Document and Entity Information
Document and Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2019 | Feb. 29, 2020 | Jun. 30, 2019 | |
Document and Entity Information | |||
Document Type | 10-K | ||
Document Period End Date | Dec. 31, 2019 | ||
Entity Registrant Name | Federal Home Loan Bank of New York | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Filer Category | Non-accelerated Filer | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
Entity Shell Company | false | ||
Entity Public Float | $ 0 | ||
Entity Common Stock, Shares Outstanding | 54,526,185 | ||
Entity Central Index Key | 0001329842 | ||
Amendment Flag | false | ||
Current Fiscal Year End Date | --12-31 | ||
Document Fiscal Year Focus | 2019 | ||
Document Fiscal Period Focus | FY |
Statements of Condition
Statements of Condition - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Assets | ||
Cash and due from banks (Note 3) | $ 603,241 | $ 85,406 |
Securities purchased under agreements to resell (Note 4) | 14,985,000 | 4,095,000 |
Federal funds sold (Note 4) | 8,640,000 | 7,640,000 |
Trading securities (Note 5) (Includes $251,177 pledged as collateral at December 31, 2019 and $239,813 at December 31, 2018) | 15,318,809 | 5,810,512 |
Equity Investments (Note 6) | 60,047 | 48,179 |
Available-for-sale securities, net of unrealized gains (losses) of $97,868 at December 31, 2019 and $4,034 at December 31, 2018 (Note 7) | 2,653,418 | 422,216 |
Held-to-maturity securities (Note 8) (Includes $3,719 pledged as collateral at December 31, 2019 and $4,548 at December 31, 2018) | 15,234,482 | 17,474,826 |
Advances (Note 9) (Includes $0 at December 31, 2019 and December 31, 2018 at fair value under the fair value option) | 100,695,241 | 105,178,833 |
Mortgage loans held-for-portfolio, net of allowance for credit losses of $653 at December 31, 2019 and $814 at December 31, 2018 (Note 10) | 3,173,352 | 2,927,230 |
Loans to other FHLBanks (Note 20) | 250,000 | |
Accrued interest receivable | 312,559 | 275,256 |
Premises, software, and equipment | 63,426 | 51,572 |
Operating lease right-of-use assets (Note 19) | 75,464 | |
Derivative assets (Note 17) | 237,947 | 113,762 |
Other assets | 9,036 | 8,602 |
Total assets | 162,062,022 | 144,381,394 |
Deposits (Note 11) | ||
Interest-bearing demand | 1,144,519 | 1,002,587 |
Non-interest-bearing demand | 34,890 | 20,050 |
Term | 15,000 | 40,000 |
Total deposits | 1,194,409 | 1,062,637 |
Consolidated obligations, net (Note 12) | ||
Bonds (Includes $12,134,043 December 31, 2019 and $5,159,792 at December 31, 2018 at fair value under the fair value option) | 78,763,309 | 84,153,776 |
Discount notes (Includes $2,186,603 at December 31, 2019 and $3,180,086 at December 31, 2018 at fair value under the fair value option) | 73,959,205 | 50,640,238 |
Total consolidated obligations | 152,722,514 | 134,794,014 |
Mandatorily redeemable capital stock (Note 14) | 5,129 | 5,845 |
Accrued interest payable | 156,889 | 223,570 |
Affordable Housing Program (Note 13) | 153,894 | 161,718 |
Derivative liabilities (Note 17) | 32,411 | 31,147 |
Other liabilities | 175,516 | 355,841 |
Operating lease liabilities (Note 19) | 89,365 | |
Total liabilities | 154,530,127 | 136,634,772 |
Commitments and Contingencies (Notes 14, 17 and 19) | ||
Capital (Note 14) | ||
Capital stock ($100 par value), putable, issued and outstanding shares: 57,787 at December 31, 2019 and 60,658 at December 31, 2018 | 5,778,666 | 6,065,799 |
Retained earnings | ||
Unrestricted | 1,115,236 | 1,102,801 |
Restricted (Note 14) | 685,798 | 591,281 |
Total retained earnings | 1,801,034 | 1,694,082 |
Total accumulated other comprehensive income (loss) | (47,805) | (13,259) |
Total capital | 7,531,895 | 7,746,622 |
Total liabilities and capital | $ 162,062,022 | $ 144,381,394 |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Statements of Condition | ||
Trading securities pledged as collateral | $ 251,177 | $ 239,813 |
Trading securities pledged as collateral | us-gaap:AssetPledgedAsCollateralMember | us-gaap:AssetPledgedAsCollateralMember |
Available-for-sale securities, unrealized gains | $ 97,868 | $ 4,034 |
Held-to-maturity securities pledged as collateral | $ 3,719 | $ 4,548 |
Held-to-maturity securities pledged as collateral | us-gaap:AssetPledgedAsCollateralMember | us-gaap:AssetPledgedAsCollateralMember |
Advances, at fair value under the fair value option | $ 0 | $ 0 |
Mortgage loans held-for-portfolio, allowance for credit losses | 653 | 814 |
Bonds, at fair value under the fair value option | 12,134,043 | 5,159,792 |
Discount notes, at fair value under the fair value option | $ 2,186,603 | $ 3,180,086 |
Capital stock, par value (in dollars per share) | $ 100 | $ 100 |
Capital stock, putable (in shares) | 57,787 | 60,658 |
Capital stock, issued (in shares) | 57,787 | 60,658 |
Capital stock, outstanding (in shares) | 57,787 | 60,658 |
Statements of Income
Statements of Income - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Interest income | |||
Advances, net (Note 9) | $ 2,526,662 | $ 2,522,040 | $ 1,563,322 |
Interest-bearing deposits | 4,561 | 420 | 168 |
Securities purchased under agreements to resell (Note 4) | 178,565 | 78,341 | 25,509 |
Federal funds sold (Note 4) | 228,388 | 312,278 | 163,411 |
Trading securities (Note 5) | 215,583 | 74,412 | 3,085 |
Available-for-sale securities (Note 7) | 68,053 | 12,161 | 9,936 |
Held-to-maturity securities (Note 8) | 457,746 | 489,223 | 382,591 |
Mortgage loans held-for-portfolio (Note 10) | 101,223 | 97,479 | 94,255 |
Loans to other FHLBanks (Note 20) | 165 | 130 | 26 |
Total interest income | 3,780,946 | 3,586,484 | 2,242,303 |
Interest expense | |||
Consolidated obligation bonds (Note 12) | 1,798,167 | 1,808,232 | 1,072,370 |
Consolidated obligation discount notes (Note 12) | 1,291,576 | 960,833 | 431,722 |
Deposits (Note 11) | 22,839 | 17,816 | 15,060 |
Mandatorily redeemable capital stock (Note 14) | 379 | 964 | 1,285 |
Cash collateral held and other borrowings | 895 | 1,614 | 342 |
Total interest expense | 3,113,856 | 2,789,459 | 1,520,779 |
Net interest income before provision for credit losses | 667,090 | 797,025 | 721,524 |
Provision (Reversal) for credit losses on mortgage loans | (142) | (371) | (287) |
Net interest income after provision for credit losses | 667,232 | 797,396 | 721,811 |
Other income (loss) | |||
Service fees and other | 18,224 | 18,442 | 15,841 |
Instruments held under the fair value option gains (losses) (Note 18) | (4,146) | 209 | (4,540) |
Total OTTI losses | (398) | ||
Net amount of impairment losses reclassified to (from) Accumulated other comprehensive income (loss) | (640) | 257 | |
Net impairment losses recognized in earnings | (640) | (141) | |
Derivative gains (losses) (Note 17) | (40,720) | (40,778) | 1,939 |
Trading securities gains (losses) (Note 5) | 51,327 | 3,216 | (1,106) |
Equity investments gains (losses) (Note 6) | 9,843 | (4,819) | |
Provision for litigation settlement on derivative contracts | (70,000) | ||
Losses from extinguishment of debt | (137) | ||
Total other income (loss) | 33,888 | (23,871) | (58,003) |
Other expenses | |||
Operating | 62,782 | 47,882 | 40,711 |
Compensation and benefits | 88,192 | 78,950 | 71,090 |
Finance Agency and Office of Finance | 16,752 | 15,874 | 14,660 |
Other expenses | 8,254 | 7,959 | 4,461 |
Total other expenses | 175,980 | 150,665 | 130,922 |
Income before assessments | 525,140 | 622,860 | 532,886 |
Affordable Housing Program Assessments (Note 13) | 52,552 | 62,382 | 53,417 |
Net income | $ 472,588 | $ 560,478 | $ 479,469 |
Basic earnings per share (Note 15) (in dollars per share) | $ 8.52 | $ 9.09 | $ 7.66 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | ||
Statements of Comprehensive Income | ||||
Net Income | $ 472,588 | $ 560,478 | $ 479,469 | |
Other Comprehensive income (loss) | ||||
Net change in unrealized gains (losses) on available-for-sale securities | 93,834 | (1,220) | 5,954 | |
Net change in non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | ||||
Non-credit portion of other-than-temporary impairment gains (losses) | (257) | |||
Reclassification of non-credit portion included in net income | 640 | |||
Accretion of non-credit portion of OTTI | 2,850 | 3,999 | 15,431 | |
Total net change in non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | 3,490 | 3,742 | 15,431 | |
Net change due to hedging activities | ||||
Total net change due to hedging activities | (122,868) | 36,636 | 27,141 | |
Net change in pension and postretirement benefits | (9,002) | 7,756 | (8,125) | |
Total other comprehensive income (loss) | (34,546) | 46,914 | 40,401 | |
Total comprehensive income (loss) | 438,042 | 607,392 | 519,870 | |
Cash flow hedges | ||||
Net change due to hedging activities | ||||
Net change due to hedging activities | [1] | (111,275) | $ 36,636 | $ 27,141 |
Fair value hedges | ||||
Net change due to hedging activities | ||||
Net change due to hedging activities | [2] | $ (11,593) | ||
[1] | Represents changes in the fair values of derivatives in cash flow hedging programs, primarily from open contracts in the hedging of rolling issuance of CO discount notes, and any open contracts in cash flow hedges of anticipatory issuance of CO bonds. Also includes unamortized gains and losses related to closed cash flow hedges that will be amortized in future periods from AOCI to Interest expense. For more information, see table “Cash flow hedge gains and losses” in Note 17. Derivatives and Hedging Activities. | |||
[2] | Represents cumulative hedge valuation basis adjustments on fair value hedges of AFS securities under the partial-term hedging provisions of ASU 2017-12. The amount was the change in the unrealized fair value of the hedged security due to change in the benchmark rate component elected in the hedging strategy. Quarterly changes in the benchmark rate will be recorded through AOCI with an offset to earnings until the hedged securities mature or are sold. |
Statements of Capital
Statements of Capital - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | |||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | ||
Increase (decrease) in shareholders' equity | ||||
Balance | $ 7,746,622 | $ 8,241,038 | $ 7,624,081 | |
Proceeds from issuance of capital stock | 8,280,054 | 7,977,851 | 6,450,844 | |
Repurchase/redemption of capital stock | (8,563,003) | (8,653,301) | (6,005,596) | |
Shares reclassified to mandatorily redeemable capital stock | (4,184) | (8,756) | (3,009) | |
Cash dividends ($6.49, $6.66 & $5.54 per share for the Year Ended December 31, 2019, 2018 and 2017 respectively) on capital stock | (365,636) | (417,602) | (345,152) | |
Comprehensive income (loss) | 438,042 | 607,392 | 519,870 | |
Balance | 7,531,895 | 7,746,622 | 8,241,038 | |
Capital Stock | Capital Stock Class B | ||||
Increase (decrease) in shareholders' equity | ||||
Balance | [1] | $ 6,065,799 | $ 6,750,005 | $ 6,307,766 |
Balance (in shares) | [1] | 60,658 | 67,500 | 63,077 |
Proceeds from issuance of capital stock | [1] | $ 8,280,054 | $ 7,977,851 | $ 6,450,844 |
Proceeds from issuance of capital stock (in shares) | [1] | 82,801 | 79,779 | 64,508 |
Repurchase/redemption of capital stock | [1] | $ (8,563,003) | $ (8,653,301) | $ (6,005,596) |
Repurchase/redemption of capital stock (in shares) | [1] | (85,630) | (86,533) | (60,055) |
Shares reclassified to mandatorily redeemable capital stock | [1] | $ (4,184) | $ (8,756) | $ (3,009) |
Shares reclassified to mandatorily redeemable capital stock (in shares) | [1] | (42) | (88) | (30) |
Balance | [1] | $ 5,778,666 | $ 6,065,799 | $ 6,750,005 |
Balance (in shares) | [1] | 57,787 | 60,658 | 67,500 |
Total Retained Earnings | ||||
Increase (decrease) in shareholders' equity | ||||
Balance | $ 1,694,082 | $ 1,546,282 | $ 1,411,965 | |
Cash dividends ($6.49, $6.66 & $5.54 per share for the Year Ended December 31, 2019, 2018 and 2017 respectively) on capital stock | (365,636) | (417,602) | (345,152) | |
Comprehensive income (loss) | 472,588 | 560,478 | 479,469 | |
Balance | 1,801,034 | 1,694,082 | 1,546,282 | |
Total Retained Earnings | ASU 2016-01 | ||||
Increase (decrease) in shareholders' equity | ||||
Adjustments to opening balances | [2] | 4,924 | ||
Unrestricted Retained Earnings | ||||
Increase (decrease) in shareholders' equity | ||||
Balance | 1,102,801 | 1,067,097 | 1,028,674 | |
Cash dividends ($6.49, $6.66 & $5.54 per share for the Year Ended December 31, 2019, 2018 and 2017 respectively) on capital stock | (365,636) | (417,602) | (345,152) | |
Comprehensive income (loss) | 378,071 | 448,382 | 383,575 | |
Balance | 1,115,236 | 1,102,801 | 1,067,097 | |
Unrestricted Retained Earnings | ASU 2016-01 | ||||
Increase (decrease) in shareholders' equity | ||||
Adjustments to opening balances | [2] | 4,924 | ||
Restricted Retained Earnings | ||||
Increase (decrease) in shareholders' equity | ||||
Balance | 591,281 | 479,185 | 383,291 | |
Comprehensive income (loss) | 94,517 | 112,096 | 95,894 | |
Balance | 685,798 | 591,281 | 479,185 | |
Accumulated Other Comprehensive Income (Loss) | ||||
Increase (decrease) in shareholders' equity | ||||
Balance | (13,259) | (55,249) | (95,650) | |
Comprehensive income (loss) | (34,546) | 46,914 | 40,401 | |
Balance | $ (47,805) | (13,259) | $ (55,249) | |
Accumulated Other Comprehensive Income (Loss) | ASU 2016-01 | ||||
Increase (decrease) in shareholders' equity | ||||
Adjustments to opening balances | [2] | $ (4,924) | ||
[1] | Putable stock. Cash dividends paid - Dividends per share and aggregate dividends were paid on a single class of shares of capital stock. For more information, see Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Earnings. | |||
[2] | Cumulative catch-up adjustment upon adoption of ASU 2016-01 relating to change in the designation of funds in the grantor trust from AFS to Equity Investments. |
Statements of Capital (Parenthe
Statements of Capital (Parenthetical) - $ / shares | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Statements of Capital | |||
Cash dividends on capital stock (in dollars per share) | $ 6.49 | $ 6.66 | $ 5.54 |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | ||
Operating activities | ||||
Net Income | $ 472,588 | $ 560,478 | $ 479,469 | |
Depreciation and amortization: | ||||
Net premiums and discounts on consolidated obligations, investments, mortgage loans and other adjustments (a) | [1] | (88,742) | 87,628 | (13,886) |
Concessions on consolidated obligations | 3,223 | 2,586 | 4,110 | |
Premises, software, and equipment | 8,773 | 5,492 | 4,432 | |
Provision (Reversal) for credit losses on mortgage loans | (142) | (371) | (287) | |
Credit impairment losses on held-to-maturity securities | 640 | 141 | ||
Change in net fair value adjustments on derivatives and hedging activities | (249,537) | 33,840 | 144,391 | |
Net realized and unrealized (gains) losses on trading securities | (51,327) | (3,216) | 1,106 | |
Change in fair value on Equity Investments | (7,866) | 4,819 | ||
Change in fair value adjustments on financial instruments held at fair value | 4,146 | (209) | 4,603 | |
Losses from extinguishment of debt | 137 | |||
Net change in: | ||||
Accrued interest receivable | (38,012) | (49,850) | (64,139) | |
Derivative assets due to accrued interest | (223) | (150,869) | (40,654) | |
Derivative liabilities due to accrued interest | 12,436 | 93,482 | 50,354 | |
Other assets | (883) | (1,429) | (1,809) | |
Affordable Housing Program liability | (7,824) | 30,064 | 6,592 | |
Accrued interest payable | (66,681) | 61,394 | 31,998 | |
Other liabilities (a) | [1] | 24,057 | 7,828 | 29,385 |
Total adjustments | (457,962) | 121,330 | 156,333 | |
Net cash provided by (used in) operating activities | 14,626 | 681,808 | 635,802 | |
Net change in: | ||||
Interest-bearing deposits | (278,148) | (53,440) | 235,061 | |
Securities purchased under agreements to resell | (10,890,000) | (1,395,000) | 4,450,000 | |
Federal funds sold | (1,000,000) | 2,686,000 | (3,643,000) | |
Deposits with other FHLBanks | 46 | 255 | (67) | |
Premises, software, and equipment | (20,627) | (27,366) | (21,508) | |
Trading securities: | ||||
Purchased | (13,258,945) | (5,550,105) | (1,881,028) | |
Repayments | 2,489,363 | 1,216,237 | 270,930 | |
Proceeds from sales | 1,199,179 | 349,383 | 100,164 | |
Equity Investments: | ||||
Purchased | (6,055) | (3,846) | ||
Proceeds from sales | 2,054 | 1,825 | ||
Available-for-sale securities: | ||||
Purchased | (621,869) | (2,075) | ||
Repayments | 76,499 | 105,551 | 129,872 | |
Proceeds from sales | 1,788 | |||
Held-to-maturity securities: | ||||
Purchased | (2,382,169) | (3,520,254) | (4,478,887) | |
Repayments (b) | [2] | 3,015,579 | 3,858,408 | 2,686,796 |
Advances: | ||||
Principal collected | 1,125,987,329 | 1,107,754,440 | 1,060,666,397 | |
Made | (1,120,949,550) | (1,090,480,856) | (1,074,132,845) | |
Mortgage loans held-for-portfolio: | ||||
Principal collected | 313,813 | 264,643 | 268,375 | |
Purchased | (566,416) | (301,694) | (425,106) | |
Proceeds from sales of REO | 2,666 | 2,799 | 4,135 | |
Net change in loans to other FHLBanks | 250,000 | (250,000) | 255,000 | |
Net cash provided by (used in) investing activities | (16,637,251) | 14,656,980 | (15,515,998) | |
Net change in: | ||||
Deposits and other borrowings | 62,195 | (123,357) | (13,268) | |
Derivative contracts with financing element | (16,542) | (8,457) | (18,464) | |
Consolidated obligation bonds: | ||||
Proceeds from issuance | 99,473,389 | 111,130,060 | 93,274,082 | |
Payments for maturing and early retirement | (105,040,533) | (126,220,249) | (78,726,129) | |
Consolidated obligation discount notes: | ||||
Proceeds from issuance | 1,272,192,911 | 1,177,557,595 | 1,191,518,054 | |
Payments for maturing | (1,248,877,475) | (1,176,600,469) | (1,191,264,042) | |
Capital stock: | ||||
Proceeds from issuance of capital stock | 8,280,054 | 7,977,851 | 6,450,844 | |
Payments for repurchase/redemption of capital stock | (8,563,003) | (8,653,301) | (6,005,596) | |
Redemption of mandatorily redeemable capital stock | (4,900) | (22,856) | (14,499) | |
Cash dividends paid (c) | [3] | (365,636) | (417,602) | (345,152) |
Net cash provided by (used in) financing activities | 17,140,460 | (15,380,785) | 14,855,830 | |
Net increase (decrease) in cash and due from banks | 517,835 | (41,997) | (24,366) | |
Cash and due from banks at beginning of the period (d) | [4] | 85,406 | 127,403 | 151,769 |
Cash and due from banks at end of the period (d) | [4] | 603,241 | 85,406 | 127,403 |
Supplemental disclosures: | ||||
Interest paid | 1,905,145 | 1,714,564 | 1,064,684 | |
Interest paid for Discount Notes (e) | [5] | 1,268,051 | 878,103 | 371,993 |
Affordable Housing Program payments (f) | [6] | 60,376 | 32,318 | 46,825 |
Transfers of mortgage loans to real estate owned | 773 | 1,090 | 1,071 | |
Net amount of impairment losses reclassified to (from) Accumulated other comprehensive income (loss) | (640) | 257 | ||
Capital stock subject to mandatory redemption reclassified from equity | 4,184 | 8,756 | $ 3,009 | |
Securities traded but not settled | $ 149,874 | |||
Transfers of HTM securities to AFS that are not other-than-temporarily impaired (g) | [7] | $ 1,597,207 | ||
[1] | The adoption of ASU 2016-02, Leases (Topic 842) resulted in the recognition of non-cash right-of-use operating assets of $71.6 million and lease liabilities of $83.9 million as of January 1, 2019. For cash flow information on operating leases outstanding at December 31, 2019, including additions, see Operating Lease Commitments in Note 19. Commitments and Contingencies. | |||
[2] | Non-cash paydowns on HTM securities were $3.8 million. | |||
[3] | Does not include payments to holders of mandatorily redeemable capital stock. Such payments are considered as interest expense and reported within operating cash flows. | |||
[4] | Cash and due from banks did not include any restricted cash or cash equivalents. Includes pass-thru reserves at the Federal Reserve Bank of New York. See Note 3. Cash and Due from Banks for further information. | |||
[5] | Interest paid disclosures have been supplemented for the years ended December 31, 2019, 2018 and 2017 under the disclosure guidance provided under ASU 2016-15, Statements of Cash flows (Topic 230), “Classification of Certain Cash Receipts and Cash Payments”, which the FHLBNY adopted on January 1, 2018: the line item, Interest paid for Discount Notes, is the portion of the cash payments at settlement of zero-coupon Consolidated obligation discount notes. | |||
[6] | AHP payments = (beginning accrual - ending accrual) + AHP assessment for the period; payments represent funds released to the Affordable Housing Program. | |||
[7] | As of January 1, 2019, the FHLBNY elected (as permitted under ASU 2017-12) and transferred $1.6 billion (amortized cost basis) of fixed-rate MBS from HTM classification to AFS classification. |
Statements of Cash Flows (Paren
Statements of Cash Flows (Parenthetical) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019 | Jan. 01, 2019 | |
Supplemental disclosures: | ||
Operating lease right-of-use assets (Note 19) | $ 75,464 | |
Operating lease liabilities (Note 19) | 89,365 | |
Non-cash paydowns on HTM securities | $ 3,800 | |
Transfer of amortized cost of MBS from HTM to AFS portfolio | $ 1,600,000 | |
ASU 2016-02 | Restatement adjustment | ||
Supplemental disclosures: | ||
Operating lease right-of-use assets (Note 19) | 71,600 | |
Operating lease liabilities (Note 19) | $ 83,900 |
Background, Tax Status. Assessm
Background, Tax Status. Assessments. | 12 Months Ended |
Dec. 31, 2019 | |
Background, Tax Status. Assessments. | |
Background, Tax Status. Assessments. | Background The Federal Home Loan Bank of New York (FHLBNY or the Bank) is a federally chartered corporation, and is one of 11 district Federal Home Loan Banks (FHLBanks). The FHLBanks are U.S. government-sponsored enterprises (GSEs), organized under the authority of the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act). Each FHLBank is a cooperative owned by member institutions located within a defined geographic district. The FHLBNY’s defined geographic district is New Jersey, New York, Puerto Rico, and the U.S. Virgin Islands. Tax Status. The FHLBanks, including the FHLBNY, are exempt from ordinary federal, state, and local taxation except for real property taxes. Assessments. Affordable Housing Program (AHP) Assessments — Each FHLBank, including the FHLBNY, provides subsidies in the form of direct grants and below-market interest rate advances to members, who use the funds to assist in the purchase, construction or rehabilitation of housing for very low-, low- and moderate-income households. Annually, the 11 FHLBanks must allocate the greater of $100 million or 10% of their regulatory defined net income for the Affordable Housing Program. |
Significant Accounting Policies
Significant Accounting Policies and Estimates. | 12 Months Ended |
Dec. 31, 2019 | |
Significant Accounting Policies and Estimates. | |
Significant Accounting Policies and Estimates. | Note 1. Basis of Presentation The accompanying financial statements of the Federal Home Loan Bank of New York have been prepared in accordance with Generally Accepted Accounting Principles in the United States (GAAP) and with the instructions provided by the Securities and Exchange Commission (SEC). The FHLBNY has identified certain accounting policies that it believes are significant because they require management to make subjective judgments about matters that are inherently uncertain and because of the likelihood that materially different amounts would be reported under different conditions or by using different assumptions. The most significant of these policies include derivative hedging relationships, estimating the fair values of certain assets and liabilities, estimating the allowance for credit losses on the advance and mortgage loan portfolios, and evaluating the impairment of the FHLBNY’s securities portfolios. Financial Instruments with Legal Right of Offset The FHLBNY has derivative instruments, and securities purchased under agreements to resell that are subject to enforceable master netting arrangements. The FHLBNY has elected to offset its derivative asset and liability positions, as well as cash collateral received or pledged, when it has the legal right of offset under these master agreements. The FHLBNY did not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments, any excess cash collateral received or pledged is recognized as a derivative liability or as a derivative asset based on the terms of the individual master agreement between the FHLBNY and its derivative counterparty. Additional information regarding these agreements is provided in Note 17. Derivatives and Hedging Activities. For securities purchased under agreements to resell, the FHLBNY did not have any unsecured amounts based on the fair value of the related collateral held at the end of the periods presented. Additional information about the FHLBNY’s investments in securities purchased under agreements to resell is disclosed in Note 4. Federal Funds Sold and Securities Purchased Under Agreements to Resell. Fair Value Measurements and Disclosures Accounting Standards Codification Topic 820, Fair Value Measurements , discusses how entities should measure fair value based on whether the inputs to those valuation techniques are observable or unobservable. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction in the principal or most advantageous market for the asset or liability between market participants at the measurement date. This definition is based on an exit price rather than transaction or entry price. Valuation Techniques — Three valuation techniques are prescribed under the fair value measurement standards — Market approach, Income approach and Cost approach. Valuation techniques for which sufficient data is available and that are appropriate under the circumstances should be used. In determining fair value, the FHLBNY uses various valuation methods, including both the market and income approaches. · Market approach — This technique uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities. · Income approach — This technique uses valuation techniques to convert future amounts (for example, cash flows or earnings) to a single present amount (discounted), based on assumptions used by market participants. When the income approach is used, the fair value measurement reflects current market expectations about those future amounts. The present value technique used to measure fair value depends on the facts and circumstances specific to the asset or liability being measured and the availability of data. · Cost approach — This approach is based on the amount that currently would be required to replace the service capacity of an asset (often referred to as current replacement cost). The FHLBNY has complied with the accounting standards under Fair Value Measurement that defines fair value, establishes a consistent framework for measuring fair value, and requires disclosure about fair value measurement on assets and liabilities recorded at fair value on the balance sheet. For more information about the fair value hierarchy, and the hierarchy levels of the FHLBNY’s financial instruments, see Note 18. Fair Values of Financial Instruments. On a recurring basis, fair values were measured and recorded in the Statements of Condition for derivatives, available-for-sale securities (AFS or AFS securities), securities designated as trading, equity investments, and financial instruments elected under the Fair Value Option (FVO). On a non-recurring basis, credit impaired (OTTI) held-to-maturity securities were measured and recorded at their fair values in the Statements of Condition. When credit impaired mortgage loans held-for-portfolio were partially charged off, the loans were written down to their collateral values on a non-recurring basis. Fair values of derivative positions — The FHLBNY is an end-user of over-the-counter (OTC) derivatives to hedge assets, liabilities, and certain firm commitments to mitigate fair value risks. Valuations of derivative assets and liabilities reflect the value of the instrument including the value associated with counterparty risk. Derivative values also take into account the FHLBNY’s own credit standing. The computed fair values of the FHLBNY’s OTC derivatives take into consideration the effects of legally enforceable master netting agreements that allow the FHLBNY to settle positive and negative positions and offset cash collateral with the same counterparty on a net basis. The agreements include collateral thresholds that reflect the net credit differential between the FHLBNY and its derivative counterparties. On a contract-by-contract basis, the collateral and netting arrangements sufficiently mitigated the impact of the credit differential between the FHLBNY and its derivative counterparties to an immaterial level such that an adjustment for nonperformance risk was not deemed necessary. Fair values of investments classified as AFS securities — The FHLBNY’s investments classified as AFS are primarily GSE-issued mortgage-backed securities (MBS), which are recorded at fair values. The MBS fair values are estimated by management using specialized pricing services that employ pricing models or quoted prices of securities with similar characteristics. The FHLBNY has established that the pricing vendors use methods that generally employ, but are not limited to, benchmark yields, recent trades, dealer estimates, valuation models, benchmarking of like securities, sector groupings, and/or matrix pricing. For more information about methodologies used by the FHLBNY to validate vendor pricing, and fair value “Levels” associated with assets and liabilities recorded on the FHLBNY’s Statements of Condition at December 31, 2019 and 2018, see financial statements, Note 18. Fair Values of Financial Instruments. Classification of Investment Securities The FHLBNY classifies a debt security at the date of acquisition as trading, held-to-maturity or available-for-sale. Investments designated as held-to-maturity and available-for-sale are primarily GSE-issued mortgage-backed securities, and a small portfolio of bonds issued by housing finance agencies. Investments designated as trading are primarily U.S. Treasury securities. Purchases and sales of securities are recorded on a trade date basis. Prepayments are estimated for purposes of amortizing premiums and accreting discounts on investment securities in accordance with accounting standards for investments in debt securities, which requires premiums and discounts to be recognized in income at a constant effective yield over the life of the instrument. Because actual prepayments often deviate from the estimates, the effective yield is recalculated periodically to reflect actual prepayments to date. Adjustments of the effective yields for mortgage-backed securities are recorded on a retrospective basis, as if the new estimated life of the security had been known at its original acquisition date. The Bank’s trading portfolio is to enhance the FHLBNY’s liquidity position, and is invested typically in U.S. Treasury securities and GSE-issued bonds. The securities are carried at fair value with changes in the fair value of these investments recorded in Other income. The Bank does not participate in speculative trading practices and holds these investments indefinitely as the FHLBNY periodically evaluates its liquidity needs. Held-to-Maturity Securities — The FHLBNY classifies debt securities for which it has both the ability and intent to hold to maturity as held-to-maturity investments. Such investments are recorded at amortized cost basis, which includes adjustments made to the cost of an investment for accretion and amortization of discounts and premiums, collection of cash and, if hedged, the fair value hedge accounting adjustments. If a held-to-maturity security is determined to be credit impaired or other-than-temporarily impaired (OTTI), the amortized cost basis of the security is adjusted for credit losses. Amortized cost basis of a held-to-maturity OTTI security is further adjusted for impairment related to all other factors (also referred as the non-credit component of OTTI) and recognized in AOCI; the adjusted amortized cost basis is the carrying value of the OTTI security as reported in the Statements of Condition. Carrying value of a held-to-maturity security that is not OTTI is its amortized cost basis. Interest earned on such securities is included in Interest income. In accordance with accounting standards for investments in debt securities, sales of debt securities that meet either of the following two conditions may be considered as maturities for purposes of the classification of securities: (1) the sale occurs near enough to its maturity date (or call date if exercise of the call is probable) such that interest rate risk is substantially eliminated as a pricing factor and the changes in market interest rates would not have a significant effect on the security’s fair value, or (2) the sale of a security occurs after the FHLBNY has already collected a substantial portion (at least 85%) of the principal outstanding at acquisition. As permitted by the new hedge accounting guidance under ASU 2017-12, effective January 1, 2019 the FHLBNY made a one-time election and transferred $1.6 billion (amortized cost basis) of unimpaired fixed-rate GSE-issued commercial mortgage-backed securities from HTM to AFS. Available-for-Sale Securities — The FHLBNY classifies debt securities that it may sell before maturity as AFS and carries them at fair value. Until AFS securities are sold, changes in fair values are recorded in AOCI as Net unrealized gain or (loss) on AFS securities. The FHLBNY computes gains and losses on sales of debt securities using the specific identification method and includes these gains and losses in Other income (loss). Trading Securities — Debt securities classified as trading are held for liquidity purposes and carried at fair value. We record changes in the fair value of these investments through Other income as net realized and unrealized gains or losses on trading securities. The Finance Agency prohibits speculative trading practices but allows permitted securities to be deemed held for liquidity if invested in a trading portfolio. We periodically evaluate our liquidity needs and may dispose these investments as deemed prudent by liquidity and market conditions. Equity Securities — Adoption at January 1, 2018 of ASU No. 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities, as an amendment to Financial Instruments — Overall (Subtopic 825-10) provided guidance on the measurement and classification of equity investments. Effective with the adoption of the ASU, the FHLBNY measures its equity investments at fair value with changes in fair value recognized in net income, thus eliminating eligibility for the available-for-sale category. Prior to the adoption of the ASU, the FHLBNY classified its equity investments as AFS. The FHLBNY’s equity investments comprise of mutual fund assets in grantor trust owned by the FHLBNY. The intent of the grantor trust is to set aside cash to meet current and future payments for supplemental unfunded retirement plans. Prior period financial statements were not required to be restated under the transition provisions of this ASU. Other-Than-Temporary Impairment (OTTI) The FHLBNY evaluates its investments for impairment quarterly, and determines if unrealized losses are temporary based in part on the creditworthiness of the issuers, and in part on the underlying collateral within the structure of the security and the cash flows expected to be collected on the security. A security is considered impaired if its fair value is less than its amortized cost basis. The FHLBNY has experienced de minimis OTTI in the most recent past on a small portfolio of private-label mortgage-backed securities (PLMBS). To assess whether the amortized cost basis of the FHLBNY’s (PLMBS) will be recovered in future periods, the FHLBNY performs OTTI analysis by cash flow testing its entire portfolio of private-label MBS (PLMBS), all of which were classified as held-to-maturity. The FHLBNY evaluates its individual securities issued by Fannie Mae and Freddie Mac, government agencies, or state and local housing agencies by considering the creditworthiness and performance of the debt securities and the strength of the guarantees underlying the securities. Based on the FHLBNY's analysis, GSE securities are performing in accordance with their contractual agreements. The Housing Act contains provisions allowing the U.S. Treasury to provide support to Fannie Mae and Freddie Mac. The U.S. Treasury and the Finance Agency have placed Fannie Mae and Freddie Mac into conservatorship in an attempt to stabilize their financial conditions and their ability to support the secondary mortgage market. The FHLBNY believes that it will recover its investments in GSE and agency issued securities given the current levels of collateral and credit enhancements and guarantees that exist to protect the investments. Additional testing is performed on housing agency bonds by a review of fair values of bonds that are in unrealized loss position to assess whether fair values are in line with pricing curves with similar credit parameters. If a decision to sell the impaired investment has not been made, but management concludes that it is more likely than not that it will be required to sell such a security before recovery of the amortized cost basis of the security, an OTTI is also considered to have occurred. For securities designated as AFS, subsequent unrealized changes to the fair values (other than OTTI) are recorded in AOCI. For securities designated as HTM or held-to-maturity, the amount of OTTI recorded in AOCI for the non-credit component of OTTI is amortized prospectively over the remaining life of the securities based on the timing and amounts of estimated future cash flows. Amortization out of AOCI is offset by an increase in the carrying value of securities until the securities are repaid or are sold or additional OTTI is recognized in earnings. If subsequent evaluation indicates a significant increase in cash flows greater than previously expected to be collected or if actual cash flows are significantly greater than previously expected, the increases are accounted for as a prospective adjustment to the acceptable yield through interest income. In subsequent periods, if the fair value of the investment security has further declined below its then-current carrying value and there has been a decrease in the estimated cash flows the FHLBNY expects to collect, the FHLBNY will deem the security as OTTI. Accretion to interest income will be discontinued and will resume if improvements in cash flows are subsequently observed. Federal Funds Sold and Securities Purchased Under Agreements to Resell Federal Funds Sold . Federal funds sold are recorded at cost on settlement date and interest is accrued using contractual rates. Securities Purchased under Agreements to Resell. As part of the FHLBNY’s banking activities with counterparties, the FHLBNY may enter into secured financing transactions that mature overnight, and can be extended only at the discretion of the FHLBNY. These transactions involve the lending of cash, against which securities are taken as collateral. The FHLBNY does not have the right to repledge the securities received. Securities purchased under agreements to resell generally do not constitute a transfer of the underlying securities. The FHLBNY treats securities purchased under agreements to resell as collateralized financings because the counterparty retains control of the securities. Interest from such securities is included in Interest income. The FHLBNY did not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented. Advances Accounting for Advances. The FHLBNY reports advances at amortized cost, net of any discounts and premiums (discounts are generally associated with advances for the Affordable Housing Program). If the advance is hedged in an ASC 815 qualifying hedge, its carrying value will include hedging valuation adjustments, which will typically be the result of changes in designated benchmark index. If an advance is accounted under the Fair Value Option, the carrying value of the advances elected will be its full fair value. The FHLBNY records interest on advances to income as earned, and amortizes the premium and accretes the discounts on a contractual basis to interest income using a level-yield methodology. Typically, advances are issued at par. Impairment Analysis of Advances . An advance will be considered impaired when, based on current information and events, it is probable that the FHLBNY will be unable to collect all amounts due according to the contractual terms of the advance agreement. The FHLBNY has established asset classification and reserve policies. All adversely classified assets of the FHLBNY will have a reserve established for probable losses. Following the requirements of the Federal Home Loan Bank Act of 1932 (FHLBank Act), as amended, the FHLBNY obtains sufficient collateral on advances to protect it from losses. The FHLBank Act limits eligible collateral to certain investment securities, residential mortgage loans, cash or deposits with the FHLBNY, and other eligible real estate related assets. Borrowing members pledge their capital stock of the FHLBNY as additional collateral for advances. The FHLBNY has not incurred any credit losses on advances since its inception. Based upon the financial condition of its borrowers, the collateral held as security on the advances and repayment history, management of the FHLBNY believes that an allowance for credit losses on advances is unnecessary. Advance Modifications. From time to time, the FHLBNY will enter into an agreement with a member to modify the terms of an existing advance. The FHLBNY evaluates whether the modified advance meets the accounting criteria under ASC 310-20 to qualify as a modification of an existing advance or as a new advance in accordance with provisions under creditor’s accounting for a modification or exchange of debt instruments. The evaluation includes analysis of (i) whether the effective yield on the new advance is at least equal to the effective yield for a comparable advance to a similar member that is not refinancing or restructuring, and (ii) whether the modification of the original advance is more than minor. If the FHLBNY determines that the modification is more than minor, the transaction is treated as an advance termination and the subsequent funding of a new advance, with gains or losses recognized in earnings for the period. If the advance is in a hedging relationship, and the modification is more than minor, the FHLBNY will consider the hedge relationship as terminated and previously recorded hedge basis adjustments are amortized over the life of the hedged advance through interest income as a yield adjustment. If the modification of the hedged item and the derivative instrument is considered minor, and if the hedge relationship is de-designated and contemporaneously re-designated, the FHLBNY would not require amortization of previously recorded hedge basis adjustments, although the assumption of no ineffectiveness is removed if the hedge was previously designated as a short-cut hedge. The FHLBNY performs a “test of a modification” under the guidance provided in ASC 310-20-35-11 each time a new advance is borrowed within a short-period of time, typically 5 business days after a prepayment. If a prepayment fee is received on an advance that is determined to be a modification of the original advance, the fee would be deferred, recorded in the basis of the modified advance, and amortized over the life of the modified advance using the level-yield method. This amortization would be recorded as a component of interest income from advances. Prepayment Fees on Advances . Generally, advances are prepaid by members at their fair values. The FHLBNY also charges the member a prepayment fee to make the FHLBNY financially indifferent to the early termination of the advance. For a prepaid advance that had been hedged under a qualifying fair value hedge, the FHLBNY would terminate the hedging relationship. Typically, the FHLBNY would terminate the interest rate swap, and would record the fair value exchanged with the swap counterparty as its settlement value. Prepayment fees received from the prepaying member to make the FHLBNY financially indifferent is recognized in earnings as interest income from advances. For prepaid advances that are not hedged or that are economically hedged, the FHLBNY would also charge the member the fair value of the advance, in addition to a prepayment fee that would make the FHLBNY financially indifferent to the early termination. The FHLBNY offers a rebate, which is typically a portion of the prepayment fee. The rebate is contingent upon the prepaying member borrowing new advances within a 30-day period following prepayment, also satisfying conditions to qualify for the rebate, and complying with the then prevailing terms and conditions for borrowing new advances. At the time a prepayment fee is received from the borrowing member, a portion of the fee, deemed to be potentially rebatable, is not recognized in earnings. The rebatable amount is deferred as a liability as the FHLBNY considers the rebate opportunity for the member a contingency for the FHLBNY. Until no likelihood exists, such that the member has a potential claim to a rebate within the 30-day rebate period, the potential rebatable amount will be considered to be contingently payable. That amount will be deferred, based on the supposition that the rebatable portion of the prepayment fee may not be recognized as a revenue in its entirety because it may be subject to a claim payable to a third party, the borrowing member. Amounts would be recorded once the contingency has been resolved, i.e. when any future potential claims to rebatable funds have expired (30-day rebate period has expired) or has been otherwise settled and resolved (member enters into new qualifying advances within the 30-day period). Only after the member has no further claims on the funds, and the FHLBNY has no obligations to rebate funds, the deferred amounts may only then be released to earnings. The actual rebate would depend on the amount and the maturity duration of the new advance. Mortgage Loans Held-for-Portfolio Mortgage Partnership Finance(R) program loans, or (MPF(R)), are mortgage loans held-for-portfolio. The FHLBNY participates in the MPF program by purchasing and originating conventional mortgage loans from its participating members (Participating Financial Institutions or PFIs). Credit Enhancement Obligations and Loss Layers. The FHLBNY and the PFI share the credit risks of the uninsured MPF loans by structuring potential credit losses into layers. Collectability of the loans is first supported by liens on the real estate securing the loan. For conventional mortgage loans, additional loss protection is provided by private mortgage insurance required for MPF loans with a loan-to-value ratio of more than 80% at origination, which is paid for by the borrower. Credit losses are absorbed by the FHLBNY to the extent of the First Loss Account (FLA) for which the maximum exposure is estimated to be $40.2 million at December 31, 2019 and $35.8 million at December 31, 2018. The aggregate amount of FLA is memorialized and tracked but is neither recorded nor reported as a loan loss reserve in the FHLBNY’s financial statements. If “second losses” beyond this layer are incurred, they are absorbed through a credit enhancement provided by the PFI. The credit enhancement held by PFIs ensures that the lender retains a credit stake in the loans it sells to the FHLBNY, or for the MPF 100 product that the PFI originates as an agent for the FHLBNY. For assuming the second loss credit risk, PFIs receive monthly credit enhancement fees from the FHLBNY. For most MPF products, the credit enhancement fee is accrued and paid monthly after the FHLBNY has accrued 12 months of credit enhancement fees. For loans acquired after May 2017, the amount of the credit enhancement is computed with the use of a Standard & Poor’s model to determine the amount of credit enhancement necessary to bring a pool of uninsured loans to a “Single A” credit risk. Prior to May 2017, the credit enhancement was calculated to a “Double A” credit risk. The credit enhancement becomes an obligation of the PFI. Delivery commitment fees are charged to a PFI for extending the scheduled delivery period of the loans. Pair-off fees may be assessed and charged to a PFI when the settlement of the delivery commitment (1) fails to occur, or (2) the principal amount of the loans purchased by the FHLBNY under a delivery commitment is not equal to the contract amount beyond established limits. Accounting for Mortgage Loans. The FHLBNY has the intent and ability to hold these mortgage loans for the foreseeable future or until maturity or payoff, and classifies mortgage loans as held-for-portfolio. Loans are reported at their principal amount outstanding, net of premiums and discounts, which is the fair value of the mortgage loan on settlement date. The FHLBNY defers premiums and discounts, and uses the contractual method to amortize premiums and accrete discounts on mortgage loans. The contractual method recognizes the income effects of premiums and discounts in a manner that is reflective of the actual behavior of the mortgage loans during the period in which the behavior occurs while also reflecting the contractual terms of the assets without regard to changes in estimated prepayments based upon assumptions about future borrower behavior. Mortgage loans are written down to their fair values either at foreclosure or to their collateral values when collectability is doubtful, typically when delinquent 180 days or greater and the loan is not well collateralized. When a loan is partially charged off, the remaining loan balance is typically written down and recorded at its collateral value on a non-recurring basis (see Note 18. Fair Values of Financial Instruments). The FHLBNY records credit enhancement fees as a reduction to mortgage loan interest income. Other non-origination fees, such as delivery commitment extension fees and pair-off fees, are considered as derivative income and recorded over the life of the commitment; all such fees were insignificant for all periods reported. Non-Accrual Mortgage Loans. The FHLBNY places a mortgage loan on non-accrual status when the collection of the contractual principal or interest is seriously delinquent, which for the FHLBNY is typically 90 days or more past due. When a mortgage loan is placed on non-accrual status, accrued but uncollected interest is reversed against interest income. A loan on non-accrual status may be restored to accrual when (1) principal and interest is no longer delinquent, (2) the FHLBNY expects to collect the remaining interest and principal, and (3) the collection is not under legal proceedings. For mortgage loans on non-accrual status, impairment calculations would consider if the collection of the remaining principal and interest due is determined to be doubtful, and any cash received would be applied first to principal until the remaining principal amount due is collected, and then as a recovery of any charge-offs. Any remaining cash flows would be recorded as interest income. If the FHLBNY determines that the loan servicer on a non-accrual loan has paid the accrued interest receivable as an advance, which is likely to be subject to recovery by the borrower, the FHLBNY would consider the cash received as a liability until the impaired loan returns to a performing status. The cumulative amounts of cash received and recorded as a liability was $1.6 million at December 31, 2019 and $2.3 million at December 31, 2018. Allowance for Credit Losses on Mortgage Loans. The FHLBNY reviews its portfolio to identify the losses inherent within the portfolio and to determine the likelihood of collection of the principal and interest. A valuation allowance for credit loss is separately established for each identified loan (individually evaluated) in order to provide for probable losses inherent in loans that are either classified under regulatory criteria (Special Mention, Sub-standard, Doubtful, or Loss) or seriously delinquent. The FHLBNY deems that foreclosure is probable when its mortgage loans become seriously delinquent. For the purposes of impairment, the FHLBNY deems loans that are in bankruptcy as impaired, regardless of their delinquency status. Loans discharged from bankruptcy are considered as Troubled Debt Restructurings (TDRs), and an impairment analysis is performed if the loan is seriously delinquent. Mortgage loans that are not seriously delinquent or are performing are assessed for impairment on a collective basis under the accounting standards for evaluating “large groups of smaller-balance homogenous loans”. In determining our collective reserve, we base our impairment analysis by performing a “loss emergence analysis” that applies historical default rates and historical probability of default. Credit losses calculated on a collective basis and on an individual basis summed to $0.7 million and $0.8 million at December 31, 2019 and 2018. Impairment Methodology and Portfolio Segmentation and Disaggregation — Except for VA and FHA insured mortgage loans, all MPF loans are measured for impairment and analyzed for credit losses. Measurement of credit losses is based on current information and events and when it is probable that the FHLBNY will be unable to collect all amounts due according to the contractual terms of the loan agreement. Credit losses are measured for impairment based on the fair value of the underlying property less estimated selling costs. It is assumed that repayment is expected to be provided solely by the sale of the underlying property, that is, there is no other available and reliable source of repayment. To the extent that the net fair value of the property (collateral) is less than the recorded investment in the loan, a loan loss allowance is recorded. FHA and VA are insured loans, and are excluded from the loan-by-loan analysis. FHA and VA insured mortgage loans have minimal inherent credit risk; risk generally arises mainly from the servicers defaulting on their obligations. FHA and VA insured mortgage loans, if adversely classified, would have reserves established only in the event of a default of a PFI, and reserves would be based on aging, collateral value and estimated costs to recover any uninsured portion of the MPF loan. Aside from separating conventional mortgage loans from FHA and VA insured loans, the FHLBNY has deter |
FASB Standards Issued But Not Y
FASB Standards Issued But Not Yet Adopted. | 12 Months Ended |
Dec. 31, 2019 | |
FASB Standards Issued But Not Yet Adopted | |
FASB Standards Issued But Not Yet Adopted. | Note 2. Standard Summary of Guidance Effective Date Effects on the Financial Statements Facilitation of the Effects of Reference Rate Reform on Financial Reporting ASU 2020-04, Reference Rate Reform (Topic 848) Issued in March 2020 This guidance provides temporary optional guidance to ease the potential burden in accounting for reference rate reform. The new guidance provides optional expedients and exceptions for applying generally accepted accounting principles to transactions affected by reference rate reform if certain criteria are met. These transactions include: • contract modifications, • hedging relationship, and • sale or transfer of debt securities classified as HTM. This guidance is effective for the FHLBNY beginning on March 12, 2020, and we may elect to apply the amendments prospectively through December 31, 2022. We are in the process of evaluating the guidance, and its effect on the financial condition, results of operations, and cash flows has not yet been determined. Accounting for Financial Instruments — Credit Losses ASU 2016-13, Financial Instruments — Credit Losses (Topic 326) The adoption of this guidance established a single allowance framework for all financial assets carried at amortized cost, including Federal funds sold and repurchase agreements, advances, mortgage loans held- for-portfolio, held-to-maturity securities, other receivables and certain off-balance sheet credit exposures. For available-for-sale securities where fair value is less than cost, credit related impairment, if any, will be recognized in an allowance for credit losses and adjusted each period for changes in expected credit risk. This framework requires that management’s estimate reflects credit losses over the full remaining expected life and considers expected future changes in macroeconomic conditions. The FHLBNY will adopt the ASU effective January 1, 2020. We have concluded our assessment of the impact of CECL on all our business lines, including advances, investments and other financial assets. Adoption of the guidance will increase our allowances for credit losses by $3.8 million, which we consider to be an immaterial impact on our regulatory capital, financial condition, results of operations, and cash flows. The CECL guidance also expands credit quality disclosures beginning in the first quarter of 2020. We have established controls and validation processes over models pertaining to expected losses, and have also designed and established as of January 1, 2020 policies and control procedures over the implementation of the CECL framework. |
Cash and Due from Banks.
Cash and Due from Banks. | 12 Months Ended |
Dec. 31, 2019 | |
Cash and Due from Banks. | |
Cash and Due from Banks. | Note 3. Cash on hand, cash items in the process of collection, and amounts due from correspondent banks and the Federal Reserve Banks are included in Cash and due from banks. The FHLBNY is exempted from maintaining any required clearing balance at the Federal Reserve Bank of New York. Compensating Balances The FHLBNY has arrangements with Citibank (a member/stockholder of the FHLBNY) to maintain compensating collected cash balances in return for certain fee based safekeeping and back office operational services that the counterparty provides to the FHLBNY. There are no restrictions on the withdrawal of funds in this arrangement. There were no compensating balance at December 31, 2019 and December 31, 2018. Pass-through Deposit Reserves The FHLBNY acts as a pass-through correspondent for member institutions who are required by banking regulations to deposit reserves with the Federal Reserve Banks. Pass-through reserves deposited with Federal Reserve Banks on behalf of the members by the FHLBNY were $45.4 million at December 31, 2019 and $86.1 million at December 31, 2018. The liabilities offsetting the pass-through reserves were due to member institutions and were recorded in Other liabilities in the Statements of Condition. |
Federal Funds Sold and Securiti
Federal Funds Sold and Securities Purchased Under Agreements to Resell. | 12 Months Ended |
Dec. 31, 2019 | |
Federal Funds Sold and Securities Purchased Under Agreements to Resell. | |
Federal Funds Sold and Securities Purchased Under Agreements to Resell. | Note 4. Federal funds sold — Federal funds sold are unsecured advances to third parties. Securities purchased under agreements to resell — As part of the FHLBNY’s banking activities, the FHLBNY may enter into secured financing transactions that mature overnight, and can be extended only at the discretion of the FHLBNY. These transactions involve the lending of cash, against which marketable securities are taken as collateral. The amount of cash loaned against the collateral is a function of the liquidity and quality of the collateral. The collateral is typically in the form of securities that meet the FHLBNY’s credit quality standards, are highly-rated and readily marketable. The FHLBNY has the ability to call for additional collateral if the value of the securities falls below a pre-defined haircut. The FHLBNY can terminate the transaction and liquidate the collateral if the counterparty fails to post the additional margin. Agreements generally allow the FHLBNY to repledge securities under certain conditions. No adjustments for instrument-specific credit risk were deemed necessary as market values of collateral were in excess of principal amounts loaned. At December 31, 2019 and 2018, the outstanding balances of Securities purchased under agreements to resell were $15.0 billion and $4.1 billion; the investments typically matured overnight, and were executed through a tri-party arrangement that involved transfer of overnight funds to a segregated safekeeping account at the Bank of New York (BONY). BONY, acting as an independent agent on behalf of the FHLBNY and the counterparty to the transactions, assumes the responsibility of receiving eligible securities as collateral and releasing funds to the counterparty. U.S. Treasury securities at market values of $15.2 billion and $4.2 billion were received at BONY to collateralize the overnight investments at December 31, 2019 and 2018. Securities purchased under agreements to resell averaged $8.3 billion and $4.1 billion for the twelve months ended December 31, 2019 and 2018. Interest income from securities purchased under agreements to resell were $178.6 million, $78.3 million and $25.5 million for the years ended 2019, 2018 and 2017. No overnight investments had been executed bilaterally with counterparties at December 31, 2019 and 2018. Transactions recorded as Securities purchased under agreements to resell (reverse repos) were accounted as collateralized financing transactions. In January 2020, we concluded our evaluation under the CECL guidance, which we adopted effective January 1, 2020. No credit loss allowance was recorded at January 1, 2020 for investments in Federal funds sold and Securities purchased under agreements to resell due to the de minimis nature of the allowance. |
Trading Securities.
Trading Securities. | 12 Months Ended |
Dec. 31, 2019 | |
Trading Securities. | |
Securities | |
Securities. | Note 5. The carrying value of a trading security equals its fair value. The following table provides major security types at December 31, 2019 and December 31, 2018 (in thousands): Fair value December 31, 2019 December 31, 2018 GSE securities $ — $ 502,849 Corporate notes 3,217 3,334 U.S. Treasury notes 15,315,592 5,304,329 Total trading securities $ 15,318,809 $ 5,810,512 The carrying values of trading securities included net unrealized fair value gains of $53.1 million at December 31, 2019, and $2.6 million at December 31, 2018. We have classified investments acquired for purposes of meeting short-term contingency and other liquidity needs as trading securities. In accordance with Finance Agency guidance, we do not participate in speculative trading practices. Trading Securities Pledged The FHLBNY had pledged marketable securities at fair values of $251.2 million at December 31, 2019 and $239.8 million at December 31, 2018 to derivative clearing organizations to fulfill the FHLBNY’s initial margin requirements as mandated under margin rules of the Commodity Futures Trading Commission (CFTC). The clearing organizations have rights to sell or repledge the collateral securities under certain conditions. The following tables present redemption terms of the major types of trading securities (dollars in thousands): Redemption Terms December 31, 2019 Due in one year Due after one year or less through five years Total Fair Value Corporate notes $ 869 $ 2,348 $ 3,217 U.S. Treasury notes 6,176,952 9,138,640 15,315,592 Total trading securities $ 6,177,821 $ 9,140,988 $ 15,318,809 Yield on trading securities 2.36 % 2.36 % December 31, 2018 Due in one year Due after one year or less through five years Total Fair Value GSE securities $ 502,849 $ — $ 502,849 Corporate notes — 3,334 3,334 U.S. Treasury notes 3,171,130 2,133,199 5,304,329 Total trading securities $ 3,673,979 $ 2,136,533 $ 5,810,512 Yield on trading securities 2.05 % 2.14 % |
Equity Investments.
Equity Investments. | 12 Months Ended |
Dec. 31, 2019 | |
Equity Investments. | |
Equity Investments. | Note 6. The FHLBNY has classified its grantor trust as equity investments. The carrying value of equity investments in the Statements of Condition, and the types of assets in the grantor trust were as follows (in thousands): December 31, 2019 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains (b) Losses (b) Value (c) Cash equivalents $ 1,322 $ — $ — $ 1,322 Equity funds 28,650 8,312 (623) 36,339 Fixed income funds 22,104 412 (130) 22,386 Total Equity Investments (a) $ 52,076 $ 8,724 $ (753) $ 60,047 December 31, 2018 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains (b) Losses (b) Value (c) Cash equivalents $ 1,250 $ — $ — $ 1,250 Equity funds 25,788 2,481 (1,674) 26,595 Fixed income funds 21,036 7 (709) 20,334 Total Equity Investments (a) $ 48,074 $ 2,488 $ (2,383) $ 48,179 (a) The intent of the grantor trust is to set aside cash to meet current and future payments for supplemental unfunded pension plans. Neither the pension plans nor employees of the FHLBNY own the trust. (b) Changes in unrealized gains and losses are recorded through earnings, specifically in Other income in the Statements of Income. (c) The grantor trust invests in money market, equity and fixed income and bond funds. Daily net asset values (NAVs) are readily available and investments are redeemable at short notice. NAVs are the fair values of the funds in the grantor trust. The grantor trust is owned by the FHLBNY. In the Statements of Income gains and losses related to outstanding Equity Investments were as follows (in thousands): Years ended December 31, 2019 2018 Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date $ 7,866 $ (5,098) (a) Net gains (losses) recognized during the period on equity investments sold during the period 17 279 Net dividend and other 1,960 — Net gains (losses) recognized during the period $ 9,843 $ (4,819) (a) Prior year beginning balance was reclassified to conform to the classification adopted in 2019. |
Available-for-Sale Securities.
Available-for-Sale Securities. | 12 Months Ended |
Dec. 31, 2019 | |
Available-for-Sale Securities. | |
Securities | |
Securities. | Note 7. As permitted by the new hedge accounting guidance under ASU 2017-12, effective January 1, 2019 the FHLBNY made a one-time election and transferred at an amortized cost basis of $1.6 billion (unrealized fair value loss was $13.5 million) of unimpaired fixed-rate GSE-issued commercial mortgage-backed securities from HTM to AFS. The carrying value of an AFS security equals its fair value. At December 31, 2019 and at December 31, 2018, no AFS security was OTTI. The following tables provide major security types (in thousands): December 31, 2019 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains Losses Value GSE and U.S. Obligations Mortgage-backed securities Floating CMO $ 339,419 $ 2,164 $ (74) $ 341,509 CMBS 2,539 1 — 2,540 Total Floating 341,958 2,165 (74) 344,049 Fixed CMBS 2,213,592 99,532 (3,755) 2,309,369 AFS before hedging adjustments $ 2,555,550 $ 101,697 (a) $ (3,829) (a) $ 2,653,418 Hedging basis adjustments in AOCI 11,593 14,925 (b) 3,332 (b) — Total Available-for-sale securities $ 2,567,143 $ 86,772 $ (497) $ 2,653,418 December 31, 2018 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains Losses Value GSE and U.S. Obligations Mortgage-backed securities CMO-Floating $ 402,540 $ 4,011 $ — $ 406,551 CMBS-Floating 15,642 23 — 15,665 Total Available-for-sale securities $ 418,182 $ 4,034 $ — $ 422,216 (a) Amounts represents vendor priced gains/losses of AFS securities based on market pricing and historical amortized cost adjusted for pay downs and amortization of premiums and discounts; amounts are before adjusting book values for hedge basis adjustments, and will equal market values of AFS securities recorded in AOCI. Fair value hedges were executed internally to mitigate the interest rate risk of the hedged fixed-rate securities due to changes in the designated benchmark rate. (b) Amounts represent fair value hedging basis that were recorded as an adjustment to the amortized cost of hedged securities, impacting reported unrealized gains and losses. Securities in a fair value hedging relationship at December 31, 2019 reported $11.6 million as hedging basis and will agree with fair value hedging basis recorded in AOCI. The hedging basis adjustment had no impact on reported fair values, which remained market based. Impairment Analysis of AFS Securities The FHLBNY’s portfolio of MBS classified as AFS is comprised primarily of GSE-issued collateralized mortgage obligations and CMBS. The FHLBNY evaluates its GSE-issued securities by considering the creditworthiness and performance of the debt securities and the strength of the government-sponsored enterprises’ guarantees of the securities. Based on credit and performance analysis, GSE-issued securities are performing in accordance with their contractual agreements. The FHLBNY believes that it will recover its investments in GSE-issued securities given the current levels of collateral, credit enhancements and guarantees that exist to protect the investments. At December 31, 2019 unrealized fair value losses have been aggregated in the table below by the length of time a security was in a continuous unrealized loss position. At December 31, 2018, there was no available-for-sale debt security at a fair value below its amortized cost basis. The following table summarizes available-for-sale securities with estimated fair values below their amortized cost basis (in thousands): December 31,2019 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-GSE Fannie Mae-CMO $ 32,012 $ (65) $ — $ — $ 32,012 $ (65) Fannie Mae-CMBS — — — — — — Freddie Mac-CMO 7,071 (9) — — 7,071 (9) Freddie Mac-CMBS 129,496 (423) — — 129,496 (423) Total $ 168,579 $ (497) $ — $ — $ 168,579 $ (497) Redemption Terms Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. The amortized cost and estimated fair value (a) of investments classified as AFS, by contractual maturity, were as follows (in thousands): December 31, 2019 December 31, 2018 Amortized Cost (b) Fair Value Amortized Cost (b) Fair Value Mortgage-backed securities Due in one year of less $ 2,539 $ 2,540 $ — $ — Due after one year through five years — — 15,642 15,665 Due after five year through ten years 2,189,350 2,273,352 — — Due after ten years 375,254 377,526 402,540 406,551 Total Available-for-sale securities $ 2,567,143 $ 2,653,418 $ 418,182 $ 422,216 (a) The carrying value of AFS securities equals fair value. (a) Amortized cost is UPB after adjusting for net unamortized premiums of $30.4 million and net unamortized discounts of $1.5 million at December 31, 2019 and December 31, 2018. Additionally, historical amortized cost at December 31, 2019 was adjusted for hedging basis as noted previously. No AFS security was OTTI. Interest Rate Payment Terms The following table summarizes interest rate payment terms of investments in mortgage-backed securities classified as AFS securities (in thousands): December 31, 2019 December 31, 2018 Amortized Cost Fair Value Amortized Cost Fair Value Mortgage-backed securities Floating CMO - LIBOR $ 339,419 $ 341,509 $ 402,540 $ 406,551 CMBS - LIBOR 2,539 2,540 15,642 15,665 Total Floating 341,958 344,049 418,182 422,216 Fixed CMBS 2,225,185 2,309,369 — — Total Mortgage-backed securities $ 2,567,143 $ 2,653,418 $ 418,182 $ 422,216 |
Held-to-Maturity Securities.
Held-to-Maturity Securities. | 12 Months Ended |
Dec. 31, 2019 | |
Held-to-Maturity Securities. | |
Securities | |
Securities. | Note 8. Held-to-Maturity Securities. Major Security Types (in thousands) December 31, 2019 OTTI Gross Gross Amortized Recognized Carrying Unrecognized Unrecognized Fair Issued, guaranteed or insured: Cost (d) in AOCI Value Holding Gains (a) Holding Losses (a) Value Pools of Mortgages Fannie Mae $ 61,990 $ — $ 61,990 $ 6,255 $ — $ 68,245 Freddie Mac 11,526 — 11,526 1,135 — 12,661 Total pools of mortgages 73,516 — 73,516 7,390 — 80,906 Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits Fannie Mae 1,403,787 — 1,403,787 4,281 (3,130) 1,404,938 Freddie Mac 878,068 — 878,068 2,871 (2,526) 878,413 Ginnie Mae 9,265 — 9,265 113 — 9,378 Total CMOs/REMICs 2,291,120 — 2,291,120 7,265 (5,656) 2,292,729 Commercial Mortgage-Backed Securities (b) Fannie Mae 1,822,310 — 1,822,310 16,796 (1,372) 1,837,734 Freddie Mac 9,815,215 — 9,815,215 215,919 (18,584) 10,012,550 Total commercial mortgage-backed securities 11,637,525 — 11,637,525 232,715 (19,956) 11,850,284 Non-GSE MBS (c) CMOs/REMICs 4,451 (331) 4,120 56 (30) 4,146 Asset-Backed Securities (c) Manufactured housing (insured) 28,618 — 28,618 1,175 — 29,793 Home equity loans (insured) 61,186 (4,062) 57,124 17,912 — 75,036 Home equity loans (uninsured) 23,322 (3,178) 20,144 4,209 (146) 24,207 Total asset-backed securities 113,126 (7,240) 105,886 23,296 (146) 129,036 Total MBS 14,119,738 (7,571) 14,112,167 270,722 (25,788) 14,357,101 Other State and local housing finance agency obligations 1,122,315 — 1,122,315 400 (23,210) 1,099,505 Total Held-to-maturity securities $ 15,242,053 $ (7,571) $ 15,234,482 $ 271,122 $ (48,998) $ 15,456,606 December 31, 2018 OTTI Gross Gross Amortized Recognized Carrying Unrecognized Unrecognized Fair Issued, guaranteed or insured: Cost (d) in AOCI Value Holding Gains (a) Holding Losses (a) Value Pools of Mortgages Fannie Mae $ 74,301 $ — $ 74,301 $ 4,355 $ — $ 78,656 Freddie Mac 13,673 — 13,673 953 — 14,626 Total pools of mortgages 87,974 — 87,974 5,308 — 93,282 Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits Fannie Mae 1,752,909 — 1,752,909 5,057 (6,642) 1,751,324 Freddie Mac 1,079,824 — 1,079,824 4,971 (3,069) 1,081,726 Ginnie Mae 11,610 — 11,610 181 — 11,791 Total CMOs/REMICs 2,844,343 — 2,844,343 10,209 (9,711) 2,844,841 Commercial Mortgage-Backed Securities (b) Fannie Mae 2,596,388 — 2,596,388 888 (37,525) 2,559,751 Freddie Mac 10,635,137 — 10,635,137 59,025 (65,374) 10,628,788 Total commercial mortgage-backed securities 13,231,525 — 13,231,525 59,913 (102,899) 13,188,539 Non-GSE MBS (c) CMOs/REMICs 6,158 (380) 5,778 327 (42) 6,063 Asset-Backed Securities (c) Manufactured housing (insured) 35,528 — 35,528 1,490 — 37,018 Home equity loans (insured) 69,583 (6,214) 63,369 24,940 (14) 88,295 Home equity loans (uninsured) 42,426 (4,467) 37,959 5,886 (472) 43,373 Total asset-backed securities 147,537 (10,681) 136,856 32,316 (486) 168,686 Total MBS 16,317,537 (11,061) 16,306,476 108,073 (113,138) 16,301,411 Other State and local housing finance agency obligations 1,168,350 — 1,168,350 202 (24,207) 1,144,345 Total Held-to-maturity securities $ 17,485,887 $ (11,061) $ 17,474,826 $ 108,275 $ (137,345) $ 17,445,756 (a) Unrecognized gross holding gains and losses represent the difference between fair value and carrying value. (b) Commercial mortgage-backed securities (CMBS) are Agency issued securities, collateralized by income-producing “multifamily properties”. Eligible property types include standard conventional multifamily apartments, affordable multifamily housing, seniors housing, student housing, military housing, and rural rent housing. As permitted by the new hedge accounting guidance effective January 1, 2019, the FHLBNY elected to transfer fixed-rate GSE-issued CMBS at amortized cost basis of $1.6 billion from HTM to AFS. (c) The amounts represent non-agency private-label mortgage- and asset-backed securities. (d) Amortized cost — For securities that were deemed to be OTTI, amortized cost represents unamortized cost less credit OTTI, net of credit OTTI reversed due to improvements in cash flows. Securities Pledged The FHLBNY had pledged MBS, with an amortized cost basis of $3.7 million at December 31, 2019 and $4.5 million at December 31, 2018, to the FDIC in connection with deposits maintained by the FDIC at the FHLBNY. The FDIC does not have rights to sell or repledge the collateral unless the FHLBNY defaults under the terms of its deposit arrangements with the FDIC. Unrealized Losses The fair values and gross unrealized holding losses are aggregated by major security type and by the length of time the individual securities have been in a continuous unrealized loss position. Unrealized losses represent the difference between fair value and amortized cost. The baseline measure of unrealized loss is amortized cost, which is not adjusted for non-credit OTTI. Total unrealized losses in these tables will not equal unrecognized holding losses in the Major Security Types tables. Unrealized losses are calculated after adjusting for credit OTTI. In the previous tables, unrecognized holding losses are adjusted for credit and non-credit OTTI. The following tables summarize held-to-maturity securities with estimated fair values below their amortized cost basis (in thousands): December 31, 2019 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 $ 124,654 $ (1) $ 216,241 $ (23,209) $ 340,895 $ (23,210) MBS Investment Securities MBS-GSE Fannie Mae 370,710 (335) 982,923 (4,167) 1,353,633 (4,502) Freddie Mac 1,922,472 (11,531) 1,688,774 (9,579) 3,611,246 (21,110) Total MBS-GSE 2,293,182 (11,866) 2,671,697 (13,746) 4,964,879 (25,612) MBS-Private-Label 21 — 9,325 (462) 9,346 (462) Total MBS 2,293,203 (11,866) 2,681,022 (14,208) 4,974,225 (26,074) Total $ 2,417,857 $ (11,867) $ 2,897,263 $ (37,417) $ 5,315,120 $ (49,284) December 31, 2018 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 $ 304,671 $ (29) $ 231,022 $ (24,178) $ 535,693 $ (24,207) MBS Investment Securities MBS-GSE Fannie Mae 1,212,164 (1,787) 2,134,166 (42,380) 3,346,330 (44,167) Freddie Mac 3,999,726 (14,431) 3,157,646 (54,012) 7,157,372 (68,443) Total MBS-GSE 5,211,890 (16,218) 5,291,812 (96,392) 10,503,702 (112,610) MBS-Private-Label 4,635 (24) 23,138 (600) 27,773 (624) Total MBS 5,216,525 (16,242) 5,314,950 (96,992) 10,531,475 (113,234) Total $ 5,521,196 $ (16,271) $ 5,545,972 $ (121,170) $ 11,067,168 $ (137,441) The FHLBNY’s investments in housing finance agency bonds reported gross unrealized losses of $23.2 million and $24.2 million at December 31, 2019 and 2018. Our analyses of the fair values of HFA bonds have concluded that the market is generally pricing our investments in the HFA bonds to the “AA municipal sector”. The bonds are performing to their contractual terms, and management has concluded that the gross unrealized losses on its housing finance agency bonds are temporary because the underlying collateral and credit enhancements are sufficient to protect the FHLBNY from losses based on current expectations. The credit enhancements may include additional support from Monoline Insurance, Reserve and investment funds allocated to the securities that may be used to make principal and interest payments in the event that the underlying loans pledged for these securities are not sufficient to make the necessary payments and the general obligation of the State issuing the bond. In January 2020, we concluded our evaluation under the CECL guidance, which we adopted effective January 1, 2020. A credit loss allowance of $0.8 million will be recorded effective January 1, 2020 as an adjustment to the amortized cost balance of housing finance agency bonds. We consider the amount to be immaterial to our financial condition, results of operations and cash flows. Redemption Terms Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment features. The amortized cost and estimated fair value of held-to-maturity securities, arranged by contractual maturity, were as follows (in thousands): December 31, 2019 December 31, 2018 Amortized Estimated Amortized Estimated Cost (a) Fair Value Cost (a) Fair Value State and local housing finance agency obligations Due in one year or less $ — $ — $ — $ — Due after one year through five years 9,770 9,781 20,300 20,194 Due after five years through ten years 36,810 36,250 27,670 27,228 Due after ten years 1,075,735 1,053,474 1,120,380 1,096,923 State and local housing finance agency obligations 1,122,315 1,099,505 1,168,350 1,144,345 Mortgage-backed securities Due in one year or less 613,863 619,948 369,989 367,636 Due after one year through five years 4,102,650 4,142,443 4,587,009 4,590,849 Due after five years through ten years 6,648,746 6,815,921 8,201,200 8,157,858 Due after ten years 2,754,479 2,778,789 3,159,339 3,185,068 Mortgage-backed securities 14,119,738 14,357,101 16,317,537 16,301,411 Total Held-to-maturity securities $ 15,242,053 $ 15,456,606 $ 17,485,887 $ 17,445,756 (a) Amortized cost is UPB after adjusting for net unamortized premiums of $72.5 million and $63.7 million (net of unamortized discounts) and before OTTI adjustments at December 31, 2019 and December 31, 2018. Interest Rate Payment Terms The following table summarizes interest rate payment terms of securities classified as held-to-maturity (in thousands): December 31, 2019 December 31, 2018 Amortized Carrying Amortized Carrying Cost Value Cost Value Mortgage-backed securities CMO Fixed $ 507,026 $ 506,695 $ 680,247 $ 679,867 Floating 1,788,297 1,788,297 2,169,384 2,169,384 Total CMO 2,295,323 2,294,992 2,849,631 2,849,251 CMBS Fixed 8,351,180 8,351,180 8,348,709 8,348,709 Floating 3,286,345 3,286,345 4,882,816 4,882,816 Total CMBS 11,637,525 11,637,525 13,231,525 13,231,525 Pass Thru (a) Fixed 171,889 164,649 204,281 193,601 Floating 15,001 15,001 32,100 32,099 Total Pass Thru 186,890 179,650 236,381 225,700 Total MBS 14,119,738 14,112,167 16,317,537 16,306,476 State and local housing finance agency obligations Fixed 5,525 5,525 6,770 6,770 Floating 1,116,790 1,116,790 1,161,580 1,161,580 Total State and local housing finance agency obligations 1,122,315 1,122,315 1,168,350 1,168,350 Total Held-to-maturity securities $ 15,242,053 $ 15,234,482 $ 17,485,887 $ 17,474,826 (a) Includes MBS supported by pools of mortgages. Impairment Analysis (OTTI) of GSE-issued and Private Label Mortgage-backed Securities The FHLBNY evaluates its individual securities issued by Fannie Mae, Freddie Mac and U.S. government agency, (collectively GSE-issued securities), by considering the creditworthiness and performance of the debt securities and the strength of the GSEs’ guarantees of the securities. Based on analysis, GSE-issued securities are performing in accordance with their contractual agreements, and we will recover our investments in GSE- issued securities given the current levels of collateral, credit enhancements and guarantees that exist to protect the investments. Management evaluates its investments in private-label MBS (PLMBS) for OTTI on a quarterly basis by performing cash flow tests on its entire portfolio of PLMBS. De minimis OTTI losses of $0.6 million and $0.1 million were recorded during 2019 and 2018. Based on cash flow testing, the Bank believes no material OTTI exists for the remaining investments. The Bank’s conclusion is also based upon multiple factors, but not limited to the expected performance of the underlying collateral, and the evaluation of the fundamentals of the issuers’ financial condition. Management has not made a decision to sell such securities at December 31, 2019, and has concluded that it will not be required to sell such securities before recovery of the amortized cost basis of the securities. In January 2020, we concluded our evaluation under the CECL guidance, which we adopted effective January 1, 2020. The CECL methodology was substantially unchanged for mortgage-backed securities from the (pre-CECL) OTTI methodology. No credit loss allowance was necessary for mortgage-backed securities as of January 1, 2020. The following table provides rollforward information about the cumulative credit losses and other components of OTTI that will be recognized in future periods as recoveries (in thousands): Years ended December 31, 2019 2018 2017 Beginning balance $ 16,584 $ 22,731 $ 29,117 Additional credit losses for which an OTTI charge was previously recognized 640 141 — Realized credit losses — (49) (269) Increases in cash flows expected to be collected, recognized over the remaining life of the securities (2,787) (6,239) (6,117) Ending balance $ 14,437 $ 16,584 $ 22,731 |
Advances.
Advances. | 12 Months Ended |
Dec. 31, 2019 | |
Advances. | |
Advances. | Note 9. Advances. The FHLBNY offers to its members a wide range of fixed- and adjustable-rate advance loan products with different maturities, interest rates, payment characteristics, and optionality. Redemption Terms Contractual redemption terms and yields of advances were as follows (dollars in thousands): December 31, 2019 December 31, 2018 Weighted (a) Weighted (a) Average Percentage Average Percentage Amount Yield of Total Amount Yield of Total Overdrawn demand deposit accounts $ — — % — % $ 4,282 3.35 % — % Due in one year or less 69,206,283 1.99 68.93 68,305,214 2.52 64.79 Due after one year through two years 8,727,277 2.16 8.69 18,019,447 2.46 17.09 Due after two years through three years 6,214,853 2.32 6.19 6,471,750 2.38 6.14 Due after three years through four years 3,032,507 2.68 3.02 3,505,420 2.61 3.32 Due after four years through five years 2,709,805 2.02 2.70 2,078,462 2.97 1.97 Thereafter 10,505,353 2.13 10.47 7,049,282 2.51 6.69 Total par value 100,396,078 2.06 % 100.00 % 105,433,857 2.51 % 100.00 % Hedge valuation basis adjustments (b) 299,163 (255,024) Total $ 100,695,241 $ 105,178,833 (a) 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. (b) Hedge valuation basis adjustments under ASC 815 hedges represent changes in the fair values of fixed-rate advances due to changes in designated benchmark rates. The FHLBNY's primary benchmark rate is LIBOR; the FHLBNY may also hedge to the OIS/FF index and OIS/SOFR index. Monitoring and Evaluating Credit Losses on Advances In June 2016, the FASB issued ASU 2016-13, Financial Instruments — Credit Losses (Topic 326). The ASU introduced a new accounting framework, Current Expected Credit Losses (CECL), which upon adoption on January 1, 2020, requires earlier recognition of credit losses. The FASB’s CECL framework utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses. In January 2020, we concluded our evaluation under the CECL guidance, which we adopted effective January 1, 2020. No credit loss allowance was necessary for advances as of January 1, 2020. Summarized below are the FHLBNY’s pre-CECL credit loss allowance methodology at December 31, 2019, which generally requires that a loss be incurred before it is recognized. The FHLBNY closely monitors the creditworthiness of the institutions to which it lends. The FHLBNY also closely monitors the quality and value of the assets that are pledged as collateral by its members. The FHLBNY’s members are required to pledge collateral to secure advances. 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. The FHLBNY has the right to take such steps, as it deems necessary to protect its secured position on outstanding advances, including requiring additional collateral (whether or not such additional collateral would otherwise be eligible to secure a loan; and the provision would benefit the FHLBNY in a scenario when a member defaults). The FHLBNY also has a statutory lien under the FHLBank Act on members’ capital stock, which serves as further collateral for members’ indebtedness to the FHLBNY. Credit Risk. The FHLBNY has policies and procedures in place to manage credit risk. There were no past due advances and all advances were current for all periods in this report. Management does not anticipate any credit losses, and accordingly, the FHLBNY has not provided an allowance for credit losses on advances. Potential credit risk from advances is concentrated in commercial banks, savings institutions, and insurance companies. Concentration of Advances Outstanding. Advances to the FHLBNY’s top ten borrowing member institutions are reported in Note 21. Segment Information and Concentration. The FHLBNY held sufficient collateral to cover the advances to all institutions and it does not expect to incur any credit losses. Advances borrowed by insurance companies accounted for 24.9% and 21.1% of total advances at December 31, 2019 and December 31, 2018. Lending to insurance companies poses a number of unique risks not present in lending to federally insured depository institutions. For example, there is no single federal regulator for insurance companies. They are supervised by state regulators and subject to state insurance codes and regulations. There is uncertainty about whether a state insurance commissioner would try to void the FHLBNY’s claims on collateral in the event of an insurance company failure. As with all members, insurance companies are also required to purchase the FHLBNY’s capital stock as a prerequisite to membership and borrowing activity. The FHLBNY’s management takes a number of steps to mitigate the unique risk of lending to insurance companies. At the time of membership, the FHLBNY requires an insurance company to be highly-rated and to meet the FHLBNY’s credit quality standards. The FHLBNY performs quarterly credit analysis of the insurance borrower. Insurance companies are required to successfully complete an on-site review prior to pledging collateral. Additionally, in order to ensure its position as a first priority secured creditor,FHLBNY typically requires insurance companies to place physical possession of all pledged eligible collateral with FHLBNY or deposit it with a third party custodian or control agent. Such collateral must meet the FHLBNY’s credit quality standards, with appropriate minimum margins applied. Security Terms . The FHLBNY lends to financial institutions involved in housing finance within its district. Borrowing members are required to purchase capital stock of the FHLBNY and pledge collateral for advances. As of December 31, 2019 and December 31, 2018, the FHLBNY had rights to collateral with an estimated value greater than outstanding advances. Based upon the financial condition of the member, the FHLBNY: (1) Allows a member to retain possession of the mortgage collateral pledged 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 custodial agent. Beyond these provisions, Section 10(e) of the FHLBank Act affords any security interest granted by a member to the FHLBNY’s priority over the claims or rights of any other party. The two exceptions are claims that would be entitled to priority under otherwise applicable law or perfected security interests. All member obligations with the FHLBNY were fully collateralized throughout their entire term. The total of collateral pledged to the FHLBNY includes excess collateral pledged above the minimum collateral requirements. However, a “Maximum Lendable Value” is established to ensure that the FHLBNY has sufficient eligible collateral securing credit extensions. |
Mortgage Loans Held-for-Portfol
Mortgage Loans Held-for-Portfolio. | 12 Months Ended |
Dec. 31, 2019 | |
Mortgage Loans Held-for-Portfolio. | |
Mortgage Loans Held-for-Portfolio. | Note 10. Mortgage Partnership Finance ® program loans, or (MPF ® ), are the mortgage loans held-for-portfolio. The FHLBNY participates in the MPF program by purchasing and originating conventional mortgage loans from its participating members, hereafter referred to as Participating Financial Institutions (PFI). The FHLBNY manages the liquidity, interest rate and prepayment option risk of the MPF loans, while the PFIs retain servicing activities, and may credit-enhance the portion of the loans participated to the FHLBNY. No intermediary trust is involved. The FHLBNY classifies mortgage loans as held for investment, and accordingly reports them at their principal amount outstanding net of unamortized premiums, discounts, and unrealized gains and losses from loans initially classified as mortgage loan commitments. The following table presents information on mortgage loans held-for-portfolio (dollars in thousands): December 31, 2019 December 31, 2018 Percentage of Percentage of Amount Total Amount Total Real Estate (a) : Fixed medium-term single-family mortgages $ 174,291 5.57 % $ 196,551 6.82 % Fixed long-term single-family mortgages 2,953,453 94.43 2,686,866 93.18 Total par value 3,127,744 100.00 % 2,883,417 100.00 % Unamortized premiums 46,442 45,451 Unamortized discounts (1,562) (1,761) Basis adjustment (b) 1,381 937 Total mortgage loans held-for-portfolio 3,174,005 2,928,044 Allowance for credit losses (653) (814) Total mortgage loans held-for-portfolio, net of allowance for credit losses $ 3,173,352 $ 2,927,230 (a) Conventional mortgages represent the majority of mortgage loans held-for-portfolio, with the remainder invested in FHA and VA insured loans (also referred to as government loans). (b) Balances represent unamortized fair value basis of closed delivery commitments. A basis adjustment is recorded at the settlement of the loan and it represents the difference in trade price paid for acquiring the loan and the price at the settlement date for a similar loan. The basis adjustment is amortized as a yield adjustment to Interest income. The FHLBNY and its members share the credit risk of MPF loans by structuring potential credit losses into layers. The first layer is typically 100 bps, but this varies with the particular MPF product. The amount of the first layer, or First Loss Account (FLA), was estimated at $40.2 million and $35.8 million at December 31, 2019 and December 31, 2018. The FLA is not recorded or reported as a reserve for loan losses, as it serves as a memorandum or information account. The FHLBNY is responsible for absorbing the first layer. The second layer is that amount of credit obligations that the PFI has agreed to assume at the “Master Commitment” level. The FHLBNY pays a credit enhancement fee to the PFI for taking on this obligation. The FHLBNY assumes all residual risk. Credit enhancement fees accrued were $2.5 million in 2019 and 2018, and $2.4 million in 2017. These fees were reported as a reduction to mortgage loan interest income. In terms of the credit enhancement waterfall, the MPF program structures potential credit losses on conventional MPF loans into layers on each loan pool as follows: (1) The first layer of protection against loss is the liquidation value of the real property securing the loan. (2) The next layer of protection comes from the primary mortgage insurance (PMI) that is required for loans with a loan-to-value ratio greater than 80% at origination. (3) Losses that exceed the liquidation value of the real property and any PMI will be absorbed by the FHLBNY, limited to the amount of the FLA available under the Master Commitment. For certain MPF products, the FHLBNY could recover previously absorbed losses by withholding future credit enhancement fees (CE Fees) otherwise payable to the PFI, and applying the amounts to recover losses previously absorbed. In effect, the FHLBNY may recover losses allocated to the FLA from CE Fees. The amount of CE Fees depends on the MPF product and the outstanding balances of loans funded in the Master Commitment. CE Fees payable (potentially available for loss recovery) will decline as the outstanding loan balances in the Master Commitment declines. (4) The second layer or portion of credit losses is incurred by the PFI and/or the Supplemental Mortgage Insurance (SMI) provider as follows: The PFI absorbs losses in excess of any FLA up to the amount of the PFI’s credit obligation amount and/or to the SMI provider for MPF 125 Plus products if the PFI has selected SMI coverage. (5) The third layer of losses is absorbed by the FHLBNY. Allowance Methodology for Mortgage Loan Losses In January 2020, we concluded our evaluation under the CECL guidance, which we adopted effective January 1, 2020. An additional credit loss allowance of $3.0 million will be recorded effective January 1, 2020 as a reduction to the amortized cost balance of mortgage loans. We consider the amount to be immaterial to our financial condition, results of operations and cash flows. Summarized below is the FHLBNY’s existing pre-CECL allowance methodology at December 31, 2019, which generally requires that a loss be incurred before it is recognized. Mortgage loans under the existing (pre-CECL) GAAP are considered impaired when, based on current information and events, it is probable that the FHLBNY will be unable to collect all principal and interest amounts due according to the contractual terms of the mortgage loan agreements. The FHLBNY considers a loan to be seriously delinquent when it is past due 90 days or more. The FHLBNY considers the occurrence of serious delinquency as a primary confirming event of a credit loss. Bankruptcy and foreclosures are also considered as confirming events. When a loan is seriously delinquent, or in bankruptcy or in foreclosure, the FHLBNY measures estimated credit losses on an individual loan basis by looking to the value of the real property collateral. For such loans, the FHLBNY believes it is probable that we will be unable to collect all contractual interest and principal in accordance with the terms of the loan agreement. For loans that have not been individually measured for estimated credit losses (i.e. they are not seriously delinquent, or in bankruptcy or in foreclosure), the FHLBNY measures estimated incurred credit losses on a collective basis and records a valuation reserve. When a loan is delinquent 180 days or more, the FHLBNY will charge-off the excess carrying value over the net realizable value of the loan because the FHLBNY deems that foreclosure is probable at 180 days delinquency. When the loan is foreclosed and the FHLBNY takes possession of real estate, the balance of the loan that has not been charged off is recorded as real estate owned at the lower of carrying value or net realizable value. Allowance for Credit Losses Allowances for credit losses have been recorded against the uninsured MPF loans. All other types of mortgage loans were insignificant and no allowances were necessary. The following table provides a rollforward analysis of the allowance for credit losses (in thousands): Years ended December 31, 2019 2018 2017 Allowance for credit losses: Beginning balance $ 814 $ 992 $ 1,554 Charge-offs (19) (172) (580) Recoveries — 365 305 Provision (Reversal) for credit losses on mortgage loans (142) (371) (287) Ending balance $ 653 $ 814 $ 992 December 31, 2019 2018 2017 Ending balance, individually evaluated for impairment 160 $ 238 $ 210 Ending balance, collectively evaluated for impairment 493 576 782 Total Allowance for credit losses $ 653 $ 814 $ 992 The FHLBNY’s total MPF loans and impaired MPF loans were as follows (in thousands): December 31, 2019 December 31, 2018 Total Mortgage loans, carrying values net of allowance for credit losses (a) $ 3,173,352 $ 2,927,230 Non-performing mortgage loans - Conventional (a)(b) $ 6,899 $ 8,453 Insured MPF loans past due 90 days or more and still accruing interest (a)(b) $ 3,935 $ 5,501 (a) Includes loans classified as special mention, sub-standard, doubtful or loss under regulatory criteria, net of amounts charged-off if delinquent for 180 days or more. (b) Data in this table represents UPB, and would not agree to data reported in other tables at “recorded investment,” which includes interest receivable. The following summarizes the recorded investment in impaired loans (excluding insured FHA/VA loans), the unpaid principal balance, and the related allowance (individually assessed), and the average recorded investment of loans for which the related allowance was individually measured (in thousands): December 31, 2019 Unpaid Average Recorded Principal Related Recorded Investment Balance Allowance Investment (d) Conventional MPF Loans (a)(c) No related allowance (b) $ 9,061 $ 9,025 $ — $ 10,169 With a related allowance 1,412 1,408 160 987 Total individually measured for impairment $ 10,473 $ 10,433 $ 160 $ 11,156 December 31, 2018 Unpaid Average Recorded Principal Related Recorded Investment Balance Allowance Investment (d) Conventional MPF Loans (a)(c) No related allowance (b) $ 10,507 $ 10,443 $ — $ 12,681 With a related allowance 993 974 238 1,161 Total individually measured for impairment $ 11,500 $ 11,417 $ 238 $ 13,842 (a) Based on analysis of the nature of risks of the FHLBNY’s investments in MPF loans, including its methodologies for identifying and measuring impairment, management has determined that presenting such loans as a single class is appropriate. (b) Collateral values, net of estimated costs to sell, exceeded the recorded investments in impaired loans and no allowances were deemed necessary. (c) Interest received is not recorded as Interest income if an uninsured loan is past due 90 days or more. Cash received is recorded as a liability on the assumption that cash was remitted by the servicer to the FHLBNY that could potentially be recouped by the borrower in a foreclosure. (d) Represents the average recorded investment for the twelve months ended December 31, 2019 and 2018. The following tables summarize the recorded investment, the unpaid principal balance, and the average recorded investment of loans for which the related allowance was collectively measured (in thousands): December 31, 2019 Unpaid Average Recorded Principal Related Recorded Investment Balance Allowance Investment (a) Collectively measured for impairment Insured loans $ 222,266 $ 217,000 $ — $ 227,695 Uninsured loans 2,956,793 2,900,311 493 2,794,030 Total loans collectively measured for impairment $ 3,179,059 $ 3,117,311 $ 493 $ 3,021,725 December 31, 2018 Unpaid Average Recorded Principal Related Recorded Investment Balance Allowance Investment (a) Collectively measured for impairment Insured loans $ 233,064 $ 227,268 $ — $ 237,144 Uninsured loans 2,697,827 2,644,732 576 2,660,060 Total loans collectively measured for impairment $ 2,930,891 $ 2,872,000 $ 576 $ 2,897,204 (a) Represents the average recorded investment for the twelve months ended December 31,2019 and 2018. Recorded investments in MPF loans that were past due, and real estate owned are summarized below. Recorded investment, which includes accrued interest receivable, would not equal carrying values reported elsewhere (dollars in thousands): December 31, 2019 December 31, 2018 Conventional Insured Conventional Insured MPF Loans Loans MPF Loans Loans Mortgage loans: Past due 30 - 59 days $ 15,775 $ 11,418 $ 17,635 $ 12,724 Past due 60 - 89 days 3,424 2,611 2,683 3,025 Past due 90 - 179 days 1,742 1,391 1,169 1,663 Past due 180 days or more 5,177 2,756 7,316 4,216 Total past due 26,118 18,176 28,803 21,628 Total current loans 2,941,148 204,090 2,680,524 211,436 Total mortgage loans $ 2,967,266 $ 222,266 $ 2,709,327 $ 233,064 Other delinquency statistics: Loans in process of foreclosure, included above $ 4,198 $ 2,408 $ 5,149 $ 3,343 Number of foreclosures outstanding at period end 31 14 37 27 Serious delinquency rate (a) 0.24 % 1.87 % 0.31 % 2.52 % Serious delinquent loans total used in calculation of serious delinquency rate $ 7,223 $ 4,147 $ 8,525 $ 5,879 Past due 90 days or more and still accruing interest $ — $ 4,147 $ — $ 5,879 Loans on non-accrual status $ 6,919 $ — $ 8,485 $ — Troubled debt restructurings: Loans discharged from bankruptcy (b) $ 7,711 $ 1,028 $ 7,398 $ 823 Modified loans under MPF® program $ 1,138 $ — $ 1,423 $ — Real estate owned $ 293 $ 767 (a) Serious delinquency rate is defined as recorded investments in loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of total loan class. (b) Loans discharged from Chapter 7 bankruptcies are considered as TDRs. |
Deposits.
Deposits. | 12 Months Ended |
Dec. 31, 2019 | |
Deposits. | |
Deposits. | Note 11. The FHLBNY accepts demand, overnight and term deposits from its members. Also, a member that services mortgage loans may deposit funds collected in connection with the mortgage loans as a pending disbursement to the owners of the mortgage loans. The following table summarizes deposits (in thousands): December 31, 2019 December 31, 2018 Interest-bearing deposits Interest-bearing demand $ 1,144,519 $ 1,002,587 Term (a) 15,000 40,000 Total interest-bearing deposits 1,159,519 1,042,587 Non-interest-bearing demand 34,890 20,050 Total deposits (b) $ 1,194,409 $ 1,062,637 (a) Term deposits were for periods of one year or less. (b) Specific disclosures about deposits that exceed FDIC limits have been omitted as deposits are not insured by the FDIC. Deposits are received in the ordinary course of the FHLBNY’s business. The FHLBNY has pledged securities to the FDIC to collateralize deposits maintained at the FHLBNY by the FDIC; for more information, see Securities Pledged in Note 8. Held-to-Maturity Securities. Interest rate payment terms for deposits are summarized below (dollars in thousands): December 31, 2019 December 31, 2018 Amount Average Interest Amount Average Interest Outstanding Rate (b) Outstanding Rate (b) Due in one year or less Interest-bearing deposits (a) $ 1,159,519 2.03 % $ 1,042,587 1.73 % Non-interest-bearing deposits 34,890 20,050 Total deposits $ 1,194,409 $ 1,062,637 (a) Primarily adjustable rate. (b) The weighted average interest rate is calculated based on the average balance. |
Consolidated Obligations.
Consolidated Obligations. | 12 Months Ended |
Dec. 31, 2019 | |
Consolidated Obligations. | |
Consolidated Obligations. | Note 12. The FHLBanks have joint and several liability for all the Consolidated obligations issued on their behalf (for more information, see Note 19. Commitments and Contingencies). Consolidated obligations consist of bonds and discount notes. The FHLBanks issue Consolidated obligations through the Office of Finance as their fiscal agent. In connection with each debt issuance, a FHLBank specifies the amount of debt it wants issued on its behalf. The Office of Finance tracks the amount of debt issued on behalf of each FHLBank. Each FHLBank separately tracks and records as a liability for its specific portion of Consolidated obligations for which it is the primary obligor. Consolidated obligation bonds (CO bonds or Consolidated bonds) are issued primarily to raise intermediate- and long-term funds for the FHLBanks and are not subject to any statutory or regulatory limits on maturity. Consolidated obligation discount notes (CO discount notes, Discount notes, or Consolidated discount notes) are issued primarily to raise short-term funds. Discount notes sell at less than their face amount and are redeemed at par value when they mature. The following table summarizes carrying amounts of Consolidated obligations issued by the FHLBNY and outstanding at December 31, 2019 and December 31, 2018 (in thousands): December 31, 2019 December 31, 2018 Consolidated obligation bonds-amortized cost $ 78,179,661 $ 83,764,337 Hedge valuation basis adjustments 377,000 238,150 Hedge basis adjustments on de-designated hedges 139,605 131,497 FVO - valuation adjustments and accrued interest 67,043 19,792 Total Consolidated obligation bonds $ 78,763,309 $ 84,153,776 Discount notes-amortized cost $ 73,955,552 $ 50,631,066 Hedge value basis adjustments (105) — FVO - valuation adjustments and remaining accretion 3,758 9,172 Total Consolidated obligation discount notes $ 73,959,205 $ 50,640,238 Redemption Terms of Consolidated Obligation Bonds The following table is a summary of carrying amounts of Consolidated obligation bonds outstanding by year of maturity (dollars in thousands): December 31, 2019 December 31, 2018 Weighted Weighted Average Percentage Average Percentage Maturity Amount Rate (a) of Total Amount Rate (a) of Total One year or less $ 62,319,595 1.77 % 79.79 % $ 64,893,475 2.29 % 77.48 % Over one year through two years 4,061,125 2.10 5.20 7,555,545 2.38 9.02 Over two years through three years 2,817,715 2.22 3.61 2,586,325 2.48 3.09 Over three years through four years 1,538,835 2.69 1.97 2,181,750 2.39 2.60 Over four years through five years 1,240,735 2.60 1.58 1,435,235 2.73 1.71 Thereafter 6,130,800 3.34 7.85 5,105,650 3.45 6.10 Total par value 78,108,805 1.96 % 100.00 % 83,757,980 2.39 % 100.00 % Bond premiums (b) 95,560 42,647 Bond discounts (b) (24,704) (36,290) Hedge valuation basis adjustments (c) 377,000 238,150 Hedge basis adjustments on de-designated hedges (d) 139,605 131,497 FVO (e) - valuation adjustments and accrued interest 67,043 19,792 Total Consolidated obligation-bonds $ 78,763,309 $ 84,153,776 (a) Weighted average rate represents the weighted average contractual coupons of bonds, unadjusted for swaps. (b) Amortization of CO bond premiums and discounts are recorded in interest expense as yield adjustments. (c) Hedge valuation basis adjustments under ASC 815 fair value hedges represent changes in the fair values of fixed-rate CO bonds due to changes in the designated benchmark rate. LIBOR is the primary benchmark index; the FHLBNY may also hedge to the FF/OIS index and the FF/SOFR index. (d) Hedge basis adjustments on de-designated hedges represent the unamortized balances of valuation basis of fixed-rate CO bonds that were previously in a fair value hedging relationship. Generally, when a hedging relationship is de-designated, the valuation basis is no longer adjusted for changes in the valuation of the debt for changes in the benchmark rate; instead, the basis is amortized over the debt’s remaining life, so that at maturity of the debt the unamortized basis is reversed to zero. (e) Valuation adjustments represent changes in the entire fair values of CO bonds elected under the FVO. Interest Rate Payment Terms The following table summarizes par amounts of major types of Consolidated obligation bonds issued and outstanding (dollars in thousands): December 31, 2019 December 31, 2018 Percentage Percentage Amount of Total Amount of Total Fixed-rate, non-callable $ 32,588,805 41.72 % $ 22,745,980 27.16 % Fixed-rate, callable 4,803,000 6.15 4,966,000 5.93 Step Up, callable 15,000 0.02 880,000 1.05 Single-index floating rate 40,702,000 52.11 55,166,000 65.86 Total par value $ 78,108,805 100.00 % $ 83,757,980 100.00 % Discount Notes Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are Consolidated obligations with original maturities of up to one year. These notes are issued at less than their face amount and redeemed at par when they mature. The FHLBNY’s outstanding Consolidated obligation discount notes were as follows (dollars in thousands): December 31, 2019 December 31, 2018 Par value $ 74,094,586 $ 50,805,481 Amortized cost $ 73,955,552 $ 50,631,066 Hedge value basis adjustments (105) — FVO (a) - valuation adjustments and remaining accretion 3,758 9,172 Total discount notes $ 73,959,205 $ 50,640,238 Weighted average interest rate 1.60 % 2.34 % (a) Valuation adjustments represent changes in the entire fair values of discount notes elected under the FVO. |
Affordable Housing Program.
Affordable Housing Program. | 12 Months Ended |
Dec. 31, 2019 | |
Affordable Housing Program. | |
Affordable Housing Program. | Note 13. Affordable Housing Program. The FHLBNY charges the amount allocated for the Affordable Housing Program (AHP) to income and recognizes it as a liability. The FHLBNY relieves the AHP liability as members use the subsidies. The following table provides rollforward information with respect to changes in Affordable Housing Program liabilities (in thousands): Years ended December 31, 2019 2018 2017 Beginning balance $ 161,718 $ 131,654 $ 125,062 Additions from current period’s assessments 52,552 62,382 53,417 Net disbursements for grants and programs (60,376) (32,318) (46,825) Ending balance $ 153,894 $ 161,718 $ 131,654 |
Capital Stock, Mandatorily Rede
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | 12 Months Ended |
Dec. 31, 2019 | |
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | |
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. The FHLBanks, including the FHLBNY, have a cooperative structure. To access the FHLBNY’s products and services, a financial institution must be approved for membership and purchase capital stock in the FHLBNY. A member’s stock requirement is generally based on its use of FHLBNY products, subject to a minimum membership requirement as prescribed by the FHLBank Act and the FHLBNY’s Capital Plan. FHLBNY stock can be issued, exchanged, redeemed and repurchased only at its stated par value of $100 per share. It is not publicly traded. An option to redeem capital stock that is greater than a member’s minimum requirement is held by both the member and the FHLBNY. The FHLBNY’s Capital Plan offers two sub-classes of Class B capital stock , membership and activity-based capital stock, and members can redeem Class B stock by giving five years notice. The FHLBNY’s Class B capital stock issued and outstanding was $5.8 billion and $6.1 billion at December 31, 2019 and 2018. Membership and Activity-based Class B capital stocks have the same voting rights and dividend rates. (See Statements of Capital): · Membership stock is issued to meet membership stock purchase requirements. The FHLBNY requires member institutions to maintain membership stock based on a percentage of the member’s mortgage-related assets. The current capital stock purchase requirement for membership is 12.5 basis points. In addition, notwithstanding this requirement, the FHLBNY introduced a $100 million cap on membership stock per member effective January 1, 2019. · Activity based stock is issued on a percentage of outstanding balances of advances, MPF loans and certain commitments. The FHLBNY’s current capital plan requires a stock purchase of 4.5% of the member’s borrowed amount. Excess activity-based capital stock is repurchased daily. The FHLBNY is subject to risk-based capital rules of the Finance Agency, the regulator of the FHLBanks. Specifically, the FHLBNY is subject to three capital requirements under its capital plan. First, the FHLBNY must maintain at all times permanent capital in an amount at least equal to the sum of its credit risk, market risk, and operations risk capital requirements as calculated in accordance with the FHLBNY policy, and rules and regulations of the Finance Agency. Only permanent capital, defined as Class B stock and retained earnings, satisfies this risk-based capital requirement. The capital plan does not provide for the issuance of Class A capital stock. The Finance Agency may require the FHLBNY to maintain an amount of permanent capital greater than what is required by the risk-based capital requirements. Second, the FHLBNY is required to maintain at least a 4.0% total capital-to-asset ratio; and third, the FHLBNY will maintain at least a 5.0% leverage ratio at all times. The FHFA’s regulatory leverage ratio is defined as the sum of permanent capital weighted 1.5 times and non-permanent capital weighted 1.0 times divided by total assets. The FHLBNY was in compliance with the aforementioned capital rules and requirements for all periods presented, and met the “adequately capitalized” classification, which is the highest rating, under the capital rule. However, the Finance Agency has discretion to reclassify a FHLBank and to modify or add to the corrective action requirements for a particular capital classification. The Director of the Finance Agency has discretion to add to or modify the corrective action requirements for each capital classification other than adequately capitalized if the Director of the Finance Agency determines that such action is necessary to ensure the safe and sound operation of the FHLBank and the FHLBank’s compliance with its risk-based and minimum capital requirements. The following describes each capital classification and its related corrective action requirements, if any. · Adequately capitalized . A FHLBank is adequately capitalized if it has sufficient permanent and total capital to meet or exceed its risk-based and minimum capital requirements. FHLBanks that are adequately capitalized have no corrective action requirements. · Undercapitalized. A FHLBank is undercapitalized if it does not have sufficient permanent or total capital to meet one or more of its risk-based and minimum capital requirements, but such deficiency is not large enough to classify the FHLBank as significantly undercapitalized or critically undercapitalized. A FHLBank classified as undercapitalized must submit a capital restoration plan that conforms with regulatory requirements to the Director of the Finance Agency for approval, execute the approved plan, suspend dividend payments and excess stock redemptions or repurchases, and not permit growth of its average total assets in any calendar quarter beyond the average total assets of the preceding quarter unless otherwise approved by the Director of the Finance Agency. · Significantly undercapitalized. A FHLBank is significantly undercapitalized if either (1) the amount of permanent or total capital held by the FHLBank is less than 75% of any one of its risk-based or minimum capital requirements, but such deficiency is not large enough to classify the FHLBank as critically undercapitalized or (2) an undercapitalized FHLBank fails to submit or adhere to a Finance Agency Director-approved capital restoration plan in conformance with regulatory requirements. A FHLBank classified as significantly undercapitalized must submit a capital restoration plan that conforms with regulatory requirements to the Director of the Finance Agency for approval, execute the approved plan, suspend dividend payments and excess stock redemptions or repurchases, and is prohibited from paying a bonus to or increasing the compensation of its executive officers without prior approval of the Director of the Finance Agency. · Critically undercapitalized. A FHLBank is critically undercapitalized if either (1) the amount of total capital held by the FHLBank is less than two percent of the FHLBank’s total assets or (2) a significantly undercapitalized FHLBank fails to submit or adhere to a Finance Agency Director-approved capital restoration plan in conformance with regulatory requirements. The Director of the Finance Agency may place a FHLBank in conservatorship or receivership. A FHLBank will be placed in mandatory receivership if (1) the assets of a FHLBank are less than its obligations during a 60-day period or (2) the FHLBank has not being paying its debts on a regular basis, or during a 60-day period. Until such time the Finance Agency is appointed as conservator or receiver for a critically undercapitalized FHLBank, the FHLBank is subject to all mandatory restrictions and obligations applicable to a significantly undercapitalized FHLBank. Each required capital restoration plan must be submitted within 15 business days following notice from the Director of the Finance Agency unless an extension is granted and is subject to the Director of the Finance Agency’s review and must set forth a plan to restore permanent and total capital levels to levels sufficient to fulfill its risk-based and minimum capital requirements. The Director of the Finance Agency has discretion to add to or modify the corrective action requirements for each capital classification other than adequately capitalized if the Director of the Finance Agency determines that such action is necessary to ensure the safe and sound operation of the FHLBank and the FHLBank’s compliance with its risk-based and minimum capital requirements. Further, the Capital Rule provides the Director of the Finance Agency discretion to reclassify a FHLBank’s capital classification if the Director of the Finance Agency determines that: · The FHLBank is engaging in conduct that could result in the rapid depletion of permanent or total capital; · The value of collateral pledged to the FHLBank has decreased significantly; · The value of property subject to mortgages owned by the FHLBank has decreased significantly; · The FHLBank is in an unsafe and unsound condition following notice to the FHLBank and an informal hearing before the Director of the Finance Agency; or · The FHLBank is engaging in an unsafe and unsound practice because the FHLBank’s asset quality, management, earnings, or liquidity were found to be less than satisfactory during the most recent examination, and such deficiency has not been corrected. If the FHLBNY became classified into a capital classification other than adequately capitalized, the FHLBNY could be adversely impacted by the corrective action requirements for that capital classification. Risk-based Capital — The following table summarizes the FHLBNY’s risk-based capital ratios (dollars in thousands): December 31, 2019 December 31, 2018 Required (d) Actual Required (d) Actual Regulatory capital requirements: Risk-based capital (a)(e) $ 1,107,356 $ 7,584,829 $ 797,783 $ 7,765,726 Total capital-to-asset ratio 4.00 % 4.68 % 4.00 % 5.38 % Total capital (b) $ 6,482,481 $ 7,584,829 $ 5,775,256 $ 7,765,726 Leverage ratio 5.00 % 7.02 % 5.00 % 8.07 % Leverage capital (c) $ 8,103,101 $ 11,377,244 $ 7,219,070 $ 11,648,589 (a) Actual “Risk-based capital” is capital stock and retained earnings plus mandatorily redeemable capital stock. Section 1277.3 of the Finance Agency’s regulations (superseding section 932.2 effective January 1, 2020) also refers to this amount as “Permanent Capital.” (b) Required “Total capital” is 4.0% of total assets. (c) The required leverage ratio of total capital to total assets should be at least 5.0%. For the purposes of determining the leverage ratio, total capital shall be computed by multiplying the Bank’s Permanent Capital by 1.5. (d) Required minimum. (e) Under regulatory guidelines issued by the Finance Agency in August 2011 that was consistent with guidance provided by other federal banking agencies with respect to capital rules, risk weights are maintained at AAA for U.S. Treasury securities and other securities issued or guaranteed by the U.S. Government, government agencies, and government-sponsored entities for purposes of calculating risk-based capital. Mandatorily Redeemable Capital Stock Generally, the FHLBNY’s capital stock is redeemable at the option of either the member or the FHLBNY subject to certain conditions, including the provisions under the accounting guidance for certain financial instruments with characteristics of both liabilities and equity. In accordance with the accounting guidance, the FHLBNY generally reclassifies the stock subject to redemption from equity to a liability once a member irrevocably exercises a written redemption right, gives notice of intent to withdraw from membership, or attains non-member status by merger or acquisition, charter termination, or involuntary termination from membership. Under such circumstances, the member shares will then meet the definition of a mandatorily redeemable financial instrument. Estimated redemption periods were as follows (in thousands): December 31, 2019 December 31, 2018 Redemption less than one year $ 835 $ 229 Redemption from one year to less than three years 371 1,068 Redemption from three years to less than five years 402 425 Redemption from five years or greater 3,521 4,123 Total $ 5,129 $ 5,845 The following table provides rollforward information with respect to changes in mandatorily redeemable capital stock liabilities (in thousands): Years ended December 31, 2019 2018 2017 Beginning balance $ 5,845 $ 19,945 $ 31,435 Capital stock subject to mandatory redemption reclassified from equity 4,184 8,756 3,009 Redemption of mandatorily redeemable capital stock (a) (4,900) (22,856) (14,499) Ending balance $ 5,129 $ 5,845 $ 19,945 Accrued interest payable (b) $ 84 $ 112 $ 305 (a) Redemption includes repayment of excess stock. (b) The annualized accrual rates for the three months ended December 31, 2019, 2018 and 2017 were 6.35%, 6.90% and 6.00%. Accrual rates are based on estimated dividend rates. Restricted Retained Earnings Under the FHLBank Joint Capital Enhancement Agreement (Capital Agreement), each FHLBank is required to set aside 20% of its Net income each quarter to a restricted retained earnings account until the balance of that account equals at least one percent of that FHLBank’s average balance of outstanding Consolidated obligations. The Capital Agreement is intended to enhance the capital position of each FHLBank. These restricted retained earnings will not be available to pay dividends. Retained earnings included $685.8 million and $591.3 million as restricted retained earnings in the FHLBNY’s Total Capital at December 31, 2019 and December 31, 2018. |
Earnings Per Share of Capital.
Earnings Per Share of Capital. | 12 Months Ended |
Dec. 31, 2019 | |
Earnings Per Share of Capital. | |
Earnings Per Share of Capital. | Note 15. Earnings Per Share of Capital. The FHLBNY has a single class of capital stock, and earnings per share computation is for the Class B capital stock. The following table sets forth the computation of earnings per share. Basic and diluted earnings per share of capital are the same. The FHLBNY has no dilutive potential common shares or other common stock equivalents (dollars in thousands except per share amounts): Years ended December 31, 2019 2018 2017 Net income $ 472,588 $ 560,478 $ 479,469 Net income available to stockholders $ 472,588 $ 560,478 $ 479,469 Weighted average shares of capital 55,511 61,798 62,800 Less: Mandatorily redeemable capital stock (60) (140) (215) Average number of shares of capital used to calculate earnings per share 55,451 61,658 62,585 Basic earnings per share $ 8.52 $ 9.09 $ 7.66 |
Employee Retirement Plans.
Employee Retirement Plans. | 12 Months Ended |
Dec. 31, 2019 | |
Employee Retirement Plans. | |
Employee Retirement Plans. | Note 16. Employee Retirement Plans. The FHLBNY participates in the Pentegra Defined Benefit Plan for Financial Institutions (Pentegra DB Plan), a tax-qualified, defined-benefit multiemployer pension plan that covers all FHLBNY officers and employees. The FHLBNY also participates in the Pentegra Defined Contribution Plan for Financial Institutions, a tax-qualified defined contribution plan. The FHLBNY offers two non-qualified Benefit Equalization Plans, which are retirement plans. The two plans restore defined benefits for those employees who have had their qualified Defined Benefit Plan and their Defined Contribution Plan limited by IRS regulations. The non-qualified BEP that restores benefits to participant’s Defined Contribution Plan was introduced and became effective at January 1, 2017. The two non-qualified Benefit Equalization Plans (BEP) are unfunded. Retirement Plan Expenses — Summary The following table presents employee retirement plan expenses for the periods ended (in thousands): Years ended December 31, 2019 2018 2017 Defined Benefit Plan $ 9,976 $ 10,066 $ 7,455 Benefit Equalization Plans (defined benefit and defined contribution) 7,613 6,838 5,705 Defined Contribution Plans 2,501 2,329 2,122 Postretirement Health Benefit Plan (230) (1,145) (86) (a) Total retirement plan expenses $ 19,860 $ 18,088 $ 15,196 (a) Prior period number has been adjusted by immaterial amount. Pentegra DB Plan Net Pension Cost and Funded Status The Pentegra DB Plan operates as a multiemployer plan for accounting purposes and as a multiple-employer plan under the Employee Retirement Income Security Act of 1974 (ERISA) and the Internal Revenue Code. As a result, certain multiemployer plan disclosures, including the certified zone status, are not applicable to the Pentegra DB Plan. Typically, multiemployer plans contain provisions for collective bargaining arrangements. There are no collective bargaining agreements in place at any of the FHLBanks (including the FHLBNY) that participate in the plan. Under the Pentegra DB Plan, contributions made by a participating employer may be used to provide benefits to employees of other participating employers because assets contributed by an employer are not segregated in a separate account or restricted to provide benefits only to employees of that employer. In addition, in the event a participating employer is unable to meet its contribution requirements, the required contributions for the other participating employers could increase proportionately. If an employee transfers employment to the FHLBNY, and the employee was a participant in the Pentegra Benefit Plan with another employer, the FHLBNY is responsible for the entire benefit. At the time of transfer, the former employer will transfer assets to the FHLBNY’s plan, in the amount of the liability for the accrued benefit. The Pentegra DB Plan operates on a fiscal year from July 1 through June 30, and files one Form 5500 on behalf of all employers who participate in the plan. The Employer Identification Number is 13-5645888 and the three-digit plan number is 333. The Pentegra DB Plan’s annual valuation process includes calculating the plan’s funded status, and separately calculating the funded status of each participating employer. The funded status is defined as the market value of assets divided by the funding target (100 percent of the present value of all benefit liabilities accrued at that date). As permitted by ERISA, the Pentegra DB Plan accepts contributions for the prior plan year up to eight and a half months after the asset valuation date. As a result, the market value of assets at the valuation date (July 1) may increase by any subsequent contributions designated for the immediately preceding plan year ended June 30. The following table presents multiemployer plan disclosure for the three years ended December 31, (dollars in thousands): 2019 2018 2017 Net pension cost charged to compensation and benefit expense for the year ended December 31 $ 9,976 $ 10,066 $ 7,455 Contributions allocated to plan year ended June 30 $ 9,696 $ 10,158 $ 7,409 (a) Pentegra DB Plan funded status as of July 1 (b) 108.59 % 109.86 % 111.30 % FHLBNY's funded status as of July 1 (c) 108.67 % 114.77 % 115.79 % (a) Contributions by the FHLBNY were not more than 5% of the total contribution made to the multi-employer plan by all participants for the plan year ended June 30 of the prior year. The most recent Form 5500 available for the Pentegra DB Plan is for the plan year ended June 30, 2018. (b) Funded status is based on actuarial valuation of the Pentegra DB Plan, and includes all participants allocated to plan years and known at the time of the preparation of the actuarial valuation. The funded status may increase because the plan’s participants are permitted to make contributions through March 15 of the following year. Funded status remains preliminary until the Form 5500 is filed no later than April 15, 2020 for the plan year ended June 30, 2019. For information with respect to contributions expensed by the FHLBNY, see previous Table — Retirement Plan Expenses Summary. Contributions include minimum required under ERISA that are prepaid for the fiscal plan year that ends at June 30 in the following year, and as a result contributions may not equal amounts expensed. (c) Based on cash contributions made through December 31, 2019 and allocated to the DB Plan year(s). The funded status may increase because the FHLBNY is permitted to make contributions through March 15 of the following year. Benefit Equalization Plan (BEP) The BEP restores defined benefits for those employees who have had their qualified defined benefits limited by IRS regulations. The method for determining the accrual expense and liabilities of the plan is the Projected Unit Credit Accrual Method. Under this method, the liability of the plan is composed mainly of two components, Projected Benefit Obligation (PBO) and Service Cost accruals. The total liability is determined by projecting each person’s expected plan benefits. These projected benefits are then discounted to the measurement date. Finally, the liability is allocated to service already worked (PBO) and service to be worked (Service Cost). There were no plan assets (this is an unfunded plan) that have been designated for the BEP plan. The accrued pension costs for the BEP plan were as follows (in thousands): December 31, 2019 2018 Accumulated benefit obligation $ 67,274 $ 52,288 Effect of future salary increases 11,032 10,819 Projected benefit obligation 78,306 63,107 Unrecognized prior service (cost)/credit (1,548) — Unrecognized net (loss)/gain (31,954) (22,980) Accrued pension cost $ 44,804 $ 40,127 Components of the projected benefit obligation for the BEP plan were as follows (in thousands): December 31, 2019 2018 Projected benefit obligation at the beginning of the year $ 63,107 $ 63,089 Service cost 1,265 1,095 Interest cost 2,544 2,155 Benefits paid (2,011) (1,824) Actuarial loss/(gain) (a) 11,853 (1,408) Plan amendments 1,548 — Projected benefit obligation at the end of the year $ 78,306 $ 63,107 The measurement date used to determine projected benefit obligation for the BEP plan was December 31 in each of the two years. (a) Actuarial loss of $11.9 million in 2019 was primarily due to decline in discount rate and unfavorable change in demographic experience, partly offset by favorable changes in mortality assumptions. Amounts recognized in AOCI for the BEP plan were as follows (in thousands): December 31, 2019 2018 Net loss/(gain) $ 31,954 $ 22,980 Prior service cost /(credit) 1,548 — Accumulated other comprehensive loss/(gain) $ 33,502 $ 22,980 Changes in the BEP plan assets were as follows (in thousands): December 31, 2019 2018 Fair value of the plan assets at the beginning of the year $ — $ — Employer contributions 2,011 1,824 Benefits paid (2,011) (1,824) Fair value of the plan assets at the end of the year $ — $ — Components of the net periodic pension cost for the defined benefit component of the BEP were as follows (in thousands): Years ended December 31, 2019 2018 2017 Service cost $ 1,265 $ 1,095 $ 888 Interest cost 2,544 2,155 2,093 Amortization of unrecognized net loss 2,879 3,545 2,554 Net periodic benefit cost - Defined Benefit BEP 6,688 6,795 5,535 Benefit Equalization plans - Thrift and Deferred incentive compensation plans (introduced in 2017) 925 43 170 Total $ 7,613 $ 6,838 $ 5,705 Other changes in benefit obligations recognized in AOCI were as follows (in thousands): December 31, 2019 2018 Net loss/(gain) $ 11,853 $ (1,408) Prior service cost /(credit) 1,548 — Amortization of net (loss)/gain (2,879) (3,545) Total recognized in other comprehensive loss/(income) $ 10,522 $ (4,953) Total recognized in net periodic benefit cost and other comprehensive income $ 17,210 $ 1,842 The net transition obligation (asset), prior service cost (credit), and the estimated net loss (gain) for the BEP plan that are expected to be amortized from AOCI into net periodic benefit cost over the next fiscal year are shown in the table below (in thousands): December 31, 2020 Expected amortization of net loss/(gain) $ 4,561 Expected amortization of past service cost /(credit) $ 697 Key assumptions and other information for the actuarial calculations to determine benefit obligations for the BEP plan were as follows (dollars in thousands): December 31, 2019 December 31, 2018 December 31, 2017 Discount rate (a) 3.05 % 4.10 % 3.47 % Salary increases 4.50 % 4.50 % 4.50 % Amortization period (years) 5 6 6 Benefits paid during the period $ (2,011) $ (1,824) $ (1,788) (a) The discount rates were based on the Citigroup Pension Liability Index at December 31, adjusted for duration in each of the three years. Future BEP plan benefits to be paid were estimated to be as follows (in thousands): Years Payments 2020 $ 2,651 2021 2,968 2022 3,202 2023 3,455 2024 3,668 2025-2029 21,704 Total $ 37,648 The net periodic benefit cost for 2020 is expected to be $9.2 million ($6.7 million in 2019). Postretirement Health Benefit Plan The Retiree Medical Benefit Plan (the Plan) is for retired employees and for employees who are eligible for retirement benefits. The Plan is unfunded. The Plan, as amended, is offered to active employees who have completed 10 years of employment service at the FHLBNY and attained age 55 as of January 1, 2015. Assumptions used in determining the accumulated postretirement benefit obligation (APBO) included a discount rate assumption of 3.04%. A percentage point increase in the assumed healthcare trend rates would have resulted in an increase in postretirement benefit expense by $26.0 thousand in 2019 and $36.0 thousand in 2018; it would also have resulted in an increase in Benefit obligations by $0.7 million at December 31, 2019 and $1.0 million at December 31, 2018. A percentage point decrease in the assumed healthcare trend rates would have resulted in a decrease in postretirement benefit expense by $22.8 thousand in 2019 and $31.4 thousand in 2018, and a decrease in Benefit obligations by $0.6 million at December 31, 2019 and $0.9 million at December 31, 2018. Components of the accumulated postretirement benefit obligation for the postretirement health benefits plan for the years ended December 31, 2019 and 2018 (in thousands): December 31, 2019 2018 Accumulated postretirement benefit obligation at the beginning of the year $ 12,826 $ 17,120 Service cost 72 87 Interest cost 406 465 Actuarial (gain)/loss (2,228) (4,457) Plan participant contributions 220 191 Actual benefits paid (738) (636) Retiree drug subsidy reimbursement 52 56 Accumulated postretirement benefit obligation at the end of the year $ 10,610 $ 12,826 Changes in postretirement health benefit plan assets (in thousands): December 31, 2019 2018 Fair value of plan assets at the beginning of the year $ — $ — Employer contributions 518 445 Plan participant contributions 220 191 Actual benefits paid (738) (636) Fair value of plan assets at the end of the year $ — $ — Amounts recognized in AOCI for the postretirement benefit obligation (in thousands): December 31, 2019 2018 Prior service (credit)/cost $ — $ (258) Net (gain)/loss (1,509) 269 Accumulated other comprehensive loss/(gain) $ (1,509) $ 11 The net transition obligation (asset), prior service cost (credit), and estimated net loss (gain) for the postretirement health benefit plan are expected to be amortized from AOCI into net periodic benefit cost over the next fiscal year are shown in the table below (in thousands): December 31, 2020 Expected amortization of net (gain)/loss $ (152) Components of the net periodic benefit cost for the postretirement health benefit plan were as follows (in thousands): Years ended December 31, 2019 2018 2017 Service cost (benefits attributed to service during the period) $ 72 $ 87 $ 100 Interest cost on accumulated postretirement health benefit obligation 406 465 629 Amortization of (gain)/loss (451) 64 946 Amortization of prior service (credit)/cost (257) (1,761) (1,761) Net periodic postretirement health benefit (income) $ (230) $ (1,145) $ (86) Other changes in benefit obligations recognized in AOCI were as follows (in thousands): December 31, 2019 2018 Net (gain)/loss $ (2,228) $ (4,457) Amortization of net gain/(loss) 451 (64) Amortization of prior service credit/(cost) 257 1,761 Total recognized in other comprehensive income $ (1,520) $ (2,760) Total recognized in net periodic benefit cost and other comprehensive income $ (1,750) $ (3,905) The measurement date used to determine benefit obligations was December 31 in each of the two years. Key assumptions and other information to determine current year’s obligation for the postretirement health benefit plan were as follows: Years ended December 31, 2019 2018 2017 Weighted average discount rate (a) 3.04% 4.09% 3.42% Health care cost trend rates: Assumed for next year Pre 65 6.75% 6.75% 7.10% Post 65 5.00% 4.90% 4.95% Pre 65 Ultimate rate 4.50% 4.50% 4.50% Pre 65 Year that ultimate rate is reached 2028 2025/2026 2026 Post 65 Ultimate rate 4.50% 4.50% 4.50% Post 65 Year that ultimate rate is reached 2028 2025/2026 2026 Alternative amortization methods used to amortize Prior service cost Straight - line Straight - line Straight - line Unrecognized net (gain) or loss Straight - line Straight - line Straight - line (a) The discount rates were based on the Citigroup Pension Liability Index adjusted for duration in each of the periods in this report. Future postretirement health benefit plan expenses to be paid were estimated to be as follows (in thousands): Years Payments 2020 $ 623 2021 656 2022 689 2023 718 2024 722 2025-2029 3,547 Total $ 6,955 The postretirement health benefit plan accrual for 2020 is expected to be a cost of $0.2 million (a credit of $0.2 million in 2019). |
Derivatives and Hedging Activit
Derivatives and Hedging Activities. | 12 Months Ended |
Dec. 31, 2019 | |
Derivatives and Hedging Activities. | |
Derivatives and Hedging Activities. | Note 17. The FHLBNY, consistent with the Finance Agency’s regulations, may enter into interest-rate swaps, swaptions, and interest-rate cap and floor agreements to manage its interest rate exposure inherent in otherwise unhedged assets and funding positions. We are not a derivatives dealer and do not trade derivatives for short-term profit. The contractual or notional amount of derivatives reflects the involvement of the FHLBNY in the various classes of financial instruments, and serve as a basis for calculating periodic interest payments or cash flows. Notional amount of a derivative does not measure the credit risk exposure, and the maximum credit exposure is substantially less than the notional amount. The maximum credit risk is the estimated cost of replacing interest-rate swaps, forward agreements, mandatory delivery contracts for mortgage loans and purchased caps and floors (derivatives) in a gain position if the counterparty defaults and the related collateral, if any, is of insufficient value to the FHLBNY. Derivatives are instruments that derive their value from underlying asset prices, indices, reference rates and other inputs, or a combination of these factors. The FHLBNY executes derivatives with swap dealers and financial institution swap counterparties as negotiated contracts, which are usually referred to as over-the-counter (OTC) derivatives. The majority of OTC derivative contracts at December 31, 2019 and December 31, 2018 were “Cleared derivatives ", which are contracts transacted bilaterally with executing swap counterparties, then cleared and settled through derivative clearing organizations (DCOs) as mandated under the Dodd-Frank Act. When transacting a derivative for clearing, the FHLBNY utilizes a designated clearing agent, the Futures Commission Merchant (FCM) that acts on behalf of the FHLBNY to clear and settle the interest rate exchange transaction through the DCO. Once the transaction is accepted for clearing by the FCM, acting in the capacity of an intermediary between the FHLBNY and the DCO, the original transaction between the FHLBNY and the executing swap counterparty is extinguished, and is replaced by an identical transaction between the FHLBNY and the DCO. The DCO becomes the counterparty to the FHLBNY. However, the FCM remains as the principal operational contact and interacts with the DCO through the life cycle events of the derivative transaction on behalf of the FHLBNY. The FHLBNY also transacts derivative contracts that are executed and settled bilaterally with counterparties, rather than settling the transaction as a cleared derivative with a DCO. Such derivative have to be transacted bilaterally and are not clearable as the structures have not yet been mandated for clearing under the Dodd-Frank Act, typically because the transactions are complex and their ongoing pricing and settlement mechanisms have not yet been operationalized by the DCOs. The following table presents the FHLBNY’s derivative activities based on notional amounts (in thousands): Derivative Notionals Hedging Instruments Under ASC 815 December 31,2019 December 31,2018 Interest rate contracts Interest rate swaps $ 107,837,925 $ 105,280,821 Interest rate caps 800,000 803,000 Mortgage delivery commitments 44,768 12,682 Total interest rate contracts notionals $ 108,682,693 $ 106,096,503 Credit Risk Due to Non-performance by Counterparties Derivative transactions are customarily documented by the FHLBNY under industry standard master netting agreements, which provide that following an event of default, the non-defaulting party may promptly terminate all transactions between the parties and determine the net amount due to be paid to, or by the defaulting party. Obligations under master netting agreements are customarily secured by collateral posted under an industry standard credit support annex to the master netting agreements. The netting and collateral rights incorporated in the master netting agreements are considered to be legally enforceable if a supportive legal opinion has been obtained from counsel of recognized standing. Based on the analysis of the rules, and legal analysis obtained, the FHLBNY has made a determination that it has the right of setoff that is enforceable under applicable law. Credit risk on bilateral OTC — bilateral or uncleared derivative contracts — For derivatives that are not eligible for clearing with a DCO under the Dodd-Frank Act, the FHLBNY is subject to credit risk as a result of non-performance by swap counterparties to the derivative agreements. The FHLBNY enters into master netting arrangements and bilateral security agreements with all active derivative counterparties that provide for delivery of collateral at specified levels to limit the net unsecured credit exposure to these counterparties. The FHLBNY makes judgments on each counterparty’s creditworthiness, and makes estimates of the collateral values in analyzing counterparty non-performance credit risk. Bilateral agreements consider the credit risks and the agreement specifies thresholds to post or receive collateral with changes in credit ratings. When the FHLBNY has more than one derivative transaction outstanding with the counterparty, and a legally enforceable master netting agreement exists with the counterparty, the net exposure (less collateral held) represents the appropriate measure of credit risk. The FHLBNY conducts all its bilaterally executed derivative transactions under ISDA master netting agreements. Credit risk on OTC cleared derivative transactions — The FHLBNY’s derivative transactions that are eligible for clearing are subject to mandatory clearing rules under the Commodity Futures Trading Commission (CFTC) as provided under the Dodd-Frank Act. If a derivative transaction is listed as eligible for clearing, the FHLBNY must abide by the CFTC rules to clear the transaction through a DCO. The FHLBNY’s cleared derivatives are also initially executed bilaterally with a swap dealer (the executing swap counterparty) in the OTC market. The clearing process requires all parties to the derivative transaction to novate the contracts to a DCO, which then becomes the counterparty to all parties, including the FHLBNY, to the transaction. Offsetting of Derivative Assets and Derivative Liabilities - Net Presentation Derivative notional amounts are reference amounts from which contractual payments are derived and do not represent a complete and accurate measure of FHLBNY’s exposure to derivative transactions. Rather, FHLBNY’s derivative exposure arises primarily from market fluctuations (i.e., market risk), counterparty failure (i.e., credit risk) and/or periods of high volatility or financial stress (i.e., liquidity risk), as well as any market valuation adjustments that may be required on the transactions. The table below also presents security collateral, which are not permitted to be offset, but which would be eligible for offsetting to the extent an event of default occurred and a legal opinion supporting enforceability of the netting and collateral rights is obtained. The table below presents the gross and net derivatives receivables by contract type and amount for those derivatives contracts for which netting is permissible under U.S. GAAP as Derivative instruments — nettable. Derivatives receivables have been netted with respect to those receivables as to which the netting requirements have been met, including obtaining a legal analysis with respect to the enforceability of the netting (in thousands): December 31, 2019 December 31, 2018 Derivative Derivative Derivative Derivative Assets Liabilities Assets Liabilities Derivative instruments - nettable Gross recognized amount Uncleared derivatives $ 241,501 $ 365,397 $ 246,765 $ 162,650 Cleared derivatives (f) 367,202 352,576 296,677 305,918 Total gross recognized amount 608,703 717,973 543,442 468,568 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (104,011) (333,471) (134,413) (142,097) Cleared derivatives (266,850) (352,092) (295,324) (295,324) Total gross amounts of netting adjustments and cash collateral (370,861) (685,563) (429,737) (437,421) Net amounts after offsetting adjustments and cash collateral $ 237,842 $ 32,410 $ 113,705 $ 31,147 Uncleared derivatives $ 137,490 $ 31,926 $ 112,352 $ 20,553 Cleared derivatives 100,352 484 1,353 10,594 Total net amounts after offsetting adjustments and cash collateral $ 237,842 $ 32,410 $ 113,705 $ 31,147 Derivative instruments - not nettable Uncleared derivatives (a) $ 105 $ 1 $ 57 $ — Total derivative assets and total derivative liabilities Uncleared derivatives 137,595 31,927 112,409 20,553 Cleared derivatives 100,352 484 1,353 10,594 Total derivative assets and total derivative liabilities presented in the Statements of Condition (b) $ 237,947 $ 32,411 $ 113,762 $ 31,147 Non-cash collateral received or pledged (c) Can be sold or repledged Security pledged as initial margin to Derivative Clearing Organization (d) $ 251,177 $ — $ 239,813 $ — Cannot be sold or repledged Uncleared derivatives securities received (115,238) — (102,682) — Total net amount of non-cash collateral received or repledged $ 135,939 $ — $ 137,131 $ — Total net exposure cash and non-cash (e) $ 373,886 $ 32,411 $ 250,893 $ 31,147 Net unsecured amount - Represented by: Uncleared derivatives $ 22,357 $ 31,927 $ 9,727 $ 20,553 Cleared derivatives 351,529 484 241,166 10,594 Total net exposure cash and non-cash (e) $ 373,886 $ 32,411 $ 250,893 $ 31,147 (a) Not nettable derivative instruments are without legal right of offset, and were synthetic derivatives representing forward mortgage delivery commitments of 45 business days or less. Amounts were not material, and it was operationally not practical to separate receivables from payables; net presentation was adopted. No cash collateral was involved with the mortgage delivery commitments. (b) Amounts represented Derivative assets and liabilities that were recorded in the Statements of Condition. Derivative cash balances were not netted with non-cash collateral received or pledged, since legal ownership of the non-cash collateral remains with the pledging counterparty (see footnote (c) below). (c) Non-cash collateral received or pledged — For certain uncleared derivatives, counterparties have pledged U.S. Treasury securities to the FHLBNY as collateral. Amounts also included non-cash mortgage collateral on derivative positions with member counterparties where we acted as an intermediary. For certain cleared derivatives, we have pledged marketable securities to satisfy initial margin or collateral requirements. (d) Amounts represented securities pledged to Derivative Clearing Organization to fulfill our initial margin obligations on cleared derivatives. Securities pledged may be sold or repledged if the FHLBNY defaults on our obligations under rules established by the CFTC. (e) Amounts represented net exposure after applying non-cash collateral pledged to and by the FHLBNY. Since legal ownership and control over the securities are not transferred, the net exposure represented in the table above is for information only and is not reported as such in the Statements of Condition. (f) Note on variation margin - For all cleared derivative contracts that have not matured, "Variation margin" is exchanged between the FHLBNY and the FCM, acting as agents on behalf of DCOs. Variation margin is determined by the DCO and fluctuates with the fair values of the open contracts. When the aggregate contract value of open derivatives is "in-the-money" for the FHLBNY (gain position), the FHLBNY would receive variation margin from the DCO. If the value of the open contracts is "out-of-the-money" (liability position), the FHLBNY would post variation margin to the DCO. At December 31, 2019, the FHLBNY posted $100.1 million in cash as settlement variation margin to FCMs. At December 31, 2018, we had received $514.7 million in cash as settlement variation margin from FCMs. As noted, variation margin is not considered as collateral, rather as the daily settlement amounts of outstanding derivative contracts. Fair Value of Derivative Instruments The following tables represent outstanding notional balances and estimated fair values of the derivatives outstanding at December 31, 2019 and December 31, 2018 (in thousands): December 31, 2019 Notional Amount Derivative Derivative of Derivatives Assets Liabilities Fair value of derivative instruments (a) Derivatives designated as hedging instruments under ASC 815 interest rate swaps $ 59,361,080 $ 414,480 $ 550,758 Total derivatives in hedging relationships under ASC 815 59,361,080 414,480 550,758 Derivatives not designated as hedging instruments Interest rate swaps 47,404,845 179,784 162,702 Interest rate caps 800,000 50 — Mortgage delivery commitments 44,768 105 1 Other (b) 1,072,000 14,389 4,513 Total derivatives not designated as hedging instruments 49,321,613 194,328 167,216 Total derivatives before netting and collateral adjustments $ 108,682,693 608,808 717,974 Netting adjustments (342,911) (342,911) Cash collateral and related accrued interest (27,950) (342,652) Total netting adjustments and cash collateral (370,861) (685,563) Total derivative assets and total derivative liabilities $ 237,947 $ 32,411 Security collateral pledged as initial margin to Derivative Clearing Organization (c) $ 251,177 Security collateral received from counterparty (c) (115,238) Net security 135,939 Net exposure $ 373,886 December 31, 2018 Notional Amount Derivative Derivative of Derivatives Assets Liabilities Fair value of derivative instruments (a) Derivatives designated as hedging instruments under ASC 815 interest rate swaps $ 60,701,776 $ 390,670 $ 314,448 Total derivatives in hedging relationships under ASC 815 60,701,776 390,670 314,448 Derivatives not designated as hedging instruments Interest rate swaps 43,913,045 145,726 144,190 Interest rate caps 803,000 644 — Mortgage delivery commitments 12,682 57 — Other (b) 666,000 6,402 9,930 Total derivatives not designated as hedging instruments 45,394,727 152,829 154,120 Total derivatives before netting and collateral adjustments $ 106,096,503 543,499 468,568 Netting adjustments (372,917) (372,917) Cash collateral and related accrued interest (56,820) (64,504) Total netting adjustments and cash collateral (429,737) (437,421) Total derivative assets and total derivative liabilities $ 113,762 $ 31,147 Security collateral pledged as initial margin to Derivative Clearing Organization (c) $ 239,813 Security collateral received from counterparty (c) (102,682) Net security 137,131 Net exposure $ 250,893 (a) All derivative assets and liabilities with swap dealers and counterparties are executed under collateral agreements; derivative instruments executed bilaterally are subject to legal right of offset under master netting agreements. (b) The Other category comprised of interest rate swaps intermediated for member, and notional amounts represent purchases by the FHLBNY from dealers and an offsetting purchase from us by the member. (c) Non-cash security collateral is not permitted to be offset on the balance sheet, but would be eligible for offsetting in an event of default. Amounts represent U.S. Treasury securities pledged to and received from counterparties as collateral at December 31, 2019 and December 31, 2018. Accounting for Derivative Hedging The FHLBNY accounts for its hedging activities in accordance with ASC 815, Derivatives and Hedging . As a general rule, hedge accounting is permitted where the FHLBNY is exposed to a particular risk, typically interest-rate risk that causes changes in the fair value of an asset or liability or variability in the expected future cash flows of an existing asset, liability or a forecasted transaction that may affect earnings. Derivative contracts hedging the risks associated with the changes in fair value are referred to as Fair value hedges, while contracts hedging the risks affecting the expected future cash flows are called Cash flow hedges. To qualify as an accounting hedge under the hedge accounting rules (versus an economic hedge where hedge accounting is not sought), a derivative must be highly effective in offsetting the risk designated as being hedged. The hedge relationship must be formally documented at inception, detailing the particular risk management objective and strategy for the hedge, which includes the item and risk that is being hedged and the derivative that is being used, as well as how effectiveness will be assessed and measured. The effectiveness of these hedging relationships is evaluated on a retrospective and prospective basis, typically using quantitative measures of correlation. For hedges that are highly effective, changes in the fair values of the hedging instrument and the offsetting changes in the fair values of the hedged item are recorded in current earnings. If a hedge relationship is found to be not highly effective, it will no longer qualify as an accounting hedge and hedge accounting would be prospectively withdrawn. When hedge accounting is discontinued, the offsetting changes of fair values of the hedged item are also discontinued. The FHLBNY records derivatives on trade date, but records the associated hedged Consolidated obligations and advances on settlement date. Hedge accounting commences on trade date, at which time subsequent changes to the derivative's fair value are recorded along with the offsetting changes in the fair value of the hedged item attributable to the risk being hedged. On settlement date, the basis adjustments to the hedged item's carrying amount are combined with the principal amounts and the basis becomes part of the total carrying amount of the hedged item. The FHLBNY has defined its market settlement conventions for hedged items to be five business days or less for advances and thirty calendar days or less, using a next business day convention, for Consolidated obligations bonds and discount notes. These market settlement conventions are the shortest period possible for each type of advance and Consolidated obligation from the time the instruments are committed to the time they settle. The FHLBNY reports derivative assets and derivative liabilities in its Statements of Condition after giving effect to legally enforceable master netting, or when an agreement is not available as with OTC cleared derivatives, enforceability is based on a legal analysis or legal opinion. Reported Derivative assets and liabilities include interest receivable and payable on derivative contracts and the fair values of the derivative contracts. The Bank records cash collateral received and posted in the Statements of Condition as an adjustment to Derivative assets and liabilities in the following manner - Cash collateral posted by the FHLBNY is reported as a deduction to Derivative liabilities; cash collateral received from derivative counterparties is reported as a deduction to Derivative assets. Cash posted by the FHLBNY in excess of margin requirements is recorded as a receivable in Derivative assets. Variation margin exchanged with Derivative Clearing Organizations on cleared derivatives is treated as a settlement of the derivative itself - a reduction of the fair value of the derivative - and not as collateral. When derivative counterparties pledge marketable securities, they typically retain title and the securities are treated as non-cash collateral. When the FHLBNY pledges securities to counterparties, we also retain title to the securities and treat the securities as collateral. Securities pledged or received are not netted against the derivative exposures on the Statements of Condition. The FHLBNY routinely issues debt to investors and makes advances to members. In certain such instruments, the FHLBNY may embed a derivative. Typically, such derivatives are call and put options to early terminate the instruments at par on pre-determined dates. The FHLBNY may also embed interest rate caps and floors, or step-up or step-down interest rate features within the instruments. The FHLBNY also routinely structures interest rate swaps to hedge the FHLBank debt and advances, and the FHLBNY may also embed derivative instruments, such as those identified in the previous discussion, in the swaps. When such instruments are conceived, designed and structured, our control procedures require the identification and evaluation of embedded derivatives, as defined under accounting standards for derivatives and hedging activities. This evaluation will consider whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the advance or debt (the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. In 2017, the FASB issued ASU 2017-12, Targeted Improvements to Accounting for Hedging Activities (Topic 815). We adopted the guidance prospectively effective January 1, 2019, and adoption primarily impacted the FHLBNY’s accounting for derivatives designated as cash flow hedges and fair value hedges. The new guidance required that we report the entire hedging effects of the hedging instruments in the same income statement line item as the hedged item in the Statements of income. Prior period comparative financial information was not reclassified to conform to current presentation. Certain post-adoption quantitative tabular disclosures required under ASU 2017-12 have been expanded to include the comparative period. We believe that the use of post-adoption tabular disclosures to include comparative information is not akin to the adoption of the ASU on a retrospective basis, since it only affects the manner in which previously recorded amounts are disclosed. The FASB issued ASU 2018-16, Inclusion of the Secured Overnight Financing Rate (SOFR) Overnight Index Swap (OIS) Rate as a Benchmark Interest Rate for Hedge Accounting Purposes (Topic 815) , which adds the OIS rate based on SOFR as an approved U.S. benchmark rate to facilitate the LIBOR to SOFR transition. The other interest rates in the United States that are eligible benchmarks under Topic 815 are interest rates on direct Treasury obligations of the U.S. government (UST), the London Interbank Offered Rate (LIBOR) swap rate, the Overnight Index Swap (OIS) Rate based on the Fed Funds Effective Rate, and the Securities Industry and Financial Markets Association (SIFMA) Municipal Swap Rate. The FHLBNY’s primary benchmark is LIBOR, and the Fed funds indexed rate is an alternative benchmark. The FHLBNY implemented the SOFR rate as another benchmark rate for interest rate hedging in the third quarter of 2019. As noted previously, to qualify as an accounting hedge under the hedge accounting rules (versus an economic hedge where hedge accounting is not sought), a derivative must be highly effective in offsetting the risk designated as being hedged. The effectiveness of these hedging relationships is evaluated on a retrospective and prospective basis, typically using quantitative measures of correlation. Effectiveness testing - The effectiveness of these hedging relationships is evaluated at hedge inception and on an ongoing basis both on a retrospective and prospective basis when we deem the hedge as not eligible for the short-cut method, which assumes the hedged item and the hedging derivative are perfectly hedged as defined under ASC 815 and amended by ASU 2017-12. The FHLBNY has designed effectiveness testing criteria based on management's knowledge of the hedged item and hedging instruments that are employed to create the hedging relationship. The FHLBNY uses statistical analyses to evaluate effectiveness results, which must fall within established tolerances. Effectiveness testing is performed at hedge inception and on at least a quarterly basis for both prospective considerations and retrospective evaluations. Effectiveness is determined by how closely the changes in the fair value of the hedging instrument offset the changes in the fair value or cash flows of the hedged item relating to the risk being hedged. Hedge accounting is permitted only if the hedging relationship is expected to be highly effective at the inception of the hedge and on an ongoing basis. The FHLBNY assesses hedge effectiveness in the following manner: · Inception prospective assessment . Within the time frame allowed under ASU 2017-12 upon designation of the hedging relationship and on an ongoing basis, the FHLBNY hedge documentation demonstrates that it expects the hedging relationship to be highly effective. This is a forward-looking consideration. A prospective assessment is performed at the designation of the hedging relationship. The assessment uses quantitative sensitivity analysis employing an option-adjusted valuation model to generate changes in market value of the hedged item and the swap. These projected market values are run under instantaneous parallel rate shocks, and the hedge is expected to be highly effective if the change in fair value of the swap divided by the change in the fair value of the hedged item is within the 80% - 125% dollar value offset boundaries and also meets a regressions slope test. · Retrospective assessment . At least quarterly, the FHLBNY's hedge documentation demonstrates whether the hedging relationship was highly effective in offsetting changes in fair value or cash flows through the date of the periodic assessment. This is an evaluation of the past experience. The retrospective test utilizes multiple regression and statistical validation parameters to determine that the hedging relationship was highly effective (i.e., it has remained within the 80% - 125% dollar value offset boundaries). · Ongoing prospective assessment . For purposes of assessing effectiveness on an ongoing basis, the FHLBNY's documentation utilizes the regression results from the retrospective assessment as a means of demonstrating that the hedge relationships are expected to be highly effective in future periods. Under certain circumstances, we may employ qualitative ongoing hedge effectiveness as permitted under ASU 2017-12. Typically, we execute derivatives under three hedging strategies — by designating them as a fair value or cash flow hedge of an underlying financial instrument or a forecasted transaction that qualifies for hedge accounting treatment; by acting as an intermediary; or by designating the derivative as an asset-liability management hedge (i.e. an “economic hedge”). Derivative contracts hedging the risks associated with changes in fair value are referred to as fair value hedges, while contracts hedging the variability of expected future cash flows are cash flow hedges. Other than to elect the amendments under ASU 2017-12, which expanded the strategies that qualify for hedge accounting and simplified the application of hedge accounting, no other changes were made to hedge accounting strategies. Fair Value Hedges. Hedging of Benchmark interest Rate Risk — The FHLBNY’s fair value hedges are primarily hedges of fixed-rate Consolidated obligation bonds and fixed-rate advances, and beginning in 2019 we have executed fair value hedges of available-for-sale securities. For qualifying fair value hedges of interest rate risk, the changes in the fair value of the derivative and the changes in the fair value of the hedged item attributable to the hedged risk, either total cash flows or benchmark only cash flows, are presented within Interest income or Interest expense based on whether the hedged item is an asset or a liability. Prior to the adoption of ASU 2017-12, changes to the fair value of the derivative and the qualifying hedged item were presented in Other income (loss), a line item below the Net interest income line in the Statements of income. The two principal fair value hedging activities are summarized below: § Consolidated Obligations — The FHLBNY may manage the risk arising from changing market prices and volatility of a Consolidated obligation debt by matching the cash inflows on the derivative with the cash outflow on the Consolidated obligation debt and may include early termination features or options. In general, whenever we issue a longer-term fixed-rate debt, or a fixed-rate debt with call or put or other embedded options, we will simultaneously execute a derivative transaction, generally an interest rate swap, with terms that offset the terms of the fixed-rate debt, or terms of the debt with embedded put or call options or other options. When a fixed-rate debt is hedged, the combination of the fixed-rate debt and the derivative transaction effectively creates a variable rate liability, indexed to a benchmark interest rate. § Advances — We offer a wide array of advances structures to meet members’ funding needs. These advances may have maturities up to 30 years with fixed or adjustable rates and may include early termination features or options. We may use derivatives to adjust the repricing and/or options characteristics of advances to more closely match the characteristics of its funding liabilities. In general, whenever a member executes a longer term fixed-rate advance, or a fixed-rate advance with call or put or other embedded options, we will simultaneously execute a derivative transaction, generally an interest rate swap, with terms that offset the terms of the fixed-rate advance, or terms of the advance with embedded put or call options or other options. When a fixed-rate advance is hedged, the combination of the fixed-rate advance and the derivative transaction effectively creates a variable rate asset, indexed to a benchmark interest rate. In the twelve months ended December 31, 2019, the FHLBNY executed interest rate hedges employing strategies under the new guidance for “partial-term hedges” and “benchmark rate component hedging”. The two strategies are among several hedging strategies permitted under the recently adopted ASU 2017-12. · The partial-term hedging strategy makes it possible to hedge selected fixed-rate payments in a fair value hedge of interest rate risk. While U.S. GAAP has long permitted entities to designate one or more contractual cash flows in a financial instrument, the hedge strategy could result in hedge ineffectiveness. This is because the fair value of the hedging instrument and the hedged item would react differently to changes in interest rates because the principal repayment of the debt occurs on a different date than the swap’s maturity. ASU 2017-12 addresses this issue by allowing entities to calculate the change in the fair value of the hedged item in a partial-term hedge of a fixed-rate financial instrument using an assumed term that begins when the first hedged cash flow begins to accrue and ends when the last hedged cash flow is due and payable. Similar to other fair value hedges, where the hedged item is an asset, the fair value of the hedged item attributable to interest rate risk is recorded in P&L and presented in Interest income from investments along with the change in the fair value of the hedging instrument. The new strategy was utilized by the FHLBNY for hedging certain AFS designated mortgage-backed securities. · Benchmark rate component hedging is permitted under the ASU, which addressed the issue that measuring changes in the fair value of the hedged item using the total coupon cash flows misrepresents the true effectiveness of these hedging relationships. Additionally, these hedging relationships are not meant to manage credit risk, and that using the total contractual cash flows to determine the change in the fair value of the hedged item attributable to the change in the benchmark interest rate creates an earnings mismatch that reflects the portion of the financial instrument that the entity does not intend to hedge. The new guidance addresses these issues by allowing entities to use either (1) the full contractual coupon cash flows or (2) the benchmark rate component of the contractual coupon cash flows to calculate the change in the fair value of the hedged item attributable to changes in the benchmark interest rate in a fair value hedge of interest rate risk. We have used the concept selectively in 2019. Discontinuation of Hedge Accounting . When hedge accounting is discontinued because the FHLBNY determines that the derivative no longer qualifies as an effective Fair value hedge of an existing hedged item, the FHLBNY continues to carry the derivative on the balance sheet at its fair value, ceases to adjust the hedged asset or liability for changes in |
Fair Values of Financial Instru
Fair Values of Financial Instruments. | 12 Months Ended |
Dec. 31, 2019 | |
Fair Values of Financial Instruments. | |
Fair Values of Financial Instruments. | Note 18. Fair Values of Financial Instruments. Estimated Fair Values — Summary Tables - The carrying values, estimated fair values and the levels within the fair value hierarchy were as follows (in thousands): December 31, 2019 Estimated Fair Value Netting Carrying Adjustment and Financial Instruments Value Total Level 1 Level 2 Level 3 (a) Cash Collateral Assets Cash and due from banks $ 603,241 $ 603,241 $ 603,241 $ — $ — $ — Securities purchased under agreements to resell 14,985,000 14,984,909 — 14,984,909 — — Federal funds sold 8,640,000 8,639,966 — 8,639,966 — — Trading securities 15,318,809 15,318,809 15,315,592 3,217 — — Equity Investments 60,047 60,047 60,047 — — — Available-for-sale securities 2,653,418 2,653,418 — 2,653,418 — — Held-to-maturity securities 15,234,482 15,456,606 — 14,223,919 1,232,687 — Advances 100,695,241 100,738,675 — 100,738,675 — — Mortgage loans held-for-portfolio, net 3,173,352 3,190,109 — 3,190,109 — — Accrued interest receivable 312,559 312,559 — 312,559 — — Derivative assets 237,947 237,947 — 608,808 — (370,861) Other financial assets 293 293 — — 293 — Liabilities Deposits 1,194,409 1,194,419 — 1,194,419 — — Consolidated obligations Bonds 78,763,309 78,980,672 — 78,980,672 — — Discount notes 73,959,205 73,961,316 — 73,961,316 — — Mandatorily redeemable capital stock 5,129 5,129 5,129 — — — Accrued interest payable 156,889 156,889 — 156,889 — — Derivative liabilities 32,411 32,411 — 717,974 — (685,563) Other financial liabilities 45,388 45,388 45,388 — — — December 31, 2018 Estimated Fair Value Netting Carrying Adjustment and Financial Instruments Value Total Level 1 Level 2 Level 3 (a) Cash Collateral Assets Cash and due from banks $ 85,406 $ 85,406 $ 85,406 $ — $ — $ — Securities purchased under agreements to resell 4,095,000 4,095,150 — 4,095,150 — — Federal funds sold 7,640,000 7,639,998 — 7,639,998 — — Trading securities 5,810,512 5,810,512 5,304,329 506,183 — — Equity Investments 48,179 48,179 48,179 — — — Available-for-sale securities 422,216 422,216 — 422,216 — — Held-to-maturity securities 17,474,826 17,445,756 — 16,126,662 1,319,094 — Advances 105,178,833 105,137,214 — 105,137,214 — — Mortgage loans held-for-portfolio, net 2,927,230 2,852,611 — 2,852,611 — — Loans to other FHLBanks 250,000 250,000 — 250,000 — — Accrued interest receivable 275,256 275,256 — 275,256 — — Derivative assets 113,762 113,762 — 543,499 — (429,737) Other financial assets 767 767 — — 767 — Liabilities Deposits 1,062,637 1,062,625 — 1,062,625 — — Consolidated obligations Bonds 84,153,776 83,912,990 — 83,912,990 — — Discount notes 50,640,238 50,638,448 — 50,638,448 — — Mandatorily redeemable capital stock 5,845 5,845 5,845 — — — Accrued interest payable 223,570 223,570 — 223,570 — — Derivative liabilities 31,147 31,147 — 468,568 — (437,421) Other financial liabilities 86,095 86,095 86,095 — — — The fair value amounts recorded on the Statements of Condition or presented in the table above have been determined by the FHLBNY using available market information and our reasonable judgment of appropriate valuation methods. (a) Level 3 Instruments — The fair values of non-Agency private-label MBS and housing finance agency bonds were estimated by management based on pricing services. Valuations may have required pricing services to use significant inputs that were subjective because of the current lack of significant market activity; the inputs may not be market based and observable. Fair Value Hierarchy The FHLBNY records trading securities, equity investments, available-for-sale securities, derivative instruments, and Consolidated obligations and advances elected under the FVO at fair values on a recurring basis. On a non-recurring basis, when held-to-maturity securities are determined to be OTTI, the securities are written down and recorded at their fair values; and, when mortgage loans held-for-portfolio are written down or are foreclosed as Other real estate owned (REO or OREO), they are recorded at the fair values of the real estate collateral supporting the mortgage loans. The accounting standards under Fair Value Measurement defines fair value, establishes a consistent framework for measuring fair value and requires disclosures about fair value measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Among other things, the standard requires the FHLBNY to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. The standard specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect the FHLBNY’s market assumptions. These two types of inputs have created the following fair value hierarchy, and an entity must disclose the level within the fair value hierarchy in which the measurements are classified for all assets and liabilities measured on a recurring or non-recurring basis: · Level 1 Inputs — Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. · Level 2 Inputs — Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and volatilities). · Level 3 Inputs — Inputs that are unobservable and significant to the valuation of the asset or liability. The inputs are evaluated on an overall level for the fair value measurement to be determined. This overall level is an indication of market observability of the fair value measurement for the asset or liability. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. These reclassifications are reported as transfers in/out as of the beginning of the quarter in which the changes occur. There were no such transfers in any periods in this report. The availability of observable inputs can vary from product to product and is affected by a wide variety of factors including, for example, the characteristics peculiar to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised by the FHLBNY in determining fair value is greatest for instruments categorized as Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Summary of Valuation Techniques and Primary Inputs The fair value of a financial instrument that is an asset is defined as the price the FHLBNY would receive to sell the asset in an orderly transaction with market participants. A financial liability’s fair value is defined as the amount that would be paid to transfer the liability to a new obligor, not the amount that would be paid to settle the liability with the creditor. Where available, fair values are based on observable market prices or parameters, or derived from such prices or parameters. Where observable prices are not available, valuation models and inputs are utilized. These valuation techniques involve some level of management estimation and judgment, the degree of which is dependent on the price transparency for the instruments or markets and the instruments’ complexity. Because an active secondary market does not exist for a portion of the FHLBNY’s financial instruments, in certain cases, fair values are not subject to precise quantification or verification and may change as economic and market factors and evaluation of those factors change. For assets and liabilities carried at fair value, the FHLBNY measures fair value using the procedures set out below: Mortgage-backed securities classified as available-for-sale — The fair value of such securities is estimated by the FHLBNY using pricing primarily from pricing services. The pricing vendors typically use market multiples derived from a set of comparables, including matrix pricing, and other techniques. The FHLBNY’s valuation technique incorporates prices from up to three designated third-party pricing services at December 31, 2019 and December 31, 2018. The FHLBNY’s base investment pricing methodology establishes a median price for each security using a formula that is based on the number of prices received. If three prices are received, the middle price is used; if two prices are received, the average of the two prices is used; and if one price is received, it is used, typically subject to further validation. Vendor prices that are outside of a defined tolerance threshold of the median price are identified as outliers and subject to additional review, including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates, or use of internal model prices, which are deemed to be reflective of all relevant facts and circumstances that a market participant would consider. Such analysis is also applied in those limited instances where no third-party vendor price or only one third-party vendor price is available in order to arrive at an estimated fair value. In its analysis, the FHLBNY employs the concept of cluster pricing and cluster tolerances. Once the median prices are computed from the three pricing vendors, the second step is to determine which of the sourced prices fall within the required tolerance level interval to the median price, which forms the “cluster” of prices to be averaged. This average will determine a “default” price for the security. The cluster tolerance guidelines shall be reviewed annually and may be revised as necessary. To be included among the cluster, each price must fall within 7 points of the median price for residential private-label MBS or PLMBS (when PLMBS is determined to be OTTI) and within 3 points of the median price for GSE-issued MBS. The final step is to determine the final price of the security based on the cluster average and an evaluation of any outlier prices. If the analysis confirms that an outlier is not representative of fair value and that the average of the vendor prices within the tolerance threshold of the median price is the best estimate, then the average of the vendor prices within the tolerance threshold of the median price is used as the final price. If, on the other hand, an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price. In all cases, the final price is used to determine the fair value of the security. The FHLBNY has also concluded that the pricing vendors use methods that generally employ, but are not limited to benchmark yields, recent trades, dealer estimates, valuation models, benchmarking of like securities, sector groupings, and/or matrix pricing. Based on the FHLBNY’s review processes, management has concluded that inputs into the pricing models employed by pricing services for the FHLBNY’s investments in GSE securities classified as available-for-sale are market based and observable and are considered to be within Level 2 of the fair value hierarchy. Fair values of Mortgage-backed securities deemed OTTI - When a PLMBS is deemed to be OTTI, it is recorded at fair value. The valuation of PLMBS may require pricing services to use significant inputs that are subjective and are considered by management to be within Level 3 of the fair value hierarchy. This determination was made based on management’s view that the private-label instruments may not have an active market because of the specific vintage of the securities as well as inherent conditions surrounding the trading of private-label MBS, so that the inputs may not be market based and observable. See Note 8. Held-to-Maturity securities for impairment information and recorded OTTI. Trading Securities — The FHLBNY classifies trading securities as Level 1 of the fair value hierarchy when we use quoted market prices in active markets to determine the fair value of trading securities, such as U.S. government securities. We classify trading securities as Level 2 of the fair value hierarchy when we use quoted market prices in less active markets to determine the fair value of trading securities. Equity Investments — The FHLBNY has a grantor trust, which invest in money market, equity and fixed income and bond funds. Daily net asset values (NAVs) are readily available and investments are redeemable at short notice. NAVs are the fair values of the funds in the grantor trust. Because of the highly liquid nature of the investments at their NAVs, they are categorized as Level 1 financial instruments under the valuation hierarchy. Advances elected under the FVO — When the FHLBNY elects the FVO designation for certain advances , the advances are recorded at their fair values in the Statements of Condition. The fair values are computed using standard option valuation models. The most significant inputs to the valuation model are (1) Consolidated obligation debt curve (CO Curve), published by the Office of Finance and available to the public, and (2) LIBOR swap curves and volatilities. Both these inputs are considered to be market based and observable as they can be directly corroborated by market participants. The CO Curve is the primary input, which is market based and observable. Inputs to apply spreads, which are FHLBNY specific, were not material. Fair values were classified within Level 2 of the valuation hierarchy. The FHLBNY determines the fair values of advances elected under the FVO by calculating the present value of expected future cash flows from the advances, a methodology also referred to as the Income approach under the Fair Value Measurement standards. The discount rates used in these calculations are equivalent to the replacement advance rates for advances with similar terms. In accordance with the Finance Agency’s “Advances” regulations, an advance with a maturity or repricing period greater than six months requires a prepayment fee sufficient to make a FHLBank financially indifferent to the borrower’s decision to prepay the advance. Therefore, the fair value of an advance does not assume prepayment risk. The inputs used to determine fair value of advances elected under the FVO are as follows: · CO Curve. The FHLBNY uses the CO Curve, which represents its cost of funds, as an input to estimate the fair value of advances, and to determine current advance rates. This input is considered market observable and therefore a Level 2 input. · Volatility assumption. To estimate the fair value of advances with optionality, the FHLBNY uses market-based expectations of future interest rate volatility implied from current market prices for similar options. This input is considered a Level 2 input as it is market based and market observable. · Spread adjustment. Adjustments represent the FHLBNY’s mark-up based on its pricing strategy. The input is considered as unobservable, and is classified as a Level 3 input. The spread adjustment is not a significant input to the overall fair value of an advance. Consolidated Obligations elected under the FVO — The FHLBNY estimates the fair values of Consolidated obligations elected under the FVO based on the present values of expected future cash flows due on the debt obligations. Calculations are performed by using the FHLBNY’s industry standard option adjusted valuation models. Inputs are based on the cost of comparable term debt. The FHLBNY’s internal valuation models use standard valuation techniques and estimate fair values based on the following inputs: · CO Curve and LIBOR Swap Curve. The Office of Finance constructs an internal curve, referred to as the CO Curve, using the U.S. Treasury Curve as a base curve that is then adjusted by adding indicative spreads obtained from market observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, recent GSE trades and secondary market activity. The FHLBNY considers the inputs as Level 2 inputs as they are market observable. · Volatility assumption. To estimate the fair values of Consolidated obligations with optionality, the FHLBNY uses market-based expectations of future interest rate volatility implied from current market prices for similar options. These inputs are also considered Level 2 as they are market based and observable. No CO debt elected under the FVO were structured with options in any periods in this report. Derivative Assets and Liabilities — The FHLBNY’s derivatives (cleared derivatives and bilaterally executed derivatives) are executed in the over-the-counter market and are valued using internal valuation techniques as no quoted market prices exist for such instruments. Discounted cash flow analysis is the primary methodology employed by the FHLBNY’s valuation models to measure the fair values of interest rate swaps. The valuation technique is considered as an “Income approach”. Interest rate caps and floors are valued under the “Market approach”. Interest rate swaps and interest rate caps and floors, collectively “derivatives”, were valued in industry-standard option adjusted valuation models, which generated fair values. The valuation models employed multiple market inputs including interest rates, prices and indices to create continuous yield or pricing curves and volatility factors. These multiple market inputs were corroborated by management to independent market data, and to relevant benchmark indices. In addition, derivative valuations were compared by management to counterparty valuations received as part of the collateral exchange process. These derivative positions were classified within Level 2 of the valuation hierarchy at December 31, 2019 and December 31, 2018. The FHLBNY’s valuation model utilizes a modified Black-Karasinski methodology. Significant market based and observable inputs into the valuation model include volatilities and interest rates. The Bank’s valuation model employs industry standard market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative were as follows: Interest-rate related: · LIBOR Swap Curve. · Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. · Prepayment assumption (if applicable). · Federal funds curve (FF/OIS curve). · SOFR curve (SOFR/OIS) Mortgage delivery commitments (considered a derivative) — TBA security prices are adjusted for differences in coupon, average loan rate and seasoning. To be announced (TBA) is the term describing forward-settling MBS trades issued by Freddie Mac, Fannie Mae, and Ginnie Mae trade in the TBA market. The FHLBNY incorporates the overnight indexed swap (FF/OIS) curves as fair value measurement inputs for the valuation of its derivatives, as the FF/OIS curves reflect the interest rates paid on cash collateral provided against the fair value of these derivatives. The FHLBNY believes using relevant FF/OIS curves as inputs to determine fair value measurements provides a more representative reflection of the fair values of these collateralized interest-rate related derivatives. The FF/OIS curve is an input to the valuation model. The input for the federal funds curve is obtained from industry standard pricing vendors and the input is available and observable over its entire term structure. Management considers the federal funds curve to be a Level 2 input. The FHLBNY’s valuation model utilizes industry standard OIS methodology. The model generates forecasted cash flows using the FF/OIS calibrated 3-month LIBOR curve. The model then discounts the cash flows by the FF/OIS curve to generate fair values. Credit risk and credit valuation adjustments The FHLBNY is subject to credit risk in derivatives transactions due to the potential non-performance of its derivatives counterparties or a DCO. To mitigate this risk, the FHLBNY has entered into master netting agreements and credit support agreements with its derivative counterparties for its bilaterally executed derivative contracts that provide for the delivery of collateral at specified levels at least weekly. The computed fair values of the derivatives took into consideration the effects of legally enforceable master netting agreements that allow the FHLBNY to settle positive and negative positions and offset cash collateral with the same counterparty on a net basis. For derivative transactions executed as a cleared derivative, the transactions are fully collateralized in cash and for the most part exchanged and settled daily with the DCO. The FHLBNY has also established the enforceability of offsetting rights incorporated in the agreements for the cleared derivative transactions. As a result of these practices and agreements and the FHLBNY’s assessment of any change in its own credit spread, the FHLBNY has concluded that the impact of the credit differential between the FHLBNY and its derivative counterparties and DCO was sufficiently mitigated to an immaterial level that no credit adjustments were deemed necessary to the recorded fair value of Derivative assets and Derivative liabilities in the Statements of Condition at December 31, 2019 and December 31, 2018. Fair Value Measurement The tables below present the fair value of those assets and liabilities that are recorded at fair value on a recurring or non-recurring basis at December 31, 2019 and December 31, 2018, by level within the fair value hierarchy. The FHLBNY also measures certain held-to-maturity securities at fair value on a non-recurring basis when a credit loss is recognized and the carrying value of the asset is adjusted to fair value. Certain mortgage loans that were partially charged-off were recorded at their collateral values on a non-recurring basis. Other real estate owned (OREO) is measured at fair value when the asset’s fair value less costs to sell is lower than its carrying amount. Items Measured at Fair Value on a Recurring Basis (in thousands): December 31, 2019 Netting Adjustment and Total Level 1 Level 2 Level 3 Cash Collateral Assets Trading securities Corporate notes $ 3,217 $ — $ 3,217 $ — $ — U.S. Treasury securities 15,315,592 15,315,592 — — — Equity Investments 60,047 60,047 — — — Available-for-sale securities GSE/U.S. agency issued MBS 2,653,418 — 2,653,418 — — Derivative assets (a) Interest-rate derivatives 237,842 — 608,703 — (370,861) Mortgage delivery commitments 105 — 105 — — Total recurring fair value measurement - assets $ 18,270,221 $ 15,375,639 $ 3,265,443 $ — $ (370,861) Liabilities Consolidated obligation: Discount notes (to the extent FVO is elected) (2,186,603) — (2,186,603) — — Bonds (to the extent FVO is elected) (b) (12,134,043) — (12,134,043) — — Derivative liabilities (a) Interest-rate derivatives (32,410) — (717,973) — 685,563 Mortgage delivery commitments (1) — (1) — — Total recurring fair value measurement - liabilities $ (14,353,057) $ — $ (15,038,620) $ — $ 685,563 December 31, 2018 Netting Adjustment and Total Level 1 Level 2 Level 3 Cash Collateral Assets Trading securities GSE securities $ 502,849 $ — $ 502,849 $ — $ — Corporate notes 3,334 — 3,334 — — U.S. Treasury securities 5,304,329 5,304,329 — — — Equity Investments 48,179 48,179 — — — Available-for-sale securities GSE/U.S. agency issued MBS 422,216 — 422,216 — — Derivative assets (a) Interest-rate derivatives 113,705 — 543,442 — (429,737) Mortgage delivery commitments 57 — 57 — — Total recurring fair value measurement - assets $ 6,394,669 $ 5,352,508 $ 1,471,898 $ — $ (429,737) Liabilities Consolidated obligations: Discount notes (to the extent FVO is elected) (3,180,086) — (3,180,086) — — Bonds (to the extent FVO is elected) (b) (5,159,792) — (5,159,792) — — Derivative liabilities (a) Interest-rate derivatives (31,147) — (468,568) — 437,421 Total recurring fair value measurement - liabilities $ (8,371,025) $ — $ (8,808,446) $ — $ 437,421 (a) Based on analysis of the nature of the risk, the presentation of derivatives as a single class is appropriate. (b) Based on analysis of the nature of risks of Consolidated obligation bonds measured at fair value, the FHLBNY has determined that presenting the bonds as a single class is appropriate. Items Measured at Fair Value on a Non-recurring Basis (in thousands): During the period ended December 31, 2019 Fair Value Level 1 Level 2 Level 3 Mortgage loans held-for-portfolio $ 80 $ — $ 80 $ — Real estate owned 306 — — 306 Total non-recurring assets at fair value $ 386 $ — $ 80 306 During the period ended December 31, 2018 Fair Value Level 1 Level 2 Level 3 Mortgage loans held-for-portfolio $ 741 $ — $ 741 $ — Real estate owned 795 — — 795 Total non-recurring assets at fair value $ 1,536 $ — $ 741 $ 795 Mortgage loans and real estate owned (OREO or REO) - The FHLBNY measured and recorded certain impaired mortgage loans and Real estate owned (foreclosed properties) on a non-recurring basis. These assets were subject to fair value adjustments in certain circumstances at the occurrence of the events during the periods in this report. Impaired loans were primarily loans that were delinquent for 180 days or more, partially charged-off, with the remaining loans recorded at their collateral values at the dates the loans were charged off. Fair value adjustments on the impaired loans and real estate owned assets were based primarily on broker price opinions. In accordance with disclosure provisions, we have reported changes in fair values of such assets as of the date the fair value adjustments were recorded during the period ended December 31, 2019 and December 31, 2018, and reported fair values were not as of the period end dates. Fair Value Option Disclosures The fair value option (FVO) provides an irrevocable option to elect fair value as an alternative measurement for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments not previously carried at fair value. It requires entities to display the fair value of those assets and liabilities for which the entity has chosen to use fair value on the face of the Statements of Condition. Fair value is used for both the initial and subsequent measurement of the designated assets, liabilities and commitments, with the changes in fair value recognized in net income. Interest income and interest expense on advances and Consolidated obligations at fair value are recognized solely on the contractual amount of interest due or unpaid. Any transaction fees or costs are immediately recognized into non-interest income or non-interest expense. From time to time, the FHLBNY will elect the FVO for advances and Consolidated obligations on an instrument-by-instrument basis with changes in fair value reported in earnings. Customarily, the election is made when either the instruments do not qualify for hedge accounting or may be at risk for not meeting hedge effectiveness requirements; the objective is primarily to mitigate the potential income statement volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value. We may also elect advances under the FVO when analysis indicates that changes in the fair values of the advance would be an offset to fair value volatility of debt elected under the FVO. The FVO election is made at inception of the contracts for advances and debt obligations. For instruments for which the fair value option has been elected, the related contractual interest income, contractual interest expense and the discount amortization on fair value option discount notes are recorded as part of net interest income in the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains (losses) on financial instruments held under fair value option in the Statements of Income. The change in fair value does not include changes in instrument-specific credit risk. The FHLBNY has determined that no adjustments to the fair values of its instruments recorded under the fair value option for instrument-specific credit risk were necessary at December 31, 2019 and December 31, 2018. As with all advances, advances elected under the FVO are also fully collateralized through their terms to maturity. We consider our Consolidated obligation debt as high credit-quality, highly-rated instruments, and changes in fair values are generally related to changes in interest rates and investor preference, including investor asset allocation strategies. The FHLBNY believes the credit-quality of Consolidated obligation debt has remained stable, and changes in fair value attributable to instrument-specific credit risk, if any, were not material given that the debt elected under the FVO had been issued within the past 24 months, and no adverse changes have been observed in their credit characteristics. From time to time, the FHLBNY will elect the FVO for advances and Consolidated obligations on an instrument-by-instrument basis, with changes in fair value reported in earnings. No advances elected under the FVO were outstanding at December 31, 2019 and December 31, 2018. The following tables summarize the activity related to financial instruments for which the FHLBNY elected the fair value option (in thousands): Years ended December 31, 2019 Bonds Discount Notes Balance, beginning of the period $ (5,159,792) $ (3,180,086) New transactions elected for fair value option (18,392,000) (2,182,845) Maturities and terminations 11,465,000 3,170,915 Net gains (losses) on financial instruments held under fair value option (3,952) (194) Change in accrued interest/unaccreted balance (43,299) 5,607 Balance, end of the period $ (12,134,043) $ (2,186,603) Years ended December 31, 2018 Advances Bonds Discount Notes Balance, beginning of the period $ 2,205,624 $ (1,131,074) $ (2,312,621) New transactions elected for fair value option — (5,225,000) (4,735,290) Maturities and terminations (2,200,000) 1,215,000 3,873,993 Net gains (losses) on financial instruments held under fair value option (590) 681 118 Change in accrued interest/unaccreted balance (5,034) (19,399) (6,286) Balance, end of the period $ — $ (5,159,792) $ (3,180,086) Years ended December 31, 2017 Advances Bonds Discount Notes Balance, beginning of the period $ 9,873,157 $ (2,052,513) $ (12,228,412) New transactions elected for fair value option 5,000,000 (1,100,000) (5,980,042) Maturities and terminations (12,659,567) 2,019,550 15,875,322 Net gains (losses) on financial instruments held under fair value option (5,142) 224 378 Change in accrued interest/unaccreted balance (2,824) 1,665 20,133 Balance, end of the period $ 2,205,624 $ (1,131,074) $ (2,312,621) The following tables present the change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected (in thousands): December 31, 2018 Net Gains (Losses) Due to Total Change in Fair Interest Changes in Fair Value Included in Income Value Current Period Earnings Advances $ 10,085 $ (590) $ 9,495 December 31, 2017 Net Gains (Losses) Due to Total Change in Fair Interest Changes in Fair Value Included in Income Value Current Period Earnings Advances $ 54,023 $ (5,142) $ 48,881 December 31, 2019 Net Gains (Losses) Due to Total Change in Interest Changes in Fair Fair Value Included in Expense Value Current Period Earnings Consolidated obligation bonds $ (168,329) $ (3,952) $ (172,281) Consolidated obligation discoun |
Commitments and Contingencies.
Commitments and Contingencies. | 12 Months Ended |
Dec. 31, 2019 | |
Commitments and Contingencies. | |
Commitments and Contingencies. | Note 19. Commitments and Contingencies. Consolidated obligations — The FHLBanks have joint and several liability for all the Consolidated obligations issued on their behalf. Accordingly, should one or more of the FHLBanks be unable to repay their participation in the Consolidated obligations, each of the other FHLBanks could be called upon to repay all or part of such obligations, as determined or approved by the Finance Agency. Neither the FHLBNY nor any other FHLBank has ever had to assume or pay the Consolidated obligations of another FHLBank. The FHLBNY does not believe that it will be called upon to pay the Consolidated obligations of another FHLBank in the future. Under the provisions of accounting standards for guarantees, the FHLBNY would have been required to recognize the fair value of the FHLBNY’s joint and several liability for all the Consolidated obligations, as discussed above. However, the FHLBNY considers the joint and several liabilities as similar to a related party guarantee, which meets the scope exception under the accounting standard for guarantees. Accordingly, the FHLBNY has not recognized the fair value of a liability for its joint and several obligations related to other FHLBanks’ Consolidated obligations, which in aggregate were par amounts of $1.0 trillion as of December 31, 2019 and December 31, 2018. MPF Program — Under the MPF program, the FHLBNY was unconditionally obligated to purchase $44.8 million and $12.7 million of mortgage loans at December 31, 2019 and December 31, 2018. Commitments were generally for periods not to exceed 45 business days. Such commitments were recorded as derivatives at their fair values in compliance with the provisions of the accounting standards for derivatives and hedging. Derivative contracts · When the FHLBNY executes derivatives that are eligible to be cleared, the FHLBNY and the FCMs, acting as agents of Derivative Clearing Organizations or DCOs, would enter into margin agreements. The fair values of open derivative contracts are settled on a daily basis by the exchange of variation margin, which is not considered as collateral, rather as the settlement value of the derivative contract. The FHLBNY posts initial margin to DCOs and the initial margin is considered as collateral. · When the FHLBNY executes derivatives that are not eligible to be cleared under the CFTC rules, the FHLBNY and the swap counterparties enter into bilateral collateral agreements. On bilateral derivatives, the FHLBNY had posted $257.4 million and $64.5 million in cash to derivative counterparties at December 31, 2019 and December 31, 2018. In addition, for cleared derivatives, the FHLBNY had pledged $251.2 million in marketable securities and posted $85.2 million in cash also as collateral to fulfill our initial margin obligation at December 31, 2019. At December 31, 2018, we had pledged $239.8 million of marketable securities to Derivative Clearing Organizations. Further information is provided in Note 17. Derivatives and Hedging Activities. Deposits — The FHLBNY had pledged mortgage-backed securities of $3.7 million and $4.5 million to the FDIC to collateralize deposits placed by the FDIC at December 31, 2019 and December 31, 2018. Lease contracts — The FHLBNY charged to operating expenses net rental costs of approximately $7.1 million, $7.1 million and $4.6 million for each of the years ended December 31, 2019 , 2018 and 2017. Lease agreements for FHLBNY premises generally provide for inflationary increases in the basic rentals resulting from increases in property taxes and maintenance expenses. Additionally, the FHLBNY has a lease agreement for a shared offsite data backup site at a cost estimated to be $2.8 million. Components of the offsite agreement are generally renewable up to five years. Affordable Housing Program - The 11 FHLBanks are expected to contribute $100 million in aggregate annually to the AHP. If the aggregate assessment is less than $100 million for all the FHLBanks, each FHLBank would be required to assure that the aggregate contributions of the FHLBanks equal $100 million. The proration would be made on the basis of the FHLBank's income in relation to the income of all FHLBanks for the previous year. There have been no shortfalls in any periods in this report. The following table summarizes contractual obligations and contingencies as of December 31, 2019 (in thousands): December 31, 2019 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 obligation bonds at par (a) $ 62,319,595 $ 6,878,840 $ 2,779,570 $ 6,130,800 $ 78,108,805 Consolidated obligation discount notes at par 74,094,586 — — — 74,094,586 Mandatorily redeemable capital stock (a) 835 371 402 3,521 5,129 Premises (lease obligations) (b) 6,763 15,209 16,097 70,222 108,291 Remote backup site 706 1,273 838 — 2,817 Other liabilities (c) 86,480 10,910 8,563 69,563 175,516 Total contractual obligations 136,508,965 6,906,603 2,805,470 6,274,106 152,495,144 Other commitments Standby letters of credit (d) 21,720,973 263,120 6,938 — 21,991,031 Consolidated obligation bonds/discount notes traded not settled 500,000 — — — 500,000 Commitments to fund additional advances 250,000 — — — 250,000 Commitments to fund pension 10,000 — — — 10,000 Open delivery commitments (MPF) 44,768 — — — 44,768 Total other commitments 22,525,741 263,120 6,938 — 22,795,799 Total obligations and commitments $ 159,034,706 $ 7,169,723 $ 2,812,408 $ 6,274,106 $ 175,290,943 (a) Callable bonds contain an exercise date or a series of exercise dates that may result in a shorter redemption period. Redemption dates of mandatorily redeemable capital stock are assumed to correspond to maturity dates of member advances. 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. (b) Amounts represent undiscounted obligations. The Bank adopted ASU 2016-02, Leases (Topic 842) on January 1, 2019. Upon adoption, all lease obligations, including legacy leases were recorded in the Statements of Condition as a Right-of-use (ROU) asset and a corresponding lease liability. Under legacy pre-ASU GAAP, lease obligations were reported as off-balance sheet commitments. Immaterial amounts of equipment and other leases have been excluded in the table above. (c) Includes accounts payable and accrued expenses, liabilities recorded for future settlements of investments, Pass-through reserves due to member institutions held at the FRB, and projected payment obligations for pension plans. Where it was not possible to estimate the exact timing of payment obligations, they were assumed to be due within one year; amounts were not material. For more information about employee retirement plans in general, see Note 16. Employee Retirement Plans. (d) Financial letters of credit — Standby letters of credit are executed for a fee on behalf of members to facilitate residential housing, community lending, and members’ asset/liability management or to provide liquidity. A standby letter of credit is a financing arrangement between the FHLBNY and its member. Members assume an unconditional obligation to reimburse the FHLBNY for value given by the FHLBNY to the beneficiary under the terms of the standby letter of credit. The FHLBNY may, in its discretion, permit the member to finance repayment of their obligation by receiving a collateralized advance. The FHLBNY does not anticipate any credit losses from its off-balance sheet commitments and accordingly no provision for losses was required at December 31, 2019 . In January 2020, we concluded our evaluation under the CECL guidance, which we adopted effective January 1, 2020. No credit loss allowance was necessary for standby letters of credit or off balance sheet receivables as of January 1, 2020. Operating Lease commitments Effective January 1, 2019, the FHLBNY adopted new guidance under ASU 2016-02, Leases (Topic 842) that requires lessees to recognize on the balance sheet all leases with lease terms greater than twelve months as a lease liability with a corresponding right-of-use (ROU) asset. Legacy operating lease contracts were recorded at adoption that resulted in the recognition of lease liabilities of $83.9 million and ROU assets of $71.6 million as of January 1, 2019. The adoption of the new lease guidance did not have a material impact on the FHLBNY’s Statements of income. The change in accounting due to the adoption of the new lease guidance did not result in a material change to the future net minimum rental payments/receivables or to the net rental expense when compared to December 31, 2018. At December 31, 2019, the FHLBNY was obligated under a number of noncancelable leases, predominantly operating leases for premises. These leases generally have terms of 15 years or less that contain escalation clauses that will increase rental payments. Operating leases also include backup datacenters and certain office equipment. Operating lease liabilities and ROU are recognized at the lease commencement date based on the present value of the future minimum lease payments over the lease term. The future lease payments are discounted at a rate that represents the FHLBNY’s borrowing rate for its own debt (Consolidated obligation bonds) of a similar term. ROU includes any lease prepayments made, plus any initial direct costs incurred, less any lease incentives received. Rental expense associated with operating leases is recognized on a straight-line basis over the lease term. Premise rental expense is included in occupancy expense, and datacenter and other lease expenses are included in other operating expense in the Statements of income. ROU and lease liabilities are reported in the Statements of condition. The following tables provide summarized information on our leases (dollars in thousands): December 31, 2019 Operating Leases (a) Right-of-use assets $ 75,464 Lease Liabilities $ 89,365 Twelve months ended December 31, 2019 Operating Lease Expense $ 7,585 Operating cash flows - Cash Paid $ 6,624 Weighted Average Discount Rate 3.29 % Weighted Average Remaining Lease Term 12.98 Years Remaining maturities through Operating lease liabilities December 31, 2019 December 31, 2018 2019 — 6,687 2020 7,886 6,927 2021 8,107 6,860 2022 8,205 6,949 2023 8,575 7,282 2024 8,282 7,331 Thereafter 69,886 64,705 Total undiscounted lease payments 110,941 $ 106,741 Imputed interest (21,576) Total operating lease liabilities $ 89,365 (a) We have elected to exclude immaterial amounts of short-term operating lease liabilities in the Right-of-use assets and lease liabilities. |
Related Party Transactions.
Related Party Transactions. | 12 Months Ended |
Dec. 31, 2019 | |
Related Party Transactions. | |
Related Party Transactions. | Note 20. The FHLBNY is a cooperative and the members own almost all of the stock of the FHLBNY. Stock issued and outstanding that is not owned by members is held by former members. The majority of the members of the Board of Directors of the FHLBNY are elected by and from the membership. The FHLBNY conducts its advances business almost exclusively with members, and considers its transactions with its members and non-member stockholders as related party transactions in addition to transactions with other FHLBanks, the Office of Finance, and the Finance Agency. The FHLBNY conducts all transactions with members and non-members in the ordinary course of business. All transactions with all members, including those whose officers may serve as directors of the FHLBNY, are at terms that are no more favorable than comparable transactions with other members. The FHLBNY may from time to time borrow or sell overnight and term federal funds at market rates to members. Debt Assumptions and Transfers. When debt is transferred or assumed, the transactions would be executed in the ordinary course of the FHLBNY’s business and at negotiated market pricing. Debt assumptions — No debt was assumed from another FHLBank in the twelve months ended December 31, 2019 and in the same period in the prior year. Debt transfers — No debt was transferred to another FHLBank in the twelve months ended December 31, 2019 and in the same period in the prior year. Advances Sold or Transferred No advances were transferred or sold to the FHLBNY or from the FHLBNY to another FHLBank in any periods in this report. When an advance is transferred or assumed, the transactions would be executed in the ordinary course of the FHLBNY’s business and at negotiated market pricing. MPF Program In the MPF program, the FHLBNY may participate to the FHLBank of Chicago portions of its purchases of mortgage loans from its members. Transactions are participated at market rates. Since 2004, the FHLBNY has not shared its purchases with the FHLBank of Chicago. From the inception of the program through 2004, the cumulative share of MPF Chicago’s participation in the FHLBNY’s MPF loans that has remained outstanding was $7.3 million and $8.6 million at December 31, 2019 and December 31, 2018. Fees paid to the FHLBank of Chicago for providing MPF program services were approximately $2.5 million, $2.6 million and $2.3 million for the twelve months ended December 31, 2019, 2018 and 2017. Mortgage-backed Securities No mortgage-backed securities were acquired from other FHLBanks during the periods in this report. We pay an annual fee of $6.0 thousand to the FHLBank of Chicago for the use of MBS cash flow models in connection with OTTI analysis performed by the FHLBNY for certain of our private-label MBS. Intermediation From time to time, the FHLBNY acts as an intermediary to purchase derivatives to accommodate its smaller members. At December 31, 2019 and December 31, 2018, outstanding notional amounts were $536.0 million and $333.0 million and represented derivative contracts in which the FHLBNY acted as an intermediary to execute derivative contracts with members. Separately, the contracts were offset with contracts purchased from unrelated derivatives dealers. Net fair value exposures of these transactions at December 31, 2019 and December 31, 2018 were not significant. The intermediated derivative transactions with members and derivative counterparties were collateralized. Loans to Other Federal Home Loan Banks In the twelve months ended December 31, 2019 and 2018, overnight loans extended to other FHLBanks averaged $6.9 million and $6.7 million. Generally, loans made to other FHLBanks are uncollateralized. Interest income from such loans was immaterial in the periods in this report. Borrowings from Other Federal Home Loan Banks The FHLBNY borrows from other FHLBanks, generally for a period of one day. In the twelve months ended December 31, 2019, the FHLBNY borrowed a total of $2.1 billion in overnight loans from other FHLBanks. The borrowings averaged $6.6 million for the twelve months ended December 31, 2019. Interest expense was immaterial. There were no borrowings from other FHLBanks in the twelve ended December 31, 2018. Cash and Due from Banks Compensating balance arrangements exist between Citibank and the FHLBNY, but were not active in 2019 and 2018. Citibank is a member and stockholder of the FHLBNY. For more information, see Note 3. Cash and Due from Banks. The following tables summarize significant balances and transactions with related parties at December 31, 2019 and December 31, 2018 and transactions for each of the years ended December 31, 2019, 2018 and 2017 (in thousands): Related Party: Outstanding Assets, Liabilities and Capital December 31, 2019 December 31, 2018 Related Related Assets Advances $ 100,695,241 $ 105,178,833 Loans to other FHLBanks — 250,000 Accrued interest receivable 181,792 202,404 Liabilities and capital Deposits $ 1,194,409 $ 1,062,637 Mandatorily redeemable capital stock 5,129 5,845 Accrued interest payable 140 373 Affordable Housing Program (a) 153,894 161,718 Other liabilities (b) 45,388 86,095 Capital $ 7,531,895 $ 7,746,622 (a) Represents funds not yet allocated or disbursed to AHP programs. (b) Includes member pass-through reserves at the Federal Reserve Bank of New York. Related Party: Income and Expense Transactions Years ended December 31, 2019 2018 2017 Related Related Related Interest income Advances $ 2,526,662 $ 2,522,040 $ 1,563,322 Interest-bearing deposits 6 5 2 Loans to other FHLBanks 165 130 26 Interest expense Deposits $ 22,839 $ 17,816 $ 15,060 Mandatorily redeemable capital stock 379 964 1,285 Cash collateral held and other borrowings 165 — 26 Service fees and other $ 17,022 $ 14,439 $ 12,251 |
Segment Information and Concent
Segment Information and Concentration. | 12 Months Ended |
Dec. 31, 2019 | |
Segment Information and Concentration. | |
Segment Information and Concentration. | Note 21. Segment Information and Concentration. The FHLBNY manages its operations as a single business segment. Management and the FHLBNY’s Board of Directors review enterprise-wide financial information in order to make operating decisions and assess performance. Advances to large members constitute a significant percentage of the FHLBNY’s advance portfolio and its source of revenues. The FHLBNY’s total assets and capital could significantly decrease if one or more large members were to withdraw from membership or decrease business with the FHLBNY. Members might withdraw or reduce their business as a result of consolidating with an institution that was a member of another FHLBank, or for other reasons. The FHLBNY has considered the impact of losing one or more large members. In general, a withdrawing member would be required to repay all indebtedness prior to the redemption of its capital stock. Under current conditions, the FHLBNY does not expect the loss of a large member to impair its operations, since the FHLBank Act, as amended, does not allow the FHLBNY to redeem the capital of an existing member if the redemption would cause the FHLBNY to fall below its capital requirements. Consequently, the loss of a large member should not result in an inadequate capital position for the FHLBNY. However, such an event could reduce the amount of capital that the FHLBNY has available for continued growth. This could have various ramifications for the FHLBNY, including a possible reduction in net income and dividends, and a lower return on capital stock for remaining members. The top ten advance holders at December 31, 2019, December 31, 2018 and December 31, 2017 and associated interest income for the periods then ended are summarized as follows (dollars in thousands): December 31, 2019 Percentage of Par Total Par Value Twelve Months City State Advances of Advances Interest Income Percentage (a) Citibank, N.A. New York NY $ 23,045,000 22.95 % $ 486,275 27.71 % Metropolitan Life Insurance Company New York NY 14,445,000 14.39 367,507 20.94 New York Community Bank (b) Westbury NY 13,102,661 13.05 259,207 14.77 AXA Equitable Life Insurance Company New York NY 6,900,415 6.87 111,997 6.38 Investors Bank (b) Short Hills NJ 4,986,397 4.97 115,789 6.60 Signature Bank New York NY 4,142,144 4.13 127,299 7.26 New York Life Insurance Company New York NY 2,825,000 2.81 81,348 4.64 Valley National Bank (b) Wayne NJ 2,397,769 2.39 88,389 5.04 Sterling National Bank Montebello NY 2,245,000 2.24 76,029 4.33 ESL Federal Credit Union Rochester NY 1,739,823 1.73 40,937 2.33 Total $ 75,829,209 75.53 % $ 1,754,777 100.00 % (a) Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members. (b) At December 31, 2019, an officer of this member bank also served on the Board of Directors of the FHLBNY. December 31, 2018 Percentage of Par Total Par Value Twelve Months City State Advances of Advances Interest Income Percentage (a) Citibank, N.A. New York NY $ 19,995,000 18.96 % $ 644,926 37.66 % Metropolitan Life Insurance Company New York NY 14,245,000 13.51 301,318 17.60 New York Community Bank (b) (c) Westbury NY 13,053,661 12.38 247,973 14.48 Signature Bank New York NY 4,970,000 4.71 92,592 5.41 Investors Bank (b) Short Hills NJ 4,925,681 4.67 95,921 5.60 Sterling National Bank Montebello NY 4,837,000 4.59 92,835 5.42 Manufacturers and Traders Trust Company Buffalo NY 4,774,712 4.53 13,256 0.77 AXA Equitable Life Insurance Company New York NY 3,990,415 3.78 72,582 4.24 New York Life Insurance Company New York NY 3,575,000 3.39 67,793 3.96 Valley National Bank (b) Wayne NJ 3,027,000 2.87 83,172 4.86 Total $ 77,393,469 73.39 % $ 1,712,368 100.00 % (a) Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members. (b) At December 31, 2018, an officer of this member bank also served on the Board of Directors of the FHLBNY. (c) New York Commercial Bank merged into New York Community Bank in the fourth quarter 2018. Par advances are for New York Community Bank. Interest income reported in the table represent interest income received from New York Commercial Bank and New York Community Bank in 2018. December 31, 2017 Percentage of Par Total Par Value Twelve Months City State Advances of Advances Interest Income Percentage (a) Citibank, N.A. New York NY $ 43,100,000 35.12 % $ 450,596 36.83 % Metropolitan Life Insurance Company New York NY 14,445,000 11.77 221,310 18.09 New York Community Bancorp, Inc.: New York Community Bank Westbury NY 11,830,600 9.64 182,103 14.88 New York Commercial Bank Westbury NY 273,900 0.22 3,822 0.31 Subtotal New York Community Bancorp, Inc. 12,104,500 9.86 185,925 15.19 Sterling National Bank (b)(d) Montebello NY 4,507,000 3.67 58,049 4.74 Investors Bank (b) Short Hills NJ 4,326,053 3.53 82,894 6.77 Signature Bank New York NY 4,195,000 3.42 36,503 2.98 Goldman Sachs Bank USA New York NY 3,390,000 2.76 30,433 2.49 HSBC Bank USA, National Association (c) Mc Lean VA 3,100,000 2.53 68,391 5.59 AXA Equitable Life Insurance Company New York NY 3,000,415 2.45 52,308 4.27 New York Life Insurance Company New York NY 2,625,000 2.14 37,263 3.05 Total $ 94,792,968 77.25 % $ 1,223,672 100.00 % (a) Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members. (b) At December 31, 2017, an officer of this member bank also served on the Board of Directors of the FHLBNY. (c) For Bank membership purposes, principal place of business is New York, NY. (d) Astoria Bank merged into Sterling National Bank in the fourth quarter 2017. Both entities are member banks and are related parties. The par advance balance represents advances outstanding with Sterling, the merged entity. Interest income reported in the table represented interest income received from Astoria and Sterling in 2017. The following tables summarize capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY’s outstanding capital stock as of February 29, 2020 and December 31, 2019 (shares in thousands): Number Percent February 29, 2020 of Shares of Total Name of Beneficial Owner Principal Executive Office Address Owned Capital Stock Citibank, N.A. 399 Park Avenue, New York, NY 10043 8,805 16.15 % Metropolitan Life Insurance Company 200 Park Avenue, New York, NY 10166 7,366 13.51 New York Community Bank 615 Merrick Avenue, Westbury, NY 11590 6,337 11.62 % Number Percent December 31, 2019 of Shares of Total Name of Beneficial Owner Principal Executive Office Address Owned Capital Stock Citibank, N.A. 399 Park Avenue, New York, NY 10043 11,370 19.66 % Metropolitan Life Insurance Company 200 Park Avenue, New York, NY 10166 7,366 12.74 New York Community Bank 615 Merrick Avenue, Westbury, NY 11590 6,476 11.20 AXA Equitable Life Insurance Company 1290 Avenue of the Americas, New York 10104 3,222 5.57 28,434 49.17 % |
Significant Accounting Polici_2
Significant Accounting Policies and Estimates. (Policies) | 12 Months Ended |
Dec. 31, 2019 | |
Significant Accounting Policies and Estimates. | |
Basis of Presentation | Basis of Presentation The accompanying financial statements of the Federal Home Loan Bank of New York have been prepared in accordance with Generally Accepted Accounting Principles in the United States (GAAP) and with the instructions provided by the Securities and Exchange Commission (SEC). The FHLBNY has identified certain accounting policies that it believes are significant because they require management to make subjective judgments about matters that are inherently uncertain and because of the likelihood that materially different amounts would be reported under different conditions or by using different assumptions. The most significant of these policies include derivative hedging relationships, estimating the fair values of certain assets and liabilities, estimating the allowance for credit losses on the advance and mortgage loan portfolios, and evaluating the impairment of the FHLBNY’s securities portfolios. |
Financial Instruments with Legal Right of Offset | Financial Instruments with Legal Right of Offset The FHLBNY has derivative instruments, and securities purchased under agreements to resell that are subject to enforceable master netting arrangements. The FHLBNY has elected to offset its derivative asset and liability positions, as well as cash collateral received or pledged, when it has the legal right of offset under these master agreements. The FHLBNY did not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments, any excess cash collateral received or pledged is recognized as a derivative liability or as a derivative asset based on the terms of the individual master agreement between the FHLBNY and its derivative counterparty. Additional information regarding these agreements is provided in Note 17. Derivatives and Hedging Activities. For securities purchased under agreements to resell, the FHLBNY did not have any unsecured amounts based on the fair value of the related collateral held at the end of the periods presented. Additional information about the FHLBNY’s investments in securities purchased under agreements to resell is disclosed in Note 4. Federal Funds Sold and Securities Purchased Under Agreements to Resell. |
Fair Value Measurements and Disclosures | Fair Value Measurements and Disclosures Accounting Standards Codification Topic 820, Fair Value Measurements , discusses how entities should measure fair value based on whether the inputs to those valuation techniques are observable or unobservable. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction in the principal or most advantageous market for the asset or liability between market participants at the measurement date. This definition is based on an exit price rather than transaction or entry price. Valuation Techniques — Three valuation techniques are prescribed under the fair value measurement standards — Market approach, Income approach and Cost approach. Valuation techniques for which sufficient data is available and that are appropriate under the circumstances should be used. In determining fair value, the FHLBNY uses various valuation methods, including both the market and income approaches. · Market approach — This technique uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities. · Income approach — This technique uses valuation techniques to convert future amounts (for example, cash flows or earnings) to a single present amount (discounted), based on assumptions used by market participants. When the income approach is used, the fair value measurement reflects current market expectations about those future amounts. The present value technique used to measure fair value depends on the facts and circumstances specific to the asset or liability being measured and the availability of data. · Cost approach — This approach is based on the amount that currently would be required to replace the service capacity of an asset (often referred to as current replacement cost). The FHLBNY has complied with the accounting standards under Fair Value Measurement that defines fair value, establishes a consistent framework for measuring fair value, and requires disclosure about fair value measurement on assets and liabilities recorded at fair value on the balance sheet. For more information about the fair value hierarchy, and the hierarchy levels of the FHLBNY’s financial instruments, see Note 18. Fair Values of Financial Instruments. On a recurring basis, fair values were measured and recorded in the Statements of Condition for derivatives, available-for-sale securities (AFS or AFS securities), securities designated as trading, equity investments, and financial instruments elected under the Fair Value Option (FVO). On a non-recurring basis, credit impaired (OTTI) held-to-maturity securities were measured and recorded at their fair values in the Statements of Condition. When credit impaired mortgage loans held-for-portfolio were partially charged off, the loans were written down to their collateral values on a non-recurring basis. Fair values of derivative positions — The FHLBNY is an end-user of over-the-counter (OTC) derivatives to hedge assets, liabilities, and certain firm commitments to mitigate fair value risks. Valuations of derivative assets and liabilities reflect the value of the instrument including the value associated with counterparty risk. Derivative values also take into account the FHLBNY’s own credit standing. The computed fair values of the FHLBNY’s OTC derivatives take into consideration the effects of legally enforceable master netting agreements that allow the FHLBNY to settle positive and negative positions and offset cash collateral with the same counterparty on a net basis. The agreements include collateral thresholds that reflect the net credit differential between the FHLBNY and its derivative counterparties. On a contract-by-contract basis, the collateral and netting arrangements sufficiently mitigated the impact of the credit differential between the FHLBNY and its derivative counterparties to an immaterial level such that an adjustment for nonperformance risk was not deemed necessary. Fair values of investments classified as AFS securities — The FHLBNY’s investments classified as AFS are primarily GSE-issued mortgage-backed securities (MBS), which are recorded at fair values. The MBS fair values are estimated by management using specialized pricing services that employ pricing models or quoted prices of securities with similar characteristics. The FHLBNY has established that the pricing vendors use methods that generally employ, but are not limited to, benchmark yields, recent trades, dealer estimates, valuation models, benchmarking of like securities, sector groupings, and/or matrix pricing. For more information about methodologies used by the FHLBNY to validate vendor pricing, and fair value “Levels” associated with assets and liabilities recorded on the FHLBNY’s Statements of Condition at December 31, 2019 and 2018, see financial statements, Note 18. Fair Values of Financial Instruments. |
Classification of Investment Securities and Other-Than-Temporary Impairment (OTTI) | Classification of Investment Securities The FHLBNY classifies a debt security at the date of acquisition as trading, held-to-maturity or available-for-sale. Investments designated as held-to-maturity and available-for-sale are primarily GSE-issued mortgage-backed securities, and a small portfolio of bonds issued by housing finance agencies. Investments designated as trading are primarily U.S. Treasury securities. Purchases and sales of securities are recorded on a trade date basis. Prepayments are estimated for purposes of amortizing premiums and accreting discounts on investment securities in accordance with accounting standards for investments in debt securities, which requires premiums and discounts to be recognized in income at a constant effective yield over the life of the instrument. Because actual prepayments often deviate from the estimates, the effective yield is recalculated periodically to reflect actual prepayments to date. Adjustments of the effective yields for mortgage-backed securities are recorded on a retrospective basis, as if the new estimated life of the security had been known at its original acquisition date. The Bank’s trading portfolio is to enhance the FHLBNY’s liquidity position, and is invested typically in U.S. Treasury securities and GSE-issued bonds. The securities are carried at fair value with changes in the fair value of these investments recorded in Other income. The Bank does not participate in speculative trading practices and holds these investments indefinitely as the FHLBNY periodically evaluates its liquidity needs. Held-to-Maturity Securities — The FHLBNY classifies debt securities for which it has both the ability and intent to hold to maturity as held-to-maturity investments. Such investments are recorded at amortized cost basis, which includes adjustments made to the cost of an investment for accretion and amortization of discounts and premiums, collection of cash and, if hedged, the fair value hedge accounting adjustments. If a held-to-maturity security is determined to be credit impaired or other-than-temporarily impaired (OTTI), the amortized cost basis of the security is adjusted for credit losses. Amortized cost basis of a held-to-maturity OTTI security is further adjusted for impairment related to all other factors (also referred as the non-credit component of OTTI) and recognized in AOCI; the adjusted amortized cost basis is the carrying value of the OTTI security as reported in the Statements of Condition. Carrying value of a held-to-maturity security that is not OTTI is its amortized cost basis. Interest earned on such securities is included in Interest income. In accordance with accounting standards for investments in debt securities, sales of debt securities that meet either of the following two conditions may be considered as maturities for purposes of the classification of securities: (1) the sale occurs near enough to its maturity date (or call date if exercise of the call is probable) such that interest rate risk is substantially eliminated as a pricing factor and the changes in market interest rates would not have a significant effect on the security’s fair value, or (2) the sale of a security occurs after the FHLBNY has already collected a substantial portion (at least 85%) of the principal outstanding at acquisition. As permitted by the new hedge accounting guidance under ASU 2017-12, effective January 1, 2019 the FHLBNY made a one-time election and transferred $1.6 billion (amortized cost basis) of unimpaired fixed-rate GSE-issued commercial mortgage-backed securities from HTM to AFS. Available-for-Sale Securities — The FHLBNY classifies debt securities that it may sell before maturity as AFS and carries them at fair value. Until AFS securities are sold, changes in fair values are recorded in AOCI as Net unrealized gain or (loss) on AFS securities. The FHLBNY computes gains and losses on sales of debt securities using the specific identification method and includes these gains and losses in Other income (loss). Trading Securities — Debt securities classified as trading are held for liquidity purposes and carried at fair value. We record changes in the fair value of these investments through Other income as net realized and unrealized gains or losses on trading securities. The Finance Agency prohibits speculative trading practices but allows permitted securities to be deemed held for liquidity if invested in a trading portfolio. We periodically evaluate our liquidity needs and may dispose these investments as deemed prudent by liquidity and market conditions. Equity Securities — Adoption at January 1, 2018 of ASU No. 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities, as an amendment to Financial Instruments — Overall (Subtopic 825-10) provided guidance on the measurement and classification of equity investments. Effective with the adoption of the ASU, the FHLBNY measures its equity investments at fair value with changes in fair value recognized in net income, thus eliminating eligibility for the available-for-sale category. Prior to the adoption of the ASU, the FHLBNY classified its equity investments as AFS. The FHLBNY’s equity investments comprise of mutual fund assets in grantor trust owned by the FHLBNY. The intent of the grantor trust is to set aside cash to meet current and future payments for supplemental unfunded retirement plans. Prior period financial statements were not required to be restated under the transition provisions of this ASU. Other-Than-Temporary Impairment (OTTI) The FHLBNY evaluates its investments for impairment quarterly, and determines if unrealized losses are temporary based in part on the creditworthiness of the issuers, and in part on the underlying collateral within the structure of the security and the cash flows expected to be collected on the security. A security is considered impaired if its fair value is less than its amortized cost basis. The FHLBNY has experienced de minimis OTTI in the most recent past on a small portfolio of private-label mortgage-backed securities (PLMBS). To assess whether the amortized cost basis of the FHLBNY’s (PLMBS) will be recovered in future periods, the FHLBNY performs OTTI analysis by cash flow testing its entire portfolio of private-label MBS (PLMBS), all of which were classified as held-to-maturity. The FHLBNY evaluates its individual securities issued by Fannie Mae and Freddie Mac, government agencies, or state and local housing agencies by considering the creditworthiness and performance of the debt securities and the strength of the guarantees underlying the securities. Based on the FHLBNY's analysis, GSE securities are performing in accordance with their contractual agreements. The Housing Act contains provisions allowing the U.S. Treasury to provide support to Fannie Mae and Freddie Mac. The U.S. Treasury and the Finance Agency have placed Fannie Mae and Freddie Mac into conservatorship in an attempt to stabilize their financial conditions and their ability to support the secondary mortgage market. The FHLBNY believes that it will recover its investments in GSE and agency issued securities given the current levels of collateral and credit enhancements and guarantees that exist to protect the investments. Additional testing is performed on housing agency bonds by a review of fair values of bonds that are in unrealized loss position to assess whether fair values are in line with pricing curves with similar credit parameters. If a decision to sell the impaired investment has not been made, but management concludes that it is more likely than not that it will be required to sell such a security before recovery of the amortized cost basis of the security, an OTTI is also considered to have occurred. For securities designated as AFS, subsequent unrealized changes to the fair values (other than OTTI) are recorded in AOCI. For securities designated as HTM or held-to-maturity, the amount of OTTI recorded in AOCI for the non-credit component of OTTI is amortized prospectively over the remaining life of the securities based on the timing and amounts of estimated future cash flows. Amortization out of AOCI is offset by an increase in the carrying value of securities until the securities are repaid or are sold or additional OTTI is recognized in earnings. If subsequent evaluation indicates a significant increase in cash flows greater than previously expected to be collected or if actual cash flows are significantly greater than previously expected, the increases are accounted for as a prospective adjustment to the acceptable yield through interest income. In subsequent periods, if the fair value of the investment security has further declined below its then-current carrying value and there has been a decrease in the estimated cash flows the FHLBNY expects to collect, the FHLBNY will deem the security as OTTI. Accretion to interest income will be discontinued and will resume if improvements in cash flows are subsequently observed. |
Federal Funds Sold and Securities Purchased Under Agreements to Resell | Federal Funds Sold and Securities Purchased Under Agreements to Resell Federal Funds Sold . Federal funds sold are recorded at cost on settlement date and interest is accrued using contractual rates. Securities Purchased under Agreements to Resell. As part of the FHLBNY’s banking activities with counterparties, the FHLBNY may enter into secured financing transactions that mature overnight, and can be extended only at the discretion of the FHLBNY. These transactions involve the lending of cash, against which securities are taken as collateral. The FHLBNY does not have the right to repledge the securities received. Securities purchased under agreements to resell generally do not constitute a transfer of the underlying securities. The FHLBNY treats securities purchased under agreements to resell as collateralized financings because the counterparty retains control of the securities. Interest from such securities is included in Interest income. The FHLBNY did not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented. |
Advances | Advances Accounting for Advances. The FHLBNY reports advances at amortized cost, net of any discounts and premiums (discounts are generally associated with advances for the Affordable Housing Program). If the advance is hedged in an ASC 815 qualifying hedge, its carrying value will include hedging valuation adjustments, which will typically be the result of changes in designated benchmark index. If an advance is accounted under the Fair Value Option, the carrying value of the advances elected will be its full fair value. The FHLBNY records interest on advances to income as earned, and amortizes the premium and accretes the discounts on a contractual basis to interest income using a level-yield methodology. Typically, advances are issued at par. Impairment Analysis of Advances . An advance will be considered impaired when, based on current information and events, it is probable that the FHLBNY will be unable to collect all amounts due according to the contractual terms of the advance agreement. The FHLBNY has established asset classification and reserve policies. All adversely classified assets of the FHLBNY will have a reserve established for probable losses. Following the requirements of the Federal Home Loan Bank Act of 1932 (FHLBank Act), as amended, the FHLBNY obtains sufficient collateral on advances to protect it from losses. The FHLBank Act limits eligible collateral to certain investment securities, residential mortgage loans, cash or deposits with the FHLBNY, and other eligible real estate related assets. Borrowing members pledge their capital stock of the FHLBNY as additional collateral for advances. The FHLBNY has not incurred any credit losses on advances since its inception. Based upon the financial condition of its borrowers, the collateral held as security on the advances and repayment history, management of the FHLBNY believes that an allowance for credit losses on advances is unnecessary. Advance Modifications. From time to time, the FHLBNY will enter into an agreement with a member to modify the terms of an existing advance. The FHLBNY evaluates whether the modified advance meets the accounting criteria under ASC 310-20 to qualify as a modification of an existing advance or as a new advance in accordance with provisions under creditor’s accounting for a modification or exchange of debt instruments. The evaluation includes analysis of (i) whether the effective yield on the new advance is at least equal to the effective yield for a comparable advance to a similar member that is not refinancing or restructuring, and (ii) whether the modification of the original advance is more than minor. If the FHLBNY determines that the modification is more than minor, the transaction is treated as an advance termination and the subsequent funding of a new advance, with gains or losses recognized in earnings for the period. If the advance is in a hedging relationship, and the modification is more than minor, the FHLBNY will consider the hedge relationship as terminated and previously recorded hedge basis adjustments are amortized over the life of the hedged advance through interest income as a yield adjustment. If the modification of the hedged item and the derivative instrument is considered minor, and if the hedge relationship is de-designated and contemporaneously re-designated, the FHLBNY would not require amortization of previously recorded hedge basis adjustments, although the assumption of no ineffectiveness is removed if the hedge was previously designated as a short-cut hedge. The FHLBNY performs a “test of a modification” under the guidance provided in ASC 310-20-35-11 each time a new advance is borrowed within a short-period of time, typically 5 business days after a prepayment. If a prepayment fee is received on an advance that is determined to be a modification of the original advance, the fee would be deferred, recorded in the basis of the modified advance, and amortized over the life of the modified advance using the level-yield method. This amortization would be recorded as a component of interest income from advances. Prepayment Fees on Advances . Generally, advances are prepaid by members at their fair values. The FHLBNY also charges the member a prepayment fee to make the FHLBNY financially indifferent to the early termination of the advance. For a prepaid advance that had been hedged under a qualifying fair value hedge, the FHLBNY would terminate the hedging relationship. Typically, the FHLBNY would terminate the interest rate swap, and would record the fair value exchanged with the swap counterparty as its settlement value. Prepayment fees received from the prepaying member to make the FHLBNY financially indifferent is recognized in earnings as interest income from advances. For prepaid advances that are not hedged or that are economically hedged, the FHLBNY would also charge the member the fair value of the advance, in addition to a prepayment fee that would make the FHLBNY financially indifferent to the early termination. The FHLBNY offers a rebate, which is typically a portion of the prepayment fee. The rebate is contingent upon the prepaying member borrowing new advances within a 30-day period following prepayment, also satisfying conditions to qualify for the rebate, and complying with the then prevailing terms and conditions for borrowing new advances. At the time a prepayment fee is received from the borrowing member, a portion of the fee, deemed to be potentially rebatable, is not recognized in earnings. The rebatable amount is deferred as a liability as the FHLBNY considers the rebate opportunity for the member a contingency for the FHLBNY. Until no likelihood exists, such that the member has a potential claim to a rebate within the 30-day rebate period, the potential rebatable amount will be considered to be contingently payable. That amount will be deferred, based on the supposition that the rebatable portion of the prepayment fee may not be recognized as a revenue in its entirety because it may be subject to a claim payable to a third party, the borrowing member. Amounts would be recorded once the contingency has been resolved, i.e. when any future potential claims to rebatable funds have expired (30-day rebate period has expired) or has been otherwise settled and resolved (member enters into new qualifying advances within the 30-day period). Only after the member has no further claims on the funds, and the FHLBNY has no obligations to rebate funds, the deferred amounts may only then be released to earnings. The actual rebate would depend on the amount and the maturity duration of the new advance. |
Mortgage Loans Held-for-Portfolio | Mortgage Loans Held-for-Portfolio Mortgage Partnership Finance(R) program loans, or (MPF(R)), are mortgage loans held-for-portfolio. The FHLBNY participates in the MPF program by purchasing and originating conventional mortgage loans from its participating members (Participating Financial Institutions or PFIs). Credit Enhancement Obligations and Loss Layers. The FHLBNY and the PFI share the credit risks of the uninsured MPF loans by structuring potential credit losses into layers. Collectability of the loans is first supported by liens on the real estate securing the loan. For conventional mortgage loans, additional loss protection is provided by private mortgage insurance required for MPF loans with a loan-to-value ratio of more than 80% at origination, which is paid for by the borrower. Credit losses are absorbed by the FHLBNY to the extent of the First Loss Account (FLA) for which the maximum exposure is estimated to be $40.2 million at December 31, 2019 and $35.8 million at December 31, 2018. The aggregate amount of FLA is memorialized and tracked but is neither recorded nor reported as a loan loss reserve in the FHLBNY’s financial statements. If “second losses” beyond this layer are incurred, they are absorbed through a credit enhancement provided by the PFI. The credit enhancement held by PFIs ensures that the lender retains a credit stake in the loans it sells to the FHLBNY, or for the MPF 100 product that the PFI originates as an agent for the FHLBNY. For assuming the second loss credit risk, PFIs receive monthly credit enhancement fees from the FHLBNY. For most MPF products, the credit enhancement fee is accrued and paid monthly after the FHLBNY has accrued 12 months of credit enhancement fees. For loans acquired after May 2017, the amount of the credit enhancement is computed with the use of a Standard & Poor’s model to determine the amount of credit enhancement necessary to bring a pool of uninsured loans to a “Single A” credit risk. Prior to May 2017, the credit enhancement was calculated to a “Double A” credit risk. The credit enhancement becomes an obligation of the PFI. Delivery commitment fees are charged to a PFI for extending the scheduled delivery period of the loans. Pair-off fees may be assessed and charged to a PFI when the settlement of the delivery commitment (1) fails to occur, or (2) the principal amount of the loans purchased by the FHLBNY under a delivery commitment is not equal to the contract amount beyond established limits. Accounting for Mortgage Loans. The FHLBNY has the intent and ability to hold these mortgage loans for the foreseeable future or until maturity or payoff, and classifies mortgage loans as held-for-portfolio. Loans are reported at their principal amount outstanding, net of premiums and discounts, which is the fair value of the mortgage loan on settlement date. The FHLBNY defers premiums and discounts, and uses the contractual method to amortize premiums and accrete discounts on mortgage loans. The contractual method recognizes the income effects of premiums and discounts in a manner that is reflective of the actual behavior of the mortgage loans during the period in which the behavior occurs while also reflecting the contractual terms of the assets without regard to changes in estimated prepayments based upon assumptions about future borrower behavior. Mortgage loans are written down to their fair values either at foreclosure or to their collateral values when collectability is doubtful, typically when delinquent 180 days or greater and the loan is not well collateralized. When a loan is partially charged off, the remaining loan balance is typically written down and recorded at its collateral value on a non-recurring basis (see Note 18. Fair Values of Financial Instruments). The FHLBNY records credit enhancement fees as a reduction to mortgage loan interest income. Other non-origination fees, such as delivery commitment extension fees and pair-off fees, are considered as derivative income and recorded over the life of the commitment; all such fees were insignificant for all periods reported. Non-Accrual Mortgage Loans. The FHLBNY places a mortgage loan on non-accrual status when the collection of the contractual principal or interest is seriously delinquent, which for the FHLBNY is typically 90 days or more past due. When a mortgage loan is placed on non-accrual status, accrued but uncollected interest is reversed against interest income. A loan on non-accrual status may be restored to accrual when (1) principal and interest is no longer delinquent, (2) the FHLBNY expects to collect the remaining interest and principal, and (3) the collection is not under legal proceedings. For mortgage loans on non-accrual status, impairment calculations would consider if the collection of the remaining principal and interest due is determined to be doubtful, and any cash received would be applied first to principal until the remaining principal amount due is collected, and then as a recovery of any charge-offs. Any remaining cash flows would be recorded as interest income. If the FHLBNY determines that the loan servicer on a non-accrual loan has paid the accrued interest receivable as an advance, which is likely to be subject to recovery by the borrower, the FHLBNY would consider the cash received as a liability until the impaired loan returns to a performing status. The cumulative amounts of cash received and recorded as a liability was $1.6 million at December 31, 2019 and $2.3 million at December 31, 2018. Allowance for Credit Losses on Mortgage Loans. The FHLBNY reviews its portfolio to identify the losses inherent within the portfolio and to determine the likelihood of collection of the principal and interest. A valuation allowance for credit loss is separately established for each identified loan (individually evaluated) in order to provide for probable losses inherent in loans that are either classified under regulatory criteria (Special Mention, Sub-standard, Doubtful, or Loss) or seriously delinquent. The FHLBNY deems that foreclosure is probable when its mortgage loans become seriously delinquent. For the purposes of impairment, the FHLBNY deems loans that are in bankruptcy as impaired, regardless of their delinquency status. Loans discharged from bankruptcy are considered as Troubled Debt Restructurings (TDRs), and an impairment analysis is performed if the loan is seriously delinquent. Mortgage loans that are not seriously delinquent or are performing are assessed for impairment on a collective basis under the accounting standards for evaluating “large groups of smaller-balance homogenous loans”. In determining our collective reserve, we base our impairment analysis by performing a “loss emergence analysis” that applies historical default rates and historical probability of default. Credit losses calculated on a collective basis and on an individual basis summed to $0.7 million and $0.8 million at December 31, 2019 and 2018. Impairment Methodology and Portfolio Segmentation and Disaggregation — Except for VA and FHA insured mortgage loans, all MPF loans are measured for impairment and analyzed for credit losses. Measurement of credit losses is based on current information and events and when it is probable that the FHLBNY will be unable to collect all amounts due according to the contractual terms of the loan agreement. Credit losses are measured for impairment based on the fair value of the underlying property less estimated selling costs. It is assumed that repayment is expected to be provided solely by the sale of the underlying property, that is, there is no other available and reliable source of repayment. To the extent that the net fair value of the property (collateral) is less than the recorded investment in the loan, a loan loss allowance is recorded. FHA and VA are insured loans, and are excluded from the loan-by-loan analysis. FHA and VA insured mortgage loans have minimal inherent credit risk; risk generally arises mainly from the servicers defaulting on their obligations. FHA and VA insured mortgage loans, if adversely classified, would have reserves established only in the event of a default of a PFI, and reserves would be based on aging, collateral value and estimated costs to recover any uninsured portion of the MPF loan. Aside from separating conventional mortgage loans from FHA and VA insured loans, the FHLBNY has determined that no further disaggregation or portfolio segmentation is needed as the credit risk is measured at the individual loan level. Charge-Off Policy — The FHLBNY complies with the guidance provided by the FHFA to perform a charge-off analysis when a loan is on non-accrual status for 180 days or more and the loan is not well collateralized. The charge-off is calculated as the amount of the shortfall of the fair value of the underlying collateral, less estimated selling costs, compared to the recorded investment in the loan. Real Estate Owned (REO) — REO includes assets that have been received in satisfaction of mortgage loans through foreclosure. REO is recorded at the lower of cost or fair value less estimated selling costs of the REO. At the date of transfer, from mortgage loan to REO, the FHLBNY recognizes a charge-off to allowance for credit losses if the fair value of the REO is less than the recorded investment in the loan. Any subsequent realized gains, realized or unrealized losses and carrying costs are included in Other income (non-interest) in the Statements of Income. REO is recorded in Other assets in the Statements of Condition. |
Mandatorily Redeemable Capital Stock | Mandatorily Redeemable Capital Stock Generally, the FHLBNY’s capital stock is redeemable at the option of both the member and the FHLBNY, subject to certain conditions. The FHLBNY’s capital stock is accounted for under the guidance for financial instruments with characteristics of both liabilities and equity. Dividends paid on capital stock classified as mandatorily redeemable stock are accrued at an estimated dividend rate and reported as interest expense in the Statements of Income. Mandatorily redeemable capital stock at December 31, 2019 and 2018 represented capital stocks held by former members. Accounting Considerations under the Capital Plan — There are three triggering events that could cause the FHLBNY to repurchase capital stock. · a member requests redemption of excess membership stock; · a member delivers notice of its intent to withdraw from membership; or · a member attains non-member status (through merger into or acquisition by a non-member, charter termination, or involuntary termination from membership). The member’s request to redeem excess Membership Stock will be considered to be revocable until the stock is repurchased. Since the member’s request to redeem excess Membership Stock can be withdrawn by the member without penalty, the FHLBNY considers the member’s intent regarding such request to not be substantive in nature; therefore, no reclassification to a liability will be made at the time the request is delivered. Under the Capital Plan, when a member delivers a notification of its intent to withdraw from membership, the reclassification from equity to a liability will become effective upon receipt of the notification. The FHLBNY considers the member’s intent regarding such notification to be substantive in nature; therefore, reclassification to a liability will be made at the time the notification of the intent to withdraw is delivered. When a member is acquired by a non-member, the FHLBNY reclassifies stock of former members to a liability on the day the member’s charter is dissolved. Unpaid dividends related to capital stock reclassified as a liability are accrued at an estimated dividend rate and reported as interest expense in the Statements of Income. The repurchase of these mandatorily redeemable financial instruments is reflected as a cash outflow in the financing activities section of the Statements of Cash Flows. The FHLBNY’s capital stock can only be acquired and redeemed at par value; and are not traded and no market mechanism exists for the exchange of stock outside the cooperative structure. |
Affordable Housing Program | Affordable Housing Program The FHLBank Act requires each FHLBank to establish and fund an AHP (see Note 13. Affordable Housing Program). The FHLBNY charges the required funding for AHP to earnings and establishes a liability. The AHP funds provide subsidies to members to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. The AHP assessment is based on a fixed percentage of income before adjustment for dividends associated with mandatorily redeemable capital stock. Dividend payments are reported as interest expense in accordance with the accounting guidance for certain financial instruments with characteristics of both liabilities and equity. If the FHLBNY incurs a loss for the entire year, no AHP assessment or assessment credit is due or accrued, as explained more fully in Note 13. Affordable Housing Program. From time to time, the FHLBNY may also issue AHP advances at interest rates below the customary interest rates for non-subsidized advances. When the FHLBNY makes an AHP advance, the present value of the variation in the cash flow caused by the difference between the AHP advance interest rate and the FHLBNY’s related cost of funds for comparable maturity funding is charged against the AHP liability. The amounts are then recorded as a discount on the AHP advance. As an alternative, the FHLBNY has the authority to make the AHP subsidy available to members as a grant. |
Commitment Fees | Commitment Fees The FHLBNY records the present value of fees receivable from standby letters of credit as an asset and an offsetting liability for the obligation. Fees, which are generally received for one year in advance, are recorded as unrecognized standby commitment fees (deferred credit) and amortized monthly over the commitment period. The FHLBNY amortizes fees received to income using the straight line method. |
Derivatives and Hedging Activities | Derivatives and Hedging Activities All derivatives are recognized on the balance sheet at their estimated fair values, including accrued unpaid interest as either a derivative asset or a derivative liability net of cash collateral received from and posted to derivative counterparties. The FHLBNY has no foreign currency assets, liabilities or hedges. FHLBNY’s derivative and hedge accounting policies under ASC 815, as amended by ASU 2017-12, are summarized in Note 17. Derivatives and Hedging. |
Premises, Software and Equipment | Premises, Software and Equipment The Bank computes depreciation using the straight-line method over the estimated useful lives of assets ranging from four to five years. Leasehold improvements are amortized on a straight-line basis over the lesser of the useful life of the asset or the remaining term of the lease. The FHLBNY capitalizes improvements and major renewals but expenses ordinary maintenance and repairs when incurred, and would include gains and losses on disposal of premises and equipment in Other income (loss). |
Lease Accounting | Lease Accounting In February 2016, the FASB issued ASU 2016-02, Leases (Topic 842). The FHLBNY adopted the standards effective January 1, 2019. Leases are recognized on the balance sheet as a lease liability with a right-of-use asset as an offset. See Operating lease commitment disclosures in Note 19. Commitments and Contingencies. |
Consolidated Obligations | Consolidated Obligations Accounting for Consolidated obligation debt . The FHLBNY reports Consolidated obligation bonds and discount notes at amortized cost, net of discounts and premiums. If the consolidated obligation debt is hedged in a benchmark hedge, its carrying value will include hedging valuation adjustments, which will typically be the changes in the LIBOR index. The carrying value of Consolidated obligation debt elected under the FVO will be its fair value. The FHLBNY records interest paid on Consolidated obligation bonds in interest expense. The FHLBNY expenses the discounts on Consolidated obligation discount notes, using the level-yield method, over the term of the related notes and amortizes the discounts and premiums on callable and non-callable Consolidated bonds, also using the contractual level-yield method, over the term to maturity of the Consolidated obligation bonds. Concessions on Consolidated Obligations. Concessions are paid to dealers in connection with the issuance of certain Consolidated obligation bonds. The Office of Finance prorates the amount of the concession to the FHLBNY based upon the percentage of the debt issued that is assumed by the FHLBNY. Concessions paid on Consolidated obligation bonds elected under the FVO are expensed as incurred. Concessions paid on Consolidated obligation bonds not designated under the FVO are deferred and amortized, using the contractual level-yield method, over the term to maturity of the Consolidated obligation bond. Unamortized debt issuance costs are recorded in Consolidated obligation bond liabilities in the Statements of Condition. The FHLBNY charges to expense, as incurred, the concessions applicable to the sale of Consolidated obligation discount notes because of their short maturities; amounts are recorded in Consolidated obligations interest expense. |
Finance Agency and Office of Finance Expenses | Finance Agency and Office of Finance Expenses The FHLBNY is assessed for its proportionate share of the costs of operating the Finance Agency and the Office of Finance. The Finance Agency is authorized to impose assessments on the FHLBanks and two other GSEs, in amounts sufficient to pay the Finance Agency’s annual operating expenses. The Office of Finance is also authorized to impose assessments on the FHLBanks, including the FHLBNY, in amounts sufficient to pay the Office of Finance’s annual operating and capital expenditures. Each FHLBank is assessed a prorated — (1) two-thirds based upon each FHLBank’s share of total Consolidated obligations outstanding and (2) one-third based upon an equal pro-rata allocation. |
Earnings per Share of Capital | Earnings per Share of Capital Basic earnings per share is computed by dividing income available to stockholders by the weighted average number of shares outstanding for the period. Capital stock classified as mandatorily redeemable capital stock is excluded from this calculation. Basic and diluted earnings per share are the same, as the FHLBNY has no additional potential shares that may be dilutive. |
Cash Flows | Cash Flows In the Statements of Cash Flows, the FHLBNY considers Cash and due from banks to be cash. Federal funds sold, and securities purchased under agreements to resell are reported in the Statements of Cash Flows as investing activities. Federal funds sold, securities purchased under agreements to resell, and deposits with other FHLBanks are deemed short-term under ASC 320 and therefore, net presentation is appropriate. Derivative instruments — Cash flows from a derivative instrument that is accounted for as a fair value or cash flow hedge, including those designated as economic hedges, are reflected as cash flows from operating activities if the derivative instrument did not include “an other-than-insignificant” financing element at inception. When the FHLBNY executes an off-market derivative, which would typically require an up-front cash exchange, the FHLBNY will analyze the transaction and would deem it to contain a financing element if the cash exchange is more than insignificant. Financing elements are recorded as a financing activity in the Statements of Cash Flows. Losses on debt extinguishment — Losses from debt retirement and transfers (debt retirement) are considered financing activities in the Statements of Cash Flows. Losses are added back as an adjustment to Net cash provided by operating activities, with an offsetting increase in payments on maturing Consolidated obligation bonds as a financing activity. |
Recently Adopted Significant Accounting Policies | Recently Adopted Significant Accounting Policies Recognition and Measurement of Financial Assets and Financial Liabilities . In January 2016, the FASB issued ASU No. 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities, as an amendment to Financial Instruments — Overall (Subtopic 825-10). The amendments provide guidance on certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. We adopted the guidance effective January 1, 2018. This ASU required entities to present separately in OCI the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments. We evaluated this provision by analyzing the FHLBank issued Consolidated obligation debt (CO debt) for which the fair value option was elected and estimated the instrument-specific credit risk of CO debt as de minimis, if any, and accordingly no cumulative catch-up reclassification was necessary upon adoption. The ASU also required certain equity investments to be measured at fair value with changes in fair value recognized in net income, thus eliminating eligibility for the available-for-sale category under pre-ASU legacy standards. Our analysis of this provision in the ASU identified certain mutual fund assets in grantor trust that were designated as available-for-sale and subject to this provision of the ASU. The adoption of the guidance on January 1, 2018, resulted in an immaterial cumulative catch-up reclassification of the fair values of the trust assets from AOCI to retained earnings. Prior period financial statements were not required to be restated under the transition provisions of this ASU. Financial Accounting Standards Board (“FASB”) Standards Adopted Recently Adopted Accounting Guidance: Standard Summary of Guidance Effective Date Effects on the Financial Statements Derivatives and Hedging ASU 2017-12, Targeted Improvements to Accounting for Hedging Activities (Topic 815) Issued in August 2017 This guidance amends the accounting for derivatives and hedging activities to better portray the economic results of an entity's risk management activities in its financial statements. In addition to that main objective, the amendments in this ASU made certain targeted improvements to simplify the application of the hedge accounting guidance in pre- existing GAAP. The new guidance also requires that we report the entire hedging effects of the hedging instruments in the same income statement line item as the hedged item. This guidance became effective for the FHLBNY for the interim and annual periods beginning on January 1, 2019. While this is a change in presentation from the legacy standards, the impact for the FHLBNY was not material. The amended presentation was applied prospectively in the Statements of income and prior period comparative financial information was not reclassified to conform to current presentation. ASU 2017-12 allowed a one-time transfer of fixed-rate, pre-payable debt securities from HTM to AFS. The FHLBNY transferred $1.6 billion of HTM securities into AFS classification effective January 1, 2019 as a one- time transfer permitted under the standard. Other than changes in disclosures as required under the ASU and a one-time election to transfer the HTM securities to AFS, adoption did not have a material effect on the FHLBNY’s financial condition, results of operations, and cash flows. ASU 2018-16, Inclusion of the Secured Overnight Financing Rate (SOFR) Overnight Index Swap (OIS) Rate as a Benchmark Interest Rate for Hedge Accounting Purposes (Topic 815) Issued in October 2018 The new ASU added the OIS rate based on SOFR as a U.S. benchmark rate to facilitate the LIBOR to SOFR transition. The amendments in the ASU became effective for the FHLBNY concurrently with the adoption of ASU 2017-12 on January 1, 2019. The FHLBNY has adopted OIS/SOFR as another ASC 815 hedging benchmark for its interest rate risk management objectives. The FHLBNY’s primary benchmark for hedges under ASC 815 remains LIBOR. Beginning in the first quarter, the FHLBNY has also executed hedges under ASC 815 designating the FED funds OIS index (FF/OIS) as a benchmark rate. For further information, see Note 17 Derivatives and Hedging Activities. Leases ASU 2016-02, Leases (Topic 842) Issued in February 2016 This guidance amends the accounting for lease arrangements. In particular, it requires a lessee of operating and financing leases to recognize on the statements of condition, a right-of-use asset and a lease liability for leases. This guidance became effective for the FHLBNY for the interim and annual periods beginning on January 1, 2019. At January 1, 2019, we recognized lease liabilities of $83.9 million and right-of-use assets of $71.6 million, primarily related to operating premise leases. Other than the recognition of leases on the balance sheet, adoption on January 1, 2019 did not result in material changes to the recognition of operating lease expense in the FHLBNY’s Statements of income. For further information, see Note 19. Commitments and Contingencies. |
Significant Accounting Policies and Estimates | Significant Accounting Policies and Estimates The FHLBNY has identified certain accounting policies that it believes are significant because they require management to make subjective judgments about matters that are inherently uncertain and because of the likelihood that materially different amounts would be reported under different conditions or by using different assumptions. These policies include estimating the allowance for credit losses on the advance and mortgage loan portfolios, evaluating the impairment of the FHLBNY’s securities portfolios, and estimating fair values of certain assets and liabilities. |
Trading Securities. (Tables)
Trading Securities. (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Securities | |
Schedule of major security types of trading securities | The following table provides major security types at December 31, 2019 and December 31, 2018 (in thousands): Fair value December 31, 2019 December 31, 2018 GSE securities $ — $ 502,849 Corporate notes 3,217 3,334 U.S. Treasury notes 15,315,592 5,304,329 Total trading securities $ 15,318,809 $ 5,810,512 |
Trading Securities. | |
Securities | |
Schedule of redemption terms of the major types of trading securities | The following tables present redemption terms of the major types of trading securities (dollars in thousands): Redemption Terms December 31, 2019 Due in one year Due after one year or less through five years Total Fair Value Corporate notes $ 869 $ 2,348 $ 3,217 U.S. Treasury notes 6,176,952 9,138,640 15,315,592 Total trading securities $ 6,177,821 $ 9,140,988 $ 15,318,809 Yield on trading securities 2.36 % 2.36 % December 31, 2018 Due in one year Due after one year or less through five years Total Fair Value GSE securities $ 502,849 $ — $ 502,849 Corporate notes — 3,334 3,334 U.S. Treasury notes 3,171,130 2,133,199 5,304,329 Total trading securities $ 3,673,979 $ 2,136,533 $ 5,810,512 Yield on trading securities 2.05 % 2.14 % |
Equity Investments. (Tables)
Equity Investments. (Tables) - Equity Investment | 12 Months Ended |
Dec. 31, 2019 | |
Equity Investments | |
Schedule of carrying value of equity investments | The carrying value of equity investments in the Statements of Condition, and the types of assets in the grantor trust were as follows (in thousands): December 31, 2019 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains (b) Losses (b) Value (c) Cash equivalents $ 1,322 $ — $ — $ 1,322 Equity funds 28,650 8,312 (623) 36,339 Fixed income funds 22,104 412 (130) 22,386 Total Equity Investments (a) $ 52,076 $ 8,724 $ (753) $ 60,047 December 31, 2018 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains (b) Losses (b) Value (c) Cash equivalents $ 1,250 $ — $ — $ 1,250 Equity funds 25,788 2,481 (1,674) 26,595 Fixed income funds 21,036 7 (709) 20,334 Total Equity Investments (a) $ 48,074 $ 2,488 $ (2,383) $ 48,179 (a) The intent of the grantor trust is to set aside cash to meet current and future payments for supplemental unfunded pension plans. Neither the pension plans nor employees of the FHLBNY own the trust. (b) Changes in unrealized gains and losses are recorded through earnings, specifically in Other income in the Statements of Income. (c) The grantor trust invests in money market, equity and fixed income and bond funds. Daily net asset values (NAVs) are readily available and investments are redeemable at short notice. NAVs are the fair values of the funds in the grantor trust. The grantor trust is owned by the FHLBNY. |
Schedule of calculation of gains and losses related to outstanding equity investments held | In the Statements of Income gains and losses related to outstanding Equity Investments were as follows (in thousands): Years ended December 31, 2019 2018 Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date $ 7,866 $ (5,098) (a) Net gains (losses) recognized during the period on equity investments sold during the period 17 279 Net dividend and other 1,960 — Net gains (losses) recognized during the period $ 9,843 $ (4,819) (a) Prior year beginning balance was reclassified to conform to the classification adopted in 2019. |
Available-for-Sale Securities.
Available-for-Sale Securities. (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Securities | |
Schedule of available-for-sale securities with estimated fair values below their amortized cost basis | The following table summarizes available-for-sale securities with estimated fair values below their amortized cost basis (in thousands): December 31,2019 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-GSE Fannie Mae-CMO $ 32,012 $ (65) $ — $ — $ 32,012 $ (65) Fannie Mae-CMBS — — — — — — Freddie Mac-CMO 7,071 (9) — — 7,071 (9) Freddie Mac-CMBS 129,496 (423) — — 129,496 (423) Total $ 168,579 $ (497) $ — $ — $ 168,579 $ (497) |
Summary of interest rate payment terms of investments in mortgage-backed securities classified as AFS securities | The following table summarizes interest rate payment terms of investments in mortgage-backed securities classified as AFS securities (in thousands): December 31, 2019 December 31, 2018 Amortized Cost Fair Value Amortized Cost Fair Value Mortgage-backed securities Floating CMO - LIBOR $ 339,419 $ 341,509 $ 402,540 $ 406,551 CMBS - LIBOR 2,539 2,540 15,642 15,665 Total Floating 341,958 344,049 418,182 422,216 Fixed CMBS 2,225,185 2,309,369 — — Total Mortgage-backed securities $ 2,567,143 $ 2,653,418 $ 418,182 $ 422,216 |
Available-for-Sale Securities. | |
Securities | |
Schedule of major security types | The following tables provide major security types (in thousands): December 31, 2019 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains Losses Value GSE and U.S. Obligations Mortgage-backed securities Floating CMO $ 339,419 $ 2,164 $ (74) $ 341,509 CMBS 2,539 1 — 2,540 Total Floating 341,958 2,165 (74) 344,049 Fixed CMBS 2,213,592 99,532 (3,755) 2,309,369 AFS before hedging adjustments $ 2,555,550 $ 101,697 (a) $ (3,829) (a) $ 2,653,418 Hedging basis adjustments in AOCI 11,593 14,925 (b) 3,332 (b) — Total Available-for-sale securities $ 2,567,143 $ 86,772 $ (497) $ 2,653,418 December 31, 2018 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains Losses Value GSE and U.S. Obligations Mortgage-backed securities CMO-Floating $ 402,540 $ 4,011 $ — $ 406,551 CMBS-Floating 15,642 23 — 15,665 Total Available-for-sale securities $ 418,182 $ 4,034 $ — $ 422,216 (a) Amounts represents vendor priced gains/losses of AFS securities based on market pricing and historical amortized cost adjusted for pay downs and amortization of premiums and discounts; amounts are before adjusting book values for hedge basis adjustments, and will equal market values of AFS securities recorded in AOCI. Fair value hedges were executed internally to mitigate the interest rate risk of the hedged fixed-rate securities due to changes in the designated benchmark rate. (b) Amounts represent fair value hedging basis that were recorded as an adjustment to the amortized cost of hedged securities, impacting reported unrealized gains and losses. Securities in a fair value hedging relationship at December 31, 2019 reported $11.6 million as hedging basis and will agree with fair value hedging basis recorded in AOCI. The hedging basis adjustment had no impact on reported fair values, which remained market based. |
Schedule of amortized cost and estimated fair value of investments by contractual maturity | The amortized cost and estimated fair value (a) of investments classified as AFS, by contractual maturity, were as follows (in thousands): December 31, 2019 December 31, 2018 Amortized Cost (b) Fair Value Amortized Cost (b) Fair Value Mortgage-backed securities Due in one year of less $ 2,539 $ 2,540 $ — $ — Due after one year through five years — — 15,642 15,665 Due after five year through ten years 2,189,350 2,273,352 — — Due after ten years 375,254 377,526 402,540 406,551 Total Available-for-sale securities $ 2,567,143 $ 2,653,418 $ 418,182 $ 422,216 (a) The carrying value of AFS securities equals fair value. (b) Amortized cost is UPB after adjusting for net unamortized premiums of $30.4 million and net unamortized discounts of $1.5 million at December 31, 2019 and December 31, 2018. Additionally, historical amortized cost at December 31, 2019 was adjusted for hedging basis as noted previously. No AFS security was OTTI. |
Held-to-Maturity Securities. (T
Held-to-Maturity Securities. (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Held-to-Maturity Securities. | |
Summary of interest rate payment terms of securities classified as held-to-maturity | The following table summarizes interest rate payment terms of securities classified as held-to-maturity (in thousands): December 31, 2019 December 31, 2018 Amortized Carrying Amortized Carrying Cost Value Cost Value Mortgage-backed securities CMO Fixed $ 507,026 $ 506,695 $ 680,247 $ 679,867 Floating 1,788,297 1,788,297 2,169,384 2,169,384 Total CMO 2,295,323 2,294,992 2,849,631 2,849,251 CMBS Fixed 8,351,180 8,351,180 8,348,709 8,348,709 Floating 3,286,345 3,286,345 4,882,816 4,882,816 Total CMBS 11,637,525 11,637,525 13,231,525 13,231,525 Pass Thru (a) Fixed 171,889 164,649 204,281 193,601 Floating 15,001 15,001 32,100 32,099 Total Pass Thru 186,890 179,650 236,381 225,700 Total MBS 14,119,738 14,112,167 16,317,537 16,306,476 State and local housing finance agency obligations Fixed 5,525 5,525 6,770 6,770 Floating 1,116,790 1,116,790 1,161,580 1,161,580 Total State and local housing finance agency obligations 1,122,315 1,122,315 1,168,350 1,168,350 Total Held-to-maturity securities $ 15,242,053 $ 15,234,482 $ 17,485,887 $ 17,474,826 (a) Includes MBS supported by pools of mortgages. |
Rollforward information about the cumulative credit losses and other components of OTTI that will be recognized in future periods as recoveries | The following table provides rollforward information about the cumulative credit losses and other components of OTTI that will be recognized in future periods as recoveries (in thousands): Years ended December 31, 2019 2018 2017 Beginning balance $ 16,584 $ 22,731 $ 29,117 Additional credit losses for which an OTTI charge was previously recognized 640 141 — Realized credit losses — (49) (269) Increases in cash flows expected to be collected, recognized over the remaining life of the securities (2,787) (6,239) (6,117) Ending balance $ 14,437 $ 16,584 $ 22,731 |
Held-to-Maturity Securities. | |
Held-to-Maturity Securities. | |
Schedule of major security types | Major Security Types (in thousands) December 31, 2019 OTTI Gross Gross Amortized Recognized Carrying Unrecognized Unrecognized Fair Issued, guaranteed or insured: Cost (d) in AOCI Value Holding Gains (a) Holding Losses (a) Value Pools of Mortgages Fannie Mae $ 61,990 $ — $ 61,990 $ 6,255 $ — $ 68,245 Freddie Mac 11,526 — 11,526 1,135 — 12,661 Total pools of mortgages 73,516 — 73,516 7,390 — 80,906 Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits Fannie Mae 1,403,787 — 1,403,787 4,281 (3,130) 1,404,938 Freddie Mac 878,068 — 878,068 2,871 (2,526) 878,413 Ginnie Mae 9,265 — 9,265 113 — 9,378 Total CMOs/REMICs 2,291,120 — 2,291,120 7,265 (5,656) 2,292,729 Commercial Mortgage-Backed Securities (b) Fannie Mae 1,822,310 — 1,822,310 16,796 (1,372) 1,837,734 Freddie Mac 9,815,215 — 9,815,215 215,919 (18,584) 10,012,550 Total commercial mortgage-backed securities 11,637,525 — 11,637,525 232,715 (19,956) 11,850,284 Non-GSE MBS (c) CMOs/REMICs 4,451 (331) 4,120 56 (30) 4,146 Asset-Backed Securities (c) Manufactured housing (insured) 28,618 — 28,618 1,175 — 29,793 Home equity loans (insured) 61,186 (4,062) 57,124 17,912 — 75,036 Home equity loans (uninsured) 23,322 (3,178) 20,144 4,209 (146) 24,207 Total asset-backed securities 113,126 (7,240) 105,886 23,296 (146) 129,036 Total MBS 14,119,738 (7,571) 14,112,167 270,722 (25,788) 14,357,101 Other State and local housing finance agency obligations 1,122,315 — 1,122,315 400 (23,210) 1,099,505 Total Held-to-maturity securities $ 15,242,053 $ (7,571) $ 15,234,482 $ 271,122 $ (48,998) $ 15,456,606 December 31, 2018 OTTI Gross Gross Amortized Recognized Carrying Unrecognized Unrecognized Fair Issued, guaranteed or insured: Cost (d) in AOCI Value Holding Gains (a) Holding Losses (a) Value Pools of Mortgages Fannie Mae $ 74,301 $ — $ 74,301 $ 4,355 $ — $ 78,656 Freddie Mac 13,673 — 13,673 953 — 14,626 Total pools of mortgages 87,974 — 87,974 5,308 — 93,282 Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits Fannie Mae 1,752,909 — 1,752,909 5,057 (6,642) 1,751,324 Freddie Mac 1,079,824 — 1,079,824 4,971 (3,069) 1,081,726 Ginnie Mae 11,610 — 11,610 181 — 11,791 Total CMOs/REMICs 2,844,343 — 2,844,343 10,209 (9,711) 2,844,841 Commercial Mortgage-Backed Securities (b) Fannie Mae 2,596,388 — 2,596,388 888 (37,525) 2,559,751 Freddie Mac 10,635,137 — 10,635,137 59,025 (65,374) 10,628,788 Total commercial mortgage-backed securities 13,231,525 — 13,231,525 59,913 (102,899) 13,188,539 Non-GSE MBS (c) CMOs/REMICs 6,158 (380) 5,778 327 (42) 6,063 Asset-Backed Securities (c) Manufactured housing (insured) 35,528 — 35,528 1,490 — 37,018 Home equity loans (insured) 69,583 (6,214) 63,369 24,940 (14) 88,295 Home equity loans (uninsured) 42,426 (4,467) 37,959 5,886 (472) 43,373 Total asset-backed securities 147,537 (10,681) 136,856 32,316 (486) 168,686 Total MBS 16,317,537 (11,061) 16,306,476 108,073 (113,138) 16,301,411 Other State and local housing finance agency obligations 1,168,350 — 1,168,350 202 (24,207) 1,144,345 Total Held-to-maturity securities $ 17,485,887 $ (11,061) $ 17,474,826 $ 108,275 $ (137,345) $ 17,445,756 (a) Unrecognized gross holding gains and losses represent the difference between fair value and carrying value. (b) Commercial mortgage-backed securities (CMBS) are Agency issued securities, collateralized by income-producing “multifamily properties”. Eligible property types include standard conventional multifamily apartments, affordable multifamily housing, seniors housing, student housing, military housing, and rural rent housing. As permitted by the new hedge accounting guidance effective January 1, 2019, the FHLBNY elected to transfer fixed-rate GSE-issued CMBS at amortized cost basis of $1.6 billion from HTM to AFS. (c) The amounts represent non-agency private-label mortgage- and asset-backed securities. (d) Amortized cost — For securities that were deemed to be OTTI, amortized cost represents unamortized cost less credit OTTI, net of credit OTTI reversed due to improvements in cash flows. |
Summary of held-to-maturity securities with estimated fair values below their amortized cost basis | The following tables summarize held-to-maturity securities with estimated fair values below their amortized cost basis (in thousands): December 31, 2019 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 $ 124,654 $ (1) $ 216,241 $ (23,209) $ 340,895 $ (23,210) MBS Investment Securities MBS-GSE Fannie Mae 370,710 (335) 982,923 (4,167) 1,353,633 (4,502) Freddie Mac 1,922,472 (11,531) 1,688,774 (9,579) 3,611,246 (21,110) Total MBS-GSE 2,293,182 (11,866) 2,671,697 (13,746) 4,964,879 (25,612) MBS-Private-Label 21 — 9,325 (462) 9,346 (462) Total MBS 2,293,203 (11,866) 2,681,022 (14,208) 4,974,225 (26,074) Total $ 2,417,857 $ (11,867) $ 2,897,263 $ (37,417) $ 5,315,120 $ (49,284) December 31, 2018 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 $ 304,671 $ (29) $ 231,022 $ (24,178) $ 535,693 $ (24,207) MBS Investment Securities MBS-GSE Fannie Mae 1,212,164 (1,787) 2,134,166 (42,380) 3,346,330 (44,167) Freddie Mac 3,999,726 (14,431) 3,157,646 (54,012) 7,157,372 (68,443) Total MBS-GSE 5,211,890 (16,218) 5,291,812 (96,392) 10,503,702 (112,610) MBS-Private-Label 4,635 (24) 23,138 (600) 27,773 (624) Total MBS 5,216,525 (16,242) 5,314,950 (96,992) 10,531,475 (113,234) Total $ 5,521,196 $ (16,271) $ 5,545,972 $ (121,170) $ 11,067,168 $ (137,441) |
Schedule of amortized cost and estimated fair value of investments by contractual maturity | The amortized cost and estimated fair value of held-to-maturity securities, arranged by contractual maturity, were as follows (in thousands): December 31, 2019 December 31, 2018 Amortized Estimated Amortized Estimated Cost (a) Fair Value Cost (a) Fair Value State and local housing finance agency obligations Due in one year or less $ — $ — $ — $ — Due after one year through five years 9,770 9,781 20,300 20,194 Due after five years through ten years 36,810 36,250 27,670 27,228 Due after ten years 1,075,735 1,053,474 1,120,380 1,096,923 State and local housing finance agency obligations 1,122,315 1,099,505 1,168,350 1,144,345 Mortgage-backed securities Due in one year or less 613,863 619,948 369,989 367,636 Due after one year through five years 4,102,650 4,142,443 4,587,009 4,590,849 Due after five years through ten years 6,648,746 6,815,921 8,201,200 8,157,858 Due after ten years 2,754,479 2,778,789 3,159,339 3,185,068 Mortgage-backed securities 14,119,738 14,357,101 16,317,537 16,301,411 Total Held-to-maturity securities $ 15,242,053 $ 15,456,606 $ 17,485,887 $ 17,445,756 (a) Amortized cost is UPB after adjusting for net unamortized premiums of $72.5 million and $63.7 million (net of unamortized discounts) and before OTTI adjustments at December 31, 2019 and December 31, 2018. |
Advances. (Tables)
Advances. (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Advances. | |
Schedule of contractual redemption terms and yields of advances | Contractual redemption terms and yields of advances were as follows (dollars in thousands): December 31, 2019 December 31, 2018 Weighted (a) Weighted (a) Average Percentage Average Percentage Amount Yield of Total Amount Yield of Total Overdrawn demand deposit accounts $ — — % — % $ 4,282 3.35 % — % Due in one year or less 69,206,283 1.99 68.93 68,305,214 2.52 64.79 Due after one year through two years 8,727,277 2.16 8.69 18,019,447 2.46 17.09 Due after two years through three years 6,214,853 2.32 6.19 6,471,750 2.38 6.14 Due after three years through four years 3,032,507 2.68 3.02 3,505,420 2.61 3.32 Due after four years through five years 2,709,805 2.02 2.70 2,078,462 2.97 1.97 Thereafter 10,505,353 2.13 10.47 7,049,282 2.51 6.69 Total par value 100,396,078 2.06 % 100.00 % 105,433,857 2.51 % 100.00 % Hedge valuation basis adjustments (b) 299,163 (255,024) Total $ 100,695,241 $ 105,178,833 (a) 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. (b) Hedge valuation basis adjustments under ASC 815 hedges represent changes in the fair values of fixed-rate advances due to changes in designated benchmark rates. The FHLBNY's primary benchmark rate is LIBOR; the FHLBNY may also hedge to the OIS/FF index and OIS/SOFR index. |
Mortgage Loans Held-for-Portf_2
Mortgage Loans Held-for-Portfolio. (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Mortgage Loans Held-for-Portfolio. | |
Schedule of information on mortgage loans held-for-portfolio | The following table presents information on mortgage loans held-for-portfolio (dollars in thousands): December 31, 2019 December 31, 2018 Percentage of Percentage of Amount Total Amount Total Real Estate (a) : Fixed medium-term single-family mortgages $ 174,291 5.57 % $ 196,551 6.82 % Fixed long-term single-family mortgages 2,953,453 94.43 2,686,866 93.18 Total par value 3,127,744 100.00 % 2,883,417 100.00 % Unamortized premiums 46,442 45,451 Unamortized discounts (1,562) (1,761) Basis adjustment (b) 1,381 937 Total mortgage loans held-for-portfolio 3,174,005 2,928,044 Allowance for credit losses (653) (814) Total mortgage loans held-for-portfolio, net of allowance for credit losses $ 3,173,352 $ 2,927,230 (a) Conventional mortgages represent the majority of mortgage loans held-for-portfolio, with the remainder invested in FHA and VA insured loans (also referred to as government loans). (b) Balances represent unamortized fair value basis of closed delivery commitments. A basis adjustment is recorded at the settlement of the loan and it represents the difference in trade price paid for acquiring the loan and the price at the settlement date for a similar loan. The basis adjustment is amortized as a yield adjustment to Interest income. |
Roll-forward analysis of allowance for credit losses | The following table provides a rollforward analysis of the allowance for credit losses (in thousands): Years ended December 31, 2019 2018 2017 Allowance for credit losses: Beginning balance $ 814 $ 992 $ 1,554 Charge-offs (19) (172) (580) Recoveries — 365 305 Provision (Reversal) for credit losses on mortgage loans (142) (371) (287) Ending balance $ 653 $ 814 $ 992 December 31, 2019 2018 2017 Ending balance, individually evaluated for impairment 160 $ 238 $ 210 Ending balance, collectively evaluated for impairment 493 576 782 Total Allowance for credit losses $ 653 $ 814 $ 992 |
Schedule of non-performing mortgage loans | The FHLBNY’s total MPF loans and impaired MPF loans were as follows (in thousands): December 31, 2019 December 31, 2018 Total Mortgage loans, carrying values net of allowance for credit losses (a) $ 3,173,352 $ 2,927,230 Non-performing mortgage loans - Conventional (a)(b) $ 6,899 $ 8,453 Insured MPF loans past due 90 days or more and still accruing interest (a)(b) $ 3,935 $ 5,501 (a) Includes loans classified as special mention, sub-standard, doubtful or loss under regulatory criteria, net of amounts charged-off if delinquent for 180 days or more. (b) Data in this table represents UPB, and would not agree to data reported in other tables at “recorded investment,” which includes interest receivable. |
Summary of impaired loans for which related allowance was individually measured (excluding insured FHA/VA loans) | The following summarizes the recorded investment in impaired loans (excluding insured FHA/VA loans), the unpaid principal balance, and the related allowance (individually assessed), and the average recorded investment of loans for which the related allowance was individually measured (in thousands): December 31, 2019 Unpaid Average Recorded Principal Related Recorded Investment Balance Allowance Investment (d) Conventional MPF Loans (a)(c) No related allowance (b) $ 9,061 $ 9,025 $ — $ 10,169 With a related allowance 1,412 1,408 160 987 Total individually measured for impairment $ 10,473 $ 10,433 $ 160 $ 11,156 December 31, 2018 Unpaid Average Recorded Principal Related Recorded Investment Balance Allowance Investment (d) Conventional MPF Loans (a)(c) No related allowance (b) $ 10,507 $ 10,443 $ — $ 12,681 With a related allowance 993 974 238 1,161 Total individually measured for impairment $ 11,500 $ 11,417 $ 238 $ 13,842 (a) Based on analysis of the nature of risks of the FHLBNY’s investments in MPF loans, including its methodologies for identifying and measuring impairment, management has determined that presenting such loans as a single class is appropriate. (b) Collateral values, net of estimated costs to sell, exceeded the recorded investments in impaired loans and no allowances were deemed necessary. (c) Interest received is not recorded as Interest income if an uninsured loan is past due 90 days or more. Cash received is recorded as a liability on the assumption that cash was remitted by the servicer to the FHLBNY that could potentially be recouped by the borrower in a foreclosure. (d) Represents the average recorded investment for the twelve months ended December 31, 2019 and 2018. |
Summary of loans for which related allowance was collectively measured | The following tables summarize the recorded investment, the unpaid principal balance, and the average recorded investment of loans for which the related allowance was collectively measured (in thousands): December 31, 2019 Unpaid Average Recorded Principal Related Recorded Investment Balance Allowance Investment (a) Collectively measured for impairment Insured loans $ 222,266 $ 217,000 $ — $ 227,695 Uninsured loans 2,956,793 2,900,311 493 2,794,030 Total loans collectively measured for impairment $ 3,179,059 $ 3,117,311 $ 493 $ 3,021,725 December 31, 2018 Unpaid Average Recorded Principal Related Recorded Investment Balance Allowance Investment (a) Collectively measured for impairment Insured loans $ 233,064 $ 227,268 $ — $ 237,144 Uninsured loans 2,697,827 2,644,732 576 2,660,060 Total loans collectively measured for impairment $ 2,930,891 $ 2,872,000 $ 576 $ 2,897,204 (a) Represents the average recorded investment for the twelve months ended December 31,2019 and 2018. |
Summary of recorded investments in MPF loans past due, and real estate owned | Recorded investments in MPF loans that were past due, and real estate owned are summarized below. Recorded investment, which includes accrued interest receivable, would not equal carrying values reported elsewhere (dollars in thousands): December 31, 2019 December 31, 2018 Conventional Insured Conventional Insured MPF Loans Loans MPF Loans Loans Mortgage loans: Past due 30 - 59 days $ 15,775 $ 11,418 $ 17,635 $ 12,724 Past due 60 - 89 days 3,424 2,611 2,683 3,025 Past due 90 - 179 days 1,742 1,391 1,169 1,663 Past due 180 days or more 5,177 2,756 7,316 4,216 Total past due 26,118 18,176 28,803 21,628 Total current loans 2,941,148 204,090 2,680,524 211,436 Total mortgage loans $ 2,967,266 $ 222,266 $ 2,709,327 $ 233,064 Other delinquency statistics: Loans in process of foreclosure, included above $ 4,198 $ 2,408 $ 5,149 $ 3,343 Number of foreclosures outstanding at period end 31 14 37 27 Serious delinquency rate (a) 0.24 % 1.87 % 0.31 % 2.52 % Serious delinquent loans total used in calculation of serious delinquency rate $ 7,223 $ 4,147 $ 8,525 $ 5,879 Past due 90 days or more and still accruing interest $ — $ 4,147 $ — $ 5,879 Loans on non-accrual status $ 6,919 $ — $ 8,485 $ — Troubled debt restructurings: Loans discharged from bankruptcy (b) $ 7,711 $ 1,028 $ 7,398 $ 823 Modified loans under MPF® program $ 1,138 $ — $ 1,423 $ — Real estate owned $ 293 $ 767 (a) Serious delinquency rate is defined as recorded investments in loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of total loan class. (b) Loans discharged from Chapter 7 bankruptcies are considered as TDRs. |
Deposits. (Tables)
Deposits. (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Deposits. | |
Summary of deposits and interest rate payment terms for deposits | The following table summarizes deposits (in thousands): December 31, 2019 December 31, 2018 Interest-bearing deposits Interest-bearing demand $ 1,144,519 $ 1,002,587 Term (a) 15,000 40,000 Total interest-bearing deposits 1,159,519 1,042,587 Non-interest-bearing demand 34,890 20,050 Total deposits (b) $ 1,194,409 $ 1,062,637 (a) Term deposits were for periods of one year or less. (b) Specific disclosures about deposits that exceed FDIC limits have been omitted as deposits are not insured by the FDIC. Deposits are received in the ordinary course of the FHLBNY’s business. The FHLBNY has pledged securities to the FDIC to collateralize deposits maintained at the FHLBNY by the FDIC; for more information, see Securities Pledged in Note 8. Held-to-Maturity Securities. Interest rate payment terms for deposits are summarized below (dollars in thousands): December 31, 2019 December 31, 2018 Amount Average Interest Amount Average Interest Outstanding Rate (b) Outstanding Rate (b) Due in one year or less Interest-bearing deposits (a) $ 1,159,519 2.03 % $ 1,042,587 1.73 % Non-interest-bearing deposits 34,890 20,050 Total deposits $ 1,194,409 $ 1,062,637 (a) Primarily adjustable rate. (b) The weighted average interest rate is calculated based on the average balance. |
Consolidated Obligations. (Tabl
Consolidated Obligations. (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Consolidated Obligations. | |
Summary of Consolidated obligations issued and outstanding | The following table summarizes carrying amounts of Consolidated obligations issued by the FHLBNY and outstanding at December 31, 2019 and December 31, 2018 (in thousands): December 31, 2019 December 31, 2018 Consolidated obligation bonds-amortized cost $ 78,179,661 $ 83,764,337 Hedge valuation basis adjustments 377,000 238,150 Hedge basis adjustments on de-designated hedges 139,605 131,497 FVO - valuation adjustments and accrued interest 67,043 19,792 Total Consolidated obligation bonds $ 78,763,309 $ 84,153,776 Discount notes-amortized cost $ 73,955,552 $ 50,631,066 Hedge value basis adjustments (105) — FVO - valuation adjustments and remaining accretion 3,758 9,172 Total Consolidated obligation discount notes $ 73,959,205 $ 50,640,238 |
Summary of Consolidated obligation bonds outstanding by year of maturity | The following table is a summary of carrying amounts of Consolidated obligation bonds outstanding by year of maturity (dollars in thousands): December 31, 2019 December 31, 2018 Weighted Weighted Average Percentage Average Percentage Maturity Amount Rate (a) of Total Amount Rate (a) of Total One year or less $ 62,319,595 1.77 % 79.79 % $ 64,893,475 2.29 % 77.48 % Over one year through two years 4,061,125 2.10 5.20 7,555,545 2.38 9.02 Over two years through three years 2,817,715 2.22 3.61 2,586,325 2.48 3.09 Over three years through four years 1,538,835 2.69 1.97 2,181,750 2.39 2.60 Over four years through five years 1,240,735 2.60 1.58 1,435,235 2.73 1.71 Thereafter 6,130,800 3.34 7.85 5,105,650 3.45 6.10 Total par value 78,108,805 1.96 % 100.00 % 83,757,980 2.39 % 100.00 % Bond premiums (b) 95,560 42,647 Bond discounts (b) (24,704) (36,290) Hedge valuation basis adjustments (c) 377,000 238,150 Hedge basis adjustments on de-designated hedges (d) 139,605 131,497 FVO (e) - valuation adjustments and accrued interest 67,043 19,792 Total Consolidated obligation-bonds $ 78,763,309 $ 84,153,776 (a) Weighted average rate represents the weighted average contractual coupons of bonds, unadjusted for swaps. (b) Amortization of CO bond premiums and discounts are recorded in interest expense as yield adjustments. (c) Hedge valuation basis adjustments under ASC 815 fair value hedges represent changes in the fair values of fixed-rate CO bonds due to changes in the designated benchmark rate. LIBOR is the primary benchmark index; the FHLBNY may also hedge to the FF/OIS index and the FF/SOFR index. (d) Hedge basis adjustments on de-designated hedges represent the unamortized balances of valuation basis of fixed-rate CO bonds that were previously in a fair value hedging relationship. Generally, when a hedging relationship is de-designated, the valuation basis is no longer adjusted for changes in the valuation of the debt for changes in the benchmark rate; instead, the basis is amortized over the debt’s remaining life, so that at maturity of the debt the unamortized basis is reversed to zero. (e) Valuation adjustments represent changes in the entire fair values of CO bonds elected under the FVO. |
Summary of types of Consolidated obligation bonds issued and outstanding by Interest Rate Payment Terms | The following table summarizes par amounts of major types of Consolidated obligation bonds issued and outstanding (dollars in thousands): December 31, 2019 December 31, 2018 Percentage Percentage Amount of Total Amount of Total Fixed-rate, non-callable $ 32,588,805 41.72 % $ 22,745,980 27.16 % Fixed-rate, callable 4,803,000 6.15 4,966,000 5.93 Step Up, callable 15,000 0.02 880,000 1.05 Single-index floating rate 40,702,000 52.11 55,166,000 65.86 Total par value $ 78,108,805 100.00 % $ 83,757,980 100.00 % |
Schedule of outstanding Consolidated obligation discount notes | The FHLBNY’s outstanding Consolidated obligation discount notes were as follows (dollars in thousands): December 31, 2019 December 31, 2018 Par value $ 74,094,586 $ 50,805,481 Amortized cost $ 73,955,552 $ 50,631,066 Hedge value basis adjustments (105) — FVO (a) - valuation adjustments and remaining accretion 3,758 9,172 Total discount notes $ 73,959,205 $ 50,640,238 Weighted average interest rate 1.60 % 2.34 % (a) Valuation adjustments represent changes in the entire fair values of discount notes elected under the FVO. |
Affordable Housing Program. (Ta
Affordable Housing Program. (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Affordable Housing Program. | |
Roll-forward information with respect to changes in Affordable Housing Program liabilities | The following table provides rollforward information with respect to changes in Affordable Housing Program liabilities (in thousands): Years ended December 31, 2019 2018 2017 Beginning balance $ 161,718 $ 131,654 $ 125,062 Additions from current period’s assessments 52,552 62,382 53,417 Net disbursements for grants and programs (60,376) (32,318) (46,825) Ending balance $ 153,894 $ 161,718 $ 131,654 |
Capital Stock, Mandatorily Re_2
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | |
Summary of risk-based capital ratios | Risk-based Capital — The following table summarizes the FHLBNY’s risk-based capital ratios (dollars in thousands): December 31, 2019 December 31, 2018 Required (d) Actual Required (d) Actual Regulatory capital requirements: Risk-based capital (a)(e) $ 1,107,356 $ 7,584,829 $ 797,783 $ 7,765,726 Total capital-to-asset ratio 4.00 % 4.68 % 4.00 % 5.38 % Total capital (b) $ 6,482,481 $ 7,584,829 $ 5,775,256 $ 7,765,726 Leverage ratio 5.00 % 7.02 % 5.00 % 8.07 % Leverage capital (c) $ 8,103,101 $ 11,377,244 $ 7,219,070 $ 11,648,589 (a) Actual “Risk-based capital” is capital stock and retained earnings plus mandatorily redeemable capital stock. Section 1277.3 of the Finance Agency’s regulations (superseding section 932.2 effective January 1, 2020) also refers to this amount as “Permanent Capital.” (b) Required “Total capital” is 4.0% of total assets. (c) The required leverage ratio of total capital to total assets should be at least 5.0%. For the purposes of determining the leverage ratio, total capital shall be computed by multiplying the Bank’s Permanent Capital by 1.5. (d) Required minimum. (e) Under regulatory guidelines issued by the Finance Agency in August 2011 that was consistent with guidance provided by other federal banking agencies with respect to capital rules, risk weights are maintained at AAA for U.S. Treasury securities and other securities issued or guaranteed by the U.S. Government, government agencies, and government-sponsored entities for purposes of calculating risk-based capital. |
Schedule of anticipated redemptions of mandatorily redeemable capital stock | Estimated redemption periods were as follows (in thousands): December 31, 2019 December 31, 2018 Redemption less than one year $ 835 $ 229 Redemption from one year to less than three years 371 1,068 Redemption from three years to less than five years 402 425 Redemption from five years or greater 3,521 4,123 Total $ 5,129 $ 5,845 |
Roll-forward information with respect to changes in mandatorily redeemable capital stock liabilities | The following table provides rollforward information with respect to changes in mandatorily redeemable capital stock liabilities (in thousands): Years ended December 31, 2019 2018 2017 Beginning balance $ 5,845 $ 19,945 $ 31,435 Capital stock subject to mandatory redemption reclassified from equity 4,184 8,756 3,009 Redemption of mandatorily redeemable capital stock (a) (4,900) (22,856) (14,499) Ending balance $ 5,129 $ 5,845 $ 19,945 Accrued interest payable (b) $ 84 $ 112 $ 305 (a) Redemption includes repayment of excess stock. (b) The annualized accrual rates for the three months ended December 31, 2019, 2018 and 2017 were 6.35%, 6.90% and 6.00%. Accrual rates are based on estimated dividend rates. |
Earnings Per Share of Capital.
Earnings Per Share of Capital. (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Earnings Per Share of Capital. | |
Schedule of computation of earnings per share | The FHLBNY has no dilutive potential common shares or other common stock equivalents (dollars in thousands except per share amounts): Years ended December 31, 2019 2018 2017 Net income $ 472,588 $ 560,478 $ 479,469 Net income available to stockholders $ 472,588 $ 560,478 $ 479,469 Weighted average shares of capital 55,511 61,798 62,800 Less: Mandatorily redeemable capital stock (60) (140) (215) Average number of shares of capital used to calculate earnings per share 55,451 61,658 62,585 Basic earnings per share $ 8.52 $ 9.09 $ 7.66 |
Employee Retirement Plans. (Tab
Employee Retirement Plans. (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Employee Retirement Plans | |
Schedule of employee retirement plan expenses | The following table presents employee retirement plan expenses for the periods ended (in thousands): Years ended December 31, 2019 2018 2017 Defined Benefit Plan $ 9,976 $ 10,066 $ 7,455 Benefit Equalization Plans (defined benefit and defined contribution) 7,613 6,838 5,705 Defined Contribution Plans 2,501 2,329 2,122 Postretirement Health Benefit Plan (230) (1,145) (86) (a) Total retirement plan expenses $ 19,860 $ 18,088 $ 15,196 (a) Prior period number has been adjusted by immaterial amount. |
Benefit Equalization Plan (BEP) | |
Employee Retirement Plans | |
Schedule of accrued pension costs | The accrued pension costs for the BEP plan were as follows (in thousands): December 31, 2019 2018 Accumulated benefit obligation $ 67,274 $ 52,288 Effect of future salary increases 11,032 10,819 Projected benefit obligation 78,306 63,107 Unrecognized prior service (cost)/credit (1,548) — Unrecognized net (loss)/gain (31,954) (22,980) Accrued pension cost $ 44,804 $ 40,127 |
Schedule of components of benefit obligation for the plan | Components of the projected benefit obligation for the BEP plan were as follows (in thousands): December 31, 2019 2018 Projected benefit obligation at the beginning of the year $ 63,107 $ 63,089 Service cost 1,265 1,095 Interest cost 2,544 2,155 Benefits paid (2,011) (1,824) Actuarial loss/(gain) (a) 11,853 (1,408) Plan amendments 1,548 — Projected benefit obligation at the end of the year $ 78,306 $ 63,107 The measurement date used to determine projected benefit obligation for the BEP plan was December 31 in each of the two years. (a) Actuarial loss of $11.9 million in 2019 was primarily due to decline in discount rate and unfavorable change in demographic experience, partly offset by favorable changes in mortality assumptions. |
Schedule of amounts recognized in AOCI for the plan | Amounts recognized in AOCI for the BEP plan were as follows (in thousands): December 31, 2019 2018 Net loss/(gain) $ 31,954 $ 22,980 Prior service cost /(credit) 1,548 — Accumulated other comprehensive loss/(gain) $ 33,502 $ 22,980 |
Schedule of changes in plan assets | Changes in the BEP plan assets were as follows (in thousands): December 31, 2019 2018 Fair value of the plan assets at the beginning of the year $ — $ — Employer contributions 2,011 1,824 Benefits paid (2,011) (1,824) Fair value of the plan assets at the end of the year $ — $ — |
Schedule of components of net periodic cost | Components of the net periodic pension cost for the defined benefit component of the BEP were as follows (in thousands): Years ended December 31, 2019 2018 2017 Service cost $ 1,265 $ 1,095 $ 888 Interest cost 2,544 2,155 2,093 Amortization of unrecognized net loss 2,879 3,545 2,554 Net periodic benefit cost - Defined Benefit BEP 6,688 6,795 5,535 Benefit Equalization plans - Thrift and Deferred incentive compensation plans (introduced in 2017) 925 43 170 Total $ 7,613 $ 6,838 $ 5,705 |
Schedule of other changes in benefit obligations recognized in AOCI | Other changes in benefit obligations recognized in AOCI were as follows (in thousands): December 31, 2019 2018 Net loss/(gain) $ 11,853 $ (1,408) Prior service cost /(credit) 1,548 — Amortization of net (loss)/gain (2,879) (3,545) Total recognized in other comprehensive loss/(income) $ 10,522 $ (4,953) Total recognized in net periodic benefit cost and other comprehensive income $ 17,210 $ 1,842 |
Schedule of net transition obligation (asset), prior service cost (credit), and estimated net loss (gain) expected to be amortized from AOCI into net periodic benefit cost over next fiscal year | The net transition obligation (asset), prior service cost (credit), and the estimated net loss (gain) for the BEP plan that are expected to be amortized from AOCI into net periodic benefit cost over the next fiscal year are shown in the table below (in thousands): December 31, 2020 Expected amortization of net loss/(gain) $ 4,561 Expected amortization of past service cost /(credit) $ 697 |
Schedule of key assumptions and other information for actuarial calculations to determine benefit obligations | Key assumptions and other information for the actuarial calculations to determine benefit obligations for the BEP plan were as follows (dollars in thousands): December 31, 2019 December 31, 2018 December 31, 2017 Discount rate (a) 3.05 % 4.10 % 3.47 % Salary increases 4.50 % 4.50 % 4.50 % Amortization period (years) 5 6 6 Benefits paid during the period $ (2,011) $ (1,824) $ (1,788) (a) The discount rates were based on the Citigroup Pension Liability Index at December 31, adjusted for duration in each of the three years. |
Schedule of estimated future plan benefits to be paid | Future BEP plan benefits to be paid were estimated to be as follows (in thousands): Years Payments 2020 $ 2,651 2021 2,968 2022 3,202 2023 3,455 2024 3,668 2025-2029 21,704 Total $ 37,648 |
Postretirement Health Benefit Plan | |
Employee Retirement Plans | |
Schedule of components of benefit obligation for the plan | Components of the accumulated postretirement benefit obligation for the postretirement health benefits plan for the years ended December 31, 2019 and 2018 (in thousands): December 31, 2019 2018 Accumulated postretirement benefit obligation at the beginning of the year $ 12,826 $ 17,120 Service cost 72 87 Interest cost 406 465 Actuarial (gain)/loss (2,228) (4,457) Plan participant contributions 220 191 Actual benefits paid (738) (636) Retiree drug subsidy reimbursement 52 56 Accumulated postretirement benefit obligation at the end of the year $ 10,610 $ 12,826 |
Schedule of amounts recognized in AOCI for the plan | Amounts recognized in AOCI for the postretirement benefit obligation (in thousands): December 31, 2019 2018 Prior service (credit)/cost $ — $ (258) Net (gain)/loss (1,509) 269 Accumulated other comprehensive loss/(gain) $ (1,509) $ 11 |
Schedule of changes in plan assets | Changes in postretirement health benefit plan assets (in thousands): December 31, 2019 2018 Fair value of plan assets at the beginning of the year $ — $ — Employer contributions 518 445 Plan participant contributions 220 191 Actual benefits paid (738) (636) Fair value of plan assets at the end of the year $ — $ — |
Schedule of components of net periodic cost | Components of the net periodic benefit cost for the postretirement health benefit plan were as follows (in thousands): Years ended December 31, 2019 2018 2017 Service cost (benefits attributed to service during the period) $ 72 $ 87 $ 100 Interest cost on accumulated postretirement health benefit obligation 406 465 629 Amortization of (gain)/loss (451) 64 946 Amortization of prior service (credit)/cost (257) (1,761) (1,761) Net periodic postretirement health benefit (income) $ (230) $ (1,145) $ (86) |
Schedule of other changes in benefit obligations recognized in AOCI | Other changes in benefit obligations recognized in AOCI were as follows (in thousands): December 31, 2019 2018 Net (gain)/loss $ (2,228) $ (4,457) Amortization of net gain/(loss) 451 (64) Amortization of prior service credit/(cost) 257 1,761 Total recognized in other comprehensive income $ (1,520) $ (2,760) Total recognized in net periodic benefit cost and other comprehensive income $ (1,750) $ (3,905) |
Schedule of net transition obligation (asset), prior service cost (credit), and estimated net loss (gain) expected to be amortized from AOCI into net periodic benefit cost over next fiscal year | The net transition obligation (asset), prior service cost (credit), and estimated net loss (gain) for the postretirement health benefit plan are expected to be amortized from AOCI into net periodic benefit cost over the next fiscal year are shown in the table below (in thousands): December 31, 2020 Expected amortization of net (gain)/loss $ (152) |
Schedule of key assumptions and other information for actuarial calculations to determine benefit obligations | Years ended December 31, 2019 2018 2017 Weighted average discount rate (a) 3.04% 4.09% 3.42% Health care cost trend rates: Assumed for next year Pre 65 6.75% 6.75% 7.10% Post 65 5.00% 4.90% 4.95% Pre 65 Ultimate rate 4.50% 4.50% 4.50% Pre 65 Year that ultimate rate is reached 2028 2025/2026 2026 Post 65 Ultimate rate 4.50% 4.50% 4.50% Post 65 Year that ultimate rate is reached 2028 2025/2026 2026 Alternative amortization methods used to amortize Prior service cost Straight - line Straight - line Straight - line Unrecognized net (gain) or loss Straight - line Straight - line Straight - line (a) The discount rates were based on the Citigroup Pension Liability Index adjusted for duration in each of the periods in this report. |
Schedule of estimated future plan benefits to be paid | Future postretirement health benefit plan expenses to be paid were estimated to be as follows (in thousands): Years Payments 2020 $ 623 2021 656 2022 689 2023 718 2024 722 2025-2029 3,547 Total $ 6,955 |
Pentegra Defined Benefit Plan | |
Employee Retirement Plans | |
Schedule of multiemployer plan disclosure | The following table presents multiemployer plan disclosure for the three years ended December 31, (dollars in thousands): 2019 2018 2017 Net pension cost charged to compensation and benefit expense for the year ended December 31 $ 9,976 $ 10,066 $ 7,455 Contributions allocated to plan year ended June 30 $ 9,696 $ 10,158 $ 7,409 (a) Pentegra DB Plan funded status as of July 1 (b) 108.59 % 109.86 % 111.30 % FHLBNY's funded status as of July 1 (c) 108.67 % 114.77 % 115.79 % (a) Contributions by the FHLBNY were not more than 5% of the total contribution made to the multi-employer plan by all participants for the plan year ended June 30 of the prior year. The most recent Form 5500 available for the Pentegra DB Plan is for the plan year ended June 30, 2018. (b) Funded status is based on actuarial valuation of the Pentegra DB Plan, and includes all participants allocated to plan years and known at the time of the preparation of the actuarial valuation. The funded status may increase because the plan’s participants are permitted to make contributions through March 15 of the following year. Funded status remains preliminary until the Form 5500 is filed no later than April 15, 2020 for the plan year ended June 30, 2019. For information with respect to contributions expensed by the FHLBNY, see previous Table — Retirement Plan Expenses Summary. Contributions include minimum required under ERISA that are prepaid for the fiscal plan year that ends at June 30 in the following year, and as a result contributions may not equal amounts expensed. (c) Based on cash contributions made through December 31, 2019 and allocated to the DB Plan year(s). The funded status may increase because the FHLBNY is permitted to make contributions through March 15 of the following year. |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities. (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Derivatives and Hedging Activities. | |
Schedule of Derivative Notionals | The following table presents the FHLBNY’s derivative activities based on notional amounts (in thousands): Derivative Notionals Hedging Instruments Under ASC 815 December 31,2019 December 31,2018 Interest rate contracts Interest rate swaps $ 107,837,925 $ 105,280,821 Interest rate caps 800,000 803,000 Mortgage delivery commitments 44,768 12,682 Total interest rate contracts notionals $ 108,682,693 $ 106,096,503 |
Schedule of Derivative Assets Nettable and Not Nettable | The table below presents the gross and net derivatives receivables by contract type and amount for those derivatives contracts for which netting is permissible under U.S. GAAP as Derivative instruments — nettable. Derivatives receivables have been netted with respect to those receivables as to which the netting requirements have been met, including obtaining a legal analysis with respect to the enforceability of the netting (in thousands): December 31, 2019 December 31, 2018 Derivative Derivative Derivative Derivative Assets Liabilities Assets Liabilities Derivative instruments - nettable Gross recognized amount Uncleared derivatives $ 241,501 $ 365,397 $ 246,765 $ 162,650 Cleared derivatives (f) 367,202 352,576 296,677 305,918 Total gross recognized amount 608,703 717,973 543,442 468,568 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (104,011) (333,471) (134,413) (142,097) Cleared derivatives (266,850) (352,092) (295,324) (295,324) Total gross amounts of netting adjustments and cash collateral (370,861) (685,563) (429,737) (437,421) Net amounts after offsetting adjustments and cash collateral $ 237,842 $ 32,410 $ 113,705 $ 31,147 Uncleared derivatives $ 137,490 $ 31,926 $ 112,352 $ 20,553 Cleared derivatives 100,352 484 1,353 10,594 Total net amounts after offsetting adjustments and cash collateral $ 237,842 $ 32,410 $ 113,705 $ 31,147 Derivative instruments - not nettable Uncleared derivatives (a) $ 105 $ 1 $ 57 $ — Total derivative assets and total derivative liabilities Uncleared derivatives 137,595 31,927 112,409 20,553 Cleared derivatives 100,352 484 1,353 10,594 Total derivative assets and total derivative liabilities presented in the Statements of Condition (b) $ 237,947 $ 32,411 $ 113,762 $ 31,147 Non-cash collateral received or pledged (c) Can be sold or repledged Security pledged as initial margin to Derivative Clearing Organization (d) $ 251,177 $ — $ 239,813 $ — Cannot be sold or repledged Uncleared derivatives securities received (115,238) — (102,682) — Total net amount of non-cash collateral received or repledged $ 135,939 $ — $ 137,131 $ — Total net exposure cash and non-cash (e) $ 373,886 $ 32,411 $ 250,893 $ 31,147 Net unsecured amount - Represented by: Uncleared derivatives $ 22,357 $ 31,927 $ 9,727 $ 20,553 Cleared derivatives 351,529 484 241,166 10,594 Total net exposure cash and non-cash (e) $ 373,886 $ 32,411 $ 250,893 $ 31,147 (a) Not nettable derivative instruments are without legal right of offset, and were synthetic derivatives representing forward mortgage delivery commitments of 45 business days or less. Amounts were not material, and it was operationally not practical to separate receivables from payables; net presentation was adopted. No cash collateral was involved with the mortgage delivery commitments. (b) Amounts represented Derivative assets and liabilities that were recorded in the Statements of Condition. Derivative cash balances were not netted with non-cash collateral received or pledged, since legal ownership of the non-cash collateral remains with the pledging counterparty (see footnote (c) below). (c) Non-cash collateral received or pledged — For certain uncleared derivatives, counterparties have pledged U.S. Treasury securities to the FHLBNY as collateral. Amounts also included non-cash mortgage collateral on derivative positions with member counterparties where we acted as an intermediary. For certain cleared derivatives, we have pledged marketable securities to satisfy initial margin or collateral requirements. (d) Amounts represented securities pledged to Derivative Clearing Organization to fulfill our initial margin obligations on cleared derivatives. Securities pledged may be sold or repledged if the FHLBNY defaults on our obligations under rules established by the CFTC. (e) Amounts represented net exposure after applying non-cash collateral pledged to and by the FHLBNY. Since legal ownership and control over the securities are not transferred, the net exposure represented in the table above is for information only and is not reported as such in the Statements of Condition. (f) Note on variation margin - For all cleared derivative contracts that have not matured, "Variation margin" is exchanged between the FHLBNY and the FCM, acting as agents on behalf of DCOs. Variation margin is determined by the DCO and fluctuates with the fair values of the open contracts. When the aggregate contract value of open derivatives is "in-the-money" for the FHLBNY (gain position), the FHLBNY would receive variation margin from the DCO. If the value of the open contracts is "out-of-the-money" (liability position), the FHLBNY would post variation margin to the DCO. At December 31, 2019, the FHLBNY posted $100.1 million in cash as settlement variation margin to FCMs. At December 31, 2018, we had received $514.7 million in cash as settlement variation margin from FCMs. As noted, variation margin is not considered as collateral, rather as the daily settlement amounts of outstanding derivative contracts. |
Schedule of Derivative Liabilities Nettable and Not Nettable | The table below presents the gross and net derivatives receivables by contract type and amount for those derivatives contracts for which netting is permissible under U.S. GAAP as Derivative instruments — nettable. Derivatives receivables have been netted with respect to those receivables as to which the netting requirements have been met, including obtaining a legal analysis with respect to the enforceability of the netting (in thousands): December 31, 2019 December 31, 2018 Derivative Derivative Derivative Derivative Assets Liabilities Assets Liabilities Derivative instruments - nettable Gross recognized amount Uncleared derivatives $ 241,501 $ 365,397 $ 246,765 $ 162,650 Cleared derivatives (f) 367,202 352,576 296,677 305,918 Total gross recognized amount 608,703 717,973 543,442 468,568 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (104,011) (333,471) (134,413) (142,097) Cleared derivatives (266,850) (352,092) (295,324) (295,324) Total gross amounts of netting adjustments and cash collateral (370,861) (685,563) (429,737) (437,421) Net amounts after offsetting adjustments and cash collateral $ 237,842 $ 32,410 $ 113,705 $ 31,147 Uncleared derivatives $ 137,490 $ 31,926 $ 112,352 $ 20,553 Cleared derivatives 100,352 484 1,353 10,594 Total net amounts after offsetting adjustments and cash collateral $ 237,842 $ 32,410 $ 113,705 $ 31,147 Derivative instruments - not nettable Uncleared derivatives (a) $ 105 $ 1 $ 57 $ — Total derivative assets and total derivative liabilities Uncleared derivatives 137,595 31,927 112,409 20,553 Cleared derivatives 100,352 484 1,353 10,594 Total derivative assets and total derivative liabilities presented in the Statements of Condition (b) $ 237,947 $ 32,411 $ 113,762 $ 31,147 Non-cash collateral received or pledged (c) Can be sold or repledged Security pledged as initial margin to Derivative Clearing Organization (d) $ 251,177 $ — $ 239,813 $ — Cannot be sold or repledged Uncleared derivatives securities received (115,238) — (102,682) — Total net amount of non-cash collateral received or repledged $ 135,939 $ — $ 137,131 $ — Total net exposure cash and non-cash (e) $ 373,886 $ 32,411 $ 250,893 $ 31,147 Net unsecured amount - Represented by: Uncleared derivatives $ 22,357 $ 31,927 $ 9,727 $ 20,553 Cleared derivatives 351,529 484 241,166 10,594 Total net exposure cash and non-cash (e) $ 373,886 $ 32,411 $ 250,893 $ 31,147 (a) Not nettable derivative instruments are without legal right of offset, and were synthetic derivatives representing forward mortgage delivery commitments of 45 business days or less. Amounts were not material, and it was operationally not practical to separate receivables from payables; net presentation was adopted. No cash collateral was involved with the mortgage delivery commitments. (b) Amounts represented Derivative assets and liabilities that were recorded in the Statements of Condition. Derivative cash balances were not netted with non-cash collateral received or pledged, since legal ownership of the non-cash collateral remains with the pledging counterparty (see footnote (c) below). (c) Non-cash collateral received or pledged — For certain uncleared derivatives, counterparties have pledged U.S. Treasury securities to the FHLBNY as collateral. Amounts also included non-cash mortgage collateral on derivative positions with member counterparties where we acted as an intermediary. For certain cleared derivatives, we have pledged marketable securities to satisfy initial margin or collateral requirements. (d) Amounts represented securities pledged to Derivative Clearing Organization to fulfill our initial margin obligations on cleared derivatives. Securities pledged may be sold or repledged if the FHLBNY defaults on our obligations under rules established by the CFTC. (e) Amounts represented net exposure after applying non-cash collateral pledged to and by the FHLBNY. Since legal ownership and control over the securities are not transferred, the net exposure represented in the table above is for information only and is not reported as such in the Statements of Condition. (f) Note on variation margin - For all cleared derivative contracts that have not matured, "Variation margin" is exchanged between the FHLBNY and the FCM, acting as agents on behalf of DCOs. Variation margin is determined by the DCO and fluctuates with the fair values of the open contracts. When the aggregate contract value of open derivatives is "in-the-money" for the FHLBNY (gain position), the FHLBNY would receive variation margin from the DCO. If the value of the open contracts is "out-of-the-money" (liability position), the FHLBNY would post variation margin to the DCO. At December 31, 2019, the FHLBNY posted $100.1 million in cash as settlement variation margin to FCMs. At December 31, 2018, we had received $514.7 million in cash as settlement variation margin from FCMs. As noted, variation margin is not considered as collateral, rather as the daily settlement amounts of outstanding derivative contracts. |
Schedule of outstanding notional balances and estimated fair values of derivatives outstanding | The following tables represent outstanding notional balances and estimated fair values of the derivatives outstanding at December 31, 2019 and December 31, 2018 (in thousands): December 31, 2019 Notional Amount Derivative Derivative of Derivatives Assets Liabilities Fair value of derivative instruments (a) Derivatives designated as hedging instruments under ASC 815 interest rate swaps $ 59,361,080 $ 414,480 $ 550,758 Total derivatives in hedging relationships under ASC 815 59,361,080 414,480 550,758 Derivatives not designated as hedging instruments Interest rate swaps 47,404,845 179,784 162,702 Interest rate caps 800,000 50 — Mortgage delivery commitments 44,768 105 1 Other (b) 1,072,000 14,389 4,513 Total derivatives not designated as hedging instruments 49,321,613 194,328 167,216 Total derivatives before netting and collateral adjustments $ 108,682,693 608,808 717,974 Netting adjustments (342,911) (342,911) Cash collateral and related accrued interest (27,950) (342,652) Total netting adjustments and cash collateral (370,861) (685,563) Total derivative assets and total derivative liabilities $ 237,947 $ 32,411 Security collateral pledged as initial margin to Derivative Clearing Organization (c) $ 251,177 Security collateral received from counterparty (c) (115,238) Net security 135,939 Net exposure $ 373,886 December 31, 2018 Notional Amount Derivative Derivative of Derivatives Assets Liabilities Fair value of derivative instruments (a) Derivatives designated as hedging instruments under ASC 815 interest rate swaps $ 60,701,776 $ 390,670 $ 314,448 Total derivatives in hedging relationships under ASC 815 60,701,776 390,670 314,448 Derivatives not designated as hedging instruments Interest rate swaps 43,913,045 145,726 144,190 Interest rate caps 803,000 644 — Mortgage delivery commitments 12,682 57 — Other (b) 666,000 6,402 9,930 Total derivatives not designated as hedging instruments 45,394,727 152,829 154,120 Total derivatives before netting and collateral adjustments $ 106,096,503 543,499 468,568 Netting adjustments (372,917) (372,917) Cash collateral and related accrued interest (56,820) (64,504) Total netting adjustments and cash collateral (429,737) (437,421) Total derivative assets and total derivative liabilities $ 113,762 $ 31,147 Security collateral pledged as initial margin to Derivative Clearing Organization (c) $ 239,813 Security collateral received from counterparty (c) (102,682) Net security 137,131 Net exposure $ 250,893 (a) All derivative assets and liabilities with swap dealers and counterparties are executed under collateral agreements; derivative instruments executed bilaterally are subject to legal right of offset under master netting agreements. (b) The Other category comprised of interest rate swaps intermediated for member, and notional amounts represent purchases by the FHLBNY from dealers and an offsetting purchase from us by the member. (c) Non-cash security collateral is not permitted to be offset on the balance sheet, but would be eligible for offsetting in an event of default. Amounts represent U.S. Treasury securities pledged to and received from counterparties as collateral at December 31, 2019 and December 31, 2018. |
Schedule of Gains and Losses on Fair value hedges | Gains and Losses on Fair value hedges under ASC 815 are summarized below (in thousands): Gains (Losses) on Fair Value Hedges Years ended December 31, 2019 2018 2017 Recorded in Interest Recorded in Other Recorded in Other Income/Expense Income (Loss) Income (Loss) Gains (losses) on derivatives in designated and qualifying fair value hedges: Interest rate hedges $ (447,416) $ (43,845) $ 213,030 Gains (losses) on hedged item in designated and qualifying fair value hedges: Interest rate hedges $ 446,278 $ 43,342 $ (212,035) |
Schedule of carrying amount of hedged assets and liabilities as well as hedged item's cumulative hedge basis adjustments and unamortized cumulative basis adjustments from discontinued hedges | The tables also present unamortized cumulative basis adjustments from discontinued hedges where the previously hedged item remains on the FHLBNY’s Statements of condition (in thousands): December 31,2019 Cumulative Fair Value Hedging Adjustment Included in the Carrying Amount of Hedged Items Gains (Losses) Carrying Amount of Discontinued Hedged Active Hedging Hedging Assets/Liabilities (a) Relationship Relationship Assets: Hedged advances $ 40,722,558 $ 298,818 $ — Hedged AFS debt securities (a) 547,807 11,593 — De-designated advances (b) — — 345 $ 41,270,365 $ 310,411 $ 345 Liabilities: Hedged consolidated obligation bonds $ 11,366,044 $ (377,000) $ — Hedged consolidated obligation discount notes 3,493,297 105 — De-designated consolidated obligation bonds (b) — — (139,605) $ 14,859,341 $ (376,895) $ (139,605) December 31,2018 Cumulative Fair Value Hedging Adjustment Included in the Carrying Amount of Hedged Items Gains (Losses) Carrying Amount of Discontinued Hedged Active Hedging Hedging Assets/Liabilities (a) Relationship Relationship Assets: Hedged advances $ 45,904,804 $ (255,426) $ — De-designated advances (b) — — 402 $ 45,904,804 $ (255,426) $ 402 Liabilities: Hedged consolidated obligation bonds $ 11,664,558 $ (238,150) $ — De-designated consolidated obligation bonds (b) — — (131,497) $ 11,664,558 $ (238,150) $ (131,497) (a) Carrying amounts represent amortized cost adjusted for cumulative fair value hedging basis. For AFS securities in a fair value partial-term hedge, changes in the fair values due to changes in the benchmark rate were recorded as an adjustment to amortized cost and an offset to interest income from the hedged AFS securities. (b) Basis valuation adjustments of de-designated (discontinued hedging relationships) on advances and debt were reported in the same line as the carrying amounts of hedged assets/liabilities. Par amounts of de-designated advances were not material; par amounts of de-designated CO bonds were approximately $1.3 billion. Cumulative fair value hedging adjustments for active and discontinued hedging relationships will remain on the balance sheet until the items are derecognized. |
Schedule of balances and changes in AOCI from cash flow hedges | The following tables present derivative instruments used in cash flow hedge accounting relationships and the gains and losses recorded on such derivatives (in thousands): Derivative Gains (Losses) Recorded in Income and Other Comprehensive Income/Loss December 31, 2019 Amounts Amounts Reclassified Reclassified from Amounts Total Change from AOCI to AOCI to Other Recorded in in OCI for Interest Expense (b) Income (Loss) (c) OCI (d) Period Interest rate contracts (a) $ (613) $ — $ (111,888) $ (111,275) Derivative Gains (Losses) Recorded in Income and Other Comprehensive Income/Loss December 31, 2018 Amounts Amounts Reclassified Reclassified from Amounts Total Change from AOCI to AOCI to Other Recorded in in OCI for Interest Expense (b) Income (Loss) (c) OCI (d) Period Interest rate contracts (a) $ (180) $ (278) $ 36,816 $ 36,636 Derivative Gains (Losses) Recorded in Income and Other Comprehensive Income/Loss December 31, 2017 Amounts Amounts Reclassified Reclassified from Amounts Total Change from AOCI to AOCI to Other Recorded in in OCI for Interest Expense (b) Income (Loss) (c) OCI (d) Period Interest rate contracts (a) $ (1,141) $ $ 26,000 $ 27,141 (a) Amounts represents cash flow hedges of CO debt hedged with benchmark interest rate swaps indexed to LIBOR. Beginning January 1, 2019 post implementation of ASU 2017-12, the FHLBNY includes the gain and loss on the hedging derivatives in the same line in the Statements of income as the change in cash flows on the hedged item. (b) Amounts represent amortization of gains (losses) related to closed cash flow hedges of anticipated issuance of CO bonds that were reclassified during the period to interest expense as a yield adjustment. Losses reclassified represent losses in AOCI that were amortized as an expense to debt interest expense. If debt is held to maturity, losses in AOCI will be relieved through amortization. It is expected that over the next 12 months, $1.0 million of the unrecognized losses in AOCI will be recognized as yield adjustments to debt interest expense. (c) Amount represents the ineffectiveness recorded in the prior year periods through Other income (loss). Subsequent to the adoption of ASU 2017-12, hedge ineffectiveness (as defined under ASC 815) is reclassified only if the original transaction would not occur by the end of the specified time period or within a two-month period thereafter. There were no amounts that were reclassified into earnings due to discontinuation of cash flow hedges. Reclassification would occur if it became probable that the original forecasted transactions would not occur by the end of the originally specified time period or within a two-month period thereafter. (d) Amounts represent changes in the fair values of open interest rate swap contracts in cash flow hedges of CO debt, primarily those hedging the rolling issuance of CO discount notes. |
Schedule of gains (losses) on derivatives in designated economic hedges | Gains and losses on economic hedges are presented below (in thousands): Gains (Losses) on Economic Hedges Recorded in Other Income (Loss) Years ended December 31, 2019 (a) 2018 (b) 2017 (b) Gains (losses) on derivatives designated in economic hedges Interest rate hedges $ (40,833) $ (39,584) $ 4,317 Caps (596) (268) (4,331) Mortgage delivery commitments 709 (145) 570 Total gains (losses) on derivatives in economic hedges $ (40,720) $ (39,997) $ 556 (a) Valuation changes (including accrued interest on the swaps) of derivatives not eligible for hedge accounting under ASC 815 continue to be reported in Other income (loss) in the Statements of income, and total derivative gains (losses) in the table above will agree to the line item – “Derivative gains (losses)” in Other income in the Statements of income for the year ended December 31, 2019. (b) The Table above reports valuation changes of derivatives in economic hedges (not qualifying under ASC 815). Gains and losses reported in the table above for 2018 and 2017 will not agree with the line item “Derivative gains (losses)” in the Statements of Income which included the impact of both ASC 815 qualifying hedges and derivatives not qualifying. As permitted under the ASU 2017-12, prior year presentations in the Statements of income has not been reclassified to reporting classifications under ASU 2017-12. |
Fair Values of Financial Inst_2
Fair Values of Financial Instruments. (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Fair Values of Financial Instruments. | |
Schedule of carrying values, estimated fair values and levels within fair value hierarchy of financial instruments | Estimated Fair Values — Summary Tables - The carrying values, estimated fair values and the levels within the fair value hierarchy were as follows (in thousands): December 31, 2019 Estimated Fair Value Netting Carrying Adjustment and Financial Instruments Value Total Level 1 Level 2 Level 3 (a) Cash Collateral Assets Cash and due from banks $ 603,241 $ 603,241 $ 603,241 $ — $ — $ — Securities purchased under agreements to resell 14,985,000 14,984,909 — 14,984,909 — — Federal funds sold 8,640,000 8,639,966 — 8,639,966 — — Trading securities 15,318,809 15,318,809 15,315,592 3,217 — — Equity Investments 60,047 60,047 60,047 — — — Available-for-sale securities 2,653,418 2,653,418 — 2,653,418 — — Held-to-maturity securities 15,234,482 15,456,606 — 14,223,919 1,232,687 — Advances 100,695,241 100,738,675 — 100,738,675 — — Mortgage loans held-for-portfolio, net 3,173,352 3,190,109 — 3,190,109 — — Accrued interest receivable 312,559 312,559 — 312,559 — — Derivative assets 237,947 237,947 — 608,808 — (370,861) Other financial assets 293 293 — — 293 — Liabilities Deposits 1,194,409 1,194,419 — 1,194,419 — — Consolidated obligations Bonds 78,763,309 78,980,672 — 78,980,672 — — Discount notes 73,959,205 73,961,316 — 73,961,316 — — Mandatorily redeemable capital stock 5,129 5,129 5,129 — — — Accrued interest payable 156,889 156,889 — 156,889 — — Derivative liabilities 32,411 32,411 — 717,974 — (685,563) Other financial liabilities 45,388 45,388 45,388 — — — December 31, 2018 Estimated Fair Value Netting Carrying Adjustment and Financial Instruments Value Total Level 1 Level 2 Level 3 (a) Cash Collateral Assets Cash and due from banks $ 85,406 $ 85,406 $ 85,406 $ — $ — $ — Securities purchased under agreements to resell 4,095,000 4,095,150 — 4,095,150 — — Federal funds sold 7,640,000 7,639,998 — 7,639,998 — — Trading securities 5,810,512 5,810,512 5,304,329 506,183 — — Equity Investments 48,179 48,179 48,179 — — — Available-for-sale securities 422,216 422,216 — 422,216 — — Held-to-maturity securities 17,474,826 17,445,756 — 16,126,662 1,319,094 — Advances 105,178,833 105,137,214 — 105,137,214 — — Mortgage loans held-for-portfolio, net 2,927,230 2,852,611 — 2,852,611 — — Loans to other FHLBanks 250,000 250,000 — 250,000 — — Accrued interest receivable 275,256 275,256 — 275,256 — — Derivative assets 113,762 113,762 — 543,499 — (429,737) Other financial assets 767 767 — — 767 — Liabilities Deposits 1,062,637 1,062,625 — 1,062,625 — — Consolidated obligations Bonds 84,153,776 83,912,990 — 83,912,990 — — Discount notes 50,640,238 50,638,448 — 50,638,448 — — Mandatorily redeemable capital stock 5,845 5,845 5,845 — — — Accrued interest payable 223,570 223,570 — 223,570 — — Derivative liabilities 31,147 31,147 — 468,568 — (437,421) Other financial liabilities 86,095 86,095 86,095 — — — The fair value amounts recorded on the Statements of Condition or presented in the table above have been determined by the FHLBNY using available market information and our reasonable judgment of appropriate valuation methods. (a) Level 3 Instruments — The fair values of non-Agency private-label MBS and housing finance agency bonds were estimated by management based on pricing services. Valuations may have required pricing services to use significant inputs that were subjective because of the current lack of significant market activity; the inputs may not be market based and observable. |
Schedule of fair value of assets and liabilities recorded at fair value on a recurring basis, by level within fair value hierarchy | Items Measured at Fair Value on a Recurring Basis (in thousands): December 31, 2019 Netting Adjustment and Total Level 1 Level 2 Level 3 Cash Collateral Assets Trading securities Corporate notes $ 3,217 $ — $ 3,217 $ — $ — U.S. Treasury securities 15,315,592 15,315,592 — — — Equity Investments 60,047 60,047 — — — Available-for-sale securities GSE/U.S. agency issued MBS 2,653,418 — 2,653,418 — — Derivative assets (a) Interest-rate derivatives 237,842 — 608,703 — (370,861) Mortgage delivery commitments 105 — 105 — — Total recurring fair value measurement - assets $ 18,270,221 $ 15,375,639 $ 3,265,443 $ — $ (370,861) Liabilities Consolidated obligation: Discount notes (to the extent FVO is elected) (2,186,603) — (2,186,603) — — Bonds (to the extent FVO is elected) (b) (12,134,043) — (12,134,043) — — Derivative liabilities (a) Interest-rate derivatives (32,410) — (717,973) — 685,563 Mortgage delivery commitments (1) — (1) — — Total recurring fair value measurement - liabilities $ (14,353,057) $ — $ (15,038,620) $ — $ 685,563 December 31, 2018 Netting Adjustment and Total Level 1 Level 2 Level 3 Cash Collateral Assets Trading securities GSE securities $ 502,849 $ — $ 502,849 $ — $ — Corporate notes 3,334 — 3,334 — — U.S. Treasury securities 5,304,329 5,304,329 — — — Equity Investments 48,179 48,179 — — — Available-for-sale securities GSE/U.S. agency issued MBS 422,216 — 422,216 — — Derivative assets (a) Interest-rate derivatives 113,705 — 543,442 — (429,737) Mortgage delivery commitments 57 — 57 — — Total recurring fair value measurement - assets $ 6,394,669 $ 5,352,508 $ 1,471,898 $ — $ (429,737) Liabilities Consolidated obligations: Discount notes (to the extent FVO is elected) (3,180,086) — (3,180,086) — — Bonds (to the extent FVO is elected) (b) (5,159,792) — (5,159,792) — — Derivative liabilities (a) Interest-rate derivatives (31,147) — (468,568) — 437,421 Total recurring fair value measurement - liabilities $ (8,371,025) $ — $ (8,808,446) $ — $ 437,421 (a) Based on analysis of the nature of the risk, the presentation of derivatives as a single class is appropriate. (b) Based on analysis of the nature of risks of Consolidated obligation bonds measured at fair value, the FHLBNY has determined that presenting the bonds as a single class is appropriate. |
Schedule of items measured at fair value on a nonrecurring basis, by level within fair value hierarchy | Items Measured at Fair Value on a Non-recurring Basis (in thousands): During the period ended December 31, 2019 Fair Value Level 1 Level 2 Level 3 Mortgage loans held-for-portfolio $ 80 $ — $ 80 $ — Real estate owned 306 — — 306 Total non-recurring assets at fair value $ 386 $ — $ 80 306 During the period ended December 31, 2018 Fair Value Level 1 Level 2 Level 3 Mortgage loans held-for-portfolio $ 741 $ — $ 741 $ — Real estate owned 795 — — 795 Total non-recurring assets at fair value $ 1,536 $ — $ 741 $ 795 |
Schedule of activity, change in fair value and comparison of aggregate fair value and remaining contractual principal balance outstanding related to financial instruments for which fair value option elected | The following tables summarize the activity related to financial instruments for which the FHLBNY elected the fair value option (in thousands): Years ended December 31, 2019 Bonds Discount Notes Balance, beginning of the period $ (5,159,792) $ (3,180,086) New transactions elected for fair value option (18,392,000) (2,182,845) Maturities and terminations 11,465,000 3,170,915 Net gains (losses) on financial instruments held under fair value option (3,952) (194) Change in accrued interest/unaccreted balance (43,299) 5,607 Balance, end of the period $ (12,134,043) $ (2,186,603) Years ended December 31, 2018 Advances Bonds Discount Notes Balance, beginning of the period $ 2,205,624 $ (1,131,074) $ (2,312,621) New transactions elected for fair value option — (5,225,000) (4,735,290) Maturities and terminations (2,200,000) 1,215,000 3,873,993 Net gains (losses) on financial instruments held under fair value option (590) 681 118 Change in accrued interest/unaccreted balance (5,034) (19,399) (6,286) Balance, end of the period $ — $ (5,159,792) $ (3,180,086) Years ended December 31, 2017 Advances Bonds Discount Notes Balance, beginning of the period $ 9,873,157 $ (2,052,513) $ (12,228,412) New transactions elected for fair value option 5,000,000 (1,100,000) (5,980,042) Maturities and terminations (12,659,567) 2,019,550 15,875,322 Net gains (losses) on financial instruments held under fair value option (5,142) 224 378 Change in accrued interest/unaccreted balance (2,824) 1,665 20,133 Balance, end of the period $ 2,205,624 $ (1,131,074) $ (2,312,621) The following tables present the change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected (in thousands): December 31, 2018 Net Gains (Losses) Due to Total Change in Fair Interest Changes in Fair Value Included in Income Value Current Period Earnings Advances $ 10,085 $ (590) $ 9,495 December 31, 2017 Net Gains (Losses) Due to Total Change in Fair Interest Changes in Fair Value Included in Income Value Current Period Earnings Advances $ 54,023 $ (5,142) $ 48,881 December 31, 2019 Net Gains (Losses) Due to Total Change in Interest Changes in Fair Fair Value Included in Expense Value Current Period Earnings Consolidated obligation bonds $ (168,329) $ (3,952) $ (172,281) Consolidated obligation discount notes (26,475) (194) (26,669) $ (194,804) $ (4,146) $ (198,950) December 31, 2018 Net Gains (Losses) Due to Total Change in Interest Changes in Fair Fair Value Included in Expense Value Current Period Earnings Consolidated obligation bonds $ (25,077) $ 681 $ (24,396) Consolidated obligation discount notes (21,617) 118 (21,499) $ (46,694) $ 799 $ (45,895) December 31, 2017 Net Gains (Losses) Due to Total Change in Interest Changes in Fair Fair Value Included in Expense Value Current Period Earnings Consolidated obligation bonds $ (6,436) $ 224 $ (6,212) Consolidated obligation discount notes (27,519) 378 (27,141) $ (33,955) $ 602 $ (33,353) The following tables compare the aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected (in thousands): December 31, 2019 Fair Value Over/(Under) Aggregate Unpaid Aggregate Fair Aggregate Unpaid Principal Balance Value Principal Balance Consolidated obligation bonds (b) $ 12,067,000 $ 12,134,043 $ 67,043 Consolidated obligation discount notes (c) 2,182,845 2,186,603 3,758 $ 14,249,845 $ 14,320,646 $ 70,801 December 31, 2018 Fair Value Over/(Under) Aggregate Unpaid Aggregate Fair Aggregate Unpaid Principal Balance Value Principal Balance Consolidated obligation bonds (b) $ 5,140,000 $ 5,159,792 $ 19,792 Consolidated obligation discount notes (c) 3,170,915 3,180,086 9,171 $ 8,310,915 $ 8,339,878 $ 28,963 December 31, 2017 Fair Value Over/(Under) Aggregate Unpaid Aggregate Fair Aggregate Unpaid Principal Balance Value Principal Balance Advances (a) $ 2,200,000 $ 2,205,624 $ 5,624 Consolidated obligation bonds (b) $ 1,130,000 $ 1,131,074 $ 1,074 Consolidated obligation discount notes (c) 2,309,618 2,312,621 3,003 $ 3,439,618 $ 3,443,695 $ 4,077 (a) Advances — No advances elected under the FVO were outstanding at December 31, 2019 and 2018. From time to time, the FHLBNY has elected the FVO for advances on an instrument by instrument basis on advances that were primarily short- and intermediate-term floating-rate advances. The elections were made primarily as a natural fair value offset to debt elected under the FVO. (b) The FHLBNY has elected the FVO on an instrument-by-instrument basis for CO bonds, primarily fixed-rate, intermediate-and short-term debt, because management was not able to assert with confidence that the debt would qualify for hedge accounting as such short-term debt may not remain highly effective hedges through the maturity of the bonds. (c) Discount notes were elected under the FVO because management was not able to assert with confidence that the debt would qualify for hedge accounting as the short-term discount note debt may not remain highly effective hedges through maturity. |
Commitments and Contingencies.
Commitments and Contingencies. (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Commitments and Contingencies. | |
Summary of significant contractual obligations and contingencies | The following table summarizes contractual obligations and contingencies as of December 31, 2019 (in thousands): December 31, 2019 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 obligation bonds at par (a) $ 62,319,595 $ 6,878,840 $ 2,779,570 $ 6,130,800 $ 78,108,805 Consolidated obligation discount notes at par 74,094,586 — — — 74,094,586 Mandatorily redeemable capital stock (a) 835 371 402 3,521 5,129 Premises (lease obligations) (b) 6,763 15,209 16,097 70,222 108,291 Remote backup site 706 1,273 838 — 2,817 Other liabilities (c) 86,480 10,910 8,563 69,563 175,516 Total contractual obligations 136,508,965 6,906,603 2,805,470 6,274,106 152,495,144 Other commitments Standby letters of credit (d) 21,720,973 263,120 6,938 — 21,991,031 Consolidated obligation bonds/discount notes traded not settled 500,000 — — — 500,000 Commitments to fund additional advances 250,000 — — — 250,000 Commitments to fund pension 10,000 — — — 10,000 Open delivery commitments (MPF) 44,768 — — — 44,768 Total other commitments 22,525,741 263,120 6,938 — 22,795,799 Total obligations and commitments $ 159,034,706 $ 7,169,723 $ 2,812,408 $ 6,274,106 $ 175,290,943 (a) Callable bonds contain an exercise date or a series of exercise dates that may result in a shorter redemption period. Redemption dates of mandatorily redeemable capital stock are assumed to correspond to maturity dates of member advances. 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. (b) Amounts represent undiscounted obligations. The Bank adopted ASU 2016-02, Leases (Topic 842) on January 1, 2019. Upon adoption, all lease obligations, including legacy leases were recorded in the Statements of Condition as a Right-of-use (ROU) asset and a corresponding lease liability. Under legacy pre-ASU GAAP, lease obligations were reported as off-balance sheet commitments. Immaterial amounts of equipment and other leases have been excluded in the table above. (c) Includes accounts payable and accrued expenses, liabilities recorded for future settlements of investments, Pass-through reserves due to member institutions held at the FRB, and projected payment obligations for pension plans. Where it was not possible to estimate the exact timing of payment obligations, they were assumed to be due within one year; amounts were not material. For more information about employee retirement plans in general, see Note 16. Employee Retirement Plans. (d) Financial letters of credit — Standby letters of credit are executed for a fee on behalf of members to facilitate residential housing, community lending, and members’ asset/liability management or to provide liquidity. A standby letter of credit is a financing arrangement between the FHLBNY and its member. Members assume an unconditional obligation to reimburse the FHLBNY for value given by the FHLBNY to the beneficiary under the terms of the standby letter of credit. The FHLBNY may, in its discretion, permit the member to finance repayment of their obligation by receiving a collateralized advance. |
Summarized information on our leases | The following tables provide summarized information on our leases (dollars in thousands): December 31, 2019 Operating Leases (a) Right-of-use assets $ 75,464 Lease Liabilities $ 89,365 Twelve months ended December 31, 2019 Operating Lease Expense $ 7,585 Operating cash flows - Cash Paid $ 6,624 Weighted Average Discount Rate 3.29 % Weighted Average Remaining Lease Term 12.98 Years (a) We have elected to exclude immaterial amounts of short-term operating lease liabilities in the Right-of-use assets and lease liabilities. |
Schedule of remaining maturities of leases liabilities | Remaining maturities through Operating lease liabilities December 31, 2019 December 31, 2018 2019 — 6,687 2020 7,886 6,927 2021 8,107 6,860 2022 8,205 6,949 2023 8,575 7,282 2024 8,282 7,331 Thereafter 69,886 64,705 Total undiscounted lease payments 110,941 $ 106,741 Imputed interest (21,576) Total operating lease liabilities $ 89,365 |
Related Party Transactions. (Ta
Related Party Transactions. (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Related Party Transactions. | |
Schedule of significant balances and transactions with related parties | The following tables summarize significant balances and transactions with related parties at December 31, 2019 and December 31, 2018 and transactions for each of the years ended December 31, 2019, 2018 and 2017 (in thousands): Related Party: Outstanding Assets, Liabilities and Capital December 31, 2019 December 31, 2018 Related Related Assets Advances $ 100,695,241 $ 105,178,833 Loans to other FHLBanks — 250,000 Accrued interest receivable 181,792 202,404 Liabilities and capital Deposits $ 1,194,409 $ 1,062,637 Mandatorily redeemable capital stock 5,129 5,845 Accrued interest payable 140 373 Affordable Housing Program (a) 153,894 161,718 Other liabilities (b) 45,388 86,095 Capital $ 7,531,895 $ 7,746,622 (a) Represents funds not yet allocated or disbursed to AHP programs. (b) Includes member pass-through reserves at the Federal Reserve Bank of New York. Related Party: Income and Expense Transactions Years ended December 31, 2019 2018 2017 Related Related Related Interest income Advances $ 2,526,662 $ 2,522,040 $ 1,563,322 Interest-bearing deposits 6 5 2 Loans to other FHLBanks 165 130 26 Interest expense Deposits $ 22,839 $ 17,816 $ 15,060 Mandatorily redeemable capital stock 379 964 1,285 Cash collateral held and other borrowings 165 — 26 Service fees and other $ 17,022 $ 14,439 $ 12,251 |
Segment Information and Conce_2
Segment Information and Concentration. (Tables) | 12 Months Ended |
Dec. 31, 2019 | |
Par Value of Advances | Credit concentration risk | |
Segment Information and Concentration | |
Schedule of concentrations | The top ten advance holders at December 31, 2019, December 31, 2018 and December 31, 2017 and associated interest income for the periods then ended are summarized as follows (dollars in thousands): December 31, 2019 Percentage of Par Total Par Value Twelve Months City State Advances of Advances Interest Income Percentage (a) Citibank, N.A. New York NY $ 23,045,000 22.95 % $ 486,275 27.71 % Metropolitan Life Insurance Company New York NY 14,445,000 14.39 367,507 20.94 New York Community Bank (b) Westbury NY 13,102,661 13.05 259,207 14.77 AXA Equitable Life Insurance Company New York NY 6,900,415 6.87 111,997 6.38 Investors Bank (b) Short Hills NJ 4,986,397 4.97 115,789 6.60 Signature Bank New York NY 4,142,144 4.13 127,299 7.26 New York Life Insurance Company New York NY 2,825,000 2.81 81,348 4.64 Valley National Bank (b) Wayne NJ 2,397,769 2.39 88,389 5.04 Sterling National Bank Montebello NY 2,245,000 2.24 76,029 4.33 ESL Federal Credit Union Rochester NY 1,739,823 1.73 40,937 2.33 Total $ 75,829,209 75.53 % $ 1,754,777 100.00 % (a) Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members. (b) At December 31, 2019, an officer of this member bank also served on the Board of Directors of the FHLBNY. December 31, 2018 Percentage of Par Total Par Value Twelve Months City State Advances of Advances Interest Income Percentage (a) Citibank, N.A. New York NY $ 19,995,000 18.96 % $ 644,926 37.66 % Metropolitan Life Insurance Company New York NY 14,245,000 13.51 301,318 17.60 New York Community Bank (b) (c) Westbury NY 13,053,661 12.38 247,973 14.48 Signature Bank New York NY 4,970,000 4.71 92,592 5.41 Investors Bank (b) Short Hills NJ 4,925,681 4.67 95,921 5.60 Sterling National Bank Montebello NY 4,837,000 4.59 92,835 5.42 Manufacturers and Traders Trust Company Buffalo NY 4,774,712 4.53 13,256 0.77 AXA Equitable Life Insurance Company New York NY 3,990,415 3.78 72,582 4.24 New York Life Insurance Company New York NY 3,575,000 3.39 67,793 3.96 Valley National Bank (b) Wayne NJ 3,027,000 2.87 83,172 4.86 Total $ 77,393,469 73.39 % $ 1,712,368 100.00 % (a) Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members. (b) At December 31, 2018, an officer of this member bank also served on the Board of Directors of the FHLBNY. (c) New York Commercial Bank merged into New York Community Bank in the fourth quarter 2018. Par advances are for New York Community Bank. Interest income reported in the table represent interest income received from New York Commercial Bank and New York Community Bank in 2018. December 31, 2017 Percentage of Par Total Par Value Twelve Months City State Advances of Advances Interest Income Percentage (a) Citibank, N.A. New York NY $ 43,100,000 35.12 % $ 450,596 36.83 % Metropolitan Life Insurance Company New York NY 14,445,000 11.77 221,310 18.09 New York Community Bancorp, Inc.: New York Community Bank Westbury NY 11,830,600 9.64 182,103 14.88 New York Commercial Bank Westbury NY 273,900 0.22 3,822 0.31 Subtotal New York Community Bancorp, Inc. 12,104,500 9.86 185,925 15.19 Sterling National Bank (b)(d) Montebello NY 4,507,000 3.67 58,049 4.74 Investors Bank (b) Short Hills NJ 4,326,053 3.53 82,894 6.77 Signature Bank New York NY 4,195,000 3.42 36,503 2.98 Goldman Sachs Bank USA New York NY 3,390,000 2.76 30,433 2.49 HSBC Bank USA, National Association (c) Mc Lean VA 3,100,000 2.53 68,391 5.59 AXA Equitable Life Insurance Company New York NY 3,000,415 2.45 52,308 4.27 New York Life Insurance Company New York NY 2,625,000 2.14 37,263 3.05 Total $ 94,792,968 77.25 % $ 1,223,672 100.00 % (a) Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members. (b) At December 31, 2017, an officer of this member bank also served on the Board of Directors of the FHLBNY. (c) For Bank membership purposes, principal place of business is New York, NY. (d) Astoria Bank merged into Sterling National Bank in the fourth quarter 2017. Both entities are member banks and are related parties. The par advance balance represents advances outstanding with Sterling, the merged entity. Interest income reported in the table represented interest income received from Astoria and Sterling in 2017. |
Outstanding Capital Stock | Shareholder balances | |
Segment Information and Concentration | |
Schedule of concentrations | The following tables summarize capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY’s outstanding capital stock as of February 29, 2020 and December 31, 2019 (shares in thousands): Number Percent February 29, 2020 of Shares of Total Name of Beneficial Owner Principal Executive Office Address Owned Capital Stock Citibank, N.A. 399 Park Avenue, New York, NY 10043 8,805 16.15 % Metropolitan Life Insurance Company 200 Park Avenue, New York, NY 10166 7,366 13.51 New York Community Bank 615 Merrick Avenue, Westbury, NY 11590 6,337 11.62 % Number Percent December 31, 2019 of Shares of Total Name of Beneficial Owner Principal Executive Office Address Owned Capital Stock Citibank, N.A. 399 Park Avenue, New York, NY 10043 11,370 19.66 % Metropolitan Life Insurance Company 200 Park Avenue, New York, NY 10166 7,366 12.74 New York Community Bank 615 Merrick Avenue, Westbury, NY 11590 6,476 11.20 AXA Equitable Life Insurance Company 1290 Avenue of the Americas, New York 10104 3,222 5.57 28,434 49.17 % |
Background, Tax Status. Assesse
Background, Tax Status. Assessements. (Details) $ in Millions | 12 Months Ended |
Dec. 31, 2019USD ($)Institution | |
Background, Tax Status. Assessments. | |
Number of Federal Home Loan Banks in a defined geographic district | 1 |
Number of FHLBanks | 11 |
Minimum amount annually set aside for Affordable Housing Program | $ | $ 100 |
Minimum amount annually set aside for Affordable Housing Program as a percentage of the regulatory defined net income (as a percent) | 10.00% |
Significant Accounting Polici_3
Significant Accounting Policies and Estimates. - Classification of Investment Securities and Advances (Details) - USD ($) $ in Billions | 12 Months Ended | |
Dec. 31, 2019 | Jan. 01, 2019 | |
Advances | ||
Period after a member prepayment and new advance for a test of a modification to be performed | 5 days | |
ASU 2017-12 | ||
ASU 2017-12 Transition | ||
Amount of classification permitted as a one-time transfer under the standard from HTM securities into AFS | $ 1.6 | |
Maximum | ||
Advances | ||
Period following member prepayment of an advance that prepaying member must borrow new advances to qualify for rebate | 30 days |
Significant Accounting Polici_4
Significant Accounting Policies and Estimates. - Mortgage Loans Held-for-Portfolio (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Credit Enhancement Obligations and Loss Layers | ||||
First Loss Account | $ 40,200 | $ 35,800 | ||
Period for which CE fees are held back | 12 months | |||
Non-Accrual Mortgage Loans | ||||
Cash received and recorded as a liability | $ 1,600 | 2,300 | ||
Allowance for Credit Losses on Mortgage Loans | ||||
Aggregate allowance for credit losses on mortgage loans | $ 653 | 814 | $ 992 | $ 1,554 |
Minimum | ||||
Credit Enhancement Obligations and Loss Layers | ||||
Loan-to-value ratio for next layer of protection from the primary mortgage insurance required for loans (as a percent) | 80.00% | |||
Non-Accrual Mortgage Loans | ||||
Period past due for nonaccrual status | 90 days | |||
Maximum | ||||
Credit Enhancement Obligations and Loss Layers | ||||
First Loss Account | $ 40,200 | $ 35,800 |
Significant Accounting Polici_5
Significant Accounting Policies and Estimates. - Triggering Events to Cause Repurchase of Capital Stock and Standby Letters of Credit Commitment Fees (Details) | 12 Months Ended |
Dec. 31, 2019item | |
Accounting Considerations Under the Capital Plan | |
Number of triggering events that could cause the FHLBNY to repurchase capital stock | 3 |
Commitment Fees | |
Period for which commitment fees are received in advance | 1 year |
Significant Accounting Polici_6
Significant Accounting Policies and Estimates. - Derivatives and Hedging Activities (Details) $ in Thousands | Dec. 31, 2019USD ($) |
Derivatives | |
Foreign currency assets | $ 0 |
Foreign currency liabilities | $ 0 |
Foreign currency hedges | 0 |
Significant Accounting Polici_7
Significant Accounting Policies and Estimates. - Estimated Useful Lives of Premises, Software and Equipment (Details) | 12 Months Ended |
Dec. 31, 2019 | |
Minimum | |
Premises, Software and Equipment | |
Useful lives | 4 years |
Maximum | |
Premises, Software and Equipment | |
Useful lives | 5 years |
Significant Accounting Polici_8
Significant Accounting Policies and Estimates. - Finance Agency and Office of Finance Expenses and Potential Dilutive Shares (Details) | 12 Months Ended | ||
Dec. 31, 2019entityshares | Dec. 31, 2018shares | Dec. 31, 2017shares | |
Finance Agency and Office of Finance expenses | |||
Number of other GSEs on which the Finance Agency is authorized to impose assessments for proportionate share of the Finance Agency's annual operating expenses | entity | 2 | ||
Assessments for proportionate share of the Office of Finance's annual operating and capital expenditures, percentage share based upon each FHLBank's share of total consolidated obligations outstanding | 66.67% | ||
Assessments for proportionate share of the Office of Finance's annual operating and capital expenditures, percentage share based upon an equal pro-rata allocation | 33.33% | ||
Earnings per Share of Capital | |||
Weighted Average Number Diluted Shares Outstanding Adjustment | shares | 0 | 0 | 0 |
Significant Accounting Polici_9
Significant Accounting Policies and Estimates. - Recognition and Measurement of Financial Assets and Financial Liabilities (Details) | Jan. 01, 2018USD ($) |
ASU 2016-01 | |
Recently Adopted Significant Accounting Policies | |
Cumulative catch-up reclassification on adoption | $ 0 |
Significant Accounting Polic_10
Significant Accounting Policies and Estimates. - Financial Accounting Standards Board ("FASB") Standards Adopted (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Jan. 01, 2019 |
Recently Adopted Significant Accounting Policies: | ||
Lease Liabilities | $ 89,365 | |
Right-of-use assets | $ 75,464 | |
ASU 2017-12 | ||
Recently Adopted Significant Accounting Policies: | ||
Amount of classification permitted as a one-time transfer under the standard from HTM securities into AFS | $ 1,600,000 | |
ASU 2016-02 | Restatement adjustment | ||
Recently Adopted Significant Accounting Policies: | ||
Lease Liabilities | 83,900 | |
Right-of-use assets | $ 71,600 |
FASB Standards Issued But Not_2
FASB Standards Issued But Not Yet Adopted. (Details) $ in Millions | Jan. 01, 2020USD ($) |
ASU 2016-13 | Restatement adjustment | |
FASB Standards Issued But Not Yet Adopted | |
Increase in allowance for credit losses | $ 3.8 |
Cash and Due from Banks. (Detai
Cash and Due from Banks. (Details) - USD ($) $ in Millions | Dec. 31, 2019 | Dec. 31, 2018 |
Compensating Balances | ||
Amount of compensating balance restricted as to withdrawal | $ 0 | |
Compensating balance | 0 | $ 0 |
Pass-through Deposit Reserves | ||
Pass-through reserves of member institutions deposited with Federal Reserve Banks | $ 45.4 | $ 86.1 |
Federal Funds Sold and Securi_2
Federal Funds Sold and Securities Purchased Under Agreements to Resell. (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Jan. 01, 2020 | |
Securities purchased under agreements to resell | ||||
Adjustments for instrument-specific credit risk | $ 0 | |||
Securities purchased under agreements to resell balances outstanding | 14,985,000 | $ 4,095,000 | ||
Credit loss allowance for Federal funds sold and Securities purchased under agreements to resell | $ 0 | |||
Average transaction balances of securities purchased under agreements to resell | 8,300,000 | 4,100,000 | ||
Interest income | ||||
Securities purchased under agreements to resell | 178,565 | 78,341 | $ 25,509 | |
BONY | U.S. Treasury securities | Pledged as collateral | ||||
Securities purchased under agreements to resell | ||||
Securities purchased under agreements to resell pledged as collateral | 15,200,000 | 4,200,000 | ||
Bilateral counterparties | ||||
Securities purchased under agreements to resell | ||||
Securities purchased under agreements to resell balances outstanding | $ 0 | $ 0 |
Trading Securities. (Details)
Trading Securities. (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Trading Securities. | ||
Trading securities | $ 15,318,809 | $ 5,810,512 |
Net unrealized fair value gains (losses) included in carrying values of trading securities | 53,100 | 2,600 |
Trading securities pledged as collateral | 251,177 | 239,813 |
Estimated fair value of investments classified as trading securities, by remaining maturity | ||
Due in one year or less | 6,177,821 | 3,673,979 |
Due after one year through five years | 9,140,988 | 2,136,533 |
Total trading securities | $ 15,318,809 | $ 5,810,512 |
Yield on trading securities due in one year or less (as a percent) | 2.36% | 2.05% |
Yield on trading securities due after one year through five fair years (as a percent) | 2.36% | 2.14% |
GSE securities | ||
Trading Securities. | ||
Trading securities | $ 502,849 | |
Estimated fair value of investments classified as trading securities, by remaining maturity | ||
Due in one year or less | 502,849 | |
Total trading securities | 502,849 | |
Corporate notes | ||
Trading Securities. | ||
Trading securities | $ 3,217 | 3,334 |
Estimated fair value of investments classified as trading securities, by remaining maturity | ||
Due in one year or less | 869 | |
Due after one year through five years | 2,348 | 3,334 |
Total trading securities | 3,217 | 3,334 |
U.S. Treasury notes | ||
Trading Securities. | ||
Trading securities | 15,315,592 | 5,304,329 |
Estimated fair value of investments classified as trading securities, by remaining maturity | ||
Due in one year or less | 6,176,952 | 3,171,130 |
Due after one year through five years | 9,138,640 | 2,133,199 |
Total trading securities | $ 15,315,592 | $ 5,304,329 |
Equity Investments. (Details)
Equity Investments. (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Equity Investments | ||
Amortized Cost | $ 52,076 | $ 48,074 |
Gross Unrealized Gains | 8,724 | 2,488 |
Gross Unrealized Losses | (753) | (2,383) |
Fair Value | 60,047 | 48,179 |
Gains and losses related to outstanding Equity Investments | ||
Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date | 7,866 | (4,819) |
Unrealized gains (losses) recognized during the period on equity investments still held at the reporting date | (5,098) | |
Net gains (losses) recognized during the period on equity investments sold during the period | 17 | 279 |
Net dividend and other | 1,960 | |
Net gains (losses) recognized during the period | 9,843 | (4,819) |
Cash equivalents | ||
Equity Investments | ||
Amortized Cost | 1,322 | 1,250 |
Fair Value | 1,322 | 1,250 |
Equity funds | ||
Equity Investments | ||
Amortized Cost | 28,650 | 25,788 |
Gross Unrealized Gains | 8,312 | 2,481 |
Gross Unrealized Losses | (623) | (1,674) |
Fair Value | 36,339 | 26,595 |
Fixed income funds | ||
Equity Investments | ||
Amortized Cost | 22,104 | 21,036 |
Gross Unrealized Gains | 412 | 7 |
Gross Unrealized Losses | (130) | (709) |
Fair Value | $ 22,386 | $ 20,334 |
Available-for-Sale Securities_2
Available-for-Sale Securities. - Amortized Cost to Fair Value by Major Security Types and Other Income Activity from Grantor Trust (Details) - USD ($) $ in Thousands | Jan. 01, 2019 | Dec. 31, 2019 | Dec. 31, 2018 |
Available-for-Sale Securities | |||
Available-for-sale securities with estimated fair values below their amortized cost basis | $ 168,579 | ||
Net unrealized fair value losses included in carrying values of Trading securities | (53,100) | $ (2,600) | |
Other-than-temporarily impaired AFS securities | 0 | 0 | |
Fair Value | 2,653,418 | 422,216 | |
Mortgage-backed securities (MBS) | |||
Available-for-Sale Securities | |||
Available-for-sale securities with estimated fair values below their amortized cost basis | 0 | ||
Amortized Cost | 2,567,143 | 418,182 | |
Fair Value | 2,653,418 | 422,216 | |
GSE and U.S. Obligations | |||
Available-for-Sale Securities | |||
Amortized Cost | 2,567,143 | 418,182 | |
Gross Unrealized Gains | 86,772 | 4,034 | |
Gross Unrealized Losses | (497) | ||
Fair Value | 2,653,418 | 422,216 | |
GSE and U.S. Obligations | Active Hedging Relationship | |||
Available-for-Sale Securities | |||
Amortized Cost | 11,593 | ||
Gross Unrealized Gains | 14,925 | ||
Gross Unrealized Losses | (3,332) | ||
GSE and U.S. Obligations | Floating | |||
Available-for-Sale Securities | |||
Amortized Cost | 341,958 | 418,182 | |
Gross Unrealized Gains | 2,165 | ||
Gross Unrealized Losses | (74) | ||
Fair Value | 344,049 | 422,216 | |
GSE and U.S. Obligations | CMOs | Floating | |||
Available-for-Sale Securities | |||
Amortized Cost | 339,419 | 402,540 | |
Gross Unrealized Gains | 2,164 | 4,011 | |
Gross Unrealized Losses | (74) | ||
Fair Value | 341,509 | 406,551 | |
GSE and U.S. Obligations | Commercial Mortgage-Backed Securities (CMBS) | Floating | |||
Available-for-Sale Securities | |||
Amortized Cost | 2,539 | 15,642 | |
Gross Unrealized Gains | 1 | 23 | |
Fair Value | 2,540 | 15,665 | |
GSE and U.S. Obligations | Commercial Mortgage-Backed Securities (CMBS) | Fixed | |||
Available-for-Sale Securities | |||
Amortized Cost | 2,225,185 | ||
Fair Value | 2,309,369 | ||
GSE and U.S. Obligations | Commercial Mortgage Backed Securities (CMBS) Before Hedging Adjustments | Fixed | |||
Available-for-Sale Securities | |||
Amortized Cost | 2,213,592 | ||
Gross Unrealized Gains | 99,532 | ||
Gross Unrealized Losses | (3,755) | ||
Fair Value | 2,309,369 | ||
GSE and U.S. Obligations | Mortgage-backed securities (MBS) | |||
Available-for-Sale Securities | |||
Amortized Cost | 2,567,143 | 418,182 | |
Fair Value | 2,653,418 | $ 422,216 | |
GSE and U.S. Obligations | AFS before hedging adjustments | |||
Available-for-Sale Securities | |||
Amortized Cost | 2,555,550 | ||
Gross Unrealized Gains | 101,697 | ||
Gross Unrealized Losses | (3,829) | ||
Fair Value | $ 2,653,418 | ||
ASU 2017-12 | |||
Available-for-Sale Securities | |||
Transfer of securities with an amortized cost basis | $ 1,600,000 | ||
Net unrealized fair value losses included in carrying values of Trading securities | 13,500 | ||
ASU 2017-12 | Commercial Mortgage-Backed Securities (CMBS) | |||
Available-for-Sale Securities | |||
Transfer of securities with an amortized cost basis | $ 1,600,000 |
Available-for-Sale Securities_3
Available-for-Sale Securities. - Impairment Analysis of AFS Securities (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | $ 168,579 | |
Total, Estimated Fair Value | 168,579 | |
Unrealized Losses | ||
Less than 12 months, Unrealized Losses | (497) | |
Total, Unrealized Losses | (497) | |
Mortgage-backed securities (MBS) | ||
Estimated Fair Value | ||
Total, Estimated Fair Value | $ 0 | |
Fannie Mae-CMO | ||
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | 32,012 | |
Total, Estimated Fair Value | 32,012 | |
Unrealized Losses | ||
Less than 12 months, Unrealized Losses | (65) | |
Total, Unrealized Losses | (65) | |
Freddie Mac-CMO | ||
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | 7,071 | |
Total, Estimated Fair Value | 7,071 | |
Unrealized Losses | ||
Less than 12 months, Unrealized Losses | (9) | |
Total, Unrealized Losses | (9) | |
Freddie Mac-CMBS | ||
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | 129,496 | |
Total, Estimated Fair Value | 129,496 | |
Unrealized Losses | ||
Less than 12 months, Unrealized Losses | (423) | |
Total, Unrealized Losses | $ (423) |
Available-for-Sale Securities_4
Available-for-Sale Securities. - Redemption Terms (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Fair Value | ||
Fair Value | $ 2,653,418 | $ 422,216 |
Net unamortized (premium) / discounts | (30,400) | 1,500 |
Mortgage-backed securities (MBS) | ||
Amortized Cost | ||
Due in one year of less | 2,539 | |
Due after one year through five years | 15,642 | |
Due after five year through ten years | 2,189,350 | |
Due after ten years | 375,254 | 402,540 |
Amortized Cost | 2,567,143 | 418,182 |
Fair Value | ||
Due in one year of less | 2,540 | |
Due after one year through five years | 15,665 | |
Due after five year through ten years | 2,273,352 | |
Due after ten years | 377,526 | 406,551 |
Fair Value | $ 2,653,418 | $ 422,216 |
Available-for-Sale Securities_5
Available-for-Sale Securities. - Interest Rate Payment Terms (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Summary of available-for-sale securities by interest rate payment terms | ||
Fair Value | $ 2,653,418 | $ 422,216 |
Mortgage-backed securities (MBS) | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 2,567,143 | 418,182 |
Fair Value | 2,653,418 | 422,216 |
GSE and U.S. Obligations | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 2,567,143 | 418,182 |
Fair Value | 2,653,418 | 422,216 |
GSE and U.S. Obligations | Floating | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 341,958 | 418,182 |
Fair Value | 344,049 | 422,216 |
GSE and U.S. Obligations | CMOs | Floating | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 339,419 | 402,540 |
Fair Value | 341,509 | 406,551 |
GSE and U.S. Obligations | Commercial Mortgage-Backed Securities (CMBS) | Floating | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 2,539 | 15,642 |
Fair Value | 2,540 | 15,665 |
GSE and U.S. Obligations | Commercial Mortgage-Backed Securities (CMBS) | Fixed | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 2,225,185 | |
Fair Value | 2,309,369 | |
GSE and U.S. Obligations | Mortgage-backed securities (MBS) | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 2,567,143 | 418,182 |
Fair Value | $ 2,653,418 | $ 422,216 |
Held-to-Maturity Securities. -
Held-to-Maturity Securities. - Amortized Cost to Fair Value by Major Security Types and Securities Pledged (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Jan. 01, 2019 | Dec. 31, 2018 |
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | $ 15,242,053 | $ 17,485,887 | |
OTTI Recognized in AOCI | (7,571) | (11,061) | |
Carrying Value | 15,234,482 | 17,474,826 | |
Gross Unrecognized Holding Gains | 271,122 | 108,275 | |
Gross Unrecognized Holding Losses | (48,998) | (137,345) | |
Fair Value | 15,456,606 | 17,445,756 | |
Pools of Mortgages | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 73,516 | 87,974 | |
Carrying Value | 73,516 | 87,974 | |
Gross Unrecognized Holding Gains | 7,390 | 5,308 | |
Fair Value | 80,906 | 93,282 | |
Asset-Backed Securities | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 113,126 | 147,537 | |
OTTI Recognized in AOCI | (7,240) | (10,681) | |
Carrying Value | 105,886 | 136,856 | |
Gross Unrecognized Holding Gains | 23,296 | 32,316 | |
Gross Unrecognized Holding Losses | (146) | (486) | |
Fair Value | 129,036 | 168,686 | |
Mortgage-backed securities (MBS) | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 14,119,738 | 16,317,537 | |
OTTI Recognized in AOCI | (7,571) | (11,061) | |
Carrying Value | 14,112,167 | 16,306,476 | |
Gross Unrecognized Holding Gains | 270,722 | 108,073 | |
Gross Unrecognized Holding Losses | (25,788) | (113,138) | |
Fair Value | 14,357,101 | 16,301,411 | |
Amortized cost of pledged MBS in connection with deposits maintained by the FDIC at the Bank | 3,700 | 4,500 | |
State and local housing finance agency obligations | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 1,122,315 | 1,168,350 | |
Carrying Value | 1,122,315 | 1,168,350 | |
Gross Unrecognized Holding Gains | 400 | 202 | |
Gross Unrecognized Holding Losses | (23,210) | (24,207) | |
Fair Value | 1,099,505 | 1,144,345 | |
Private-label MBS | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 4,451 | 6,158 | |
OTTI Recognized in AOCI | (331) | (380) | |
Carrying Value | 4,120 | 5,778 | |
Gross Unrecognized Holding Gains | 56 | 327 | |
Gross Unrecognized Holding Losses | (30) | (42) | |
Fair Value | 4,146 | 6,063 | |
GSE | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 2,291,120 | 2,844,343 | |
Carrying Value | 2,291,120 | 2,844,343 | |
Gross Unrecognized Holding Gains | 7,265 | 10,209 | |
Gross Unrecognized Holding Losses | (5,656) | (9,711) | |
Fair Value | 2,292,729 | 2,844,841 | |
GSE | Commercial Mortgage-Backed Securities (CMBS) | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 11,637,525 | 13,231,525 | |
Carrying Value | 11,637,525 | 13,231,525 | |
Gross Unrecognized Holding Gains | 232,715 | 59,913 | |
Gross Unrecognized Holding Losses | (19,956) | (102,899) | |
Fair Value | 11,850,284 | 13,188,539 | |
Fannie Mae | Pools of Mortgages | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 61,990 | 74,301 | |
Carrying Value | 61,990 | 74,301 | |
Gross Unrecognized Holding Gains | 6,255 | 4,355 | |
Fair Value | 68,245 | 78,656 | |
Fannie Mae | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 1,403,787 | 1,752,909 | |
Carrying Value | 1,403,787 | 1,752,909 | |
Gross Unrecognized Holding Gains | 4,281 | 5,057 | |
Gross Unrecognized Holding Losses | (3,130) | (6,642) | |
Fair Value | 1,404,938 | 1,751,324 | |
Fannie Mae | Commercial Mortgage-Backed Securities (CMBS) | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 1,822,310 | 2,596,388 | |
Carrying Value | 1,822,310 | 2,596,388 | |
Gross Unrecognized Holding Gains | 16,796 | 888 | |
Gross Unrecognized Holding Losses | (1,372) | (37,525) | |
Fair Value | 1,837,734 | 2,559,751 | |
Freddie Mac | Pools of Mortgages | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 11,526 | 13,673 | |
Carrying Value | 11,526 | 13,673 | |
Gross Unrecognized Holding Gains | 1,135 | 953 | |
Fair Value | 12,661 | 14,626 | |
Freddie Mac | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 878,068 | 1,079,824 | |
Carrying Value | 878,068 | 1,079,824 | |
Gross Unrecognized Holding Gains | 2,871 | 4,971 | |
Gross Unrecognized Holding Losses | (2,526) | (3,069) | |
Fair Value | 878,413 | 1,081,726 | |
Freddie Mac | Commercial Mortgage-Backed Securities (CMBS) | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 9,815,215 | 10,635,137 | |
Carrying Value | 9,815,215 | 10,635,137 | |
Gross Unrecognized Holding Gains | 215,919 | 59,025 | |
Gross Unrecognized Holding Losses | (18,584) | (65,374) | |
Fair Value | 10,012,550 | 10,628,788 | |
Ginnie Mae | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 9,265 | 11,610 | |
Carrying Value | 9,265 | 11,610 | |
Gross Unrecognized Holding Gains | 113 | 181 | |
Fair Value | 9,378 | 11,791 | |
Insured | Manufactured housing loans | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 28,618 | 35,528 | |
Carrying Value | 28,618 | 35,528 | |
Gross Unrecognized Holding Gains | 1,175 | 1,490 | |
Fair Value | 29,793 | 37,018 | |
Insured | Home equity loans | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 61,186 | 69,583 | |
OTTI Recognized in AOCI | (4,062) | (6,214) | |
Carrying Value | 57,124 | 63,369 | |
Gross Unrecognized Holding Gains | 17,912 | 24,940 | |
Gross Unrecognized Holding Losses | (14) | ||
Fair Value | 75,036 | 88,295 | |
Uninsured | Home equity loans | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 23,322 | 42,426 | |
OTTI Recognized in AOCI | (3,178) | (4,467) | |
Carrying Value | 20,144 | 37,959 | |
Gross Unrecognized Holding Gains | 4,209 | 5,886 | |
Gross Unrecognized Holding Losses | (146) | (472) | |
Fair Value | $ 24,207 | $ 43,373 | |
ASU 2017-12 | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amount of classification permitted as a one-time transfer under the standard from HTM securities into AFS | $ 1,600,000 | ||
ASU 2017-12 | Commercial Mortgage-Backed Securities (CMBS) | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amount of classification permitted as a one-time transfer under the standard from HTM securities into AFS | $ 1,600,000 |
Held-to-Maturity Securities. _2
Held-to-Maturity Securities. - Fair Values Below their Amortized Cost Basis (Details) - USD ($) $ in Thousands | Jan. 01, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Less than 12 months | |||
Estimated Fair Value | $ 2,417,857 | $ 5,521,196 | |
Unrealized Losses | (11,867) | (16,271) | |
12 months or more | |||
Estimated Fair Value | 2,897,263 | 5,545,972 | |
Unrealized Losses | (37,417) | (121,170) | |
Total | |||
Estimated Fair Value | 5,315,120 | 11,067,168 | |
Unrealized Losses | (49,284) | (137,441) | |
State and local housing finance agency obligations | |||
Less than 12 months | |||
Estimated Fair Value | 124,654 | 304,671 | |
Unrealized Losses | (1) | (29) | |
12 months or more | |||
Estimated Fair Value | 216,241 | 231,022 | |
Unrealized Losses | (23,209) | (24,178) | |
Total | |||
Estimated Fair Value | 340,895 | 535,693 | |
Unrealized Losses | (23,210) | (24,207) | |
Increase in allowance for credit losses | $ 800 | ||
Mortgage-backed securities (MBS) | |||
Less than 12 months | |||
Estimated Fair Value | 2,293,203 | 5,216,525 | |
Unrealized Losses | (11,866) | (16,242) | |
12 months or more | |||
Estimated Fair Value | 2,681,022 | 5,314,950 | |
Unrealized Losses | (14,208) | (96,992) | |
Total | |||
Estimated Fair Value | 4,974,225 | 10,531,475 | |
Unrealized Losses | (26,074) | (113,234) | |
Mortgage-backed securities (MBS) | Fannie Mae | |||
Less than 12 months | |||
Estimated Fair Value | 370,710 | 1,212,164 | |
Unrealized Losses | (335) | (1,787) | |
12 months or more | |||
Estimated Fair Value | 982,923 | 2,134,166 | |
Unrealized Losses | (4,167) | (42,380) | |
Total | |||
Estimated Fair Value | 1,353,633 | 3,346,330 | |
Unrealized Losses | (4,502) | (44,167) | |
Mortgage-backed securities (MBS) | Freddie Mac | |||
Less than 12 months | |||
Estimated Fair Value | 1,922,472 | 3,999,726 | |
Unrealized Losses | (11,531) | (14,431) | |
12 months or more | |||
Estimated Fair Value | 1,688,774 | 3,157,646 | |
Unrealized Losses | (9,579) | (54,012) | |
Total | |||
Estimated Fair Value | 3,611,246 | 7,157,372 | |
Unrealized Losses | (21,110) | (68,443) | |
Mortgage-backed securities (MBS) | MBS-GSE | |||
Less than 12 months | |||
Estimated Fair Value | 2,293,182 | 5,211,890 | |
Unrealized Losses | (11,866) | (16,218) | |
12 months or more | |||
Estimated Fair Value | 2,671,697 | 5,291,812 | |
Unrealized Losses | (13,746) | (96,392) | |
Total | |||
Estimated Fair Value | 4,964,879 | 10,503,702 | |
Unrealized Losses | (25,612) | (112,610) | |
Mortgage-backed securities (MBS) | Private-label MBS | |||
Less than 12 months | |||
Estimated Fair Value | 21 | 4,635 | |
Unrealized Losses | (24) | ||
12 months or more | |||
Estimated Fair Value | 9,325 | 23,138 | |
Unrealized Losses | (462) | (600) | |
Total | |||
Estimated Fair Value | 9,346 | 27,773 | |
Unrealized Losses | $ (462) | $ (624) |
Held-to-Maturity Securities. _3
Held-to-Maturity Securities. - Redemption Terms (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Amortized Cost | ||
Amortized Cost | $ 15,242,053 | $ 17,485,887 |
Estimated Fair Value | ||
Fair Value | 15,456,606 | 17,445,756 |
Net unamortized premiums | 72,500 | 63,700 |
State and local housing finance agency obligations | ||
Amortized Cost | ||
Due after one year through five years | 9,770 | 20,300 |
Due after five years through ten years | 36,810 | 27,670 |
Due after ten years | 1,075,735 | 1,120,380 |
Amortized Cost | 1,122,315 | 1,168,350 |
Estimated Fair Value | ||
Due after one year through five years | 9,781 | 20,194 |
Due after five years through ten years | 36,250 | 27,228 |
Due after ten years | 1,053,474 | 1,096,923 |
Fair Value | 1,099,505 | 1,144,345 |
Mortgage-backed securities (MBS) | ||
Amortized Cost | ||
Due in one year or less | 613,863 | 369,989 |
Due after one year through five years | 4,102,650 | 4,587,009 |
Due after five years through ten years | 6,648,746 | 8,201,200 |
Due after ten years | 2,754,479 | 3,159,339 |
Amortized Cost | 14,119,738 | 16,317,537 |
Estimated Fair Value | ||
Due in one year or less | 619,948 | 367,636 |
Due after one year through five years | 4,142,443 | 4,590,849 |
Due after five years through ten years | 6,815,921 | 8,157,858 |
Due after ten years | 2,778,789 | 3,185,068 |
Fair Value | $ 14,357,101 | $ 16,301,411 |
Held-to-Maturity Securities. _4
Held-to-Maturity Securities. - Interest Rate Payment Terms (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Interest Rate Payment Terms | ||
Amortized Cost | $ 15,242,053 | $ 17,485,887 |
Carrying Value | 15,234,482 | 17,474,826 |
CMOs | ||
Interest Rate Payment Terms | ||
Amortized Cost | 2,295,323 | 2,849,631 |
Carrying Value | 2,294,992 | 2,849,251 |
CMOs | Fixed | ||
Interest Rate Payment Terms | ||
Amortized Cost | 507,026 | 680,247 |
Carrying Value | 506,695 | 679,867 |
CMOs | Floating | ||
Interest Rate Payment Terms | ||
Amortized Cost | 1,788,297 | 2,169,384 |
Carrying Value | 1,788,297 | 2,169,384 |
Commercial Mortgage-Backed Securities (CMBS) | GSE | ||
Interest Rate Payment Terms | ||
Amortized Cost | 11,637,525 | 13,231,525 |
Carrying Value | 11,637,525 | 13,231,525 |
Commercial Mortgage-Backed Securities (CMBS) | GSE | Fixed | ||
Interest Rate Payment Terms | ||
Amortized Cost | 8,351,180 | 8,348,709 |
Carrying Value | 8,351,180 | 8,348,709 |
Commercial Mortgage-Backed Securities (CMBS) | GSE | Floating | ||
Interest Rate Payment Terms | ||
Amortized Cost | 3,286,345 | 4,882,816 |
Carrying Value | 3,286,345 | 4,882,816 |
Pass Thru | ||
Interest Rate Payment Terms | ||
Amortized Cost | 186,890 | 236,381 |
Carrying Value | 179,650 | 225,700 |
Pass Thru | Fixed | ||
Interest Rate Payment Terms | ||
Amortized Cost | 171,889 | 204,281 |
Carrying Value | 164,649 | 193,601 |
Pass Thru | Floating | ||
Interest Rate Payment Terms | ||
Amortized Cost | 15,001 | 32,100 |
Carrying Value | 15,001 | 32,099 |
Mortgage-backed securities (MBS) | ||
Interest Rate Payment Terms | ||
Amortized Cost | 14,119,738 | 16,317,537 |
Carrying Value | 14,112,167 | 16,306,476 |
State and local housing finance agency obligations | ||
Interest Rate Payment Terms | ||
Amortized Cost | 1,122,315 | 1,168,350 |
Carrying Value | 1,122,315 | 1,168,350 |
State and local housing finance agency obligations | Fixed | ||
Interest Rate Payment Terms | ||
Amortized Cost | 5,525 | 6,770 |
Carrying Value | 5,525 | 6,770 |
State and local housing finance agency obligations | Floating | ||
Interest Rate Payment Terms | ||
Amortized Cost | 1,116,790 | 1,161,580 |
Carrying Value | $ 1,116,790 | $ 1,161,580 |
Held-to-Maturity Securities. _5
Held-to-Maturity Securities. - Roll forward Information about Cumulative Credit Component of OTTI Charged to Earnings (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Jan. 01, 2020 | |
Rollforward information about credit component of OTTI recognized as a charge to earnings | ||||
Beginning balance | $ 16,584 | $ 22,731 | $ 29,117 | |
Additional credit losses for which an OTTI charge was previously recognized | 640 | 141 | ||
Realized credit losses | (49) | (269) | ||
Increases in cash flows expected to be collected, recognized over the remaining life of the securities | (2,787) | (6,239) | (6,117) | |
Ending balance | 14,437 | 16,584 | $ 22,731 | |
Other than temporary impairment | ||||
Net impairment losses recognized in earnings | 640 | 141 | ||
Private-label MBS | ||||
Other than temporary impairment | ||||
Net impairment losses recognized in earnings | $ 600 | $ 100 | ||
Credit loss allowance | $ 0 |
Advances. - Redemption Terms (D
Advances. - Redemption Terms (Details) - USD ($) $ in Thousands | Jan. 01, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Amount | |||
Overdrawn demand deposit accounts | $ 4,282 | ||
Due in one year or less | $ 69,206,283 | 68,305,214 | |
Due after one year through two years | 8,727,277 | 18,019,447 | |
Due after two years through three years | 6,214,853 | 6,471,750 | |
Due after three years through four years | 3,032,507 | 3,505,420 | |
Due after four years through five years | 2,709,805 | 2,078,462 | |
Thereafter | 10,505,353 | 7,049,282 | |
Total par value | 100,396,078 | 105,433,857 | |
Hedge valuation basis adjustments | 299,163 | (255,024) | |
Total | $ 100,695,241 | $ 105,178,833 | |
Weighted Average Yield | |||
Overdrawn demand deposit accounts (as a percent) | 3.35% | ||
Due in one year or less (as a percent) | 1.99% | 2.52% | |
Due after one year through two years (as a percent) | 2.16% | 2.46% | |
Due after two years through three years (as a percent) | 2.32% | 2.38% | |
Due after three years through four years (as a percent) | 2.68% | 2.61% | |
Due after four years through five years (as a percent) | 2.02% | 2.97% | |
Thereafter (as a percent) | 2.13% | 2.51% | |
Total par value (as a percent) | 2.06% | 2.51% | |
Percentage of Total | |||
Due in one year or less (as a percent) | 68.93% | 64.79% | |
Due after one year through two years (as a percent) | 8.69% | 17.09% | |
Due after two years through three years (as a percent) | 6.19% | 6.14% | |
Due after three years through four years (as a percent) | 3.02% | 3.32% | |
Due after four years through five years (as a percent) | 2.70% | 1.97% | |
Thereafter (as a percent) | 10.47% | 6.69% | |
Total par value (as a percent) | 100.00% | 100.00% | |
Advances to member banks | |||
Percentage of Total | |||
Credit loss allowance | $ 0 |
Advances. - Credit Risk, Concen
Advances. - Credit Risk, Concentration of Advances Outstanding and Security Terms (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019USD ($)Institutionitem | Dec. 31, 2018USD ($)Institution | Dec. 31, 2017Institution | |
Segment Information and Concentration | |||
Past due advances | $ | $ 0 | $ 0 | |
Security Terms | |||
Number of exceptions | item | 2 | ||
Par Value of Advances | Credit concentration risk | Top ten advance holders | |||
Segment Information and Concentration | |||
Number of borrowing member institutions | Institution | 10 | 10 | 10 |
Concentration risk percentage | 75.53% | 73.39% | 77.25% |
Par Value of Advances | Credit concentration risk | Insurance companies | |||
Segment Information and Concentration | |||
Concentration risk percentage | 24.90% | 21.10% |
Mortgage Loans Held-for-Portf_3
Mortgage Loans Held-for-Portfolio. - Balance Information and Roll-Forward Analysis of Allowance for Credit Losses (Details) - USD ($) $ in Thousands | Jan. 01, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 |
Mortgage Loans Held-for-Portfolio. | |||||||
Allowance for credit losses | $ (653) | $ (653) | $ (814) | $ (992) | $ (653) | $ (814) | $ (992) |
Total mortgage loans held-for-portfolio, net of allowance for credit losses | $ 3,173,352 | 2,927,230 | |||||
First layer of potential credit losses (as a percent) | 1.00% | ||||||
First Loss Account | $ 40,200 | 35,800 | |||||
Credit enhancement fees accrued | $ 2,500 | 2,500 | 2,400 | ||||
Period for which CE fees are held back | 12 months | ||||||
Allowance for credit losses: | |||||||
Beginning balance | 653 | $ 814 | 992 | 1,554 | |||
Charge-offs | (19) | (172) | (580) | ||||
Recoveries | 365 | 305 | |||||
Provision (Reversal) for credit losses on mortgage loans | (142) | (371) | (287) | ||||
Ending balance | 653 | 814 | 992 | ||||
Ending balance, individually evaluated for impairment | 160 | 238 | 210 | ||||
Ending balance, collectively evaluated for impairment | 493 | 576 | 782 | ||||
Total Allowance for credit losses | 653 | 653 | 814 | $ 992 | $ 653 | 814 | $ 992 |
Minimum | |||||||
Mortgage Loans Held-for-Portfolio. | |||||||
Loan-to-value ratio for next layer of protection from the primary mortgage insurance required for loans (as a percent) | 80.00% | ||||||
Mortgage loans receivable (MPF) | |||||||
Mortgage Loans Held-for-Portfolio. | |||||||
Total par value | $ 3,127,744 | 2,883,417 | |||||
Unamortized premiums | 46,442 | 45,451 | |||||
Unamortized discounts | (1,562) | (1,761) | |||||
Basis adjustment | 1,381 | 937 | |||||
Total mortgage loans held-for-portfolio | 3,174,005 | 2,928,044 | |||||
Allowance for credit losses | (653) | $ (653) | (814) | (653) | (814) | ||
Total mortgage loans held-for-portfolio, net of allowance for credit losses | $ 3,173,352 | $ 2,927,230 | |||||
Percentage of Total Par (as a percent) | 100.00% | 100.00% | |||||
Increase in allowance for credit losses | 3,000 | ||||||
Period past due for loans to be individually evaluated for impairment | 90 days | ||||||
Number of days of financing receivable delinquency at which foreclosure is deemed probable | 180 days | ||||||
Allowance for credit losses: | |||||||
Beginning balance | 653 | $ 814 | |||||
Ending balance | 653 | 814 | |||||
Total Allowance for credit losses | $ 653 | $ 653 | $ 814 | $ 653 | $ 814 | ||
Fixed medium-term mortgages | Single-family | |||||||
Mortgage Loans Held-for-Portfolio. | |||||||
Total par value | $ 174,291 | $ 196,551 | |||||
Percentage of Total Par (as a percent) | 5.57% | 6.82% | |||||
Fixed long-term mortgages | Single-family | |||||||
Mortgage Loans Held-for-Portfolio. | |||||||
Total par value | $ 2,953,453 | $ 2,686,866 | |||||
Percentage of Total Par (as a percent) | 94.43% | 93.18% |
Mortgage Loans Held-for-Portf_4
Mortgage Loans Held-for-Portfolio. - Non-performing Loans and Impaired Loans Individually Measured for Impairment (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Mortgage Loans - Non-performing loans | ||
Total Mortgage loans, carrying values net of allowance for credit losses | $ 3,173,352 | $ 2,927,230 |
Conventional MPF Loans | ||
Mortgage Loans - Non-performing loans | ||
Non-performing mortgage loans | 6,899 | 8,453 |
Conventional MPF Loans | Individually measured for impairment | ||
Recorded Investment for Impaired Loans | ||
Recorded investment with no related allowance | 9,061 | 10,507 |
Recorded investment with a related allowance | 1,412 | 993 |
Total recorded investment for impaired loans | 10,473 | 11,500 |
Unpaid Principal Balance for Impaired Loans | ||
Unpaid principal balance with no related allowance | 9,025 | 10,443 |
Unpaid principal balance with a related allowance | 1,408 | 974 |
Total unpaid principal balance for impaired loans | 10,433 | 11,417 |
Related Allowance for Impaired Loans | ||
Allowance for loan losses for impaired loans | 160 | 238 |
Average Recorded Investment of Impaired Loans | ||
Average recorded investment with no related allowance | 10,169 | 12,681 |
Average recorded investment with a related allowance | 987 | 1,161 |
Total average recorded investment for impaired loans | 11,156 | 13,842 |
Insured Loans | ||
Mortgage Loans - Non-performing loans | ||
MPF loans past due 90 days or more and still accruing interest | $ 3,935 | $ 5,501 |
Uninsured loans | Minimum | ||
Average Recorded Investment of Impaired Loans | ||
Period past due for interest received on loan to be recorded as a liability | 90 days | 90 days |
Mortgage Loans Held-for-Portf_5
Mortgage Loans Held-for-Portfolio. - Loans Collectively Measured for Impairment (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Mortgage Loans Held-for-Portfolio. | |||
Collectively measured for impairment, Recorded Investment | $ 3,179,059 | $ 2,930,891 | |
Collectively measured for impairment, Unpaid Principal Balance | 3,117,311 | 2,872,000 | |
Collectively measured for impairment, Related Allowance | 493 | 576 | $ 782 |
Collectively measured for impairment, Average Recorded Investment | 3,021,725 | 2,897,204 | |
Insured Loans | |||
Mortgage Loans Held-for-Portfolio. | |||
Collectively measured for impairment, Recorded Investment | 222,266 | 233,064 | |
Collectively measured for impairment, Unpaid Principal Balance | 217,000 | 227,268 | |
Collectively measured for impairment, Average Recorded Investment | 227,695 | 237,144 | |
Uninsured loans | |||
Mortgage Loans Held-for-Portfolio. | |||
Collectively measured for impairment, Recorded Investment | 2,956,793 | 2,697,827 | |
Collectively measured for impairment, Unpaid Principal Balance | 2,900,311 | 2,644,732 | |
Collectively measured for impairment, Related Allowance | 493 | 576 | |
Collectively measured for impairment, Average Recorded Investment | $ 2,794,030 | $ 2,660,060 |
Mortgage Loans Held-for-Portf_6
Mortgage Loans Held-for-Portfolio. - Recorded Investments in Loans Past Due and Real Estate Owned (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019USD ($)loan | Dec. 31, 2018USD ($)loan | |
Conventional MPF Loans | ||
Mortgage loans: | ||
Total past due | $ 26,118 | $ 28,803 |
Total current loans | 2,941,148 | 2,680,524 |
Total mortgage loans | 2,967,266 | 2,709,327 |
Other delinquency statistics: | ||
Loans in process of foreclosure | $ 4,198 | $ 5,149 |
Number of foreclosures outstanding at period end | loan | 31 | 37 |
Serious delinquency rate (as a percent) | 0.24% | 0.31% |
Serious delinquent loans total used in calculation of serious delinquency rate | $ 7,223 | $ 8,525 |
Loans on non-accrual status | 6,919 | 8,485 |
Real estate owned | 293 | 767 |
Conventional MPF Loans | Past due 30 - 59 days | ||
Mortgage loans: | ||
Total past due | 15,775 | 17,635 |
Conventional MPF Loans | Past due 60 - 89 days | ||
Mortgage loans: | ||
Total past due | 3,424 | 2,683 |
Conventional MPF Loans | Past due 90 - 179 days | ||
Mortgage loans: | ||
Total past due | 1,742 | 1,169 |
Conventional MPF Loans | Past due 180 days or more | ||
Mortgage loans: | ||
Total past due | 5,177 | 7,316 |
Conventional MPF Loans | Loans discharged from bankruptcy | ||
Other delinquency statistics: | ||
Troubled debt restructurings | 7,711 | 7,398 |
Conventional MPF Loans | Modified Loans under MPF program | ||
Other delinquency statistics: | ||
Troubled debt restructurings | 1,138 | 1,423 |
Insured Loans | ||
Mortgage loans: | ||
Total past due | 18,176 | 21,628 |
Total current loans | 204,090 | 211,436 |
Total mortgage loans | 222,266 | 233,064 |
Other delinquency statistics: | ||
Loans in process of foreclosure | $ 2,408 | $ 3,343 |
Number of foreclosures outstanding at period end | loan | 14 | 27 |
Serious delinquency rate (as a percent) | 1.87% | 2.52% |
Serious delinquent loans total used in calculation of serious delinquency rate | $ 4,147 | $ 5,879 |
Past due 90 days or more and still accruing interest | 4,147 | 5,879 |
Insured Loans | Past due 30 - 59 days | ||
Mortgage loans: | ||
Total past due | 11,418 | 12,724 |
Insured Loans | Past due 60 - 89 days | ||
Mortgage loans: | ||
Total past due | 2,611 | 3,025 |
Insured Loans | Past due 90 - 179 days | ||
Mortgage loans: | ||
Total past due | 1,391 | 1,663 |
Insured Loans | Past due 180 days or more | ||
Mortgage loans: | ||
Total past due | 2,756 | 4,216 |
Insured Loans | Loans discharged from bankruptcy | ||
Other delinquency statistics: | ||
Troubled debt restructurings | $ 1,028 | $ 823 |
Deposits. (Details)
Deposits. (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Interest-bearing deposits | ||
Interest-bearing demand | $ 1,144,519 | $ 1,002,587 |
Term | 15,000 | 40,000 |
Total interest-bearing deposits | 1,159,519 | 1,042,587 |
Non-interest-bearing demand | 34,890 | 20,050 |
Total deposits | $ 1,194,409 | $ 1,062,637 |
Maximum period of term deposits | 1 year | 1 year |
Amount Outstanding | ||
Due in one year or less, Interest-bearing deposits | $ 1,159,519 | $ 1,042,587 |
Due in one year or less, Non-interest-bearing deposits | 34,890 | 20,050 |
Total deposits | $ 1,194,409 | $ 1,062,637 |
Weighted Average Interest Rate | ||
Due in one year or less, Interest-bearing deposits (as a percent) | 2.03% | 1.73% |
Consolidated Obligations. - Sum
Consolidated Obligations. - Summary of Issued and Outstanding Consolidated Obligations (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Summary of Consolidated obligations issued by the Bank and outstanding | ||
Total Consolidated obligation-bonds | $ 78,763,309 | $ 84,153,776 |
Total Consolidated obligation - discount notes | 73,959,205 | 50,640,238 |
Consolidated obligation bonds | ||
Summary of Consolidated obligations issued by the Bank and outstanding | ||
Consolidated obligation bonds-amortized cost | 78,179,661 | 83,764,337 |
Hedge valuation basis adjustments | 377,000 | 238,150 |
Hedge basis adjustments on de-designated hedges | 139,605 | 131,497 |
FVO-valuation adjustments and accrued interest | 67,043 | 19,792 |
Total Consolidated obligation-bonds | 78,763,309 | 84,153,776 |
Consolidated obligation discount notes | ||
Summary of Consolidated obligations issued by the Bank and outstanding | ||
Discount notes-amortized cost | 73,955,552 | 50,631,066 |
Hedge value basis adjustments | (105) | |
FVO-valuation adjustments and remaining accretion | 3,758 | 9,172 |
Total Consolidated obligation - discount notes | $ 73,959,205 | $ 50,640,238 |
Consolidated Obligations. - Red
Consolidated Obligations. - Redemption Terms of Consolidated Obligation Bonds (Details) - USD ($) | Dec. 31, 2019 | Dec. 31, 2018 |
Amount | ||
Total Consolidated obligation-bonds | $ 78,763,309,000 | $ 84,153,776,000 |
Consolidated obligation bonds | ||
Amount | ||
One year or less | 62,319,595,000 | 64,893,475,000 |
Over one year through two years | 4,061,125,000 | 7,555,545,000 |
Over two years through three years | 2,817,715,000 | 2,586,325,000 |
Over three years through four years | 1,538,835,000 | 2,181,750,000 |
Over four years through five years | 1,240,735,000 | 1,435,235,000 |
Thereafter | 6,130,800,000 | 5,105,650,000 |
Total par value | 78,108,805,000 | 83,757,980,000 |
Bond premiums | 95,560,000 | 42,647,000 |
Bond discounts | (24,704,000) | (36,290,000) |
Hedge valuation basis adjustments | 377,000,000 | 238,150,000 |
Hedge basis adjustments on de-designated hedges | 139,605,000 | 131,497,000 |
FVO-valuation adjustments and accrued interest | 67,043,000 | 19,792,000 |
Total Consolidated obligation-bonds | $ 78,763,309,000 | $ 84,153,776,000 |
Weighted Average Rate | ||
One year or less, Weighted Average Rate (as a percent) | 1.77% | 2.29% |
Over one year through two years, Weighted Average Rate (as a percent) | 2.10% | 2.38% |
Over two years through three years, Weighted Average Rate (as a percent) | 2.22% | 2.48% |
Over three years through four years, Weighted Average Rate (as a percent) | 2.69% | 2.39% |
Over four years through five years, Weighted Average Rate (as a percent) | 2.60% | 2.73% |
Thereafter, Weighted Average Rate (as a percent) | 3.34% | 3.45% |
Total par value, Weighted Average Rate (as a percent) | 1.96% | 2.39% |
Percentage of Total | ||
One year or less, Percentage of Total (as a percent) | 79.79% | 77.48% |
Over one year through two years, Percentage of Total (as a percent) | 5.20% | 9.02% |
Over two years through three years, Percentage of Total (as a percent) | 3.61% | 3.09% |
Over three years through four years, Percentage of Total (as a percent) | 1.97% | 2.60% |
Over four years through five years, Percentage of Total (as a percent) | 1.58% | 1.71% |
Thereafter, Percentage of Total (as a percent) | 7.85% | 6.10% |
Total par value, Percentage of Total (as a percent) | 100.00% | 100.00% |
Debt maturity | Consolidated obligation bonds | ||
Amount | ||
Hedge basis adjustments on de-designated hedges | $ 0 |
Consolidated Obligations. - Int
Consolidated Obligations. - Interest Rate Payment Terms of Consolidated Obligation Bonds (Details) - Consolidated obligation bonds - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Interest rate payment terms | ||
Total par value | $ 78,108,805 | $ 83,757,980 |
Total par value, Percentage of Total (as a percent) | 100.00% | 100.00% |
Fixed-rate, non-callable | ||
Interest rate payment terms | ||
Total par value | $ 32,588,805 | $ 22,745,980 |
Total par value, Percentage of Total (as a percent) | 41.72% | 27.16% |
Fixed-rate, callable | ||
Interest rate payment terms | ||
Total par value | $ 4,803,000 | $ 4,966,000 |
Total par value, Percentage of Total (as a percent) | 6.15% | 5.93% |
Step Up, callable | ||
Interest rate payment terms | ||
Total par value | $ 15,000 | $ 880,000 |
Total par value, Percentage of Total (as a percent) | 0.02% | 1.05% |
Single-index floating rate | ||
Interest rate payment terms | ||
Total par value | $ 40,702,000 | $ 55,166,000 |
Total par value, Percentage of Total (as a percent) | 52.11% | 65.86% |
Consolidated Obligations. - Out
Consolidated Obligations. - Outstanding Consolidated Obligation Discount Notes (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Discount Notes | ||
Total Consolidated obligation - discount notes | $ 73,959,205 | $ 50,640,238 |
Consolidated obligation discount notes | ||
Discount Notes | ||
Par value | 74,094,586 | 50,805,481 |
Amortized cost | 73,955,552 | 50,631,066 |
Hedge value basis adjustments | (105) | |
FVO(a) - valuation adjustments and remaining accretion | 3,758 | 9,172 |
Total Consolidated obligation - discount notes | $ 73,959,205 | $ 50,640,238 |
Weighted average interest rate (as a percent) | 1.60% | 2.34% |
Consolidated obligation discount notes | Maximum | ||
Discount Notes | ||
Original maturity | 1 year |
Affordable Housing Program. - C
Affordable Housing Program. - Changes in Liabilities (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | ||
Changes in Affordable Housing Program liabilities | ||||
Beginning balance | $ 161,718 | $ 131,654 | $ 125,062 | |
Additions from current period's assessments | 52,552 | 62,382 | 53,417 | |
Net disbursements for grants and programs | [1] | (60,376) | (32,318) | (46,825) |
Ending balance | $ 153,894 | $ 161,718 | $ 131,654 | |
[1] | AHP payments = (beginning accrual - ending accrual) + AHP assessment for the period; payments represent funds released to the Affordable Housing Program. |
Capital Stock, Mandatorily Re_3
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. - Capital Stock and Capital Rules (Details) $ / shares in Units, $ in Thousands | 12 Months Ended | |
Dec. 31, 2019USD ($)item$ / shares | Dec. 31, 2018USD ($)$ / shares | |
Details of capital stock | ||
Stated par value of capital stock (in dollars per share) | $ / shares | $ 100 | $ 100 |
Capital stock | $ 5,778,666 | $ 6,065,799 |
Capital requirements that the Company is subject to | item | 3 | |
Required capital-to-asset ratio (as a percent) | 4.00% | 4.00% |
Minimum leverage ratio (as a percent) | 5.00% | 5.00% |
Weighting factor applicable to the permanent capital used in determining compliance with minimum leverage ratio | 1.5 | |
Weighting factor applicable to the non-permanent capital used in determining compliance with minimum leverage ratio | 1 | |
Period for placing FHLBank in mandatory receivership | 60 days | |
Maximum | ||
Details of capital stock | ||
Percentage of permanent or total capital held by FHLBank to risk-based or minimum capital requirements to become significantly undercapitalized | 75.00% | |
Percentage of permanent or total capital held by FHLBank to risk-based or minimum capital requirements to become critically undercapitalized | 2.00% | |
Period within which each required capital restoration plan must be submitted | 15 days | |
Capital Stock Class B | ||
Details of capital stock | ||
Sub-classes of class of capital stock | item | 2 | |
Notice period required for stock redemption | 5 years | |
Capital stock | $ 5,800,000 | $ 6,100,000 |
Common Class B Membership Capital Stock | ||
Details of capital stock | ||
Capital stock purchase requirement for membership as a percentage of members' Mortgage-related assets | 0.125% | |
Common Class B Membership Capital Stock | Maximum | ||
Details of capital stock | ||
Amount of cap on membership stock per member | $ 100,000 | |
Common Class B Activity Based Capital Stock | ||
Details of capital stock | ||
Capital stock purchase requirement for membership as a percentage of member's borrowed amount | 4.50% |
Capital Stock, Mandatorily Re_4
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. - Risk-based Capital (Details) $ in Thousands | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) |
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | ||
Risk-based capital, Required | $ 1,107,356 | $ 797,783 |
Risk-based capital, Actual | $ 7,584,829 | $ 7,765,726 |
Total capital-to-asset ratio, Required (as a percent) | 4.00% | 4.00% |
Total capital-to-asset ratio, Actual (as a percent) | 4.68% | 5.38% |
Total capital, Required | $ 6,482,481 | $ 5,775,256 |
Total capital, Actual | $ 7,584,829 | $ 7,765,726 |
Leverage ratio, Required (as a percent) | 5.00% | 5.00% |
Leverage ratio, Actual (as a percent) | 7.02% | 8.07% |
Leverage capital, Required | $ 8,103,101 | $ 7,219,070 |
Leverage capital, Actual | $ 11,377,244 | $ 11,648,589 |
Multiplier applied to actual "Risk-based capital" to derive actual "Leverage capital" | 1.5 | 1.5 |
Capital Stock, Mandatorily Re_5
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. - Anticipated Redemptions of Mandatorily Redeemable Capital Stock (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 |
Anticipated redemption of mandatorily redeemable capital stock | ||||
Redemption less than one year | $ 835 | $ 229 | ||
Redemption from one year to less than three years | 371 | 1,068 | ||
Redemption from three years to less than five years | 402 | 425 | ||
Redemption from five years or greater | 3,521 | 4,123 | ||
Total | $ 5,129 | $ 5,845 | $ 19,945 | $ 31,435 |
Capital Stock, Mandatorily Re_6
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. - Changes in Mandatorily Redeemable Capital Stock Liabilities and Restricted Retained Earnings (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Changes in mandatorily redeemable capital stock liabilities during the period | ||||||
Beginning balance | $ 5,845 | $ 19,945 | $ 31,435 | |||
Capital stock subject to mandatory redemption reclassified from equity | 4,184 | 8,756 | 3,009 | |||
Redemption of mandatorily redeemable capital stock | (4,900) | (22,856) | (14,499) | |||
Ending balance | $ 5,129 | $ 5,845 | $ 19,945 | 5,129 | 5,845 | 19,945 |
Accrued interest payable | $ 84 | $ 112 | $ 305 | $ 84 | 112 | $ 305 |
Annualized accrual rates for the period (as a percent) | 6.35% | 6.90% | 6.00% | |||
Restricted Retained Earnings | ||||||
Percentage of net income each FHLBank is required to contribute to a restricted retained earnings account until the balance of that account equals at least one percent of average balance of outstanding consolidated obligations | 20.00% | |||||
Minimum percentage of FHLBank's average balance of outstanding consolidated obligations for restricted retained earnings | 1.00% | |||||
Restricted retained earnings | $ 685,798 | $ 591,281 | $ 685,798 | $ 591,281 |
Earnings Per Share of Capital_2
Earnings Per Share of Capital. (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Earnings Per Share of Capital. | |||
Number of dilutive potential common shares or other common stock equivalents | 0 | 0 | 0 |
Net Income | $ 472,588 | $ 560,478 | $ 479,469 |
Net income available to stockholders | $ 472,588 | $ 560,478 | $ 479,469 |
Weighted average shares of capital (in shares) | 55,511,000 | 61,798,000 | 62,800,000 |
Less: Mandatorily redeemable capital stock (in shares) | (60,000) | (140,000) | (215,000) |
Average number of shares of capital used to calculate earnings per share (in shares) | 55,451,000 | 61,658,000 | 62,585,000 |
Basic earnings per share (in dollars per share) | $ 8.52 | $ 9.09 | $ 7.66 |
Employee Retirement Plans. - Pl
Employee Retirement Plans. - Plan Information and Expenses Summary (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019USD ($)plan | Dec. 31, 2018USD ($) | Dec. 31, 2017USD ($) | |
Employee retirement plan expenses | |||
Total retirement plan expenses | $ 19,860 | $ 18,088 | $ 15,196 |
Pentegra Defined Benefit Plan | |||
Employee retirement plan expenses | |||
Total retirement plan expenses | $ 9,976 | 10,066 | 7,455 |
Benefit Equalization Plans (BEP) | |||
Employee retirement plans | |||
Number of plans | plan | 2 | ||
Benefit Equalization Plans (defined benefit and defined contribution (including deferred incentive compensation)) | |||
Employee retirement plan expenses | |||
Total retirement plan expenses | $ 7,613 | 6,838 | 5,705 |
Pentegra Defined Contribution Plans | |||
Employee retirement plan expenses | |||
Total retirement plan expenses | 2,501 | 2,329 | 2,122 |
Postretirement Health Benefit Plan | |||
Employee retirement plan expenses | |||
Total retirement plan expenses | $ (230) | $ (1,145) | $ (86) |
Employee Retirement Plans. - Pe
Employee Retirement Plans. - Pentegra DB Plan Net Pension Cost and Funded Status (Details) - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Jul. 01, 2019 | Jul. 01, 2018 | Jul. 01, 2017 | |
Multiemployer plan disclosure | ||||||
Net pension cost charged to compensation and benefit expense | $ 19,860 | $ 18,088 | $ 15,196 | |||
Pentegra Defined Benefit Plan | ||||||
Pentegra DB Plan Net Pension Cost and Funded Status | ||||||
Plan Employer Identification Number | 13-5645888 | |||||
Three-digit plan number | 333 | |||||
Calculation basis of funded status, funding target as a percentage of the present value of all benefit liabilities accrued at that date | 100.00% | |||||
Maximum contribution period after the asset valuation date for the prior plan year | 8 months 15 days | |||||
Multiemployer plan disclosure | ||||||
Net pension cost charged to compensation and benefit expense | $ 9,976 | 10,066 | 7,455 | |||
Pentegra DB Plan funded status as of July 1 (as a percent) | 108.59% | 109.86% | 111.30% | |||
FHLBNY's funded status as of July 1 (as a percent) | 108.67% | 114.77% | 115.79% | |||
Pentegra Defined Benefit Plan | Plan year ended June 30, 2019 | ||||||
Multiemployer plan disclosure | ||||||
Contributions allocated to plan | $ 9,696 | |||||
Pentegra Defined Benefit Plan | Plan year ended June 30, 2018 | ||||||
Multiemployer plan disclosure | ||||||
Contributions allocated to plan | $ 10,158 | |||||
Pentegra Defined Benefit Plan | Plan year ended June 30, 2017 | ||||||
Multiemployer plan disclosure | ||||||
Contributions allocated to plan | $ 7,409 |
Employee Retirement Plans. - Be
Employee Retirement Plans. - Benefit Equalization Plan (Details) - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Components of the net periodic pension cost | ||||||
Total retirement plan expenses | $ 19,860 | $ 18,088 | $ 15,196 | |||
Other changes in benefit obligations recognized in AOCI | ||||||
Total recognized in other comprehensive loss/(income) | 9,002 | (7,756) | 8,125 | |||
Benefit Equalization Plan (BEP) | ||||||
Accrued pension costs | ||||||
Accumulated benefit obligation | $ 67,274 | $ 52,288 | ||||
Effect of future salary increases | 11,032 | 10,819 | ||||
Projected benefit obligation | 78,306 | 63,107 | 78,306 | 63,107 | ||
Unrecognized prior service (cost)/credit | (1,548) | |||||
Unrecognized net (loss)/gain | (31,954) | (22,980) | ||||
Accrued pension cost | 44,804 | 40,127 | ||||
Components of the projected benefit obligation | ||||||
Projected benefit obligation at the beginning of the year | 63,107 | |||||
Service cost | 1,265 | 1,095 | 888 | |||
Interest cost | 2,544 | 2,155 | 2,093 | |||
Actuarial loss/(gain) | 11,853 | 11,900 | ||||
Plan amendments | 1,548 | |||||
Projected benefit obligation at the end of the year | 78,306 | 63,107 | ||||
Amounts recognized in AOCI | ||||||
Net (gain)/loss | 31,954 | 22,980 | ||||
Prior service cost /(credit) | 1,548 | |||||
Accumulated other comprehensive loss/(gain) | 33,502 | $ 22,980 | ||||
Changes in plan assets | ||||||
Employer contributions | 2,011 | 1,824 | ||||
Benefits paid | (2,011) | (1,824) | ||||
Components of the net periodic pension cost | ||||||
Service cost | 1,265 | 1,095 | 888 | |||
Interest cost | 2,544 | 2,155 | 2,093 | |||
Amortization of unrecognized net loss | 2,879 | 3,545 | 2,554 | |||
Net periodic benefit cost/(income) | 6,688 | 6,795 | $ 5,535 | |||
Other changes in benefit obligations recognized in AOCI | ||||||
Net (gain)/loss | 11,853 | (1,408) | ||||
Prior service cost/(credit) | 1,548 | |||||
Amortization of net (loss)/gain | (2,879) | (3,545) | ||||
Total recognized in other comprehensive loss/(income) | 10,522 | (4,953) | ||||
Total recognized in net periodic benefit cost and other comprehensive income | $ 17,210 | $ 1,842 | ||||
Net transition obligation (asset), prior service cost (credit), and the estimated net loss (gain) that are expected to be amortized from AOCI into net periodic benefit cost over the next fiscal year | ||||||
Expected amortization of net loss/(gain) | 4,561 | |||||
Expected amortization of past service (credit)/cost | $ 697 | |||||
Key assumptions and other information for the actuarial calculations to determine benefit obligations for the plan | ||||||
Discount rate | 3.05% | 4.10% | 3.47% | |||
Salary increases (as a percent) | 4.50% | 4.50% | 4.50% | |||
Amortization period (years) | 5 years | 6 years | 6 years | |||
Benefits paid during the period | $ (2,011) | $ (1,824) | $ (1,788) | |||
Estimated future plan benefits to be paid | ||||||
2020 | 2,651 | |||||
2021 | 2,968 | |||||
2022 | 3,202 | |||||
2023 | 3,455 | |||||
2024 | 3,668 | |||||
2025-2029 | 21,704 | |||||
Total | 37,648 | |||||
Expected net periodic benefit cost for next fiscal year | $ 9,200 | (6,700) | ||||
Benefit Equalization Plan (BEP) | Unadjusted | ||||||
Accrued pension costs | ||||||
Projected benefit obligation | $ 63,107 | $ 63,107 | $ 63,089 | $ 63,107 | $ 63,089 | |
Components of the projected benefit obligation | ||||||
Projected benefit obligation at the beginning of the year | 63,107 | 63,089 | ||||
Service cost | 1,095 | |||||
Interest cost | 2,155 | |||||
Actuarial loss/(gain) | (1,408) | |||||
Projected benefit obligation at the end of the year | 63,107 | 63,089 | ||||
Changes in plan assets | ||||||
Benefits paid | (1,824) | |||||
Components of the net periodic pension cost | ||||||
Service cost | 1,095 | |||||
Interest cost | 2,155 | |||||
Benefit Equalization Plans (defined benefit and defined contribution (including deferred incentive compensation)) | ||||||
Components of the net periodic pension cost | ||||||
Total retirement plan expenses | 7,613 | 6,838 | 5,705 | |||
Benefit Equalization Plans - Thrift and Deferred incentive compensation plans (introduced in 2017) | ||||||
Components of the net periodic pension cost | ||||||
Plans expense | $ 925 | $ 43 | $ 170 |
Employee Retirement Plans. - Po
Employee Retirement Plans. - Postretirement Health Benefit Plan Amendment, Discount Rate and Effect of Increase or Decrease in Health Care Cost Trend Rates (Details) - Postretirement Health Benefit Plan - USD ($) | Jan. 01, 2015 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 |
Postretirement Health Benefit Plan, eligibility requirements | ||||
Threshold term of service to be eligible under plan | 10 years | |||
Threshold age to be eligible under plan | 55 years | |||
Assumptions used in determining accumulated benefit obligation | ||||
Discount rate | 3.04% | 4.09% | 3.42% | |
Effect of a percentage point increase or decrease in the assumed healthcare trend rates | ||||
Increase in postretirement benefit expense | $ 26,000 | $ 36,000 | ||
Increase in accumulated postretirement benefit obligation | 700,000 | 1,000,000 | ||
Decrease in postretirement benefit expense | 22,800 | 31,400 | ||
Decrease in accumulated postretirement benefit obligation | $ 600,000 | $ 900,000 |
Employee Retirement Plans. - _2
Employee Retirement Plans. - Postretirement Health Benefit Plan (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Other changes in benefit obligations recognized in AOCI | |||
Total recognized in other comprehensive loss/(income) | $ 9,002 | $ (7,756) | $ 8,125 |
Postretirement Health Benefit Plan | |||
Components of the projected benefit obligation | |||
Accumulated benefit obligation at the beginning of the year | 12,826 | 17,120 | |
Service cost | 72 | 87 | 100 |
Interest cost | 406 | 465 | 629 |
Actuarial (gain)/loss | (2,228) | (4,457) | |
Plan participant contributions | 220 | 191 | |
Actual benefits paid | (738) | (636) | |
Retiree drug subsidy reimbursement | 52 | 56 | |
Accumulated benefit obligation at the end of the year | 10,610 | 12,826 | 17,120 |
Changes in plan assets | |||
Employer contributions | 518 | 445 | |
Plan participant contributions | 220 | 191 | |
Actual benefits paid | (738) | (636) | |
Amounts recognized in AOCI | |||
Prior service cost /(credit) | (258) | ||
Net (gain)/loss | (1,509) | 269 | |
Accumulated other comprehensive loss/(gain) | (1,509) | 11 | |
Total recognized in net periodic benefit cost and other comprehensive income | (1,750) | (3,905) | |
Net transition obligation (asset), prior service cost (credit), and the estimated net loss (gain) that are expected to be amortized from AOCI into net periodic benefit cost over the next fiscal year | |||
Expected amortization of net loss/(gain) | (152) | ||
Components of the net periodic pension cost | |||
Service cost (benefits attributed to service during the period) | 72 | 87 | 100 |
Interest cost on accumulated postretirement health benefit obligation | 406 | 465 | 629 |
Amortization of (gain)/loss | (451) | 64 | 946 |
Amortization of prior service (credit)/cost | (257) | (1,761) | (1,761) |
Net periodic benefit cost/(income) | (230) | (1,145) | $ (86) |
Other changes in benefit obligations recognized in AOCI | |||
Net (gain)/loss | (2,228) | (4,457) | |
Amortization of net (loss)/gain | 451 | (64) | |
Amortization of prior service credit/(cost) | 257 | 1,761 | |
Total recognized in other comprehensive loss/(income) | (1,520) | (2,760) | |
Total recognized in net periodic benefit cost and other comprehensive income | $ (1,750) | $ (3,905) | |
Key assumptions and other information for the actuarial calculations to determine benefit obligations for the plan | |||
Discount rate | 3.04% | 4.09% | 3.42% |
Estimated future benefit plan expenses to be paid | |||
2020 | $ 623 | ||
2021 | 656 | ||
2022 | 689 | ||
2023 | 718 | ||
2024 | 722 | ||
2025-2029 | 3,547 | ||
Total | 6,955 | ||
Expected benefit plan accrual for next fiscal year | $ (200) | $ 200 | |
Postretirement Health Benefit Plan | Pre 65 | |||
Health care cost trend rates | |||
Assumed for next year (as a percent) | 6.75% | 6.75% | 7.10% |
Ultimate rate (as a percent) | 4.50% | 4.50% | 4.50% |
Year that ultimate rate is reached | 2028 | 2026 | |
Postretirement Health Benefit Plan | Pre 65 | Minimum | |||
Health care cost trend rates | |||
Year that ultimate rate is reached | 2025 | ||
Postretirement Health Benefit Plan | Pre 65 | Maximum | |||
Health care cost trend rates | |||
Year that ultimate rate is reached | 2026 | ||
Postretirement Health Benefit Plan | Post 65 | |||
Health care cost trend rates | |||
Assumed for next year (as a percent) | 5.00% | 4.90% | 4.95% |
Ultimate rate (as a percent) | 4.50% | 4.50% | 4.50% |
Year that ultimate rate is reached | 2028 | 2026 | |
Postretirement Health Benefit Plan | Post 65 | Minimum | |||
Health care cost trend rates | |||
Year that ultimate rate is reached | 2025 | ||
Postretirement Health Benefit Plan | Post 65 | Maximum | |||
Health care cost trend rates | |||
Year that ultimate rate is reached | 2026 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities. - Derivative Notionals (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Hedging activities | ||
General discussion of derivative instruments and hedging activities | Typically, we execute derivatives under three hedging strategies - by designating them as a fair value or cash flow hedge of an underlying financial instrument or a forecasted transaction that qualifies for hedge accounting treatment; by acting as an intermediary; or by designating the derivative as an asset-liability management hedge (i.e. an "economic hedge"). | |
Notional Amount of Derivatives | $ 108,682,693 | $ 106,096,503 |
Interest rate swaps | ||
Hedging activities | ||
Notional Amount of Derivatives | 107,837,925 | 105,280,821 |
Interest rate caps | ||
Hedging activities | ||
Notional Amount of Derivatives | 800,000 | 803,000 |
Mortgage delivery commitments | ||
Hedging activities | ||
Notional Amount of Derivatives | 44,768 | 12,682 |
Interest rate contracts | ||
Hedging activities | ||
Notional Amount of Derivatives | $ 108,682,693 | $ 106,096,503 |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities. - Nettable Gross and Net and Not Nettable Assets and Liabilities by Contract Type and Amount (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019USD ($)item | Dec. 31, 2018USD ($)item | |
Offsetting of Derivative Assets and Derivative Liabilities | ||
Minimum number of derivative transactions outstanding with a counterparty based on master netting agreement | item | 1 | 1 |
Derivative instruments - Nettable | ||
Derivative fair values | $ 608,703 | $ 543,442 |
Gross amounts of netting adjustments and cash collateral | (370,861) | (429,737) |
Net amounts after offsetting adjustments and cash collateral | 237,842 | 113,705 |
Derivative assets | ||
Total derivative assets after cash collateral presented in the Statements of Condition | 237,947 | 113,762 |
Non-cash collateral received or pledged | ||
Security pledged as initial margin to Derivative Clearing Organization | 251,177 | 239,813 |
Uncleared derivatives securities received | (115,238) | (102,682) |
Total net amount of non-cash collateral received or pledged | 135,939 | 137,131 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 373,886 | 250,893 |
Derivative instruments - Nettable | ||
Derivative fair values | 717,973 | 468,568 |
Gross amount of netting adjustments and cash collateral | (685,563) | (437,421) |
Net amounts after offsetting adjustments and cash collateral | 32,410 | 31,147 |
Derivative liabilities | ||
Total derivative liabilities after cash collateral presented in the Statements of Condition | 32,411 | 31,147 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 32,411 | 31,147 |
Cash collateral received | 27,950 | 56,820 |
Cash collateral posted | (342,652) | (64,504) |
Mortgage delivery commitments | ||
Net unsecured amount | ||
Cash collateral received | 0 | 0 |
Cash collateral posted | $ 0 | 0 |
Mortgage delivery commitments | Maximum | ||
Net unsecured amount | ||
Period of forward mortgage delivery commitments | 45 days | |
Uncleared derivatives | ||
Derivative instruments - Nettable | ||
Derivative fair values | $ 241,501 | 246,765 |
Gross amounts of netting adjustments and cash collateral | (104,011) | (134,413) |
Net amounts after offsetting adjustments and cash collateral | 137,490 | 112,352 |
Derivative instruments - Not Nettable | ||
Derivative instruments - Not Nettable | 105 | 57 |
Derivative assets | ||
Total derivative assets after cash collateral presented in the Statements of Condition | 137,595 | 112,409 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 22,357 | 9,727 |
Derivative instruments - Nettable | ||
Derivative fair values | 365,397 | 162,650 |
Gross amount of netting adjustments and cash collateral | (333,471) | (142,097) |
Net amounts after offsetting adjustments and cash collateral | 31,926 | 20,553 |
Derivative instruments - Not Nettable | ||
Derivative instruments - Not Nettable | 1 | |
Derivative liabilities | ||
Total derivative liabilities after cash collateral presented in the Statements of Condition | 31,927 | 20,553 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 31,927 | 20,553 |
Uncleared - cannot be sold or repledged | ||
Non-cash collateral received or pledged | ||
Uncleared derivatives securities received | (115,238) | (102,682) |
Intermediation / Cleared | ||
Derivative instruments - Nettable | ||
Derivative fair values | 367,202 | 296,677 |
Gross amounts of netting adjustments and cash collateral | (266,850) | (295,324) |
Net amounts after offsetting adjustments and cash collateral | 100,352 | 1,353 |
Derivative assets | ||
Total derivative assets after cash collateral presented in the Statements of Condition | 100,352 | 1,353 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 351,529 | 241,166 |
Derivative instruments - Nettable | ||
Derivative fair values | 352,576 | 305,918 |
Gross amount of netting adjustments and cash collateral | (352,092) | (295,324) |
Net amounts after offsetting adjustments and cash collateral | 484 | 10,594 |
Derivative liabilities | ||
Total derivative liabilities after cash collateral presented in the Statements of Condition | 484 | 10,594 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 484 | 10,594 |
Cash paid (posted) as variation margin | (100,100) | 514,700 |
Cleared - can be sold or repledged | ||
Non-cash collateral received or pledged | ||
Security pledged as initial margin to Derivative Clearing Organization | $ 251,177 | $ 239,813 |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities. - Outstanding Notional Balances and Estimated Fair Values of Derivatives Outstanding (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2018 | |
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | $ 108,682,693 | $ 106,096,503 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 608,808 | 543,499 |
Netting adjustments | (342,911) | (372,917) |
Cash Collateral and related accrued interest | (27,950) | (56,820) |
Total netting adjustments and cash collateral | (370,861) | (429,737) |
Total derivative assets after cash collateral presented in the Statements of Condition | 237,947 | 113,762 |
Security collateral pledged as initial margin to Derivative Clearing Organization | 251,177 | 239,813 |
Security collateral received from counterparty | (115,238) | (102,682) |
Net security | 135,939 | 137,131 |
Net exposure | $ 373,886 | 250,893 |
Market settlement convention for advances maximum business days | 5 days | |
Market settlement convention for Consolidated obligation bonds and discount notes maximum calendar days | 30 days | |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | $ 717,974 | 468,568 |
Netting adjustments | (342,911) | (372,917) |
Cash Collateral and related accrued interest | (342,652) | (64,504) |
Total netting adjustments and cash collateral | (685,563) | (437,421) |
Total derivative liabilities after cash collateral presented in the Statements of Condition | 32,411 | 31,147 |
Interest rate swaps | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 107,837,925 | 105,280,821 |
Interest rate caps | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 800,000 | 803,000 |
Mortgage delivery commitments | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 44,768 | 12,682 |
Derivative Assets | ||
Cash Collateral and related accrued interest | 0 | 0 |
Derivative Liabilities | ||
Cash Collateral and related accrued interest | 0 | 0 |
Derivatives designated as hedging instruments under ASC 815 | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 59,361,080 | 60,701,776 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 414,480 | 390,670 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 550,758 | 314,448 |
Derivatives designated as hedging instruments under ASC 815 | Interest rate swaps | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 59,361,080 | 60,701,776 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 414,480 | 390,670 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 550,758 | 314,448 |
Derivatives not designated as hedging instruments | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 49,321,613 | 45,394,727 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 194,328 | 152,829 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 167,216 | 154,120 |
Derivatives not designated as hedging instruments | Interest rate swaps | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 47,404,845 | 43,913,045 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 179,784 | 145,726 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 162,702 | 144,190 |
Derivatives not designated as hedging instruments | Interest rate caps | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 800,000 | 803,000 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 50 | 644 |
Derivatives not designated as hedging instruments | Mortgage delivery commitments | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 44,768 | 12,682 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 105 | 57 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 1 | |
Derivatives not designated as hedging instruments | Member Swaps Intermediation | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 1,072,000 | 666,000 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 14,389 | 6,402 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | $ 4,513 | $ 9,930 |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities. - Summary of the gains (losses) on the FHLBNY's fair value hedges (Details) - Fair value hedges - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Maximum | |||
Gains and losses from derivatives and hedging activities | |||
FHLBNY advances maturity period | 30 years | ||
Interest rate contracts | Interest Income | |||
Gains and losses from derivatives and hedging activities | |||
Gains (losses) on hedged item in designated and qualifying fair value hedges: | $ 446,278 | ||
Interest rate contracts | Interest Expense | |||
Gains and losses from derivatives and hedging activities | |||
Gains (losses) on derivatives in designated and qualifying fair value hedges: | $ (447,416) | ||
Interest rate contracts | Other Income (Loss) | |||
Gains and losses from derivatives and hedging activities | |||
Gains (losses) on derivatives in designated and qualifying fair value hedges: | $ (43,845) | $ 213,030 | |
Gains (losses) on hedged item in designated and qualifying fair value hedges: | $ 43,342 | $ (212,035) |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities. - Cumulative hedge basis adjustments (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Hedged Assets | ||
Carrying Amount of Hedged Assets | $ 41,270,365 | $ 45,904,804 |
Hedged Assets | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Assets | 310,411 | (255,426) |
Hedged Assets | Discontinued Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Assets | 345 | 402 |
Hedged Advances | ||
Carrying Amount of Hedged Assets | 40,722,558 | 45,904,804 |
Hedged Advances | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Assets | 298,818 | (255,426) |
Hedged Advances | Discontinued Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Assets | 345 | 402 |
Hedged AFS debt securities | ||
Carrying Amount of Hedged Assets | 547,807 | |
Hedged AFS debt securities | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Assets | 11,593 | |
Hedged Liabilities | ||
Carrying Amount of Hedged Liabilities | 14,859,341 | 11,664,558 |
Hedged Liabilities | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Liabilities | (376,895) | (238,150) |
Hedged Liabilities | Discontinued Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Liabilities | (139,605) | (131,497) |
Hedged Consolidated obligation bonds | ||
Carrying Amount of Hedged Liabilities | 11,366,044 | 11,664,558 |
Par amounts of de-designated bonds | 1,300,000 | |
Hedged Consolidated obligation bonds | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Liabilities | (377,000) | (238,150) |
Hedged Consolidated obligation bonds | Discontinued Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Liabilities | (139,605) | $ (131,497) |
Hedged consolidated obligation discount notes | ||
Carrying Amount of Hedged Liabilities | 3,493,297 | |
Hedged consolidated obligation discount notes | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Liabilities | $ 105 |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities. - Changes in AOCI from cash flow hedges (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Derivative instruments | |||
Unrecognized losses in AOCI to be recognized over the next 12 months as a yield adjustment (expenses) to consolidated debt interest expense | $ (1,000) | ||
Interest rate swaps | Minimum | Cash Flow Hedge Of A Rollover Hedge Program | |||
Derivative instruments | |||
Cash flow hedge, maximum period of time of hedged exposure | 10 years | ||
Interest rate swaps | Maximum | Cash Flow Hedge Of A Rollover Hedge Program | |||
Derivative instruments | |||
Cash flow hedge, maximum period of time of hedged exposure | 15 years | ||
Cash flow hedges | Interest rate contracts | |||
Amount of gains (losses) reclassified from AOCI to earnings: | |||
Amounts Recorded in OCI | $ (111,888) | ||
Total Change in OCI for Period | (111,275) | ||
Amount of gains (losses) reclassified from AOCI to Other Income (Loss) | |||
Recognized in AOCI | $ 36,816 | $ 26,000 | |
Ineffectiveness Recognized in Earnings | 36,636 | 27,141 | |
Cash flow hedges | Interest rate contracts | Interest Expense | |||
Amount of gains (losses) reclassified from AOCI to earnings: | |||
Amount Reclassified from AOCI to Earnings | (613) | ||
Amount of gains (losses) reclassified from AOCI to Other Income (Loss) | |||
Amounts Reclassified from AOCI to Earnings | (180) | (1,141) | |
Cash flow hedges | Interest rate contracts | Other Income (Loss) | |||
Amount of gains (losses) reclassified from AOCI to Other Income (Loss) | |||
Ineffectiveness Recognized in Earnings | $ (278) | $ (388) | |
Cash Flow Hedges | |||
Interest rate cash flow hedges | |||
Amounts reclassified into earnings due to discontinuation of cash flow hedges | $ 0 |
Derivatives and Hedging Activ_9
Derivatives and Hedging Activities. - Economic Hedges (Details) - Other Income (Loss) - Derivatives not designated as hedging instruments - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Gains and losses from derivatives and hedging activities | |||
Total Gains (losses) on derivatives in designated economic hedges | $ (40,720) | $ (39,997) | $ 556 |
Interest rate contracts | |||
Gains and losses from derivatives and hedging activities | |||
Total Gains (losses) on derivatives in designated economic hedges | (40,833) | (39,584) | 4,317 |
Interest rate caps | |||
Gains and losses from derivatives and hedging activities | |||
Total Gains (losses) on derivatives in designated economic hedges | (596) | (268) | (4,331) |
Mortgage delivery commitments | |||
Gains and losses from derivatives and hedging activities | |||
Total Gains (losses) on derivatives in designated economic hedges | $ 709 | $ (145) | $ 570 |
Fair Values of Financial Inst_3
Fair Values of Financial Instruments. - Carrying Values, Estimated Fair Values and Levels within Fair Value Hierarchy (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 |
Assets | ||||
Cash and due from banks | $ 603,241 | $ 85,406 | ||
Securities purchased under agreements to resell | 14,985,000 | 4,095,000 | ||
Federal funds sold | 8,640,000 | 7,640,000 | ||
Trading securities | 15,318,809 | 5,810,512 | ||
Equity Investments | 60,047 | 48,179 | ||
Available-for-sale securities | 2,653,418 | 422,216 | ||
Held-to-maturity securities | 15,456,606 | 17,445,756 | ||
Advances | 100,695,241 | 105,178,833 | ||
Loans to other FHLBanks | 250,000 | |||
Accrued interest receivable | 312,559 | 275,256 | ||
Derivative assets | 237,947 | 113,762 | ||
Derivative assets, before netting and cash collateral | 608,808 | 543,499 | ||
Netting Adjustment and Cash Collateral | (370,861) | (429,737) | ||
Liabilities | ||||
Consolidated obligations - Bonds | 78,763,309 | 84,153,776 | ||
Consolidated obligations - Discount notes | 73,959,205 | 50,640,238 | ||
Mandatorily redeemable capital stock | 5,129 | 5,845 | $ 19,945 | $ 31,435 |
Accrued interest payable | 156,889 | 223,570 | ||
Derivative liabilities | 32,411 | 31,147 | ||
Derivative liabilities, before netting and cash collateral | 717,974 | 468,568 | ||
Netting Adjustment and Cash Collateral | (685,563) | (437,421) | ||
Carrying Value | ||||
Assets | ||||
Cash and due from banks | 603,241 | 85,406 | ||
Securities purchased under agreements to resell | 14,985,000 | 4,095,000 | ||
Federal funds sold | 8,640,000 | 7,640,000 | ||
Trading securities | 15,318,809 | 5,810,512 | ||
Equity Investments | 60,047 | 48,179 | ||
Available-for-sale securities | 2,653,418 | 422,216 | ||
Held-to-maturity securities | 15,234,482 | 17,474,826 | ||
Advances | 100,695,241 | 105,178,833 | ||
Mortgage loans held-for-portfolio, net | 3,173,352 | 2,927,230 | ||
Loans to other FHLBanks | 250,000 | |||
Accrued interest receivable | 312,559 | 275,256 | ||
Derivative assets | 237,947 | 113,762 | ||
Other financial assets | 293 | 767 | ||
Liabilities | ||||
Deposits | 1,194,409 | 1,062,637 | ||
Consolidated obligations - Bonds | 78,763,309 | 84,153,776 | ||
Consolidated obligations - Discount notes | 73,959,205 | 50,640,238 | ||
Mandatorily redeemable capital stock | 5,129 | 5,845 | ||
Accrued interest payable | 156,889 | 223,570 | ||
Derivative liabilities | 32,411 | 31,147 | ||
Other financial liabilities | 45,388 | 86,095 | ||
Estimated Fair Value | ||||
Assets | ||||
Cash and due from banks | 603,241 | 85,406 | ||
Securities purchased under agreements to resell | 14,984,909 | 4,095,150 | ||
Federal funds sold | 8,639,966 | 7,639,998 | ||
Trading securities | 15,318,809 | 5,810,512 | ||
Equity Investments | 60,047 | 48,179 | ||
Available-for-sale securities | 2,653,418 | 422,216 | ||
Held-to-maturity securities | 15,456,606 | 17,445,756 | ||
Advances | 100,738,675 | 105,137,214 | ||
Mortgage loans held-for-portfolio, net | 3,190,109 | 2,852,611 | ||
Loans to other FHLBanks | 250,000 | |||
Accrued interest receivable | 312,559 | 275,256 | ||
Derivative assets | 237,947 | 113,762 | ||
Other financial assets | 293 | 767 | ||
Liabilities | ||||
Deposits | 1,194,419 | 1,062,625 | ||
Consolidated obligations - Bonds | 78,980,672 | 83,912,990 | ||
Consolidated obligations - Discount notes | 73,961,316 | 50,638,448 | ||
Mandatorily redeemable capital stock | 5,129 | 5,845 | ||
Accrued interest payable | 156,889 | 223,570 | ||
Derivative liabilities | 32,411 | 31,147 | ||
Other financial liabilities | 45,388 | 86,095 | ||
Estimated Fair Value | Level 1 | ||||
Assets | ||||
Cash and due from banks | 603,241 | 85,406 | ||
Trading securities | 15,315,592 | 5,304,329 | ||
Equity Investments | 60,047 | 48,179 | ||
Liabilities | ||||
Mandatorily redeemable capital stock | 5,129 | 5,845 | ||
Other financial liabilities | 45,388 | 86,095 | ||
Estimated Fair Value | Level 2 | ||||
Assets | ||||
Securities purchased under agreements to resell | 14,984,909 | 4,095,150 | ||
Federal funds sold | 8,639,966 | 7,639,998 | ||
Trading securities | 3,217 | 506,183 | ||
Available-for-sale securities | 2,653,418 | 422,216 | ||
Held-to-maturity securities | 14,223,919 | 16,126,662 | ||
Advances | 100,738,675 | 105,137,214 | ||
Mortgage loans held-for-portfolio, net | 3,190,109 | 2,852,611 | ||
Loans to other FHLBanks | 250,000 | |||
Accrued interest receivable | 312,559 | 275,256 | ||
Derivative assets, before netting and cash collateral | 608,808 | 543,499 | ||
Liabilities | ||||
Deposits | 1,194,419 | 1,062,625 | ||
Consolidated obligations - Bonds | 78,980,672 | 83,912,990 | ||
Consolidated obligations - Discount notes | 73,961,316 | 50,638,448 | ||
Accrued interest payable | 156,889 | 223,570 | ||
Derivative liabilities, before netting and cash collateral | 717,974 | 468,568 | ||
Estimated Fair Value | Level 3 | ||||
Assets | ||||
Held-to-maturity securities | 1,232,687 | 1,319,094 | ||
Other financial assets | $ 293 | $ 767 |
Fair Values of Financial Inst_4
Fair Values of Financial Instruments. - Fair Value Hierarchy Transfers, Valuation Techniques and Primary Inputs (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019USD ($)Pointitem | Dec. 31, 2018USD ($)Pointitem | |
Summary of Valuation Techniques and Primary Inputs | ||
Asset transfers in/out of Level 1, Level 2 or Level 3 | $ | $ 0 | $ 0 |
Liability transfers in/out of Level 1, Level 2 or Level 3 | $ | 0 | 0 |
Credit adjustment to recorded fair value of Derivative assets | $ | 0 | 0 |
Credit adjustment to recorded fair value of Derivative liabilities | $ | $ 0 | $ 0 |
Minimum | ||
Summary of Valuation Techniques and Primary Inputs | ||
Maturity or repricing period of advances which requires a prepayment fee | 6 months | |
Mortgage-backed securities (MBS) | ||
Summary of Valuation Techniques and Primary Inputs | ||
Number of prices to be received for middle price to be used | 3 | |
Number of prices received when two prices used for average | 2 | |
Number of prices used for calculating average when two prices are received | 2 | |
Number of prices received that are subject to additional validation | 1 | |
Mortgage-backed securities (MBS) | Minimum | ||
Summary of Valuation Techniques and Primary Inputs | ||
Number of third-party vendors, price available subject to additional validation | 0 | |
Mortgage-backed securities (MBS) | Maximum | ||
Summary of Valuation Techniques and Primary Inputs | ||
Number of third-party vendors | 3 | 3 |
Number of third-party vendors, price available subject to additional validation | 1 | |
GSE | Mortgage-backed securities (MBS) | Maximum | ||
Summary of Valuation Techniques and Primary Inputs | ||
Number of points from median price to be included among the cluster | Point | 3 | 3 |
Private-label MBS | Residential mortgage-backed securities | Maximum | ||
Summary of Valuation Techniques and Primary Inputs | ||
Number of points from median price to be included among the cluster | Point | 7 | 7 |
Fair Values of Financial Inst_5
Fair Values of Financial Instruments. - Items Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Assets | ||
Trading securities | $ 15,318,809 | $ 5,810,512 |
Equity Investments | 60,047 | 48,179 |
Available-for-sale securities | 2,653,418 | 422,216 |
Derivative assets | 237,842 | 113,705 |
Netting Adjustment and Cash Collateral | (370,861) | (429,737) |
Liabilities | ||
Consolidated obligation: Discount notes (to the extent FVO is elected) | (2,186,603) | (3,180,086) |
Consolidated obligation: Bonds (to the extent FVO is elected) | (12,134,043) | (5,159,792) |
Derivative liabilities | (32,410) | (31,147) |
Netting Adjustment and Cash Collateral | 685,563 | 437,421 |
GSE securities | ||
Assets | ||
Trading securities | 502,849 | |
Corporate notes | ||
Assets | ||
Trading securities | 3,217 | 3,334 |
U.S. Treasury notes | ||
Assets | ||
Trading securities | 15,315,592 | 5,304,329 |
Mortgage-backed securities (MBS) | ||
Assets | ||
Available-for-sale securities | 2,653,418 | 422,216 |
Measured on a recurring basis | ||
Assets | ||
Equity Investments | 60,047 | 48,179 |
Netting Adjustment and Cash Collateral | (370,861) | (429,737) |
Total assets | 18,270,221 | 6,394,669 |
Liabilities | ||
Consolidated obligation: Discount notes (to the extent FVO is elected) | (2,186,603) | (3,180,086) |
Consolidated obligation: Bonds (to the extent FVO is elected) | (12,134,043) | (5,159,792) |
Netting Adjustment and Cash Collateral | 685,563 | 437,421 |
Total liabilities | (14,353,057) | (8,371,025) |
Measured on a recurring basis | Interest rate contracts | ||
Assets | ||
Derivative assets | 237,842 | 113,705 |
Netting Adjustment and Cash Collateral | (370,861) | (429,737) |
Liabilities | ||
Derivative liabilities | (32,410) | (31,147) |
Netting Adjustment and Cash Collateral | 685,563 | 437,421 |
Measured on a recurring basis | Mortgage delivery commitments | ||
Assets | ||
Derivative assets | 105 | 57 |
Liabilities | ||
Derivative liabilities | (1) | |
Measured on a recurring basis | GSE securities | ||
Assets | ||
Trading securities | 502,849 | |
Measured on a recurring basis | Corporate notes | ||
Assets | ||
Trading securities | 3,217 | 3,334 |
Measured on a recurring basis | U.S. Treasury notes | ||
Assets | ||
Trading securities | 15,315,592 | 5,304,329 |
Measured on a recurring basis | GSE | Mortgage-backed securities (MBS) | ||
Assets | ||
Available-for-sale securities | 2,653,418 | 422,216 |
Measured on a recurring basis | Level 1 | ||
Assets | ||
Equity Investments | 60,047 | 48,179 |
Total assets | 15,375,639 | 5,352,508 |
Measured on a recurring basis | Level 1 | U.S. Treasury notes | ||
Assets | ||
Trading securities | 15,315,592 | 5,304,329 |
Measured on a recurring basis | Level 2 | ||
Assets | ||
Total assets | 3,265,443 | 1,471,898 |
Liabilities | ||
Consolidated obligation: Discount notes (to the extent FVO is elected) | (2,186,603) | (3,180,086) |
Consolidated obligation: Bonds (to the extent FVO is elected) | (12,134,043) | (5,159,792) |
Total liabilities | (15,038,620) | (8,808,446) |
Measured on a recurring basis | Level 2 | Interest rate contracts | ||
Assets | ||
Derivative assets | 608,703 | 543,442 |
Liabilities | ||
Derivative liabilities | (717,973) | (468,568) |
Measured on a recurring basis | Level 2 | Mortgage delivery commitments | ||
Assets | ||
Derivative assets | 105 | 57 |
Liabilities | ||
Derivative liabilities | (1) | |
Measured on a recurring basis | Level 2 | GSE securities | ||
Assets | ||
Trading securities | 502,849 | |
Measured on a recurring basis | Level 2 | Corporate notes | ||
Assets | ||
Trading securities | 3,217 | 3,334 |
Measured on a recurring basis | Level 2 | GSE | Mortgage-backed securities (MBS) | ||
Assets | ||
Available-for-sale securities | $ 2,653,418 | $ 422,216 |
Fair Values of Financial Inst_6
Fair Values of Financial Instruments. - Items Measured at Fair Value on a Non-recurring Basis (Details) - Measured on a non-recurring basis - USD ($) $ in Thousands | Dec. 31, 2019 | Dec. 31, 2018 |
Assets recorded at fair value on a non-recurring basis | ||
Real estate owned | $ 306 | $ 795 |
Total assets at fair value | 386 | 1,536 |
Past due 180 days or more | ||
Assets recorded at fair value on a non-recurring basis | ||
Mortgage loans held-for-portfolio | 80 | 741 |
Level 2 | ||
Assets recorded at fair value on a non-recurring basis | ||
Total assets at fair value | 80 | 741 |
Level 2 | Past due 180 days or more | ||
Assets recorded at fair value on a non-recurring basis | ||
Mortgage loans held-for-portfolio | 80 | 741 |
Level 3 | ||
Assets recorded at fair value on a non-recurring basis | ||
Real estate owned | 306 | 795 |
Total assets at fair value | $ 306 | $ 795 |
Fair Values of Financial Inst_7
Fair Values of Financial Instruments. - Fair Value Option (Details) - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Activity related to financial instruments for which the Bank elected the fair value option | ||||||
Net gains (losses) on financial instruments held under fair value option | $ (4,146) | $ 209 | $ (4,540) | |||
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected | ||||||
Interest Income | 2,526,662 | 2,522,040 | 1,563,322 | |||
Net gains (losses) on financial instruments held under fair value option | (4,146) | 209 | (4,540) | |||
Advances, fair value option | ||||||
Fair Value Option Disclosures | ||||||
Adjustments to fair values of assets recorded under fair value option for instrument-specific credit risk | 0 | 0 | ||||
Activity related to financial instruments for which the Bank elected the fair value option | ||||||
Balance, beginning of the period | 2,205,624 | 9,873,157 | ||||
New transactions elected for fair value option | 5,000,000 | |||||
Maturities and terminations | (2,200,000) | (12,659,567) | ||||
Net gains (losses) on financial instruments held under fair value option | (590) | (5,142) | ||||
Change in accrued interest/ unaccreted balance | (5,034) | (2,824) | ||||
Balance, end of the period | 2,205,624 | |||||
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected | ||||||
Interest Income | 10,085 | 54,023 | ||||
Net gains (losses) on financial instruments held under fair value option | (590) | (5,142) | ||||
Total Change in Fair Value Included in Current Period Earnings | 9,495 | 48,881 | ||||
Comparison of aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected | ||||||
Aggregate Unpaid Principal Balance | $ 2,200,000 | |||||
Aggregate Fair Value | 2,205,624 | 2,205,624 | 2,205,624 | |||
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | 5,624 | |||||
Consolidated obligations, fair value option | ||||||
Fair Value Option Disclosures | ||||||
Adjustments to fair values of liabilities recorded under fair value option for instrument-specific credit risk | 0 | 0 | ||||
Activity related to financial instruments for which the Bank elected the fair value option | ||||||
Balance, beginning of the period | (8,339,878) | (3,443,695) | ||||
Net gains (losses) on financial instruments held under fair value option | (4,146) | 799 | 602 | |||
Balance, end of the period | (14,320,646) | (8,339,878) | (3,443,695) | |||
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected | ||||||
Interest Expense | (194,804) | (46,694) | (33,955) | |||
Net gains (losses) on financial instruments held under fair value option | (4,146) | 799 | 602 | |||
Total Change in Fair Value Included in Current Period Earnings | (198,950) | (45,895) | (33,353) | |||
Comparison of aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected | ||||||
Aggregate Unpaid Principal Balance | $ 14,249,845 | $ 8,310,915 | 3,439,618 | |||
Aggregate Fair Value | 14,320,646 | 8,339,878 | 3,443,695 | 14,320,646 | 8,339,878 | 3,443,695 |
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | 70,801 | 28,963 | 4,077 | |||
Consolidated obligation - bonds, fair value option | ||||||
Activity related to financial instruments for which the Bank elected the fair value option | ||||||
Balance, beginning of the period | (5,159,792) | (1,131,074) | (2,052,513) | |||
New transactions elected for fair value option | (18,392,000) | (5,225,000) | (1,100,000) | |||
Maturities and terminations | 11,465,000 | 1,215,000 | 2,019,550 | |||
Net gains (losses) on financial instruments held under fair value option | (3,952) | 681 | 224 | |||
Change in accrued interest/ unaccreted balance | (43,299) | (19,399) | 1,665 | |||
Balance, end of the period | (12,134,043) | (5,159,792) | (1,131,074) | |||
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected | ||||||
Interest Expense | (168,329) | (25,077) | (6,436) | |||
Net gains (losses) on financial instruments held under fair value option | (3,952) | 681 | 224 | |||
Total Change in Fair Value Included in Current Period Earnings | (172,281) | (24,396) | (6,212) | |||
Comparison of aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected | ||||||
Aggregate Unpaid Principal Balance | 12,067,000 | 5,140,000 | 1,130,000 | |||
Aggregate Fair Value | 12,134,043 | 5,159,792 | 1,131,074 | 12,134,043 | 5,159,792 | 1,131,074 |
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | 67,043 | 19,792 | 1,074 | |||
Consolidated obligation - discount notes, fair value option | ||||||
Activity related to financial instruments for which the Bank elected the fair value option | ||||||
Balance, beginning of the period | (3,180,086) | (2,312,621) | (12,228,412) | |||
New transactions elected for fair value option | (2,182,845) | (4,735,290) | (5,980,042) | |||
Maturities and terminations | 3,170,915 | 3,873,993 | 15,875,322 | |||
Net gains (losses) on financial instruments held under fair value option | (194) | 118 | 378 | |||
Change in accrued interest/ unaccreted balance | 5,607 | (6,286) | 20,133 | |||
Balance, end of the period | (2,186,603) | (3,180,086) | (2,312,621) | |||
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected | ||||||
Interest Expense | (26,475) | (21,617) | (27,519) | |||
Net gains (losses) on financial instruments held under fair value option | (194) | 118 | 378 | |||
Total Change in Fair Value Included in Current Period Earnings | (26,669) | (21,499) | (27,141) | |||
Comparison of aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected | ||||||
Aggregate Unpaid Principal Balance | 2,182,845 | 3,170,915 | 2,309,618 | |||
Aggregate Fair Value | $ 2,186,603 | $ 3,180,086 | $ 2,312,621 | 2,186,603 | 3,180,086 | 2,312,621 |
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | $ 3,758 | $ 9,171 | $ 3,003 |
Commitments and Contingencies_2
Commitments and Contingencies. - Consolidated obligations and MPF Program (Details) $ in Millions | 12 Months Ended | |
Dec. 31, 2019USD ($)Institution | Dec. 31, 2018USD ($) | |
Mortgage loans receivable (MPF) | ||
Commitments | ||
Unconditional purchase obligation | $ 44.8 | $ 12.7 |
Maximum commitment period | 45 days | 45 days |
Obligations subject to joint and several liability | All other FHLBanks | ||
Commitments | ||
Joint and several liability, number of Federal Home Loan Banks unable to repay their participation in consolidated obligations, minimum | Institution | 1 | |
Consolidated obligations | Obligations subject to joint and several liability | All other FHLBanks | ||
Commitments | ||
Aggregate amount outstanding | $ 1,000,000 | $ 1,000,000 |
Commitments and Contingencies_3
Commitments and Contingencies. - Derivative Contracts, Deposits and Lease contracts and Affordable Housing Program (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Derivative contracts with counterparty credit exposure | |||
Cash posted to derivative counterparties | $ 342,652 | $ 64,504 | |
Security pledged as initial margin to Derivative Clearing Organization | 251,177 | 239,813 | |
Lease contracts | |||
Net rental costs | 7,585 | ||
Estimated cost of lease | 110,941 | 106,741 | |
Affordable Housing Program | |||
Expected annual aggregate FHLBank contribution to the Affordable Housing Program | 100,000 | ||
Shortfall of expected aggregate annual contribution to the Affordable Housing Program | 0 | 0 | $ 0 |
Premises | |||
Lease contracts | |||
Net rental costs | 7,100 | ||
Net rental costs | 7,100 | $ 4,600 | |
Remote backup site | |||
Lease contracts | |||
Estimated cost of lease | $ 2,800 | ||
Remote backup site | Maximum | |||
Lease contracts | |||
Renewal term | 5 years | ||
Mortgage-backed securities (MBS) | |||
Securities pledged as collateral | |||
Securities pledged | $ 3,700 | 4,500 | |
Bilateral derivative | |||
Derivative contracts with counterparty credit exposure | |||
Cash posted to derivative counterparties | 257,400 | 64,500 | |
Cleared derivative | |||
Derivative contracts with counterparty credit exposure | |||
Security pledged as initial margin to Derivative Clearing Organization | 251,200 | $ 239,800 | |
Cash pledged as initial margin to Derivative Clearing Organization | $ 85,200 |
Commitments and Contingencies_4
Commitments and Contingencies. - Summary of Contractual Obligations and Contingencies (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019 | Jan. 01, 2020 | |
Contractual obligations and commitments | ||
Less Than One Year | $ 159,034,706 | |
Greater Than One Year to Three Years | 7,169,723 | |
Greater Than Three Years to Five Years | 2,812,408 | |
Greater Than Five Years | 6,274,106 | |
Total | 175,290,943 | |
Contractual Obligations | ||
Contractual obligations and commitments | ||
Less Than One Year | 136,508,965 | |
Greater Than One Year to Three Years | 6,906,603 | |
Greater Than Three Years to Five Years | 2,805,470 | |
Greater Than Five Years | 6,274,106 | |
Total | 152,495,144 | |
Consolidated obligation bonds | ||
Contractual obligations and commitments | ||
Less Than One Year | 62,319,595 | |
Greater Than One Year to Three Years | 6,878,840 | |
Greater Than Three Years to Five Years | 2,779,570 | |
Greater Than Five Years | 6,130,800 | |
Total | 78,108,805 | |
Consolidated obligation discount notes | ||
Contractual obligations and commitments | ||
Less Than One Year | 74,094,586 | |
Total | 74,094,586 | |
Mandatorily redeemable capital stock | ||
Contractual obligations and commitments | ||
Less Than One Year | 835 | |
Greater Than One Year to Three Years | 371 | |
Greater Than Three Years to Five Years | 402 | |
Greater Than Five Years | 3,521 | |
Total | 5,129 | |
Lease obligations | Premises | ||
Contractual obligations and commitments | ||
Less Than One Year | 6,763 | |
Greater Than One Year to Three Years | 15,209 | |
Greater Than Three Years to Five Years | 16,097 | |
Greater Than Five Years | 70,222 | |
Total | 108,291 | |
Lease obligations | Remote backup site | ||
Contractual obligations and commitments | ||
Less Than One Year | 706 | |
Greater Than One Year to Three Years | 1,273 | |
Greater Than Three Years to Five Years | 838 | |
Total | 2,817 | |
Other liabilities | ||
Contractual obligations and commitments | ||
Less Than One Year | 86,480 | |
Greater Than One Year to Three Years | 10,910 | |
Greater Than Three Years to Five Years | 8,563 | |
Greater Than Five Years | 69,563 | |
Total | 175,516 | |
Other commitments | ||
Contractual obligations and commitments | ||
Less Than One Year | 22,525,741 | |
Greater Than One Year to Three Years | 263,120 | |
Greater Than Three Years to Five Years | 6,938 | |
Total | 22,795,799 | |
Provision for off-balance sheet credit losses | 0 | |
Off balance sheet credit loss liability | $ 0 | |
Standby letters of credit | ||
Contractual obligations and commitments | ||
Less Than One Year | 21,720,973 | |
Greater Than One Year to Three Years | 263,120 | |
Greater Than Three Years to Five Years | 6,938 | |
Total | 21,991,031 | |
Consolidated obligation bonds/discount notes traded not settled | ||
Contractual obligations and commitments | ||
Less Than One Year | 500,000 | |
Total | 500,000 | |
Commitments to fund additional advances | ||
Contractual obligations and commitments | ||
Less Than One Year | 250,000 | |
Total | 250,000 | |
Pentegra Defined Benefit Plan | ||
Contractual obligations and commitments | ||
Less Than One Year | 10,000 | |
Total | 10,000 | |
Open delivery commitments (MPF) | ||
Contractual obligations and commitments | ||
Less Than One Year | 44,768 | |
Total | $ 44,768 |
Commitments and Contingencies_5
Commitments and Contingencies. - Operating Lease (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Jan. 01, 2019 | Dec. 31, 2018 | |
Assets and Liabilities | |||
Right-of-use assets | $ 75,464 | ||
Lease Liabilities | 89,365 | ||
Lease Expense and operating cash flows | |||
Operating Lease Expense | 7,585 | ||
Operating cash flows - Cash Paid | $ 6,624 | ||
Weighted Average Discount Rate | 3.29% | ||
Weighted Average Remaining Lease Term | 12 years 11 months 23 days | ||
Operating lease liabilities | |||
2019 | $ 6,687 | ||
2020 | $ 7,886 | 6,927 | |
2021 | 8,107 | 6,860 | |
2022 | 8,205 | 6,949 | |
2023 | 8,575 | 7,282 | |
2024 | 8,282 | 7,331 | |
Thereafter | 69,886 | 64,705 | |
Total undiscounted lease payments | 110,941 | $ 106,741 | |
Imputed interest | (21,576) | ||
Total operating lease liabilities | $ 89,365 | ||
Maximum | |||
Assets and Liabilities | |||
Operating lease term of contract (in years) | 15 years | ||
ASU 2016-02 | Restatement adjustment | |||
Assets and Liabilities | |||
Right-of-use assets | $ 71,600 | ||
Lease Liabilities | 83,900 | ||
Operating lease liabilities | |||
Total operating lease liabilities | $ 83,900 |
Related Party Transactions. - S
Related Party Transactions. - Summary of Activity and Outstanding Balances with Related Parties (Details) - USD ($) | 12 Months Ended | |||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | Dec. 31, 2016 | |
Related Party Transactions | ||||
Debt assumed by FHLBNY from another FHLBank | $ 0 | $ 0 | ||
Debt transferred to another FHLBNY | 0 | 0 | ||
Advances transferred or sold by FHLBNY to another FHLBank | 0 | 0 | ||
Advances transferred or sold to the FHLBNY from another FHLBank | 0 | 0 | ||
Mortgage-backed securities acquired by FHLBNY from another FHLBank | 0 | 0 | ||
Notional amounts outstanding | 108,682,693,000 | 106,096,503,000 | ||
Overnight loans extended to other FHLBanks | 6,900,000 | 6,700,000 | ||
Average overnight loan borrowed from other FHLBanks | $ 6,600,000 | |||
Borrowing period from other FHLBanks | 1 day | |||
Borrowings from other FHLBanks | $ 2,100,000,000 | 0 | ||
Compensating balance | 0 | 0 | ||
Assets | ||||
Advances | 100,695,241,000 | 105,178,833,000 | ||
Loans to other FHLBanks | 250,000,000 | |||
Accrued interest receivable | 312,559,000 | 275,256,000 | ||
Liabilities and capital | ||||
Deposits | 1,194,409,000 | 1,062,637,000 | ||
Mandatorily redeemable capital stock | 5,129,000 | 5,845,000 | $ 19,945,000 | $ 31,435,000 |
Accrued interest payable | 156,889,000 | 223,570,000 | ||
Affordable Housing Program | 153,894,000 | 161,718,000 | 131,654,000 | 125,062,000 |
Other liabilities | 175,516,000 | 355,841,000 | ||
Total capital | 7,531,895,000 | 7,746,622,000 | 8,241,038,000 | $ 7,624,081,000 |
FHLBank of Chicago | MPF program services | ||||
Related Party Transactions | ||||
Purchases of mortgage loans, cumulative participations by other Federal Home Loan Banks | 7,300,000 | 8,600,000 | ||
Fees paid | 2,500,000 | 2,600,000 | $ 2,300,000 | |
FHLBank of Chicago | Use of MBS cash flow model | ||||
Related Party Transactions | ||||
Annual fee | 6,000 | |||
Smaller members | Member Swaps Intermediation | ||||
Related Party Transactions | ||||
Notional amounts outstanding | 536,000,000 | 333,000,000 | ||
Related Party | ||||
Assets | ||||
Advances | 100,695,241,000 | 105,178,833,000 | ||
Loans to other FHLBanks | 250,000,000 | |||
Accrued interest receivable | 181,792,000 | 202,404,000 | ||
Liabilities and capital | ||||
Deposits | 1,194,409,000 | 1,062,637,000 | ||
Mandatorily redeemable capital stock | 5,129,000 | 5,845,000 | ||
Accrued interest payable | 140,000 | 373,000 | ||
Affordable Housing Program | 153,894,000 | 161,718,000 | ||
Other liabilities | 45,388,000 | 86,095,000 | ||
Total capital | $ 7,531,895,000 | $ 7,746,622,000 |
Related Party Transactions. -_2
Related Party Transactions. - Summary of Income and Expense Transactions with Related Parties (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Interest income | |||
Advances | $ 2,526,662 | $ 2,522,040 | $ 1,563,322 |
Interest-bearing deposits | 4,561 | 420 | 168 |
Loans to other FHLBanks | 165 | 130 | 26 |
Interest expense | |||
Deposits | 22,839 | 17,816 | 15,060 |
Mandatorily redeemable capital stock | 379 | 964 | 1,285 |
Cash collateral held and other borrowings | 895 | 1,614 | 342 |
Service fees and other | 18,224 | 18,442 | 15,841 |
Related Party | |||
Interest income | |||
Advances | 2,526,662 | 2,522,040 | 1,563,322 |
Interest-bearing deposits | 6 | 5 | 2 |
Loans to other FHLBanks | 165 | 130 | 26 |
Interest expense | |||
Deposits | 22,839 | 17,816 | 15,060 |
Mandatorily redeemable capital stock | 379 | 964 | 1,285 |
Cash collateral held and other borrowings | 165 | 26 | |
Service fees and other | $ 17,022 | $ 14,439 | $ 12,251 |
Segment Information and Conce_3
Segment Information and Concentration. - Top Ten Advance Holders and Associated Interest Income (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2019USD ($)Institution | Dec. 31, 2018USD ($)Institution | Dec. 31, 2017USD ($)Institution | |
Segment Information and Concentration | |||
Large member withdrawals which could significantly decrease assets, capital or business, minimum number | Institution | 1 | ||
Advances | |||
Par Advances | $ 100,396,078 | $ 105,433,857 | |
Interest Income | $ 2,526,662 | $ 2,522,040 | $ 1,563,322 |
Par Value of Advances | Credit concentration risk | Top ten advance holders | |||
Advances | |||
Number of top advance holders reported for segment reporting | Institution | 10 | 10 | 10 |
Par Advances | $ 75,829,209 | $ 77,393,469 | $ 94,792,968 |
Percentage of Total | 75.53% | 73.39% | 77.25% |
Par Value of Advances | Credit concentration risk | Citibank, N.A. | |||
Advances | |||
Par Advances | $ 23,045,000 | $ 19,995,000 | $ 43,100,000 |
Percentage of Total | 22.95% | 18.96% | 35.12% |
Par Value of Advances | Credit concentration risk | Metropolitan Life Insurance Company | |||
Advances | |||
Par Advances | $ 14,445,000 | $ 14,245,000 | $ 14,445,000 |
Percentage of Total | 14.39% | 13.51% | 11.77% |
Par Value of Advances | Credit concentration risk | New York Community Bancorp, Inc. | |||
Advances | |||
Par Advances | $ 12,104,500 | ||
Percentage of Total | 9.86% | ||
Par Value of Advances | Credit concentration risk | New York Community Bank | |||
Advances | |||
Par Advances | $ 13,102,661 | $ 13,053,661 | $ 11,830,600 |
Percentage of Total | 13.05% | 12.38% | 9.64% |
Par Value of Advances | Credit concentration risk | New York Commercial Bank | |||
Advances | |||
Par Advances | $ 273,900 | ||
Percentage of Total | 0.22% | ||
Par Value of Advances | Credit concentration risk | Investors Bank | |||
Advances | |||
Par Advances | $ 4,986,397 | $ 4,925,681 | $ 4,326,053 |
Percentage of Total | 4.97% | 4.67% | 3.53% |
Par Value of Advances | Credit concentration risk | Signature Bank | |||
Advances | |||
Par Advances | $ 4,142,144 | $ 4,970,000 | $ 4,195,000 |
Percentage of Total | 4.13% | 4.71% | 3.42% |
Par Value of Advances | Credit concentration risk | AXA Equitable Life Insurance Company | |||
Advances | |||
Par Advances | $ 6,900,415 | $ 3,990,415 | $ 3,000,415 |
Percentage of Total | 6.87% | 3.78% | 2.45% |
Par Value of Advances | Credit concentration risk | Sterling National Bank | |||
Advances | |||
Par Advances | $ 2,245,000 | $ 4,837,000 | $ 4,507,000 |
Percentage of Total | 2.24% | 4.59% | 3.67% |
Par Value of Advances | Credit concentration risk | ESL Federal Credit Union | |||
Advances | |||
Par Advances | $ 1,739,823 | ||
Percentage of Total | 1.73% | ||
Par Value of Advances | Credit concentration risk | Manufacturers and Traders Trust Company | |||
Advances | |||
Par Advances | $ 4,774,712 | ||
Percentage of Total | 4.53% | ||
Par Value of Advances | Credit concentration risk | HSBC Bank USA, National Association | |||
Advances | |||
Par Advances | $ 3,100,000 | ||
Percentage of Total | 2.53% | ||
Par Value of Advances | Credit concentration risk | Valley National Bank | |||
Advances | |||
Par Advances | $ 2,397,769 | $ 3,027,000 | |
Percentage of Total | 2.39% | 2.87% | |
Par Value of Advances | Credit concentration risk | New York Life Insurance Company | |||
Advances | |||
Par Advances | $ 2,825,000 | $ 3,575,000 | $ 2,625,000 |
Percentage of Total | 2.81% | 3.39% | 2.14% |
Par Value of Advances | Credit concentration risk | Goldman Sachs Bank USA | |||
Advances | |||
Par Advances | $ 3,390,000 | ||
Percentage of Total | 2.76% | ||
Interest income, top ten advance holders | Member concentration | Top ten advance holders | |||
Advances | |||
Interest Income | $ 1,754,777 | $ 1,712,368 | $ 1,223,672 |
Percentage of Total | 100.00% | 100.00% | 100.00% |
Interest income, top ten advance holders | Member concentration | Citibank, N.A. | |||
Advances | |||
Interest Income | $ 486,275 | $ 644,926 | $ 450,596 |
Percentage of Total | 27.71% | 37.66% | 36.83% |
Interest income, top ten advance holders | Member concentration | Metropolitan Life Insurance Company | |||
Advances | |||
Interest Income | $ 367,507 | $ 301,318 | $ 221,310 |
Percentage of Total | 20.94% | 17.60% | 18.09% |
Interest income, top ten advance holders | Member concentration | New York Community Bancorp, Inc. | |||
Advances | |||
Interest Income | $ 185,925 | ||
Percentage of Total | 15.19% | ||
Interest income, top ten advance holders | Member concentration | New York Community Bank | |||
Advances | |||
Interest Income | $ 259,207 | $ 247,973 | $ 182,103 |
Percentage of Total | 14.77% | 14.48% | 14.88% |
Interest income, top ten advance holders | Member concentration | New York Commercial Bank | |||
Advances | |||
Interest Income | $ 3,822 | ||
Percentage of Total | 0.31% | ||
Interest income, top ten advance holders | Member concentration | Investors Bank | |||
Advances | |||
Interest Income | $ 115,789 | $ 95,921 | $ 82,894 |
Percentage of Total | 6.60% | 5.60% | 6.77% |
Interest income, top ten advance holders | Member concentration | Signature Bank | |||
Advances | |||
Interest Income | $ 127,299 | $ 92,592 | $ 36,503 |
Percentage of Total | 7.26% | 5.41% | 2.98% |
Interest income, top ten advance holders | Member concentration | AXA Equitable Life Insurance Company | |||
Advances | |||
Interest Income | $ 111,997 | $ 72,582 | $ 52,308 |
Percentage of Total | 6.38% | 4.24% | 4.27% |
Interest income, top ten advance holders | Member concentration | Sterling National Bank | |||
Advances | |||
Interest Income | $ 76,029 | $ 92,835 | $ 58,049 |
Percentage of Total | 4.33% | 5.42% | 4.74% |
Interest income, top ten advance holders | Member concentration | ESL Federal Credit Union | |||
Advances | |||
Interest Income | $ 40,937 | ||
Percentage of Total | 2.33% | ||
Interest income, top ten advance holders | Member concentration | Manufacturers and Traders Trust Company | |||
Advances | |||
Interest Income | $ 13,256 | ||
Percentage of Total | 0.77% | ||
Interest income, top ten advance holders | Member concentration | HSBC Bank USA, National Association | |||
Advances | |||
Interest Income | $ 68,391 | ||
Percentage of Total | 5.59% | ||
Interest income, top ten advance holders | Member concentration | Valley National Bank | |||
Advances | |||
Interest Income | $ 88,389 | $ 83,172 | |
Percentage of Total | 5.04% | 4.86% | |
Interest income, top ten advance holders | Member concentration | New York Life Insurance Company | |||
Advances | |||
Interest Income | $ 81,348 | $ 67,793 | $ 37,263 |
Percentage of Total | 4.64% | 3.96% | 3.05% |
Interest income, top ten advance holders | Member concentration | Goldman Sachs Bank USA | |||
Advances | |||
Interest Income | $ 30,433 | ||
Percentage of Total | 2.49% |
Segment Information and Conce_4
Segment Information and Concentration. - Beneficial Owners of Capital Stock (Details) - shares | Feb. 29, 2020 | Dec. 31, 2019 |
Capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY's outstanding capital stock | ||
Percentage required for disclosure as beneficial owners of the Bank's outstanding stock | 5.00% | 5.00% |
Total of member institutions having beneficial ownership interest of more than 5 percent of the FHLBNY's outstanding capital stock | Shareholder balances | FHLBNY | ||
Capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY's outstanding capital stock | ||
Number of Shares Owned | 22,508 | 28,434 |
Percentage of Total | 41.28% | 49.17% |
Citibank, N.A. | Shareholder balances | FHLBNY | ||
Capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY's outstanding capital stock | ||
Number of Shares Owned | 8,805 | 11,370 |
Percentage of Total | 16.15% | 19.66% |
Metropolitan Life Insurance Company | Shareholder balances | FHLBNY | ||
Capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY's outstanding capital stock | ||
Number of Shares Owned | 7,366 | 7,366 |
Percentage of Total | 13.51% | 12.74% |
New York Community Bank | Shareholder balances | FHLBNY | ||
Capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY's outstanding capital stock | ||
Number of Shares Owned | 6,337 | 6,476 |
Percentage of Total | 11.62% | 11.20% |
AXA Equitable Life Insurance Company | Shareholder balances | FHLBNY | ||
Capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY's outstanding capital stock | ||
Number of Shares Owned | 3,222 | |
Percentage of Total | 5.57% |