Document_and_Entity_Informatio
Document and Entity Information | 9 Months Ended | |
Sep. 30, 2013 | Oct. 31, 2013 | |
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 | 30-Sep-13 | ' |
Amendment Flag | 'false | ' |
Current Fiscal Year End Date | '--12-31 | ' |
Entity Current Reporting Status | 'Yes | ' |
Entity Filer Category | 'Non-accelerated Filer | ' |
Entity Common Stock, Shares Outstanding | ' | 55,489,697 |
Document Fiscal Year Focus | '2013 | ' |
Document Fiscal Period Focus | 'Q3 | ' |
Statements_of_Condition
Statements of Condition (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Assets | ' | ' |
Cash and due from banks (Note 3) | $11,520,885 | $7,553,188 |
Federal funds sold (Note 4) | 4,878,000 | 4,091,000 |
Available-for-sale securities, net of unrealized gains of $13,963 at September 30, 2013 and $22,506 at December 31, 2012 (Note 6) | 1,689,241 | 2,308,774 |
Held-to-maturity securities (Note 5) | 12,002,497 | 11,058,764 |
Advances (Note 7) (Includes $17,707,659 at September 30, 2013 and $500,502 at December 31, 2012 at fair value under the fair value option) | 89,121,435 | 75,888,001 |
Mortgage loans held-for-portfolio, net of allowance for credit losses of $6,326 at September 30, 2013 and $6,982 at December 31, 2012 (Note 8) | 1,932,855 | 1,842,816 |
Accrued interest receivable | 171,895 | 179,044 |
Premises, software, and equipment | 12,031 | 11,576 |
Derivative assets (Note 16) | 43,536 | 41,894 |
Other assets | 13,764 | 13,743 |
Total assets | 121,386,139 | 102,988,800 |
Deposits (Note 9) | ' | ' |
Interest-bearing demand | 1,522,886 | 1,994,974 |
Non-interest-bearing demand | 13,047 | 19,537 |
Term | 55,000 | 40,000 |
Total deposits | 1,590,933 | 2,054,511 |
Consolidated obligations, net (Note 10) | ' | ' |
Bonds (Includes $21,919,327 at September 30, 2013 and $12,740,883 at December 31, 2012 at fair value under the fair value option) | 70,361,388 | 64,784,321 |
Discount notes (Includes $599,719 at September 30, 2013 and $1,948,987 at December 31, 2012 at fair value under the fair value option) | 42,262,116 | 29,779,947 |
Total consolidated obligations | 112,623,504 | 94,564,268 |
Mandatorily redeemable capital stock (Note 12) | 23,618 | 23,143 |
Accrued interest payable | 143,900 | 127,664 |
Affordable Housing Program (Note 11) | 119,786 | 134,942 |
Derivative liabilities (Note 16) | 388,320 | 426,788 |
Other liabilities | 170,954 | 165,655 |
Total liabilities | 115,061,015 | 97,496,971 |
Commitments and Contingencies (Notes 12, 16 and 18) | ' | ' |
Capital (Note 12) | ' | ' |
Capital stock ($100 par value), putable, issued and outstanding shares: 54,827 at September 30, 2013 and 47,975 at December 31, 2012 | 5,482,651 | 4,797,457 |
Retained earnings | ' | ' |
Unrestricted | 823,875 | 797,567 |
Restricted (Note 12) | 139,503 | 96,185 |
Total retained earnings | 963,378 | 893,752 |
Total accumulated other comprehensive loss (Note 13) | -120,905 | -199,380 |
Total capital | 6,325,124 | 5,491,829 |
Total liabilities and capital | $121,386,139 | $102,988,800 |
Statements_of_Condition_Parent
Statements of Condition (Parenthetical) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, except Per Share data, unless otherwise specified | ||
Statements of Condition | ' | ' |
Available For Sale securities, unrealized gains | $13,963 | $22,506 |
Advances, at fair value under the fair value option | 17,707,659 | 500,502 |
Mortgage loans held-for-portfolio, allowance for credit losses | 6,326 | 6,982 |
Bonds, at fair value under the fair value option | 21,919,327 | 12,740,883 |
Discount notes, at fair value under the fair value option | $599,719 | $1,948,987 |
Capital stock, par value (in dollars per share) | $100 | $100 |
Capital stock, putable shares (in shares) | 54,827 | 47,975 |
Capital stock, issued shares (in shares) | 54,827 | 47,975 |
Capital stock, outstanding shares (in shares) | 54,827 | 47,975 |
Statements_of_Income
Statements of Income (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, except Per Share data, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Interest income | ' | ' | ' | ' |
Advances (Note 7) | $113,623 | $133,412 | $324,396 | $405,069 |
Interest-bearing deposits (Note 3) | 313 | 971 | 1,712 | 2,593 |
Federal funds sold (Note 4) | 2,335 | 4,272 | 9,731 | 11,075 |
Available-for-sale securities (Note 6) | 3,887 | 5,731 | 12,998 | 18,503 |
Held-to-maturity securities (Note 5) | 60,335 | 68,309 | 178,509 | 207,244 |
Mortgage loans held-for-portfolio (Note 8) | 17,026 | 16,461 | 50,832 | 48,626 |
Loans to other FHLBanks (Note 19) | 5 | 1 | 23 | 3 |
Total interest income | 197,524 | 229,157 | 578,201 | 693,113 |
Interest expense | ' | ' | ' | ' |
Consolidated obligations-bonds (Note 10) | 73,557 | 94,110 | 221,129 | 291,344 |
Consolidated obligations-discount notes (Note 10) | 17,620 | 16,999 | 51,708 | 39,938 |
Deposits (Note 9) | 134 | 150 | 445 | 572 |
Mandatorily redeemable capital stock (Note 12) | 250 | 398 | 732 | 1,572 |
Cash collateral held and other borrowings (Note 19) | ' | 4 | 4 | 28 |
Total interest expense | 91,561 | 111,661 | 274,018 | 333,454 |
Net interest income before provision for credit losses | 105,963 | 117,496 | 304,183 | 359,659 |
(Reversal)/Provision for credit losses on mortgage loans | -151 | 234 | 54 | 893 |
Net interest income after provision for credit losses | 106,114 | 117,262 | 304,129 | 358,766 |
Other income (loss) | ' | ' | ' | ' |
Service fees and other | 2,514 | 2,633 | 7,453 | 6,688 |
Instruments held at fair value - Unrealized (losses) gains (Note 17) | -5,468 | -9,399 | 5,454 | -95 |
Total OTTI losses | ' | -81 | ' | -451 |
Net amount of impairment losses reclassified from Accumulated other comprehensive loss | ' | -534 | ' | -1,490 |
Net impairment losses recognized in earnings | ' | -615 | ' | -1,941 |
Net realized and unrealized (losses) gains on derivatives and hedging activities (Note 16) | -12,092 | 14,955 | 2,167 | 38,790 |
Net realized gains from sale of available-for-sale securities and redemption of held-to-maturity securities (Notes 5 and 6) | ' | ' | ' | 256 |
Losses from extinguishment of debt | ' | -4,476 | -8,913 | -24,106 |
Total other (loss) income | -15,046 | 3,098 | 6,161 | 19,592 |
Other expenses | ' | ' | ' | ' |
Operating | 6,729 | 6,022 | 20,751 | 20,485 |
Compensation and benefits | 13,172 | 12,726 | 40,579 | 40,133 |
Finance Agency and Office of Finance | 2,911 | 3,301 | 9,002 | 9,946 |
Total other expenses | 22,812 | 22,049 | 70,332 | 70,564 |
Income before assessments | 68,256 | 98,311 | 239,958 | 307,794 |
Affordable Housing Program Assessments (Note 11) | 6,920 | 9,870 | 24,138 | 30,936 |
Net income | $61,336 | $88,441 | $215,820 | $276,858 |
Basic earnings per share (Note 14) (in dollars per share) | $1.15 | $1.81 | $4.43 | $5.99 |
Cash dividends paid per share (in dollars per share) | $0.99 | $1.12 | $3.11 | $3.50 |
Statements_of_Comprehensive_In
Statements of Comprehensive Income (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Statements of Comprehensive Income | ' | ' | ' | ' |
Net Income | $61,336 | $88,441 | $215,820 | $276,858 |
Net unrealized gains/losses on available-for-sale securities | ' | ' | ' | ' |
Unrealized (losses) gains | -5,501 | 1,742 | -8,543 | 6,887 |
Net non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | ' | ' | ' | ' |
Non-credit portion of other-than-temporary impairment losses | ' | ' | ' | -132 |
Reclassification of non-credit portion included in net income | ' | 534 | ' | 1,622 |
Accretion of non-credit portion | 2,511 | 2,908 | 7,760 | 8,154 |
Total net non-credit portion of other-than-temporary impairment gains on held-to-maturity securities | 2,511 | 3,442 | 7,760 | 9,644 |
Net unrealized gains/losses relating to hedging activities | ' | ' | ' | ' |
Unrealized gains (losses) | 1,436 | -10,698 | 75,474 | -38,171 |
Reclassification of losses included in net income | 780 | 1,058 | 2,642 | 3,272 |
Total net unrealized gains (losses) relating to hedging activities | 2,216 | -9,640 | 78,116 | -34,899 |
Pension and postretirement benefits | 381 | 344 | 1,142 | 1,031 |
Total other comprehensive (loss) income | -393 | -4,112 | 78,475 | -17,337 |
Total comprehensive income | $60,943 | $84,329 | $294,295 | $259,521 |
Statements_of_Capital_Equity
Statements of Capital (Equity) (USD $) | Total | Capital Stock | Total Retained Earnings | Unrestricted Retained Earnings | Restricted Retained Earnings | Accumulated Other Comprehensive Income (Loss) | ||
In Thousands, unless otherwise specified | Class B | |||||||
Balance at Dec. 31, 2011 | $5,046,411 | $4,490,601 | [1] | $746,237 | $722,198 | $24,039 | ($190,427) | |
Balance (in shares) at Dec. 31, 2011 | [1] | ' | 44,906 | ' | ' | ' | ' | |
Increase (decrease) in shareholders' equity | ' | ' | ' | ' | ' | ' | ||
Proceeds from issuance of capital stock | 2,940,626 | 2,940,626 | [1] | ' | ' | ' | ' | |
Proceeds from issuance of capital stock (in shares) | [1] | ' | 29,406 | ' | ' | ' | ' | |
Repurchase/redemption of capital stock | -2,560,909 | -2,560,909 | [1] | ' | ' | ' | ' | |
Repurchase/redemption of capital stock (in shares) | [1] | ' | -25,609 | ' | ' | ' | ' | |
Shares reclassified to mandatorily redeemable capital stock | -45 | -45 | [1] | ' | ' | ' | ' | |
Cash dividends ($3.11 and $3.50 per share for nine months ended September 30, 2013 and 2012, respectively) on capital stock | -158,264 | ' | -158,264 | -158,264 | ' | ' | ||
Comprehensive income (loss) | 259,521 | ' | 276,858 | 221,486 | 55,372 | -17,337 | ||
Balance at Sep. 30, 2012 | 5,527,340 | 4,870,273 | [1] | 864,831 | 785,420 | 79,411 | -207,764 | |
Balance (in shares) at Sep. 30, 2012 | [1] | ' | 48,703 | ' | ' | ' | ' | |
Balance at Dec. 31, 2012 | 5,491,829 | 4,797,457 | [1] | 893,752 | 797,567 | 96,185 | -199,380 | |
Balance (in shares) at Dec. 31, 2012 | [1] | ' | 47,975 | ' | ' | ' | ' | |
Increase (decrease) in shareholders' equity | ' | ' | ' | ' | ' | ' | ||
Proceeds from issuance of capital stock | 3,192,451 | 3,192,451 | [1] | ' | ' | ' | ' | |
Proceeds from issuance of capital stock (in shares) | [1] | ' | 31,925 | ' | ' | ' | ' | |
Repurchase/redemption of capital stock | -2,502,805 | -2,502,805 | [1] | ' | ' | ' | ' | |
Repurchase/redemption of capital stock (in shares) | [1] | ' | -25,028 | ' | ' | ' | ' | |
Shares reclassified to mandatorily redeemable capital stock | -4,452 | -4,452 | [1] | ' | ' | ' | ' | |
Shares reclassified to mandatorily redeemable capital stock (in shares) | [1] | ' | -45 | ' | ' | ' | ' | |
Cash dividends ($3.11 and $3.50 per share for nine months ended September 30, 2013 and 2012, respectively) on capital stock | -146,194 | ' | -146,194 | -146,194 | ' | ' | ||
Comprehensive income (loss) | 294,295 | ' | 215,820 | 172,502 | 43,318 | 78,475 | ||
Balance at Sep. 30, 2013 | $6,325,124 | $5,482,651 | [1] | $963,378 | $823,875 | $139,503 | ($120,905) | |
Balance (in shares) at Sep. 30, 2013 | [1] | ' | 54,827 | ' | ' | ' | ' | |
[1] | Putable stock |
Statements_of_Capital_Parenthe
Statements of Capital (Parenthetical) (USD $) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |
Statements of Capital | ' | ' | ' | ' |
Cash dividends on capital stock (in dollars per share) | $0.99 | $1.12 | $3.11 | $3.50 |
Statements_of_Cash_Flows
Statements of Cash Flows (USD $) | 9 Months Ended | |||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | ||
Operating activities | ' | ' | ||
Net Income | $215,820 | $276,858 | ||
Depreciation and amortization: | ' | ' | ||
Net premiums and discounts on consolidated obligations, investments, mortgage loans and other adjustments | 55,500 | -13,674 | ||
Concessions on consolidated obligations | 3,120 | 3,387 | ||
Premises, software, and equipment | 2,778 | 3,276 | ||
Provision for credit losses on mortgage loans | 54 | 893 | ||
Net realized gains from redemption of held-to-maturity securities | ' | -256 | ||
Credit impairment losses on held-to-maturity securities | ' | 1,941 | ||
Change in net fair value adjustments on derivatives and hedging activities | 99,455 | 198,666 | ||
Change in fair value adjustments on financial instruments held at fair value | -5,454 | 95 | ||
Losses from extinguishment of debt | 8,913 | 24,106 | ||
Net change in: | ' | ' | ||
Accrued interest receivable | 2,386 | -11,006 | ||
Derivative assets due to accrued interest | 16,256 | 2,033 | ||
Derivative liabilities due to accrued interest | -10,118 | 5,981 | ||
Other assets | 3,840 | 3,750 | ||
Affordable Housing Program liability | -15,156 | 8,301 | ||
Accrued interest payable | 15,897 | 25,109 | ||
Other liabilities | -3,251 | 782 | ||
Total adjustments | 174,220 | 253,384 | ||
Net cash provided by operating activities | 390,040 | 530,242 | ||
Net change in: | ' | ' | ||
Interest-bearing deposits | 843,540 | -143,319 | ||
Securities purchased under agreements to resell | ' | -200,000 | ||
Federal funds sold | -787,000 | -8,976,000 | ||
Deposits with other FHLBanks | -289 | -90 | ||
Premises, software, and equipment | -3,234 | -2,166 | ||
Held-to-maturity securities: | ' | ' | ||
Purchased | -2,520,273 | -3,409,692 | ||
Repayments | 1,581,182 | 1,863,441 | ||
In-substance maturities | ' | 4,998 | ||
Available-for-sale securities: | ' | ' | ||
Repayments | 612,928 | 631,231 | ||
Proceeds from sales | 600 | 563 | ||
Advances: | ' | ' | ||
Principal collected | 416,091,032 | 347,466,634 | ||
Made | -430,560,383 | -354,378,811 | ||
Mortgage loans held-for-portfolio: | ' | ' | ||
Principal collected | 262,917 | 245,744 | ||
Purchased | -361,866 | -587,845 | ||
Proceeds from sales of REO | 1,139 | 993 | ||
Net cash used in investing activities | -14,839,707 | -17,484,319 | ||
Net change in: | ' | ' | ||
Deposits and other borrowings | -461,710 | -315,930 | ||
Derivative contracts with financing element | -176,368 | -201,268 | ||
Consolidated obligation bonds: | ' | ' | ||
Proceeds from issuance | 49,700,218 | 40,830,519 | ||
Payments for maturing and early retirement | -43,641,524 | -43,115,814 | ||
Net payments on bonds transferred to other FHLBanks | -28,943 | [1] | ' | |
Consolidated obligation discount notes: | ' | ' | ||
Proceeds from issuance | 128,770,058 | 120,033,136 | ||
Payments for maturing | -116,283,842 | -108,440,816 | ||
Capital stock: | ' | ' | ||
Proceeds from issuance of capital stock | 3,192,451 | 2,940,626 | ||
Payments for repurchase/redemption of capital stock | -2,502,805 | -2,560,909 | ||
Redemption of mandatorily redeemable capital stock | -3,977 | -34,378 | ||
Cash dividends paid | -146,194 | [2] | -158,264 | [2] |
Net cash provided by financing activities | 18,417,364 | 8,976,902 | ||
Net increase (decrease) in cash and due from banks | 3,967,697 | -7,977,175 | ||
Cash and due from banks at beginning of the period | 7,553,188 | 10,877,790 | ||
Cash and due from banks at end of the period | 11,520,885 | 2,900,615 | ||
Supplemental disclosures: | ' | ' | ||
Interest paid | 283,199 | 324,489 | ||
Affordable Housing Program payments | 39,294 | [3] | 22,635 | [3] |
Transfers of mortgage loans to real estate owned | 2,317 | 1,191 | ||
Portion of non-credit OTTI gains on held-to-maturity securities | ' | ($1,490) | ||
[1] | For information about bonds transferred to other FHLBanks, see Note 19. Related Party Transactions. | |||
[2] | Does not include payments to holders of mandatorily redeemable capital stock. Such payments are reported as interest expense. | |||
[3] | AHP payments =beginning accrual - ending accrual) + AHP assessment for the period; payments represent funds released to the Affordable Housing Program. |
Background_Tax_Status_Assessme
Background, Tax Status, Assessments and Basis of Presentation | 9 Months Ended |
Sep. 30, 2013 | |
Background, Tax Status, Assessments and Basis of Presentation | ' |
Background, Tax Status, Assessments and Basis of Presentation | ' |
Background | |
The Federal Home Loan Bank of New York (“FHLBNY” or “the Bank”) is a federally chartered corporation, and is one of twelve 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 12 FHLBanks must set aside the greater of $100 million or 10 percent of their regulatory defined net income for the Affordable Housing Program. For more information about the AHP, see the FHLBNY’s most recent Form 10-K filed on March 25, 2013. | |
Basis of Presentation | |
The preparation of financial statements in accordance with generally accepted accounting principles in the U.S. requires management to make a number of judgments, estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities (if applicable), and the reported amounts of income and expense during the reported periods. Although management believes these judgments, estimates and assumptions to be appropriate, actual results may differ. The information contained in these financial statements is unaudited. In the opinion of management, normal recurring adjustments necessary for a fair presentation of the interim period results have been made. These unaudited financial statements should be read in conjunction with the FHLBNY’s audited financial statements for the year ended December 31, 2012 included in Form 10-K filed on March 25, 2013. |
Significant_Accounting_Policie
Significant Accounting Policies and Estimates. | 9 Months Ended | |||||||||||||
Sep. 30, 2013 | ||||||||||||||
Significant Accounting Policies and Estimates. | ' | |||||||||||||
Significant Accounting Policies and Estimates. | ' | |||||||||||||
Note 1. Significant Accounting Policies and Estimates. | ||||||||||||||
Change in Accounting Principle | ||||||||||||||
During the period ended December 31, 2012, the FHLBNY changed its presentation of the amortization of fair value hedge basis adjustments of modified advances. From time to time, the FHLBNY will enter into an agreement with a member to modify the terms of an existing advance. If the FHLBNY determines the modification is minor, the subsequent advance is considered a modification of the original advance. If the modified advance is also hedged under a qualifying fair value hedge, the fair value basis adjustment at the modification date will be amortized over the life of the modified advance on a level-yield basis even if the modified advance was designated after modification in a fair value hedge relationship. Prior to the change, the FHLBNY had previously made an accounting policy election to present the amortization of the hedge basis adjustment as a component of Interest income from advances. Beginning in the fourth quarter of 2012, the FHLBNY began presenting the amortization of fair value basis of the modified hedged advance in Other income (loss) as a Net realized and unrealized gains (losses) on derivatives and hedging activities. The change in presentation is preferable as the Interest income from advances would not be impacted by the amortization if the advance is continuously hedged, and the total Interest income and Net interest income would more closely reflect the economics of the FHLBNY’s interest margin. The preferability of one acceptable method of accounting over another for hedge adjustments to an hedged item, which continues to be hedged when simultaneously dedesignated from one hedge relationship and redesignated into another hedge relationship, has not been addressed in any authoritative accounting literature. The FHLBNY reclassified the appropriate line items in the Statements of Income for the three and nine months ended September 30, 2012, which reflects an increase in reported Interest income from Advances within Net interest income by $30.1 million and $88.3 million and corresponding decreases in Net realized and unrealized gains (losses) from derivatives and hedging activities in Other income (loss). The change in presentation had no impact on Net income for any periods in this report since the change impacted only the presentation of the amortization of the hedge basis adjustment. | ||||||||||||||
The following table summarizes the reclassifications (in thousands): | ||||||||||||||
Three months ended | Nine months ended | |||||||||||||
September 30, | September 30, | |||||||||||||
2012 | 2012 | 2012 | 2012 | |||||||||||
Adjusted | As Previously | Adjusted | As Previously | |||||||||||
Reported | Reported | |||||||||||||
Interest income | ||||||||||||||
Advances | $ | 133,412 | $ | 103,274 | $ | 405,069 | $ | 316,774 | ||||||
Total interest income | 229,157 | 199,019 | 693,113 | 604,818 | ||||||||||
Net interest income before provision for credit losses | 117,496 | 87,358 | 359,659 | 271,364 | ||||||||||
Net interest income after provision for credit losses | 117,262 | 87,124 | 358,766 | 270,471 | ||||||||||
Other income (loss) | ||||||||||||||
Net realized and unrealized gains on derivatives and hedging activities | 14,955 | 45,093 | 38,790 | 127,085 | ||||||||||
Total other income | 3,098 | 33,236 | 19,592 | 107,887 | ||||||||||
Significant Accounting Policies and Estimates | ||||||||||||||
The FHLBNY has identified certain accounting policies that it believes are significant because they require management to make subjective judgments about matters that are inherently uncertain and because of the likelihood that materially different amounts would be reported under different conditions or by using different assumptions. These policies include estimating the allowance for credit losses on the advance and mortgage loan portfolios, evaluating the impairment of the Bank’s securities portfolios, and estimating fair values of certain assets and liabilities. There have been no significant changes to accounting policies from those identified in Note 1. Significant Accounting Policies and Estimates in Notes to the Financial Statements in the Bank’s most recent Form 10-K filed on March 25, 2013, which contains a summary of the Bank’s significant accounting policies and estimates. | ||||||||||||||
Recently Adopted Significant Accounting Policies | ||||||||||||||
Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income. — In February 2013, the Financial Accounting Standards Board (“FASB”) issued ASU No. 2013-02, Comprehensive Income (Topic 220): Reporting of Amounts Reclassified out of Accumulated Other Comprehensive Income. The ASU requires new footnote disclosures of items reclassified from accumulated OCI to net income. The requirements became effective in the first quarter of 2013. For the FHLBNY, the expanded disclosures include reclassifications from AOCI for previously recorded non-credit losses due to OTTI, realized gains and losses due to cash flow hedges, gains and losses due to changes in assumptions of supplemental pension and postretirement benefit plans, and reclassifications of gains and losses on available-for-sale securities. The application of this guidance resulted in expanded disclosures and had no impact on the FHLBNY’s financial condition, results of operations or cash flows. See Note 13. Total Comprehensive Income. | ||||||||||||||
Disclosures about Offsetting Assets and Liabilities. — In December 2011, the FASB issued ASU No. 2011-11, Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities. The standard requires enhanced disclosures about certain financial instruments and derivative instruments that are either offset in the balance sheet (presented on a net basis) or subject to an enforceable master netting arrangement or similar arrangement. In January 2013, the FASB clarified that the scope of this guidance is limited to derivatives, repurchase and reverse repurchase agreements, and securities borrowing and lending transactions. | ||||||||||||||
The new disclosures requirements should enhance comparability between those companies that prepare their financial statements on the basis of U.S. GAAP and those financial statements in accordance with International Financial Reporting Standards (“IFRS”). On adoption, this guidance will require the FHLBNY to disclose both gross and net information about certain financial instruments and derivative instruments, which are either offset on the statement of condition or subject to an enforceable master netting arrangement or similar agreement. This guidance became effective for interim and annual periods beginning January 1, 2013 and was applied retrospectively for all comparative periods presented. The application of this guidance resulted in additional disclosures and had no impact on the FHLBNY’s financial condition, results of operations or cash flows. See Note 16. Derivatives and Hedging Activities. |
Recently_Issued_Accounting_Sta
Recently Issued Accounting Standards and Interpretations. | 9 Months Ended |
Sep. 30, 2013 | |
Recently Issued Accounting Standards and Interpretations. | ' |
Recently Issued Accounting Standards and Interpretations. | ' |
Note 2. Recently Issued Accounting Standards and Interpretations. | |
Joint and Several Liability Arrangements. In February 2013, the FASB issued ASU No. 2013-04, Liabilities (Topic 405): Obligations Resulting from Joint and Several Liability Arrangements for Which the Total Amount of the Obligation Is Fixed at the Reporting Date. This guidance requires an entity to measure these obligations as the sum of (1) the amount the reporting entity agreed to pay on the basis of its arrangement among its co-obligors and (2) any additional amount the reporting entity expects to pay on behalf of its co-obligors. In addition, this guidance requires an entity to disclose the nature and amount of the obligation as well as other information about those obligations. This guidance is effective for interim and annual periods beginning on or after December 15, 2013 and should be applied retrospectively for obligations with joint and several liabilities existing at the beginning of an entity’s fiscal year of adoption. | |
The FHLBanks issue Consolidated Obligation debt for which each FHLBank, including the FHLBNY, is jointly and severally liable. If a FHLBank defaulted on its payment, the non-defaulting FHLBanks may be required to make a payment on behalf of the defaulting FHLBank. The amount of the payment would be based on the allocation determined by the Federal Housing Finance Agency (“FHFA”) under its regulatory authority. When a Consolidated obligation debt is issued, a FHLBank records a liability for its direct obligation. No FHLBank receives a fee for assuming its joint and several liability. Historically, the FHLBanks have accounted for its joint and several liability using the accounting guidance for a related-party guarantee, and each FHLBank discloses its obligation of Consolidated obligations (other than Consolidated obligation Discount Notes with a maturity of one year or less) for which it is the primary obligor in a Form 8-K filing. In each periodic filing with the Securities and Exchange Commission, the FHLBanks also disclose their joint and several obligations. The FHLBanks record their liability for debt issuances for which it is the direct obligor, and no amounts are recorded for the joint and several obligations. | |
Upon adoption of ASU No. 2013-04 on January 1, 2014, the FHLBanks will continue to recognize the Consolidated obligations for which it is the direct obligor as a liability, and will recognize $0 as the amount it expects to pay on behalf of the other FHLBanks, unless a default occurs and the FHFA mandates an allocation of a shortfall. Adoption of ASU No. 2013-04 will have no impact on the FHLBNY’s financial condition, results of operations or cash flows. | |
See Note 10. Consolidated Obligations, and Note 18. Commitments and Contingencies for disclosures specific to the FHLBNY’s joint and several obligations. | |
Framework For Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention. On April 9, 2012, the FHFA, the FHLBank’s regulator, issued Advisory Bulletin 2012-02 (“Advisory Bulletin”) that establishes adverse classification, identification of Special Mention assets and off-balance sheet credit exposures. The guidance is expected to be applied prospectively, and was effective at issuance. However, the FHFA issued additional guidance that extends the effective date of the classification guidelines in the Advisory Bulletin to January 1, 2014. | |
The guidance also prescribes the timing of asset charge-offs if an asset is at 180 days or more past due, subject to certain conditions. The FHFA has extended the effective date of the charge-off guidelines to January 1, 2015. | |
The FHLBNY is continuing to review the guidance, and its preliminary conclusion is that adoption of the Advisory Bulletin would change the FHLBNY’s existing charge-off policy, but would not impact the Bank’s credit classification practices or the credit loss measurement methodologies in any significant manner. Under existing policies, the FHLBNY records a charge-off on MPF loans based upon the occurrence of a confirming event, which is typically the occurrence of an in-substance foreclosure (which occurs when the PFI takes physical possession of real estate without having to go through formal foreclosure procedures) or actual foreclosure. Adoption of the Advisory Bulletin may accelerate the timing of charge-offs, and the FHLBNY is reviewing the operational aspects of implementing the guidance. The FHLBNY’s current practice is to record credit loss allowance on a loan level basis on all MPF loans delinquent 90 days or more (for loans in bankruptcy status, an allowance is recorded regardless of delinquency status), and to measure the allowance based on the shortfall of the value of collateral (less estimated selling costs) to the recorded investment in the impaired loan. Therefore, the FHLBNY does not expect an acceleration of the charge-offs to have a material impact on the financial condition, results of operations and cash flows. |
Cash_and_Due_from_Banks
Cash and Due from Banks. | 9 Months Ended |
Sep. 30, 2013 | |
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 included in Cash and due from banks. | |
Pass-through Deposit Reserves | |
The FHLBNY acts as a pass-through correspondent for member institutions required to deposit reserves with the Federal Reserve Banks. Pass-through reserves deposited with Federal Reserve Banks were $93.0 million and $85.1 million as of September 30, 2013 and December 31, 2012. The FHLBNY includes member reserve balances in Other liabilities in the Statements of Condition. | |
Cash Collateral Pledged to Derivative Counterparties | |
The FHLBNY executes derivatives with major swap dealers and financial institutions (“derivative counterparties” or “counterparties”), and enters into bilateral collateral agreements. Beginning June 10, 2013, certain of the FHLBNY’s derivatives are cleared and settled through one or several Derivative Clearing Organizations (“DCO”) as mandated under the Dodd-Frank Act. The FHLBNY considers the DCO as a derivative counterparty. For both bilaterally executed derivatives and derivatives cleared through a DCO, when derivative counterparties are exposed, the FHLBNY would post cash as pledged collateral to mitigate the counterparty’s credit exposure. | |
At September 30, 2013 and December 31, 2012, the FHLBNY had deposited $1.7 billion and $2.5 billion with counterparties and these amounts earned interest generally at the overnight Federal funds rate. The cash posted was recorded as a deduction to Derivative liabilities, as provided under master netting agreements or under a legal netting opinion. Excess cash posted was classified as a Derivative asset. | |
See Credit Risk due to nonperformance by counterparties in Note 16. Derivatives and Hedging activities. | |
Federal_Funds_Sold_and_Securit
Federal Funds Sold and Securities Purchased Under Agreements to Resell. | 9 Months Ended |
Sep. 30, 2013 | |
Federal Funds Sold and Securities Purchased Under Agreements to Resell. | ' |
Federal Funds Sold and Securities Purchased Under Agreements to Resell. | ' |
Note 4. Federal Funds Sold and Securities Purchased Under Agreements to Resell. | |
Federal funds sold — Federal funds sold were unsecured overnight advances to financial institution counterparties. At September 30, 2013 and December 31, 2012, amounts outstanding were $4.9 billion and $4.1 billion. The daily average Federal funds sold in the three and nine months ended September 30, 2013 were $14.9 billion and $13.9 billion. The daily averages in the comparable periods in 2012 were $12.2 billion and $11.6 billion. In the 12 months ended December 31, 2012, the daily average was $11.4 billion. | |
Securities purchased under agreements to resell — As part of the FHLBNY’s banking activities, the FHLBNY may enter into secured financing transactions that mature overnight, and can be extended only at the discretion of the FHLBNY. These transactions involve the lending of cash, against which marketable securities are taken as collateral. The amount of cash loaned against the securities collateral is a function of the liquidity and quality of the collateral. The collateral is typically in the form of highly-rated marketable securities, and 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. Under these agreements, the FHLBNY would not have the right to repledge the securities received. Securities purchased under agreements to resell (reverse repos) generally do not constitute a sale for accounting purposes of the underlying securities and so are treated as collateralized financing transactions. There were no balances outstanding at September 30, 2013 or December 31, 2012. Transaction balances averaged $106.5 million and $35.8 million in the three and nine months ended September 30, 2012 and $42.1 million in the twelve months ended December 31, 2012. | |
The impact to Net interest income from securities purchased under agreements to resell was not significant in the three and nine months ended September 30, 2012 and was included in Interest income from Federal funds sold in the Statements of Income. |
HeldtoMaturity_Securities
Held-to-Maturity Securities. (Held-to-Maturity Securities.) | 9 Months Ended | |||||||||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||||||||
Held-to-Maturity Securities. | ' | |||||||||||||||||||||||||||||||
Held-to-Maturity Securities. | ' | |||||||||||||||||||||||||||||||
Held-to-Maturity Securities. | ' | |||||||||||||||||||||||||||||||
Note 5. Held-to-Maturity Securities. | ||||||||||||||||||||||||||||||||
Major Security Types (in thousands) | ||||||||||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||||||||||
OTTI | Gross | Gross | ||||||||||||||||||||||||||||||
Amortized | Recognized | Carrying | Unrecognized | Unrecognized | Fair | |||||||||||||||||||||||||||
Issued, guaranteed or insured: | Cost | in AOCI | Value | Holding Gains (a) | Holding Losses (a) | Value | ||||||||||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||||||||||
Fannie Mae | $ | 333,158 | $ | — | $ | 333,158 | $ | 25,139 | $ | — | $ | 358,297 | ||||||||||||||||||||
Freddie Mac | 99,297 | — | 99,297 | 6,218 | — | 105,515 | ||||||||||||||||||||||||||
Total pools of mortgages | 432,455 | — | 432,455 | 31,357 | — | 463,812 | ||||||||||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||||||||||
Fannie Mae | 2,834,077 | — | 2,834,077 | 16,512 | (425 | ) | 2,850,164 | |||||||||||||||||||||||||
Freddie Mac | 2,209,175 | — | 2,209,175 | 12,884 | (1,072 | ) | 2,220,987 | |||||||||||||||||||||||||
Ginnie Mae | 47,621 | — | 47,621 | 575 | — | 48,196 | ||||||||||||||||||||||||||
Total CMOs/REMICs | 5,090,873 | — | 5,090,873 | 29,971 | (1,497 | ) | 5,119,347 | |||||||||||||||||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||||||||||||||||||
Fannie Mae | 1,486,687 | — | 1,486,687 | 7,938 | (27,690 | ) | 1,466,935 | |||||||||||||||||||||||||
Freddie Mac | 3,844,516 | — | 3,844,516 | 112,668 | (45,956 | ) | 3,911,228 | |||||||||||||||||||||||||
Total commercial mortgage-backed securities | 5,331,203 | — | 5,331,203 | 120,606 | (73,646 | ) | 5,378,163 | |||||||||||||||||||||||||
Non-GSE MBS (b) | ||||||||||||||||||||||||||||||||
CMOs/REMICs | 54,260 | (678 | ) | 53,582 | 2,001 | (723 | ) | 54,860 | ||||||||||||||||||||||||
Asset-Backed Securities (b) | ||||||||||||||||||||||||||||||||
Manufactured housing (insured) (c) | 117,340 | — | 117,340 | 2,778 | — | 120,118 | ||||||||||||||||||||||||||
Home equity loans (insured) (c) | 184,030 | (40,400 | ) | 143,630 | 59,566 | (875 | ) | 202,321 | ||||||||||||||||||||||||
Home equity loans (uninsured) | 120,136 | (14,632 | ) | 105,504 | 14,936 | (6,403 | ) | 114,037 | ||||||||||||||||||||||||
Total asset-backed securities | 421,506 | (55,032 | ) | 366,474 | 77,280 | (7,278 | ) | 436,476 | ||||||||||||||||||||||||
Total MBS | 11,330,297 | (55,710 | ) | 11,274,587 | 261,215 | (83,144 | ) | 11,452,658 | ||||||||||||||||||||||||
Other | ||||||||||||||||||||||||||||||||
State and local housing finance agency obligations | 727,910 | — | 727,910 | 1,059 | (55,391 | ) | 673,578 | |||||||||||||||||||||||||
Total Held-to-maturity securities | $ | 12,058,207 | $ | (55,710 | ) | $ | 12,002,497 | $ | 262,274 | $ | (138,535 | ) | $ | 12,126,236 | ||||||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||||||||||
OTTI | Gross | Gross | ||||||||||||||||||||||||||||||
Amortized | Recognized | Carrying | Unrecognized | Unrecognized | Fair | |||||||||||||||||||||||||||
Issued, guaranteed or insured: | Cost | in AOCI | Value | Holding Gains (a) | Holding Losses (a) | Value | ||||||||||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||||||||||
Fannie Mae | $ | 459,114 | $ | — | $ | 459,114 | $ | 37,312 | $ | — | $ | 496,426 | ||||||||||||||||||||
Freddie Mac | 133,347 | — | 133,347 | 9,462 | — | 142,809 | ||||||||||||||||||||||||||
Total pools of mortgages | 592,461 | — | 592,461 | 46,774 | — | 639,235 | ||||||||||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||||||||||
Fannie Mae | 2,602,017 | — | 2,602,017 | 24,940 | — | 2,626,957 | ||||||||||||||||||||||||||
Freddie Mac | 2,484,560 | — | 2,484,560 | 27,058 | (1 | ) | 2,511,617 | |||||||||||||||||||||||||
Ginnie Mae | 64,681 | — | 64,681 | 854 | — | 65,535 | ||||||||||||||||||||||||||
Total CMOs/REMICs | 5,151,258 | — | 5,151,258 | 52,852 | (1 | ) | 5,204,109 | |||||||||||||||||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||||||||||||||||||
Fannie Mae | 930,982 | — | 930,982 | 30,272 | (593 | ) | 960,661 | |||||||||||||||||||||||||
Freddie Mac | 3,128,561 | — | 3,128,561 | 266,562 | — | 3,395,123 | ||||||||||||||||||||||||||
Ginnie Mae | 2,969 | — | 2,969 | 27 | — | 2,996 | ||||||||||||||||||||||||||
Total commercial mortgage-backed securities | 4,062,512 | — | 4,062,512 | 296,861 | (593 | ) | 4,358,780 | |||||||||||||||||||||||||
Non-GSE MBS (b) | ||||||||||||||||||||||||||||||||
CMOs/REMICs | 106,063 | (1,006 | ) | 105,057 | 3,336 | (537 | ) | 107,856 | ||||||||||||||||||||||||
Asset-Backed Securities (b) | ||||||||||||||||||||||||||||||||
Manufactured housing (insured) (c) | 132,551 | — | 132,551 | 1,531 | (1,810 | ) | 132,272 | |||||||||||||||||||||||||
Home equity loans (insured) (c) | 204,500 | (45,676 | ) | 158,824 | 49,531 | (944 | ) | 207,411 | ||||||||||||||||||||||||
Home equity loans (uninsured) | 135,290 | (16,789 | ) | 118,501 | 15,354 | (10,634 | ) | 123,221 | ||||||||||||||||||||||||
Total asset-backed securities | 472,341 | (62,465 | ) | 409,876 | 66,416 | (13,388 | ) | 462,904 | ||||||||||||||||||||||||
Total MBS | 10,384,635 | (63,471 | ) | 10,321,164 | 466,239 | (14,519 | ) | 10,772,884 | ||||||||||||||||||||||||
Other | ||||||||||||||||||||||||||||||||
State and local housing finance agency obligations | 737,600 | — | 737,600 | 2,097 | (56,025 | ) | 683,672 | |||||||||||||||||||||||||
Total Held-to-maturity securities | $ | 11,122,235 | $ | (63,471 | ) | $ | 11,058,764 | $ | 468,336 | $ | (70,544 | ) | $ | 11,456,556 | ||||||||||||||||||
(a) | Unrecognized gross holding gains and losses represent the difference between fair value and carrying value of a held-to-maturity security. At September 30, 2013 and December 31, 2012, the FHLBNY had pledged MBS with an amortized cost basis of $2.0 million and $2.8 million to the FDIC in connection with deposits maintained by the FDIC at the FHLBNY. | |||||||||||||||||||||||||||||||
(b) | The amounts represent private-label mortgage- and asset-backed securities. | |||||||||||||||||||||||||||||||
(c) | Amortized cost — Bonds collateralized by manufactured housing are insured by Assured Guaranty Municipal Corp. (“AGM”); they totaled $117.3 million and $132.6 million at September 30, 2013 and December 31, 2012. Asset-backed securities (supported by home equity loans) insured by AGM were $66.5 million and $69.8 million at September 30, 2013 and December 31, 2012. Asset-backed securities (supported by home equity loans) insured by Ambac and MBIA, together, were $117.5 million and $134.7 million at September 30, 2013 and December 31, 2012. Based on analysis performed, the FHLBNY has determined that for bond insurer AGM, insurance guarantees can be relied upon to cover any projected shortfalls. The reliance period for MBIA has been extended from 3 months to a 12 month horizon (to September 30, 2014) due to recent legal settlements and an improvement in the company’s liquidity since the second quarter of 2013. For bond insurer Ambac, the reliance period is probable until December 31, 2013. | |||||||||||||||||||||||||||||||
Unrealized Losses | ||||||||||||||||||||||||||||||||
The fair values and gross unrealized holding losses are aggregated by major security type and by the length of time individual securities have been in a continuous unrealized loss position. Unrealized losses represent the difference between fair value and amortized cost. The baseline measure of unrealized loss is amortized cost, which is not adjusted for non-credit OTTI. Total unrealized losses in this table will not equal unrecognized losses by Major security type disclosed in the previous table. Unrealized losses are calculated after adjusting for credit OTTI. In the previous table, unrecognized losses are adjusted for credit and non-credit OTTI. The following tables summarize held-to-maturity securities with fair values below their amortized cost basis (in thousands): | ||||||||||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||||||||||
Non-MBS Investment Securities | ||||||||||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 54,999 | $ | (1 | ) | $ | 288,409 | $ | (55,390 | ) | $ | 343,408 | $ | (55,391 | ) | |||||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||||||||||
Fannie Mae | 1,219,452 | (28,115 | ) | — | — | 1,219,452 | (28,115 | ) | ||||||||||||||||||||||||
Freddie Mac | 1,961,980 | (47,028 | ) | — | — | 1,961,980 | (47,028 | ) | ||||||||||||||||||||||||
Total MBS-GSE | 3,181,432 | (75,143 | ) | — | — | 3,181,432 | (75,143 | ) | ||||||||||||||||||||||||
MBS-Private-Label | 59,190 | (624 | ) | 227,693 | (8,074 | ) | 286,883 | (8,698 | ) | |||||||||||||||||||||||
Total MBS | 3,240,622 | (75,767 | ) | 227,693 | (8,074 | ) | 3,468,315 | (83,841 | ) | |||||||||||||||||||||||
Total | $ | 3,295,621 | $ | (75,768 | ) | $ | 516,102 | $ | (63,464 | ) | $ | 3,811,723 | $ | (139,232 | ) | |||||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||||||||||
Non-MBS Investment Securities | ||||||||||||||||||||||||||||||||
State and local housing finance agency obligations | $ | — | $ | — | $ | 309,295 | $ | (56,025 | ) | $ | 309,295 | $ | (56,025 | ) | ||||||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||||||||||
Fannie Mae | 192,268 | (593 | ) | — | — | 192,268 | (593 | ) | ||||||||||||||||||||||||
Freddie Mac | 453 | (1 | ) | — | — | 453 | (1 | ) | ||||||||||||||||||||||||
Total MBS-GSE | 192,721 | (594 | ) | — | — | 192,721 | (594 | ) | ||||||||||||||||||||||||
MBS-Private-Label | 61,742 | (595 | ) | 297,585 | (19,207 | ) | 359,327 | (19,802 | ) | |||||||||||||||||||||||
Total MBS | 254,463 | (1,189 | ) | 297,585 | (19,207 | ) | 552,048 | (20,396 | ) | |||||||||||||||||||||||
Total | $ | 254,463 | $ | (1,189 | ) | $ | 606,880 | $ | (75,232 | ) | $ | 861,343 | $ | (76,421 | ) | |||||||||||||||||
Investments in housing finance agency obligations had gross unrealized losses totaling $55.4 million and $56.0 million for continuous periods of 12 months or longer at September 30, 2013 and December 31, 2012. Management has analyzed the fair values of the bonds, and has concluded that the gross unrealized losses were due to an illiquid market for such securities, causing these investments to be valued at a discount to their acquisition cost. Management has also reviewed the portfolio and has observed that the bonds are performing to their contractual terms, and has concluded that, as of September 30, 2013 and December 31, 2012, all of the gross unrealized losses on its housing finance agency bonds are temporary because the underlying collateral and credit enhancements were sufficient to protect the Bank from losses based on current expectations. As a result, the Bank expects to recover the entire amortized cost basis of these securities. If conditions in the housing and mortgage markets and general business and economic conditions remain stressed or deteriorate further, the fair value of the bonds may decline further and the Bank may experience OTTI in future periods. | ||||||||||||||||||||||||||||||||
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): | ||||||||||||||||||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||||||||||||||||||
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 | $ | 13,655 | $ | 14,096 | $ | 15,040 | $ | 15,853 | ||||||||||||||||||||||||
Due after five years through ten years | 95,815 | 92,271 | 60,885 | 59,531 | ||||||||||||||||||||||||||||
Due after ten years | 618,440 | 567,211 | 661,675 | 608,288 | ||||||||||||||||||||||||||||
State and local housing finance agency obligations | 727,910 | 673,578 | 737,600 | 683,672 | ||||||||||||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||||||||||
Due in one year or less | 71 | 72 | — | — | ||||||||||||||||||||||||||||
Due after one year through five years | 1,051,850 | 1,075,297 | 156,317 | 166,810 | ||||||||||||||||||||||||||||
Due after five years through ten years | 4,474,503 | 4,506,193 | 4,219,907 | 4,521,574 | ||||||||||||||||||||||||||||
Due after ten years | 5,803,873 | 5,871,096 | 6,008,411 | 6,084,500 | ||||||||||||||||||||||||||||
Mortgage-backed securities | 11,330,297 | 11,452,658 | 10,384,635 | 10,772,884 | ||||||||||||||||||||||||||||
Total Held-to-maturity securities | $ | 12,058,207 | $ | 12,126,236 | $ | 11,122,235 | $ | 11,456,556 | ||||||||||||||||||||||||
(a) Amortized cost is net of unamortized discounts and premiums of $41.6 million and $28.0 million at September 30, 2013 and December 31, 2012. | ||||||||||||||||||||||||||||||||
Interest Rate Payment Terms | ||||||||||||||||||||||||||||||||
The following table summarizes interest rate payment terms of securities classified as held-to-maturity (in thousands): | ||||||||||||||||||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||||||||||||||||||
Amortized | Carrying | Amortized | Carrying | |||||||||||||||||||||||||||||
Cost | Value | Cost | Value | |||||||||||||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||||||||||
CMO | ||||||||||||||||||||||||||||||||
Fixed | $ | 1,282,403 | $ | 1,281,142 | $ | 453,907 | $ | 452,034 | ||||||||||||||||||||||||
Floating | 3,840,509 | 3,840,509 | 4,740,385 | 4,740,385 | ||||||||||||||||||||||||||||
Total CMO | 5,122,912 | 5,121,651 | 5,194,292 | 5,192,419 | ||||||||||||||||||||||||||||
CMBS | ||||||||||||||||||||||||||||||||
Fixed | 4,762,596 | 4,762,596 | 3,625,505 | 3,625,505 | ||||||||||||||||||||||||||||
Floating | 568,607 | 568,607 | 437,007 | 437,007 | ||||||||||||||||||||||||||||
Total CMBS | 5,331,203 | 5,331,203 | 4,062,512 | 4,062,512 | ||||||||||||||||||||||||||||
Pass Thru (a) | ||||||||||||||||||||||||||||||||
Fixed | 783,112 | 729,660 | 1,018,578 | 958,014 | ||||||||||||||||||||||||||||
Floating | 93,070 | 92,073 | 109,253 | 108,219 | ||||||||||||||||||||||||||||
Total Pass Thru | 876,182 | 821,733 | 1,127,831 | 1,066,233 | ||||||||||||||||||||||||||||
Total MBS | 11,330,297 | 11,274,587 | 10,384,635 | 10,321,164 | ||||||||||||||||||||||||||||
State and local housing finance agency obligations | ||||||||||||||||||||||||||||||||
Fixed | 37,445 | 37,445 | 76,375 | 76,375 | ||||||||||||||||||||||||||||
Floating | 690,465 | 690,465 | 661,225 | 661,225 | ||||||||||||||||||||||||||||
Total State and local housing finance agency obligations | 727,910 | 727,910 | 737,600 | 737,600 | ||||||||||||||||||||||||||||
Total Held-to-maturity securities | $ | 12,058,207 | $ | 12,002,497 | $ | 11,122,235 | $ | 11,058,764 | ||||||||||||||||||||||||
(a) Includes MBS supported by pools of mortgages. | ||||||||||||||||||||||||||||||||
Impairment Analysis (OTTI) of GSE-issued and Private Label Mortgage-backed Securities | ||||||||||||||||||||||||||||||||
The FHLBNY evaluates its individual securities issued by Fannie Mae, Freddie Mac and U.S. government agency by considering the creditworthiness and performance of the debt securities and the strength of the GSE’s guarantees of the securities. Based on analysis, GSE- and agency-issued securities are performing in accordance with their contractual agreements. The FHLBNY believes that it will recover its investments in GSE- and agency-issued securities given the current levels of collateral, credit enhancements and guarantees that exist to protect the investments. Management evaluates its investments in private-label MBS (“PLMBS”) for OTTI on a quarterly basis by analyzing cash flows on 100 percent of PLMBS. All PLMBS were designated as held-to-maturity. For more information about cash flow impairment assessment methodology, see Note 1. Significant Accounting Policies and Estimates in the most recent Form 10-K filed on March 25, 2013. | ||||||||||||||||||||||||||||||||
Monoline insurance — Certain PLMBS owned by the FHLBNY are insured by third-party bond insurers (“monoline insurers”). The bond insurance on these investments guarantees the timely payments of principal and interest if these payments cannot be satisfied from the cash flows of the underlying mortgage pool. The FHLBNY performs cash flow credit impairment tests on all of its private-label insured securities, and the analysis of the MBS protected by such third-party insurance looks first to the performance of the underlying security, and considers its embedded credit enhancements in the form of excess spread, overcollateralization, and credit subordination, to determine the collectability of all amounts due. If the embedded credit enhancement protections are deemed insufficient to make timely payment of all amounts due, then the FHLBNY considers the capacity of the third-party bond insurer to cover any shortfalls. Certain monoline insurers have been subject to adverse ratings, rating downgrades, and weakening financial performance measures. In estimating the insurers’ capacity to provide credit protection in the future to cover any shortfall in cash flows expected to be collected for securities deemed to be OTTI, the FHLBNY has developed a methodology to analyze and assess the ability of the monoline insurers to meet future insurance obligations. Based on analysis performed, the Bank has determined that for bond insurer Assured Guaranty Municipal Corp., insurance guarantees can be relied upon to cover projected shortfalls. The reliance period for MBIA has been extended from a 3 month to a 12 month horizon (to September 30, 2014) due to recent legal settlements and an improvement in the company’s liquidity since the second quarter of 2013. For bond insurer Ambac, the reliance period is probable until December 31, 2013. | ||||||||||||||||||||||||||||||||
No credit OTTI was recorded in the three and nine months ended September 30, 2013. | ||||||||||||||||||||||||||||||||
The table below presents the key characteristics of securities determined to be OTTI in the three months ended September 30, 2012, and cumulative OTTI for the three and nine months ended September 30, 2012 (in thousands): | ||||||||||||||||||||||||||||||||
Three months ended | Nine months ended | |||||||||||||||||||||||||||||||
Three months ended September 30, 2012 (a) | September 30, 2012 | September 30, 2012 | ||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI (b)(d) | OTTI (b)(d) | ||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | Credit | Non-credit | |||||||||||||||||||||||||
Classification | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | Loss | Loss | ||||||||||||||||||||||
RMBS-Prime | $ | — | $ | — | $ | — | $ | — | $ | 7,987 | $ | 7,432 | $ | (195 | ) | $ | 114 | $ | (195 | ) | $ | 114 | ||||||||||
HEL Subprime (c) | — | — | 42,948 | 30,193 | 2,943 | 2,931 | (420 | ) | 420 | (1,746 | ) | 1,376 | ||||||||||||||||||||
Total Securities | $ | — | $ | — | $ | 42,948 | $ | 30,193 | $ | 10,930 | $ | 10,363 | $ | (615 | ) | $ | 534 | $ | (1,941 | ) | $ | 1,490 | ||||||||||
(a) Unpaid principal balances and fair values on securities deemed to be OTTI at September 30, 2012. | ||||||||||||||||||||||||||||||||
(b) Represent OTTI recorded at the quarter end date. If the present value of cash flows expected to be collected (discounted at the security’s initial effective yield) is less than the amortized cost basis of the security, an OTTI is considered to have occurred because the entire amortized cost basis of the security will not be recovered. The credit-related OTTI is recognized in earnings. The non-credit portion of OTTI, which represents fair value losses of OTTI securities (excluding the amount of credit losses), is recognized in AOCI. Positive non-credit losses represent the net amount of non-credit losses reclassified from AOCI to increase the carrying value of securities previously deemed OTTI. | ||||||||||||||||||||||||||||||||
(c) HEL Subprime securities are supported by home equity loans. | ||||||||||||||||||||||||||||||||
(d) Securities deemed to be OTTI at the quarter end date(s) had been previously determined to be OTTI, and the additional impairment, or re-impairment, was due to further deterioration in the credit performance metrics of the securities. | ||||||||||||||||||||||||||||||||
The following table provides roll-forward information about the cumulative credit component of OTTI recognized as a charge to earnings (in thousands): | ||||||||||||||||||||||||||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||||||||||||||||||
Beginning balance | $ | 36,782 | $ | 36,057 | $ | 36,782 | $ | 34,731 | ||||||||||||||||||||||||
Additional credit losses for which an OTTI charge was previously recognized | — | 615 | — | 1,941 | ||||||||||||||||||||||||||||
Ending balance | $ | 36,782 | $ | 36,672 | $ | 36,782 | $ | 36,672 | ||||||||||||||||||||||||
Key Base Assumptions | ||||||||||||||||||||||||||||||||
The tables below summarize the weighted average and range of Key Base Assumptions for all private-label MBS at September 30, 2013 and December 31, 2012, including those deemed OTTI: | ||||||||||||||||||||||||||||||||
Key Base Assumptions - All PLMBS at September 30, 2013 | ||||||||||||||||||||||||||||||||
CDR % (a) | CPR % (b) | Loss Severity % (c) | ||||||||||||||||||||||||||||||
Security Classification | Range | Average | Range | Average | Range | Average | ||||||||||||||||||||||||||
RMBS Prime (d) | 0.1-3.7 | 1.1 | 9.8-32.9 | 17.4 | 30.0-54.5 | 46.1 | ||||||||||||||||||||||||||
RMBS Alt-A (d) | 0.0-1.0 | 1 | 2.0-10.6 | 5.2 | 0.0-30.0 | 29.6 | ||||||||||||||||||||||||||
HEL Subprime (e) | 1.0-8.7 | 4.2 | 2.0-14.9 | 4.7 | 21.0-100 | 66.5 | ||||||||||||||||||||||||||
Manufactured Housing Loans | 3.1-5.5 | 4.5 | 2.1-3.23 | 2.6 | 77.3-81.6 | 79.9 | ||||||||||||||||||||||||||
Key Base Assumptions - All PLMBS at December 31, 2012 | ||||||||||||||||||||||||||||||||
CDR % (a) | CPR % (b) | Loss Severity % (c) | ||||||||||||||||||||||||||||||
Security Classification | Range | Average | Range | Average | Range | Average | ||||||||||||||||||||||||||
RMBS Prime (d) | 1.0-6.1 | 2.1 | 4.4-33.4 | 23.3 | 30.0-63.2 | 35.9 | ||||||||||||||||||||||||||
RMBS Alt-A (d) | 1.0-1.1 | 1 | 2.0-14.0 | 3.7 | 30.0-30.0 | 30 | ||||||||||||||||||||||||||
HEL Subprime (e) | 1.5-8.6 | 4.6 | 2.0-10.1 | 3.7 | 30.0-100.0 | 71 | ||||||||||||||||||||||||||
Manufactured Housing Loans | 3.6-5.9 | 4.9 | 2.0-3.8 | 2.5 | 75.1-81.0 | 78.5 | ||||||||||||||||||||||||||
(a) Conditional Default Rate (CDR): 1— ((1-MDR)^12) where, MDR is defined as the “Monthly Default Rate (MDR)” =Beginning Principal Balance of Liquidated Loans)/(Total Beginning Principal Balance). | ||||||||||||||||||||||||||||||||
(b) Conditional Prepayment Rate (CPR): 1— ((1-SMM)^12) where, SMM is defined as the “Single Monthly Mortality (SMM)” =Voluntary Partial and Full Prepayments + Repurchases + Liquidated Balances)/(Beginning Principal Balance - Scheduled Principal). Voluntary prepayment excludes the liquidated balances mentioned above. | ||||||||||||||||||||||||||||||||
(c) Loss Severity(Principal and Interest in the current period) =um (Total Realized Loss Amount)/Sum (Beginning Principal and Interest Balance of Liquidated Loans). | ||||||||||||||||||||||||||||||||
(d) CMOs/REMICS private-label MBS. | ||||||||||||||||||||||||||||||||
(e) Residential asset-backed MBS. | ||||||||||||||||||||||||||||||||
Significant Inputs | ||||||||||||||||||||||||||||||||
For determining the fair values of all MBS, the FHLBNY has obtained pricing from four pricing services; the prices were clustered, averaged, and then assessed qualitatively before adopting the “final price”. | ||||||||||||||||||||||||||||||||
The tables below provide the distribution of the prices, and the final price adopted for securities with cash flow shortfalls at September 30, 2013 and December 31, 2012 (dollars in thousands except for price): | ||||||||||||||||||||||||||||||||
Significant Inputs | ||||||||||||||||||||||||||||||||
Securities deemed OTTI at September 30, 2013 | ||||||||||||||||||||||||||||||||
Carrying | Fair | Fair Value Recorded on | Price | Final | ||||||||||||||||||||||||||||
Value | Value | a Non-recurring basis | Level | Range | Price | Rating | ||||||||||||||||||||||||||
Subprime -Home equity loan | ||||||||||||||||||||||||||||||||
Bond 1 | $ | 3,103 | $ | 4,207 | $ | — | 3 | $ | 65.91-89.88 | $ | 65.91 | D | ||||||||||||||||||||
Bond 2 | 1,779 | 2,632 | — | 3 | 65.34-86.82 | 65.8 | D | |||||||||||||||||||||||||
Total OTTI PLMBS | $ | 4,882 | $ | 6,839 | $ | — | ||||||||||||||||||||||||||
OTTI was not recognized as fair values of the two bonds exceeded their amortized cost basis. | ||||||||||||||||||||||||||||||||
Significant Inputs | ||||||||||||||||||||||||||||||||
Securities deemed OTTI at December 31, 2012 | ||||||||||||||||||||||||||||||||
Carrying | Fair | Fair Value Recorded on | Price | Final | ||||||||||||||||||||||||||||
Value | Value | a Non-recurring basis | Level | Range | Price | Rating | ||||||||||||||||||||||||||
Prime -RMBS | ||||||||||||||||||||||||||||||||
Bond 1 | $ | 7,045 | $ | 7,045 | $ | 7,045 | 3 | $ | 90.47 - 96.85 | $ | 90.47 | C | ||||||||||||||||||||
Total OTTI PLMBS | $ | 7,045 | $ | 7,045 | $ | 7,045 | ||||||||||||||||||||||||||
AvailableforSale_Securities
Available-for-Sale Securities. (Available-for-Sale Securities.) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Available-for-Sale Securities. | ' | ||||||||||||||||
Available-for-Sale Securities. | ' | ||||||||||||||||
Available-for-Sale Securities. | ' | ||||||||||||||||
Note 6. Available-for-Sale Securities. | |||||||||||||||||
The carrying value of an AFS security equals its fair value. No AFS security was Other-than-temporarily impaired. There were de minimis unrealized losses for MBS at September 30, 2013 and none at December 31, 2012. The following tables provide major security types (in thousands): | |||||||||||||||||
September 30, 2013 | |||||||||||||||||
OTTI | Gross | Gross | |||||||||||||||
Amortized | Recognized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | in AOCI | Gains | Losses | Value | |||||||||||||
Cash equivalents (a) | $ | 157 | $ | — | $ | — | $ | — | $ | 157 | |||||||
Equity funds (a) | 4,960 | — | 1,465 | — | 6,425 | ||||||||||||
Fixed income funds (a) | 3,352 | — | 141 | (36 | ) | 3,457 | |||||||||||
GSE and U.S. Obligations | |||||||||||||||||
Mortgage-backed securities | |||||||||||||||||
CMO-Floating | 1,623,586 | — | 12,141 | (142 | ) | 1,635,585 | |||||||||||
CMBS-Floating | 43,223 | — | 394 | — | 43,617 | ||||||||||||
Total Available-for-sale securities | $ | 1,675,278 | $ | — | $ | 14,141 | $ | (178 | ) | $ | 1,689,241 | ||||||
December 31, 2012 | |||||||||||||||||
OTTI | Gross | Gross | |||||||||||||||
Amortized | Recognized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | in AOCI | Gains | Losses | Value | |||||||||||||
Cash equivalents (a) | $ | 215 | $ | — | $ | — | $ | — | $ | 215 | |||||||
Equity funds (a) | 5,172 | — | 540 | — | 5,712 | ||||||||||||
Fixed income funds (a) | 3,382 | — | 324 | — | 3,706 | ||||||||||||
GSE and U.S. Obligations | |||||||||||||||||
Mortgage-backed securities | |||||||||||||||||
CMO-Floating | 2,230,813 | — | 21,448 | — | 2,252,261 | ||||||||||||
CMBS-Floating | 46,686 | — | 194 | — | 46,880 | ||||||||||||
Total Available-for-sale securities | $ | 2,286,268 | $ | — | $ | 22,506 | $ | — | $ | 2,308,774 | |||||||
(a) The Bank has a grantor trust to fund current and future payments for its employee supplemental pension plan. Investments in the trust are classified as AFS. The grantor trust invests in money market, equity and fixed income and bond funds. Daily net asset values are readily available and investments are redeemable at short notice. Realized gains and losses from investments in the funds were not significant. | |||||||||||||||||
Unrealized Losses | |||||||||||||||||
Tables reporting unrealized losses have been omitted as there were de minimis unrealized losses at September 30, 2013, and no unrealized losses at December 31, 2012. | |||||||||||||||||
Impairment Analysis (OTTI) of AFS Securities | |||||||||||||||||
The Bank’s portfolio of MBS classified as AFS is comprised primarily of GSE-issued collateralized mortgage obligations, which are “pass through” securities. The FHLBNY evaluates its individual securities issued by Fannie Mae, Freddie Mac and a U.S. agency by considering the creditworthiness and performance of the debt securities and the strength of the government-sponsored enterprises’ guarantees of the securities. Based on the 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. | |||||||||||||||||
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 values (a) of investments classified as AFS, by contractual maturity, were as follows (in thousands): | |||||||||||||||||
September 30, 2013 | December 31, 2012 | ||||||||||||||||
Amortized Cost (c) | Fair Value | Amortized Cost (c) | Fair Value | ||||||||||||||
Mortgage-backed securities | |||||||||||||||||
Due after five years through ten years | $ | 43,223 | $ | 43,617 | $ | 46,686 | $ | 46,880 | |||||||||
Due after ten years | 1,623,586 | 1,635,585 | 2,230,813 | 2,252,261 | |||||||||||||
Fixed income funds, equity funds and cash equivalents (b) | 8,469 | 10,039 | 8,769 | 9,633 | |||||||||||||
Total Available-for-sale securities | $ | 1,675,278 | $ | 1,689,241 | $ | 2,286,268 | $ | 2,308,774 | |||||||||
(a) The carrying value of AFS securities equals fair value. | |||||||||||||||||
(b) Determined to be redeemable at short notice. | |||||||||||||||||
(c) Amortized cost is net of unamortized discounts and premiums of $5.7 million and $8.0 million at September 30, 2013 and December 31, 2012. | |||||||||||||||||
Interest Rate Payment Terms | |||||||||||||||||
The following table summarizes interest rate payment terms of investments in mortgage-backed securities classified as AFS securities (in thousands): | |||||||||||||||||
September 30, 2013 | December 31, 2012 | ||||||||||||||||
Amortized Cost | Fair Value | Amortized Cost | Fair Value | ||||||||||||||
Mortgage-backed securities | |||||||||||||||||
CMO floating - LIBOR | $ | 1,623,586 | $ | 1,635,585 | $ | 2,230,813 | $ | 2,252,261 | |||||||||
CMBS floating - LIBOR | 43,223 | 43,617 | 46,686 | 46,880 | |||||||||||||
Total Mortgage-backed securities (a) | $ | 1,666,809 | $ | 1,679,202 | $ | 2,277,499 | $ | 2,299,141 | |||||||||
(a) Total will not agree to total AFS portfolio because bond and equity funds in a grantor trust have been excluded. |
Advances
Advances. | 9 Months Ended | |||||||||||||||
Sep. 30, 2013 | ||||||||||||||||
Advances. | ' | |||||||||||||||
Advances. | ' | |||||||||||||||
Note 7. Advances. | ||||||||||||||||
The Bank 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): | ||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||
Weighted (a) | Weighted (a) | |||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||
Amount | Yield | of Total | Amount | Yield | of Total | |||||||||||
Overdrawn demand deposit accounts | $ | 6 | 1.08 | % | — | % | $ | — | — | % | — | % | ||||
Due in one year or less | 36,930,607 | 0.68 | 42.57 | 26,956,874 | 0.9 | 37.29 | ||||||||||
Due after one year through two years | 11,807,883 | 1.22 | 13.61 | 7,798,776 | 1.96 | 10.79 | ||||||||||
Due after two years through three years | 11,976,271 | 2.81 | 13.8 | 7,234,380 | 2.38 | 10 | ||||||||||
Due after three years through four years | 7,618,334 | 2.91 | 8.78 | 9,658,689 | 3.64 | 13.36 | ||||||||||
Due after four years through five years | 6,746,635 | 2.83 | 7.78 | 10,255,616 | 3.35 | 14.19 | ||||||||||
Thereafter | 11,681,718 | 2.79 | 13.46 | 10,387,768 | 2.77 | 14.37 | ||||||||||
Total par value | 86,761,454 | 1.69 | % | 100 | % | 72,292,103 | 2.15 | % | 100 | % | ||||||
Hedge value basis adjustments | 2,352,322 | 3,595,396 | ||||||||||||||
Fair value option valuation adjustments and accrued interest | 7,659 | 502 | ||||||||||||||
Total | $ | 89,121,435 | $ | 75,888,001 | ||||||||||||
(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 at the reporting dates. | ||||||||||||||||
Monitoring and Evaluating Credit Losses on Advances — Summarized below are the FHLBNY’s assessment methodologies for evaluating credit losses on advances. | ||||||||||||||||
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; this provision would benefit the FHLBNY in a scenario when a member defaults). The FHLBNY also has a statutory lien under the FHLBank Act on members’ capital stock, which serves as further collateral for members’ indebtedness to the FHLBNY. | ||||||||||||||||
Credit Risk. The Bank has policies and procedures in place to manage credit risk. There were no past due advances and all advances were current for all periods in this report. Management does not anticipate any credit losses, and accordingly, the Bank has not provided an allowance for credit losses on advances. The Bank’s potential credit risk from advances is concentrated in commercial banks, savings institutions, and insurance companies. | ||||||||||||||||
Concentration of Advances Outstanding. Advances to the FHLBNY’s top ten borrowing member institutions are reported in Note 20. 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. | ||||||||||||||||
Security Terms. The FHLBNY lends to financial institutions involved in housing finance within its district. Borrowing members pledge their capital stock of the FHLBNY as additional collateral for advances. As of September 30, 2013 and December 31, 2012, 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 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 Bank were fully collateralized throughout their entire term. The total of collateral pledged to the Bank includes excess collateral pledged above the Bank’s minimum collateral requirements. However, a maximum lendable value is established to ensure that the Bank has sufficient eligible collateral securing credit extensions. There have been no significant changes to collateral policies from those existing at December 31, 2012. For more information about collateral ratios and location of collateral held, see Item 1. Business in the Bank’s most recent Form 10-K filed on March 25, 2013. |
Mortgage_Loans_HeldforPortfoli
Mortgage Loans Held-for-Portfolio. | 9 Months Ended | ||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||
Mortgage Loans Held-for-Portfolio. | ' | ||||||||||||||||||||||
Mortgage Loans Held-for-Portfolio. | ' | ||||||||||||||||||||||
Note 8. Mortgage Loans Held-for-Portfolio. | |||||||||||||||||||||||
Mortgage loans were Mortgage Partnership Finance® program loans, or (“MPF”®). The MPF program involves investment by the FHLBNY in mortgage loans that are purchased from its participating financial institutions (“PFIs”). The members retain servicing rights and may credit enhance the portion of the loans participated to the FHLBNY. No intermediary trust is involved. | |||||||||||||||||||||||
The following table presents information on mortgage loans held-for-portfolio (dollars in thousands): | |||||||||||||||||||||||
September 30, 2013 | December 31, 2012 | ||||||||||||||||||||||
Amount | Percentage of | Amount | Percentage of | ||||||||||||||||||||
Total | Total | ||||||||||||||||||||||
Real Estate(a): | |||||||||||||||||||||||
Fixed medium-term single-family mortgages | $ | 379,281 | 19.93 | % | $ | 400,309 | 22.09 | % | |||||||||||||||
Fixed long-term single-family mortgages | 1,523,731 | 80.07 | 1,412,061 | 77.9 | |||||||||||||||||||
Multi-family mortgages | 92 | — | 156 | 0.01 | |||||||||||||||||||
Total par value | 1,903,104 | 100 | % | 1,812,526 | 100 | % | |||||||||||||||||
Unamortized premiums | 37,358 | 35,760 | |||||||||||||||||||||
Unamortized discounts | (3,102 | ) | (2,580 | ) | |||||||||||||||||||
Basis adjustment (b) | 1,821 | 4,092 | |||||||||||||||||||||
Total mortgage loans held-for-portfolio | 1,939,181 | 1,849,798 | |||||||||||||||||||||
Allowance for credit losses | (6,326 | ) | (6,982 | ) | |||||||||||||||||||
Total mortgage loans held-for-portfolio, net of allowance for credit losses | $ | 1,932,855 | $ | 1,842,816 | |||||||||||||||||||
(a) Conventional mortgages represent the majority of mortgage loans held-for-portfolio, with the remainder invested in FHA and VA insured loans. | |||||||||||||||||||||||
(b) Represents fair value basis of closed delivery commitments. | |||||||||||||||||||||||
No loans were transferred to a “loan-for-sale” category. From time to time, the Bank may request a PFI to repurchase loans if the loan failed to comply with the MPF loan standards. Loans repurchased from PFIs in the three and nine months ended September 30, 2013 were $1.7 million and $7.7 million of loans; $1.4 million of such loans were repurchased in the nine months ended September 30, 2012. | |||||||||||||||||||||||
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 basis points, but this varies with the particular MPF product. The amount of the first layer, or the First Loss Account (“FLA”), was estimated at $19.4 million and $18.4 million at September 30, 2013 and December 31, 2012. 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 taken on which will equate the loan to a double-A rating. 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 $0.5 million and $1.3 million for the three and nine months ended September 30, 2013, and $0.4 million and $1.2 million for the three and nine months ended September 30, 2012. 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: | |||||||||||||||||||||||
· The first layer of protection against loss is the liquidation value of the real property securing the loan. | |||||||||||||||||||||||
· 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. | |||||||||||||||||||||||
· Losses that exceed the liquidation value of the real property and any PMI, up to an agreed upon amount, the FLA for each Master Commitment, will be absorbed by the FHLBNY. | |||||||||||||||||||||||
· Losses in excess of the FLA, up to an agreed-upon amount, the credit enhancement amount, will be covered by the PFI’s credit enhancement obligation. | |||||||||||||||||||||||
· Losses in excess of the FLA and the PFI’s remaining credit enhancement for the Master Commitment, if any, will be absorbed by the FHLBNY. | |||||||||||||||||||||||
Allowance Methodology for Loan Losses | |||||||||||||||||||||||
Mortgage loans are considered impaired when, based on current information and events, it is probable that the FHLBNY will be unable to collect all principal and interest amounts due according to the contractual terms of the mortgage loan agreements. The Bank performs periodic reviews of individual impaired mortgage loans within the MPF loan portfolio to identify the potential for losses inherent in the portfolio and to determine the likelihood of collection of the principal and interest. Conventional mortgage loans that are past due 90 days or more, or classified under regulatory criteria (Sub-standard, Doubtful or Loss), and, beginning in the third quarter of 2012, loans that are in bankruptcy regardless of their delinquency status, are evaluated separately on a loan level basis for impairment. The FHLBNY bases its provision for credit losses on its estimate of probable credit losses inherent in the impaired MPF loan. The FHLBNY computes the provision for credit losses without considering the private mortgage insurance and other accompanying credit enhancement features, which provide additional credit assurance to the FHLBNY. Conventional mortgage loans, except FHA- and VA-insured loans, are analyzed under liquidation scenarios on a loan level basis, and identified losses are fully reserved. Management determines the liquidation value of the real property collateral supporting the impaired loan after deducting costs to liquidate. That value is compared to the carrying value of the impaired mortgage loan, and a shortfall is recorded as an allowance for credit losses. This methodology is applied on a loan level basis. When a loan is foreclosed and the Bank takes possession of real estate, the Bank will charge any excess carrying value over the net realizable value of the foreclosed loan to the allowance for credit losses. | |||||||||||||||||||||||
Only FHA- and VA-insured MPF loans are evaluated collectively. FHA- and VA-insured mortgage loans have minimal inherent credit risk, and credit risk of such loans generally arises from servicers defaulting on their obligations. If adversely classified, the FHLBNY will have reserves established only in the event of a default of a PFI, and reserves would be based on the estimated costs to recover any uninsured portion of the MPF loan. | |||||||||||||||||||||||
Classes of the MPF loan portfolio would be subject to disaggregation to the extent that it is needed to understand the exposure to credit risk arising from these loans. The FHLBNY has determined that no further disaggregation of portfolio segments is needed, other than the methodology discussed above. | |||||||||||||||||||||||
Credit Enhancement Fees | |||||||||||||||||||||||
The credit enhancement fee (“CE fees”) due to the PFI for taking on a credit enhancement obligation is accrued based on the master commitments outstanding, and for certain MPF products the CE fees are held back for 12 months and then paid monthly to the PFIs. Under the MPF agreements with PFIs, the FHLBNY may recover credit losses from future CE fees. The FHLBNY does not consider CE fees when computing the allowance for credit losses. It is assumed that repayment is expected to be provided solely by the sale of the underlying property, and that there is no other available and reliable source of repayment. Any incurred losses that would be recovered from the credit enhancements are also not reserved as part of the allowance for credit loan losses. In such cases, the FHLBNY would withhold CE fee payments to PFIs. | |||||||||||||||||||||||
Allowance for Credit Losses | |||||||||||||||||||||||
Allowances for credit losses have been recorded against the uninsured MPF loans. All other types of mortgage loans were insignificant and no allowances were necessary. The following provides a roll-forward analysis of the allowance for credit losses (a) (in thousands): | |||||||||||||||||||||||
Three months ended September 30, | Nine months ended September 30, | ||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||||||||||
Allowance for credit losses: | |||||||||||||||||||||||
Beginning balance | $ | 6,414 | $ | 6,878 | $ | 6,982 | $ | 6,786 | |||||||||||||||
Charge-offs | (140 | ) | (228 | ) | (1,556 | ) | (930 | ) | |||||||||||||||
Recoveries | 203 | 36 | 846 | 171 | |||||||||||||||||||
Provision/(Reversal) for credit losses on mortgage loans | (151 | ) | 234 | 54 | 893 | ||||||||||||||||||
Ending balance | $ | 6,326 | $ | 6,920 | $ | 6,326 | $ | 6,920 | |||||||||||||||
Ending balance, individually evaluated for impairment | $ | 6,326 | $ | 6,920 | $ | 6,326 | $ | 6,920 | |||||||||||||||
September 30, 2013 | December 31, 2012 | ||||||||||||||||||||||
Recorded investment, end of period: | |||||||||||||||||||||||
Individually evaluated for impairment | |||||||||||||||||||||||
Impaired, with or without a related allowance (b) | $ | 30,619 | $ | 31,596 | |||||||||||||||||||
Not impaired, no related allowance | 1,804,690 | 1,754,852 | |||||||||||||||||||||
Total uninsured mortgage loans | $ | 1,835,309 | $ | 1,786,448 | |||||||||||||||||||
Collectively evaluated for impairment (c) | |||||||||||||||||||||||
Impaired, with or without a related allowance | $ | 595 | $ | 413 | |||||||||||||||||||
Not impaired, no related allowance | 112,276 | 71,741 | |||||||||||||||||||||
Total insured mortgage loans | $ | 112,871 | $ | 72,154 | |||||||||||||||||||
(a) Allowance for credit losses has been stable, in line with declining nonperforming loans, which is consistent with the stability in housing prices/liquidation values of real property securing impaired loans. | |||||||||||||||||||||||
(b) Loans considered impaired have remained almost unchanged as delinquency rates have stabilized. | |||||||||||||||||||||||
(c) FHA- and VA loans are collectively evaluated for impairment. Loans past due 90 days or more were considered for impairment but credit analysis indicated funds would be collected and no allowance was necessary. | |||||||||||||||||||||||
Non-performing Loans | |||||||||||||||||||||||
The FHLBNY’s impaired mortgage loans are reported in the table below (in thousands): | |||||||||||||||||||||||
September 30, 2013 | December 31, 2012 | ||||||||||||||||||||||
Total Mortgage loans, net of allowance for credit losses (a) | $ | 1,932,855 | $ | 1,842,816 | |||||||||||||||||||
Non-performing mortgage loans - Conventional (b) | $ | 27,749 | $ | 28,458 | |||||||||||||||||||
Insured MPF loans past due 90 days or more and still accruing interest (b) | $ | 577 | $ | 410 | |||||||||||||||||||
(a) Includes loans classified as sub-standard, doubtful or loss under FHFA regulatory criteria, reported at carrying value. | |||||||||||||||||||||||
(b) Data in this table represents unpaid principal balance, and would not agree to data reported in table below at “recorded investment,” which includes interest receivable. Loans in bankruptcy status and past due 90 days or more (nonaccrual status) are included. | |||||||||||||||||||||||
The following table summarizes the recorded investment in impaired loans, the unpaid principal balance, and related allowance (individually assessed for impairment), and the average recorded investment of impaired loans (in thousands): | |||||||||||||||||||||||
September 30, 2013 | Three months ended | Nine months ended | |||||||||||||||||||||
September 30, 2013 | September 30, 2013 | ||||||||||||||||||||||
Unpaid | Average | Interest | Average | Interest | |||||||||||||||||||
Recorded | Principal | Related | Recorded | Income | Recorded | Income | |||||||||||||||||
Impaired Loans | Investment | Balance | Allowance | Investment | Recognized (c) | Investment | Recognized (c) | ||||||||||||||||
With no related allowance: | |||||||||||||||||||||||
Conventional MPF Loans (a)(b) | $ | 9,770 | $ | 9,754 | $ | — | $ | 10,056 | $ | — | $ | 10,474 | $ | — | |||||||||
With an allowance: | |||||||||||||||||||||||
Conventional MPF Loans (a) | 20,849 | 20,886 | 6,326 | 20,657 | — | 20,674 | — | ||||||||||||||||
Total Conventional MPF Loans (a) | $ | 30,619 | $ | 30,640 | $ | 6,326 | $ | 30,713 | $ | — | $ | 31,148 | $ | — | |||||||||
December 31, 2012 | |||||||||||||||||||||||
Unpaid | Average | Interest | |||||||||||||||||||||
Recorded | Principal | Related | Recorded | Income | |||||||||||||||||||
Impaired Loans | Investment | Balance | Allowance | Investment | Recognized (c) | ||||||||||||||||||
With no related allowance: | |||||||||||||||||||||||
Conventional MPF Loans (a)(b) | $ | 8,118 | $ | 8,134 | $ | — | $ | 6,768 | $ | — | |||||||||||||
With an allowance: | |||||||||||||||||||||||
Conventional MPF Loans (a) | 23,478 | 23,507 | 6,982 | 22,798 | — | ||||||||||||||||||
Total Conventional MPF Loans (a) | $ | 31,596 | $ | 31,641 | $ | 6,982 | $ | 29,566 | $ | — | |||||||||||||
(a) Based on analysis of the nature of risks of the Bank’s investments in MPF loans, including its methodologies for identifying and measuring impairment, the management of the FHLBNY has determined that presenting such loans as a single class is appropriate. | |||||||||||||||||||||||
(b) Collateral values, net of estimated costs to sell, exceeded the recorded investments in impaired loans and no allowances were deemed necessary. | |||||||||||||||||||||||
(c) The Bank does not record interest received as Interest income if an uninsured loan is past due 90 days or more. | |||||||||||||||||||||||
Loans discharged from bankruptcy are classified as a troubled debt restructuring (“TDR”), and are measured for impairment if the loan is past due 90 days or more. Loans currently in bankruptcy status, regardless of their delinquency status, are considered impaired and measured for impairment. The allowance for credit losses in the table above includes allowances recorded for all impaired loans. Prior to the third quarter of 2012, loans in bankruptcy were considered impaired if past due 90 days or more. | |||||||||||||||||||||||
Mortgage Loans — Interest on Non-performing Loans | |||||||||||||||||||||||
The FHLBNY’s interest contractually due and actually received for non-performing loans were as follows (in thousands): | |||||||||||||||||||||||
Three months ended September 30, | Nine months ended September 30, | ||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||||||||||
Interest contractually due (a) | $ | 425 | $ | 482 | $ | 1,222 | $ | 1,444 | |||||||||||||||
Interest actually received | 387 | 379 | 1,115 | 1,169 | |||||||||||||||||||
Shortfall | $ | 38 | $ | 103 | $ | 107 | $ | 275 | |||||||||||||||
(a) The Bank does not accrue interest income on conventional loans past due 90 days or more. If cash is received as settlement of interest on loans past due 90 days or more, it is considered as an advance from the PFI or the servicer and cash received is subject to reversal if the loan goes into foreclosure. Cash received is recorded as a liability until the impaired loan is performing again. The table summarizes interest income that was not recognized in earnings. It also summarizes the actual cash that was received against interest due, but not recognized. | |||||||||||||||||||||||
Recorded investments in MPF loans that were past due, and real estate owned are summarized below. Recorded investments, which includes accrued interest receivable, would not equal carrying values reported elsewhere (dollars in thousands): | |||||||||||||||||||||||
September 30, 2013 | December 31, 2012 | ||||||||||||||||||||||
Conventional | Insured | Other | Conventional | Insured | Other | ||||||||||||||||||
MPF Loans | Loans | Loans | MPF Loans | Loans | Loans | ||||||||||||||||||
Mortgage loans: | |||||||||||||||||||||||
Past due 30 - 59 days | $ | 17,156 | $ | 2,258 | $ | — | $ | 22,899 | $ | 884 | $ | — | |||||||||||
Past due 60 - 89 days | 5,479 | 226 | — | 6,027 | 407 | — | |||||||||||||||||
Past due 90 - 179 days | 3,049 | 142 | — | 4,202 | 184 | — | |||||||||||||||||
Past due 180 days or more | 24,678 | 453 | — | 24,221 | 229 | — | |||||||||||||||||
Total past due | 50,362 | 3,079 | — | 57,349 | 1,704 | — | |||||||||||||||||
Total current loans | 1,784,855 | 109,792 | 92 | 1,728,942 | 70,450 | 157 | |||||||||||||||||
Total mortgage loans | $ | 1,835,217 | $ | 112,871 | $ | 92 | $ | 1,786,291 | $ | 72,154 | $ | 157 | |||||||||||
Other delinquency statistics: | |||||||||||||||||||||||
Loans in process of foreclosure, included above | $ | 16,611 | $ | 307 | $ | — | $ | 21,464 | $ | 187 | $ | — | |||||||||||
Number of foreclosures outstanding at period end | 119 | 8 | — | 140 | 6 | — | |||||||||||||||||
Serious delinquency rate (a) | 1.51 | % | 0.53 | % | — | % | 1.62 | % | 0.57 | % | — | % | |||||||||||
Serious delinquent loans total used in calculation of serious delinquency rate | $ | 27,792 | $ | 595 | $ | — | $ | 28,947 | $ | 413 | $ | — | |||||||||||
Past due 90 days or more and still accruing interest | $ | — | $ | 595 | $ | — | $ | — | $ | 413 | $ | — | |||||||||||
Loans on non-accrual status | $ | 27,727 | $ | — | $ | — | $ | 28,423 | $ | — | $ | — | |||||||||||
Troubled debt restructurings: | |||||||||||||||||||||||
Loans discharged from bankruptcy | $ | 9,248 | $ | 520 | $ | — | $ | 8,818 | $ | 638 | $ | — | |||||||||||
Modified loans under MPF® program | $ | 820 | $ | — | $ | — | $ | 681 | $ | — | $ | — | |||||||||||
Real estate owned | $ | 1,112 | $ | 169 | |||||||||||||||||||
(a) Serious delinquency rate is recorded investments in loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of total loan class. | |||||||||||||||||||||||
Troubled Debt Restructurings (“TDRs”) and MPF modification — As described more fully in Note 1. Significant Accounting Policies and Estimates in the Bank’s most recent Form 10K filed on March 25, 2013, the MPF Program introduced a temporary modification plan that is available to PFIs. MPF restructurings primarily involve modifying the borrower’s monthly payment for a period of up to 36 months, with a cap based on a ratio of the borrower’s housing expense to monthly income. The outstanding principal balance is re-amortized to reflect a principal and interest payment for a term not to exceed 40 years. This would result in a balloon payment at the original maturity date of the loan as the maturity date and number of remaining monthly payments is unchanged. If the housing expense ratio is still not met, the interest rate is reduced for up to 36 months in 0.125% increments below the original loan rate, to a floor rate of 3.00%, resulting in reduced principal and interest payments until the target housing expense ratio is met. No loans were modified in any periods in this report. At September 30, 2013 and December 31, 2012, outstanding balances of MPF loans include four loans that had been modified in 2011. Due to the temporary nature of the modification provisions allowed under the MPF Plan (up to 36 months), loans modified are considered impaired only if they are past due 90 days or more or in bankruptcy. One of the four modified loans was in bankruptcy status at September 30, 2013 and December 31, 2012. Another loan was in foreclosure status at September 30, 2013. The allowance for credit losses on those impaired loans were evaluated individually and insignificant amounts of credit losses were recorded at September 30, 2013, and December 31, 2012. | |||||||||||||||||||||||
Beginning with the fourth quarter of 2012, the FHLBNY includes MPF loans discharged from bankruptcy as TDRs, and $9.2 million of such loans were outstanding at September 30, 2013, and $8.8 million at December 31, 2012. The FHLBNY has determined that the discharge of mortgage debt in bankruptcy is a concession as defined under existing accounting literature for TDRs. A loan discharged from bankruptcy is assessed individually for credit impairment only if past due 90 days or more. Of the $9.2 million of loans that were discharged from bankruptcy, $0.8 million were impaired because they were past due 90 days or more, and the recorded allowance for credit losses associated with those loans were not significant at September 30, 2013 and December 31, 2012. Prior to the fourth quarter of 2012, the FHLBNY’s policy did not consider loans discharged from bankruptcy as TDR. | |||||||||||||||||||||||
Forgiveness information that would be required under the disclosure standards for loans deemed TDR has been omitted as the MPF modification program limits loan terms that can be modified for up to 36 months, after which period the borrower is required to adhere to the original terms of the loan. Other than being released from bankruptcy, the borrowers were not allowed any other concessions. | |||||||||||||||||||||||
The following table summarizes performing and non-performing troubled debt restructurings balances (in thousands): | |||||||||||||||||||||||
September 30, 2013 | December 31, 2012 | ||||||||||||||||||||||
Recorded Investment Outstanding | Performing | Non- performing | Total TDR | Performing | Non- performing | Total TDR | |||||||||||||||||
Troubled debt restructurings (TDR) (a): | |||||||||||||||||||||||
Loans discharged from bankruptcy | $ | 8,497 | $ | 751 | $ | 9,248 | $ | 8,189 | $ | 629 | $ | 8,818 | |||||||||||
Modified loans under MPF® program | 601 | 219 | 820 | 459 | 222 | 681 | |||||||||||||||||
Total troubled debt restructurings | $ | 9,098 | $ | 970 | $ | 10,068 | $ | 8,648 | $ | 851 | $ | 9,499 | |||||||||||
Related Allowance | $ | 612 | $ | 317 | |||||||||||||||||||
(a) Insured loans were not included in the calculation for troubled debt restructuring. |
Deposits
Deposits. | 9 Months Ended | |||||||||||
Sep. 30, 2013 | ||||||||||||
Deposits. | ' | |||||||||||
Deposits. | ' | |||||||||||
Note 9. 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): | ||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||
Interest-bearing deposits | ||||||||||||
Interest-bearing demand | $ | 1,522,886 | $ | 1,994,974 | ||||||||
Term | 55,000 | 40,000 | ||||||||||
Total interest-bearing deposits | 1,577,886 | 2,034,974 | ||||||||||
Non-interest-bearing demand | 13,047 | 19,537 | ||||||||||
Total deposits | $ | 1,590,933 | $ | 2,054,511 | ||||||||
September 30, 2013 | December 31, 2012 | |||||||||||
Amount | Weighted | Amount | Weighted | |||||||||
Outstanding | Average Interest | Outstanding | Average Interest | |||||||||
Rate | Rate | |||||||||||
Due in one year or less | ||||||||||||
Interest-bearing deposits - adjustable rate | $ | 1,577,886 | 0.04 | % | $ | 2,034,974 | 0.03 | % | ||||
Non-interest-bearing deposits | 13,047 | 19,537 | ||||||||||
Total deposits | $ | 1,590,933 | $ | 2,054,511 | ||||||||
The aggregate amount of term deposits due in one year or less was $55.0 million and $40.0 million at September 30, 2013 and December 31, 2012. |
Consolidated_Obligations
Consolidated Obligations. | 9 Months Ended | |||||||||||||||
Sep. 30, 2013 | ||||||||||||||||
Consolidated Obligations. | ' | |||||||||||||||
Consolidated Obligations. | ' | |||||||||||||||
Note 10. Consolidated Obligations. | ||||||||||||||||
Consolidated obligations (or consolidated bonds; or consolidated discount notes) are the joint and several obligations of the FHLBanks, and 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 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 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 Finance Agency, at its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligations. Although it has never occurred, to the extent that a FHLBank would make a payment on a consolidated obligation on behalf of another FHLBank, the paying FHLBank would be entitled to reimbursement from the non-complying FHLBank. However, if the Finance Agency determines that the non-complying FHLBank is unable to satisfy its obligations, then the Finance Agency may allocate the outstanding liability among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding, or on any other basis the Finance Agency may determine. Based on Management’s review, the FHLBNY has no reason to record actual or contingent liabilities with respect to the occurrence of events or circumstances that would require the FHLBNY to assume an obligation on behalf of other FHLBanks. The par amounts of the FHLBanks’ outstanding consolidated obligations, including consolidated obligations held by other FHLBanks, were approximately $0.7 trillion as of September 30, 2013 and December 31, 2012. | ||||||||||||||||
Finance Agency regulations require the FHLBanks to maintain, in the aggregate, unpledged qualifying assets equal to the consolidated obligations outstanding. Qualifying assets are defined as cash; secured advances; assets with an assessment or rating at least equivalent to the current assessment or rating of the consolidated obligations; obligations, participations, mortgages, or other securities of or issued by the United States or an agency of the United States; and securities in which fiduciary and trust funds may invest under the laws of the state in which the FHLBank is located. The FHLBNY met the qualifying unpledged asset requirements as follows: | ||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||
Percentage of unpledged qualifying assets to consolidated obligations | 108 | % | 109 | % | ||||||||||||
The following table summarizes consolidated obligations issued by the FHLBNY and outstanding at September 30, 2013 and December 31, 2012 (in thousands): | ||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||
Consolidated obligation bonds-amortized cost | $ | 69,909,024 | $ | 63,903,744 | ||||||||||||
Hedge value basis adjustments | 366,963 | 804,174 | ||||||||||||||
Hedge basis adjustments on terminated hedges | 76,074 | 63,520 | ||||||||||||||
FVO (a)-valuation adjustments and accrued interest | 9,327 | 12,883 | ||||||||||||||
Total Consolidated obligation-bonds | $ | 70,361,388 | $ | 64,784,321 | ||||||||||||
Discount notes-amortized cost | $ | 42,261,308 | $ | 29,776,704 | ||||||||||||
FVO (a) - valuation adjustments and remaining accretion | 808 | 3,243 | ||||||||||||||
Total Consolidated obligation-discount notes | $ | 42,262,116 | $ | 29,779,947 | ||||||||||||
(a) Accounted for under the Fair Value Option rules. | ||||||||||||||||
Redemption Terms of Consolidated Obligation Bonds | ||||||||||||||||
The following is a summary of consolidated obligation bonds outstanding by year of maturity (dollars in thousands): | ||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||
Maturity | Amount | Rate (a) | of Total | Amount | Rate (a) | of Total | ||||||||||
One year or less | $ | 42,867,425 | 0.45 | % | 61.36 | % | $ | 42,284,800 | 0.71 | % | 66.25 | % | ||||
Over one year through two years | 11,215,195 | 1.06 | 16.05 | 8,003,630 | 1.47 | 12.54 | ||||||||||
Over two years through three years | 3,235,835 | 1.38 | 4.63 | 5,746,280 | 1.62 | 9 | ||||||||||
Over three years through four years | 1,401,505 | 1.14 | 2.01 | 1,115,010 | 2.29 | 1.75 | ||||||||||
Over four years through five years | 3,064,355 | 2.01 | 4.39 | 1,515,570 | 2.56 | 2.38 | ||||||||||
Thereafter | 8,073,135 | 2.27 | 11.56 | 5,159,795 | 2.54 | 8.08 | ||||||||||
Total par value | 69,857,450 | 0.88 | % | 100 | % | 63,825,085 | 1.11 | % | 100 | % | ||||||
Bond premiums (b) | 77,274 | 102,225 | ||||||||||||||
Bond discounts (b) | (25,700 | ) | (23,566 | ) | ||||||||||||
Hedge value basis adjustments | 366,963 | 804,174 | ||||||||||||||
Hedge basis adjustments on terminated hedges | 76,074 | 63,520 | ||||||||||||||
FVO (c) - valuation adjustments and accrued interest | 9,327 | 12,883 | ||||||||||||||
Total Consolidated obligation-bonds | $ | 70,361,388 | $ | 64,784,321 | ||||||||||||
(a) Weighted average rate represents the weighted average contractual coupons of bonds, unadjusted for swaps. | ||||||||||||||||
(b) Amortization of bond premiums and discounts resulted in net reduction of interest expense of $13.4 million and $42.7 million for the three and nine months ended September 30, 2013 and $15.2 million and $44.3 million for the same periods in 2012. Amortization of basis adjustments from terminated hedges was $0.9 million and $2.7 million for the three and nine months ended September 30, 2013, and $1.1 million and $3.3 million for the same periods in 2012. | ||||||||||||||||
(c) Accounted for under the Fair Value Option rules. | ||||||||||||||||
Interest rate Payment Terms | ||||||||||||||||
The following summarizes types of bonds issued and outstanding (dollars in thousands): | ||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||
Amount | Percentage of | Amount | Percentage of | |||||||||||||
Total | Total | |||||||||||||||
Fixed-rate, non-callable | $ | 53,301,950 | 76.3 | % | $ | 48,184,085 | 75.49 | % | ||||||||
Fixed-rate, callable | 6,449,500 | 9.23 | 2,685,000 | 4.21 | ||||||||||||
Step Up, callable | 2,126,000 | 3.04 | 1,221,000 | 1.91 | ||||||||||||
Step Down, callable | 25,000 | 0.04 | — | — | ||||||||||||
Single-index floating rate | 7,955,000 | 11.39 | 11,735,000 | 18.39 | ||||||||||||
Total par value | 69,857,450 | 100 | % | 63,825,085 | 100 | % | ||||||||||
Bond premiums | 77,274 | 102,225 | ||||||||||||||
Bond discounts | (25,700 | ) | (23,566 | ) | ||||||||||||
Hedge value basis adjustments | 366,963 | 804,174 | ||||||||||||||
Hedge basis adjustments on terminated hedges | 76,074 | 63,520 | ||||||||||||||
FVO - valuation adjustments and accrued interest | 9,327 | 12,883 | ||||||||||||||
Total Consolidated obligation-bonds | $ | 70,361,388 | $ | 64,784,321 | ||||||||||||
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): | ||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||
Par value | $ | 42,266,370 | $ | 29,785,543 | ||||||||||||
Amortized cost | $ | 42,261,308 | $ | 29,776,704 | ||||||||||||
Fair value option valuation adjustments | 808 | 3,243 | ||||||||||||||
Total discount notes | $ | 42,262,116 | $ | 29,779,947 | ||||||||||||
Weighted average interest rate | 0.06 | % | 0.13 | % | ||||||||||||
Affordable_Housing_Program
Affordable Housing Program. | 9 Months Ended | |||||||||||||
Sep. 30, 2013 | ||||||||||||||
Affordable Housing Program. | ' | |||||||||||||
Affordable Housing Program. | ' | |||||||||||||
Note 11. Affordable Housing Program. | ||||||||||||||
For more information about the Affordable Housing Program and the Bank’s liability set aside for the AHP, see the Bank’s most recent Form 10-K filed on March 25, 2013. | ||||||||||||||
The following provides roll-forward information with respect to changes in Affordable Housing Program liabilities (in thousands): | ||||||||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||
Beginning balance | $ | 122,251 | $ | 131,960 | $ | 134,942 | $ | 127,454 | ||||||
Additions from current period’s assessments | 6,920 | 9,870 | 24,138 | 30,936 | ||||||||||
Net disbursements for grants and programs | (9,385 | ) | (6,075 | ) | (39,294 | ) | (22,635 | ) | ||||||
Ending balance | $ | 119,786 | $ | 135,755 | $ | 119,786 | $ | 135,755 |
Capital_Stock_Mandatorily_Rede
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | 9 Months Ended | |||||||||||||
Sep. 30, 2013 | ||||||||||||||
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | ' | |||||||||||||
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | ' | |||||||||||||
Note 12. 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, Class B1 and Class B2. Class B1 stock is issued to meet membership stock purchase requirements. Class B2 stock is issued to meet activity-based stock requirements. The FHLBNY requires member institutions to maintain Class B1 stock based on a percentage of the member’s mortgage-related assets and Class B2 stock based on a percentage of advances and acquired member assets, mainly MPF loans, outstanding with the FHLBank and certain commitments outstanding with the FHLBank. Class B1 and Class B2 stockholders have the same voting rights and dividend rates. Members can redeem Class B stock by giving five years notice. The Bank’s capital plan does not provide for the issuance of Class A capital stock. | ||||||||||||||
The FHLBNY is subject to risk-based capital rules. 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 Finance Agency may require the FHLBNY to maintain an amount of permanent capital greater than what is required by the risk-based capital requirements. In addition, the FHLBNY is required to maintain at least a 4.0% total capital-to-asset ratio and at least a 5.0% leverage ratio at all times. The leverage ratio is defined as the sum of permanent capital weighted 1.5 times and nonpermanent 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. The FHLBNY met the “adequately capitalized” classification, which is the highest rating, under the capital rule. However, the Finance Agency has discretion to reclassify a FHLBank and to modify or add to the corrective action requirements for a particular capital classification. For more information about the capital rules under the Finance Agency regulations and a discussion of corrective actions, if any, see Note 12. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings in the audited financial statements included in the Bank’s most recent Form 10-K filed on March 25, 2013. | ||||||||||||||
Risk-based Capital — The following table summarizes the Bank’s risk-based capital ratios (dollars in thousands): | ||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||
Required (d) | Actual | Required (d) | Actual | |||||||||||
Regulatory capital requirements: | ||||||||||||||
Risk-based capital (a) (e) | $ | 632,097 | $ | 6,469,647 | $ | 489,133 | $ | 5,714,352 | ||||||
Total capital-to-asset ratio | 4 | % | 5.33 | % | 4 | % | 5.55 | % | ||||||
Total capital (b) | $ | 4,855,446 | $ | 6,469,647 | $ | 4,119,552 | $ | 5,714,352 | ||||||
Leverage ratio | 5 | % | 7.99 | % | 5 | % | 8.32 | % | ||||||
Leverage capital (c) | $ | 6,069,307 | $ | 9,704,471 | $ | 5,149,440 | $ | 8,571,529 | ||||||
(a) Actual “Risk-based capital” is capital stock and retained earnings plus mandatorily redeemable capital stock. Section 932.2 of the Finance Agency’s regulations also refers to this amount as “Permanent Capital.” | ||||||||||||||
(b) Required “Total capital” is 4.0% of total assets. | ||||||||||||||
(c) Actual “Leverage capital” is actual Risk-based capital times 1.5. | ||||||||||||||
(d) Required minimum. | ||||||||||||||
(e) Under regulatory guidelines issued by the Finance Agency concurrently with the rating action in 2011 by S&P lowered the rating of long-term securities issued by the U.S. government, federal agencies, and other entities, including Fannie Mae, Freddie Mac, and the FHLBanks from AAA to AA+ with regard to this action, consistent with guidance provided by the banking regulators with respect to capital rules, the Finance Agency provided guidance to not change the risk weights for 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. | ||||||||||||||
Restricted Retained Earnings | ||||||||||||||
The FHLBNY allocates 20% of its net income to a separate restricted retained earnings account, which has grown to $139.5 million at September 30, 2013, up from $96.2 million at December 31, 2012. The 12 FHLBanks have a Joint Capital Enhancement Agreement (“Capital Agreement”) that requires each FHLBank to contribute 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 for the previous quarter. These restricted retained earnings will not be available to pay dividends. For more information about the Capital Agreement, see Note 12. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings, in the Bank’s most recent Form 10-K filed on March 25, 2013. | ||||||||||||||
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 and are reclassified to a liability at fair value. | ||||||||||||||
Anticipated redemptions of mandatorily redeemable capital stock in the following table assume the FHLBNY will follow its current practice of daily redemption of capital in excess of the amount required to support advances and MPF loans (in thousands): | ||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||
Redemption less than one year | $ | 4,081 | $ | 2,582 | ||||||||||
Redemption from one year to less than three years | 226 | 698 | ||||||||||||
Redemption from three years to less than five years | 16,528 | 5,210 | ||||||||||||
Redemption from five years or greater | 2,783 | 14,653 | ||||||||||||
Total | $ | 23,618 | $ | 23,143 | ||||||||||
The following table provides roll-forward information with respect to changes in mandatorily redeemable capital stock liabilities (in thousands): | ||||||||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||
Beginning balance | $ | 25,437 | $ | 42,035 | $ | 23,143 | $ | 54,827 | ||||||
Capital stock subject to mandatory redemption reclassified from equity | 390 | — | 4,452 | 45 | ||||||||||
Redemption of mandatorily redeemable capital stock (a) | (2,209 | ) | (21,541 | ) | (3,977 | ) | (34,378 | ) | ||||||
Ending balance | $ | 23,618 | $ | 20,494 | $ | 23,618 | $ | 20,494 | ||||||
Accrued interest payable (b) | $ | 250 | $ | 398 | $ | 250 | $ | 398 | ||||||
(a) Redemption includes repayment of excess stock. | ||||||||||||||
(b) The annualized accrual rates were 4.00% for September 30, 2013 and 4.50% for September 30, 2012 on mandatorily redeemable capital stock. | ||||||||||||||
Voluntary and Involuntary Withdrawal and Changes in Membership — Changes in membership due to mergers were not significant in any periods in this report. When a member is acquired by a non-member, the FHLBNY reclassifies stock of the member to a liability on the day the member’s charter is dissolved. Under existing practice, the FHLBNY repurchases Class B2 capital stock held by former members if such stock is considered “excess” and is no longer required to support outstanding advances. Class B1 membership stock held by former members is re-calculated and repurchased annually. | ||||||||||||||
The following table provides withdrawals and terminations in membership: | ||||||||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||
Voluntary Termination/Notices Received and Pending | 1 | 1 | 2 | 1 | ||||||||||
Involuntary Termination (a) | — | — | 1 | 2 | ||||||||||
Non-member due to merger | 1 | — | 2 | — | ||||||||||
(a) The Board of Directors of FHLBank may terminate the membership of any institution that: (1) fails to comply with any requirement of the FHLBank Act, any regulation adopted by the Finance Agency, or any requirement of the Bank’s capital plan; (2) becomes insolvent or otherwise subject to the appointment of a conservator, receiver, or other legal custodian under federal or state law; or (3) would jeopardize the safety or soundness of the FHLBank if it was to remain a member. |
Total_Comprehensive_Income
Total Comprehensive Income | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Total Comprehensive Income | ' | ||||||||||||||||
Total Comprehensive Income | ' | ||||||||||||||||
Note 13. Total Comprehensive Income | |||||||||||||||||
The following table provides rollforward information for the three and nine months ended September 30, 2013 and 2012 (in thousands): | |||||||||||||||||
Net unrealized | Net unrealized | Accumulated | |||||||||||||||
gains (losses) | Non-credit | gains (losses) | Pension and | Other | |||||||||||||
on AFS | OTTI on HTM | relating to | postretirement | Comprehensive | |||||||||||||
Securities | Securities | Hedging activities | benefits | Income (Loss) | |||||||||||||
Balance, June 30, 2012 | $ | 21,564 | $ | (69,647 | ) | $ | (137,244 | ) | $ | (18,325 | ) | $ | (203,652 | ) | |||
Other comprehensive income (loss) before reclassification | |||||||||||||||||
Net unrealized gains (losses) | 1,742 | — | (10,698 | ) | — | (8,956 | ) | ||||||||||
Accretion of non-credit loss | — | 2,908 | — | — | 2,908 | ||||||||||||
Reclassifications from OCI to net income | |||||||||||||||||
Non-credit OTTI to credit OTTI (a) | — | 534 | — | — | 534 | ||||||||||||
Amortization- hedging activities (b) | — | — | 1,058 | — | 1,058 | ||||||||||||
Amortization- pension and postretirement (c) | — | — | — | 344 | 344 | ||||||||||||
Net current period other comprehensive income (loss) | 1,742 | 3,442 | (9,640 | ) | 344 | (4,112 | ) | ||||||||||
Balance, September 30, 2012 | $ | 23,306 | $ | (66,205 | ) | $ | (146,884 | ) | $ | (17,981 | ) | $ | (207,764 | ) | |||
Balance, June 30, 2013 | $ | 19,464 | $ | (58,222 | ) | $ | (61,214 | ) | $ | (20,540 | ) | $ | (120,512 | ) | |||
Other comprehensive income (loss) before reclassification | |||||||||||||||||
Net unrealized (losses) gains | (5,501 | ) | — | 1,436 | — | (4,065 | ) | ||||||||||
Accretion of non-credit loss | — | 2,511 | — | — | 2,511 | ||||||||||||
Reclassifications from OCI to net income | |||||||||||||||||
Amortization- hedging activities (b) | — | — | 780 | — | 780 | ||||||||||||
Amortization- pension and postretirement (c) | — | — | — | 381 | 381 | ||||||||||||
Net current period other comprehensive (loss) income | (5,501 | ) | 2,511 | 2,216 | 381 | (393 | ) | ||||||||||
Balance, September 30, 2013 | $ | 13,963 | $ | (55,711 | ) | $ | (58,998 | ) | $ | (20,159 | ) | $ | (120,905 | ) | |||
Net unrealized | Net unrealized | Accumulated | |||||||||||||||
gains (losses) | Non-credit | gains (losses) | Pension and | Other | |||||||||||||
on AFS | OTTI on HTM | relating to | postretirement | Comprehensive | |||||||||||||
Securities | Securities | Hedging activities | benefits | Income (Loss) | |||||||||||||
Balance, December 31, 2011 | $ | 16,419 | $ | (75,849 | ) | $ | (111,985 | ) | $ | (19,012 | ) | $ | (190,427 | ) | |||
Other comprehensive income (loss) before reclassification | |||||||||||||||||
Net unrealized gains (losses) | 6,887 | — | (38,171 | ) | — | (31,284 | ) | ||||||||||
Non-credit OTTI loss | — | (132 | ) | — | — | (132 | ) | ||||||||||
Accretion of non-credit loss | — | 8,154 | — | — | 8,154 | ||||||||||||
Reclassifications from OCI to net income | |||||||||||||||||
Non-credit OTTI to credit OTTI (a) | — | 1,622 | — | — | 1,622 | ||||||||||||
Amortization- hedging activities (b) | — | — | 3,272 | — | 3,272 | ||||||||||||
Amortization- pension and postretirement (c) | — | — | — | 1,031 | 1,031 | ||||||||||||
Net current period other comprehensive income (loss) | 6,887 | 9,644 | (34,899 | ) | 1,031 | (17,337 | ) | ||||||||||
Balance, September 30, 2012 | $ | 23,306 | $ | (66,205 | ) | $ | (146,884 | ) | $ | (17,981 | ) | $ | (207,764 | ) | |||
Balance, December 31, 2012 | $ | 22,506 | $ | (63,471 | ) | $ | (137,114 | ) | $ | (21,301 | ) | $ | (199,380 | ) | |||
Other comprehensive income (loss) before reclassification | |||||||||||||||||
Net unrealized (losses) gains | (8,543 | ) | — | 75,474 | — | 66,931 | |||||||||||
Accretion of non-credit loss | — | 7,760 | — | — | 7,760 | ||||||||||||
Reclassifications from OCI to net income | |||||||||||||||||
Amortization- hedging activities (b) | — | — | 2,642 | — | 2,642 | ||||||||||||
Amortization- pension and postretirement (c) | — | — | — | 1,142 | 1,142 | ||||||||||||
Net current period other comprehensive (loss) income | (8,543 | ) | 7,760 | 78,116 | 1,142 | 78,475 | |||||||||||
Balance, September 30, 2013 | $ | 13,963 | $ | (55,711 | ) | $ | (58,998 | ) | $ | (20,159 | ) | $ | (120,905 | ) | |||
(a) Offsetting amounts recorded in Other income (loss) as a component of OTTI losses. | |||||||||||||||||
(b) Offsetting amounts recorded in Interest expense on consolidated obligation bonds and discount notes. | |||||||||||||||||
(c) Offsetting amounts recorded in Compensation and benefits expenses. |
Earnings_Per_Share_of_Capital
Earnings Per Share of Capital. | 9 Months Ended | |||||||||||||
Sep. 30, 2013 | ||||||||||||||
Earnings Per Share of Capital. | ' | |||||||||||||
Earnings Per Share of Capital. | ' | |||||||||||||
Note 14. Earnings Per Share of Capital. | ||||||||||||||
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 September 30, | Nine months ended September 30, | |||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||
Net income | $ | 61,336 | $ | 88,441 | $ | 215,820 | $ | 276,858 | ||||||
Net income available to stockholders | $ | 61,336 | $ | 88,441 | $ | 215,820 | $ | 276,858 | ||||||
Weighted average shares of capital | 53,484 | 48,934 | 48,929 | 46,677 | ||||||||||
Less: Mandatorily redeemable capital stock | (248 | ) | (352 | ) | (243 | ) | (423 | ) | ||||||
Average number of shares of capital used to calculate earnings per share | 53,236 | 48,582 | 48,686 | 46,254 | ||||||||||
Basic earnings per share | $ | 1.15 | $ | 1.81 | $ | 4.43 | $ | 5.99 | ||||||
Employee_Retirement_Plans
Employee Retirement Plans. | 9 Months Ended | |||||||||||||
Sep. 30, 2013 | ||||||||||||||
Employee Retirement Plans. | ' | |||||||||||||
Employee Retirement Plans. | ' | |||||||||||||
Note 15. Employee Retirement Plans. | ||||||||||||||
The Bank participates in the Pentegra Defined Benefit Plan for Financial Institutions (“Pentegra DB Plan”), a tax-qualified, defined-benefit multiemployer pension plan that covers all officers and employees of the Bank. The Bank also participates in the Pentegra Defined Contribution Plan for Financial Institutions, a tax-qualified defined contribution plan. In addition, the Bank maintains a Benefit Equalization Plan (“BEP”) that restores defined benefits for those employees who have had their qualified defined benefits limited by IRS regulations. The BEP is an unfunded plan. The Bank also offers a Retiree Medical Benefit Plan, which is a postretirement health benefit plan. There are no funded plan assets that have been designated to provide postretirement health benefits. | ||||||||||||||
Retirement Plan Expenses —Summary | ||||||||||||||
The following table presents employee retirement plan expenses for the three and nine months ended September 30, 2013 and the same periods in 2012 (in thousands): | ||||||||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||
Defined Benefit Plan (a) | $ | 189 | $ | 175 | $ | 567 | $ | 1,485 | ||||||
Benefit Equalization Plan (defined benefit) | 989 | 908 | 2,967 | 2,725 | ||||||||||
Defined Contribution Plan | 387 | 379 | 1,176 | 1,144 | ||||||||||
Postretirement Health Benefit Plan | 383 | 372 | 1,151 | 1,119 | ||||||||||
Total retirement plan expenses | $ | 1,948 | $ | 1,834 | $ | 5,861 | $ | 6,473 | ||||||
(a) In July 2012, Congress enacted a bill under the Surface Transportation Extension Act of 2012 — Moving Ahead for Progress in the 21st Century Act (“MAP-21”), which includes pension plan provisions intended to ease the negative effect of historically low interest rates. Previously, a plan sponsor could elect to calculate future pension obligations based on either the “yield curve” of corporate investment-grade bonds for the preceding month, or three “segment rates” that are drawn from the average yield curves over the most recent 24-month period. The primary change under the relief bill is to allow calculation of discount rates based over a 25 year period — a much longer period than the two-year period previously used to determine segment rates. The FHLBNY’s Defined Benefit Plan participates in the Pentegra Defined Benefit Plan pension, which has adopted the relief provisions noted above, and adoption resulted in a significant reduction in plan expenses. The FHLBNY paid in $0.7 million for the plan period July 1, 2012 to June 30, 2013. The amount recorded represents the minimum amount payable under the relief provided by MAP-21. For the plan year ended June 30, 2014, the pension expense was accrued at an annual rate of $0.7 million. The Pentegra DB Plan operates with a fiscal year that ends on June 30, and pension plan expenses paid are prorated and recorded over the FHLBNY’s calendar year. | ||||||||||||||
Components of the net periodic pension cost for the defined benefit component of the BEP were as follows (in thousands): | ||||||||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||
Service cost | $ | 216 | $ | 191 | $ | 648 | $ | 574 | ||||||
Interest cost | 338 | 325 | 1,014 | 975 | ||||||||||
Amortization of unrecognized net loss | 448 | 406 | 1,345 | 1,216 | ||||||||||
Amortization of unrecognized prior service cost | (13 | ) | (14 | ) | (40 | ) | (40 | ) | ||||||
Net periodic benefit cost | $ | 989 | $ | 908 | $ | 2,967 | $ | 2,725 | ||||||
Key assumptions and other information for the actuarial calculations to determine benefit obligations for the BEP plan were as follows (dollars in thousands): | ||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||
Discount rate (a) | 3.8 | % | 3.8 | % | ||||||||||
Salary increases | 5.5 | % | 5.5 | % | ||||||||||
Amortization period (years) | 7 | 7 | ||||||||||||
Benefits paid during the period | $ | (1,321 | )(b) | $ | (759 | ) | ||||||||
(a) The discount rates were based on the Citigroup Pension Liability Index at December 31, 2012 adjusted for duration. | ||||||||||||||
(b) Amounts based on forecast for the period ended December 31, 2013. | ||||||||||||||
Postretirement Health Benefit Plan | ||||||||||||||
Components of the net periodic benefit cost for the postretirement health benefit plan were as follows (in thousands): | ||||||||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||
Service cost (benefits attributed to service during the period) | $ | 236 | $ | 209 | $ | 709 | $ | 629 | ||||||
Interest cost on accumulated postretirement health benefit obligation | 202 | 212 | 605 | 636 | ||||||||||
Amortization of loss | 106 | 134 | 319 | 402 | ||||||||||
Amortization of prior service credit | (161 | ) | (183 | ) | (482 | ) | (548 | ) | ||||||
Net periodic postretirement health benefit cost | $ | 383 | $ | 372 | $ | 1,151 | $ | 1,119 | ||||||
Key assumptions (a) and other information to determine current year’s obligation for the FHLBNY’s postretirement health benefit plan were as follows: | ||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||
Weighted average discount rate | 3.80% | 3.80% | ||||||||||||
Health care cost trend rates: | ||||||||||||||
Assumed for next year | ||||||||||||||
Pre 65 | 7.50% | 7.50% | ||||||||||||
Post 65 | 7.50% | 7.50% | ||||||||||||
Pre 65 Ultimate rate | 5.00% | 5.00% | ||||||||||||
Pre 65 Year that ultimate rate is reached | 2018 | 2018 | ||||||||||||
Post 65 Ultimate rate | 5.50% | 5.50% | ||||||||||||
Post 65 Year that ultimate rate is reached | 2018 | 2018 | ||||||||||||
Alternative amortization methods used to amortize | ||||||||||||||
Prior service cost | Straight - line | Straight - line | ||||||||||||
Unrecognized net (gain) or loss | Straight - line | Straight - line | ||||||||||||
(a) The discount rates were based on the Citigroup Pension Liability Index adjusted for duration at December 31, 2012. |
Derivatives_and_Hedging_Activi
Derivatives and Hedging Activities. | 9 Months Ended | |||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||
Derivatives and Hedging Activities. | ' | |||||||||||||||||||||||||
Derivatives and Hedging Activities. | ' | |||||||||||||||||||||||||
Note 16. Derivatives and Hedging Activities. | ||||||||||||||||||||||||||
General — The FHLBNY may enter into interest-rate swaps, swaptions, and interest-rate cap and floor agreements to manage its exposure to changes in interest rates. The FHLBNY may also use callable swaps to potentially adjust the effective maturity, repricing frequency, or option characteristics of financial instruments to achieve risk management objectives. The FHLBNY, consistent with the Finance Agency’s regulations, enters into derivatives to manage the market risk exposures inherent in otherwise unhedged assets and funding positions. The FHLBNY is not a derivatives dealer and does not trade derivatives for short-term profit. The FHLBNY uses derivatives in three ways: by designating them as a fair value or cash flow hedge of an underlying financial instrument or a forecasted transaction that qualifies for hedge accounting treatment; by acting as an intermediary; or by designating the derivative as an asset-liability management hedge (i.e., an “economic hedge”). The FHLBNY may execute an interest rate swap to match the terms of an asset or liability that is elected under the FVO, and the swap is also considered as an economic hedge that is designed to mitigate the volatility of the FVO designated asset or liability due to change in the full fair value of the designated asset or liability. The FHLBNY uses derivatives in its overall interest-rate risk management to adjust the interest-rate sensitivity of consolidated obligations to approximate more closely the interest-rate sensitivity of assets (both advances and investments), and/or to adjust the interest-rate sensitivity of advances, investments or mortgage loans to approximate more closely the interest-rate sensitivity of liabilities. In addition to using derivatives to manage mismatches of interest rates between assets and liabilities, the FHLBNY also uses derivatives - to manage embedded options in assets and liabilities; to hedge the market value of existing assets and liabilities and anticipated transactions; to hedge the duration risk of prepayable instruments; and to reduce funding costs where possible. | ||||||||||||||||||||||||||
When the FHLBNY designates a derivative as an economic hedge, the choice represents the most cost effective manner of hedging a risk, and is after considering the operational costs and benefits of executing a hedge that would qualify for hedge accounting. When entering into such non-qualified hedges, the FHLBNY recognizes only the change in fair value of these derivatives in Other income (loss) as a Net realized and unrealized gain (loss) on derivatives and hedging activities with no offsetting fair value adjustments for the hedged asset, liability, or firm commitment. As a result, an economic hedge introduces the potential for earnings variability. 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. | ||||||||||||||||||||||||||
Types of Hedging Activities and Hedged Items | ||||||||||||||||||||||||||
Consolidated Obligations — The FHLBNY manages the risk arising from changing market prices and volatility of a consolidated obligation by matching the cash inflows on the derivative with the cash outflow on the consolidated obligation. While consolidated obligations are the joint and several obligations of the FHLBanks, one or more FHLBanks may individually serve as counterparties to derivative agreements associated with specific debt issues. For instance, in a typical transaction, fixed-rate consolidated obligations are issued for one or more FHLBanks, and each of those FHLBanks could simultaneously enter into a matching derivative in which the counterparty pays to the FHLBank fixed cash flows designed to mirror in timing and amount the cash outflows the FHLBank pays on the consolidated obligations. When such transactions qualify for hedge accounting, they are treated as fair value hedges under the accounting standards for derivatives and hedging. The FHLBNY has also elected the FVO for certain consolidated obligation bonds and discount notes. To mitigate the volatility resulting from changes in fair values of bonds and notes designated under the FVO, the Bank may execute interest rate swaps as economic hedges. | ||||||||||||||||||||||||||
When the FHLBNY issues variable-rate consolidated obligations bonds indexed to 1-month LIBOR, the U.S. Prime rate, or Federal funds rate, it will simultaneously execute interest-rate swaps (“basis swaps”) to hedge the basis risk of the variable rate debt to 3-month LIBOR, the FHLBNY’s preferred funding base. The basis swaps are designated as economic hedges of the floating-rate bonds because the FHLBNY deems that the operational cost of designating the hedges under accounting standards for derivatives and hedge accounting would outweigh the accounting benefits. | ||||||||||||||||||||||||||
Advances — The Bank offers a wide array of advances structures to meet members’ funding needs. These advances may have maturities up to 30 years with fixed or adjustable rates and may include early termination features or options. The Bank may use derivatives to adjust the repricing and/or options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a longer-term fixed rate advance, or a fixed or variable-rate advance with call or put or other embedded options, the Bank will simultaneously execute a derivative transaction with terms that offset the terms of the fixed rate advance, or terms of the advance with embedded options. The combination of the fixed rate advance and the derivative transaction effectively creates a variable rate asset. This type of hedge is treated as a fair value hedge. With a putable advance borrowed by a member, the FHLBNY would purchase from the member a put option. The FHLBNY may hedge a putable advance by entering into a cancelable interest rate swap in which the FHLBNY pays to the swap counterparty fixed-rate cash flows and receives variable-rate cash flows. This type of hedge is also treated as a fair value hedge. The swap counterparty can cancel the swap on the put date, which would normally occur in a rising rate environment, and the FHLBNY can terminate the advance and extend additional credit to the member on new terms. The FHLBNY also offers callable advances to members, which is a fixed-rate advance borrowed by a member. With the advance, the FHLBNY sells to the member a call option that enables the member to terminate the advance at pre-determined exercise dates. The FHLBNY hedges such advances by executing interest rate swaps with cancellable option features that would allow the FHLBNY to terminate the swaps also at pre-determined option exercise dates. The FHLBNY offers variable rate advances with an option that caps the interest rate payable by the borrower. The FHLBNY would typically offset the risk presented by the embedded cap by executing a matching cap. | ||||||||||||||||||||||||||
In the 2013 third quarter, the FHLBNY introduced the Fixed-rate advance with a LIBOR cap. The coupon of the fixed-rate advance would float inversely with the increase in the 3-month LIBOR rate, at a multiple of 1 (not levered). The coupon has a floor of zero. The FHLBNY hedges the advance with an interest rate swap with identical terms, converting fixed-rate cash flows to a LIBOR indexed cash flows through the term to maturity. The FHLBNY has reviewed and analyzed the terms of the cap and floor and the inverse payout, and has concluded that the advance does not meet the bifurcation tests under hedge accounting standards, specifically ASC 815-15 and ASC 815-10-25. Accordingly, it was not necessary to bifurcate and account for the options separately. | ||||||||||||||||||||||||||
An embedded derivative shall be separated from the host contract and accounted for as a derivative instrument pursuant to Subtopic 815-10 if and only if all of the following criteria are met: | ||||||||||||||||||||||||||
· The economic characteristics and risks of the embedded derivative are not clearly and closely related to the economic characteristics and risks of the host contract. | ||||||||||||||||||||||||||
· The hybrid instrument is not remeasured at fair value under otherwise applicable generally accepted accounting principles (GAAP) with changes in fair value reported in earnings as they occur. | ||||||||||||||||||||||||||
· A separate instrument with the same terms as the embedded derivative would, pursuant to Section 815-10-15, be a derivative instrument subject to the requirements of this Subtopic. The initial net investment for the hybrid instrument shall not be considered to be the initial net investment for the embedded derivative. | ||||||||||||||||||||||||||
Mortgage Loans — The Bank’s investment portfolio includes fixed rate mortgage loans. The FHLBNY manages the interest rate and prepayment risk associated with mortgages through debt issuance. Firm commitments to purchase or “delivery commitments” are considered derivatives. Also see “Firm Commitment Strategies” described below. | ||||||||||||||||||||||||||
Firm Commitment Strategies — Mortgage delivery commitments are considered derivatives under the accounting standards for derivatives and hedging. The FHLBNY accounts for them as freestanding derivatives, and records the fair values of mortgage loan delivery commitments on the balance sheet with an offset to Other income as a Net realized and unrealized gains (losses) on derivatives and hedging activities. Fair values were not significant for all periods in this report. The FHLBNY may also hedge a firm commitment for a forward starting advance with an interest-rate swap. In this case, the swap will function as the hedging instrument for both the firm commitment and the subsequent advance. The fair value adjustments associated with the firm commitment will be added to the basis of the advance at the time the commitment is terminated and the advance is issued. If a hedged firm commitment no longer qualified as a fair value hedge, the hedge would be terminated and net gains and losses would be recognized in current period earnings. There were no material amounts of gains and losses recognized due to disqualification of firm commitment hedges in the three and nine months ended September 30, 2013 and 2012. | ||||||||||||||||||||||||||
Forward Settlements — There were no forward settled securities at September 30, 2013 and December 31, 2012 that would settle outside the shortest period of time for the settlement of such securities. When the FHLBNY purchases a security that forward settles within the shortest period of time for the settlement of such a security, the Bank records the purchase on trade date. When a security forward settles outside the shortest period of time, a derivative is recorded in addition to the purchased security. | ||||||||||||||||||||||||||
Cash Flow Hedges of Anticipated Consolidated Bond Issuance — The FHLBNY enters into interest-rate swaps on the anticipated issuance of debt to “lock in” the interest to be paid for the cost of funding. The swap is terminated upon issuance of the debt instrument, and amounts recorded in AOCI are reclassified to earnings in the periods in which earnings are affected by the variability of the cash flows of the debt that was issued. | ||||||||||||||||||||||||||
Cash Flow Hedges of Rolling Issuance of Discount Notes — The FHLBNY hedges the rolling issuance of discount notes as a cash flow hedge. In these hedges, the Bank enters into derivative transactions with unrelated swap dealers and designates the swaps as hedges of the variable quarterly interest payments on the discount note borrowing program. In this program, the Bank issues a series of discount notes with 91-day terms over periods, that are generally up to 15 years. The FHLBNY will continue issuing new 91-day discount notes over the terms of the swaps as each outstanding discount note matures. The interest rate swaps require a settlement every 91 days, and the variable rate, which is based on the 3-month LIBOR, is reset immediately following each payment. The swaps are expected to eliminate the risk of variability of cash flows for each forecasted discount note issuance every 91 days. The FHLBNY documents at hedge origination, and on an ongoing basis, that the forecasted issuances of discount notes are probable. The FHLBNY performs a prospective hedge effectiveness analysis at inception of the hedges, and also performs an ongoing retrospective hedge effectiveness analysis at least every quarter to provide assurance that the hedges will remain highly effective. The fair values of the interest rate swaps are recorded in AOCI and ineffectiveness, if any, is measured using the “hypothetical derivative method” and recorded in earnings. The effective portion remains in AOCI. The Bank monitors the credit standing of the derivative counterparty each quarter. | ||||||||||||||||||||||||||
Intermediation — To meet the hedging needs of its members, the FHLBNY acts as an intermediary between the members and the other counterparties. This intermediation allows smaller members access to the derivatives market. The derivatives used in intermediary activities do not qualify for hedge accounting, and are separately marked-to-market through earnings. The net impact of the accounting for these derivatives does not significantly affect the operating results of the FHLBNY. The notional principal of interest rate swaps outstanding at September 30, 2013 and December 31, 2012, in which the FHLBNY was an intermediary, was $205.0 million and $265.0 million, with offsetting purchased positions from unrelated swap dealers. Fair values of the swaps sold to members net of the fair values of swaps purchased from derivative counterparties were not material at September 30, 2013 and December 31, 2012. Collateral with respect to derivatives with member institutions includes collateral assigned to the FHLBNY as evidenced by a written security agreement and held by the member institution for the benefit of the FHLBNY. | ||||||||||||||||||||||||||
Economic Hedges | ||||||||||||||||||||||||||
Economic hedges comprised primarily of: (1) short- and medium-term interest rate swaps that hedged the basis risk (primarily the Federal funds rate, and the 1-month LIBOR index) of variable-rate bonds issued by the FHLBNY. The FHLBNY believes the operational cost of designating the basis hedges in a qualifying hedge would outweigh the benefits of applying hedge accounting. (2) interest rate caps to hedge balance sheet risk, specifically interest rate risk from certain capped floating rate investment securities. (3) interest rate swaps that had previously qualified as hedges under the accounting standards for derivatives and hedging, but had been subsequently de-designated from hedge accounting as they were assessed as being not highly effective hedges. (4) interest rate swaps executed to offset the fair value changes of bonds and discount notes designated under the FVO. These swaps in economic hedges were considered freestanding and changes in the fair values of the swaps were recorded through income. | ||||||||||||||||||||||||||
Credit Risk due to nonperformance by counterparties | ||||||||||||||||||||||||||
The contractual or notional amount of derivatives reflects the involvement of the FHLBNY in the various classes of financial instruments, and serves as a basis for calculating periodic interest payments or cash flow. 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. For the FHLBNY, OTC derivative contracts are primarily bilateral contracts between the FHLBNY and the swap counterparties that are executed and settled bilaterally with counterparties without the use of a derivative clearing house (“DCO”). Beginning on June 10, 2013, certain of the FHLBNY’s OTC derivatives are executed bilaterally with executing swap counterparties, and cleared and settled through one or more DCO as mandated under the Dodd-Frank Act. When transacting a derivative for clearing, the FHLBNY utilizes a designated clearing agent that acts on behalf of the FHLBNY to clear and settle the interest rate exchange contract through the DCO. Once the contract is accepted for clearing by the clearing agent, which acts in the capacity of an intermediary between the FHLBNY and the DCO, the original contract between the FHLBNY and the executing counterparty is extinguished, and is replaced by an identical contract between the FHLBNY and the DCO. The DCO becomes the counterparty to the FHLBNY. However, the clearing agent interacts with the DCO on behalf of the FHLBNY. | ||||||||||||||||||||||||||
Bilateral OTC derivative contracts — For derivatives that are not eligible for clearing with a DCO, the FHLBNY is subject to credit risk as a result of nonperformance by swap counterparties to the derivative agreements. The FHLBNY enters into master netting arrangements and bilateral security agreements with all active derivative counterparties, which provide for delivery of collateral at specified levels to limit the net unsecured credit exposure to these counterparties. The FHLBNY makes judgments on each counterparty’s creditworthiness and estimates of collateral values in analyzing counterparty nonperformance credit risk. Bilateral agreements consider the credit risks and the agreement specifies thresholds to post or receive collateral with changes in credit ratings. When the FHLBNY has more than one derivative transaction outstanding with a counterparty, and a legally enforceable master netting agreement exists with the counterparty, the exposure (less collateral held) represents the appropriate measure of credit risk. The FHLBNY conducts all its derivative transactions under ISDA master netting agreements. | ||||||||||||||||||||||||||
OTC cleared contracts — Beginning on June 10, 2013, the FHLBNY became subject to mandatory clearing rules under the Commodity Futures Trading Commission’s (“CFTC”) clearing rules as provided under the Dodd-Frank Act. The FHLBNY’s cleared derivatives are also initially executed bilaterally with a swap dealer, the executing swap counterparty, in the OTC market, and the clearing process requires the FHLBNY to novate the contracts to a DCO, which then becomes the counterparty to the FHLBNY. | ||||||||||||||||||||||||||
The enforceability of offsetting rights incorporated in the agreements for the cleared derivative transactions has been analyzed by the FHLBNY to establish the extent to which supportive legal opinion, obtained from counsel of recognized standing, provides the requisite level of certainty regarding the enforceability of these agreements. Further analysis was performed to reach a view that the exercise of rights by the non-defaulting party under these agreements would not be stayed, or avoided under applicable law upon an event of default including bankruptcy, insolvency or similar proceeding involving the DCO or the FHLBNY’s clearing agents or both. Based on the analysis of the rules, and legal analysis obtained, the FHLBNY has made a determination that it has the right of setoff that is enforceable under applicable law that would allow it to: (1) net individual derivative contracts executed through a specific clearing agent (also referred to as a Futures Clearing Merchant, or “FCM”) to a designated DCO, so that a net derivative receivable or payable will be recorded for the DCO; the exposure (less margin held) would be represented by a single amount receivable from the DCO, and that amount would represent the appropriate measure of credit risk. This policy election for netting cleared derivatives is consistent with the policy election for netting bilaterally settled derivative transactions under master netting agreements; and (2) net all derivative contracts novated to the DCO with cash margins posted by the FHLBNY or received against the derivative contracts through a specified FCM or clearing agent. Typically, margins consist of Initial Margin (“initial margin”) and Variation Margin (“variation margin”). Variation margin fluctuates with the fair values of the open contracts. Initial margin fluctuates with the value of the open contracts and changes in market interest volatility, and amounts paid by the FHLBNY are in addition to the fair values of the open derivative contracts. The FHLBNY treats excess margins posted on cleared and uncleared trades as Derivative Assets. | ||||||||||||||||||||||||||
Offsetting of Derivative Assets and Derivative Liabilities — Net Presentation | ||||||||||||||||||||||||||
The following table 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 (“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. Where such a legal analysis has not been either sought or obtained, the receivables were not netted, and were reported as Derivative instruments - Not Nettable (in thousands): | ||||||||||||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||||||||||||
Derivative Assets | Derivative | Derivative Assets | Derivative | |||||||||||||||||||||||
Liabilities | Liabilities | |||||||||||||||||||||||||
Derivative instruments -Nettable | ||||||||||||||||||||||||||
Gross recognized amount | ||||||||||||||||||||||||||
Bilateral derivatives | $ | 664,733 | $ | 2,651,656 | $ | 966,523 | $ | 3,890,253 | ||||||||||||||||||
Cleared derivatives | 8,553 | 68,007 | — | — | ||||||||||||||||||||||
Total gross recognized amount | 673,286 | 2,719,663 | 966,523 | 3,890,253 | ||||||||||||||||||||||
Gross amounts of netting adjustments and cash collateral | ||||||||||||||||||||||||||
Bilateral derivatives | (655,777 | ) | (2,263,336 | ) | (924,638 | ) | (3,463,506 | ) | ||||||||||||||||||
Cleared derivatives | 25,863 | (68,007 | ) | — | — | |||||||||||||||||||||
Total gross amounts of netting adjustments and cash collateral | (629,914 | ) | (2,331,343 | ) | (924,638 | ) | (3,463,506 | ) | ||||||||||||||||||
Net amounts after offsetting adjustments | ||||||||||||||||||||||||||
Bilateral derivatives | 8,956 | 388,320 | 41,885 | 426,747 | ||||||||||||||||||||||
Cleared derivatives | 34,416 | — | — | — | ||||||||||||||||||||||
Total net amounts after offsetting adjustments | 43,372 | 388,320 | 41,885 | 426,747 | ||||||||||||||||||||||
Derivative instruments -Not Nettable | ||||||||||||||||||||||||||
Delivery Commitments (a) | 164 | — | 9 | 41 | ||||||||||||||||||||||
Total derivative assets and total derivative liabilities presented in the Statements of Condition | $ | 43,536 | $ | 388,320 | $ | 41,894 | $ | 426,788 | ||||||||||||||||||
Non-cash collateral received or pledged not offset | ||||||||||||||||||||||||||
Cannot be sold or repledged | ||||||||||||||||||||||||||
Bilateral OTC | $ | 3,905 | $ | — | $ | 7,368 | $ | — | ||||||||||||||||||
Delivery Commitments | 164 | — | 9 | — | ||||||||||||||||||||||
Total cannot be sold or repledged | 4,069 | — | 7,377 | — | ||||||||||||||||||||||
Net unsecured amount | ||||||||||||||||||||||||||
Bilateral OTC | 5,051 | 388,320 | 34,517 | 426,788 | ||||||||||||||||||||||
Cleared derivatives | 34,416 | — | — | — | ||||||||||||||||||||||
Total Net unsecured amount (b) | $ | 39,467 | $ | 388,320 | $ | 34,517 | $ | 426,788 | ||||||||||||||||||
(a) Derivative instruments without legal right of offset were synthetic derivatives representing forward mortgage delivery commitments of 45 days or less. It was operationally not practical to separate receivable from payables, and net presentation was adopted. No collateral was netted against the receivable or payable. | ||||||||||||||||||||||||||
(b) Unsecured amounts represent Derivative assets and liabilities recorded in the Statements of Condition at September 30, 2013 and December 31, 2012. The amounts primarily represent aggregate credit support thresholds that were waived under credit support agreements between the FHLBNY and derivative counterparties. | ||||||||||||||||||||||||||
The gross derivative exposures as represented by derivatives in fair values in gain positions before netting and offsetting cash collateral were $673.3 million and $966.5 million due at September 30, 2013 and December 31, 2012. Fair values amounts that were netted as a result of master netting agreements, or as a result of a determination that netting requirements had been met (including obtaining a legal analysis supporting the enforceability of the netting for cleared OTC derivatives), totaled $629.9 million and $924.6 million at those dates. These adjustments included $1.6 million and $7.7 million in cash posted by counterparties to mitigate the FHLBNY’s exposures at September 30, 2013 and December 31, 2012. The net exposures after offsetting adjustments were $43.5 million and $41.9 million at those dates. | ||||||||||||||||||||||||||
Derivative counterparties are also exposed to credit losses resulting from potential nonperformance risk of the FHLBNY with respect to derivative contracts, and their exposure due to a default by the FHLBNY is measured by derivatives in a fair value loss position from the FHLBNY’s perspective (and a gain position from the counterparty’s perspective). At September 30, 2013 and December 31, 2012, derivatives in a net unrealized loss positions, which represented the counterparties’ exposure to the potential non-performance risk of the FHLBNY, were $388.3 million and $426.8 million after deducting $1.7 billion and $2.5 billion of cash collateral posted by the FHLBNY at those dates to the exposed counterparties. With respect to cleared derivatives, the DCO is also exposed to the failure of the FHLBNY to deliver cash margin, which is typically paid one day following the execution of a cleared derivative, and those amounts were not significant. The exposure of the DCO to FHLBNY is included with the exposure totals provided above. | ||||||||||||||||||||||||||
The FHLBNY is also exposed to the risk of derivative counterparties failing to return cash collateral deposited with counterparties due to counterparty bankruptcy or other similar scenarios. If such an event were to occur, the FHLBNY would be forced to replace derivatives by executing similar derivative contracts with other counterparties. To the extent that the FHLBNY receives cash from the replacement trades that is less than the amount of cash deposited with the defaulting counterparty, the FHLBNY’s cash pledged as a deposit is exposed to credit risk of the defaulting counterparty. Derivative counterparties, including DCOs, holding the FHLBNY’s cash as posted collateral, were analyzed from credit performance perspective, and based on credit analyses and collateral requirements, the management of the FHLBNY does not anticipate any credit losses on its derivative agreements. | ||||||||||||||||||||||||||
The following tables represent outstanding notional balances and estimated fair values of the derivatives outstanding at September 30, 2013 and December 31, 2012 (in thousands): | ||||||||||||||||||||||||||
30-Sep-13 | ||||||||||||||||||||||||||
Notional Amount of | Derivative Assets | Derivative Liabilities | ||||||||||||||||||||||||
Derivatives | ||||||||||||||||||||||||||
Fair value of derivative instruments (a) | ||||||||||||||||||||||||||
Derivatives designated in hedging relationships | ||||||||||||||||||||||||||
Interest rate swaps-fair value hedges | $ | 74,711,711 | $ | 620,486 | $ | 2,648,132 | ||||||||||||||||||||
Interest rate swaps-cash flow hedges | 1,287,500 | 12,044 | 62,823 | |||||||||||||||||||||||
Total derivatives in hedging instruments | 75,999,211 | 632,530 | 2,710,955 | |||||||||||||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||||||||||||
Interest rate swaps | 28,524,270 | 11,120 | 4,631 | |||||||||||||||||||||||
Interest rate caps or floors | 2,700,000 | 25,364 | 11 | |||||||||||||||||||||||
Mortgage delivery commitments | 11,989 | 164 | — | |||||||||||||||||||||||
Other (b) | 410,000 | 4,272 | 4,065 | |||||||||||||||||||||||
Total derivatives not designated as hedging instruments | 31,646,259 | 40,920 | 8,707 | |||||||||||||||||||||||
Total derivatives before netting and collateral adjustments | $ | 107,645,470 | 673,450 | 2,719,662 | ||||||||||||||||||||||
Netting adjustments | (628,314 | ) | (628,314 | ) | ||||||||||||||||||||||
Net before cash collateral | 45,136 | 2,091,348 | ||||||||||||||||||||||||
Cash collateral and related accrued interest | (1,600 | ) | (1,703,028 | ) | ||||||||||||||||||||||
Net after cash collateral reported on the Statements of Condition | $ | 43,536 | $ | 388,320 | ||||||||||||||||||||||
31-Dec-12 | ||||||||||||||||||||||||||
Notional Amount of | Derivative Assets | Derivative Liabilities | ||||||||||||||||||||||||
Derivatives | ||||||||||||||||||||||||||
Fair value of derivative instruments (a) | ||||||||||||||||||||||||||
Derivatives designated in hedging relationships | ||||||||||||||||||||||||||
Interest rate swaps-fair value hedges | $ | 76,844,534 | $ | 925,635 | $ | 3,753,684 | ||||||||||||||||||||
Interest rate swaps-cash flow hedges | 1,106,000 | 1,647 | 126,426 | |||||||||||||||||||||||
Total derivatives in hedging instruments | 77,950,534 | 927,282 | 3,880,110 | |||||||||||||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||||||||||||
Interest rate swaps | 23,099,757 | 27,486 | 2,939 | |||||||||||||||||||||||
Interest rate caps or floors | 1,900,000 | 4,221 | 12 | |||||||||||||||||||||||
Mortgage delivery commitments | 25,217 | 9 | 41 | |||||||||||||||||||||||
Other (b) | 530,000 | 7,534 | 7,192 | |||||||||||||||||||||||
Total derivatives not designated as hedging instruments | 25,554,974 | 39,250 | 10,184 | |||||||||||||||||||||||
Total derivatives before netting and collateral adjustments | $ | 103,505,508 | 966,532 | 3,890,294 | ||||||||||||||||||||||
Netting adjustments | (916,938 | ) | (916,938 | ) | ||||||||||||||||||||||
Net before cash collateral | 49,594 | 2,973,356 | ||||||||||||||||||||||||
Cash collateral and related accrued interest | (7,700 | ) | (2,546,568 | ) | ||||||||||||||||||||||
Net after cash collateral reported on the Statements of Condition | $ | 41,894 | $ | 426,788 | ||||||||||||||||||||||
(a) All derivative assets and liabilities with swap dealers and counterparties are collateralized by cash; derivative instruments are subject to legal right of offset under master netting agreements, or in the absence of an agreement, the FHLBNY has been able to receive legal opinion that is has the rights to offset. | ||||||||||||||||||||||||||
(b) Other: Comprised of swaps intermediated for members. Notional amounts represent purchases from dealers and sales to members. | ||||||||||||||||||||||||||
Earnings Impact of Derivatives and Hedging Activities | ||||||||||||||||||||||||||
The FHLBNY carries all derivative instruments on the Statements of Condition at fair value as Derivative Assets and Derivative Liabilities. In the case of fair value hedges, if derivatives meet the hedging criteria under hedge accounting rules, and meeting the effectiveness measures, changes in fair value of the associated hedged financial instrument attributable to the risk being hedged may also be recorded through earnings. In the hedge, some or all of the unrealized fair value gains or losses recognized on the derivatives are offset by corresponding unrealized gains or losses on the associated hedged financial assets and liabilities. The net differential between fair value changes of the derivatives and the hedged items represents hedge ineffectiveness. Hedge ineffectiveness represents the amounts by which the changes in the fair value of the derivatives differ from the changes in the fair values of the hedged items or the variability in the cash flows of forecasted transactions. The net ineffectiveness from hedges that qualify under hedge accounting rules are recorded as a Net realized and unrealized gain (loss) on derivatives and hedging activities in Other income (loss) in the Statements of Income. If derivatives do not qualify for the hedging criteria under hedge accounting rules, but are executed as economic hedges of financial assets or liabilities under a FHLBNY - approved hedge strategy, only the fair value changes of the derivatives are recorded as a Net realized and unrealized gain (loss) on derivatives and hedging activities in Other income (loss) in the Statements of Income. | ||||||||||||||||||||||||||
When the FHLBNY elects to measure certain debt under the accounting designation for FVO, the Bank will typically execute a derivative as an economic hedge of the debt. Fair value changes of the derivatives are recorded as a Net realized and unrealized gain (loss) on derivatives and hedging activities in Other income (loss). Fair value changes of the debt designated under the FVO are recorded in as an unrealized (loss) or gain from Instruments held at fair value, also in Other income (loss). | ||||||||||||||||||||||||||
Components of net gains/ (losses) on derivatives and hedging activities as presented in the Statements of Income are summarized below (in thousands): | ||||||||||||||||||||||||||
Three months ended September 30, | Three months ended September 30, | |||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||
Gains (Losses) on | Gains (Losses) on | Earnings Impact | Effect of Derivatives on | Gains (Losses) on | Gains (Losses) on | Earnings Impact | Effect of Derivatives on | |||||||||||||||||||
Derivative | Hedged Item | Net Interest Income (a) | Derivative | Hedged Item | Net Interest Income (a) | |||||||||||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||
Advances (a) | $ | 36,195 | $ | (51,692 | ) | $ | (15,497 | ) | $ | (255,141 | ) | $ | (109,280 | ) | $ | 110,150 | $ | 870 | $ | (297,789 | ) | |||||
Consolidated obligations-bonds | (27,435 | ) | 27,233 | (202 | ) | 71,329 | (8,821 | ) | 8,963 | 142 | 78,561 | |||||||||||||||
Consolidated obligations-discount notes | — | — | — | — | (26 | ) | 6 | (20 | ) | 24 | ||||||||||||||||
Net gains (losses) related to fair value hedges (c) | 8,760 | (24,459 | ) | (15,699 | ) | $ | (183,812 | ) | (118,127 | ) | 119,119 | 992 | $ | (219,204 | ) | |||||||||||
Cash flow hedges | 46 | 46 | $ | (8,293 | ) | — | — | $ | (6,913 | ) | ||||||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||
Advances | 125 | 125 | 55 | 55 | ||||||||||||||||||||||
Consolidated obligations-bonds | (465 | ) | (465 | ) | 2,252 | 2,252 | ||||||||||||||||||||
Member intermediation | (44 | ) | (44 | ) | (24 | ) | (24 | ) | ||||||||||||||||||
Accrued interest-swaps (b) | 412 | 412 | 535 | 535 | ||||||||||||||||||||||
Accrued interest-intermediation (b) | 43 | 43 | 46 | 46 | ||||||||||||||||||||||
Caps or floors | ||||||||||||||||||||||||||
Advances | (19 | ) | (19 | ) | (19 | ) | (19 | ) | ||||||||||||||||||
Balance sheet hedges | (3,962 | ) | (3,962 | ) | (4,584 | ) | (4,584 | ) | ||||||||||||||||||
Mortgage delivery commitments | 258 | 258 | 101 | 101 | ||||||||||||||||||||||
Swaps economically hedging | ||||||||||||||||||||||||||
instruments designated under FVO | ||||||||||||||||||||||||||
Consolidated obligations-bonds | 3,864 | 3,864 | 11,276 | 11,276 | ||||||||||||||||||||||
Consolidated obligations-discount notes | 134 | 134 | 1,574 | 1,574 | ||||||||||||||||||||||
Accrued interest-swaps (b) | 3,215 | 3,215 | 2,751 | 2,751 | ||||||||||||||||||||||
Net gains related to derivatives not designated as hedging instruments | 3,561 | 3,561 | 13,963 | 13,963 | ||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | $ | 12,367 | $ | (24,459 | ) | $ | (12,092 | ) | $ | (104,164 | ) | $ | 119,119 | $ | 14,955 | |||||||||||
Nine months ended September 30, | Nine months ended September 30, | |||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||
Gains (Losses) on | Gains (Losses) on | Earnings Impact | Effect of Derivatives on | Gains (Losses) on | Gains (Losses) on | Earnings Impact | Effect of Derivatives on | |||||||||||||||||||
Derivative | Hedged Item | Net Interest Income (a) | Derivative | Hedged Item | Net Interest Income (a) | |||||||||||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||
Advances (a) | $ | 1,161,401 | $ | (1,162,494 | ) | $ | (1,093 | ) | $ | (784,460 | ) | $ | (113,036 | ) | $ | 114,841 | $ | 1,805 | $ | (912,868 | ) | |||||
Consolidated obligations-bonds | (417,307 | ) | 417,883 | 576 | 244,572 | (6,060 | ) | 7,258 | 1,198 | 249,106 | ||||||||||||||||
Consolidated obligations-discount notes | — | — | — | — | 67 | (1,467 | ) | (1,400 | ) | 1,237 | ||||||||||||||||
Net gains (losses) related to fair value hedges (c) | 744,094 | (744,611 | ) | (517 | ) | $ | (539,888 | ) | (119,029 | ) | 120,632 | 1,603 | $ | (662,525 | ) | |||||||||||
Cash flow hedges | (1 | ) | (1 | ) | $ | (23,142 | ) | (214 | ) | (214 | ) | $ | (19,356 | ) | ||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||
Advances | 808 | 808 | 922 | 922 | ||||||||||||||||||||||
Consolidated obligations-bonds | (6,492 | ) | (6,492 | ) | 24,627 | 24,627 | ||||||||||||||||||||
Consolidated obligations-discount notes | — | — | (6 | ) | (6 | ) | ||||||||||||||||||||
Member intermediation | (134 | ) | (134 | ) | (112 | ) | (112 | ) | ||||||||||||||||||
Accrued interest-swaps (b) | 4,157 | 4,157 | (4,061 | ) | (4,061 | ) | ||||||||||||||||||||
Accrued interest-intermediation (b) | 134 | 134 | 138 | 138 | ||||||||||||||||||||||
Caps or floors | ||||||||||||||||||||||||||
Advances | (56 | ) | (56 | ) | (56 | ) | (56 | ) | ||||||||||||||||||
Balance sheet hedges | 976 | 976 | (11,772 | ) | (11,772 | ) | ||||||||||||||||||||
Mortgage delivery commitments | (1,651 | ) | (1,651 | ) | 1,428 | 1,428 | ||||||||||||||||||||
Swaps economically hedging instruments designated under FVO | ||||||||||||||||||||||||||
Consolidated obligations-bonds | (8,806 | ) | (8,806 | ) | 20,313 | 20,313 | ||||||||||||||||||||
Consolidated obligations-discount notes | (1,372 | ) | (1,372 | ) | 2,772 | 2,772 | ||||||||||||||||||||
Accrued interest-swaps (b) | 15,121 | 15,121 | 3,208 | 3,208 | ||||||||||||||||||||||
Net gains related to derivatives not designated as hedging instruments | 2,685 | 2,685 | 37,401 | 37,401 | ||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | $ | 746,778 | $ | (744,611 | ) | $ | 2,167 | $ | (81,842 | ) | $ | 120,632 | $ | 38,790 | ||||||||||||
(a) | As discussed in Note 1. reported amortization expenses of fair value basis of hedged advance that were modified have been reclassified in the three and nine months ended September 30, 2012 to conform to the classification adopted commencing in the fourth quarter of 2012. Prior to the fourth quarter of 2012, the amortization were reclassified as charges to Interest income from advances. The preferred reporting policy is to not reclassify the amortization to Interest income, rather to record the amortization as a Net realized and unrealized gains (losses) on derivatives and hedging activities. | |||||||||||||||||||||||||
(b) | Represents interest expense and income associated with swaps that did not qualify under hedge accounting rules and were included with derivatives gains and losses. | |||||||||||||||||||||||||
(c) | Out-of-period adjustments — Fair value net hedging losses of $12.1 million in the 3rd quarter 2013 were after recording a cumulative out-of-period negative adjustment of $17.2 million to correct overstated hedging gains in prior periods in 2013 and 2012. Fair value hedging gain of $2.2 million in the nine months ended September 30, 2013 includes an out-of-period negative adjustment of $5.0 million from 2012. A flaw in the design of a swap transaction input template introduced in late 2011 mapped a specific non-standard transaction term incorrectly to the Bank’s valuation system, causing erroneous valuation of call and put options in an interest rate swap with options. Net gains related to fair value hedges were over stated as follows - $0.3 million for the 3rd quarter of 2012; $4.7 million for the 4th quarter of 2012; $4.1 million for the 1st quarter of 2013, and $8.1 million for the 2nd quarter of 2013. | |||||||||||||||||||||||||
Cash Flow Hedges | ||||||||||||||||||||||||||
Three months ended September 30, | ||||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||
AOCI | AOCI | |||||||||||||||||||||||||
Gains/(Losses) | Gains/(Losses) | |||||||||||||||||||||||||
Recognized in | Location: | Amount | Ineffectiveness | Recognized in | Location: | Amount | Ineffectiveness | |||||||||||||||||||
AOCI(c)(d) | Reclassified to | Reclassified to | Recognized in | AOCI(c)(d) | Reclassified to | Reclassified to | Recognized in | |||||||||||||||||||
Earnings (c) | Earnings (c) | Earnings | Earnings (c) | Earnings (c) | Earnings | |||||||||||||||||||||
Consolidated obligations-bonds (a) | $ | 261 | Interest Expense | $ | 780 | $ | 46 | $ | (113 | ) | Interest Expense | $ | 1,058 | $ | — | |||||||||||
Consolidated obligations-discount notes (b) | 1,175 | Interest Expense | — | — | (10,585 | ) | Interest Expense | — | — | |||||||||||||||||
$ | 1,436 | $ | 780 | $ | 46 | $ | (10,698 | ) | $ | 1,058 | $ | — | ||||||||||||||
Nine months ended September 30, | ||||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||
AOCI | AOCI | |||||||||||||||||||||||||
Gains/(Losses) | Gains/(Losses) | |||||||||||||||||||||||||
Recognized in | Location: | Amount | Ineffectiveness | Recognized in | Location: | Amount | Ineffectiveness | |||||||||||||||||||
AOCI(c)(d) | Reclassified to | Reclassified to | Recognized in | AOCI(c)(d) | Reclassified to | Reclassified to | Recognized in | |||||||||||||||||||
Earnings (c) | Earnings (c) | Earnings | Earnings (c) | Earnings (c) | Earnings | |||||||||||||||||||||
Consolidated obligations-bonds (a) | $ | 600 | Interest Expense | $ | 2,642 | $ | (1 | ) | $ | (2,095 | ) | Interest Expense | $ | 3,272 | $ | (214 | ) | |||||||||
Consolidated obligations-discount notes (b) | 74,874 | Interest Expense | — | — | (36,076 | ) | Interest Expense | — | — | |||||||||||||||||
$ | 75,474 | $ | 2,642 | $ | (1 | ) | $ | (38,171 | ) | $ | 3,272 | $ | (214 | ) | ||||||||||||
(a) Hedges of anticipated issuance of debt - The maximum period of time that the Bank typically hedges its exposure to the variability in future cash flows for forecasted transactions in this program is between three and nine months. At September 30, 2013 the Bank had open contracts of $31.5 millions of swaps to hedge the anticipated issuances of debt. The fair values of the open contracts recorded in AOCI was an unrealized loss of $0.9 million at September 30, 2013. There were no open contracts at December 31, 2012. The amounts in AOCI from closed cash flow hedges representing net unrecognized losses were $9.1 million and $12.3 million at September 30, 2013 and December 31, 2012. At September 30, 2013, it is expected that over the next 12 months, $2.9 million of the unrecognized losses in AOCI will be recognized as a yield adjustment (expenses) to consolidated bond interest expense. | ||||||||||||||||||||||||||
(b) Hedges of discount notes in rolling issuances — At September 30, 2013 and December 31, 2012, $1.3 billion and $1.1 billion of notional amounts of the interest rate swaps were outstanding under this program. Net unrealized fair values losses of $49.9 million and $124.8 million were recorded in AOCI at those dates. The cash flow hedges mitigated exposure to the variability in future cash flows for a maximum period of 15 years. Rising long-term swap rates at September 30, 2013, relative to December 31, 2012, caused fair value losses to decline. The FHLBNY’s cash payments are fixed, and in return it receives LIBOR-indexed floating rate cash flows; in a rising rate environment, the amount of forecasted cash flows that it would potentially receive grow larger effectively reducing unrealized losses. | ||||||||||||||||||||||||||
(c) Effective portion was recorded in AOCI. Ineffectiveness was immaterial and was recorded within Net income. | ||||||||||||||||||||||||||
(d) Represents unrecognized loss from cash flow hedges recorded in AOCI. | ||||||||||||||||||||||||||
There were no material amounts that were reclassified into earnings as a result of the discontinuance of cash flow hedges because 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. |
Fair_Values_of_Financial_Instr
Fair Values of Financial Instruments. | 9 Months Ended | |||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||
Fair Values of Financial Instruments. | ' | |||||||||||||||||||
Fair Values of Financial Instruments. | ' | |||||||||||||||||||
Note 17. Fair Values of Financial Instruments. | ||||||||||||||||||||
The fair value amounts recorded on the Statements of Condition or presented in the note disclosures have been determined by the FHLBNY using available market information and best judgment of appropriate valuation methods. These values do not represent an estimate of the overall market value of the FHLBNY as a going concern, which would take into account future business opportunities and the net profitability of assets and liabilities. | ||||||||||||||||||||
Estimated Fair Values — Summary Tables | ||||||||||||||||||||
The carrying values, estimated fair values and the levels within the fair value hierarchy were as follows (in thousands): | ||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||
Estimated Fair Value | ||||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 (a) | Netting | ||||||||||||||
Adjustment and | ||||||||||||||||||||
Cash Collateral | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Cash and due from banks | $ | 11,520,885 | $ | 11,520,885 | $ | 11,520,885 | $ | — | $ | — | $ | — | ||||||||
Federal funds sold | 4,878,000 | 4,877,996 | — | 4,877,996 | — | — | ||||||||||||||
Available-for-sale-securities | 1,689,241 | 1,689,241 | 10,039 | 1,679,202 | — | — | ||||||||||||||
Held-to-maturity securities | 12,002,497 | 12,126,236 | — | 10,961,322 | 1,164,914 | — | ||||||||||||||
Advances | 89,121,435 | 89,030,966 | — | 89,030,966 | — | — | ||||||||||||||
Mortgage loans held-for-portfolio, net | 1,932,855 | 1,939,187 | — | 1,939,187 | — | — | ||||||||||||||
Accrued interest receivable | 171,895 | 171,895 | — | 171,895 | — | — | ||||||||||||||
Derivative assets | 43,536 | 43,536 | — | 673,450 | — | (629,914 | ) | |||||||||||||
Other financial assets | 1,621 | 1,621 | — | 510 | 1,111 | — | ||||||||||||||
Liabilities | ||||||||||||||||||||
Deposits | 1,590,933 | 1,590,950 | — | 1,590,950 | — | — | ||||||||||||||
Consolidated obligations | ||||||||||||||||||||
Bonds | 70,361,388 | 70,062,162 | — | 70,062,162 | — | — | ||||||||||||||
Discount notes | 42,262,116 | 42,264,081 | — | 42,264,081 | — | — | ||||||||||||||
Mandatorily redeemable capital stock | 23,618 | 23,618 | 23,618 | — | — | — | ||||||||||||||
Accrued interest payable | 143,900 | 143,900 | — | 143,900 | — | — | ||||||||||||||
Derivative liabilities | 388,320 | 388,320 | — | 2,719,663 | — | (2,331,343 | ) | |||||||||||||
Other financial liabilities | 93,046 | 93,046 | 93,046 | — | — | — | ||||||||||||||
December 31, 2012 | ||||||||||||||||||||
Estimated Fair Value | ||||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 (a) | Netting | ||||||||||||||
Adjustment and | ||||||||||||||||||||
Cash Collateral | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Cash and due from banks | $ | 7,553,188 | $ | 7,553,188 | $ | 7,553,188 | $ | — | $ | — | $ | — | ||||||||
Federal funds sold | 4,091,000 | 4,091,010 | — | 4,091,010 | — | — | ||||||||||||||
Available-for-sale-securities | 2,308,774 | 2,308,774 | 9,633 | 2,299,141 | — | — | ||||||||||||||
Held-to-maturity securities | 11,058,764 | 11,456,556 | — | 10,202,124 | 1,254,432 | — | ||||||||||||||
Advances | 75,888,001 | 75,880,070 | — | 75,880,070 | — | — | ||||||||||||||
Mortgage loans held-for-portfolio, net | 1,842,816 | 1,931,437 | — | 1,931,437 | — | — | ||||||||||||||
Accrued interest receivable | 179,044 | 179,044 | — | 179,044 | — | — | ||||||||||||||
Derivative assets | 41,894 | 41,894 | — | 966,532 | — | (924,638 | ) | |||||||||||||
Other financial assets | 533 | 533 | — | 364 | 169 | — | ||||||||||||||
Liabilities | ||||||||||||||||||||
Deposits | 2,054,511 | 2,054,523 | — | 2,054,523 | — | — | ||||||||||||||
Consolidated obligations | ||||||||||||||||||||
Bonds | 64,784,321 | 64,942,869 | — | 64,942,869 | — | — | ||||||||||||||
Discount notes | 29,779,947 | 29,781,720 | — | 29,781,720 | — | — | ||||||||||||||
Mandatorily redeemable capital stock | 23,143 | 23,143 | 23,143 | — | — | — | ||||||||||||||
Accrued interest payable | 127,664 | 127,664 | — | 127,664 | — | — | ||||||||||||||
Derivative liabilities | 426,788 | 426,788 | — | 3,890,295 | — | (3,463,507 | ) | |||||||||||||
Other financial liabilities | 85,079 | 85,079 | 85,079 | — | — | — | ||||||||||||||
(a) Level 3 Instruments — The fair values of 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 so that the inputs may not be market based and observable. | ||||||||||||||||||||
Fair Value Hierarchy | ||||||||||||||||||||
The FHLBNY records available-for-sale securities, derivative assets, derivative liabilities, certain consolidated obligations and advances elected under the FVO, and certain other liabilities at fair value on a recurring basis. On a non-recurring basis, certain held-to-maturity securities determined to be OTTI are also measured and recorded at their fair values. The fair value hierarchy requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of market observability of the fair value measurement for the asset or liability. 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. | ||||||||||||||||||||
The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels: | ||||||||||||||||||||
· 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 — Unobservable inputs for the asset or liability. | ||||||||||||||||||||
The FHLBNY reviews its fair value hierarchy classifications on a quarterly basis. 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. The fair values of financial assets and liabilities reported in the tables above are discussed below. | ||||||||||||||||||||
Cash and Due from Banks — The estimated fair value approximates the recorded book balance. | ||||||||||||||||||||
Interest-bearing Deposits and Federal Funds Sold — The FHLBNY determines estimated fair values of short-term investments by calculating the present value of expected future cash flows from the investments, a methodology also referred to as the Income approach under the Fair value measurement standards. The discount rates used in these calculations are the current coupons of investments with similar terms. Inputs into the cash flow models employed by the Bank are the yields on the instruments and are market based and observable and are considered to be within Level 2 of the fair value hierarchy. | ||||||||||||||||||||
Investment Securities — The fair value of investment securities is estimated by the FHLBNY using information primarily from pricing services. This methodology is also referred to as the Market approach under the Fair value measurement standards. Carrying value of a security is the same as its amortized cost, unless the security is determined to be OTTI. In the period the security is determined to be OTTI, its carrying value is generally adjusted down to its fair value. | ||||||||||||||||||||
Mortgage-backed securities — The FHLBNY’s valuation technique incorporates prices from up to four designated third-party pricing services, when available. 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 four prices are received from the four pricing vendors, the average of the two middle prices is used; 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 subject to further validation. Vendor prices that are outside of a defined tolerance threshold of the median price are identified as outliers and subject to additional review, including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates, or use of internal model prices, which are deemed to be reflective of all relevant facts and circumstances that a market participant would consider. Such analysis is also applied in those limited instances where no third-party vendor price or only one third-party vendor price is available in order to arrive at an estimated fair value. In its analysis, the FHLBNY has also introduced the concept of clustering pricing, and to predefine cluster tolerances. Once the median prices are computed from the four pricing vendors, the second step is to determine which of the sourced prices fall within the required tolerance level interval to the median price, which forms the “cluster” of prices to be averaged. This average will determine a “default” price for the security. To be included among the cluster, each price must fall within 10 points of the median price for residential PLMBS and within 3 points of the median price for GSE issued MBS. The cluster tolerance guidelines shall be reviewed annually and may be revised as necessary. The final step is to determine the final price of the security based on the cluster average and an evaluation of any outlier prices. If the analysis confirms that an outlier is not representative of fair value and that the average of the vendor prices within the tolerance threshold of the median price is the best estimate, then the average of the vendor prices within the tolerance threshold of the median price is used as the final price. If, on the other hand, an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price. In all cases, the final price is used to determine the fair value of the security. | ||||||||||||||||||||
The FHLBNY has also established that the pricing vendors use methods that generally employ, but are not limited to, benchmark yields, recent trades, dealer estimates, valuation models, benchmarking of like securities, sector groupings, and/or matrix pricing. To validate vendor prices of PLMBS, the FHLBNY has also adopted a formal process to examine yields as an additional validation method. The FHLBNY calculates an implied yield for each of its PLMBS using estimated fair values derived from cash flows on a bond-by-bond basis. This yield is then compared to the implied yield for comparable securities according to price information from third-party MBS “market surveillance reports”. Significant variances or inconsistencies are evaluated in conjunction with all of the other available pricing information. The objective is to determine whether an adjustment to the fair value estimate is appropriate. | ||||||||||||||||||||
Based on the FHLBNY’s review processes, management has concluded that inputs into the pricing models employed by pricing services for the Bank’s investments in GSE securities are market based and observable and are considered to be within Level 2 of the fair value hierarchy. The valuation of the FHLBNY’s private-label securities, all designated as held-to-maturity, may require pricing services to use significant inputs that are subjective and are considered 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. Certain held-to-maturity private-label MBS were deemed OTTI at December 31, 2012 (none at September 30, 2013, or at any time in 2013) and were written down to their fair values, so that their carrying values recorded in the balance sheet equaled their fair values, which were classified on a nonrecurring basis as Level 3 financial instruments under the valuation hierarchy. | ||||||||||||||||||||
Housing finance agency bonds - The fair value of housing finance agency bonds is estimated by management using information primarily from pricing services. Because of the current lack of significant market activity, their fair values were categorized within Level 3 of the fair value hierarchy as inputs into vendor pricing models may not be market based and observable. | ||||||||||||||||||||
Advances — The fair values of advances 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. The Bank considers both these inputs to be market based and observable as they can be directly corroborated by market participants. | ||||||||||||||||||||
The FHLBNY determines the fair values of its advances 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 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. | ||||||||||||||||||||
The FHLBNY creates an internal curve, which is interpolated from its advance rates. Advance rates are calculated by applying a spread to an underlying “base curve” derived from the FHLBNY’s cost of funds, which is based on the CO Curve, inputs to which have been determined to be market observable and classified as Level 2. The spreads applied to the base advance pricing curve typically represent the FHLBNY’s mark-ups over the FHLBNY’s cost of funds, and are not market observable inputs, but are based on the FHLBNY’s advance pricing strategy. Such inputs have been classified as a Level 3. For the FHLBNY, Level 3 inputs were considered not significant. | ||||||||||||||||||||
To determine the appropriate classification of the overall measurement in the fair value hierarchy of an advance, an analysis of the inputs to the entire fair value measurement was performed at September 30, 2013 and at December 31, 2012. If the unobservable spread to the FHLBNY’s cost of funds was not significant to the overall fair value, then the measurement was classified as Level 2. Conversely, if the unobservable spread was significant to the overall fair value, then the measurement would be classified as Level 3. The impact of the unobservable input was calculated as the difference in the value determined by discounting an advance’s cash flows using the FHLBNY’s advance curve and the value determined by discounting an advance’s cash flows using the FHLBNY’s cost of funds curve. Given the relatively small mark-ups over the FHLBNY’s cost of funds, the results of the FHLBNY’s quantitative analysis confirmed the FHLBNY’s expectations that the measurement of the FHLBNY’s advances was Level 2. The unobservable mark-up spreads were not significant to the overall fair value of the instrument. A quantitative threshold for significance factor was established at 10 percent, with additional qualitative factors to be considered if the ratio exceeded the threshold. | ||||||||||||||||||||
The FHLBNY has elected the FVO designation for certain advances and recorded their fair values in the Statements of Conditions for such advances. The CO Curve was 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. | ||||||||||||||||||||
Accrued Interest Receivable and Other Assets — The estimated fair values approximate the recorded book value because of the relatively short period of time between their origination and expected realization. | ||||||||||||||||||||
Mortgage Loans (MPF Loans) | ||||||||||||||||||||
A. Principal and/or Most Advantageous Market and Market Participants | ||||||||||||||||||||
The FHLBNY may sell mortgage loans to another FHLBank or in the secondary mortgage market. Because transactions between FHLBanks occur infrequently, the FHLBNY has identified the secondary mortgage market as the principal market for mortgage loans under the MPF programs. Also, based on the nature of the supporting collateral to the MPF loans held by FHLBNY, the presentation of a single class for all products within the MPF product types is considered appropriate. As described below, the FHLBNY believes that the market participants within the secondary mortgage market for the MPF portfolio would differ primarily whether qualifying or non-qualifying loans are being sold. | ||||||||||||||||||||
Qualifying Loans — The FHLBNY believes that a market participant is an entity that would buy qualifying mortgage loans for the purpose of securitization and subsequent resale as a security. Other government-sponsored enterprises (“GSEs”), specifically Federal National Mortgage Association (“Fannie Mae”) and Federal Home Loan Mortgage Corporation (“Freddie Mac”), conduct the majority of such activity in the United States, but there are other commercial banks and financial institutions that periodically conduct business in this market. Therefore, the FHLBNY has identified market participants for qualifying loans to include (1) all GSEs, and (2) other commercial banks and financial institutions that are independent of the FHLBank System. | ||||||||||||||||||||
Non-qualifying Loans — For the FHLBNY, non-qualifying loans are primarily impaired loans. The FHLBNY believes that it is unlikely the GSE market participants would willingly buy loans that did not meet their normal criteria or underwriting standards. However, a market exists with commercial banks and financial institutions other than GSEs where such market participants buy non-qualifying loans in order to securitize them as they become current, resell them in the secondary market, or hold them in their portfolios. Therefore, the FHLBNY has identified the market participants for non-qualifying loans to include other commercial banks and financial institutions that are independent of the FHLBank System. | ||||||||||||||||||||
B. Fair Value at Initial Recognition — MPF Loans | ||||||||||||||||||||
The FHLBNY believes that the transaction price (entry price) may differ from the fair value (exit price) at initial recognition because it is determined using a different method than subsequent fair value measurements. However, because mortgage loans are not measured at fair value in the balance sheet, day one gains and losses would not be applicable. Additionally, all mortgage loans were performing at the time of origination. | ||||||||||||||||||||
The FHLBNY receives an entry price from the FHLBank of Chicago, the MPF Provider, at the time of acquisition. This entry price is based on the TBA rates, as well as exit prices received from market participants, such as Fannie Mae and Freddie Mac. The price is adjusted for specific MPF program characteristics and may be further adjusted by the FHLBNY to accommodate changing market conditions. Because of the adjustments, in many cases, the entry price would not equal the exit price at the time of acquisition. | ||||||||||||||||||||
C. Valuation Technique, Inputs and Hierarchy | ||||||||||||||||||||
The FHLBNY calculates the fair value of the entire mortgage loan portfolio using a valuation technique referred to as the “market approach”. Loans are aggregated into synthetic pass-through securities based on product type, loan origination year, gross coupon and loan term. The fair values are based on TBA rates (or agency commitment rates), as discussed above, adjusted primarily for seasonality. The fair values of impaired MPF are also based on TBA rates and are adjusted for a haircut value on the underlying collateral value. The FHLBNY validates the impairment adjustment made to TBA rates by “back-testing” against incurred losses. | ||||||||||||||||||||
TBA and agency commitment rates are market observable and therefore classified as Level 2 in the fair value hierarchy. Any inputs derived from observable market data also result in a Level 2 classification. Any inputs based on unobservable assumptions would be classified as Level 3 inputs. Since most of the FHLBNY mortgage loans are currently performing and no credit losses are expected, any Level 3 inputs are generally insignificant to the total measurement and therefore the measurement of most loans may be classified as Level 2 in the fair value hierarchy. However, many of the credit and default risk related inputs involved with the valuation techniques described above may be considered unobservable due to variety of reasons (e.g., lack of market activity for a particular loan, inherent judgment involved in property estimates). If unobservable inputs are considered significant, the loans would be classified as Level 3 in the fair value hierarchy. Therefore, loans with expected credit losses may result in Level 2 or Level 3 classifications depending upon the significance of unobservable inputs used. | ||||||||||||||||||||
Consolidated Obligations — The FHLBNY estimates the fair values of consolidated obligations 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 raising comparable term debt. | ||||||||||||||||||||
The FHLBNY’s internal valuation models use standard valuation techniques and estimate fair values based on the following inputs: | ||||||||||||||||||||
· CO Curve and LIBOR Swap Curve. The Office of Finance constructs an internal curve, referred to as the CO Curve, using the U.S. Treasury Curve as a base curve that is then adjusted by adding indicative spreads obtained from market observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, recent GSE trades and secondary market activity. The FHLBNY considers the inputs as Level 2 inputs as they are market observable. | ||||||||||||||||||||
· Volatility assumption. To estimate the fair values of consolidated obligations with optionality, the FHLBNY uses market-based expectations of future interest rate volatility implied from current market prices for similar options. These inputs are also considered Level 2 as they are market based and observable. | ||||||||||||||||||||
The FHLBNY has elected the FVO designation for certain consolidated obligation debt and recorded their fair values in the Statements of Conditions. The CO Curve and volatility assumptions (for debt with call options) were primary inputs, which are market based and observable. Fair values were classified within Level 2 of the valuation hierarchy. | ||||||||||||||||||||
Derivative Assets and Liabilities — The FHLBNY’s derivatives are traded in the over-the-counter market. 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 September 30, 2013 and December 31, 2012. | ||||||||||||||||||||
The Bank’s valuation model utilizes a modified Black-Karasinski model that assumes that rates are distributed log normally. The log-normal model precludes interest rates turning negative in the model computations. 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 (OIS curve). | ||||||||||||||||||||
Mortgage delivery commitments (considered a derivative): | ||||||||||||||||||||
· TBA security prices are adjusted for differences in coupon, average loan rate and seasoning. | ||||||||||||||||||||
OIS adoption — Beginning with December 31, 2012 and at September 30, 2013, the FHLBNY has incorporated overnight indexed swap (“OIS”) curves as fair value measurement inputs for the valuation of its derivatives, as the OIS curves reflect the interest rates paid on cash collateral provided against the fair value of these derivatives. The FHLBNY believes using relevant 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 OIS curve (Federal funds curve) was an additional input incorporated into 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 OIS calibrated 3-month LIBOR curve. The model then discounts the cash flows by the OIS curve to generate fair values. Previously, the FHLBNY used the 3-month London Interbank Offered Rate (“LIBOR”) curve as the relevant benchmark curve for its derivatives and as the discounting rate for these collateralized interest-rate related derivatives. The impact of the adoption of OIS on the FHLBNY’s financial position, results of operations and cash flows was not material. | ||||||||||||||||||||
Credit risk and credit valuation adjustments — The FHLBNY is subject to credit risk in derivatives transactions due to the potential nonperformance of its derivatives counterparties, which are generally highly rated institutions. To mitigate this risk, the FHLBNY has entered into master netting agreements with its derivative counterparties. To further limit the FHLBNY’s net unsecured credit exposure to those counterparties, the FHLBNY has entered into bilateral security agreements with all of its derivatives counterparties that provide for the delivery of collateral at specified levels. | ||||||||||||||||||||
The valuation of derivative assets and liabilities reflect the value of the instrument including the values associated with counterparty risk and would also take into account the FHLBNY’s own credit standing and non-performance risk. The Bank has collateral agreements with all its derivative counterparties and enforces collateral exchanges at least weekly. The computed fair values of the FHLBNY’s 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. The Bank and each of its derivative counterparties have bilateral collateral thresholds that take into account both the Bank and counterparty’s credit ratings. As a result of these practices and agreements and the FHLBNY’s assessment of any change in its own credit spread, the Bank has concluded that the impact of the credit differential between the Bank and its derivative counterparties 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 September 30, 2013 and December 31, 2012. | ||||||||||||||||||||
Control processes — The FHLBNY employs control processes to validate the fair value of its financial instruments, including those derived from valuation models. These control processes are designed to ensure that the values used for financial reporting are based on observable inputs wherever possible. In the event that observable inputs are not available, the control processes are designed to ensure that the valuation approach utilized is appropriate and consistently applied and that the assumptions are reasonable. These control processes include reviews of the pricing model’s theoretical soundness and appropriateness by specialists with relevant expertise who are independent from the trading desks or personnel who were involved in the design and selection of model inputs. Additionally, groups that are independent from the trading desk, or personnel involved in the design and selection of model inputs participate in the review and validation of the fair values generated from the valuation model. The FHLBNY maintains an ongoing review of its valuation models and has a formal model validation policy in addition to procedures for the approval and control of data inputs. As discussed in Note 16. Derivatives and Hedging Activities, the FHLBNY identified an error in the valuation of put and call options in certain cancellable swaps. The FHLBNY has traced the error to a flaw in the design of a template that was created in 2012 to make swap data input to be more efficient, in preparation of the roll-out of cleared derivatives under the Dodd-Frank Act. The FHLBNY has concluded that the valuation model is performing to industry standards and its valuation capabilities remain robust and dependable. The FHLBNY assessed the materiality of the errors and has concluded that the errors were not material to its financial position, results of operations and cash flows. | ||||||||||||||||||||
Deposits — The FHLBNY determines estimated fair values of deposits by calculating the present value of expected future cash flows from the deposits. The discount rates used in these calculations are the current cost of deposits with similar terms. | ||||||||||||||||||||
Mandatorily Redeemable Capital Stock — The fair value of capital stock subject to mandatory redemption is generally equal to its par value as indicated by contemporaneous member purchases and sales at par value. Fair value also includes an estimated dividend earned at the time of reclassification from equity to liabilities, until such amount is paid, and any subsequently declared dividend. FHLBank stock can only be acquired and redeemed at par value. FHLBank stock is not traded and no market mechanism exists for the exchange of stock outside the FHLBank System’s cooperative structure. | ||||||||||||||||||||
Accrued Interest Payable and Other Liabilities — The estimated fair values approximate the recorded book value because of the relatively short period of time between their origination and expected realization. | ||||||||||||||||||||
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 nonrecurring basis at September 30, 2013 and December 31, 2012, by level within the fair value hierarchy. The | ||||||||||||||||||||
FHLBNY measures certain held-to-maturity securities and mortgage loans at fair value on a non-recurring basis due to the recognition of a credit loss. Real estate owned 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): | ||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Netting | ||||||||||||||||
Adjustment and Cash | ||||||||||||||||||||
Collateral | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||
GSE/U.S. agency issued MBS | $ | 1,679,202 | $ | — | $ | 1,679,202 | $ | — | $ | — | ||||||||||
Equity and bond funds | 10,039 | 10,039 | — | — | — | |||||||||||||||
Advances (to the extent FVO is elected) | 17,707,659 | — | 17,707,659 | — | — | |||||||||||||||
Derivative assets(a) | ||||||||||||||||||||
Interest-rate derivatives | 43,372 | — | 673,286 | — | (629,914 | ) | ||||||||||||||
Mortgage delivery commitments | 164 | — | 164 | — | — | |||||||||||||||
Total recurring fair value measurement - assets | $ | 19,440,436 | $ | 10,039 | $ | 20,060,311 | $ | — | $ | (629,914 | ) | |||||||||
Liabilities | ||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||
Discount notes (to the extent FVO is elected) | $ | (599,719 | ) | $ | — | $ | (599,719 | ) | $ | — | $ | — | ||||||||
Bonds (to the extent FVO is elected) (b) | (21,919,327 | ) | — | (21,919,327 | ) | — | — | |||||||||||||
Derivative liabilities(a) | ||||||||||||||||||||
Interest-rate derivatives | (388,320 | ) | — | (2,719,663 | ) | — | 2,331,343 | |||||||||||||
Total recurring fair value measurement - liabilities | $ | (22,907,366 | ) | $ | — | $ | (25,238,709 | ) | $ | — | $ | 2,331,343 | ||||||||
December 31, 2012 | ||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Netting | ||||||||||||||||
Adjustment and Cash | ||||||||||||||||||||
Collateral | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||
GSE/U.S. agency issued MBS | $ | 2,299,141 | $ | — | $ | 2,299,141 | $ | — | $ | — | ||||||||||
Equity and bond funds | 9,633 | 9,633 | — | — | — | |||||||||||||||
Advances (to the extent FVO is elected) | 500,502 | — | 500,502 | — | — | |||||||||||||||
Derivative assets(a) | ||||||||||||||||||||
Interest-rate derivatives | 41,885 | — | 966,523 | — | (924,638 | ) | ||||||||||||||
Mortgage delivery commitments | 9 | — | 9 | — | — | |||||||||||||||
Total recurring fair value measurement - assets | $ | 2,851,170 | $ | 9,633 | $ | 3,766,175 | $ | — | $ | (924,638 | ) | |||||||||
Liabilities | ||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||
Discount notes (to the extent FVO is elected) | $ | (1,948,987 | ) | $ | — | $ | (1,948,987 | ) | $ | — | $ | — | ||||||||
Bonds (to the extent FVO is elected) (b) | (12,740,883 | ) | — | (12,740,883 | ) | — | — | |||||||||||||
Derivative liabilities(a) | ||||||||||||||||||||
Interest-rate derivatives | (426,747 | ) | — | (3,890,254 | ) | — | 3,463,507 | |||||||||||||
Mortgage delivery commitments | (41 | ) | — | (41 | ) | — | — | |||||||||||||
Total recurring fair value measurement - liabilities | $ | (15,116,658 | ) | $ | — | $ | (18,580,165 | ) | $ | — | $ | 3,463,507 | ||||||||
(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 Nonrecurring Basis (in thousands): | ||||||||||||||||||||
Fair values of Held-to-Maturity Securities on a Nonrecurring Basis — Certain held-to-maturity investment securities were measured at fair value on a nonrecurring basis; that is, they are not measured at fair value on an ongoing basis but are subject to fair value adjustments when there is evidence of other-than-temporary impairment. In accordance with the guidance on recognition and presentation of other-than-temporary impairment, held-to-maturity mortgage-backed securities that were determined to be credit impaired at December 31, 2012 (none at September 30, 2013), were recorded at their fair values in the Statements of Condition at that date. For more information, see Note 5. Held-to-Maturity Securities. | ||||||||||||||||||||
December 31, 2012 | ||||||||||||||||||||
Fair Value (a) | Level 1 | Level 2 | Level 3 (b) | |||||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||
RMBS-Prime | $ | 7,045 | $ | — | $ | — | $ | 7,045 | ||||||||||||
Total non-recurring assets at fair value | $ | 7,045 | $ | — | $ | — | $ | 7,045 | ||||||||||||
(a) | Fair values were developed by pricing vendors and reviewed by the FHLBNY. | |||||||||||||||||||
(b) | Level 3 Instruments — The fair values of private-label MBS determined OTTI at December 31, 2012 (and all private-label MBS) were based on pricing services. In management’s view, valuations may have required pricing services to use significant inputs that were subjective because of the current lack of significant market activity so that the inputs may not be market based and observable. | |||||||||||||||||||
Fair Value Option Disclosures | ||||||||||||||||||||
The fair value option (“FVO”) provides an irrevocable option to elect fair value as an alternative measurement for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments not previously carried at fair value. It requires entities to display the fair value of those assets and liabilities for which the entity has chosen to use fair value on the face of the statement of condition. Fair value is used for both the initial and subsequent measurement of the designated assets, liabilities and commitments, with the changes in fair value recognized in net income. Interest income and interest expense on advances and consolidated obligations at fair value are recognized solely on the contractual amount of interest due or unpaid. Any transaction fees or costs are immediately recognized into non-interest income or non-interest expense. | ||||||||||||||||||||
The FHLBNY has elected the FVO for certain advances and certain consolidated obligations that either do not qualify for hedge accounting or may be at risk for not meeting hedge effectiveness requirements, primarily in an effort 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. Additionally, advances will be considered by the FHLBNY for FVO if 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. | ||||||||||||||||||||
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 during the three and nine months ended September 30, 2013 and 2012. | ||||||||||||||||||||
The following tables summarize the activity related to financial instruments for which the Bank elected the fair value option (in thousands): | ||||||||||||||||||||
Three months ended September 30, | ||||||||||||||||||||
2013 | 2013 | 2012 | 2013 | 2012 | ||||||||||||||||
Advances (a) | Consolidated Bonds | Consolidated Discount Notes | ||||||||||||||||||
Balance, beginning of the period | $ | 11,702,541 | $ | (19,310,729 | ) | $ | (20,233,312 | ) | $ | (963,072 | ) | $ | (1,595,484 | ) | ||||||
New transactions elected for fair value option | 6,000,000 | (6,850,000 | ) | — | — | (300,507 | ) | |||||||||||||
Maturities and terminations | — | 4,250,000 | 6,000,000 | 363,092 | 199,874 | |||||||||||||||
Net gains (losses) on financial instruments held | 2,142 | (7,276 | ) | (8,331 | ) | (334 | ) | (1,068 | ) | |||||||||||
under fair value option | ||||||||||||||||||||
Change in accrued interest/unaccreted balance | 2,976 | (1,322 | ) | (1,566 | ) | 595 | (937 | ) | ||||||||||||
Balance, end of the period | $ | 17,707,659 | $ | (21,919,327 | ) | $ | (14,243,209 | ) | $ | (599,719 | ) | $ | (1,698,122 | ) | ||||||
Nine months ended September 30, | ||||||||||||||||||||
2013 | 2013 | 2012 | 2013 | 2012 | ||||||||||||||||
Advances (a) | Consolidated Bonds | Consolidated Discount Notes | ||||||||||||||||||
Balance, beginning of the period | $ | 500,502 | $ | (12,740,883 | ) | $ | (12,542,603 | ) | $ | (1,948,987 | ) | $ | (4,920,855 | ) | ||||||
New transactions elected for fair value option | 17,200,000 | (21,910,000 | ) | (18,793,000 | ) | (598,910 | ) | (1,895,772 | ) | |||||||||||
Maturities and terminations | 12,728,000 | 17,095,000 | 1,945,744 | 5,117,046 | ||||||||||||||||
Net gains (losses) on financial instruments held | 1,811 | 3,217 | (63 | ) | 426 | (32 | ) | |||||||||||||
under fair value option | ||||||||||||||||||||
Change in accrued interest/unaccreted balance | 5,346 | 339 | (2,543 | ) | 2,008 | 1,491 | ||||||||||||||
Balance, end of the period | $ | 17,707,659 | $ | (21,919,327 | ) | $ | (14,243,209 | ) | $ | (599,719 | ) | $ | (1,698,122 | ) | ||||||
(a) No Advances were designated under the FVO for three and nine months ended September 30, 2012. | ||||||||||||||||||||
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 September 30, 2013 | Nine months ended September 30, 2013 | |||||||||||||||||||
Interest Income | Net Gains Due to | Total Change in Fair | Interest Income | Net Gains Due to | Total Change in Fair | |||||||||||||||
Changes in Fair | Value Included in Current | Changes in Fair | Value Included in Current | |||||||||||||||||
Value | Period Earnings | Value | Period Earnings | |||||||||||||||||
Advances (a) | $ | 14,334 | $ | 2,142 | $ | 16,476 | $ | 18,077 | $ | 1,811 | $ | 19,888 | ||||||||
(a) No Advances were designated under the FVO for three and nine months ended September 30, 2012. | ||||||||||||||||||||
Three months ended September 30, | ||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||
Interest Expense | Net Losses Due to | Total Change in Fair Value | Interest Expense | Net Losses Due to | Total Change in Fair Value | |||||||||||||||
Changes in Fair | Included in Current Period | Changes in Fair | Included in Current Period | |||||||||||||||||
Value | Earnings | Value | Earnings | |||||||||||||||||
Consolidated obligations-bonds | $ | (7,335 | ) | $ | (7,276 | ) | $ | (14,611 | ) | $ | (9,818 | ) | $ | (8,331 | ) | $ | (18,149 | ) | ||
Consolidated obligations-discount notes | (314 | ) | (334 | ) | (648 | ) | (1,061 | ) | (1,068 | ) | (2,129 | ) | ||||||||
$ | (7,649 | ) | $ | (7,610 | ) | $ | (15,259 | ) | $ | (10,879 | ) | $ | (9,399 | ) | $ | (20,278 | ) | |||
Nine months ended September 30, | ||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||
Interest Expense | Net Losses Due to | Total Change in Fair Value | Interest Expense | Net Losses Due to | Total Change in Fair Value | |||||||||||||||
Changes in Fair | Included in Current Period | Changes in Fair | Included in Current Period | |||||||||||||||||
Value | Earnings | Value | Earnings | |||||||||||||||||
Consolidated obligations-bonds | $ | (20,047 | ) | $ | 3,217 | $ | (16,830 | ) | $ | (24,424 | ) | $ | (63 | ) | $ | (24,487 | ) | |||
Consolidated obligations-discount notes | (2,251 | ) | 426 | (1,825 | ) | (2,404 | ) | (32 | ) | (2,436 | ) | |||||||||
$ | (22,298 | ) | $ | 3,643 | $ | (18,655 | ) | $ | (26,828 | ) | $ | (95 | ) | $ | (26,923 | ) | ||||
The following table compares the aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected (in thousands): | ||||||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||||||
Aggregate Unpaid | Aggregate Fair | Fair Value | Aggregate Unpaid | Aggregate Fair | Fair Value | |||||||||||||||
Principal Balance | Value | Over/(Under) | Principal Balance | Value | Over/(Under) | |||||||||||||||
Aggregate Unpaid | Aggregate Unpaid | |||||||||||||||||||
Principal Balance | Principal Balance | |||||||||||||||||||
Advances | $ | 17,700,000 | $ | 17,707,659 | $ | 7,659 | $ | 500,000 | $ | 500,502 | $ | 502 | ||||||||
Consolidated obligations-bonds | $ | 21,910,000 | $ | 21,919,327 | $ | 9,327 | $ | 12,728,000 | $ | 12,740,883 | $ | 12,883 | ||||||||
Consolidated obligations-discount notes | 598,910 | 599,719 | 809 | 1,945,744 | 1,948,987 | 3,243 | ||||||||||||||
$ | 22,508,910 | $ | 22,519,046 | $ | 10,136 | $ | 14,673,744 | $ | 14,689,870 | $ | 16,126 | |||||||||
Commitments_and_Contingencies
Commitments and Contingencies. | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Commitments and Contingencies. | ' | ||||||||||||||||
Commitments and Contingencies. | ' | ||||||||||||||||
Note 18. Commitments and Contingencies. | |||||||||||||||||
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 Bank 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 was $0.7 trillion at September 30, 2013 and December 31, 2012. | |||||||||||||||||
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. Outstanding standby letters of credit were $8.0 billion and $6.6 billion as of September 30, 2013 and December 31, 2012, with original terms of up to 15 years, with a final expiration in 2019. Standby letters of credit are fully collateralized. Unearned fees on standby letters of credit were recorded in Other liabilities, and were not significant as of September 30, 2013 and December 31, 2012. | |||||||||||||||||
MPF Program — Under the MPF program, the FHLBNY was unconditionally obligated to purchase $12.0 million and $25.2 million of mortgage loans at September 30, 2013 and December 31, 2012. Commitments were generally for periods not to exceed 45 business days. Such commitments were recorded as derivatives at their fair value under the accounting standards for derivatives and hedging. In addition, the FHLBNY had entered into conditional agreements under “Master Commitments” with its members in the MPF program to purchase mortgage loans in aggregate of $1.2 billion and $0.9 billion as of September 30, 2013 and December 31, 2012. | |||||||||||||||||
Future benefit payments — Pension stabilization in a bill passed in 2012, known as Moving Ahead for Progress in the 21st Century Act (“MAP-21”) allows companies to set their pension plan contributions using a rate based on high-quality bond yields averaged over 25 years. Before MAP-21, the rule was two years using current rates. Allowing plan sponsors to use the higher of the two averages under MAP-21 resulted in a lower pension liability, and lower minimum required contributions for plan years 2012 and 2013. MAP-21 it is not a permanent relief as lower contributions are likely to mean higher contributions in the future. Over time, the pension funding stabilization will result in higher contributions starting in 2014 as projected rates under the MAP-21 relief continue to decrease. | |||||||||||||||||
The FHLBNY expects to contribute an estimated $2.7 million over the next 12 months towards its Defined Benefit Plan, a multiemployer pension plan. Pentegra Retirement Services, which operates the multiemployer pension plan has advised the FHLBNY that it projects the minimum required contribution for the FHLBNY will increase to $7.8 million with the plan period beginning July 1, 2014. The projection is based on a number of assumptions, principally that the FHLBNY’s plan provisions will remain substantially unchanged, there will be no significant increase in underlying real interest rates and MAP-21 interest rates will decline next year by approximately 60 basis points. As with all projections, actual minimum required contributions in future periods might differ from those projected at this time. | |||||||||||||||||
Derivative contracts — The FHLBNY executes derivatives with major financial institutions and enters into bilateral collateral agreements. When counterparties are exposed, the Bank would typically pledge cash collateral to mitigate the counterparty’s credit exposure. To mitigate the counterparties’ exposures, the FHLBNY deposited $1.7 billion and $2.5 billion in cash with derivative counterparties as pledged collateral at September 30, 2013 and December 31, 2012, and these amounts were reported as a deduction to Derivative liabilities. | |||||||||||||||||
Issuance of discount notes - The FHLBNY had committed to the issuance of $1.3 billion and $1.1 billion in consolidated obligation discount notes at September 30, 2013 and December 31, 2012, as part of cash flow hedging strategy, described as “Cash flow hedges of rolling issuances of discount notes”. Further information is provided in Note 16. Derivatives and Hedging Activities. | |||||||||||||||||
Lease contracts — Lease agreements for FHLBNY premises generally provide for inflationary increases in the basic rentals resulting from increases in property taxes and maintenance expenses, and these expenses were not material. There has been no material change with respect to lease obligations that was previously disclosed in the Bank’s most recent Form 10-K filed on March 25, 2013. | |||||||||||||||||
The following table summarizes contractual obligations and contingencies as of September 30, 2013 (in thousands): | |||||||||||||||||
September 30, 2013 | |||||||||||||||||
Payments Due or Expiration Terms by Period | |||||||||||||||||
Greater Than | Greater Than | ||||||||||||||||
Less Than | One Year | Three Years | Greater Than | ||||||||||||||
One Year | to Three Years | to Five Years | Five Years | Total | |||||||||||||
Contractual Obligations | |||||||||||||||||
Consolidated obligations-bonds at par (a) | $ | 42,867,425 | $ | 14,451,030 | $ | 4,465,860 | $ | 8,073,135 | $ | 69,857,450 | |||||||
Long-term debt obligations-interest payments (a) | 192,090 | 163,827 | 77,498 | 183,315 | 616,730 | ||||||||||||
Mandatorily redeemable capital stock (a) | 4,081 | 226 | 16,528 | 2,783 | 23,618 | ||||||||||||
Other liabilities (b) | 111,133 | 4,235 | 4,727 | 50,859 | 170,954 | ||||||||||||
Total contractual obligations | 43,174,729 | 14,619,318 | 4,564,613 | 8,310,092 | 70,668,752 | ||||||||||||
Other commitments | |||||||||||||||||
Standby letters of credit | 7,775,821 | 183,847 | 18,684 | 3,861 | 7,982,213 | ||||||||||||
Consolidated obligations-bonds/discount notes | |||||||||||||||||
traded not settled | 859,000 | — | — | — | 859,000 | ||||||||||||
Open delivery commitments (MPF) | 11,989 | — | — | — | 11,989 | ||||||||||||
Total other commitments | 8,646,810 | 183,847 | 18,684 | 3,861 | 8,853,202 | ||||||||||||
Total obligations and commitments | $ | 51,821,539 | $ | 14,803,165 | $ | 4,583,297 | $ | 8,313,953 | $ | 79,521,954 | |||||||
(a) Contractual obligations related to interest payments on long-term debt are calculated by applying the weighted average interest rate on the FHLBNY’s outstanding long-term debt as of September 30, 2013 to the contractual payment obligations on long-term debt for each of the periods disclosed in the table. At September 30, 2013, the FHLBNY’s overall weighted average contractual interest rate for long-term debt was 0.88%. Callable bonds contain an exercise date or a series of exercise dates that may result in a shorter redemption period. Mandatorily redeemable capital stock is categorized by the dates at which the corresponding member obligations mature. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock, under which stock may not be redeemed until the later of five years from the date the member becomes a nonmember or the related advance matures. | |||||||||||||||||
(b) Includes accounts payable and accrued expenses, Pass-through reserves at the FRB on behalf of certain members of the FHLBNY recorded in Other liabilities on the Statements of Condition. Also includes projected payment obligations for the Postretirement Health Benefit Plan and Benefit Equalization Plan. For more information about these employee retirement plans, see Note 15. Employee Retirement Plans. | |||||||||||||||||
The FHLBNY does not anticipate any credit losses from its off-balance sheet commitments and accordingly no provision for losses was required. | |||||||||||||||||
Impact of the bankruptcy of Lehman Brothers | |||||||||||||||||
From time to time, the Bank is involved in disputes or regulatory inquiries that arise in the ordinary course of business. At the present time, except as noted below, there are no pending claims against the Bank that, if established, are reasonably likely to have a material effect on the Bank’s financial condition, results of operations or cash flows. | |||||||||||||||||
On September 15, 2008, Lehman Brothers Holdings, Inc. (“LBHI”), the parent company of Lehman Brothers Special Financing Inc. (“LBSF”) and a guarantor of LBSF’s obligations, filed for protection under Chapter 11 of the United States Bankruptcy Code in the United States Bankruptcy Court in the Southern District of New York. LBSF filed for protection under Chapter 11 in the same court on October 3, 2008. A Chapter 11 plan was confirmed in their bankruptcy cases by order of the Bankruptcy Court dated December 6, 2011 (the “Plan”). The Plan became effective on March 6, 2012. | |||||||||||||||||
LBSF was a counterparty to FHLBNY on multiple derivative transactions under an International Swap Dealers Association, Inc. master agreement with a total notional amount of $16.5 billion at the time of termination of the Bank’s derivative transactions with LBSF. The net amount that was due to the Bank after giving effect to obligations that were due LBSF was approximately $65 million. The Bank filed timely proofs of claim in the amount of approximately $65 million as creditors of LBSF and LBHI in connection with the bankruptcy proceedings. The Bank fully reserved the LBSF and LBHI receivables as the dispute with LBSF described below make the timing and the amount of any recoveries uncertain. | |||||||||||||||||
As previously reported, the Bank received a Derivatives ADR Notice from LBSF dated July 23, 2010 claiming that the Bank was liable to LBSF under the master agreement. Subsequently, in accordance with the Alternative Dispute Resolution Procedure Order entered by the Bankruptcy Court dated September 17, 2009 (“Order”), the Bank responded to LBSF on August 23, 2010, denying LBSF’s Demand. LBSF served a reply on September 7, 2010, effectively reiterating its position. A mediation conducted pursuant to the Order commenced on December 8, 2010 and concluded without settlement on March 17, 2011. LBSF claims that the Bank is liable to it in the principal amount of approximately $198 million plus interest on such principal amount from the Early Termination Date to December 1, 2008 at an interest rate equal to the average of the cost of funds of the Bank and LBSF on the Early Termination Date, and after December 1, 2008 at a default interest rate of LIBOR plus 13.5%. LBSF’s asserted claim as of December 6, 2010, including principal and interest, was approximately $268 million. Pursuant to the Order, positions taken by the parties in the ADR process are confidential. While the Bank believes that LBSF’s position is without merit, and therefore no payment to LBSF or LBHI is probable, the amount the Bank actually recovers or pays will ultimately be decided in the course of the bankruptcy proceedings. | |||||||||||||||||
Related_Party_Transactions
Related Party Transactions. | 9 Months Ended | |||||||||||||
Sep. 30, 2013 | ||||||||||||||
Related Party Transactions. | ' | |||||||||||||
Related Party Transactions. | ' | |||||||||||||
Note 19. Related Party Transactions. | ||||||||||||||
The FHLBNY is a cooperative and the members own almost all of the stock of the Bank. 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. The Bank 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 | ||||||||||||||
Debt assumptions — The Bank did not assume debt from another FHLBank in the three and nine months ended September 30, 2013 and 2012. | ||||||||||||||
Debt transfers — In the first quarter of 2013, the Bank transferred $25.0 million to another FHLBank at negotiated market rates that exceeded amortized cost by $3.9 million, which was charged to earnings in that period. No debt was transferred to another FHLbank in the second and the third quarter of 2013, or in the three and nine months ended September 30, 2012. When debt is transferred, the transferring bank notifies the Office of Finance on trade date of the change in primary obligor for the transferred debt. | ||||||||||||||
Advances Sold or Transferred | ||||||||||||||
No advances were transferred/sold to the FHLBNY or from the FHLBNY to another FHLBank in any periods in this report. | ||||||||||||||
MPF Program | ||||||||||||||
In the MPF program, the FHLBNY may participate out certain portions of its purchases of mortgage loans from its members. Transactions are at market rates. The FHLBank of Chicago, the MPF provider’s cumulative share of interest in the FHLBNY’s MPF loans at September 30, 2013 was $37.1 million from inception of the program from mid-2004. At December 31, 2012, the comparable number was $47.5 million. Since 2004, the FHLBNY has not shared its purchases with the FHLBank of Chicago. Fees paid to the FHLBank of Chicago were $0.2 million and $0.7 million for the three and nine months ended September 30, 2013, and $0.2 million and $0.6 million for the same periods in 2012. | ||||||||||||||
Mortgage-backed Securities | ||||||||||||||
No mortgage-backed securities were acquired from other FHLBanks during the periods in this report. | ||||||||||||||
Intermediation | ||||||||||||||
Notional amounts of $205.0 million and $265.0 million of interest rate swaps were outstanding at September 30, 2013 and December 31, 2012, and represented derivative contracts in which the FHLBNY acted as an intermediary to sell derivatives to members with an offsetting purchased contracts with unrelated derivatives dealers. Net fair value exposures of these transactions were not significant. The intermediated derivative transactions with members were fully collateralized. | ||||||||||||||
Loans to Other Federal Home Loan Banks | ||||||||||||||
In the three and nine months ended September 30, 2013, the FHLBNY extended overnight loans for a total of $2.8 billion and $6.9 billion. In the same periods in 2012, the FHLBNY extended overnight loans for a total of $0.3 billion and $1.0 billion to other FHLBanks. Generally, loans made to other FHLBanks are uncollateralized. The impact to Net interest income from such loans was not significant in any period in this report. | ||||||||||||||
Borrowings from Other Federal Home Loan Banks | ||||||||||||||
The FHLBNY borrows from other FHLBanks, generally for a period of one day. In the three months ended September 30, 2013 and 2012, there was no borrowing from other FHLBanks. There was no borrowing from other FHLBanks for the nine months ended September 30, 2013. In the nine months ended September 30, 2012, the FHLBNY borrowed one overnight loan for a total of $50.0 million from a FHLBank. | ||||||||||||||
The following tables summarize outstanding balances with related parties at September 30, 2013 and December 31, 2012, and transactions for the three and nine months ended September 30, 2013 and 2012 (in thousands): | ||||||||||||||
Related Party: Outstanding Assets, Liabilities and Capital | ||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||
Assets | ||||||||||||||
Cash and due from banks | $ | — | $ | 11,520,885 | $ | — | $ | 7,553,188 | ||||||
Federal funds sold | — | 4,878,000 | — | 4,091,000 | ||||||||||
Available-for-sale securities | — | 1,689,241 | — | 2,308,774 | ||||||||||
Held-to-maturity securities | — | 12,002,497 | — | 11,058,764 | ||||||||||
Advances | 89,121,435 | — | 75,888,001 | — | ||||||||||
Mortgage loans (a) | — | 1,932,855 | — | 1,842,816 | ||||||||||
Accrued interest receivable | 141,295 | 30,600 | 150,907 | 28,137 | ||||||||||
Premises, software, and equipment | — | 12,031 | — | 11,576 | ||||||||||
Derivative assets (b) | — | 43,536 | — | 41,894 | ||||||||||
Other assets (c) | 438 | 13,326 | 150 | 13,593 | ||||||||||
Total assets | $ | 89,263,168 | $ | 32,122,971 | $ | 76,039,058 | $ | 26,949,742 | ||||||
Liabilities and capital | ||||||||||||||
Deposits | $ | 1,590,933 | $ | — | $ | 2,054,511 | $ | — | ||||||
Consolidated obligations | — | 112,623,504 | — | 94,564,268 | ||||||||||
Mandatorily redeemable capital stock | 23,618 | — | 23,143 | — | ||||||||||
Accrued interest payable | 31 | 143,869 | 25 | 127,639 | ||||||||||
Affordable Housing Program (d) | 119,786 | — | 134,942 | — | ||||||||||
Derivative liabilities (b) | — | 388,320 | — | 426,788 | ||||||||||
Other liabilities (e) | 93,046 | 77,908 | 85,079 | 80,576 | ||||||||||
Total liabilities | 1,827,414 | 113,233,601 | 2,297,700 | 95,199,271 | ||||||||||
Total capital | 6,325,124 | — | 5,491,829 | — | ||||||||||
Total liabilities and capital | $ | 8,152,538 | $ | 113,233,601 | $ | 7,789,529 | $ | 95,199,271 | ||||||
(a) | Includes insignificant amounts of mortgage loans purchased from members of another FHLBank. | |||||||||||||
(b) | Derivative transactions with Citibank, N.A., a member that is a derivatives dealer counterparty, were at market terms and in the ordinary course of the FHLBNY’s business — At September 30, 2013, notional amounts outstanding were $5.6 billion, net fair value after posting $93.0 million cash collateral was a net derivative liability of $26.6 million. At December 31, 2012, notional amounts outstanding were $3.5 billion; net fair value after posting $124.7 million cash collateral was a net derivative liability of $25.2 million. The derivative transaction with Citibank, N.A. resulted in interest expense of $9.9 million and $28.8 million in the three and nine months ended September 30, 2013. Also, includes insignificant fair values due to intermediation activities on behalf of other members with derivative dealers. | |||||||||||||
(c) | Includes insignificant amounts of miscellaneous assets that are considered related party. | |||||||||||||
(d) | Represents funds not yet disbursed to eligible programs. | |||||||||||||
(e) | Related column includes member pass-through reserves at the Federal Reserve Bank. | |||||||||||||
Related Party: Income and Expense transactions | ||||||||||||||
Three months ended | ||||||||||||||
September 30, 2013 | September 30, 2012 | |||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||
Interest income | ||||||||||||||
Advances | $ | 113,623 | $ | — | $ | 133,412 | $ | — | ||||||
Interest-bearing deposits (a) | — | 313 | — | 971 | ||||||||||
Federal funds sold | — | 2,335 | — | 4,272 | ||||||||||
Available-for-sale securities | — | 3,887 | — | 5,731 | ||||||||||
Held-to-maturity securities | — | 60,335 | — | 68,309 | ||||||||||
Mortgage loans held-for-portfolio (b) | — | 17,026 | — | 16,461 | ||||||||||
Loans to other FHLBanks | 5 | — | 1 | — | ||||||||||
Total interest income | $ | 113,628 | $ | 83,896 | $ | 133,413 | $ | 95,744 | ||||||
Interest expense | ||||||||||||||
Consolidated obligations | $ | — | $ | 91,177 | $ | — | $ | 111,109 | ||||||
Deposits | 134 | — | 150 | — | ||||||||||
Mandatorily redeemable capital stock | 250 | — | 398 | — | ||||||||||
Cash collateral held and other borrowings | — | — | — | 4 | ||||||||||
Total interest expense | $ | 384 | $ | 91,177 | $ | 548 | $ | 111,113 | ||||||
Service fees and other | $ | 2,101 | $ | 413 | $ | 2,050 | $ | 583 | ||||||
Nine months ended | ||||||||||||||
September 30, 2013 | September 30, 2012 | |||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||
Interest income | ||||||||||||||
Advances | $ | 324,396 | $ | — | $ | 405,069 | $ | — | ||||||
Interest-bearing deposits (a) | — | 1,712 | — | 2,593 | ||||||||||
Federal funds sold | — | 9,731 | — | 11,075 | ||||||||||
Available-for-sale securities | — | 12,998 | — | 18,503 | ||||||||||
Held-to-maturity securities | — | 178,509 | — | 207,244 | ||||||||||
Mortgage loans held-for-portfolio (b) | — | 50,832 | — | 48,626 | ||||||||||
Loans to other FHLBanks | 23 | — | 3 | — | ||||||||||
Total interest income | $ | 324,419 | $ | 253,782 | $ | 405,072 | $ | 288,041 | ||||||
Interest expense | ||||||||||||||
Consolidated obligations | $ | — | $ | 272,837 | $ | — | $ | 331,282 | ||||||
Deposits | 445 | — | 572 | — | ||||||||||
Mandatorily redeemable capital stock | 732 | — | 1,572 | — | ||||||||||
Cash collateral held and other borrowings | — | 4 | — | 28 | ||||||||||
Total interest expense | $ | 1,177 | $ | 272,841 | $ | 2,144 | $ | 331,310 | ||||||
Service fees and other | $ | 6,789 | $ | 664 | $ | 5,867 | $ | 821 | ||||||
(a) | Includes insignificant amounts of interest income from MPF service provider (FHLBank of Chicago); includes insignificant amounts of derivative transaction with Citibank, N.A. (a member of the FHLBNY) due to posting of cash collateral with respect to derivative contracts in which Citibank acted as a swap dealer. | |||||||||||||
(b) | Includes immaterial amounts of mortgage interest income from loans purchased from members of another FHLBank. |
Segment_Information_and_Concen
Segment Information and Concentration. | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Segment Information and Concentration. | ' | ||||||||||||||||
Segment Information and Concentration. | ' | ||||||||||||||||
Note 20. 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 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 Bank. 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 of 1999 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 September 30, 2013, December 31, 2012 and September 30, 2012 and associated interest income for the periods then ended are summarized as follows (dollars in thousands): | |||||||||||||||||
September 30, 2013 | |||||||||||||||||
Percentage of | |||||||||||||||||
Par | Total Par Value | Interest Income | |||||||||||||||
City | State | Advances | of Advances | Three Months | Nine Months | ||||||||||||
Citibank, N.A. | New York | NY | $ | 21,700,000 | 25.01 | % | $ | 21,619 | $ | 42,344 | |||||||
Metropolitan Life Insurance Company | New York | NY | 12,770,000 | 14.72 | 55,970 | 184,500 | |||||||||||
New York Community Bank* | Westbury | NY | 10,193,134 | 11.75 | 61,535 | 181,218 | |||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | 6,025,000 | 6.94 | 72,988 | 216,585 | |||||||||||
First Niagara Bank, National Association | Buffalo | NY | 3,600,000 | 4.15 | 3,858 | 9,908 | |||||||||||
Investors Bank | Short Hills | NJ | 3,591,000 | 4.14 | 14,535 | 43,851 | |||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 2,476,000 | 2.85 | 11,849 | 39,196 | |||||||||||
The Prudential Insurance Co. of America | Newark | NJ | 2,325,000 | 2.68 | 11,653 | 34,992 | |||||||||||
Valley National Bank | Wayne | NJ | 2,074,500 | 2.39 | 20,480 | 60,777 | |||||||||||
Signature Bank | New York | NY | 1,820,313 | 2.1 | 2,153 | 4,803 | |||||||||||
Total | $ | 66,574,947 | 76.73 | % | $ | 276,640 | $ | 818,174 | |||||||||
* At September 30, 2013, officer of member bank also served on the Board of Directors of the FHLBNY. | |||||||||||||||||
Pending merger—In the second quarter of 2012, Hudson City Bancorp, Inc. had entered into an Agreement and Plan of Merger (“Merger Agreement”) with M&T Bank Corporation and Wilmington Trust Corporation (“WTC”), a wholly owned subsidiary of M&T Bank Corporation. The Merger Agreement provided that FHLBNY member Hudson City Savings Bank (“Hudson City”), a wholly owned subsidiary of Hudson City Bancorp, will merge with and into FHLBNY member Manufacturers and Traders Trust Company (“M&T”), a wholly owned subsidiary of M&T Bank Corporation, with M&T Bank continuing as the surviving bank. The Merger Agreement was subject to, among other items, shareholder and regulatory approvals. | |||||||||||||||||
On April 12, 2013, Hudson City Bancorp, Inc. and M&T Bank Corporation announced that they expect additional time will be required to obtain a regulatory determination on the applications necessary to complete their proposed merger. M&T and Hudson City intend to extend the date to January 31, 2014, after which either party may elect to terminate the merger agreement, but there can be no assurances that the merger will be completed by that date. The consideration and exchange ratio as provided in the merger agreement will remain the same. M&T and Hudson City intend to close the merger as soon as possible following the receipt of all necessary regulatory and shareholder approvals and satisfaction of all other conditions to closing. | |||||||||||||||||
The parties had indicated in 2012 their intention to pay off FHLBNY advances upon the closing of the merger transactions. We do not expect the merger to have a significant adverse impact on our financial position, cash flows or earnings. When advances are early terminated by Hudson City, we expect to receive prepayment fees that will make us economically whole. However, prepayments may cause a decline in our book of business if the terminated advances are not replaced by new borrowings by other members. A lower volume of advances, which is the primary focus of our business, could result in lower net interest income and impact earnings in future periods. | |||||||||||||||||
December 31, 2012 | |||||||||||||||||
Percentage of | |||||||||||||||||
Par | Total Par Value | Twelve Months | |||||||||||||||
City | State | Advances | of Advances | Interest Income | |||||||||||||
Metropolitan Life Insurance Company | New York | NY | $ | 13,512,000 | 18.69 | % | $ | 290,223 | |||||||||
Citibank, N.A. | New York | NY | 12,070,000 | 16.7 | 31,422 | ||||||||||||
New York Community Bank* | Westbury | NY | 8,293,143 | 11.47 | 302,229 | ||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | 6,025,000 | 8.33 | 302,559 | ||||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 2,897,000 | 4.01 | 62,676 | ||||||||||||
Investors Bank | Short Hills | NJ | 2,700,500 | 3.74 | 57,780 | ||||||||||||
First Niagara Bank, National Association | Buffalo | NY | 2,438,500 | 3.37 | 10,851 | ||||||||||||
The Prudential Insurance Co. of America | Newark | NJ | 2,325,000 | 3.22 | 50,142 | ||||||||||||
Valley National Bank | Wayne | NJ | 2,075,500 | 2.87 | 83,143 | ||||||||||||
New York Life Insurance Company | New York | NY | 1,350,000 | 1.87 | 13,764 | ||||||||||||
Total | $ | 53,686,643 | 74.27 | % | $ | 1,204,789 | |||||||||||
* At December 31, 2012, officer of member bank also served on the Board of Directors of the FHLBNY. | |||||||||||||||||
September 30, 2012 | |||||||||||||||||
Percentage of | |||||||||||||||||
Par | Total Par Value | Interest Income | |||||||||||||||
City | State | Advances | of Advances | Three Months | Nine Months | ||||||||||||
Metropolitan Life Insurance Company | New York | NY | $ | 13,547,000 | 18.33 | % | $ | 75,420 | $ | 217,271 | |||||||
Citibank, N.A. | New York | NY | 13,245,000 | 17.92 | 16,343 | 20,165 | |||||||||||
New York Community Bank* | Westbury | NY | 8,243,146 | 11.15 | 75,830 | 227,135 | |||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | 6,775,000 | 9.17 | 75,280 | 228,924 | |||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 3,133,000 | 4.24 | 15,979 | 47,148 | |||||||||||
The Prudential Insurance Co. of America | Newark | NJ | 2,424,000 | 3.28 | 12,397 | 37,812 | |||||||||||
Investors Bank | Short Hills | NJ | 2,311,000 | 3.13 | 14,576 | 43,415 | |||||||||||
Valley National Bank | Wayne | NJ | 2,226,500 | 3.01 | 20,983 | 62,622 | |||||||||||
Banco Popular de Puerto Rico | San Juan | PR | 1,707,500 | 2.31 | 5,834 | 16,500 | |||||||||||
First Niagara Bank, National Association | Buffalo | NY | 1,380,800 | 1.87 | 1,020 | 9,057 | |||||||||||
Total | $ | 54,992,946 | 74.41 | % | $ | 313,662 | $ | 910,049 | |||||||||
* At September 30, 2012, officer of member bank also served on the Board of Directors of the FHLBNY. | |||||||||||||||||
The following tables summarize capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY’s outstanding capital stock as of September 30, 2013 and December 31, 2012 (shares in thousands): | |||||||||||||||||
Number | Percent | ||||||||||||||||
September 30, 2013 | of Shares | of Total | |||||||||||||||
Name of Beneficial Owner | Principal Executive Office Address | Owned | Capital Stock | ||||||||||||||
Citibank, N.A. | 399 Park Avenue, New York, NY 10043 | 13,627 | 24.75 | ||||||||||||||
Metropolitan Life Insurance Company | 200 Park Avenue, New York, NY 10166 | 6,997 | 12.71 | ||||||||||||||
New York Community Bank* | 615 Merrick Avenue, Westbury, NY 11590 | 5,201 | 9.45 | ||||||||||||||
Hudson City Savings Bank, FSB* | West 80 Century Road, Paramus, NJ 07652 | 3,471 | 6.3 | ||||||||||||||
29,296 | 53.21 | % | |||||||||||||||
Number | Percent | ||||||||||||||||
December 31, 2012 | of Shares | of Total | |||||||||||||||
Name of Beneficial Owner | Principal Executive Office Address | Owned | Capital Stock | ||||||||||||||
Citibank, N.A. | 399 Park Avenue, New York, NY 10043 | 9,166 | 19.02 | % | |||||||||||||
Metropolitan Life Insurance Company | 200 Park Avenue, New York, NY 10166 | 7,347 | 15.24 | ||||||||||||||
New York Community Bank* | 615 Merrick Avenue, Westbury, NY 11590 | 4,337 | 9 | ||||||||||||||
Hudson City Savings Bank, FSB* | West 80 Century Road, Paramus, NJ 07652 | 3,565 | 7.39 | ||||||||||||||
24,415 | 50.65 | % | |||||||||||||||
* At September 30, 2013 and December 31, 2012, officer of member bank also served on the Board of Directors of the FHLBNY. |
Subsequent_Events
Subsequent Events. | 9 Months Ended |
Sep. 30, 2013 | |
Subsequent Events. | ' |
Subsequent Events. | ' |
Note 21. Subsequent Events. | |
Subsequent events for the FHLBNY are events or transactions that occur after the balance sheet date but before financial statements are issued. The FHLBNY has evaluated subsequent events through the filing date of this report and no significant subsequent events were identified. |
Significant_Accounting_Policie1
Significant Accounting Policies and Estimates. (Policies) | 9 Months Ended |
Sep. 30, 2013 | |
Significant Accounting Policies and Estimates. | ' |
Assessments | ' |
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 12 FHLBanks must set aside the greater of $100 million or 10 percent of their regulatory defined net income for the Affordable Housing Program. For more information about the AHP, see the FHLBNY’s most recent Form 10-K filed on March 25, 2013. | |
Significant Accounting Policies and Estimates | ' |
Significant Accounting Policies and Estimates | |
The FHLBNY has identified certain accounting policies that it believes are significant because they require management to make subjective judgments about matters that are inherently uncertain and because of the likelihood that materially different amounts would be reported under different conditions or by using different assumptions. These policies include estimating the allowance for credit losses on the advance and mortgage loan portfolios, evaluating the impairment of the Bank’s securities portfolios, and estimating fair values of certain assets and liabilities. There have been no significant changes to accounting policies from those identified in Note 1. Significant Accounting Policies and Estimates in Notes to the Financial Statements in the Bank’s most recent Form 10-K filed on March 25, 2013, which contains a summary of the Bank’s significant accounting policies and estimates. | |
Recently Adopted Significant Accounting Policies | ' |
Recently Adopted Significant Accounting Policies | |
Reporting of Amounts Reclassified Out of Accumulated Other Comprehensive Income. — In February 2013, the Financial Accounting Standards Board (“FASB”) issued ASU No. 2013-02, Comprehensive Income (Topic 220): Reporting of Amounts Reclassified out of Accumulated Other Comprehensive Income. The ASU requires new footnote disclosures of items reclassified from accumulated OCI to net income. The requirements became effective in the first quarter of 2013. For the FHLBNY, the expanded disclosures include reclassifications from AOCI for previously recorded non-credit losses due to OTTI, realized gains and losses due to cash flow hedges, gains and losses due to changes in assumptions of supplemental pension and postretirement benefit plans, and reclassifications of gains and losses on available-for-sale securities. The application of this guidance resulted in expanded disclosures and had no impact on the FHLBNY’s financial condition, results of operations or cash flows. See Note 13. Total Comprehensive Income. | |
Disclosures about Offsetting Assets and Liabilities. — In December 2011, the FASB issued ASU No. 2011-11, Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities. The standard requires enhanced disclosures about certain financial instruments and derivative instruments that are either offset in the balance sheet (presented on a net basis) or subject to an enforceable master netting arrangement or similar arrangement. In January 2013, the FASB clarified that the scope of this guidance is limited to derivatives, repurchase and reverse repurchase agreements, and securities borrowing and lending transactions. | |
The new disclosures requirements should enhance comparability between those companies that prepare their financial statements on the basis of U.S. GAAP and those financial statements in accordance with International Financial Reporting Standards (“IFRS”). On adoption, this guidance will require the FHLBNY to disclose both gross and net information about certain financial instruments and derivative instruments, which are either offset on the statement of condition or subject to an enforceable master netting arrangement or similar agreement. This guidance became effective for interim and annual periods beginning January 1, 2013 and was applied retrospectively for all comparative periods presented. The application of this guidance resulted in additional disclosures and had no impact on the FHLBNY’s financial condition, results of operations or cash flows. See Note 16. Derivatives and Hedging Activities. |
Significant_Accounting_Policie2
Significant Accounting Policies and Estimates. (Tables) | 9 Months Ended | |||||||||||||
Sep. 30, 2013 | ||||||||||||||
Significant Accounting Policies and Estimates. | ' | |||||||||||||
Summary of the reclassifications | ' | |||||||||||||
The following table summarizes the reclassifications (in thousands): | ||||||||||||||
Three months ended | Nine months ended | |||||||||||||
September 30, | September 30, | |||||||||||||
2012 | 2012 | 2012 | 2012 | |||||||||||
Adjusted | As Previously | Adjusted | As Previously | |||||||||||
Reported | Reported | |||||||||||||
Interest income | ||||||||||||||
Advances | $ | 133,412 | $ | 103,274 | $ | 405,069 | $ | 316,774 | ||||||
Total interest income | 229,157 | 199,019 | 693,113 | 604,818 | ||||||||||
Net interest income before provision for credit losses | 117,496 | 87,358 | 359,659 | 271,364 | ||||||||||
Net interest income after provision for credit losses | 117,262 | 87,124 | 358,766 | 270,471 | ||||||||||
Other income (loss) | ||||||||||||||
Net realized and unrealized gains on derivatives and hedging activities | 14,955 | 45,093 | 38,790 | 127,085 | ||||||||||
Total other income | 3,098 | 33,236 | 19,592 | 107,887 | ||||||||||
HeldtoMaturity_Securities_Tabl
Held-to-Maturity Securities. (Tables) | 9 Months Ended | |||||||||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||||||||
Held-to-Maturity Securities. | ' | |||||||||||||||||||||||||||||||
Schedule of interest rate payment terms of long-term securities classified as held-to-maturity | ' | |||||||||||||||||||||||||||||||
The following table summarizes interest rate payment terms of securities classified as held-to-maturity (in thousands): | ||||||||||||||||||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||||||||||||||||||
Amortized | Carrying | Amortized | Carrying | |||||||||||||||||||||||||||||
Cost | Value | Cost | Value | |||||||||||||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||||||||||
CMO | ||||||||||||||||||||||||||||||||
Fixed | $ | 1,282,403 | $ | 1,281,142 | $ | 453,907 | $ | 452,034 | ||||||||||||||||||||||||
Floating | 3,840,509 | 3,840,509 | 4,740,385 | 4,740,385 | ||||||||||||||||||||||||||||
Total CMO | 5,122,912 | 5,121,651 | 5,194,292 | 5,192,419 | ||||||||||||||||||||||||||||
CMBS | ||||||||||||||||||||||||||||||||
Fixed | 4,762,596 | 4,762,596 | 3,625,505 | 3,625,505 | ||||||||||||||||||||||||||||
Floating | 568,607 | 568,607 | 437,007 | 437,007 | ||||||||||||||||||||||||||||
Total CMBS | 5,331,203 | 5,331,203 | 4,062,512 | 4,062,512 | ||||||||||||||||||||||||||||
Pass Thru (a) | ||||||||||||||||||||||||||||||||
Fixed | 783,112 | 729,660 | 1,018,578 | 958,014 | ||||||||||||||||||||||||||||
Floating | 93,070 | 92,073 | 109,253 | 108,219 | ||||||||||||||||||||||||||||
Total Pass Thru | 876,182 | 821,733 | 1,127,831 | 1,066,233 | ||||||||||||||||||||||||||||
Total MBS | 11,330,297 | 11,274,587 | 10,384,635 | 10,321,164 | ||||||||||||||||||||||||||||
State and local housing finance agency obligations | ||||||||||||||||||||||||||||||||
Fixed | 37,445 | 37,445 | 76,375 | 76,375 | ||||||||||||||||||||||||||||
Floating | 690,465 | 690,465 | 661,225 | 661,225 | ||||||||||||||||||||||||||||
Total State and local housing finance agency obligations | 727,910 | 727,910 | 737,600 | 737,600 | ||||||||||||||||||||||||||||
Total Held-to-maturity securities | $ | 12,058,207 | $ | 12,002,497 | $ | 11,122,235 | $ | 11,058,764 | ||||||||||||||||||||||||
(a) Includes MBS supported by pools of mortgages. | ||||||||||||||||||||||||||||||||
Schedule of key characteristics of securities determined to be OTTI and cumulative OTTI | ' | |||||||||||||||||||||||||||||||
The table below presents the key characteristics of securities determined to be OTTI in the three months ended September 30, 2012, and cumulative OTTI for the three and nine months ended September 30, 2012 (in thousands): | ||||||||||||||||||||||||||||||||
Three months ended | Nine months ended | |||||||||||||||||||||||||||||||
Three months ended September 30, 2012 (a) | September 30, 2012 | September 30, 2012 | ||||||||||||||||||||||||||||||
Insurer MBIA | Insurer Ambac | Uninsured | OTTI (b)(d) | OTTI (b)(d) | ||||||||||||||||||||||||||||
Security | Fair | Fair | Fair | Credit | Non-credit | Credit | Non-credit | |||||||||||||||||||||||||
Classification | UPB | Value | UPB | Value | UPB | Value | Loss | Loss | Loss | Loss | ||||||||||||||||||||||
RMBS-Prime | $ | — | $ | — | $ | — | $ | — | $ | 7,987 | $ | 7,432 | $ | (195 | ) | $ | 114 | $ | (195 | ) | $ | 114 | ||||||||||
HEL Subprime (c) | — | — | 42,948 | 30,193 | 2,943 | 2,931 | (420 | ) | 420 | (1,746 | ) | 1,376 | ||||||||||||||||||||
Total Securities | $ | — | $ | — | $ | 42,948 | $ | 30,193 | $ | 10,930 | $ | 10,363 | $ | (615 | ) | $ | 534 | $ | (1,941 | ) | $ | 1,490 | ||||||||||
(a) Unpaid principal balances and fair values on securities deemed to be OTTI at September 30, 2012. | ||||||||||||||||||||||||||||||||
(b) Represent OTTI recorded at the quarter end date. If the present value of cash flows expected to be collected (discounted at the security’s initial effective yield) is less than the amortized cost basis of the security, an OTTI is considered to have occurred because the entire amortized cost basis of the security will not be recovered. The credit-related OTTI is recognized in earnings. The non-credit portion of OTTI, which represents fair value losses of OTTI securities (excluding the amount of credit losses), is recognized in AOCI. Positive non-credit losses represent the net amount of non-credit losses reclassified from AOCI to increase the carrying value of securities previously deemed OTTI. | ||||||||||||||||||||||||||||||||
(c) HEL Subprime securities are supported by home equity loans. | ||||||||||||||||||||||||||||||||
(d) Securities deemed to be OTTI at the quarter end date(s) had been previously determined to be OTTI, and the additional impairment, or re-impairment, was due to further deterioration in the credit performance metrics of the securities. | ||||||||||||||||||||||||||||||||
Summary of rollforward information about the cumulative credit component of OTTI recognized as a charge to earnings related to held-to-maturity securities | ' | |||||||||||||||||||||||||||||||
The following table provides roll-forward information about the cumulative credit component of OTTI recognized as a charge to earnings (in thousands): | ||||||||||||||||||||||||||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||||||||||||||||||||
Beginning balance | $ | 36,782 | $ | 36,057 | $ | 36,782 | $ | 34,731 | ||||||||||||||||||||||||
Additional credit losses for which an OTTI charge was previously recognized | — | 615 | — | 1,941 | ||||||||||||||||||||||||||||
Ending balance | $ | 36,782 | $ | 36,672 | $ | 36,782 | $ | 36,672 | ||||||||||||||||||||||||
Held-to-Maturity Securities. | ' | |||||||||||||||||||||||||||||||
Held-to-Maturity Securities. | ' | |||||||||||||||||||||||||||||||
Schedule of amortized cost, OTTI recognized in AOCI, gross unrecognized holding gains, gross unrecognized holding losses and fair value of held-to-maturity securities | ' | |||||||||||||||||||||||||||||||
Major Security Types (in thousands) | ||||||||||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||||||||||
OTTI | Gross | Gross | ||||||||||||||||||||||||||||||
Amortized | Recognized | Carrying | Unrecognized | Unrecognized | Fair | |||||||||||||||||||||||||||
Issued, guaranteed or insured: | Cost | in AOCI | Value | Holding Gains (a) | Holding Losses (a) | Value | ||||||||||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||||||||||
Fannie Mae | $ | 333,158 | $ | — | $ | 333,158 | $ | 25,139 | $ | — | $ | 358,297 | ||||||||||||||||||||
Freddie Mac | 99,297 | — | 99,297 | 6,218 | — | 105,515 | ||||||||||||||||||||||||||
Total pools of mortgages | 432,455 | — | 432,455 | 31,357 | — | 463,812 | ||||||||||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||||||||||
Fannie Mae | 2,834,077 | — | 2,834,077 | 16,512 | (425 | ) | 2,850,164 | |||||||||||||||||||||||||
Freddie Mac | 2,209,175 | — | 2,209,175 | 12,884 | (1,072 | ) | 2,220,987 | |||||||||||||||||||||||||
Ginnie Mae | 47,621 | — | 47,621 | 575 | — | 48,196 | ||||||||||||||||||||||||||
Total CMOs/REMICs | 5,090,873 | — | 5,090,873 | 29,971 | (1,497 | ) | 5,119,347 | |||||||||||||||||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||||||||||||||||||
Fannie Mae | 1,486,687 | — | 1,486,687 | 7,938 | (27,690 | ) | 1,466,935 | |||||||||||||||||||||||||
Freddie Mac | 3,844,516 | — | 3,844,516 | 112,668 | (45,956 | ) | 3,911,228 | |||||||||||||||||||||||||
Total commercial mortgage-backed securities | 5,331,203 | — | 5,331,203 | 120,606 | (73,646 | ) | 5,378,163 | |||||||||||||||||||||||||
Non-GSE MBS (b) | ||||||||||||||||||||||||||||||||
CMOs/REMICs | 54,260 | (678 | ) | 53,582 | 2,001 | (723 | ) | 54,860 | ||||||||||||||||||||||||
Asset-Backed Securities (b) | ||||||||||||||||||||||||||||||||
Manufactured housing (insured) (c) | 117,340 | — | 117,340 | 2,778 | — | 120,118 | ||||||||||||||||||||||||||
Home equity loans (insured) (c) | 184,030 | (40,400 | ) | 143,630 | 59,566 | (875 | ) | 202,321 | ||||||||||||||||||||||||
Home equity loans (uninsured) | 120,136 | (14,632 | ) | 105,504 | 14,936 | (6,403 | ) | 114,037 | ||||||||||||||||||||||||
Total asset-backed securities | 421,506 | (55,032 | ) | 366,474 | 77,280 | (7,278 | ) | 436,476 | ||||||||||||||||||||||||
Total MBS | 11,330,297 | (55,710 | ) | 11,274,587 | 261,215 | (83,144 | ) | 11,452,658 | ||||||||||||||||||||||||
Other | ||||||||||||||||||||||||||||||||
State and local housing finance agency obligations | 727,910 | — | 727,910 | 1,059 | (55,391 | ) | 673,578 | |||||||||||||||||||||||||
Total Held-to-maturity securities | $ | 12,058,207 | $ | (55,710 | ) | $ | 12,002,497 | $ | 262,274 | $ | (138,535 | ) | $ | 12,126,236 | ||||||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||||||||||
OTTI | Gross | Gross | ||||||||||||||||||||||||||||||
Amortized | Recognized | Carrying | Unrecognized | Unrecognized | Fair | |||||||||||||||||||||||||||
Issued, guaranteed or insured: | Cost | in AOCI | Value | Holding Gains (a) | Holding Losses (a) | Value | ||||||||||||||||||||||||||
Pools of Mortgages | ||||||||||||||||||||||||||||||||
Fannie Mae | $ | 459,114 | $ | — | $ | 459,114 | $ | 37,312 | $ | — | $ | 496,426 | ||||||||||||||||||||
Freddie Mac | 133,347 | — | 133,347 | 9,462 | — | 142,809 | ||||||||||||||||||||||||||
Total pools of mortgages | 592,461 | — | 592,461 | 46,774 | — | 639,235 | ||||||||||||||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||||||||||||||
Fannie Mae | 2,602,017 | — | 2,602,017 | 24,940 | — | 2,626,957 | ||||||||||||||||||||||||||
Freddie Mac | 2,484,560 | — | 2,484,560 | 27,058 | (1 | ) | 2,511,617 | |||||||||||||||||||||||||
Ginnie Mae | 64,681 | — | 64,681 | 854 | — | 65,535 | ||||||||||||||||||||||||||
Total CMOs/REMICs | 5,151,258 | — | 5,151,258 | 52,852 | (1 | ) | 5,204,109 | |||||||||||||||||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||||||||||||||||||
Fannie Mae | 930,982 | — | 930,982 | 30,272 | (593 | ) | 960,661 | |||||||||||||||||||||||||
Freddie Mac | 3,128,561 | — | 3,128,561 | 266,562 | — | 3,395,123 | ||||||||||||||||||||||||||
Ginnie Mae | 2,969 | — | 2,969 | 27 | — | 2,996 | ||||||||||||||||||||||||||
Total commercial mortgage-backed securities | 4,062,512 | — | 4,062,512 | 296,861 | (593 | ) | 4,358,780 | |||||||||||||||||||||||||
Non-GSE MBS (b) | ||||||||||||||||||||||||||||||||
CMOs/REMICs | 106,063 | (1,006 | ) | 105,057 | 3,336 | (537 | ) | 107,856 | ||||||||||||||||||||||||
Asset-Backed Securities (b) | ||||||||||||||||||||||||||||||||
Manufactured housing (insured) (c) | 132,551 | — | 132,551 | 1,531 | (1,810 | ) | 132,272 | |||||||||||||||||||||||||
Home equity loans (insured) (c) | 204,500 | (45,676 | ) | 158,824 | 49,531 | (944 | ) | 207,411 | ||||||||||||||||||||||||
Home equity loans (uninsured) | 135,290 | (16,789 | ) | 118,501 | 15,354 | (10,634 | ) | 123,221 | ||||||||||||||||||||||||
Total asset-backed securities | 472,341 | (62,465 | ) | 409,876 | 66,416 | (13,388 | ) | 462,904 | ||||||||||||||||||||||||
Total MBS | 10,384,635 | (63,471 | ) | 10,321,164 | 466,239 | (14,519 | ) | 10,772,884 | ||||||||||||||||||||||||
Other | ||||||||||||||||||||||||||||||||
State and local housing finance agency obligations | 737,600 | — | 737,600 | 2,097 | (56,025 | ) | 683,672 | |||||||||||||||||||||||||
Total Held-to-maturity securities | $ | 11,122,235 | $ | (63,471 | ) | $ | 11,058,764 | $ | 468,336 | $ | (70,544 | ) | $ | 11,456,556 | ||||||||||||||||||
(a) | Unrecognized gross holding gains and losses represent the difference between fair value and carrying value of a held-to-maturity security. At September 30, 2013 and December 31, 2012, the FHLBNY had pledged MBS with an amortized cost basis of $2.0 million and $2.8 million to the FDIC in connection with deposits maintained by the FDIC at the FHLBNY. | |||||||||||||||||||||||||||||||
(b) | The amounts represent private-label mortgage- and asset-backed securities. | |||||||||||||||||||||||||||||||
(c) | Amortized cost — Bonds collateralized by manufactured housing are insured by Assured Guaranty Municipal Corp. (“AGM”); they totaled $117.3 million and $132.6 million at September 30, 2013 and December 31, 2012. Asset-backed securities (supported by home equity loans) insured by AGM were $66.5 million and $69.8 million at September 30, 2013 and December 31, 2012. Asset-backed securities (supported by home equity loans) insured by Ambac and MBIA, together, were $117.5 million and $134.7 million at September 30, 2013 and December 31, 2012. Based on analysis performed, the FHLBNY has determined that for bond insurer AGM, insurance guarantees can be relied upon to cover any projected shortfalls. The reliance period for MBIA has been extended from 3 months to a 12 month horizon (to September 30, 2014) due to recent legal settlements and an improvement in the company’s liquidity since the second quarter of 2013. For bond insurer Ambac, the reliance period is probable until December 31, 2013. | |||||||||||||||||||||||||||||||
Schedule of securities with fair values below their amortized cost basis aggregated by major security type and by the length of time individual securities have been in a continuous unrealized loss position | ' | |||||||||||||||||||||||||||||||
The following tables summarize held-to-maturity securities with fair values below their amortized cost basis (in thousands): | ||||||||||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||||||||||
Non-MBS Investment Securities | ||||||||||||||||||||||||||||||||
State and local housing finance agency obligations | $ | 54,999 | $ | (1 | ) | $ | 288,409 | $ | (55,390 | ) | $ | 343,408 | $ | (55,391 | ) | |||||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||||||||||
Fannie Mae | 1,219,452 | (28,115 | ) | — | — | 1,219,452 | (28,115 | ) | ||||||||||||||||||||||||
Freddie Mac | 1,961,980 | (47,028 | ) | — | — | 1,961,980 | (47,028 | ) | ||||||||||||||||||||||||
Total MBS-GSE | 3,181,432 | (75,143 | ) | — | — | 3,181,432 | (75,143 | ) | ||||||||||||||||||||||||
MBS-Private-Label | 59,190 | (624 | ) | 227,693 | (8,074 | ) | 286,883 | (8,698 | ) | |||||||||||||||||||||||
Total MBS | 3,240,622 | (75,767 | ) | 227,693 | (8,074 | ) | 3,468,315 | (83,841 | ) | |||||||||||||||||||||||
Total | $ | 3,295,621 | $ | (75,768 | ) | $ | 516,102 | $ | (63,464 | ) | $ | 3,811,723 | $ | (139,232 | ) | |||||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||||||||||
Less than 12 months | 12 months or more | Total | ||||||||||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||||||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||||||||||
Non-MBS Investment Securities | ||||||||||||||||||||||||||||||||
State and local housing finance agency obligations | $ | — | $ | — | $ | 309,295 | $ | (56,025 | ) | $ | 309,295 | $ | (56,025 | ) | ||||||||||||||||||
MBS Investment Securities | ||||||||||||||||||||||||||||||||
MBS-GSE | ||||||||||||||||||||||||||||||||
Fannie Mae | 192,268 | (593 | ) | — | — | 192,268 | (593 | ) | ||||||||||||||||||||||||
Freddie Mac | 453 | (1 | ) | — | — | 453 | (1 | ) | ||||||||||||||||||||||||
Total MBS-GSE | 192,721 | (594 | ) | — | — | 192,721 | (594 | ) | ||||||||||||||||||||||||
MBS-Private-Label | 61,742 | (595 | ) | 297,585 | (19,207 | ) | 359,327 | (19,802 | ) | |||||||||||||||||||||||
Total MBS | 254,463 | (1,189 | ) | 297,585 | (19,207 | ) | 552,048 | (20,396 | ) | |||||||||||||||||||||||
Total | $ | 254,463 | $ | (1,189 | ) | $ | 606,880 | $ | (75,232 | ) | $ | 861,343 | $ | (76,421 | ) | |||||||||||||||||
Schedule of the amortized cost and estimated fair value of securities, by contractual maturity | ' | |||||||||||||||||||||||||||||||
The amortized cost and estimated fair value of held-to-maturity securities, arranged by contractual maturity, were as follows (in thousands): | ||||||||||||||||||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||||||||||||||||||
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 | $ | 13,655 | $ | 14,096 | $ | 15,040 | $ | 15,853 | ||||||||||||||||||||||||
Due after five years through ten years | 95,815 | 92,271 | 60,885 | 59,531 | ||||||||||||||||||||||||||||
Due after ten years | 618,440 | 567,211 | 661,675 | 608,288 | ||||||||||||||||||||||||||||
State and local housing finance agency obligations | 727,910 | 673,578 | 737,600 | 683,672 | ||||||||||||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||||||||||
Due in one year or less | 71 | 72 | — | — | ||||||||||||||||||||||||||||
Due after one year through five years | 1,051,850 | 1,075,297 | 156,317 | 166,810 | ||||||||||||||||||||||||||||
Due after five years through ten years | 4,474,503 | 4,506,193 | 4,219,907 | 4,521,574 | ||||||||||||||||||||||||||||
Due after ten years | 5,803,873 | 5,871,096 | 6,008,411 | 6,084,500 | ||||||||||||||||||||||||||||
Mortgage-backed securities | 11,330,297 | 11,452,658 | 10,384,635 | 10,772,884 | ||||||||||||||||||||||||||||
Total Held-to-maturity securities | $ | 12,058,207 | $ | 12,126,236 | $ | 11,122,235 | $ | 11,456,556 | ||||||||||||||||||||||||
(a) Amortized cost is net of unamortized discounts and premiums of $41.6 million and $28.0 million at September 30, 2013 and December 31, 2012. | ||||||||||||||||||||||||||||||||
Private-label MBS | ' | |||||||||||||||||||||||||||||||
Held-to-Maturity Securities. | ' | |||||||||||||||||||||||||||||||
Schedule of weighted average and range of Key Base Assumptions for private-label MBS | ' | |||||||||||||||||||||||||||||||
Key Base Assumptions - All PLMBS at September 30, 2013 | ||||||||||||||||||||||||||||||||
CDR % (a) | CPR % (b) | Loss Severity % (c) | ||||||||||||||||||||||||||||||
Security Classification | Range | Average | Range | Average | Range | Average | ||||||||||||||||||||||||||
RMBS Prime (d) | 0.1-3.7 | 1.1 | 9.8-32.9 | 17.4 | 30.0-54.5 | 46.1 | ||||||||||||||||||||||||||
RMBS Alt-A (d) | 0.0-1.0 | 1 | 2.0-10.6 | 5.2 | 0.0-30.0 | 29.6 | ||||||||||||||||||||||||||
HEL Subprime (e) | 1.0-8.7 | 4.2 | 2.0-14.9 | 4.7 | 21.0-100 | 66.5 | ||||||||||||||||||||||||||
Manufactured Housing Loans | 3.1-5.5 | 4.5 | 2.1-3.23 | 2.6 | 77.3-81.6 | 79.9 | ||||||||||||||||||||||||||
Key Base Assumptions - All PLMBS at December 31, 2012 | ||||||||||||||||||||||||||||||||
CDR % (a) | CPR % (b) | Loss Severity % (c) | ||||||||||||||||||||||||||||||
Security Classification | Range | Average | Range | Average | Range | Average | ||||||||||||||||||||||||||
RMBS Prime (d) | 1.0-6.1 | 2.1 | 4.4-33.4 | 23.3 | 30.0-63.2 | 35.9 | ||||||||||||||||||||||||||
RMBS Alt-A (d) | 1.0-1.1 | 1 | 2.0-14.0 | 3.7 | 30.0-30.0 | 30 | ||||||||||||||||||||||||||
HEL Subprime (e) | 1.5-8.6 | 4.6 | 2.0-10.1 | 3.7 | 30.0-100.0 | 71 | ||||||||||||||||||||||||||
Manufactured Housing Loans | 3.6-5.9 | 4.9 | 2.0-3.8 | 2.5 | 75.1-81.0 | 78.5 | ||||||||||||||||||||||||||
(a) Conditional Default Rate (CDR): 1— ((1-MDR)^12) where, MDR is defined as the “Monthly Default Rate (MDR)” =Beginning Principal Balance of Liquidated Loans)/(Total Beginning Principal Balance). | ||||||||||||||||||||||||||||||||
(b) Conditional Prepayment Rate (CPR): 1— ((1-SMM)^12) where, SMM is defined as the “Single Monthly Mortality (SMM)” =Voluntary Partial and Full Prepayments + Repurchases + Liquidated Balances)/(Beginning Principal Balance - Scheduled Principal). Voluntary prepayment excludes the liquidated balances mentioned above. | ||||||||||||||||||||||||||||||||
(c) Loss Severity(Principal and Interest in the current period) =um (Total Realized Loss Amount)/Sum (Beginning Principal and Interest Balance of Liquidated Loans). | ||||||||||||||||||||||||||||||||
(d) CMOs/REMICS private-label MBS. | ||||||||||||||||||||||||||||||||
(e) Residential asset-backed MBS. | ||||||||||||||||||||||||||||||||
Schedule of distribution of prices and the final price adopted | ' | |||||||||||||||||||||||||||||||
The tables below provide the distribution of the prices, and the final price adopted for securities with cash flow shortfalls at September 30, 2013 and December 31, 2012 (dollars in thousands except for price): | ||||||||||||||||||||||||||||||||
Significant Inputs | ||||||||||||||||||||||||||||||||
Securities deemed OTTI at September 30, 2013 | ||||||||||||||||||||||||||||||||
Carrying | Fair | Fair Value Recorded on | Price | Final | ||||||||||||||||||||||||||||
Value | Value | a Non-recurring basis | Level | Range | Price | Rating | ||||||||||||||||||||||||||
Subprime -Home equity loan | ||||||||||||||||||||||||||||||||
Bond 1 | $ | 3,103 | $ | 4,207 | $ | — | 3 | $ | 65.91-89.88 | $ | 65.91 | D | ||||||||||||||||||||
Bond 2 | 1,779 | 2,632 | — | 3 | 65.34-86.82 | 65.8 | D | |||||||||||||||||||||||||
Total OTTI PLMBS | $ | 4,882 | $ | 6,839 | $ | — | ||||||||||||||||||||||||||
Significant Inputs | ||||||||||||||||||||||||||||||||
Securities deemed OTTI at December 31, 2012 | ||||||||||||||||||||||||||||||||
Carrying | Fair | Fair Value Recorded on | Price | Final | ||||||||||||||||||||||||||||
Value | Value | a Non-recurring basis | Level | Range | Price | Rating | ||||||||||||||||||||||||||
Prime -RMBS | ||||||||||||||||||||||||||||||||
Bond 1 | $ | 7,045 | $ | 7,045 | $ | 7,045 | 3 | $ | 90.47 - 96.85 | $ | 90.47 | C | ||||||||||||||||||||
Total OTTI PLMBS | $ | 7,045 | $ | 7,045 | $ | 7,045 | ||||||||||||||||||||||||||
AvailableforSale_Securities_Ta
Available-for-Sale Securities. (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Available-for-Sale Securities. | ' | ||||||||||||||||
Schedule of interest rate payment terms of investments classified as available-for-sale securities | ' | ||||||||||||||||
The following table summarizes interest rate payment terms of investments in mortgage-backed securities classified as AFS securities (in thousands): | |||||||||||||||||
September 30, 2013 | December 31, 2012 | ||||||||||||||||
Amortized Cost | Fair Value | Amortized Cost | Fair Value | ||||||||||||||
Mortgage-backed securities | |||||||||||||||||
CMO floating - LIBOR | $ | 1,623,586 | $ | 1,635,585 | $ | 2,230,813 | $ | 2,252,261 | |||||||||
CMBS floating - LIBOR | 43,223 | 43,617 | 46,686 | 46,880 | |||||||||||||
Total Mortgage-backed securities (a) | $ | 1,666,809 | $ | 1,679,202 | $ | 2,277,499 | $ | 2,299,141 | |||||||||
(a) Total will not agree to total AFS portfolio because bond and equity funds in a grantor trust have been excluded. | |||||||||||||||||
Available-for-Sale Securities. | ' | ||||||||||||||||
Available-for-Sale Securities. | ' | ||||||||||||||||
Schedule of amortized cost, OTTI recognized in AOCI, gross unrealized holding gains, gross unrealized holding losses and fair value of available-for-sale securities | ' | ||||||||||||||||
The following tables provide major security types (in thousands): | |||||||||||||||||
September 30, 2013 | |||||||||||||||||
OTTI | Gross | Gross | |||||||||||||||
Amortized | Recognized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | in AOCI | Gains | Losses | Value | |||||||||||||
Cash equivalents (a) | $ | 157 | $ | — | $ | — | $ | — | $ | 157 | |||||||
Equity funds (a) | 4,960 | — | 1,465 | — | 6,425 | ||||||||||||
Fixed income funds (a) | 3,352 | — | 141 | (36 | ) | 3,457 | |||||||||||
GSE and U.S. Obligations | |||||||||||||||||
Mortgage-backed securities | |||||||||||||||||
CMO-Floating | 1,623,586 | — | 12,141 | (142 | ) | 1,635,585 | |||||||||||
CMBS-Floating | 43,223 | — | 394 | — | 43,617 | ||||||||||||
Total Available-for-sale securities | $ | 1,675,278 | $ | — | $ | 14,141 | $ | (178 | ) | $ | 1,689,241 | ||||||
December 31, 2012 | |||||||||||||||||
OTTI | Gross | Gross | |||||||||||||||
Amortized | Recognized | Unrealized | Unrealized | Fair | |||||||||||||
Cost | in AOCI | Gains | Losses | Value | |||||||||||||
Cash equivalents (a) | $ | 215 | $ | — | $ | — | $ | — | $ | 215 | |||||||
Equity funds (a) | 5,172 | — | 540 | — | 5,712 | ||||||||||||
Fixed income funds (a) | 3,382 | — | 324 | — | 3,706 | ||||||||||||
GSE and U.S. Obligations | |||||||||||||||||
Mortgage-backed securities | |||||||||||||||||
CMO-Floating | 2,230,813 | — | 21,448 | — | 2,252,261 | ||||||||||||
CMBS-Floating | 46,686 | — | 194 | — | 46,880 | ||||||||||||
Total Available-for-sale securities | $ | 2,286,268 | $ | — | $ | 22,506 | $ | — | $ | 2,308,774 | |||||||
(a) The Bank has a grantor trust to fund current and future payments for its employee supplemental pension plan. Investments in the trust are classified as AFS. The grantor trust invests in money market, equity and fixed income and bond funds. Daily net asset values are readily available and investments are redeemable at short notice. Realized gains and losses from investments in the funds were not significant. | |||||||||||||||||
Schedule of amortized cost and estimated fair value of investments by contractual maturity | ' | ||||||||||||||||
The amortized cost and estimated fair values (a) of investments classified as AFS, by contractual maturity, were as follows (in thousands): | |||||||||||||||||
September 30, 2013 | December 31, 2012 | ||||||||||||||||
Amortized Cost (c) | Fair Value | Amortized Cost (c) | Fair Value | ||||||||||||||
Mortgage-backed securities | |||||||||||||||||
Due after five years through ten years | $ | 43,223 | $ | 43,617 | $ | 46,686 | $ | 46,880 | |||||||||
Due after ten years | 1,623,586 | 1,635,585 | 2,230,813 | 2,252,261 | |||||||||||||
Fixed income funds, equity funds and cash equivalents (b) | 8,469 | 10,039 | 8,769 | 9,633 | |||||||||||||
Total Available-for-sale securities | $ | 1,675,278 | $ | 1,689,241 | $ | 2,286,268 | $ | 2,308,774 | |||||||||
(a) The carrying value of AFS securities equals fair value. | |||||||||||||||||
(b) Determined to be redeemable at short notice. | |||||||||||||||||
(c) Amortized cost is net of unamortized discounts and premiums of $5.7 million and $8.0 million at September 30, 2013 and December 31, 2012. |
Advances_Tables
Advances. (Tables) | 9 Months Ended | |||||||||||||||
Sep. 30, 2013 | ||||||||||||||||
Advances. | ' | |||||||||||||||
Schedule of contractual redemption terms and yields of advances | ' | |||||||||||||||
Contractual redemption terms and yields of advances were as follows (dollars in thousands): | ||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||
Weighted (a) | Weighted (a) | |||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||
Amount | Yield | of Total | Amount | Yield | of Total | |||||||||||
Overdrawn demand deposit accounts | $ | 6 | 1.08 | % | — | % | $ | — | — | % | — | % | ||||
Due in one year or less | 36,930,607 | 0.68 | 42.57 | 26,956,874 | 0.9 | 37.29 | ||||||||||
Due after one year through two years | 11,807,883 | 1.22 | 13.61 | 7,798,776 | 1.96 | 10.79 | ||||||||||
Due after two years through three years | 11,976,271 | 2.81 | 13.8 | 7,234,380 | 2.38 | 10 | ||||||||||
Due after three years through four years | 7,618,334 | 2.91 | 8.78 | 9,658,689 | 3.64 | 13.36 | ||||||||||
Due after four years through five years | 6,746,635 | 2.83 | 7.78 | 10,255,616 | 3.35 | 14.19 | ||||||||||
Thereafter | 11,681,718 | 2.79 | 13.46 | 10,387,768 | 2.77 | 14.37 | ||||||||||
Total par value | 86,761,454 | 1.69 | % | 100 | % | 72,292,103 | 2.15 | % | 100 | % | ||||||
Hedge value basis adjustments | 2,352,322 | 3,595,396 | ||||||||||||||
Fair value option valuation adjustments and accrued interest | 7,659 | 502 | ||||||||||||||
Total | $ | 89,121,435 | $ | 75,888,001 | ||||||||||||
(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 at the reporting dates. |
Mortgage_Loans_HeldforPortfoli1
Mortgage Loans Held-for-Portfolio. (Tables) | 9 Months Ended | ||||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||||
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): | |||||||||||||||||||||||
September 30, 2013 | December 31, 2012 | ||||||||||||||||||||||
Amount | Percentage of | Amount | Percentage of | ||||||||||||||||||||
Total | Total | ||||||||||||||||||||||
Real Estate(a): | |||||||||||||||||||||||
Fixed medium-term single-family mortgages | $ | 379,281 | 19.93 | % | $ | 400,309 | 22.09 | % | |||||||||||||||
Fixed long-term single-family mortgages | 1,523,731 | 80.07 | 1,412,061 | 77.9 | |||||||||||||||||||
Multi-family mortgages | 92 | — | 156 | 0.01 | |||||||||||||||||||
Total par value | 1,903,104 | 100 | % | 1,812,526 | 100 | % | |||||||||||||||||
Unamortized premiums | 37,358 | 35,760 | |||||||||||||||||||||
Unamortized discounts | (3,102 | ) | (2,580 | ) | |||||||||||||||||||
Basis adjustment (b) | 1,821 | 4,092 | |||||||||||||||||||||
Total mortgage loans held-for-portfolio | 1,939,181 | 1,849,798 | |||||||||||||||||||||
Allowance for credit losses | (6,326 | ) | (6,982 | ) | |||||||||||||||||||
Total mortgage loans held-for-portfolio, net of allowance for credit losses | $ | 1,932,855 | $ | 1,842,816 | |||||||||||||||||||
(a) Conventional mortgages represent the majority of mortgage loans held-for-portfolio, with the remainder invested in FHA and VA insured loans. | |||||||||||||||||||||||
(b) Represents fair value basis of closed delivery commitments. | |||||||||||||||||||||||
Roll-forward analysis of the allowance for credit losses | ' | ||||||||||||||||||||||
The following provides a roll-forward analysis of the allowance for credit losses (a) (in thousands): | |||||||||||||||||||||||
Three months ended September 30, | Nine months ended September 30, | ||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||||||||||
Allowance for credit losses: | |||||||||||||||||||||||
Beginning balance | $ | 6,414 | $ | 6,878 | $ | 6,982 | $ | 6,786 | |||||||||||||||
Charge-offs | (140 | ) | (228 | ) | (1,556 | ) | (930 | ) | |||||||||||||||
Recoveries | 203 | 36 | 846 | 171 | |||||||||||||||||||
Provision/(Reversal) for credit losses on mortgage loans | (151 | ) | 234 | 54 | 893 | ||||||||||||||||||
Ending balance | $ | 6,326 | $ | 6,920 | $ | 6,326 | $ | 6,920 | |||||||||||||||
Ending balance, individually evaluated for impairment | $ | 6,326 | $ | 6,920 | $ | 6,326 | $ | 6,920 | |||||||||||||||
September 30, 2013 | December 31, 2012 | ||||||||||||||||||||||
Recorded investment, end of period: | |||||||||||||||||||||||
Individually evaluated for impairment | |||||||||||||||||||||||
Impaired, with or without a related allowance (b) | $ | 30,619 | $ | 31,596 | |||||||||||||||||||
Not impaired, no related allowance | 1,804,690 | 1,754,852 | |||||||||||||||||||||
Total uninsured mortgage loans | $ | 1,835,309 | $ | 1,786,448 | |||||||||||||||||||
Collectively evaluated for impairment (c) | |||||||||||||||||||||||
Impaired, with or without a related allowance | $ | 595 | $ | 413 | |||||||||||||||||||
Not impaired, no related allowance | 112,276 | 71,741 | |||||||||||||||||||||
Total insured mortgage loans | $ | 112,871 | $ | 72,154 | |||||||||||||||||||
(a) Allowance for credit losses has been stable, in line with declining nonperforming loans, which is consistent with the stability in housing prices/liquidation values of real property securing impaired loans. | |||||||||||||||||||||||
(b) Loans considered impaired have remained almost unchanged as delinquency rates have stabilized. | |||||||||||||||||||||||
(c) FHA- and VA loans are collectively evaluated for impairment. Loans past due 90 days or more were considered for impairment but credit analysis indicated funds would be collected and no allowance was necessary. | |||||||||||||||||||||||
Schedule of non-performing and 90 day past due loans to total mortgage | ' | ||||||||||||||||||||||
The FHLBNY’s impaired mortgage loans are reported in the table below (in thousands): | |||||||||||||||||||||||
September 30, 2013 | December 31, 2012 | ||||||||||||||||||||||
Total Mortgage loans, net of allowance for credit losses (a) | $ | 1,932,855 | $ | 1,842,816 | |||||||||||||||||||
Non-performing mortgage loans - Conventional (b) | $ | 27,749 | $ | 28,458 | |||||||||||||||||||
Insured MPF loans past due 90 days or more and still accruing interest (b) | $ | 577 | $ | 410 | |||||||||||||||||||
(a) Includes loans classified as sub-standard, doubtful or loss under FHFA regulatory criteria, reported at carrying value. | |||||||||||||||||||||||
(b) Data in this table represents unpaid principal balance, and would not agree to data reported in table below at “recorded investment,” which includes interest receivable. Loans in bankruptcy status and past due 90 days or more (nonaccrual status) are included. | |||||||||||||||||||||||
Schedule of the recorded investment in impaired loans, the unpaid principal balance, related allowance (individually assessed for impairment), and the average recorded investment of impaired loans | ' | ||||||||||||||||||||||
The following table summarizes the recorded investment in impaired loans, the unpaid principal balance, and related allowance (individually assessed for impairment), and the average recorded investment of impaired loans (in thousands): | |||||||||||||||||||||||
September 30, 2013 | Three months ended | Nine months ended | |||||||||||||||||||||
September 30, 2013 | September 30, 2013 | ||||||||||||||||||||||
Unpaid | Average | Interest | Average | Interest | |||||||||||||||||||
Recorded | Principal | Related | Recorded | Income | Recorded | Income | |||||||||||||||||
Impaired Loans | Investment | Balance | Allowance | Investment | Recognized (c) | Investment | Recognized (c) | ||||||||||||||||
With no related allowance: | |||||||||||||||||||||||
Conventional MPF Loans (a)(b) | $ | 9,770 | $ | 9,754 | $ | — | $ | 10,056 | $ | — | $ | 10,474 | $ | — | |||||||||
With an allowance: | |||||||||||||||||||||||
Conventional MPF Loans (a) | 20,849 | 20,886 | 6,326 | 20,657 | — | 20,674 | — | ||||||||||||||||
Total Conventional MPF Loans (a) | $ | 30,619 | $ | 30,640 | $ | 6,326 | $ | 30,713 | $ | — | $ | 31,148 | $ | — | |||||||||
December 31, 2012 | |||||||||||||||||||||||
Unpaid | Average | Interest | |||||||||||||||||||||
Recorded | Principal | Related | Recorded | Income | |||||||||||||||||||
Impaired Loans | Investment | Balance | Allowance | Investment | Recognized (c) | ||||||||||||||||||
With no related allowance: | |||||||||||||||||||||||
Conventional MPF Loans (a)(b) | $ | 8,118 | $ | 8,134 | $ | — | $ | 6,768 | $ | — | |||||||||||||
With an allowance: | |||||||||||||||||||||||
Conventional MPF Loans (a) | 23,478 | 23,507 | 6,982 | 22,798 | — | ||||||||||||||||||
Total Conventional MPF Loans (a) | $ | 31,596 | $ | 31,641 | $ | 6,982 | $ | 29,566 | $ | — | |||||||||||||
(a) Based on analysis of the nature of risks of the Bank’s investments in MPF loans, including its methodologies for identifying and measuring impairment, the management of the FHLBNY has determined that presenting such loans as a single class is appropriate. | |||||||||||||||||||||||
(b) Collateral values, net of estimated costs to sell, exceeded the recorded investments in impaired loans and no allowances were deemed necessary. | |||||||||||||||||||||||
(c) The Bank does not record interest received as Interest income if an uninsured loan is past due 90 days or more. | |||||||||||||||||||||||
Schedule of interest contractually due and actually received for non-performing loans | ' | ||||||||||||||||||||||
The FHLBNY’s interest contractually due and actually received for non-performing loans were as follows (in thousands): | |||||||||||||||||||||||
Three months ended September 30, | Nine months ended September 30, | ||||||||||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||||||||||
Interest contractually due (a) | $ | 425 | $ | 482 | $ | 1,222 | $ | 1,444 | |||||||||||||||
Interest actually received | 387 | 379 | 1,115 | 1,169 | |||||||||||||||||||
Shortfall | $ | 38 | $ | 103 | $ | 107 | $ | 275 | |||||||||||||||
(a) The Bank does not accrue interest income on conventional loans past due 90 days or more. If cash is received as settlement of interest on loans past due 90 days or more, it is considered as an advance from the PFI or the servicer and cash received is subject to reversal if the loan goes into foreclosure. Cash received is recorded as a liability until the impaired loan is performing again. The table summarizes interest income that was not recognized in earnings. It also summarizes the actual cash that was received against interest due, but not recognized. | |||||||||||||||||||||||
Schedule of recorded investments in MPF loans that were past due loans and real-estate owned | ' | ||||||||||||||||||||||
Recorded investments, which includes accrued interest receivable, would not equal carrying values reported elsewhere (dollars in thousands): | |||||||||||||||||||||||
September 30, 2013 | December 31, 2012 | ||||||||||||||||||||||
Conventional | Insured | Other | Conventional | Insured | Other | ||||||||||||||||||
MPF Loans | Loans | Loans | MPF Loans | Loans | Loans | ||||||||||||||||||
Mortgage loans: | |||||||||||||||||||||||
Past due 30 - 59 days | $ | 17,156 | $ | 2,258 | $ | — | $ | 22,899 | $ | 884 | $ | — | |||||||||||
Past due 60 - 89 days | 5,479 | 226 | — | 6,027 | 407 | — | |||||||||||||||||
Past due 90 - 179 days | 3,049 | 142 | — | 4,202 | 184 | — | |||||||||||||||||
Past due 180 days or more | 24,678 | 453 | — | 24,221 | 229 | — | |||||||||||||||||
Total past due | 50,362 | 3,079 | — | 57,349 | 1,704 | — | |||||||||||||||||
Total current loans | 1,784,855 | 109,792 | 92 | 1,728,942 | 70,450 | 157 | |||||||||||||||||
Total mortgage loans | $ | 1,835,217 | $ | 112,871 | $ | 92 | $ | 1,786,291 | $ | 72,154 | $ | 157 | |||||||||||
Other delinquency statistics: | |||||||||||||||||||||||
Loans in process of foreclosure, included above | $ | 16,611 | $ | 307 | $ | — | $ | 21,464 | $ | 187 | $ | — | |||||||||||
Number of foreclosures outstanding at period end | 119 | 8 | — | 140 | 6 | — | |||||||||||||||||
Serious delinquency rate (a) | 1.51 | % | 0.53 | % | — | % | 1.62 | % | 0.57 | % | — | % | |||||||||||
Serious delinquent loans total used in calculation of serious delinquency rate | $ | 27,792 | $ | 595 | $ | — | $ | 28,947 | $ | 413 | $ | — | |||||||||||
Past due 90 days or more and still accruing interest | $ | — | $ | 595 | $ | — | $ | — | $ | 413 | $ | — | |||||||||||
Loans on non-accrual status | $ | 27,727 | $ | — | $ | — | $ | 28,423 | $ | — | $ | — | |||||||||||
Troubled debt restructurings: | |||||||||||||||||||||||
Loans discharged from bankruptcy | $ | 9,248 | $ | 520 | $ | — | $ | 8,818 | $ | 638 | $ | — | |||||||||||
Modified loans under MPF® program | $ | 820 | $ | — | $ | — | $ | 681 | $ | — | $ | — | |||||||||||
Real estate owned | $ | 1,112 | $ | 169 | |||||||||||||||||||
(a) Serious delinquency rate is recorded investments in loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of total loan class. | |||||||||||||||||||||||
Schedule of performing and non-performing troubled debt restructurings balances | ' | ||||||||||||||||||||||
The following table summarizes performing and non-performing troubled debt restructurings balances (in thousands): | |||||||||||||||||||||||
September 30, 2013 | December 31, 2012 | ||||||||||||||||||||||
Recorded Investment Outstanding | Performing | Non- performing | Total TDR | Performing | Non- performing | Total TDR | |||||||||||||||||
Troubled debt restructurings (TDR) (a): | |||||||||||||||||||||||
Loans discharged from bankruptcy | $ | 8,497 | $ | 751 | $ | 9,248 | $ | 8,189 | $ | 629 | $ | 8,818 | |||||||||||
Modified loans under MPF® program | 601 | 219 | 820 | 459 | 222 | 681 | |||||||||||||||||
Total troubled debt restructurings | $ | 9,098 | $ | 970 | $ | 10,068 | $ | 8,648 | $ | 851 | $ | 9,499 | |||||||||||
Related Allowance | $ | 612 | $ | 317 | |||||||||||||||||||
(a) Insured loans were not included in the calculation for troubled debt restructuring. |
Deposits_Tables
Deposits. (Tables) | 9 Months Ended | |||||||||||
Sep. 30, 2013 | ||||||||||||
Deposits. | ' | |||||||||||
Summary of deposits | ' | |||||||||||
The following table summarizes deposits (in thousands): | ||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||
Interest-bearing deposits | ||||||||||||
Interest-bearing demand | $ | 1,522,886 | $ | 1,994,974 | ||||||||
Term | 55,000 | 40,000 | ||||||||||
Total interest-bearing deposits | 1,577,886 | 2,034,974 | ||||||||||
Non-interest-bearing demand | 13,047 | 19,537 | ||||||||||
Total deposits | $ | 1,590,933 | $ | 2,054,511 | ||||||||
Summary of interest rate payment terms for deposits | ' | |||||||||||
The following table summarizes deposits (in thousands): | ||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||
Amount | Weighted | Amount | Weighted | |||||||||
Outstanding | Average Interest | Outstanding | Average Interest | |||||||||
Rate | Rate | |||||||||||
Due in one year or less | ||||||||||||
Interest-bearing deposits - adjustable rate | $ | 1,577,886 | 0.04 | % | $ | 2,034,974 | 0.03 | % | ||||
Non-interest-bearing deposits | 13,047 | 19,537 | ||||||||||
Total deposits | $ | 1,590,933 | $ | 2,054,511 |
Consolidated_Obligations_Table
Consolidated Obligations. (Tables) | 9 Months Ended | |||||||||||||||
Sep. 30, 2013 | ||||||||||||||||
Consolidated Obligations. | ' | |||||||||||||||
Schedule of qualifying unpledged asset requirements | ' | |||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||
Percentage of unpledged qualifying assets to consolidated obligations | 108 | % | 109 | % | ||||||||||||
Schedule of consolidated obligations issued by the Bank and outstanding | ' | |||||||||||||||
The following table summarizes consolidated obligations issued by the FHLBNY and outstanding at September 30, 2013 and December 31, 2012 (in thousands): | ||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||
Consolidated obligation bonds-amortized cost | $ | 69,909,024 | $ | 63,903,744 | ||||||||||||
Hedge value basis adjustments | 366,963 | 804,174 | ||||||||||||||
Hedge basis adjustments on terminated hedges | 76,074 | 63,520 | ||||||||||||||
FVO (a)-valuation adjustments and accrued interest | 9,327 | 12,883 | ||||||||||||||
Total Consolidated obligation-bonds | $ | 70,361,388 | $ | 64,784,321 | ||||||||||||
Discount notes-amortized cost | $ | 42,261,308 | $ | 29,776,704 | ||||||||||||
FVO (a) - valuation adjustments and remaining accretion | 808 | 3,243 | ||||||||||||||
Total Consolidated obligation-discount notes | $ | 42,262,116 | $ | 29,779,947 | ||||||||||||
(a) Accounted for under the Fair Value Option rules. | ||||||||||||||||
Redemption Terms of Consolidated Obligation Bonds | ' | |||||||||||||||
The following is a summary of consolidated obligation bonds outstanding by year of maturity (dollars in thousands): | ||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||
Maturity | Amount | Rate (a) | of Total | Amount | Rate (a) | of Total | ||||||||||
One year or less | $ | 42,867,425 | 0.45 | % | 61.36 | % | $ | 42,284,800 | 0.71 | % | 66.25 | % | ||||
Over one year through two years | 11,215,195 | 1.06 | 16.05 | 8,003,630 | 1.47 | 12.54 | ||||||||||
Over two years through three years | 3,235,835 | 1.38 | 4.63 | 5,746,280 | 1.62 | 9 | ||||||||||
Over three years through four years | 1,401,505 | 1.14 | 2.01 | 1,115,010 | 2.29 | 1.75 | ||||||||||
Over four years through five years | 3,064,355 | 2.01 | 4.39 | 1,515,570 | 2.56 | 2.38 | ||||||||||
Thereafter | 8,073,135 | 2.27 | 11.56 | 5,159,795 | 2.54 | 8.08 | ||||||||||
Total par value | 69,857,450 | 0.88 | % | 100 | % | 63,825,085 | 1.11 | % | 100 | % | ||||||
Bond premiums (b) | 77,274 | 102,225 | ||||||||||||||
Bond discounts (b) | (25,700 | ) | (23,566 | ) | ||||||||||||
Hedge value basis adjustments | 366,963 | 804,174 | ||||||||||||||
Hedge basis adjustments on terminated hedges | 76,074 | 63,520 | ||||||||||||||
FVO (c) - valuation adjustments and accrued interest | 9,327 | 12,883 | ||||||||||||||
Total Consolidated obligation-bonds | $ | 70,361,388 | $ | 64,784,321 | ||||||||||||
(a) Weighted average rate represents the weighted average contractual coupons of bonds, unadjusted for swaps. | ||||||||||||||||
(b) Amortization of bond premiums and discounts resulted in net reduction of interest expense of $13.4 million and $42.7 million for the three and nine months ended September 30, 2013 and $15.2 million and $44.3 million for the same periods in 2012. Amortization of basis adjustments from terminated hedges was $0.9 million and $2.7 million for the three and nine months ended September 30, 2013, and $1.1 million and $3.3 million for the same periods in 2012. | ||||||||||||||||
(c) Accounted for under the Fair Value Option rules. | ||||||||||||||||
Schedule of types of bonds issued and outstanding | ' | |||||||||||||||
The following summarizes types of bonds issued and outstanding (dollars in thousands): | ||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||
Amount | Percentage of | Amount | Percentage of | |||||||||||||
Total | Total | |||||||||||||||
Fixed-rate, non-callable | $ | 53,301,950 | 76.3 | % | $ | 48,184,085 | 75.49 | % | ||||||||
Fixed-rate, callable | 6,449,500 | 9.23 | 2,685,000 | 4.21 | ||||||||||||
Step Up, callable | 2,126,000 | 3.04 | 1,221,000 | 1.91 | ||||||||||||
Step Down, callable | 25,000 | 0.04 | — | — | ||||||||||||
Single-index floating rate | 7,955,000 | 11.39 | 11,735,000 | 18.39 | ||||||||||||
Total par value | 69,857,450 | 100 | % | 63,825,085 | 100 | % | ||||||||||
Bond premiums | 77,274 | 102,225 | ||||||||||||||
Bond discounts | (25,700 | ) | (23,566 | ) | ||||||||||||
Hedge value basis adjustments | 366,963 | 804,174 | ||||||||||||||
Hedge basis adjustments on terminated hedges | 76,074 | 63,520 | ||||||||||||||
FVO - valuation adjustments and accrued interest | 9,327 | 12,883 | ||||||||||||||
Total Consolidated obligation-bonds | $ | 70,361,388 | $ | 64,784,321 | ||||||||||||
Schedule of consolidated obligation-discount notes | ' | |||||||||||||||
The FHLBNY’s outstanding consolidated obligation-discount notes were as follows (dollars in thousands): | ||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||
Par value | $ | 42,266,370 | $ | 29,785,543 | ||||||||||||
Amortized cost | $ | 42,261,308 | $ | 29,776,704 | ||||||||||||
Fair value option valuation adjustments | 808 | 3,243 | ||||||||||||||
Total discount notes | $ | 42,262,116 | $ | 29,779,947 | ||||||||||||
Weighted average interest rate | 0.06 | % | 0.13 | % |
Affordable_Housing_Program_Tab
Affordable Housing Program. (Tables) | 9 Months Ended | |||||||||||||
Sep. 30, 2013 | ||||||||||||||
Affordable Housing Program. | ' | |||||||||||||
Schedule of roll-forward information with respect to changes in Affordable Housing Program liabilities | ' | |||||||||||||
The following provides roll-forward information with respect to changes in Affordable Housing Program liabilities (in thousands): | ||||||||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||
Beginning balance | $ | 122,251 | $ | 131,960 | $ | 134,942 | $ | 127,454 | ||||||
Additions from current period’s assessments | 6,920 | 9,870 | 24,138 | 30,936 | ||||||||||
Net disbursements for grants and programs | (9,385 | ) | (6,075 | ) | (39,294 | ) | (22,635 | ) | ||||||
Ending balance | $ | 119,786 | $ | 135,755 | $ | 119,786 | $ | 135,755 |
Capital_Stock_Mandatorily_Rede1
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. (Tables) | 9 Months Ended | |||||||||||||
Sep. 30, 2013 | ||||||||||||||
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | ' | |||||||||||||
Schedule of compliance with regulatory capital requirements | ' | |||||||||||||
The following table summarizes the Bank’s risk-based capital ratios (dollars in thousands): | ||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||
Required (d) | Actual | Required (d) | Actual | |||||||||||
Regulatory capital requirements: | ||||||||||||||
Risk-based capital (a) (e) | $ | 632,097 | $ | 6,469,647 | $ | 489,133 | $ | 5,714,352 | ||||||
Total capital-to-asset ratio | 4 | % | 5.33 | % | 4 | % | 5.55 | % | ||||||
Total capital (b) | $ | 4,855,446 | $ | 6,469,647 | $ | 4,119,552 | $ | 5,714,352 | ||||||
Leverage ratio | 5 | % | 7.99 | % | 5 | % | 8.32 | % | ||||||
Leverage capital (c) | $ | 6,069,307 | $ | 9,704,471 | $ | 5,149,440 | $ | 8,571,529 | ||||||
(a) Actual “Risk-based capital” is capital stock and retained earnings plus mandatorily redeemable capital stock. Section 932.2 of the Finance Agency’s regulations also refers to this amount as “Permanent Capital.” | ||||||||||||||
(b) Required “Total capital” is 4.0% of total assets. | ||||||||||||||
(c) Actual “Leverage capital” is actual Risk-based capital times 1.5. | ||||||||||||||
(d) Required minimum. | ||||||||||||||
(e) Under regulatory guidelines issued by the Finance Agency concurrently with the rating action in 2011 by S&P lowered the rating of long-term securities issued by the U.S. government, federal agencies, and other entities, including Fannie Mae, Freddie Mac, and the FHLBanks from AAA to AA+ with regard to this action, consistent with guidance provided by the banking regulators with respect to capital rules, the Finance Agency provided guidance to not change the risk weights for 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 | ' | |||||||||||||
Anticipated redemptions of mandatorily redeemable capital stock in the following table assume the FHLBNY will follow its current practice of daily redemption of capital in excess of the amount required to support advances and MPF loans (in thousands): | ||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||
Redemption less than one year | $ | 4,081 | $ | 2,582 | ||||||||||
Redemption from one year to less than three years | 226 | 698 | ||||||||||||
Redemption from three years to less than five years | 16,528 | 5,210 | ||||||||||||
Redemption from five years or greater | 2,783 | 14,653 | ||||||||||||
Total | $ | 23,618 | $ | 23,143 | ||||||||||
Schedule of roll-forward information with respect to changes in mandatorily redeemable capital stock liabilities | ' | |||||||||||||
The following table provides roll-forward information with respect to changes in mandatorily redeemable capital stock liabilities (in thousands): | ||||||||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||
Beginning balance | $ | 25,437 | $ | 42,035 | $ | 23,143 | $ | 54,827 | ||||||
Capital stock subject to mandatory redemption reclassified from equity | 390 | — | 4,452 | 45 | ||||||||||
Redemption of mandatorily redeemable capital stock (a) | (2,209 | ) | (21,541 | ) | (3,977 | ) | (34,378 | ) | ||||||
Ending balance | $ | 23,618 | $ | 20,494 | $ | 23,618 | $ | 20,494 | ||||||
Accrued interest payable (b) | $ | 250 | $ | 398 | $ | 250 | $ | 398 | ||||||
(a) Redemption includes repayment of excess stock. | ||||||||||||||
(b) The annualized accrual rates were 4.00% for September 30, 2013 and 4.50% for September 30, 2012 on mandatorily redeemable capital stock. | ||||||||||||||
Schedule of withdrawals and terminations | ' | |||||||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||
Voluntary Termination/Notices Received and Pending | 1 | 1 | 2 | 1 | ||||||||||
Involuntary Termination (a) | — | — | 1 | 2 | ||||||||||
Non-member due to merger | 1 | — | 2 | — | ||||||||||
(a) The Board of Directors of FHLBank may terminate the membership of any institution that: (1) fails to comply with any requirement of the FHLBank Act, any regulation adopted by the Finance Agency, or any requirement of the Bank’s capital plan; (2) becomes insolvent or otherwise subject to the appointment of a conservator, receiver, or other legal custodian under federal or state law; or (3) would jeopardize the safety or soundness of the FHLBank if it was to remain a member. |
Total_Comprehensive_Income_Tab
Total Comprehensive Income (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Total Comprehensive Income | ' | ||||||||||||||||
Schedule of rollforward information for Accumulated Other Comprehensive Income (Loss) | ' | ||||||||||||||||
The following table provides rollforward information for the three and nine months ended September 30, 2013 and 2012 (in thousands): | |||||||||||||||||
Net unrealized | Net unrealized | Accumulated | |||||||||||||||
gains (losses) | Non-credit | gains (losses) | Pension and | Other | |||||||||||||
on AFS | OTTI on HTM | relating to | postretirement | Comprehensive | |||||||||||||
Securities | Securities | Hedging activities | benefits | Income (Loss) | |||||||||||||
Balance, June 30, 2012 | $ | 21,564 | $ | (69,647 | ) | $ | (137,244 | ) | $ | (18,325 | ) | $ | (203,652 | ) | |||
Other comprehensive income (loss) before reclassification | |||||||||||||||||
Net unrealized gains (losses) | 1,742 | — | (10,698 | ) | — | (8,956 | ) | ||||||||||
Accretion of non-credit loss | — | 2,908 | — | — | 2,908 | ||||||||||||
Reclassifications from OCI to net income | |||||||||||||||||
Non-credit OTTI to credit OTTI (a) | — | 534 | — | — | 534 | ||||||||||||
Amortization- hedging activities (b) | — | — | 1,058 | — | 1,058 | ||||||||||||
Amortization- pension and postretirement (c) | — | — | — | 344 | 344 | ||||||||||||
Net current period other comprehensive income (loss) | 1,742 | 3,442 | (9,640 | ) | 344 | (4,112 | ) | ||||||||||
Balance, September 30, 2012 | $ | 23,306 | $ | (66,205 | ) | $ | (146,884 | ) | $ | (17,981 | ) | $ | (207,764 | ) | |||
Balance, June 30, 2013 | $ | 19,464 | $ | (58,222 | ) | $ | (61,214 | ) | $ | (20,540 | ) | $ | (120,512 | ) | |||
Other comprehensive income (loss) before reclassification | |||||||||||||||||
Net unrealized (losses) gains | (5,501 | ) | — | 1,436 | — | (4,065 | ) | ||||||||||
Accretion of non-credit loss | — | 2,511 | — | — | 2,511 | ||||||||||||
Reclassifications from OCI to net income | |||||||||||||||||
Amortization- hedging activities (b) | — | — | 780 | — | 780 | ||||||||||||
Amortization- pension and postretirement (c) | — | — | — | 381 | 381 | ||||||||||||
Net current period other comprehensive (loss) income | (5,501 | ) | 2,511 | 2,216 | 381 | (393 | ) | ||||||||||
Balance, September 30, 2013 | $ | 13,963 | $ | (55,711 | ) | $ | (58,998 | ) | $ | (20,159 | ) | $ | (120,905 | ) | |||
Net unrealized | Net unrealized | Accumulated | |||||||||||||||
gains (losses) | Non-credit | gains (losses) | Pension and | Other | |||||||||||||
on AFS | OTTI on HTM | relating to | postretirement | Comprehensive | |||||||||||||
Securities | Securities | Hedging activities | benefits | Income (Loss) | |||||||||||||
Balance, December 31, 2011 | $ | 16,419 | $ | (75,849 | ) | $ | (111,985 | ) | $ | (19,012 | ) | $ | (190,427 | ) | |||
Other comprehensive income (loss) before reclassification | |||||||||||||||||
Net unrealized gains (losses) | 6,887 | — | (38,171 | ) | — | (31,284 | ) | ||||||||||
Non-credit OTTI loss | — | (132 | ) | — | — | (132 | ) | ||||||||||
Accretion of non-credit loss | — | 8,154 | — | — | 8,154 | ||||||||||||
Reclassifications from OCI to net income | |||||||||||||||||
Non-credit OTTI to credit OTTI (a) | — | 1,622 | — | — | 1,622 | ||||||||||||
Amortization- hedging activities (b) | — | — | 3,272 | — | 3,272 | ||||||||||||
Amortization- pension and postretirement (c) | — | — | — | 1,031 | 1,031 | ||||||||||||
Net current period other comprehensive income (loss) | 6,887 | 9,644 | (34,899 | ) | 1,031 | (17,337 | ) | ||||||||||
Balance, September 30, 2012 | $ | 23,306 | $ | (66,205 | ) | $ | (146,884 | ) | $ | (17,981 | ) | $ | (207,764 | ) | |||
Balance, December 31, 2012 | $ | 22,506 | $ | (63,471 | ) | $ | (137,114 | ) | $ | (21,301 | ) | $ | (199,380 | ) | |||
Other comprehensive income (loss) before reclassification | |||||||||||||||||
Net unrealized (losses) gains | (8,543 | ) | — | 75,474 | — | 66,931 | |||||||||||
Accretion of non-credit loss | — | 7,760 | — | — | 7,760 | ||||||||||||
Reclassifications from OCI to net income | |||||||||||||||||
Amortization- hedging activities (b) | — | — | 2,642 | — | 2,642 | ||||||||||||
Amortization- pension and postretirement (c) | — | — | — | 1,142 | 1,142 | ||||||||||||
Net current period other comprehensive (loss) income | (8,543 | ) | 7,760 | 78,116 | 1,142 | 78,475 | |||||||||||
Balance, September 30, 2013 | $ | 13,963 | $ | (55,711 | ) | $ | (58,998 | ) | $ | (20,159 | ) | $ | (120,905 | ) | |||
(a) Offsetting amounts recorded in Other income (loss) as a component of OTTI losses. | |||||||||||||||||
(b) Offsetting amounts recorded in Interest expense on consolidated obligation bonds and discount notes. | |||||||||||||||||
(c) Offsetting amounts recorded in Compensation and benefits expenses. |
Earnings_Per_Share_of_Capital_
Earnings Per Share of Capital. (Tables) | 9 Months Ended | |||||||||||||
Sep. 30, 2013 | ||||||||||||||
Earnings Per Share of Capital. | ' | |||||||||||||
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 September 30, | Nine months ended September 30, | |||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||
Net income | $ | 61,336 | $ | 88,441 | $ | 215,820 | $ | 276,858 | ||||||
Net income available to stockholders | $ | 61,336 | $ | 88,441 | $ | 215,820 | $ | 276,858 | ||||||
Weighted average shares of capital | 53,484 | 48,934 | 48,929 | 46,677 | ||||||||||
Less: Mandatorily redeemable capital stock | (248 | ) | (352 | ) | (243 | ) | (423 | ) | ||||||
Average number of shares of capital used to calculate earnings per share | 53,236 | 48,582 | 48,686 | 46,254 | ||||||||||
Basic earnings per share | $ | 1.15 | $ | 1.81 | $ | 4.43 | $ | 5.99 |
Employee_Retirement_Plans_Tabl
Employee Retirement Plans. (Tables) | 9 Months Ended | |||||||||||||
Sep. 30, 2013 | ||||||||||||||
Summary of retirement plan expenses | ' | |||||||||||||
Schedule of employee retirement plan expenses | ' | |||||||||||||
The following table presents employee retirement plan expenses for the three and nine months ended September 30, 2013 and the same periods in 2012 (in thousands): | ||||||||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||
Defined Benefit Plan (a) | $ | 189 | $ | 175 | $ | 567 | $ | 1,485 | ||||||
Benefit Equalization Plan (defined benefit) | 989 | 908 | 2,967 | 2,725 | ||||||||||
Defined Contribution Plan | 387 | 379 | 1,176 | 1,144 | ||||||||||
Postretirement Health Benefit Plan | 383 | 372 | 1,151 | 1,119 | ||||||||||
Total retirement plan expenses | $ | 1,948 | $ | 1,834 | $ | 5,861 | $ | 6,473 | ||||||
(a) In July 2012, Congress enacted a bill under the Surface Transportation Extension Act of 2012 — Moving Ahead for Progress in the 21st Century Act (“MAP-21”), which includes pension plan provisions intended to ease the negative effect of historically low interest rates. Previously, a plan sponsor could elect to calculate future pension obligations based on either the “yield curve” of corporate investment-grade bonds for the preceding month, or three “segment rates” that are drawn from the average yield curves over the most recent 24-month period. The primary change under the relief bill is to allow calculation of discount rates based over a 25 year period — a much longer period than the two-year period previously used to determine segment rates. The FHLBNY’s Defined Benefit Plan participates in the Pentegra Defined Benefit Plan pension, which has adopted the relief provisions noted above, and adoption resulted in a significant reduction in plan expenses. The FHLBNY paid in $0.7 million for the plan period July 1, 2012 to June 30, 2013. The amount recorded represents the minimum amount payable under the relief provided by MAP-21. For the plan year ended June 30, 2014, the pension expense was accrued at an annual rate of $0.7 million. The Pentegra DB Plan operates with a fiscal year that ends on June 30, and pension plan expenses paid are prorated and recorded over the FHLBNY’s calendar year. | ||||||||||||||
Benefit Equalization Plan (defined benefit) | ' | |||||||||||||
Summary of retirement plan expenses | ' | |||||||||||||
Schedule of components of net periodic benefit cost | ' | |||||||||||||
Components of the net periodic pension cost for the defined benefit component of the BEP were as follows (in thousands): | ||||||||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||
Service cost | $ | 216 | $ | 191 | $ | 648 | $ | 574 | ||||||
Interest cost | 338 | 325 | 1,014 | 975 | ||||||||||
Amortization of unrecognized net loss | 448 | 406 | 1,345 | 1,216 | ||||||||||
Amortization of unrecognized prior service cost | (13 | ) | (14 | ) | (40 | ) | (40 | ) | ||||||
Net periodic benefit cost | $ | 989 | $ | 908 | $ | 2,967 | $ | 2,725 | ||||||
Key assumptions and other information for actuarial calculations to determine benefit obligations | ' | |||||||||||||
Key assumptions and other information for the actuarial calculations to determine benefit obligations for the BEP plan were as follows (dollars in thousands): | ||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||
Discount rate (a) | 3.8 | % | 3.8 | % | ||||||||||
Salary increases | 5.5 | % | 5.5 | % | ||||||||||
Amortization period (years) | 7 | 7 | ||||||||||||
Benefits paid during the period | $ | (1,321 | )(b) | $ | (759 | ) | ||||||||
(a) The discount rates were based on the Citigroup Pension Liability Index at December 31, 2012 adjusted for duration. | ||||||||||||||
(b) Amounts based on forecast for the period ended December 31, 2013. | ||||||||||||||
Postretirement Health Benefit Plan | ' | |||||||||||||
Summary of retirement plan expenses | ' | |||||||||||||
Schedule of components of net periodic benefit cost | ' | |||||||||||||
Components of the net periodic benefit cost for the postretirement health benefit plan were as follows (in thousands): | ||||||||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
2013 | 2012 | 2013 | 2012 | |||||||||||
Service cost (benefits attributed to service during the period) | $ | 236 | $ | 209 | $ | 709 | $ | 629 | ||||||
Interest cost on accumulated postretirement health benefit obligation | 202 | 212 | 605 | 636 | ||||||||||
Amortization of loss | 106 | 134 | 319 | 402 | ||||||||||
Amortization of prior service credit | (161 | ) | (183 | ) | (482 | ) | (548 | ) | ||||||
Net periodic postretirement health benefit cost | $ | 383 | $ | 372 | $ | 1,151 | $ | 1,119 | ||||||
Key assumptions and other information for actuarial calculations to determine benefit obligations | ' | |||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||
Weighted average discount rate | 3.80% | 3.80% | ||||||||||||
Health care cost trend rates: | ||||||||||||||
Assumed for next year | ||||||||||||||
Pre 65 | 7.50% | 7.50% | ||||||||||||
Post 65 | 7.50% | 7.50% | ||||||||||||
Pre 65 Ultimate rate | 5.00% | 5.00% | ||||||||||||
Pre 65 Year that ultimate rate is reached | 2018 | 2018 | ||||||||||||
Post 65 Ultimate rate | 5.50% | 5.50% | ||||||||||||
Post 65 Year that ultimate rate is reached | 2018 | 2018 | ||||||||||||
Alternative amortization methods used to amortize | ||||||||||||||
Prior service cost | Straight - line | Straight - line | ||||||||||||
Unrecognized net (gain) or loss | Straight - line | Straight - line | ||||||||||||
(a) The discount rates were based on the Citigroup Pension Liability Index adjusted for duration at December 31, 2012. |
Derivatives_and_Hedging_Activi1
Derivatives and Hedging Activities. (Tables) | 9 Months Ended | |||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||
Derivatives and Hedging Activities. | ' | |||||||||||||||||||||||||
Schedule of offsetting of derivative assets and derivative liabilities | ' | |||||||||||||||||||||||||
The following table 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 (“Derivative instruments — Nettable”). Where such a legal analysis has not been either sought or obtained, the receivables were not netted, and were reported as Derivative instruments - Not Nettable (in thousands): | ||||||||||||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||||||||||||
Derivative Assets | Derivative | Derivative Assets | Derivative | |||||||||||||||||||||||
Liabilities | Liabilities | |||||||||||||||||||||||||
Derivative instruments -Nettable | ||||||||||||||||||||||||||
Gross recognized amount | ||||||||||||||||||||||||||
Bilateral derivatives | $ | 664,733 | $ | 2,651,656 | $ | 966,523 | $ | 3,890,253 | ||||||||||||||||||
Cleared derivatives | 8,553 | 68,007 | — | — | ||||||||||||||||||||||
Total gross recognized amount | 673,286 | 2,719,663 | 966,523 | 3,890,253 | ||||||||||||||||||||||
Gross amounts of netting adjustments and cash collateral | ||||||||||||||||||||||||||
Bilateral derivatives | (655,777 | ) | (2,263,336 | ) | (924,638 | ) | (3,463,506 | ) | ||||||||||||||||||
Cleared derivatives | 25,863 | (68,007 | ) | — | — | |||||||||||||||||||||
Total gross amounts of netting adjustments and cash collateral | (629,914 | ) | (2,331,343 | ) | (924,638 | ) | (3,463,506 | ) | ||||||||||||||||||
Net amounts after offsetting adjustments | ||||||||||||||||||||||||||
Bilateral derivatives | 8,956 | 388,320 | 41,885 | 426,747 | ||||||||||||||||||||||
Cleared derivatives | 34,416 | — | — | — | ||||||||||||||||||||||
Total net amounts after offsetting adjustments | 43,372 | 388,320 | 41,885 | 426,747 | ||||||||||||||||||||||
Derivative instruments -Not Nettable | ||||||||||||||||||||||||||
Delivery Commitments (a) | 164 | — | 9 | 41 | ||||||||||||||||||||||
Total derivative assets and total derivative liabilities presented in the Statements of Condition | $ | 43,536 | $ | 388,320 | $ | 41,894 | $ | 426,788 | ||||||||||||||||||
Non-cash collateral received or pledged not offset | ||||||||||||||||||||||||||
Cannot be sold or repledged | ||||||||||||||||||||||||||
Bilateral OTC | $ | 3,905 | $ | — | $ | 7,368 | $ | — | ||||||||||||||||||
Delivery Commitments | 164 | — | 9 | — | ||||||||||||||||||||||
Total cannot be sold or repledged | 4,069 | — | 7,377 | — | ||||||||||||||||||||||
Net unsecured amount | ||||||||||||||||||||||||||
Bilateral OTC | 5,051 | 388,320 | 34,517 | 426,788 | ||||||||||||||||||||||
Cleared derivatives | 34,416 | — | — | — | ||||||||||||||||||||||
Total Net unsecured amount (b) | $ | 39,467 | $ | 388,320 | $ | 34,517 | $ | 426,788 | ||||||||||||||||||
(a) Derivative instruments without legal right of offset were synthetic derivatives representing forward mortgage delivery commitments of 45 days or less. It was operationally not practical to separate receivable from payables, and net presentation was adopted. No collateral was netted against the receivable or payable. | ||||||||||||||||||||||||||
(b) Unsecured amounts represent Derivative assets and liabilities recorded in the Statements of Condition at September 30, 2013 and December 31, 2012. The amounts primarily represent aggregate credit support thresholds that were waived under credit support agreements between the FHLBNY and derivative counterparties. | ||||||||||||||||||||||||||
Schedule of outstanding notional balances and estimated fair values of the derivatives | ' | |||||||||||||||||||||||||
The following tables represent outstanding notional balances and estimated fair values of the derivatives outstanding at September 30, 2013 and December 31, 2012 (in thousands): | ||||||||||||||||||||||||||
30-Sep-13 | ||||||||||||||||||||||||||
Notional Amount of | Derivative Assets | Derivative Liabilities | ||||||||||||||||||||||||
Derivatives | ||||||||||||||||||||||||||
Fair value of derivative instruments (a) | ||||||||||||||||||||||||||
Derivatives designated in hedging relationships | ||||||||||||||||||||||||||
Interest rate swaps-fair value hedges | $ | 74,711,711 | $ | 620,486 | $ | 2,648,132 | ||||||||||||||||||||
Interest rate swaps-cash flow hedges | 1,287,500 | 12,044 | 62,823 | |||||||||||||||||||||||
Total derivatives in hedging instruments | 75,999,211 | 632,530 | 2,710,955 | |||||||||||||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||||||||||||
Interest rate swaps | 28,524,270 | 11,120 | 4,631 | |||||||||||||||||||||||
Interest rate caps or floors | 2,700,000 | 25,364 | 11 | |||||||||||||||||||||||
Mortgage delivery commitments | 11,989 | 164 | — | |||||||||||||||||||||||
Other (b) | 410,000 | 4,272 | 4,065 | |||||||||||||||||||||||
Total derivatives not designated as hedging instruments | 31,646,259 | 40,920 | 8,707 | |||||||||||||||||||||||
Total derivatives before netting and collateral adjustments | $ | 107,645,470 | 673,450 | 2,719,662 | ||||||||||||||||||||||
Netting adjustments | (628,314 | ) | (628,314 | ) | ||||||||||||||||||||||
Net before cash collateral | 45,136 | 2,091,348 | ||||||||||||||||||||||||
Cash collateral and related accrued interest | (1,600 | ) | (1,703,028 | ) | ||||||||||||||||||||||
Net after cash collateral reported on the Statements of Condition | $ | 43,536 | $ | 388,320 | ||||||||||||||||||||||
31-Dec-12 | ||||||||||||||||||||||||||
Notional Amount of | Derivative Assets | Derivative Liabilities | ||||||||||||||||||||||||
Derivatives | ||||||||||||||||||||||||||
Fair value of derivative instruments (a) | ||||||||||||||||||||||||||
Derivatives designated in hedging relationships | ||||||||||||||||||||||||||
Interest rate swaps-fair value hedges | $ | 76,844,534 | $ | 925,635 | $ | 3,753,684 | ||||||||||||||||||||
Interest rate swaps-cash flow hedges | 1,106,000 | 1,647 | 126,426 | |||||||||||||||||||||||
Total derivatives in hedging instruments | 77,950,534 | 927,282 | 3,880,110 | |||||||||||||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||||||||||||
Interest rate swaps | 23,099,757 | 27,486 | 2,939 | |||||||||||||||||||||||
Interest rate caps or floors | 1,900,000 | 4,221 | 12 | |||||||||||||||||||||||
Mortgage delivery commitments | 25,217 | 9 | 41 | |||||||||||||||||||||||
Other (b) | 530,000 | 7,534 | 7,192 | |||||||||||||||||||||||
Total derivatives not designated as hedging instruments | 25,554,974 | 39,250 | 10,184 | |||||||||||||||||||||||
Total derivatives before netting and collateral adjustments | $ | 103,505,508 | 966,532 | 3,890,294 | ||||||||||||||||||||||
Netting adjustments | (916,938 | ) | (916,938 | ) | ||||||||||||||||||||||
Net before cash collateral | 49,594 | 2,973,356 | ||||||||||||||||||||||||
Cash collateral and related accrued interest | (7,700 | ) | (2,546,568 | ) | ||||||||||||||||||||||
Net after cash collateral reported on the Statements of Condition | $ | 41,894 | $ | 426,788 | ||||||||||||||||||||||
(a) All derivative assets and liabilities with swap dealers and counterparties are collateralized by cash; derivative instruments are subject to legal right of offset under master netting agreements, or in the absence of an agreement, the FHLBNY has been able to receive legal opinion that is has the rights to offset. | ||||||||||||||||||||||||||
(b) Other: Comprised of swaps intermediated for members. Notional amounts represent purchases from dealers and sales to members. | ||||||||||||||||||||||||||
Components of net gains/(losses) on derivatives and hedging activities as presented in the Statements of Income | ' | |||||||||||||||||||||||||
Components of net gains/ (losses) on derivatives and hedging activities as presented in the Statements of Income are summarized below (in thousands): | ||||||||||||||||||||||||||
Three months ended September 30, | Three months ended September 30, | |||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||
Gains (Losses) on | Gains (Losses) on | Earnings Impact | Effect of Derivatives on | Gains (Losses) on | Gains (Losses) on | Earnings Impact | Effect of Derivatives on | |||||||||||||||||||
Derivative | Hedged Item | Net Interest Income (a) | Derivative | Hedged Item | Net Interest Income (a) | |||||||||||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||
Advances (a) | $ | 36,195 | $ | (51,692 | ) | $ | (15,497 | ) | $ | (255,141 | ) | $ | (109,280 | ) | $ | 110,150 | $ | 870 | $ | (297,789 | ) | |||||
Consolidated obligations-bonds | (27,435 | ) | 27,233 | (202 | ) | 71,329 | (8,821 | ) | 8,963 | 142 | 78,561 | |||||||||||||||
Consolidated obligations-discount notes | — | — | — | — | (26 | ) | 6 | (20 | ) | 24 | ||||||||||||||||
Net gains (losses) related to fair value hedges (c) | 8,760 | (24,459 | ) | (15,699 | ) | $ | (183,812 | ) | (118,127 | ) | 119,119 | 992 | $ | (219,204 | ) | |||||||||||
Cash flow hedges | 46 | 46 | $ | (8,293 | ) | — | — | $ | (6,913 | ) | ||||||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||
Advances | 125 | 125 | 55 | 55 | ||||||||||||||||||||||
Consolidated obligations-bonds | (465 | ) | (465 | ) | 2,252 | 2,252 | ||||||||||||||||||||
Member intermediation | (44 | ) | (44 | ) | (24 | ) | (24 | ) | ||||||||||||||||||
Accrued interest-swaps (b) | 412 | 412 | 535 | 535 | ||||||||||||||||||||||
Accrued interest-intermediation (b) | 43 | 43 | 46 | 46 | ||||||||||||||||||||||
Caps or floors | ||||||||||||||||||||||||||
Advances | (19 | ) | (19 | ) | (19 | ) | (19 | ) | ||||||||||||||||||
Balance sheet hedges | (3,962 | ) | (3,962 | ) | (4,584 | ) | (4,584 | ) | ||||||||||||||||||
Mortgage delivery commitments | 258 | 258 | 101 | 101 | ||||||||||||||||||||||
Swaps economically hedging | ||||||||||||||||||||||||||
instruments designated under FVO | ||||||||||||||||||||||||||
Consolidated obligations-bonds | 3,864 | 3,864 | 11,276 | 11,276 | ||||||||||||||||||||||
Consolidated obligations-discount notes | 134 | 134 | 1,574 | 1,574 | ||||||||||||||||||||||
Accrued interest-swaps (b) | 3,215 | 3,215 | 2,751 | 2,751 | ||||||||||||||||||||||
Net gains related to derivatives not designated as hedging instruments | 3,561 | 3,561 | 13,963 | 13,963 | ||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | $ | 12,367 | $ | (24,459 | ) | $ | (12,092 | ) | $ | (104,164 | ) | $ | 119,119 | $ | 14,955 | |||||||||||
Nine months ended September 30, | Nine months ended September 30, | |||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||
Gains (Losses) on | Gains (Losses) on | Earnings Impact | Effect of Derivatives on | Gains (Losses) on | Gains (Losses) on | Earnings Impact | Effect of Derivatives on | |||||||||||||||||||
Derivative | Hedged Item | Net Interest Income (a) | Derivative | Hedged Item | Net Interest Income (a) | |||||||||||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||
Advances (a) | $ | 1,161,401 | $ | (1,162,494 | ) | $ | (1,093 | ) | $ | (784,460 | ) | $ | (113,036 | ) | $ | 114,841 | $ | 1,805 | $ | (912,868 | ) | |||||
Consolidated obligations-bonds | (417,307 | ) | 417,883 | 576 | 244,572 | (6,060 | ) | 7,258 | 1,198 | 249,106 | ||||||||||||||||
Consolidated obligations-discount notes | — | — | — | — | 67 | (1,467 | ) | (1,400 | ) | 1,237 | ||||||||||||||||
Net gains (losses) related to fair value hedges (c) | 744,094 | (744,611 | ) | (517 | ) | $ | (539,888 | ) | (119,029 | ) | 120,632 | 1,603 | $ | (662,525 | ) | |||||||||||
Cash flow hedges | (1 | ) | (1 | ) | $ | (23,142 | ) | (214 | ) | (214 | ) | $ | (19,356 | ) | ||||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||
Advances | 808 | 808 | 922 | 922 | ||||||||||||||||||||||
Consolidated obligations-bonds | (6,492 | ) | (6,492 | ) | 24,627 | 24,627 | ||||||||||||||||||||
Consolidated obligations-discount notes | — | — | (6 | ) | (6 | ) | ||||||||||||||||||||
Member intermediation | (134 | ) | (134 | ) | (112 | ) | (112 | ) | ||||||||||||||||||
Accrued interest-swaps (b) | 4,157 | 4,157 | (4,061 | ) | (4,061 | ) | ||||||||||||||||||||
Accrued interest-intermediation (b) | 134 | 134 | 138 | 138 | ||||||||||||||||||||||
Caps or floors | ||||||||||||||||||||||||||
Advances | (56 | ) | (56 | ) | (56 | ) | (56 | ) | ||||||||||||||||||
Balance sheet hedges | 976 | 976 | (11,772 | ) | (11,772 | ) | ||||||||||||||||||||
Mortgage delivery commitments | (1,651 | ) | (1,651 | ) | 1,428 | 1,428 | ||||||||||||||||||||
Swaps economically hedging instruments designated under FVO | ||||||||||||||||||||||||||
Consolidated obligations-bonds | (8,806 | ) | (8,806 | ) | 20,313 | 20,313 | ||||||||||||||||||||
Consolidated obligations-discount notes | (1,372 | ) | (1,372 | ) | 2,772 | 2,772 | ||||||||||||||||||||
Accrued interest-swaps (b) | 15,121 | 15,121 | 3,208 | 3,208 | ||||||||||||||||||||||
Net gains related to derivatives not designated as hedging instruments | 2,685 | 2,685 | 37,401 | 37,401 | ||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | $ | 746,778 | $ | (744,611 | ) | $ | 2,167 | $ | (81,842 | ) | $ | 120,632 | $ | 38,790 | ||||||||||||
(a) | As discussed in Note 1. reported amortization expenses of fair value basis of hedged advance that were modified have been reclassified in the three and nine months ended September 30, 2012 to conform to the classification adopted commencing in the fourth quarter of 2012. Prior to the fourth quarter of 2012, the amortization were reclassified as charges to Interest income from advances. The preferred reporting policy is to not reclassify the amortization to Interest income, rather to record the amortization as a Net realized and unrealized gains (losses) on derivatives and hedging activities. | |||||||||||||||||||||||||
(b) | Represents interest expense and income associated with swaps that did not qualify under hedge accounting rules and were included with derivatives gains and losses. | |||||||||||||||||||||||||
(c) | Out-of-period adjustments — Fair value net hedging losses of $12.1 million in the 3rd quarter 2013 were after recording a cumulative out-of-period negative adjustment of $17.2 million to correct overstated hedging gains in prior periods in 2013 and 2012. Fair value hedging gain of $2.2 million in the nine months ended September 30, 2013 includes an out-of-period negative adjustment of $5.0 million from 2012. A flaw in the design of a swap transaction input template introduced in late 2011 mapped a specific non-standard transaction term incorrectly to the Bank’s valuation system, causing erroneous valuation of call and put options in an interest rate swap with options. Net gains related to fair value hedges were over stated as follows - $0.3 million for the 3rd quarter of 2012; $4.7 million for the 4th quarter of 2012; $4.1 million for the 1st quarter of 2013, and $8.1 million for the 2nd quarter of 2013. | |||||||||||||||||||||||||
Schedule of effect of interest rate swaps in cash flow hedging relationships | ' | |||||||||||||||||||||||||
Components of net gains/ (losses) on derivatives and hedging activities as presented in the Statements of Income are summarized below (in thousands): | ||||||||||||||||||||||||||
Cash Flow Hedges | ||||||||||||||||||||||||||
Three months ended September 30, | ||||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||
AOCI | AOCI | |||||||||||||||||||||||||
Gains/(Losses) | Gains/(Losses) | |||||||||||||||||||||||||
Recognized in | Location: | Amount | Ineffectiveness | Recognized in | Location: | Amount | Ineffectiveness | |||||||||||||||||||
AOCI(c)(d) | Reclassified to | Reclassified to | Recognized in | AOCI(c)(d) | Reclassified to | Reclassified to | Recognized in | |||||||||||||||||||
Earnings (c) | Earnings (c) | Earnings | Earnings (c) | Earnings (c) | Earnings | |||||||||||||||||||||
Consolidated obligations-bonds (a) | $ | 261 | Interest Expense | $ | 780 | $ | 46 | $ | (113 | ) | Interest Expense | $ | 1,058 | $ | — | |||||||||||
Consolidated obligations-discount notes (b) | 1,175 | Interest Expense | — | — | (10,585 | ) | Interest Expense | — | — | |||||||||||||||||
$ | 1,436 | $ | 780 | $ | 46 | $ | (10,698 | ) | $ | 1,058 | $ | — | ||||||||||||||
Nine months ended September 30, | ||||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||
AOCI | AOCI | |||||||||||||||||||||||||
Gains/(Losses) | Gains/(Losses) | |||||||||||||||||||||||||
Recognized in | Location: | Amount | Ineffectiveness | Recognized in | Location: | Amount | Ineffectiveness | |||||||||||||||||||
AOCI(c)(d) | Reclassified to | Reclassified to | Recognized in | AOCI(c)(d) | Reclassified to | Reclassified to | Recognized in | |||||||||||||||||||
Earnings (c) | Earnings (c) | Earnings | Earnings (c) | Earnings (c) | Earnings | |||||||||||||||||||||
Consolidated obligations-bonds (a) | $ | 600 | Interest Expense | $ | 2,642 | $ | (1 | ) | $ | (2,095 | ) | Interest Expense | $ | 3,272 | $ | (214 | ) | |||||||||
Consolidated obligations-discount notes (b) | 74,874 | Interest Expense | — | — | (36,076 | ) | Interest Expense | — | — | |||||||||||||||||
$ | 75,474 | $ | 2,642 | $ | (1 | ) | $ | (38,171 | ) | $ | 3,272 | $ | (214 | ) | ||||||||||||
(a) Hedges of anticipated issuance of debt - The maximum period of time that the Bank typically hedges its exposure to the variability in future cash flows for forecasted transactions in this program is between three and nine months. At September 30, 2013 the Bank had open contracts of $31.5 millions of swaps to hedge the anticipated issuances of debt. The fair values of the open contracts recorded in AOCI was an unrealized loss of $0.9 million at September 30, 2013. There were no open contracts at December 31, 2012. The amounts in AOCI from closed cash flow hedges representing net unrecognized losses were $9.1 million and $12.3 million at September 30, 2013 and December 31, 2012. At September 30, 2013, it is expected that over the next 12 months, $2.9 million of the unrecognized losses in AOCI will be recognized as a yield adjustment (expenses) to consolidated bond interest expense. | ||||||||||||||||||||||||||
(b) Hedges of discount notes in rolling issuances — At September 30, 2013 and December 31, 2012, $1.3 billion and $1.1 billion of notional amounts of the interest rate swaps were outstanding under this program. Net unrealized fair values losses of $49.9 million and $124.8 million were recorded in AOCI at those dates. The cash flow hedges mitigated exposure to the variability in future cash flows for a maximum period of 15 years. Rising long-term swap rates at September 30, 2013, relative to December 31, 2012, caused fair value losses to decline. The FHLBNY’s cash payments are fixed, and in return it receives LIBOR-indexed floating rate cash flows; in a rising rate environment, the amount of forecasted cash flows that it would potentially receive grow larger effectively reducing unrealized losses. | ||||||||||||||||||||||||||
(c) Effective portion was recorded in AOCI. Ineffectiveness was immaterial and was recorded within Net income. | ||||||||||||||||||||||||||
(d) Represents unrecognized loss from cash flow hedges recorded in AOCI. |
Fair_Values_of_Financial_Instr1
Fair Values of Financial Instruments. (Tables) | 9 Months Ended | |||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||
Fair Values of Financial Instruments. | ' | |||||||||||||||||||
Schedule of carrying values, estimated fair values and, for the current period, levels within the fair value hierarchy of financial instruments | ' | |||||||||||||||||||
The carrying values, estimated fair values and the levels within the fair value hierarchy were as follows (in thousands): | ||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||
Estimated Fair Value | ||||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 (a) | Netting | ||||||||||||||
Adjustment and | ||||||||||||||||||||
Cash Collateral | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Cash and due from banks | $ | 11,520,885 | $ | 11,520,885 | $ | 11,520,885 | $ | — | $ | — | $ | — | ||||||||
Federal funds sold | 4,878,000 | 4,877,996 | — | 4,877,996 | — | — | ||||||||||||||
Available-for-sale-securities | 1,689,241 | 1,689,241 | 10,039 | 1,679,202 | — | — | ||||||||||||||
Held-to-maturity securities | 12,002,497 | 12,126,236 | — | 10,961,322 | 1,164,914 | — | ||||||||||||||
Advances | 89,121,435 | 89,030,966 | — | 89,030,966 | — | — | ||||||||||||||
Mortgage loans held-for-portfolio, net | 1,932,855 | 1,939,187 | — | 1,939,187 | — | — | ||||||||||||||
Accrued interest receivable | 171,895 | 171,895 | — | 171,895 | — | — | ||||||||||||||
Derivative assets | 43,536 | 43,536 | — | 673,450 | — | (629,914 | ) | |||||||||||||
Other financial assets | 1,621 | 1,621 | — | 510 | 1,111 | — | ||||||||||||||
Liabilities | ||||||||||||||||||||
Deposits | 1,590,933 | 1,590,950 | — | 1,590,950 | — | — | ||||||||||||||
Consolidated obligations | ||||||||||||||||||||
Bonds | 70,361,388 | 70,062,162 | — | 70,062,162 | — | — | ||||||||||||||
Discount notes | 42,262,116 | 42,264,081 | — | 42,264,081 | — | — | ||||||||||||||
Mandatorily redeemable capital stock | 23,618 | 23,618 | 23,618 | — | — | — | ||||||||||||||
Accrued interest payable | 143,900 | 143,900 | — | 143,900 | — | — | ||||||||||||||
Derivative liabilities | 388,320 | 388,320 | — | 2,719,663 | — | (2,331,343 | ) | |||||||||||||
Other financial liabilities | 93,046 | 93,046 | 93,046 | — | — | — | ||||||||||||||
December 31, 2012 | ||||||||||||||||||||
Estimated Fair Value | ||||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 (a) | Netting | ||||||||||||||
Adjustment and | ||||||||||||||||||||
Cash Collateral | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Cash and due from banks | $ | 7,553,188 | $ | 7,553,188 | $ | 7,553,188 | $ | — | $ | — | $ | — | ||||||||
Federal funds sold | 4,091,000 | 4,091,010 | — | 4,091,010 | — | — | ||||||||||||||
Available-for-sale-securities | 2,308,774 | 2,308,774 | 9,633 | 2,299,141 | — | — | ||||||||||||||
Held-to-maturity securities | 11,058,764 | 11,456,556 | — | 10,202,124 | 1,254,432 | — | ||||||||||||||
Advances | 75,888,001 | 75,880,070 | — | 75,880,070 | — | — | ||||||||||||||
Mortgage loans held-for-portfolio, net | 1,842,816 | 1,931,437 | — | 1,931,437 | — | — | ||||||||||||||
Accrued interest receivable | 179,044 | 179,044 | — | 179,044 | — | — | ||||||||||||||
Derivative assets | 41,894 | 41,894 | — | 966,532 | — | (924,638 | ) | |||||||||||||
Other financial assets | 533 | 533 | — | 364 | 169 | — | ||||||||||||||
Liabilities | ||||||||||||||||||||
Deposits | 2,054,511 | 2,054,523 | — | 2,054,523 | — | — | ||||||||||||||
Consolidated obligations | ||||||||||||||||||||
Bonds | 64,784,321 | 64,942,869 | — | 64,942,869 | — | — | ||||||||||||||
Discount notes | 29,779,947 | 29,781,720 | — | 29,781,720 | — | — | ||||||||||||||
Mandatorily redeemable capital stock | 23,143 | 23,143 | 23,143 | — | — | — | ||||||||||||||
Accrued interest payable | 127,664 | 127,664 | — | 127,664 | — | — | ||||||||||||||
Derivative liabilities | 426,788 | 426,788 | — | 3,890,295 | — | (3,463,507 | ) | |||||||||||||
Other financial liabilities | 85,079 | 85,079 | 85,079 | — | — | — | ||||||||||||||
(a) Level 3 Instruments — The fair values of 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 so that the inputs may not be market based and observable. | ||||||||||||||||||||
Items Measured at Fair Value on a Recurring Basis | ' | |||||||||||||||||||
Items Measured at Fair Value on a Recurring Basis (in thousands): | ||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Netting | ||||||||||||||||
Adjustment and Cash | ||||||||||||||||||||
Collateral | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||
GSE/U.S. agency issued MBS | $ | 1,679,202 | $ | — | $ | 1,679,202 | $ | — | $ | — | ||||||||||
Equity and bond funds | 10,039 | 10,039 | — | — | — | |||||||||||||||
Advances (to the extent FVO is elected) | 17,707,659 | — | 17,707,659 | — | — | |||||||||||||||
Derivative assets(a) | ||||||||||||||||||||
Interest-rate derivatives | 43,372 | — | 673,286 | — | (629,914 | ) | ||||||||||||||
Mortgage delivery commitments | 164 | — | 164 | — | — | |||||||||||||||
Total recurring fair value measurement - assets | $ | 19,440,436 | $ | 10,039 | $ | 20,060,311 | $ | — | $ | (629,914 | ) | |||||||||
Liabilities | ||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||
Discount notes (to the extent FVO is elected) | $ | (599,719 | ) | $ | — | $ | (599,719 | ) | $ | — | $ | — | ||||||||
Bonds (to the extent FVO is elected) (b) | (21,919,327 | ) | — | (21,919,327 | ) | — | — | |||||||||||||
Derivative liabilities(a) | ||||||||||||||||||||
Interest-rate derivatives | (388,320 | ) | — | (2,719,663 | ) | — | 2,331,343 | |||||||||||||
Total recurring fair value measurement - liabilities | $ | (22,907,366 | ) | $ | — | $ | (25,238,709 | ) | $ | — | $ | 2,331,343 | ||||||||
December 31, 2012 | ||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Netting | ||||||||||||||||
Adjustment and Cash | ||||||||||||||||||||
Collateral | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||
GSE/U.S. agency issued MBS | $ | 2,299,141 | $ | — | $ | 2,299,141 | $ | — | $ | — | ||||||||||
Equity and bond funds | 9,633 | 9,633 | — | — | — | |||||||||||||||
Advances (to the extent FVO is elected) | 500,502 | — | 500,502 | — | — | |||||||||||||||
Derivative assets(a) | ||||||||||||||||||||
Interest-rate derivatives | 41,885 | — | 966,523 | — | (924,638 | ) | ||||||||||||||
Mortgage delivery commitments | 9 | — | 9 | — | — | |||||||||||||||
Total recurring fair value measurement - assets | $ | 2,851,170 | $ | 9,633 | $ | 3,766,175 | $ | — | $ | (924,638 | ) | |||||||||
Liabilities | ||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||
Discount notes (to the extent FVO is elected) | $ | (1,948,987 | ) | $ | — | $ | (1,948,987 | ) | $ | — | $ | — | ||||||||
Bonds (to the extent FVO is elected) (b) | (12,740,883 | ) | — | (12,740,883 | ) | — | — | |||||||||||||
Derivative liabilities(a) | ||||||||||||||||||||
Interest-rate derivatives | (426,747 | ) | — | (3,890,254 | ) | — | 3,463,507 | |||||||||||||
Mortgage delivery commitments | (41 | ) | — | (41 | ) | — | — | |||||||||||||
Total recurring fair value measurement - liabilities | $ | (15,116,658 | ) | $ | — | $ | (18,580,165 | ) | $ | — | $ | 3,463,507 | ||||||||
(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 the fair values of PLMBS for which a non-recurring change in fair value was recorded | ' | |||||||||||||||||||
Items Measured at Fair Value on a Nonrecurring Basis (in thousands): | ||||||||||||||||||||
December 31, 2012 | ||||||||||||||||||||
Fair Value (a) | Level 1 | Level 2 | Level 3 (b) | |||||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||
RMBS-Prime | $ | 7,045 | $ | — | $ | — | $ | 7,045 | ||||||||||||
Total non-recurring assets at fair value | $ | 7,045 | $ | — | $ | — | $ | 7,045 | ||||||||||||
(a) | Fair values were developed by pricing vendors and reviewed by the FHLBNY. | |||||||||||||||||||
(b) | Level 3 Instruments — The fair values of private-label MBS determined OTTI at December 31, 2012 (and all private-label MBS) were based on pricing services. In management’s view, valuations may have required pricing services to use significant inputs that were subjective because of the current lack of significant market activity so that the inputs may not be market based and observable. | |||||||||||||||||||
Summary of activity related to financial instruments for which the Bank elected the Fair Value Option | ' | |||||||||||||||||||
The following tables summarize the activity related to financial instruments for which the Bank elected the fair value option (in thousands): | ||||||||||||||||||||
Three months ended September 30, | ||||||||||||||||||||
2013 | 2013 | 2012 | 2013 | 2012 | ||||||||||||||||
Advances (a) | Consolidated Bonds | Consolidated Discount Notes | ||||||||||||||||||
Balance, beginning of the period | $ | 11,702,541 | $ | (19,310,729 | ) | $ | (20,233,312 | ) | $ | (963,072 | ) | $ | (1,595,484 | ) | ||||||
New transactions elected for fair value option | 6,000,000 | (6,850,000 | ) | — | — | (300,507 | ) | |||||||||||||
Maturities and terminations | — | 4,250,000 | 6,000,000 | 363,092 | 199,874 | |||||||||||||||
Net gains (losses) on financial instruments held | 2,142 | (7,276 | ) | (8,331 | ) | (334 | ) | (1,068 | ) | |||||||||||
under fair value option | ||||||||||||||||||||
Change in accrued interest/unaccreted balance | 2,976 | (1,322 | ) | (1,566 | ) | 595 | (937 | ) | ||||||||||||
Balance, end of the period | $ | 17,707,659 | $ | (21,919,327 | ) | $ | (14,243,209 | ) | $ | (599,719 | ) | $ | (1,698,122 | ) | ||||||
Nine months ended September 30, | ||||||||||||||||||||
2013 | 2013 | 2012 | 2013 | 2012 | ||||||||||||||||
Advances (a) | Consolidated Bonds | Consolidated Discount Notes | ||||||||||||||||||
Balance, beginning of the period | $ | 500,502 | $ | (12,740,883 | ) | $ | (12,542,603 | ) | $ | (1,948,987 | ) | $ | (4,920,855 | ) | ||||||
New transactions elected for fair value option | 17,200,000 | (21,910,000 | ) | (18,793,000 | ) | (598,910 | ) | (1,895,772 | ) | |||||||||||
Maturities and terminations | 12,728,000 | 17,095,000 | 1,945,744 | 5,117,046 | ||||||||||||||||
Net gains (losses) on financial instruments held | 1,811 | 3,217 | (63 | ) | 426 | (32 | ) | |||||||||||||
under fair value option | ||||||||||||||||||||
Change in accrued interest/unaccreted balance | 5,346 | 339 | (2,543 | ) | 2,008 | 1,491 | ||||||||||||||
Balance, end of the period | $ | 17,707,659 | $ | (21,919,327 | ) | $ | (14,243,209 | ) | $ | (599,719 | ) | $ | (1,698,122 | ) | ||||||
(a) No Advances were designated under the FVO for three and nine months ended September 30, 2012. | ||||||||||||||||||||
Schedule of change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected | ' | |||||||||||||||||||
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 September 30, 2013 | Nine months ended September 30, 2013 | |||||||||||||||||||
Interest Income | Net Gains Due to | Total Change in Fair | Interest Income | Net Gains Due to | Total Change in Fair | |||||||||||||||
Changes in Fair | Value Included in Current | Changes in Fair | Value Included in Current | |||||||||||||||||
Value | Period Earnings | Value | Period Earnings | |||||||||||||||||
Advances (a) | $ | 14,334 | $ | 2,142 | $ | 16,476 | $ | 18,077 | $ | 1,811 | $ | 19,888 | ||||||||
(a) No Advances were designated under the FVO for three and nine months ended September 30, 2012. | ||||||||||||||||||||
Three months ended September 30, | ||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||
Interest Expense | Net Losses Due to | Total Change in Fair Value | Interest Expense | Net Losses Due to | Total Change in Fair Value | |||||||||||||||
Changes in Fair | Included in Current Period | Changes in Fair | Included in Current Period | |||||||||||||||||
Value | Earnings | Value | Earnings | |||||||||||||||||
Consolidated obligations-bonds | $ | (7,335 | ) | $ | (7,276 | ) | $ | (14,611 | ) | $ | (9,818 | ) | $ | (8,331 | ) | $ | (18,149 | ) | ||
Consolidated obligations-discount notes | (314 | ) | (334 | ) | (648 | ) | (1,061 | ) | (1,068 | ) | (2,129 | ) | ||||||||
$ | (7,649 | ) | $ | (7,610 | ) | $ | (15,259 | ) | $ | (10,879 | ) | $ | (9,399 | ) | $ | (20,278 | ) | |||
Nine months ended September 30, | ||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||
Interest Expense | Net Losses Due to | Total Change in Fair Value | Interest Expense | Net Losses Due to | Total Change in Fair Value | |||||||||||||||
Changes in Fair | Included in Current Period | Changes in Fair | Included in Current Period | |||||||||||||||||
Value | Earnings | Value | Earnings | |||||||||||||||||
Consolidated obligations-bonds | $ | (20,047 | ) | $ | 3,217 | $ | (16,830 | ) | $ | (24,424 | ) | $ | (63 | ) | $ | (24,487 | ) | |||
Consolidated obligations-discount notes | (2,251 | ) | 426 | (1,825 | ) | (2,404 | ) | (32 | ) | (2,436 | ) | |||||||||
$ | (22,298 | ) | $ | 3,643 | $ | (18,655 | ) | $ | (26,828 | ) | $ | (95 | ) | $ | (26,923 | ) | ||||
Schedule of comparison of aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the Fair Value Option has been elected | ' | |||||||||||||||||||
The following table compares the aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected (in thousands): | ||||||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||||||
Aggregate Unpaid | Aggregate Fair | Fair Value | Aggregate Unpaid | Aggregate Fair | Fair Value | |||||||||||||||
Principal Balance | Value | Over/(Under) | Principal Balance | Value | Over/(Under) | |||||||||||||||
Aggregate Unpaid | Aggregate Unpaid | |||||||||||||||||||
Principal Balance | Principal Balance | |||||||||||||||||||
Advances | $ | 17,700,000 | $ | 17,707,659 | $ | 7,659 | $ | 500,000 | $ | 500,502 | $ | 502 | ||||||||
Consolidated obligations-bonds | $ | 21,910,000 | $ | 21,919,327 | $ | 9,327 | $ | 12,728,000 | $ | 12,740,883 | $ | 12,883 | ||||||||
Consolidated obligations-discount notes | 598,910 | 599,719 | 809 | 1,945,744 | 1,948,987 | 3,243 | ||||||||||||||
$ | 22,508,910 | $ | 22,519,046 | $ | 10,136 | $ | 14,673,744 | $ | 14,689,870 | $ | 16,126 |
Commitments_and_Contingencies_
Commitments and Contingencies. (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Commitments and Contingencies. | ' | ||||||||||||||||
Schedule of contractual obligations and contingencies | ' | ||||||||||||||||
The following table summarizes contractual obligations and contingencies as of September 30, 2013 (in thousands): | |||||||||||||||||
September 30, 2013 | |||||||||||||||||
Payments Due or Expiration Terms by Period | |||||||||||||||||
Greater Than | Greater Than | ||||||||||||||||
Less Than | One Year | Three Years | Greater Than | ||||||||||||||
One Year | to Three Years | to Five Years | Five Years | Total | |||||||||||||
Contractual Obligations | |||||||||||||||||
Consolidated obligations-bonds at par (a) | $ | 42,867,425 | $ | 14,451,030 | $ | 4,465,860 | $ | 8,073,135 | $ | 69,857,450 | |||||||
Long-term debt obligations-interest payments (a) | 192,090 | 163,827 | 77,498 | 183,315 | 616,730 | ||||||||||||
Mandatorily redeemable capital stock (a) | 4,081 | 226 | 16,528 | 2,783 | 23,618 | ||||||||||||
Other liabilities (b) | 111,133 | 4,235 | 4,727 | 50,859 | 170,954 | ||||||||||||
Total contractual obligations | 43,174,729 | 14,619,318 | 4,564,613 | 8,310,092 | 70,668,752 | ||||||||||||
Other commitments | |||||||||||||||||
Standby letters of credit | 7,775,821 | 183,847 | 18,684 | 3,861 | 7,982,213 | ||||||||||||
Consolidated obligations-bonds/discount notes | |||||||||||||||||
traded not settled | 859,000 | — | — | — | 859,000 | ||||||||||||
Open delivery commitments (MPF) | 11,989 | — | — | — | 11,989 | ||||||||||||
Total other commitments | 8,646,810 | 183,847 | 18,684 | 3,861 | 8,853,202 | ||||||||||||
Total obligations and commitments | $ | 51,821,539 | $ | 14,803,165 | $ | 4,583,297 | $ | 8,313,953 | $ | 79,521,954 | |||||||
(a) Contractual obligations related to interest payments on long-term debt are calculated by applying the weighted average interest rate on the FHLBNY’s outstanding long-term debt as of September 30, 2013 to the contractual payment obligations on long-term debt for each of the periods disclosed in the table. At September 30, 2013, the FHLBNY’s overall weighted average contractual interest rate for long-term debt was 0.88%. Callable bonds contain an exercise date or a series of exercise dates that may result in a shorter redemption period. Mandatorily redeemable capital stock is categorized by the dates at which the corresponding member obligations mature. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock, under which stock may not be redeemed until the later of five years from the date the member becomes a nonmember or the related advance matures. | |||||||||||||||||
(b) Includes accounts payable and accrued expenses, Pass-through reserves at the FRB on behalf of certain members of the FHLBNY recorded in Other liabilities on the Statements of Condition. Also includes projected payment obligations for the Postretirement Health Benefit Plan and Benefit Equalization Plan. For more information about these employee retirement plans, see Note 15. Employee Retirement Plans. |
Related_Party_Transactions_Tab
Related Party Transactions. (Tables) | 9 Months Ended | |||||||||||||
Sep. 30, 2013 | ||||||||||||||
Related Party Transactions. | ' | |||||||||||||
Schedule of outstanding balances with related parties | ' | |||||||||||||
The following tables summarize outstanding balances with related parties at September 30, 2013 and December 31, 2012 (in thousands): | ||||||||||||||
Related Party: Outstanding Assets, Liabilities and Capital | ||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||
Assets | ||||||||||||||
Cash and due from banks | $ | — | $ | 11,520,885 | $ | — | $ | 7,553,188 | ||||||
Federal funds sold | — | 4,878,000 | — | 4,091,000 | ||||||||||
Available-for-sale securities | — | 1,689,241 | — | 2,308,774 | ||||||||||
Held-to-maturity securities | — | 12,002,497 | — | 11,058,764 | ||||||||||
Advances | 89,121,435 | — | 75,888,001 | — | ||||||||||
Mortgage loans (a) | — | 1,932,855 | — | 1,842,816 | ||||||||||
Accrued interest receivable | 141,295 | 30,600 | 150,907 | 28,137 | ||||||||||
Premises, software, and equipment | — | 12,031 | — | 11,576 | ||||||||||
Derivative assets (b) | — | 43,536 | — | 41,894 | ||||||||||
Other assets (c) | 438 | 13,326 | 150 | 13,593 | ||||||||||
Total assets | $ | 89,263,168 | $ | 32,122,971 | $ | 76,039,058 | $ | 26,949,742 | ||||||
Liabilities and capital | ||||||||||||||
Deposits | $ | 1,590,933 | $ | — | $ | 2,054,511 | $ | — | ||||||
Consolidated obligations | — | 112,623,504 | — | 94,564,268 | ||||||||||
Mandatorily redeemable capital stock | 23,618 | — | 23,143 | — | ||||||||||
Accrued interest payable | 31 | 143,869 | 25 | 127,639 | ||||||||||
Affordable Housing Program (d) | 119,786 | — | 134,942 | — | ||||||||||
Derivative liabilities (b) | — | 388,320 | — | 426,788 | ||||||||||
Other liabilities (e) | 93,046 | 77,908 | 85,079 | 80,576 | ||||||||||
Total liabilities | 1,827,414 | 113,233,601 | 2,297,700 | 95,199,271 | ||||||||||
Total capital | 6,325,124 | — | 5,491,829 | — | ||||||||||
Total liabilities and capital | $ | 8,152,538 | $ | 113,233,601 | $ | 7,789,529 | $ | 95,199,271 | ||||||
(a) | Includes insignificant amounts of mortgage loans purchased from members of another FHLBank. | |||||||||||||
(b) | Derivative transactions with Citibank, N.A., a member that is a derivatives dealer counterparty, were at market terms and in the ordinary course of the FHLBNY’s business — At September 30, 2013, notional amounts outstanding were $5.6 billion, net fair value after posting $93.0 million cash collateral was a net derivative liability of $26.6 million. At December 31, 2012, notional amounts outstanding were $3.5 billion; net fair value after posting $124.7 million cash collateral was a net derivative liability of $25.2 million. The derivative transaction with Citibank, N.A. resulted in interest expense of $9.9 million and $28.8 million in the three and nine months ended September 30, 2013. Also, includes insignificant fair values due to intermediation activities on behalf of other members with derivative dealers. | |||||||||||||
(c) | Includes insignificant amounts of miscellaneous assets that are considered related party. | |||||||||||||
(d) | Represents funds not yet disbursed to eligible programs. | |||||||||||||
(e) | Related column includes member pass-through reserves at the Federal Reserve Bank. | |||||||||||||
Schedule of transactions with related parties | ' | |||||||||||||
The following tables summarize related parties transactions for the three and nine months ended September 30, 2013 and 2012 (in thousands): | ||||||||||||||
Three months ended | ||||||||||||||
September 30, 2013 | September 30, 2012 | |||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||
Interest income | ||||||||||||||
Advances | $ | 113,623 | $ | — | $ | 133,412 | $ | — | ||||||
Interest-bearing deposits (a) | — | 313 | — | 971 | ||||||||||
Federal funds sold | — | 2,335 | — | 4,272 | ||||||||||
Available-for-sale securities | — | 3,887 | — | 5,731 | ||||||||||
Held-to-maturity securities | — | 60,335 | — | 68,309 | ||||||||||
Mortgage loans held-for-portfolio (b) | — | 17,026 | — | 16,461 | ||||||||||
Loans to other FHLBanks | 5 | — | 1 | — | ||||||||||
Total interest income | $ | 113,628 | $ | 83,896 | $ | 133,413 | $ | 95,744 | ||||||
Interest expense | ||||||||||||||
Consolidated obligations | $ | — | $ | 91,177 | $ | — | $ | 111,109 | ||||||
Deposits | 134 | — | 150 | — | ||||||||||
Mandatorily redeemable capital stock | 250 | — | 398 | — | ||||||||||
Cash collateral held and other borrowings | — | — | — | 4 | ||||||||||
Total interest expense | $ | 384 | $ | 91,177 | $ | 548 | $ | 111,113 | ||||||
Service fees and other | $ | 2,101 | $ | 413 | $ | 2,050 | $ | 583 | ||||||
Nine months ended | ||||||||||||||
September 30, 2013 | September 30, 2012 | |||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||
Interest income | ||||||||||||||
Advances | $ | 324,396 | $ | — | $ | 405,069 | $ | — | ||||||
Interest-bearing deposits (a) | — | 1,712 | — | 2,593 | ||||||||||
Federal funds sold | — | 9,731 | — | 11,075 | ||||||||||
Available-for-sale securities | — | 12,998 | — | 18,503 | ||||||||||
Held-to-maturity securities | — | 178,509 | — | 207,244 | ||||||||||
Mortgage loans held-for-portfolio (b) | — | 50,832 | — | 48,626 | ||||||||||
Loans to other FHLBanks | 23 | — | 3 | — | ||||||||||
Total interest income | $ | 324,419 | $ | 253,782 | $ | 405,072 | $ | 288,041 | ||||||
Interest expense | ||||||||||||||
Consolidated obligations | $ | — | $ | 272,837 | $ | — | $ | 331,282 | ||||||
Deposits | 445 | — | 572 | — | ||||||||||
Mandatorily redeemable capital stock | 732 | — | 1,572 | — | ||||||||||
Cash collateral held and other borrowings | — | 4 | — | 28 | ||||||||||
Total interest expense | $ | 1,177 | $ | 272,841 | $ | 2,144 | $ | 331,310 | ||||||
Service fees and other | $ | 6,789 | $ | 664 | $ | 5,867 | $ | 821 | ||||||
(a) | Includes insignificant amounts of interest income from MPF service provider (FHLBank of Chicago); includes insignificant amounts of derivative transaction with Citibank, N.A. (a member of the FHLBNY) due to posting of cash collateral with respect to derivative contracts in which Citibank acted as a swap dealer. | |||||||||||||
(b) | Includes immaterial amounts of mortgage interest income from loans purchased from members of another FHLBank. |
Segment_Information_and_Concen1
Segment Information and Concentration. (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Par Value of Advances | Credit concentration risk | ' | ||||||||||||||||
Concentrations | ' | ||||||||||||||||
Summary of concentration | ' | ||||||||||||||||
The top ten advance holders at September 30, 2013, December 31, 2012 and September 30, 2012 and associated interest income for the periods then ended are summarized as follows (dollars in thousands): | |||||||||||||||||
September 30, 2013 | |||||||||||||||||
Percentage of | |||||||||||||||||
Par | Total Par Value | Interest Income | |||||||||||||||
City | State | Advances | of Advances | Three Months | Nine Months | ||||||||||||
Citibank, N.A. | New York | NY | $ | 21,700,000 | 25.01 | % | $ | 21,619 | $ | 42,344 | |||||||
Metropolitan Life Insurance Company | New York | NY | 12,770,000 | 14.72 | 55,970 | 184,500 | |||||||||||
New York Community Bank* | Westbury | NY | 10,193,134 | 11.75 | 61,535 | 181,218 | |||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | 6,025,000 | 6.94 | 72,988 | 216,585 | |||||||||||
First Niagara Bank, National Association | Buffalo | NY | 3,600,000 | 4.15 | 3,858 | 9,908 | |||||||||||
Investors Bank | Short Hills | NJ | 3,591,000 | 4.14 | 14,535 | 43,851 | |||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 2,476,000 | 2.85 | 11,849 | 39,196 | |||||||||||
The Prudential Insurance Co. of America | Newark | NJ | 2,325,000 | 2.68 | 11,653 | 34,992 | |||||||||||
Valley National Bank | Wayne | NJ | 2,074,500 | 2.39 | 20,480 | 60,777 | |||||||||||
Signature Bank | New York | NY | 1,820,313 | 2.1 | 2,153 | 4,803 | |||||||||||
Total | $ | 66,574,947 | 76.73 | % | $ | 276,640 | $ | 818,174 | |||||||||
* At September 30, 2013, officer of member bank also served on the Board of Directors of the FHLBNY. | |||||||||||||||||
December 31, 2012 | |||||||||||||||||
Percentage of | |||||||||||||||||
Par | Total Par Value | Twelve Months | |||||||||||||||
City | State | Advances | of Advances | Interest Income | |||||||||||||
Metropolitan Life Insurance Company | New York | NY | $ | 13,512,000 | 18.69 | % | $ | 290,223 | |||||||||
Citibank, N.A. | New York | NY | 12,070,000 | 16.7 | 31,422 | ||||||||||||
New York Community Bank* | Westbury | NY | 8,293,143 | 11.47 | 302,229 | ||||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | 6,025,000 | 8.33 | 302,559 | ||||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 2,897,000 | 4.01 | 62,676 | ||||||||||||
Investors Bank | Short Hills | NJ | 2,700,500 | 3.74 | 57,780 | ||||||||||||
First Niagara Bank, National Association | Buffalo | NY | 2,438,500 | 3.37 | 10,851 | ||||||||||||
The Prudential Insurance Co. of America | Newark | NJ | 2,325,000 | 3.22 | 50,142 | ||||||||||||
Valley National Bank | Wayne | NJ | 2,075,500 | 2.87 | 83,143 | ||||||||||||
New York Life Insurance Company | New York | NY | 1,350,000 | 1.87 | 13,764 | ||||||||||||
Total | $ | 53,686,643 | 74.27 | % | $ | 1,204,789 | |||||||||||
* At December 31, 2012, officer of member bank also served on the Board of Directors of the FHLBNY. | |||||||||||||||||
September 30, 2012 | |||||||||||||||||
Percentage of | |||||||||||||||||
Par | Total Par Value | Interest Income | |||||||||||||||
City | State | Advances | of Advances | Three Months | Nine Months | ||||||||||||
Metropolitan Life Insurance Company | New York | NY | $ | 13,547,000 | 18.33 | % | $ | 75,420 | $ | 217,271 | |||||||
Citibank, N.A. | New York | NY | 13,245,000 | 17.92 | 16,343 | 20,165 | |||||||||||
New York Community Bank* | Westbury | NY | 8,243,146 | 11.15 | 75,830 | 227,135 | |||||||||||
Hudson City Savings Bank, FSB* | Paramus | NJ | 6,775,000 | 9.17 | 75,280 | 228,924 | |||||||||||
Astoria Federal Savings and Loan Assn. | Lake Success | NY | 3,133,000 | 4.24 | 15,979 | 47,148 | |||||||||||
The Prudential Insurance Co. of America | Newark | NJ | 2,424,000 | 3.28 | 12,397 | 37,812 | |||||||||||
Investors Bank | Short Hills | NJ | 2,311,000 | 3.13 | 14,576 | 43,415 | |||||||||||
Valley National Bank | Wayne | NJ | 2,226,500 | 3.01 | 20,983 | 62,622 | |||||||||||
Banco Popular de Puerto Rico | San Juan | PR | 1,707,500 | 2.31 | 5,834 | 16,500 | |||||||||||
First Niagara Bank, National Association | Buffalo | NY | 1,380,800 | 1.87 | 1,020 | 9,057 | |||||||||||
Total | $ | 54,992,946 | 74.41 | % | $ | 313,662 | $ | 910,049 | |||||||||
* At September 30, 2012, officer of member bank also served on the Board of Directors of the FHLBNY. | |||||||||||||||||
Outstanding Capital Stock Shares | Shareholder balances | ' | ||||||||||||||||
Concentrations | ' | ||||||||||||||||
Summary of concentration | ' | ||||||||||||||||
The following tables summarize capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY’s outstanding capital stock as of September 30, 2013 and December 31, 2012 (shares in thousands): | |||||||||||||||||
Number | Percent | ||||||||||||||||
September 30, 2013 | of Shares | of Total | |||||||||||||||
Name of Beneficial Owner | Principal Executive Office Address | Owned | Capital Stock | ||||||||||||||
Citibank, N.A. | 399 Park Avenue, New York, NY 10043 | 13,627 | 24.75 | ||||||||||||||
Metropolitan Life Insurance Company | 200 Park Avenue, New York, NY 10166 | 6,997 | 12.71 | ||||||||||||||
New York Community Bank* | 615 Merrick Avenue, Westbury, NY 11590 | 5,201 | 9.45 | ||||||||||||||
Hudson City Savings Bank, FSB* | West 80 Century Road, Paramus, NJ 07652 | 3,471 | 6.3 | ||||||||||||||
29,296 | 53.21 | % | |||||||||||||||
Number | Percent | ||||||||||||||||
December 31, 2012 | of Shares | of Total | |||||||||||||||
Name of Beneficial Owner | Principal Executive Office Address | Owned | Capital Stock | ||||||||||||||
Citibank, N.A. | 399 Park Avenue, New York, NY 10043 | 9,166 | 19.02 | % | |||||||||||||
Metropolitan Life Insurance Company | 200 Park Avenue, New York, NY 10166 | 7,347 | 15.24 | ||||||||||||||
New York Community Bank* | 615 Merrick Avenue, Westbury, NY 11590 | 4,337 | 9 | ||||||||||||||
Hudson City Savings Bank, FSB* | West 80 Century Road, Paramus, NJ 07652 | 3,565 | 7.39 | ||||||||||||||
24,415 | 50.65 | % | |||||||||||||||
* At September 30, 2013 and December 31, 2012, officer of member bank also served on the Board of Directors of the FHLBNY. |
Background_Tax_Status_Assessme1
Background, Tax Status, Assessments and Basis of Presentation (Details) (USD $) | 9 Months Ended |
In Millions, unless otherwise specified | Sep. 30, 2013 |
Item | |
Background, Tax Status, Assessments and Basis of Presentation | ' |
Number of Federal Home Loan Banks in a defined geographic district | 1 |
Number of Federal Home Loan Banks | 12 |
Minimum amount annually set aside for Affordable Housing Program | $100 |
Minimum amount annually set aside for Affordable Housing Program as a percentage of the regulatory defined net income (as a percent) | 10.00% |
Significant_Accounting_Policie3
Significant Accounting Policies and Estimates. (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |
Interest income | ' | ' | ' | ' |
Advances | $113,623,000 | $133,412,000 | $324,396,000 | $405,069,000 |
Total interest income | 197,524,000 | 229,157,000 | 578,201,000 | 693,113,000 |
Net interest income before provision for credit losses | 105,963,000 | 117,496,000 | 304,183,000 | 359,659,000 |
Net interest income after provision for credit losses | 106,114,000 | 117,262,000 | 304,129,000 | 358,766,000 |
Other income (loss) | ' | ' | ' | ' |
Net realized and unrealized gains on derivatives and hedging activities | -12,092,000 | 14,955,000 | 2,167,000 | 38,790,000 |
Total other income | -15,046,000 | 3,098,000 | 6,161,000 | 19,592,000 |
Change in method of reporting amortization of basis fair value hedging adjustments of modified advances | As Previously Reported | ' | ' | ' | ' |
Interest income | ' | ' | ' | ' |
Advances | ' | 103,274,000 | ' | 316,774,000 |
Total interest income | ' | 199,019,000 | ' | 604,818,000 |
Net interest income before provision for credit losses | ' | 87,358,000 | ' | 271,364,000 |
Net interest income after provision for credit losses | ' | 87,124,000 | ' | 270,471,000 |
Other income (loss) | ' | ' | ' | ' |
Net realized and unrealized gains on derivatives and hedging activities | ' | 45,093,000 | ' | 127,085,000 |
Total other income | ' | 33,236,000 | ' | 107,887,000 |
Change in method of reporting amortization of basis fair value hedging adjustments of modified advances | Net interest income | ' | ' | ' | ' |
Interest income | ' | ' | ' | ' |
Reclassification effect, increase (decrease) | ' | $30,100,000 | ' | $88,300,000 |
Recently_Issued_Accounting_Sta1
Recently Issued Accounting Standards and Interpretations. (Details) (USD $) | 9 Months Ended | |||
Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Jan. 02, 2014 | |
Minimum | Consolidated obligation - discount notes | Obligations subject to joint and several liability | ASU 2013-04 | |
Maximum | Consolidated obligations | Obligations subject to joint and several liability | ||
All other FHLBanks | Consolidated obligations | |||
All other FHLBanks | ||||
Expected | ||||
New accounting pronouncements | ' | ' | ' | ' |
Maturity period | ' | '1 year | ' | ' |
Amount recognized for expected payments on behalf of other FHLBanks | ' | ' | $0 | $0 |
Delinquency period for recording credit loss allowance on a loan level basis on all MPF loans | '90 days | ' | ' | ' |
Cash_and_Due_from_Banks_Detail
Cash and Due from Banks. (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
Pass-through Deposit Reserves | ' | ' |
Pass-through reserves of member institutions deposited with Federal Reserve Banks | $93,000,000 | $85,100,000 |
Cash deposited with swap counterparties | $1,700,000,000 | $2,500,000,000 |
Federal_Funds_Sold_and_Securit1
Federal Funds Sold and Securities Purchased Under Agreements to Resell. (Details) (USD $) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | |
Federal Funds Sold and Securities Purchased Under Agreements to Resell. | ' | ' | ' | ' | ' |
Federal funds sold amounts outstanding | $4,878,000,000 | ' | $4,878,000,000 | ' | $4,091,000,000 |
Daily average Federal funds sold | 14,900,000,000 | 12,200,000,000 | 13,900,000,000 | 11,600,000,000 | 11,400,000,000 |
Securities purchased under agreements to resell balances outstanding | 0 | ' | 0 | ' | 0 |
Average transaction balances of securities purchased under agreements to resell | ' | $106,500,000 | ' | $35,800,000 | $42,100,000 |
HeldtoMaturity_Securities_Deta
Held-to-Maturity Securities. (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Jun. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 |
Pools of Mortgages | Pools of Mortgages | Pools of Mortgages | Pools of Mortgages | Pools of Mortgages | Pools of Mortgages | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | Commercial Mortgage-Backed Securities | Commercial Mortgage-Backed Securities | Commercial Mortgage-Backed Securities | Commercial Mortgage-Backed Securities | Commercial Mortgage-Backed Securities | Commercial Mortgage-Backed Securities | Commercial Mortgage-Backed Securities | Manufactured housing (insured) | Manufactured housing (insured) | Manufactured housing (insured) | Manufactured housing (insured) | Home equity loans (insured) | Home equity loans (insured) | Home equity loans (insured) | Home equity loans (insured) | Home equity loans (insured) | Home equity loans (insured) | Home equity loans (insured) | Home equity loans (insured) | Home equity loans (uninsured) | Home equity loans (uninsured) | Asset-Backed Securities | Asset-Backed Securities | Mortgage-backed securities | Mortgage-backed securities | State and local housing finance agency obligations | State and local housing finance agency obligations | |||
Fannie Mae | Fannie Mae | Freddie Mac | Freddie Mac | GSE | GSE | Fannie Mae | Fannie Mae | Freddie Mac | Freddie Mac | Ginnie Mae | Ginnie Mae | Non-GSE MBS | Non-GSE MBS | GSE | GSE | Fannie Mae | Fannie Mae | Freddie Mac | Freddie Mac | Ginnie Mae | AGM | AGM | AGM | AGM | Ambac and MBIA | Ambac and MBIA | MBIA | MBIA | |||||||||||||||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amortized Cost | $12,058,207,000 | $11,122,235,000 | $432,455,000 | $592,461,000 | $333,158,000 | $459,114,000 | $99,297,000 | $133,347,000 | $5,090,873,000 | $5,151,258,000 | $2,834,077,000 | $2,602,017,000 | $2,209,175,000 | $2,484,560,000 | $47,621,000 | $64,681,000 | $54,260,000 | $106,063,000 | $5,331,203,000 | $4,062,512,000 | $1,486,687,000 | $930,982,000 | $3,844,516,000 | $3,128,561,000 | $2,969,000 | $117,340,000 | $132,551,000 | $117,300,000 | $132,600,000 | $184,030,000 | $204,500,000 | $66,500,000 | $69,800,000 | $117,500,000 | $134,700,000 | ' | ' | $120,136,000 | $135,290,000 | $421,506,000 | $472,341,000 | $11,330,297,000 | $10,384,635,000 | $727,910,000 | $737,600,000 |
OTTI Recognized in AOCI | -55,710,000 | -63,471,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -678,000 | -1,006,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -40,400,000 | -45,676,000 | ' | ' | ' | ' | ' | ' | -14,632,000 | -16,789,000 | -55,032,000 | -62,465,000 | -55,710,000 | -63,471,000 | ' | ' |
Carrying Value | 12,002,497,000 | 11,058,764,000 | 432,455,000 | 592,461,000 | 333,158,000 | 459,114,000 | 99,297,000 | 133,347,000 | 5,090,873,000 | 5,151,258,000 | 2,834,077,000 | 2,602,017,000 | 2,209,175,000 | 2,484,560,000 | 47,621,000 | 64,681,000 | 53,582,000 | 105,057,000 | 5,331,203,000 | 4,062,512,000 | 1,486,687,000 | 930,982,000 | 3,844,516,000 | 3,128,561,000 | 2,969,000 | 117,340,000 | 132,551,000 | ' | ' | 143,630,000 | 158,824,000 | ' | ' | ' | ' | ' | ' | 105,504,000 | 118,501,000 | 366,474,000 | 409,876,000 | 11,274,587,000 | 10,321,164,000 | 727,910,000 | 737,600,000 |
Gross Unrecognized Holding Gains | 262,274,000 | 468,336,000 | 31,357,000 | 46,774,000 | 25,139,000 | 37,312,000 | 6,218,000 | 9,462,000 | 29,971,000 | 52,852,000 | 16,512,000 | 24,940,000 | 12,884,000 | 27,058,000 | 575,000 | 854,000 | 2,001,000 | 3,336,000 | 120,606,000 | 296,861,000 | 7,938,000 | 30,272,000 | 112,668,000 | 266,562,000 | 27,000 | 2,778,000 | 1,531,000 | ' | ' | 59,566,000 | 49,531,000 | ' | ' | ' | ' | ' | ' | 14,936,000 | 15,354,000 | 77,280,000 | 66,416,000 | 261,215,000 | 466,239,000 | 1,059,000 | 2,097,000 |
Gross Unrecognized Holding Losses | -138,535,000 | -70,544,000 | ' | ' | ' | ' | ' | ' | -1,497,000 | -1,000 | -425,000 | ' | -1,072,000 | -1,000 | ' | ' | -723,000 | -537,000 | -73,646,000 | -593,000 | -27,690,000 | -593,000 | -45,956,000 | ' | ' | ' | -1,810,000 | ' | ' | -875,000 | -944,000 | ' | ' | ' | ' | ' | ' | -6,403,000 | -10,634,000 | -7,278,000 | -13,388,000 | -83,144,000 | -14,519,000 | -55,391,000 | -56,025,000 |
Fair Value | 12,126,236,000 | 11,456,556,000 | 463,812,000 | 639,235,000 | 358,297,000 | 496,426,000 | 105,515,000 | 142,809,000 | 5,119,347,000 | 5,204,109,000 | 2,850,164,000 | 2,626,957,000 | 2,220,987,000 | 2,511,617,000 | 48,196,000 | 65,535,000 | 54,860,000 | 107,856,000 | 5,378,163,000 | 4,358,780,000 | 1,466,935,000 | 960,661,000 | 3,911,228,000 | 3,395,123,000 | 2,996,000 | 120,118,000 | 132,272,000 | ' | ' | 202,321,000 | 207,411,000 | ' | ' | ' | ' | ' | ' | 114,037,000 | 123,221,000 | 436,476,000 | 462,904,000 | 11,452,658,000 | 10,772,884,000 | 673,578,000 | 683,672,000 |
Amortized cost of pledged MBS in connection with deposits maintained by the FDIC at the Bank | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $2,000,000 | $2,800,000 | ' | ' |
Reliance period for insurance guarantees | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '12 months | '3 months | ' | ' | ' | ' | ' | ' | ' | ' |
HeldtoMaturity_Securities_Deta1
Held-to-Maturity Securities. (Details 2) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Less than 12 months | ' | ' |
Estimated Fair Value | $3,295,621 | $254,463 |
Unrealized Losses | -75,768 | -1,189 |
12 months or more | ' | ' |
Estimated Fair Value | 516,102 | 606,880 |
Unrealized Losses | -63,464 | -75,232 |
Total | ' | ' |
Estimated Fair Value | 3,811,723 | 861,343 |
Unrealized Losses | -139,232 | -76,421 |
Non-MBS Investment Securities | State and local housing finance agency obligations | ' | ' |
Less than 12 months | ' | ' |
Estimated Fair Value | 54,999 | ' |
Unrealized Losses | -1 | ' |
12 months or more | ' | ' |
Estimated Fair Value | 288,409 | 309,295 |
Unrealized Losses | -55,390 | -56,025 |
Total | ' | ' |
Estimated Fair Value | 343,408 | 309,295 |
Unrealized Losses | -55,391 | -56,025 |
MBS-GSE | ' | ' |
Less than 12 months | ' | ' |
Estimated Fair Value | 3,181,432 | 192,721 |
Unrealized Losses | -75,143 | -594 |
Total | ' | ' |
Estimated Fair Value | 3,181,432 | 192,721 |
Unrealized Losses | -75,143 | -594 |
MBS-GSE | Fannie Mae | ' | ' |
Less than 12 months | ' | ' |
Estimated Fair Value | 1,219,452 | 192,268 |
Unrealized Losses | -28,115 | -593 |
Total | ' | ' |
Estimated Fair Value | 1,219,452 | 192,268 |
Unrealized Losses | -28,115 | -593 |
MBS-GSE | Freddie Mac | ' | ' |
Less than 12 months | ' | ' |
Estimated Fair Value | 1,961,980 | 453 |
Unrealized Losses | -47,028 | -1 |
Total | ' | ' |
Estimated Fair Value | 1,961,980 | 453 |
Unrealized Losses | -47,028 | -1 |
MBS-Private Label | ' | ' |
Less than 12 months | ' | ' |
Estimated Fair Value | 59,190 | 61,742 |
Unrealized Losses | -624 | -595 |
12 months or more | ' | ' |
Estimated Fair Value | 227,693 | 297,585 |
Unrealized Losses | -8,074 | -19,207 |
Total | ' | ' |
Estimated Fair Value | 286,883 | 359,327 |
Unrealized Losses | -8,698 | -19,802 |
Mortgage-backed securities | ' | ' |
Less than 12 months | ' | ' |
Estimated Fair Value | 3,240,622 | 254,463 |
Unrealized Losses | -75,767 | -1,189 |
12 months or more | ' | ' |
Estimated Fair Value | 227,693 | 297,585 |
Unrealized Losses | -8,074 | -19,207 |
Total | ' | ' |
Estimated Fair Value | 3,468,315 | 552,048 |
Unrealized Losses | ($83,841) | ($20,396) |
HeldtoMaturity_Securities_Deta2
Held-to-Maturity Securities. (Details 3) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
Amortized Cost | ' | ' |
Amortized cost | $12,058,207,000 | $11,122,235,000 |
Estimated Fair Value | ' | ' |
Fair Value | 12,126,236,000 | 11,456,556,000 |
Unamortized discounts and premiums | 41,600,000 | 28,000,000 |
State and local housing finance agency obligations | ' | ' |
Amortized Cost | ' | ' |
Due after one year through five years | 13,655,000 | ' |
Due after one year through five years | ' | 15,040,000 |
Due after five years through ten years | 95,815,000 | ' |
Due after five years through ten years | ' | 60,885,000 |
Due after ten years | 618,440,000 | ' |
Due after ten years | ' | 661,675,000 |
Amortized cost | 727,910,000 | 737,600,000 |
Estimated Fair Value | ' | ' |
Due after one year through five years | 14,096,000 | ' |
Due after one year through five years | ' | 15,853,000 |
Due after five years through ten years | 92,271,000 | ' |
Due after five years through ten years | ' | 59,531,000 |
Due after ten years | 567,211,000 | ' |
Due after ten years | ' | 608,288,000 |
Fair Value | 673,578,000 | 683,672,000 |
Mortgage-backed securities | ' | ' |
Amortized Cost | ' | ' |
Due in one year or less | 71,000 | ' |
Due after one year through five years | 1,051,850,000 | ' |
Due after one year through five years | ' | 156,317,000 |
Due after five years through ten years | 4,474,503,000 | ' |
Due after five years through ten years | ' | 4,219,907,000 |
Due after ten years | 5,803,873,000 | ' |
Due after ten years | ' | 6,008,411,000 |
Amortized cost | 11,330,297,000 | 10,384,635,000 |
Estimated Fair Value | ' | ' |
Due in one year or less | 72,000 | ' |
Due after one year through five years | 1,075,297,000 | ' |
Due after one year through five years | ' | 166,810,000 |
Due after five years through ten years | 4,506,193,000 | ' |
Due after five years through ten years | ' | 4,521,574,000 |
Due after ten years | 5,871,096,000 | ' |
Due after ten years | ' | 6,084,500,000 |
Fair Value | $11,452,658,000 | $10,772,884,000 |
HeldtoMaturity_Securities_Deta3
Held-to-Maturity Securities. (Details 4) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Interest Rate Payment Terms | ' | ' |
Amortized Cost | $12,058,207 | $11,122,235 |
Carrying Value | 12,002,497 | 11,058,764 |
CMOs | ' | ' |
Interest Rate Payment Terms | ' | ' |
Amortized Cost | 5,122,912 | 5,194,292 |
Carrying Value | 5,121,651 | 5,192,419 |
CMOs | Fixed | ' | ' |
Interest Rate Payment Terms | ' | ' |
Amortized Cost | 1,282,403 | 453,907 |
Carrying Value | 1,281,142 | 452,034 |
CMOs | Floating | ' | ' |
Interest Rate Payment Terms | ' | ' |
Amortized Cost | 3,840,509 | 4,740,385 |
Carrying Value | 3,840,509 | 4,740,385 |
CMBS | GSE | ' | ' |
Interest Rate Payment Terms | ' | ' |
Amortized Cost | 5,331,203 | 4,062,512 |
Carrying Value | 5,331,203 | 4,062,512 |
CMBS | GSE | Fixed | ' | ' |
Interest Rate Payment Terms | ' | ' |
Amortized Cost | 4,762,596 | 3,625,505 |
Carrying Value | 4,762,596 | 3,625,505 |
CMBS | GSE | Floating | ' | ' |
Interest Rate Payment Terms | ' | ' |
Amortized Cost | 568,607 | 437,007 |
Carrying Value | 568,607 | 437,007 |
Pass Thru | ' | ' |
Interest Rate Payment Terms | ' | ' |
Amortized Cost | 876,182 | 1,127,831 |
Carrying Value | 821,733 | 1,066,233 |
Pass Thru | Fixed | ' | ' |
Interest Rate Payment Terms | ' | ' |
Amortized Cost | 783,112 | 1,018,578 |
Carrying Value | 729,660 | 958,014 |
Pass Thru | Floating | ' | ' |
Interest Rate Payment Terms | ' | ' |
Amortized Cost | 93,070 | 109,253 |
Carrying Value | 92,073 | 108,219 |
State and local housing finance agency obligations | ' | ' |
Interest Rate Payment Terms | ' | ' |
Amortized Cost | 727,910 | 737,600 |
Carrying Value | 727,910 | 737,600 |
State and local housing finance agency obligations | Fixed | ' | ' |
Interest Rate Payment Terms | ' | ' |
Amortized Cost | 37,445 | 76,375 |
Carrying Value | 37,445 | 76,375 |
State and local housing finance agency obligations | Floating | ' | ' |
Interest Rate Payment Terms | ' | ' |
Amortized Cost | 690,465 | 661,225 |
Carrying Value | 690,465 | 661,225 |
Total MBS | ' | ' |
Interest Rate Payment Terms | ' | ' |
Amortized Cost | 11,330,297 | 10,384,635 |
Carrying Value | $11,274,587 | $10,321,164 |
HeldtoMaturity_Securities_Deta4
Held-to-Maturity Securities. (Details 5) (USD $) | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | ||||||||
In Thousands, unless otherwise specified | Mar. 31, 2013 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2012 | Sep. 30, 2012 | Sep. 30, 2012 | Sep. 30, 2012 | Sep. 30, 2012 | Sep. 30, 2012 | Sep. 30, 2012 | Sep. 30, 2012 | Sep. 30, 2012 |
Private-label MBS | Private-label MBS | Private-label MBS | Private-label MBS | RMBS Prime | RMBS Prime | HEL | HEL | Ambac | Ambac | Uninsured | Uninsured | Uninsured | ||
Private-label MBS | Private-label MBS | Subprime | Subprime | Private-label MBS | HEL | Private-label MBS | RMBS Prime | HEL | ||||||
Private-label MBS | Private-label MBS | Subprime | Private-label MBS | Subprime | ||||||||||
Private-label MBS | Private-label MBS | |||||||||||||
Impairment Analysis (OTTI) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Bonds deemed credit OTTI | ' | $0 | ' | $0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
OTTI held-to-maturity securities key characteristics | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
UPB | ' | ' | ' | ' | ' | ' | ' | ' | ' | 42,948 | 42,948 | 10,930 | 7,987 | 2,943 |
Fair Value | ' | ' | ' | ' | ' | ' | ' | ' | ' | 30,193 | 30,193 | 10,363 | 7,432 | 2,931 |
OTTI, Credit Loss | ' | ' | -615 | ' | -1,941 | -195 | -195 | -420 | -1,746 | ' | ' | ' | ' | ' |
Non-credit loss | ' | ' | $534 | ' | $1,490 | $114 | $114 | $420 | $1,376 | ' | ' | ' | ' | ' |
Percentage of the Bank's private-label MBS evaluated for OTTI (as a percent) | 100.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
HeldtoMaturity_Securities_Deta5
Held-to-Maturity Securities. (Details 6) (Private-label MBS, USD $) | 3 Months Ended | 9 Months Ended | |||
In Thousands, unless otherwise specified | Sep. 30, 2012 | Sep. 30, 2012 | Sep. 30, 2013 | Jun. 30, 2013 | Dec. 31, 2012 |
Private-label MBS | ' | ' | ' | ' | ' |
Rollforward information about credit component of OTTI recognized as a charge to earnings | ' | ' | ' | ' | ' |
Beginning balance | $36,057 | $34,731 | $36,782 | $36,782 | $36,782 |
Additional credit losses for which an OTTI charge was previously recognized | 615 | 1,941 | ' | ' | ' |
Ending balance | $36,672 | $36,672 | $36,782 | $36,782 | $36,782 |
HeldtoMaturity_Securities_Deta6
Held-to-Maturity Securities. (Details 7) (Private-label MBS) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2013 | Dec. 31, 2012 | |
Prime residential MBS | Range, low | ' | ' |
Key Base Assumptions | ' | ' |
Conditional Default Rate (as a percent) | 0.10% | 1.00% |
Conditional Prepayment Rate (as a percent) | 9.80% | 4.40% |
Loss Severity (as a percent) | 30.00% | 30.00% |
Prime residential MBS | Range, high | ' | ' |
Key Base Assumptions | ' | ' |
Conditional Default Rate (as a percent) | 3.70% | 6.10% |
Conditional Prepayment Rate (as a percent) | 32.90% | 33.40% |
Loss Severity (as a percent) | 54.50% | 63.20% |
Prime residential MBS | Average | ' | ' |
Key Base Assumptions | ' | ' |
Conditional Default Rate (as a percent) | 1.10% | 2.10% |
Conditional Prepayment Rate (as a percent) | 17.40% | 23.30% |
Loss Severity (as a percent) | 46.10% | 35.90% |
RMBS Alt-A | Range, low | ' | ' |
Key Base Assumptions | ' | ' |
Conditional Default Rate (as a percent) | 0.00% | 1.00% |
Conditional Prepayment Rate (as a percent) | 2.00% | 2.00% |
Loss Severity (as a percent) | 0.00% | 30.00% |
RMBS Alt-A | Range, high | ' | ' |
Key Base Assumptions | ' | ' |
Conditional Default Rate (as a percent) | 1.00% | 1.10% |
Conditional Prepayment Rate (as a percent) | 10.60% | 14.00% |
Loss Severity (as a percent) | 30.00% | 30.00% |
RMBS Alt-A | Average | ' | ' |
Key Base Assumptions | ' | ' |
Conditional Default Rate (as a percent) | 1.00% | 1.00% |
Conditional Prepayment Rate (as a percent) | 5.20% | 3.70% |
Loss Severity (as a percent) | 29.60% | 30.00% |
Manufactured Housing Loans | Range, low | ' | ' |
Key Base Assumptions | ' | ' |
Conditional Default Rate (as a percent) | 3.10% | 3.60% |
Conditional Prepayment Rate (as a percent) | 2.10% | 2.00% |
Loss Severity (as a percent) | 77.30% | 75.10% |
Manufactured Housing Loans | Range, high | ' | ' |
Key Base Assumptions | ' | ' |
Conditional Default Rate (as a percent) | 5.50% | 5.90% |
Conditional Prepayment Rate (as a percent) | 3.23% | 3.80% |
Loss Severity (as a percent) | 81.60% | 81.00% |
Manufactured Housing Loans | Average | ' | ' |
Key Base Assumptions | ' | ' |
Conditional Default Rate (as a percent) | 4.50% | 4.90% |
Conditional Prepayment Rate (as a percent) | 2.60% | 2.50% |
Loss Severity (as a percent) | 79.90% | 78.50% |
HEL | Subprime | Range, low | ' | ' |
Key Base Assumptions | ' | ' |
Conditional Default Rate (as a percent) | 1.00% | 1.50% |
Conditional Prepayment Rate (as a percent) | 2.00% | 2.00% |
Loss Severity (as a percent) | 21.00% | 30.00% |
HEL | Subprime | Range, high | ' | ' |
Key Base Assumptions | ' | ' |
Conditional Default Rate (as a percent) | 8.70% | 8.60% |
Conditional Prepayment Rate (as a percent) | 14.90% | 10.10% |
Loss Severity (as a percent) | 100.00% | 100.00% |
HEL | Subprime | Average | ' | ' |
Key Base Assumptions | ' | ' |
Conditional Default Rate (as a percent) | 4.20% | 4.60% |
Conditional Prepayment Rate (as a percent) | 4.70% | 3.70% |
Loss Severity (as a percent) | 66.50% | 71.00% |
HeldtoMaturity_Securities_Deta7
Held-to-Maturity Securities. (Details 8) (PLMBS, USD $) | 9 Months Ended | 12 Months Ended | 3 Months Ended | 9 Months Ended | |||||||||||||||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Dec. 31, 2012 | Dec. 31, 2012 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 |
Item | Fair Value, Level 3 | Fair Value, Level 3 | Fair Value, Level 3 | Fair Value, Level 3 | Fair Value, Level 3 | Fair Value, Level 3 | Fair Value, Level 3 | Fair Value, Level 3 | Fair Value, Level 3 | Fair Value, Level 3 | Fair Value, Level 3 | Nonrecurring basis | Nonrecurring basis | Carrying Value | Carrying Value | Carrying Value | Carrying Value | Carrying Value | |
Item | Item | Prime RMBS | Prime RMBS | Prime RMBS | HEL | HEL | HEL | HEL | HEL | HEL | Fair Value, Level 3 | Fair Value, Level 3 | Prime RMBS | HEL | HEL | ||||
Bond 1 | Bond 1 | Bond 1 | Subprime | Subprime | Subprime | Subprime | Subprime | Subprime | Prime RMBS | Bond 1 | Subprime | Subprime | |||||||
Minimum | Maximum | Bond 1 | Bond 1 | Bond 1 | Bond 2 | Bond 2 | Bond 2 | Bond 1 | Bond 1 | Bond 2 | |||||||||
Minimum | Maximum | Minimum | Maximum | ||||||||||||||||
Significant Inputs | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
OTTI PLMBS | ' | $6,839 | $7,045 | $7,045 | ' | ' | $4,207 | ' | ' | $2,632 | ' | ' | $7,045 | $7,045 | $4,882 | $7,045 | $7,045 | $3,103 | $1,779 |
Number of pricing services from whom third party prices were obtained for held-to-maturity securities | ' | 4 | 4 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of bonds the fair value of which exceeded their amortized cost basis | 2 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Price | ' | ' | ' | 90.47 | 90.47 | 96.85 | 65.91 | 65.91 | 89.88 | 65.8 | 65.34 | 86.82 | ' | ' | ' | ' | ' | ' | ' |
AvailableforSale_Securities_De
Available-for-Sale Securities. (Details) (USD $) | 0 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 |
Available-for-Sale Securities | ' | ' |
Other-than-temporarily impaired AFS securities | $0 | $0 |
Unrealized losses | ' | 0 |
Amortized cost | 1,675,278 | 2,286,268 |
Gross unrealized gains | 14,141 | 22,506 |
Gross unrealized losses | -178 | ' |
Fair value | 1,689,241 | 2,308,774 |
Cash equivalents | ' | ' |
Available-for-Sale Securities | ' | ' |
Amortized cost | 157 | 215 |
Fair value | 157 | 215 |
Equity funds | ' | ' |
Available-for-Sale Securities | ' | ' |
Amortized cost | 4,960 | 5,172 |
Gross unrealized gains | 1,465 | 540 |
Fair value | 6,425 | 5,712 |
Fixed income funds | ' | ' |
Available-for-Sale Securities | ' | ' |
Amortized cost | 3,352 | 3,382 |
Gross unrealized gains | 141 | 324 |
Gross unrealized losses | -36 | ' |
Fair value | 3,457 | 3,706 |
MBS | ' | ' |
Available-for-Sale Securities | ' | ' |
Unrealized losses | ' | 0 |
GSE and U.S. Obligations | CMOs | Floating | ' | ' |
Available-for-Sale Securities | ' | ' |
Amortized cost | 1,623,586 | 2,230,813 |
Gross unrealized gains | 12,141 | 21,448 |
Gross unrealized losses | -142 | ' |
Fair value | 1,635,585 | 2,252,261 |
GSE and U.S. Obligations | Commercial Mortgage-Backed Securities | Floating | ' | ' |
Available-for-Sale Securities | ' | ' |
Amortized cost | 43,223 | 46,686 |
Gross unrealized gains | 394 | 194 |
Fair value | 43,617 | 46,880 |
GSE and U.S. Obligations | MBS | ' | ' |
Available-for-Sale Securities | ' | ' |
Amortized cost | 1,666,809 | 2,277,499 |
Fair value | $1,679,202 | $2,299,141 |
AvailableforSale_Securities_De1
Available-for-Sale Securities. (Details 2) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
Amortized cost | ' | ' |
Total Available-for-sale securities | $1,675,278,000 | $2,286,268,000 |
Estimated fair value | ' | ' |
Total Available-for-sale securities | 1,689,241,000 | 2,308,774,000 |
Unamortized discounts and premiums | 5,700,000 | 8,000,000 |
Fixed income funds, equity funds and cash equivalents | ' | ' |
Amortized cost | ' | ' |
Total Available-for-sale securities | 8,469,000 | 8,769,000 |
Estimated fair value | ' | ' |
Total Available-for-sale securities | 10,039,000 | 9,633,000 |
Mortgage-backed securities | ' | ' |
Amortized cost | ' | ' |
Due after five years through ten years | 43,223,000 | ' |
Due after five years through ten years | ' | 46,686,000 |
Due after ten years | 1,623,586,000 | ' |
Due after ten years | ' | 2,230,813,000 |
Estimated fair value | ' | ' |
Due after five years through ten years | 43,617,000 | ' |
Due after five years through ten years | ' | 46,880,000 |
Due after ten years | 1,635,585,000 | ' |
Due after ten years | ' | $2,252,261,000 |
AvailableforSale_Securities_De2
Available-for-Sale Securities. (Details 3) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Summary of available-for-sale securities by interest rate payment terms | ' | ' |
Amortized cost | $1,675,278 | $2,286,268 |
Fair value | 1,689,241 | 2,308,774 |
GSE and U.S. Obligations | CMO | Floating - LIBOR | ' | ' |
Summary of available-for-sale securities by interest rate payment terms | ' | ' |
Amortized cost | 1,623,586 | 2,230,813 |
Fair value | 1,635,585 | 2,252,261 |
GSE and U.S. Obligations | CMBS | Floating - LIBOR | ' | ' |
Summary of available-for-sale securities by interest rate payment terms | ' | ' |
Amortized cost | 43,223 | 46,686 |
Fair value | 43,617 | 46,880 |
GSE and U.S. Obligations | Mortgage-backed securities | ' | ' |
Summary of available-for-sale securities by interest rate payment terms | ' | ' |
Amortized cost | 1,666,809 | 2,277,499 |
Fair value | $1,679,202 | $2,299,141 |
Advances_Details
Advances. (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Amount | ' | ' |
Overdrawn demand deposit accounts | $6 | ' |
Due in one year or less | 36,930,607 | ' |
Due in one year or less | ' | 26,956,874 |
Due after one year through two years | 11,807,883 | ' |
Due after one year through two years | ' | 7,798,776 |
Due after two years through three years | 11,976,271 | ' |
Due after two years through three years | ' | 7,234,380 |
Due after three years through four years | 7,618,334 | ' |
Due after three years through four years | ' | 9,658,689 |
Due after four years through five years | 6,746,635 | ' |
Due after four years through five years | ' | 10,255,616 |
Thereafter | 11,681,718 | ' |
Thereafter | ' | 10,387,768 |
Total par value | 86,761,454 | 72,292,103 |
Hedge value basis adjustments | 2,352,322 | 3,595,396 |
Fair value option valuation adjustments and accrued interest | 7,659 | 502 |
Total | 89,121,435 | 75,888,001 |
Weighted Average Yield | ' | ' |
Overdrawn demand deposit accounts (as a percent) | 1.08% | ' |
Due in one year or less (as a percent) | 0.68% | 0.90% |
Due after one year through two years (as a percent) | 1.22% | 1.96% |
Due after two years through three years (as a percent) | 2.81% | 2.38% |
Due after three years through four years (as a percent) | 2.91% | 3.64% |
Due after four years through five years (as a percent) | 2.83% | 3.35% |
Thereafter (as a percent) | 2.79% | 2.77% |
Total par value (as a percent) | 1.69% | 2.15% |
Percentage of Total | ' | ' |
Due in one year or less (as a percent) | 42.57% | 37.29% |
Due after one year through two years (as a percent) | 13.61% | 10.79% |
Due after two years through three years (as a percent) | 13.80% | 10.00% |
Due after three years through four years (as a percent) | 8.78% | 13.36% |
Due after four years through five years (as a percent) | 7.78% | 14.19% |
Thereafter (as a percent) | 13.46% | 14.37% |
Total par value (as a percent) | 100.00% | 100.00% |
Past due advances | $0 | ' |
Advances_Details_2
Advances. (Details 2) | 9 Months Ended | ||
Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | |
Item | Item | Item | |
Advances. | ' | ' | ' |
Number of member institutions | 10 | 10 | 10 |
Number of exceptions | 2 | ' | ' |
Mortgage_Loans_HeldforPortfoli2
Mortgage Loans Held-for-Portfolio. (Details) (USD $) | 3 Months Ended | 9 Months Ended | 9 Months Ended | 9 Months Ended | 6 Months Ended | ||||||||||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Jun. 30, 2012 | |
Minimum | Conventional mortgage loans | Fixed medium-term single-family mortgages | Fixed medium-term single-family mortgages | Fixed long-term single-family mortgages | Fixed long-term single-family mortgages | Multi-family mortgages | Multi-family mortgages | Loans discharged from bankruptcy | Loans in bankruptcy status | ||||||
Minimum | Minimum | Minimum | |||||||||||||
Information on mortgage loans held-for-portfolio | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total par value | $1,903,104,000 | ' | $1,903,104,000 | ' | $1,812,526,000 | ' | ' | $379,281,000 | $400,309,000 | $1,523,731,000 | $1,412,061,000 | $92,000 | $156,000 | ' | ' |
Unamortized premiums | 37,358,000 | ' | 37,358,000 | ' | 35,760,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Unamortized discounts | -3,102,000 | ' | -3,102,000 | ' | -2,580,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Basis adjustment | 1,821,000 | ' | 1,821,000 | ' | 4,092,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total mortgage loans held-for-portfolio | 1,939,181,000 | ' | 1,939,181,000 | ' | 1,849,798,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Allowance for credit losses | -6,326,000 | ' | -6,326,000 | ' | -6,982,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total mortgage loans held-for-portfolio, net of allowance for credit losses | 1,932,855,000 | ' | 1,932,855,000 | ' | 1,842,816,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Percentage of Total Par (as a percent) | 100.00% | ' | 100.00% | ' | 100.00% | ' | ' | 19.93% | 22.09% | 80.07% | 77.90% | ' | 0.01% | ' | ' |
Loans transferred to "loan-for-sale" category | ' | ' | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loans repurchased from PFIs | 1,700,000 | ' | 7,700,000 | 1,400,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
First layer of potential credit losses (as a percent) | 1.00% | ' | 1.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
First Loss Account | 19,400,000 | ' | 19,400,000 | ' | 18,400,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Credit Enhancement fees accrued | 500,000 | 400,000 | 1,300,000 | 1,200,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loan-to-value ratio for next layer of protection from the primary mortgage insurance required for loans (as a percent) | ' | ' | ' | ' | ' | 80.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Period past due for loans to be considered for impairment | ' | ' | ' | ' | ' | ' | '90 days | ' | ' | ' | ' | ' | ' | '90 days | '90 days |
Period for which CE fees are held back | ' | ' | '12 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Allowance for credit losses: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Beginning balance | 6,414,000 | 6,878,000 | 6,982,000 | 6,786,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Charge-offs | -140,000 | -228,000 | -1,556,000 | -930,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Recoveries | 203,000 | 36,000 | 846,000 | 171,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Provision/(Reversal) for credit losses on mortgage loans | -151,000 | 234,000 | 54,000 | 893,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Ending balance | 6,326,000 | 6,920,000 | 6,326,000 | 6,920,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Ending balance, individually evaluated for impairment | 6,326,000 | 6,920,000 | 6,326,000 | 6,920,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Recorded investment, individually evaluated for impairment | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Impaired, with or without related allowance | 30,619,000 | ' | 30,619,000 | ' | 31,596,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Not impaired, no related allowance | 1,804,690,000 | ' | 1,804,690,000 | ' | 1,754,852,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total uninsured mortgage loans | 1,835,309,000 | ' | 1,835,309,000 | ' | 1,786,448,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Recorded investment, collectively evaluated for impairment | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Impaired, with or without related allowance | 595,000 | ' | 595,000 | ' | 413,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Not impaired, no related allowance | 112,276,000 | ' | 112,276,000 | ' | 71,741,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Total insured mortgage loans | $112,871,000 | ' | $112,871,000 | ' | $72,154,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Mortgage_Loans_HeldforPortfoli3
Mortgage Loans Held-for-Portfolio. (Details 2) (USD $) | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 9 Months Ended | 6 Months Ended | ||||||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Jun. 30, 2012 |
Conventional MPF Loans | Conventional MPF Loans | Conventional MPF Loans | Conventional MPF Loans | Uninsured loans | Insured MPF loans | Insured MPF loans | Loans discharged from bankruptcy | Loans in bankruptcy status | ||||||
Minimum | Minimum | Minimum | Minimum | |||||||||||
Non-performing loans | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Mortgage loans, net of allowance for credit losses | $1,932,855 | ' | $1,932,855 | ' | $1,842,816 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Non-performing mortgage loans- Conventional | ' | ' | ' | ' | ' | 27,749 | 27,749 | 28,458 | ' | ' | ' | ' | ' | ' |
Insured MPF loans past due 90 days or more and still accruing interest | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 577 | 410 | ' | ' |
Period past due for nonaccrual status | ' | ' | '90 days | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Recorded Investment for Impaired Loans | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Recorded investment with no related allowance | ' | ' | ' | ' | ' | 9,770 | 9,770 | 8,118 | ' | ' | ' | ' | ' | ' |
Recorded investment with an allowance | ' | ' | ' | ' | ' | 20,849 | 20,849 | 23,478 | ' | ' | ' | ' | ' | ' |
Total recorded investment for impaired loans | ' | ' | ' | ' | ' | 30,619 | 30,619 | 31,596 | ' | ' | ' | ' | ' | ' |
Unpaid Principal Balance for Impaired Loans | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Unpaid principal balance with no related allowance | ' | ' | ' | ' | ' | 9,754 | 9,754 | 8,134 | ' | ' | ' | ' | ' | ' |
Unpaid principal balance with an allowance | ' | ' | ' | ' | ' | 20,886 | 20,886 | 23,507 | ' | ' | ' | ' | ' | ' |
Total unpaid principal balance for impaired loans | ' | ' | ' | ' | ' | 30,640 | 30,640 | 31,641 | ' | ' | ' | ' | ' | ' |
Related allowance for impaired loans | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Allowance for loan losses for impaired loans | ' | ' | ' | ' | ' | 6,326 | 6,326 | 6,982 | ' | ' | ' | ' | ' | ' |
Average Recorded Investment of Impaired Loans | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Average recorded investment with no related allowance | ' | ' | ' | ' | ' | 10,056 | 10,474 | 6,768 | ' | ' | ' | ' | ' | ' |
Average recorded investment with an allowance | ' | ' | ' | ' | ' | 20,657 | 20,674 | 22,798 | ' | ' | ' | ' | ' | ' |
Total average recorded investment of impaired loans | ' | ' | ' | ' | ' | 30,713 | 31,148 | 29,566 | ' | ' | ' | ' | ' | ' |
Period past due for interest received on loan to be recorded as a liability | ' | ' | ' | ' | ' | ' | ' | ' | '90 days | '90 days | ' | ' | ' | ' |
Period past due for loans to be considered for impairment | ' | ' | ' | ' | ' | ' | ' | ' | '90 days | ' | ' | ' | '90 days | '90 days |
Interest contractually due and actually received for non-performing loans | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest contractually due | 425 | 482 | 1,222 | 1,444 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest actually received | 387 | 379 | 1,115 | 1,169 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Shortfall | $38 | $103 | $107 | $275 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Mortgage_Loans_HeldforPortfoli4
Mortgage Loans Held-for-Portfolio. (Details 3) (USD $) | 3 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 6 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | |||||||||||||||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2011 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Jun. 30, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 |
Item | Item | Item | Item | Item | loan | Minimum | Maximum | Loans in bankruptcy status | Loans in bankruptcy status | Loans in bankruptcy status | Conventional MPF Loans | Conventional MPF Loans | Loans discharged from bankruptcy | Loans discharged from bankruptcy | Modified Loans under MPF program | Modified Loans under MPF program | Modified Loans under MPF program | Insured Loans | Insured Loans | Loans discharged from bankruptcy | Loans discharged from bankruptcy | Other Loans | Other Loans | |
loan | loan | loan | loan | Minimum | Item | Item | Minimum | Item | Item | |||||||||||||||
Mortgage loans: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Past due 30-59 days | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $17,156 | $22,899 | ' | ' | ' | ' | ' | $2,258 | $884 | ' | ' | ' | ' |
Past due 60-89 days | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 5,479 | 6,027 | ' | ' | ' | ' | ' | 226 | 407 | ' | ' | ' | ' |
Past due 90-179 days | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3,049 | 4,202 | ' | ' | ' | ' | ' | 142 | 184 | ' | ' | ' | ' |
Past due 180 days or more | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 24,678 | 24,221 | ' | ' | ' | ' | ' | 453 | 229 | ' | ' | ' | ' |
Total past due | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 50,362 | 57,349 | ' | ' | ' | ' | ' | 3,079 | 1,704 | ' | ' | ' | ' |
Total current loans | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,784,855 | 1,728,942 | ' | ' | ' | ' | ' | 109,792 | 70,450 | ' | ' | 92 | 157 |
Total mortgage loans | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,835,217 | 1,786,291 | ' | ' | ' | ' | ' | 112,871 | 72,154 | ' | ' | 92 | 157 |
Other delinquency statistics: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Loans in process of foreclosure | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 16,611 | 21,464 | ' | ' | ' | ' | ' | 307 | 187 | ' | ' | ' | ' |
Number of foreclosures outstanding at period end | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 119 | 140 | ' | ' | ' | ' | ' | 8 | 6 | ' | ' | ' | ' |
Serious delinquency rate (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1.51% | 1.62% | ' | ' | ' | ' | ' | 0.53% | 0.57% | ' | ' | ' | ' |
Serious delinquent loans total used in calculation of serious delinquency rate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 27,792 | 28,947 | ' | ' | ' | ' | ' | 595 | 413 | ' | ' | ' | ' |
Past due 90 days or more and still accruing interest | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 595 | 413 | ' | ' | ' | ' |
Loans on non-accrual status | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 27,727 | 28,423 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Troubled debt restructurings | 10,068 | ' | 10,068 | ' | ' | 9,499 | ' | ' | ' | ' | ' | ' | ' | 9,248 | 8,818 | 820 | 681 | ' | ' | ' | 520 | 638 | ' | ' |
Real estate owned | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $1,112 | $169 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Modification period of borrower's monthly payment | ' | ' | ' | ' | ' | ' | ' | '36 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Term of outstanding principal balance re-amortization | ' | ' | ' | ' | ' | ' | ' | '40 years | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Period for which interest rate is reduced if housing expense ratio is not met | ' | ' | ' | ' | ' | ' | ' | '36 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest rate reduction increment (as a percent) | 0.13% | ' | 0.13% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Rate of interest (as a percent) | ' | ' | ' | ' | ' | ' | 3.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of loans modified during the period | 0 | 0 | 0 | 0 | 4 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of MPF loans modified | 4 | ' | 4 | ' | ' | 4 | ' | ' | 1 | 1 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Modification period | ' | ' | ' | ' | ' | ' | ' | '36 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Period past due for loans to be considered for impairment | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '90 days | ' | ' | ' | ' | ' | ' | '90 days | ' | ' | ' | ' | ' | ' |
Mortgage_Loans_HeldforPortfoli5
Mortgage Loans Held-for-Portfolio. (Details 4) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Troubled Debt Restructurings | ' | ' |
Troubled debt restructurings | $10,068 | $9,499 |
Related Allowance | 612 | 317 |
Performing | ' | ' |
Troubled Debt Restructurings | ' | ' |
Troubled debt restructurings | 9,098 | 8,648 |
Non-performing | ' | ' |
Troubled Debt Restructurings | ' | ' |
Troubled debt restructurings | 970 | 851 |
Loans discharged from bankruptcy | ' | ' |
Troubled Debt Restructurings | ' | ' |
Troubled debt restructurings | 9,248 | 8,818 |
Loans discharged from bankruptcy | Performing | ' | ' |
Troubled Debt Restructurings | ' | ' |
Troubled debt restructurings | 8,497 | 8,189 |
Loans discharged from bankruptcy | Non-performing | ' | ' |
Troubled Debt Restructurings | ' | ' |
Troubled debt restructurings | 751 | 629 |
Modified Loans under MPF program | ' | ' |
Troubled Debt Restructurings | ' | ' |
Troubled debt restructurings | 820 | 681 |
Modified Loans under MPF program | Performing | ' | ' |
Troubled Debt Restructurings | ' | ' |
Troubled debt restructurings | 601 | 459 |
Modified Loans under MPF program | Non-performing | ' | ' |
Troubled Debt Restructurings | ' | ' |
Troubled debt restructurings | $219 | $222 |
Deposits_Details
Deposits. (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
Interest-bearing deposits: | ' | ' |
Interest-bearing demand | $1,522,886,000 | $1,994,974,000 |
Term | 55,000,000 | 40,000,000 |
Total interest-bearing deposits | 1,577,886,000 | 2,034,974,000 |
Non-interest-bearing demand | 13,047,000 | 19,537,000 |
Total deposits | 1,590,933,000 | 2,054,511,000 |
Amount Outstanding | ' | ' |
Due in one year or less, Interest-bearing deposits - adjustable rate | 1,577,886,000 | 2,034,974,000 |
Due in one year or less, Non-interest-bearing deposits | 13,047,000 | 19,537,000 |
Total deposits | 1,590,933,000 | 2,054,511,000 |
Weighted Average Interest Rate | ' | ' |
Due in one year or less, Interest-bearing deposits - adjustable rate (as a percent) | 0.04% | 0.03% |
Details of term deposits | ' | ' |
Term deposits due in one year or less | $55,000,000 | $40,000,000 |
Consolidated_Obligations_Detai
Consolidated Obligations. (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
Consolidated Obligations. | ' | ' |
Outstanding consolidated obligations, including consolidated obligations held by other FHLBanks | $700,000,000,000 | $700,000,000,000 |
Percentage of unpledged qualifying assets to consolidated obligations | 108.00% | 109.00% |
Consolidated obligation - bonds | ' | ' |
Summary of consolidated obligations issued by the Bank and outstanding | ' | ' |
Consolidated obligation bonds-amortized cost | 69,909,024,000 | 63,903,744,000 |
Hedge value basis adjustments | 366,963,000 | 804,174,000 |
Hedge basis adjustments on terminated hedges | 76,074,000 | 63,520,000 |
FVO-valuation adjustments and accrued interest | 9,327,000 | 12,883,000 |
Total Consolidated obligation-bonds | 70,361,388,000 | 64,784,321,000 |
Consolidated obligation - discount notes | ' | ' |
Summary of consolidated obligations issued by the Bank and outstanding | ' | ' |
Discount notes-amortized cost | 42,261,308,000 | 29,776,704,000 |
FVO-valuation adjustments and remaining accretion | 808,000 | 3,243,000 |
Total consolidated obligation - discount notes | $42,262,116,000 | $29,779,947,000 |
Consolidated_Obligations_Detai1
Consolidated Obligations. (Details 2) (Consolidated obligation - bonds, USD $) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | |
Consolidated obligation - bonds | ' | ' | ' | ' | ' |
Amount | ' | ' | ' | ' | ' |
One year or less | $42,867,425,000 | ' | $42,867,425,000 | ' | ' |
One year or less | ' | ' | ' | ' | 42,284,800,000 |
Over one year through two years | 11,215,195,000 | ' | 11,215,195,000 | ' | ' |
Over one year through two years | ' | ' | ' | ' | 8,003,630,000 |
Over two years through three years | 3,235,835,000 | ' | 3,235,835,000 | ' | ' |
Over two years through three years | ' | ' | ' | ' | 5,746,280,000 |
Over three years through four years | 1,401,505,000 | ' | 1,401,505,000 | ' | ' |
Over three years through four years | ' | ' | ' | ' | 1,115,010,000 |
Over four years through five years | 3,064,355,000 | ' | 3,064,355,000 | ' | ' |
Over four years through five years | ' | ' | ' | ' | 1,515,570,000 |
Thereafter | 8,073,135,000 | ' | 8,073,135,000 | ' | ' |
Thereafter | ' | ' | ' | ' | 5,159,795,000 |
Total par value | 69,857,450,000 | ' | 69,857,450,000 | ' | 63,825,085,000 |
Bond premiums | 77,274,000 | ' | 77,274,000 | ' | 102,225,000 |
Bond discounts | -25,700,000 | ' | -25,700,000 | ' | -23,566,000 |
Hedge value basis adjustments | 366,963,000 | ' | 366,963,000 | ' | 804,174,000 |
Hedge basis adjustments on terminated hedges | 76,074,000 | ' | 76,074,000 | ' | 63,520,000 |
FVO-valuation adjustments and accrued interest | 9,327,000 | ' | 9,327,000 | ' | 12,883,000 |
Total Consolidated obligation-bonds | 70,361,388,000 | ' | 70,361,388,000 | ' | 64,784,321,000 |
Weighted Average Rate | ' | ' | ' | ' | ' |
One year or less, Weighted Average Rate (as a percent) | 0.45% | ' | 0.45% | ' | 0.71% |
Over one year through two years, Weighted Average Rate (as a percent) | 1.06% | ' | 1.06% | ' | 1.47% |
Over two years through three years, Weighted Average Rate (as a percent) | 1.38% | ' | 1.38% | ' | 1.62% |
Over three years through four years, Weighted Average Rate (as a percent) | 1.14% | ' | 1.14% | ' | 2.29% |
Over four years through five years, Weighted Average Rate (as a percent) | 2.01% | ' | 2.01% | ' | 2.56% |
Thereafter, Weighted Average Rate (as a percent) | 2.27% | ' | 2.27% | ' | 2.54% |
Total par value, Weighted Average Rate (as a percent) | 0.88% | ' | 0.88% | ' | 1.11% |
Percentage of Total | ' | ' | ' | ' | ' |
One year or less, Percentage of Total (as a percent) | 61.36% | ' | 61.36% | ' | 66.25% |
Over one year through two years, Percentage of Total (as a percent) | 16.05% | ' | 16.05% | ' | 12.54% |
Over two years through three years, Percentage of Total (as a percent) | 4.63% | ' | 4.63% | ' | 9.00% |
Over three years through four years, Percentage of Total (as a percent) | 2.01% | ' | 2.01% | ' | 1.75% |
Over four years through five years, Percentage of Total (as a percent) | 4.39% | ' | 4.39% | ' | 2.38% |
Thereafter, Percentage of Total (as a percent) | 11.56% | ' | 11.56% | ' | 8.08% |
Total par value, Percentage of Total (as a percent) | 100.00% | ' | 100.00% | ' | 100.00% |
Amortization of bond premiums and discount | 13,400,000 | 15,200,000 | 42,700,000 | 44,300,000 | ' |
Amortization of basis adjustments from terminated hedges | $900,000 | $1,100,000 | $2,700,000 | $3,300,000 | ' |
Consolidated_Obligations_Detai2
Consolidated Obligations. (Details 3) (Consolidated obligation - bonds, USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Interest rate payment terms | ' | ' |
Total par value | $69,857,450 | $63,825,085 |
Bond premiums | 77,274 | 102,225 |
Bond discounts | -25,700 | -23,566 |
Hedge value basis adjustments | 366,963 | 804,174 |
Hedge basis adjustments on terminated hedges | 76,074 | 63,520 |
Fair value option valuation adjustments and accrued interest | 9,327 | 12,883 |
Total Consolidated obligation-bonds | 70,361,388 | 64,784,321 |
Total par value, Percentage of Total (as a percent) | 100.00% | 100.00% |
Fixed-rate, non-callable | ' | ' |
Interest rate payment terms | ' | ' |
Total par value | 53,301,950 | 48,184,085 |
Total par value, Percentage of Total (as a percent) | 76.30% | 75.49% |
Fixed-rate, callable | ' | ' |
Interest rate payment terms | ' | ' |
Total par value | 6,449,500 | 2,685,000 |
Total par value, Percentage of Total (as a percent) | 9.23% | 4.21% |
Step Up, callable | ' | ' |
Interest rate payment terms | ' | ' |
Total par value | 2,126,000 | 1,221,000 |
Total par value, Percentage of Total (as a percent) | 3.04% | 1.91% |
Step Down, callable | ' | ' |
Interest rate payment terms | ' | ' |
Total par value | 25,000 | ' |
Total par value, Percentage of Total (as a percent) | 0.04% | ' |
Single-index floating rate | ' | ' |
Interest rate payment terms | ' | ' |
Total par value | $7,955,000 | $11,735,000 |
Total par value, Percentage of Total (as a percent) | 11.39% | 18.39% |
Consolidated_Obligations_Detai3
Consolidated Obligations. (Details 4) (Consolidated obligation - discount notes, USD $) | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 |
In Thousands, unless otherwise specified | Maximum | ||
Discount Notes | ' | ' | ' |
Original maturity | ' | ' | '1 year |
Par value | $42,266,370 | $29,785,543 | ' |
Amortized cost | 42,261,308 | 29,776,704 | ' |
Fair value option valuation adjustments | 808 | 3,243 | ' |
Total consolidated obligation - discount notes | $42,262,116 | $29,779,947 | ' |
Weighted average interest rate (as a percent) | 0.06% | 0.13% | ' |
Affordable_Housing_Program_Det
Affordable Housing Program. (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | ||
Changes in Affordable Housing Program liabilities | ' | ' | ' | ' | ||
Beginning balance | $122,251 | $131,960 | $134,942 | $127,454 | ||
Additions from current period's assessments | 6,920 | 9,870 | 24,138 | 30,936 | ||
Net disbursements for grants and programs | -9,385 | -6,075 | -39,294 | [1] | -22,635 | [1] |
Ending balance | $119,786 | $135,755 | $119,786 | $135,755 | ||
[1] | AHP payments =beginning accrual - ending accrual) + AHP assessment for the period; payments represent funds released to the Affordable Housing Program. |
Capital_Stock_Mandatorily_Rede2
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 |
Item | Minimum | Capital Stock Class B | ||
Item | ||||
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | ' | ' | ' | ' |
Only price at which capital stock can be issued, exchanged, redeemed and repurchased, stated par value per share (in dollars per share) | $100 | $100 | ' | ' |
Details of capital stock | ' | ' | ' | ' |
Notice period required for stock redemption | ' | ' | ' | '5 years |
Sub-classes of class of capital stock | ' | ' | ' | 2 |
Regulatory Capital Ratio, Required (as a percent) | ' | ' | 4.00% | ' |
Capital requirements that the Company is subject to | 3 | ' | ' | ' |
Minimum leverage ratio (as a percent) | 5.00% | ' | ' | ' |
Weighting factor applicable to the permanent capital used in determining compliance with minimum leverage ratio | 1.5 | ' | ' | ' |
Weighting factor applicable to the nonpermanent capital used in determining compliance with minimum leverage ratio | 1 | ' | ' | ' |
Capital_Stock_Mandatorily_Rede3
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. (Details 2) (USD $) | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 |
Item | ||
Regulatory capital requirements | ' | ' |
Leverage ratio (as a percent) | 5.00% | ' |
Restricted Retained Earnings | ' | ' |
Percentage of net income each FHLBank will 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% | ' |
Restricted retained earnings | $139,503 | $96,185 |
Number of Federal Home Loan Banks | 12 | ' |
Minimum percentage of FHLBank's average balance of outstanding consolidated obligations for restricted retained earnings | 1.00% | ' |
Required | ' | ' |
Regulatory capital requirements | ' | ' |
Risk-based capital | 632,097 | 489,133 |
Total capital-to-asset ratio (as a percent) | 4.00% | 4.00% |
Total capital | 4,855,446 | 4,119,552 |
Leverage ratio (as a percent) | 5.00% | 5.00% |
Leverage capital | 6,069,307 | 5,149,440 |
Percentage applied to total assets to derive required "Total capital" | 4.00% | ' |
Actual | ' | ' |
Regulatory capital requirements | ' | ' |
Risk-based capital | 6,469,647 | 5,714,352 |
Total capital-to-asset ratio (as a percent) | 5.33% | 5.55% |
Total capital | 6,469,647 | 5,714,352 |
Leverage ratio (as a percent) | 7.99% | 8.32% |
Leverage capital | $9,704,471 | $8,571,529 |
Multiplier applied to actual "Risk-based capital" to derive actual "Leverage capital" | 1.5 | ' |
Capital_Stock_Mandatorily_Rede4
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. (Details 3) (USD $) | Sep. 30, 2013 | Jun. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2012 | Dec. 31, 2011 |
In Thousands, unless otherwise specified | ||||||
Anticipated redemption of mandatorily redeemable capital stock | ' | ' | ' | ' | ' | ' |
Redemption less than one year | $4,081 | ' | $2,582 | ' | ' | ' |
Redemption from one year to less than three years | 226 | ' | 698 | ' | ' | ' |
Redemption from three years to less than five years | 16,528 | ' | 5,210 | ' | ' | ' |
Redemption from five years or greater | 2,783 | ' | 14,653 | ' | ' | ' |
Total | $23,618 | $25,437 | $23,143 | $20,494 | $42,035 | $54,827 |
Capital_Stock_Mandatorily_Rede5
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. (Details 4) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
member | member | member | member | |
Changes in mandatorily redeemable capital stock liabilities during the period | ' | ' | ' | ' |
Beginning balance | $25,437 | $42,035 | $23,143 | $54,827 |
Capital stock subject to mandatory redemption reclassified from equity | 390 | ' | 4,452 | 45 |
Redemption of mandatorily redeemable capital stock | -2,209 | -21,541 | -3,977 | -34,378 |
Ending balance | 23,618 | 20,494 | 23,618 | 20,494 |
Accrued interest payable | $250 | $398 | $250 | $398 |
Annualized accrual rates for the period (as a percent) | ' | ' | 4.00% | 4.50% |
Withdrawals and terminations in membership | ' | ' | ' | ' |
Voluntary Termination/Notices Received and Pending | 1 | 1 | 2 | 1 |
Involuntary Termination | ' | ' | 1 | 2 |
Non-member due to merger | 1 | ' | 2 | ' |
Total_Comprehensive_Income_Det
Total Comprehensive Income (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Change in Accumulated Other Comprehensive Income (Loss) | ' | ' | ' | ' |
Balance at the beginning of the period | ($120,512) | ($203,652) | ($199,380) | ($190,427) |
Other comprehensive income (loss) before reclassification - Net unrealized gains (losses) | -4,065 | -8,956 | 66,931 | -31,284 |
Other comprehensive income (loss) before reclassification - Non-credit OTTI loss | ' | ' | ' | -132 |
Other comprehensive income (loss) before reclassification - Accretion of non-credit loss | 2,511 | 2,908 | 7,760 | 8,154 |
Reclassification from OCI to net income - Non-credit OTTI to credit OTTI | ' | 534 | ' | 1,622 |
Reclassification from OCI to net income - Amortization - hedging activities | 780 | 1,058 | 2,642 | 3,272 |
Reclassification from OCI to net income - Amortization - pension and postretirement | 381 | 344 | 1,142 | 1,031 |
Total other comprehensive (loss) income | -393 | -4,112 | 78,475 | -17,337 |
Balance at the end of the period | -120,905 | -207,764 | -120,905 | -207,764 |
Net unrealized gains (losses) on AFS Securities | ' | ' | ' | ' |
Change in Accumulated Other Comprehensive Income (Loss) | ' | ' | ' | ' |
Balance at the beginning of the period | 19,464 | 21,564 | 22,506 | 16,419 |
Other comprehensive income (loss) before reclassification - Net unrealized gains (losses) | -5,501 | 1,742 | -8,543 | 6,887 |
Total other comprehensive (loss) income | -5,501 | 1,742 | -8,543 | 6,887 |
Balance at the end of the period | 13,963 | 23,306 | 13,963 | 23,306 |
Non-credit OTTI on HTM Securities | ' | ' | ' | ' |
Change in Accumulated Other Comprehensive Income (Loss) | ' | ' | ' | ' |
Balance at the beginning of the period | -58,222 | -69,647 | -63,471 | -75,849 |
Other comprehensive income (loss) before reclassification - Non-credit OTTI loss | ' | ' | ' | -132 |
Other comprehensive income (loss) before reclassification - Accretion of non-credit loss | 2,511 | 2,908 | 7,760 | 8,154 |
Reclassification from OCI to net income - Non-credit OTTI to credit OTTI | ' | 534 | ' | 1,622 |
Total other comprehensive (loss) income | 2,511 | 3,442 | 7,760 | 9,644 |
Balance at the end of the period | -55,711 | -66,205 | -55,711 | -66,205 |
Net unrealized gains (losses) relating to Hedging activities | ' | ' | ' | ' |
Change in Accumulated Other Comprehensive Income (Loss) | ' | ' | ' | ' |
Balance at the beginning of the period | -61,214 | -137,244 | -137,114 | -111,985 |
Other comprehensive income (loss) before reclassification - Net unrealized gains (losses) | 1,436 | -10,698 | 75,474 | -38,171 |
Reclassification from OCI to net income - Amortization - hedging activities | 780 | 1,058 | 2,642 | 3,272 |
Total other comprehensive (loss) income | 2,216 | -9,640 | 78,116 | -34,899 |
Balance at the end of the period | -58,998 | -146,884 | -58,998 | -146,884 |
Pension and postretirement benefits | ' | ' | ' | ' |
Change in Accumulated Other Comprehensive Income (Loss) | ' | ' | ' | ' |
Balance at the beginning of the period | -20,540 | -18,325 | -21,301 | -19,012 |
Reclassification from OCI to net income - Amortization - pension and postretirement | 381 | 344 | 1,142 | 1,031 |
Total other comprehensive (loss) income | 381 | 344 | 1,142 | 1,031 |
Balance at the end of the period | ($20,159) | ($17,981) | ($20,159) | ($17,981) |
Earnings_Per_Share_of_Capital_1
Earnings Per Share of Capital. (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, except Per Share data, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Earnings Per Share of Capital. | ' | ' | ' | ' |
Number of dilutive potential common shares or other common stock equivalents | 0 | 0 | 0 | 0 |
Net income | $61,336 | $88,441 | $215,820 | $276,858 |
Net income available to stockholders | $61,336 | $88,441 | $215,820 | $276,858 |
Weighted average shares of capital (in shares) | 53,484 | 48,934 | 48,929 | 46,677 |
Less: Mandatorily redeemable capital stock (in shares) | -248 | -352 | -243 | -423 |
Average number of shares of capital used to calculate earnings per share (in shares) | 53,236 | 48,582 | 48,686 | 46,254 |
Basic earnings per share (in dollars per share) | $1.15 | $1.81 | $4.43 | $5.99 |
Employee_Retirement_Plans_Deta
Employee Retirement Plans. (Details) (USD $) | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | 3 Months Ended | 9 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | 3 Months Ended | 9 Months Ended | 1 Months Ended | 9 Months Ended | 12 Months Ended | |||||||||||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Jul. 31, 2012 | Jul. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | |
Benefit Equalization Plan (defined benefit) | Benefit Equalization Plan (defined benefit) | Benefit Equalization Plan (defined benefit) | Benefit Equalization Plan (defined benefit) | Benefit Equalization Plan (defined benefit) | Postretirement Health Benefit Plan | Postretirement Health Benefit Plan | Postretirement Health Benefit Plan | Postretirement Health Benefit Plan | Postretirement Health Benefit Plan | Postretirement Health Benefit Plan | Postretirement Health Benefit Plan | Postretirement Health Benefit Plan | Postretirement Health Benefit Plan | Postretirement Health Benefit Plan | Pentegra plan | Pentegra plan | Pentegra plan | Pentegra plan | Pentegra plan | Pentegra plan | Pentegra plan | Pentegra plan | |||||
Weighted average | Weighted average | Pre 65 | Pre 65 | Post 65 | Post 65 | Defined Benefit Plan ("DB Plan") | Defined Benefit Plan ("DB Plan") | Defined Benefit Plan ("DB Plan") | Defined Benefit Plan ("DB Plan") | Defined Benefit Plan ("DB Plan") | Defined Benefit Plan ("DB Plan") | Defined Benefit Plan ("DB Plan") | Defined Benefit Plan ("DB Plan") | ||||||||||||||
Pension provisions, old methodology | Pension provisions, relief bill | Pension provisions, relief bill | Pension provisions, relief bill | ||||||||||||||||||||||||
Item | |||||||||||||||||||||||||||
Summary of retirement plan expenses | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Funded plan assets | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0 | ' | $0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Employee retirement plan expenses, charged to compensation and benefits expense | 1,948,000 | 1,834,000 | 5,861,000 | 6,473,000 | 989,000 | 908,000 | 2,967,000 | 2,725,000 | ' | 383,000 | 372,000 | 1,151,000 | 1,119,000 | ' | ' | ' | ' | ' | ' | 189,000 | 175,000 | 567,000 | 1,485,000 | ' | ' | ' | ' |
Calculation basis of future pension obligations, number of segment rates | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3 | ' | ' | ' |
Calculation basis of future pension obligations, period for segment rates | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '24 months | ' | ' | ' |
Calculation basis of future pension obligations, period for segment rates under relief bill | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '25 years | ' | ' |
Multiemployer plan disclosure | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Contributions | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 700,000 | 700,000 |
Components of net periodic pension cost | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Service cost | ' | ' | ' | ' | 216,000 | 191,000 | 648,000 | 574,000 | ' | 236,000 | 209,000 | 709,000 | 629,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest cost | ' | ' | ' | ' | 338,000 | 325,000 | 1,014,000 | 975,000 | ' | 202,000 | 212,000 | 605,000 | 636,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amortization of unrecognized loss | ' | ' | ' | ' | 448,000 | 406,000 | 1,345,000 | 1,216,000 | ' | 106,000 | 134,000 | 319,000 | 402,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amortization of unrecognized prior service cost/(credit) | ' | ' | ' | ' | -13,000 | -14,000 | -40,000 | -40,000 | ' | -161,000 | -183,000 | -482,000 | -548,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net periodic benefit cost | ' | ' | ' | ' | 989,000 | 908,000 | 2,967,000 | 2,725,000 | ' | 383,000 | 372,000 | 1,151,000 | 1,119,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Key assumptions and other information for the actuarial calculations to determine current period's benefit obligations | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Discount rate (as a percent) | ' | ' | ' | ' | 3.80% | ' | 3.80% | ' | 3.80% | ' | ' | ' | ' | 3.80% | 3.80% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Salary increases (as a percent) | ' | ' | ' | ' | 5.50% | ' | 5.50% | ' | 5.50% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amortization period | ' | ' | ' | ' | ' | ' | '7 years | ' | '7 years | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Benefits paid, forecast for the period ended December 31, 2013 | ' | ' | ' | ' | -1,321,000 | ' | -1,321,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Benefits paid | ' | ' | ' | ' | ' | ' | ' | ' | -759,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Health care cost trend rates | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assumed for next year (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 7.50% | 7.50% | 7.50% | 7.50% | ' | ' | ' | ' | ' | ' | ' | ' |
Ultimate rate (as a percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 5.00% | 5.00% | 5.50% | 5.50% | ' | ' | ' | ' | ' | ' | ' | ' |
Year that ultimate rate is reached | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '2018 | '2018 | '2018 | '2018 | ' | ' | ' | ' | ' | ' | ' | ' |
Retirement plan expenses | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Defined Contribution Plan, retirement plan expenses | $387,000 | $379,000 | $1,176,000 | $1,144,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Derivatives_and_Hedging_Activi2
Derivatives and Hedging Activities. (Details) (USD $) | 9 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 9 Months Ended | ||||||||||||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 |
entity | Maximum | Consolidated obligation - bonds | Discount notes | Fixed-rate Advances with a LIBOR cap | Intermediation | Intermediation | Economic hedges | Economic hedges | Economic hedges | Economic hedges | Economic hedges | Economic hedges | Economic hedges | Cash flow hedges | Cash flow hedges | ||
Item | Maximum | Item | Swaps | Swaps | Interest rate swaps | Interest rate swaps | Basis swaps | Intermediation | Intermediation | Interest rate swaps | Interest rate swaps | ||||||
Consolidated obligation - bonds | Swaps | Swaps | Discount notes | Discount notes | |||||||||||||
Maximum | |||||||||||||||||
Derivatives and Hedging Activities. | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of ways in which derivatives are used | 3 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Minimum number of FHLBanks individually serving as counterparties to derivative agreements associated with specific debt issues | 1 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Minimum number of FHLBanks for which fixed-rate consolidated obligations are issued | 1 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Hedging activities | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Variable-rate consolidated obligations bonds indexed to reference rate | ' | ' | ' | '1 month-LIBOR, the U.S. Prime rate, or Federal funds rate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '3-month LIBOR | ' |
Basis swap rate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '3-month LIBOR | ' | ' | ' | ' |
Maturity period of advances | ' | ' | '30 years | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Variable rate basis | ' | ' | ' | ' | ' | '3-month LIBOR rate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Multiplier | ' | ' | ' | ' | ' | 1 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Floor (as a percent) | ' | ' | ' | ' | ' | 0.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Notional amounts outstanding | $107,645,470 | $103,505,508 | ' | ' | ' | ' | $205,000 | $265,000 | $31,646,259 | $25,554,974 | $28,524,270 | $23,099,757 | ' | $410,000 | $530,000 | ' | ' |
Maturity period of discount notes | ' | ' | ' | ' | '1 year | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '91 days | ' |
Term of borrowing program | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '15 years |
Interest rate swap settlement period/period for each forecasted discount note issuance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '91 days | ' |
Derivatives_and_Hedging_Activi3
Derivatives and Hedging Activities. (Details 2) (USD $) | 9 Months Ended | |
Sep. 30, 2013 | Dec. 31, 2012 | |
Item | ||
Derivatives and Hedging Activities. | ' | ' |
Minimum number of derivative transactions outstanding with a counterparty | 1 | ' |
Derivative instruments - Nettable | ' | ' |
Gross recognized amount | $673,286,000 | $966,523,000 |
Gross amount of netting adjustments and cash collateral | -629,914,000 | -924,638,000 |
Net amounts after offsetting adjustments | 43,372,000 | 41,885,000 |
Derivative assets | ' | ' |
Total derivative assets after cash collateral presented in the Statements of Condition | 43,536,000 | 41,894,000 |
Non-cash collateral received or pledged not offset | ' | ' |
Cannot be sold or repledged | 4,069,000 | 7,377,000 |
Net unsecured amount | ' | ' |
Net unsecured amount | 39,467,000 | 34,517,000 |
Derivative instruments - Nettable | ' | ' |
Gross recognized amount | 2,719,663,000 | 3,890,253,000 |
Gross amount of netting adjustments and cash collateral | -2,331,343,000 | -3,463,506,000 |
Net amounts after offsetting adjustments | 388,320,000 | 426,747,000 |
Derivative liabilities | ' | ' |
Total derivative liabilities after cash collateral presented in the Statements of Condition | 388,320,000 | 426,788,000 |
Net unsecured amount | ' | ' |
Net unsecured amount | 388,320,000 | 426,788,000 |
Cash collateral received and netted against receivable | 1,600,000 | 7,700,000 |
Net exposures after offsetting adjustments | 43,500,000 | 41,900,000 |
Cash collateral posted and netted against liability | 1,703,028,000 | 2,546,568,000 |
Delivery Commitments | ' | ' |
Derivative instruments - Not Nettable | ' | ' |
Derivative instruments - Not Nettable | 164,000 | 9,000 |
Non-cash collateral received or pledged not offset | ' | ' |
Cannot be sold or repledged | 164,000 | 9,000 |
Derivative instruments - Not Nettable | ' | ' |
Derivative instruments - Not Nettable | ' | 41,000 |
Net unsecured amount | ' | ' |
Cash collateral received and netted against receivable | 0 | 0 |
Cash collateral posted and netted against liability | 0 | 0 |
Delivery Commitments | Maximum | ' | ' |
Net unsecured amount | ' | ' |
Period of forward mortgage delivery commitments | '45 days | ' |
Bilateral derivatives | ' | ' |
Derivative instruments - Nettable | ' | ' |
Gross recognized amount | 664,733,000 | 966,523,000 |
Gross amount of netting adjustments and cash collateral | -655,777,000 | -924,638,000 |
Net amounts after offsetting adjustments | 8,956,000 | 41,885,000 |
Non-cash collateral received or pledged not offset | ' | ' |
Cannot be sold or repledged | 3,905,000 | 7,368,000 |
Net unsecured amount | ' | ' |
Net unsecured amount | 5,051,000 | 34,517,000 |
Derivative instruments - Nettable | ' | ' |
Gross recognized amount | 2,651,656,000 | 3,890,253,000 |
Gross amount of netting adjustments and cash collateral | -2,263,336,000 | -3,463,506,000 |
Net amounts after offsetting adjustments | 388,320,000 | 426,747,000 |
Net unsecured amount | ' | ' |
Net unsecured amount | 388,320,000 | 426,788,000 |
Cleared derivatives | ' | ' |
Derivative instruments - Nettable | ' | ' |
Gross recognized amount | 8,553,000 | ' |
Gross amount of netting adjustments and cash collateral | 25,863,000 | ' |
Net amounts after offsetting adjustments | 34,416,000 | ' |
Net unsecured amount | ' | ' |
Net unsecured amount | 34,416,000 | ' |
Derivative instruments - Nettable | ' | ' |
Gross recognized amount | 68,007,000 | ' |
Gross amount of netting adjustments and cash collateral | ($68,007,000) | ' |
Derivatives_and_Hedging_Activi4
Derivatives and Hedging Activities. (Details 3) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 |
In Millions, unless otherwise specified | Cleared derivatives | ||
Credit risk | ' | ' | ' |
Period for delivery of margin following execution of derivative instrument | ' | ' | '1 day |
Derivatives with potential nonperformance risk to counterparties | ' | ' | ' |
Derivatives in a net unrealized loss/net liability position and subject to nonperformance risk to exposed counterparties, aggregate fair value | $388.30 | $426.80 | ' |
Cash collateral pledged | $1,700 | $2,500 | ' |
Derivatives_and_Hedging_Activi5
Derivatives and Hedging Activities. (Details 4) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ' | ' |
Notional Amount of Derivatives | $107,645,470 | $103,505,508 |
Derivative Assets | ' | ' |
Total derivatives before netting and collateral adjustment | 673,450 | 966,532 |
Netting adjustments | -628,314 | -916,938 |
Net before cash collateral | 45,136 | 49,594 |
Cash collateral and related accrued interest | -1,600 | -7,700 |
Total derivative assets after cash collateral presented in the Statements of Condition | 43,536 | 41,894 |
Derivative Liabilities | ' | ' |
Total derivatives before netting and collateral adjustment | 2,719,662 | 3,890,294 |
Netting adjustments | -628,314 | -916,938 |
Net before cash collateral | 2,091,348 | 2,973,356 |
Cash collateral and related accrued interest | -1,703,028 | -2,546,568 |
Total derivative liabilities after cash collateral presented in the Statements of Condition | 388,320 | 426,788 |
Mortgage delivery commitments | ' | ' |
Derivative Assets | ' | ' |
Cash collateral and related accrued interest | 0 | 0 |
Derivative Liabilities | ' | ' |
Cash collateral and related accrued interest | 0 | 0 |
Member intermediation | Swaps | ' | ' |
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ' | ' |
Notional Amount of Derivatives | 205,000 | 265,000 |
Derivatives designated as hedging instruments | ' | ' |
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ' | ' |
Notional Amount of Derivatives | 75,999,211 | 77,950,534 |
Derivative Assets | ' | ' |
Total derivatives before netting and collateral adjustment | 632,530 | 927,282 |
Derivative Liabilities | ' | ' |
Total derivatives before netting and collateral adjustment | 2,710,955 | 3,880,110 |
Derivatives designated as hedging instruments | Interest rate swaps | Fair value hedges | ' | ' |
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ' | ' |
Notional Amount of Derivatives | 74,711,711 | 76,844,534 |
Derivative Assets | ' | ' |
Total derivatives before netting and collateral adjustment | 620,486 | 925,635 |
Derivative Liabilities | ' | ' |
Total derivatives before netting and collateral adjustment | 2,648,132 | 3,753,684 |
Derivatives designated as hedging instruments | Interest rate swaps | Cash flow hedges | ' | ' |
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ' | ' |
Notional Amount of Derivatives | 1,287,500 | 1,106,000 |
Derivative Assets | ' | ' |
Total derivatives before netting and collateral adjustment | 12,044 | 1,647 |
Derivative Liabilities | ' | ' |
Total derivatives before netting and collateral adjustment | 62,823 | 126,426 |
Derivatives not designated as hedging instruments | ' | ' |
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ' | ' |
Notional Amount of Derivatives | 31,646,259 | 25,554,974 |
Derivative Assets | ' | ' |
Total derivatives before netting and collateral adjustment | 40,920 | 39,250 |
Derivative Liabilities | ' | ' |
Total derivatives before netting and collateral adjustment | 8,707 | 10,184 |
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 | 28,524,270 | 23,099,757 |
Derivative Assets | ' | ' |
Total derivatives before netting and collateral adjustment | 11,120 | 27,486 |
Derivative Liabilities | ' | ' |
Total derivatives before netting and collateral adjustment | 4,631 | 2,939 |
Derivatives not designated as hedging instruments | Interest rate caps or floors | ' | ' |
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ' | ' |
Notional Amount of Derivatives | 2,700,000 | 1,900,000 |
Derivative Assets | ' | ' |
Total derivatives before netting and collateral adjustment | 25,364 | 4,221 |
Derivative Liabilities | ' | ' |
Total derivatives before netting and collateral adjustment | 11 | 12 |
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 | 11,989 | 25,217 |
Derivative Assets | ' | ' |
Total derivatives before netting and collateral adjustment | 164 | 9 |
Derivative Liabilities | ' | ' |
Total derivatives before netting and collateral adjustment | ' | 41 |
Derivatives not designated as hedging instruments | Member intermediation | Swaps | ' | ' |
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ' | ' |
Notional Amount of Derivatives | 410,000 | 530,000 |
Derivative Assets | ' | ' |
Total derivatives before netting and collateral adjustment | 4,272 | 7,534 |
Derivative Liabilities | ' | ' |
Total derivatives before netting and collateral adjustment | $4,065 | $7,192 |
Derivatives_and_Hedging_Activi6
Derivatives and Hedging Activities. (Details 5) (USD $) | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | |||||||||||||||||||||||||||||||||||||||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2012 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |
Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Derivatives not designated as hedging instruments | Fair value hedges | Fair value hedges | Fair value hedges | Fair value hedges | Fair value hedges | Fair value hedges | Fair value hedges | Fair value hedges | Fair value hedges | Fair value hedges | Fair value hedges | Fair value hedges | Fair value hedges | Fair value hedges | Fair value hedges | Fair value hedges | Fair value hedges | Fair value hedges | Fair value hedges | Fair value hedges | Fair value hedges | Fair value hedges | Cash flow hedges | Cash flow hedges | Cash flow hedges | Cash flow hedges | |||||
Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate caps or floors | Interest rate caps or floors | Interest rate caps or floors | Interest rate caps or floors | Interest rate caps or floors | Interest rate caps or floors | Interest rate caps or floors | Interest rate caps or floors | Mortgage delivery commitments | Mortgage delivery commitments | Mortgage delivery commitments | Mortgage delivery commitments | Swaps economically hedging instruments designated under FVO | Swaps economically hedging instruments designated under FVO | Swaps economically hedging instruments designated under FVO | Swaps economically hedging instruments designated under FVO | Swaps economically hedging instruments designated under FVO | Swaps economically hedging instruments designated under FVO | Swaps economically hedging instruments designated under FVO | Swaps economically hedging instruments designated under FVO | Swaps economically hedging instruments designated under FVO | Swaps economically hedging instruments designated under FVO | Swaps economically hedging instruments designated under FVO | Swaps economically hedging instruments designated under FVO | Interest rate swap with options | Interest rate swap with options | Interest rate swap with options | Interest rate swap with options | Interest rate swap with options | Interest rate swap with options | Interest rate swap with options | Interest rate swap with options | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | Interest rate swaps | |||||||||
Accrued interest | Accrued interest | Accrued interest | Accrued interest | Advances | Advances | Advances | Advances | Consolidated obligation - bonds | Consolidated obligation - bonds | Consolidated obligation - bonds | Consolidated obligation - bonds | Consolidated obligation - discount notes | Intermediation | Intermediation | Intermediation | Intermediation | Intermediation | Intermediation | Intermediation | Intermediation | Advances | Advances | Advances | Advances | Balance sheet hedges | Balance sheet hedges | Balance sheet hedges | Balance sheet hedges | Accrued interest | Accrued interest | Accrued interest | Accrued interest | Consolidated obligation - bonds | Consolidated obligation - bonds | Consolidated obligation - bonds | Consolidated obligation - bonds | Consolidated obligation - discount notes | Consolidated obligation - discount notes | Consolidated obligation - discount notes | Consolidated obligation - discount notes | Prior period error correction in current period, overstatement of derivative valuations | Prior period error correction in current period, overstatement of derivative valuations | Prior period error correction in current period, overstatement of derivative valuations | Prior period error correction in current period, overstatement of derivative valuations | Prior period error correction in current period, overstatement of derivative valuations | Prior period error correction in current period, overstatement of derivative valuations | Advances | Advances | Advances | Advances | Consolidated obligation - bonds | Consolidated obligation - bonds | Consolidated obligation - bonds | Consolidated obligation - bonds | Consolidated obligation - discount notes | Consolidated obligation - discount notes | |||||||||||||||||||||||
Accrued interest | Accrued interest | Accrued interest | Accrued interest | Prior period overstatement | Prior period overstatement | Prior period overstatement | Prior period overstatement | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Components of net gains/(losses) on derivatives and hedging activities as presented in the Statements of Income | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Gains (Losses) on Derivative | $12,367,000 | ($104,164,000) | $746,778,000 | ($81,842,000) | $3,561,000 | $13,963,000 | $2,685,000 | $37,401,000 | $412,000 | $535,000 | $4,157,000 | ($4,061,000) | $125,000 | $55,000 | $808,000 | $922,000 | ($465,000) | $2,252,000 | ($6,492,000) | $24,627,000 | ($6,000) | ($44,000) | ($24,000) | ($134,000) | ($112,000) | $43,000 | $46,000 | $134,000 | $138,000 | ($19,000) | ($19,000) | ($56,000) | ($56,000) | ($3,962,000) | ($4,584,000) | $976,000 | ($11,772,000) | $258,000 | $101,000 | ($1,651,000) | $1,428,000 | $3,215,000 | $2,751,000 | $15,121,000 | $3,208,000 | $3,864,000 | $11,276,000 | ($8,806,000) | $20,313,000 | $134,000 | $1,574,000 | ($1,372,000) | $2,772,000 | ($12,100,000) | $2,200,000 | ' | ' | $8,100,000 | $4,100,000 | $4,700,000 | $300,000 | $8,760,000 | ($118,127,000) | $744,094,000 | ($119,029,000) | $36,195,000 | ($109,280,000) | $1,161,401,000 | ($113,036,000) | ($27,435,000) | ($8,821,000) | ($417,307,000) | ($6,060,000) | ($26,000) | $67,000 | $46,000 | ' | ($1,000) | ($214,000) |
Gains (Losses) on Hedged Item | -24,459,000 | 119,119,000 | -744,611,000 | 120,632,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -24,459,000 | 119,119,000 | -744,611,000 | 120,632,000 | -51,692,000 | 110,150,000 | -1,162,494,000 | 114,841,000 | 27,233,000 | 8,963,000 | 417,883,000 | 7,258,000 | 6,000 | -1,467,000 | ' | ' | ' | ' |
Earnings Impact | -12,092,000 | 14,955,000 | 2,167,000 | 38,790,000 | 3,561,000 | 13,963,000 | 2,685,000 | 37,401,000 | 412,000 | 535,000 | 4,157,000 | -4,061,000 | 125,000 | 55,000 | 808,000 | 922,000 | -465,000 | 2,252,000 | -6,492,000 | 24,627,000 | -6,000 | -44,000 | -24,000 | -134,000 | -112,000 | 43,000 | 46,000 | 134,000 | 138,000 | -19,000 | -19,000 | -56,000 | -56,000 | -3,962,000 | -4,584,000 | 976,000 | -11,772,000 | 258,000 | 101,000 | -1,651,000 | 1,428,000 | 3,215,000 | 2,751,000 | 15,121,000 | 3,208,000 | 3,864,000 | 11,276,000 | -8,806,000 | 20,313,000 | 134,000 | 1,574,000 | -1,372,000 | 2,772,000 | ' | ' | ' | ' | ' | ' | ' | ' | -15,699,000 | 992,000 | -517,000 | 1,603,000 | -15,497,000 | 870,000 | -1,093,000 | 1,805,000 | -202,000 | 142,000 | 576,000 | 1,198,000 | -20,000 | -1,400,000 | 46,000 | ' | -1,000 | -214,000 |
Net interest income | 105,963,000 | 117,496,000 | 304,183,000 | 359,659,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -183,812,000 | -219,204,000 | -539,888,000 | -662,525,000 | -255,141,000 | -297,789,000 | -784,460,000 | -912,868,000 | 71,329,000 | 78,561,000 | 244,572,000 | 249,106,000 | 24,000 | 1,237,000 | -8,293,000 | -6,913,000 | -23,142,000 | -19,356,000 |
Out-of-period adjustment, negative impact to current period earnings | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $17,200,000 | $5,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Derivatives_and_Hedging_Activi7
Derivatives and Hedging Activities. (Details 6) (USD $) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | |
Derivative instruments | ' | ' | ' | ' | ' |
Notional amounts outstanding | $107,645,470,000 | ' | $107,645,470,000 | ' | $103,505,508,000 |
Amounts reclassified into earnings as a result of discontinuance of cash flow hedges because, original forecasted transactions not probable to occur by the end of originally specified time period or within a two-month period thereafter | 0 | 0 | 0 | 0 | ' |
Interest rate swaps | Consolidated obligation - bonds | ' | ' | ' | ' | ' |
Derivative instruments | ' | ' | ' | ' | ' |
Unrecognized losses in AOCI to be recognized over the next 12 months as a yield adjustment (expenses) to consolidated bond interest expense | ' | ' | 2,900,000 | ' | ' |
Interest rate swaps | Consolidated obligation - bonds | Range, minimum | ' | ' | ' | ' | ' |
Derivative instruments | ' | ' | ' | ' | ' |
Cash flow hedge, maximum period of time of hedged exposure | ' | ' | '3 months | ' | ' |
Interest rate swaps | Consolidated obligation - bonds | Range, maximum | ' | ' | ' | ' | ' |
Derivative instruments | ' | ' | ' | ' | ' |
Cash flow hedge, maximum period of time of hedged exposure | ' | ' | '9 months | ' | ' |
Interest rate swaps | Consolidated obligation - bonds | Closed derivative contracts | ' | ' | ' | ' | ' |
Derivative instruments | ' | ' | ' | ' | ' |
Amounts in AOCI representing net unrecognized losses | 9,100,000 | ' | 9,100,000 | ' | 12,300,000 |
Interest rate swaps | Consolidated obligation - bonds | Open derivative contracts | ' | ' | ' | ' | ' |
Derivative instruments | ' | ' | ' | ' | ' |
Amounts in AOCI representing net unrecognized losses | 900,000 | ' | 900,000 | ' | ' |
Interest rate swaps | Consolidated obligation - discount notes | ' | ' | ' | ' | ' |
Derivative instruments | ' | ' | ' | ' | ' |
Cash flow hedge, maximum period of time of hedged exposure | ' | ' | '15 years | ' | ' |
Amounts in AOCI representing net unrecognized losses | 49,900,000 | ' | 49,900,000 | ' | 124,800,000 |
Cash flow hedges | Interest rate swaps | ' | ' | ' | ' | ' |
Derivative instruments | ' | ' | ' | ' | ' |
Recognized in AOCI | 1,436,000 | -10,698,000 | 75,474,000 | -38,171,000 | ' |
Amount Reclassified to Earnings | 780,000 | 1,058,000 | 2,642,000 | 3,272,000 | ' |
Ineffectiveness Recognized in Earnings | 46,000 | ' | -1,000 | -214,000 | ' |
Cash flow hedges | Interest rate swaps | Consolidated obligation - bonds | ' | ' | ' | ' | ' |
Derivative instruments | ' | ' | ' | ' | ' |
Recognized in AOCI | 261,000 | -113,000 | 600,000 | -2,095,000 | ' |
Ineffectiveness Recognized in Earnings | 46,000 | ' | -1,000 | -214,000 | ' |
Cash flow hedges | Interest rate swaps | Consolidated obligation - bonds | Interest Expense | ' | ' | ' | ' | ' |
Derivative instruments | ' | ' | ' | ' | ' |
Amount Reclassified to Earnings | 780,000 | 1,058,000 | 2,642,000 | 3,272,000 | ' |
Cash flow hedges | Interest rate swaps | Consolidated obligation - bonds | Open derivative contracts | ' | ' | ' | ' | ' |
Derivative instruments | ' | ' | ' | ' | ' |
Notional amounts outstanding | 31,500,000 | ' | 31,500,000 | ' | 0 |
Cash flow hedges | Interest rate swaps | Consolidated obligation - discount notes | ' | ' | ' | ' | ' |
Derivative instruments | ' | ' | ' | ' | ' |
Recognized in AOCI | 1,175,000 | -10,585,000 | 74,874,000 | -36,076,000 | ' |
Notional amounts outstanding | $1,300,000,000 | ' | $1,300,000,000 | ' | $1,100,000,000 |
Fair_Values_of_Financial_Instr2
Fair Values of Financial Instruments. (Details) (USD $) | Sep. 30, 2013 | Jun. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2012 | Dec. 31, 2011 |
In Thousands, unless otherwise specified | ||||||
Assets | ' | ' | ' | ' | ' | ' |
Cash and due from banks | $11,520,885 | ' | $7,553,188 | ' | ' | ' |
Federal funds sold | 4,878,000 | ' | 4,091,000 | ' | ' | ' |
Available-for-sale securities | 1,689,241 | ' | 2,308,774 | ' | ' | ' |
Held-to-maturity securities | 12,126,236 | ' | 11,456,556 | ' | ' | ' |
Advances | 89,121,435 | ' | 75,888,001 | ' | ' | ' |
Accrued interest receivable | 171,895 | ' | 179,044 | ' | ' | ' |
Derivative assets | 43,536 | ' | 41,894 | ' | ' | ' |
Liabilities | ' | ' | ' | ' | ' | ' |
Consolidated obligations - Bonds | 70,361,388 | ' | 64,784,321 | ' | ' | ' |
Consolidated obligations - Discount Notes | 42,262,116 | ' | 29,779,947 | ' | ' | ' |
Mandatorily redeemable capital stock | 23,618 | 25,437 | 23,143 | 20,494 | 42,035 | 54,827 |
Accrued interest payable | 143,900 | ' | 127,664 | ' | ' | ' |
Derivative liabilities | 388,320 | ' | 426,788 | ' | ' | ' |
Estimated Fair Value | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' |
Cash and due from banks | 11,520,885 | ' | 7,553,188 | ' | ' | ' |
Federal funds sold | 4,877,996 | ' | 4,091,010 | ' | ' | ' |
Available-for-sale securities | 1,689,241 | ' | 2,308,774 | ' | ' | ' |
Held-to-maturity securities | 12,126,236 | ' | 11,456,556 | ' | ' | ' |
Advances | 89,030,966 | ' | 75,880,070 | ' | ' | ' |
Mortgage loans held-for-portfolio, net | 1,939,187 | ' | 1,931,437 | ' | ' | ' |
Accrued interest receivable | 171,895 | ' | 179,044 | ' | ' | ' |
Derivative assets | 43,536 | ' | 41,894 | ' | ' | ' |
Other financial assets | 1,621 | ' | 533 | ' | ' | ' |
Liabilities | ' | ' | ' | ' | ' | ' |
Deposits | 1,590,950 | ' | 2,054,523 | ' | ' | ' |
Consolidated obligations - Bonds | 70,062,162 | ' | 64,942,869 | ' | ' | ' |
Consolidated obligations - Discount Notes | 42,264,081 | ' | 29,781,720 | ' | ' | ' |
Mandatorily redeemable capital stock | 23,618 | ' | 23,143 | ' | ' | ' |
Accrued interest payable | 143,900 | ' | 127,664 | ' | ' | ' |
Derivative liabilities | 388,320 | ' | 426,788 | ' | ' | ' |
Other financial liabilities | 93,046 | ' | 85,079 | ' | ' | ' |
Level 1 | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' |
Cash and due from banks | 11,520,885 | ' | 7,553,188 | ' | ' | ' |
Available-for-sale securities | 10,039 | ' | 9,633 | ' | ' | ' |
Liabilities | ' | ' | ' | ' | ' | ' |
Mandatorily redeemable capital stock | 23,618 | ' | 23,143 | ' | ' | ' |
Other financial liabilities | 93,046 | ' | 85,079 | ' | ' | ' |
Level 2 | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' |
Federal funds sold | 4,877,996 | ' | 4,091,010 | ' | ' | ' |
Available-for-sale securities | 1,679,202 | ' | 2,299,141 | ' | ' | ' |
Held-to-maturity securities | 10,961,322 | ' | 10,202,124 | ' | ' | ' |
Advances | 89,030,966 | ' | 75,880,070 | ' | ' | ' |
Mortgage loans held-for-portfolio, net | 1,939,187 | ' | 1,931,437 | ' | ' | ' |
Accrued interest receivable | 171,895 | ' | 179,044 | ' | ' | ' |
Derivative assets | 673,450 | ' | 966,532 | ' | ' | ' |
Other financial assets | 510 | ' | 364 | ' | ' | ' |
Liabilities | ' | ' | ' | ' | ' | ' |
Deposits | 1,590,950 | ' | 2,054,523 | ' | ' | ' |
Consolidated obligations - Bonds | 70,062,162 | ' | 64,942,869 | ' | ' | ' |
Consolidated obligations - Discount Notes | 42,264,081 | ' | 29,781,720 | ' | ' | ' |
Accrued interest payable | 143,900 | ' | 127,664 | ' | ' | ' |
Derivative liabilities | 2,719,663 | ' | 3,890,295 | ' | ' | ' |
Level 3 | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' |
Held-to-maturity securities | 1,164,914 | ' | 1,254,432 | ' | ' | ' |
Other financial assets | 1,111 | ' | 169 | ' | ' | ' |
Netting Adjustment and Cash Collateral | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' |
Derivative assets | -629,914 | ' | -924,638 | ' | ' | ' |
Liabilities | ' | ' | ' | ' | ' | ' |
Derivative liabilities | -2,331,343 | ' | -3,463,507 | ' | ' | ' |
Carrying Value | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' |
Cash and due from banks | 11,520,885 | ' | 7,553,188 | ' | ' | ' |
Federal funds sold | 4,878,000 | ' | 4,091,000 | ' | ' | ' |
Available-for-sale securities | 1,689,241 | ' | 2,308,774 | ' | ' | ' |
Held-to-maturity securities | 12,002,497 | ' | 11,058,764 | ' | ' | ' |
Advances | 89,121,435 | ' | 75,888,001 | ' | ' | ' |
Mortgage loans held-for-portfolio, net | 1,932,855 | ' | 1,842,816 | ' | ' | ' |
Accrued interest receivable | 171,895 | ' | 179,044 | ' | ' | ' |
Derivative assets | 43,536 | ' | 41,894 | ' | ' | ' |
Other financial assets | 1,621 | ' | 533 | ' | ' | ' |
Liabilities | ' | ' | ' | ' | ' | ' |
Deposits | 1,590,933 | ' | 2,054,511 | ' | ' | ' |
Consolidated obligations - Bonds | 70,361,388 | ' | 64,784,321 | ' | ' | ' |
Consolidated obligations - Discount Notes | 42,262,116 | ' | 29,779,947 | ' | ' | ' |
Mandatorily redeemable capital stock | 23,618 | ' | 23,143 | ' | ' | ' |
Accrued interest payable | 143,900 | ' | 127,664 | ' | ' | ' |
Derivative liabilities | 388,320 | ' | 426,788 | ' | ' | ' |
Other financial liabilities | $93,046 | ' | $85,079 | ' | ' | ' |
Fair_Values_of_Financial_Instr3
Fair Values of Financial Instruments. (Details 2) (USD $) | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 |
Performing | Minimum | MBS | MBS | MBS | GSE | Private-label MBS | Measured on a nonrecurring basis | |||
Item | Minimum | Maximum | MBS | Residential mortgage-backed securities | Private-label MBS | |||||
Item | Item | Maximum | Maximum | |||||||
Item | Item | |||||||||
Fair Values of Financial Instruments. | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Asset transfers in/out of Level 1, Level 2 or Level 3 | $0 | $0 | ' | ' | ' | ' | ' | ' | ' | ' |
Liability transfers in/out of Level 1, Level 2 or Level 3 | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' |
Summary of Valuation Techniques and Primary Inputs | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of third-party vendors | ' | ' | ' | ' | 4 | ' | 4 | ' | ' | ' |
Number of prices received when two middle prices used for average | ' | ' | ' | ' | 4 | ' | ' | ' | ' | ' |
Number of middle prices used for calculating average when four prices are received | ' | ' | ' | ' | 2 | ' | ' | ' | ' | ' |
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 | ' | ' | ' | ' | ' |
Number of third-party vendors, price available subject to additional validation | ' | ' | ' | ' | ' | 0 | 1 | ' | ' | ' |
Number of points from median price to be included among the cluster | ' | ' | ' | ' | ' | ' | ' | 3 | 10 | ' |
MBS deemed OTTI and written down to fair value | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 |
Maturity or repricing period of advances which requires a prepayment fee | ' | ' | ' | '6 months | ' | ' | ' | ' | ' | ' |
Quantitative threshold for significance factor, advances | ' | ' | ' | 10.00% | ' | ' | ' | ' | ' | ' |
Credit losses expected on mortgage loans | ' | ' | $0 | ' | ' | ' | ' | ' | ' | ' |
Fair_Values_of_Financial_Instr4
Fair Values of Financial Instruments. (Details 3) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Dec. 31, 2012 | Dec. 31, 2012 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | Private-label MBS | Private-label MBS | Estimated Fair Value | Estimated Fair Value | Level 1 | Level 1 | Level 2 | Level 2 | Level 3 | Level 3 | Netting Adjustment and Cash Collateral | Netting Adjustment and Cash Collateral | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a recurring basis | Measured on a nonrecurring basis | Measured on a nonrecurring basis | Measured on a nonrecurring basis | Measured on a nonrecurring basis | Measured on a nonrecurring basis | ||
Estimated Fair Value | Estimated Fair Value | Estimated Fair Value | Estimated Fair Value | Estimated Fair Value | Estimated Fair Value | Estimated Fair Value | Estimated Fair Value | Estimated Fair Value | Estimated Fair Value | Estimated Fair Value | Estimated Fair Value | Level 1 | Level 1 | Level 1 | Level 1 | Level 2 | Level 2 | Level 2 | Level 2 | Level 2 | Level 2 | Level 2 | Level 2 | Level 2 | Level 2 | Netting Adjustment and Cash Collateral | Netting Adjustment and Cash Collateral | Netting Adjustment and Cash Collateral | Netting Adjustment and Cash Collateral | Private-label MBS | Estimated Fair Value | Estimated Fair Value | Level 3 | Level 3 | |||||||||||||||
to the extent FVO is elected | to the extent FVO is elected | Interest-rate derivatives | Interest-rate derivatives | Mortgage delivery commitments | Mortgage delivery commitments | Equity and bond funds | Equity and bond funds | GSE/U.S. agency issued | GSE/U.S. agency issued | Equity and bond funds | Equity and bond funds | to the extent FVO is elected | to the extent FVO is elected | Interest-rate derivatives | Interest-rate derivatives | Mortgage delivery commitments | Mortgage delivery commitments | GSE/U.S. agency issued | GSE/U.S. agency issued | Interest-rate derivatives | Interest-rate derivatives | Private-label MBS | Private-label MBS | Private-label MBS | Private-label MBS | ||||||||||||||||||||||||
MBS | MBS | MBS | MBS | RMBS Prime | RMBS Prime | ||||||||||||||||||||||||||||||||||||||||||||
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Available-for-sale securities | $1,689,241 | $2,308,774 | ' | ' | $1,689,241 | $2,308,774 | $10,039 | $9,633 | $1,679,202 | $2,299,141 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $10,039 | $9,633 | $1,679,202 | $2,299,141 | ' | ' | $10,039 | $9,633 | ' | ' | ' | ' | ' | ' | ' | ' | $1,679,202 | $2,299,141 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Advances | 17,707,659 | 500,502 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 17,707,659 | 500,502 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 17,707,659 | 500,502 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Derivative assets | 43,536 | 41,894 | ' | ' | 43,536 | 41,894 | ' | ' | 673,450 | 966,532 | ' | ' | -629,914 | -924,638 | ' | ' | ' | ' | 43,372 | 41,885 | 164 | 9 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 673,286 | 966,523 | 164 | 9 | ' | ' | ' | ' | -629,914 | -924,638 | ' | ' | ' | ' | ' |
Total assets at fair value | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 19,440,436 | 2,851,170 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 10,039 | 9,633 | ' | ' | 20,060,311 | 3,766,175 | ' | ' | ' | ' | ' | ' | ' | ' | -629,914 | -924,638 | ' | ' | ' | ' | ' | ' | ' |
Held-to-maturity securities | 12,126,236 | 11,456,556 | ' | ' | 12,126,236 | 11,456,556 | ' | ' | 10,961,322 | 10,202,124 | 1,164,914 | 1,254,432 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 7,045 | 7,045 | 7,045 | 7,045 |
Mortgage-backed securities determined to be credit impaired | ' | ' | 0 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | ' | ' | ' |
Liabilities | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Consolidated obligations - Discount Notes | -42,262,116 | -29,779,947 | ' | ' | -42,264,081 | -29,781,720 | ' | ' | -42,264,081 | -29,781,720 | ' | ' | ' | ' | ' | ' | -599,719 | -1,948,987 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -599,719 | -1,948,987 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Consolidated obligations - Bonds | -70,361,388 | -64,784,321 | ' | ' | -70,062,162 | -64,942,869 | ' | ' | -70,062,162 | -64,942,869 | ' | ' | ' | ' | ' | ' | -21,919,327 | -12,740,883 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -21,919,327 | -12,740,883 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Derivative liabilities | -388,320 | -426,788 | ' | ' | -388,320 | -426,788 | ' | ' | -2,719,663 | -3,890,295 | ' | ' | 2,331,343 | 3,463,507 | ' | ' | ' | ' | -388,320 | -426,747 | ' | -41 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -2,719,663 | -3,890,254 | ' | -41 | ' | ' | ' | ' | 2,331,343 | 3,463,507 | ' | ' | ' | ' | ' |
Total liabilities at fair value | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ($22,907,366) | ($15,116,658) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ($25,238,709) | ($18,580,165) | ' | ' | ' | ' | ' | ' | ' | ' | $2,331,343 | $3,463,507 | ' | ' | ' | ' | ' | ' | ' |
Fair_Values_of_Financial_Instr5
Fair Values of Financial Instruments. (Details 4) (USD $) | 3 Months Ended | 9 Months Ended | |||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 |
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 | ($5,468) | ($9,399) | $5,454 | ($95) | ' |
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected | ' | ' | ' | ' | ' |
Interest Income | 113,623 | 133,412 | 324,396 | 405,069 | ' |
Net Gains/Losses Due to Changes in Fair Value | -5,468 | -9,399 | 5,454 | -95 | ' |
Advances | ' | ' | ' | ' | ' |
Activity related to financial instruments for which the Bank elected the fair value option | ' | ' | ' | ' | ' |
Balance, beginning of the period | 11,702,541 | ' | 500,502 | ' | ' |
New transactions elected for fair value option | 6,000,000 | ' | 17,200,000 | ' | ' |
Net gains (losses) on financial instruments held under fair value option | 2,142 | ' | 1,811 | ' | ' |
Change in accrued interest/ unaccreted balance | 2,976 | ' | 5,346 | ' | ' |
Balance, end of the period | 17,707,659 | ' | 17,707,659 | ' | ' |
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 Due to Changes in Fair Value | 2,142 | ' | 1,811 | ' | ' |
Total Change in Fair Value Included in Current Period Earnings | 16,476 | ' | 19,888 | ' | ' |
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 | 17,700,000 | ' | 17,700,000 | ' | 500,000 |
Aggregate Fair Value | 17,707,659 | ' | 17,707,659 | ' | ' |
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | 7,659 | ' | 7,659 | ' | 502 |
Advances | Fair value option | ' | ' | ' | ' | ' |
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected | ' | ' | ' | ' | ' |
Interest Income | 14,334 | ' | 18,077 | ' | ' |
Consolidated obligations | ' | ' | ' | ' | ' |
Activity related to financial instruments for which the Bank elected the fair value option | ' | ' | ' | ' | ' |
Balance, beginning of the period | ' | ' | -14,689,870 | ' | ' |
Net gains (losses) on financial instruments held under fair value option | -7,610 | -9,399 | 3,643 | -95 | ' |
Balance, end of the period | -22,519,046 | ' | -22,519,046 | ' | ' |
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 Due to Changes in Fair Value | -7,610 | -9,399 | 3,643 | -95 | ' |
Total Change in Fair Value Included in Current Period Earnings | -15,259 | -20,278 | -18,655 | -26,923 | ' |
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 | 22,508,910 | ' | 22,508,910 | ' | 14,673,744 |
Aggregate Fair Value | 22,519,046 | ' | 22,519,046 | ' | ' |
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | 10,136 | ' | 10,136 | ' | 16,126 |
Consolidated obligations | Fair value option | ' | ' | ' | ' | ' |
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected | ' | ' | ' | ' | ' |
Interest Expense | -7,649 | -10,879 | -22,298 | -26,828 | ' |
Consolidated obligations - bonds | ' | ' | ' | ' | ' |
Activity related to financial instruments for which the Bank elected the fair value option | ' | ' | ' | ' | ' |
Balance, beginning of the period | -19,310,729 | -20,233,312 | -12,740,883 | -12,542,603 | ' |
New transactions elected for fair value option | -6,850,000 | ' | -21,910,000 | -18,793,000 | ' |
Maturities and terminations | 4,250,000 | 6,000,000 | 12,728,000 | 17,095,000 | ' |
Net gains (losses) on financial instruments held under fair value option | -7,276 | -8,331 | 3,217 | -63 | ' |
Change in accrued interest/ unaccreted balance | -1,322 | -1,566 | 339 | -2,543 | ' |
Balance, end of the period | -21,919,327 | -14,243,209 | -21,919,327 | -14,243,209 | ' |
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 Due to Changes in Fair Value | -7,276 | -8,331 | 3,217 | -63 | ' |
Total Change in Fair Value Included in Current Period Earnings | -14,611 | -18,149 | -16,830 | -24,487 | ' |
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 | 21,910,000 | ' | 21,910,000 | ' | 12,728,000 |
Aggregate Fair Value | 21,919,327 | 14,243,209 | 21,919,327 | 14,243,209 | ' |
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | 9,327 | ' | 9,327 | ' | 12,883 |
Consolidated obligations - bonds | Fair value option | ' | ' | ' | ' | ' |
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected | ' | ' | ' | ' | ' |
Interest Expense | -7,335 | -9,818 | -20,047 | -24,424 | ' |
Consolidated obligations - discount notes | ' | ' | ' | ' | ' |
Activity related to financial instruments for which the Bank elected the fair value option | ' | ' | ' | ' | ' |
Balance, beginning of the period | -963,072 | -1,595,484 | -1,948,987 | -4,920,855 | ' |
New transactions elected for fair value option | ' | -300,507 | -598,910 | -1,895,772 | ' |
Maturities and terminations | 363,092 | 199,874 | 1,945,744 | 5,117,046 | ' |
Net gains (losses) on financial instruments held under fair value option | -334 | -1,068 | 426 | -32 | ' |
Change in accrued interest/ unaccreted balance | 595 | -937 | 2,008 | 1,491 | ' |
Balance, end of the period | -599,719 | -1,698,122 | -599,719 | -1,698,122 | ' |
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 Due to Changes in Fair Value | -334 | -1,068 | 426 | -32 | ' |
Total Change in Fair Value Included in Current Period Earnings | -648 | -2,129 | -1,825 | -2,436 | ' |
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 | 598,910 | ' | 598,910 | ' | 1,945,744 |
Aggregate Fair Value | 599,719 | 1,698,122 | 599,719 | 1,698,122 | ' |
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | 809 | ' | 809 | ' | 3,243 |
Consolidated obligations - discount notes | Fair value option | ' | ' | ' | ' | ' |
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected | ' | ' | ' | ' | ' |
Interest Expense | ($314) | ($1,061) | ($2,251) | ($2,404) | ' |
Commitments_and_Contingencies_1
Commitments and Contingencies. (Details) (USD $) | 9 Months Ended | 12 Months Ended |
In Billions, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 |
Obligations subject to joint and several liability | All other FHLBanks | ' | ' |
Guarantee obligations | ' | ' |
Joint and several liability, number of Federal Home Loan Banks unable to repay their participation in consolidated obligations, minimum | 1 | ' |
Obligations subject to joint and several liability | Consolidated obligations | All other FHLBanks | ' | ' |
Guarantee obligations | ' | ' |
Aggregate amount outstanding | $700 | $700 |
Standby letters of credit | ' | ' |
Guarantee obligations | ' | ' |
Aggregate amount outstanding | $8 | $6.60 |
Maximum original terms | '15 years | '15 years |
Commitments_and_Contingencies_2
Commitments and Contingencies. (Details 2) (USD $) | 9 Months Ended | |
Sep. 30, 2013 | Dec. 31, 2012 | |
Mortgage receivables | ' | ' |
Commitments | ' | ' |
Conditional purchase obligation | $1,200,000,000 | $900,000,000 |
Mortgage receivables | ' | ' |
Commitments | ' | ' |
Unconditional purchase obligation | $12,000,000 | $25,200,000 |
Maximum commitment period | '45 days | ' |
Commitments_and_Contingencies_3
Commitments and Contingencies. (Details 3) (Pentegra plan, Defined Benefit Plan ("DB Plan"), USD $) | 1 Months Ended | 9 Months Ended | 12 Months Ended | 1 Months Ended | 0 Months Ended | 12 Months Ended | |
In Millions, unless otherwise specified | Jul. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Jul. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2014 | Jul. 02, 2014 |
MAP-21 | MAP-21 | MAP-21 | Before MAP-21 | Expected | Expected | Expected | |
Item | |||||||
Defined Benefit Plan | ' | ' | ' | ' | ' | ' | ' |
Period for average of high-quality bond yields under MAP-21 | '25 years | ' | ' | ' | ' | ' | ' |
Period for average using current rates, before MAP-21 | ' | ' | ' | '24 months | ' | ' | ' |
Number of averages under MAP-21 used to determine rate for pension plan contributions | 2 | ' | ' | ' | ' | ' | ' |
Multiemployer plan contributions | ' | ' | ' | ' | ' | ' | ' |
Contribution | ' | $0.70 | $0.70 | ' | ' | $2.70 | ' |
Minimum contribution | ' | ' | ' | ' | ' | ' | $7.80 |
Decline in Map-21 interest rates (as a percent) | ' | ' | ' | ' | 0.60% | ' | ' |
Commitments_and_Contingencies_4
Commitments and Contingencies. (Details 4) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 |
Consolidated obligations - discount notes | Consolidated obligations - discount notes | Contractual Obligations | Consolidated obligation - bonds | Long-term debt obligations - interest payments | Mandatorily redeemable capital stock | Other liabilities | Other commitments | Standby letters of credit | Consolidated obligations - bonds/discount notes traded not settled | Open delivery commitments (MPF) | |||
Derivative contracts with counterparty credit exposure | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Cash deposited with derivative counterparties as pledged collateral | $1,700,000,000 | $2,500,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Contractual obligations and contingencies | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Less Than One Year | 51,821,539,000 | ' | ' | ' | 43,174,729,000 | 42,867,425,000 | 192,090,000 | 4,081,000 | 111,133,000 | 8,646,810,000 | 7,775,821,000 | 859,000,000 | 11,989,000 |
Greater Than One Year to Three Years | 14,803,165,000 | ' | ' | ' | 14,619,318,000 | 14,451,030,000 | 163,827,000 | 226,000 | 4,235,000 | 183,847,000 | 183,847,000 | ' | ' |
Greater Than Three Years to Five Years | 4,583,297,000 | ' | ' | ' | 4,564,613,000 | 4,465,860,000 | 77,498,000 | 16,528,000 | 4,727,000 | 18,684,000 | 18,684,000 | ' | ' |
Greater Than Five Years | 8,313,953,000 | ' | ' | ' | 8,310,092,000 | 8,073,135,000 | 183,315,000 | 2,783,000 | 50,859,000 | 3,861,000 | 3,861,000 | ' | ' |
Total | 79,521,954,000 | ' | ' | ' | 70,668,752,000 | 69,857,450,000 | 616,730,000 | 23,618,000 | 170,954,000 | 8,853,202,000 | 7,982,213,000 | 859,000,000 | 11,989,000 |
Minimum period in which the excess capital stock may be redeemed | ' | ' | ' | ' | ' | ' | ' | '5 years | ' | ' | ' | ' | ' |
Weighted average contractual interest rate for long-term debt | ' | ' | ' | ' | ' | 0.88% | ' | ' | ' | ' | ' | ' | ' |
Commitment for issuance of debt | ' | ' | 1,300,000,000 | 1,100,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Provision for off-balance sheet credit losses | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0 | ' | ' | ' |
Commitments_and_Contingencies_5
Commitments and Contingencies. (Details 5) (Impact of bankruptcy of Lehman Brothers, USD $) | 0 Months Ended | 1 Months Ended | 58 Months Ended | |||
Dec. 02, 2008 | Oct. 31, 2008 | Sep. 30, 2013 | Dec. 06, 2010 | Oct. 03, 2008 | Sep. 18, 2008 | |
Impact of bankruptcy of Lehman Brothers | ' | ' | ' | ' | ' | ' |
Bankruptcy of Lehman Brothers | ' | ' | ' | ' | ' | ' |
Notional amount of derivative transactions at time of termination | ' | ' | ' | ' | ' | $16,500,000,000 |
Net amount due to the Bank after giving effect to obligations that were due LBSF | ' | ' | ' | ' | 65,000,000 | ' |
Proofs of claim filed by bank as creditors of Lehman Brothers | ' | 65,000,000 | ' | ' | ' | ' |
Contingent amount payable to Lehman Brothers in connection with ADR Notice | ' | ' | ' | 268,000,000 | ' | ' |
Reference rate | 'LIBOR | ' | 'LIBOR | ' | ' | ' |
Basis points added to reference rate (as a percent) | 13.50% | ' | 13.50% | ' | ' | ' |
Principal amount | $198,000,000 | ' | $198,000,000 | ' | ' | $198,000,000 |
Related_Party_Transactions_Det
Related Party Transactions. (Details) (USD $) | 3 Months Ended | 9 Months Ended | |||||||
Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | Jun. 30, 2012 | Dec. 31, 2011 | |
Item | |||||||||
Related Party Transactions. | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Debt transferred by Bank to another FHLBank | $0 | $0 | $25,000,000 | $0 | ' | $0 | ' | ' | ' |
Negotiated market rates in excess of amortized cost of debt transferred to another FHLBank, charged to earnings | ' | ' | 3,900,000 | ' | ' | ' | ' | ' | ' |
Advances transferred/sold by FHLBNY to another FHLBank | 0 | ' | ' | 0 | 0 | 0 | ' | ' | ' |
Mortgage-backed securities acquired by FHLBNY from another FHLBank | 0 | ' | ' | 0 | 0 | 0 | ' | ' | ' |
Loans to Other Federal Home Loan Banks | 2,800,000,000 | ' | ' | 300,000,000 | 6,900,000,000 | 1,000,000,000 | ' | ' | ' |
Borrowing period from other FHLBanks | ' | ' | ' | ' | '1 day | ' | ' | ' | ' |
Number of overnight loans from other FHLBanks | ' | ' | ' | ' | ' | 1 | ' | ' | ' |
Overnight loan borrowed from other FHL Banks | 0 | ' | ' | 0 | 0 | 50,000,000 | ' | ' | ' |
Related Party Transactions | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Notional amounts outstanding | 107,645,470,000 | ' | ' | ' | 107,645,470,000 | ' | 103,505,508,000 | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Cash and due from banks | 11,520,885,000 | ' | ' | ' | 11,520,885,000 | ' | 7,553,188,000 | ' | ' |
Federal funds sold amounts outstanding | 4,878,000,000 | ' | ' | ' | 4,878,000,000 | ' | 4,091,000,000 | ' | ' |
Available-for-sale securities | 1,689,241,000 | ' | ' | ' | 1,689,241,000 | ' | 2,308,774,000 | ' | ' |
Held-to-maturity securities | 12,002,497,000 | ' | ' | ' | 12,002,497,000 | ' | 11,058,764,000 | ' | ' |
Advances | 89,121,435,000 | ' | ' | ' | 89,121,435,000 | ' | 75,888,001,000 | ' | ' |
Mortgage loans | 1,932,855,000 | ' | ' | ' | 1,932,855,000 | ' | 1,842,816,000 | ' | ' |
Accrued interest receivable | 171,895,000 | ' | ' | ' | 171,895,000 | ' | 179,044,000 | ' | ' |
Premises, software, and equipment | 12,031,000 | ' | ' | ' | 12,031,000 | ' | 11,576,000 | ' | ' |
Derivative assets | 43,536,000 | ' | ' | ' | 43,536,000 | ' | 41,894,000 | ' | ' |
Other assets | 13,764,000 | ' | ' | ' | 13,764,000 | ' | 13,743,000 | ' | ' |
Total assets | 121,386,139,000 | ' | ' | ' | 121,386,139,000 | ' | 102,988,800,000 | ' | ' |
Liabilities and capital | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Deposits | 1,590,933,000 | ' | ' | ' | 1,590,933,000 | ' | 2,054,511,000 | ' | ' |
Consolidated obligations | 112,623,504,000 | ' | ' | ' | 112,623,504,000 | ' | 94,564,268,000 | ' | ' |
Mandatorily redeemable capital stock | 23,618,000 | 25,437,000 | ' | 20,494,000 | 23,618,000 | 20,494,000 | 23,143,000 | 42,035,000 | 54,827,000 |
Accrued interest payable | 143,900,000 | ' | ' | ' | 143,900,000 | ' | 127,664,000 | ' | ' |
Affordable Housing Program | 119,786,000 | 122,251,000 | ' | 135,755,000 | 119,786,000 | 135,755,000 | 134,942,000 | 131,960,000 | 127,454,000 |
Derivative liabilities | 388,320,000 | ' | ' | ' | 388,320,000 | ' | 426,788,000 | ' | ' |
Other liabilities | 170,954,000 | ' | ' | ' | 170,954,000 | ' | 165,655,000 | ' | ' |
Total liabilities | 115,061,015,000 | ' | ' | ' | 115,061,015,000 | ' | 97,496,971,000 | ' | ' |
Total capital | 6,325,124,000 | ' | ' | 5,527,340,000 | 6,325,124,000 | 5,527,340,000 | 5,491,829,000 | ' | 5,046,411,000 |
Total liabilities and capital | 121,386,139,000 | ' | ' | ' | 121,386,139,000 | ' | 102,988,800,000 | ' | ' |
Cash collateral deposited | 1,700,000,000 | ' | ' | ' | 1,700,000,000 | ' | 2,500,000,000 | ' | ' |
Interest | 105,963,000 | ' | ' | 117,496,000 | 304,183,000 | 359,659,000 | ' | ' | ' |
Citibank, N.A. | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Related Party Transactions | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Notional amounts outstanding | 5,600,000,000 | ' | ' | ' | 5,600,000,000 | ' | 3,500,000,000 | ' | ' |
Liabilities and capital | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Derivative liabilities | 26,600,000 | ' | ' | ' | 26,600,000 | ' | 25,200,000 | ' | ' |
Cash collateral deposited | 93,000,000 | ' | ' | ' | 93,000,000 | ' | 124,700,000 | ' | ' |
Interest | 9,900,000 | ' | ' | ' | 28,800,000 | ' | ' | ' | ' |
Member intermediation | Swaps | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Related Party Transactions | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Notional amounts outstanding | 205,000,000 | ' | ' | ' | 205,000,000 | ' | 265,000,000 | ' | ' |
Related | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Advances | 89,121,435,000 | ' | ' | ' | 89,121,435,000 | ' | 75,888,001,000 | ' | ' |
Accrued interest receivable | 141,295,000 | ' | ' | ' | 141,295,000 | ' | 150,907,000 | ' | ' |
Other assets | 438,000 | ' | ' | ' | 438,000 | ' | 150,000 | ' | ' |
Total assets | 89,263,168,000 | ' | ' | ' | 89,263,168,000 | ' | 76,039,058,000 | ' | ' |
Liabilities and capital | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Deposits | 1,590,933,000 | ' | ' | ' | 1,590,933,000 | ' | 2,054,511,000 | ' | ' |
Mandatorily redeemable capital stock | 23,618,000 | ' | ' | ' | 23,618,000 | ' | 23,143,000 | ' | ' |
Accrued interest payable | 31,000 | ' | ' | ' | 31,000 | ' | 25,000 | ' | ' |
Affordable Housing Program | 119,786,000 | ' | ' | ' | 119,786,000 | ' | 134,942,000 | ' | ' |
Other liabilities | 93,046,000 | ' | ' | ' | 93,046,000 | ' | 85,079,000 | ' | ' |
Total liabilities | 1,827,414,000 | ' | ' | ' | 1,827,414,000 | ' | 2,297,700,000 | ' | ' |
Total capital | 6,325,124,000 | ' | ' | ' | 6,325,124,000 | ' | 5,491,829,000 | ' | ' |
Total liabilities and capital | 8,152,538,000 | ' | ' | ' | 8,152,538,000 | ' | 7,789,529,000 | ' | ' |
Unrelated | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Assets | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Cash and due from banks | 11,520,885,000 | ' | ' | ' | 11,520,885,000 | ' | 7,553,188,000 | ' | ' |
Federal funds sold amounts outstanding | 4,878,000,000 | ' | ' | ' | 4,878,000,000 | ' | 4,091,000,000 | ' | ' |
Available-for-sale securities | 1,689,241,000 | ' | ' | ' | 1,689,241,000 | ' | 2,308,774,000 | ' | ' |
Held-to-maturity securities | 12,002,497,000 | ' | ' | ' | 12,002,497,000 | ' | 11,058,764,000 | ' | ' |
Mortgage loans | 1,932,855,000 | ' | ' | ' | 1,932,855,000 | ' | 1,842,816,000 | ' | ' |
Accrued interest receivable | 30,600,000 | ' | ' | ' | 30,600,000 | ' | 28,137,000 | ' | ' |
Premises, software, and equipment | 12,031,000 | ' | ' | ' | 12,031,000 | ' | 11,576,000 | ' | ' |
Derivative assets | 43,536,000 | ' | ' | ' | 43,536,000 | ' | 41,894,000 | ' | ' |
Other assets | 13,326,000 | ' | ' | ' | 13,326,000 | ' | 13,593,000 | ' | ' |
Total assets | 32,122,971,000 | ' | ' | ' | 32,122,971,000 | ' | 26,949,742,000 | ' | ' |
Liabilities and capital | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Consolidated obligations | 112,623,504,000 | ' | ' | ' | 112,623,504,000 | ' | 94,564,268,000 | ' | ' |
Accrued interest payable | 143,869,000 | ' | ' | ' | 143,869,000 | ' | 127,639,000 | ' | ' |
Derivative liabilities | 388,320,000 | ' | ' | ' | 388,320,000 | ' | 426,788,000 | ' | ' |
Other liabilities | 77,908,000 | ' | ' | ' | 77,908,000 | ' | 80,576,000 | ' | ' |
Total liabilities | 113,233,601,000 | ' | ' | ' | 113,233,601,000 | ' | 95,199,271,000 | ' | ' |
Total liabilities and capital | 113,233,601,000 | ' | ' | ' | 113,233,601,000 | ' | 95,199,271,000 | ' | ' |
FHLBank of Chicago | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Related Party Transactions | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Purchases of mortgage loans, cumulative participations by other Federal Home Loan Banks | 37,100,000 | ' | ' | ' | 37,100,000 | ' | 47,500,000 | ' | ' |
Fees paid to other FHLBanks | $200,000 | ' | ' | $200,000 | $700,000 | $600,000 | ' | ' | ' |
Related_Party_Transactions_Det1
Related Party Transactions. (Details 2) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Interest income | ' | ' | ' | ' |
Advances | $113,623 | $133,412 | $324,396 | $405,069 |
Interest-bearing deposits | 313 | 971 | 1,712 | 2,593 |
Federal funds sold | 2,335 | 4,272 | 9,731 | 11,075 |
Available-for-sale securities | 3,887 | 5,731 | 12,998 | 18,503 |
Held-to-maturity securities | 60,335 | 68,309 | 178,509 | 207,244 |
Mortgage loans held-for-portfolio | 17,026 | 16,461 | 50,832 | 48,626 |
Loans to other FHLBanks | 5 | 1 | 23 | 3 |
Total interest income | 197,524 | 229,157 | 578,201 | 693,113 |
Interest expense | ' | ' | ' | ' |
Deposits | 134 | 150 | 445 | 572 |
Mandatorily redeemable capital stock | 250 | 398 | 732 | 1,572 |
Cash collateral held and other borrowings | ' | 4 | 4 | 28 |
Total interest expense | 91,561 | 111,661 | 274,018 | 333,454 |
Service fees and other | 2,514 | 2,633 | 7,453 | 6,688 |
Related | ' | ' | ' | ' |
Interest income | ' | ' | ' | ' |
Advances | 113,623 | 133,412 | 324,396 | 405,069 |
Loans to other FHLBanks | 5 | 1 | 23 | 3 |
Total interest income | 113,628 | 133,413 | 324,419 | 405,072 |
Interest expense | ' | ' | ' | ' |
Deposits | 134 | 150 | 445 | 572 |
Mandatorily redeemable capital stock | 250 | 398 | 732 | 1,572 |
Total interest expense | 384 | 548 | 1,177 | 2,144 |
Service fees and other | 2,101 | 2,050 | 6,789 | 5,867 |
Unrelated | ' | ' | ' | ' |
Interest income | ' | ' | ' | ' |
Interest-bearing deposits | 313 | 971 | 1,712 | 2,593 |
Federal funds sold | 2,335 | 4,272 | 9,731 | 11,075 |
Available-for-sale securities | 3,887 | 5,731 | 12,998 | 18,503 |
Held-to-maturity securities | 60,335 | 68,309 | 178,509 | 207,244 |
Mortgage loans held-for-portfolio | 17,026 | 16,461 | 50,832 | 48,626 |
Total interest income | 83,896 | 95,744 | 253,782 | 288,041 |
Interest expense | ' | ' | ' | ' |
Consolidated obligations | 91,177 | 111,109 | 272,837 | 331,282 |
Cash collateral held and other borrowings | ' | 4 | 4 | 28 |
Total interest expense | 91,177 | 111,113 | 272,841 | 331,310 |
Service fees and other | $413 | $583 | $664 | $821 |
Segment_Information_and_Concen2
Segment Information and Concentration. (Details) (USD $) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 |
Segment Information and Concentration. | ' | ' | ' | ' | ' |
Large member withdrawals which could significantly decrease assets, capital or business, minimum number | ' | ' | 1 | ' | ' |
Number of top advance holders reported for segment reporting | 10 | 10 | 10 | 10 | 10 |
Advances | ' | ' | ' | ' | ' |
Par Advances | $86,761,454 | ' | $86,761,454 | ' | $72,292,103 |
Interest Income | 113,623 | 133,412 | 324,396 | 405,069 | ' |
Par Value of Advances | Credit concentration risk | Top ten advance holders | ' | ' | ' | ' | ' |
Advances | ' | ' | ' | ' | ' |
Par Advances | 66,574,947 | 54,992,946 | 66,574,947 | 54,992,946 | 53,686,643 |
Percentage of Total Par Value of Advances (as a percent) | ' | ' | 76.73% | 74.41% | 74.27% |
Interest Income | 276,640 | 313,662 | 818,174 | 910,049 | 1,204,789 |
Par Value of Advances | Credit concentration risk | Citibank, N.A. | ' | ' | ' | ' | ' |
Advances | ' | ' | ' | ' | ' |
Par Advances | 21,700,000 | 13,245,000 | 21,700,000 | 13,245,000 | 12,070,000 |
Percentage of Total Par Value of Advances (as a percent) | ' | ' | 25.01% | 17.92% | 16.70% |
Interest Income | 21,619 | 16,343 | 42,344 | 20,165 | 31,422 |
Par Value of Advances | Credit concentration risk | Metropolitan Life Insurance Company | ' | ' | ' | ' | ' |
Advances | ' | ' | ' | ' | ' |
Par Advances | 12,770,000 | 13,547,000 | 12,770,000 | 13,547,000 | 13,512,000 |
Percentage of Total Par Value of Advances (as a percent) | ' | ' | 14.72% | 18.33% | 18.69% |
Interest Income | 55,970 | 75,420 | 184,500 | 217,271 | 290,223 |
Par Value of Advances | Credit concentration risk | New York Community Bank | ' | ' | ' | ' | ' |
Advances | ' | ' | ' | ' | ' |
Par Advances | 10,193,134 | 8,243,146 | 10,193,134 | 8,243,146 | 8,293,143 |
Percentage of Total Par Value of Advances (as a percent) | ' | ' | 11.75% | 11.15% | 11.47% |
Interest Income | 61,535 | 75,830 | 181,218 | 227,135 | 302,229 |
Par Value of Advances | Credit concentration risk | Hudson City Savings Bank, FSB | ' | ' | ' | ' | ' |
Advances | ' | ' | ' | ' | ' |
Par Advances | 6,025,000 | 6,775,000 | 6,025,000 | 6,775,000 | 6,025,000 |
Percentage of Total Par Value of Advances (as a percent) | ' | ' | 6.94% | 9.17% | 8.33% |
Interest Income | 72,988 | 75,280 | 216,585 | 228,924 | 302,559 |
Par Value of Advances | Credit concentration risk | Investors Bank | ' | ' | ' | ' | ' |
Advances | ' | ' | ' | ' | ' |
Par Advances | 3,591,000 | 2,311,000 | 3,591,000 | 2,311,000 | 2,700,500 |
Percentage of Total Par Value of Advances (as a percent) | ' | ' | 4.14% | 3.13% | 3.74% |
Interest Income | 14,535 | 14,576 | 43,851 | 43,415 | 57,780 |
Par Value of Advances | Credit concentration risk | First Niagara Bank, National Association | ' | ' | ' | ' | ' |
Advances | ' | ' | ' | ' | ' |
Par Advances | 3,600,000 | 1,380,800 | 3,600,000 | 1,380,800 | 2,438,500 |
Percentage of Total Par Value of Advances (as a percent) | ' | ' | 4.15% | 1.87% | 3.37% |
Interest Income | 3,858 | 1,020 | 9,908 | 9,057 | 10,851 |
Par Value of Advances | Credit concentration risk | Astoria Federal Savings and Loan Assn. | ' | ' | ' | ' | ' |
Advances | ' | ' | ' | ' | ' |
Par Advances | 2,476,000 | 3,133,000 | 2,476,000 | 3,133,000 | 2,897,000 |
Percentage of Total Par Value of Advances (as a percent) | ' | ' | 2.85% | 4.24% | 4.01% |
Interest Income | 11,849 | 15,979 | 39,196 | 47,148 | 62,676 |
Par Value of Advances | Credit concentration risk | The Prudential Insurance Co. of America | ' | ' | ' | ' | ' |
Advances | ' | ' | ' | ' | ' |
Par Advances | 2,325,000 | 2,424,000 | 2,325,000 | 2,424,000 | 2,325,000 |
Percentage of Total Par Value of Advances (as a percent) | ' | ' | 2.68% | 3.28% | 3.22% |
Interest Income | 11,653 | 12,397 | 34,992 | 37,812 | 50,142 |
Par Value of Advances | Credit concentration risk | Valley National Bank | ' | ' | ' | ' | ' |
Advances | ' | ' | ' | ' | ' |
Par Advances | 2,074,500 | 2,226,500 | 2,074,500 | 2,226,500 | 2,075,500 |
Percentage of Total Par Value of Advances (as a percent) | ' | ' | 2.39% | 3.01% | 2.87% |
Interest Income | 20,480 | 20,983 | 60,777 | 62,622 | 83,143 |
Par Value of Advances | Credit concentration risk | Signature Bank | ' | ' | ' | ' | ' |
Advances | ' | ' | ' | ' | ' |
Par Advances | 1,820,313 | ' | 1,820,313 | ' | ' |
Percentage of Total Par Value of Advances (as a percent) | ' | ' | 2.10% | ' | ' |
Interest Income | 2,153 | ' | 4,803 | ' | ' |
Par Value of Advances | Credit concentration risk | New York Life Insurance Company | ' | ' | ' | ' | ' |
Advances | ' | ' | ' | ' | ' |
Par Advances | ' | ' | ' | ' | 1,350,000 |
Percentage of Total Par Value of Advances (as a percent) | ' | ' | ' | ' | 1.87% |
Interest Income | ' | ' | ' | ' | 13,764 |
Par Value of Advances | Credit concentration risk | Banco Popular de Puerto Rico | ' | ' | ' | ' | ' |
Advances | ' | ' | ' | ' | ' |
Par Advances | ' | 1,707,500 | ' | 1,707,500 | ' |
Percentage of Total Par Value of Advances (as a percent) | ' | ' | ' | 2.31% | ' |
Interest Income | ' | $5,834 | ' | $16,500 | ' |
Segment_Information_and_Concen3
Segment Information and Concentration. (Details 2) (Outstanding Capital Stock Shares) | 9 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 |
Range, minimum | ' | ' |
Capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY's outstanding capital stock | ' | ' |
Percentage required for disclosure as beneficial owners of the Bank's outstanding stock | 5.00% | 5.00% |
Shareholder balances | Total of member institutions having beneficial ownership interest of more than 5 percent of the FHLBNY's outstanding capital stock | ' | ' |
Capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY's outstanding capital stock | ' | ' |
Number of Shares Owned | 29,296 | 24,415 |
Percent of Total Capital Stock | 53.21% | 50.65% |
Shareholder balances | Citibank, N.A. | ' | ' |
Capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY's outstanding capital stock | ' | ' |
Number of Shares Owned | 13,627 | 9,166 |
Percent of Total Capital Stock | 24.75% | 19.02% |
Shareholder balances | Metropolitan Life Insurance Company | ' | ' |
Capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY's outstanding capital stock | ' | ' |
Number of Shares Owned | 6,997 | 7,347 |
Percent of Total Capital Stock | 12.71% | 15.24% |
Shareholder balances | New York Community Bank | ' | ' |
Capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY's outstanding capital stock | ' | ' |
Number of Shares Owned | 5,201 | 4,337 |
Percent of Total Capital Stock | 9.45% | 9.00% |
Shareholder balances | Hudson City Savings Bank, FSB | ' | ' |
Capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY's outstanding capital stock | ' | ' |
Number of Shares Owned | 3,471 | 3,565 |
Percent of Total Capital Stock | 6.30% | 7.39% |