||||||||||||||
Restricted |
4 | — | — | — | — | 1 | — | |||||||||||||||||||||
Total retained earnings |
714 | 714 | 701 | 687 | 679 | 710 | 666 | |||||||||||||||||||||
Accumulated other comprehensive income (loss) |
(135 | ) | (102 | ) | (103 | ) | (94 | ) | (106 | ) | (114 | ) | (122 | ) | ||||||||||||||
Total capital |
5,202 | 4,920 | 5,012 | 5,136 | 5,184 | 5,045 | 5,296 | |||||||||||||||||||||
Operating Results and other data (dollars in millions) |
Three months ended | Nine months ended | ||||||||||||||||||||||||||
(except earnings and dividends per |
September 30, | June 30, | March 31, | December 31, | September 30, | September 30, | September 30, | |||||||||||||||||||||
share, and headcount) | 2011 | 2011 | 2011 | 2010 | 2010 | 2011 | 2010 | |||||||||||||||||||||
Net interest income (d) |
$ | 76 | $ | 100 | $ | 134 | $ | 108 | $ | 125 | $ | 310 | $ | 348 | ||||||||||||||
Net income |
36 | 53 | 71 | 86 | 79 | 160 | 189 | |||||||||||||||||||||
Dividends paid in cash (e) |
49 | 49 | 66 | 76 | 54 | 164 | 177 | |||||||||||||||||||||
AHP expense |
4 | 6 | 8 | 10 | 9 | 18 | 21 | |||||||||||||||||||||
REFCORP expense |
— | 13 | 18 | 21 | 20 | 31 | 47 | |||||||||||||||||||||
Return on average equity* (f) |
2.72 | % | 4.35 | % | 5.74 | % | 6.68 | % | 6.03 | % | 4.24 | % | 4.77 | % | ||||||||||||||
Return on average assets* |
0.14 | % | 0.22 | % | 0.28 | % | 0.33 | % | 0.29 | % | 0.21 | % | 0.23 | % | ||||||||||||||
Net OTTI impairment losses |
(1 | ) | — | — | (1 | ) | (3 | ) | (1 | ) | (8 | ) | ||||||||||||||||
Other non-interest income (loss) |
(13 | ) | (2 | ) | 14 | 38 | 9 | (1 | ) | (13 | ) | |||||||||||||||||
Total other income (loss) |
(14 | ) | (2 | ) | 14 | 37 | 6 | (2 | ) | (21 | ) | |||||||||||||||||
Operating expenses (g) |
19 | 22 | 46 | 24 | 22 | 87 | 61 | |||||||||||||||||||||
Finance Agency and
Office of Finance expenses |
3 | 3 | 3 | 4 | 2 | 9 | 6 | |||||||||||||||||||||
Total other expenses |
22 | 25 | 49 | 28 | 24 | 96 | 67 | |||||||||||||||||||||
Operating expenses ratio* (h) |
0.07 | % | 0.09 | % | 0.19 | % | 0.09 | % | 0.08 | % | 0.12 | % | 0.07 | % | ||||||||||||||
Earnings per share ** |
$ | 0.77 | $ | 1.24 | $ | 1.61 | $ | 1.90 | $ | 1.71 | $ | 3.60 | $ | 3.98 | ||||||||||||||
Dividend per share |
$ | 1.12 | $ | 1.11 | $ | 1.46 | $ | 1.64 | $ | 1.15 | $ | 3.69 | $ | 3.60 | ||||||||||||||
Headcount (Full/part time) |
276 | 275 | 269 | 271 | 269 | 276 | 269 |
(a) | Investments include held-to-maturity securities, available for-sale securities, Federal funds, loans to other FHLBanks, and other interest bearing deposits. | |
(b) | Allowances for credit losses were $6.7 million, $6.3 million, $7.0 million, $5.8 million, and $5.5 million at the periods ended September 30, 2011, June 30, 2011, March 31, 2011, December 31, 2010 and September 30, 2010. | |
(c) | Equity to asset ratio is capital stock plus retained earnings and Accumulated other comprehensive income (loss) as a percentage of total assets. | |
(d) | Net interest income is net interest income before the provision for credit losses on mortgage loans. | |
(e) | Excludes dividends accrued to non-members classified as interest expense under the accounting standards for certain financial instruments with characteristics of both liabilities and equity. | |
(f) | 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). | |
(g) | Operating expenses include Compensation and Benefits. | |
(h) | Operating expenses as a percentage of total average assets. | |
* | Annualized. | |
** | May not add due to rounding. |
46
Table 1.1: | Principal Components of Net Income — 2011 Third Quarter and Year-to-Date Compared to Same Periods in 2010. |
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Total interest income |
$ | 180,586 | $ | 285,566 | $ | 648,273 | $ | 835,172 | ||||||||
Total interest expense |
104,503 | 160,405 | 338,476 | 487,616 | ||||||||||||
Net interest income before provision for credit losses |
76,083 | 125,161 | 309,797 | 347,556 | ||||||||||||
Provision for credit losses on mortgage loans |
765 | 231 | 2,967 | 1,137 | ||||||||||||
Net interest income after provision for credit losses |
75,318 | 124,930 | 306,830 | 346,419 | ||||||||||||
Total other income (loss) |
(13,703 | ) | 6,105 | (1,188 | ) | (21,006 | ) | |||||||||
Total other expenses |
22,274 | 23,693 | 96,992 | 67,692 | ||||||||||||
Income before assessments |
39,341 | 107,342 | 208,650 | 257,721 | ||||||||||||
Total assessments |
3,671 | 28,550 | 48,689 | 68,624 | ||||||||||||
Net income |
$ | 35,670 | $ | 78,792 | $ | 159,961 | $ | 189,097 | ||||||||
47
Table 1.2: | Interest Income — Principal Sources |
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||||||||||
Percentage | Percentage | |||||||||||||||||||||||
2011 | 2010 | Variance | 2011 | 2010 | Variance | |||||||||||||||||||
Interest Income |
||||||||||||||||||||||||
Advances (a) |
$ | 85,440 | $ | 173,459 | (50.74) | % | $ | 359,640 | $ | 477,303 | (24.65) | % | ||||||||||||
Interest-bearing deposits (b) |
700 | 1,699 | (58.80 | ) | 2,221 | 3,766 | (41.02 | ) | ||||||||||||||||
Federal funds sold |
1,547 | 2,253 | (31.34 | ) | 5,694 | 6,600 | (13.73 | ) | ||||||||||||||||
Available-for-sale securities |
7,045 | 7,580 | (7.06 | ) | 23,205 | 23,128 | 0.33 | |||||||||||||||||
Held-to-maturity securities
Long-term securities |
70,021 | 84,242 | (16.88 | ) | 210,352 | 274,686 | (23.42 | ) | ||||||||||||||||
Mortgage loans held-for-portfolio |
15,832 | 16,333 | (3.07 | ) | 47,160 | 49,689 | (5.09 | ) | ||||||||||||||||
Loans to other FHLBanks and other |
1 | — | NM | 1 | — | NM | ||||||||||||||||||
Total interest income (c) |
$ | 180,586 | $ | 285,566 | (36.76) | % | $ | 648,273 | $ | 835,172 | (22.38) | % | ||||||||||||
(a) | Reported Interest income from advances was adjusted for the cash flows associated with interest rate swaps. We generally pay fixed-rate cash flows to derivative counterparties, and in exchange, we receive variable-rate LIBOR-indexed cash flows. | |
(b) | Primarily from cash collateral deposited with swap counterparties. Cash collateral posted is netted within Derivative liabilities in the Statements of Condition. | |
(c) | Interest income in the 2011 third quarter and nine months ended September 30, 2011 declined compared to the same periods in 2010. The primary causes were (1) lower coupons and yields from advances and investments in a declining interest rate environment, (2) lower volume of advance business, and (3) run-offs of higher yielding assets which were being replaced by assets with lower coupons. See Rate and Volume Analysis for more information. |
48
Table 1.3: | Impact of Interest Rate Swaps on Interest Income Earned from Advances |
Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Advance Interest Income |
||||||||||||||||
Advance interest income before adjustment
for interest rate swaps |
$ | 489,650 | $ | 651,672 | $ | 1,605,564 | $ | 1,996,172 | ||||||||
Net interest adjustment from interest rate swaps (a,b) |
(404,210 | ) | (478,213 | ) | (1,245,924 | ) | (1,518,869 | ) | ||||||||
Total Advance interest income reported |
$ | 85,440 | $ | 173,459 | $ | 359,640 | $ | 477,303 | ||||||||
(a) | The unfavorable cash flow patterns of the interest rate swaps were indicative of the declining LIBOR rates (obligation of the swap counterparty) compared to our fixed-rate obligation. We are generally indifferent to changes in the cash flow patterns as we also hedge our fixed-rate consolidated obligation debt, which is our primary funding base, and two hedge strategies together achieve our management’s overall net interest spread objective. In the 2011 third quarter and year-to-date period, LIBOR was higher than the comparable periods in 2010. This contributed to lower cash out-flows paid to swap dealers and explains the improvement in net interest adjustment from interest rate swaps. | |
(b) | Under our accounting policy, net interest adjustments from derivatives (as described in the table above) may be offset against the net interest accruals of the hedged financial instrument (e.g. advance) only if the derivative is in a hedge-qualifying relationship. If the hedge does not qualify under hedge accounting rules, and our management designates the hedge as an economic hedge, the net interest adjustments from derivatives would not be recorded with the advance interest revenues. Instead, the net interest adjustments from swaps would be recorded in Other income (loss) as a Net realized and unrealized gain (loss) from derivatives and hedging activities. Thus, the accounting designation of a hedge may have a significant impact on reported Interest income from advances, although Net income would not be impacted. There was no material amount of net interest adjustments from interest rate swaps designated as economic hedges of advances recorded in Other income (loss) in any periods in this report. |
Table 1.4: | Interest Expenses — Principal Categories |
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||||||||||
Percentage | Percentage | |||||||||||||||||||||||
2011 | 2010 | Variance | 2011 | 2010 | Variance | |||||||||||||||||||
Interest Expense |
||||||||||||||||||||||||
Consolidated obligations-bonds (a) |
$ | 93,292 | $ | 147,097 | (36.58) | % | $ | 310,784 | $ | 448,669 | (30.73) | % | ||||||||||||
Consolidated obligations-discount notes |
10,286 | 11,456 | (10.21 | ) | 24,695 | 33,069 | (25.32 | ) | ||||||||||||||||
Deposits |
240 | 959 | (74.97 | ) | 1,068 | 2,813 | (62.03 | ) | ||||||||||||||||
Mandatorily redeemable capital stock |
660 | 879 | (24.91 | ) | 1,873 | 3,051 | (38.61 | ) | ||||||||||||||||
Cash collateral held and other borrowings |
25 | 14 | 78.57 | 56 | 14 | NM | ||||||||||||||||||
Total interest expense (b) |
$ | 104,503 | $ | 160,405 | (34.85) | % | $ | 338,476 | $ | 487,616 | (30.59) | % | ||||||||||||
(a) | Reported Interest expense from consolidated obligation bonds and discount notes are typically adjusted for the cash flows associated with interest rate swaps. We generally pay variable-rate LIBOR-indexed cash flows to derivative counterparties and, in exchange, we receive fixed-rate cash flows, which typically mirror the fixed-rate coupon payments to investors holding the FHLBank bonds. We generally hedge our long-term fixed-rate bonds and almost all fixed-rate callable bonds with swaps that generally qualify for hedge accounting. We also economically hedged certain floating-rate bonds that are not indexed to 3-month LIBOR and certain short-term fixed-rate debt and discount notes because we did not believe that the hedges would be highly effective in offsetting changes in the fair values of the debt and the swap, and would not therefore qualify for hedge accounting. | |
(b) | Reported Interest expense in the 2011 third quarter and the nine months ended September 30, 2011 declined compared to the same periods in 2010 because of (1) lower cost of coupons paid on consolidated obligation bonds and discount notes, and (2) lower volume of debt issued because of decline in funding requirements as balance sheet assets declined, specifically advances borrowed by members. See Rate and Volume Analysis for more information. |
49
Table 1.5: | Impact of Interest Rate Swaps on Consolidated Obligation Interest Expense |
Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Consolidated bonds and discount notes-Interest expense |
||||||||||||||||
Bonds-Interest expense before adjustment for swaps |
$ | 207,772 | $ | 285,874 | $ | 694,754 | $ | 933,744 | ||||||||
Discount notes-Interest expense before adjustment for swaps |
5,783 | 11,456 | 18,797 | 33,069 | ||||||||||||
Net interest adjustment for interest rate swaps (a, b) |
(109,977 | ) | (138,777 | ) | (378,072 | ) | (485,075 | ) | ||||||||
Total Consolidated bonds and discount notes-interest expense reported |
$ | 103,578 | $ | 158,553 | $ | 335,479 | $ | 481,738 | ||||||||
(a) | The favorable cash flow patterns of the interest rate swaps were indicative of LIBOR rates (our obligation to pay the swap counterparty) being lower relative to the counterparty’s fixed-rate obligation. We are generally indifferent to changes in the cash flow patterns as we typically hedge our fixed-rate advances borrowed by member to meet our overall net interest spread objective. In the 2011 third quarter and year-to-date period, LIBOR was higher than the comparable periods in 2010 and that contributed to higher cash out-flows to swap dealers and explain the declining benefit in net interest adjustment from interest rate swaps(the negative adjustments represent a benefit to our cost of funds). | |
(b) | Under GAAP, net interest adjustments from derivatives (as described in the table above) may be offset against the net interest accruals of the hedged financial instrument (e.g. bonds and discount notes) only if the derivative is in a hedge-qualifying relationship. If the hedge does not qualify under hedge accounting rules, and our management designates the hedge as an economic hedge, the net interest adjustments from derivatives would not be recorded together with the interest expense on debt. Instead, the net interest adjustments from swaps would be recorded in Other income (loss) as a Net realized and unrealized gain (loss) from derivatives and hedging activities. Thus, the accounting designation of a hedge may have a significant impact on reported Interest expense from consolidated obligations. |
Table 1.6: | Net Interest Income |
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||||||||||
Percentage | Percentage | |||||||||||||||||||||||
2011 | 2010 | Variance | 2011 | 2010 | Variance | |||||||||||||||||||
Total interest income |
$ | 180,586 | $ | 285,566 | (36.76 | )% | $ | 648,273 | $ | 835,172 | (22.38 | )% | ||||||||||||
Total interest expense |
104,503 | 160,405 | (34.85 | ) | 338,476 | 487,616 | (30.59 | ) | ||||||||||||||||
Net interest income before
provision for credit losses |
$ | 76,083 | $ | 125,161 | (39.21 | )% | $ | 309,797 | $ | 347,556 | (10.86 | )% | ||||||||||||
50
Table 1.7: | Net Interest Adjustments from Hedge Qualifying Interest-Rate Swaps |
Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Interest Income |
$ | 584,796 | $ | 763,779 | $ | 1,894,197 | $ | 2,354,041 | ||||||||
Net interest adjustment from interest rate swaps (a) |
(404,210 | ) | (478,213 | ) | (1,245,924 | ) | (1,518,869 | ) | ||||||||
Reported interest income |
180,586 | 285,566 | 648,273 | 835,172 | ||||||||||||
Interest Expense |
214,480 | 299,182 | 716,548 | 972,691 | ||||||||||||
Net interest adjustment from interest rate swaps (b) |
(109,977 | ) | (138,777 | ) | (378,072 | ) | (485,075 | ) | ||||||||
Reported interest expense |
104,503 | 160,405 | 338,476 | 487,616 | ||||||||||||
Net interest income (Margin) (c) |
$ | 76,083 | $ | 125,161 | $ | 309,797 | $ | 347,556 | ||||||||
Net interest adjustment — interest rate swaps |
$ | (294,233 | ) | $ | (339,436 | ) | $ | (867,852 | ) | $ | (1,033,794 | ) | ||||
(a) | In a hedge of a fixed-rate advance, we pay the swap dealer fixed-rate interest payment (which typically mirrors the coupon of the hedged advance), and in return the swap counterparties pays a pre-determined spread plus the prevailing LIBOR, which resets generally every three months. | |
(b) | In a hedge of a fixed-rate consolidated obligation debt, we pay the swap dealer LIBOR-indexed interest payments, and in return the swap dealer pays fixed-rate interest payments (which typically mirrors the coupon paid to investors holding the FHLBank debt). | |
(c) | In aggregate, we paid swap counterparties greater amounts of interest than we received from dealers because the interest exchanges with the swap dealer have been such that the hedges of fixed-rate advances resulted in significantly greater amounts of cash out-flows than the cash in-flows from hedges of fixed-rate consolidated obligation debt. As reported in the table above, the unfavorable cash flow patterns of the interest rate swaps were indicative of the lower LIBOR rates (obligation of the swap counterparty) compared to our fixed-rate obligation. We are generally indifferent to changes in the cash flow patterns, as they achieve our overall net interest spread objective and we remain indifferent for the most part to the volatility of interest rates. |
Table 1.8: | GAAP Versus Economic Basis(a) — Contrasting Net Interest Income, Net Income Spread and Return on Earning Assets |
Three months ended September 30, 2011 | Three months ended September 30, 2010 | |||||||||||||||||||||||
Amount | ROA | Net Spread | Amount | ROA | Net Spread | |||||||||||||||||||
GAAP net interest income |
$ | 76,083 | 0.30 | % | 0.26 | % | $ | 125,161 | 0.47 | % | 0.41 | % | ||||||||||||
Interest income (expense) |
||||||||||||||||||||||||
Swaps not designated in a
hedging relationship |
8,816 | 0.04 | 0.04 | 7,854 | 0.03 | 0.03 | ||||||||||||||||||
Economic net interest income |
$ | 84,899 | 0.34 | % | 0.30 | % | $ | 133,015 | 0.50 | % | 0.44 | % | ||||||||||||
Nine months ended September 30, 2011 | Nine months ended September 30, 2010 | |||||||||||||||||||||||
Amount | ROA | Net Spread | Amount | ROA | Net Spread | |||||||||||||||||||
GAAP net interest income |
$ | 309,797 | 0.41 | % | 0.38 | % | $ | 347,556 | 0.43 | % | 0.38 | % | ||||||||||||
Interest income (expense) |
||||||||||||||||||||||||
Swaps not designated in a
hedging relationship |
30,431 | 0.04 | 0.04 | 67,822 | 0.08 | 0.09 | ||||||||||||||||||
Economic net interest income |
$ | 340,228 | 0.45 | % | 0.42 | % | $ | 415,378 | 0.51 | % | 0.47 | % | ||||||||||||
(a) | Explanation of the use of certain non-GAAP measures of Interest Income and Expense, Net Interest income and margin. We have presented our results of operations in accordance with U.S. generally accepted accounting principles. We have also presented certain information regarding our Interest Income and Expense, Net Interest income and Net Interest spread that combines interest expense on debt with net interest paid on interest rate swaps associated with debt that were hedged on an economic basis. These are non-GAAP financial measures used by management that we believe are useful to investors and our investors and stockholders in understanding our operational performance |
51
as well as business and performance trends. Although we believe these non-GAAP financial measures enhance investor and members’ understanding of our business and performance, these non-GAAP financial measures should not be considered an alternative to GAAP. When discussing non-GAAP measures, we have provided GAAP measures in parallel. | ||
(b) | The reporting classification of interest income or expense associated with swaps designated as economic hedges has no impact on Net income, as these adjustments are either reported as a component of Net interest income if the hedges are qualifying hedges, or as a component of Other income as gains or losses from hedging activities if they are economic hedges. Interest rate swaps designated as economic hedges have declined as much of the swaps executed in prior year periods have matured. In prior year periods, significant amounts of swaps were designated as economic hedges of consolidated obligation debt, in a hedging strategy that converted floating-rate debt indexed to 1-month LIBOR, the Prime rate, and the Federal funds rate to 3-month LIBOR cash flows. The decline in the amount of interest associated with economic hedges is due to low interest rates. |
Table 1.9: | Spread and Yield Analysis |
Three months ended September 30, | ||||||||||||||||||||||||
2011 | 2010 | |||||||||||||||||||||||
Interest | Interest | |||||||||||||||||||||||
Average | Income/ | Average | Income/ | |||||||||||||||||||||
(Dollars in thousands) | Balance | Expense | Rate(a) | Balance | Expense | Rate(a) | ||||||||||||||||||
Earning Assets: |
||||||||||||||||||||||||
Advances |
$ | 74,523,719 | $ | 85,440 | 0.45 | % | $ | 84,163,767 | $ | 173,459 | 0.82 | % | ||||||||||||
Interest bearing deposits and others |
3,045,849 | 700 | 0.09 | 3,297,811 | 1,699 | 0.20 | ||||||||||||||||||
Federal funds sold and other overnight funds |
9,505,527 | 1,547 | 0.06 | 5,339,728 | 2,253 | 0.17 | ||||||||||||||||||
Investments |
12,109,778 | 77,066 | 2.52 | 11,633,953 | 91,822 | 3.13 | ||||||||||||||||||
Mortgage and other loans |
1,332,854 | 15,833 | 4.71 | 1,273,893 | 16,333 | 5.09 | ||||||||||||||||||
Total interest-earning assets |
$ | 100,517,727 | $ | 180,586 | 0.71 | % | $ | 105,709,152 | $ | 285,566 | 1.07 | % | ||||||||||||
Funded By: |
||||||||||||||||||||||||
Consolidated obligations-bonds |
$ | 65,770,510 | $ | 93,292 | 0.56 | $ | 69,817,290 | $ | 147,097 | 0.84 | ||||||||||||||
Consolidated obligations-discount notes |
24,049,554 | 10,286 | 0.17 | 21,316,412 | 11,456 | 0.21 | ||||||||||||||||||
Interest-bearing deposits and
other borrowings |
2,437,093 | 265 | 0.04 | 5,089,995 | 973 | 0.08 | ||||||||||||||||||
Mandatorily redeemable capital stock |
58,198 | 660 | 4.50 | 68,498 | 879 | 5.09 | ||||||||||||||||||
Total interest-bearing liabilities |
92,315,355 | 104,503 | 0.45 | % | 96,292,195 | 160,405 | 0.66 | % | ||||||||||||||||
Capital and other non-interest-
bearing funds |
8,202,372 | — | 9,416,957 | — | ||||||||||||||||||||
Total Funding |
$ | 100,517,727 | $ | 104,503 | $ | 105,709,152 | $ | 160,405 | ||||||||||||||||
Net Interest Income/Spread |
$ | 76,083 | 0.26 | % | $ | 125,161 | 0.41 | % | ||||||||||||||||
Net Interest Margin
(Net interest income/Earning Assets) |
0.30 | % | 0.47 | % | ||||||||||||||||||||
Nine months ended September 30, | ||||||||||||||||||||||||
2011 | 2010 | |||||||||||||||||||||||
Interest | Interest | |||||||||||||||||||||||
Average | Income/ | Average | Income/ | |||||||||||||||||||||
(Dollars in thousands) | Balance | Expense | Rate(a) | Balance | Expense | Rate(a) | ||||||||||||||||||
Earning Assets: |
||||||||||||||||||||||||
Advances |
$ | 75,894,869 | $ | 359,640 | 0.63 | % | $ | 87,036,068 | $ | 477,303 | 0.73 | % | ||||||||||||
Interest bearing deposits and others |
2,534,367 | 2,221 | 0.12 | 2,619,259 | 3,766 | 0.19 | ||||||||||||||||||
Federal funds sold and other overnight funds |
8,459,423 | 5,694 | 0.09 | 5,682,315 | 6,600 | 0.16 | ||||||||||||||||||
Investments |
11,856,909 | 233,557 | 2.63 | 12,116,261 | 297,814 | 3.29 | ||||||||||||||||||
Mortgage and other loans |
1,295,204 | 47,161 | 4.87 | 1,284,879 | 49,689 | 5.17 | ||||||||||||||||||
Total interest-earning assets |
$ | 100,040,772 | $ | 648,273 | 0.87 | % | $ | 108,738,782 | $ | 835,172 | 1.03 | % | ||||||||||||
Funded By: |
||||||||||||||||||||||||
Consolidated obligations-bonds |
$ | 68,207,945 | $ | 310,784 | 0.61 | $ | 71,934,296 | $ | 448,669 | 0.83 | ||||||||||||||
Consolidated obligations-discount notes |
21,190,062 | 24,695 | 0.16 | 22,730,205 | 33,069 | 0.19 | ||||||||||||||||||
Interest-bearing deposits and
other borrowings |
2,406,154 | 1,124 | 0.06 | 5,119,117 | 2,827 | 0.07 | ||||||||||||||||||
Mandatorily redeemable capital stock |
58,695 | 1,873 | 4.27 | 90,964 | 3,051 | 4.48 | ||||||||||||||||||
Total interest-bearing liabilities |
91,862,856 | 338,476 | 0.49 | % | 99,874,582 | 487,616 | 0.65 | % | ||||||||||||||||
Capital and other non-interest-
bearing funds |
8,177,916 | — | 8,864,200 | — | ||||||||||||||||||||
Total Funding |
$ | 100,040,772 | $ | 338,476 | $ | 108,738,782 | $ | 487,616 | ||||||||||||||||
Net Interest Income/Spread |
$ | 309,797 | 0.38 | % | $ | 347,556 | 0.38 | % | ||||||||||||||||
Net Interest Margin
(Net interest income/Earning Assets) |
0.41 | % | 0.43 | % | ||||||||||||||||||||
(a) | 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 us and hedged with an interest rate derivative, it effectively converts the debt into a simple floating-rate bond. Similarly, we make fixed-rate advances to members and hedge the advances 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. | |
(b) | 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 was calculated for the period. When daily weighted average balance information was not available, a simple monthly average balance was calculated. Average yields were 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. |
52
Table 1.10: | Rate and Volume Analysis |
For the three months ended | ||||||||||||
September 30, 2011 vs. September 30, 2010 | ||||||||||||
Increase (Decrease) | ||||||||||||
Volume | Rate | Total | ||||||||||
Interest Income |
||||||||||||
Advances |
$ | (18,059 | ) | $ | (69,960 | ) | $ | (88,019 | ) | |||
Interest bearing deposits and others |
(121 | ) | (878 | ) | (999 | ) | ||||||
Federal funds sold and other overnight funds |
1,153 | (1,859 | ) | (706 | ) | |||||||
Investments |
3,629 | (18,385 | ) | (14,756 | ) | |||||||
Mortgage loans and other loans |
735 | (1,235 | ) | (500 | ) | |||||||
Total interest income |
(12,663 | ) | (92,317 | ) | (104,980 | ) | ||||||
Interest Expense |
||||||||||||
Consolidated obligations-bonds |
(8,106 | ) | (45,699 | ) | (53,805 | ) | ||||||
Consolidated obligations-discount notes |
1,353 | (2,523 | ) | (1,170 | ) | |||||||
Deposits and borrowings |
(388 | ) | (320 | ) | (708 | ) | ||||||
Mandatorily redeemable capital stock |
(123 | ) | (96 | ) | (219 | ) | ||||||
Total interest expense |
(7,264 | ) | (48,638 | ) | (55,902 | ) | ||||||
Changes in Net Interest Income |
$ | (5,399 | ) | $ | (43,679 | ) | $ | (49,078 | ) | |||
For the nine months ended | ||||||||||||
September 30, 2011 vs. September 30, 2010 | ||||||||||||
Increase (Decrease) | ||||||||||||
Volume | Rate | Total | ||||||||||
Interest Income |
||||||||||||
Advances |
$ | (57,069 | ) | $ | (60,594 | ) | $ | (117,663 | ) | |||
Certificates of deposit and other |
(119 | ) | (1,426 | ) | (1,545 | ) | ||||||
Federal funds sold and other overnight funds |
2,497 | (3,403 | ) | (906 | ) | |||||||
Investments |
(6,252 | ) | (58,005 | ) | (64,257 | ) | ||||||
Mortgage loans and other loans |
396 | (2,924 | ) | (2,528 | ) | |||||||
Total interest income |
(60,547 | ) | (126,352 | ) | (186,899 | ) | ||||||
Interest Expense |
||||||||||||
Consolidated obligations-bonds |
(22,232 | ) | (115,653 | ) | (137,885 | ) | ||||||
Consolidated obligations-discount notes |
(2,127 | ) | (6,247 | ) | (8,374 | ) | ||||||
Deposits and borrowings |
(1,319 | ) | (384 | ) | (1,703 | ) | ||||||
Mandatorily redeemable capital stock |
(1,037 | ) | (141 | ) | (1,178 | ) | ||||||
Total interest expense |
(26,715 | ) | (122,425 | ) | (149,140 | ) | ||||||
Changes in Net Interest Income |
$ | (33,832 | ) | $ | (3,927 | ) | $ | (37,759 | ) | |||
53
Three months ended | Nine months ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Other income (loss): |
||||||||||||||||
Service fees and other (a) |
$ | 1,579 | $ | 1,297 | $ | 4,314 | $ | 3,472 | ||||||||
Instruments held at fair value — Unrealized gains (losses) (b) |
(5,173 | ) | 55 | (10,574 | ) | (12,612 | ) | |||||||||
Total OTTI losses |
(142 | ) | (498 | ) | (308 | ) | (4,573 | ) | ||||||||
Net amount of impairment losses reclassified (from) to
Accumulated other comprehensive loss |
(918 | ) | (2,569 | ) | (1,262 | ) | (3,164 | ) | ||||||||
Net impairment losses recognized in earnings (c) |
(1,060 | ) | (3,067 | ) | (1,570 | ) | (7,737 | ) | ||||||||
Net realized and unrealized gains (losses)
on derivatives and hedging activities (d) |
(8,608 | ) | 8,444 | 62,606 | (3,344 | ) | ||||||||||
Net realized gains from sale of available-for-sale securities
and redemption of held-to-maturity securities |
— | — | 17 | 708 | ||||||||||||
Losses from extinguishment of debt and other (e) |
(441 | ) | (624 | ) | (55,981 | ) | (1,493 | ) | ||||||||
Total other income (loss) |
$ | (13,703 | ) | $ | 6,105 | $ | (1,188 | ) | $ | (21,006 | ) | |||||
(a) | Service fees — Service fees are derived primarily from providing correspondent banking services to members and fees earned on standby letters of credit. We do not consider income from such services to be a significant element of our operations. | |
(b) | Instruments held at fair value under the Fair Value Option — We have elected to carry certain consolidated obligation bonds and discount notes at fair value in the Statements of Condition under the accounting standards for the fair value option (“FVO”). We record changes in the unrealized fair value gains and losses on these liabilities in Other income (loss). In general, transactions elected for the fair value option are in economic hedge relationships through the execution of interest rate swaps to offset the fair value volatility of consolidated obligation debt elected under the FVO. | |
The recorded P&L impact of fair value changes of consolidated obligation bonds and discount notes under the FVO are primarily unrealized. Debt under the FVO designation and consisted of intermediate- and short-term bonds and discount notes. Gains are recorded when the debt’s market observable yields (with appropriate consideration for credit standing) are higher than the contractual coupons or yields of the designated debt as of the balance sheet dates. Conversely, if market interest rates fall below the contractual coupons or yields, a fair value loss is recorded. Losses and gains would also be recorded in the period the debt matures, when previously recorded unrealized gains and losses are reversed in the period the debt matures. Said another way, when bonds and discount notes are recorded at fair value and are held to maturity, their cumulative fair value changes sum to zero at maturity. | ||
At September 30, 2011, the fair values of debt designated under the FVO exhibited unrealized losses relative to the September 30, 2010 due to decline in observed market yields of the debt relative to the actual yields of the debt on our balance sheet. Fair values of fixed-rate debt will move inversely as yields decline. Market interest rates of our debt have fallen at September 30, 2011 because of investors’ perception of the high-credit quality of the FHLBank debt. | ||
(c) | Net impairment losses recognized in earnings on held-to-maturity securities — Credit-related OTTI was insignificant in all periods in 2011. OTTI was mainly from additional credit losses caused by modest deterioration in the performance parameters of certain previously impaired private-label MBS. We make quarterly cash flow assessments of the expected credit performance of our entire portfolio of private-label MBS, and it is evident that the credit conditions of our private-label MBS is improving. | |
(d) | Earnings impact of derivatives and hedging activities — We may designate a derivative as either a hedge of (1) the fair value of a recognized fixed-rate asset or liability or an unrecognized firm commitment (fair value hedge); (2) a forecasted transaction; or (3) the variability of future cash flows of a floating-rate asset or liability (cash flow hedge). We may also designate a derivative as an economic hedge, which does not qualify for hedge accounting under the accounting standards for derivatives and hedging. |
• | Qualifying hedges under the accounting standards for derivatives and hedging — Net realized and unrealized gains and losses from qualifying hedging activities are typically impacted by changes in the benchmark interest rate (designated as LIBOR) and the degree of ineffectiveness of hedging relationships between the change in the fair value of derivatives and changes in the fair value of the hedged assets and liabilities attributable to changes in benchmark interest rate. Typically, such gains and losses represent hedge ineffectiveness between changes in the fair value of the hedged item and changes in the fair value of the derivative. | ||
• | Interest rate swaps and option contracts designated as standalone economic hedges of balance sheet assets and liabilities — When hedges do not qualify for hedge accounting or when the operational cost of applying hedge accounting outweighs the benefits, we hedge such assets and liabilities in an economic hedge and the fair value changes of the hedging instrument, a swap or an option, are recorded as a Net realized and unrealized gain (loss) on derivatives and hedging activities in Other income (loss) in the Statements of Income, without the benefit of offsetting changes of the fair values of the hedged item. |
Key components of net fair value losses from derivatives and hedging activities in the 2011 third quarter of $8.6 million were primarily due to (for more information see Table 1.12, and Note 15 Derivatives and Hedging activities): |
• | Decline in the fair values of $1.89 billion of interest rate caps purchased primarily to hedge capped LIBOR indexed floating-rate MBS. As the forward swap curve has declined at September 30, 2011 relative to June 30, 2011, fair values of caps have also declined contributing $15.2 million in fair value losses measured in the current year third quarter. | ||
• | Interest rate swaps designated as economic hedges reported fair value losses from the following activities: (1) consolidated bonds indexed to rates other than the 3-month LIBOR index, primarily federal funds rate and 1-month LIBOR) and discount notes, and (2) debt, both bonds and discount notes, accounted under the FVO. Interest-rate swaps that were economic hedges of debt were typically structured to pay 3-month LIBOR cash flows to swap dealers, and to receive either federal funds indexed cash flows, or receive fixed-rate cash flows. As the 3-month LIBOR rose at September 30, 2011, our future projected obligations became greater and fair values of the swaps exhibited unrealized fair value losses. | ||
• | Interest accruals (representing the cash flows associated with swaps designated as economic hedges of advances and debt that did not qualify for hedge accounting, including debt designated under the FVO) represented positive cash in-flows, and offset some of the recorded fair value losses. Fair values are based on the present value of projected cash flows while interest accruals are based on actual settled rates. | ||
• | The impact of swaps in hedge qualifying relationships was a net unrealized fair value loss of $7.2 million, representing net hedge ineffectiveness, which is the difference between changes in the fair values of the swap and changes in the fair values of the hedged advance and hedged debt. |
54
Key components of net fair value gains of $62.6 million from derivatives and hedging activities in the nine months ended September 30, 2011, were primarily due to: |
• | Fair value of interest rate caps measured on year-to-date basis was a loss of $28.3 million in the 2011 period ($47.9 million in the 2010 period) because of the significant inversion of the forward yield curve at September 30, 2011, relative to December 31, 2010. | ||
• | Realized gains from termination of hedges contemporaneous with the significant prepayments of hedged advances in the 2011 first quarter contributed $52.0 million. | ||
• | Interest rate swaps designated as economic hedges of consolidated bonds were in fair value loss positions. |
(e) | Losses from extinguishment of debt — (1) In the 2011 third quarter, we sold certain bond funds in our Grantor Trust and realized a small loss. The trust is owned by the FHLBNY and is to fund future pension benefit obligations and is designated as available-for-sale. The amount of loss recorded for the nine months ended September 30, 2011, mainly represented a charge of $55.2 million taken in the 2011 first quarter when $504.7 million of certain high-coupon consolidated bonds were extinguished to re-align our funding profile in parallel with the prepayments of advances in that quarter. (2) Other mainly represents realized loss of $0.3 million from sale of funds in a Grantor trust designated as AFS. |
Three months ended September 30, 2011 | ||||||||||||||||||||||||||||
Consolidated | Consolidated | |||||||||||||||||||||||||||
MPF | Obligation | Obligation | Balance | Intermediary | ||||||||||||||||||||||||
Earnings Impact | Advances | Loans | Bonds | Discount Notes | Sheet | Positions | Total | |||||||||||||||||||||
Amortization/accretion/interest
accruals of hedging activities
reported in net interest income (a) |
$ | (430,967 | ) | $ | (27 | ) | $ | 113,714 | $ | (4,504 | ) | $ | — | $ | — | $ | (321,784 | ) | ||||||||||
Net realized and unrealized gains
(losses) on derivatives and
hedging activities (b) |
||||||||||||||||||||||||||||
Gains (losses) on fair value hedges |
22,736 | — | (6,208 | ) | 643 | — | — | 17,171 | ||||||||||||||||||||
Gains (losses) on cash flow hedges |
— | — | (119 | ) | — | — | — | (119 | ) | |||||||||||||||||||
Net gains (losses) derivatives-FVO (c) |
— | — | (311 | ) | 353 | — | — | 42 | ||||||||||||||||||||
Gains (losses)-economic hedges (d) |
(1,317 | ) | 1,788 | (11,055 | ) | 62 | (15,184 | ) | 4 | (25,702 | ) | |||||||||||||||||
Net realized and unrealized (losses) gains
on derivatives and hedging activities |
21,419 | 1,788 | (17,693 | ) | 1,058 | (15,184 | ) | 4 | (8,608 | ) | ||||||||||||||||||
Total |
$ | (409,548 | ) | $ | 1,761 | $ | 96,021 | $ | (3,446 | ) | $ | (15,184 | ) | $ | 4 | $ | (330,392 | ) | ||||||||||
Three months ended September 30, 2010 | ||||||||||||||||||||||||||||
Consolidated | Consolidated | |||||||||||||||||||||||||||
MPF | Obligation | Obligation | Balance | Intermediary | ||||||||||||||||||||||||
Earnings Impact | Advances | Loans | Bonds | Discount Notes | Sheet | Positions | Total | |||||||||||||||||||||
Amortization/accretion/interest
accruals of hedging activities
reported in net interest income (a) |
$ | (478,422 | ) | $ | — | $ | 137,824 | $ | — | $ | — | $ | — | $ | (340,598 | ) | ||||||||||||
Net realized and unrealized gains
(losses) on derivatives and
hedging activities (b) |
||||||||||||||||||||||||||||
Gains (losses) on fair value hedges |
1,215 | — | (1,507 | ) | — | — | — | (292 | ) | |||||||||||||||||||
Gains (losses) on cash flow hedges |
— | — | — | — | — | — | — | |||||||||||||||||||||
Net gains (losses) derivatives-FVO (c) |
— | — | 12,525 | 2,647 | — | — | 15,172 | |||||||||||||||||||||
Gains (losses)-economic hedges (d) |
(1,754 | ) | 257 | 9,422 | 13 | (14,618 | ) | 244 | (6,436 | ) | ||||||||||||||||||
Net realized and unrealized (losses) gains
on derivatives and hedging activities |
(539 | ) | 257 | 20,440 | 2,660 | (14,618 | ) | 244 | 8,444 | |||||||||||||||||||
Total |
$ | (478,961 | ) | $ | 257 | $ | 158,264 | $ | 2,660 | $ | (14,618 | ) | $ | 244 | $ | (332,154 | ) | |||||||||||
55
Nine months ended September 30, 2011 | ||||||||||||||||||||||||||||
Consolidated | Consolidated | |||||||||||||||||||||||||||
MPF | Obligation | Obligation | Balance | Intermediary | ||||||||||||||||||||||||
Earnings Impact | Advances | Loans | Bonds | Discount Notes | Sheet | Positions | Total | |||||||||||||||||||||
Amortization/accretion/interest
accruals of hedging activities
reported in net interest income (a) |
$ | (1,281,665 | ) | $ | 27 | $ | 381,400 | $ | (5,898 | ) | $ | — | $ | — | $ | (906,136 | ) | |||||||||||
Net realized and unrealized gains
(losses) on derivatives and
hedging activities (b) |
||||||||||||||||||||||||||||
Gains (losses) on fair value hedges |
79,306 | — | (2,907 | ) | 643 | — | — | 77,042 | ||||||||||||||||||||
Gains (losses) on cash flow hedges |
— | — | (119 | ) | — | — | — | (119 | ) | |||||||||||||||||||
Net gains (losses) derivatives-FVO (c) |
— | — | 16,784 | 666 | — | — | 17,450 | |||||||||||||||||||||
Gains (losses)-economic hedges (d) |
(2,417 | ) | 2,327 | (3,465 | ) | 62 | (28,284 | ) | 10 | (31,767 | ) | |||||||||||||||||
Net realized and unrealized (losses) gains
on derivatives and hedging activities |
76,889 | 2,327 | 10,293 | 1,371 | (28,284 | ) | 10 | 62,606 | ||||||||||||||||||||
Total |
$ | (1,204,776 | ) | $ | 2,354 | $ | 391,693 | $ | (4,527 | ) | $ | (28,284 | ) | $ | 10 | $ | (843,530 | ) | ||||||||||
Nine months ended September 30, 2010 | ||||||||||||||||||||||||||||
Consolidated | Consolidated | |||||||||||||||||||||||||||
MPF | Obligation | Obligation | Balance | Intermediary | ||||||||||||||||||||||||
Earnings Impact | Advances | Loans | Bonds | Discount Notes | Sheet | Positions | Total | |||||||||||||||||||||
Amortization/accretion/interest
accruals of hedging activities
reported in net interest income (a) |
$ | (1,519,392 | ) | $ | 15 | $ | 483,049 | $ | — | $ | — | $ | — | $ | (1,036,328 | ) | ||||||||||||
Net realized and unrealized gains
(losses) on derivatives and
hedging activities (b) |
||||||||||||||||||||||||||||
Gains (losses) on fair value hedges |
439 | — | 2,308 | — | — | — | 2,747 | |||||||||||||||||||||
Gains (losses) on cash flow hedges |
— | — | — | — | — | — | — | |||||||||||||||||||||
Net gains (losses) derivatives-FVO (c) |
— | — | 30,002 | 3,749 | — | — | 33,751 | |||||||||||||||||||||
Gains (losses)-economic hedges (d) |
(7,786 | ) | 811 | 13,936 | 716 | (47,967 | ) | 448 | (39,842 | ) | ||||||||||||||||||
Net realized and unrealized (losses) gains
on derivatives and hedging activities |
(7,347 | ) | 811 | 46,246 | 4,465 | (47,967 | ) | 448 | (3,344 | ) | ||||||||||||||||||
Total |
$ | (1,526,739 | ) | $ | 826 | $ | 529,295 | $ | 4,465 | $ | (47,967 | ) | $ | 448 | $ | (1,039,672 | ) | |||||||||||
(a) | Net interest accruals of derivatives designated in qualifying fair value or cash flow hedges are recorded as adjustments to the interest income or interest expense of the hedged assets or liabilities. When hedge accounting is discontinued, we will continue to carry the derivative on the balance sheet at its fair value, cease to adjust the hedged asset or liability for changes in fair value, and we will amortize the cumulative basis adjustment on the hedged item into earnings over the remaining life of the hedged item using the level-yield methodology. When we enter into an agreement with a member to modify the terms of an existing advance, and if the new advance qualifies as a modification of the existing hedged advance, the hedging fair value adjustments are recorded in the carrying value of the modified advance and amortized over the life of the modified advance as a component of interest income from advances. | |
(b) | Fair Value hedges- For qualifying fair value hedges, changes in the fair value of a derivative and the offsetting gain or loss on the hedged asset or liability attributable to the hedged risk are recorded in Other income (loss) as a Net realized and unrealized gain (loss) on derivatives and hedging activities. To the extent that changes in the fair value of the derivative are not entirely offset by changes in the fair value of the hedged asset or liability, the net impact from hedging activities represents hedge ineffectiveness. Cash Flow hedges- For qualifying cash flow hedges, changes in the fair values of the interest rate swap (that are deemed to be effective) are recorded as a Derivative asset or a liability with an offset to AOCI. The ineffective portion of fair value changes are recognized through Net income. | |
(c) | The recorded P&L impact of fair value changes of consolidated obligation bonds and discount notes under the FVO are primarily unrealized. Debt under the FVO designation consisted primarily of intermediate term bonds and discount notes. Gains are recorded when the debt’s market observable yields (with appropriate consideration for credit standing) are higher than the contractual coupons or yields of the designated debt as of the balance sheet dates. Conversely, if market interest rates fall below the contractual coupons or yields, a fair value loss is recorded. Losses and gains would also be recorded in the period the debt matures, causing previously recorded unrealized gains and losses to reverse in that period. Said another way, when bonds and discount notes are recorded at fair value and are held to maturity, their cumulative fair value changes sum to zero at maturity. | |
(d) | Economic hedges were primarily (1) derivatives hedging basis risk of debt issued at indices other than the 3-month LIBOR rate, (2) purchased caps, and (3) de-designated swaps that had previously qualifies as hedges. |
56
Table 1.13: | Accumulated Other Comprehensive Income (Loss) to Current Period Income from Cash Flow Hedges |
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Accumulated other comprehensive income/(loss) from cash flow hedges |
||||||||||||||||
Beginning of period |
$ | (20,823 | ) | $ | (19,614 | ) | $ | (15,196 | ) | $ | (22,683 | ) | ||||
Net hedging transactions |
(86,557 | ) | — | (94,182 | ) | (472 | ) | |||||||||
Reclassified into earnings |
986 | 1,882 | 2,984 | 5,423 | ||||||||||||
End of period |
$ | (106,394 | ) | $ | (17,732 | ) | $ | (106,394 | ) | $ | (17,732 | ) | ||||
Nine months ended September 30, | ||||||||||||||||
2011 | 2010 | |||||||||||||||
Carrying Value | Gains/(Losses) | Carrying Value | Gains/(Losses) | |||||||||||||
Extinguishment of CO Bonds (a)
|
$ | 353,500 | $ | (37,844 | ) | $ | 250,000 | $ | 44 | |||||||
Transfer of CO Bonds to Other FHLBanks (a)
|
$ | 150,049 | $ | (17,332 | ) | $ | — | $ | — |
(a) | We retire debt principally to reduce future debt costs when the associated asset is either prepaid or terminated early, and less frequently from prepayments of mortgage-backed securities. When assets are prepaid ahead of their expected or contractual maturities, we also attempt to extinguish debt (consolidated obligation bonds) in order to realign asset and liability cash flow patterns. Bond retirement typically requires a payment of a premium resulting in a loss. We typically receive prepayment fees when assets are prepaid, making as economically whole. From time to time, we may sell investment securities classified as available-for-sale, or on an isolated basis may be asked by the issuer of a security which we have classified as held-to-maturity (“HTM”) to redeem the investment security. There were de-minimis amounts of such sales in 2011. |
57
Three months ended September 30, | ||||||||||||||||
2011 | Percentage of Total | 2010 | Percentage of Total | |||||||||||||
Temporary workers |
$ | — | — | % | $ | 30 | 0.50 | % | ||||||||
Occupancy |
1,122 | 16.46 | 1,131 | 18.82 | ||||||||||||
Depreciation and leasehold amortization |
1,316 | 19.31 | 1,444 | 24.03 | ||||||||||||
Computer service agreements and contractual services |
2,229 | 32.71 | 1,666 | 27.72 | ||||||||||||
Professional and legal fees |
591 | 8.67 | 385 | 6.41 | ||||||||||||
Other (a) |
1,557 | 22.85 | 1,353 | 22.52 | ||||||||||||
Total operating expenses (b) |
$ | 6,815 | 100.00 | % | $ | 6,009 | 100.00 | % | ||||||||
Salaries |
$ | 7,628 | 62.33 | % | $ | 7,383 | 47.18 | % | ||||||||
Employee benefits |
4,611 | 37.67 | 8,265 | 52.82 | ||||||||||||
Total Compensation and Benefits (c) |
$ | 12,239 | 100.00 | % | $ | 15,648 | 100.00 | % | ||||||||
Finance Agency and Office of Finance (d) |
$ | 3,220 | $ | 2,036 | ||||||||||||
Nine months ended September 30, | ||||||||||||||||
2011 | Percentage of Total | 2010 | Percentage of Total | |||||||||||||
Temporary workers |
$ | 82 | 0.37 | % | $ | 86 | 0.43 | % | ||||||||
Occupancy |
3,294 | 14.98 | 3,270 | 16.53 | ||||||||||||
Depreciation and leasehold amortization |
4,085 | 18.57 | 4,201 | 21.23 | ||||||||||||
Computer service agreements and contractual services |
7,401 | 33.65 | 6,018 | 30.42 | ||||||||||||
Professional and legal fees |
2,261 | 10.28 | 1,983 | 10.02 | ||||||||||||
Other (a) |
4,872 | 22.15 | 4,229 | 21.37 | ||||||||||||
Total operating expenses (b) |
$ | 21,995 | 100.00 | % | $ | 19,787 | 100.00 | % | ||||||||
Salaries |
$ | 22,594 | 34.62 | % | $ | 21,713 | 52.37 | % | ||||||||
Employee benefits |
42,673 | 65.38 | 19,745 | 47.63 | ||||||||||||
Total Compensation and Benefits (c) |
$ | 65,267 | 100.00 | % | $ | 41,458 | 100.00 | % | ||||||||
Finance Agency and Office of Finance (d) |
$ | 9,730 | $ | 6,447 | ||||||||||||
(a) | Other Expense — represents audit fees, director fees and expenses, insurance and telecommunications. | |
(b) | Operating expenses included the administrative and overhead costs of operating our Bank, as well as the operating costs of providing advances and managing collateral associated with the advances, managing the investment portfolios, and providing correspondent banking services to members. Computer service agreements and contractual services were higher in the 2011 periods compared to the same periods in 2010 because of additional software maintenance fees and expenses incurred in enhancing operating processes. | |
(c) | Employee benefit expenses declined in the three months ended September 30, 2011 because of lower charges to pension plans relative to the same period in 2010. For the nine months ended September 30, 2011, Compensation and benefits rose to $65.3 million, up from $41.5 million in the same period in 2010. In March 2011, we had contributed $24.0 million to our Defined Benefit Plan and this amount was charged to Compensation and Benefits. | |
(d) | We were also assessed for our share of the operating expenses for the Finance Agency and the Office of Finance. The 12 FHLBanks and two other GSEs share the administrative cost of the Finance Agency. |
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Beginning balance |
$ | 133,831 | $ | 144,074 | $ | 138,365 | $ | 144,489 | ||||||||
Additions from current period’s assessments |
4,036 | 8,852 | 17,981 | 21,350 | ||||||||||||
Net disbursements for grants and programs |
(8,088 | ) | (14,931 | ) | (26,567 | ) | (27,844 | ) | ||||||||
Ending balance |
$ | 129,779 | $ | 137,995 | $ | 129,779 | $ | 137,995 | ||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Beginning balance |
$ | 14,732 | $ | 14,088 | $ | 21,617 | $ | 24,234 | ||||||||
(Recovery)/Additions from current period assessments |
(365 | ) | 19,698 | 30,708 | 47,274 | |||||||||||
Net disbursements to REFCORP |
(14,367 | ) | (13,226 | ) | (52,325 | ) | (50,948 | ) | ||||||||
Ending balance |
— | $ | 20,560 | — | $ | 20,560 | ||||||||||
58
Net change in | Net change in | |||||||||||||||
(Dollars in thousands) | September 30, 2011 | December 31, 2010 | dollar amount | percentage | ||||||||||||
Assets |
||||||||||||||||
Cash and due from banks |
$ | 4,744,196 | $ | 660,873 | $ | 4,083,323 | NM | % | ||||||||
Federal funds sold |
4,964,000 | 4,988,000 | (24,000 | ) | (0.48 | ) | ||||||||||
Available-for-sale securities |
3,345,090 | 3,990,082 | (644,992 | ) | (16.16 | ) | ||||||||||
Held-to-maturity securities |
||||||||||||||||
Long-term securities |
8,821,023 | 7,761,192 | 1,059,831 | 13.66 | ||||||||||||
Advances |
73,779,170 | 81,200,336 | (7,421,166 | ) | (9.14 | ) | ||||||||||
Mortgage loans held-for-portfolio |
1,356,912 | 1,265,804 | 91,108 | 7.20 | ||||||||||||
Derivative assets |
53,373 | 22,010 | 31,363 | NM | ||||||||||||
Other assets |
270,029 | 323,773 | (53,744 | ) | (16.60 | ) | ||||||||||
Total assets |
$ | 97,333,793 | $ | 100,212,070 | $ | (2,878,277 | ) | (2.87 | )% | |||||||
Liabilities |
||||||||||||||||
Deposits |
||||||||||||||||
Interest-bearing demand |
$ | 2,485,575 | $ | 2,401,882 | $ | 83,693 | 3.48 | % | ||||||||
Non-interest bearing demand |
6,362 | 9,898 | (3,536 | ) | (35.72 | ) | ||||||||||
Term |
29,000 | 42,700 | (13,700 | ) | (32.08 | ) | ||||||||||
Total deposits |
2,520,937 | 2,454,480 | 66,457 | 2.71 | ||||||||||||
Consolidated obligations |
||||||||||||||||
Bonds |
66,280,849 | 71,742,627 | (5,461,778 | ) | (7.61 | ) | ||||||||||
Discount notes |
22,538,777 | 19,391,452 | 3,147,325 | 16.23 | ||||||||||||
Total consolidated obligations |
88,819,626 | 91,134,079 | (2,314,453 | ) | (2.54 | ) | ||||||||||
Mandatorily redeemable capital stock |
58,322 | 63,219 | (4,897 | ) | (7.75 | ) | ||||||||||
Derivative liabilities |
399,394 | 954,898 | (555,504 | ) | (58.17 | ) | ||||||||||
Other liabilities |
439,547 | 461,025 | (21,478 | ) | (4.66 | ) | ||||||||||
Total liabilities |
92,237,826 | 95,067,701 | (2,829,875 | ) | (2.98 | ) | ||||||||||
Capital |
5,095,967 | 5,144,369 | (48,402 | ) | (0.94 | ) | ||||||||||
Total liabilities and capital |
$ | 97,333,793 | $ | 100,212,070 | $ | (2,878,277 | ) | (2.87 | )% | |||||||
59
September 30, 2011 | December 31, 2010 | |||||||
Consolidated Obligations-Discount Notes (a) |
$ | 22,538,777 | $ | 19,391,452 | ||||
Consolidated Obligations-Bonds With Original Maturities of One Year or Less (b) |
$ | 12,525,000 | $ | 12,410,000 |
(a) | Outstanding at end of the period — carrying value | |
(b) | Outstanding at end of the period — par value |
60
September 30, 2011 | December 31, 2010 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amounts | of Total | Amounts | of Total | |||||||||||||
Adjustable Rate Credit — ARCs |
$ | 6,334,000 | 9.17 | % | $ | 8,121,000 | 10.56 | % | ||||||||
Fixed Rate Advances |
58,110,211 | 84.14 | 64,557,112 | 83.91 | ||||||||||||
Short-Term Advances |
2,493,250 | 3.61 | 1,357,300 | 1.76 | ||||||||||||
Mortgage Matched Advances |
452,641 | 0.66 | 479,934 | 0.62 | ||||||||||||
Overnight
& Line of Credit (OLOC) Advances |
737,346 | 1.07 | 1,402,696 | 1.82 | ||||||||||||
All other categories |
933,834 | 1.35 | 1,021,497 | 1.33 | ||||||||||||
Total par value |
69,061,282 | 100.00 | % | 76,939,539 | 100.00 | % | ||||||||||
Discount on AHP Advances |
(22 | ) | (42 | ) | ||||||||||||
Hedging adjustments |
4,717,910 | 4,260,839 | ||||||||||||||
Total |
$ | 73,779,170 | $ | 81,200,336 | ||||||||||||
61
September 30, 2011 | December 31, 2010 | |||||||
Number of Non-Members (a) |
2 | 7 | ||||||
Non-Member Advances outstanding (a) |
$ | — | $ | 310,000 | ||||
Total number of Non-Members at period end |
8 | 8 | ||||||
Total Advances outstanding to Non-Members at
period end |
$ | 785,452 | $ | 837,025 |
(a) | Members who became Non-Members because of mergers and voluntary/involuntary terminations for the periods ended. |
Prepayment Activity | ||||||||||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Advances pre-paid at par |
$ | 265,112 | $ | 475,088 | $ | 8,139,991 | $ | 2,992,103 | ||||||||
Prepayment fees (a) |
$ | 3,173 | $ | 3,681 | $ | 55,562 | $ | 9,677 | ||||||||
(a) | For advances that are prepaid and hedged under hedge accounting rules, we generally terminate the hedging relationship upon prepayment and adjust the prepayment fees received for the associated fair value basis of the hedged prepaid advance. |
62
September 30, 2011 | December 31, 2010 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of Total | Amount | of Total | |||||||||||||
Fixed-rate (a) |
$ | 62,727,282 | 90.83 | % | $ | 68,818,343 | 89.44 | % | ||||||||
Variable-rate (b) |
6,326,000 | 9.16 | 8,113,000 | 10.55 | ||||||||||||
Variable-rate capped (c) |
8,000 | 0.01 | 8,000 | 0.01 | ||||||||||||
Overdrawn demand deposit accounts |
— | — | 196 | — | ||||||||||||
Total par value |
69,061,282 | 100.00 | % | 76,939,539 | 100.00 | % | ||||||||||
Discount on AHP Advances |
(22 | ) | (42 | ) | ||||||||||||
Hedging basis adjustments |
4,717,910 | 4,260,839 | ||||||||||||||
Total |
$ | 73,779,170 | $ | 81,200,336 | ||||||||||||
(a) | Fixed-rate borrowings remained popular with members but amounts borrowed have declined in line with the overall decline in member demand for advances. The product is popular with members as reflected by an increasing percentage of total advances outstanding. | |
(b) | Variable-rate advances outstanding declined in percentage terms and amounts outstanding. Member demand for adjustable-rate LIBOR-based funding has been weak, as members may perceive the risk of borrowing in an unsettled interest rate environment and a steepening yield curve, a combination of events that make variable-rate borrowing relatively unattractive from an interest-rate risk management perspective. Variable-rate capped advances also declined in a declining interest rate environment. | |
(c) | Typically, capped ARCs are in demand by members only in a rising rate environment, as they would purchase cap options from us to limit borrowers’ interest rate exposure. With a capped variable rate advance, we purchase cap options that mirror the terms of the caps sold to members, offsetting our exposure on the advance. |
September 30, 2011 | December 31, 2010 | |||||||
LIBOR indexed |
$ | 6,334,000 | $ | 8,121,000 | ||||
Overdrawn demand deposit
accounts |
— | 196 | ||||||
Total |
$ | 6,334,000 | $ | 8,121,196 | ||||
September 30, 2011 | December 31, 2010 | |||||||||||||||
Percentage | Percentage | |||||||||||||||
Amount | of Total | Amount | of Total | |||||||||||||
Fixed-rate |
||||||||||||||||
Due in one year or less |
$ | 14,883,804 | 21.55 | % | $ | 14,384,651 | 18.70 | % | ||||||||
Due after one year |
47,843,478 | 69.28 | 54,433,692 | 70.75 | ||||||||||||
Total Fixed-rate |
62,727,282 | 90.83 | 68,818,343 | 89.45 | ||||||||||||
Variable-rate |
||||||||||||||||
Due in one year or less |
2,019,500 | 2.92 | 2,488,196 | 3.23 | ||||||||||||
Due after one year |
4,314,500 | 6.25 | 5,633,000 | 7.32 | ||||||||||||
Total Variable-rate |
6,334,000 | 9.17 | 8,121,196 | 10.55 | ||||||||||||
Total par value |
69,061,282 | 100.00 | % | 76,939,539 | 100.00 | % | ||||||||||
Discount on AHP Advances |
(22 | ) | (42 | ) | ||||||||||||
Hedging adjustments |
4,717,910 | 4,260,839 | ||||||||||||||
Total |
$ | 73,779,170 | $ | 81,200,336 | ||||||||||||
63
Advances | ||||||||
Par Amount | September 30, 2011 | December 31, 2010 | ||||||
Qualifying Hedges |
||||||||
Fixed-rate bullets |
$ | 33,698,347 | $ | 26,562,821 | ||||
Fixed-rate putable (a) |
22,031,662 | 33,612,162 | ||||||
Fixed-rate callable |
325,000 | 150,000 | ||||||
Total Qualifying Hedges |
$ | 56,055,009 | $ | 60,324,983 | ||||
Aggregate par amount of advances hedged (b) |
$ | 56,190,361 | $ | 60,461,327 | ||||
Fair value basis (Qualifying hedging adjustments) |
$ | 4,717,910 | $ | 4,260,839 | ||||
(a) | We have allowed our fixed-rate putable advances to decline and since almost all advances with put or call features are hedged, the decline in hedged advances was consistent with the contraction of fixed-rate putable advances. We purchase the put option in the advance from the borrowing member, and this option mirrors the cancellable swap option owned by the swap counterparty. Under the terms of the put option, we have the right to terminate the advance at agreed-upon dates. The period until the option is exercisable is known as the lockout period. If the advance is put at the end of the lockout period, the member can borrow an advance product of the member’s choice at the then-prevailing market rates and at the then-existing terms and conditions. | |
(b) | Except for an insignificant amount of derivatives that were designated as economic hedges of advances, hedged advances were in a qualifying hedging relationship under the accounting standards for derivatives and hedging. (See Tables 9.1 — 9.5). No advances were designated under the FVO. We typically hedge fixed-rate advances in order to convert fixed-rate cash flows to LIBOR-indexed cash flows through the use of interest rate swaps. |
64
September 30, 2011 | December 31, 2010 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Overdrawn demand deposit accounts |
$ | — | — | % | $ | 196 | — | % | ||||||||
Due or putable\callable in one year or less (b) |
37,866,715 | 54.84 | 49,443,712 | 64.26 | ||||||||||||
Due or putable after one year through two years |
7,839,982 | 11.35 | 8,889,867 | 11.55 | ||||||||||||
Due or putable after two years through three years |
6,349,632 | 9.19 | 6,959,596 | 9.05 | ||||||||||||
Due or putable after three years through four years |
4,249,269 | 6.15 | 4,744,502 | 6.17 | ||||||||||||
Due or putable after four years through five years |
8,535,873 | 12.36 | 4,145,209 | 5.39 | ||||||||||||
Due or putable after five years through six years |
2,056,054 | 2.98 | 815,948 | 1.06 | ||||||||||||
Thereafter |
2,163,757 | 3.13 | 1,940,509 | 2.52 | ||||||||||||
Total par value |
69,061,282 | 100.00 | % | 76,939,539 | 100.00 | % | ||||||||||
Discount on AHP advances |
(22 | ) | (42 | ) | ||||||||||||
Hedging adjustments |
4,717,910 | 4,260,839 | ||||||||||||||
Total |
$ | 73,779,170 | $ | 81,200,336 | ||||||||||||
(a) | Contrasting advances by contractual maturity dates (See Tables 4.1 — 4.10) with potential put dates illustrates the impact of hedging on the effective duration of our advances. Advances borrowed by members include a significant amount of putable advances in which we have purchased from members the option to terminate advances at agreed-upon dates from members. Typically, almost all putable advances are hedged by cancellable interest rate swaps in which the derivative counterparty has the right to exercise and terminate the swap at par at agreed upon dates. Under current hedging practices, when the swap counterparty exercises its right to call the cancellable swap, we would typically also exercise our right to put the advance at par. Under this hedging practice, on a put option basis, the potential exercised maturity is significantly accelerated, and is an important factor in our current hedge strategy. | |
(b) | Includes callable advances totaling $325.0 million par at September 30, 2011. Members have purchased the option to terminate advances. |
Advances | ||||||||
September 30, 2011(a) | December 31, 2010(a) | |||||||
Putable |
$ | 22,832,162 | $ | 34,651,912 | ||||
No-longer putable |
$ | 1,994,000 | $ | 2,581,100 | ||||
Callable |
$ | 325,000 | $ | 150,000 | ||||
(a) | Par value |
65
September 30, | December 31, | Dollar | Percentage | |||||||||||||
2011 | 2010 | Variance | Variance | |||||||||||||
State and local housing finance agency obligations (a) |
$ | 804,753 | $ | 770,609 | $ | 34,144 | 4.43 | % | ||||||||
Mortgage-backed securities |
||||||||||||||||
Available-for-sale securities, at fair value |
3,336,268 | 3,980,135 | (643,867 | ) | (16.18 | ) | ||||||||||
Held-to-maturity securities, at carrying value |
8,016,270 | 6,990,583 | 1,025,687 | 14.67 | ||||||||||||
Total securities |
12,157,291 | 11,741,327 | 415,964 | 3.54 | ||||||||||||
Grantor trust (b) |
8,822 | 9,947 | (1,125 | ) | (11.31 | ) | ||||||||||
Federal funds sold |
4,964,000 | 4,988,000 | (24,000 | ) | (0.48 | ) | ||||||||||
Total investments |
$ | 17,130,113 | $ | 16,739,274 | $ | 390,839 | 2.33 | % | ||||||||
(a) | Classified as held-to-maturity securities, at carrying value. | |
(b) | Classified as available-for-sale securities, at fair value and represents investments in registered mutual funds and other fixed-income securities maintained under the grantor trust. |
September 30, | Percentage | December 31, | Percentage | |||||||||||||
2011 | of Total | 2010 | of Total | |||||||||||||
U.S. government sponsored enterprise residential
mortgage-backed securities |
$ | 5,466,184 | 68.19 | % | $ | 5,528,792 | 79.09 | % | ||||||||
U.S. agency residential mortgage-backed securities |
95,721 | 1.19 | 116,126 | 1.66 | ||||||||||||
U.S. government sponsored enterprise commercial
mortgage-backed securities |
1,729,293 | 21.57 | 476,393 | 6.81 | ||||||||||||
U.S. agency commercial mortgage-backed securities |
35,685 | 0.45 | 48,747 | 0.70 | ||||||||||||
Private-label issued securities backed by home equity loans |
320,138 | 3.99 | 351,456 | 5.03 | ||||||||||||
Private-label issued residential mortgage-backed securities |
209,784 | 2.62 | 292,477 | 4.18 | ||||||||||||
Private-label issued securities backed by manufactured housing loans |
159,465 | 1.99 | 176,592 | 2.53 | ||||||||||||
Total Held-to-maturity
securities-mortgage-backed
securities |
$ | 8,016,270 | 100.00 | % | $ | 6,990,583 | 100.00 | % | ||||||||
66
September 30, | Percentage | December 31, | Percentage | |||||||||||||
2011 | of Total | 2010 | of Total | |||||||||||||
Fannie Mae |
$ | 2,069,323 | 62.02 | % | $ | 2,478,313 | 62.26 | % | ||||||||
Freddie Mac |
1,198,696 | 35.93 | 1,429,900 | 35.93 | ||||||||||||
Ginnie Mae |
68,249 | 2.05 | 71,922 | 1.81 | ||||||||||||
Total AFS mortgage-backed securities |
3,336,268 | 100.00 | % | 3,980,135 | 100.00 | % | ||||||||||
Grantor Trust — Mutual funds |
8,822 | 9,947 | ||||||||||||||
Total AFS portfolio |
$ | 3,345,090 | $ | 3,990,082 | ||||||||||||
September 30, 2011 | ||||||||||||||||||||||||
Below | ||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||
AAA-rated(a) | AA-rated(b) | A-rated | BBB-rated | Grade | Total | |||||||||||||||||||
Long-term securities |
||||||||||||||||||||||||
Mortgage-backed securities |
$ | 112,461 | $ | 7,576,679 | $ | 74,502 | $ | 83,314 | $ | 169,314 | $ | 8,016,270 | ||||||||||||
State and local housing finance agency obligations |
70,858 | 671,935 | — | 61,960 | — | 804,753 | ||||||||||||||||||
Total Long-term securities |
$ | 183,319 | $ | 8,248,614 | $ | 74,502 | $ | 145,274 | $ | 169,314 | $ | 8,821,023 | ||||||||||||
December 31, 2010 | ||||||||||||||||||||||||
Below | ||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||
AAA-rated(c) | AA-rated | A-rated | BBB-rated | Grade | Total | |||||||||||||||||||
Long-term securities |
||||||||||||||||||||||||
Mortgage-backed securities |
$ | 6,463,552 | $ | 266,567 | $ | 87,796 | $ | 17,446 | $ | 155,222 | $ | 6,990,583 | ||||||||||||
State and local housing finance agency obligations |
71,461 | 631,943 | — | 67,205 | — | 770,609 | ||||||||||||||||||
Total Long-term securities |
$ | 6,535,013 | $ | 898,510 | $ | 87,796 | $ | 84,651 | $ | 155,222 | $ | 7,761,192 | ||||||||||||
(a) | Represents certain PLMBS and housing bonds that are rated triple-A by S&P and Moody’s. | |
(b) | GSE issued MBS have been classified in the table above as double- A, the credit rating assigned to the GSEs. On August 8, 2011, S&P downgraded the credit rating of Fannie Mae and Freddie Mac to AA+/Negative, while Moody’s affirmed the triple-A status of the two GSEs. | |
(c) | At December 31, 2010 and until August 8, 2011, the credit rating status of GSE issued MBS were based on the triple-A credit ratings assigned to GSEs by the major credit rating agencies. |
September 30, 2011 | ||||||||||||||||||||||||
AAA-rated(d) | AA-rated (d) | A-rated | BBB-rated | Unrated | Total | |||||||||||||||||||
Available-for-sale securities |
||||||||||||||||||||||||
Mortgage-backed securities |
$ | — | $ | 3,336,268 | $ | — | $ | — | $ | — | $ | 3,336,268 | ||||||||||||
Other — Grantor trust |
— | — | — | — | 8,822 | 8,822 | ||||||||||||||||||
Total |
$ | — | $ | 3,336,268 | $ | — | $ | — | $ | 8,822 | $ | 3,345,090 | ||||||||||||
December 31, 2010 | ||||||||||||||||||||||||
AAA-rated(e) | AA-rated | A-rated | BBB-rated | Unrated | Total | |||||||||||||||||||
Available-for-sale securities |
||||||||||||||||||||||||
Mortgage-backed securities |
$ | 3,980,135 | $ | — | $ | — | $ | — | $ | — | $ | 3,980,135 | ||||||||||||
Other — Grantor trust |
— | — | — | — | 9,947 | 9,947 | ||||||||||||||||||
Total |
$ | 3,980,135 | $ | — | $ | — | $ | — | $ | 9,947 | $ | 3,990,082 | ||||||||||||
(d) | All MBS are GSE/Agency issued securities and the ratings are based on issuer credit ratings. Fannie Mae, Freddie Mac and U.S. Agency issued securities MBS are rated double-A (Based on S&P’s rating of AA+/Negative for the GSEs and Double — A for the U.S sovereign; Moody’s affirmed the triple-A status of the two GSEs and the U.S. sovereign rating). | |
(e) | At December 31, 2010 and until August 8, 2011, we reported the credit ratings of GSE and U.S. Agency MBS as triple-A, the credit rating ascribed to the issuers. |
67
September 30, 2011 | December 31, 2010 | |||||||||||||||
Amortized | Weighted | Amortized | Weighted | |||||||||||||
Cost | Average Rate | Cost | Average Rate | |||||||||||||
Mortgage-backed securities |
||||||||||||||||
Due in one year or less |
$ | — | — | % | $ | — | — | % | ||||||||
Due after one year through five years |
1,154 | 6.25 | 1,730 | 6.25 | ||||||||||||
Due after five years through ten years |
2,395,687 | 3.99 | 1,374,456 | 4.36 | ||||||||||||
Due after ten years |
9,021,252 | 2.15 | 9,664,231 | 2.57 | ||||||||||||
Total
mortgage-backed
securities |
$ | 11,418,093 | 2.54 | % | $ | 11,040,417 | 2.79 | % | ||||||||
As of September 30, 2011 | ||||||||||||||||
Actual Results - Base Case Scenario | Adverse Case Scenario | |||||||||||||||
OTTI Related to Credit | OTTI Related to Credit | |||||||||||||||
UPB | Loss | UPB | Loss | |||||||||||||
RMBS Prime |
$ | 11,874 | $ | 81 | $ | 11,874 | $ | 258 | ||||||||
Alt-A |
— | — | — | — | ||||||||||||
HEL Subprime |
36,700 | 979 | 36,700 | 2,187 | ||||||||||||
Total |
$ | 48,574 | $ | 1,060 | $ | 48,574 | $ | 2,445 | ||||||||
As of December 31, 2010 | ||||||||||||||||
Actual Results - Base Case Scenario | Adverse Case Scenario | |||||||||||||||
OTTI Related to Credit | OTTI Related to Credit | |||||||||||||||
UPB | Loss | UPB | Loss | |||||||||||||
RMBS Prime |
$ | 16,477 | $ | 176 | $ | 16,477 | $ | 272 | ||||||||
Alt-A |
— | — | — | — | ||||||||||||
HEL Subprime |
17,641 | 409 | 17,641 | 421 | ||||||||||||
Total |
$ | 34,118 | $ | 585 | $ | 34,118 | $ | 693 | ||||||||
(a) | Generally, the Adverse Case is computed by stressing Credit Default Rate and Loss Severity. |
September 30, 2011 | December 31, 2010 | |||||||||||||||||||||||
Variable | Variable | |||||||||||||||||||||||
Private-label MBS | Fixed Rate | Rate | Total | Fixed Rate | Rate | Total | ||||||||||||||||||
Private-label RMBS |
||||||||||||||||||||||||
Prime |
$ | 202,061 | $ | 3,658 | $ | 205,719 | $ | 284,552 | $ | 3,995 | $ | 288,547 | ||||||||||||
Alt-A |
5,011 | 3,060 | 8,071 | 5,877 | 3,276 | 9,153 | ||||||||||||||||||
Total PL RMBS |
207,072 | 6,718 | 213,790 | 290,429 | 7,271 | 297,700 | ||||||||||||||||||
Home Equity Loans |
||||||||||||||||||||||||
Subprime |
358,675 | 72,174 | 430,849 | 389,031 | 81,835 | 470,866 | ||||||||||||||||||
Total Home Equity Loans |
358,675 | 72,174 | 430,849 | 389,031 | 81,835 | 470,866 | ||||||||||||||||||
Manufactured Housing Loans |
||||||||||||||||||||||||
Subprime |
159,482 | — | 159,482 | 176,611 | — | 176,611 | ||||||||||||||||||
Total Manufactured Housing Loans |
159,482 | — | 159,482 | 176,611 | — | 176,611 | ||||||||||||||||||
Total UPB of
private-label MBS |
$ | 725,229 | $ | 78,892 | $ | 804,121 | $ | 856,071 | $ | 89,106 | $ | 945,177 | ||||||||||||
(a) | Unpaid principal balance (UPB) is also known as the current face or par amount of a mortgage-backed security. |
68
September 30, 2011 | ||||||||||||||||||||||||||||||||||||||||
Unpaid Principal Balance | Total | |||||||||||||||||||||||||||||||||||||||
Below | Gross | Credit and | ||||||||||||||||||||||||||||||||||||||
Ratings | Investment | Amortized | Unrealized | Non-Credit OTTI | ||||||||||||||||||||||||||||||||||||
Private-label MBS | Subtotal | Triple-A | Double-A | Single-A | Triple-B | Grade | Cost | (Losses) | Fair Value | Losses(a) | ||||||||||||||||||||||||||||||
RMBS |
||||||||||||||||||||||||||||||||||||||||
Prime |
||||||||||||||||||||||||||||||||||||||||
2006 |
$ | 28,945 | $ | — | $ | — | $ | — | $ | — | $ | 28,945 | $ | 28,415 | $ | (406 | ) | $ | 28,008 | $ | (142 | ) | ||||||||||||||||||
2005 |
43,562 | — | — | — | 11,104 | 32,458 | 42,342 | (662 | ) | 41,778 | — | |||||||||||||||||||||||||||||
2004 and earlier |
133,212 | 87,853 | 3,658 | — | 37,169 | 4,532 | 132,686 | (442 | ) | 134,662 | — | |||||||||||||||||||||||||||||
Total RMBS Prime |
205,719 | 87,853 | 3,658 | — | 48,273 | 65,935 | 203,443 | (1,510 | ) | 204,448 | (142 | ) | ||||||||||||||||||||||||||||
Alt-A |
||||||||||||||||||||||||||||||||||||||||
2004 and earlier |
8,071 | 8,071 | — | — | — | — | 8,071 | (896 | ) | 7,190 | — | |||||||||||||||||||||||||||||
Total RMBS |
213,790 | 95,924 | 3,658 | — | 48,273 | 65,935 | 211,514 | (2,406 | ) | 211,638 | (142 | ) | ||||||||||||||||||||||||||||
HEL |
||||||||||||||||||||||||||||||||||||||||
Subprime |
||||||||||||||||||||||||||||||||||||||||
2004 and earlier |
430,849 | 17,045 | 86,684 | 84,147 | 52,558 | 190,415 | 400,678 | (59,167 | ) | 342,805 | (166 | ) | ||||||||||||||||||||||||||||
Manufactured Housing Loans |
||||||||||||||||||||||||||||||||||||||||
Subprime |
||||||||||||||||||||||||||||||||||||||||
2004 and earlier |
159,482 | — | 159,482 | — | — | — | 159,465 | (8,818 | ) | 150,647 | — | |||||||||||||||||||||||||||||
Total PLMBS |
$ | 804,121 | $ | 112,969 | $ | 249,824 | $ | 84,147 | $ | 100,831 | $ | 256,350 | $ | 771,657 | $ | (70,391 | ) | $ | 705,090 | $ | (308 | ) | ||||||||||||||||||
December 31, 2010 | ||||||||||||||||||||||||||||||||||||||||
Unpaid Principal Balance | Total | |||||||||||||||||||||||||||||||||||||||
Below | Gross | Credit and | ||||||||||||||||||||||||||||||||||||||
Ratings | Investment | Amortized | Unrealized | Non-Credit OTTI | ||||||||||||||||||||||||||||||||||||
Private-label MBS | Subtotal | Triple-A | Double-A | Single-A | Triple-B | Grade | Cost | (Losses) | Fair Value | Losses(a) | ||||||||||||||||||||||||||||||
RMBS |
||||||||||||||||||||||||||||||||||||||||
Prime |
||||||||||||||||||||||||||||||||||||||||
2006 |
$ | 40,987 | $ | — | $ | — | $ | — | $ | — | $ | 40,987 | $ | 40,413 | $ | (303 | ) | $ | 40,313 | $ | (479 | ) | ||||||||||||||||||
2005 |
59,456 | — | — | 17,664 | — | 41,792 | 57,863 | (589 | ) | 57,763 | — | |||||||||||||||||||||||||||||
2004 and earlier |
188,104 | 180,110 | 7,994 | — | — | — | 187,256 | (388 | ) | 191,029 | — | |||||||||||||||||||||||||||||
Total RMBS Prime |
288,547 | 180,110 | 7,994 | 17,664 | — | 82,779 | 285,532 | (1,280 | ) | 289,105 | (479 | ) | ||||||||||||||||||||||||||||
Alt-A |
||||||||||||||||||||||||||||||||||||||||
2004 and earlier |
9,153 | 9,153 | — | — | — | — | 9,154 | (528 | ) | 8,684 | — | |||||||||||||||||||||||||||||
Total RMBS |
297,700 | 189,263 | 7,994 | 17,664 | — | 82,779 | 294,686 | (1,808 | ) | 297,789 | (479 | ) | ||||||||||||||||||||||||||||
HEL |
||||||||||||||||||||||||||||||||||||||||
Subprime |
||||||||||||||||||||||||||||||||||||||||
2004 and earlier |
470,866 | 124,936 | 88,402 | 89,465 | 27,984 | 140,079 | 442,173 | (64,076 | ) | 378,992 | (4,573 | ) | ||||||||||||||||||||||||||||
Manufactured Housing Loans |
||||||||||||||||||||||||||||||||||||||||
Subprime |
||||||||||||||||||||||||||||||||||||||||
2004 and earlier |
176,611 | — | 176,611 | — | — | — | 176,592 | (21,437 | ) | 155,155 | — | |||||||||||||||||||||||||||||
Total PLMBS |
$ | 945,177 | $ | 314,199 | $ | 273,007 | $ | 107,129 | $ | 27,984 | $ | 222,858 | $ | 913,451 | $ | (87,321 | ) | $ | 831,936 | $ | (5,052 | ) | ||||||||||||||||||
(a) | Credit-related OTTI was offset by reclassification of non-credit OTTI to Net income. |
69
September 30, 2011 | ||||||||||||
Original | ||||||||||||
Weighted- | Weighted- | Weighted-Average | ||||||||||
Average Credit | Average Credit | Collateral | ||||||||||
Private-label MBS | Support %(a) | Support %(b) | Delinquency %(c) | |||||||||
RMBS |
||||||||||||
Prime |
||||||||||||
2006 |
3.85 | % | 5.15 | % | 8.98 | % | ||||||
2005 |
2.39 | 4.79 | 4.04 | |||||||||
2004 and earlier |
1.55 | 4.03 | 1.40 | |||||||||
Total RMBS Prime |
2.05 | 4.35 | 3.02 | |||||||||
Alt-A |
||||||||||||
2004 and earlier |
11.46 | 33.84 | 9.06 | |||||||||
Total RMBS |
2.41 | 5.46 | 3.25 | |||||||||
HEL |
||||||||||||
Subprime |
||||||||||||
2004 and earlier |
57.48 | 32.37 | 16.41 | |||||||||
Manufactured Housing Loans |
||||||||||||
Subprime |
||||||||||||
2004 and earlier |
100.00 | 27.63 | 3.18 | |||||||||
Total Private-label
MBS |
51.27 | % | 24.28 | % | 10.29 | % | ||||||
December 31, 2010 | ||||||||||||
Original | ||||||||||||
Weighted- | Weighted- | Weighted-Average | ||||||||||
Average Credit | Average Credit | Collateral | ||||||||||
Private-label MBS | Support %(a) | Support %(b) | Delinquency %(c) | |||||||||
RMBS |
||||||||||||
Prime |
||||||||||||
2006 |
3.81 | % | 5.30 | % | 6.94 | % | ||||||
2005 |
2.52 | 4.29 | 3.05 | |||||||||
2004 and earlier |
1.56 | 3.40 | 0.65 | |||||||||
Total RMBS Prime |
2.08 | 3.86 | 2.04 | |||||||||
Alt-A |
||||||||||||
2004 and earlier |
11.11 | 33.38 | 7.42 | |||||||||
Total RMBS |
2.36 | 4.76 | 2.20 | |||||||||
HEL |
||||||||||||
Subprime |
||||||||||||
2004 and earlier |
57.15 | 64.57 | 17.26 | |||||||||
Manufactured Housing Loans |
||||||||||||
Subprime |
||||||||||||
2004 and earlier |
100.00 | 100.00 | 3.51 | |||||||||
Total Private-label MBS |
47.90 | % | 52.36 | % | 9.95 | % | ||||||
Definitions: | ||
(a) | Original Weighted-Average Credit Support Percentage represents the average of a cohort of securities by vintage; credit support is defined as the credit protection level at the time the mortgage-backed securities closed. Support is expressed as a percentage of the sum of: subordinate bonds, reserve funds, guarantees, overcollateralization, divided by the original collateral balance. | |
(b) | Weighted-Average Credit Support Percentage represents the average of a cohort of securities by vintage; credit support is defined as the credit protection level as of the mortgage-backed securities most current payment date. Support is expressed as a percentage of the sum of: subordinate bonds, reserve funds, guarantees, overcollateralization, divided by the most current unpaid collateral balance. | |
(c) | Weighted-Average Collateral Delinquency Percentage represents the average of a cohort of securities by vintage: collateral delinquency is defined as the sum of the unpaid principal balance of loans underlying the mortgage-backed security where the borrower is 60 or more days past due, or in bankruptcy proceedings, or the loan is in foreclosure, or has become real estate owned divided by the aggregate unpaid collateral balance. |
70
September 30, 2011 | December 31, 2010 | |||||||
Original MPF (a) |
$ | 375,608 | $ | 343,925 | ||||
MPF 100 (b) |
19,365 | 23,591 | ||||||
MPF 125 (c) |
520,510 | 392,780 | ||||||
MPF 125 Plus (d) |
419,938 | 494,917 | ||||||
Other |
16,019 | 9,408 | ||||||
Total MPF Loans * |
$ | 1,351,440 | $ | 1,264,621 | ||||
* | Par amount of total mortgage loan held-for-portfolio includes CMA, par amount at September 30, 2011 was $0.3 million. | |
(a) | Original MPF — The first layer of losses is applied to the First Loss Account provided by our Bank. The member then provides a credit enhancement up to “AA” rating equivalent. We would absorb any credit losses beyond the first two layers, though the possibility of any such losses is remote. | |
(b) | MPF 100 — The first layer of losses is applied to the First Loss Account we provide. Losses incurred in the First Loss Account are deducted from credit enhancement fees payable to the member after the third year. The member then provides a credit enhancement up to “AA” rating equivalent less the amount placed in the FLA. We absorb any losses incurred in the FLA that are not recovered through credit enhancement fees (should the pool liquidate prior to repayment of losses). We would absorb any credit losses beyond the first two layers. | |
(c) | MPF 125 — The first layer of losses is applied to the First Loss Account we provide. Losses incurred in the First Loss Account are deducted from the credit enhancement fees payable to the member. The member then provides a credit enhancement up to “AA” rating equivalent less the amount placed in the FLA. We absorb any losses incurred in the FLA that are not recovered through credit enhancement fees (should the pool liquidate prior to repayment of losses). We would absorb any credit losses beyond the first two layers. | |
(d) | MPF Plus — The first layer of losses is applied to the First Loss Account (“FLA”) in an amount equal to a specified percentage of loans in the pool as of the sale date. Losses incurred in the First Loss Account are deducted from the credit enhancement fees payable to the member. We absorb any losses incurred in the FLA that are not recovered through credit enhancement fees (should the pool liquidate prior to repayment of losses). The member acquires an additional Credit Enhancement (“CE”) coverage through a supplemental mortgage insurance policy (“SMI”) to cover second-layer losses that exceed the deductible (“FLA”) of the Supplemental Mortgage Insurance policy. Losses not covered by the First Loss Account or Supplemental Mortgage Insurance coverage will be paid by the member’s Credit Enhancement obligation up to “AA” rating equivalent. We would absorb losses that exceeded the Credit Enhancement obligation, though such losses are a remote possibility. |
September 30, 2011 | December 31, 2010 | |||||||
Federal Housing Administration
and Veteran Administration
insured loans |
$ | 15,761 | $ | 5,610 | ||||
Conventional loans |
1,335,421 | 1,255,212 | ||||||
Others |
258 | 3,799 | ||||||
Total par value |
$ | 1,351,440 | $ | 1,264,621 | ||||
71
Concentration of MPF Loans | ||||||||||||||||
September 30, 2011 | December 31, 2010 | |||||||||||||||
Number of | Amounts | Number of | Amounts | |||||||||||||
loans % | outstanding % | loans % | outstanding % | |||||||||||||
New York State |
72.2 | % | 64.5 | % | 73.3 | % | 67.7 | % |
72
September 30, 2011 | December 31, 2010 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Fixed-rate, non-callable |
$ | 44,142,045 | 67.83 | % | $ | 43,307,980 | 61.01 | % | ||||||||
Fixed-rate, callable |
1,940,610 | 2.98 | 8,821,000 | 12.43 | ||||||||||||
Step Up, non-callable |
— | — | — | — | ||||||||||||
Step Up, callable |
1,565,000 | 2.40 | 2,725,000 | 3.84 | ||||||||||||
Single-index floating rate |
17,435,000 | 26.79 | 16,128,000 | 22.72 | ||||||||||||
Total par value |
65,082,655 | 100.00 | % | 70,981,980 | 100.00 | % | ||||||||||
Bond premiums |
162,572 | 163,830 | ||||||||||||||
Bond discounts |
(29,358 | ) | (31,740 | ) | ||||||||||||
Fair value basis adjustments |
1,053,501 | 622,593 | ||||||||||||||
Fair value basis adjustments on terminated hedges |
353 | 501 | ||||||||||||||
Fair value option valuation adjustments and
accrued interest |
11,126 | 5,463 | ||||||||||||||
Total bonds |
$ | 66,280,849 | $ | 71,742,627 | ||||||||||||
Nine months ended September 30, | ||||||||
2011 | 2010 | |||||||
Debt transferred to another FHLBank |
$ | 150,000 | $ | — | ||||
Debt transferred from another FHLBank |
$ | — | $ | 193,925 | ||||
Debt extinguished |
$ | 354,710 | $ | 250,000 | ||||
73
Consolidated Obligation Bonds | ||||||||
Par Amount | September 30, 2011 | December 31, 2010 | ||||||
Qualifying Hedges (a) |
||||||||
Fixed-rate bullet bonds (b) |
$ | 25,267,830 | $ | 27,610,830 | ||||
Fixed-rate callable bonds (c) |
2,065,610 | 5,905,000 | ||||||
$ | 27,333,440 | $ | 33,515,830 | |||||
(a) | Under hedge accounting rules. | |
(b) | We hedged a significant percentage of fixed-rate non-callable bonds (also referred to as bullet bonds) under hedge accounting rules, to mitigate the fair value risk from changes in the benchmark rate. The hedges effectively convert the fixed-rate exposure of the bonds to a variable-rate exposure, generally indexed to 3-month LIBOR. | |
(c) | Callable bonds contain a call option which we purchase from the investor. Generally, the call option terms mirror the call option terms embedded in a cancellable swap. Under the terms of the call option, we have the right to terminate the bond at agreed upon dates, and the swap counterparty has the right to cancel the swap. |
Consolidated Obligation Bonds | ||||||||
Par Amount | September 30, 2011 | December 31, 2010 | ||||||
Bonds designated under FVO |
$ | 14,330,000 | $ | 14,276,000 | ||||
Consolidated Obligation Bonds | ||||||||
Par Amount | September 30, 2011 | December 31, 2010 | ||||||
Bonds designated as economically
hedged |
||||||||
Floating-rate bonds (a) |
$ | 14,170,000 | $ | 8,928,000 | ||||
Fixed-rate bonds (b) |
125,000 | 115,000 | ||||||
$ | 14,295,000 | $ | 9,043,000 | |||||
(a) | Floating-rate debt - Hedged floating-rate bonds were indexed to interest rates other than 3-month LIBOR and we executed swap agreements with derivative counterparties that synthetically converted the floating rate debt cash flows to 3-month LIBOR. The hedge objective was to reduce the basis risk from any asymmetrical changes between 3-month LIBOR and the Prime, Federal funds rate, or the 1-month LIBOR. Such bonds were hedged by interest-rate swaps with mirror image terms and the swaps were designated as stand-alone derivatives because the operational cost of designating the swaps in a hedge qualifying relationship outweighed the accounting benefits. | |
(b) | Fixed-rate debt - The interest-rate environment has been relatively stable allowing our hedges to remain as highly effective hedges; a modest number of fixed-rate bonds were designated as hedged on an economic basis. |
74
September 30, 2011 | December 31, 2010 | |||||||||||||||
Percentage of | Percentage of | |||||||||||||||
Amount | Total | Amount | Total | |||||||||||||
Year of Maturity or next call date |
||||||||||||||||
Due or callable in one year or less |
$ | 36,996,305 | 56.84 | % | $ | 40,228,200 | 56.67 | % | ||||||||
Due or callable after one year through two years |
15,487,480 | 23.80 | 15,671,375 | 22.08 | ||||||||||||
Due or callable after two years through three years |
4,714,025 | 7.24 | 7,209,950 | 10.16 | ||||||||||||
Due or callable after three years through four years |
3,827,980 | 5.88 | 2,649,355 | 3.73 | ||||||||||||
Due or callable after four years through five years |
1,438,200 | 2.21 | 2,926,400 | 4.12 | ||||||||||||
Due or callable after five years through six years |
75,700 | 0.12 | 227,500 | 0.32 | ||||||||||||
Thereafter |
2,542,965 | 3.91 | 2,069,200 | 2.92 | ||||||||||||
Total par value |
65,082,655 | 100.00 | % | 70,981,980 | 100.00 | % | ||||||||||
Bond premiums |
162,572 | 163,830 | ||||||||||||||
Bond discounts |
(29,358 | ) | (31,740 | ) | ||||||||||||
Fair value basis adjustments |
1,053,501 | 622,593 | ||||||||||||||
Fair value basis adjustments on terminated hedges |
353 | 501 | ||||||||||||||
Fair value option valuation adjustments and accrued
interest |
11,126 | 5,463 | ||||||||||||||
Total bonds |
$ | 66,280,849 | $ | 71,742,627 | ||||||||||||
(a) | Contrasting consolidated obligation bonds by contractual maturity dates with potential put dates illustrates the impact of hedging on the effective duration of our advances. A significant amount of our debt has been issued to investors that are callable - we have purchased the option to terminate debt at agreed upon dates from investors. Call options are exercisable either as a one-time option or quarterly. Our current practice is to exercise our option to call a bond when the swap counterparty exercises its option to call the cancellable swap hedging the callable bond. Thus, issuance of a callable bond with an associated callable swap significantly alters the contractual maturity characteristics of the original bond and introduces the possibility of an exercise call date that is significantly shorter than the contractual maturity. |
September 30, 2011* | December 31, 2010* | |||||||
Callable |
$ | 3,505,610 | $ | 11,546,000 | ||||
No longer callable |
$ | 1,000,000 | $ | 1,015,000 | ||||
Non-Callable |
$ | 60,577,045 | $ | 58,420,980 | ||||
* | Par value |
75
September 30, 2011 | December 31, 2010 | |||||||
Par value |
$ | 22,543,278 | $ | 19,394,503 | ||||
Amortized cost |
$ | 22,536,191 | $ | 19,388,317 | ||||
Fair value basis adjustments |
(404 | ) | — | |||||
Fair value option valuation
adjustments |
2,990 | 3,135 | ||||||
Total |
$ | 22,538,777 | $ | 19,391,452 | ||||
Weighted average interest rate |
0.07 | % | 0.16 | % | ||||
Consolidated Obligation Discount Notes | ||||||||
Principal Amount | September 30, 2011 | December 31, 2010 | ||||||
Discount notes hedged under qualifying
hedge (a) |
$ | 3,163,575 | $ | — | ||||
Discount notes economically hedged |
$ | 201,520 | $ | — | ||||
Discount notes under FVO (b) |
$ | 4,122,363 | $ | 953,202 | ||||
(a) | In the first quarter of 2011 we implemented a cash flow hedging strategy that involves the execution of interest rate swap agreements with swap dealer and designating the swaps as hedges of the variable quarterly interest payments on discount note borrowing program expected to be accomplished by the issuances of series of discount notes with 91-day terms. In this program, we will continue issuing new 91-day discount notes over the next 10 years (original maturities) as each outstanding discount note matures. The fair values of the interest rate swaps were recorded in AOCI and were in an aggregate net unrealized loss position of $92.1 million at September 30, 2011. | |
(b) | We had also hedged discount notes as economic hedges under the FVO to convert the fixed-rate exposure of the discount notes to a variable-rate exposure, generally indexed to LIBOR, by the execution of interest rate swaps to mitigate fair value risk. |
76
S&P | Moody’s | |||||||||||
Long-Term/ Short-Term | Long-Term/ Short-Term | |||||||||||
Year | Rating | Outlook | Rating | Outlook | ||||||||
2011
|
August 8, 2011 | AA+/A-1+ | Negative/Affirmed | August 2, 2011 | Aaa/P-1 | Negative/Affirmed | ||||||
July 19, 2011 | AAA/A-1+ | Negative Watch/Affirmed | July 13, 2011 | Aaa/P-1 | Negative Watch/Affirmed | |||||||
April 20, 2011 | AAA/A-1+ | Negative/Affirmed | ||||||||||
2010
|
July 21, 2010 | AAA/A-1+ | Affirmed/Affirmed | June 17, 2010 | Aaa/P-1 | Affirmed/Affirmed |
September 30, 2011 | December 31, 2010 | |||||||
Capital Stock (a) |
$ | 4,571,693 | $ | 4,528,962 | ||||
Unrestricted retained earnings (b) |
700,504 | 712,091 | ||||||
Restricted retained earnings (c) |
7,820 | — | ||||||
Accumulated Other Comprehensive Income (Loss) |
(184,050 | ) | (96,684 | ) | ||||
Total Capital |
$ | 5,095,967 | $ | 5,144,369 | ||||
(a) | Stockholders’ Capital - The increase in capital was due to the addition of a new member in the second quarter of 2011, and the increase was partly offset by decrease in capital stock consistent with decreases in advances borrowed by members. Since members are required to purchase stock as a percentage of advances borrowed from us, a decline in advances will typically result in a decline in capital stock. In addition, under our present practice, we redeem any stock in excess of the amount necessary to support advance activity on a daily basis. Therefore, the amount of capital stock outstanding varies directly with members’ outstanding borrowings under existing practice. | |
(b) | Retained earnings grew marginally as we paid our member/stockholders a significant dividend payout. Net income in the nine months ended September 30, 2011 was $160.0 million; dividends paid in the period were $163.7 million. We set aside $7.8 million as restricted retained earnings in the 2011 third quarter. See discussions below. | |
(c) | Unrestricted retained earnings - On February 28, 2011, the Bank entered into a Joint Capital Enhancement Agreement (the “Agreement”) with the other 11 Federal Home Loan Banks (collectively, the “FHLBanks”). The Agreement provides that, upon satisfaction of the FHLBanks’ obligations to make payments related to the Resolution Funding Corporation (“REFCORP”), each FHLBank will, on a quarterly basis, allocate at least 20 percent of its net income to a separate restricted retained earnings account to be established at each FHLBank until the balance of the account equals at least 1% of its average balance of outstanding Consolidated Obligations for the previous quarter. The Agreement is further described in a Current Report on Form 8-K filed by the Bank on March 1, 2011. On August 5, 2011, the FHLBanks collectively amended certain provisions of the Agreement. On the same day, amendments to the Capital Plans of the FHLBanks intended to reflect the text of the amended Agreement were approved by the Federal Housing Finance Agency (“FHFA”), with such Capital Plan amendments to become effective on September 5, 2011. The amendments to the Agreement and the amendments to the Bank’s Capital Plan are both described in a Current Report on Form 8-K filed by the Bank on August 5, 2011. | |
On August 5, 2011, the FHFA certified that the FHLBanks had fully satisfied their REFCORP obligations. As a result, in accordance with the terms of the Agreement, each FHLBank will allocate at least 20% of its net income, beginning with the third quarter of 2011, to its own separate restricted retained earnings account until the balance of the account equals at least 1% of its average balance of outstanding Consolidated Obligations for the previous quarter. These restricted retained earnings will not be available to pay dividends, but will remain on the FHLBank’s balance sheet to help serve as an additional capital buffer against losses. The restricted retained earnings account established under the Agreement will be separate from any other restricted retained earnings account that may be maintained by an FHLBank. The Agreement contains mechanisms for voluntary and for automatic termination under certain conditions. |
September 30, | ||||||||
2011 | 2010 | |||||||
Accumulated other comprehensive income (loss) |
||||||||
Non-credit portion of OTTI on held-to-maturity
securities, net of accretion (a) |
$ | (82,270 | ) | $ | (96,043 | ) | ||
Net unrealized gains on
available-for-sale securities (b) |
16,141 | 23,815 | ||||||
Net unrealized losses on hedging activities (c) |
(106,394 | ) | (17,732 | ) | ||||
Employee supplemental retirement plans (d) |
(11,527 | ) | (7,877 | ) | ||||
Total Accumulated other comprehensive income (loss) |
$ | (184,050 | ) | $ | (97,837 | ) | ||
(a) | OTTI — In the nine months ended September 30, 2011, non-credit OTTI losses recorded in AOCI declined, primarily due to accretion recorded as a reduction in AOCI losses and a corresponding addition to the balance sheet carrying values of the OTTI securities. OTTI losses recorded in 2011 on previously impaired securities did not result in significant non-credit OTTI because the market pricing of the credit impaired PLMBS was greater than the carrying values of the OTTI securities. | |
(b) | Fair values of available-for-sale securities — Represents net unrealized fair value gains of MBS securities and grantor trust funds. | |
(c) | Cash flow hedges gains and losses — Comprised of net fair value changes due to: (1) Realized losses from terminated derivatives associated with hedges of anticipated issuance of debt. Amounts recorded in AOCI will be reclassified in future periods as an expense over the terms of the hedged bonds as a yield adjustment to the fixed coupons of the debt. (2) Unrealized losses resulting from hedges of discount note rollover program. Fair value changes and ineffectiveness, if any, will be recorded through AOCI over the life of the hedges. | |
(d) | Employee supplemental plans - Minimum additional actuarially determined pension liabilities recognized for supplemental pension plans. |
77
78
September 30, 2011 | December 31, 2010 | |||||||||||
Notional Amount | Notional Amount | |||||||||||
Derivatives/Terms | Hedging Strategy | Accounting Designation | (in millions) | (in millions) | ||||||||
Pay fixed, receive floating interest rate swap |
To convert fixed rate on a fixed rate advance to a LIBOR floating rate |
Economic Hedge of Fair Value Risk | $ | 127 | $ | 128 | ||||||
Pay fixed, receive floating interest rate swap cancelable by FHLBNY |
To convert fixed rate on a fixed rate advance to a LIBOR floating rate callable advance |
Fair Value Hedge | $ | 325 | $ | 150 | ||||||
Pay fixed, receive floating interest rate swap cancelable by counterparty |
To convert fixed rate on a fixed rate advance to a LIBOR floating rate putable advance |
Fair Value Hedge | $ | 22,032 | $ | 33,612 | ||||||
Pay fixed, receive floating interest rate swap no longer cancelable by counterparty |
To convert fixed rate on a fixed rate advance to a LIBOR floating rate no-longer putable advance |
Fair Value Hedge | $ | 2,104 | $ | 2,839 | ||||||
Pay fixed, receive floating interest rate swap non-cancelable |
To convert fixed rate on a fixed rate advance to a LIBOR floating rate non-putable advance |
Fair Value Hedge | $ | 31,594 | $ | 23,724 | ||||||
Purchased interest rate cap |
To offset the cap embedded in the variable rate advance |
Economic Hedge of Fair Value Risk | $ | 8 | $ | 8 |
September 30, 2011 | December 31, 2010 | |||||||||||
Notional Amount | Notional Amount | |||||||||||
Derivatives/Terms | Hedging Strategy | Accounting Designation | (in millions) | (in millions) | ||||||||
Receive fixed, pay floating interest rate swap |
To convert fixed rate consolidated obligation bond debt to a LIBOR floating rate |
Economic Hedge of Fair Value Risk | $ | 125 | $ | 115 | ||||||
Receive fixed, pay floating interest rate |
To convert fixed rate consolidated obligation | Fair Value Hedge | $ | 2,065 | $ | 5,905 | ||||||
swap cancelable by counterparty |
bond debt to a LIBOR floating rate callable bond | |||||||||||
Receive fixed, pay floating interest rate |
To convert fixed rate consolidated obligation | Fair Value Hedge | $ | — | $ | 15 | ||||||
swap no longer cancelable |
bond debt to a LIBOR floating rate no-longer callable | |||||||||||
Receive fixed, pay floating interest rate |
To convert fixed rate consolidated obligation | Fair Value Hedge | $ | 25,268 | $ | 27,596 | ||||||
swap non-cancelable |
bond debt to a LIBOR floating rate non-callable | |||||||||||
Receive fixed, pay floating interest rate swap |
To convert the fixed rate consolidated obligation discount note debt to a LIBOR floating rate |
Economic Hedge of Fair Value Risk | $ | 202 | $ | — | ||||||
Receive fixed, pay floating |
To convert the fixed rate consolidated | Fair Value Hedge | $ | 2,306 | $ | — | ||||||
interest rate swap |
obligation discount note debt to a LIBOR floating rate. | |||||||||||
Pay fixed, receive LIBOR |
To offset the variability of cash flows associated | Cash flow hedge | $ | 858 | $ | — | ||||||
interest rate swap |
with interest payments on forecasted issuance of | |||||||||||
fixed rate consolidated obligation discount note debt. | ||||||||||||
Basis swap |
To convert non-LIBOR index to LIBOR to reduce interest rate sensitivity and repricing gaps |
Economic Hedge of Cash Flows | $ | 12,320 | $ | 6,878 | ||||||
Basis swap |
To convert 1M LIBOR index to 3M LIBOR to reduce interest rate sensitivity and repricing gaps |
Economic Hedge of Cash Flows | $ | 1,850 | $ | 2,050 | ||||||
Receive fixed, pay floating interest rate |
Fixed rate callable bond converted to a LIBOR | Fair Value Option | $ | 1,530 | $ | 5,576 | ||||||
swap cancelable by counterparty |
floating rate; matched to callable bond accounted | |||||||||||
for under fair value option | ||||||||||||
Receive fixed, pay floating |
Fixed rate callable bond converted to a LIBOR | Fair Value Option | $ | 1,000 | $ | 1,000 | ||||||
interest rate swap no longer cancelable |
floating rate; matched to bond no-longer callable | |||||||||||
accounted for under fair value option. | ||||||||||||
Receive fixed, pay floating interest rate |
Fixed rate non-callable bond converted to a LIBOR | Fair Value Option | $ | 11,800 | $ | 7,700 | ||||||
swap non-cancelable |
floating rate; matched to non-callable bond | |||||||||||
accounted for under fair value option | ||||||||||||
Receive fixed, pay floating interest rate |
Fixed rate consolidated obligation discount note converted | Fair Value Option | $ | 4,122 | $ | 953 | ||||||
swap non-cancelable |
to a LIBOR floating rate; matched to discount note | |||||||||||
accounted for under fair value option |
September 30, 2011 | December 31, 2010 | |||||||||||
Notional Amount | Notional Amount | |||||||||||
Derivatives/Terms | Hedging Strategy | Accounting Designation | (in millions) | (in millions) | ||||||||
Purchased interest rate cap |
Economic hedge on the Balance Sheet | Economic Hedge | $ | 1,892 | $ | 1,892 | ||||||
Intermediary positions |
To offset interest rate swaps and caps executed | Economic Hedge of Fair Value Risk | $ | 550 | $ | 550 | ||||||
interest rate swaps and caps |
with members by executing offsetting derivatives | |||||||||||
with counterparties |
79
September 30, 2011 | December 31, 2010 | |||||||||||||||
Total Estimated | Total Estimated | |||||||||||||||
Fair Value | Fair Value | |||||||||||||||
(Excluding | (Excluding | |||||||||||||||
Total Notional | Accrued | Total Notional | Accrued | |||||||||||||
Amount | Interest) | Amount | Interest) | |||||||||||||
Derivatives designated as hedging instruments (a) |
||||||||||||||||
Advances-fair value hedges |
$ | 56,055,009 | $ | (4,720,319 | ) | $ | 60,324,983 | $ | (4,269,037 | ) | ||||||
Consolidated obligations-fair value hedges |
29,639,015 | 1,039,596 | 33,515,830 | 614,739 | ||||||||||||
Cash Flow-anticipated transactions |
858,000 | (92,119 | ) | — | — | |||||||||||
Derivatives not designated as hedging instruments (b) |
||||||||||||||||
Advances hedges |
135,352 | (4,839 | ) | 136,345 | (3,115 | ) | ||||||||||
Consolidated obligations hedges |
14,496,521 | (11,760 | ) | 9,043,000 | 1,675 | |||||||||||
Mortgage delivery commitments |
28,327 | 214 | 29,993 | (514 | ) | |||||||||||
Balance sheet |
1,892,000 | 13,501 | 1,892,000 | 41,785 | ||||||||||||
Intermediary positions hedges |
550,000 | 530 | 550,000 | 659 | ||||||||||||
Derivatives matching COs designated under FVO (c) |
||||||||||||||||
Interest rate swaps-consolidated obligations-bonds |
14,330,000 | (4,259 | ) | 14,276,000 | (505 | ) | ||||||||||
Interest rate swaps-consolidated obligations-discount notes |
4,122,364 | (193 | ) | 953,202 | 1,282 | |||||||||||
Total notional and fair value |
$ | 122,106,588 | $ | (3,779,648 | ) | $ | 120,721,353 | $ | (3,613,031 | ) | ||||||
Total derivatives, excluding accrued interest |
$ | (3,779,648 | ) | $ | (3,613,031 | ) | ||||||||||
Cash collateral pledged to counterparties |
3,629,555 | 2,739,402 | ||||||||||||||
Cash collateral received from counterparties |
(155,950 | ) | (9,300 | ) | ||||||||||||
Accrued interest |
(39,978 | ) | (49,959 | ) | ||||||||||||
Net derivative balance |
$ | (346,021 | ) | $ | (932,888 | ) | ||||||||||
Net derivative asset balance |
$ | 53,373 | $ | 22,010 | ||||||||||||
Net derivative liability balance |
(399,394 | ) | (954,898 | ) | ||||||||||||
Net derivative balance |
$ | (346,021 | ) | $ | (932,888 | ) | ||||||||||
(a) | Qualifying under hedge accounting rules. | |
(b) | Not qualifying under hedge accounting rules but used as an economic hedge (“standalone”). | |
(c) | Economic hedge of debt designated under the FVO. |
80
September 30, 2011 | ||||||||||||||||||||||||
Total Net | Credit Exposure | Other | Net | |||||||||||||||||||||
Number of | Notional | Exposure at | Net of | Collateral | Credit | |||||||||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | Cash Collateral(c) | Held(b) | Exposure | ||||||||||||||||||
AAA |
— | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
AA |
8 | 42,018,864 | 30,789 | 18,839 | — | 18,839 | ||||||||||||||||||
A |
9 | 77,893,997 | 167,819 | 23,819 | — | 23,819 | ||||||||||||||||||
BBB |
1 | 1,890,400 | — | — | — | — | ||||||||||||||||||
Members (a) & (b) |
2 | 275,000 | 10,501 | 10,501 | 10,501 | — | ||||||||||||||||||
Delivery Commitments |
— | 28,327 | 214 | 214 | 214 | — | ||||||||||||||||||
Total |
20 | $ | 122,106,588 | $ | 209,323 | $ | 53,373 | $ | 10,715 | $ | 42,658 | |||||||||||||
December 31, 2010 | ||||||||||||||||||||||||
Total Net | Credit Exposure | Other | Net | |||||||||||||||||||||
Number of | Notional | Exposure at | Net of | Collateral | Credit | |||||||||||||||||||
Credit Rating | Counterparties | Balance | Fair Value | Cash Collateral(c) | Held(b) | Exposure | ||||||||||||||||||
AAA |
— | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
AA |
8 | 43,283,429 | 25,385 | 16,085 | — | 16,085 | ||||||||||||||||||
A |
8 | 77,132,931 | — | — | — | — | ||||||||||||||||||
BBB |
— | — | — | — | — | — | ||||||||||||||||||
Members (a) & (b) |
2 | 275,000 | 5,925 | 5,925 | 5,925 | — | ||||||||||||||||||
Delivery Commitments |
— | 29,993 | — | — | — | — | ||||||||||||||||||
Total |
18 | $ | 120,721,353 | $ | 31,310 | $ | 22,010 | $ | 5,925 | $ | 16,085 | |||||||||||||
(a) | Fair values of $10.5 million and $5.9 million comprising of intermediated transactions with members and interest-rate caps sold to members (with capped floating-rate advances) were collateralized at September 30, 2011 and December 31, 2010. | |
(b) | Members are required to pledge collateral to secure derivatives purchased by the FHLBNY as an intermediary on behalf of its members. Eligible collateral includes: (1) one-to-four-family and multi-family mortgages; (2) U.S. Treasury and government-agency securities; (3) mortgage-backed securities; and (4) certain other collateral which is real estate related and has a readily ascertainable value, and in which the FHLBNY can perfect a security interest. As a result of the collateral agreements with its members, the FHLBNY believes that its maximum credit exposure due to the intermediated transactions was $0 at September 30, 2011 and December 31, 2010. | |
(c) | As reported in the Statements of Condition. |
September 30, 2011 | ||||||||||||||||
Notional | Percentage | Fair Value | Percentage | |||||||||||||
Counterparties | Amount | of Total | Exposure | of Total | ||||||||||||
Counterparty |
$ | 20,947,849 | 17.2 | % | $ | — | — | % | ||||||||
Counterparty |
13,573,036 | 11.1 | — | — | ||||||||||||
Counterparty |
11,389,770 | 9.3 | 16,312 | 30.5 | ||||||||||||
Counterparty |
2,921,156 | 2.4 | 13,073 | 24.5 | ||||||||||||
Counterparty |
7,862,745 | 6.4 | 7,506 | 14.1 | ||||||||||||
Counterparty |
9,262,756 | 7.6 | 5,766 | 10.8 | ||||||||||||
All other counterparties |
56,149,276 | 46.0 | 10,716 | 20.1 | ||||||||||||
Total |
$ | 122,106,588 | 100.0 | % | $ | 53,373 | 100.0 | % | ||||||||
December 31, 2010 | ||||||||||||||||
Notional | Percentage | Fair Value | Percentage | |||||||||||||
Counterparties | Amount | of Total | Exposure | of Total | ||||||||||||
Counterparty |
$ | 16,737,475 | 13.9 | % | $ | — | — | % | ||||||||
Counterparty |
14,000,889 | 11.6 | — | — | ||||||||||||
Counterparty |
255,000 | 0.2 | 4,930 | 22.4 | ||||||||||||
Counterparty |
2,133,500 | 1.8 | 16,085 | 73.1 | ||||||||||||
All other counterparties |
87,594,489 | 72.5 | 995 | 4.5 | ||||||||||||
Total |
$ | 120,721,353 | 100.0 | % | $ | 22,010 | 100.0 | % | ||||||||
81
Average Deposit | Average Actual | |||||||||||
For the Quarters Ended | Reserve Required | Deposit Liquidity | Excess | |||||||||
September 30, 2011 |
$ | 2,334 | $ | 48,689 | $ | 46,355 | ||||||
June 30, 2011 |
2,276 | 46,994 | 44,718 | |||||||||
March 31, 2011 |
2,404 | 44,982 | 42,578 | |||||||||
December 31, 2010 |
3,304 | 44,945 | 41,641 |
Average Balance Sheet | Average Actual | |||||||||||
For the Quarters Ended | Liquidity Requirement | Operational Liquidity | Excess | |||||||||
September 30, 2011 |
$ | 4,513 | $ | 20,050 | $ | 15,537 | ||||||
June 30, 2011 |
2,867 | 18,516 | 15,649 | |||||||||
March 31, 2011 |
2,352 | 17,796 | 15,444 | |||||||||
December 31, 2010 |
2,937 | 15,500 | 12,563 |
82
Average Five Day | Average Actual | |||||||||||
For the Quarters Ended | Requirement | Contingency Liquidity | Excess | |||||||||
September 30, 2011 |
$ | 2,481 | $ | 19,781 | $ | 17,300 | ||||||
June 30, 2011 |
2,880 | 18,245 | 15,365 | |||||||||
March 31, 2011 |
3,024 | 17,586 | 14,562 | |||||||||
December 31, 2010 |
2,239 | 15,289 | 13,050 |
83
Consolidated Obligations-Bonds With Original | ||||||||||||||||
Consolidated Obligations-Discount Notes | Maturities of One Year or Less | |||||||||||||||
September 30, 2011 | December 31, 2010 | September 30, 2011 | December 31, 2010 | |||||||||||||
Outstanding at end of the period (a) |
$ | 22,538,777 | $ | 19,391,452 | $ | 12,525,000 | $ | 12,410,000 | ||||||||
Average outstanding for the period (a) |
$ | 21,190,062 | $ | 21,727,968 | $ | 11,274,444 | (b) | $ | 12,266,929 | |||||||
Highest outstanding at any month-end (a) |
$ | 27,013,011 | $ | 27,480,949 | $ | 14,625,000 | $ | 17,538,000 |
(a) | Outstanding balances represent the carrying value of discount notes and par value of bonds (one year or less) issued and outstanding at the reported dates. | |
(b) | The amount represents the monthly average par value outstanding balance for the nine months ended September 30, 2011. |
84
85
86
87
§ | The option-adjusted DOE is limited to a range of +2.0 years to -3.5 years in the rates unchanged case, and to a range of +/-6.0 years in the +/-200bps shock cases. Due to the low interest rate environment beginning in early 2008, the September 2010, December 2010, March 2011, June 2011, and September 2011 rates were too low for a meaningful parallel down-shock measurement. | ||
§ | The one-year cumulative re-pricing gap is limited to 10 percent of total assets. | ||
§ | The sensitivity of expected net interest income over a one-year period is limited to a -15 percent change under both the +/-200bps shocks compared to the rates unchanged case. | ||
§ | The potential decline in the market value of equity is limited to a 10 percent change under the +/-200bps shocks. | ||
§ | KRD exposure at any of nine term points (3-month, 1-year, 2-year, 3-year, 5-year, 7-year, 10-year, 15-year, and 30-year) is limited to between +/-12 months through the 3-year term point and a cumulative limit of +/-30 months from the 5-year through 30-year term points. |
Base Case DOE | -200bps DOE | +200bps DOE | ||||||||||
September 30, 2010 |
-2.13 | N/A | 1.46 | |||||||||
December 31, 2010 |
-1.09 | N/A | 2.92 | |||||||||
March 31, 2011 |
-0.29 | N/A | 3.48 | |||||||||
June 30, 2011 |
-0.36 | N/A | 2.68 | |||||||||
September 30, 2011 |
-1.22 | N/A | 1.49 |
88
One Year Re- | ||||
pricing Gap | ||||
September 30, 2010 |
$6.888 Billion | |||
December 31, 2010 |
$5.565 Billion | |||
March 31, 2011 |
$5.123 Billion | |||
June 30, 2011 |
$5.571 Billion | |||
September 30, 2011 |
$6.548 Billion |
Sensitivity in | Sensitivity in | |||||||
the -200bps | the +200bps | |||||||
Shock | Shock | |||||||
September 30, 2010 |
N/A | 12.96 | % | |||||
December 31, 2010 |
N/A | 9.05 | % | |||||
March 31, 2011 |
N/A | 3.90 | % | |||||
June 30, 2011 |
N/A | 12.26 | % | |||||
September 30, 2011 |
N/A | 17.31 | % |
Down-shock Change | +200bps Change in | |||||||
in MVE | MVE | |||||||
September 30, 2010 |
N/A | 1.63 | % | |||||
December 31, 2010 |
N/A | -2.75 | % | |||||
March 31, 2011 |
N/A | -3.96 | % | |||||
June 30, 2011 |
N/A | -2.52 | % | |||||
September 30, 2011 |
N/A | 0.51 | % |
89
Interest Rate Sensitivity | ||||||||||||||||||||
September 30, 2011 | ||||||||||||||||||||
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 |
$ | 14,339 | $ | 278 | $ | 445 | $ | 196 | $ | 239 | ||||||||||
MBS Investments |
7,888 | 723 | 649 | 221 | 1,968 | |||||||||||||||
Adjustable-rate loans and advances |
6,334 | — | — | — | — | |||||||||||||||
Net unswapped |
28,561 | 1,001 | 1,094 | 417 | 2,207 | |||||||||||||||
Fixed-rate loans and advances |
9,573 | 5,389 | 12,369 | 16,761 | 18,636 | |||||||||||||||
Swaps hedging advances |
51,800 | (5,138 | ) | (11,650 | ) | (16,405 | ) | (18,607 | ) | |||||||||||
Net fixed-rate loans and advances |
61,373 | 251 | 719 | 356 | 29 | |||||||||||||||
Loans to other FHLBanks |
— | — | — | — | — | |||||||||||||||
Total interest-earning assets |
$ | 89,934 | $ | 1,252 | $ | 1,813 | $ | 773 | $ | 2,236 | ||||||||||
Interest-bearing liabilities: |
||||||||||||||||||||
Deposits |
$ | 2,670 | $ | 1 | $ | — | $ | — | $ | — | ||||||||||
Discount notes |
20,009 | 2,529 | — | — | — | |||||||||||||||
Swapped discount notes |
1,649 | (2,507 | ) | — | — | 858 | ||||||||||||||
Net discount notes |
21,658 | 22 | — | — | 858 | |||||||||||||||
Consolidated Obligation Bonds |
||||||||||||||||||||
FHLB bonds |
20,254 | 14,703 | 20,713 | 5,975 | 3,570 | |||||||||||||||
Swaps hedging bonds |
39,271 | (13,941 | ) | (19,178 | ) | (4,217 | ) | (1,935 | ) | |||||||||||
Net FHLB bonds |
59,525 | 762 | 1,535 | 1,758 | 1,635 | |||||||||||||||
Total interest-bearing liabilities |
$ | 83,853 | $ | 785 | $ | 1,535 | $ | 1,758 | $ | 2,493 | ||||||||||
Post hedge gaps (a): |
||||||||||||||||||||
Periodic gap |
$ | 6,081 | $ | 467 | $ | 278 | $ | (985 | ) | $ | (257 | ) | ||||||||
Cumulative gaps |
$ | 6,081 | $ | 6,548 | $ | 6,826 | $ | 5,841 | $ | 5,584 |
Interest Rate Sensitivity | ||||||||||||||||||||
December 31, 2010 | ||||||||||||||||||||
More Than | More Than | More Than | ||||||||||||||||||
Six Months | Six Months to | One Year to | Three Years to | More Than | ||||||||||||||||
or Less | One Year | Three Years | Five Years | Five Years | ||||||||||||||||
Interest-earning assets: |
||||||||||||||||||||
Non-MBS Investments |
$ | 9,240 | $ | 169 | $ | 374 | $ | 245 | $ | 399 | ||||||||||
MBS Investments |
7,306 | 874 | 1,485 | 411 | 993 | |||||||||||||||
Adjustable-rate loans and advances |
8,121 | — | — | — | — | |||||||||||||||
Net unswapped |
24,667 | 1,043 | 1,859 | 656 | 1,392 | |||||||||||||||
Fixed-rate loans and advances |
10,994 | 3,469 | 13,971 | 10,561 | 29,824 | |||||||||||||||
Swaps hedging advances |
56,262 | (3,041 | ) | (13,069 | ) | (10,347 | ) | (29,805 | ) | |||||||||||
Net fixed-rate loans and advances |
67,256 | 428 | 902 | 214 | 19 | |||||||||||||||
Loans to other FHLBanks |
— | — | — | — | — | |||||||||||||||
Total interest-earning assets |
$ | 91,923 | $ | 1,471 | $ | 2,761 | $ | 870 | $ | 1,411 | ||||||||||
Interest-bearing liabilities: |
||||||||||||||||||||
Deposits |
$ | 2,454 | $ | — | $ | — | $ | — | $ | — | ||||||||||
Discount notes |
19,120 | 271 | — | — | — | |||||||||||||||
Swapped discount notes |
100 | (100 | ) | — | — | — | ||||||||||||||
Net discount notes |
19,220 | 171 | — | — | — | |||||||||||||||
Consolidated Obligation Bonds |
||||||||||||||||||||
FHLB bonds |
21,722 | 14,333 | 23,856 | 7,793 | 3,410 | |||||||||||||||
Swaps hedging bonds |
43,497 | (13,567 | ) | (21,638 | ) | (6,167 | ) | (2,125 | ) | |||||||||||
Net FHLB bonds |
65,219 | 766 | 2,218 | 1,626 | 1,285 | |||||||||||||||
Total interest-bearing liabilities |
$ | 86,893 | $ | 937 | $ | 2,218 | $ | 1,626 | $ | 1,285 | ||||||||||
Post hedge gaps (a): |
||||||||||||||||||||
Periodic gap |
$ | 5,030 | $ | 534 | $ | 543 | $ | (756 | ) | $ | 126 | |||||||||
Cumulative gaps |
$ | 5,030 | $ | 5,564 | $ | 6,107 | $ | 5,351 | $ | 5,477 |
(a) | Re-pricing gaps are estimated at the scheduled rate reset dates for floating rate instruments, and at maturity for fixed rate instruments. For callable instruments, the re-pricing 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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Filed with | ||||||||||||
No. | Exhibit Description | this Form 10-Q | Form | File No. | Date Filed | |||||||
4.01 | Federal Home Loan Bank of New York
Capital Plan, as amended as of
August 5, 2011 and effective as of
September 5, 2011
|
8-K | 000-51397 | 8/5/2011 | ||||||||
10.01 | Joint Capital Enhancement
Agreement, as amended August 5,
2011
|
8-K | 000-51397 | 8/5/2011 | ||||||||
31.01 | Certification Pursuant to Section
302 of the Sarbanes-Oxley Act of
2002 for the President and Chief
Executive Officer
|
X | ||||||||||
31.02 | Certification Pursuant to Section
302 of the Sarbanes-Oxley Act of
2002 for the Senior Vice President
and Chief Financial Officer
|
X | ||||||||||
32.01 | Certification by the President and
Chief Executive Officer
Pursuant to 18 U.S.C. Section 1350,
as Adopted Pursuant to Section 906
of the Sarbanes-Oxley Act of 2002
|
X | ||||||||||
32.02 | Certification by the Senior Vice
President and Chief Financial
Officer
Pursuant to 18 U.S.C. Section 1350,
as Adopted Pursuant to Section 906
of the Sarbanes-Oxley Act of 2002
|
X | ||||||||||
101.1 | Pursuant to Rule 405 of Regulation S-T, the following financial information from the Bank’s quarterly report
on Form 10-Q for the period ended September 30, 2011, is formatted in XBRL interactive data files: (i)
Statements of Condition at September 30, 2011, and December 31, 2010; (ii) Statements of Income for the
Three and Nine Months Ended September 30, 2011 and 2010; (iii)
Statements of Capital for the
Nine Months Ended September 30, 2011 and 2010; (iv) Statements of Cash Flows for the Nine Months
Ended September 30, 2011 and 2010; and (v) Notes to Financial Statements, tagged as blocks of text.
Pursuant to Rule 406 of Regulation S-T, the interactive data files contained in Exhibit 101.1 is deemed not
“filed” for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”)
and otherwise not subject to the liability of that section. |
X |
93
Federal Home Loan Bank of New York (Registrant) |
||||
/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 the Principal Financial Officer) |
||||
94