Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2020 | Jul. 31, 2020 | |
Document and Entity Information | ||
Entity Registrant Name | Federal Home Loan Bank of New York | |
Entity Central Index Key | 0001329842 | |
Document Type | 10-Q | |
Document Period End Date | Jun. 30, 2020 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
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 Common Stock, Shares Outstanding | 62,922,241 | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q2 |
Statements of Condition
Statements of Condition - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Assets | ||
Cash and due from banks (Note 3) | $ 44,308 | $ 603,241 |
Interest-bearing deposits (Note 3) | 925,000 | |
Securities purchased under agreements to resell (Note 4) | 4,950,000 | 14,985,000 |
Federal funds sold (Note 4) | 5,355,000 | 8,640,000 |
Trading securities (Note 5) (Includes $635,775 pledged as collateral at June 30, 2020 and $251,177 at December 31, 2019) | 12,923,831 | 15,318,809 |
Equity Investments (Note 6) | 63,852 | 60,047 |
Available-for-sale securities, net of unrealized gains (losses) of $278,980 at June 30, 2020 and $97,868 at December 31, 2019 (Note 7) | 2,874,107 | 2,653,418 |
Held-to-maturity securities, net of allowance for credit losses of $1,058 at June 30, 2020 (Note 8) (Includes $3,233 pledged as collateral at June 30, 2020 and $3,719 at December 31, 2019) | 14,348,334 | 15,234,482 |
Advances (Note 9) (Includes $0 at June 30, 2020 and December 31, 2019 at fair value under the fair value option) | 113,788,556 | 100,695,241 |
Mortgage loans held-for-portfolio, net of allowance for credit losses of $6,534 at June 30, 2020 and $653 at December 31, 2019 (Note 10) | 3,164,709 | 3,173,352 |
Accrued interest receivable | 225,556 | 312,559 |
Premises, software, and equipment | 68,979 | 63,426 |
Operating lease right-of-use assets (Note 19) | 73,036 | 75,464 |
Derivative assets (Note 17) | 55,829 | 237,947 |
Other assets | 10,945 | 9,036 |
Total assets | 158,872,042 | 162,062,022 |
Deposits (Note 11) | ||
Interest-bearing demand | 1,497,431 | 1,144,519 |
Non-interest-bearing demand | 59,926 | 34,890 |
Term | 33,000 | 15,000 |
Total deposits | 1,590,357 | 1,194,409 |
Consolidated obligations, net (Note 12) | ||
Bonds (Includes $1,302,385 at June 30, 2020 and $12,134,043 at December 31, 2019 at fair value under the fair value option) | 59,032,487 | 78,763,309 |
Discount notes (Includes $20,159,341 at June 30, 2020 and $2,186,603 at December 31, 2019 at fair value under the fair value option) | 89,499,893 | 73,959,205 |
Total consolidated obligations | 148,532,380 | 152,722,514 |
Mandatorily redeemable capital stock (Note 14) | 3,841 | 5,129 |
Accrued interest payable | 131,432 | 156,889 |
Affordable Housing Program (Note 13) | 159,464 | 153,894 |
Derivative liabilities (Note 17) | 70,726 | 32,411 |
Other liabilities | 158,795 | 175,516 |
Operating lease liabilities (Note 19) | 86,939 | 89,365 |
Total liabilities | 150,733,934 | 154,530,127 |
Commitments and Contingencies (Notes 14, 17 and 19) | ||
Capital (Note 14) | ||
Capital stock ($100 par value), putable, issued and outstanding shares: 63,342 at June 30, 2020 and 57,787 at December 31, 2019 | 6,334,135 | 5,778,666 |
Retained earnings | ||
Unrestricted | 1,150,181 | 1,115,236 |
Restricted (Note 14) | 734,325 | 685,798 |
Total retained earnings | 1,884,506 | 1,801,034 |
Total accumulated other comprehensive income (loss) | (80,533) | (47,805) |
Total capital | 8,138,108 | 7,531,895 |
Total liabilities and capital | $ 158,872,042 | $ 162,062,022 |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Statements of Condition | ||
Trading securities pledged as collateral | $ 635,775 | $ 251,177 |
Trading securities pledged as collateral | us-gaap:AssetPledgedAsCollateralMember | us-gaap:AssetPledgedAsCollateralMember |
Available-for-sale securities, unrealized gains | $ 278,980 | $ 97,868 |
Held-to-maturity securities pledged as collateral | 3,233 | $ 3,719 |
Held-to-maturity securities, allowance for credit losses | $ 1,058 | |
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 | 6,534 | 653 |
Bonds, at fair value under the fair value option | 1,302,385 | 12,134,043 |
Discount notes, at fair value under the fair value option | $ 20,159,341 | $ 2,186,603 |
Capital stock, par value (in dollars per share) | $ 100 | $ 100 |
Capital stock, putable (in shares) | 63,342 | 57,787 |
Capital stock, issued (in shares) | 63,342 | 57,787 |
Capital stock, outstanding (in shares) | 63,342 | 57,787 |
Statements of Income
Statements of Income - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Interest income | ||||
Advances, net (Note 9) | $ 326,230 | $ 704,936 | $ 790,795 | $ 1,396,832 |
Interest-bearing deposits | 482 | 935 | 2,609 | 1,318 |
Securities purchased under agreements to resell (Note 4) | 350 | 52,320 | 26,700 | 82,242 |
Federal funds sold (Note 4) | 1,726 | 56,767 | 30,661 | 130,656 |
Trading securities (Note 5) | 50,884 | 46,929 | 125,881 | 87,802 |
Available-for-sale securities (Note 7) | 14,564 | 17,118 | 31,717 | 32,301 |
Held-to-maturity securities (Note 8) | 83,737 | 118,173 | 183,603 | 238,331 |
Mortgage loans held-for-portfolio (Note 10) | 24,332 | 25,274 | 50,358 | 50,454 |
Loans to other FHLBanks (Note 20) | 104 | 33 | 154 | |
Total interest income | 502,305 | 1,022,556 | 1,242,357 | 2,020,090 |
Interest expense | ||||
Consolidated obligation bonds (Note 12) | 176,926 | 495,987 | 533,483 | 994,582 |
Consolidated obligation discount notes (Note 12) | 95,477 | 356,705 | 322,810 | 672,021 |
Deposits (Note 11) | 146 | 5,976 | 3,374 | 11,941 |
Mandatorily redeemable capital stock (Note 14) | 56 | 108 | 135 | 208 |
Cash collateral held and other borrowings | 12 | 204 | 74 | 546 |
Total interest expense | 272,617 | 858,980 | 859,876 | 1,679,298 |
Net interest income before provision for credit losses | 229,688 | 163,576 | 382,481 | 340,792 |
Provision (Reversal) for credit losses | 3,030 | (275) | 3,166 | (292) |
Net interest income after provision for credit losses | 226,658 | 163,851 | 379,315 | 341,084 |
Other income (loss) | ||||
Service fees and other | 4,589 | 4,660 | 9,240 | 9,074 |
Instruments held under the fair value option gains (losses) (Note 18) | 10,564 | (2,360) | (11,390) | (2,824) |
Net amount of impairment losses reclassified to (from) Accumulated other comprehensive income (loss) | (384) | (384) | ||
Derivative gains (losses) (Note 17) | (3,921) | (39,069) | (168,091) | (51,349) |
Trading securities gains (losses) (Note 5) | (41,377) | 33,924 | 155,875 | 50,994 |
Equity investments gains (losses) (Note 6) | 7,328 | 1,926 | (722) | 6,364 |
Total other income (loss) | (22,817) | (1,303) | (15,088) | 11,875 |
Other expenses | ||||
Operating | 18,132 | 15,451 | 31,565 | 28,301 |
Compensation and benefits | 22,265 | 20,462 | 45,642 | 41,900 |
Finance Agency and Office of Finance | 4,593 | 4,199 | 9,044 | 8,141 |
Other expenses | 6,039 | 2,333 | 8,370 | 4,683 |
Total other expenses | 51,029 | 42,445 | 94,621 | 83,025 |
Income before assessments | 152,812 | 120,103 | 269,606 | 269,934 |
Affordable Housing Program Assessments (Note 13) | 15,287 | 12,021 | 26,974 | 27,014 |
Net income | $ 137,525 | $ 108,082 | $ 242,632 | $ 242,920 |
Basic earnings per share (Note 15) (in dollars per share) | $ 2.02 | $ 1.86 | $ 3.82 | $ 4.27 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | ||
Statements of Comprehensive Income | |||||
Net Income | $ 137,525 | $ 108,082 | $ 242,632 | $ 242,920 | |
Other Comprehensive income (loss) | |||||
Net change in unrealized gains (losses) on available-for-sale securities | 52,711 | 61,039 | 181,112 | 93,147 | |
Net change in non-credit accretion portion of held-to-maturity securities | |||||
Reclassification of non-credit portion included in net income | 384 | 384 | |||
Accretion of non-credit portion | 506 | 935 | 1,057 | 1,792 | |
Total net change in non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | 506 | 1,319 | 1,057 | 2,176 | |
Net change due to hedging activities | |||||
Total net change due to hedging activities | (9,633) | (81,139) | (217,450) | (125,723) | |
Net change in pension and postretirement benefits | 1,277 | 654 | 2,553 | 1,310 | |
Total other comprehensive income (loss) | 44,861 | (18,127) | (32,728) | (29,090) | |
Total comprehensive income (loss) | 182,386 | 89,955 | 209,904 | 213,830 | |
Cash flow hedges | |||||
Net change due to hedging activities | |||||
Net change due to hedging activities | [1] | (5,780) | (69,670) | (158,612) | (112,361) |
Fair value hedges | |||||
Net change due to hedging activities | |||||
Net change due to hedging activities | [2] | $ (3,853) | $ (11,469) | $ (58,838) | $ (13,362) |
[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 represents the change in the unrealized fair values of the hedged securities due to changes 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 | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | ||
Increase (decrease) in shareholders' equity | |||||
Balance | $ 9,001,962 | $ 7,374,538 | $ 7,531,895 | $ 7,746,622 | |
Adjustments to opening balances | [1] | 18,204 | 14,431 | ||
Proceeds from issuance of capital stock | 712,159 | 2,022,647 | 4,330,884 | 3,672,176 | |
Repurchase/redemption of capital stock | (1,690,727) | (1,848,538) | (3,775,415) | (3,892,679) | |
Shares reclassified to mandatorily redeemable capital stock | (3,937) | (4,049) | |||
Cash dividends on capital stock | (85,876) | (87,515) | (173,591) | (188,750) | |
Comprehensive income (loss) | 182,386 | 89,955 | 209,904 | 213,830 | |
Balance | 8,138,108 | 7,547,150 | 8,138,108 | 7,547,150 | |
Capital Stock | Capital Stock Class B | |||||
Increase (decrease) in shareholders' equity | |||||
Balance | [2] | $ 7,312,703 | $ 5,671,075 | $ 5,778,666 | $ 6,065,799 |
Balance (in shares) | [2] | 73,127 | 56,711 | 57,787 | 60,658 |
Proceeds from issuance of capital stock | [2] | $ 712,159 | $ 2,022,647 | $ 4,330,884 | $ 3,672,176 |
Proceeds from issuance of capital stock (in shares) | [2] | 7,122 | 20,227 | 43,309 | 36,722 |
Repurchase/redemption of capital stock | [2] | $ (1,690,727) | $ (1,848,538) | $ (3,775,415) | $ (3,892,679) |
Repurchase/redemption of capital stock (in shares) | [2] | (16,907) | (18,486) | (37,754) | (38,927) |
Shares reclassified to mandatorily redeemable capital stock | [2] | $ (3,937) | $ (4,049) | ||
Shares reclassified to mandatorily redeemable capital stock (in shares) | [2] | (40) | (41) | ||
Balance | [2] | $ 6,334,135 | $ 5,841,247 | $ 6,334,135 | $ 5,841,247 |
Balance (in shares) | [2] | 63,342 | 58,412 | 63,342 | 58,412 |
Total Retained Earnings | |||||
Increase (decrease) in shareholders' equity | |||||
Balance | $ 1,814,653 | $ 1,727,685 | $ 1,801,034 | $ 1,694,082 | |
Adjustments to opening balances | [1] | 18,204 | 14,431 | ||
Cash dividends on capital stock | (85,876) | (87,515) | (173,591) | (188,750) | |
Comprehensive income (loss) | 137,525 | 108,082 | 242,632 | 242,920 | |
Balance | 1,884,506 | 1,748,252 | 1,884,506 | 1,748,252 | |
Unrestricted Retained Earnings | |||||
Increase (decrease) in shareholders' equity | |||||
Balance | 1,107,833 | 1,109,437 | 1,115,236 | 1,102,801 | |
Adjustments to opening balances | [1] | 18,204 | 14,431 | ||
Cash dividends on capital stock | (85,876) | (87,515) | (173,591) | (188,750) | |
Comprehensive income (loss) | 110,020 | 86,465 | 194,105 | 194,336 | |
Balance | 1,150,181 | 1,108,387 | 1,150,181 | 1,108,387 | |
Restricted Retained Earnings | |||||
Increase (decrease) in shareholders' equity | |||||
Balance | 706,820 | 618,248 | 685,798 | 591,281 | |
Comprehensive income (loss) | 27,505 | 21,617 | 48,527 | 48,584 | |
Balance | 734,325 | 639,865 | 734,325 | 639,865 | |
Accumulated Other Comprehensive Income (Loss) | |||||
Increase (decrease) in shareholders' equity | |||||
Balance | (125,394) | (24,222) | (47,805) | (13,259) | |
Comprehensive income (loss) | 44,861 | (18,127) | (32,728) | (29,090) | |
Balance | $ (80,533) | $ (42,349) | $ (80,533) | $ (42,349) | |
[1] | Adjustments include a charge to retained earnings of $3.8 million at the adoption of ASU 2016-13 on January 1, 2020; in June 2020, we recorded an increase to retained earnings of $18.2 million, which represented the FHLBNY’s share of cash distribution received when Financing Corporation (FICO), an entity established by Congress in 1987 was dissolved and surplus funds distributed to the 11 FHLBanks. For more information, see Distribution received from Financing Corporation in Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | ||||
[2] | 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 Retained Earnings |
Statements of Capital (Parenthe
Statements of Capital (Parenthetical) $ in Thousands | Jan. 01, 2020USD ($) | Jun. 30, 2020USD ($)Institution | Jun. 30, 2020USD ($)Institution$ / shares | Jun. 30, 2019$ / shares | Jun. 30, 2020USD ($)Institution$ / shares | Jun. 30, 2019$ / shares | |
Cash dividends on capital stock (in dollars per share) | $ / shares | $ 1.47 | $ 1.57 | $ 3.07 | $ 3.31 | |||
Adjustments to opening balances | [1] | $ 18,204 | $ 14,431 | ||||
Number of FHLBanks | Institution | 11 | 11 | 11 | ||||
FICO | |||||||
Adjustments to opening balances | $ 18,200 | ||||||
ASU 2016-13 | |||||||
Adjustments to opening balances | $ (3,800) | ||||||
[1] | Adjustments include a charge to retained earnings of $3.8 million at the adoption of ASU 2016-13 on January 1, 2020; in June 2020, we recorded an increase to retained earnings of $18.2 million, which represented the FHLBNY’s share of cash distribution received when Financing Corporation (FICO), an entity established by Congress in 1987 was dissolved and surplus funds distributed to the 11 FHLBanks. For more information, see Distribution received from Financing Corporation in Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | ||
Operating activities | |||
Net Income | $ 242,632 | $ 242,920 | |
Depreciation and amortization: | |||
Net premiums and discounts on consolidated obligations, investments, mortgage loans and other adjustments (a) | [1] | (258,125) | (48,960) |
Concessions on consolidated obligations | 2,192 | 1,266 | |
Premises, software, and equipment | 5,277 | 4,113 | |
Provision (Reversal) for credit losses | 3,166 | (292) | |
Credit impairment losses on held-to-maturity securities | 384 | ||
Change in net fair value adjustments on derivatives and hedging activities (b) | [2] | (649,667) | (324,340) |
Net realized and unrealized (gains) losses on trading securities | (155,875) | (50,994) | |
Change in fair value on Equity Investments | 1,172 | (5,877) | |
Change in fair value adjustments on financial instruments held at fair value | 11,390 | 2,824 | |
Net change in: | |||
Accrued interest receivable | 86,933 | (86,362) | |
Derivative assets due to accrued interest | 184,331 | 4,227 | |
Derivative liabilities due to accrued interest | (113,722) | 35,316 | |
Other assets | (1,729) | (330) | |
Affordable Housing Program liability | 5,570 | 2,544 | |
Accrued interest payable | (25,457) | (16,768) | |
Other liabilities (a) | [1] | (7,335) | 1,644 |
Total adjustments | (911,879) | (481,605) | |
Net cash provided by (used in) operating activities | (669,247) | (238,685) | |
Net change in: | |||
Interest-bearing deposits | (1,519,009) | (205,237) | |
Securities purchased under agreements to resell | 10,035,000 | (5,190,000) | |
Federal funds sold | 3,285,000 | (1,600,000) | |
Deposits with other FHLBanks | (150) | (52) | |
Premises, software, and equipment | (10,830) | (9,391) | |
Trading securities: | |||
Purchased | (3,108,539) | (4,650,582) | |
Repayments | 1,350,723 | 1,714,147 | |
Proceeds from sales | 4,292,913 | 748,301 | |
Equity Investments: | |||
Purchased | (6,048) | (3,072) | |
Proceeds from sales | 1,071 | 960 | |
Available-for-sale securities: | |||
Purchased | (74,156) | (438,539) | |
Repayments | 31,534 | 42,830 | |
Held-to-maturity securities: | |||
Purchased | (246,116) | (1,072,620) | |
Repayments | 1,124,103 | 1,482,781 | |
Advances: | |||
Principal collected | 345,370,203 | 578,923,574 | |
Made | (356,975,684) | (575,518,705) | |
Mortgage loans held-for-portfolio: | |||
Principal collected | 286,776 | 119,457 | |
Purchased | (288,479) | (180,255) | |
Proceeds from sales of REO | 1,468 | ||
Net change in loans to other FHLBanks | 250,000 | ||
Net cash provided by (used in) investing activities | 3,548,312 | (5,584,935) | |
Net change in: | |||
Deposits and other borrowings | 481,265 | 121,693 | |
Partial recovery of prior capital distribution to Financing Corporation | 18,204 | ||
Derivative contracts with financing element | (4,065) | (9,746) | |
Consolidated obligation bonds: | |||
Proceeds from issuance | 37,393,814 | 41,556,527 | |
Payments for maturing and early retirement | (57,286,952) | (47,127,264) | |
Consolidated obligation discount notes: | |||
Proceeds from issuance | 501,373,428 | 605,334,521 | |
Payments for maturing | (485,794,282) | (593,674,687) | |
Capital stock: | |||
Proceeds from issuance of capital stock | 4,330,884 | 3,672,176 | |
Payments for repurchase/redemption of capital stock | (3,775,415) | (3,892,679) | |
Redemption of mandatorily redeemable capital stock | (1,288) | (4,380) | |
Cash dividends paid (c) | [3] | (173,591) | (188,750) |
Net cash provided by (used in) financing activities | (3,437,998) | 5,787,411 | |
Net increase (decrease) in cash and due from banks | (558,933) | (36,209) | |
Cash and due from banks at beginning of the period (d) | [4] | 603,241 | 85,406 |
Cash and due from banks at end of the period (d) | [4] | 44,308 | 49,197 |
Supplemental disclosures: | |||
Interest paid | 698,687 | 996,635 | |
Interest paid for Discount Notes (e) | [5] | 390,456 | 579,318 |
Affordable Housing Program payments (f) | [6] | 21,404 | 24,470 |
Transfers of mortgage loans to real estate owned | $ 135 | 366 | |
Net amount of impairment losses reclassified to (from) Accumulated other comprehensive income (loss) | (384) | ||
Capital stock subject to mandatory redemption reclassified from equity | 4,049 | ||
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 June 30, 2020 and December 31, 2019, including additions, see Operating Lease Commitments in Note 19. Commitments and Contingencies. | ||
[2] | Negative adjustments to operating cash flows of $649.7 million and $324.3 million for the six months ended June 30, 2020 and 2019 represented fair value adjustments on derivatives and hedging activities and the increase was due to higher variation margin posted to derivative counterparties. | ||
[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 includes pass-thru reserves at the Federal Reserve Bank of New York. See Note 3. Cash and Due from Banks for further information. Interest-bearing deposits are considered investments, and are not included in cash or cash equivalent. | ||
[5] | 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) $ in Thousands | Jan. 01, 2019USD ($) |
Supplemental disclosures: | |
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. | 6 Months Ended |
Jun. 30, 2020 | |
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. |
Critical Accounting Policies an
Critical Accounting Policies and Estimates. | 6 Months Ended |
Jun. 30, 2020 | |
Critical Accounting Policies and Estimates | |
Critical Accounting Policies and Estimates. | Note 1. Critical Accounting Policies and Estimates. 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 critical 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 critical policies include derivatives and hedging relationships, estimating the fair values of assets and liabilities, estimating the allowance for credit losses on the advance, mortgage loan portfolios and our portfolios of investment securities. 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 in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2019 filed on March 20, 2020. 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. Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell. Fair Value Measurements and Disclosures The accounting standards on fair value measurements and disclosures discuss 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. The FHLBNY complied with the accounting guidance on fair value measurements and disclosures and has established a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are inputs that market participants would use in pricing the asset or liability, and would be based on market data obtained from independent sources. Unobservable inputs are inputs that reflect our assumptions about the parameters market participants would use in pricing the asset or liability, and would be based on the best information available in the circumstances. Our pricing models are subject to periodic validations, and we periodically review and refine, as appropriate, our assumptions and valuation methodologies to reflect market indications as closely as possible. We have the appropriate personnel, technology, and policies and procedures in place to value financial instruments in a reasonable and consistent manner and in accordance with established accounting policies. 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, see financial statements, Note 18. Fair Values of Financial Instruments in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2019 filed on March 20, 2020. Derivatives and Hedging Activities We enter into derivatives primarily to manage our exposure to changes in interest rates. Through the use of derivatives, we may adjust the effective maturity, repricing frequency, or option characteristics of financial instruments to achieve our risk management objectives. The accounting guidance related to derivatives and hedging activities is complex and contains prescriptive documentation requirements. At the inception of each hedge transaction, we formally document the hedge relationship, its risk management objective, and strategy for undertaking the hedge. In compliance with accounting standards, primarily ASC 815, the accounting for derivatives requires us to make the following assumptions and estimates: (i) assessing whether the hedging relationship qualifies for hedge accounting, (ii) assessing whether an embedded derivative should be bifurcated, (iii) calculating the effectiveness of the hedging relationship, (iv) evaluating exposure associated with counterparty credit risk, and (v) estimating the fair value of the derivatives. Our assumptions and judgments include subjective estimates based on information available as of the date of the financial statements and could be materially different based on different assumptions, calculations, and estimates. 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. For more information about the FHLBNY’s hedging activities, see financial statements, Note 17. Derivatives and Hedging Activities in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2019 filed on March 20, 2020. Credit Losses under ASU 2016-13 – Recently Adopted Accounting Guidance The FASB issued ASU 2016-13, Financial Instruments — Credit Losses (Topic 326 ) , which became effective for the Bank as of January 1, 2020. The adoption of this guidance established a single allowance framework for all financial assets carried at amortized cost, including advances, loans, held-to-maturity securities, other receivables and certain off-balance sheet credit exposures. We have elected to evaluate expected credit losses on interest receivable separately. 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. For a description of how expected losses are developed including interest receivable, refer to notes to financial statements: Note 4. Note 7. Note 8. Note 9. Note 10. Note 19. Adoption of ASU 2016-13 did not have a material impact on financial condition or cash flows. The following table presents the impacts to allowance for credit losses and retained earnings at January 1, 2020, the adoption date of this guidance, and at June 30, 2020 (in thousands): December 31, 2019 CECL Adoption Impact January 1, 2020 June 30, 2020 Allowance for Credit Losses PLMBS Held-to-maturity $ — $ — $ — $ 257 Mortgage loans 653 2,972 2,972 6,534 Municipal securities — 801 801 801 Federal funds sold and Repurchase agreements — — — — $ 653 $ 3,773 $ 3,773 $ 7,592 Retained Earnings Allowance for credit losses $ 3,773 $ 3,773 Decrease in retained earnings $ 3,773 $ 3,773 No off-balance sheet credit loss allowance was necessary at June 30, 2020 and December 31, 2019. |
FASB Standards Issued But Not Y
FASB Standards Issued But Not Yet Adopted. | 6 Months Ended |
Jun. 30, 2020 | |
FASB Standards Issued But Not Yet Adopted. | |
FASB Standards Issued But Not Yet Adopted. | Note 2. FASB Standards Issued But Not Yet Adopted. 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: l contract modifications, l hedging relationship, and l 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. While reference rate reform is not expected to have a material accounting impact on the FHLBNY’s financial position or results of operations, the standard will ease the administrative burden in accounting for the future effects of reference rate reform. |
Cash and Due from Banks.
Cash and Due from Banks. | 6 Months Ended |
Jun. 30, 2020 | |
Cash and Due from Banks. | |
Cash and Due from Banks. | Note 3. Cash and Due from Banks. Cash on hand, cash items in the process of collection, and amounts due from correspondent banks and the Federal Reserve Banks are recorded as cash and cash equivalent in the Statements of Cash Flows. 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 balances at June 30, 2020 and December 31, 2019. There were no restricted cash balances at June 30, 2020 and December 31, 2019. 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 $35.4 million at June 30, 2020 and $45.4 million at December 31, 2019. The liabilities offsetting the pass-through reserves were due to member institutions and were recorded in Other liabilities in the Statements of Condition. |
Interest-bearing Deposits, Fede
Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell. | 6 Months Ended |
Jun. 30, 2020 | |
Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell | |
Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell. | Note 4. Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell. The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that have received a credit rating of triple-B or higher (investment grade) by a nationally recognized statistical rating organization. Interest-bearing deposits — Investments are typically short-term deposits placed with highly-rated large financial institutions and are recorded at amortized cost. Deposits placed were uncollateralized. At June 30, 2020, deposits placed were $0.9 billion. Deposits are evaluated quarterly for expected credit losses based on the probability of default of the borrowing counterparty and the terms to maturity of the outstanding investments at the measurement dates. Based on analysis performed, no allowance for credit losses was recorded at June 30, 2020 and December 31, 2019. Accrued interest receivable was $3.9 thousand as of June 30, 2020, and no allowance for credit losses was recorded as interest due was collected. Federal funds sold — Federal funds sold are unsecured advances to highly-rated large financial institutions. Federal funds sold are unsecured loans that are generally transacted on an overnight term and recorded at amortized cost basis. FHFA regulations include a limit on the amount of unsecured credit an individual Bank may extend to a counterparty. At June 30, 2020 and December 31, 2019, federal funds sold were $5.4 billion and $8.6 billion, and were repaid according to their contractual terms. Investments are evaluated quarterly for expected credit losses based on the probability of default of the borrowing counterparty and the terms to maturity of the outstanding investments at the measurement dates. Generally, federal funds are short-term and typically overnight. Counterparties are highly-rated. Based on analysis, no allowance for credit losses was recorded for Federal funds sold at June 30, 2020 and December 31, 2019. Accrued interest receivable was $13.6 thousand and $0.4 million as of June 30, 2020 and December 31, 2019, and no allowance for credit losses was recorded as interest due was collected. Securities purchased under agreements to resell — At June 30, 2020 and December 31, 2019, the outstanding balances of Securities purchased under agreements to resell were recorded at amortized cost basis of $5.0 billion and $15.0 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. 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. Accrued interest receivable was $10.8 thousand and $0.6 million at June 30, 2020 and December 31, 2019, and no allowance for credit losses was recorded as interest due was collected. U.S. Treasury securities at market values of $5.0 billion and $15.2 billion were received at BONY to collateralize the overnight investments at June 30, 2020 and December 31, 2019. Securities purchased under agreements to resell averaged $2.2 billion and $4.7 billion for the three and six months ended June 30, 2020. For the twelve months ended December 31, 2019, transaction balances averaged $8.3 billion. Interest income from securities purchased under agreements to resell were $0.4 million and $26.7 million for the three and six months ended June 30, 2020 compared to $52.3 million and $82.2 million for the same periods in the prior year. No overnight investments had been executed bilaterally with counterparties at those dates. Transactions recorded as Securities purchased under agreements to resell (reverse repos) were accounted as collateralized financing transactions. Investments are evaluated quarterly for expected credit losses based on the probability of default of the borrowing counterparty and the terms to maturity of the outstanding investments at the measurement dates. A credit loss would also be recognized if there is a collateral shortfall which the FHLBNY does not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost. Generally, repurchase agreements are short-term and generally overnight and counterparties are highly-rated. Based on analysis performed, no allowance for credit losses was recorded for these assets at June 30, 2020 and December 31, 2019. |
Trading Securities.
Trading Securities. | 6 Months Ended |
Jun. 30, 2020 | |
Trading Securities. | |
Securities | |
Securities. | Note 5. Trading Securities. The carrying value of a trading security equals its fair value. The following table provides major security types at June 30, 2020 and December 31, 2019 (in thousands): Fair value June 30, 2020 December 31, 2019 Corporate notes $ 2,158 $ 3,217 U.S. Treasury notes 11,172,698 15,315,592 U.S. Treasury bills 1,748,975 — Total trading securities $ 12,923,831 $ 15,318,809 The carrying values of trading securities included net unrealized fair value gains of $170.6 million at June 30, 2020, and $53.1 million at December 31, 2019. 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 $635.8 million at June 30, 2020 and $251.2 million at December 31, 2019 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 June 30, 2020 Due in one year Due after one year or less through five years Total Fair Value Corporate notes $ — $ 2,158 $ 2,158 U.S. Treasury notes 6,678,814 4,493,884 11,172,698 U.S. Treasury bills 1,748,975 — 1,748,975 Total trading securities $ 8,427,789 $ 4,496,042 $ 12,923,831 Yield on trading securities 1.74 % 1.88 % 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 % |
Equity Investments.
Equity Investments. | 6 Months Ended |
Jun. 30, 2020 | |
Equity Investments. | |
Equity Investments. | Note 6. Equity Investments. 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): June 30, 2020 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains (b) Losses (b) Value (c) Cash equivalents $ 5,487 $ — $ — $ 5,487 Equity funds 28,985 8,256 (2,608) 34,633 Fixed income funds 22,581 1,245 (94) 23,732 Total Equity Investments (a) $ 57,053 $ 9,501 $ (2,702) $ 63,852 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 (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): Three Months Ended June 30, Six Months Ended June 30, 2020 2019 2020 2019 Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date $ 7,111 $ 1,667 $ (1,172) $ 5,877 Net dividend and other 217 259 450 487 Net gains (losses) recognized during the period $ 7,328 $ 1,926 $ (722) $ 6,364 |
Available-for-Sale Securities.
Available-for-Sale Securities. | 6 Months Ended |
Jun. 30, 2020 | |
Available-for-Sale securities | |
Securities | |
Securities. | Note 7. Available-for-Sale Securities. No AFS security was impaired in any periods in this report, and no credit loss allowance was necessary at June 30, 2020 or upon adoption of ASU 2017-12 at January 1, 2020. The following tables provide major security types (in thousands): June 30, 2020 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains Losses Value GSE and U.S. Obligations Mortgage-backed securities Floating CMO $ 310,854 $ 2,657 $ (3) $ 313,508 CMBS 311 — — 311 Total Floating 311,165 2,657 (3) 313,819 Fixed CMBS 2,283,962 276,326 — 2,560,288 Total Fixed 2,283,962 276,326 — 2,560,288 AFS Before Hedging Adjustments 2,595,127 278,983 (a) (3) (a) 2,874,107 Hedging Basis Adjustments in AOCI 70,431 70,431 (b) — — Total Available-for-sale securities $ 2,665,558 $ 208,552 $ (3) $ 2,874,107 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 Total Fixed 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 (a) Amounts represents specialized third party pricing vendors’ estimates of gains/losses of AFS securities; market pricing is based on 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 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 unrealized gains and losses reported in the table above. Securities in a fair value hedging relationship at June 30, 2020 and December 31, 2019 reported $70.4 million and $11.6 million as hedging basis as disclosed in the table above, with an offset to AOCI. The hedging basis adjustment had no impact on market based fair values. Credit Loss 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 June 30, 2020 and 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. The Bank evaluates its individual AFS securities for impairment by comparing the security’s fair value to its amortized cost. Impairment may exist when the fair value of the investment is less than its amortized cost (i.e. in an unrealized loss position). As noted in the table below, AFS securities in an unrealized loss position for 12-months or longer were not material. These losses are considered temporary as the Bank expects to recover the entire amortized cost basis on these AFS investment securities and neither intends to sell these securities nor considers it more likely than not that it will be required to sell these securities before its anticipated recovery of each security's remaining amortized cost basis. We have not experienced any payment defaults on the instruments. As noted previously, substantially all of these securities are GSE-issued and carry an implicit or explicit U.S. government guarantee. Based on the analysis, no allowance for credit losses was recorded on these AFS securities at June 30, 2020 and December 31, 2019. Accrued interest receivable was $6.0 million and $6.1 million at June 30, 2020 and December 31, 2019, and no allowance for credit losses was recorded as interest due was collected. No credit loss allowance was necessary at June 30, 2020 based on analysis as noted above. The following table summarizes available-for-sale securities with estimated fair values below their amortized cost basis (in thousands): June 30, 2020 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 $ 4,409 $ (3) $ — $ — $ 4,409 $ (3) Fannie Mae-CMBS 311 — — — 311 — Freddie Mac-CMO 842 — — — 842 — Total MBS-GSE 5,562 (3) — — 5,562 (3) Total Temporarily Impaired $ 5,562 $ (3) $ — $ — $ 5,562 $ (3) 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) Freddie Mac-CMO 7,071 (9) — — 7,071 (9) Freddie Mac-CMBS 129,496 (423) — — 129,496 (423) Total MBS-GSE 168,579 (497) — — 168,579 (497) Total Temporarily Impaired $ 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): June 30, 2020 December 31, 2019 Amortized Cost (b) Fair Value Amortized Cost (b) Fair Value Mortgage-backed securities Due in one year or less $ 311 $ 311 $ 2,539 $ 2,540 Due after one year through five years 243,223 263,114 — — Due after five year through ten years 2,071,428 2,257,326 2,189,350 2,273,352 Due after ten years 350,596 353,356 375,254 377,526 Total Available-for-sale securities $ 2,665,558 $ 2,874,107 $ 2,567,143 $ 2,653,418 (a) The carrying value of AFS securities equals fair value. (b) Amortized cost is UPB after adjusting for net unamortized premiums of $29.5 million and net unamortized premiums of $30.4 million at June 30, 2020 and December 31, 2019. Additionally, historical amortized cost is after adjustment for hedging basis. Interest Rate Payment Terms The following table summarizes interest rate payment terms of investments in mortgage-backed securities classified as AFS securities (in thousands): June 30, 2020 December 31, 2019 Amortized Cost Fair Value Amortized Cost Fair Value Mortgage-backed securities Floating CMO - LIBOR $ 310,854 $ 313,508 $ 339,419 $ 341,509 CMBS - LIBOR 311 311 2,539 2,540 Total Floating 311,165 313,819 341,958 344,049 Fixed CMBS 2,354,393 2,560,288 2,225,185 2,309,369 Total Mortgage-backed securities $ 2,665,558 $ 2,874,107 $ 2,567,143 $ 2,653,418 |
Held-to-Maturity Securities.
Held-to-Maturity Securities. | 6 Months Ended |
Jun. 30, 2020 | |
Held-to-maturity | |
Held-to-Maturity Securities. | |
Securities. | Note 8. Held-to-Maturity Securities. Major Security Types (in thousands) June 30, 2020 Allowance OTTI Gross Gross Amortized for Credit Recognized Carrying Unrecognized Unrecognized Fair Issued, guaranteed or insured: Cost (d) Loss (ACL) in AOCI Value Holding Gains (a) Holding Losses (a) Value Pools of Mortgages Fannie Mae $ 55,122 $ — $ — $ 55,122 $ 7,324 $ — $ 62,446 Freddie Mac 10,670 — — 10,670 1,319 — 11,989 Total pools of mortgages 65,792 — — 65,792 8,643 — 74,435 Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits Fannie Mae 1,203,111 — — 1,203,111 9,584 (2,197) 1,210,498 Freddie Mac 757,604 — — 757,604 4,412 (1,304) 760,712 Ginnie Mae 8,166 — — 8,166 117 — 8,283 Total CMOs/REMICs 1,968,881 — — 1,968,881 14,113 (3,501) 1,979,493 Commercial Mortgage-Backed Securities (b) Fannie Mae 1,690,448 — — 1,690,448 51,403 (1,890) 1,739,961 Freddie Mac 9,414,648 — — 9,414,648 630,089 (9,639) 10,035,098 Total commercial mortgage-backed securities 11,105,096 — — 11,105,096 681,492 (11,529) 11,775,059 Non-GSE MBS (c) CMOs/REMICs 4,010 (257) (312) 3,441 239 (86) 3,594 Commercial MBS — — — — — — — Total non-federal-agency MBS 4,010 (257) (312) 3,441 239 (86) 3,594 Asset-Backed Securities (c) Manufactured housing (insured) 26,209 — — 26,209 877 — 27,086 Home equity loans (insured) 56,958 — (3,672) 53,286 15,599 (40) 68,845 Home equity loans (uninsured) 20,115 — (2,530) 17,585 2,827 (373) 20,039 Total asset-backed securities 103,282 — (6,202) 97,080 19,303 (413) 115,970 Total MBS 13,247,061 (257) (6,514) 13,240,290 723,790 (15,529) 13,948,551 Other State and local housing finance agency obligations (e) 1,108,044 — — 1,108,044 177 (22,595) 1,085,626 Total other 1,108,044 — — 1,108,044 177 (22,595) 1,085,626 Total Held-to-maturity securities $ 14,355,105 $ (257) $ (6,514) $ 14,348,334 $ 723,967 $ (38,124) $ 15,034,177 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 Commercial MBS — — — — — — Total non-federal-agency MBS 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 (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. (c) The amounts represent non-agency private-label mortgage- and asset-backed securities. (d) Amortized cost — For securities that were deemed impaired, amortized cost represents unamortized cost less credit losses, net of credit recoveries (reversals) due to improvements in cash flows. (e) Amortized cost at June 30, 2020 includes allowance for credit loss of $0.8 million recorded at January 1, 2020, the adoption date of ASU 2016-13. Securities Pledged The FHLBNY had pledged MBS, with an amortized cost basis of $3.2 million at June 30, 2020 and $3.7 million at December 31, 2019, 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. Credit Loss Allowances on Held-to-maturity Securities GSE-issued 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. Numbers of investment positions that were in an unrealized loss position were 67 and 120 at June 30, 2020 and December 31, 2019. Housing finance agency bonds - The FHLBNY's investments in housing finance agency bonds reported gross unrealized losses of $22.6 million and $23.2 million at June 30, 2020 and December 31, 2019. Investments are evaluated quarterly for expected credit losses based on the probability of default of the borrowing counterparty and the terms to maturity of the outstanding investments at the measurement dates. A credit loss would also be recognized if there is a collateral shortfall which the FHLBNY does not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment's amortized cost. Our analysis identified no collateral shortfall. Number of investment positions that were in an unrealized loss position were 15 and 12 at June 30, 2020 and December 31, 2019. Based on analysis performed at January 1, 2020, the adoption date of the guidance under ASU 2016-13, a credit loss of $0.8 million was recognized as a charge to beginning retained earnings at January 1, 2020. At June 30, 2020, the probability default analysis reported cumulative credit loss of $0.8 million, unchanged from the evaluation at adoption date. The portfolio composition has not changed and no acquisitions or sales were made in the six months ended June 30, 2020. Additionally, our counterparty default analysis at June 30, 2020 identified no changes from those at adoption date. Accrued interest receivable was $2.1 million and $4.5 million at June 30, 2020 and December 31, 2019, and no allowance for credit losses was recorded as interest due is expected to be collected. Our investments 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. Private-label mortgage-backed securities - Management evaluates its investments in private-label MBS (PLMBS) for credit losses on a quarterly basis by performing cash flow tests on its entire portfolio of PLMBS. No allowance for credit loss was recognized in the second quarter of 2020. An OTTI of $0.4 million was recorded in the same period in 2019. Our investments in PLMBS were less than 1% of our investments in MBS. No acquisitions or sale of PLMBS were made in 2020; balances declined due to paydowns, and the portfolio composition remains largely unchanged. Based on cash flow testing, the Bank believes no material credit losses remains. Certain securities are insured by monoline insurers, and we have analyzed their guarantees with appropriate haircuts. The Bank’s conclusions are 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 June 30, 2020, and has concluded that it will not be required to sell such securities before recovery of the amortized cost basis of the securities. Number of investment positions that were in an unrealized loss position was 12 and 8 at June 30, 2020 and December 31, 2019. 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): June 30, 2020 December 31, 2019 Amortized Estimated Amortized Estimated Cost (a) Fair Value Cost (a) Fair Value State and local housing finance agency obligations Due after one year through five years $ 10,648 $ 10,646 $ 9,770 $ 9,781 Due after five years through ten years 25,100 24,933 36,810 36,250 Due after ten years 1,072,296 1,050,047 1,075,735 1,053,474 State and local housing finance agency obligations 1,108,044 1,085,626 1,122,315 1,099,505 Mortgage-backed securities Due in one year or less 1,050,689 1,061,967 613,863 619,948 Due after one year through five years 3,415,357 3,535,726 4,102,650 4,142,443 Due after five years through ten years 6,394,678 6,912,305 6,648,746 6,815,921 Due after ten years 2,386,337 2,438,553 2,754,479 2,778,789 Mortgage-backed securities 13,247,061 13,948,551 14,119,738 14,357,101 Total Held-to-Maturity Securities $ 14,355,105 $ 15,034,177 $ 15,242,053 $ 15,456,606 (a) Amortized cost is UPB after adjusting for net unamortized premiums of $66.1 million at June 30, 2020 and $72.5 million at December 31, 2019 (net of unamortized discounts) and before adjustments for allowance for credit losses. |
Advances.
Advances. | 6 Months Ended |
Jun. 30, 2020 | |
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): June 30, 2020 December 31, 2019 Weighted (a) Weighted (a) Average Percentage Average Percentage Amount Yield of Total Amount Yield of Total Overdrawn demand deposit accounts $ — — % — % $ — — % — % Due in one year or less 64,701,355 0.75 57.77 69,206,283 1.99 68.93 Due after one year through two years 19,059,688 1.51 17.02 8,727,277 2.16 8.69 Due after two years through three years 7,412,850 1.86 6.62 6,214,853 2.32 6.19 Due after three years through four years 2,899,637 2.35 2.59 3,032,507 2.68 3.02 Due after four years through five years 5,468,615 1.54 4.88 2,709,805 2.02 2.70 Thereafter 12,459,414 1.99 11.12 10,505,353 2.13 10.47 Total par value 112,001,559 1.17 % 100.00 % 100,396,078 2.06 % 100.00 % Hedge valuation basis adjustments (b) 1,786,997 299,163 Total $ 113,788,556 $ 100,695,241 (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 benchmark rates are LIBOR, 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, which was adopted effective January 1, 2020. Advances borrowed by members have increased in the aftermath of the global Coronavirus-19 pandemic, resulting in an unprecedented demand for liquidity (advances) from our borrowing members. The increase largely occurred in March 2020 and carrying value of advances borrowed stood at $136.2 billion at March 31, 2020. Since then demand has declined with maturing advances not replaced by borrowing members. Carrying values were $113.8 billion at June 30, 2020 compared to $100.7 billion at December 31, 2019. Demand for funds have been generally from a wide base of member financial institutions, although the larger members were the significant borrowers. For more information about borrower concentration, see Note 21. Segment Information and Concentration. Our collateral monitoring and valuation processes have remained robust through the increase in borrowing activities. We experienced a similar spike in demand during the 2008-9 financial crisis, and our operations were able to process, then as now, such growth in demand and maintain a robust and vigilant credit and collateral monitoring and operating environment. Our credit and collateral practices have not identified allowance for credit losses at December 31, 2019, or at January 1, 2020, the date ASU 2016-13 was adopted, or in the periods in 2020. Accrued interest receivable was $119.8 million and $181.8 million at June 30, 2020 and December 31, 2019, and no allowance for credit losses was recorded as interest due is well collateralized and interest due is expected to be collected. No subsequent events have occurred that would require us to report a credit loss on advances. The FHLBNY's (or the Bank's) advances are primarily made to member financial institutions, which include commercial banks and insurance companies. The Bank manages its credit exposure to advances through an integrated approach that includes establishing a credit limit for each borrower. This approach includes an ongoing review of each borrower's financial condition, in conjunction with the Bank's collateral and lending policies to limit risk of loss, while balancing borrowers' needs for a reliable source of funding. In addition, the Bank lends to eligible borrowers in accordance with federal law and FHFA regulations. Specifically, the Bank is required to obtain sufficient collateral to fully secure credit products up to the counterparty’s total credit limit. Collateral eligible to secure new or renewed advances includes: · one-to-four family and multifamily mortgage loans (delinquent for no more than 90 days) and securities representing such mortgages; · securities issued, insured, or guaranteed by the U.S. government or any U.S. government agency (for example, mortgage-backed securities issued or guaranteed by Fannie Mae, Freddie Mac, or Ginnie Mae); · cash or deposits in the Bank; · certain other collateral that is real estate-related, provided that the collateral has a readily ascertainable value and that the Bank can perfect a security interest in it; and · qualifying securities. Residential mortgage loans are the principal form of collateral for advances. The estimated value of the collateral required to secure each member's credit products is calculated by applying collateral discounts, or haircuts, to the market value or unpaid principal balance of the collateral, as applicable. In addition, community financial institutions are eligible to use expanded statutory collateral provisions for small business, agriculture loans, and community development loans. The Bank's capital stock owned by each borrower is also pledged as collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition, and performance; borrowing capacity; and overall credit exposure to the borrower. The Bank can also require additional or substitute collateral to protect its security interest. The Bank also has policies and procedures for validating the reasonableness of our collateral valuations. Summarized below are the FHLBNY's credit loss allowance methodologies: Adoption of the guidance under ASU 2016-13, resulted in formalizing the governance stipulated under the new guidance. Our pre-existing processes - collateral monitoring, valuation of collateral and haircuts in addition to borrower credit analysis - are extensive and remain key to our operations. We devote considerable resources towards these procedures and processes. 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. Allowance for Credit Risk. The FHLBNY has policies and procedures in place to manage credit risk. The FHLBNY has a continuous process of evaluating collateral supporting advances and to make changes to its collateral guidelines, as necessary, based on current market conditions. In the periods in 2020 and December 31, 2019, none of the FHLBNY's advances were past due, on non-accrual status, or considered impaired. In addition, there were no troubled debt restructurings related to advances at the FHLBNY at any time in this report. In the periods in 2020 and at December 31, 2019, the FHLBNY had collateral on a borrower-by-borrower basis with a value equal to, or greater than, its outstanding advances. Based on the collateral held as security, the FHLBNY’s management's credit extension and collateral policies, and repayment history on advances, the FHLBNY did not expect any losses on its advances at any time in the periods in 2020 and through the filing date on this report, and therefore no allowance for credit losses on advances was recorded. For the same reasons, the FHLBNY did not record any allowance for credit losses on advances at December 31, 2019. 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 30.7% and 24.9% of total advances at June 30, 2020 and December 31, 2019. 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. During all periods in this report and December 31, 2019, 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. | 6 Months Ended |
Jun. 30, 2020 | |
Mortgage Loans Held-for-Portfolio. | |
Mortgage Loans Held-for-Portfolio. | Note 10. Mortgage Loans Held-for-Portfolio. 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): June 30, 2020 December 31, 2019 Carrying Percentage Carrying Percentage Amount of Total Amount of Total Real Estate (a) : Fixed medium-term single-family mortgages $ 174,468 5.58 % $ 174,291 5.57 % Fixed long-term single-family mortgages 2,950,018 94.42 2,953,453 94.43 Total unpaid principal balance 3,124,486 100.00 % 3,127,744 100.00 % Unamortized premiums 46,039 46,442 Unamortized discounts (1,424) (1,562) Basis adjustment (b) 2,142 1,381 Total mortgage loans held-for-portfolio 3,171,243 3,174,005 Allowance for credit losses (c) (6,534) (653) Total mortgage loans held-for-portfolio at carrying value $ 3,164,709 $ 3,173,352 (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. (c) The Bank’s methodology for determining the allowance for credit losses on mortgage loans changed on January 1, 2020 with the adoption of CECL, the new accounting framework for the measurement of credit losses on financial instruments. Consistent with the modified retrospective method of adoption, the prior period has not been revised to conform to the new basis of accounting. 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 $42.5 million and $40.2 million at June 30, 2020 and December 31, 2019. 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 $0.7 million and $1.4 million for the three months and six months ended June 30, 2020 and $0.6 million and $1.2 million for the same periods in the prior year. 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 under New Accounting Framework under ASU 2016-13. In June 2016, the FASB issued ASU 2016-13, Financial Instruments — Credit Losses (Topic 326). The ASU introduced a new accounting framework, which was adopted effective January 1, 2020. With the adoption of the CECL guidance the estimate of expected credit losses for MPF will be forward-looking, which will require the use of forecasts about future economic conditions to estimate the expected credit loss over the remaining life of an instrument. The estimated credit loss is recorded upon initial recognition of the asset, even if the asset is performing at the time of purchase, in anticipation of a future event that will lead to a loss being realized (including consideration of remote scenarios as required under ASC 326-20-30-10). The objective of the estimate is to record the net amount expected to be collected for the asset, while considering available relevant information about the collectability of cash flows. Mortgage loans are evaluated for credit losses on an individual basis. The following table presents the impacts to the allowance for credit losses and retained earnings upon adoption of this guidance on January 1, 2020 and at June 30, 2020. Amounts represent cumulative loan loss allowances at each of the dates (in thousands): December 31, 2019 CECL Adoption Impact January 1, 2020 June 30, 2020 Allowance for Credit Losses $ 653 $ 2,972 $ 2,972 $ 6,534 The impact of adoption of ASU 2016-13 - Upon adoption at January 1, 2020, the Bank recorded $3.0 million as the incremental expected life-time losses. Our allowance for credit loss of $6.5 million at the current quarter-end takes into consideration several factors. First, the Bank’s mortgage loan portfolio has a history of incurred losses that accumulates to less than $4 million in life-time losses. Second, loss sharing and insurance mitigates forecasted losses. Lastly, forbearance processes are likely to be temporary for the MPF loans. Evaluation of Credit Losses under the new framework - MPF loans are evaluated for credit losses using the practical expedient for collateral dependent assets. We consider a conventional mortgage loan as a collateral dependent loan because we expect repayment to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. We may estimate the applicable fair value of this collateral by applying an appropriate loss severity rate or using third party estimates or property valuation model. The expected credit loss of a collateral dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. We will either reserve for these estimated losses or record a direct charge-off of the loan balance, if certain triggering criteria are exceeded. Expected recoveries of prior charge-offs would be included in the allowance for credit loss. The Bank’s credit risk model (model) estimates the probabilities of prepayments and defaults concurrently. Prepayments represent the probability that an individual loan will voluntarily prepay while defaults represent the probability that an individual loan will transition to involuntary payoffs. Defaults transition from one delinquency status to another (e.g., Current to 30 Days, 30 Days to 60 Days, etc.) until the loan is involuntarily paid off. The transition probabilities are a function of collateral types, borrower characteristics, and economic factors. The model utilizes economic data files that provide interest rates, the applicable house price index, and applicable foreclosure timeline, which are used in simulating transition probabilities. The Bank’s third party credit loss model provides the ability to update assumptions and calculate the probability of default of each individual mortgage loan. The model also uses loan and borrower information along with economic assumptions about applicable housing prices and interest rates as inputs to generate a distribution of projected cash flows over the life of the mortgage. The model estimates the loss given default (LGD) for each loan during the simulation based on assumptions adopted in the model by projecting loan status probabilities and aggregating projected cash flows for each loan in the portfolio. A loan in foreclosure or REO sale is considered to be a default. Accrued interest receivable was $16.3 million and $15.5 million at June 30, 2020 and December 31, 2019. Delinquency and non- accruals are factors that are applied in estimating expected credit losses. Refer to discussions on non-accrual and delinquent loans. Government mortgages which carry FHA, VA or USDA guarantees presents a minimal risk of loss are therefore excluded from CECL analysis. Additionally, as part of the service agreement between FHLBNY and members selling government loans, those member will buy back delinquent government loans. Credit enhancements under the MPF Program may include primary mortgage insurance, supplemental mortgage insurance, in addition to recoverable performance-based credit enhancement fees. Potential recoveries from credit enhancements for conventional loans are evaluated at the individual master commitment level to determine the credit enhancements available to recover losses on loans under each individual master commitment. However, expected recoveries from credit enhancements are not factored into the calculation of expected credit losses. The MPF program’s actual loss experience has been immaterial and inclusion of recoveries in the allowance calculations would result in an immaterial change. Allowance Methodology for Loan Losses under Methodology Prior to the Adoption of ASU 2016-13. Allowance Policy — Mortgage loans were considered impaired when, based on current information and events, it was probable that the FHLBNY would be unable to collect all principal and interest amounts due according to the contractual terms of the mortgage loan agreements. The FHLBNY considered a loan to be seriously delinquent when it was past due 90 days or more, and was a primary confirming event of a credit loss. When a loan was seriously delinquent, or in bankruptcy or in foreclosure, the FHLBNY measured estimated credit losses on an individual loan basis by looking to the value of the real property collateral. For such loans, the FHLBNY believed it was probable that we would be unable to collect all contractual interest and principal in accordance with the terms of the loan agreement. We computed the provision for credit losses without considering the private mortgage insurance and other accompanying credit enhancement features that provide credit assurance to the FHLBNY. For loans that were not individually measured for estimated credit losses (i.e. they are not seriously delinquent, or in bankruptcy or in foreclosure), the FHLBNY measured estimated incurred credit losses on a collective basis and recorded a valuation reserve. We reviewed government insured loans (FHA- and VA-insured MPF loans) on a collective basis. Under pre-CECL policies, we collectively evaluated the majority of our conventional mortgage loan portfolio for impairment (excluding those individually evaluated), and estimated an allowance for credit losses based primarily upon the following factors: (i) loan delinquencies, and (ii) actual historical loss severities. We had utilized a roll-rate methodology when estimating allowance for credit losses. This methodology projected loans migrating to charge off status (180 days delinquency) based on historical average rates of delinquency. We then applied a loss severity factor to calculate an estimate of credit losses. We collectively evaluated government insured loans (Federal Housing Administration, the Department of Veterans Affairs, and/or the Rural Housing Service of the Department of Agriculture). Any losses incurred on these loans that are not recovered from the insurer/guarantor are absorbed by the servicers. The FHLBNY's credit risk for these loans is if the servicer or PFI fails to pay for losses not covered by the guarantee or insurance. We evaluated the credit worthiness of our member, the PFI. Rollforward Analysis of Allowance for Credit Losses The following table provides a rollforward analysis of the allowance for credit losses (in thousands): Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Allowance for credit losses: Beginning balance $ 3,504 $ 797 $ 653 $ 814 Adjustment for cumulative effect of accounting change — — 2,972 — Charge-offs — — — — Recoveries — — — — Provision (Reversal) for credit losses on mortgage loans 3,030 (275) 2,909 (292) Balance, at end of period $ 6,534 $ 522 $ 6,534 $ 522 June 30, 2020 December 31, 2019 Ending balance, individually evaluated for impairment $ 6,534 $ 160 Ending balance, collectively evaluated for impairment — 493 Total Allowance for credit losses $ 6,534 $ 653 The FHLBNY’s total MPF loans and impaired MPF loans were as follows (in thousands): June 30, 2020 December 31, 2019 Total Mortgage loans, carrying values net (a) $ 3,164,709 $ 3,173,352 Non-performing mortgage loans - Conventional (a)(b) $ 10,574 $ 6,899 Insured MPF loans past due 90 days or more and still accruing interest (a)(b) $ 6,961 $ 3,935 (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 “amortized cost”. Under the new framework, the FHLBNY evaluates all loans, including non-performing conventional loans, on an individual basis for lifetime credit losses. FHFA and VA loans are considered as insured MPF loans, and while the loans are evaluated on an individual basis, we have deemed that FHFA and VA loans as collectively insured. Additionally, based on the Bank's assessment of its servicers and the collateral backing the insured loans, the risk of loss was deemed immaterial. The Bank has not recorded an allowance for credit losses for government-guaranteed or -insured mortgage loans in any periods in 2020 or December 31, 2019. Furthermore, none of these mortgage loans has been placed on non-accrual status because of the U.S. government guarantee or insurance on these loans and the contractual obligation of the loan servicer to repurchase the loans when certain criteria are met. The following table summarizes the unpaid principal balance, the related allowance, the amortized cost after allowance (excluding insured FHA/VA loans), and the average amortized cost after allowances of loans at June 30, 2020 (in thousands): Three months ended Six months ended June 30, 2020 June 30, 2020 June 30, 2020 Unpaid Average Principal Related Amortized Cost Amortized Cost Balance Allowance After Allowance After Allowance (d) Conventional MPF Loans (a)(c) No related allowance (b) $ 1,904,813 $ — $ 1,932,105 $ 1,941,883 $ 1,942,423 With a related allowance 1,009,042 6,534 1,018,161 1,030,808 1,036,166 Total measured for impairment $ 2,913,855 $ 6,534 $ 2,950,266 $ 2,972,691 $ 2,978,589 The following table summarizes the unpaid principal balance, the related allowance, recorded investment (excluding insured FHA/VA loans) and the average recorded investment of loans at December 31, 2019 (in thousands): December 31, 2019 Unpaid Average Principal Related Recorded Recorded Balance Allowance Investment Investment (d) Conventional MPF Loans (a)(c) No related allowance (b) $ 9,025 $ — $ 9,061 $ 10,169 With a related allowance 2,901,719 653 2,958,205 2,795,017 Total measured for impairment $ 2,910,744 $ 653 $ 2,967,266 $ 2,805,186 (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 amortized cost/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 amortized cost after allowance for the three and six months ended June 30, 2020 and average recorded investment for the twelve months ended December 31, 2019. The following table summarizes mortgage loans held-for-portfolio by collateral/guarantee type (in thousands): June 30, 2020 December 31, 2019 Mortgage Loans Held for Portfolio by Collateral/Guarantee Type: Conventional MPF mortgage loans $ 2,913,855 $ 2,910,744 Government-guaranteed or -insured mortgage loans 210,631 217,000 Total unpaid principal balance $ 3,124,486 $ 3,127,744 Payment Status of Mortgage Loans Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include, non-accrual loans and loans in process of foreclosure. The following tables present the payment status for conventional mortgage loans and other delinquency statistics for the Bank’s mortgage loans at June 30, 2020 and December 31, 2019. Credit Quality Indicator for Conventional Mortgage Loans (in thousands): June 30, 2020 Conventional MPF Loans Origination Year Prior to 2016 2016 to 2020 Total Payment Status, at Amortized Cost: Conventional MPF Loans Past due 30 - 59 days $ 33,238 $ 28,250 $ 61,488 Past due 60 - 89 days 25,876 33,366 59,242 Past due 90 days or more 7,745 2,893 10,638 Total past due mortgage loans 66,859 64,509 131,368 Current mortgage loans 1,233,966 1,591,466 2,825,432 Total Conventional MPF Loans $ 1,300,825 $ 1,655,975 $ 2,956,800 December 31, 2019 Conventional MPF Loans Payment Status, at Recorded Investment: Conventional MPF Loans Past due 30 - 59 days $ 15,775 Past due 60 - 89 days 3,424 Past due 90 days or more 6,919 Total past due mortgage loans 26,118 Current mortgage loans 2,941,148 Total Conventional MPF Loans $ 2,967,266 Other Delinquency Statistics (dollars in thousands): June 30, 2020 Government- Conventional Guaranteed MPF Loans or -Insured Loans Total Amortized Cost: In process of foreclosure (a) $ 49,431 $ 11,133 $ 60,564 Serious delinquency rate (b) 1.80 % 6.93 % 2.14 % Past due 90 days or more and still accruing interest $ — $ 7,079 $ 7,079 Loans on non-accrual status $ 10,638 $ — $ 10,638 Troubled debt restructurings: Loans discharged from bankruptcy (c) $ 7,398 $ 935 $ 8,333 Modified loans under MPF ® program $ 1,115 $ — $ 1,115 Real estate owned (d) $ 358 $ — $ 358 December 31, 2019 Government- Conventional Guaranteed MPF Loans or -Insured Loans Total Recorded Investment : In process of foreclosure (a) $ 4,198 $ 2,408 $ 6,606 Serious delinquency rate (b) 0.24 % 1.87 % 0.36 % Past due 90 days or more and still accruing interest $ — $ 4,147 $ 4,147 Loans on non-accrual status $ 6,919 $ — $ 6,919 Troubled debt restructurings: Loans discharged from bankruptcy (c) $ 7,711 $ 1,028 $ 8,739 Modified loans under MPF ® program $ 1,138 $ — $ 1,138 Real estate owned (d) $ 293 $ — $ 293 (a) Includes loans where the decision of foreclosure or a similar alternative, such as pursuit of deed-in-lieu, has been reported. (b) Represents seriously delinquent loans as a percentage of total mortgage loans. Seriously delinquent loans are comprised of all loans past due 90 days or more delinquent or loans that are in the process of foreclosure. (c) Loans discharged from Chapter 7 bankruptcies are considered as TDRs. (d) REO is reported at carrying value. |
Deposits.
Deposits. | 6 Months Ended |
Jun. 30, 2020 | |
Deposits. | |
Deposits. | Note 11. Deposits. 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): June 30, 2020 December 31, 2019 Interest-bearing deposits Interest-bearing demand $ 1,497,431 $ 1,144,519 Term (a) 33,000 15,000 Total interest-bearing deposits 1,530,431 1,159,519 Non-interest-bearing demand 59,926 34,890 Total deposits (b) $ 1,590,357 $ 1,194,409 (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): June 30, 2020 December 31, 2019 Amount Average Amount Average Outstanding Interest Rate (b) Outstanding Interest Rate (b) Due in one year or less Interest-bearing deposits (a) $ 1,530,431 0.51 % $ 1,159,519 2.03 % Non-interest-bearing deposits 59,926 34,890 Total deposits $ 1,590,357 $ 1,194,409 (a) Primarily adjustable rate. (b) The weighted average interest rate is calculated based on the average balance. |
Consolidated Obligations.
Consolidated Obligations. | 6 Months Ended |
Jun. 30, 2020 | |
Consolidated Obligations. | |
Consolidated Obligations. | Note 12. Consolidated Obligations. 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 June 30, 2020 and December 31, 2019 (in thousands): June 30, 2020 December 31, 2019 Consolidated obligation bonds-amortized cost $ 58,273,828 $ 78,179,661 Hedge valuation basis adjustments 620,391 377,000 Hedge basis adjustments on de-designated hedges 135,883 139,605 FVO - valuation adjustments and accrued interest 2,385 67,043 Total Consolidated obligation bonds $ 59,032,487 $ 78,763,309 Discount notes-amortized cost $ 89,457,724 $ 73,955,552 Hedge value basis adjustments 3,822 (105) FVO - valuation adjustments and remaining accretion 38,347 3,758 Total Consolidated obligation discount notes $ 89,499,893 $ 73,959,205 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): June 30, 2020 December 31, 2019 Weighted Weighted Average Percentage Average Percentage Maturity Amount Rate (a) of Total Amount Rate (a) of Total One year or less $ 37,081,435 0.53 % 63.75 % $ 62,319,595 1.77 % 79.79 % Over one year through two years 8,287,550 1.11 14.24 4,061,125 2.10 5.20 Over two years through three years 3,786,425 1.99 6.51 2,817,715 2.22 3.61 Over three years through four years 1,680,440 2.22 2.89 1,538,835 2.69 1.97 Over four years through five years 1,186,585 2.26 2.04 1,240,735 2.60 1.58 Thereafter 6,148,500 3.28 10.57 6,130,800 3.34 7.85 Total par value 58,170,935 1.08 % 100.00 % 78,108,805 1.96 % 100.00 % Bond premiums (b) 128,950 95,560 Bond discounts (b) (26,057) (24,704) Hedge valuation basis adjustments (c) 620,391 377,000 Hedge basis adjustments on de-designated hedges (d) 135,883 139,605 FVO (e) - valuation adjustments and accrued interest 2,385 67,043 Total Consolidated obligation-bonds $ 59,032,487 $ 78,763,309 (a) (b) (c) (d) (e) Interest Rate Payment Terms The following table summarizes par amounts of major types of Consolidated obligation bonds issued and outstanding (dollars in thousands): June 30, 2020 December 31, 2019 Percentage Percentage Amount of Total Amount of Total Fixed-rate, non-callable $ 21,932,435 37.70 % $ 32,588,805 41.72 % Fixed-rate, callable 1,424,000 2.45 4,803,000 6.15 Step Up, callable — — 15,000 0.02 Single-index floating rate 34,814,500 59.85 40,702,000 52.11 Total par value $ 58,170,935 100.00 % $ 78,108,805 100.00 % 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): June 30, 2020 December 31, 2019 Par value $ 89,545,947 $ 74,094,586 Amortized cost $ 89,457,724 $ 73,955,552 Hedge value basis adjustments (a) 3,822 (105) FVO (b) - valuation adjustments and remaining accretion 38,347 3,758 Total discount notes $ 89,499,893 $ 73,959,205 Weighted average interest rate 0.26 % 1.60 % (a) Hedging valuation basis adjustments — The reported carrying values of hedged CO discount notes are adjusted for changes in their fair values (fair value basis adjustments or fair value) that are attributable to changes in the benchmark risk being hedged. In the hedging relationships, a specific benchmark is elected on an instrument-by-instrument basis and becomes the discounting basis under ASC 815 for computing changes in fair values for the hedged CO discount notes. Notional amounts of $16.1 billion of CO discount notes were hedged under ASC 815 qualifying fair value hedges at June 30, 2020. The application of ASC 815 accounting methodology resulted in the recognition of net cumulative hedge valuation basis losses of $3.9 million at June 30, 2020; hedge basis adjustments on de-designated hedges were a de minimis gain of $0.1 million. Comparative balances at December 31, 2019 were immaterial. Cumulative basis adjustments have increased in line with the increase in the volume of hedged CO discount notes. Additionally, the benchmark curves, specifically OIS/FF and OIS/SOFR declined at the measurement date. As hedge valuation basis of fixed-rate CO liabilities move with the rise and fall of the forward benchmark curves, the decline in forward curves caused valuation losses to increase. Generally, hedge valuation basis gains and losses are unrealized and will reverse to zero if the CO discount notes are held to maturity. (b) FVO valuation adjustments — Valuation basis adjustment losses are recorded to recognize changes in the entire or full fair values (including unaccreted discounts on CO discount notes elected under the FVO. The discounting basis for computing changes in fair values of discount notes elected under the FVO is the observable FHLBank discount note yield curve. Valuation losses were largely unaccreted discounts. Other than unaccreted discount, changes in the valuation adjustments (clean prices) were not material. Clean prices represent fair value changes due to changes in the term structure of interest rates, the shape of the yield curve at the measurement dates, and the growth or decline in volume of hedged CO discount notes. When held to maturity, unaccreted discounts will be fully accreted to par, and unrealized fair value gains and losses will sum to zero over the term to maturity. |
Affordable Housing Program.
Affordable Housing Program. | 6 Months Ended |
Jun. 30, 2020 | |
Affordable Housing Program. | |
Affordable Housing Program. | Note 13. Affordable Housing Program. The FHLBNY charges the amount allocated for the Affordable Housing Program (AHP) to expense 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): Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Beginning balance $ 155,611 $ 161,129 $ 153,894 $ 161,718 Additions from current period’s assessments 15,287 12,021 26,974 27,014 Net disbursements for grants and programs (11,434) (8,888) (21,404) (24,470) Ending balance $ 159,464 $ 164,262 $ 159,464 $ 164,262 |
Capital Stock, Mandatorily Rede
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | 6 Months Ended |
Jun. 30, 2020 | |
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 $6.3 billion at June 30, 2020 and $5.8 billion at December 31, 2019. 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 has a $100 million cap on membership stock per member. · 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. 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. Risk-based Capital — The following table summarizes the FHLBNY’s risk-based capital ratios (dollars in thousands): June 30, 2020 December 31, 2019 Required (d) Actual Required (d) Actual Regulatory capital requirements: Risk-based capital (a)(e) $ 1,061,863 $ 8,222,482 $ 1,107,356 $ 7,584,829 Total capital-to-asset ratio 4.00 % 5.18 % 4.00 % 4.68 % Total capital (b) $ 6,354,882 $ 8,222,482 $ 6,482,481 $ 7,584,829 Leverage ratio 5.00 % 7.76 % 5.00 % 7.02 % Leverage capital (c) $ 7,943,602 $ 12,333,723 $ 8,103,101 $ 11,377,244 (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): June 30, 2020 December 31, 2019 Redemption less than one year $ 146 $ 835 Redemption from one year to less than three years 338 371 Redemption from three years to less than five years 366 402 Redemption from five years or greater 2,991 3,521 Total $ 3,841 $ 5,129 The following table provides rollforward information with respect to changes in mandatorily redeemable capital stock liabilities (in thousands): Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Beginning balance $ 4,924 $ 5,755 $ 5,129 $ 5,845 Capital stock subject to mandatory redemption reclassified from equity — 3,937 — 4,049 Redemption of mandatorily redeemable capital stock (a) (1,083) (4,178) (1,288) (4,380) Ending balance $ 3,841 $ 5,514 $ 3,841 $ 5,514 Accrued interest payable (b) $ 61 $ 117 $ 61 $ 117 (a) Redemption includes repayment of excess stock. (b) The annualized accrual rate was 5.90% for the three months ended June 30, 2020 and 6.35% for the three months ended June 30, 2019. Accrual rates are based on estimated dividend rates. Distribution received from Financing Corporation (FICO) — FICO was established by Congress in 1987 as a vehicle for recapitalizing the Federal Savings and Loan Insurance Corporation. FICO issued $8.2 billion of 30-year bonds (Obligations) with maturity dates between 2017 and 2019, the principal of which was to be repaid with the proceeds from zero-coupon U.S. Treasury bonds that FICO purchased with $680 million contributed by the Federal Home Loan Banks (FHLBanks), as FICO’s only stockholders, in exchange for nonvoting FICO stock. FICO was dissolved in 2019 in accordance with statute following payment in full of the Obligations and all creditor claims. Funds remaining were distributed in June 2020 to the FHLBanks in proportion to the amounts of FICO stock owned by each FHLBank. The FHLBNY’s share was $18.2 million, which was credited to Unrestricted retained earnings. The initial purchase of FICO capital stock in 1987 was charged-off to retained earnings; the subsequent recovery of the cost of the capital stock is also viewed as a capital transaction. In accordance with ASC 505-10-25-2 Equity, capital transactions are excluded from the determination of net income or the results of operations. 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 $734.3 million and $685.8 million as restricted retained earnings in the FHLBNY’s Total Capital at June 30, 2020 and December 31, 2019. |
Earnings Per Share of Capital.
Earnings Per Share of Capital. | 6 Months Ended |
Jun. 30, 2020 | |
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): Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Net income $ 137,525 $ 108,082 $ 242,632 $ 242,920 Net income available to stockholders $ 137,525 $ 108,082 $ 242,632 $ 242,920 Weighted average shares of capital 68,083 58,232 63,587 56,998 Less: Mandatorily redeemable capital stock (42) (74) (46) (66) Average number of shares of capital used to calculate earnings per share 68,041 58,158 63,541 56,932 Basic earnings per share $ $ $ $ |
Employee Retirement Plans.
Employee Retirement Plans. | 6 Months Ended |
Jun. 30, 2020 | |
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 and enhance defined benefits for those employees who have had their qualified Defined Benefit Plan and their Defined Contribution Plan limited by IRS regulations. 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): Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Defined Benefit Plan $ 2,500 $ 2,494 $ 5,000 $ 4,988 Benefit Equalization Plans (defined benefit and defined contribution) 3,105 1,838 4,661 3,770 Defined Contribution Plans 658 616 1,394 1,277 Postretirement Health Benefit Plan 61 84 122 167 Total retirement plan expenses $ 6,324 $ 5,032 $ 11,177 $ 10,202 Benefit Equalization Plan (BEP) The BEP restores and enhances certain 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. Components of the net periodic pension cost for the defined benefit component of the BEP were as follows (in thousands): Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Service cost $ 392 $ 316 $ 784 $ 632 Interest cost 587 636 1,174 1,272 Amortization of unrecognized net loss 1,140 720 2,280 1,440 Amortization of unrecognized past service (credit)/cost 174 — 348 — Net periodic benefit cost -Defined Benefit BEP 2,293 1,672 4,586 3,344 Benefit Equalization plans - Thrift and Deferred incentive compensation plans 812 166 75 426 Total $ 3,105 $ 1,838 $ 4,661 $ 3,770 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. Components of the net periodic benefit cost for the postretirement health benefit plan were as follows (in thousands): Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Service cost (benefits attributed to service during the period) $ 21 $ 21 $ 42 $ 42 Interest cost on accumulated postretirement health benefit obligation 78 127 156 254 Amortization of (gain)/loss (38) — (76) — Amortization of prior service (credit)/cost — (64) — (129) Net periodic postretirement health benefit (income) $ 61 $ 84 $ 122 $ 167 |
Derivatives and Hedging Activit
Derivatives and Hedging Activities. | 6 Months Ended |
Jun. 30, 2020 | |
Derivatives and Hedging Activities. | |
Derivatives and Hedging Activities. | Note 17. Derivatives and Hedging Activities. 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. Refer to Note 17. Derivatives and Hedging Activities in the 2019 Form 10-K for a further discussion of the FHLBNY's use of and accounting policies regarding derivative instruments. 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 following table presents the FHLBNY’s derivative activities based on notional amounts (in thousands): Derivative Notionals Hedging Instruments Under ASC 815 June 30, 2020 December 31, 2019 Interest rate contracts Interest rate swaps $ 153,806,725 $ 107,837,925 Interest rate caps 800,000 800,000 Mortgage delivery commitments 49,196 44,768 Total interest rate contracts notionals $ 154,655,921 $ 108,682,693 Offsetting of Derivative Assets and Derivative Liabilities — Net Presentation 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): June 30, 2020 December 31, 2019 Derivative Derivative Derivative Derivative Assets Liabilities Assets Liabilities Derivative instruments - nettable Gross recognized amount Uncleared derivatives $ 279,113 $ 1,115,931 $ 241,501 $ 365,397 Cleared derivatives 305,417 297,175 367,202 352,576 Total gross recognized amount 584,530 1,413,106 608,703 717,973 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (232,381) (1,045,786) (104,011) (333,471) Cleared derivatives (296,594) (296,594) (266,850) (352,092) Total gross amounts of netting adjustments and cash collateral (528,975) (1,342,380) (370,861) (685,563) Net amounts after offsetting adjustments and cash collateral $ 55,555 $ 70,726 $ 237,842 $ 32,410 Uncleared derivatives $ 46,732 $ 70,145 $ 137,490 $ 31,926 Cleared derivatives 8,823 581 100,352 484 Total net amounts after offsetting adjustments and cash collateral $ 55,555 $ 70,726 $ 237,842 $ 32,410 Derivative instruments - not nettable Uncleared derivatives (a) $ $ — $ 105 $ 1 Total derivative assets and total derivative liabilities Uncleared derivatives $ 47,006 $ 70,145 $ 137,595 $ 31,927 Cleared derivatives 8,823 581 100,352 484 Total derivative assets and total derivative liabilities presented in the Statements of Condition (b) $ 55,829 $ 70,726 $ 237,947 $ 32,411 Non-cash collateral received or pledged (c) Can be sold or repledged Security pledged as initial margin to Derivative Clearing Organization (d) $ 635,775 $ — $ 251,177 $ — Cannot be sold or repledged Uncleared derivatives securities received (32,871) — (115,238) — Total net amount of non-cash collateral received or repledged $ 602,904 $ — $ 135,939 $ — Total net exposure cash and non-cash (e) $ 658,733 $ 70,726 $ 373,886 $ 32,411 Net unsecured amount - Represented by: Uncleared derivatives $ 14,135 $ 70,145 $ 22,357 $ 31,927 Cleared derivatives 644,598 581 351,529 484 Total net exposure cash and non-cash (e) $ 658,733 $ 70,726 $ 373,886 $ 32,411 (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 (DCO) to fulfill our initial margin obligations on cleared derivatives. Securities pledged may be sold or repledged if the FHLBNY defaults on its 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. Note on variation margin — For all cleared derivative contracts that have not matured, “Variation margin” is exchanged between the FHLBNY and the Future Commission Merchant (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 June 30, 2020, the FHLBNY posted $1.0 billion in cash as settlement variation margin to FCMs. At December 31, 2019, the FHLBNY posted $100.1 million in cash as settlement variation margin to 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 June 30, 2020 and December 31, 2019 (in thousands): June 30, 2020 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 $ 74,017,512 $ 461,048 $ 1,325,470 Total derivatives in hedging relationships under ASC 815 74,017,512 461,048 1,325,470 Derivatives not designated as hedging instruments Interest rate swaps 78,711,213 89,001 85,819 Interest rate caps 800,000 — Mortgage delivery commitments 49,196 — Other (b) 1,078,000 34,427 1,817 Total derivatives not designated as hedging instruments 80,638,409 123,756 87,636 Total derivatives before netting and collateral adjustments $ 154,655,921 584,804 1,413,106 Netting adjustments (405,720) (405,720) Cash collateral and related accrued interest (123,255) (936,660) Total netting adjustments and cash collateral (528,975) (1,342,380) Total derivative assets and total derivative liabilities $ 55,829 $ 70,726 Security collateral pledged as initial margin to Derivative Clearing Organization (c) $ 635,775 Security collateral received from counterparty (c) (32,871) Net security 602,904 Net exposure $ 658,733 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 (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 members. (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 June 30, 2020 and December 31, 2019. 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. 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. 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. 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. Refer to Note 17. Derivatives and Hedging Activities in the 2019 Form 10-K for a further discussion of the accounting policies regarding derivative instruments. Fair value hedge gains and losses Gains and Losses on Fair value hedges under ASC 815 are summarized below (in thousands): Gains (Losses) on Fair Value Hedges Three months ended June 30, 2020 2019 Recorded in Recorded in Interest Interest Income/Expense Income/Expense Gains (losses) on derivatives in designated and qualifying fair value hedges: Interest rate hedges $ (80,987) $ (360,128) Gains (losses) on hedged item in designated and qualifying fair value hedges: Interest rate hedges $ 87,549 $ 359,340 Gains (Losses) on Fair Value Hedges Six months ended June 30, 2020 2019 Recorded in Recorded in Interest Interest Income/Expense Income/Expense Gains (losses) on derivatives in designated and qualifying fair value hedges: Interest rate hedges $ (1,313,783) $ (521,712) Gains (losses) on hedged item in designated and qualifying fair value hedges: Interest rate hedges $ 1,311,857 $ 519,612 Gains (losses) represent changes in fair values of derivatives and hedged items due to changes in the designated benchmark interest rates, the risk being hedged. Beginning in 2019, gains and losses on ASC 815 hedges are recorded in the same line in the Statements of income as the hedged assets and hedged liabilities. Prior to the adoption of ASU 2017-12 (on January 1, 2019), gains and losses on derivatives and hedged items were recorded in Other income (loss). Cumulative Basis Adjustment Upon electing to apply ASC 815 fair value hedge accounting, the carrying value of the hedged item is adjusted to reflect the cumulative impact of changes in the hedged risk. The hedge basis adjustment, whether arising from an active or de-designated hedge relationship, remains with the hedged item until the hedged item is derecognized from the balance sheet. The tables below present the carrying amount of FHLBNY’s assets and liabilities under active ASC 815 qualifying fair value hedges at June 30, 2020 and December 31, 2019, as well as the hedged item’s cumulative hedge basis adjustments, which were included in the carrying value of assets and liabilities in active 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): June 30, 2020 Cumulative Fair Value Hedging Adjustment Included in the Carrying Amount of Hedged Items Gains (Losses) Carrying Amount Discontinued of Hedged Active Hedging Hedging Assets/Liabilities (a) Relationship Relationship Assets: Hedged advances $ 45,363,596 $ 1,786,414 $ — Hedged AFS debt securities (a) 618,434 70,431 — De-designated advances (b) — — $ 45,982,030 $ 1,856,845 $ Liabilities: Hedged consolidated obligation bonds $ 8,557,856 $ (620,391) $ — Hedged consolidated obligation discount notes 16,162,993 (3,911) — De-designated consolidated obligation bonds (b) — — (135,883) De-designated consolidated obligation discount notes (b) — — 89 $ 24,720,849 $ (624,302) $ (135,794) December 31, 2019 Cumulative Fair Value Hedging Adjustment Included in the Carrying Amount of Hedged Items Gains (Losses) Carrying Amount Discontinued of 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) (a) (b) par amounts of de-designated CO discount notes were approximately $1.7 billion. Cumulative fair value hedging adjustments for active and discontinued hedging relationships will remain on the balance sheet until the items are derecognized. Cash flow hedge gains and losses 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 Three months ended June 30, 2020 2019 Amounts Amounts Total Amounts Amounts Total Reclassified from Reclassified Amounts Change in Reclassified from Reclassified from Amounts Change in AOCI to from AOCI to Other Recorded OCI for AOCI to AOCI to Other Recorded in OCI for Interest Expense (b) Income (Loss) (c) in OCI (d) Period Interest Expense (b) Income (Loss) (c) OCI (d) Period Interest rate contracts (a) $ (348) $ — $ (6,128) $ (5,780) $ (116) $ — $ (69,786) $ (69,670) Derivative Gains (Losses) Recorded in Income and Other Comprehensive Income/Loss Six months ended June 30, 2020 2019 Amounts Amounts Total Amounts Amounts Total Reclassified from Reclassified from Amounts Change in Reclassified from Reclassified from Amounts Change in AOCI to AOCI to Other Recorded OCI for AOCI to AOCI to Other Recorded in OCI for Interest Expense (b) Income (Loss) (c) in OCI (d) Period Interest Expense (b) Income (Loss) (c) OCI (d) Period Interest rate contracts (a) $ (621) $ — $ (159,233) $ (158,612) $ (139) $ — $ (112,500) $ (112,361) (a) Amounts represent 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, $1.4 million of the unrecognized losses in AOCI will be recognized as yield adjustments to debt interest expense. (c) 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. Economic Hedges FHLBNY often uses economic hedges when hedge accounting would be too complex or operationally burdensome. Derivatives that are economic hedges are carried at fair value, with changes in value included in Other income (loss), a line item, which is below Net interest income. For hedges that either do not meet the ASC 815 hedging criteria or for which management decides not to apply ASC 815 hedge accounting, the derivative is recorded at fair value on the balance sheet with the associated changes in fair value recorded in earnings, while the "hedged" instrument continues to be carried at amortized cost. Therefore, current earnings are affected by the interest rate shifts and other factors that cause a change in the swap's value, but for which no offsetting change in value is recorded on the hedged instrument. Economic hedges are an acceptable hedging strategy under the FHLBNY's risk management program, and the strategies comply with the Finance Agency's regulatory requirements prohibiting speculative use of derivatives. Gains and losses on economic hedges are presented below (in thousands): Gains (Losses) on Economic Hedges Recorded in Other Income (Loss) Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Gains (losses) on derivatives designated in economic hedges Interest rate hedges $ (5,081) $ (39,497) $ (169,215) $ (51,632) Caps (84) 125 5 (217) Mortgage delivery commitments 1,244 303 1,119 500 Total gains (losses) on derivatives in economic hedges (a) $ (3,921) $ (39,069) $ (168,091) $ (51,349) (a) Valuation changes and accrued interest on the swaps (also referred to as swap interest settlement) on 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 reconcile to the line item – “Derivative gains (losses)” in Other income in the Statements of income. |
Fair Values of Financial Instru
Fair Values of Financial Instruments. | 6 Months Ended |
Jun. 30, 2020 | |
Fair Values of Financial Instruments. | |
Fair Values of Financial Instruments. | Note 18. Fair Values of Financial Instruments. Estimated Fair Values — Summary Tables – Carrying values, the estimated fair values and the levels within the fair value hierarchy were as follows (in thousands): June 30, 2020 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 $ 44,308 $ 44,308 $ 44,308 $ — $ — $ — Interest-bearing deposits 925,000 925,001 — 925,001 — — Securities purchased under agreements to resell 4,950,000 4,949,997 — 4,949,997 — — Federal funds sold 5,355,000 5,354,999 — 5,354,999 — — Trading securities 12,923,831 12,923,831 12,921,673 2,158 — — Equity Investments 63,852 63,852 63,852 — — — Available-for-sale securities 2,874,107 2,874,107 — 2,874,107 — — Held-to-maturity securities 14,348,334 15,034,177 — 13,828,987 1,205,190 — Advances 113,788,556 113,792,086 — 113,792,086 — — Mortgage loans held-for-portfolio, net 3,164,709 3,278,261 — 3,278,261 — — Accrued interest receivable 225,556 225,556 — 225,556 — — Derivative assets 55,829 55,829 — 584,804 — (528,975) Other financial assets 358 358 — — — Liabilities Deposits 1,590,357 1,590,364 — 1,590,364 — — Consolidated obligations Bonds 59,032,487 59,934,238 — 59,934,238 — — Discount notes 89,499,893 89,514,606 — 89,514,606 — — Mandatorily redeemable capital stock 3,841 3,841 3,841 — — — Accrued interest payable 131,432 131,432 — 131,432 — — Derivative liabilities 70,726 70,726 — 1,413,106 — (1,342,380) Other financial liabilities 35,400 35,400 35,400 — — — 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 — — — 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 for the FHLBNY, 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 specialized 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 June 30, 2020 and December 31, 2019. 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. 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 impaired - When a PLMBS is deemed to be impaired, 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. Historically, impairments have been de minimis. The portfolio of PLMBS has declined as the FHLBNY has ceased acquiring PLMBS. 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 assumptions. 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 June 30, 2020 and December 31, 2019. 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 June 30, 2020 and December 31, 2019. 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 June 30, 2020 and December 31, 2019, by level within the fair value hierarchy. 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): June 30, 2020 Netting Adjustment and Total Level 1 Level 2 Level 3 Cash Collateral Assets Trading securities Corporate notes $ 2,158 $ — $ 2,158 $ — $ — U.S. Treasury securities 12,921,673 12,921,673 — — — Equity Investments 63,852 63,852 — — — Available-for-sale securities GSE/U.S. agency issued MBS 2,874,107 — 2,874,107 — — Derivative assets (a) Interest-rate derivatives 55,555 — 584,530 — (528,975) Mortgage delivery commitments 274 — 274 — — Total recurring fair value measurement - Assets $ 15,917,619 $ 12,985,525 $ 3,461,069 $ — $ (528,975) Liabilities Consolidated obligation: Discount notes (to the extent FVO is elected) $ (20,159,341) $ — $ (20,159,341) $ — $ — Bonds (to the extent FVO is elected) (b) (1,302,385) — (1,302,385) — — Derivative liabilities (a) Interest-rate derivatives (70,726) — (1,413,106) — 1,342,380 Total recurring fair value measurement - Liabilities $ (21,532,452) $ — $ (22,874,832) $ — $ 1,342,380 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 (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 June 30, 2020 Fair Value Level 1 Level 2 Level 3 Real estate owned $ 135 $ — $ — $ 135 Total non-recurring assets at fair value $ 135 $ — $ — $ 135 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 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 June 30, 2020 and December 31, 2019, and reported fair values were not as of the period end dates. Fair Value Option Disclosures 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 June 30, 2020 and December 31, 2019. As with all advances, when advances are elected under the FVO, they 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 recent past periods, and no adverse changes have been observed in their credit characteristics. The following tables summarize the activity related to financial instruments for which the FHLBNY elected the fair value option (in thousands): Three months ended June 30, 2020 2019 2020 2019 Bonds Discount Notes Balance, beginning of the period $ (4,606,885) $ (7,367,064) $ (18,068,215) $ (994,773) New transactions elected for fair value option (500,000) 4,110,000 (4,271,624) 987,355 Maturities and terminations 3,775,000 — 2,182,845 — Net gains (losses) on financial instruments held under fair value option 6,190 (2,653) 4,374 293 Change in accrued interest/unaccreted balance 23,310 20,860 (6,721) 7,125 Balance, end of the period $ (1,302,385) $ (3,238,857) $ (20,159,341) $ — Six months ended June 30, 2020 2019 2020 2019 Bonds Discount Notes Balance, beginning of the period $ (12,134,043) $ (5,159,792) $ (2,186,603) $ (3,180,086) New transactions elected for fair value option (1,300,000) (3,220,000) (20,120,994) — Maturities and terminations 12,067,000 5,145,000 2,182,845 3,170,915 Net gains (losses) on financial instruments held under fair value option 2,132 (2,711) (13,522) (113) Change in accrued interest/unaccreted balance 62,526 (1,354) (21,067) 9,284 Balance, end of the period $ (1,302,385) $ (3,238,857) $ (20,159,341) $ — 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): Three months ended June 30, 2020 2019 Net Gains Fair Value Net Gains Fair Value (Losses) Due to Included in (Losses) Due Included in Interest Changes in Fair Current Interest to Changes in Current Period Expense Value Period Earnings Expense Fair Value Earnings Consolidated obligation bonds $ (8,312) $ 6,190 $ (2,122) $ (33,398) $ (2,653) $ (36,051) Consolidated obligation discount notes (21,808) 4,374 (17,434) (5,519) 293 (5,226) $ (30,120) $ 10,564 $ (19,556) $ (38,917) $ (2,360) $ (41,277) Six months ended June 30, 2020 2019 Net Gains Fair Value Net Gains Fair Value (Losses) Due to Included in (Losses) Due Included in Interest Changes in Fair Current Interest to Changes in Current Period Expense Value Period Earnings Expense Fair Value Earnings Consolidated obligation bonds $ (45,402) $ 2,132 $ (43,270) $ (66,879) $ (2,711) $ (69,590) Consolidated obligation discount notes (36,134) (13,522) (49,656) (22,800) (113) (22,913) $ (81,536) $ (11,390) $ (92,926) $ (89,679) $ (2,824) $ (92,503) 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 (a) (in thousands): June 30, 2020 Fair Value Over/(Under) Aggregate Unpaid Aggregate Fair Aggregate Unpaid Principal Balance Value Principal Balance Consolidated obligation bonds (b) $ 1,300,000 $ 1,302,385 $ 2,385 Consolidated obligation discount notes (c) 20,120,995 20,159,341 38,346 $ 21,420,995 $ 21,461,726 $ 40,731 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 June 30, 2019 Fair Value Over/(Under) Aggregate Unpaid Aggregate Fair Aggregate Unpaid Principal Balance Value Principal Balance Consolidated obligation bonds (b) $ 3,215,000 $ 3,238,857 $ 23,857 (a) Advances – No advances elected under the FVO were outstanding at June 30, 2020 and December 31, 2019. From time to time, the FHLBNY has elected the FVO for advances on an instrument by instrument basis with terms that were primarily short-and intermediate-term. (b) CO bonds – 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. | 6 Months Ended |
Jun. 30, 2020 | |
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 $0.9 trillion and $1.0 trillion as of June 30, 2020 and December 31, 2019. 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 June 30, 2020 (in thousands): June 30, 2020 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) $ 37,081,435 $ 12,073,975 $ 2,867,025 $ 6,148,500 $ 58,170,935 Consolidated obligation discount notes at par 89,545,947 — — — 89,545,947 Mandatorily redeemable capital stock (a) 146 338 366 2,991 3,841 Premises (lease obligations) (b) 6,904 15,442 16,150 66,159 104,655 Remote backup site 670 1,224 542 — 2,436 Other liabilities (c) 69,524 10,594 8,563 70,114 158,795 Total contractual obligations 126,704,626 12,101,573 2,892,646 6,287,764 147,986,609 Other commitments Standby letters of credit (d) 20,728,398 169,001 6,598 — 20,903,997 Consolidated obligation bonds/discount notes traded not settled 6,189,000 — — — 6,189,000 Commitments to fund additional advances 200,000 — — — 200,000 Commitments to fund pension 10,000 — — — 10,000 Open delivery commitments (MPF) 49,196 — — — 49,196 Total other commitments 27,176,594 169,001 6,598 — 27,352,193 Total obligations and commitments $ 153,881,220 $ 12,270,574 $ 2,899,244 $ 6,287,764 $ 175,338,802 (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. While interest payments on CO bonds and discount notes are contractual obligations, they are deemed to be not material and, therefore, amounts were omitted from the table. (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. Effective January 1, 2020, we adopted the framework for credit losses under ASU 2016-13 (Topic 326), which did not result in a recognition of credit losses on off-balance arrangements as of January 1, 2020 or periods in this report. 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. At June 30, 2020 and 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): June 30, 2020 December 31, 2019 Operating Leases (a) Right-of-use assets $ 73,036 $ 75,464 Lease Liabilities $ 86,939 $ 89,365 Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Operating Lease Expense $ 1,940 $ 1,899 $ 3,880 $ 3,716 Operating cash flows - Cash Paid $ 1,982 $ 1,658 $ 3,878 $ 3,191 June 30, 2020 December 31, 2019 Weighted Average Discount Rate 3.29 % 3.29 % Weighted Average Remaining Lease Term 12.50 Years 12.98 Years Remaining maturities through Operating lease liabilities June 30, 2020 December 31, 2019 Remainder of 2020 $ 4,008 $ 7,886 2021 8,107 8,107 2022 8,205 8,205 2023 8,575 8,575 2024 8,282 8,282 Thereafter 69,886 69,886 Total undiscounted lease payments 107,063 110,941 Imputed interest (20,124) (21,576) Total operating lease liabilities $ 86,939 $ 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. | 6 Months Ended |
Jun. 30, 2020 | |
Related Party Transactions. | |
Related Party Transactions. | Note 20. Related Party Transactions. 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 six months ended June 30, 2020 and in the same period in the prior year. Debt transfers — No debt was transferred to another FHLBank in the six months ended June 30, 2020 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 $6.7 million and $7.3 million at June 30, 2020 and December 31, 2019. Fees paid to the FHLBank of Chicago for providing MPF program services were approximately $0.7 million and $1.3 million for the three and six months ended June 30, 2020, compared to $0.6 million and $1.2 million for the same periods in the prior year. 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 impairment 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 June 30, 2020 and December 31, 2019, outstanding notional amounts were $539.0 million and $536.0 million, representing 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 were not significant. The intermediated derivative transactions with members and derivative counterparties were collateralized. Loans to Other Federal Home Loan Banks There were no overnight loans extended to other FHLBanks in the three months ended June 30, 2020. In the six months ended June 30, 2020, overnight loans extended to other FHLBanks averaged $4.1 million compared to loans that averaged $17.0 million and $12.7 million in the three and six months ended June 30, 2019. 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. There were no borrowings from other FHLBanks in the six months ended June 30, 2020. In the six months ended June 30, 2019, the FHLBNY borrowed a total of $750.0 million in overnight loans from other FHLBanks. The borrowings averaged $2.8 million for the six months ended June 30, 2019. Interest expense was immaterial. Cash and Due from Banks At June 30, 2020 and December 31, 2019, there was no compensating cash balances held at Citibank. 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 June 30, 2020 and December 31, 2019 and transactions for the three and six months ended June 30, 2020 and June 30, 2019 (in thousands): Related Party: Outstanding Assets, Liabilities and Capital June 30, 2020 December 31, 2019 Related Related Assets Advances $ 113,788,556 $ 100,695,241 Accrued interest receivable 119,801 181,792 Liabilities and capital Deposits $ 1,590,357 $ 1,194,409 Mandatorily redeemable capital stock 3,841 5,129 Accrued interest payable 170 140 Affordable Housing Program (a) 159,464 153,894 Other liabilities (b) 35,400 45,388 Capital $ 8,138,108 $ 7,531,895 (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 Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Related Related Related Related Interest income Advances $ 326,230 $ 704,936 $ 790,795 $ 1,396,832 Interest-bearing deposits — 2 1 3 Loans to other FHLBanks — 104 33 154 Interest expense Deposits $ 146 $ 5,976 $ 3,374 $ 11,941 Mandatorily redeemable capital stock 56 108 135 208 Cash collateral held and other borrowings — — — 50 Service fees and other $ 4,622 $ 4,117 $ 9,322 $ 8,248 |
Segment Information and Concent
Segment Information and Concentration. | 6 Months Ended |
Jun. 30, 2020 | |
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 June 30, 2020, December 31, 2019 and June 30, 2019 and associated interest income for the periods then ended are summarized as follows (dollars in thousands): June 30, 2020 Percentage of Par Total Par Value Three Months Six Months City State Advances of Advances Interest Income Percentage (a) Interest Income Percentage (a) Citibank, N.A. New York NY $ 26,450,000 23.62 % $ 99,454 33.02 % $ 206,533 31.78 % MetLife, Inc.: Metropolitan Life Insurance Company New York NY 15,245,000 13.61 52,741 17.51 126,712 19.49 Metropolitan Tower Life Insurance Company New York NY 955,000 0.85 633 0.21 633 0.10 Subtotal MetLife,Inc. 16,200,000 14.46 53,374 17.72 127,345 19.59 New York Community Bank (b) Westbury NY 13,552,661 12.10 58,381 19.38 123,458 18.99 Equitable Financial Life Insurance Company (c) New York NY 6,692,475 5.98 18,184 6.04 47,371 7.29 HSBC Bank USA, National Association New York NY 5,750,000 5.13 14,001 4.65 19,856 3.05 Investors Bank (b) Short Hills NJ 4,175,319 3.73 16,056 5.33 40,036 6.16 Signature Bank New York NY 3,884,245 3.47 14,643 4.86 36,450 5.61 Prudential Insurance Company of America Newark NY 3,564,325 3.18 9,343 3.10 13,083 2.01 Teachers Ins. & Annuity Assoc of America New York NJ 3,387,600 3.02 4,614 1.53 9,284 1.43 Valley National Bank (b) Wayne NJ 3,362,352 3.00 13,177 4.37 26,608 4.09 Total $ 87,018,977 77.69 % $ 301,227 100.00 % $ 650,024 100.00 % (a) Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members. (b) At June 30, 2020, an officer of this member bank also served on the Board of Directors of the FHLBNY. (c) AXA Equitable Life Insurance Company changed name to Equitable Financial Life Insurance Company in the second quarter of 2020. 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. June 30, 2019 Percentage of Par Total ParValue Three Months Six Months City State Advances of Advances Interest Income Percentage (a) Interest Income Percentage (a) Citibank, N.A. New York NY $ 23,150,000 22.69 % $ 172,617 34.49 % $ 306,535 31.77 % Metropolitan Life Insurance Company New York NY 14,245,000 13.96 97,123 19.41 192,359 19.94 New York Community Bank (b) Westbury NY 11,627,661 11.40 64,027 12.79 128,552 13.33 Investors Bank (b) Short Hills NJ 5,635,474 5.52 31,527 6.30 59,733 6.19 Signature Bank New York NY 5,362,364 5.26 35,219 7.04 68,317 7.08 AXA Equitable Life Insurance Company New York NY 3,990,415 3.91 25,004 5.00 49,947 5.18 Sterling National Bank Montebello NY 3,765,000 3.69 18,677 3.73 42,937 4.45 Valley National Bank (b) Wayne NJ 3,530,000 3.46 21,846 4.36 41,705 4.32 New York Life Insurance Company New York NY 3,000,000 2.94 20,974 4.19 42,967 4.45 HSBC Bank USA, National Association (c) New York NY 2,000,000 1.96 13,478 2.69 31,776 3.29 Total $ 76,305,914 74.79 % $ 500,492 100.00 % $ 964,828 100.00 % (a) Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members. (b) At June 30, 2019, an officer of this member bank also served on the Board of Directors of the FHLBNY. (c) Effective second quarter 2019, location changed from McLean, VA to New York, NY . |
Critical Accounting Policies _2
Critical Accounting Policies and Estimates (Policies) | 6 Months Ended |
Jun. 30, 2020 | |
Critical 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 critical 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 critical policies include derivatives and hedging relationships, estimating the fair values of assets and liabilities, estimating the allowance for credit losses on the advance, mortgage loan portfolios and our portfolios of investment securities. |
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 in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2019 filed on March 20, 2020. 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. Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell. |
Fair Value Measurements and Disclosures | Fair Value Measurements and Disclosures The accounting standards on fair value measurements and disclosures discuss 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. The FHLBNY complied with the accounting guidance on fair value measurements and disclosures and has established a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are inputs that market participants would use in pricing the asset or liability, and would be based on market data obtained from independent sources. Unobservable inputs are inputs that reflect our assumptions about the parameters market participants would use in pricing the asset or liability, and would be based on the best information available in the circumstances. Our pricing models are subject to periodic validations, and we periodically review and refine, as appropriate, our assumptions and valuation methodologies to reflect market indications as closely as possible. We have the appropriate personnel, technology, and policies and procedures in place to value financial instruments in a reasonable and consistent manner and in accordance with established accounting policies. 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, see financial statements, Note 18. Fair Values of Financial Instruments in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2019 filed on March 20, 2020. |
Derivatives and Hedging Activities | Derivatives and Hedging Activities We enter into derivatives primarily to manage our exposure to changes in interest rates. Through the use of derivatives, we may adjust the effective maturity, repricing frequency, or option characteristics of financial instruments to achieve our risk management objectives. The accounting guidance related to derivatives and hedging activities is complex and contains prescriptive documentation requirements. At the inception of each hedge transaction, we formally document the hedge relationship, its risk management objective, and strategy for undertaking the hedge. In compliance with accounting standards, primarily ASC 815, the accounting for derivatives requires us to make the following assumptions and estimates: (i) assessing whether the hedging relationship qualifies for hedge accounting, (ii) assessing whether an embedded derivative should be bifurcated, (iii) calculating the effectiveness of the hedging relationship, (iv) evaluating exposure associated with counterparty credit risk, and (v) estimating the fair value of the derivatives. Our assumptions and judgments include subjective estimates based on information available as of the date of the financial statements and could be materially different based on different assumptions, calculations, and estimates. 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. For more information about the FHLBNY’s hedging activities, see financial statements, Note 17. Derivatives and Hedging Activities in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2019 filed on March 20, 2020. |
Credit Losses under ASU 2016-13 - Recently Adopted Accounting Guidance | Credit Losses under ASU 2016-13 – Recently Adopted Accounting Guidance The FASB issued ASU 2016-13, Financial Instruments — Credit Losses (Topic 326 ) , which became effective for the Bank as of January 1, 2020. The adoption of this guidance established a single allowance framework for all financial assets carried at amortized cost, including advances, loans, held-to-maturity securities, other receivables and certain off-balance sheet credit exposures. We have elected to evaluate expected credit losses on interest receivable separately. 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. For a description of how expected losses are developed including interest receivable, refer to notes to financial statements: Note 4. Note 7. Note 8. Note 9. Note 10. Note 19. Adoption of ASU 2016-13 did not have a material impact on financial condition or cash flows. The following table presents the impacts to allowance for credit losses and retained earnings at January 1, 2020, the adoption date of this guidance, and at June 30, 2020 (in thousands): December 31, 2019 CECL Adoption Impact January 1, 2020 June 30, 2020 Allowance for Credit Losses PLMBS Held-to-maturity $ — $ — $ — $ 257 Mortgage loans 653 2,972 2,972 6,534 Municipal securities — 801 801 801 Federal funds sold and Repurchase agreements — — — — $ 653 $ 3,773 $ 3,773 $ 7,592 Retained Earnings Allowance for credit losses $ 3,773 $ 3,773 Decrease in retained earnings $ 3,773 $ 3,773 No off-balance sheet credit loss allowance was necessary at June 30, 2020 and December 31, 2019. |
Critical Accounting Policies _3
Critical Accounting Policies and Estimates. (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Critical Accounting Policies and Estimates | |
Schedule of impacts to allowance for credit losses and retained earnings upon adoption of accounting guidance | December 31, 2019 CECL Adoption Impact January 1, 2020 June 30, 2020 Allowance for Credit Losses PLMBS Held-to-maturity $ — $ — $ — $ 257 Mortgage loans 653 2,972 2,972 6,534 Municipal securities — 801 801 801 Federal funds sold and Repurchase agreements — — — — $ 653 $ 3,773 $ 3,773 $ 7,592 Retained Earnings Allowance for credit losses $ 3,773 $ 3,773 Decrease in retained earnings $ 3,773 $ 3,773 |
Trading Securities. (Tables)
Trading Securities. (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Securities | |
Schedule of major security types of trading securities | . The following table provides major security types at June 30, 2020 and December 31, 2019 (in thousands): Fair value June 30, 2020 December 31, 2019 Corporate notes $ 2,158 $ 3,217 U.S. Treasury notes 11,172,698 15,315,592 U.S. Treasury bills 1,748,975 — Total trading securities $ 12,923,831 $ 15,318,809 |
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 June 30, 2020 Due in one year Due after one year or less through five years Total Fair Value Corporate notes $ — $ 2,158 $ 2,158 U.S. Treasury notes 6,678,814 4,493,884 11,172,698 U.S. Treasury bills 1,748,975 — 1,748,975 Total trading securities $ 8,427,789 $ 4,496,042 $ 12,923,831 Yield on trading securities 1.74 % 1.88 % 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 % |
Equity Investments. (Tables)
Equity Investments. (Tables) - Equity Investment | 6 Months Ended |
Jun. 30, 2020 | |
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): June 30, 2020 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains (b) Losses (b) Value (c) Cash equivalents $ 5,487 $ — $ — $ 5,487 Equity funds 28,985 8,256 (2,608) 34,633 Fixed income funds 22,581 1,245 (94) 23,732 Total Equity Investments (a) $ 57,053 $ 9,501 $ (2,702) $ 63,852 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 (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): Three Months Ended June 30, Six Months Ended June 30, 2020 2019 2020 2019 Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date $ 7,111 $ 1,667 $ (1,172) $ 5,877 Net dividend and other 217 259 450 487 Net gains (losses) recognized during the period $ 7,328 $ 1,926 $ (722) $ 6,364 |
Available-for-Sale Securities.
Available-for-Sale Securities. (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
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): June 30, 2020 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 $ 4,409 $ (3) $ — $ — $ 4,409 $ (3) Fannie Mae-CMBS 311 — — — 311 — Freddie Mac-CMO 842 — — — 842 — Total MBS-GSE 5,562 (3) — — 5,562 (3) Total Temporarily Impaired $ 5,562 $ (3) $ — $ — $ 5,562 $ (3) 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) Freddie Mac-CMO 7,071 (9) — — 7,071 (9) Freddie Mac-CMBS 129,496 (423) — — 129,496 (423) Total MBS-GSE 168,579 (497) — — 168,579 (497) Total Temporarily Impaired $ 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): June 30, 2020 December 31, 2019 Amortized Cost Fair Value Amortized Cost Fair Value Mortgage-backed securities Floating CMO - LIBOR $ 310,854 $ 313,508 $ 339,419 $ 341,509 CMBS - LIBOR 311 311 2,539 2,540 Total Floating 311,165 313,819 341,958 344,049 Fixed CMBS 2,354,393 2,560,288 2,225,185 2,309,369 Total Mortgage-backed securities $ 2,665,558 $ 2,874,107 $ 2,567,143 $ 2,653,418 |
Available-for-Sale securities | |
Securities | |
Schedule of major security types | The following tables provide major security types (in thousands): June 30, 2020 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains Losses Value GSE and U.S. Obligations Mortgage-backed securities Floating CMO $ 310,854 $ 2,657 $ (3) $ 313,508 CMBS 311 — — 311 Total Floating 311,165 2,657 (3) 313,819 Fixed CMBS 2,283,962 276,326 — 2,560,288 Total Fixed 2,283,962 276,326 — 2,560,288 AFS Before Hedging Adjustments 2,595,127 278,983 (a) (3) (a) 2,874,107 Hedging Basis Adjustments in AOCI 70,431 70,431 (b) — — Total Available-for-sale securities $ 2,665,558 $ 208,552 $ (3) $ 2,874,107 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 Total Fixed 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 (a) Amounts represents specialized third party pricing vendors’ estimates of gains/losses of AFS securities; market pricing is based on 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 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 unrealized gains and losses reported in the table above. Securities in a fair value hedging relationship at June 30, 2020 and December 31, 2019 reported $70.4 million and $11.6 million as hedging basis as disclosed in the table above, with an offset to AOCI. The hedging basis adjustment had no impact on market based fair values. |
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): June 30, 2020 December 31, 2019 Amortized Cost (b) Fair Value Amortized Cost (b) Fair Value Mortgage-backed securities Due in one year or less $ 311 $ 311 $ 2,539 $ 2,540 Due after one year through five years 243,223 263,114 — — Due after five year through ten years 2,071,428 2,257,326 2,189,350 2,273,352 Due after ten years 350,596 353,356 375,254 377,526 Total Available-for-sale securities $ 2,665,558 $ 2,874,107 $ 2,567,143 $ 2,653,418 (a) The carrying value of AFS securities equals fair value. (b) Amortized cost is UPB after adjusting for net unamortized premiums of $29.5 million and net unamortized premiums of $30.4 million at June 30, 2020 and December 31, 2019. Additionally, historical amortized cost is after adjustment for hedging basis. |
Held-to-Maturity Securities. (T
Held-to-Maturity Securities. (Tables) - Held-to-maturity | 6 Months Ended |
Jun. 30, 2020 | |
Held-to-Maturity Securities. | |
Schedule of major security types | June 30, 2020 Allowance OTTI Gross Gross Amortized for Credit Recognized Carrying Unrecognized Unrecognized Fair Issued, guaranteed or insured: Cost (d) Loss (ACL) in AOCI Value Holding Gains (a) Holding Losses (a) Value Pools of Mortgages Fannie Mae $ 55,122 $ — $ — $ 55,122 $ 7,324 $ — $ 62,446 Freddie Mac 10,670 — — 10,670 1,319 — 11,989 Total pools of mortgages 65,792 — — 65,792 8,643 — 74,435 Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits Fannie Mae 1,203,111 — — 1,203,111 9,584 (2,197) 1,210,498 Freddie Mac 757,604 — — 757,604 4,412 (1,304) 760,712 Ginnie Mae 8,166 — — 8,166 117 — 8,283 Total CMOs/REMICs 1,968,881 — — 1,968,881 14,113 (3,501) 1,979,493 Commercial Mortgage-Backed Securities (b) Fannie Mae 1,690,448 — — 1,690,448 51,403 (1,890) 1,739,961 Freddie Mac 9,414,648 — — 9,414,648 630,089 (9,639) 10,035,098 Total commercial mortgage-backed securities 11,105,096 — — 11,105,096 681,492 (11,529) 11,775,059 Non-GSE MBS (c) CMOs/REMICs 4,010 (257) (312) 3,441 239 (86) 3,594 Commercial MBS — — — — — — — Total non-federal-agency MBS 4,010 (257) (312) 3,441 239 (86) 3,594 Asset-Backed Securities (c) Manufactured housing (insured) 26,209 — — 26,209 877 — 27,086 Home equity loans (insured) 56,958 — (3,672) 53,286 15,599 (40) 68,845 Home equity loans (uninsured) 20,115 — (2,530) 17,585 2,827 (373) 20,039 Total asset-backed securities 103,282 — (6,202) 97,080 19,303 (413) 115,970 Total MBS 13,247,061 (257) (6,514) 13,240,290 723,790 (15,529) 13,948,551 Other State and local housing finance agency obligations (e) 1,108,044 — — 1,108,044 177 (22,595) 1,085,626 Total other 1,108,044 — — 1,108,044 177 (22,595) 1,085,626 Total Held-to-maturity securities $ 14,355,105 $ (257) $ (6,514) $ 14,348,334 $ 723,967 $ (38,124) $ 15,034,177 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 Commercial MBS — — — — — — Total non-federal-agency MBS 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 (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. (c) The amounts represent non-agency private-label mortgage- and asset-backed securities. (d) Amortized cost — For securities that were deemed impaired, amortized cost represents unamortized cost less credit losses, net of credit recoveries (reversals) due to improvements in cash flows. (e) Amortized cost at June 30, 2020 includes allowance for credit loss of $0.8 million recorded at January 1, 2020, the adoption date of ASU 2016-13. |
Schedule of amortized cost and estimated fair value of investments by contractual maturity | June 30, 2020 December 31, 2019 Amortized Estimated Amortized Estimated Cost (a) Fair Value Cost (a) Fair Value State and local housing finance agency obligations Due after one year through five years $ 10,648 $ 10,646 $ 9,770 $ 9,781 Due after five years through ten years 25,100 24,933 36,810 36,250 Due after ten years 1,072,296 1,050,047 1,075,735 1,053,474 State and local housing finance agency obligations 1,108,044 1,085,626 1,122,315 1,099,505 Mortgage-backed securities Due in one year or less 1,050,689 1,061,967 613,863 619,948 Due after one year through five years 3,415,357 3,535,726 4,102,650 4,142,443 Due after five years through ten years 6,394,678 6,912,305 6,648,746 6,815,921 Due after ten years 2,386,337 2,438,553 2,754,479 2,778,789 Mortgage-backed securities 13,247,061 13,948,551 14,119,738 14,357,101 Total Held-to-Maturity Securities $ 14,355,105 $ 15,034,177 $ 15,242,053 $ 15,456,606 (a) Amortized cost is UPB after adjusting for net unamortized premiums of $66.1 million at June 30, 2020 and $72.5 million at December 31, 2019 (net of unamortized discounts) and before adjustments for allowance for credit losses. |
Advances. (Tables)
Advances. (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Advances. | |
Schedule of contractual redemption terms and yields of advances | Contractual redemption terms and yields of advances were as follows (dollars in thousands): June 30, 2020 December 31, 2019 Weighted (a) Weighted (a) Average Percentage Average Percentage Amount Yield of Total Amount Yield of Total Overdrawn demand deposit accounts $ — — % — % $ — — % — % Due in one year or less 64,701,355 0.75 57.77 69,206,283 1.99 68.93 Due after one year through two years 19,059,688 1.51 17.02 8,727,277 2.16 8.69 Due after two years through three years 7,412,850 1.86 6.62 6,214,853 2.32 6.19 Due after three years through four years 2,899,637 2.35 2.59 3,032,507 2.68 3.02 Due after four years through five years 5,468,615 1.54 4.88 2,709,805 2.02 2.70 Thereafter 12,459,414 1.99 11.12 10,505,353 2.13 10.47 Total par value 112,001,559 1.17 % 100.00 % 100,396,078 2.06 % 100.00 % Hedge valuation basis adjustments (b) 1,786,997 299,163 Total $ 113,788,556 $ 100,695,241 (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 benchmark rates are LIBOR, OIS/FF index and OIS/SOFR index. |
Mortgage Loans Held-for-Portf_2
Mortgage Loans Held-for-Portfolio. (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
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): June 30, 2020 December 31, 2019 Carrying Percentage Carrying Percentage Amount of Total Amount of Total Real Estate (a) : Fixed medium-term single-family mortgages $ 174,468 5.58 % $ 174,291 5.57 % Fixed long-term single-family mortgages 2,950,018 94.42 2,953,453 94.43 Total unpaid principal balance 3,124,486 100.00 % 3,127,744 100.00 % Unamortized premiums 46,039 46,442 Unamortized discounts (1,424) (1,562) Basis adjustment (b) 2,142 1,381 Total mortgage loans held-for-portfolio 3,171,243 3,174,005 Allowance for credit losses (c) (6,534) (653) Total mortgage loans held-for-portfolio at carrying value $ 3,164,709 $ 3,173,352 (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. (c) The Bank’s methodology for determining the allowance for credit losses on mortgage loans changed on January 1, 2020 with the adoption of CECL, the new accounting framework for the measurement of credit losses on financial instruments. Consistent with the modified retrospective method of adoption, the prior period has not been revised to conform to the new basis of accounting. |
Rollforward analysis of allowance for credit losses | December 31, 2019 CECL Adoption Impact January 1, 2020 June 30, 2020 Allowance for Credit Losses $ 653 $ 2,972 $ 2,972 $ 6,534 The following table provides a rollforward analysis of the allowance for credit losses (in thousands): Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Allowance for credit losses: Beginning balance $ 3,504 $ 797 $ 653 $ 814 Adjustment for cumulative effect of accounting change — — 2,972 — Charge-offs — — — — Recoveries — — — — Provision (Reversal) for credit losses on mortgage loans 3,030 (275) 2,909 (292) Balance, at end of period $ 6,534 $ 522 $ 6,534 $ 522 June 30, 2020 December 31, 2019 Ending balance, individually evaluated for impairment $ 6,534 $ 160 Ending balance, collectively evaluated for impairment — 493 Total Allowance for credit losses $ 6,534 $ 653 |
Schedule of non-performing mortgage loans | The FHLBNY’s total MPF loans and impaired MPF loans were as follows (in thousands): June 30, 2020 December 31, 2019 Total Mortgage loans, carrying values net (a) $ 3,164,709 $ 3,173,352 Non-performing mortgage loans - Conventional (a)(b) $ 10,574 $ 6,899 Insured MPF loans past due 90 days or more and still accruing interest (a)(b) $ 6,961 $ 3,935 (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 “amortized cost”. |
Summary of impaired loans for which related allowance was individually measured (excluding insured FHA/VA loans) | The following table summarizes the unpaid principal balance, the related allowance, the amortized cost after allowance (excluding insured FHA/VA loans), and the average amortized cost after allowances of loans at June 30, 2020 (in thousands): Three months ended Six months ended June 30, 2020 June 30, 2020 June 30, 2020 Unpaid Average Principal Related Amortized Cost Amortized Cost Balance Allowance After Allowance After Allowance (d) Conventional MPF Loans (a)(c) No related allowance (b) $ 1,904,813 $ — $ 1,932,105 $ 1,941,883 $ 1,942,423 With a related allowance 1,009,042 6,534 1,018,161 1,030,808 1,036,166 Total measured for impairment $ 2,913,855 $ 6,534 $ 2,950,266 $ 2,972,691 $ 2,978,589 The following table summarizes the unpaid principal balance, the related allowance, recorded investment (excluding insured FHA/VA loans) and the average recorded investment of loans at December 31, 2019 (in thousands): December 31, 2019 Unpaid Average Principal Related Recorded Recorded Balance Allowance Investment Investment (d) Conventional MPF Loans (a)(c) No related allowance (b) $ 9,025 $ — $ 9,061 $ 10,169 With a related allowance 2,901,719 653 2,958,205 2,795,017 Total measured for impairment $ 2,910,744 $ 653 $ 2,967,266 $ 2,805,186 (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 amortized cost/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 amortized cost after allowance for the three and six months ended June 30, 2020 and average recorded investment for the twelve months ended December 31, 2019. |
Schedule of mortgage loans hold for portfolio by collateral | The following table summarizes mortgage loans held-for-portfolio by collateral/guarantee type (in thousands): June 30, 2020 December 31, 2019 Mortgage Loans Held for Portfolio by Collateral/Guarantee Type: Conventional MPF mortgage loans $ 2,913,855 $ 2,910,744 Government-guaranteed or -insured mortgage loans 210,631 217,000 Total unpaid principal balance $ 3,124,486 $ 3,127,744 |
Deposits. (Tables)
Deposits. (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Deposits. | |
Summary of deposits and interest rate payment terms for deposits | The following table summarizes deposits (in thousands): June 30, 2020 December 31, 2019 Interest-bearing deposits Interest-bearing demand $ 1,497,431 $ 1,144,519 Term (a) 33,000 15,000 Total interest-bearing deposits 1,530,431 1,159,519 Non-interest-bearing demand 59,926 34,890 Total deposits (b) $ 1,590,357 $ 1,194,409 (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): June 30, 2020 December 31, 2019 Amount Average Amount Average Outstanding Interest Rate (b) Outstanding Interest Rate (b) Due in one year or less Interest-bearing deposits (a) $ 1,530,431 0.51 % $ 1,159,519 2.03 % Non-interest-bearing deposits 59,926 34,890 Total deposits $ 1,590,357 $ 1,194,409 (a) Primarily adjustable rate. (b) The weighted average interest rate is calculated based on the average balance. |
Consolidated Obligations. (Tabl
Consolidated Obligations. (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
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 June 30, 2020 and December 31, 2019 (in thousands): June 30, 2020 December 31, 2019 Consolidated obligation bonds-amortized cost $ 58,273,828 $ 78,179,661 Hedge valuation basis adjustments 620,391 377,000 Hedge basis adjustments on de-designated hedges 135,883 139,605 FVO - valuation adjustments and accrued interest 2,385 67,043 Total Consolidated obligation bonds $ 59,032,487 $ 78,763,309 Discount notes-amortized cost $ 89,457,724 $ 73,955,552 Hedge value basis adjustments 3,822 (105) FVO - valuation adjustments and remaining accretion 38,347 3,758 Total Consolidated obligation discount notes $ 89,499,893 $ 73,959,205 |
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): June 30, 2020 December 31, 2019 Weighted Weighted Average Percentage Average Percentage Maturity Amount Rate (a) of Total Amount Rate (a) of Total One year or less $ 37,081,435 0.53 % 63.75 % $ 62,319,595 1.77 % 79.79 % Over one year through two years 8,287,550 1.11 14.24 4,061,125 2.10 5.20 Over two years through three years 3,786,425 1.99 6.51 2,817,715 2.22 3.61 Over three years through four years 1,680,440 2.22 2.89 1,538,835 2.69 1.97 Over four years through five years 1,186,585 2.26 2.04 1,240,735 2.60 1.58 Thereafter 6,148,500 3.28 10.57 6,130,800 3.34 7.85 Total par value 58,170,935 1.08 % 100.00 % 78,108,805 1.96 % 100.00 % Bond premiums (b) 128,950 95,560 Bond discounts (b) (26,057) (24,704) Hedge valuation basis adjustments (c) 620,391 377,000 Hedge basis adjustments on de-designated hedges (d) 135,883 139,605 FVO (e) - valuation adjustments and accrued interest 2,385 67,043 Total Consolidated obligation-bonds $ 59,032,487 $ 78,763,309 (a) (b) (c) (d) (e) |
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): June 30, 2020 December 31, 2019 Percentage Percentage Amount of Total Amount of Total Fixed-rate, non-callable $ 21,932,435 37.70 % $ 32,588,805 41.72 % Fixed-rate, callable 1,424,000 2.45 4,803,000 6.15 Step Up, callable — — 15,000 0.02 Single-index floating rate 34,814,500 59.85 40,702,000 52.11 Total par value $ 58,170,935 100.00 % $ 78,108,805 100.00 % |
Schedule of outstanding Consolidated obligation discount notes | The FHLBNY’s outstanding Consolidated obligation discount notes were as follows (dollars in thousands): June 30, 2020 December 31, 2019 Par value $ 89,545,947 $ 74,094,586 Amortized cost $ 89,457,724 $ 73,955,552 Hedge value basis adjustments (a) 3,822 (105) FVO (b) - valuation adjustments and remaining accretion 38,347 3,758 Total discount notes $ 89,499,893 $ 73,959,205 Weighted average interest rate 0.26 % 1.60 % (a) Hedging valuation basis adjustments — The reported carrying values of hedged CO discount notes are adjusted for changes in their fair values (fair value basis adjustments or fair value) that are attributable to changes in the benchmark risk being hedged. In the hedging relationships, a specific benchmark is elected on an instrument-by-instrument basis and becomes the discounting basis under ASC 815 for computing changes in fair values for the hedged CO discount notes. Notional amounts of $16.1 billion of CO discount notes were hedged under ASC 815 qualifying fair value hedges at June 30, 2020. The application of ASC 815 accounting methodology resulted in the recognition of net cumulative hedge valuation basis losses of $3.9 million at June 30, 2020; hedge basis adjustments on de-designated hedges were a de minimis gain of $0.1 million. Comparative balances at December 31, 2019 were immaterial. Cumulative basis adjustments have increased in line with the increase in the volume of hedged CO discount notes. Additionally, the benchmark curves, specifically OIS/FF and OIS/SOFR declined at the measurement date. As hedge valuation basis of fixed-rate CO liabilities move with the rise and fall of the forward benchmark curves, the decline in forward curves caused valuation losses to increase. Generally, hedge valuation basis gains and losses are unrealized and will reverse to zero if the CO discount notes are held to maturity. (b) FVO valuation adjustments — Valuation basis adjustment losses are recorded to recognize changes in the entire or full fair values (including unaccreted discounts on CO discount notes elected under the FVO. The discounting basis for computing changes in fair values of discount notes elected under the FVO is the observable FHLBank discount note yield curve. Valuation losses were largely unaccreted discounts. Other than unaccreted discount, changes in the valuation adjustments (clean prices) were not material. Clean prices represent fair value changes due to changes in the term structure of interest rates, the shape of the yield curve at the measurement dates, and the growth or decline in volume of hedged CO discount notes. When held to maturity, unaccreted discounts will be fully accreted to par, and unrealized fair value gains and losses will sum to zero over the term to maturity. |
Affordable Housing Program. (Ta
Affordable Housing Program. (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Affordable Housing Program. | |
Rollforward 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): Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Beginning balance $ 155,611 $ 161,129 $ 153,894 $ 161,718 Additions from current period’s assessments 15,287 12,021 26,974 27,014 Net disbursements for grants and programs (11,434) (8,888) (21,404) (24,470) Ending balance $ 159,464 $ 164,262 $ 159,464 $ 164,262 |
Capital Stock, Mandatorily Re_2
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | |
Summary of risk-based capital ratios | The following table summarizes the FHLBNY’s risk-based capital ratios (dollars in thousands): June 30, 2020 December 31, 2019 Required (d) Actual Required (d) Actual Regulatory capital requirements: Risk-based capital (a)(e) $ 1,061,863 $ 8,222,482 $ 1,107,356 $ 7,584,829 Total capital-to-asset ratio 4.00 % 5.18 % 4.00 % 4.68 % Total capital (b) $ 6,354,882 $ 8,222,482 $ 6,482,481 $ 7,584,829 Leverage ratio 5.00 % 7.76 % 5.00 % 7.02 % Leverage capital (c) $ 7,943,602 $ 12,333,723 $ 8,103,101 $ 11,377,244 (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): June 30, 2020 December 31, 2019 Redemption less than one year $ 146 $ 835 Redemption from one year to less than three years 338 371 Redemption from three years to less than five years 366 402 Redemption from five years or greater 2,991 3,521 Total $ 3,841 $ 5,129 |
Rollforward 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): Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Beginning balance $ 4,924 $ 5,755 $ 5,129 $ 5,845 Capital stock subject to mandatory redemption reclassified from equity — 3,937 — 4,049 Redemption of mandatorily redeemable capital stock (a) (1,083) (4,178) (1,288) (4,380) Ending balance $ 3,841 $ 5,514 $ 3,841 $ 5,514 Accrued interest payable (b) $ 61 $ 117 $ 61 $ 117 (a) Redemption includes repayment of excess stock. (b) The annualized accrual rate was 5.90% for the three months ended June 30, 2020 and 6.35% for the three months ended June 30, 2019. Accrual rates are based on estimated dividend rates. |
Earnings Per Share of Capital.
Earnings Per Share of Capital. (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
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): Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Net income $ 137,525 $ 108,082 $ 242,632 $ 242,920 Net income available to stockholders $ 137,525 $ 108,082 $ 242,632 $ 242,920 Weighted average shares of capital 68,083 58,232 63,587 56,998 Less: Mandatorily redeemable capital stock (42) (74) (46) (66) Average number of shares of capital used to calculate earnings per share 68,041 58,158 63,541 56,932 Basic earnings per share $ $ $ $ |
Employee Retirement Plans. (Tab
Employee Retirement Plans. (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Employee Retirement Plans | |
Schedule of employee retirement plan expenses | The following table presents employee retirement plan expenses for the periods ended (in thousands): Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Defined Benefit Plan $ 2,500 $ 2,494 $ 5,000 $ 4,988 Benefit Equalization Plans (defined benefit and defined contribution) 3,105 1,838 4,661 3,770 Defined Contribution Plans 658 616 1,394 1,277 Postretirement Health Benefit Plan 61 84 122 167 Total retirement plan expenses $ 6,324 $ 5,032 $ 11,177 $ 10,202 |
Benefit Equalization Plan (BEP) | |
Employee Retirement Plans | |
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): Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Service cost $ 392 $ 316 $ 784 $ 632 Interest cost 587 636 1,174 1,272 Amortization of unrecognized net loss 1,140 720 2,280 1,440 Amortization of unrecognized past service (credit)/cost 174 — 348 — Net periodic benefit cost -Defined Benefit BEP 2,293 1,672 4,586 3,344 Benefit Equalization plans - Thrift and Deferred incentive compensation plans 812 166 75 426 Total $ 3,105 $ 1,838 $ 4,661 $ 3,770 |
Postretirement Health Benefit Plan | |
Employee Retirement Plans | |
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): Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Service cost (benefits attributed to service during the period) $ 21 $ 21 $ 42 $ 42 Interest cost on accumulated postretirement health benefit obligation 78 127 156 254 Amortization of (gain)/loss (38) — (76) — Amortization of prior service (credit)/cost — (64) — (129) Net periodic postretirement health benefit (income) $ 61 $ 84 $ 122 $ 167 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities. (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
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 June 30, 2020 December 31, 2019 Interest rate contracts Interest rate swaps $ 153,806,725 $ 107,837,925 Interest rate caps 800,000 800,000 Mortgage delivery commitments 49,196 44,768 Total interest rate contracts notionals $ 154,655,921 $ 108,682,693 |
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): June 30, 2020 December 31, 2019 Derivative Derivative Derivative Derivative Assets Liabilities Assets Liabilities Derivative instruments - nettable Gross recognized amount Uncleared derivatives $ 279,113 $ 1,115,931 $ 241,501 $ 365,397 Cleared derivatives 305,417 297,175 367,202 352,576 Total gross recognized amount 584,530 1,413,106 608,703 717,973 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (232,381) (1,045,786) (104,011) (333,471) Cleared derivatives (296,594) (296,594) (266,850) (352,092) Total gross amounts of netting adjustments and cash collateral (528,975) (1,342,380) (370,861) (685,563) Net amounts after offsetting adjustments and cash collateral $ 55,555 $ 70,726 $ 237,842 $ 32,410 Uncleared derivatives $ 46,732 $ 70,145 $ 137,490 $ 31,926 Cleared derivatives 8,823 581 100,352 484 Total net amounts after offsetting adjustments and cash collateral $ 55,555 $ 70,726 $ 237,842 $ 32,410 Derivative instruments - not nettable Uncleared derivatives (a) $ $ — $ 105 $ 1 Total derivative assets and total derivative liabilities Uncleared derivatives $ 47,006 $ 70,145 $ 137,595 $ 31,927 Cleared derivatives 8,823 581 100,352 484 Total derivative assets and total derivative liabilities presented in the Statements of Condition (b) $ 55,829 $ 70,726 $ 237,947 $ 32,411 Non-cash collateral received or pledged (c) Can be sold or repledged Security pledged as initial margin to Derivative Clearing Organization (d) $ 635,775 $ — $ 251,177 $ — Cannot be sold or repledged Uncleared derivatives securities received (32,871) — (115,238) — Total net amount of non-cash collateral received or repledged $ 602,904 $ — $ 135,939 $ — Total net exposure cash and non-cash (e) $ 658,733 $ 70,726 $ 373,886 $ 32,411 Net unsecured amount - Represented by: Uncleared derivatives $ 14,135 $ 70,145 $ 22,357 $ 31,927 Cleared derivatives 644,598 581 351,529 484 Total net exposure cash and non-cash (e) $ 658,733 $ 70,726 $ 373,886 $ 32,411 (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 (DCO) to fulfill our initial margin obligations on cleared derivatives. Securities pledged may be sold or repledged if the FHLBNY defaults on its 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. Note on variation margin — For all cleared derivative contracts that have not matured, “Variation margin” is exchanged between the FHLBNY and the Future Commission Merchant (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 June 30, 2020, the FHLBNY posted $1.0 billion in cash as settlement variation margin to FCMs. At December 31, 2019, the FHLBNY posted $100.1 million in cash as settlement variation margin to 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): June 30, 2020 December 31, 2019 Derivative Derivative Derivative Derivative Assets Liabilities Assets Liabilities Derivative instruments - nettable Gross recognized amount Uncleared derivatives $ 279,113 $ 1,115,931 $ 241,501 $ 365,397 Cleared derivatives 305,417 297,175 367,202 352,576 Total gross recognized amount 584,530 1,413,106 608,703 717,973 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (232,381) (1,045,786) (104,011) (333,471) Cleared derivatives (296,594) (296,594) (266,850) (352,092) Total gross amounts of netting adjustments and cash collateral (528,975) (1,342,380) (370,861) (685,563) Net amounts after offsetting adjustments and cash collateral $ 55,555 $ 70,726 $ 237,842 $ 32,410 Uncleared derivatives $ 46,732 $ 70,145 $ 137,490 $ 31,926 Cleared derivatives 8,823 581 100,352 484 Total net amounts after offsetting adjustments and cash collateral $ 55,555 $ 70,726 $ 237,842 $ 32,410 Derivative instruments - not nettable Uncleared derivatives (a) $ $ — $ 105 $ 1 Total derivative assets and total derivative liabilities Uncleared derivatives $ 47,006 $ 70,145 $ 137,595 $ 31,927 Cleared derivatives 8,823 581 100,352 484 Total derivative assets and total derivative liabilities presented in the Statements of Condition (b) $ 55,829 $ 70,726 $ 237,947 $ 32,411 Non-cash collateral received or pledged (c) Can be sold or repledged Security pledged as initial margin to Derivative Clearing Organization (d) $ 635,775 $ — $ 251,177 $ — Cannot be sold or repledged Uncleared derivatives securities received (32,871) — (115,238) — Total net amount of non-cash collateral received or repledged $ 602,904 $ — $ 135,939 $ — Total net exposure cash and non-cash (e) $ 658,733 $ 70,726 $ 373,886 $ 32,411 Net unsecured amount - Represented by: Uncleared derivatives $ 14,135 $ 70,145 $ 22,357 $ 31,927 Cleared derivatives 644,598 581 351,529 484 Total net exposure cash and non-cash (e) $ 658,733 $ 70,726 $ 373,886 $ 32,411 (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 (DCO) to fulfill our initial margin obligations on cleared derivatives. Securities pledged may be sold or repledged if the FHLBNY defaults on its 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. Note on variation margin — For all cleared derivative contracts that have not matured, “Variation margin” is exchanged between the FHLBNY and the Future Commission Merchant (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 June 30, 2020, the FHLBNY posted $1.0 billion in cash as settlement variation margin to FCMs. At December 31, 2019, the FHLBNY posted $100.1 million in cash as settlement variation margin to 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 June 30, 2020 and December 31, 2019 (in thousands): June 30, 2020 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 $ 74,017,512 $ 461,048 $ 1,325,470 Total derivatives in hedging relationships under ASC 815 74,017,512 461,048 1,325,470 Derivatives not designated as hedging instruments Interest rate swaps 78,711,213 89,001 85,819 Interest rate caps 800,000 — Mortgage delivery commitments 49,196 — Other (b) 1,078,000 34,427 1,817 Total derivatives not designated as hedging instruments 80,638,409 123,756 87,636 Total derivatives before netting and collateral adjustments $ 154,655,921 584,804 1,413,106 Netting adjustments (405,720) (405,720) Cash collateral and related accrued interest (123,255) (936,660) Total netting adjustments and cash collateral (528,975) (1,342,380) Total derivative assets and total derivative liabilities $ 55,829 $ 70,726 Security collateral pledged as initial margin to Derivative Clearing Organization (c) $ 635,775 Security collateral received from counterparty (c) (32,871) Net security 602,904 Net exposure $ 658,733 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 (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 members. (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 June 30, 2020 and December 31, 2019. |
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 Three months ended June 30, 2020 2019 Recorded in Recorded in Interest Interest Income/Expense Income/Expense Gains (losses) on derivatives in designated and qualifying fair value hedges: Interest rate hedges $ (80,987) $ (360,128) Gains (losses) on hedged item in designated and qualifying fair value hedges: Interest rate hedges $ 87,549 $ 359,340 Gains (Losses) on Fair Value Hedges Six months ended June 30, 2020 2019 Recorded in Recorded in Interest Interest Income/Expense Income/Expense Gains (losses) on derivatives in designated and qualifying fair value hedges: Interest rate hedges $ (1,313,783) $ (521,712) Gains (losses) on hedged item in designated and qualifying fair value hedges: Interest rate hedges $ 1,311,857 $ 519,612 |
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): June 30, 2020 Cumulative Fair Value Hedging Adjustment Included in the Carrying Amount of Hedged Items Gains (Losses) Carrying Amount Discontinued of Hedged Active Hedging Hedging Assets/Liabilities (a) Relationship Relationship Assets: Hedged advances $ 45,363,596 $ 1,786,414 $ — Hedged AFS debt securities (a) 618,434 70,431 — De-designated advances (b) — — $ 45,982,030 $ 1,856,845 $ Liabilities: Hedged consolidated obligation bonds $ 8,557,856 $ (620,391) $ — Hedged consolidated obligation discount notes 16,162,993 (3,911) — De-designated consolidated obligation bonds (b) — — (135,883) De-designated consolidated obligation discount notes (b) — — 89 $ 24,720,849 $ (624,302) $ (135,794) December 31, 2019 Cumulative Fair Value Hedging Adjustment Included in the Carrying Amount of Hedged Items Gains (Losses) Carrying Amount Discontinued of 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) (a) (b) par amounts of de-designated CO discount notes were approximately $1.7 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 Three months ended June 30, 2020 2019 Amounts Amounts Total Amounts Amounts Total Reclassified from Reclassified Amounts Change in Reclassified from Reclassified from Amounts Change in AOCI to from AOCI to Other Recorded OCI for AOCI to AOCI to Other Recorded in OCI for Interest Expense (b) Income (Loss) (c) in OCI (d) Period Interest Expense (b) Income (Loss) (c) OCI (d) Period Interest rate contracts (a) $ (348) $ — $ (6,128) $ (5,780) $ (116) $ — $ (69,786) $ (69,670) Derivative Gains (Losses) Recorded in Income and Other Comprehensive Income/Loss Six months ended June 30, 2020 2019 Amounts Amounts Total Amounts Amounts Total Reclassified from Reclassified from Amounts Change in Reclassified from Reclassified from Amounts Change in AOCI to AOCI to Other Recorded OCI for AOCI to AOCI to Other Recorded in OCI for Interest Expense (b) Income (Loss) (c) in OCI (d) Period Interest Expense (b) Income (Loss) (c) OCI (d) Period Interest rate contracts (a) $ (621) $ — $ (159,233) $ (158,612) $ (139) $ — $ (112,500) $ (112,361) (a) Amounts represent 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, $1.4 million of the unrecognized losses in AOCI will be recognized as yield adjustments to debt interest expense. (c) 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) Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Gains (losses) on derivatives designated in economic hedges Interest rate hedges $ (5,081) $ (39,497) $ (169,215) $ (51,632) Caps (84) 125 5 (217) Mortgage delivery commitments 1,244 303 1,119 500 Total gains (losses) on derivatives in economic hedges (a) $ (3,921) $ (39,069) $ (168,091) $ (51,349) (a) Valuation changes and accrued interest on the swaps (also referred to as swap interest settlement) on 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 reconcile to the line item – “Derivative gains (losses)” in Other income in the Statements of income. |
Fair Values of Financial Inst_2
Fair Values of Financial Instruments. (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
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 – Carrying values, the estimated fair values and the levels within the fair value hierarchy were as follows (in thousands): June 30, 2020 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 $ 44,308 $ 44,308 $ 44,308 $ — $ — $ — Interest-bearing deposits 925,000 925,001 — 925,001 — — Securities purchased under agreements to resell 4,950,000 4,949,997 — 4,949,997 — — Federal funds sold 5,355,000 5,354,999 — 5,354,999 — — Trading securities 12,923,831 12,923,831 12,921,673 2,158 — — Equity Investments 63,852 63,852 63,852 — — — Available-for-sale securities 2,874,107 2,874,107 — 2,874,107 — — Held-to-maturity securities 14,348,334 15,034,177 — 13,828,987 1,205,190 — Advances 113,788,556 113,792,086 — 113,792,086 — — Mortgage loans held-for-portfolio, net 3,164,709 3,278,261 — 3,278,261 — — Accrued interest receivable 225,556 225,556 — 225,556 — — Derivative assets 55,829 55,829 — 584,804 — (528,975) Other financial assets 358 358 — — — Liabilities Deposits 1,590,357 1,590,364 — 1,590,364 — — Consolidated obligations Bonds 59,032,487 59,934,238 — 59,934,238 — — Discount notes 89,499,893 89,514,606 — 89,514,606 — — Mandatorily redeemable capital stock 3,841 3,841 3,841 — — — Accrued interest payable 131,432 131,432 — 131,432 — — Derivative liabilities 70,726 70,726 — 1,413,106 — (1,342,380) Other financial liabilities 35,400 35,400 35,400 — — — 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 — — — 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): June 30, 2020 Netting Adjustment and Total Level 1 Level 2 Level 3 Cash Collateral Assets Trading securities Corporate notes $ 2,158 $ — $ 2,158 $ — $ — U.S. Treasury securities 12,921,673 12,921,673 — — — Equity Investments 63,852 63,852 — — — Available-for-sale securities GSE/U.S. agency issued MBS 2,874,107 — 2,874,107 — — Derivative assets (a) Interest-rate derivatives 55,555 — 584,530 — (528,975) Mortgage delivery commitments 274 — 274 — — Total recurring fair value measurement - Assets $ 15,917,619 $ 12,985,525 $ 3,461,069 $ — $ (528,975) Liabilities Consolidated obligation: Discount notes (to the extent FVO is elected) $ (20,159,341) $ — $ (20,159,341) $ — $ — Bonds (to the extent FVO is elected) (b) (1,302,385) — (1,302,385) — — Derivative liabilities (a) Interest-rate derivatives (70,726) — (1,413,106) — 1,342,380 Total recurring fair value measurement - Liabilities $ (21,532,452) $ — $ (22,874,832) $ — $ 1,342,380 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 (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 June 30, 2020 Fair Value Level 1 Level 2 Level 3 Real estate owned $ 135 $ — $ — $ 135 Total non-recurring assets at fair value $ 135 $ — $ — $ 135 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 |
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): Three months ended June 30, 2020 2019 2020 2019 Bonds Discount Notes Balance, beginning of the period $ (4,606,885) $ (7,367,064) $ (18,068,215) $ (994,773) New transactions elected for fair value option (500,000) 4,110,000 (4,271,624) 987,355 Maturities and terminations 3,775,000 — 2,182,845 — Net gains (losses) on financial instruments held under fair value option 6,190 (2,653) 4,374 293 Change in accrued interest/unaccreted balance 23,310 20,860 (6,721) 7,125 Balance, end of the period $ (1,302,385) $ (3,238,857) $ (20,159,341) $ — Six months ended June 30, 2020 2019 2020 2019 Bonds Discount Notes Balance, beginning of the period $ (12,134,043) $ (5,159,792) $ (2,186,603) $ (3,180,086) New transactions elected for fair value option (1,300,000) (3,220,000) (20,120,994) — Maturities and terminations 12,067,000 5,145,000 2,182,845 3,170,915 Net gains (losses) on financial instruments held under fair value option 2,132 (2,711) (13,522) (113) Change in accrued interest/unaccreted balance 62,526 (1,354) (21,067) 9,284 Balance, end of the period $ (1,302,385) $ (3,238,857) $ (20,159,341) $ — 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): Three months ended June 30, 2020 2019 Net Gains Fair Value Net Gains Fair Value (Losses) Due to Included in (Losses) Due Included in Interest Changes in Fair Current Interest to Changes in Current Period Expense Value Period Earnings Expense Fair Value Earnings Consolidated obligation bonds $ (8,312) $ 6,190 $ (2,122) $ (33,398) $ (2,653) $ (36,051) Consolidated obligation discount notes (21,808) 4,374 (17,434) (5,519) 293 (5,226) $ (30,120) $ 10,564 $ (19,556) $ (38,917) $ (2,360) $ (41,277) Six months ended June 30, 2020 2019 Net Gains Fair Value Net Gains Fair Value (Losses) Due to Included in (Losses) Due Included in Interest Changes in Fair Current Interest to Changes in Current Period Expense Value Period Earnings Expense Fair Value Earnings Consolidated obligation bonds $ (45,402) $ 2,132 $ (43,270) $ (66,879) $ (2,711) $ (69,590) Consolidated obligation discount notes (36,134) (13,522) (49,656) (22,800) (113) (22,913) $ (81,536) $ (11,390) $ (92,926) $ (89,679) $ (2,824) $ (92,503) 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 (a) (in thousands): June 30, 2020 Fair Value Over/(Under) Aggregate Unpaid Aggregate Fair Aggregate Unpaid Principal Balance Value Principal Balance Consolidated obligation bonds (b) $ 1,300,000 $ 1,302,385 $ 2,385 Consolidated obligation discount notes (c) 20,120,995 20,159,341 38,346 $ 21,420,995 $ 21,461,726 $ 40,731 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 June 30, 2019 Fair Value Over/(Under) Aggregate Unpaid Aggregate Fair Aggregate Unpaid Principal Balance Value Principal Balance Consolidated obligation bonds (b) $ 3,215,000 $ 3,238,857 $ 23,857 (a) Advances – No advances elected under the FVO were outstanding at June 30, 2020 and December 31, 2019. From time to time, the FHLBNY has elected the FVO for advances on an instrument by instrument basis with terms that were primarily short-and intermediate-term. (b) CO bonds – 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) | 6 Months Ended |
Jun. 30, 2020 | |
Commitments and Contingencies. | |
Summary of significant contractual obligations and contingencies | The following table summarizes contractual obligations and contingencies as of June 30, 2020 (in thousands): June 30, 2020 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) $ 37,081,435 $ 12,073,975 $ 2,867,025 $ 6,148,500 $ 58,170,935 Consolidated obligation discount notes at par 89,545,947 — — — 89,545,947 Mandatorily redeemable capital stock (a) 146 338 366 2,991 3,841 Premises (lease obligations) (b) 6,904 15,442 16,150 66,159 104,655 Remote backup site 670 1,224 542 — 2,436 Other liabilities (c) 69,524 10,594 8,563 70,114 158,795 Total contractual obligations 126,704,626 12,101,573 2,892,646 6,287,764 147,986,609 Other commitments Standby letters of credit (d) 20,728,398 169,001 6,598 — 20,903,997 Consolidated obligation bonds/discount notes traded not settled 6,189,000 — — — 6,189,000 Commitments to fund additional advances 200,000 — — — 200,000 Commitments to fund pension 10,000 — — — 10,000 Open delivery commitments (MPF) 49,196 — — — 49,196 Total other commitments 27,176,594 169,001 6,598 — 27,352,193 Total obligations and commitments $ 153,881,220 $ 12,270,574 $ 2,899,244 $ 6,287,764 $ 175,338,802 (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. While interest payments on CO bonds and discount notes are contractual obligations, they are deemed to be not material and, therefore, amounts were omitted from the table. (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): June 30, 2020 December 31, 2019 Operating Leases (a) Right-of-use assets $ 73,036 $ 75,464 Lease Liabilities $ 86,939 $ 89,365 Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Operating Lease Expense $ 1,940 $ 1,899 $ 3,880 $ 3,716 Operating cash flows - Cash Paid $ 1,982 $ 1,658 $ 3,878 $ 3,191 June 30, 2020 December 31, 2019 Weighted Average Discount Rate 3.29 % 3.29 % Weighted Average Remaining Lease Term 12.50 Years 12.98 Years |
Schedule of remaining maturities of leases liabilities | Remaining maturities through Operating lease liabilities June 30, 2020 December 31, 2019 Remainder of 2020 $ 4,008 $ 7,886 2021 8,107 8,107 2022 8,205 8,205 2023 8,575 8,575 2024 8,282 8,282 Thereafter 69,886 69,886 Total undiscounted lease payments 107,063 110,941 Imputed interest (20,124) (21,576) Total operating lease liabilities $ 86,939 $ 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. (Ta
Related Party Transactions. (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Related Party Transactions. | |
Schedule of significant balances and transactions with related parties | The following tables summarize significant balances and transactions with related parties at June 30, 2020 and December 31, 2019 and transactions for the three and six months ended June 30, 2020 and June 30, 2019 (in thousands): Related Party: Outstanding Assets, Liabilities and Capital June 30, 2020 December 31, 2019 Related Related Assets Advances $ 113,788,556 $ 100,695,241 Accrued interest receivable 119,801 181,792 Liabilities and capital Deposits $ 1,590,357 $ 1,194,409 Mandatorily redeemable capital stock 3,841 5,129 Accrued interest payable 170 140 Affordable Housing Program (a) 159,464 153,894 Other liabilities (b) 35,400 45,388 Capital $ 8,138,108 $ 7,531,895 (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 Three months ended June 30, Six months ended June 30, 2020 2019 2020 2019 Related Related Related Related Interest income Advances $ 326,230 $ 704,936 $ 790,795 $ 1,396,832 Interest-bearing deposits — 2 1 3 Loans to other FHLBanks — 104 33 154 Interest expense Deposits $ 146 $ 5,976 $ 3,374 $ 11,941 Mandatorily redeemable capital stock 56 108 135 208 Cash collateral held and other borrowings — — — 50 Service fees and other $ 4,622 $ 4,117 $ 9,322 $ 8,248 |
Segment Information and Conce_2
Segment Information and Concentration. (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Par Value of Advances | Credit concentration risk | |
Segment Information and Concentration | |
Schedule of concentrations | The top ten advance holders at June 30, 2020, December 31, 2019 and June 30, 2019 and associated interest income for the periods then ended are summarized as follows (dollars in thousands): June 30, 2020 Percentage of Par Total Par Value Three Months Six Months City State Advances of Advances Interest Income Percentage (a) Interest Income Percentage (a) Citibank, N.A. New York NY $ 26,450,000 23.62 % $ 99,454 33.02 % $ 206,533 31.78 % MetLife, Inc.: Metropolitan Life Insurance Company New York NY 15,245,000 13.61 52,741 17.51 126,712 19.49 Metropolitan Tower Life Insurance Company New York NY 955,000 0.85 633 0.21 633 0.10 Subtotal MetLife,Inc. 16,200,000 14.46 53,374 17.72 127,345 19.59 New York Community Bank (b) Westbury NY 13,552,661 12.10 58,381 19.38 123,458 18.99 Equitable Financial Life Insurance Company (c) New York NY 6,692,475 5.98 18,184 6.04 47,371 7.29 HSBC Bank USA, National Association New York NY 5,750,000 5.13 14,001 4.65 19,856 3.05 Investors Bank (b) Short Hills NJ 4,175,319 3.73 16,056 5.33 40,036 6.16 Signature Bank New York NY 3,884,245 3.47 14,643 4.86 36,450 5.61 Prudential Insurance Company of America Newark NY 3,564,325 3.18 9,343 3.10 13,083 2.01 Teachers Ins. & Annuity Assoc of America New York NJ 3,387,600 3.02 4,614 1.53 9,284 1.43 Valley National Bank (b) Wayne NJ 3,362,352 3.00 13,177 4.37 26,608 4.09 Total $ 87,018,977 77.69 % $ 301,227 100.00 % $ 650,024 100.00 % (a) Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members. (b) At June 30, 2020, an officer of this member bank also served on the Board of Directors of the FHLBNY. (c) AXA Equitable Life Insurance Company changed name to Equitable Financial Life Insurance Company in the second quarter of 2020. 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. June 30, 2019 Percentage of Par Total ParValue Three Months Six Months City State Advances of Advances Interest Income Percentage (a) Interest Income Percentage (a) Citibank, N.A. New York NY $ 23,150,000 22.69 % $ 172,617 34.49 % $ 306,535 31.77 % Metropolitan Life Insurance Company New York NY 14,245,000 13.96 97,123 19.41 192,359 19.94 New York Community Bank (b) Westbury NY 11,627,661 11.40 64,027 12.79 128,552 13.33 Investors Bank (b) Short Hills NJ 5,635,474 5.52 31,527 6.30 59,733 6.19 Signature Bank New York NY 5,362,364 5.26 35,219 7.04 68,317 7.08 AXA Equitable Life Insurance Company New York NY 3,990,415 3.91 25,004 5.00 49,947 5.18 Sterling National Bank Montebello NY 3,765,000 3.69 18,677 3.73 42,937 4.45 Valley National Bank (b) Wayne NJ 3,530,000 3.46 21,846 4.36 41,705 4.32 New York Life Insurance Company New York NY 3,000,000 2.94 20,974 4.19 42,967 4.45 HSBC Bank USA, National Association (c) New York NY 2,000,000 1.96 13,478 2.69 31,776 3.29 Total $ 76,305,914 74.79 % $ 500,492 100.00 % $ 964,828 100.00 % (a) Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members. (b) At June 30, 2019, an officer of this member bank also served on the Board of Directors of the FHLBNY. (c) Effective second quarter 2019, location changed from McLean, VA to New York, NY . |
Background, Tax Status. Asses_2
Background, Tax Status. Assessments. (Details) $ in Millions | 6 Months Ended |
Jun. 30, 2020USD ($)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% |
Critical Accounting Policies _4
Critical Accounting Policies and Estimates. - Allowance for Credit Losses and Retained Earnings (Details) - USD ($) $ in Thousands | Jan. 01, 2020 | Jun. 30, 2020 | Dec. 31, 2019 |
Recently Adopted Significant Accounting Policies | |||
Allowance for credit losses | $ 7,592 | $ 653 | |
Other commitments | |||
Recently Adopted Significant Accounting Policies | |||
Off balance sheet credit loss allowance | 0 | 0 | |
Held-to-maturity | |||
Recently Adopted Significant Accounting Policies | |||
Allowance for credit losses | 257 | ||
Pools of Mortgages | |||
Recently Adopted Significant Accounting Policies | |||
Allowance for credit losses | $ 2,972 | 6,534 | $ 653 |
Municipal securities | |||
Recently Adopted Significant Accounting Policies | |||
Allowance for credit losses | $ 801 | ||
ASU 2016-13 | |||
Recently Adopted Significant Accounting Policies | |||
Allowance for credit losses | 3,773 | ||
Decrease in retained earnings | 3,773 | ||
ASU 2016-13 | Pools of Mortgages | |||
Recently Adopted Significant Accounting Policies | |||
Allowance for credit losses | 2,972 | ||
ASU 2016-13 | Municipal securities | |||
Recently Adopted Significant Accounting Policies | |||
Allowance for credit losses | 801 | ||
Restatement adjustment | ASU 2016-13 | |||
Recently Adopted Significant Accounting Policies | |||
Allowance for credit losses | 3,773 | ||
Decrease in retained earnings | 3,773 | ||
Restatement adjustment | ASU 2016-13 | Pools of Mortgages | |||
Recently Adopted Significant Accounting Policies | |||
Allowance for credit losses | 2,972 | ||
Restatement adjustment | ASU 2016-13 | Municipal securities | |||
Recently Adopted Significant Accounting Policies | |||
Allowance for credit losses | $ 801 |
Cash and Due from Banks. (Detai
Cash and Due from Banks. (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Compensating Balances | ||
Amount of compensating balance restricted as to withdrawal | $ 0 | $ 0 |
Restricted cash | 0 | 0 |
Pass-through Deposit Reserves | ||
Pass-through reserves of member institutions deposited with Federal Reserve Banks | $ 35,400 | $ 45,400 |
Interest-bearing Deposits, Fe_2
Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell. (Details) - USD ($) | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | Dec. 31, 2019 | |
Securities purchased under agreements to resell | |||||
Federal funds sold | $ 5,355,000,000 | $ 5,355,000,000 | $ 8,640,000,000 | ||
Allowance for credit losses | 7,592,000 | 7,592,000 | 653,000 | ||
Interest-bearing deposits | 925,000,000 | 925,000,000 | |||
Accrued interest receivable | 225,556,000 | 225,556,000 | 312,559,000 | ||
Securities purchased under agreements to resell balances outstanding | 4,950,000,000 | 4,950,000,000 | 14,985,000,000 | ||
Average transaction balances of securities purchased under agreements to resell | 2,200,000,000 | 4,700,000,000 | 8,300,000,000 | ||
Interest income from securities purchased under agreements to resell | 350,000 | $ 52,320,000 | 26,700,000 | $ 82,242,000 | |
Interest-bearing deposits | |||||
Securities purchased under agreements to resell | |||||
Allowance for credit losses | 0 | 0 | 0 | ||
Allowance for credit losses for accrued interest receivable | 0 | 0 | |||
Interest-bearing deposits | 900,000,000 | 900,000,000 | |||
Accrued interest receivable | 3,900 | 3,900 | |||
Federal funds sold | |||||
Securities purchased under agreements to resell | |||||
Federal funds sold | 5,400,000,000 | 5,400,000,000 | 8,600,000,000 | ||
Allowance for credit losses | 0 | 0 | 0 | ||
Allowance for credit losses for accrued interest receivable | 0 | 0 | 0 | ||
Accrued interest receivable | 13,600 | 13,600 | 400,000 | ||
Securities purchased under agreements to resell | |||||
Securities purchased under agreements to resell | |||||
Allowance for credit losses | 0 | 0 | 0 | ||
Allowance for credit losses for accrued interest receivable | 0 | 0 | 0 | ||
Accrued interest receivable | 10,800 | 10,800 | 600,000 | ||
Adjustments for instrument-specific credit risk | 0 | 0 | 0 | ||
Securities purchased under agreements to resell balances outstanding | 5,000,000,000 | 5,000,000,000 | 15,000,000,000 | ||
BONY | U.S. Treasury securities | Pledged as collateral | |||||
Securities purchased under agreements to resell | |||||
Securities purchased under agreements to resell pledged as collateral | 5,000,000,000 | 5,000,000,000 | $ 15,200,000,000 | ||
Bilateral counterparties | |||||
Securities purchased under agreements to resell | |||||
Securities purchased under agreements to resell balances outstanding | $ 0 | $ 0 | $ 0 | $ 0 |
Trading Securities. (Details)
Trading Securities. (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020 | Dec. 31, 2019 | |
Trading Securities. | ||
Trading securities | $ 12,923,831 | $ 15,318,809 |
Net unrealized fair value gains (losses) included in carrying values of trading securities | 170,600 | 53,100 |
Trading securities pledged as collateral | 635,775 | 251,177 |
Estimated fair value of investments classified as trading securities, by remaining maturity | ||
Due in one year or less | 8,427,789 | 6,177,821 |
Due after one year through five years | 4,496,042 | 9,140,988 |
Total trading securities | $ 12,923,831 | $ 15,318,809 |
Yield on trading securities due in one year or less (as a percent) | 1.74% | 2.36% |
Yield on trading securities due after one year through five fair years (as a percent) | 1.88% | 2.36% |
Corporate notes | ||
Trading Securities. | ||
Trading securities | $ 2,158 | $ 3,217 |
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 | 2,158 | 2,348 |
Total trading securities | 2,158 | 3,217 |
U.S. Treasury notes | ||
Trading Securities. | ||
Trading securities | 11,172,698 | 15,315,592 |
Estimated fair value of investments classified as trading securities, by remaining maturity | ||
Due in one year or less | 6,678,814 | 6,176,952 |
Due after one year through five years | 4,493,884 | 9,138,640 |
Total trading securities | 11,172,698 | $ 15,315,592 |
U.S. Treasury bills | ||
Trading Securities. | ||
Trading securities | 1,748,975 | |
Estimated fair value of investments classified as trading securities, by remaining maturity | ||
Due in one year or less | 1,748,975 | |
Total trading securities | $ 1,748,975 |
Equity Investments. (Details)
Equity Investments. (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | Dec. 31, 2019 | |
Equity Investments | |||||
Amortized Cost | $ 57,053 | $ 57,053 | $ 52,076 | ||
Gross Unrealized Gains | 9,501 | 8,724 | |||
Gross Unrealized Losses | (2,702) | (753) | |||
Fair Value | 63,852 | 63,852 | 60,047 | ||
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 | 7,111 | $ 1,667 | (1,172) | $ 5,877 | |
Net dividend and other | 217 | 259 | 450 | 487 | |
Net gains (losses) recognized during the period | 7,328 | $ 1,926 | (722) | $ 6,364 | |
Cash equivalents | |||||
Equity Investments | |||||
Amortized Cost | 5,487 | 5,487 | 1,322 | ||
Fair Value | 5,487 | 5,487 | 1,322 | ||
Equity funds | |||||
Equity Investments | |||||
Amortized Cost | 28,985 | 28,985 | 28,650 | ||
Gross Unrealized Gains | 8,256 | 8,312 | |||
Gross Unrealized Losses | (2,608) | (623) | |||
Fair Value | 34,633 | 34,633 | 36,339 | ||
Fixed income funds | |||||
Equity Investments | |||||
Amortized Cost | 22,581 | 22,581 | 22,104 | ||
Gross Unrealized Gains | 1,245 | 412 | |||
Gross Unrealized Losses | (94) | (130) | |||
Fair Value | $ 23,732 | $ 23,732 | $ 22,386 |
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 | 3 Months Ended | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | Jan. 01, 2020 | |
Available-for-Sale Securities | ||||
Net unrealized fair value losses included in carrying values of Trading securities | $ (170,600) | $ (53,100) | ||
Impaired AFS securities | $ 0 | 0 | 0 | |
Fair Value | 2,874,107 | 2,874,107 | 2,653,418 | |
Allowance for credit loss | 0 | 0 | 0 | |
Accrued interest receivable | 6,000 | 6,000 | 6,100 | |
Allowance for credit losses recorded | 0 | 0 | ||
Available-for-Sale securities | ||||
Available-for-Sale Securities | ||||
Allowance for credit loss | 0 | 0 | ||
Mortgage-backed securities (MBS) | ||||
Available-for-Sale Securities | ||||
Amortized Cost | 2,665,558 | 2,665,558 | 2,567,143 | |
Fair Value | 2,874,107 | 2,874,107 | 2,653,418 | |
GSE and U.S. Obligations | ||||
Available-for-Sale Securities | ||||
Amortized Cost | 2,665,558 | 2,665,558 | 2,567,143 | |
Gross Unrealized Gains | 208,552 | 208,552 | 86,772 | |
Gross Unrealized Losses | (3) | (3) | (497) | |
Fair Value | 2,874,107 | 2,874,107 | 2,653,418 | |
GSE and U.S. Obligations | Active Hedging Relationship | ||||
Available-for-Sale Securities | ||||
Amortized Cost | 70,431 | 70,431 | 11,593 | |
Gross Unrealized Gains | 70,431 | 70,431 | 14,925 | |
Gross Unrealized Losses | (3,332) | |||
GSE and U.S. Obligations | Floating | ||||
Available-for-Sale Securities | ||||
Amortized Cost | 311,165 | 311,165 | 341,958 | |
Gross Unrealized Gains | 2,657 | 2,657 | 2,165 | |
Gross Unrealized Losses | (3) | (3) | (74) | |
Fair Value | 313,819 | 313,819 | 344,049 | |
GSE and U.S. Obligations | Fixed | ||||
Available-for-Sale Securities | ||||
Amortized Cost | 2,283,962 | 2,283,962 | 2,213,592 | |
Gross Unrealized Gains | 276,326 | 276,326 | 99,532 | |
Gross Unrealized Losses | (3,755) | |||
Fair Value | 2,560,288 | 2,560,288 | 2,309,369 | |
GSE and U.S. Obligations | CMOs | Floating | ||||
Available-for-Sale Securities | ||||
Amortized Cost | 310,854 | 310,854 | 339,419 | |
Gross Unrealized Gains | 2,657 | 2,657 | 2,164 | |
Gross Unrealized Losses | (3) | (3) | (74) | |
Fair Value | 313,508 | 313,508 | 341,509 | |
GSE and U.S. Obligations | Commercial Mortgage-Backed Securities (CMBS) | Floating | ||||
Available-for-Sale Securities | ||||
Amortized Cost | 311 | 311 | 2,539 | |
Gross Unrealized Gains | 1 | |||
Fair Value | 311 | 311 | 2,540 | |
GSE and U.S. Obligations | Commercial Mortgage-Backed Securities (CMBS) | Fixed | ||||
Available-for-Sale Securities | ||||
Amortized Cost | 2,354,393 | 2,354,393 | 2,225,185 | |
Fair Value | 2,560,288 | 2,560,288 | 2,309,369 | |
GSE and U.S. Obligations | Commercial Mortgage Backed Securities (CMBS) Before Hedging Adjustments | Fixed | ||||
Available-for-Sale Securities | ||||
Amortized Cost | 2,283,962 | 2,283,962 | 2,213,592 | |
Gross Unrealized Gains | 276,326 | 276,326 | 99,532 | |
Gross Unrealized Losses | (3,755) | |||
Fair Value | 2,560,288 | 2,560,288 | 2,309,369 | |
GSE and U.S. Obligations | Mortgage-backed securities (MBS) | ||||
Available-for-Sale Securities | ||||
Amortized Cost | 2,665,558 | 2,665,558 | 2,567,143 | |
Fair Value | 2,874,107 | 2,874,107 | 2,653,418 | |
GSE and U.S. Obligations | AFS before hedging adjustments | ||||
Available-for-Sale Securities | ||||
Amortized Cost | 2,595,127 | 2,595,127 | 2,555,550 | |
Gross Unrealized Gains | 278,983 | 278,983 | 101,697 | |
Gross Unrealized Losses | (3) | (3) | (3,829) | |
Fair Value | $ 2,874,107 | $ 2,874,107 | $ 2,653,418 | |
ASU 2017-12 | Available-for-Sale securities | ||||
Available-for-Sale Securities | ||||
Allowance for credit loss | $ 0 |
Available-for-Sale Securities_3
Available-for-Sale Securities. - Impairment Analysis of AFS Securities (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Mortgage-backed securities (MBS) | ||
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | $ 5,562 | $ 168,579 |
Total, Estimated Fair Value | 5,562 | 168,579 |
Unrealized Losses | ||
Less than 12 months, Unrealized Losses | (3) | (497) |
Total, Unrealized Losses | (3) | (497) |
MBS-GSE | ||
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | 5,562 | 168,579 |
Total, Estimated Fair Value | 5,562 | 168,579 |
Unrealized Losses | ||
Less than 12 months, Unrealized Losses | (3) | (497) |
Total, Unrealized Losses | (3) | (497) |
Fannie Mae-CMO | ||
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | 4,409 | 32,012 |
Total, Estimated Fair Value | 4,409 | 32,012 |
Unrealized Losses | ||
Less than 12 months, Unrealized Losses | (3) | (65) |
Total, Unrealized Losses | (3) | (65) |
Fannie Mae-CMBS | ||
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | 311 | |
Total, Estimated Fair Value | 311 | |
Freddie Mac-CMO | ||
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | 842 | 7,071 |
Total, Estimated Fair Value | $ 842 | 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 | 3 Months Ended | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | |
Fair Value | |||
Fair Value | $ 2,874,107 | $ 2,874,107 | $ 2,653,418 |
OTTI AFS security | 0 | 0 | 0 |
Net unamortized premiums | 29,500 | 29,500 | 30,400 |
Mortgage-backed securities (MBS) | |||
Amortized Cost | |||
Due in one year of less | 311 | 311 | 2,539 |
Due after one year through five years | 243,223 | 243,223 | |
Due after five year through ten years | 2,071,428 | 2,071,428 | 2,189,350 |
Due after ten years | 350,596 | 350,596 | 375,254 |
Amortized Cost | 2,665,558 | 2,665,558 | 2,567,143 |
Fair Value | |||
Due in one year of less | 311 | 311 | 2,540 |
Due after one year through five years | 263,114 | 263,114 | |
Due after five year through ten years | 2,257,326 | 2,257,326 | 2,273,352 |
Due after ten years | 353,356 | 353,356 | 377,526 |
Fair Value | $ 2,874,107 | $ 2,874,107 | $ 2,653,418 |
Available-for-Sale Securities_5
Available-for-Sale Securities. - Interest Rate Payment Terms (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Summary of available-for-sale securities by interest rate payment terms | ||
Fair Value | $ 2,874,107 | $ 2,653,418 |
Mortgage-backed securities (MBS) | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 2,665,558 | 2,567,143 |
Fair Value | 2,874,107 | 2,653,418 |
GSE and U.S. Obligations | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 2,665,558 | 2,567,143 |
Fair Value | 2,874,107 | 2,653,418 |
GSE and U.S. Obligations | Floating | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 311,165 | 341,958 |
Fair Value | 313,819 | 344,049 |
GSE and U.S. Obligations | Fixed | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 2,283,962 | 2,213,592 |
Fair Value | 2,560,288 | 2,309,369 |
GSE and U.S. Obligations | CMOs | Floating | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 310,854 | 339,419 |
Fair Value | 313,508 | 341,509 |
GSE and U.S. Obligations | Commercial Mortgage-Backed Securities (CMBS) | Floating | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 311 | 2,539 |
Fair Value | 311 | 2,540 |
GSE and U.S. Obligations | Commercial Mortgage-Backed Securities (CMBS) | Fixed | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 2,354,393 | 2,225,185 |
Fair Value | 2,560,288 | 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 | 2,665,558 | 2,567,143 |
Fair Value | $ 2,874,107 | $ 2,653,418 |
Held-to-Maturity Securities. -
Held-to-Maturity Securities. - Amortized Cost to Fair Value by Major Security Types and Securities Pledged (Details) $ in Thousands | Jun. 30, 2020USD ($)position | Jan. 01, 2020USD ($) | Dec. 31, 2019USD ($)position | Jun. 30, 2019USD ($) |
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | $ 14,355,105 | $ 15,242,053 | ||
Allowance for Credit Loss (ACL) | (257) | |||
OTTI Recognized in AOCI | (6,514) | (7,571) | ||
Net Carrying Value | 14,348,334 | 15,234,482 | ||
Gross Unrecognized Holding Gains | 723,967 | 271,122 | ||
Gross Unrecognized Holding Losses | (38,124) | (48,998) | ||
Fair Value | 15,034,177 | 15,456,606 | ||
Credit loss allowance | 1,058 | |||
Accrued interest receivable | 225,556 | 312,559 | ||
Pools of Mortgages | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 65,792 | 73,516 | ||
Net Carrying Value | 65,792 | 73,516 | ||
Gross Unrecognized Holding Gains | 8,643 | 7,390 | ||
Fair Value | 74,435 | 80,906 | ||
Accrued interest receivable | 16,300 | 15,500 | ||
Asset-Backed Securities | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 103,282 | 113,126 | ||
OTTI Recognized in AOCI | (6,202) | (7,240) | ||
Net Carrying Value | 97,080 | 105,886 | ||
Gross Unrecognized Holding Gains | 19,303 | 23,296 | ||
Gross Unrecognized Holding Losses | (413) | (146) | ||
Fair Value | 115,970 | 129,036 | ||
Mortgage-backed securities (MBS) | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 13,247,061 | 14,119,738 | ||
Allowance for Credit Loss (ACL) | (257) | |||
OTTI Recognized in AOCI | (6,514) | (7,571) | ||
Net Carrying Value | 13,240,290 | 14,112,167 | ||
Gross Unrecognized Holding Gains | 723,790 | 270,722 | ||
Gross Unrecognized Holding Losses | (15,529) | (25,788) | ||
Fair Value | 13,948,551 | 14,357,101 | ||
Amortized cost of pledged MBS in connection with deposits maintained by the FDIC at the Bank | 3,200 | 3,700 | ||
State and local housing finance agency obligations | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 1,108,044 | 1,122,315 | ||
Net Carrying Value | 1,108,044 | 1,122,315 | ||
Gross Unrecognized Holding Gains | 177 | 400 | ||
Gross Unrecognized Holding Losses | (22,595) | (23,210) | ||
Fair Value | 1,085,626 | 1,099,505 | ||
Unrealized Losses | (22,600) | (23,200) | ||
Credit loss allowance | 800 | |||
Allowance for credit losses for accrued interest receivable | 0 | 0 | ||
Accrued interest receivable | $ 2,100 | $ 4,500 | ||
Number of investment positions in an unrealized loss position | position | 15 | 12 | ||
Other | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | $ 1,108,044 | |||
Net Carrying Value | 1,108,044 | |||
Gross Unrecognized Holding Gains | 177 | |||
Gross Unrecognized Holding Losses | (22,595) | |||
Fair Value | 1,085,626 | |||
Private-label MBS | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 4,010 | $ 4,451 | ||
Allowance for Credit Loss (ACL) | (257) | |||
OTTI Recognized in AOCI | (312) | (331) | ||
Net Carrying Value | 3,441 | 4,120 | ||
Gross Unrecognized Holding Gains | 239 | 56 | ||
Gross Unrecognized Holding Losses | (86) | (30) | ||
Fair Value | 3,594 | $ 4,146 | ||
Credit loss allowance | $ 0 | $ 400 | ||
Investments in PLMBS were less than 1% of our investments in MBS | 1.00% | |||
Number of investment positions in an unrealized loss position | position | 12 | 8 | ||
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 | $ 4,010 | $ 4,451 | ||
Allowance for Credit Loss (ACL) | (257) | |||
OTTI Recognized in AOCI | (312) | (331) | ||
Net Carrying Value | 3,441 | 4,120 | ||
Gross Unrecognized Holding Gains | 239 | 56 | ||
Gross Unrecognized Holding Losses | (86) | (30) | ||
Fair Value | $ 3,594 | $ 4,146 | ||
GSE | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Number of investment positions in an unrealized loss position | position | 67 | 120 | ||
GSE | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | $ 1,968,881 | $ 2,291,120 | ||
Net Carrying Value | 1,968,881 | 2,291,120 | ||
Gross Unrecognized Holding Gains | 14,113 | 7,265 | ||
Gross Unrecognized Holding Losses | (3,501) | (5,656) | ||
Fair Value | 1,979,493 | 2,292,729 | ||
GSE | Commercial Mortgage-Backed Securities (CMBS) | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 11,105,096 | 11,637,525 | ||
Net Carrying Value | 11,105,096 | 11,637,525 | ||
Gross Unrecognized Holding Gains | 681,492 | 232,715 | ||
Gross Unrecognized Holding Losses | (11,529) | (19,956) | ||
Fair Value | 11,775,059 | 11,850,284 | ||
Fannie Mae | Pools of Mortgages | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 55,122 | 61,990 | ||
Net Carrying Value | 55,122 | 61,990 | ||
Gross Unrecognized Holding Gains | 7,324 | 6,255 | ||
Fair Value | 62,446 | 68,245 | ||
Fannie Mae | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 1,203,111 | 1,403,787 | ||
Net Carrying Value | 1,203,111 | 1,403,787 | ||
Gross Unrecognized Holding Gains | 9,584 | 4,281 | ||
Gross Unrecognized Holding Losses | (2,197) | (3,130) | ||
Fair Value | 1,210,498 | 1,404,938 | ||
Fannie Mae | Commercial Mortgage-Backed Securities (CMBS) | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 1,690,448 | 1,822,310 | ||
Net Carrying Value | 1,690,448 | 1,822,310 | ||
Gross Unrecognized Holding Gains | 51,403 | 16,796 | ||
Gross Unrecognized Holding Losses | (1,890) | (1,372) | ||
Fair Value | 1,739,961 | 1,837,734 | ||
Freddie Mac | Pools of Mortgages | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 10,670 | 11,526 | ||
Net Carrying Value | 10,670 | 11,526 | ||
Gross Unrecognized Holding Gains | 1,319 | 1,135 | ||
Fair Value | 11,989 | 12,661 | ||
Freddie Mac | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 757,604 | 878,068 | ||
Net Carrying Value | 757,604 | 878,068 | ||
Gross Unrecognized Holding Gains | 4,412 | 2,871 | ||
Gross Unrecognized Holding Losses | (1,304) | (2,526) | ||
Fair Value | 760,712 | 878,413 | ||
Freddie Mac | Commercial Mortgage-Backed Securities (CMBS) | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 9,414,648 | 9,815,215 | ||
Net Carrying Value | 9,414,648 | 9,815,215 | ||
Gross Unrecognized Holding Gains | 630,089 | 215,919 | ||
Gross Unrecognized Holding Losses | (9,639) | (18,584) | ||
Fair Value | 10,035,098 | 10,012,550 | ||
Ginnie Mae-CMOs | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 8,166 | 9,265 | ||
Net Carrying Value | 8,166 | 9,265 | ||
Gross Unrecognized Holding Gains | 117 | 113 | ||
Fair Value | 8,283 | 9,378 | ||
Insured | Manufactured housing loans | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 26,209 | 28,618 | ||
Net Carrying Value | 26,209 | 28,618 | ||
Gross Unrecognized Holding Gains | 877 | 1,175 | ||
Fair Value | 27,086 | 29,793 | ||
Insured | Home equity loans | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 56,958 | 61,186 | ||
OTTI Recognized in AOCI | (3,672) | (4,062) | ||
Net Carrying Value | 53,286 | 57,124 | ||
Gross Unrecognized Holding Gains | 15,599 | 17,912 | ||
Gross Unrecognized Holding Losses | (40) | |||
Fair Value | 68,845 | 75,036 | ||
Uninsured | Home equity loans | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 20,115 | 23,322 | ||
OTTI Recognized in AOCI | (2,530) | (3,178) | ||
Net Carrying Value | 17,585 | 20,144 | ||
Gross Unrecognized Holding Gains | 2,827 | 4,209 | ||
Gross Unrecognized Holding Losses | (373) | (146) | ||
Fair Value | $ 20,039 | $ 24,207 | ||
ASU 2016-13 | State and local housing finance agency obligations | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Credit loss allowance | $ 800 | |||
ASU 2016-13 | Total Retained Earnings | State and local housing finance agency obligations | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Credit loss allowance | $ 800 |
Held-to-Maturity Securities. _2
Held-to-Maturity Securities. - Redemption Terms (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Amortized Cost | ||
Amortized Cost | $ 14,355,105 | $ 15,242,053 |
Estimated Fair Value | ||
Fair Value | 15,034,177 | 15,456,606 |
Net unamortized premiums | 66,100 | 72,500 |
State and local housing finance agency obligations | ||
Amortized Cost | ||
Due after one year through five years | 10,648 | 9,770 |
Due after five years through ten years | 25,100 | 36,810 |
Due after ten years | 1,072,296 | 1,075,735 |
Amortized Cost | 1,108,044 | 1,122,315 |
Estimated Fair Value | ||
Due after one year through five years | 10,646 | 9,781 |
Due after five years through ten years | 24,933 | 36,250 |
Due after ten years | 1,050,047 | 1,053,474 |
Fair Value | 1,085,626 | 1,099,505 |
Mortgage-backed securities (MBS) | ||
Amortized Cost | ||
Due in one year or less | 1,050,689 | 613,863 |
Due after one year through five years | 3,415,357 | 4,102,650 |
Due after five years through ten years | 6,394,678 | 6,648,746 |
Due after ten years | 2,386,337 | 2,754,479 |
Amortized Cost | 13,247,061 | 14,119,738 |
Estimated Fair Value | ||
Due in one year or less | 1,061,967 | 619,948 |
Due after one year through five years | 3,535,726 | 4,142,443 |
Due after five years through ten years | 6,912,305 | 6,815,921 |
Due after ten years | 2,438,553 | 2,778,789 |
Fair Value | $ 13,948,551 | $ 14,357,101 |
Advances. - Redemption Terms (D
Advances. - Redemption Terms (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Mar. 31, 2020 | Jan. 01, 2020 | Dec. 31, 2019 |
Amount | ||||
Due in one year or less | $ 64,701,355 | $ 69,206,283 | ||
Due after one year through two years | 19,059,688 | 8,727,277 | ||
Due after two years through three years | 7,412,850 | 6,214,853 | ||
Due after three years through four years | 2,899,637 | 3,032,507 | ||
Due after four years through five years | 5,468,615 | 2,709,805 | ||
Thereafter | 12,459,414 | 10,505,353 | ||
Total par value | 112,001,559 | 100,396,078 | ||
Hedge valuation basis adjustments | 1,786,997 | 299,163 | ||
Total | $ 113,788,556 | $ 136,200,000 | $ 100,695,241 | |
Weighted Average Yield | ||||
Due in one year or less (as a percent) | 0.75% | 1.99% | ||
Due after one year through two years (as a percent) | 1.51% | 2.16% | ||
Due after two years through three years (as a percent) | 1.86% | 2.32% | ||
Due after three years through four years (as a percent) | 2.35% | 2.68% | ||
Due after four years through five years (as a percent) | 1.54% | 2.02% | ||
Thereafter (as a percent) | 1.99% | 2.13% | ||
Total par value (as a percent) | 1.17% | 2.06% | ||
Percentage of Total | ||||
Due in one year or less (as a percent) | 57.77% | 68.93% | ||
Due after one year through two years (as a percent) | 17.02% | 8.69% | ||
Due after two years through three years (as a percent) | 6.62% | 6.19% | ||
Due after three years through four years (as a percent) | 2.59% | 3.02% | ||
Due after four years through five years (as a percent) | 4.88% | 2.70% | ||
Thereafter (as a percent) | 11.12% | 10.47% | ||
Total par value (as a percent) | 100.00% | 100.00% | ||
Credit loss allowance | $ 7,592 | $ 653 | ||
Accrued interest receivable | 225,556 | 312,559 | ||
Advances to member banks | ||||
Percentage of Total | ||||
Credit loss allowance | $ 0 | 0 | ||
Allowance for credit losses for accrued interest receivable | 0 | 0 | ||
Accrued interest receivable | $ 119,800 | $ 181,800 |
Advances. - Credit Risk, Concen
Advances. - Credit Risk, Concentration of Advances Outstanding and Security Terms (Details) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2020USD ($)Institutionitem | Jun. 30, 2019Institution | Dec. 31, 2019USD ($)Institution | |
Segment Information and Concentration | |||
Past due advances | $ 0 | $ 0 | |
Advances on non-accrual status | 0 | 0 | |
Impaired advances | 0 | 0 | |
Troubled debt restructurings related to advances | 0 | 0 | |
Allowance for credit losses on 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 | 77.69% | 74.79% | 75.53% |
Par Value of Advances | Credit concentration risk | Insurance companies | |||
Segment Information and Concentration | |||
Concentration risk percentage | 30.70% | 24.90% |
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 | 3 Months Ended | 6 Months Ended | |||||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jan. 01, 2020 | Dec. 31, 2019 | |
Mortgage Loans Held-for-Portfolio, Net. | |||||||
Allowance for credit losses | $ (6,534) | $ (6,534) | $ (6,534) | $ (653) | |||
Total mortgage loans held-for-portfolio at carrying value | $ 3,164,709 | 3,173,352 | |||||
First layer of potential credit losses (as a percent) | 1.00% | ||||||
First Loss Account | $ 42,500 | 40,200 | |||||
Credit enhancement fees accrued | 700 | $ 600 | 1,400 | $ 1,200 | |||
Credit loss allowance | 7,592 | 653 | |||||
Mortgage loan portfolio, history of incurred losses, maximum accumulation | 4,000 | ||||||
Accrued interest receivable | 225,556 | 312,559 | |||||
Allowance for credit losses: | |||||||
Beginning balance | 653 | ||||||
Provision (Reversal) for credit losses | 3,030 | (275) | 3,166 | (292) | |||
Ending balance | 6,534 | 6,534 | |||||
Total Allowance for credit losses | 6,534 | 6,534 | $ 6,534 | 653 | |||
ASU 2016-13 | |||||||
Mortgage Loans Held-for-Portfolio, Net. | |||||||
Credit loss allowance | $ 3,773 | ||||||
ASU 2016-13 | Restatement adjustment | |||||||
Mortgage Loans Held-for-Portfolio, Net. | |||||||
Credit loss allowance | 3,773 | ||||||
Minimum | |||||||
Mortgage Loans Held-for-Portfolio, Net. | |||||||
Loan-to-value ratio for next layer of protection from the primary mortgage insurance required for loans (as a percent) | 80.00% | ||||||
Pools of Mortgages | |||||||
Mortgage Loans Held-for-Portfolio, Net. | |||||||
Credit loss allowance | $ 6,534 | 2,972 | 653 | ||||
Accrued interest receivable | 16,300 | 15,500 | |||||
Pools of Mortgages | ASU 2016-13 | |||||||
Mortgage Loans Held-for-Portfolio, Net. | |||||||
Credit loss allowance | 2,972 | ||||||
Pools of Mortgages | ASU 2016-13 | Restatement adjustment | |||||||
Mortgage Loans Held-for-Portfolio, Net. | |||||||
Credit loss allowance | $ 2,972 | ||||||
Mortgage loans receivable (MPF) | |||||||
Mortgage Loans Held-for-Portfolio, Net. | |||||||
Total par value | 3,124,486 | 3,127,744 | |||||
Unamortized premiums | 46,039 | 46,442 | |||||
Unamortized discounts | (1,424) | (1,562) | |||||
Basis adjustment | 2,142 | 1,381 | |||||
Total mortgage loans held-for-portfolio | 3,171,243 | 3,174,005 | |||||
Allowance for credit losses | (6,534) | (6,534) | (6,534) | (653) | |||
Total mortgage loans held-for-portfolio at carrying value | $ 3,164,709 | $ 3,173,352 | |||||
Percentage of Total Par (as a percent) | 100.00% | 100.00% | |||||
Allowance for credit losses: | |||||||
Beginning balance | 653 | ||||||
Ending balance | 6,534 | 6,534 | |||||
Total Allowance for credit losses | 6,534 | 6,534 | $ 6,534 | $ 653 | |||
Fixed medium-term mortgages | Single-family | |||||||
Mortgage Loans Held-for-Portfolio, Net. | |||||||
Total par value | $ 174,468 | $ 174,291 | |||||
Percentage of Total Par (as a percent) | 5.58% | 5.57% | |||||
Fixed long-term mortgages | Single-family | |||||||
Mortgage Loans Held-for-Portfolio, Net. | |||||||
Total par value | $ 2,950,018 | $ 2,953,453 | |||||
Percentage of Total Par (as a percent) | 94.42% | 94.43% | |||||
Conventional MPF Loans | |||||||
Mortgage Loans Held-for-Portfolio, Net. | |||||||
Allowance for credit losses | (6,534) | (522) | (6,534) | (522) | $ (6,534) | $ (653) | |
Allowance for credit losses: | |||||||
Beginning balance | 3,504 | 797 | 653 | 814 | |||
Adjustment for cumulative effect of accounting change | 2,972 | ||||||
Provision (Reversal) for credit losses | 3,030 | (275) | 2,909 | (292) | |||
Ending balance | 6,534 | 522 | 6,534 | 522 | |||
Ending balance, individually evaluated for impairment | 6,534 | 160 | |||||
Ending balance, collectively evaluated for impairment | 493 | ||||||
Total Allowance for credit losses | $ 6,534 | $ 522 | $ 6,534 | $ 522 | $ 6,534 | $ 653 |
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 | 3 Months Ended | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | |
Mortgage Loans - Non-performing loans | |||
Total Mortgage loans, carrying values net of allowance for credit losses | $ 3,164,709 | $ 3,164,709 | $ 3,173,352 |
Delinquency period | 180 days | 180 days | |
Credit loss allowance | 7,592 | $ 7,592 | $ 653 |
Unpaid Principal Balance for Impaired Loans | |||
Total unpaid principal balance for impaired loans | 3,124,486 | 3,124,486 | 3,127,744 |
Conventional MPF Loans | |||
Mortgage Loans - Non-performing loans | |||
Non-performing mortgage loans | 10,574 | 10,574 | 6,899 |
Unpaid Principal Balance for Impaired Loans | |||
Total unpaid principal balance for impaired loans | 2,913,855 | 2,913,855 | 2,910,744 |
Conventional MPF Loans | Individually measured for impairment | |||
Unpaid Principal Balance for Impaired Loans | |||
Unpaid principal balance with no related allowance | 1,904,813 | 1,904,813 | 9,025 |
Unpaid principal balance with a related allowance | 1,009,042 | 1,009,042 | 2,901,719 |
Total unpaid principal balance for impaired loans | 2,913,855 | 2,913,855 | 2,910,744 |
Related Allowance for Impaired Loans | |||
Allowance for loan losses for impaired loans | 6,534 | 6,534 | 653 |
Amortized cost after allowance for Impaired Loans | |||
Amortized cost after allowance with no related allowance | 1,932,105 | 1,932,105 | 9,061 |
Amortized cost after allowance with a related allowance | 1,018,161 | 1,018,161 | 2,958,205 |
Total amortized cost after allowance for impaired loans | 2,950,266 | 2,950,266 | 2,967,266 |
Average amortized cost after allowance for Impaired Loans | |||
Average amortized cost after allowance with no related allowance | 1,941,883 | 1,942,423 | 10,169 |
Average amortized cost after allowance with a related allowance | 1,030,808 | 1,036,166 | 2,795,017 |
Total average amortized cost after allowance for impaired loans | 2,972,691 | 2,978,589 | 2,805,186 |
Government-guaranteed or -insured mortgage loans | |||
Unpaid Principal Balance for Impaired Loans | |||
Total unpaid principal balance for impaired loans | 210,631 | 210,631 | 217,000 |
Insured Loans | |||
Mortgage Loans - Non-performing loans | |||
MPF loans past due 90 days or more and still accruing interest | $ 6,961 | $ 6,961 | $ 3,935 |
Uninsured loans | Minimum | |||
Average amortized cost after allowance for 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. - Credit Quality Indicator for Conventional Mortgage Loans (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Conventional MPF Loans | ||
Amortized Costs | ||
Past due | $ 131,368 | $ 26,118 |
Current | 2,825,432 | 2,941,148 |
Total mortgage loans | 2,956,800 | 2,967,266 |
Conventional MPF Loans | Past due 30 - 59 days | ||
Amortized Costs | ||
Past due | 61,488 | 15,775 |
Conventional MPF Loans | Past due 60 - 89 days | ||
Amortized Costs | ||
Past due | 59,242 | 3,424 |
Conventional MPF Loans | Past due 90 days or more | ||
Amortized Costs | ||
Past due | 10,638 | $ 6,919 |
Conventional MPF Loans - Origination Year Prior to 2016 | ||
Amortized Costs | ||
Past due | 66,859 | |
Current | 1,233,966 | |
Total mortgage loans | 1,300,825 | |
Conventional MPF Loans - Origination Year Prior to 2016 | Past due 30 - 59 days | ||
Amortized Costs | ||
Past due | 33,238 | |
Conventional MPF Loans - Origination Year Prior to 2016 | Past due 60 - 89 days | ||
Amortized Costs | ||
Past due | 25,876 | |
Conventional MPF Loans - Origination Year Prior to 2016 | Past due 90 days or more | ||
Amortized Costs | ||
Past due | 7,745 | |
Conventional MPF Loans - Origination Year 2016 to 2020 | ||
Amortized Costs | ||
Past due | 64,509 | |
Current | 1,591,466 | |
Total mortgage loans | 1,655,975 | |
Conventional MPF Loans - Origination Year 2016 to 2020 | Past due 30 - 59 days | ||
Amortized Costs | ||
Past due | 28,250 | |
Conventional MPF Loans - Origination Year 2016 to 2020 | Past due 60 - 89 days | ||
Amortized Costs | ||
Past due | 33,366 | |
Conventional MPF Loans - Origination Year 2016 to 2020 | Past due 90 days or more | ||
Amortized Costs | ||
Past due | $ 2,893 |
Mortgage Loans Held-for-Portf_6
Mortgage Loans Held-for-Portfolio. - Recorded Investments in Loans Past Due and Real Estate Owned (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020 | Dec. 31, 2019 | |
Other delinquency statistics: | ||
Loans in process of foreclosure | $ 60,564 | $ 6,606 |
Serious delinquency rate (as a percent) | 2.14% | 0.36% |
Past due 90 days or more and still accruing interest | $ 7,079 | $ 4,147 |
Loans on non-accrual status | 10,638 | 6,919 |
Real estate owned | $ 358 | $ 293 |
Delinquency period | 90 days | 90 days |
Loans discharged from bankruptcy | ||
Other delinquency statistics: | ||
Troubled debt restructurings | $ 8,333 | $ 8,739 |
Modified Loans under MPF program | ||
Other delinquency statistics: | ||
Troubled debt restructurings | 1,115 | 1,138 |
Conventional MPF Loans | ||
Other delinquency statistics: | ||
Loans in process of foreclosure | $ 49,431 | $ 4,198 |
Serious delinquency rate (as a percent) | 1.80% | 0.24% |
Loans on non-accrual status | $ 10,638 | $ 6,919 |
Real estate owned | 358 | 293 |
Conventional MPF Loans | Loans discharged from bankruptcy | ||
Other delinquency statistics: | ||
Troubled debt restructurings | 7,398 | 7,711 |
Conventional MPF Loans | Modified Loans under MPF program | ||
Other delinquency statistics: | ||
Troubled debt restructurings | 1,115 | 1,138 |
Insured Loans | ||
Other delinquency statistics: | ||
Loans in process of foreclosure | $ 11,133 | $ 2,408 |
Serious delinquency rate (as a percent) | 6.93% | 1.87% |
Past due 90 days or more and still accruing interest | $ 7,079 | $ 4,147 |
Insured Loans | Loans discharged from bankruptcy | ||
Other delinquency statistics: | ||
Troubled debt restructurings | $ 935 | $ 1,028 |
Deposits. (Details)
Deposits. (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020 | Dec. 31, 2019 | |
Interest-bearing deposits | ||
Interest-bearing demand | $ 1,497,431 | $ 1,144,519 |
Term | 33,000 | 15,000 |
Total interest-bearing deposits | 1,530,431 | 1,159,519 |
Non-interest-bearing demand | 59,926 | 34,890 |
Total deposits | $ 1,590,357 | $ 1,194,409 |
Maximum period of term deposits | 1 year | 1 year |
Amount Outstanding | ||
Due in one year or less, Interest-bearing deposits | $ 1,530,431 | $ 1,159,519 |
Due in one year or less, Non-interest-bearing deposits | 59,926 | 34,890 |
Total deposits | $ 1,590,357 | $ 1,194,409 |
Average Interest Rate | ||
Due in one year or less, Interest-bearing deposits (as a percent) | 0.51% | 2.03% |
Consolidated Obligations. - Sum
Consolidated Obligations. - Summary of Issued and Outstanding Consolidated Obligations (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Summary of Consolidated obligations issued by the Bank and outstanding | ||
Total Consolidated obligation-bonds | $ 59,032,487 | $ 78,763,309 |
Total Consolidated obligation - discount notes | 89,499,893 | 73,959,205 |
Consolidated obligation bonds | ||
Summary of Consolidated obligations issued by the Bank and outstanding | ||
Consolidated obligation bonds-amortized cost | 58,273,828 | 78,179,661 |
Hedge valuation basis adjustments | 620,391 | 377,000 |
Hedge basis adjustments on de-designated hedges | 135,883 | 139,605 |
FVO-valuation adjustments and accrued interest | 2,385 | 67,043 |
Total Consolidated obligation-bonds | 59,032,487 | 78,763,309 |
Consolidated obligation discount notes | ||
Summary of Consolidated obligations issued by the Bank and outstanding | ||
Discount notes-amortized cost | 89,457,724 | 73,955,552 |
Hedge value basis adjustments | 3,822 | (105) |
FVO-valuation adjustments and remaining accretion | 38,347 | 3,758 |
Total Consolidated obligation - discount notes | $ 89,499,893 | $ 73,959,205 |
Consolidated Obligations. - Red
Consolidated Obligations. - Redemption Terms of Consolidated Obligation Bonds (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Amount | ||
Total Consolidated obligation-bonds | $ 59,032,487 | $ 78,763,309 |
Consolidated obligation bonds | ||
Amount | ||
One year or less | 37,081,435 | 62,319,595 |
Over one year through two years | 8,287,550 | 4,061,125 |
Over two years through three years | 3,786,425 | 2,817,715 |
Over three years through four years | 1,680,440 | 1,538,835 |
Over four years through five years | 1,186,585 | 1,240,735 |
Thereafter | 6,148,500 | 6,130,800 |
Total par value | 58,170,935 | 78,108,805 |
Bond premiums | 128,950 | 95,560 |
Bond discounts | (26,057) | (24,704) |
Hedge valuation basis adjustments | 620,391 | 377,000 |
Hedge basis adjustments on de-designated hedges | 135,883 | 139,605 |
FVO-valuation adjustments and accrued interest | 2,385 | 67,043 |
Total Consolidated obligation-bonds | $ 59,032,487 | $ 78,763,309 |
Weighted Average Rate | ||
One year or less, Weighted Average Rate (as a percent) | 0.53% | 1.77% |
Over one year through two years, Weighted Average Rate (as a percent) | 1.11% | 2.10% |
Over two years through three years, Weighted Average Rate (as a percent) | 1.99% | 2.22% |
Over three years through four years, Weighted Average Rate (as a percent) | 2.22% | 2.69% |
Over four years through five years, Weighted Average Rate (as a percent) | 2.26% | 2.60% |
Thereafter, Weighted Average Rate (as a percent) | 3.28% | 3.34% |
Total par value, Weighted Average Rate (as a percent) | 1.08% | 1.96% |
Percentage of Total | ||
One year or less, Percentage of Total (as a percent) | 63.75% | 79.79% |
Over one year through two years, Percentage of Total (as a percent) | 14.24% | 5.20% |
Over two years through three years, Percentage of Total (as a percent) | 6.51% | 3.61% |
Over three years through four years, Percentage of Total (as a percent) | 2.89% | 1.97% |
Over four years through five years, Percentage of Total (as a percent) | 2.04% | 1.58% |
Thereafter, Percentage of Total (as a percent) | 10.57% | 7.85% |
Total par value, Percentage of Total (as a percent) | 100.00% | 100.00% |
Consolidated Obligations. - Int
Consolidated Obligations. - Interest Rate Payment Terms of Consolidated Obligation Bonds (Details) - Consolidated obligation bonds - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Interest rate payment terms | ||
Total par value | $ 58,170,935 | $ 78,108,805 |
Total par value, Percentage of Total (as a percent) | 100.00% | 100.00% |
Fixed-rate, non-callable | ||
Interest rate payment terms | ||
Total par value | $ 21,932,435 | $ 32,588,805 |
Total par value, Percentage of Total (as a percent) | 37.70% | 41.72% |
Fixed-rate, callable | ||
Interest rate payment terms | ||
Total par value | $ 1,424,000 | $ 4,803,000 |
Total par value, Percentage of Total (as a percent) | 2.45% | 6.15% |
Step Up, callable | ||
Interest rate payment terms | ||
Total par value | $ 15,000 | |
Total par value, Percentage of Total (as a percent) | 0.02% | |
Single-index floating rate | ||
Interest rate payment terms | ||
Total par value | $ 34,814,500 | $ 40,702,000 |
Total par value, Percentage of Total (as a percent) | 59.85% | 52.11% |
Consolidated Obligations. - Out
Consolidated Obligations. - Outstanding Consolidated Obligation Discount Notes (Details) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2020 | Dec. 31, 2019 | |
Discount Notes | ||
Total Consolidated obligation - discount notes | $ 89,499,893 | $ 73,959,205 |
Consolidated obligation discount notes | ||
Discount Notes | ||
Par value | 89,545,947 | 74,094,586 |
Amortized cost | 89,457,724 | 73,955,552 |
Hedge value basis adjustments(a) | 3,822 | (105) |
FVO(b) - valuation adjustments and remaining accretion | 38,347 | 3,758 |
Total Consolidated obligation - discount notes | $ 89,499,893 | $ 73,959,205 |
Weighted average interest rate (as a percent) | 0.26% | 1.60% |
Notional amount of derivative hedged item | $ 16,100 | |
Net cumulative hedge valuation basis losses | 3,900 | |
Net cumulative hedge valuation basis gains | $ 100 | |
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 | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |||
Changes in Affordable Housing Program liabilities | ||||||
Beginning balance | $ 155,611 | $ 161,129 | $ 153,894 | $ 161,718 | ||
Additions from current period's assessments | 15,287 | 12,021 | 26,974 | 27,014 | ||
Net disbursements for grants and programs | (11,434) | (8,888) | (21,404) | [1] | (24,470) | [1] |
Ending balance | $ 159,464 | $ 164,262 | $ 159,464 | $ 164,262 | ||
[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 | 6 Months Ended | |
Jun. 30, 2020USD ($)item$ / shares | Dec. 31, 2019USD ($)$ / shares | |
Details of capital stock | ||
Stated par value of capital stock (in dollars per share) | $ / shares | $ 100 | $ 100 |
Capital stock | $ 6,334,135 | $ 5,778,666 |
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 | |
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 | $ 6,300,000 | $ 5,800,000 |
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 | Jun. 30, 2020USD ($) | Dec. 31, 2019USD ($) |
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | ||
Risk-based capital, Required | $ 1,061,863 | $ 1,107,356 |
Risk-based capital, Actual | $ 8,222,482 | $ 7,584,829 |
Total capital-to-asset ratio, Required (as a percent) | 4.00% | 4.00% |
Total capital-to-asset ratio, Actual (as a percent) | 5.18% | 4.68% |
Total capital, Required | $ 6,354,882 | $ 6,482,481 |
Total capital, Actual | $ 8,222,482 | $ 7,584,829 |
Leverage ratio, Required (as a percent) | 5.00% | 5.00% |
Leverage ratio, Actual (as a percent) | 7.76% | 7.02% |
Leverage capital, Required | $ 7,943,602 | $ 8,103,101 |
Leverage capital, Actual | $ 12,333,723 | $ 11,377,244 |
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 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 |
Anticipated redemption of mandatorily redeemable capital stock | ||||||
Redemption less than one year | $ 146 | $ 835 | ||||
Redemption from one year to less than three years | 338 | 371 | ||||
Redemption from three years to less than five years | 366 | 402 | ||||
Redemption from five years or greater | 2,991 | 3,521 | ||||
Total | $ 3,841 | $ 4,924 | $ 5,129 | $ 5,514 | $ 5,755 | $ 5,845 |
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 | 6 Months Ended | |||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | Dec. 31, 2019 | |
Changes in mandatorily redeemable capital stock liabilities during the period | |||||
Beginning balance | $ 4,924 | $ 5,755 | $ 5,129 | $ 5,845 | |
Capital stock subject to mandatory redemption reclassified from equity | 3,937 | 4,049 | |||
Redemption of mandatorily redeemable capital stock | (1,083) | (4,178) | (1,288) | (4,380) | |
Ending balance | 3,841 | 5,514 | 3,841 | 5,514 | |
Accrued interest payable | $ 61 | $ 117 | $ 61 | $ 117 | |
Annualized accrual rates for the period (as a percent) | 5.90% | 6.35% | |||
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 | $ 734,325 | $ 734,325 | $ 685,798 |
Capital Stock, Mandatorily Re_7
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. - Distribution received from Financing Corporation (FICO) (Details) - USD ($) $ in Thousands | 6 Months Ended | 36 Months Ended |
Jun. 30, 2020 | Dec. 31, 1989 | |
Related Party Transactions | ||
Share of cash distribution received on dissolution of FICO | $ 18,204 | |
FICO | ||
Related Party Transactions | ||
Share of cash distribution received on dissolution of FICO | $ 18,200 | |
FICO | FICO | ||
Related Party Transactions | ||
Bonds issued | $ 8,200,000 | |
Maturity period | 30 years | |
Contributions made | $ 680,000 |
Earnings Per Share of Capital_2
Earnings Per Share of Capital. (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Earnings Per Share of Capital. | ||||
Number of dilutive potential common shares or other common stock equivalents | 0 | 0 | ||
Net Income | $ 137,525 | $ 108,082 | $ 242,632 | $ 242,920 |
Net income available to stockholders | $ 137,525 | $ 108,082 | $ 242,632 | $ 242,920 |
Weighted average shares of capital (in shares) | 68,083 | 58,232 | 63,587 | 56,998 |
Less: Mandatorily redeemable capital stock (in shares) | (42) | (74) | (46) | (66) |
Average number of shares of capital used to calculate earnings per share (in shares) | 68,041 | 58,158 | 63,541 | 56,932 |
Basic earnings per share (in dollars per share) | $ 2.02 | $ 1.86 | $ 3.82 | $ 4.27 |
Employee Retirement Plans. - Pl
Employee Retirement Plans. - Plan Information and Expenses Summary (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020USD ($) | Jun. 30, 2019USD ($) | Jun. 30, 2020USD ($)plan | Jun. 30, 2019USD ($) | |
Employee retirement plan expenses | ||||
Total retirement plan expenses | $ 6,324 | $ 5,032 | $ 11,177 | $ 10,202 |
Benefit Equalization Plans (BEP) | ||||
Employee retirement plans | ||||
Number of plans | plan | 2 | |||
Pentegra Defined Benefit Plan | ||||
Employee retirement plan expenses | ||||
Total retirement plan expenses | 2,500 | 2,494 | $ 5,000 | 4,988 |
Benefit Equalization Plans (defined benefit and defined contribution (including deferred incentive compensation)) | ||||
Employee retirement plan expenses | ||||
Total retirement plan expenses | 3,105 | 1,838 | 4,661 | 3,770 |
Pentegra Defined Contribution Plans | ||||
Employee retirement plan expenses | ||||
Total retirement plan expenses | 658 | 616 | 1,394 | 1,277 |
Postretirement Health Benefit Plan | ||||
Employee retirement plan expenses | ||||
Total retirement plan expenses | $ 61 | $ 84 | $ 122 | $ 167 |
Employee Retirement Plans. - Be
Employee Retirement Plans. - Benefit Equalization Plan (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Components of the net periodic pension cost | ||||
Total retirement plan expenses | $ 6,324 | $ 5,032 | $ 11,177 | $ 10,202 |
Benefit Equalization plans - Thrift and Deferred incentive compensation plans | ||||
Components of the net periodic pension cost | ||||
Total retirement plan expenses | 812 | 166 | 75 | 426 |
Benefit Equalization Plan (BEP) | Defined Benefit BEP | ||||
Components of the net periodic pension cost | ||||
Service cost | 392 | 316 | 784 | 632 |
Interest cost | 587 | 636 | 1,174 | 1,272 |
Amortization of unrecognized net loss | 1,140 | 720 | 2,280 | 1,440 |
Amortization of unrecognized past service (credit)/cost | 174 | 348 | ||
Total retirement plan expenses | 2,293 | 1,672 | 4,586 | 3,344 |
Benefit Equalization Plans (defined benefit and defined contribution (including deferred incentive compensation)) | ||||
Components of the net periodic pension cost | ||||
Total retirement plan expenses | $ 3,105 | $ 1,838 | $ 4,661 | $ 3,770 |
Employee Retirement Plans. - Po
Employee Retirement Plans. - Postretirement Health Benefit Plan (Details) - USD ($) $ in Thousands | Jan. 01, 2015 | Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 |
Employee Retirement Plans | |||||
Threshold term of service to be eligible under plan | 10 years | ||||
Threshold age to be eligible under plan | 55 years | ||||
Other changes in benefit obligations recognized in AOCI | |||||
Total recognized in other comprehensive loss/(income) | $ (1,277) | $ (654) | $ (2,553) | $ (1,310) | |
Postretirement Health Benefit Plan | |||||
Components of the net periodic pension cost | |||||
Service cost (benefits attributed to service during the period) | 21 | 21 | 42 | 42 | |
Interest cost on accumulated postretirement health benefit obligation | 78 | 127 | 156 | 254 | |
Amortization of (gain)/loss | (38) | (76) | |||
Amortization of unrecognized past service (credit)/cost | (64) | (129) | |||
Net periodic benefit cost/(income) | $ 61 | $ 84 | $ 122 | $ 167 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities. - Derivative Notionals (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Hedging activities | ||
Notional Amount of Derivatives | $ 154,655,921 | $ 108,682,693 |
Interest rate swaps | ||
Hedging activities | ||
Notional Amount of Derivatives | 153,806,725 | 107,837,925 |
Interest rate caps | ||
Hedging activities | ||
Notional Amount of Derivatives | 800,000 | 800,000 |
Mortgage delivery commitments | ||
Hedging activities | ||
Notional Amount of Derivatives | 49,196 | 44,768 |
Interest rate contracts | ||
Hedging activities | ||
Notional Amount of Derivatives | $ 154,655,921 | $ 108,682,693 |
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) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020 | Dec. 31, 2019 | |
Derivative instruments - Nettable | ||
Derivative fair values | $ 584,530 | $ 608,703 |
Gross amounts of netting adjustments and cash collateral | (528,975) | (370,861) |
Net amounts after offsetting adjustments and cash collateral | 55,555 | 237,842 |
Derivative assets | ||
Total derivative assets after cash collateral presented in the Statements of Condition | 55,829 | 237,947 |
Non-cash collateral received or pledged | ||
Security pledged as initial margin to Derivative Clearing Organization | 635,775 | 251,177 |
Uncleared derivatives securities received | (32,871) | (115,238) |
Total net amount of non-cash collateral received or pledged | 602,904 | 135,939 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 658,733 | 373,886 |
Derivative instruments - Nettable | ||
Derivative fair values | 1,413,106 | 717,973 |
Gross amount of netting adjustments and cash collateral | (1,342,380) | (685,563) |
Net amounts after offsetting adjustments and cash collateral | 70,726 | 32,410 |
Derivative liabilities | ||
Total derivative liabilities after cash collateral presented in the Statements of Condition | 70,726 | 32,411 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 70,726 | 32,411 |
Cash collateral received | 123,255 | 27,950 |
Cash collateral posted | (936,660) | (342,652) |
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 | $ 279,113 | 241,501 |
Gross amounts of netting adjustments and cash collateral | (232,381) | (104,011) |
Net amounts after offsetting adjustments and cash collateral | 46,732 | 137,490 |
Derivative instruments - Not Nettable | ||
Derivative instruments - Not Nettable | 274 | 105 |
Derivative assets | ||
Total derivative assets after cash collateral presented in the Statements of Condition | 47,006 | 137,595 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 14,135 | 22,357 |
Derivative instruments - Nettable | ||
Derivative fair values | 1,115,931 | 365,397 |
Gross amount of netting adjustments and cash collateral | (1,045,786) | (333,471) |
Net amounts after offsetting adjustments and cash collateral | 70,145 | 31,926 |
Derivative instruments - Not Nettable | ||
Derivative instruments - Not Nettable | 1 | |
Derivative liabilities | ||
Total derivative liabilities after cash collateral presented in the Statements of Condition | 70,145 | 31,927 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 70,145 | 31,927 |
Uncleared - cannot be sold or repledged | ||
Non-cash collateral received or pledged | ||
Uncleared derivatives securities received | (32,871) | (115,238) |
Intermediation / Cleared | ||
Derivative instruments - Nettable | ||
Derivative fair values | 305,417 | 367,202 |
Gross amounts of netting adjustments and cash collateral | (296,594) | (266,850) |
Net amounts after offsetting adjustments and cash collateral | 8,823 | 100,352 |
Derivative assets | ||
Total derivative assets after cash collateral presented in the Statements of Condition | 8,823 | 100,352 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 644,598 | 351,529 |
Derivative instruments - Nettable | ||
Derivative fair values | 297,175 | 352,576 |
Gross amount of netting adjustments and cash collateral | (296,594) | (352,092) |
Net amounts after offsetting adjustments and cash collateral | 581 | 484 |
Derivative liabilities | ||
Total derivative liabilities after cash collateral presented in the Statements of Condition | 581 | 484 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 581 | 484 |
Cash paid (posted) as variation margin | (1,000,000) | (100,100) |
Cleared - can be sold or repledged | ||
Non-cash collateral received or pledged | ||
Security pledged as initial margin to Derivative Clearing Organization | $ 635,775 | $ 251,177 |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities. - Outstanding Notional Balances and Estimated Fair Values of Derivatives Outstanding (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | $ 154,655,921 | $ 108,682,693 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 584,804 | 608,808 |
Netting adjustments | (405,720) | (342,911) |
Cash collateral and related accrued interest | (123,255) | (27,950) |
Total netting adjustments and cash collateral | (528,975) | (370,861) |
Total derivative assets after cash collateral presented in the Statements of Condition | 55,829 | 237,947 |
Security collateral pledged as initial margin to Derivative Clearing Organization | 635,775 | 251,177 |
Security collateral received from counterparty | (32,871) | (115,238) |
Net security | 602,904 | 135,939 |
Net exposure | 658,733 | 373,886 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 1,413,106 | 717,974 |
Netting adjustments | (405,720) | (342,911) |
Cash Collateral and related accrued interest | (936,660) | (342,652) |
Total netting adjustments and cash collateral | (1,342,380) | (685,563) |
Total derivative liabilities after cash collateral presented in the Statements of Condition | 70,726 | 32,411 |
Interest rate swaps | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 153,806,725 | 107,837,925 |
Interest rate caps | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 800,000 | 800,000 |
Mortgage delivery commitments | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 49,196 | 44,768 |
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 | 74,017,512 | 59,361,080 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 461,048 | 414,480 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 1,325,470 | 550,758 |
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 | 74,017,512 | 59,361,080 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 461,048 | 414,480 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 1,325,470 | 550,758 |
Derivatives not designated as hedging instruments | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 80,638,409 | 49,321,613 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 123,756 | 194,328 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 87,636 | 167,216 |
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 | 78,711,213 | 47,404,845 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 89,001 | 179,784 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 85,819 | 162,702 |
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 | 800,000 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 54 | 50 |
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 | 49,196 | 44,768 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 274 | 105 |
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 | 1,078,000 | 1,072,000 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 34,427 | 14,389 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | $ 1,817 | $ 4,513 |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities. - Summary of the gains (losses) on the FHLBNY's fair value hedges (Details) - Interest rate contracts - Fair value hedges - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Interest Income | ||||
Gains and losses from derivatives and hedging activities | ||||
Gains (losses) on hedged item in designated and qualifying fair value hedges: | $ 87,549 | $ 359,340 | $ 1,311,857 | $ 519,612 |
Interest Expense | ||||
Gains and losses from derivatives and hedging activities | ||||
Gains (losses) on derivatives in designated and qualifying fair value hedges: | $ (80,987) | $ (360,128) | $ (1,313,783) | $ (521,712) |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities. - Cumulative hedge basis adjustments (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Hedged Assets | ||
Carrying Amount of Hedged Assets | $ 45,982,030 | $ 41,270,365 |
Hedged Assets | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Assets | 1,856,845 | 310,411 |
Hedged Assets | Discontinued Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Assets | 583 | 345 |
Hedged Advances | ||
Carrying Amount of Hedged Assets | 45,363,596 | 40,722,558 |
Hedged Advances | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Assets | 1,786,414 | 298,818 |
Hedged Advances | Discontinued Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Assets | 583 | 345 |
Par amounts of de-designated advances | 1,000,000 | |
Hedged AFS debt securities | ||
Carrying Amount of Hedged Assets | 618,434 | 547,807 |
Hedged AFS debt securities | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Assets | 70,431 | 11,593 |
Hedged Liabilities | ||
Carrying Amount of Hedged Liabilities | 24,720,849 | 14,859,341 |
Hedged Liabilities | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Liabilities | (624,302) | (376,895) |
Hedged Liabilities | Discontinued Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Liabilities | (135,794) | (139,605) |
Hedged Consolidated obligation bonds | ||
Carrying Amount of Hedged Liabilities | 8,557,856 | 11,366,044 |
Hedged Consolidated obligation bonds | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Liabilities | (620,391) | (377,000) |
Hedged Consolidated obligation bonds | Discontinued Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Liabilities | (135,883) | (139,605) |
Par amounts of de-designated bonds | 1,200,000 | |
Hedged consolidated obligation discount notes | ||
Carrying Amount of Hedged Liabilities | 16,162,993 | 3,493,297 |
Hedged consolidated obligation discount notes | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Liabilities | (3,911) | $ 105 |
Hedged consolidated obligation discount notes | Discontinued Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Liabilities | 89 | |
Par amounts of de-designated CO discount notes | $ 1,700,000 |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities. - Changes in AOCI from cash flow hedges (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Derivative instruments | ||||
Unrecognized losses in AOCI to be recognized over the next 12 months as a yield adjustment (expenses) to consolidated debt interest expense | $ (1,400) | |||
Cash flow hedges | Interest rate contracts | ||||
Amount of gains (losses) reclassified from AOCI to earnings: | ||||
Amounts Recorded in OCI | $ (6,128) | $ (69,786) | (159,233) | $ (112,500) |
Total Change in OCI for Period | (5,780) | (69,670) | (158,612) | (112,361) |
Cash flow hedges | Interest rate contracts | Interest Expense | ||||
Amount of gains (losses) reclassified from AOCI to earnings: | ||||
Amount Reclassified from AOCI to Earnings | $ (348) | $ (116) | (621) | $ (139) |
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 | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Gains and losses from derivatives and hedging activities | ||||
Total Gains (losses) on derivatives in designated economic hedges | $ (3,921) | $ (39,069) | $ (168,091) | $ (51,349) |
Interest rate contracts | ||||
Gains and losses from derivatives and hedging activities | ||||
Total Gains (losses) on derivatives in designated economic hedges | (5,081) | (39,497) | (169,215) | (51,632) |
Interest rate caps | ||||
Gains and losses from derivatives and hedging activities | ||||
Total Gains (losses) on derivatives in designated economic hedges | (84) | 125 | 5 | (217) |
Mortgage delivery commitments | ||||
Gains and losses from derivatives and hedging activities | ||||
Total Gains (losses) on derivatives in designated economic hedges | $ 1,244 | $ 303 | $ 1,119 | $ 500 |
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 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2018 |
Assets | ||||||
Cash and due from banks | $ 44,308 | $ 603,241 | ||||
Interest-bearing deposits | 925,000 | |||||
Securities purchased under agreements to resell | 4,950,000 | 14,985,000 | ||||
Federal funds sold | 5,355,000 | 8,640,000 | ||||
Trading securities | 12,923,831 | 15,318,809 | ||||
Equity Investments | 63,852 | 60,047 | ||||
Available-for-sale securities | 2,874,107 | 2,653,418 | ||||
Held-to-maturity securities | 15,034,177 | 15,456,606 | ||||
Advances | 113,788,556 | $ 136,200,000 | 100,695,241 | |||
Accrued interest receivable | 225,556 | 312,559 | ||||
Derivative assets | 55,829 | 237,947 | ||||
Derivative assets, before netting and cash collateral | 584,804 | 608,808 | ||||
Netting Adjustment and Cash Collateral | (528,975) | (370,861) | ||||
Liabilities | ||||||
Consolidated obligations - Bonds | 59,032,487 | 78,763,309 | ||||
Consolidated obligations - Discount notes | 89,499,893 | 73,959,205 | ||||
Mandatorily redeemable capital stock | 3,841 | $ 4,924 | 5,129 | $ 5,514 | $ 5,755 | $ 5,845 |
Accrued interest payable | 131,432 | 156,889 | ||||
Derivative liabilities | 70,726 | 32,411 | ||||
Derivative liabilities, before netting and cash collateral | 1,413,106 | 717,974 | ||||
Netting Adjustment and Cash Collateral | (1,342,380) | (685,563) | ||||
Carrying Value | ||||||
Assets | ||||||
Cash and due from banks | 44,308 | 603,241 | ||||
Interest-bearing deposits | 925,000 | |||||
Securities purchased under agreements to resell | 4,950,000 | 14,985,000 | ||||
Federal funds sold | 5,355,000 | 8,640,000 | ||||
Trading securities | 12,923,831 | 15,318,809 | ||||
Equity Investments | 63,852 | 60,047 | ||||
Available-for-sale securities | 2,874,107 | 2,653,418 | ||||
Held-to-maturity securities | 14,348,334 | 15,234,482 | ||||
Advances | 113,788,556 | 100,695,241 | ||||
Mortgage loans held-for-portfolio, net | 3,164,709 | 3,173,352 | ||||
Accrued interest receivable | 225,556 | 312,559 | ||||
Derivative assets | 55,829 | 237,947 | ||||
Other financial assets | 358 | 293 | ||||
Liabilities | ||||||
Deposits | 1,590,357 | 1,194,409 | ||||
Consolidated obligations - Bonds | 59,032,487 | 78,763,309 | ||||
Consolidated obligations - Discount notes | 89,499,893 | 73,959,205 | ||||
Mandatorily redeemable capital stock | 3,841 | 5,129 | ||||
Accrued interest payable | 131,432 | 156,889 | ||||
Derivative liabilities | 70,726 | 32,411 | ||||
Other financial liabilities | 35,400 | 45,388 | ||||
Estimated Fair Value | ||||||
Assets | ||||||
Cash and due from banks | 44,308 | 603,241 | ||||
Interest-bearing deposits | 925,001 | |||||
Securities purchased under agreements to resell | 4,949,997 | 14,984,909 | ||||
Federal funds sold | 5,354,999 | 8,639,966 | ||||
Trading securities | 12,923,831 | 15,318,809 | ||||
Equity Investments | 63,852 | 60,047 | ||||
Available-for-sale securities | 2,874,107 | 2,653,418 | ||||
Held-to-maturity securities | 15,034,177 | 15,456,606 | ||||
Advances | 113,792,086 | 100,738,675 | ||||
Mortgage loans held-for-portfolio, net | 3,278,261 | 3,190,109 | ||||
Accrued interest receivable | 225,556 | 312,559 | ||||
Derivative assets | 55,829 | 237,947 | ||||
Other financial assets | 358 | 293 | ||||
Liabilities | ||||||
Deposits | 1,590,364 | 1,194,419 | ||||
Consolidated obligations - Bonds | 59,934,238 | 78,980,672 | ||||
Consolidated obligations - Discount notes | 89,514,606 | 73,961,316 | ||||
Mandatorily redeemable capital stock | 3,841 | 5,129 | ||||
Accrued interest payable | 131,432 | 156,889 | ||||
Derivative liabilities | 70,726 | 32,411 | ||||
Other financial liabilities | 35,400 | 45,388 | ||||
Estimated Fair Value | Level 1 | ||||||
Assets | ||||||
Cash and due from banks | 44,308 | 603,241 | ||||
Trading securities | 12,921,673 | 15,315,592 | ||||
Equity Investments | 63,852 | 60,047 | ||||
Liabilities | ||||||
Mandatorily redeemable capital stock | 3,841 | 5,129 | ||||
Other financial liabilities | 35,400 | 45,388 | ||||
Estimated Fair Value | Level 2 | ||||||
Assets | ||||||
Interest-bearing deposits | 925,001 | |||||
Securities purchased under agreements to resell | 4,949,997 | 14,984,909 | ||||
Federal funds sold | 5,354,999 | 8,639,966 | ||||
Trading securities | 2,158 | 3,217 | ||||
Available-for-sale securities | 2,874,107 | 2,653,418 | ||||
Held-to-maturity securities | 13,828,987 | 14,223,919 | ||||
Advances | 113,792,086 | 100,738,675 | ||||
Mortgage loans held-for-portfolio, net | 3,278,261 | 3,190,109 | ||||
Accrued interest receivable | 225,556 | 312,559 | ||||
Derivative assets, before netting and cash collateral | 584,804 | 608,808 | ||||
Liabilities | ||||||
Deposits | 1,590,364 | 1,194,419 | ||||
Consolidated obligations - Bonds | 59,934,238 | 78,980,672 | ||||
Consolidated obligations - Discount notes | 89,514,606 | 73,961,316 | ||||
Accrued interest payable | 131,432 | 156,889 | ||||
Derivative liabilities, before netting and cash collateral | 1,413,106 | 717,974 | ||||
Estimated Fair Value | Level 3 | ||||||
Assets | ||||||
Held-to-maturity securities | 1,205,190 | 1,232,687 | ||||
Other financial assets | $ 358 | $ 293 |
Fair Values of Financial Inst_4
Fair Values of Financial Instruments. - Fair Value Hierarchy Transfers, Valuation Techniques and Primary Inputs (Details) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2020USD ($)item | Dec. 31, 2019USD ($)item | Jun. 30, 2019USD ($) | |
Summary of Valuation Techniques and Primary Inputs | |||
Asset transfers in/out of Level 1, Level 2 or Level 3 | $ | $ 0 | $ 0 | $ 0 |
Liability transfers in/out of Level 1, Level 2 or Level 3 | $ | 0 | 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 |
Fair Values of Financial Inst_5
Fair Values of Financial Instruments. - Items Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Assets | ||
Trading securities | $ 12,923,831 | $ 15,318,809 |
Equity Investments | 63,852 | 60,047 |
Available-for-sale securities | 2,874,107 | 2,653,418 |
Derivative assets | 55,555 | 237,842 |
Netting Adjustment and Cash Collateral | (528,975) | (370,861) |
Liabilities | ||
Consolidated obligation: Discount notes (to the extent FVO is elected) | (20,159,341) | (2,186,603) |
Consolidated obligation: Bonds (to the extent FVO is elected) | (1,302,385) | (12,134,043) |
Derivative liabilities | (70,726) | (32,410) |
Netting Adjustment and Cash Collateral | 1,342,380 | 685,563 |
Corporate notes | ||
Assets | ||
Trading securities | 2,158 | 3,217 |
U.S. Treasury notes | ||
Assets | ||
Trading securities | 11,172,698 | 15,315,592 |
Mortgage-backed securities (MBS) | ||
Assets | ||
Available-for-sale securities | 2,874,107 | 2,653,418 |
Measured on a recurring basis | ||
Assets | ||
Equity Investments | 63,852 | 60,047 |
Netting Adjustment and Cash Collateral | (528,975) | (370,861) |
Total assets | 15,917,619 | 18,270,221 |
Liabilities | ||
Consolidated obligation: Discount notes (to the extent FVO is elected) | (20,159,341) | (2,186,603) |
Consolidated obligation: Bonds (to the extent FVO is elected) | (1,302,385) | (12,134,043) |
Netting Adjustment and Cash Collateral | 1,342,380 | 685,563 |
Total liabilities | (21,532,452) | (14,353,057) |
Measured on a recurring basis | Interest rate contracts | ||
Assets | ||
Derivative assets | 55,555 | 237,842 |
Netting Adjustment and Cash Collateral | (528,975) | (370,861) |
Liabilities | ||
Derivative liabilities | (70,726) | (32,410) |
Netting Adjustment and Cash Collateral | 1,342,380 | 685,563 |
Measured on a recurring basis | Mortgage delivery commitments | ||
Assets | ||
Derivative assets | 274 | 105 |
Liabilities | ||
Derivative liabilities | (1) | |
Measured on a recurring basis | Corporate notes | ||
Assets | ||
Trading securities | 2,158 | 3,217 |
Measured on a recurring basis | U.S. Treasury notes | ||
Assets | ||
Trading securities | 12,921,673 | 15,315,592 |
Measured on a recurring basis | GSE | Mortgage-backed securities (MBS) | ||
Assets | ||
Available-for-sale securities | 2,874,107 | 2,653,418 |
Measured on a recurring basis | Level 1 | ||
Assets | ||
Equity Investments | 63,852 | 60,047 |
Total assets | 12,985,525 | 15,375,639 |
Measured on a recurring basis | Level 1 | U.S. Treasury notes | ||
Assets | ||
Trading securities | 12,921,673 | 15,315,592 |
Measured on a recurring basis | Level 2 | ||
Assets | ||
Total assets | 3,461,069 | 3,265,443 |
Liabilities | ||
Consolidated obligation: Discount notes (to the extent FVO is elected) | (20,159,341) | (2,186,603) |
Consolidated obligation: Bonds (to the extent FVO is elected) | (1,302,385) | (12,134,043) |
Total liabilities | (22,874,832) | (15,038,620) |
Measured on a recurring basis | Level 2 | Interest rate contracts | ||
Assets | ||
Derivative assets | 584,530 | 608,703 |
Liabilities | ||
Derivative liabilities | (1,413,106) | (717,973) |
Measured on a recurring basis | Level 2 | Mortgage delivery commitments | ||
Assets | ||
Derivative assets | 274 | 105 |
Liabilities | ||
Derivative liabilities | (1) | |
Measured on a recurring basis | Level 2 | Corporate notes | ||
Assets | ||
Trading securities | 2,158 | 3,217 |
Measured on a recurring basis | Level 2 | GSE | Mortgage-backed securities (MBS) | ||
Assets | ||
Available-for-sale securities | $ 2,874,107 | $ 2,653,418 |
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 | Jun. 30, 2020 | Dec. 31, 2019 |
Assets recorded at fair value on a non-recurring basis | ||
Real estate owned | $ 135 | $ 306 |
Total assets at fair value | 135 | 386 |
Past due 180 days or more | ||
Assets recorded at fair value on a non-recurring basis | ||
Mortgage loans held-for-portfolio | 80 | |
Level 2 | ||
Assets recorded at fair value on a non-recurring basis | ||
Total assets at fair value | 80 | |
Level 2 | Past due 180 days or more | ||
Assets recorded at fair value on a non-recurring basis | ||
Mortgage loans held-for-portfolio | 80 | |
Level 3 | ||
Assets recorded at fair value on a non-recurring basis | ||
Real estate owned | 135 | 306 |
Total assets at fair value | $ 135 | $ 306 |
Fair Values of Financial Inst_7
Fair Values of Financial Instruments. - Fair Value Option (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | Dec. 31, 2019 | Jun. 30, 2020 | Dec. 31, 2019 | Jun. 30, 2019 | |
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 | $ 10,564 | $ (2,360) | $ (11,390) | $ (2,824) | ||||
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected | ||||||||
Net gains (losses) on financial instruments held under fair value option | 10,564 | (2,360) | (11,390) | (2,824) | ||||
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 | ||||||
Consolidated obligations, fair value option | ||||||||
Activity related to financial instruments for which the Bank elected the fair value option | ||||||||
Balance, beginning of the period | (14,320,646) | |||||||
Net gains (losses) on financial instruments held under fair value option | 10,564 | (2,360) | (11,390) | (2,824) | ||||
Balance, end of the period | (21,461,726) | (21,461,726) | (14,320,646) | |||||
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected | ||||||||
Interest Expense | (30,120) | (38,917) | (81,536) | (89,679) | ||||
Net gains (losses) on financial instruments held under fair value option | 10,564 | (2,360) | (11,390) | (2,824) | ||||
Fair Value Included in Current Period Earnings | (19,556) | (41,277) | (92,926) | (92,503) | ||||
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 | $ 21,420,995 | $ 14,249,845 | ||||||
Aggregate Fair Value | 21,461,726 | 21,461,726 | 14,320,646 | 21,461,726 | 14,320,646 | |||
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | 40,731 | 70,801 | ||||||
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 | (4,606,885) | (7,367,064) | (12,134,043) | (5,159,792) | (5,159,792) | |||
New transactions elected for fair value option | (500,000) | 4,110,000 | (1,300,000) | (3,220,000) | ||||
Maturities and terminations | 3,775,000 | 12,067,000 | 5,145,000 | |||||
Net gains (losses) on financial instruments held under fair value option | 6,190 | (2,653) | 2,132 | (2,711) | ||||
Change in accrued interest/ unaccreted balance | 23,310 | 20,860 | 62,526 | (1,354) | ||||
Balance, end of the period | (1,302,385) | (3,238,857) | (1,302,385) | (3,238,857) | (12,134,043) | |||
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected | ||||||||
Interest Expense | (8,312) | (33,398) | (45,402) | (66,879) | ||||
Net gains (losses) on financial instruments held under fair value option | 6,190 | (2,653) | 2,132 | (2,711) | ||||
Fair Value Included in Current Period Earnings | (2,122) | (36,051) | (43,270) | (69,590) | ||||
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 | 1,300,000 | 12,067,000 | $ 3,215,000 | |||||
Aggregate Fair Value | 1,302,385 | 3,238,857 | 1,302,385 | 3,238,857 | 12,134,043 | 1,302,385 | 12,134,043 | 3,238,857 |
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | 2,385 | 67,043 | $ 23,857 | |||||
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 | (18,068,215) | (994,773) | (2,186,603) | (3,180,086) | (3,180,086) | |||
New transactions elected for fair value option | (4,271,624) | 987,355 | (20,120,994) | |||||
Maturities and terminations | 2,182,845 | 2,182,845 | 3,170,915 | |||||
Net gains (losses) on financial instruments held under fair value option | 4,374 | 293 | (13,522) | (113) | ||||
Change in accrued interest/ unaccreted balance | (6,721) | 7,125 | (21,067) | 9,284 | ||||
Balance, end of the period | (20,159,341) | (20,159,341) | (2,186,603) | |||||
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected | ||||||||
Interest Expense | (21,808) | (5,519) | (36,134) | (22,800) | ||||
Net gains (losses) on financial instruments held under fair value option | 4,374 | 293 | (13,522) | (113) | ||||
Fair Value Included in Current Period Earnings | (17,434) | (5,226) | (49,656) | (22,913) | ||||
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 | 20,120,995 | 2,182,845 | ||||||
Aggregate Fair Value | $ 20,159,341 | $ 994,773 | $ 20,159,341 | $ 3,180,086 | $ 2,186,603 | 20,159,341 | 2,186,603 | |
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | $ 38,346 | $ 3,758 |
Commitments and Contingencies_2
Commitments and Contingencies. - Consolidated obligations (Details) - Obligations subject to joint and several liability - All other FHLBanks $ in Trillions | 6 Months Ended | |
Jun. 30, 2020USD ($)Institution | Dec. 31, 2019USD ($) | |
Commitments | ||
Joint and several liability, number of Federal Home Loan Banks unable to repay their participation in consolidated obligations, minimum | Institution | 1 | |
Consolidated obligations | ||
Commitments | ||
Aggregate amount outstanding | $ | $ 0.9 | $ 1 |
Commitments and Contingencies_3
Commitments and Contingencies. - Affordable Housing Program (Details) - USD ($) $ in Millions | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2020 | Jun. 30, 2019 | Dec. 31, 2019 | |
Affordable Housing Program | |||
Expected annual aggregate FHLBank contribution to the Affordable Housing Program | $ 100 | ||
Shortfall of expected aggregate annual contribution to the Affordable Housing Program | $ 0 | $ 0 | $ 0 |
Commitments and Contingencies_4
Commitments and Contingencies. - Summary of Contractual Obligations and Contingencies (Details) $ in Thousands | Jun. 30, 2020USD ($) |
Contractual obligations and commitments | |
Less Than One Year | $ 153,881,220 |
Greater Than One Year to Three Years | 12,270,574 |
Greater Than Three Years to Five Years | 2,899,244 |
Greater Than Five Years | 6,287,764 |
Total | 175,338,802 |
Contractual Obligations | |
Contractual obligations and commitments | |
Less Than One Year | 126,704,626 |
Greater Than One Year to Three Years | 12,101,573 |
Greater Than Three Years to Five Years | 2,892,646 |
Greater Than Five Years | 6,287,764 |
Total | 147,986,609 |
Consolidated obligation bonds | |
Contractual obligations and commitments | |
Less Than One Year | 37,081,435 |
Greater Than One Year to Three Years | 12,073,975 |
Greater Than Three Years to Five Years | 2,867,025 |
Greater Than Five Years | 6,148,500 |
Total | 58,170,935 |
Consolidated obligation discount notes | |
Contractual obligations and commitments | |
Less Than One Year | 89,545,947 |
Total | 89,545,947 |
Mandatorily redeemable capital stock | |
Contractual obligations and commitments | |
Less Than One Year | 146 |
Greater Than One Year to Three Years | 338 |
Greater Than Three Years to Five Years | 366 |
Greater Than Five Years | 2,991 |
Total | 3,841 |
Lease obligations | Premises | |
Contractual obligations and commitments | |
Less Than One Year | 6,904 |
Greater Than One Year to Three Years | 15,442 |
Greater Than Three Years to Five Years | 16,150 |
Greater Than Five Years | 66,159 |
Total | 104,655 |
Lease obligations | Remote backup site | |
Contractual obligations and commitments | |
Less Than One Year | 670 |
Greater Than One Year to Three Years | 1,224 |
Greater Than Three Years to Five Years | 542 |
Total | 2,436 |
Other liabilities | |
Contractual obligations and commitments | |
Less Than One Year | 69,524 |
Greater Than One Year to Three Years | 10,594 |
Greater Than Three Years to Five Years | 8,563 |
Greater Than Five Years | 70,114 |
Total | 158,795 |
Other commitments | |
Contractual obligations and commitments | |
Less Than One Year | 27,176,594 |
Greater Than One Year to Three Years | 169,001 |
Greater Than Three Years to Five Years | 6,598 |
Total | 27,352,193 |
Standby letters of credit | |
Contractual obligations and commitments | |
Less Than One Year | 20,728,398 |
Greater Than One Year to Three Years | 169,001 |
Greater Than Three Years to Five Years | 6,598 |
Total | 20,903,997 |
Consolidated obligation bonds/discount notes traded not settled | |
Contractual obligations and commitments | |
Less Than One Year | 6,189,000 |
Total | 6,189,000 |
Commitments to fund additional advances | |
Contractual obligations and commitments | |
Less Than One Year | 200,000 |
Total | 200,000 |
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 | 49,196 |
Total | $ 49,196 |
Commitments and Contingencies_5
Commitments and Contingencies. - Operating Lease (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | Dec. 31, 2019 | |
Assets and Liabilities | |||||
Right-of-use assets | $ 73,036 | $ 73,036 | $ 75,464 | ||
Lease Liabilities | 86,939 | 86,939 | $ 89,365 | ||
Lease Expense and operating cash flows | |||||
Operating Lease Expense | 1,940 | $ 1,899 | 3,880 | $ 3,716 | |
Operating cash flows - Cash Paid | $ 1,982 | $ 1,658 | $ 3,878 | $ 3,191 | |
Weighted Average Discount Rate | 3.29% | 3.29% | 3.29% | ||
Weighted Average Remaining Lease Term | 12 years 6 months | 12 years 6 months | 12 years 11 months 23 days | ||
Operating lease liabilities | |||||
Remainder of 2020 | $ 4,008 | $ 4,008 | $ 7,886 | ||
2021 | 8,107 | 8,107 | 8,107 | ||
2022 | 8,205 | 8,205 | 8,205 | ||
2023 | 8,575 | 8,575 | 8,575 | ||
2024 | 8,282 | 8,282 | 8,282 | ||
Thereafter | 69,886 | 69,886 | 69,886 | ||
Total undiscounted lease payments | 107,063 | 107,063 | 110,941 | ||
Imputed interest | (20,124) | (20,124) | (21,576) | ||
Total operating lease liabilities | $ 86,939 | $ 86,939 | $ 89,365 | ||
Maximum | |||||
Assets and Liabilities | |||||
Operating lease term of contract (in years) | 15 years | 15 years |
Related Party Transactions. - S
Related Party Transactions. - Summary of Activity and Outstanding Balances with Related Parties (Details) | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||||
Jun. 30, 2020USD ($)Institution | Jun. 30, 2019USD ($) | Jun. 30, 2020USD ($)Institution | Jun. 30, 2019USD ($) | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | Mar. 31, 2020USD ($) | Mar. 31, 2019USD ($) | |
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 | $ 0 | $ 0 | ||||
Advances transferred or sold to the FHLBNY from another FHLBank | 0 | 0 | 0 | 0 | ||||
Mortgage-backed securities acquired by FHLBNY from another FHLBank | 0 | 0 | 0 | 0 | ||||
Notional amounts outstanding | 154,655,921,000 | 154,655,921,000 | 108,682,693,000 | |||||
Overnight loans extended to other FHLBanks | 0 | $ 17,000,000 | 4,100,000 | 12,700,000 | ||||
Average overnight loan borrowed from other FHLBanks | 2,800,000 | |||||||
Borrowings from other FHLBanks | $ 0 | 750,000,000 | $ 0 | 750,000,000 | ||||
Number of FHLB Banks entered into capital agreement | Institution | 11 | 11 | ||||||
Assets | ||||||||
Advances | $ 113,788,556,000 | $ 113,788,556,000 | 100,695,241,000 | $ 136,200,000,000 | ||||
Accrued interest receivable | 225,556,000 | 225,556,000 | 312,559,000 | |||||
Liabilities and capital | ||||||||
Deposits | 1,590,357,000 | 1,590,357,000 | 1,194,409,000 | |||||
Mandatorily redeemable capital stock | 3,841,000 | 5,514,000 | 3,841,000 | 5,514,000 | 5,129,000 | 5,845,000 | 4,924,000 | $ 5,755,000 |
Accrued interest payable | 131,432,000 | 131,432,000 | 156,889,000 | |||||
Affordable Housing Program | 159,464,000 | 164,262,000 | 159,464,000 | 164,262,000 | 153,894,000 | 161,718,000 | 155,611,000 | 161,129,000 |
Other liabilities | 158,795,000 | 158,795,000 | 175,516,000 | |||||
Total capital | 8,138,108,000 | 7,547,150,000 | 8,138,108,000 | 7,547,150,000 | 7,531,895,000 | $ 7,746,622,000 | $ 9,001,962,000 | $ 7,374,538,000 |
FHLBank of Chicago | MPF program services | ||||||||
Related Party Transactions | ||||||||
Purchases of mortgage loans, cumulative participations by other Federal Home Loan Banks | 6,700,000 | 6,700,000 | 7,300,000 | |||||
Fees paid | 700,000 | $ 600,000 | 1,300,000 | $ 1,200,000 | ||||
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 | 539,000,000 | 539,000,000 | 536,000,000 | |||||
Related Party | ||||||||
Assets | ||||||||
Advances | 113,788,556,000 | 113,788,556,000 | 100,695,241,000 | |||||
Accrued interest receivable | 119,801,000 | 119,801,000 | 181,792,000 | |||||
Liabilities and capital | ||||||||
Deposits | 1,590,357,000 | 1,590,357,000 | 1,194,409,000 | |||||
Mandatorily redeemable capital stock | 3,841,000 | 3,841,000 | 5,129,000 | |||||
Accrued interest payable | 170,000 | 170,000 | 140,000 | |||||
Affordable Housing Program | 159,464,000 | 159,464,000 | 153,894,000 | |||||
Other liabilities | 35,400,000 | 35,400,000 | 45,388,000 | |||||
Total capital | $ 8,138,108,000 | $ 8,138,108,000 | $ 7,531,895,000 |
Related Party Transactions. -_2
Related Party Transactions. - Summary of Income and Expense Transactions with Related Parties (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Interest income | ||||
Advances | $ 326,230 | $ 704,936 | $ 790,795 | $ 1,396,832 |
Interest-bearing deposits | 482 | 935 | 2,609 | 1,318 |
Loans to other FHLBanks | 104 | 33 | 154 | |
Interest expense | ||||
Deposits | 146 | 5,976 | 3,374 | 11,941 |
Mandatorily redeemable capital stock | 56 | 108 | 135 | 208 |
Cash collateral held and other borrowings | 12 | 204 | 74 | 546 |
Service fees and other | 4,589 | 4,660 | 9,240 | 9,074 |
Related Party | ||||
Interest income | ||||
Advances | 326,230 | 704,936 | 790,795 | 1,396,832 |
Interest-bearing deposits | 2 | 1 | 3 | |
Loans to other FHLBanks | 104 | 33 | 154 | |
Interest expense | ||||
Deposits | 146 | 5,976 | 3,374 | 11,941 |
Mandatorily redeemable capital stock | 56 | 108 | 135 | 208 |
Cash collateral held and other borrowings | 50 | |||
Service fees and other | $ 4,622 | $ 4,117 | $ 9,322 | $ 8,248 |
Segment Information and Conce_3
Segment Information and Concentration. - Top Ten Advance Holders and Associated Interest Income (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2020USD ($)Institution | Jun. 30, 2019USD ($)Institution | Jun. 30, 2020USD ($)Institution | Jun. 30, 2019USD ($)Institution | Dec. 31, 2019USD ($)Institution | |
Segment Information and Concentration | |||||
Large member withdrawals which could significantly decrease assets, capital or business, minimum number | Institution | 1 | ||||
Advances | |||||
Par Advances | $ 112,001,559 | $ 112,001,559 | $ 100,396,078 | ||
Interest Income | $ 326,230 | $ 704,936 | $ 790,795 | $ 1,396,832 | |
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 | 10 | 10 |
Par Advances | $ 87,018,977 | $ 76,305,914 | $ 87,018,977 | $ 76,305,914 | $ 75,829,209 |
Percentage of Total | 77.69% | 74.79% | 75.53% | ||
Par Value of Advances | Credit concentration risk | Citibank, N.A. | |||||
Advances | |||||
Par Advances | 26,450,000 | 23,150,000 | $ 26,450,000 | $ 23,150,000 | $ 23,045,000 |
Percentage of Total | 23.62% | 22.69% | 22.95% | ||
Par Value of Advances | Credit concentration risk | New York Community Bank | |||||
Advances | |||||
Par Advances | 13,552,661 | 11,627,661 | $ 13,552,661 | $ 11,627,661 | $ 13,102,661 |
Percentage of Total | 12.10% | 11.40% | 13.05% | ||
Par Value of Advances | Credit concentration risk | Investors Bank | |||||
Advances | |||||
Par Advances | 4,175,319 | 5,635,474 | $ 4,175,319 | $ 5,635,474 | $ 4,986,397 |
Percentage of Total | 3.73% | 5.52% | 4.97% | ||
Par Value of Advances | Credit concentration risk | Signature Bank | |||||
Advances | |||||
Par Advances | 3,884,245 | 5,362,364 | $ 3,884,245 | $ 5,362,364 | $ 4,142,144 |
Percentage of Total | 3.47% | 5.26% | 4.13% | ||
Par Value of Advances | Credit concentration risk | AXA Equitable Life Insurance Company | |||||
Advances | |||||
Par Advances | 3,990,415 | $ 3,990,415 | $ 6,900,415 | ||
Percentage of Total | 3.91% | 6.87% | |||
Par Value of Advances | Credit concentration risk | Equitable Financial Life Insurance Company | |||||
Advances | |||||
Par Advances | 6,692,475 | $ 6,692,475 | |||
Percentage of Total | 5.98% | ||||
Par Value of Advances | Credit concentration risk | Sterling National Bank | |||||
Advances | |||||
Par Advances | 3,765,000 | $ 3,765,000 | $ 2,245,000 | ||
Percentage of Total | 3.69% | 2.24% | |||
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 | HSBC Bank USA, National Association | |||||
Advances | |||||
Par Advances | 5,750,000 | 2,000,000 | $ 5,750,000 | $ 2,000,000 | |
Percentage of Total | 5.13% | 1.96% | |||
Par Value of Advances | Credit concentration risk | Valley National Bank | |||||
Advances | |||||
Par Advances | 3,362,352 | 3,530,000 | $ 3,362,352 | $ 3,530,000 | $ 2,397,769 |
Percentage of Total | 3.00% | 3.46% | 2.39% | ||
Par Value of Advances | Credit concentration risk | New York Life Insurance Company | |||||
Advances | |||||
Par Advances | 3,000,000 | $ 3,000,000 | $ 2,825,000 | ||
Percentage of Total | 2.94% | 2.81% | |||
Par Value of Advances | Credit concentration risk | Prudential Insurance Company of America | |||||
Advances | |||||
Par Advances | 3,564,325 | $ 3,564,325 | |||
Percentage of Total | 3.18% | ||||
Par Value of Advances | Credit concentration risk | Teachers Ins. & Annuity Assoc of America | |||||
Advances | |||||
Par Advances | 3,387,600 | $ 3,387,600 | |||
Percentage of Total | 3.02% | ||||
Par Value of Advances | Credit concentration risk | MetLife, Inc | |||||
Advances | |||||
Par Advances | 16,200,000 | $ 16,200,000 | |||
Percentage of Total | 14.46% | ||||
Par Value of Advances | Credit concentration risk | Metropolitan Life Insurance Company | |||||
Advances | |||||
Par Advances | 15,245,000 | 14,245,000 | $ 15,245,000 | $ 14,245,000 | $ 14,445,000 |
Percentage of Total | 13.61% | 13.96% | 14.39% | ||
Par Value of Advances | Credit concentration risk | Metropolitan Tower Life Insurance Company | |||||
Advances | |||||
Par Advances | 955,000 | $ 955,000 | |||
Percentage of Total | 0.85% | ||||
Interest income, top ten advance holders | Member concentration | Top ten advance holders | |||||
Advances | |||||
Interest Income | $ 301,227 | $ 500,492 | $ 650,024 | $ 964,828 | $ 1,754,777 |
Percentage of Total | 100.00% | 100.00% | 100.00% | 100.00% | 100.00% |
Interest income, top ten advance holders | Member concentration | Citibank, N.A. | |||||
Advances | |||||
Interest Income | $ 99,454 | $ 172,617 | $ 206,533 | $ 306,535 | $ 486,275 |
Percentage of Total | 33.02% | 34.49% | 31.78% | 31.77% | 27.71% |
Interest income, top ten advance holders | Member concentration | New York Community Bank | |||||
Advances | |||||
Interest Income | $ 58,381 | $ 64,027 | $ 123,458 | $ 128,552 | $ 259,207 |
Percentage of Total | 19.38% | 12.79% | 18.99% | 13.33% | 14.77% |
Interest income, top ten advance holders | Member concentration | Investors Bank | |||||
Advances | |||||
Interest Income | $ 16,056 | $ 31,527 | $ 40,036 | $ 59,733 | $ 115,789 |
Percentage of Total | 5.33% | 6.30% | 6.16% | 6.19% | 6.60% |
Interest income, top ten advance holders | Member concentration | Signature Bank | |||||
Advances | |||||
Interest Income | $ 14,643 | $ 35,219 | $ 36,450 | $ 68,317 | $ 127,299 |
Percentage of Total | 4.86% | 7.04% | 5.61% | 7.08% | 7.26% |
Interest income, top ten advance holders | Member concentration | AXA Equitable Life Insurance Company | |||||
Advances | |||||
Interest Income | $ 25,004 | $ 49,947 | $ 111,997 | ||
Percentage of Total | 5.00% | 5.18% | 6.38% | ||
Interest income, top ten advance holders | Member concentration | Equitable Financial Life Insurance Company | |||||
Advances | |||||
Interest Income | $ 18,184 | $ 47,371 | |||
Percentage of Total | 6.04% | 7.29% | |||
Interest income, top ten advance holders | Member concentration | Sterling National Bank | |||||
Advances | |||||
Interest Income | $ 18,677 | $ 42,937 | $ 76,029 | ||
Percentage of Total | 3.73% | 4.45% | 4.33% | ||
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 | HSBC Bank USA, National Association | |||||
Advances | |||||
Interest Income | $ 14,001 | $ 13,478 | $ 19,856 | $ 31,776 | |
Percentage of Total | 4.65% | 2.69% | 3.05% | 3.29% | |
Interest income, top ten advance holders | Member concentration | Valley National Bank | |||||
Advances | |||||
Interest Income | $ 13,177 | $ 21,846 | $ 26,608 | $ 41,705 | $ 88,389 |
Percentage of Total | 4.37% | 4.36% | 4.09% | 4.32% | 5.04% |
Interest income, top ten advance holders | Member concentration | New York Life Insurance Company | |||||
Advances | |||||
Interest Income | $ 20,974 | $ 42,967 | $ 81,348 | ||
Percentage of Total | 4.19% | 4.45% | 4.64% | ||
Interest income, top ten advance holders | Member concentration | Prudential Insurance Company of America | |||||
Advances | |||||
Interest Income | $ 9,343 | $ 13,083 | |||
Percentage of Total | 3.10% | 2.01% | |||
Interest income, top ten advance holders | Member concentration | Teachers Ins. & Annuity Assoc of America | |||||
Advances | |||||
Interest Income | $ 4,614 | $ 9,284 | |||
Percentage of Total | 1.53% | 1.43% | |||
Interest income, top ten advance holders | Member concentration | MetLife, Inc | |||||
Advances | |||||
Interest Income | $ 53,374 | $ 127,345 | |||
Percentage of Total | 17.72% | 19.59% | |||
Interest income, top ten advance holders | Member concentration | Metropolitan Life Insurance Company | |||||
Advances | |||||
Interest Income | $ 52,741 | $ 97,123 | $ 126,712 | $ 192,359 | $ 367,507 |
Percentage of Total | 17.51% | 19.41% | 19.49% | 19.94% | 20.94% |
Interest income, top ten advance holders | Member concentration | Metropolitan Tower Life Insurance Company | |||||
Advances | |||||
Interest Income | $ 633 | $ 633 | |||
Percentage of Total | 0.21% | 0.10% |