Document_and_Entity_Informatio
Document and Entity Information | 3 Months Ended | |
Mar. 31, 2015 | Apr. 30, 2015 | |
Document and Entity Information | ||
Entity Registrant Name | Federal Home Loan Bank of New York | |
Entity Central Index Key | 1329842 | |
Document Type | 10-Q | |
Document Period End Date | 31-Mar-15 | |
Amendment Flag | FALSE | |
Current Fiscal Year End Date | -19 | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Non-accelerated Filer | |
Entity Common Stock, Shares Outstanding | 52,502,658 | |
Document Fiscal Year Focus | 2015 | |
Document Fiscal Period Focus | Q1 |
Statements_of_Condition
Statements of Condition (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Assets | ||
Cash and due from banks (Note 3) | $204,119 | $6,458,943 |
Securities purchased under agreements to resell (Note 4) | 6,000,000 | 800,000 |
Federal funds sold (Note 4) | 7,697,000 | 10,018,000 |
Available-for-sale securities, net of unrealized gains of $14,514 at March 31, 2015 and $15,374 at December 31, 2014 (Note 6) | 1,173,333 | 1,234,427 |
Held-to-maturity securities (Note 5) | 13,248,810 | 13,148,179 |
Advances (Note 7) (Includes $6,505,141 at March 31, 2015 and $15,655,403 at December 31, 2014 at fair value under the fair value option) | 88,523,609 | 98,797,497 |
Mortgage loans held-for-portfolio, net of allowance for credit losses of $948 at March 31, 2015 and $4,507 at December 31, 2014 (Note 8) | 2,298,524 | 2,129,239 |
Accrued interest receivable | 169,571 | 172,003 |
Premises, software, and equipment | 10,536 | 10,669 |
Derivative assets (Note 15) | 38,423 | 39,123 |
Other assets | 15,139 | 17,288 |
Total assets | 119,379,064 | 132,825,368 |
Deposits (Note 9) | ||
Interest-bearing demand | 1,559,312 | 1,958,518 |
Non-interest-bearing demand | 15,855 | 13,401 |
Term | 32,000 | 27,000 |
Total deposits | 1,607,167 | 1,998,919 |
Consolidated obligations, net (Note 10) | ||
Bonds (Includes $15,672,379 at March 31, 2015 and $19,523,202 at December 31, 2014 at fair value under the fair value option) | 66,083,078 | 73,535,543 |
Discount notes (Includes $13,121,826 at March 31, 2015 and $7,890,027 at December 31, 2014 at fair value under the fair value option) | 44,923,769 | 50,044,105 |
Total consolidated obligations | 111,006,847 | 123,579,648 |
Mandatorily redeemable capital stock (Note 12) | 19,097 | 19,200 |
Accrued interest payable | 119,257 | 120,524 |
Affordable Housing Program (Note 11) | 109,572 | 113,544 |
Derivative liabilities (Note 15) | 337,709 | 345,242 |
Other liabilities | 117,328 | 122,433 |
Total liabilities | 113,316,977 | 126,299,510 |
Commitments and Contingencies (Notes 12, 15 and 17) | ||
Capital (Note 12) | ||
Capital stock ($100 par value), putable, issued and outstanding shares: 51,124 at March 31, 2015 and 55,801 at December 31, 2014 | 5,112,433 | 5,580,073 |
Retained earnings | ||
Unrestricted | 868,980 | 862,672 |
Restricted (Note 12) | 237,744 | 220,099 |
Total retained earnings | 1,106,724 | 1,082,771 |
Total accumulated other comprehensive loss | -157,070 | -136,986 |
Total capital | 6,062,087 | 6,525,858 |
Total liabilities and capital | $119,379,064 | $132,825,368 |
Statements_of_Condition_Parent
Statements of Condition (Parenthetical) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, except Per Share data, unless otherwise specified | ||
Statements of Condition | ||
Available-for-sale securities, unrealized gains | $14,514 | $15,374 |
Advances, at fair value under the fair value option | 6,505,141 | 15,655,403 |
Mortgage loans held-for-portfolio, allowance for credit losses | 948 | 4,507 |
Bonds, at fair value under the fair value option | 15,672,379 | 19,523,202 |
Discount notes, at fair value under the fair value option | $13,121,826 | $7,890,027 |
Capital stock, par value (in dollars per share) | $100 | $100 |
Capital stock, issued (in shares) | 51,124 | 55,801 |
Capital stock, outstanding (in shares) | 51,124 | 55,801 |
Statements_of_Income
Statements of Income (USD $) | 3 Months Ended | |
In Thousands, except Per Share data, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Interest income | ||
Advances, net (Note 7) | $131,198 | $113,851 |
Interest-bearing deposits (Note 4) | 331 | 231 |
Securities purchased under agreements to resell (Note 4) | 240 | 63 |
Federal funds sold (Note 4) | 2,839 | 1,996 |
Available-for-sale securities (Note 6) | 2,044 | 3,002 |
Held-to-maturity securities (Note 5) | 65,440 | 66,623 |
Mortgage loans held-for-portfolio (Note 8) | 19,316 | 17,463 |
Loans to other FHLBanks (Note 18) | 2 | 2 |
Total interest income | 221,410 | 203,231 |
Interest expense | ||
Consolidated obligations-bonds (Note 10) | 78,727 | 77,322 |
Consolidated obligations-discount notes (Note 10) | 23,150 | 17,363 |
Deposits (Note 9) | 120 | 143 |
Mandatorily redeemable capital stock (Note 12) | 256 | 282 |
Cash collateral held and other borrowings | 63 | 1 |
Total interest expense | 102,316 | 95,111 |
Net interest income before provision for credit losses | 119,094 | 108,120 |
Provision for credit losses on mortgage loans | 188 | 335 |
Net interest income after provision for credit losses | 118,906 | 107,785 |
Other income (loss) | ||
Service fees and other | 2,964 | 2,732 |
Instruments held at fair value - Unrealized (losses) gains (Note 16) | -3,090 | 805 |
Net realized and unrealized gains (losses) on derivatives and hedging activities (Note 15) | 6,099 | -2,122 |
Losses from extinguishment of debt | -438 | |
Total other income | 5,973 | 977 |
Other expenses | ||
Operating | 7,020 | 7,221 |
Compensation and benefits | 16,171 | 14,158 |
Finance Agency and Office of Finance | 3,629 | 3,619 |
Total other expenses | 26,820 | 24,998 |
Income before assessments | 98,059 | 83,764 |
Affordable Housing Program Assessments (Note 11) | 9,831 | 8,405 |
Net income | $88,228 | $75,359 |
Basic earnings per share (Note 13) (in dollars per share) | $1.60 | $1.37 |
Cash dividends paid per share (in dollars per share) | $1.16 | $1.20 |
Statements_of_Comprehensive_In
Statements of Comprehensive Income (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Statements of Comprehensive Income | ||
Net Income | $88,228 | $75,359 |
Net unrealized gains/losses on available-for-sale securities | ||
Unrealized (losses) gains | -860 | 517 |
Net non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | ||
Accretion of non-credit portion of OTTI | 1,994 | 2,275 |
Net unrealized gains/losses relating to hedging activities | ||
Unrealized (losses) gains | -22,095 | -20,308 |
Reclassification of losses included in net income | 505 | 736 |
Total net unrealized (losses) gains relating to hedging activities | -21,590 | -19,572 |
Pension and postretirement benefits | 372 | 6,467 |
Total other comprehensive (loss) income | -20,084 | -10,313 |
Total comprehensive income | $68,144 | $65,046 |
Statements_of_Capital_Equity
Statements of Capital (Equity) (USD $) | Capital Stock | Total Retained Earnings | Unrestricted Retained Earnings | Restricted Retained Earnings | Accumulated Other Comprehensive Income (Loss) | Total | ||
In Thousands, unless otherwise specified | Capital Stock Class B | |||||||
Balance at Dec. 31, 2013 | $5,571,400 | [1] | $998,526 | $841,412 | $157,114 | ($84,272) | $6,485,654 | |
Balance (in shares) at Dec. 31, 2013 | [1] | 55,714 | ||||||
Increase (decrease) in shareholders' equity | ||||||||
Proceeds from issuance of capital stock | 839,623 | [1] | 839,623 | |||||
Proceeds from issuance of capital stock (in shares) | [1] | 8,396 | ||||||
Repurchase/redemption of capital stock | -972,407 | [1] | -972,407 | |||||
Repurchase/redemption of capital stock (in shares) | [1] | -9,724 | ||||||
Cash dividends ($1.20 and $1.16 per share for three months ended March 31, 2014, and 2015 respectively) on capital stock | -65,315 | -65,315 | -65,315 | |||||
Comprehensive income (loss) | 75,359 | 60,287 | 15,072 | -10,313 | 65,046 | |||
Balance at Mar. 31, 2014 | 5,438,616 | [1] | 1,008,570 | 836,384 | 172,186 | -94,585 | 6,352,601 | |
Balance (in shares) at Mar. 31, 2014 | [1] | 54,386 | ||||||
Balance at Dec. 31, 2014 | 5,580,073 | [1] | 1,082,771 | 862,672 | 220,099 | -136,986 | 6,525,858 | |
Balance (in shares) at Dec. 31, 2014 | [1] | 55,801 | ||||||
Increase (decrease) in shareholders' equity | ||||||||
Proceeds from issuance of capital stock | 932,597 | [1] | 932,597 | |||||
Proceeds from issuance of capital stock (in shares) | [1] | 9,326 | ||||||
Repurchase/redemption of capital stock | -1,392,058 | [1] | -1,392,058 | |||||
Repurchase/redemption of capital stock (in shares) | [1] | -13,921 | ||||||
Shares reclassified to mandatorily redeemable capital stock | -8,179 | [1] | -8,179 | |||||
Shares reclassified to mandatorily redeemable capital stock (in shares) | [1] | -82 | ||||||
Cash dividends ($1.20 and $1.16 per share for three months ended March 31, 2014, and 2015 respectively) on capital stock | -64,275 | -64,275 | -64,275 | |||||
Comprehensive income (loss) | 88,228 | 70,583 | 17,645 | -20,084 | 68,144 | |||
Balance at Mar. 31, 2015 | $5,112,433 | [1] | $1,106,724 | $868,980 | $237,744 | ($157,070) | $6,062,087 | |
Balance (in shares) at Mar. 31, 2015 | [1] | 51,124 | ||||||
[1] | Putable stock |
Statements_of_Capital_Parenthe
Statements of Capital (Parenthetical) (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Statements of Capital | ||
Cash dividends on capital stock (in dollars per share) | $1.16 | $1.20 |
Statements_of_Cash_Flows
Statements of Cash Flows (USD $) | 3 Months Ended | |||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | ||
Operating activities | ||||
Net Income | $88,228 | $75,359 | ||
Depreciation and amortization: | ||||
Net premiums and discounts on consolidated obligations, investments, mortgage loans and other adjustments | 9,851 | -21,249 | ||
Concessions on consolidated obligations | 1,248 | 904 | ||
Premises, software, and equipment | 952 | 871 | ||
Provision for credit losses on mortgage loans | 188 | 335 | ||
Change in net fair value adjustments on derivatives and hedging activities | 78,082 | 86,448 | ||
Change in fair value adjustments on financial instruments held at fair value | 4,105 | -805 | ||
Losses from extinguishment of debt | 438 | |||
Net change in: | ||||
Accrued interest receivable | 5,890 | 4,735 | ||
Derivative assets due to accrued interest | 10,132 | 2,396 | ||
Derivative liabilities due to accrued interest | -2,592 | -2,249 | ||
Other assets | 3,026 | 2,980 | ||
Affordable Housing Program liability | -3,972 | 1,206 | ||
Accrued interest payable | -5,181 | 15,598 | ||
Other liabilities | -2,309 | -23,387 | ||
Total adjustments | 99,420 | 68,221 | ||
Net cash provided by operating activities | 187,648 | 143,580 | ||
Net change in: | ||||
Interest-bearing deposits | -62,410 | 134,130 | ||
Securities purchased under agreements to resell | -5,200,000 | -500,000 | ||
Federal funds sold | 2,321,000 | -3,886,000 | ||
Deposits with other FHLBanks | 8 | -87 | ||
Premises, software, and equipment | -820 | -541 | ||
Held-to-maturity securities: | ||||
Purchased | -416,966 | |||
Repayments | 317,281 | 283,056 | ||
Available-for-sale securities: | ||||
Purchased | -4,068 | |||
Repayments | 64,589 | 93,891 | ||
Proceeds from sales | 423 | 231 | ||
Advances: | ||||
Principal collected | 184,670,262 | 189,233,975 | ||
Made | -174,284,512 | -186,257,397 | ||
Mortgage loans held-for-portfolio: | ||||
Principal collected | 58,634 | 43,550 | ||
Purchased | -231,263 | -48,916 | ||
Proceeds from sales of REO | 321 | 976 | ||
Net cash provided by (used in) investing activities | 7,232,479 | -903,132 | ||
Net change in: | ||||
Deposits and other borrowings | -414,497 | -199,480 | ||
Derivative contracts with financing element | -59,970 | -59,425 | ||
Consolidated obligation bonds: | ||||
Proceeds from issuance | 8,068,156 | 16,217,966 | ||
Payments for maturing and early retirement | -15,609,384 | -14,554,994 | ||
Consolidated obligation discount notes: | ||||
Proceeds from issuance | 56,804,840 | 42,332,176 | ||
Payments for maturing | -61,932,078 | -52,553,895 | ||
Capital stock: | ||||
Proceeds from issuance of capital stock | 932,597 | 839,623 | ||
Payments for repurchase/redemption of capital stock | -1,392,058 | -972,407 | ||
Redemption of mandatorily redeemable capital stock | -8,282 | -79 | ||
Cash dividends paid | -64,275 | [1] | -65,315 | [1] |
Net cash used in financing activities | -13,674,951 | -9,015,830 | ||
Net decrease in cash and due from banks | -6,254,824 | -9,775,382 | ||
Cash and due from banks at beginning of the period | 6,458,943 | 15,309,998 | ||
Cash and due from banks at end of the period | 204,119 | 5,534,616 | ||
Supplemental disclosures: | ||||
Interest paid | 98,748 | 83,582 | ||
Affordable Housing Program payments | 13,803 | [2] | 7,199 | [2] |
Transfers of mortgage loans to real estate owned | 1,552 | 449 | ||
Capital stock subject to mandatory redemption reclassified from equity | $8,179 | |||
[1] | Does not include payments to holders of mandatorily redeemable capital stock. Such payments are considered as interest expense and reported within Operating cash flows. | |||
[2] | AHP payments =beginning accrual - ending accrual) + AHP assessment for the period; payments represent funds released to the Affordable Housing Program. |
Background_Tax_Status_and_Asse
Background, Tax Status and Assessments | 3 Months Ended |
Mar. 31, 2015 | |
Background, Tax Status and Assessments | |
Background, Tax Status and Assessments | |
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 allocate the greater of $100 million or 10% of their regulatory defined net income for the Affordable Housing Program. | |
Significant_Accounting_Policie
Significant Accounting Policies and Estimates. | 3 Months Ended |
Mar. 31, 2015 | |
Significant Accounting Policies and Estimates. | |
Significant Accounting Policies and Estimates. | |
Note 1.Significant Accounting Policies and Estimates. | |
Basis of Presentation | |
The accompanying financial statements of the Federal Home Loan Bank of New York have been prepared in accordance with Generally Accepted Accounting Principles in the United States (“GAAP”) and with the instructions provided by the SEC. | |
Significant Accounting Policies and Estimates | |
The FHLBNY has identified certain accounting policies that it believes are significant because they require management to make subjective judgments about matters that are inherently uncertain and because of the likelihood that materially different amounts would be reported under different conditions or by using different assumptions. These policies include estimating the allowance for credit losses on the advance and mortgage loan portfolios, evaluating the impairment of the FHLBNY’s securities portfolios, and estimating fair values of certain assets and liabilities. 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 23, 2015, which contains a summary of the Bank’s significant accounting policies and estimates. | |
Recently Adopted Significant Accounting Policies | |
Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention. On April 9, 2012, the Federal Housing Finance Agency (“FHFA”), the FHLBank’s regulator, issued Advisory Bulletin 2012-02 (“Advisory Bulletin”) that provided two part guidance. The first guidance, which addresses the classification of assets, was adopted on January 1, 2014 as required. Adoption had no impact on the results of operations, financial condition or cash flows. | |
The second guidance prescribes the timing of asset charge-offs if an asset is at 180 days or more past due, subject to certain conditions. The guidance was effective January 1, 2015. Under the FHLBNY’s pre-existing estimating methodology for the timing of charge-off, the FHLBNY recorded a charge-off on MPF loans based upon the occurrence of a confirming event, 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 accelerated the timing of charge-offs to the earlier of 180 days of delinquency or a confirming event. The FHLBNY records a credit loss allowance on a loan level basis on all MPF loans delinquent 90 days or greater (for loans in bankruptcy status, an allowance is recorded regardless of delinquency status). The amount of the allowance is based on the shortfall of the value of collateral (less estimated selling costs) to the recorded investment in the impaired loan. As the FHLBNY begins to establish the allowance of credit losses at 90 days delinquency, the FHLBNY considers the impact of adoption to be insignificant to its results of operations, financial condition or cash flows. | |
At January 1, 2015, the adoption date, the credit loss allowance on mortgage-loans that were past-due 180 days or more totaled $3.7 million, which amount was charged off, reducing the allowance for credit losses and a corresponding reduction in total loans, with no change in Total Assets and no change in earnings. | |
Foreclosed and Repossessed Assets. On January 17, 2014, the FASB issued ASU No. 2014-04, Receivables—Troubled Debt Restructurings by Creditors (Subtopic 310-40): Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure. The ASU clarifies Foreclosed and Repossessed Assets, and provides guidance when consumer mortgage loans collateralized by real estate should be reclassified to Real Estate Owned (“REO”). Specifically, such collateralized mortgage loans should be reclassified to REO when either the creditor obtains legal title to the residential real estate property upon completion of a foreclosure, or the borrower conveys all interest in the residential real estate property to the creditor to satisfy that loan through completion of a deed in lieu of foreclosure or through a similar legal agreement. | |
Government-Guaranteed Mortgage loans upon foreclosure. On August 8, 2014, the FASB issued ASU No. 2014-14, Receivables—Troubled Debt Restructuring by Creditors (Subtopic 310-40): Classification of Certain Government-Guaranteed Mortgage Loans upon Foreclosure, which requires that a mortgage loan be derecognized and a separate other receivable be recognized upon foreclosure if the following conditions are met: (1) the loan has a government guarantee that is not separable from the loan before foreclosure; (2) at the time of foreclosure, the creditor has the intent to convey the real estate property to the guarantor and make a claim on the guarantee, and the creditor has the ability to recover under that claim; and (3) at the time of foreclosure, any amount of the claim that is determined on the basis of the fair value of the real estate is fixed. Upon foreclosure, the separate other receivable should be measured based on the amount of the loan balance (principal and interest) expected to be recovered from the guarantor. | |
ASU 2014-04 and ASU 2014-14 was effective for the FHLBNY on January 1, 2015. Adoption did not have a an impact on the FHLBNY’s financial condition, results of operations and cash flows. | |
Recently_Issued_Accounting_Sta
Recently Issued Accounting Standards and Interpretations. | 3 Months Ended |
Mar. 31, 2015 | |
Recently Issued Accounting Standards and Interpretations. | |
Recently Issued Accounting Standards and Interpretations. | |
Note 2.Recently Issued Accounting Standards and Interpretations. | |
Simplifying the Presentation of Debt Issuance Costs. On April 7, 2015, the FASB issued ASU No. 2015-03, Interest-imputation of interest (Subtopic 835-30): Simplifying the Presentation of Debt Issuance Costs. The ASU requires a reclassification on the statement of condition of debt issuance costs related to a recognized debt liability from other assets to a direct deduction from the carrying amount of that debt liability. The intent is to eliminate the different presentation requirements of debt issuance cost and debt discounts and premiums, which have caused confusion among users of financial statements. The ASU becomes effective for the interim and annual periods beginning after December 15, 2015 (January 1, 2016 for the FHLBNY), and early adoption is permitted for the financial statements that have not been previously issued. The period-specific effects as a result of applying this guidance are required to be adjusted retrospectively to each individual period presented on the statement of condition. The FHLBNY is in the process of evaluating this guidance and its effect on its financial condition, results of operations, and cash flows. | |
Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern. On August 27, 2014, the FASB issued ASU No. 2014-15, Going Concern (Subtopic 205-40) final guidance that requires management to evaluate whether there is substantial doubt about the entity’s ability to continue as a going concern and, if so, disclose that fact in the footnotes. Management will also be required to evaluate and disclose whether its plans to alleviate that doubt. The new standard defines substantial doubt as when it is probable (i.e., likely) based on management’s assessment of relevant qualitative and quantitative information and judgment that the entity will be unable to meet its obligations as they become due within one year of the date the financial statements are issued (or available to be issued, when applicable). The standard is effective for the annual period ending after December 15, 2016 and for annual and interim periods thereafter. While early adoption is permitted, the FHLBNY has elected not to early adopt and is currently evaluating ASU No. 2014-15, but does not expect the impact of the required disclosures to be material. | |
Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. On June 12, 2014, the FASB issued ASU No. 2014-11, Transfers and Servicing (Topic 860) — Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. The FASB’s objective in issuing the amendments in this ASU was to respond to stakeholders’ concerns about current accounting and disclosures for repurchase agreements and similar transactions. Stakeholders expressed concern that current accounting guidance distinguishes between repurchase agreements that settle at the same time as the maturity of the transferred financial asset and those that settle any time before maturity. Under pre-existing U.S. GAAP, repurchase agreements that mature at the same time as the transferred financial asset (a repurchase-to-maturity transaction) generally was not considered to maintain the transferor’s effective control. | |
The ASU requires two accounting changes. First, the amendments changed the accounting for repurchase-to-maturity transactions to secured borrowing accounting. Second, for repurchase financing arrangements, the amendments require separate accounting for a transfer of a financial asset executed contemporaneously with a repurchase agreement with the same counterparty, resulting in secured borrowing accounting for the repurchase agreement. In addition, this guidance requires additional disclosures, particularly on transfers accounted for as sales that are economically similar to repurchase agreements and on the nature of collateral pledged in repurchase agreements accounted for as secured borrowings. This guidance became effective for the FHLBNY on January 1, 2015. The adoption of the amended standards did not result in a cumulative-effect adjustment to retained earnings as of the beginning of the period of adoption as the FHLBNY’s outstanding transaction had been accounted for as secured lending and consistent with the ASU. The disclosure for transactions accounted for as secured borrowings is required for annual periods beginning after December 15, 2014, and for interim periods after March 15, 2015. | |
Revenue recognition. On May 28, 2014, the FASB issued ASU No. 2014-09, (Topic 606): Revenue from Contracts with Customers. The FASB and the International Accounting Standards Board (“IASB”) initiated a joint project to clarify the principles for recognizing revenue and to develop a common revenue standard for U.S. GAAP and IFRS that would remove inconsistencies and improve comparability of revenue recognition practices across entities and industries, and provide more useful information to users of financial statements through improved disclosure requirements. The core principle of the guidance is that an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. For a public entity, the effective date of the amendments under this ASU, as issued, was for reporting periods beginning after December 15, 2016, including interim periods within that reporting period. Early application is not permitted. The FHLBNY is in the process of evaluating this guidance. | |
In April 2015, the FASB tentatively decided to defer for one year the effective date of the new revenue standard for public and nonpublic entities reporting under U.S. GAAP. The FASB also tentatively decided to permit entities to early adopt the standard. The tentative decisions will be exposed in an upcoming proposed ASU with a 30-day comment period. | |
Cash_and_Due_from_Banks
Cash and Due from Banks. | 3 Months Ended |
Mar. 31, 2015 | |
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. The FHLBNY is exempted from maintaining any required clearing balance at the Federal Reserve Bank of New York. | |
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 $35.8 million and $38.4 million as of March 31, 2015 and December 31, 2014, and includes member reserve balances in Other liabilities in the Statements of Condition. | |
Federal_Funds_Sold_Interestbea
Federal Funds Sold, Interest-bearing Deposits, and Securities Purchased Under Agreements to Resell. | 3 Months Ended |
Mar. 31, 2015 | |
Federal Funds Sold, Interest-bearing Deposits, and Securities Purchased Under Agreements to Resell. | |
Federal Funds Sold, Interest-bearing Deposits, and Securities Purchased Under Agreements to Resell. | |
Note 4.Federal Funds Sold, Interest-bearing Deposits, and Securities | |
Purchased Under Agreements to Resell. | |
Federal funds sold — Federal funds sold are unsecured advances to third parties. | |
Interest-bearing deposits — Cash Collateral Posted to Derivative Counterparties — The FHLBNY executes derivatives with major swap dealers and financial institutions (“derivative counterparties” or “counterparties”), and enters into bilateral collateral agreements. As mandated under the Dodd-Frank Act, certain of the FHLBNY’s derivatives are cleared and settled through one or several Derivative Clearing Organizations (“DCO”). The FHLBNY considers the DCO as a derivative counterparty. For both bilaterally executed derivatives and derivatives cleared through a DCO, when a derivative counterparty is exposed, the FHLBNY would post cash as pledged collateral to mitigate the counterparty’s credit exposure. | |
The FHLBNY had deposited $1.2 billion and $1.1 billion in cash at March 31, 2015 and December 31, 2014 with derivative counterparties and these amounts earned interest generally at the overnight Federal funds rate. As provided under master netting agreements or under a legal netting opinion, the cash posted was reclassified and recorded as a deduction to Derivative liabilities. Cash collateral or margin posted by the FHLBNY in excess of the fair value exposures were classified as a Derivative asset. See Credit Risk due to nonperformance by counterparties in Note 15. Derivatives and Hedging Activities. | |
Securities Purchased Under Agreements to Resell — As part of the FHLBNY’s banking activities, the FHLBNY may enter into secured financing transactions that mature overnight, and can be extended only at the discretion of the FHLBNY. These transactions involve the lending of cash, against which marketable securities are taken as collateral. The amount of cash loaned against the collateral is a function of the liquidity and quality of the collateral. The collateral is typically in the form of securities that meet the FHLBNY’s credit quality standards, are highly-rated and readily marketable. The FHLBNY has the ability to call for additional collateral if the value of the securities falls below a pre-defined haircut. The FHLBNY can terminate the transaction and liquidate the collateral if the counterparty fails to post the additional margin. Under these agreements, the FHLBNY would not have the right to re-pledge the securities received. No adjustments for instrument-specific credit risk were deemed necessary as market values of collateral were in excess of principal amounts loaned. | |
At March 31, 2015 and December 31, 2014, the amounts of outstanding balances of Securities Purchased Under Agreements to Resell were $6.0 billion and $800.0 million that matured overnight. Of these amounts, $5.4 billion and $600.0 million at March 31, 2015 and December 31, 2014 were executed through a tri-party arrangement that involved transfer of overnight funds to a segregated safekeeping account at the Bank of New York (“BONY”); BONY, acting as an independent agent on behalf of the FHLBNY and the counterparty to the transactions, assumes the responsibility of receiving eligible securities as collateral and releasing funds to the counterparty. At March 31, 2015 and December 31, 2014, U.S. Treasury securities, market values $5.4 billion and $612.0 million, were received at BONY to collateralize the overnight investments. | |
The remaining overnight investments, $625.0 million and $200.0 million were executed bilaterally with counterparties at March 31, 2015 and December 31, 2014, and were collateralized by U.S Treasury securities with market values of $637.0 million and $203.7 million at those dates; securities were pledged to the FHLBNY’s custodial safekeeping account. | |
Securities purchased under agreements to resell averaged $1.5 billion in the three months ended March 31, 2015 and $0.9 billion in the twelve months ended December 31, 2014. At March 31, 2014, outstanding balance was $0.5 billion and transaction balance averaged $0.7 billion in the three months ended March 31, 2014. Transactions recorded as Securities purchased under agreements to resell (reverse repos) were accounted as collateralized financing transactions. | |
Interest income from securities purchased under agreements to resell were $240 thousand and $63 thousand for the three months ended March 31, 2015 and the same period in 2014. | |
HeldtoMaturity_Securities
Held-to-Maturity Securities. (Held-to-maturity securities) | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||
Held-to-Maturity Securities. | ||||||||||||||||||||
Held-to-Maturity Securities. | ||||||||||||||||||||
Note 5.Held-to-Maturity Securities. | ||||||||||||||||||||
Major Security Types (in thousands) | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
OTTI | Gross | Gross | ||||||||||||||||||
Amortized | Recognized | Carrying | Unrecognized | Unrecognized | Fair | |||||||||||||||
Issued, guaranteed or insured: | Cost (d) | in AOCI | Value | Holding Gains (a) | Holding Losses (a) | Value | ||||||||||||||
Pools of Mortgages | ||||||||||||||||||||
Fannie Mae | $ | 219,295 | $ | — | $ | 219,295 | $ | 21,384 | $ | — | $ | 240,679 | ||||||||
Freddie Mac | 62,641 | — | 62,641 | 4,928 | — | 67,569 | ||||||||||||||
Total pools of mortgages | 281,936 | — | 281,936 | 26,312 | — | 308,248 | ||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||
Fannie Mae | 2,830,284 | — | 2,830,284 | 45,684 | (2 | ) | 2,875,966 | |||||||||||||
Freddie Mac | 1,812,871 | — | 1,812,871 | 20,909 | — | 1,833,780 | ||||||||||||||
Ginnie Mae | 30,143 | — | 30,143 | 426 | — | 30,569 | ||||||||||||||
Total CMOs/REMICs | 4,673,298 | — | 4,673,298 | 67,019 | (2 | ) | 4,740,315 | |||||||||||||
Commercial Mortgage-Backed Securities (b) | ||||||||||||||||||||
Fannie Mae | 1,958,210 | — | 1,958,210 | 26,480 | (562 | ) | 1,984,128 | |||||||||||||
Freddie Mac | 5,199,615 | — | 5,199,615 | 200,897 | (1,182 | ) | 5,399,330 | |||||||||||||
Total commercial mortgage-backed securities | 7,157,825 | — | 7,157,825 | 227,377 | (1,744 | ) | 7,383,458 | |||||||||||||
Non-GSE MBS (c) | ||||||||||||||||||||
CMOs/REMICs | 31,248 | (307 | ) | 30,941 | 1,651 | (932 | ) | 31,660 | ||||||||||||
Asset-Backed Securities (c) | ||||||||||||||||||||
Manufactured housing (insured) | 89,573 | — | 89,573 | 2,377 | — | 91,950 | ||||||||||||||
Home equity loans (insured) | 152,973 | (31,103 | ) | 121,870 | 56,835 | (87 | ) | 178,618 | ||||||||||||
Home equity loans (uninsured) | 93,467 | (10,880 | ) | 82,587 | 12,582 | (2,855 | ) | 92,314 | ||||||||||||
Total asset-backed securities | 336,013 | (41,983 | ) | 294,030 | 71,794 | (2,942 | ) | 362,882 | ||||||||||||
Total MBS | 12,480,320 | (42,290 | ) | 12,438,030 | 394,153 | (5,620 | ) | 12,826,563 | ||||||||||||
Other | ||||||||||||||||||||
State and local housing finance agency obligations | 810,780 | — | 810,780 | 179 | (49,070 | ) | 761,889 | |||||||||||||
Total Held-to-maturity securities | $ | 13,291,100 | $ | (42,290 | ) | $ | 13,248,810 | $ | 394,332 | $ | (54,690 | ) | $ | 13,588,452 | ||||||
December 31, 2014 | ||||||||||||||||||||
OTTI | Gross | Gross | ||||||||||||||||||
Amortized | Recognized | Carrying | Unrecognized | Unrecognized | Fair | |||||||||||||||
Issued, guaranteed or insured: | Cost (d) | in AOCI | Value | Holding Gains (a) | Holding Losses (a) | Value | ||||||||||||||
Pools of Mortgages | ||||||||||||||||||||
Fannie Mae | $ | 236,500 | $ | — | $ | 236,500 | $ | 21,891 | $ | — | $ | 258,391 | ||||||||
Freddie Mac | 68,510 | — | 68,510 | 5,281 | — | 73,791 | ||||||||||||||
Total pools of mortgages | 305,010 | — | 305,010 | 27,172 | — | 332,182 | ||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||
Fannie Mae | 2,941,093 | — | 2,941,093 | 36,164 | — | 2,977,257 | ||||||||||||||
Freddie Mac | 1,895,889 | — | 1,895,889 | 19,514 | — | 1,915,403 | ||||||||||||||
Ginnie Mae | 31,900 | — | 31,900 | 468 | — | 32,368 | ||||||||||||||
Total CMOs/REMICs | 4,868,882 | — | 4,868,882 | 56,146 | — | 4,925,028 | ||||||||||||||
Commercial Mortgage-Backed Securities (b) | ||||||||||||||||||||
Fannie Mae | 1,876,767 | — | 1,876,767 | 14,686 | (3,452 | ) | 1,888,001 | |||||||||||||
Freddie Mac | 4,945,717 | — | 4,945,717 | 156,116 | (5,666 | ) | 5,096,167 | |||||||||||||
Total commercial mortgage-backed securities | 6,822,484 | — | 6,822,484 | 170,802 | (9,118 | ) | 6,984,168 | |||||||||||||
Non-GSE MBS (c) | ||||||||||||||||||||
CMOs/REMICs | 34,249 | (359 | ) | 33,890 | 1,709 | (914 | ) | 34,685 | ||||||||||||
Asset-Backed Securities (c) | ||||||||||||||||||||
Manufactured housing (insured) | 93,693 | — | 93,693 | 2,476 | — | 96,169 | ||||||||||||||
Home equity loans (insured) | 158,233 | (32,476 | ) | 125,757 | 59,169 | (167 | ) | 184,759 | ||||||||||||
Home equity loans (uninsured) | 96,831 | (11,448 | ) | 85,383 | 13,124 | (2,693 | ) | 95,814 | ||||||||||||
Total asset-backed securities | 348,757 | (43,924 | ) | 304,833 | 74,769 | (2,860 | ) | 376,742 | ||||||||||||
Total MBS | 12,379,382 | (44,283 | ) | 12,335,099 | 330,598 | (12,892 | ) | 12,652,805 | ||||||||||||
Other | ||||||||||||||||||||
State and local housing finance agency obligations | 813,080 | — | 813,080 | 204 | (49,906 | ) | 763,378 | |||||||||||||
Total Held-to-maturity securities | $ | 13,192,462 | $ | (44,283 | ) | $ | 13,148,179 | $ | 330,802 | $ | (62,798 | ) | $ | 13,416,183 | ||||||
(a) | Unrecognized gross holding gains and losses represent the difference between fair value and carrying value. | |||||||||||||||||||
(b) | Commercial mortgage-backed securities (“CMBS”) — Agency issued CMBS are income-producing, multifamily properties. Eligible property types include standard conventional multifamily apartments, affordable multifamily housing, seniors housing, student housing, military housing, and rural rent housing. | |||||||||||||||||||
(c) | The amounts represent non-agency private-label mortgage- and asset-backed securities. | |||||||||||||||||||
(d) | Amortized cost — For securities that were deemed to be OTTI, amortized cost represents unamortized cost less credit OTTI, net of credit OTTI reversed due to improvements in cash flows. | |||||||||||||||||||
Certain non-agency Private label MBS are insured by Ambac Assurance Corp (“Ambac”), MBIA Insurance Corp (“MBIA”) and Assured Guarantee Municipal Corp. (“AGM”). For more information, see Monoline insurer analysis and discussions in the most recent Form 10-K filed on March 23, 2015. | ||||||||||||||||||||
Securities Pledged | ||||||||||||||||||||
The FHLBNY had pledged MBS with an amortized cost basis of $9.9 million and $10.2 million at March 31, 2015 and December 31, 2014 to the FDIC in connection with deposits maintained by the FDIC at the FHLBNY. The FDIC does not have rights to sell or repledge the collateral unless the FHLBNY defaults under the terms of its deposit arrangements with the FDIC. | ||||||||||||||||||||
Unrealized Losses | ||||||||||||||||||||
The fair values and gross unrealized holding losses are aggregated by major security type and by the length of time 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 in the Major Security Type 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): | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
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 | $ | 154,982 | $ | (18 | ) | $ | 270,248 | $ | (49,052 | ) | $ | 425,230 | $ | (49,070 | ) | |||||
MBS Investment Securities | ||||||||||||||||||||
MBS-GSE | ||||||||||||||||||||
Fannie Mae | 443,896 | (564 | ) | — | — | 443,896 | (564 | ) | ||||||||||||
Freddie Mac | 301,402 | (170 | ) | 166,373 | (1,012 | ) | 467,775 | (1,182 | ) | |||||||||||
Total MBS-GSE | 745,298 | (734 | ) | 166,373 | (1,012 | ) | 911,671 | (1,746 | ) | |||||||||||
MBS-Private-Label | 903 | (7 | ) | 69,109 | (3,404 | ) | 70,012 | (3,411 | ) | |||||||||||
Total MBS | 746,201 | (741 | ) | 235,482 | (4,416 | ) | 981,683 | (5,157 | ) | |||||||||||
Total | $ | 901,183 | $ | (759 | ) | $ | 505,730 | $ | (53,468 | ) | $ | 1,406,913 | $ | (54,227 | ) | |||||
December 31, 2014 | ||||||||||||||||||||
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 | $ | 49,997 | $ | (3 | ) | $ | 269,642 | $ | (49,903 | ) | $ | 319,639 | $ | (49,906 | ) | |||||
MBS Investment Securities | ||||||||||||||||||||
MBS-GSE | ||||||||||||||||||||
Fannie Mae | 397,554 | (1,153 | ) | 272,592 | (2,299 | ) | 670,146 | (3,452 | ) | |||||||||||
Freddie Mac | 726,865 | (348 | ) | 441,713 | (5,318 | ) | 1,168,578 | (5,666 | ) | |||||||||||
Total MBS-GSE | 1,124,419 | (1,501 | ) | 714,305 | (7,617 | ) | 1,838,724 | (9,118 | ) | |||||||||||
MBS-Private-Label | 53 | (1 | ) | 61,771 | (3,390 | ) | 61,824 | (3,391 | ) | |||||||||||
Total MBS | 1,124,472 | (1,502 | ) | 776,076 | (11,007 | ) | 1,900,548 | (12,509 | ) | |||||||||||
Total | $ | 1,174,469 | $ | (1,505 | ) | $ | 1,045,718 | $ | (60,910 | ) | $ | 2,220,187 | $ | (62,415 | ) | |||||
At March 31, 2015 and December 31, 2014, the FHLBNY’s investments in housing finance agency bonds had gross unrealized losses totaling $49.1 million and $49.9 million. These 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 reviewed the portfolio and has observed that the bonds are performing to their contractual terms, and has concluded that, as of March 31, 2015, all of the gross unrealized losses on its housing finance agency bonds are temporary because the underlying collateral and credit enhancements are sufficient to protect the FHLBNY from losses based on current expectations. As a result, the FHLBNY 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 FHLBNY 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): | ||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||
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 | $ | 31,950 | $ | 31,106 | $ | 33,990 | $ | 33,069 | ||||||||||||
Due after five years through ten years | 37,615 | 36,839 | 37,615 | 36,771 | ||||||||||||||||
Due after ten years | 741,215 | 693,944 | 741,475 | 693,538 | ||||||||||||||||
State and local housing finance agency obligations | 810,780 | 761,889 | 813,080 | 763,378 | ||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||
Due in one year or less | 55,769 | 55,741 | — | — | ||||||||||||||||
Due after one year through five years | 2,755,678 | 2,815,041 | 2,561,843 | 2,589,028 | ||||||||||||||||
Due after five years through ten years | 4,292,949 | 4,463,334 | 4,380,717 | 4,519,973 | ||||||||||||||||
Due after ten years | 5,375,924 | 5,492,447 | 5,436,822 | 5,543,804 | ||||||||||||||||
Mortgage-backed securities | 12,480,320 | 12,826,563 | 12,379,382 | 12,652,805 | ||||||||||||||||
Total Held-to-maturity securities | $ | 13,291,100 | $ | 13,588,452 | $ | 13,192,462 | $ | 13,416,183 | ||||||||||||
(a) | Amortized cost is after adjusting for a net unamortized premium of $36.5 million and $38.3 million at March 31, 2015 and December 31, 2014. | |||||||||||||||||||
Interest Rate Payment Terms | ||||||||||||||||||||
The following table summarizes interest rate payment terms of securities classified as held-to-maturity (in thousands): | ||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||
Amortized | Carrying | Amortized | Carrying | |||||||||||||||||
Cost | Value | Cost | Value | |||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||
CMO | ||||||||||||||||||||
Fixed | $ | 1,548,124 | $ | 1,547,610 | $ | 1,595,060 | $ | 1,594,475 | ||||||||||||
Floating | 3,145,611 | 3,145,610 | 3,296,156 | 3,296,156 | ||||||||||||||||
Total CMO | 4,693,735 | 4,693,220 | 4,891,216 | 4,890,631 | ||||||||||||||||
CMBS | ||||||||||||||||||||
Fixed | 4,998,472 | 4,998,472 | 5,009,903 | 5,009,903 | ||||||||||||||||
Floating | 2,159,353 | 2,159,353 | 1,812,581 | 1,812,581 | ||||||||||||||||
Total CMBS | 7,157,825 | 7,157,825 | 6,822,484 | 6,822,484 | ||||||||||||||||
Pass Thru (a) | ||||||||||||||||||||
Fixed | 554,679 | 513,744 | 588,326 | 545,493 | ||||||||||||||||
Floating | 74,081 | 73,241 | 77,356 | 76,491 | ||||||||||||||||
Total Pass Thru | 628,760 | 586,985 | 665,682 | 621,984 | ||||||||||||||||
Total MBS | 12,480,320 | 12,438,030 | 12,379,382 | 12,335,099 | ||||||||||||||||
State and local housing finance agency obligations | ||||||||||||||||||||
Fixed | 14,555 | 14,555 | 16,610 | 16,610 | ||||||||||||||||
Floating | 796,225 | 796,225 | 796,470 | 796,470 | ||||||||||||||||
Total State and local housing finance agency obligations | 810,780 | 810,780 | 813,080 | 813,080 | ||||||||||||||||
Total Held-to-maturity securities | $ | 13,291,100 | $ | 13,248,810 | $ | 13,192,462 | $ | 13,148,179 | ||||||||||||
(a) | Includes MBS supported by pools of mortgages. | |||||||||||||||||||
Impairment Analysis (OTTI) of GSE-issued and Private Label Mortgage-backed Securities | ||||||||||||||||||||
The FHLBNY evaluates its individual securities issued by Fannie Mae, Freddie Mac and U.S. government agency, (collectively GSE or Agency securities), 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-issued securities are performing in accordance with their contractual agreements. The FHLBNY believes that it will recover its investments in GSE securities given the current levels of collateral, credit enhancements and guarantees that exist to protect the investments. | ||||||||||||||||||||
Management evaluates its investments in private-label MBS (“PLMBS”) for OTTI on a quarterly basis by performing cash flow tests on its entire portfolio of PLMBS. For more information about cash flow impairment assessment methodology, see Note 1. Significant Accounting Policies and Estimates in the Bank’s most recent Form 10-K filed on March 23, 2015. No credit OTTI was identified in the first quarter of 2015 or any periods in 2014. | ||||||||||||||||||||
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 PLMBS, and the analysis of the securities 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 FHLBNY has determined that for bond insurer AGM, insurance guarantees can be relied upon to cover projected shortfalls. For bond insurer MBIA, the reliance period is through December 31, 2016 (1 year). For bond insurer Ambac, the reliance period is through December 31, 2019 (4 years) and is limited to cover 45% of shortfalls. | ||||||||||||||||||||
The following table provides roll-forward information about the cumulative credit component of OTTI recognized as a charge to earnings related to held-to-maturity securities (in thousands): | ||||||||||||||||||||
Three months ended March 31, | ||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||
Beginning balance | $ | 34,893 | $ | 36,543 | ||||||||||||||||
Increases in cash flows expected to be collected, recognized over the remaining life of the securities | (772 | ) | (236 | ) | ||||||||||||||||
Ending balance | $ | 34,121 | $ | 36,307 | ||||||||||||||||
Key Base Assumptions | ||||||||||||||||||||
The tables below summarize the weighted average and range of Key Base Assumptions for private-label MBS at March 31, 2015 and December 31, 2014, including those deemed OTTI: | ||||||||||||||||||||
Key Base Assumptions - All PLMBS at March 31, 2015 | ||||||||||||||||||||
CDR % (a) | CPR % (b) | Loss Severity % (c) | ||||||||||||||||||
Security Classification | Range | Average | Range | Average | Range | Average | ||||||||||||||
RMBS Prime (d) | 0.0-5.0 | 1.6 | 12.6-26.8 | 20.1 | 0.0-54.9 | 34.6 | ||||||||||||||
RMBS Alt-A (d) | 1.0-8.0 | 1.8 | 2.0-10.3 | 5.2 | 30.0-30.0 | 30.0 | ||||||||||||||
HEL Subprime (e) | 1.0-11.4 | 4.1 | 2.0-21.8 | 4.8 | 25.6-100.0 | 66.3 | ||||||||||||||
Manufactured Housing Loans | 2.6-3.7 | 3.3 | 2.6-3.8 | 3.0 | 77.9-85.2 | 82.6 | ||||||||||||||
Key Base Assumptions - All PLMBS at December 31, 2014 | ||||||||||||||||||||
CDR % (a) | CPR % (b) | Loss Severity % (c) | ||||||||||||||||||
Security Classification | Range | Average | Range | Average | Range | Average | ||||||||||||||
RMBS Prime (d) | 0.0-5.1 | 1.7 | 12.1-29.6 | 22.9 | 34.4-83.8 | 54.3 | ||||||||||||||
RMBS Alt-A (d) | 1.0-7.0 | 1.7 | 2.0-8.4 | 5.3 | 30.0-30.0 | 30.0 | ||||||||||||||
HEL Subprime (e) | 1.0-10.3 | 3.8 | 2.0-23.9 | 4.9 | 22.7-100.0 | 65.7 | ||||||||||||||
Manufactured Housing Loans | 2.8-4.1 | 3.6 | 2.7-3.8 | 3.1 | 76.0-83.3 | 80.6 | ||||||||||||||
(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”. Disaggregation of the Level 3 bonds is by collateral type supporting the credit structure of the PLMBS, and the FHLBNY deems that no further disaggregation is necessary for a qualitative understanding of the sensitivity of fair values. | ||||||||||||||||||||
AvailableforSale_Securities
Available-for-Sale Securities. (Available-for-Sale Securities.) | 3 Months Ended | |||||||||||||
Mar. 31, 2015 | ||||||||||||||
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, and at March 31, 2015 and December 31, 2014, no AFS security was Other-than-temporarily impaired. The following tables provide major security types (in thousands): | ||||||||||||||
March 31, 2015 | ||||||||||||||
Gross | Gross | |||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||
Cost | Gains | Losses | Value | |||||||||||
Cash equivalents (a) | $ | 648 | $ | — | $ | — | $ | 648 | ||||||
Equity funds (a) | 10,610 | 1,600 | — | 12,210 | ||||||||||
Fixed income funds (a) | 9,344 | 16 | (2 | ) | 9,358 | |||||||||
GSE and U.S. Obligations | ||||||||||||||
Mortgage-backed securities | ||||||||||||||
CMO-Floating | 1,096,628 | 12,444 | — | 1,109,072 | ||||||||||
CMBS-Floating | 41,589 | 456 | — | 42,045 | ||||||||||
Total Available-for-sale securities | $ | 1,158,819 | $ | 14,516 | $ | (2 | ) | $ | 1,173,333 | |||||
December 31, 2014 | ||||||||||||||
Gross | Gross | |||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||
Cost | Gains | Losses | Value | |||||||||||
Cash equivalents (a) | $ | 537 | $ | — | $ | — | $ | 537 | ||||||
Equity funds (a) | 9,310 | 1,579 | (7 | ) | 10,882 | |||||||||
Fixed income funds (a) | 6,399 | 146 | (17 | ) | 6,528 | |||||||||
GSE and U.S. Obligations | ||||||||||||||
Mortgage-backed securities | ||||||||||||||
CMO-Floating | 1,161,115 | 13,156 | — | 1,174,271 | ||||||||||
CMBS-Floating | 41,692 | 517 | — | 42,209 | ||||||||||
Total Available-for-sale securities | $ | 1,219,053 | $ | 15,398 | $ | (24 | ) | $ | 1,234,427 | |||||
(a) | The FHLBNY has a grantor trust to finance 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. Dividend income and gains and losses from sales of funds were $711.3 thousand and $51.0 thousand in the three months ended March 31, 2015 and the same period in 2014 and were recorded in Other income. | |||||||||||||
Unrealized Losses — MBS Classified as AFS Securities | ||||||||||||||
No MBS security was in an unrealized loss position at March 31, 2015 or at December 31, 2014. | ||||||||||||||
Impairment Analysis of AFS Securities — The FHLBNY’s portfolio of MBS classified as AFS is comprised primarily of GSE-issued collateralized mortgage obligations, which are “pass through” securities, and GSE-issued floating rate CMBS. The FHLBNY evaluates its GSE-issued securities by considering the creditworthiness and performance of the debt securities and the strength of the government-sponsored enterprises’ guarantees of the securities. Based on 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 value (a) of investments classified as AFS, by contractual maturity, were as follows (in thousands): | ||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||
Amortized Cost (c) | Fair Value | Amortized Cost (c) | Fair Value | |||||||||||
Mortgage-backed securities | ||||||||||||||
Due after five years through ten years | $ | 41,589 | $ | 42,045 | $ | 41,692 | $ | 42,209 | ||||||
Due after ten years | 1,096,628 | 1,109,072 | 1,161,115 | 1,174,271 | ||||||||||
Fixed income/bond funds, equity funds and cash equivalents (b) | 20,602 | 22,216 | 16,246 | 17,947 | ||||||||||
Total Available-for-sale securities | $ | 1,158,819 | $ | 1,173,333 | $ | 1,219,053 | $ | 1,234,427 | ||||||
(a) | The carrying value of AFS securities equals fair value. | |||||||||||||
(b) | Funds in the grantor trust are determined to be redeemable at short notice. | |||||||||||||
(c) | Amortized cost is after adjusting for net unamortized discounts of $3.8 million at March 31, 2015 and December 31, 2014. | |||||||||||||
Interest Rate Payment Terms | ||||||||||||||
The following table summarizes interest rate payment terms of investments in mortgage-backed securities classified as AFS securities (in thousands): | ||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||
Amortized Cost | Fair Value | Amortized Cost | Fair Value | |||||||||||
Mortgage-backed securities | ||||||||||||||
CMO floating - LIBOR | $ | 1,096,628 | $ | 1,109,072 | $ | 1,161,115 | $ | 1,174,271 | ||||||
CMBS floating - LIBOR | 41,589 | 42,045 | 41,692 | 42,209 | ||||||||||
Total Mortgage-backed securities (a) | $ | 1,138,217 | $ | 1,151,117 | $ | 1,202,807 | $ | 1,216,480 | ||||||
(a) | Total will not agree to total AFS portfolio because bond and equity funds in a grantor trust have been excluded. | |||||||||||||
Advances
Advances. | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Advances. | |||||||||||||||||
Advances. | |||||||||||||||||
Note 7.Advances. | |||||||||||||||||
The FHLBNY offers to its members a wide range of fixed- and adjustable-rate advance loan products with different maturities, interest rates, payment characteristics, and optionality. | |||||||||||||||||
Redemption Terms | |||||||||||||||||
Contractual redemption terms and yields of advances were as follows (dollars in thousands): | |||||||||||||||||
March 31, 2015 | December 31, 2014 | ||||||||||||||||
Weighted (a) | Weighted (a) | ||||||||||||||||
Average | Percentage | Average | Percentage | ||||||||||||||
Amount | Yield | of Total | Amount | Yield | of Total | ||||||||||||
Due in one year or less | $ | 30,004,303 | 0.87 | % | 34.55 | % | $ | 43,044,026 | 0.68 | % | 44.28 | % | |||||
Due after one year through two years | 19,222,306 | 1.83 | 22.14 | 17,322,868 | 2.10 | 17.82 | |||||||||||
Due after two years through three years | 17,544,061 | 1.60 | 20.20 | 15,775,401 | 1.71 | 16.23 | |||||||||||
Due after three years through four years | 6,164,722 | 2.18 | 7.10 | 7,053,431 | 2.10 | 7.26 | |||||||||||
Due after four years through five years | 5,311,236 | 2.50 | 6.12 | 4,655,510 | 2.41 | 4.79 | |||||||||||
Thereafter | 8,585,673 | 2.82 | 9.89 | 9,366,815 | 2.81 | 9.62 | |||||||||||
Total par value | 86,832,301 | 1.61 | % | 100.00 | % | 97,218,051 | 1.49 | % | 100.00 | % | |||||||
Hedge valuation basis adjustments (b) | 1,686,167 | 1,574,044 | |||||||||||||||
Fair value option valuation adjustments and accrued interest (c) | 5,141 | 5,402 | |||||||||||||||
Total | $ | 88,523,609 | $ | 98,797,497 | |||||||||||||
(a) | The weighted average yield is the weighted average coupon rates for advances, unadjusted for swaps. For floating-rate advances, the weighted average rate is the rate outstanding at the reporting dates. | ||||||||||||||||
(b) | Hedge valuation basis adjustments represent changes in the fair values of fixed-rate advances due to changes in LIBOR, which is the FHLBNY’s benchmark rate in a Fair value hedge. | ||||||||||||||||
(c) | Valuation adjustments represent changes in the full fair values of advances elected under the FVO. | ||||||||||||||||
Monitoring and Evaluating Credit Losses on Advances — Summarized below are the FHLBNY’s assessment methodologies for evaluating advances for credit losses. | |||||||||||||||||
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 FHLBNY has policies and procedures in place to manage credit risk. There were no past due advances and all advances were current for all periods in this report. Management does not anticipate any credit losses, and accordingly, the FHLBNY has not provided an allowance for credit losses on advances. Potential credit risk from advances is concentrated in commercial banks, savings institutions, and insurance companies. | |||||||||||||||||
Concentration of Advances Outstanding. Advances to the FHLBNY’s top ten borrowing member institutions are reported in Note 19. Segment Information and Concentration. The FHLBNY held sufficient collateral to cover the advances to all institutions and it does not expect to incur any credit losses. Advances borrowed by insurance companies accounted for 19.2% and 17.4% of total advances at March 31, 2015 and December 31, 2014. Lending to insurance companies poses a number of unique risks not present in lending to federally insured depository institutions. For example, there is no single federal regulator for insurance companies. They are supervised by state regulators and subject to state insurance codes and regulations. There is uncertainty about whether a state insurance commissioner would try to void the FHLBNY’s claims on collateral in the event of an insurance company failure. | |||||||||||||||||
As with all members, insurance companies are also required to purchase the FHLBNY’s capital stock as a prerequisite to membership. The FHLBNY’s management takes a number of steps to mitigate the unique risk of lending to insurance companies. At the time of membership, the FHLBNY requires an insurance company to be highly-rated and to meet the FHLBNY’s credit quality standards. The FHLBNY performs credit analysis of insurance borrowers quarterly. The FHLBNY also requires member insurance companies to pledge, as collateral for the FHLBNY’s custody, highly-rated readily marketable securities and mortgages that meet the FHLBNY’s credit quality standards. Appropriate minimum margins are applied to all collateral, and the margins are reviewed quarterly to adjust for price volatility. | |||||||||||||||||
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 March 31, 2015 and December 31, 2014, the FHLBNY had rights to collateral with an estimated value greater than outstanding advances. Based upon the financial condition of the member, the FHLBNY: | |||||||||||||||||
-1 | Allows a member to retain possession of the mortgage collateral pledged to the FHLBNY if the member executes a written security agreement, provides periodic listings and agrees to hold such collateral for the benefit of the FHLBNY; however, securities and cash collateral are always in physical possession; or | ||||||||||||||||
-2 | Requires the member specifically to assign or place physical possession of such mortgage collateral with the FHLBNY or its custodial agent. | ||||||||||||||||
Beyond these provisions, Section 10(e) of the FHLBank Act affords any security interest granted by a member to the FHLBNY’s priority over the claims or rights of any other party. The two exceptions are claims that would be entitled to priority under otherwise applicable law or perfected security interests. All member obligations with the FHLBNY were fully collateralized throughout their entire term. The total of collateral pledged to the FHLBNY includes excess collateral pledged above the minimum collateral requirements. However, a “Maximum Lendable Value” is established to ensure that the FHLBNY has sufficient eligible collateral securing credit extensions. | |||||||||||||||||
Mortgage_Loans_HeldforPortfoli
Mortgage Loans Held-for-Portfolio. | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||
Mortgage Loans Held-for-Portfolio. | ||||||||||||||||||||
Mortgage Loans Held-for-Portfolio. | ||||||||||||||||||||
Note 8.Mortgage Loans Held-for-Portfolio. | ||||||||||||||||||||
Mortgage Partnership Finance® program loans, or (MPF®), are the mortgage loans held-for-portfolio. The FHLBNY participates in the MPF program by purchasing and originating conventional mortgage loans from its participating members, hereafter referred to as Participating Financial Institutions (“PFI”). The FHLBNY manages the liquidity, interest rate and prepayment option risk of the MPF loans, while the PFIs retain servicing activities, and may credit-enhance the portion of the loans participated to the FHLBNY. No intermediary trust is involved. | ||||||||||||||||||||
The FHLBNY classifies mortgage loans as held for investment and, accordingly, reports them at their principal amount outstanding net of unamortized premiums, discounts, and unrealized gains and losses from loans initially classified as mortgage loan commitments. Loans that are on nonaccrual status and that are considered collateral-dependent are measured for impairment based on the fair value of the underlying property less estimated selling costs. | ||||||||||||||||||||
The following table presents information on mortgage loans held-for-portfolio (dollars in thousands): | ||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||
Amount | Percentage of | Amount | Percentage of | |||||||||||||||||
Total | Total | |||||||||||||||||||
Real Estate(a): | ||||||||||||||||||||
Fixed medium-term single-family mortgages | $ | 316,652 | 14.04 | % | $ | 327,112 | 15.63 | % | ||||||||||||
Fixed long-term single-family mortgages | 1,938,134 | 85.96 | 1,765,661 | 84.37 | ||||||||||||||||
Multi-family mortgages | 62 | — | 63 | — | ||||||||||||||||
Total par value | 2,254,848 | 100 | % | 2,092,836 | 100 | % | ||||||||||||||
Unamortized premiums | 44,851 | 41,046 | ||||||||||||||||||
Unamortized discounts | (2,402 | ) | (2,544 | ) | ||||||||||||||||
Basis adjustment (b) | 2,175 | 2,408 | ||||||||||||||||||
Total mortgage loans held-for-portfolio | 2,299,472 | 2,133,746 | ||||||||||||||||||
Allowance for credit losses (c) | (948 | ) | (4,507 | ) | ||||||||||||||||
Total mortgage loans held-for-portfolio, net of allowance for credit losses | $ | 2,298,524 | $ | 2,129,239 | ||||||||||||||||
(a) | Conventional mortgages represent the majority of mortgage loans held-for-portfolio, with the remainder invested in FHA and VA insured loans. | |||||||||||||||||||
(b) | Balances represent unamortized fair value basis of closed delivery commitments. A basis is recorded at the settlement of the loan and represents the difference in trade price paid for acquiring the loan and the price at the settlement date for a similar loan. The basis is amortized as a yield adjustment to Interest income. | |||||||||||||||||||
(c) | Prior to January 1, 2015, the FHLBNY recorded a charge-off on a conventional loan generally at the foreclosure of a loan. Beginning January 1, 2015, the FHLBNY adopted the guidance provided by the FHFA and accelerated the consideration for a charge-off when a loan was on a non-accrual status for 180 days or more. Amount of the charge-off at 180 days is typically recognized to the extent the fair value of the underlying collateral, less estimated selling costs, is less than the recorded investment in the loan. The adoption of the FHFA guidance resulted in the reclassification of $3.7 million in allowance for credit losses on loans that were on non-accrual status of 180 days or more at January 1, 2015. The amount represented partial charge-off of such delinquent loans, and had no impact on earnings for the quarter as it was a reclassification within the Statement of Condition between the categories Allowance for credit losses and the Carrying values of the MPF loans. For more information, see Note 2. Recently Issued Accounting Standards and Interpretations. | |||||||||||||||||||
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 First Loss Account (“FLA”), was estimated at $24.1 million and $22.1 million at March 31, 2015 and December 31, 2014. 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 $0.4 million for the three months ended March 31, 2015 and the same period in 2014. These fees were reported as a reduction to mortgage loan interest income. | ||||||||||||||||||||
In terms of the credit enhancement waterfall, the MPF program structures potential credit losses on conventional MPF loans into layers on each loan pool as follows: | ||||||||||||||||||||
(1) The first layer of protection against loss is the liquidation value of the real property securing the loan. | ||||||||||||||||||||
(2) The next layer of protection comes from the primary mortgage insurance (“PMI”) that is required for loans with a loan-to-value ratio greater than 80% at origination. | ||||||||||||||||||||
(3) Losses that exceed the liquidation value of the real property and any PMI will be absorbed by the FHLBNY, limited to the amount of the FLA available under the Master Commitment. For certain MPF products, the FHLBNY could recover previously absorbed losses by withholding future Credit Enhancement fees (“CE Fees”) otherwise payable to the PFI, and applying the amounts to recover losses previously absorbed. In effect, the FHLBNY may recover losses allocated to the FLA from CE Fees. The amount of CE Fees depends on the MPF product and the outstanding balances of loans funded in the Master Commitment. CE Fees payable (and potentially available for loss recovery) will decline as the outstanding loan balances in the Master Commitment declines. | ||||||||||||||||||||
(4) The second layer or portion of credit losses is incurred by the PFI and/or the Supplemental Mortgage Insurance (“SMI”) provider as follows: The PFI absorbs losses in excess of any FLA up to the amount of the PFI’s credit obligation amount and/or to the SMI provider for MPF 125 Plus products if the PFI has selected SMI coverage. | ||||||||||||||||||||
(5) The third layer of losses is absorbed by the FHLBNY. | ||||||||||||||||||||
Allowance Methodology for 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 FHLBNY 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 (Special Mention, Sub-standard, Doubtful or Loss), and 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 (except the “First Loss Account”) to provide credit assurance to the FHLBNY. Conventional mortgage loans, except Federal Housing Administration (“FHA”) and Department of Veterans Affairs (“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. | ||||||||||||||||||||
When a loan is delinquent 90 days or more, its liquidation value is compared to its carrying value, and a shortfall is recorded as an allowance for credit losses. This methodology is applied on a loan level basis. When a loan is delinquent 180 days or more, the FHLBNY will then charge any excess carrying value over the net realizable value of the loan to the allowance for credit losses. When the loan is foreclosed and the FHLBNY takes possession of real estate, the balance of the loan that has not been charged off will be transferred from the loan held for portfolio category to Real Estate owned category at the lower of carrying value or net realizable value of the foreclosed loan. | ||||||||||||||||||||
Only FHA- and VA-insured MPF loans are evaluated collectively. FHA- and VA-insured mortgage loans have minimal inherent credit risk, and are therefore not considered for impairment at a loan-level. 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 there is no other available and reliable source of repayment. If a loss is incurred, the FHLBNY would withhold CE fee payments to the PFI associated with the loan that is in a loss position. The amount withheld would be commensurate with the credit loss and the loss layer for which the PFI has assumed the credit enhancement responsibility. The FHLBNY’s loss experience has been insignificant and amounts of CE fees withheld have been insignificant. | ||||||||||||||||||||
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 March 31, | ||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||
Allowance for credit losses: | ||||||||||||||||||||
Beginning balance | $ | 4,507 | $ | 5,697 | ||||||||||||||||
Charge-offs | (3,747 | ) | (132 | ) | ||||||||||||||||
Recoveries | — | 45 | ||||||||||||||||||
Provision for credit losses on mortgage loans | 188 | 335 | ||||||||||||||||||
Ending balance | $ | 948 | $ | 5,945 | ||||||||||||||||
Ending balance, individually evaluated for impairment | $ | 948 | $ | 5,945 | ||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||
Recorded investment, end of period: | ||||||||||||||||||||
Individually evaluated for impairment | ||||||||||||||||||||
Impaired, with or without a related allowance | $ | 23,473 | $ | 27,389 | ||||||||||||||||
Not impaired, no related allowance | 2,112,609 | 1,949,490 | ||||||||||||||||||
Total uninsured mortgage loans | $ | 2,136,082 | $ | 1,976,879 | ||||||||||||||||
Collectively evaluated for impairment (b) | ||||||||||||||||||||
Impaired, with or without a related allowance | $ | 1,963 | $ | 1,275 | ||||||||||||||||
Not impaired, no related allowance | 172,109 | 165,978 | ||||||||||||||||||
Total insured mortgage loans | $ | 174,072 | $ | 167,253 | ||||||||||||||||
(a) | Allowances for credit losses on individual impaired loans have generally remained flat or lower, in line with improvements in collateral values, consistent with the improving housing prices/liquidation values of real property securing impaired loans in the states of New York and New Jersey. As noted previously, the FHLBNY adopted the FHFA guidance effective January 1, 2015 and accelerated the timing of the recording a charge-off to the earlier of foreclosure or when a loan is 180 days delinquent. As the FHLBNY records the initial allowance for credit losses on loans delinquent 90 days or more and continues to evaluate the allowance at least quarterly, the adoption of the guidance and acceleration of the charge-off did not result in additional credit allowance. Adoption resulted in a reclassification of $3.7 million, reducing the allowance with a corresponding reduction in the recorded investment in impaired loans. | |||||||||||||||||||
(b) | 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. | |||||||||||||||||||
Mortgage Loans - Non-performing Loans | ||||||||||||||||||||
The FHLBNY’s impaired mortgage loans are reported in the table below (in thousands): | ||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||
Total Mortgage loans, net of allowance for credit losses (a) | $ | 2,298,524 | $ | 2,129,239 | ||||||||||||||||
Non-performing mortgage loans - Conventional (b) | $ | 20,472 | $ | 24,709 | ||||||||||||||||
Insured MPF loans past due 90 days or more and still accruing interest (b) | $ | 1,865 | $ | 1,217 | ||||||||||||||||
(a) | Includes loans classified as special mention, sub-standard, doubtful or loss under regulatory criteria, and are reported at carrying value less any amounts charged-off if delinquent for 180 days. | |||||||||||||||||||
(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. | |||||||||||||||||||
Mortgage Loans — Interest on Non-performing Loans | ||||||||||||||||||||
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 (in thousands): | ||||||||||||||||||||
Three months ended March 31, | ||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||
Interest contractually due (a) | $ | 363 | $ | 409 | ||||||||||||||||
Interest actually received | 328 | 373 | ||||||||||||||||||
Shortfall | $ | 35 | $ | 36 | ||||||||||||||||
(a) | Represents the amount of interest accrual on non-accrual uninsured loans that were not recorded as income. For more information about the FHLBNY’s policy on non-accrual loans, see Note 1. Significant Accounting Policies. | |||||||||||||||||||
The following tables summarize the recorded investment in impaired loans (excluding insured FHA/VA loans), the unpaid principal balance and related allowance (individually assessed for impairment), and the average recorded investment of impaired loans (in thousands): | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Unpaid | Average | |||||||||||||||||||
Recorded | Principal | Related | Recorded | |||||||||||||||||
Impaired Loans (c) | Investment | Balance | Allowance | Investment (d) | ||||||||||||||||
With no related allowance: | ||||||||||||||||||||
Conventional MPF Loans (a)(b) | $ | 20,301 | $ | 20,275 | $ | — | $ | 13,754 | ||||||||||||
With an allowance: | ||||||||||||||||||||
Conventional MPF Loans (a) | 3,172 | 3,149 | 948 | 11,910 | ||||||||||||||||
Total Conventional MPF Loans (a) | $ | 23,473 | $ | 23,424 | $ | 948 | $ | 25,664 | ||||||||||||
December 31, 2014 | ||||||||||||||||||||
Unpaid | Average | |||||||||||||||||||
Recorded | Principal | Related | Recorded | |||||||||||||||||
Impaired Loans (c) | Investment | Balance | Allowance | Investment (d) | ||||||||||||||||
With no related allowance: | ||||||||||||||||||||
Conventional MPF Loans (a)(b) | $ | 10,713 | $ | 10,692 | $ | — | $ | 9,754 | ||||||||||||
With an allowance: | ||||||||||||||||||||
Conventional MPF Loans (a) | 16,676 | 16,673 | 4,507 | 18,517 | ||||||||||||||||
Total Conventional MPF Loans (a) | $ | 27,389 | $ | 27,365 | $ | 4,507 | $ | 28,271 | ||||||||||||
(a) | Based on analysis of the nature of risks of the FHLBNY’s investments in MPF loans, including its methodologies for identifying and measuring impairment, management has determined that presenting such loans as a single class is appropriate. | |||||||||||||||||||
(b) | Collateral values, net of estimated costs to sell, exceeded the recorded investments in impaired loans and no allowances were deemed necessary. | |||||||||||||||||||
(c) | Interest received is not recorded as Interest income if an uninsured loan is past due 90 days or more. Cash received is recorded as a liability on the assumption that cash was remitted by the servicer to the FHLBNY that could potentially be recouped by the borrower in a foreclosure. | |||||||||||||||||||
(d) | Represents average recorded investment for the three months ended March 31, 2015 and the twelve months ended December 31, 2014. | |||||||||||||||||||
Recorded investments in MPF loans that were past due, and real estate owned are summarized below. Recorded investment, which includes accrued interest receivable, would not equal carrying values reported elsewhere (dollars in thousands): | ||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||
Conventional | Insured | Other | Conventional | Insured | Other | |||||||||||||||
MPF Loans | Loans | Loans | MPF Loans | Loans | Loans | |||||||||||||||
Mortgage loans: | ||||||||||||||||||||
Past due 30 - 59 days | $ | 21,049 | $ | 4,303 | $ | — | $ | 23,212 | $ | 6,312 | $ | — | ||||||||
Past due 60 - 89 days | 5,981 | 1,264 | — | 5,578 | 886 | — | ||||||||||||||
Past due 90 - 179 days | 3,857 | 937 | — | 3,198 | 740 | — | ||||||||||||||
Past due 180 days or more | 16,647 | 1,026 | — | 21,526 | 535 | — | ||||||||||||||
Total past due | 47,534 | 7,530 | — | 53,514 | 8,473 | — | ||||||||||||||
Total current loans | 2,088,486 | 166,542 | 62 | 1,923,302 | 158,780 | 63 | ||||||||||||||
Total mortgage loans | $ | 2,136,020 | $ | 174,072 | $ | 62 | $ | 1,976,816 | $ | 167,253 | $ | 63 | ||||||||
Other delinquency statistics: | ||||||||||||||||||||
Loans in process of foreclosure, included above | $ | 12,033 | $ | 481 | $ | — | $ | 17,032 | $ | 413 | $ | — | ||||||||
Number of foreclosures outstanding at period end | 108 | 9 | — | 119 | 10 | — | ||||||||||||||
Serious delinquency rate (a) | 0.96 | % | 1.13 | % | — | % | 1.25 | % | 0.76 | % | — | % | ||||||||
Serious delinquent loans total used in calculation of serious delinquency rate | $ | 20,504 | $ | 1,963 | $ | — | $ | 24,724 | $ | 1,275 | $ | — | ||||||||
Past due 90 days or more and still accruing interest | $ | — | $ | 1,963 | $ | — | $ | — | $ | 1,275 | $ | — | ||||||||
Loans on non-accrual status | $ | 20,504 | $ | — | $ | — | $ | 24,724 | $ | — | $ | — | ||||||||
Troubled debt restructurings: | ||||||||||||||||||||
Loans discharged from bankruptcy (b) | $ | 9,753 | $ | 369 | $ | — | $ | 10,029 | $ | 324 | $ | — | ||||||||
Modified loans under MPF® program | $ | 1,055 | $ | — | $ | — | $ | 1,009 | $ | — | $ | — | ||||||||
Real estate owned | $ | 2,998 | $ | 1,980 | ||||||||||||||||
(a) | Serious delinquency rate is defined as recorded investments in loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of total loan class. | |||||||||||||||||||
(b) | Loans discharged from Chapter 7 bankruptcies are considered as TDR. | |||||||||||||||||||
Troubled Debt Restructurings (“TDRs”) and MPF modification standards. Troubled debt restructuring is considered to have occurred when a concession is granted to a borrower for economic or legal reasons related to the borrower’s financial difficulties and that concession would not have been otherwise considered. Effective August 1, 2009, the MPF program introduced a temporary loan payment modification plan for participating PFIs, which was initially available until December 31, 2011 and has been extended through December 31, 2015. This modification plan was made available to homeowners currently in default or imminent danger of default and only a few MPF loans had been modified under the plan and outstanding at March 31, 2015. Due to the insignificant numbers of loans modified and considered to be TDR, forgiveness and other information with respect to the modifications have been omitted. | ||||||||||||||||||||
Loans modified under this program are considered impaired. The allowance for credit losses on those impaired loans were evaluated individually, and the allowance balances were $0.3 million and $0.5 million at March 31, 2015 and December 31, 2014. A MPF loan involved in the troubled debt restructuring program is individually evaluated by the FHLBNY for impairment when determining its related allowance for credit losses. When a TDR is executed, the loan status becomes current, but the loan will continue to be classified as a non-performing TDR loan and will continue to be evaluated individually for credit losses until the MPF loan is performing to its original terms. The credit loss would be based on 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. | ||||||||||||||||||||
Loans discharged from bankruptcy — The FHLBNY includes MPF loans discharged from Chapter 7 bankruptcy as TDRs; $9.8 million and $10.0 million of such loans were outstanding at March 31, 2015 and December 31, 2014. 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 for credit impairment only if past due 90 days or more, and $0.1 million were impaired due to their past due delinquency status at March 31, 2015. There was no allowance for credit losses associated with those loans. | ||||||||||||||||||||
The following table summarizes performing and non-performing troubled debt restructurings balances (in thousands): | ||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||
Recorded Investment Outstanding | Performing | Non- performing | Total TDR | Performing | Non- performing | Total TDR | ||||||||||||||
Troubled debt restructurings (TDR) (a) (b) : | ||||||||||||||||||||
Loans discharged from bankruptcy | $ | 9,648 | $ | 105 | $ | 9,753 | $ | 9,800 | $ | 229 | $ | 10,029 | ||||||||
Modified loans under MPF® program | 828 | 227 | 1,055 | 422 | 587 | 1,009 | ||||||||||||||
Total troubled debt restructurings | $ | 10,476 | $ | 332 | $ | 10,808 | $ | 10,222 | $ | 816 | $ | 11,038 | ||||||||
Related Allowance | $ | 336 | $ | 612 | ||||||||||||||||
(a) | Insured loans were not included in the calculation for troubled debt restructuring. | |||||||||||||||||||
(b) | Loans discharged from Chapter 7 bankruptcy are also considered as TDR. | |||||||||||||||||||
Deposits
Deposits. | 3 Months Ended | |||||||||||
Mar. 31, 2015 | ||||||||||||
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): | ||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||
Interest-bearing deposits | ||||||||||||
Interest-bearing demand | $ | 1,559,312 | $ | 1,958,518 | ||||||||
Term (a) | 32,000 | 27,000 | ||||||||||
Total interest-bearing deposits | 1,591,312 | 1,985,518 | ||||||||||
Non-interest-bearing demand | 15,855 | 13,401 | ||||||||||
Total deposits (b) | $ | 1,607,167 | $ | 1,998,919 | ||||||||
(a) | Term deposits were for periods of one year or less. | |||||||||||
(b) | Specific disclosures about deposits that exceed FDIC limits have been omitted as deposits are not insured by the FDIC. Deposits are received in the ordinary course of the FHLBNY’s business. The FHLBNY has pledged securities to the FDIC to collateralize deposits maintained at the FHLBNY by the FDIC; for more information, see Securities Pledged in Note 5. Held-to-Maturity Securities. | |||||||||||
Interest rate payment terms for deposits are summarized below (dollars in thousands): | ||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||
Amount | Weighted | Amount | Weighted | |||||||||
Outstanding | Average | Outstanding | Average | |||||||||
Interest Rate | Interest Rate | |||||||||||
Due in one year or less | ||||||||||||
Interest-bearing deposits (a) | $ | 1,591,312 | 0.03 | % | $ | 1,985,518 | 0.03 | % | ||||
Non-interest-bearing deposits | 15,855 | 13,401 | ||||||||||
Total deposits | $ | 1,607,167 | $ | 1,998,919 | ||||||||
(a) | Primarily adjustable rate | |||||||||||
Consolidated_Obligations
Consolidated Obligations. | 3 Months Ended | |||||||||||||||
Mar. 31, 2015 | ||||||||||||||||
Consolidated Obligations. | ||||||||||||||||
Consolidated Obligations. | ||||||||||||||||
Note 10.Consolidated Obligations. | ||||||||||||||||
Consolidated obligations 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 $0.8 trillion as of March 31, 2015 and December 31, 2014. | ||||||||||||||||
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; 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: | ||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||
Percentage of unpledged qualifying assets to consolidated obligations | 107 | % | 107 | % | ||||||||||||
The following table summarizes consolidated obligations issued by the FHLBNY and outstanding at March 31, 2015 and December 31, 2014 (in thousands): | ||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||
Consolidated obligation bonds-amortized cost | $ | 65,474,028 | $ | 73,020,550 | ||||||||||||
Hedge valuation basis adjustments (a) | 451,185 | 387,371 | ||||||||||||||
Hedge basis adjustments on terminated hedges (b) | 149,216 | 119,500 | ||||||||||||||
FVO (c) - valuation adjustments and accrued interest | 8,649 | 8,122 | ||||||||||||||
Total Consolidated obligation-bonds | $ | 66,083,078 | $ | 73,535,543 | ||||||||||||
Discount notes-amortized cost | $ | 44,914,010 | $ | 50,041,041 | ||||||||||||
FVO (c) - valuation adjustments and remaining accretion | 9,759 | 3,064 | ||||||||||||||
Total Consolidated obligation-discount notes | $ | 44,923,769 | $ | 50,044,105 | ||||||||||||
(a) | Hedge valuation basis adjustments represent changes in the fair values of fixed-rate bonds due to changes in LIBOR, which is the FHLBNY’s benchmark rate in a Fair value hedge. | |||||||||||||||
(b) | Hedge basis adjustments on terminated hedges represent the unamortized balances of valuation basis of fixed-rate bonds that were previously in a qualifying hedge relationship. The valuation basis at the time of hedge termination is amortized as a yield adjustment through Interest expense. | |||||||||||||||
(c) | Valuation adjustments represent changes in the full fair values of bonds and discount notes elected under the FVO. | |||||||||||||||
Redemption Terms of Consolidated Obligation Bonds | ||||||||||||||||
The following is a summary of consolidated obligation bonds outstanding by year of maturity (dollars in thousands): | ||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||
Maturity | Amount | Rate (a) | of Total | Amount | Rate (a) | of Total | ||||||||||
One year or less | $ | 35,535,625 | 0.41 | % | 54.3 | % | $ | 40,697,005 | 0.36 | % | 55.75 | % | ||||
Over one year through two years | 11,804,415 | 0.78 | 18.04 | 12,668,090 | 0.64 | 17.35 | ||||||||||
Over two years through three years | 7,400,930 | 1.4 | 11.31 | 8,179,800 | 1.27 | 11.21 | ||||||||||
Over three years through four years | 2,513,960 | 1.48 | 3.84 | 2,855,780 | 1.43 | 3.91 | ||||||||||
Over four years through five years | 2,602,600 | 1.55 | 3.97 | 2,482,500 | 1.53 | 3.4 | ||||||||||
Thereafter | 5,587,780 | 2.81 | 8.54 | 6,115,380 | 2.67 | 8.38 | ||||||||||
Total par value | 65,445,310 | 0.88 | % | 100 | % | 72,998,555 | 0.78 | % | 100 | % | ||||||
Bond premiums (b) | 54,180 | 49,537 | ||||||||||||||
Bond discounts (b) | (25,462 | ) | (27,542 | ) | ||||||||||||
Hedge valuation basis adjustments (c) | 451,185 | 387,371 | ||||||||||||||
Hedge basis adjustments on terminated hedges (d) | 149,216 | 119,500 | ||||||||||||||
FVO (e) - valuation adjustments and accrued interest | 8,649 | 8,122 | ||||||||||||||
Total Consolidated obligation-bonds | $ | 66,083,078 | $ | 73,535,543 | ||||||||||||
(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 $5.3 million and $10.0 million in the three months ended March 31, 2015 and the same period in 2014. | |||||||||||||||
(c) | Hedge valuation basis adjustments represent changes in the fair values of fixed-rate bonds due to changes in LIBOR, the benchmark rate for the FHLBNY in a Fair value hedge. | |||||||||||||||
(d) | Hedge basis adjustments on terminated hedges represent the unamortized balances of valuation basis of fixed-rate bonds that were previously in a hedging relationship. When the hedging relationship is de-designated, the valuation basis is no longer adjusted for changes in the valuation of the debt for changes in the benchmark rate; instead, the basis is amortized over the debt’s remaining life, so that at its maturity, the unamortized basis ($149.2 million loss at March 31, 2015) is reversed to $0. Amortization is recorded as a yield adjustment, which reduced Interest expenses by $1.3 million and $0.7 million in the 2015 first quarter and the prior year period. | |||||||||||||||
(e) | Valuation adjustments represent changes in the full fair values of bonds elected under the FVO. | |||||||||||||||
Interest Rate Payment Terms | ||||||||||||||||
The following summarizes types of bonds issued and outstanding (dollars in thousands): | ||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||
Amount | Percentage of | Amount | Percentage of | |||||||||||||
Total | Total | |||||||||||||||
Fixed-rate, non-callable | $ | 48,510,810 | 74.12 | % | $ | 53,659,055 | 73.51 | % | ||||||||
Fixed-rate, callable | 8,494,500 | 12.98 | 9,419,500 | 12.9 | ||||||||||||
Step Up, callable | 1,890,000 | 2.89 | 2,040,000 | 2.8 | ||||||||||||
Step Down, callable | 25,000 | 0.04 | 25,000 | 0.03 | ||||||||||||
Single-index floating rate | 6,525,000 | 9.97 | 7,855,000 | 10.76 | ||||||||||||
Total par value | 65,445,310 | 100 | % | 72,998,555 | 100 | % | ||||||||||
Bond premiums | 54,180 | 49,537 | ||||||||||||||
Bond discounts | (25,462 | ) | (27,542 | ) | ||||||||||||
Hedge valuation basis adjustments (a) | 451,185 | 387,371 | ||||||||||||||
Hedge basis adjustments on terminated hedges (b) | 149,216 | 119,500 | ||||||||||||||
FVO (c) - valuation adjustments and accrued interest | 8,649 | 8,122 | ||||||||||||||
Total Consolidated obligation-bonds | $ | 66,083,078 | $ | 73,535,543 | ||||||||||||
(a) | Hedge valuation basis adjustments represent changes in the fair values of fixed-rate bonds due to changes in LIBOR, which is the FHLBNY’s benchmark rate in a Fair value hedge. | |||||||||||||||
(b) | Hedge basis adjustments on terminated hedges represent the unamortized balances of valuation basis of fixed-rate bonds that were previously in a hedging relationship. | |||||||||||||||
(c) | Valuation adjustments represent changes in the full fair values of bonds elected under the FVO. | |||||||||||||||
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): | ||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||
Par value | $ | 44,937,674 | $ | 50,054,103 | ||||||||||||
Amortized cost | $ | 44,914,010 | $ | 50,041,041 | ||||||||||||
Fair value option valuation adjustments (a) | 9,759 | 3,064 | ||||||||||||||
Total discount notes | $ | 44,923,769 | $ | 50,044,105 | ||||||||||||
Weighted average interest rate | 0.11 | % | 0.08 | % | ||||||||||||
(a) | Valuation adjustments represent changes in the full fair values of discount notes elected under the FVO. | |||||||||||||||
Affordable_Housing_Program
Affordable Housing Program. | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Affordable Housing Program. | ||||||||
Affordable Housing Program. | ||||||||
Note 11.Affordable Housing Program. | ||||||||
For more information about the Affordable Housing Program and the Bank’s liability, see the Bank’s most recent Form 10-K filed on March 23, 2015. | ||||||||
The following provides roll-forward information with respect to changes in Affordable Housing Program liabilities (in thousands): | ||||||||
Three months ended March 31, | ||||||||
2015 | 2014 | |||||||
Beginning balance | $ | 113,544 | $ | 123,060 | ||||
Additions from current period’s assessments | 9,831 | 8,405 | ||||||
Net disbursements for grants and programs | (13,803 | ) | (7,199 | ) | ||||
Ending balance | $ | 109,572 | $ | 124,266 | ||||
Capital_Stock_Mandatorily_Rede
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | 3 Months Ended | |||||||||||||
Mar. 31, 2015 | ||||||||||||||
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, membership and activity-based capital stock. | ||||||||||||||
Membership stock is issued to meet membership stock purchase requirements. The FHLBNY requires member institutions to maintain membership stock based on a percentage of the member’s mortgage-related assets. | ||||||||||||||
Activity based stock is issued on a percentage of outstanding balances of advances, MPF loans and certain commitments. | ||||||||||||||
Membership and Activity-based Class B capital stock have the same voting rights and dividend rates. Members can redeem Class B stock by giving five years notice. The FHLBNY’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, and met the “adequately capitalized” classification, which is the highest rating, under the capital rule. However, the Finance Agency has discretion to reclassify a FHLBank and to modify or add to the corrective action requirements for a particular capital classification. If the FHLBNY became classified into a capital classification other than adequately capitalized, the Bank could be adversely impacted by the corrective action requirements for that capital classification. For more information about the capital rules under the Finance Agency regulations and a discussion of any corrective actions, see Note 12. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings in the audited financial statements included in our most recent Form 10-K filed on March 23, 2015. | ||||||||||||||
Risk-based Capital — The following table summarizes the FHLBNY’s risk-based capital ratios (dollars in thousands): | ||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||
Required(d) | Actual | Required(d) | Actual | |||||||||||
Regulatory capital requirements: | ||||||||||||||
Risk-based capital (a) (e) | $ | 642,303 | $ | 6,238,254 | $ | 631,508 | $ | 6,682,045 | ||||||
Total capital-to-asset ratio | 4.00 | % | 5.23 | % | 4.00 | % | 5.03 | % | ||||||
Total capital (b) | $ | 4,775,163 | $ | 6,238,254 | $ | 5,313,015 | $ | 6,682,045 | ||||||
Leverage ratio | 5.00 | % | 7.84 | % | 5.00 | % | 7.55 | % | ||||||
Leverage capital (c) | $ | 5,968,953 | $ | 9,357,381 | $ | 6,641,268 | $ | 10,023,068 | ||||||
(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 and consistent with guidance provided by the banking regulators to maintain the risk weights at AAA 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. | |||||||||||||
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): | ||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||
Redemption less than one year | $ | 93 | $ | 95 | ||||||||||
Redemption from one year to less than three years | 5,696 | 5,159 | ||||||||||||
Redemption from three years to less than five years | 11,025 | 11,567 | ||||||||||||
Redemption from five years or greater | 2,283 | 2,379 | ||||||||||||
Total | $ | 19,097 | $ | 19,200 | ||||||||||
The following table provides roll-forward information with respect to changes in mandatorily redeemable capital stock liabilities (in thousands): | ||||||||||||||
Three months ended March 31, | ||||||||||||||
2015 | 2014 | |||||||||||||
Beginning balance | $ | 19,200 | $ | 23,994 | ||||||||||
Capital stock subject to mandatory redemption reclassified from equity | 8,179 | — | ||||||||||||
Redemption of mandatorily redeemable capital stock (a) | (8,282 | ) | (79 | ) | ||||||||||
Ending balance | $ | 19,097 | $ | 23,915 | ||||||||||
Accrued interest payable (b) | $ | 229 | $ | 236 | ||||||||||
(a) | Redemption includes repayment of excess stock. | |||||||||||||
(b) | The annualized accrual rates were 4.60% for March 31, 2015 and 4.00% for March 31, 2014 on mandatorily redeemable capital stock. | |||||||||||||
Restricted Retained Earnings | ||||||||||||||
Under the 12 FHLBank Joint Capital Enhancement Agreement (“Capital Agreement”), beginning with the third quarter of 2011, each FHLBank is required to set aside 20% of its Net income each quarter to a restricted retained earnings account until the balance of that account equals at least one percent of that FHLBank’s average balance of outstanding consolidated obligations for the previous quarter. The Capital Agreement is intended to enhance the capital position of each FHLBank. These restricted retained earnings will not be available to pay dividends. | ||||||||||||||
Retained earnings included $237.7 million and $220.1 million as restricted retained earnings in the FHLBNY’s Capital at March 31, 2015 and December 31, 2014. | ||||||||||||||
Earnings_Per_Share_of_Capital
Earnings Per Share of Capital. | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Earnings Per Share of Capital. | ||||||||
Earnings Per Share of Capital. | ||||||||
Note 13.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 March 31, | ||||||||
2015 | 2014 | |||||||
Net income | $ | 88,228 | $ | 75,359 | ||||
Net income available to stockholders | $ | 88,228 | $ | 75,359 | ||||
Weighted average shares of capital | 55,357 | 55,182 | ||||||
Less: Mandatorily redeemable capital stock | (199 | ) | (240 | ) | ||||
Average number of shares of capital used to calculate earnings per share | 55,158 | 54,942 | ||||||
Basic earnings per share | $ | 1.6 | $ | 1.37 | ||||
Employee_Retirement_Plans
Employee Retirement Plans. | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Employee Retirement Plans. | ||||||||
Employee Retirement Plans. | ||||||||
Note 14.Employee Retirement Plans. | ||||||||
The FHLBNY participates in the Pentegra Defined Benefit Plan for Financial Institutions (“Pentegra DB Plan”), a tax-qualified, defined-benefit multiemployer pension plan that covers all 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 FHLBNY maintains a nonqualified 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. In the first quarter of 2014, the Board of Directors of the FHLBNY voted to make changes to the Pentegra DB Plan and the BEP plan effective July 1, 2014 for new employees hired on or after the effective date; changes to the plans will reduce obligations and expenses for the new employees when the employees become eligible for the pension benefits; changes to the plans had no significant impact on the financial obligations as of March 31, 2015 or any periods in 2014. | ||||||||
Plan amendments were also made to the Retiree Medical Benefit Plan for retired employees and for eligible employees. Effective January 1, 2015, the Retiree Medical Benefits Plan is offered to active employees who had completed 10 years of employment service at the FHLBNY and attained age 55 as of that date. For those employees who qualify to remain in the plan, the current Defined Dollar Plan subsidy will be reduced by 50% for all service earned after December 31, 2014, and the annual “Cost of Living Adjustment” will be eliminated. Retired employees remain eligible to participate in the Retiree Medical Benefits Plan. | ||||||||
For more information about employee retirement plans and plan changes and amendments, see Note 14. Employee Retirement Plans in the financial statements included in the most recent Form 10-K filed on March 23, 2015. | ||||||||
Retirement Plan Expenses — Summary | ||||||||
The following table presents employee retirement plan expenses for the periods ended (in thousands): | ||||||||
Three months ended March 31, | ||||||||
2015 | 2014 | |||||||
Defined Benefit Plan | $ | 1,888 | $ | 242 | ||||
Benefit Equalization Plan (defined benefit) | 1,187 | 872 | ||||||
Defined Contribution Plan | 446 | 401 | ||||||
Postretirement Health Benefit Plan | 39 | 519 | ||||||
Total retirement plan expenses | $ | 3,560 | $ | 2,034 | ||||
Benefit Equalization Plan (BEP) | ||||||||
Components of the net periodic pension cost for the defined benefit component of the BEP were as follows (in thousands): | ||||||||
Three months ended March 31, | ||||||||
2015 | 2014 | |||||||
Service cost | $ | 185 | $ | 177 | ||||
Interest cost | 447 | 401 | ||||||
Amortization of unrecognized net loss/(gain) | 568 | 307 | ||||||
Amortization of unrecognized past service liability | (13 | ) | (13 | ) | ||||
Net periodic benefit cost | $ | 1,187 | $ | 872 | ||||
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 March 31, | ||||||||
2015 | 2014 | |||||||
Service cost (benefits attributed to service during the period) | $ | 81 | $ | 218 | ||||
Interest cost on accumulated postretirement health benefit obligation | 139 | 248 | ||||||
Amortization of loss/(gain) | 259 | 53 | ||||||
Amortization of prior service (credit)/cost | (440 | ) | — | |||||
Net periodic postretirement health benefit cost (a) | $ | 39 | $ | 519 | ||||
(a) | The net periodic benefit cost declined in the 2015 period as a result of negative plan amendments (as defined in Accounting Standards Codification ASC 715-60-55) in the first quarter of 2014 that reduced plan obligations by $8.8 million at March 31, 2014; gain is being amortized over an actuarially determined period, effectively reducing net periodic benefit cost. | |||||||
Key assumptions (a) and other information to determine current year’s obligation for the postretirement health benefit plan were as follows: | ||||||||
March 31, 2015 | December 31, 2014 | |||||||
Weighted average discount rate | 3.65 | % | 3.65 | % | ||||
Health care cost trend rates: | ||||||||
Assumed for next year | ||||||||
Pre 65 | 7.75 | % | 7.75 | % | ||||
Post 65 | 7.25 | % | 7.25 | % | ||||
Pre 65 Ultimate rate | 5.00 | % | 5.00 | % | ||||
Pre 65 Year that ultimate rate is reached | 2022 | 2022 | ||||||
Post 65 Ultimate rate | 5.00 | % | 5.00 | % | ||||
Post 65 Year that ultimate rate is reached | 2022 | 2022 | ||||||
Alternative amortization methods used to amortize | ||||||||
Prior service cost | Straight - line | Straight - line | ||||||
Unrecognized net (gain) or loss | Straight - line | Straight - line | ||||||
The discount rates were based on the Citigroup Pension Liability Index adjusted for duration in each of the period. | ||||||||
Derivatives_and_Hedging_Activi
Derivatives and Hedging Activities. | 3 Months Ended | |||||||||||||
Mar. 31, 2015 | ||||||||||||||
Derivatives and Hedging Activities. | ||||||||||||||
Derivatives and Hedging Activities. | ||||||||||||||
Note 15. Derivatives and Hedging Activities. | ||||||||||||||
General — The FHLBNY accounts for its hedging activities in accordance with ASC 815, Derivatives and Hedging (formerly SFAS 133). As a general rule, hedge accounting is permitted where the FHLBNY is exposed to a particular risk, such as interest-rate risk that causes changes in the fair value of an asset or liability or variability in the expected future cash flows of an existing asset, liability or a forecasted transaction that may affect earnings. | ||||||||||||||
Derivative contracts hedging the risks associated with the changes in fair value are referred to as Fair value hedges, while contracts hedging the risks affecting the expected future cash flows are called Cash flow hedges. For more information, see Derivatives in Note 1. Significant Accounting Polices and Estimates in the Bank’s most recent Form 10-K filed on March 23, 2015. | ||||||||||||||
The FHLBNY, consistent with the Finance Agency’s regulations, may enter into interest-rate swaps, swaptions, and interest-rate cap and floor agreements to manage its interest rate exposure inherent in otherwise unhedged assets and funding positions. 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”). | ||||||||||||||
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 hedges that do not qualify for hedge accounting, changes in fair value of the derivatives is recorded in earnings 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. | ||||||||||||||
Principal hedging activities are summarized below: | ||||||||||||||
Consolidated Obligations | ||||||||||||||
The FHLBNY may manage 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. | ||||||||||||||
Fair value hedges — In a typical transaction, fixed-rate consolidated obligations are issued by the FHLBNY and could simultaneously enter into a matching derivative in which the counterparty pays to the FHLBNY fixed cash flows designed to mirror in timing and amount the cash outflows the FHLBNY 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. By electing to use fair value hedge accounting, the carrying value of the debt is adjusted for changes in the benchmark interest rate, with any such changes in value recorded in current earnings. The related interest-rate swap is also recorded on the balance sheet at fair value, with any changes in fair value reflected in earnings. | ||||||||||||||
Cash flow hedges — The FHLBNY also hedges variable cash flows resulting from rollover (re-issuance) of 3-month consolidated obligation discount notes. Variable cash flows from those liabilities are converted to fixed-rate cash flows by entering into receive-variable, pay-fixed interest rate swaps. The FHLBNY also hedges the variability of cash flows of anticipated issuance of fixed-rate debt to changes in the benchmark rate. | ||||||||||||||
When such transactions qualify for hedge accounting, they are treated as a Cash flow hedge. The interest-rate swap is recorded on the balance sheet and in AOCI at fair value. Changes in fair values of the hedging derivatives are reflected in AOCI to the extent the hedges are effective. Hedge ineffectiveness, if any, is recorded in current earnings. Fair values in AOCI are reclassified into interest expense at the same time as when the interest expense from the discount note or the anticipated debt impacts interest income. Since efforts are made to match the terms of the derivatives to those of the hedged forecasted cash flows as closely as possible, the amount of hedge ineffectiveness is not significant. The two Cash flow strategies are described below: | ||||||||||||||
· | 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 executes long-term pay-fixed, receive-variable interest rate 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, up to 14 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 fair values of the interest rate swaps are recorded in AOCI and ineffectiveness, if any, is recorded in earnings. Amounts recorded in AOCI are reclassified to earnings in the same periods in which interest expenses are affected by the variability of the cash flows of the discount notes. | |||||||||||||
Economic hedges of debt — 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. In this hedge, only the interest rate swap is carried at fair value. | ||||||||||||||
Consolidated obligation debt elected under the Fair Value Option — An alternative to hedge accounting that would permit the debt to be carried at fair value is to elect debt under the FVO. Once the irrevocable election is made upon issuance of the debt, the full change in fair value of the debt is reported in earnings. The FHLBNY has elected to carry certain fixed-rate consolidated bonds and discount notes under the FVO. For more information, see Fair Value Option Disclosures in Note 16. Fair Values of Financial Instruments. Typically, the FHLBNY would also execute interest rate swaps to convert the fixed cash flows of the FVO debt to variable cash flows, so that changes in fair value of the swap is also reflected in earnings, creating a natural offset to the debt’s fair value change. The interest rate swap would be designated as an economic hedge of the debt. | ||||||||||||||
Advances | ||||||||||||||
The FHLBNY 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 FHLBNY may use derivatives to adjust the repricing and/or options characteristics of advances to more closely match the characteristics of its funding liabilities. | ||||||||||||||
Fair value hedges — 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 FHLBNY will simultaneously execute a derivative transaction with terms that offset the terms of the fixed rate advance, or terms of the advance with embedded put or call options. When such instruments are conceived, designed and structured, our control procedures require the identification and evaluation of embedded derivatives, as defined under accounting standards for derivatives and hedging activities. | ||||||||||||||
The combination of the fixed rate advance and the derivative transaction effectively creates a variable rate asset. 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. 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. | ||||||||||||||
Advances elected under the Fair Value Option — The FHLBNY has elected to carry certain variable-rate advances under the FVO. Once the irrevocable election is made upon issuance of the debt, the full change in fair value of the advance is reported in earnings, and provides a natural offset to the debt elected under the FVO. | ||||||||||||||
Economic hedges of variable rate capped advances — 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. | ||||||||||||||
Mortgage Loans | ||||||||||||||
Mortgage loans are fixed-rate MPF loans held-for-portfolio, and the FHLBNY manages the interest rate and prepayment risk associated with mortgages through debt issuance, without the use of derivatives. Firm commitments to purchase or deliver mortgage loans are accounted for as a derivative. 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. | ||||||||||||||
Member 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 to access the derivatives market. The derivatives used in intermediary activities do not qualify for hedge accounting, and fair value changes are recorded in earnings. Since the FHLBNY mitigates the fair value exposure of these positions by executing identical offsetting transactions, the net impact in earnings is not significant. The notional principal of interest rate swaps outstanding were $131.0 million and $110.0 million at March 31, 2015 and December 31, 2014. The FHLBNY’s exposure with respect to the transactions with members was fully collateralized. | ||||||||||||||
Other Economic Hedges | ||||||||||||||
The derivatives in economic hedges are considered freestanding and changes in the fair values of the swaps are recorded through income. In general, economic hedges comprised of (1). Interest rate caps to hedge balance sheet risk, specifically interest rate risk from certain capped floating rate investment securities, and (2). 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. | ||||||||||||||
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. The majority of OTC derivative contracts are primarily bilateral contracts between the FHLBNY and the swap counterparties that are executed and settled bilaterally with counterparties, rather than settling the transaction with a derivative clearing house (“DCO”). Certain of the FHLBNY’s OTC derivatives are executed bilaterally with executing swap counterparties, then 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, the Futures Clearing Merchant (“FCM”) that acts on behalf of the FHLBNY to clear and settle the interest rate exchange transaction through the DCO. Once the transaction is accepted for clearing by the FCM, acting in the capacity of an intermediary between the FHLBNY and the DCO, the original transaction between the FHLBNY and the executing swap counterparty is extinguished, and is replaced by an identical transaction between the FHLBNY and the DCO. The DCO becomes the counterparty to the FHLBNY. However, the FCM remains as the principal operational contact and interacts with the DCO through the life cycle events of the derivative transaction on behalf of the FHLBNY. | ||||||||||||||
Credit risk on bilateral OTC derivative contracts — For derivatives that are not eligible for clearing with a DCO under the Dodd-Frank Act, the FHLBNY is subject to credit risk as a result of 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 makes estimates of the 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 the counterparty, and a legally enforceable master netting agreement exists with the counterparty, the net exposure (less collateral held) represents the appropriate measure of credit risk. The FHLBNY conducts all its derivative transactions under ISDA master netting agreements. | ||||||||||||||
Credit risk on OTC Cleared derivative transactions — The FHLBNY’s derivative transactions that are eligible for clearing are subject to mandatory clearing rules under the Commodity Futures Trading Commission’s (“CFTC”) as provided under the Dodd-Frank Act. If a derivative transaction is listed as eligible for clearing, the FHLBNY must abide by the CFTC rules to clear the transaction through a DCO. The FHLBNY’s cleared derivatives are also initially executed bilaterally with a swap dealer (the executing swap counterparty), in the OTC market. The clearing process requires all parties to the derivative transaction to novate the contracts to a DCO, which then becomes the counterparty to all parties, including the FHLBNY, to the transaction. | ||||||||||||||
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 net individual derivative contracts executed through a specific clearing agent, the FCM, to a designated DCO, so that a net derivative receivable or payable will be recorded for the DCO; that exposure (less margin held) would be represented by a single amount receivable from the DCO, and that amount be 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. | ||||||||||||||
Typically, margin consists of Initial margin and Variation margin. Variation margin fluctuates with the fair values of the open contracts. Initial margin fluctuates with the volatility of the FHLBNY’s portfolio of cleared derivatives, and volatility is measured by the speed and severity of market price changes of the portfolio. Initial margin is posted in cash by the FHLBNY in addition to Variation margin. | ||||||||||||||
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): | ||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||
Derivative | Derivative | Derivative | Derivative | |||||||||||
Assets | Liabilities | Assets | Liabilities | |||||||||||
Derivative instruments -Nettable | ||||||||||||||
Gross recognized amount | ||||||||||||||
Bilateral derivatives | $ | 291,001 | $ | 1,769,957 | $ | 334,655 | $ | 1,738,894 | ||||||
Cleared derivatives | 294,148 | 182,420 | 267,317 | 154,591 | ||||||||||
Total gross recognized amount | 585,149 | 1,952,377 | 601,972 | 1,893,485 | ||||||||||
Gross amounts of netting adjustments and cash collateral | ||||||||||||||
Bilateral derivatives | (282,194 | ) | (1,432,253 | ) | (324,553 | ) | (1,393,661 | ) | ||||||
Cleared derivatives | (264,617 | ) | (182,420 | ) | (238,349 | ) | (154,591 | ) | ||||||
Total gross amounts of netting adjustments and cash collateral | (546,811 | ) | (1,614,673 | ) | (562,902 | ) | (1,548,252 | ) | ||||||
Net amounts after offsetting adjustments | ||||||||||||||
Bilateral derivatives | 8,807 | 337,704 | 10,102 | 345,233 | ||||||||||
Cleared derivatives | 29,531 | — | 28,968 | — | ||||||||||
Total net amounts after offsetting adjustments | 38,338 | 337,704 | 39,070 | 345,233 | ||||||||||
Derivative instruments -Not Nettable | ||||||||||||||
Delivery commitments (a) | 85 | 5 | 53 | 9 | ||||||||||
Total derivative assets and total derivative liabilities presented in the Statements of Condition | $ | 38,423 | $ | 337,709 | $ | 39,123 | $ | 345,242 | ||||||
Non-cash collateral received or pledged not offset (c) | ||||||||||||||
Cannot be sold or repledged | ||||||||||||||
Bilateral derivatives | $ | 1,025 | $ | — | $ | 1,096 | $ | — | ||||||
Delivery commitments (a) | 85 | — | 53 | — | ||||||||||
Total cannot be sold or repledged | 1,110 | — | 1,149 | — | ||||||||||
Net unsecured amount | ||||||||||||||
Bilateral derivatives | 7,782 | 337,709 | 9,006 | 345,242 | ||||||||||
Cleared derivatives | 29,531 | — | 28,968 | — | ||||||||||
Total Net unsecured amount (b) | $ | 37,313 | $ | 337,709 | $ | 37,974 | $ | 345,242 | ||||||
(a) | Derivative instruments without legal right of offset were synthetic derivatives representing forward mortgage delivery commitments of 45 days or less. Amounts were not material, and it was operationally not practical to separate receivable from payables, and net presentation was adopted. No cash collateral was involved with the mortgage delivery commitments accounted as derivatives. | |||||||||||||
(b) | Unsecured amounts represent Derivative assets and liabilities recorded in the Statements of Condition at March 31, 2015 and December 31, 2014. The amounts primarily represent (1) the aggregate credit support thresholds that were waived under ISDA Credit Support and Master netting agreements between the FHLBNY and derivative counterparties for uncleared derivative contracts, and (2) Initial margins posted by the FHLBNY to DCO on cleared derivative transactions. | |||||||||||||
(c) | Non-Cash collateral received or pledged not offset — Amounts represent exposure arising from derivative positions with member counterparties where we acted as an intermediary, and a small amount of delivery commitments (see footnote a). Amounts are collateralized by pledged non-cash collateral, primarily 1-4 family housing collateral. | |||||||||||||
The gross derivative exposures as represented by derivatives in fair value gain positions for the FHLBNY, before netting and offsetting cash collateral, were $585.1 million and $602.0 million at March 31, 2015 and December 31, 2014. 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 $546.8 million and $563.0 million at those dates. These netting adjustments included $93.7 million and $143.2 million in cash posted by counterparties to mitigate the FHLBNY’s exposures at March 31, 2015 and December 31, 2014, and the net exposures after offsetting adjustments were $38.4 million and $39.1 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 potential default or non-performance 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). Net fair values of derivatives in unrealized loss positions were $337.7 million and $345.2 million, after deducting $1.2 billion and $1.1 billion of cash collateral posted to the exposed counterparties at March 31, 2015 and December 31, 2014. With respect to cleared derivatives, DCOs are 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 that specific exposure was not significant at March 31, 2015. | ||||||||||||||
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 a 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. | ||||||||||||||
Offsetting of Derivative Assets and Derivative Liabilities | ||||||||||||||
The following tables represented outstanding notional balances and estimated fair values of the derivatives outstanding at March 31, 2015 and December 31, 2014 (in thousands): | ||||||||||||||
March 31, 2015 | ||||||||||||||
Notional Amount | Derivative Assets | Derivative | ||||||||||||
of Derivatives | Liabilities | |||||||||||||
Fair value of derivative instruments (a) | ||||||||||||||
Derivatives designated in hedging relationships | ||||||||||||||
Interest rate swaps-fair value hedges | $ | 76,999,381 | $ | 561,451 | $ | 1,844,252 | ||||||||
Interest rate swaps-cash flow hedges | 1,256,000 | 339 | 101,974 | |||||||||||
Total derivatives in hedging instruments | 78,255,381 | 561,790 | 1,946,226 | |||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||
Interest rate swaps | 29,466,531 | 16,245 | 5,093 | |||||||||||
Interest rate caps or floors | 2,698,000 | 5,956 | — | |||||||||||
Mortgage delivery commitments | 23,868 | 85 | 5 | |||||||||||
Other (b) | 262,000 | 1,158 | 1,058 | |||||||||||
Total derivatives not designated as hedging instruments | 32,450,399 | 23,444 | 6,156 | |||||||||||
Total derivatives before netting and collateral adjustments | $ | 110,705,780 | 585,234 | 1,952,382 | ||||||||||
Netting adjustments and cash collateral (c) | (546,811 | ) | (1,614,673 | ) | ||||||||||
Net after cash collateral reported on the Statements of Condition | $ | 38,423 | $ | 337,709 | ||||||||||
December 31, 2014 | ||||||||||||||
Notional Amount | Derivative Assets | Derivative | ||||||||||||
of Derivatives | Liabilities | |||||||||||||
Fair value of derivative instruments (a) | ||||||||||||||
Derivatives designated in hedging relationships | ||||||||||||||
Interest rate swaps-fair value hedges | $ | 78,680,077 | $ | 578,275 | $ | 1,803,325 | ||||||||
Interest rate swaps-cash flow hedges | 1,333,600 | 2,176 | 83,142 | |||||||||||
Total derivatives in hedging instruments | 80,013,677 | 580,451 | 1,886,467 | |||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||
Interest rate swaps | 28,099,243 | 12,530 | 5,733 | |||||||||||
Interest rate caps or floors | 2,698,000 | 7,624 | — | |||||||||||
Mortgage delivery commitments | 15,536 | 53 | 9 | |||||||||||
Other (b) | 220,000 | 1,367 | 1,285 | |||||||||||
Total derivatives not designated as hedging instruments | 31,032,779 | 21,574 | 7,027 | |||||||||||
Total derivatives before netting and collateral adjustments | $ | 111,046,456 | 602,025 | 1,893,494 | ||||||||||
Netting adjustments and cash collateral (c) | (562,902 | ) | (1,548,252 | ) | ||||||||||
Net after cash collateral reported on the Statements of Condition | $ | 39,123 | $ | 345,242 | ||||||||||
(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. | |||||||||||||
(b) | Other category comprised of swaps intermediated for member, and notional amounts represent purchases from dealers and sales to members. | |||||||||||||
(c) | Includes cash collateral and related accrued interest posted by counterparties of $93.7 million and $143.2 million at March 31, 2015 and December 31, 2014 and cash collateral posted by the FHLBNY of $1.2 billion and $1.1 billion at those dates. | |||||||||||||
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. If derivatives meet the hedging criteria under hedge accounting rules, including effectiveness measures, changes in fair value of the associated hedged financial instrument attributable to the risk being hedged (benchmark interest-rate risk, which is LIBOR for the FHLBNY) may also be recorded so that 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. 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. | ||||||||||||||
The FHLBNY has elected to measure certain debt under the accounting designation for FVO, and has executed interest rate swaps as economic hedges of the debt. While changes in fair values of the interest rate swap and the debt elected under the FVO are recorded in earnings in Other income (loss), the changes in the fair value changes of the swaps are recorded as a Net realized and unrealized gain (loss) on derivatives and hedging activities. Fair value changes of debt and advances elected under the FVO are recorded as an Unrealized (loss) or gain from Instruments held at fair value. | ||||||||||||||
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 March 31, 2015 | ||||||||||||||
Gains (Losses) | Gains (Losses) | Earnings | Effect of | |||||||||||
on Derivative | on Hedged Item | Impact | Derivatives on Net | |||||||||||
Interest Income | ||||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||
Interest rate swaps | ||||||||||||||
Advances | $ | (120,546 | ) | $ | 119,486 | $ | (1,060 | ) | $ | (237,210 | ) | |||
Consolidated obligations-bonds | 95,126 | (94,699 | ) | 427 | 62,661 | |||||||||
Net (losses) gains related to fair value hedges | (25,420 | ) | 24,787 | (633 | ) | $ | (174,549 | ) | ||||||
Cash flow hedges | (265 | ) | (265 | ) | $ | (8,624 | ) | |||||||
Derivatives not designated as hedging instruments | ||||||||||||||
Interest rate swaps (a) | 986 | 986 | ||||||||||||
Caps or floors | (1,642 | ) | (1,642 | ) | ||||||||||
Mortgage delivery commitments | (93 | ) | (93 | ) | ||||||||||
Swaps economically hedging instruments designated under FVO | 3,053 | 3,053 | ||||||||||||
Accrued interest-swaps (a) | 4,693 | 4,693 | ||||||||||||
Net gains related to derivatives not designated as hedging instruments | 6,997 | 6,997 | ||||||||||||
Net (losses) gains on derivatives and hedging activities | $ | (18,688 | ) | $ | 24,787 | $ | 6,099 | |||||||
Three months ended March 31, 2014 | ||||||||||||||
Gains (Losses) | Gains (Losses) | Earnings | Effect of | |||||||||||
on Derivative | on Hedged Item | Impact | Derivatives on Net | |||||||||||
Interest Income | ||||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||
Interest rate swaps | ||||||||||||||
Advances | $ | 111,825 | $ | (111,192 | ) | $ | 633 | $ | (252,423 | ) | ||||
Consolidated obligations-bonds | 64,254 | (62,940 | ) | 1,314 | 58,608 | |||||||||
Net gains (losses) related to fair value hedges | 176,079 | (174,132 | ) | 1,947 | $ | (193,815 | ) | |||||||
Cash flow hedges | — | — | $ | (8,648 | ) | |||||||||
Derivatives not designated as hedging instruments | ||||||||||||||
Interest rate swaps (a) | (380 | ) | (380 | ) | ||||||||||
Caps or floors | (8,246 | ) | (8,246 | ) | ||||||||||
Mortgage delivery commitments | 110 | 110 | ||||||||||||
Swaps economically hedging instruments designated under FVO | 792 | 792 | ||||||||||||
Accrued interest-swaps (a) | 3,655 | 3,655 | ||||||||||||
Net losses related to derivatives not designated as hedging instruments | (4,069 | ) | (4,069 | ) | ||||||||||
Net gains (losses) on derivatives and hedging activities | $ | 172,010 | $ | (174,132 | ) | $ | (2,122 | ) | ||||||
(a) | Derivative gains and losses from interest rate swaps that did not qualify as hedges under accounting rules were designated as economic hedges. Gains and losses include interest expenses and income associated with the interest rate swap. | |||||||||||||
Cash Flow Hedges | ||||||||||||||
The effect of interest rate swaps in cash flow hedging relationships was as follows (in thousands): | ||||||||||||||
Three months ended March 31, 2015 | ||||||||||||||
AOCI | ||||||||||||||
Gains/(Losses) | ||||||||||||||
Recognized in | Location: | Amount | Ineffectiveness | |||||||||||
AOCI (c)(d) | Reclassified to | Reclassified to | Recognized in | |||||||||||
Earnings (c) | Earnings (c) | Earnings | ||||||||||||
Consolidated obligations-bonds (a) | $ | (1,237 | ) | Interest Expense | $ | 505 | $ | (265 | ) | |||||
Consolidated obligations-discount notes (b) | (20,858 | ) | Interest Expense | — | — | |||||||||
$ | (22,095 | ) | $ | 505 | $ | (265 | ) | |||||||
Three months ended March 31, 2014 | ||||||||||||||
AOCI | ||||||||||||||
Gains/(Losses) | ||||||||||||||
Recognized in | Location: | Amount | Ineffectiveness | |||||||||||
AOCI(c)(d) | Reclassified to | Reclassified to | Recognized in | |||||||||||
Earnings(c) | Earnings(c) | Earnings | ||||||||||||
Consolidated obligations-bonds (a) | $ | — | Interest Expense | $ | 736 | $ | — | |||||||
Consolidated obligations-discount notes (b) | (20,308 | ) | Interest Expense | — | — | |||||||||
$ | (20,308 | ) | $ | 736 | $ | — | ||||||||
(a) | Hedges of anticipated issuance of debt - The maximum period of time that the FHLBNY typically hedges its exposure to the variability in future cash flows for forecasted transactions in this program is between three and nine months. There were no open swap contracts at March 31, 2015. There were $77.6 million in notional amounts at December 31, 2014, and the fair value recorded in AOCI was an unrealized loss of $0.2 million. The amounts in AOCI from closed cash flow hedges under this strategy were net unrecognized losses of $6.6 million and $5.7 million at March 31, 2015 and December 31, 2014. It is expected that over the next 12 months, $2.1 million of the unrecognized loss in AOCI will be recognized as a yield adjustment (expense) to debt interest expense. | |||||||||||||
(b) | Hedges of discount notes in rolling issuances — Open swap contracts under this strategy were $1.3 billion in notional amounts at March 31, 2015 and December 31, 2014, and the fair values recorded in AOCI were net unrealized losses of $101.6 million and $80.8 million at those dates. The cash flow hedges mitigated exposure to the variability in future cash flows for a maximum period of 14 years at March 31, 2015. Long-term swap rates at March 31, 2015 decline relative to March 31, 2014, causing fair values of the swap contracts to lose value, and additional $22.1 million and $20.3 million were recorded in AOCI. The FHLBNY’s cash payments to swap counterparties are fixed, and in return the FHLBNY receives LIBOR-indexed floating rate cash flows; in a declining rate environment, the amount of forecasted cash flows that the FHLBNY would potentially receive grows smaller, effectively increasing 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. | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||
Fair Values of Financial Instruments. | ||||||||||||||||||||
Fair Values of Financial Instruments. | ||||||||||||||||||||
Note 16.Fair Values of Financial Instruments. | ||||||||||||||||||||
The fair value amounts recorded on the Statement 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. | ||||||||||||||||||||
Estimated Fair Values — Summary Tables | ||||||||||||||||||||
The carrying values, estimated fair values and the levels within the fair value hierarchy were as follows (in thousands): | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Netting | ||||||||||||||||||||
Estimated Fair Value | Adjustment and | |||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 (a) | Cash Collateral | ||||||||||||||
Assets | ||||||||||||||||||||
Cash and due from banks | $ | 204,119 | $ | 204,119 | $ | 204,119 | $ | — | $ | — | $ | — | ||||||||
Securities purchased under agreements to resell | 6,000,000 | 5,999,993 | — | 5,999,993 | — | — | ||||||||||||||
Federal funds sold | 7,697,000 | 7,696,987 | — | 7,696,987 | — | — | ||||||||||||||
Available-for-sale securities | 1,173,333 | 1,173,333 | 22,216 | 1,151,117 | — | — | ||||||||||||||
Held-to-maturity securities | 13,248,810 | 13,588,452 | — | 12,432,021 | 1,156,431 | — | ||||||||||||||
Advances | 88,523,609 | 88,568,162 | — | 88,568,162 | — | — | ||||||||||||||
Mortgage loans held-for-portfolio, net | 2,298,524 | 2,362,152 | — | 2,362,152 | — | — | ||||||||||||||
Accrued interest receivable | 169,571 | 169,571 | — | 169,571 | — | — | ||||||||||||||
Derivative assets | 38,423 | 38,423 | — | 585,234 | — | (546,811 | ) | |||||||||||||
Other financial assets | 2,998 | 2,998 | — | — | 2,998 | — | ||||||||||||||
Liabilities | ||||||||||||||||||||
Deposits | 1,607,167 | 1,607,171 | — | 1,607,171 | — | — | ||||||||||||||
Consolidated obligations | ||||||||||||||||||||
Bonds | 66,083,078 | 66,088,961 | — | 66,088,961 | — | — | ||||||||||||||
Discount notes | 44,923,769 | 44,922,732 | — | 44,922,732 | — | — | ||||||||||||||
Mandatorily redeemable capital stock | 19,097 | 19,097 | 19,097 | — | — | — | ||||||||||||||
Accrued interest payable | 119,257 | 119,257 | — | 119,257 | — | — | ||||||||||||||
Derivative liabilities | 337,709 | 337,709 | — | 1,952,382 | — | (1,614,673 | ) | |||||||||||||
Other financial liabilities | 35,802 | 35,802 | 35,802 | — | — | — | ||||||||||||||
December 31, 2014 | ||||||||||||||||||||
Netting | ||||||||||||||||||||
Estimated Fair Value | Adjustment and | |||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 (a) | Cash Collateral | ||||||||||||||
Assets | ||||||||||||||||||||
Cash and due from banks | $ | 6,458,943 | $ | 6,458,943 | $ | 6,458,943 | $ | — | $ | — | $ | — | ||||||||
Securities purchased under agreements to resell | 800,000 | 799,998 | — | 799,998 | — | — | ||||||||||||||
Federal funds sold | 10,018,000 | 10,017,965 | — | 10,017,965 | — | — | ||||||||||||||
Available-for-sale securities | 1,234,427 | 1,234,427 | 17,947 | 1,216,480 | — | — | ||||||||||||||
Held-to-maturity securities | 13,148,179 | 13,416,183 | — | 12,241,378 | 1,174,805 | — | ||||||||||||||
Advances | 98,797,497 | 98,828,195 | — | 98,828,195 | — | — | ||||||||||||||
Mortgage loans held-for-portfolio, net | 2,129,239 | 2,182,755 | — | 2,182,755 | — | — | ||||||||||||||
Accrued interest receivable | 172,003 | 172,003 | — | 172,003 | — | — | ||||||||||||||
Derivative assets | 39,123 | 39,123 | — | 602,025 | — | (562,902 | ) | |||||||||||||
Other financial assets | 1,980 | 1,980 | — | — | 1,980 | — | ||||||||||||||
Liabilities | ||||||||||||||||||||
Deposits | 1,998,919 | 1,998,923 | — | 1,998,923 | — | — | ||||||||||||||
Consolidated obligations | ||||||||||||||||||||
Bonds | 73,535,543 | 73,445,340 | — | 73,445,340 | — | — | ||||||||||||||
Discount notes | 50,044,105 | 50,043,107 | — | 50,043,107 | — | — | ||||||||||||||
Mandatorily redeemable capital stock | 19,200 | 19,200 | 19,200 | — | — | — | ||||||||||||||
Accrued interest payable | 120,524 | 120,524 | — | 120,524 | — | — | ||||||||||||||
Derivative liabilities | 345,242 | 345,242 | — | 1,893,494 | — | (1,548,252 | ) | |||||||||||||
Other financial liabilities | 38,443 | 38,443 | 38,443 | — | — | — | ||||||||||||||
(a) | Level 3 Instruments — The fair values of non-Agency private-label MBS and housing finance agency bonds were estimated by management based on pricing services. Valuations may have required pricing services to use significant inputs that were subjective because of the current lack of significant market activity 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, and consolidated obligations and advances elected under the FVO at fair value on a recurring basis. On a non-recurring basis, held-to-maturity securities determined to be OTTI are also measured and recorded at their fair values in the period OTTI is recognized. | ||||||||||||||||||||
The accounting standards under Fair Value Measurement defines fair value, establishes a consistent framework for measuring fair value and requires disclosures about fair value measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Among other things, the standard requires the FHLBNY to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. The standard specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect the FHLBNY’s market assumptions. | ||||||||||||||||||||
These two types of inputs have created the following fair value hierarchy, and an entity must disclose the level within the fair value hierarchy in which the measurements are classified for all assets and liabilities measured on a recurring or non-recurring basis: | ||||||||||||||||||||
· | Level 1 Inputs — Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. | |||||||||||||||||||
· | Level 2 Inputs — Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and volatilities). | |||||||||||||||||||
· | Level 3 Inputs — Inputs that are unobservable and significant to the valuation of the asset or liability. | |||||||||||||||||||
The inputs are evaluated on an overall level for the fair value measurement to be determined. This overall level is an indication of market observability of the fair value measurement for the asset or liability. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. These reclassifications are reported as transfers in/out as of the beginning of the quarter in which the changes occur. There were no such transfers in any periods in this report. | ||||||||||||||||||||
The availability of observable inputs can vary from product to product and is affected by a wide variety of factors including, for example, the characteristics peculiar to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised by the FHLBNY in determining fair value is greatest for instruments categorized as Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. | ||||||||||||||||||||
Summary of Valuation Techniques and Primary Inputs | ||||||||||||||||||||
The fair value of a financial instrument that is an asset is defined as the price the FHLBNY would receive to sell the asset in an orderly transaction with market participants. A financial liability’s fair value is defined as the amount that would be paid to transfer the liability to a new obligor, not the amount that would be paid to settle the liability with the creditor. Where available, fair values are based on observable market prices or parameters, or derived from such prices or parameters. Where observable prices are not available, valuation models and inputs are utilized. These valuation techniques involve some level of management estimation and judgment, the degree of which is dependent on the price transparency for the instruments or markets and the instruments’ complexity. | ||||||||||||||||||||
Because an active secondary market does not exist for a portion of the FHLBNY’s financial instruments, in certain cases, fair values are not subject to precise quantification or verification and may change as economic and market factors and evaluation of those factors change. 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, and are considered to be within the Level 1 of the fair value hierarchy. | ||||||||||||||||||||
Interest-bearing Deposits, Federal Funds Sold and Securities Purchased under Agreements to Resell — The FHLBNY determines estimated fair values of short-term investments by calculating the present value of expected future cash flows of 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 are the yields on the instruments, which 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 pricing primarily from pricing services. The pricing vendors typically use market multiples derived from a set of comparables, including matrix pricing, and other techniques. | ||||||||||||||||||||
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 employs the concept of cluster pricing and 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. The cluster tolerance guidelines shall be reviewed annually and may be revised as necessary. To be included among the cluster, at March 31, 2015, each price must fall within 7 points (7 points at December 31, 2014) of the median price for residential PLMBS and within 2 points of the median price for GSE-issued MBS. The final step is to determine the final price of the security based on the cluster average and an evaluation of any outlier prices. If the analysis confirms that an outlier is not representative of fair value and that the average of the vendor prices within the tolerance threshold of the median price is the best estimate, then the average of the vendor prices within the tolerance threshold of the median price is used as the final price. If, on the other hand, an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price. In all cases, the final price is used to determine the fair value of the security. | ||||||||||||||||||||
The FHLBNY has also 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 FHLBNY’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 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. No held-to-maturity securities were recorded at fair values on a nonrecurring basis at March 31, 2015 or December 31, 2014, as no MBS were determined to be OTTI at those dates. | ||||||||||||||||||||
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. Both these inputs are considered 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 input. For the FHLBNY, Level 3 inputs were considered as 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 March 31, 2015 and December 31, 2014. 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%, 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 Condition 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 — MPF Loans | ||||||||||||||||||||
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 (Unimpaired mortgage 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 (Impaired mortgage 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. TBA and agency commitment rates are market observable and therefore 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 a 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. At March 31, 2015 and December 31, 2014, fair values were classified within Level 2 of the valuation hierarchy. | ||||||||||||||||||||
The fair values of impaired MPF are generally based on collateral values less estimated selling costs. Collateral values are generally based on broker price opinions, and any significant adjustments to apply a haircut value on the underlying collateral value would be considered to be an unobservable Level 3 input. The FHLBNY may validate the impairment adjustment made to TBA rates by “back-testing” against incurred losses. However, the FHLBNY’s mortgage loan historical loss experience has been insignificant, and expected credit losses are insignificant. Level 3 inputs, if any, 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. At March 31, 2015 and December 31, 2014, fair values of impaired loans were classified within Level 2 of the valuation hierarchy as significant inputs to value collateral were considered to be observable. | ||||||||||||||||||||
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 Condition. 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 executed in the over-the-counter market and are valued using internal valuation techniques as no quoted market prices exist for such instruments. Discounted cash flow analysis is the primary methodology employed by the FHLBNY’s valuation models to measure the fair values of interest rate swaps. The valuation technique is considered as an “Income approach”. Interest rate caps and floors are valued under the “Market approach”. Interest rate swaps and interest rate caps and floors, collectively “derivatives”, were valued in industry-standard option adjusted valuation models, which generated fair values. The valuation models employed multiple market inputs including interest rates, prices and indices to create continuous yield or pricing curves and volatility factors. These multiple market inputs were corroborated by management to independent market data, and to relevant benchmark indices. In addition, derivative valuations were compared by management to counterparty valuations received as part of the collateral exchange process. These derivative positions were classified within Level 2 of the valuation hierarchy at March 31, 2015 and December 31, 2014. | ||||||||||||||||||||
The FHLBNY’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 — The FHLBNY incorporates the 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) is an input to the valuation model. The input for the federal funds curve is obtained from industry standard pricing vendors and the input is available and observable over its entire term structure. | ||||||||||||||||||||
Management considers the federal funds curve to be a Level 2 input. The FHLBNY’s valuation model utilizes industry standard OIS methodology. The model generates forecasted cash flows using the 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. | ||||||||||||||||||||
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 or a DCO. | ||||||||||||||||||||
To mitigate this risk, the FHLBNY has entered into master netting agreements and credit support agreements with its derivative counterparties for its bilaterally executed derivative contracts that provide for the delivery of collateral at specified levels at least weekly. The computed fair values of the derivatives took into consideration the effects of legally enforceable master netting agreements that allow the FHLBNY to settle positive and negative positions and offset cash collateral with the same counterparty on a net basis. | ||||||||||||||||||||
For derivative transactions executed as a cleared derivative, the transactions are fully collateralized in cash and exchanged daily with the DCO. The FHLBNY has also established the enforceability of offsetting rights incorporated in the agreements for the cleared derivative transactions. | ||||||||||||||||||||
As a result of these practices and agreements and the FHLBNY’s assessment of any change in its own credit spread, the FHLBNY has concluded that the impact of the credit differential between the FHLBNY and its derivative counterparties and DCO was sufficiently mitigated to an immaterial level that no credit adjustments were deemed necessary to the recorded fair value of Derivative assets and Derivative liabilities in the Statements of Condition at March 31, 2015 and December 31, 2014. | ||||||||||||||||||||
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. | ||||||||||||||||||||
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. The FHLBNY has concluded that valuation models are performing to industry standards and its valuation capabilities remain robust and dependable. | ||||||||||||||||||||
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 March 31, 2015 and December 31, 2014, by level within the fair value hierarchy. The FHLBNY also measures certain held-to-maturity securities and mortgage loans at fair value on a non-recurring basis when a credit loss is recognized and the carrying value of the asset is adjusted to fair value. Real estate owned is measured at fair value when the asset’s fair value less costs to sell is lower than its carrying amount. Generally, non-recurring items have not been material for the FHLBNY and are discussed in subsequent paragraph. | ||||||||||||||||||||
Items Measured at Fair Value on a Recurring Basis (in thousands) | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Netting | ||||||||||||||||
Adjustment and | ||||||||||||||||||||
Cash Collateral | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||
GSE/U.S. agency issued MBS | $ | 1,151,117 | $ | — | $ | 1,151,117 | $ | — | $ | — | ||||||||||
Equity and bond funds | 22,216 | 22,216 | — | — | — | |||||||||||||||
Advances (to the extent FVO is elected) | 6,505,141 | — | 6,505,141 | — | — | |||||||||||||||
Derivative assets (a) | ||||||||||||||||||||
Interest-rate derivatives | 38,338 | — | 585,149 | — | (546,811 | ) | ||||||||||||||
Mortgage delivery commitments | 85 | — | 85 | — | — | |||||||||||||||
Total recurring fair value measurement - assets | $ | 7,716,897 | $ | 22,216 | $ | 8,241,492 | $ | — | $ | (546,811 | ) | |||||||||
Liabilities | ||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||
Discount notes (to the extent FVO is elected) | $ | (13,121,826 | ) | $ | — | $ | (13,121,826 | ) | $ | — | $ | — | ||||||||
Bonds (to the extent FVO is elected) (b) | (15,672,379 | ) | — | (15,672,379 | ) | — | — | |||||||||||||
Derivative liabilities (a) | ||||||||||||||||||||
Interest-rate derivatives | (337,704 | ) | — | (1,952,377 | ) | — | 1,614,673 | |||||||||||||
Mortgage delivery commitments | (5 | ) | — | (5 | ) | — | — | |||||||||||||
Total recurring fair value measurement - liabilities | $ | (29,131,914 | ) | $ | — | $ | (30,746,587 | ) | $ | — | $ | 1,614,673 | ||||||||
December 31, 2014 | ||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Netting | ||||||||||||||||
Adjustment and | ||||||||||||||||||||
Cash Collateral | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||
GSE/U.S. agency issued MBS | $ | 1,216,480 | $ | — | $ | 1,216,480 | $ | — | $ | — | ||||||||||
Equity and bond funds | 17,947 | 17,947 | — | — | — | |||||||||||||||
Advances (to the extent FVO is elected) | 15,655,403 | — | 15,655,403 | — | — | |||||||||||||||
Derivative assets (a) | ||||||||||||||||||||
Interest-rate derivatives | 39,070 | — | 601,972 | — | (562,902 | ) | ||||||||||||||
Mortgage delivery commitments | 53 | — | 53 | — | — | |||||||||||||||
Total recurring fair value measurement - assets | $ | 16,928,953 | $ | 17,947 | $ | 17,473,908 | $ | — | $ | (562,902 | ) | |||||||||
Liabilities | ||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||
Discount notes (to the extent FVO is elected) | $ | (7,890,027 | ) | $ | — | $ | (7,890,027 | ) | $ | — | $ | — | ||||||||
Bonds (to the extent FVO is elected) (b) | (19,523,202 | ) | — | (19,523,202 | ) | — | — | |||||||||||||
Derivative liabilities (a) | ||||||||||||||||||||
Interest-rate derivatives | (345,233 | ) | — | (1,893,485 | ) | — | 1,548,252 | |||||||||||||
Mortgage delivery commitments | (9 | ) | — | (9 | ) | — | — | |||||||||||||
Total recurring fair value measurement - liabilities | $ | (27,758,471 | ) | $ | — | $ | (29,306,723 | ) | $ | — | $ | 1,548,252 | ||||||||
(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 | ||||||||||||||||||||
No investment securities (held-to-maturity) were carried at fair values at March 31, 2015 and December 31, 2014, as no security was deemed OTTI at those dates. When a held-to-maturity security is determined to be OTTI, it is written down to its fair value, and carried at its fair value on a non-recurring basis. | ||||||||||||||||||||
Fair Value Option Disclosures | ||||||||||||||||||||
The fair value option (“FVO”) provides an irrevocable option to elect fair value as an alternative measurement for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments not previously carried at fair value. It requires entities to display the fair value of those assets and liabilities for which the entity has chosen to use fair value on the face of the statements of condition. Fair value is used for both the initial and subsequent measurement of the designated assets, liabilities and commitments, with the changes in fair value recognized in net income. Interest income and interest expense on advances and consolidated obligations at fair value are recognized solely on the contractual amount of interest due or unpaid. Any transaction fees or costs are immediately recognized into non-interest income or non-interest expense. | ||||||||||||||||||||
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. Advances have also been elected under the FVO when analysis indicated 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 months ended March 31, 2015 and the same period in 2014, and at December 31, 2014. | ||||||||||||||||||||
Advances elected under the FVO were short-term in nature, with tenors that were generally less than 24 months. As with all advances, the loans were fully collateralized through their terms to maturity. Consolidated obligation bonds and discount notes elected under the FVO are high credit quality, highly-rated instruments, and changes in fair values were generally related to changes in interest rates and investor preference, including investor asset allocation strategies. The FHLBNY believes the credit-quality of Consolidated obligation debt has remained stable, and changes in fair value attributable to instrument-specific credit risk, if any, were not material given that the debt elected under the FVO had been issued within the past 24 months or less, and no adverse changes have been observed in their credit characteristics. | ||||||||||||||||||||
The following tables summarize the activity related to financial instruments for which the FHLBNY elected the fair value option (in thousands): | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Advances | Consolidated | Consolidated | ||||||||||||||||||
Bonds | Discount Notes | |||||||||||||||||||
Balance, beginning of the period | $ | 15,655,403 | $ | (19,523,202 | ) | $ | (7,890,027 | ) | ||||||||||||
New transactions elected for fair value option | 2,600,000 | (2,948,650 | ) | (8,123,647 | ) | |||||||||||||||
Maturities and terminations | (11,751,015 | ) | 6,800,000 | 2,898,543 | ||||||||||||||||
Net gains (losses) on financial instruments held under fair value option | 4,367 | (4,439 | ) | (3,018 | ) | |||||||||||||||
Change in accrued interest/unaccreted balance | (3,614 | ) | 3,912 | (3,677 | ) | |||||||||||||||
Balance, end of the period | $ | 6,505,141 | $ | (15,672,379 | ) | $ | (13,121,826 | ) | ||||||||||||
December 31, 2014 | ||||||||||||||||||||
Advances | Consolidated | Consolidated | ||||||||||||||||||
Bonds | Discount Notes | |||||||||||||||||||
Balance, beginning of the period | $ | 19,205,399 | $ | (22,868,401 | ) | $ | (4,260,635 | ) | ||||||||||||
New transactions elected for fair value option | 15,900,000 | (21,865,080 | ) | (12,384,875 | ) | |||||||||||||||
Maturities and terminations | (19,450,000 | ) | 25,210,000 | 8,756,808 | ||||||||||||||||
Net (losses) gains on financial instruments held under fair value option | (555 | ) | 2,212 | 935 | ||||||||||||||||
Change in accrued interest/unaccreted balance | 559 | (1,933 | ) | (2,260 | ) | |||||||||||||||
Balance, end of the period | $ | 15,655,403 | $ | (19,523,202 | ) | $ | (7,890,027 | ) | ||||||||||||
March 31, 2014 | ||||||||||||||||||||
Advances | Consolidated | Consolidated | ||||||||||||||||||
Bonds | Discount Notes | |||||||||||||||||||
Balance, beginning of the period | $ | 19,205,399 | $ | (22,868,401 | ) | $ | (4,260,635 | ) | ||||||||||||
New transactions elected for fair value option | 5,450,000 | (5,400,000 | ) | (2,698,657 | ) | |||||||||||||||
Maturities and terminations | (5,450,000 | ) | 8,300,000 | — | ||||||||||||||||
Net gains (losses) on financial instruments held under fair value option | 1,887 | (940 | ) | (142 | ) | |||||||||||||||
Change in accrued interest/unaccreted balance | (161 | ) | 20 | (1,809 | ) | |||||||||||||||
Balance, end of the period | $ | 19,207,125 | $ | (19,969,321 | ) | $ | (6,961,243 | ) | ||||||||||||
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 | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Interest Income | Net Gains Due | Total Change in Fair | ||||||||||||||||||
to Changes in | Value Included in | |||||||||||||||||||
Fair Value | Current Period | |||||||||||||||||||
Earnings | ||||||||||||||||||||
Advances | $ | 14,981 | $ | 4,367 | $ | 19,348 | ||||||||||||||
Three months ended | ||||||||||||||||||||
March 31, 2014 | ||||||||||||||||||||
Interest Income | Net Gains Due | Total Change in Fair | ||||||||||||||||||
to Changes in | Value Included in | |||||||||||||||||||
Fair Value | Current Period | |||||||||||||||||||
Earnings | ||||||||||||||||||||
Advances | $ | 19,372 | $ | 1,887 | $ | 21,259 | ||||||||||||||
Three months ended | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Interest Expense | Net Losses Due | Total Change in Fair | ||||||||||||||||||
to Changes in | Value Included in | |||||||||||||||||||
Fair Value | Current Period | |||||||||||||||||||
Earnings | ||||||||||||||||||||
Consolidated obligations-bonds | $ | (8,724 | ) | $ | (4,439 | ) | $ | (13,163 | ) | |||||||||||
Consolidated obligations-discount notes | (5,132 | ) | (3,018 | ) | (8,150 | ) | ||||||||||||||
$ | (13,856 | ) | $ | (7,457 | ) | $ | (21,313 | ) | ||||||||||||
Three months ended | ||||||||||||||||||||
March 31, 2014 | ||||||||||||||||||||
Interest Expense | Net Losses Due | Total Change in Fair | ||||||||||||||||||
to Changes in | Value Included in | |||||||||||||||||||
Fair Value | Current Period | |||||||||||||||||||
Earnings | ||||||||||||||||||||
Consolidated obligations-bonds | $ | (8,621 | ) | $ | (940 | ) | $ | (9,561 | ) | |||||||||||
Consolidated obligations-discount notes | (1,812 | ) | (142 | ) | (1,954 | ) | ||||||||||||||
$ | (10,433 | ) | $ | (1,082 | ) | $ | (11,515 | ) | ||||||||||||
The following tables compare the aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected (in thousands): | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Aggregate | Aggregate Fair | Fair Value | ||||||||||||||||||
Unpaid Principal | Value | Over/(Under) | ||||||||||||||||||
Balance | Aggregate Unpaid | |||||||||||||||||||
Principal Balance | ||||||||||||||||||||
Advances (a) | $ | 6,500,000 | $ | 6,505,141 | $ | 5,141 | ||||||||||||||
Consolidated obligations-bonds (b) | $ | 15,663,730 | $ | 15,672,379 | $ | 8,649 | ||||||||||||||
Consolidated obligations-discount notes (c) | 13,112,067 | 13,121,826 | 9,759 | |||||||||||||||||
$ | 28,775,797 | $ | 28,794,205 | $ | 18,408 | |||||||||||||||
December 31, 2014 | ||||||||||||||||||||
Aggregate | Aggregate Fair | Fair Value | ||||||||||||||||||
Unpaid Principal | Value | Over/(Under) | ||||||||||||||||||
Balance | Aggregate Unpaid | |||||||||||||||||||
Principal Balance | ||||||||||||||||||||
Advances (a) | $ | 15,650,000 | $ | 15,655,403 | $ | 5,403 | ||||||||||||||
Consolidated obligations-bonds (b) | $ | 19,515,080 | $ | 19,523,202 | $ | 8,122 | ||||||||||||||
Consolidated obligations-discount notes (c) | 7,886,963 | 7,890,027 | 3,064 | |||||||||||||||||
$ | 27,402,043 | $ | 27,413,229 | $ | 11,186 | |||||||||||||||
March 31, 2014 | ||||||||||||||||||||
Aggregate | Aggregate Fair | Fair Value | ||||||||||||||||||
Unpaid Principal | Value | Over/(Under) | ||||||||||||||||||
Balance | Aggregate Unpaid | |||||||||||||||||||
Principal Balance | ||||||||||||||||||||
Advances (a) | $ | 19,200,000 | $ | 19,207,125 | $ | 7,125 | ||||||||||||||
Consolidated obligations-bonds (b) | $ | 19,960,000 | $ | 19,969,321 | $ | 9,321 | ||||||||||||||
Consolidated obligations-discount notes (c) | 6,957,553 | 6,961,243 | 3,690 | |||||||||||||||||
$ | 26,917,553 | $ | 26,930,564 | $ | 13,011 | |||||||||||||||
(a) | Advance — The FHLBNY has elected the FVO for certain short- and intermediate term floating-rate advances. The elections were made primarily as a natural fair value offset to debt elected under the FVO. | |||||||||||||||||||
(b) | The FHLBNY Bank has elected the FVO for short-term callable bonds because management was not able to assert with confidence that the debt would qualify for hedge accounting, as such short-term debt, specifically with call options may not remain highly effective hedges through the maturity of the bonds. | |||||||||||||||||||
(c) | Discount notes were elected under the FVO because management was not able to assert with confidence that the debt would qualify for hedge accounting as the short-term discount note debt may not remain highly effective hedges through maturity | |||||||||||||||||||
Commitments_and_Contingencies
Commitments and Contingencies. | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Commitments and Contingencies. | |||||||||||||||||
Commitments and Contingencies. | |||||||||||||||||
Note 17.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 FHLBNY would have been required to recognize the fair value of the FHLBNY’s joint and several liability for all the consolidated obligations, as discussed above. However, the FHLBNY considers the joint and several liabilities as similar to a related party guarantee, which meets the scope exception under the accounting standard for guarantees. Accordingly, the FHLBNY has not recognized the fair value of a liability for its joint and several obligations related to other FHLBanks’ consolidated obligations, which in aggregate were $0.8 trillion at March 31, 2015 and December 31, 2014. | |||||||||||||||||
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 approximately $9.4 billion and $9.5 billion as of March 31, 2015 and December 31, 2014, and had 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 are recorded in Other liabilities and were less than $1.0 million as of March 31, 2015 and December 31, 2014. | |||||||||||||||||
MPF Program — Under the MPF program, the FHLBNY was unconditionally obligated to purchase $23.9 million and $15.5 million of mortgage loans at March 31, 2015 and December 31, 2014. Commitments were generally for periods not to exceed 45 business days. Such commitments were recorded as derivatives at their fair values under the accounting standards for derivatives and hedging. In addition, the FHLBNY had entered into conditional agreements with its members in the MPF program to purchase $1.4 billion and $1.5 billion of mortgage loans at March 31, 2015 and December 31, 2014. | |||||||||||||||||
Derivative contracts — When the FHLBNY executes derivatives with major financial institutions that are not eligible to be cleared under the CFTC rules, the FHLBNY and the swap counterparties enter into bilateral collateral agreements. When the FHLBNY executes derivatives that are eligible to be cleared, the FHLBNY and the FCMs, acting as agents of Derivative Clearing Organization, would enter into margin agreements. When counterparties (including the DCOs) are exposed, the FHLBNY posts cash collateral to mitigate the counterparty’s credit exposure; the FHLBNY had posted $1.2 billion and $1.1 billion in cash with derivative counterparties as pledged collateral at March 31, 2015 and December 31, 2014, and these amounts were reported as a deduction to Derivative liabilities. Further information is provided in Note 15. Derivatives and Hedging Activities. | |||||||||||||||||
The following table summarizes contractual obligations and contingencies as of March 31, 2015 (in thousands): | |||||||||||||||||
March 31, 2015 | |||||||||||||||||
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) | $ | 35,535,625 | $ | 19,205,345 | $ | 5,116,560 | $ | 5,587,780 | $ | 65,445,310 | |||||||
Long-term debt obligations-interest payments (a) | 144,318 | 195,870 | 77,538 | 156,854 | 574,580 | ||||||||||||
Mandatorily redeemable capital stock (a) | 93 | 5,696 | 11,025 | 2,283 | 19,097 | ||||||||||||
Other liabilities (b) | 54,257 | 6,629 | 5,505 | 50,937 | 117,328 | ||||||||||||
Total contractual obligations | 35,734,293 | 19,413,540 | 5,210,628 | 5,797,854 | 66,156,315 | ||||||||||||
Other commitments | |||||||||||||||||
Standby letters of credit | 9,337,018 | 28,789 | 17,309 | — | 9,383,116 | ||||||||||||
Consolidated obligations-bonds/discount notes traded not settled | 184,620 | — | — | — | 184,620 | ||||||||||||
Commitments to fund additional advances | 44,759 | — | — | — | 44,759 | ||||||||||||
Open delivery commitments (MPF) | 23,868 | — | — | — | 23,868 | ||||||||||||
Total other commitments | 9,590,265 | 28,789 | 17,309 | — | 9,636,363 | ||||||||||||
Total obligations and commitments | $ | 45,324,558 | $ | 19,442,329 | $ | 5,227,937 | $ | 5,797,854 | $ | 75,792,678 | |||||||
(a) | Contractual obligations related to interest payments on long-term debt are calculated by applying the weighted average interest rate on the outstanding long-term debt at March 31, 2015 to the contractual payment obligations on long-term debt for each forecasted period disclosed in the table. The FHLBNY’s overall weighted average contractual interest rate for long-term debt was 0.88% at March 31, 2015. Callable bonds contain an exercise date or a series of exercise dates that may result in a shorter redemption period. Redemption dates of mandatorily redeemable capital stock are assumed to correspond to maturity dates of member advances. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock. | ||||||||||||||||
(b) | Includes accounts payable and accrued expenses, Pass-through reserves at the FRB on behalf of certain members of the FHLBNY recorded in Other liabilities. Also includes projected payment obligations for pension plans. For more information about these employee retirement plans, see Note 14. Employee Retirement Plans. | ||||||||||||||||
For premises lease obligations, remote backup site and pension commitments, see Note 17. Commitments and Contingencies in the Bank’s most recent Form 10-K filed on March 23, 2015. | |||||||||||||||||
The FHLBNY does not anticipate any credit losses from its off-balance sheet commitments and accordingly no provision for losses is required. | |||||||||||||||||
Impact of the bankruptcy of Lehman Brothers | |||||||||||||||||
From time to time, the FHLBNY 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 FHLBNY that, if established, are reasonably likely to have a material effect on the FHLBNY’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 FHLBNY’s derivative transactions with LBSF on September 18, 2008 (the “Early Termination Date”). | |||||||||||||||||
The net amount that the FHLBNY claimed was due after giving effect to obligations that were due LBSF and the FHLBNY collateral posted with LBSF was approximately $65 million. The FHLBNY 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 FHLBNY 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 FHLBNY received a Derivatives ADR Notice from LBSF dated July 23, 2010 claiming that the FHLBNY 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 FHLBNY 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 claimed that the FHLBNY was 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 FHLBNY 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. | |||||||||||||||||
The FHLBNY and LBSF resumed mediation on February 10, 2015. The mediation concluded in April 2015 without a settlement. On May 5, 2015, the FHLBNY submitted a proposed amendment to its proof of claim to reduce our claim of approximately $65 million to approximately $45 million. This figure represents our claim for the net amount due to the FHLBNY by LBSF, after giving effect to collateral that the FHLBNY posted with LBSF. A similar adjustment was also proposed in connection with the FHLBNY’s related proof of claim against LBHI. The FHLBNY anticipates that an adversary proceeding in the bankruptcy court will be commenced on LBSF’s behalf to resolve the competing claims. | |||||||||||||||||
While the FHLBNY believes that LBSF’s position is without merit, the amount the FHLBNY actually recovers or pays will ultimately be decided in the course of the bankruptcy proceedings. | |||||||||||||||||
Related_Party_Transactions
Related Party Transactions. | 3 Months Ended | |||||||||||||
Mar. 31, 2015 | ||||||||||||||
Related Party Transactions. | ||||||||||||||
Related Party Transactions. | ||||||||||||||
Note 18.Related Party Transactions. | ||||||||||||||
The FHLBNY is a cooperative and the members own almost all of the stock of the FHLBNY. Stock issued and outstanding that is not owned by members is held by former members. The majority of the members of the Board of Directors of the FHLBNY are elected by and from the membership. The FHLBNY conducts its advances business almost exclusively with members, and considers its transactions with its members and non-member stockholders as related party transactions in addition to transactions with other FHLBanks, the Office of Finance, and the Finance Agency. The FHLBNY conducts all transactions with members and non-members in the ordinary course of business. All transactions with all members, including those whose officers may serve as directors of the FHLBNY, are at terms that are no more favorable than comparable transactions with other members. The FHLBNY may from time to time borrow or sell overnight and term Federal funds at market rates to members. | ||||||||||||||
Debt Assumptions and Transfers | ||||||||||||||
Debt assumptions — The FHLBNY did not assume debt from another FHLBank in the three months ended March 31, 2015 and the same period in 2014. | ||||||||||||||
Debt transfers — In the three months ended March 31, 2015 and the same period in 2014, the bank did not transfer any debt to another FHLBank. Cash paid in excess of book cost is charged to earnings in the period 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 or 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 to the FHLBank of Chicago portions of its purchases of mortgage loans from its members. Transactions are participated at market rates. Since 2004, the FHLBNY has not shared its purchases with the FHLBank of Chicago. From the inception of the program through 2004, the cumulative share of participation in the FHLBNY’s MPF loans that has remained outstanding was $26.3 million at March 31, 2015, and $27.9 million at December 31, 2014. | ||||||||||||||
Fees paid to the FHLBank of Chicago for providing MPF program services were approximately $0.3 million and $0.2 million in the three months ended March 31, 2015 and the same period in 2014. | ||||||||||||||
Mortgage-backed Securities | ||||||||||||||
No mortgage-backed securities were acquired from other FHLBanks during the periods in this report. | ||||||||||||||
We pay an annual fee of $6 thousand to the FHLBank of Chicago for the use of MBS cash flow models in connection with OTTI analysis performed by the FHLBNY for certain of our private-label MBS. | ||||||||||||||
Intermediation | ||||||||||||||
From time to time, the FHLBNY acts as an intermediary to purchase derivatives to accommodate its smaller members. At March 31, 2015 and December 31, 2014, outstanding notional amounts were $131.0 million and $110.0 million and represented derivative contracts in which the FHLBNY acted as an intermediary to execute derivative contracts with members. Separately, the contracts were offset with contracts purchased from unrelated derivatives dealers. Net fair value exposures of these transactions at March 31, 2015 and December 31, 2014 were not significant. The intermediated derivative transactions with members were fully collateralized. | ||||||||||||||
Loans to Other Federal Home Loan Banks | ||||||||||||||
In the three months ended March 31, 2015, the FHLBNY extended overnight loans for a total of $0.9 billion. In the same period in 2014, the FHLBNY extended overnight loans for a total of $1.3 billion. 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 March 31, 2015 and the same period in 2014, there were no borrowings from other FHLBanks. | ||||||||||||||
The following tables summarize outstanding balances with related parties at March 31, 2015 and December 31, 2014, and transactions for the three months ended March 31, 2015 and March 31, 2014 (in thousands): | ||||||||||||||
Related Party: Outstanding Assets, Liabilities and Capital | ||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||
Assets | ||||||||||||||
Cash and due from banks | $ | — | $ | 204,119 | $ | — | $ | 6,458,943 | ||||||
Securities purchased under agreements to resell | — | 6,000,000 | — | 800,000 | ||||||||||
Federal funds sold | — | 7,697,000 | — | 10,018,000 | ||||||||||
Available-for-sale securities | — | 1,173,333 | — | 1,234,427 | ||||||||||
Held-to-maturity securities | — | 13,248,810 | — | 13,148,179 | ||||||||||
Advances | 88,523,609 | — | 98,797,497 | — | ||||||||||
Mortgage loans (a) | — | 2,298,524 | — | 2,129,239 | ||||||||||
Accrued interest receivable | 137,925 | 31,646 | 140,535 | 31,468 | ||||||||||
Premises, software, and equipment | — | 10,536 | — | 10,669 | ||||||||||
Derivative assets (b) | — | 38,423 | — | 39,123 | ||||||||||
Other assets (c) | 552 | 14,587 | 560 | 16,728 | ||||||||||
Total assets | $ | 88,662,086 | $ | 30,716,978 | $ | 98,938,592 | $ | 33,886,776 | ||||||
Liabilities and capital | ||||||||||||||
Deposits | $ | 1,607,167 | $ | — | $ | 1,998,919 | $ | — | ||||||
Consolidated obligations | — | 111,006,847 | — | 123,579,648 | ||||||||||
Mandatorily redeemable capital stock | 19,097 | — | 19,200 | — | ||||||||||
Accrued interest payable | 15 | 119,242 | 15 | 120,509 | ||||||||||
Affordable Housing Program (d) | 109,572 | — | 113,544 | — | ||||||||||
Derivative liabilities (b) | — | 337,709 | — | 345,242 | ||||||||||
Other liabilities (e) | 35,801 | 81,527 | 38,442 | 83,991 | ||||||||||
Total liabilities | 1,771,652 | 111,545,325 | 2,170,120 | 124,129,390 | ||||||||||
Total capital | 6,062,087 | — | 6,525,858 | — | ||||||||||
Total liabilities and capital | $ | 7,833,739 | $ | 111,545,325 | $ | 8,695,978 | $ | 124,129,390 | ||||||
(a) | May include 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 conducted in the ordinary course of the FHLBNY’s business — At March 31, 2015, notional amounts outstanding were $3.8 billion; the net fair value after posting $66.5 million cash collateral was a net derivative liability of $26.8 million. At December 31, 2014, notional amounts outstanding were $5.1 billion; the net fair value after posting $62.1 million cash collateral was a net derivative liability of $26.5 million. The swap interest rate exchanges with Citibank, N.A., resulted in interest expense of $5.1 million and $10.1 million in the three months ended March 31, 2015 and the same period in 2014. Also, includes insignificant fair values due to intermediation activities on behalf of other members with derivative dealers. | |||||||||||||
Goldman Sachs Bank USA became a member effective December 23, 2014. Derivative transactions with Goldman Sachs Bank USA, a member that is a derivatives dealer counterparty, were conducted in the ordinary course of the FHLBNY’s business — At March 31, 2015, notional amounts outstanding were $3.8 billion; the net fair value after posting $120.4 million cash collateral was a net derivative liability of $37.1 million. At December 31, 2014, notional amounts outstanding were $3.8 billion; the net fair value after posting $113.9 million cash collateral was a net derivative liability of $32.7 million. The swap interest rate exchanges with Goldman Sachs Bank USA, resulted in interest expense of $21.7 million and $24.2 million in the three months ended March 31, 2015 and the same period in 2014. Also, includes insignificant fair values due to intermediation activities on behalf of other members with derivative dealers. | ||||||||||||||
(a) | May include insignificant amounts of miscellaneous assets that are in the Unrelated party category. | |||||||||||||
(b) | Represents funds not yet allocated or disbursed to AHP programs. | |||||||||||||
(c) | Related column includes member pass-through reserves at the Federal Reserve Bank. | |||||||||||||
Related Party: Income and Expense transactions | ||||||||||||||
Three months ended | ||||||||||||||
March 31, 2015 | March 31, 2014 | |||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||
Interest income | ||||||||||||||
Advances | $ | 131,198 | $ | — | $ | 113,851 | $ | — | ||||||
Interest-bearing deposits (a) | — | 331 | — | 231 | ||||||||||
Securities purchased under agreements to resell | — | 240 | — | 63 | ||||||||||
Federal funds sold | — | 2,839 | — | 1,996 | ||||||||||
Available-for-sale securities | — | 2,044 | — | 3,002 | ||||||||||
Held-to-maturity securities | — | 65,440 | — | 66,623 | ||||||||||
Mortgage loans held-for-portfolio (b) | — | 19,316 | — | 17,463 | ||||||||||
Loans to other FHLBanks | 2 | — | 2 | — | ||||||||||
Total interest income | $ | 131,200 | $ | 90,210 | $ | 113,853 | $ | 89,378 | ||||||
Interest expense | ||||||||||||||
Consolidated obligations | $ | — | $ | 101,877 | $ | — | $ | 94,685 | ||||||
Deposits | 120 | — | 143 | — | ||||||||||
Mandatorily redeemable capital stock | 256 | — | 282 | — | ||||||||||
Cash collateral held and other borrowings | — | 63 | — | 1 | ||||||||||
Total interest expense | $ | 376 | $ | 101,940 | $ | 425 | $ | 94,686 | ||||||
Service fees and other Income and Expenses | $ | 2,263 | $ | 701 | $ | 2,361 | $ | 371 | ||||||
(a) | Includes insignificant amounts of interest income from MPF service provider. | |||||||||||||
(b) | Includes immaterial amounts of mortgage interest income from loans purchased from members of another FHLBank. | |||||||||||||
Segment_Information_and_Concen
Segment Information and Concentration. | 3 Months Ended | |||||||||||||||
Mar. 31, 2015 | ||||||||||||||||
Segment Information and Concentration. | ||||||||||||||||
Segment Information and Concentration. | ||||||||||||||||
Note 19.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 FHLBNY. Members might withdraw or reduce their business as a result of consolidating with an institution that was a member of another FHLBank, or for other reasons. The FHLBNY has considered the impact of losing one or more large members. In general, a withdrawing member would be required to repay all indebtedness prior to the redemption of its capital stock. Under current conditions, the FHLBNY does not expect the loss of a large member to impair its operations, since the FHLBank Act 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 March 31, 2015, December 31, 2014, and March 31, 2014 and associated interest income for the periods then ended are summarized as follows (dollars in thousands): | ||||||||||||||||
March 31, 2015 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | Three Months | ||||||||||||||
City | State | Advances | of Advances | Interest Income | Percentage | |||||||||||
Citibank, N.A. | New York | NY | $ | 15,250,000 | 17.56 | % | $ | 28,706 | 10.69 | % | ||||||
Metropolitan Life Insurance Company | New York | NY | 12,570,000 | 14.48 | 46,096 | 17.17 | ||||||||||
New York Community Bancorp, Inc.: | ||||||||||||||||
New York Community Bank | Westbury | NY | 7,934,115 | 9.14 | 59,850 | 22.30 | ||||||||||
New York Commercial Bank | Westbury | NY | 793,612 | 0.91 | 1,311 | 0.49 | ||||||||||
Subtotal New York Community Bancorp, Inc. | 8,727,727 | 10.05 | 61,161 | 22.79 | ||||||||||||
Hudson City Savings Bank, FSB | Paramus | NJ | 6,025,000 | 6.94 | 71,522 | 26.65 | ||||||||||
HSBC Bank USA, National Association | New York | NY | 5,600,000 | 6.45 | 4,403 | 1.64 | ||||||||||
First Niagara Bank, National Association | Buffalo | NY | 4,787,000 | 5.51 | 6,065 | 2.26 | ||||||||||
Investors Bank* | Short Hills | NJ | 3,012,052 | 3.47 | 14,342 | 5.34 | ||||||||||
Astoria Bank* | Lake Success | NY | 2,400,000 | 2.76 | 10,333 | 3.85 | ||||||||||
The Prudential Insurance Co. of America | Newark | NJ | 2,225,000 | 2.56 | 7,542 | 2.81 | ||||||||||
Valley National Bank* | Wayne | NJ | 1,899,500 | 2.19 | 18,242 | 6.80 | ||||||||||
Total | $ | 62,496,279 | 71.97 | % | $ | 268,412 | 100.00 | % | ||||||||
* At March 31, 2015, officer of member bank also served on the Board of Directors of the FHLBNY. | ||||||||||||||||
December 31, 2014 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | Twelve Months | ||||||||||||||
City | State | Advances | of Advances | Interest Income | Percentage | |||||||||||
Citibank, N.A. | New York | NY | $ | 28,000,000 | 28.80 | % | $ | 115,280 | 10.40 | % | ||||||
Metropolitan Life Insurance Company | New York | NY | 12,570,000 | 12.93 | 211,354 | 19.08 | ||||||||||
New York Community Bancorp, Inc.: | ||||||||||||||||
New York Community Bank* | Westbury | NY | 8,887,818 | 9.14 | 246,245 | 22.22 | ||||||||||
New York Commercial Bank* | Westbury | NY | 1,035,912 | 1.07 | 3,509 | 0.32 | ||||||||||
Subtotal New York Community Bancorp, Inc. | 9,923,730 | 10.21 | 249,754 | 22.54 | ||||||||||||
Hudson City Savings Bank, FSB | Paramus | NJ | 6,025,000 | 6.20 | 289,985 | 26.18 | ||||||||||
First Niagara Bank, National Association | Buffalo | NY | 5,049,400 | 5.19 | 19,191 | 1.73 | ||||||||||
Investors Bank* | Short Hills | NJ | 2,616,141 | 2.69 | 58,125 | 5.25 | ||||||||||
Astoria Bank* | Lake Success | NY | 2,384,000 | 2.45 | 41,912 | 3.78 | ||||||||||
The Prudential Insurance Co. of America | Newark | NJ | 2,225,000 | 2.29 | 33,738 | 3.04 | ||||||||||
Valley National Bank* | Wayne | NJ | 1,899,500 | 1.95 | 81,047 | 7.31 | ||||||||||
New York Life Insurance Company | New York | NY | 1,600,000 | 1.65 | 7,612 | 0.69 | ||||||||||
Total | $ | 72,292,771 | 74.36 | % | $ | 1,107,998 | 100.00 | % | ||||||||
* At December 31, 2014, officer of member bank also served on the Board of Directors of the FHLBNY. | ||||||||||||||||
March 31, 2014 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | Three Months | ||||||||||||||
City | State | Advances | of Advances | Interest Income | Percentage | |||||||||||
Citibank, N.A. | New York | NY | $ | 22,200,000 | 25.89 | % | $ | 22,744 | 8.16 | % | ||||||
Metropolitan Life Insurance Company | New York | NY | 12,570,000 | 14.66 | 58,550 | 21.00 | ||||||||||
New York Community Bancorp, Inc.: | ||||||||||||||||
New York Community Bank* | Westbury | NY | 9,828,128 | 11.46 | 61,296 | 21.98 | ||||||||||
New York Commercial Bank* | Westbury | NY | 322,412 | 0.38 | 796 | 0.29 | ||||||||||
Subtotal New York Community Bancorp, Inc. | 10,150,540 | 11.84 | 62,092 | 22.27 | ||||||||||||
Hudson City Savings Bank, FSB | Paramus | NJ | 6,025,000 | 7.03 | 71,447 | 25.63 | ||||||||||
First Niagara Bank, National Association | Buffalo | NY | 3,600,000 | 4.20 | 4,705 | 1.69 | ||||||||||
Investors Bank* | Short Hills | NJ | 3,123,407 | 3.64 | 14,585 | 5.23 | ||||||||||
Astoria Federal Savings and Loan Assn. (a) * | Lake Success | NY | 2,410,000 | 2.81 | 10,653 | 3.82 | ||||||||||
The Prudential Insurance Co. of America | Newark | NJ | 2,225,000 | 2.59 | 10,747 | 3.86 | ||||||||||
Valley National Bank* | Wayne | NJ | 2,149,500 | 2.51 | 20,045 | 7.19 | ||||||||||
Signature Bank | New York | NY | 1,790,313 | 2.09 | 3,198 | 1.15 | ||||||||||
Total | $ | 66,243,760 | 77.26 | % | $ | 278,766 | 100.00 | % | ||||||||
(a) | Astoria Federal Savings and Loan Assn. changed name to Astoria Bank in June 2014. | |||||||||||||||
* At March 31, 2014, officer of member bank also served on the Board of Directors of the FHLBNY. | ||||||||||||||||
Pending merger of FHLBNY member banks — Hudson City Savings Bank and Manufacturers and Traders Trust Company — On August 27, 2012, Hudson City Bancorp, Inc (“Hudson City”) announced that it had entered into an Agreement and Plan of Merger (“Merger Agreement”) with M&T Bank Corporation and Wilmington Trust Corporation, a wholly owned subsidiary of M&T Bank Corporation. The Manufacturers and Traders Trust Company (“M&T Bank”) would continue as the surviving bank. The Merger Agreement was subject to, among other items, shareholder and regulatory approvals. At the time the deal was announced, the parties also indicated their intention to pay off FHLBNY advances upon the closing of the merger transaction. Since then, the parties to the merger, anticipated needing additional time, have extended the deadline for the completion of the merger on a number of occasions. Most recently, on April 17, 2015, Hudson City and M&T Board of Directors announced that they had agreed to extend the date after which either party may elect to terminate the Merger Agreement from April 30, 2015 to October 31, 2015. | ||||||||||||||||
We do not expect the merger to have a significant adverse impact on our financial position, cash flows or earnings. Assuming the advances are early terminated by Hudson City upon completion of the merger, an action they indicated in a public statement made in 2012, 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 could result in lower net interest income and impact earnings in future periods. | ||||||||||||||||
Subsequent_Events
Subsequent Events. | 3 Months Ended |
Mar. 31, 2015 | |
Subsequent Events. | |
Subsequent Events. | |
Note 20.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) | 3 Months Ended |
Mar. 31, 2015 | |
Significant Accounting Policies and Estimates. | |
Significant Accounting Policies and Estimates | |
Significant Accounting Policies and Estimates | |
The FHLBNY has identified certain accounting policies that it believes are significant because they require management to make subjective judgments about matters that are inherently uncertain and because of the likelihood that materially different amounts would be reported under different conditions or by using different assumptions. These policies include estimating the allowance for credit losses on the advance and mortgage loan portfolios, evaluating the impairment of the FHLBNY’s securities portfolios, and estimating fair values of certain assets and liabilities. 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 23, 2015, which contains a summary of the Bank’s significant accounting policies and estimates. | |
Recently Adopted Significant Accounting Policies | |
Recently Adopted Significant Accounting Policies | |
Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention. On April 9, 2012, the Federal Housing Finance Agency (“FHFA”), the FHLBank’s regulator, issued Advisory Bulletin 2012-02 (“Advisory Bulletin”) that provided two part guidance. The first guidance, which addresses the classification of assets, was adopted on January 1, 2014 as required. Adoption had no impact on the results of operations, financial condition or cash flows. | |
The second guidance prescribes the timing of asset charge-offs if an asset is at 180 days or more past due, subject to certain conditions. The guidance was effective January 1, 2015. Under the FHLBNY’s pre-existing estimating methodology for the timing of charge-off, the FHLBNY recorded a charge-off on MPF loans based upon the occurrence of a confirming event, 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 accelerated the timing of charge-offs to the earlier of 180 days of delinquency or a confirming event. The FHLBNY records a credit loss allowance on a loan level basis on all MPF loans delinquent 90 days or greater (for loans in bankruptcy status, an allowance is recorded regardless of delinquency status). The amount of the allowance is based on the shortfall of the value of collateral (less estimated selling costs) to the recorded investment in the impaired loan. As the FHLBNY begins to establish the allowance of credit losses at 90 days delinquency, the FHLBNY considers the impact of adoption to be insignificant to its results of operations, financial condition or cash flows. | |
At January 1, 2015, the adoption date, the credit loss allowance on mortgage-loans that were past-due 180 days or more totaled $3.7 million, which amount was charged off, reducing the allowance for credit losses and a corresponding reduction in total loans, with no change in Total Assets and no change in earnings. | |
Foreclosed and Repossessed Assets. On January 17, 2014, the FASB issued ASU No. 2014-04, Receivables—Troubled Debt Restructurings by Creditors (Subtopic 310-40): Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure. The ASU clarifies Foreclosed and Repossessed Assets, and provides guidance when consumer mortgage loans collateralized by real estate should be reclassified to Real Estate Owned (“REO”). Specifically, such collateralized mortgage loans should be reclassified to REO when either the creditor obtains legal title to the residential real estate property upon completion of a foreclosure, or the borrower conveys all interest in the residential real estate property to the creditor to satisfy that loan through completion of a deed in lieu of foreclosure or through a similar legal agreement. | |
Government-Guaranteed Mortgage loans upon foreclosure. On August 8, 2014, the FASB issued ASU No. 2014-14, Receivables—Troubled Debt Restructuring by Creditors (Subtopic 310-40): Classification of Certain Government-Guaranteed Mortgage Loans upon Foreclosure, which requires that a mortgage loan be derecognized and a separate other receivable be recognized upon foreclosure if the following conditions are met: (1) the loan has a government guarantee that is not separable from the loan before foreclosure; (2) at the time of foreclosure, the creditor has the intent to convey the real estate property to the guarantor and make a claim on the guarantee, and the creditor has the ability to recover under that claim; and (3) at the time of foreclosure, any amount of the claim that is determined on the basis of the fair value of the real estate is fixed. Upon foreclosure, the separate other receivable should be measured based on the amount of the loan balance (principal and interest) expected to be recovered from the guarantor. | |
ASU 2014-04 and ASU 2014-14 was effective for the FHLBNY on January 1, 2015. Adoption did not have a an impact on the FHLBNY’s financial condition, results of operations and cash flows. | |
HeldtoMaturity_Securities_Tabl
Held-to-Maturity Securities. (Tables) | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||
Held-to-Maturity Securities. | ||||||||||||||||||||
Summary of interest rate payment terms of securities classified as held-to-maturity | ||||||||||||||||||||
The following table summarizes interest rate payment terms of securities classified as held-to-maturity (in thousands): | ||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||
Amortized | Carrying | Amortized | Carrying | |||||||||||||||||
Cost | Value | Cost | Value | |||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||
CMO | ||||||||||||||||||||
Fixed | $ | 1,548,124 | $ | 1,547,610 | $ | 1,595,060 | $ | 1,594,475 | ||||||||||||
Floating | 3,145,611 | 3,145,610 | 3,296,156 | 3,296,156 | ||||||||||||||||
Total CMO | 4,693,735 | 4,693,220 | 4,891,216 | 4,890,631 | ||||||||||||||||
CMBS | ||||||||||||||||||||
Fixed | 4,998,472 | 4,998,472 | 5,009,903 | 5,009,903 | ||||||||||||||||
Floating | 2,159,353 | 2,159,353 | 1,812,581 | 1,812,581 | ||||||||||||||||
Total CMBS | 7,157,825 | 7,157,825 | 6,822,484 | 6,822,484 | ||||||||||||||||
Pass Thru (a) | ||||||||||||||||||||
Fixed | 554,679 | 513,744 | 588,326 | 545,493 | ||||||||||||||||
Floating | 74,081 | 73,241 | 77,356 | 76,491 | ||||||||||||||||
Total Pass Thru | 628,760 | 586,985 | 665,682 | 621,984 | ||||||||||||||||
Total MBS | 12,480,320 | 12,438,030 | 12,379,382 | 12,335,099 | ||||||||||||||||
State and local housing finance agency obligations | ||||||||||||||||||||
Fixed | 14,555 | 14,555 | 16,610 | 16,610 | ||||||||||||||||
Floating | 796,225 | 796,225 | 796,470 | 796,470 | ||||||||||||||||
Total State and local housing finance agency obligations | 810,780 | 810,780 | 813,080 | 813,080 | ||||||||||||||||
Total Held-to-maturity securities | $ | 13,291,100 | $ | 13,248,810 | $ | 13,192,462 | $ | 13,148,179 | ||||||||||||
(a) | Includes MBS supported by pools of mortgages. | |||||||||||||||||||
Rollforward information about 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 related to held-to-maturity securities (in thousands): | ||||||||||||||||||||
Three months ended March 31, | ||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||
Beginning balance | $ | 34,893 | $ | 36,543 | ||||||||||||||||
Increases in cash flows expected to be collected, recognized over the remaining life of the securities | (772 | ) | (236 | ) | ||||||||||||||||
Ending balance | $ | 34,121 | $ | 36,307 | ||||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||
Held-to-Maturity Securities. | ||||||||||||||||||||
Schedule of major security types of held-to-maturity securities | ||||||||||||||||||||
Major Security Types (in thousands) | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
OTTI | Gross | Gross | ||||||||||||||||||
Amortized | Recognized | Carrying | Unrecognized | Unrecognized | Fair | |||||||||||||||
Issued, guaranteed or insured: | Cost (d) | in AOCI | Value | Holding Gains (a) | Holding Losses (a) | Value | ||||||||||||||
Pools of Mortgages | ||||||||||||||||||||
Fannie Mae | $ | 219,295 | $ | — | $ | 219,295 | $ | 21,384 | $ | — | $ | 240,679 | ||||||||
Freddie Mac | 62,641 | — | 62,641 | 4,928 | — | 67,569 | ||||||||||||||
Total pools of mortgages | 281,936 | — | 281,936 | 26,312 | — | 308,248 | ||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||
Fannie Mae | 2,830,284 | — | 2,830,284 | 45,684 | (2 | ) | 2,875,966 | |||||||||||||
Freddie Mac | 1,812,871 | — | 1,812,871 | 20,909 | — | 1,833,780 | ||||||||||||||
Ginnie Mae | 30,143 | — | 30,143 | 426 | — | 30,569 | ||||||||||||||
Total CMOs/REMICs | 4,673,298 | — | 4,673,298 | 67,019 | (2 | ) | 4,740,315 | |||||||||||||
Commercial Mortgage-Backed Securities (b) | ||||||||||||||||||||
Fannie Mae | 1,958,210 | — | 1,958,210 | 26,480 | (562 | ) | 1,984,128 | |||||||||||||
Freddie Mac | 5,199,615 | — | 5,199,615 | 200,897 | (1,182 | ) | 5,399,330 | |||||||||||||
Total commercial mortgage-backed securities | 7,157,825 | — | 7,157,825 | 227,377 | (1,744 | ) | 7,383,458 | |||||||||||||
Non-GSE MBS (c) | ||||||||||||||||||||
CMOs/REMICs | 31,248 | (307 | ) | 30,941 | 1,651 | (932 | ) | 31,660 | ||||||||||||
Asset-Backed Securities (c) | ||||||||||||||||||||
Manufactured housing (insured) | 89,573 | — | 89,573 | 2,377 | — | 91,950 | ||||||||||||||
Home equity loans (insured) | 152,973 | (31,103 | ) | 121,870 | 56,835 | (87 | ) | 178,618 | ||||||||||||
Home equity loans (uninsured) | 93,467 | (10,880 | ) | 82,587 | 12,582 | (2,855 | ) | 92,314 | ||||||||||||
Total asset-backed securities | 336,013 | (41,983 | ) | 294,030 | 71,794 | (2,942 | ) | 362,882 | ||||||||||||
Total MBS | 12,480,320 | (42,290 | ) | 12,438,030 | 394,153 | (5,620 | ) | 12,826,563 | ||||||||||||
Other | ||||||||||||||||||||
State and local housing finance agency obligations | 810,780 | — | 810,780 | 179 | (49,070 | ) | 761,889 | |||||||||||||
Total Held-to-maturity securities | $ | 13,291,100 | $ | (42,290 | ) | $ | 13,248,810 | $ | 394,332 | $ | (54,690 | ) | $ | 13,588,452 | ||||||
December 31, 2014 | ||||||||||||||||||||
OTTI | Gross | Gross | ||||||||||||||||||
Amortized | Recognized | Carrying | Unrecognized | Unrecognized | Fair | |||||||||||||||
Issued, guaranteed or insured: | Cost (d) | in AOCI | Value | Holding Gains (a) | Holding Losses (a) | Value | ||||||||||||||
Pools of Mortgages | ||||||||||||||||||||
Fannie Mae | $ | 236,500 | $ | — | $ | 236,500 | $ | 21,891 | $ | — | $ | 258,391 | ||||||||
Freddie Mac | 68,510 | — | 68,510 | 5,281 | — | 73,791 | ||||||||||||||
Total pools of mortgages | 305,010 | — | 305,010 | 27,172 | — | 332,182 | ||||||||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||||||||||||||||||
Fannie Mae | 2,941,093 | — | 2,941,093 | 36,164 | — | 2,977,257 | ||||||||||||||
Freddie Mac | 1,895,889 | — | 1,895,889 | 19,514 | — | 1,915,403 | ||||||||||||||
Ginnie Mae | 31,900 | — | 31,900 | 468 | — | 32,368 | ||||||||||||||
Total CMOs/REMICs | 4,868,882 | — | 4,868,882 | 56,146 | — | 4,925,028 | ||||||||||||||
Commercial Mortgage-Backed Securities (b) | ||||||||||||||||||||
Fannie Mae | 1,876,767 | — | 1,876,767 | 14,686 | (3,452 | ) | 1,888,001 | |||||||||||||
Freddie Mac | 4,945,717 | — | 4,945,717 | 156,116 | (5,666 | ) | 5,096,167 | |||||||||||||
Total commercial mortgage-backed securities | 6,822,484 | — | 6,822,484 | 170,802 | (9,118 | ) | 6,984,168 | |||||||||||||
Non-GSE MBS (c) | ||||||||||||||||||||
CMOs/REMICs | 34,249 | (359 | ) | 33,890 | 1,709 | (914 | ) | 34,685 | ||||||||||||
Asset-Backed Securities (c) | ||||||||||||||||||||
Manufactured housing (insured) | 93,693 | — | 93,693 | 2,476 | — | 96,169 | ||||||||||||||
Home equity loans (insured) | 158,233 | (32,476 | ) | 125,757 | 59,169 | (167 | ) | 184,759 | ||||||||||||
Home equity loans (uninsured) | 96,831 | (11,448 | ) | 85,383 | 13,124 | (2,693 | ) | 95,814 | ||||||||||||
Total asset-backed securities | 348,757 | (43,924 | ) | 304,833 | 74,769 | (2,860 | ) | 376,742 | ||||||||||||
Total MBS | 12,379,382 | (44,283 | ) | 12,335,099 | 330,598 | (12,892 | ) | 12,652,805 | ||||||||||||
Other | ||||||||||||||||||||
State and local housing finance agency obligations | 813,080 | — | 813,080 | 204 | (49,906 | ) | 763,378 | |||||||||||||
Total Held-to-maturity securities | $ | 13,192,462 | $ | (44,283 | ) | $ | 13,148,179 | $ | 330,802 | $ | (62,798 | ) | $ | 13,416,183 | ||||||
(a) | Unrecognized gross holding gains and losses represent the difference between fair value and carrying value. | |||||||||||||||||||
(b) | Commercial mortgage-backed securities (“CMBS”) — Agency issued CMBS are income-producing, multifamily properties. Eligible property types include standard conventional multifamily apartments, affordable multifamily housing, seniors housing, student housing, military housing, and rural rent housing. | |||||||||||||||||||
(c) | The amounts represent non-agency private-label mortgage- and asset-backed securities. | |||||||||||||||||||
(d) | Amortized cost — For securities that were deemed to be OTTI, amortized cost represents unamortized cost less credit OTTI, net of credit OTTI reversed due to improvements in cash flows. | |||||||||||||||||||
Summary of held-to-maturity securities with fair values below their amortized cost basis | ||||||||||||||||||||
The following tables summarize held-to-maturity securities with fair values below their amortized cost basis (in thousands): | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
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 | $ | 154,982 | $ | (18 | ) | $ | 270,248 | $ | (49,052 | ) | $ | 425,230 | $ | (49,070 | ) | |||||
MBS Investment Securities | ||||||||||||||||||||
MBS-GSE | ||||||||||||||||||||
Fannie Mae | 443,896 | (564 | ) | — | — | 443,896 | (564 | ) | ||||||||||||
Freddie Mac | 301,402 | (170 | ) | 166,373 | (1,012 | ) | 467,775 | (1,182 | ) | |||||||||||
Total MBS-GSE | 745,298 | (734 | ) | 166,373 | (1,012 | ) | 911,671 | (1,746 | ) | |||||||||||
MBS-Private-Label | 903 | (7 | ) | 69,109 | (3,404 | ) | 70,012 | (3,411 | ) | |||||||||||
Total MBS | 746,201 | (741 | ) | 235,482 | (4,416 | ) | 981,683 | (5,157 | ) | |||||||||||
Total | $ | 901,183 | $ | (759 | ) | $ | 505,730 | $ | (53,468 | ) | $ | 1,406,913 | $ | (54,227 | ) | |||||
December 31, 2014 | ||||||||||||||||||||
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 | $ | 49,997 | $ | (3 | ) | $ | 269,642 | $ | (49,903 | ) | $ | 319,639 | $ | (49,906 | ) | |||||
MBS Investment Securities | ||||||||||||||||||||
MBS-GSE | ||||||||||||||||||||
Fannie Mae | 397,554 | (1,153 | ) | 272,592 | (2,299 | ) | 670,146 | (3,452 | ) | |||||||||||
Freddie Mac | 726,865 | (348 | ) | 441,713 | (5,318 | ) | 1,168,578 | (5,666 | ) | |||||||||||
Total MBS-GSE | 1,124,419 | (1,501 | ) | 714,305 | (7,617 | ) | 1,838,724 | (9,118 | ) | |||||||||||
MBS-Private-Label | 53 | (1 | ) | 61,771 | (3,390 | ) | 61,824 | (3,391 | ) | |||||||||||
Total MBS | 1,124,472 | (1,502 | ) | 776,076 | (11,007 | ) | 1,900,548 | (12,509 | ) | |||||||||||
Total | $ | 1,174,469 | $ | (1,505 | ) | $ | 1,045,718 | $ | (60,910 | ) | $ | 2,220,187 | $ | (62,415 | ) | |||||
Schedule of amortized cost and estimated fair value of held-to-maturity securities, arranged by contractual maturity | The amortized cost and estimated fair value of held-to-maturity securities, arranged by contractual maturity, were as follows (in thousands): | |||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||
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 | $ | 31,950 | $ | 31,106 | $ | 33,990 | $ | 33,069 | ||||||||||||
Due after five years through ten years | 37,615 | 36,839 | 37,615 | 36,771 | ||||||||||||||||
Due after ten years | 741,215 | 693,944 | 741,475 | 693,538 | ||||||||||||||||
State and local housing finance agency obligations | 810,780 | 761,889 | 813,080 | 763,378 | ||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||
Due in one year or less | 55,769 | 55,741 | — | — | ||||||||||||||||
Due after one year through five years | 2,755,678 | 2,815,041 | 2,561,843 | 2,589,028 | ||||||||||||||||
Due after five years through ten years | 4,292,949 | 4,463,334 | 4,380,717 | 4,519,973 | ||||||||||||||||
Due after ten years | 5,375,924 | 5,492,447 | 5,436,822 | 5,543,804 | ||||||||||||||||
Mortgage-backed securities | 12,480,320 | 12,826,563 | 12,379,382 | 12,652,805 | ||||||||||||||||
Total Held-to-maturity securities | $ | 13,291,100 | $ | 13,588,452 | $ | 13,192,462 | $ | 13,416,183 | ||||||||||||
(a) | Amortized cost is after adjusting for a net unamortized premium of $36.5 million and $38.3 million at March 31, 2015 and December 31, 2014. | |||||||||||||||||||
Private-label MBS | ||||||||||||||||||||
Held-to-Maturity Securities. | ||||||||||||||||||||
Summary of weighted average and range of Key Base Assumptions for private-label MBS | ||||||||||||||||||||
The tables below summarize the weighted average and range of Key Base Assumptions for private-label MBS at March 31, 2015 and December 31, 2014, including those deemed OTTI: | ||||||||||||||||||||
Key Base Assumptions - All PLMBS at March 31, 2015 | ||||||||||||||||||||
CDR % (a) | CPR % (b) | Loss Severity % (c) | ||||||||||||||||||
Security Classification | Range | Average | Range | Average | Range | Average | ||||||||||||||
RMBS Prime (d) | 0.0-5.0 | 1.6 | 12.6-26.8 | 20.1 | 0.0-54.9 | 34.6 | ||||||||||||||
RMBS Alt-A (d) | 1.0-8.0 | 1.8 | 2.0-10.3 | 5.2 | 30.0-30.0 | 30.0 | ||||||||||||||
HEL Subprime (e) | 1.0-11.4 | 4.1 | 2.0-21.8 | 4.8 | 25.6-100.0 | 66.3 | ||||||||||||||
Manufactured Housing Loans | 2.6-3.7 | 3.3 | 2.6-3.8 | 3.0 | 77.9-85.2 | 82.6 | ||||||||||||||
Key Base Assumptions - All PLMBS at December 31, 2014 | ||||||||||||||||||||
CDR % (a) | CPR % (b) | Loss Severity % (c) | ||||||||||||||||||
Security Classification | Range | Average | Range | Average | Range | Average | ||||||||||||||
RMBS Prime (d) | 0.0-5.1 | 1.7 | 12.1-29.6 | 22.9 | 34.4-83.8 | 54.3 | ||||||||||||||
RMBS Alt-A (d) | 1.0-7.0 | 1.7 | 2.0-8.4 | 5.3 | 30.0-30.0 | 30.0 | ||||||||||||||
HEL Subprime (e) | 1.0-10.3 | 3.8 | 2.0-23.9 | 4.9 | 22.7-100.0 | 65.7 | ||||||||||||||
Manufactured Housing Loans | 2.8-4.1 | 3.6 | 2.7-3.8 | 3.1 | 76.0-83.3 | 80.6 | ||||||||||||||
(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. | |||||||||||||||||||
AvailableforSale_Securities_Ta
Available-for-Sale Securities. (Tables) | 3 Months Ended | |||||||||||||
Mar. 31, 2015 | ||||||||||||||
Available-for-Sale Securities. | ||||||||||||||
Summary of interest rate payment terms of investments in mortgage-backed securities classified as AFS securities | ||||||||||||||
The following table summarizes interest rate payment terms of investments in mortgage-backed securities classified as AFS securities (in thousands): | ||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||
Amortized Cost | Fair Value | Amortized Cost | Fair Value | |||||||||||
Mortgage-backed securities | ||||||||||||||
CMO floating - LIBOR | $ | 1,096,628 | $ | 1,109,072 | $ | 1,161,115 | $ | 1,174,271 | ||||||
CMBS floating - LIBOR | 41,589 | 42,045 | 41,692 | 42,209 | ||||||||||
Total Mortgage-backed securities (a) | $ | 1,138,217 | $ | 1,151,117 | $ | 1,202,807 | $ | 1,216,480 | ||||||
(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 major security types of available-for-sale securities | ||||||||||||||
The carrying value of an AFS security equals its fair value, and at March 31, 2015 and December 31, 2014, no AFS security was Other-than-temporarily impaired. The following tables provide major security types (in thousands): | ||||||||||||||
March 31, 2015 | ||||||||||||||
Gross | Gross | |||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||
Cost | Gains | Losses | Value | |||||||||||
Cash equivalents (a) | $ | 648 | $ | — | $ | — | $ | 648 | ||||||
Equity funds (a) | 10,610 | 1,600 | — | 12,210 | ||||||||||
Fixed income funds (a) | 9,344 | 16 | (2 | ) | 9,358 | |||||||||
GSE and U.S. Obligations | ||||||||||||||
Mortgage-backed securities | ||||||||||||||
CMO-Floating | 1,096,628 | 12,444 | — | 1,109,072 | ||||||||||
CMBS-Floating | 41,589 | 456 | — | 42,045 | ||||||||||
Total Available-for-sale securities | $ | 1,158,819 | $ | 14,516 | $ | (2 | ) | $ | 1,173,333 | |||||
December 31, 2014 | ||||||||||||||
Gross | Gross | |||||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||||
Cost | Gains | Losses | Value | |||||||||||
Cash equivalents (a) | $ | 537 | $ | — | $ | — | $ | 537 | ||||||
Equity funds (a) | 9,310 | 1,579 | (7 | ) | 10,882 | |||||||||
Fixed income funds (a) | 6,399 | 146 | (17 | ) | 6,528 | |||||||||
GSE and U.S. Obligations | ||||||||||||||
Mortgage-backed securities | ||||||||||||||
CMO-Floating | 1,161,115 | 13,156 | — | 1,174,271 | ||||||||||
CMBS-Floating | 41,692 | 517 | — | 42,209 | ||||||||||
Total Available-for-sale securities | $ | 1,219,053 | $ | 15,398 | $ | (24 | ) | $ | 1,234,427 | |||||
(a) | The FHLBNY has a grantor trust to finance 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. Dividend income and gains and losses from sales of funds were $711.3 thousand and $51.0 thousand in the three months ended March 31, 2015 and the same period in 2014 and were recorded in Other income. | |||||||||||||
Schedule of amortized cost and estimated fair value of investments classified as AFS, by contractual maturity | The amortized cost and estimated fair value (a) of investments classified as AFS, by contractual maturity, were as follows (in thousands): | |||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||
Amortized Cost (c) | Fair Value | Amortized Cost (c) | Fair Value | |||||||||||
Mortgage-backed securities | ||||||||||||||
Due after five years through ten years | $ | 41,589 | $ | 42,045 | $ | 41,692 | $ | 42,209 | ||||||
Due after ten years | 1,096,628 | 1,109,072 | 1,161,115 | 1,174,271 | ||||||||||
Fixed income/bond funds, equity funds and cash equivalents (b) | 20,602 | 22,216 | 16,246 | 17,947 | ||||||||||
Total Available-for-sale securities | $ | 1,158,819 | $ | 1,173,333 | $ | 1,219,053 | $ | 1,234,427 | ||||||
(a) | The carrying value of AFS securities equals fair value. | |||||||||||||
(b) | Funds in the grantor trust are determined to be redeemable at short notice. | |||||||||||||
(c) | Amortized cost is after adjusting for net unamortized discounts of $3.8 million at March 31, 2015 and December 31, 2014. | |||||||||||||
Advances_Tables
Advances. (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Advances. | |||||||||||||||||
Schedule of contractual redemption terms and yields of advances | |||||||||||||||||
Contractual redemption terms and yields of advances were as follows (dollars in thousands): | |||||||||||||||||
March 31, 2015 | December 31, 2014 | ||||||||||||||||
Weighted (a) | Weighted (a) | ||||||||||||||||
Average | Percentage | Average | Percentage | ||||||||||||||
Amount | Yield | of Total | Amount | Yield | of Total | ||||||||||||
Due in one year or less | $ | 30,004,303 | 0.87 | % | 34.55 | % | $ | 43,044,026 | 0.68 | % | 44.28 | % | |||||
Due after one year through two years | 19,222,306 | 1.83 | 22.14 | 17,322,868 | 2.10 | 17.82 | |||||||||||
Due after two years through three years | 17,544,061 | 1.60 | 20.20 | 15,775,401 | 1.71 | 16.23 | |||||||||||
Due after three years through four years | 6,164,722 | 2.18 | 7.10 | 7,053,431 | 2.10 | 7.26 | |||||||||||
Due after four years through five years | 5,311,236 | 2.50 | 6.12 | 4,655,510 | 2.41 | 4.79 | |||||||||||
Thereafter | 8,585,673 | 2.82 | 9.89 | 9,366,815 | 2.81 | 9.62 | |||||||||||
Total par value | 86,832,301 | 1.61 | % | 100.00 | % | 97,218,051 | 1.49 | % | 100.00 | % | |||||||
Hedge valuation basis adjustments (b) | 1,686,167 | 1,574,044 | |||||||||||||||
Fair value option valuation adjustments and accrued interest (c) | 5,141 | 5,402 | |||||||||||||||
Total | $ | 88,523,609 | $ | 98,797,497 | |||||||||||||
(a) | The weighted average yield is the weighted average coupon rates for advances, unadjusted for swaps. For floating-rate advances, the weighted average rate is the rate outstanding at the reporting dates. | ||||||||||||||||
(b) | Hedge valuation basis adjustments represent changes in the fair values of fixed-rate advances due to changes in LIBOR, which is the FHLBNY’s benchmark rate in a Fair value hedge. | ||||||||||||||||
(c) | Valuation adjustments represent changes in the full fair values of advances elected under the FVO. | ||||||||||||||||
Mortgage_Loans_HeldforPortfoli1
Mortgage Loans Held-for-Portfolio. (Tables) | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||
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): | ||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||
Amount | Percentage of | Amount | Percentage of | |||||||||||||||||
Total | Total | |||||||||||||||||||
Real Estate(a): | ||||||||||||||||||||
Fixed medium-term single-family mortgages | $ | 316,652 | 14.04 | % | $ | 327,112 | 15.63 | % | ||||||||||||
Fixed long-term single-family mortgages | 1,938,134 | 85.96 | 1,765,661 | 84.37 | ||||||||||||||||
Multi-family mortgages | 62 | — | 63 | — | ||||||||||||||||
Total par value | 2,254,848 | 100 | % | 2,092,836 | 100 | % | ||||||||||||||
Unamortized premiums | 44,851 | 41,046 | ||||||||||||||||||
Unamortized discounts | (2,402 | ) | (2,544 | ) | ||||||||||||||||
Basis adjustment (b) | 2,175 | 2,408 | ||||||||||||||||||
Total mortgage loans held-for-portfolio | 2,299,472 | 2,133,746 | ||||||||||||||||||
Allowance for credit losses (c) | (948 | ) | (4,507 | ) | ||||||||||||||||
Total mortgage loans held-for-portfolio, net of allowance for credit losses | $ | 2,298,524 | $ | 2,129,239 | ||||||||||||||||
(a) | Conventional mortgages represent the majority of mortgage loans held-for-portfolio, with the remainder invested in FHA and VA insured loans. | |||||||||||||||||||
(b) | Balances represent unamortized fair value basis of closed delivery commitments. A basis is recorded at the settlement of the loan and represents the difference in trade price paid for acquiring the loan and the price at the settlement date for a similar loan. The basis is amortized as a yield adjustment to Interest income. | |||||||||||||||||||
(c) | Prior to January 1, 2015, the FHLBNY recorded a charge-off on a conventional loan generally at the foreclosure of a loan. Beginning January 1, 2015, the FHLBNY adopted the guidance provided by the FHFA and accelerated the consideration for a charge-off when a loan was on a non-accrual status for 180 days or more. Amount of the charge-off at 180 days is typically recognized to the extent the fair value of the underlying collateral, less estimated selling costs, is less than the recorded investment in the loan. The adoption of the FHFA guidance resulted in the reclassification of $3.7 million in allowance for credit losses on loans that were on non-accrual status of 180 days or more at January 1, 2015. The amount represented partial charge-off of such delinquent loans, and had no impact on earnings for the quarter as it was a reclassification within the Statement of Condition between the categories Allowance for credit losses and the Carrying values of the MPF loans. For more information, see Note 2. Recently Issued Accounting Standards and Interpretations. | |||||||||||||||||||
Roll-forward analysis of allowance for credit losses | The following provides a roll-forward analysis of the allowance for credit losses (a) (in thousands): | |||||||||||||||||||
Three months ended March 31, | ||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||
Allowance for credit losses: | ||||||||||||||||||||
Beginning balance | $ | 4,507 | $ | 5,697 | ||||||||||||||||
Charge-offs | (3,747 | ) | (132 | ) | ||||||||||||||||
Recoveries | — | 45 | ||||||||||||||||||
Provision for credit losses on mortgage loans | 188 | 335 | ||||||||||||||||||
Ending balance | $ | 948 | $ | 5,945 | ||||||||||||||||
Ending balance, individually evaluated for impairment | $ | 948 | $ | 5,945 | ||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||
Recorded investment, end of period: | ||||||||||||||||||||
Individually evaluated for impairment | ||||||||||||||||||||
Impaired, with or without a related allowance | $ | 23,473 | $ | 27,389 | ||||||||||||||||
Not impaired, no related allowance | 2,112,609 | 1,949,490 | ||||||||||||||||||
Total uninsured mortgage loans | $ | 2,136,082 | $ | 1,976,879 | ||||||||||||||||
Collectively evaluated for impairment (b) | ||||||||||||||||||||
Impaired, with or without a related allowance | $ | 1,963 | $ | 1,275 | ||||||||||||||||
Not impaired, no related allowance | 172,109 | 165,978 | ||||||||||||||||||
Total insured mortgage loans | $ | 174,072 | $ | 167,253 | ||||||||||||||||
(a) | Allowances for credit losses on individual impaired loans have generally remained flat or lower, in line with improvements in collateral values, consistent with the improving housing prices/liquidation values of real property securing impaired loans in the states of New York and New Jersey. As noted previously, the FHLBNY adopted the FHFA guidance effective January 1, 2015 and accelerated the timing of the recording a charge-off to the earlier of foreclosure or when a loan is 180 days delinquent. As the FHLBNY records the initial allowance for credit losses on loans delinquent 90 days or more and continues to evaluate the allowance at least quarterly, the adoption of the guidance and acceleration of the charge-off did not result in additional credit allowance. Adoption resulted in a reclassification of $3.7 million, reducing the allowance with a corresponding reduction in the recorded investment in impaired loans. | |||||||||||||||||||
(b) | 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 impaired mortgage loans | ||||||||||||||||||||
Mortgage Loans - Non-performing Loans | ||||||||||||||||||||
The FHLBNY’s impaired mortgage loans are reported in the table below (in thousands): | ||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||
Total Mortgage loans, net of allowance for credit losses (a) | $ | 2,298,524 | $ | 2,129,239 | ||||||||||||||||
Non-performing mortgage loans - Conventional (b) | $ | 20,472 | $ | 24,709 | ||||||||||||||||
Insured MPF loans past due 90 days or more and still accruing interest (b) | $ | 1,865 | $ | 1,217 | ||||||||||||||||
(a) | Includes loans classified as special mention, sub-standard, doubtful or loss under regulatory criteria, and are reported at carrying value less any amounts charged-off if delinquent for 180 days. | |||||||||||||||||||
(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. | |||||||||||||||||||
Schedule of interest contractually due and actually received for non-performing loans | ||||||||||||||||||||
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 (in thousands): | ||||||||||||||||||||
Three months ended March 31, | ||||||||||||||||||||
2015 | 2014 | |||||||||||||||||||
Interest contractually due (a) | $ | 363 | $ | 409 | ||||||||||||||||
Interest actually received | 328 | 373 | ||||||||||||||||||
Shortfall | $ | 35 | $ | 36 | ||||||||||||||||
(a) | Represents the amount of interest accrual on non-accrual uninsured loans that were not recorded as income. For more information about the FHLBNY’s policy on non-accrual loans, see Note 1. Significant Accounting Policies. | |||||||||||||||||||
Summary of recorded investment in impaired loans, unpaid principal balance and related allowance (individually assessed for impairment), and average recorded investment of impaired loans | ||||||||||||||||||||
The following tables summarize the recorded investment in impaired loans (excluding insured FHA/VA loans), the unpaid principal balance and related allowance (individually assessed for impairment), and the average recorded investment of impaired loans (in thousands): | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Unpaid | Average | |||||||||||||||||||
Recorded | Principal | Related | Recorded | |||||||||||||||||
Impaired Loans (c) | Investment | Balance | Allowance | Investment (d) | ||||||||||||||||
With no related allowance: | ||||||||||||||||||||
Conventional MPF Loans (a)(b) | $ | 20,301 | $ | 20,275 | $ | — | $ | 13,754 | ||||||||||||
With an allowance: | ||||||||||||||||||||
Conventional MPF Loans (a) | 3,172 | 3,149 | 948 | 11,910 | ||||||||||||||||
Total Conventional MPF Loans (a) | $ | 23,473 | $ | 23,424 | $ | 948 | $ | 25,664 | ||||||||||||
December 31, 2014 | ||||||||||||||||||||
Unpaid | Average | |||||||||||||||||||
Recorded | Principal | Related | Recorded | |||||||||||||||||
Impaired Loans (c) | Investment | Balance | Allowance | Investment (d) | ||||||||||||||||
With no related allowance: | ||||||||||||||||||||
Conventional MPF Loans (a)(b) | $ | 10,713 | $ | 10,692 | $ | — | $ | 9,754 | ||||||||||||
With an allowance: | ||||||||||||||||||||
Conventional MPF Loans (a) | 16,676 | 16,673 | 4,507 | 18,517 | ||||||||||||||||
Total Conventional MPF Loans (a) | $ | 27,389 | $ | 27,365 | $ | 4,507 | $ | 28,271 | ||||||||||||
(a) | Based on analysis of the nature of risks of the FHLBNY’s investments in MPF loans, including its methodologies for identifying and measuring impairment, management has determined that presenting such loans as a single class is appropriate. | |||||||||||||||||||
(b) | Collateral values, net of estimated costs to sell, exceeded the recorded investments in impaired loans and no allowances were deemed necessary. | |||||||||||||||||||
(c) | Interest received is not recorded as Interest income if an uninsured loan is past due 90 days or more. Cash received is recorded as a liability on the assumption that cash was remitted by the servicer to the FHLBNY that could potentially be recouped by the borrower in a foreclosure. | |||||||||||||||||||
(d) | Represents average recorded investment for the three months ended March 31, 2015 and the twelve months ended December 31, 2014. | |||||||||||||||||||
Summary of recorded investments in MPF loans that were past due, and real estate owned | ||||||||||||||||||||
Recorded investments in MPF loans that were past due, and real estate owned are summarized below. Recorded investment, which includes accrued interest receivable, would not equal carrying values reported elsewhere (dollars in thousands): | ||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||
Conventional | Insured | Other | Conventional | Insured | Other | |||||||||||||||
MPF Loans | Loans | Loans | MPF Loans | Loans | Loans | |||||||||||||||
Mortgage loans: | ||||||||||||||||||||
Past due 30 - 59 days | $ | 21,049 | $ | 4,303 | $ | — | $ | 23,212 | $ | 6,312 | $ | — | ||||||||
Past due 60 - 89 days | 5,981 | 1,264 | — | 5,578 | 886 | — | ||||||||||||||
Past due 90 - 179 days | 3,857 | 937 | — | 3,198 | 740 | — | ||||||||||||||
Past due 180 days or more | 16,647 | 1,026 | — | 21,526 | 535 | — | ||||||||||||||
Total past due | 47,534 | 7,530 | — | 53,514 | 8,473 | — | ||||||||||||||
Total current loans | 2,088,486 | 166,542 | 62 | 1,923,302 | 158,780 | 63 | ||||||||||||||
Total mortgage loans | $ | 2,136,020 | $ | 174,072 | $ | 62 | $ | 1,976,816 | $ | 167,253 | $ | 63 | ||||||||
Other delinquency statistics: | ||||||||||||||||||||
Loans in process of foreclosure, included above | $ | 12,033 | $ | 481 | $ | — | $ | 17,032 | $ | 413 | $ | — | ||||||||
Number of foreclosures outstanding at period end | 108 | 9 | — | 119 | 10 | — | ||||||||||||||
Serious delinquency rate (a) | 0.96 | % | 1.13 | % | — | % | 1.25 | % | 0.76 | % | — | % | ||||||||
Serious delinquent loans total used in calculation of serious delinquency rate | $ | 20,504 | $ | 1,963 | $ | — | $ | 24,724 | $ | 1,275 | $ | — | ||||||||
Past due 90 days or more and still accruing interest | $ | — | $ | 1,963 | $ | — | $ | — | $ | 1,275 | $ | — | ||||||||
Loans on non-accrual status | $ | 20,504 | $ | — | $ | — | $ | 24,724 | $ | — | $ | — | ||||||||
Troubled debt restructurings: | ||||||||||||||||||||
Loans discharged from bankruptcy (b) | $ | 9,753 | $ | 369 | $ | — | $ | 10,029 | $ | 324 | $ | — | ||||||||
Modified loans under MPF® program | $ | 1,055 | $ | — | $ | — | $ | 1,009 | $ | — | $ | — | ||||||||
Real estate owned | $ | 2,998 | $ | 1,980 | ||||||||||||||||
(a) | Serious delinquency rate is defined as recorded investments in loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of total loan class. | |||||||||||||||||||
(b) | Loans discharged from Chapter 7 bankruptcies are considered as TDR. | |||||||||||||||||||
Summary of performing and non-performing troubled debt restructurings balances | ||||||||||||||||||||
The following table summarizes performing and non-performing troubled debt restructurings balances (in thousands): | ||||||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||||||
Recorded Investment Outstanding | Performing | Non- performing | Total TDR | Performing | Non- performing | Total TDR | ||||||||||||||
Troubled debt restructurings (TDR) (a) (b) : | ||||||||||||||||||||
Loans discharged from bankruptcy | $ | 9,648 | $ | 105 | $ | 9,753 | $ | 9,800 | $ | 229 | $ | 10,029 | ||||||||
Modified loans under MPF® program | 828 | 227 | 1,055 | 422 | 587 | 1,009 | ||||||||||||||
Total troubled debt restructurings | $ | 10,476 | $ | 332 | $ | 10,808 | $ | 10,222 | $ | 816 | $ | 11,038 | ||||||||
Related Allowance | $ | 336 | $ | 612 | ||||||||||||||||
(a) | Insured loans were not included in the calculation for troubled debt restructuring. | |||||||||||||||||||
(b) | Loans discharged from Chapter 7 bankruptcy are also considered as TDR. | |||||||||||||||||||
Deposits_Tables
Deposits. (Tables) | 3 Months Ended | |||||||||||
Mar. 31, 2015 | ||||||||||||
Deposits. | ||||||||||||
Summary of deposits | The following table summarizes deposits (in thousands): | |||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||
Interest-bearing deposits | ||||||||||||
Interest-bearing demand | $ | 1,559,312 | $ | 1,958,518 | ||||||||
Term (a) | 32,000 | 27,000 | ||||||||||
Total interest-bearing deposits | 1,591,312 | 1,985,518 | ||||||||||
Non-interest-bearing demand | 15,855 | 13,401 | ||||||||||
Total deposits (b) | $ | 1,607,167 | $ | 1,998,919 | ||||||||
(a) | Term deposits were for periods of one year or less. | |||||||||||
(b) | Specific disclosures about deposits that exceed FDIC limits have been omitted as deposits are not insured by the FDIC. Deposits are received in the ordinary course of the FHLBNY’s business. The FHLBNY has pledged securities to the FDIC to collateralize deposits maintained at the FHLBNY by the FDIC; for more information, see Securities Pledged in Note 5. Held-to-Maturity Securities. | |||||||||||
Summary of interest rate payment terms for deposits | ||||||||||||
Interest rate payment terms for deposits are summarized below (dollars in thousands): | ||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||
Amount | Weighted | Amount | Weighted | |||||||||
Outstanding | Average | Outstanding | Average | |||||||||
Interest Rate | Interest Rate | |||||||||||
Due in one year or less | ||||||||||||
Interest-bearing deposits (a) | $ | 1,591,312 | 0.03 | % | $ | 1,985,518 | 0.03 | % | ||||
Non-interest-bearing deposits | 15,855 | 13,401 | ||||||||||
Total deposits | $ | 1,607,167 | $ | 1,998,919 | ||||||||
(a) | Primarily adjustable rate | |||||||||||
Consolidated_Obligations_Table
Consolidated Obligations. (Tables) | 3 Months Ended | |||||||||||||||
Mar. 31, 2015 | ||||||||||||||||
Consolidated Obligations. | ||||||||||||||||
Schedule of qualifying unpledged asset requirements | ||||||||||||||||
The FHLBNY met the qualifying unpledged asset requirements as follows: | ||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||
Percentage of unpledged qualifying assets to consolidated obligations | 107 | % | 107 | % | ||||||||||||
Summary of consolidated obligations issued by FHLBNY and outstanding | ||||||||||||||||
The following table summarizes consolidated obligations issued by the FHLBNY and outstanding at March 31, 2015 and December 31, 2014 (in thousands): | ||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||
Consolidated obligation bonds-amortized cost | $ | 65,474,028 | $ | 73,020,550 | ||||||||||||
Hedge valuation basis adjustments (a) | 451,185 | 387,371 | ||||||||||||||
Hedge basis adjustments on terminated hedges (b) | 149,216 | 119,500 | ||||||||||||||
FVO (c) - valuation adjustments and accrued interest | 8,649 | 8,122 | ||||||||||||||
Total Consolidated obligation-bonds | $ | 66,083,078 | $ | 73,535,543 | ||||||||||||
Discount notes-amortized cost | $ | 44,914,010 | $ | 50,041,041 | ||||||||||||
FVO (c) - valuation adjustments and remaining accretion | 9,759 | 3,064 | ||||||||||||||
Total Consolidated obligation-discount notes | $ | 44,923,769 | $ | 50,044,105 | ||||||||||||
(a) | Hedge valuation basis adjustments represent changes in the fair values of fixed-rate bonds due to changes in LIBOR, which is the FHLBNY’s benchmark rate in a Fair value hedge. | |||||||||||||||
(b) | Hedge basis adjustments on terminated hedges represent the unamortized balances of valuation basis of fixed-rate bonds that were previously in a qualifying hedge relationship. The valuation basis at the time of hedge termination is amortized as a yield adjustment through Interest expense. | |||||||||||||||
(c) | Valuation adjustments represent changes in the full fair values of bonds and discount notes elected under the FVO. | |||||||||||||||
Summary of consolidated obligation bonds outstanding by year of maturity | ||||||||||||||||
The following is a summary of consolidated obligation bonds outstanding by year of maturity (dollars in thousands): | ||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||
Weighted | Weighted | |||||||||||||||
Average | Percentage | Average | Percentage | |||||||||||||
Maturity | Amount | Rate (a) | of Total | Amount | Rate (a) | of Total | ||||||||||
One year or less | $ | 35,535,625 | 0.41 | % | 54.3 | % | $ | 40,697,005 | 0.36 | % | 55.75 | % | ||||
Over one year through two years | 11,804,415 | 0.78 | 18.04 | 12,668,090 | 0.64 | 17.35 | ||||||||||
Over two years through three years | 7,400,930 | 1.4 | 11.31 | 8,179,800 | 1.27 | 11.21 | ||||||||||
Over three years through four years | 2,513,960 | 1.48 | 3.84 | 2,855,780 | 1.43 | 3.91 | ||||||||||
Over four years through five years | 2,602,600 | 1.55 | 3.97 | 2,482,500 | 1.53 | 3.4 | ||||||||||
Thereafter | 5,587,780 | 2.81 | 8.54 | 6,115,380 | 2.67 | 8.38 | ||||||||||
Total par value | 65,445,310 | 0.88 | % | 100 | % | 72,998,555 | 0.78 | % | 100 | % | ||||||
Bond premiums (b) | 54,180 | 49,537 | ||||||||||||||
Bond discounts (b) | (25,462 | ) | (27,542 | ) | ||||||||||||
Hedge valuation basis adjustments (c) | 451,185 | 387,371 | ||||||||||||||
Hedge basis adjustments on terminated hedges (d) | 149,216 | 119,500 | ||||||||||||||
FVO (e) - valuation adjustments and accrued interest | 8,649 | 8,122 | ||||||||||||||
Total Consolidated obligation-bonds | $ | 66,083,078 | $ | 73,535,543 | ||||||||||||
(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 $5.3 million and $10.0 million in the three months ended March 31, 2015 and the same period in 2014. | |||||||||||||||
(c) | Hedge valuation basis adjustments represent changes in the fair values of fixed-rate bonds due to changes in LIBOR, the benchmark rate for the FHLBNY in a Fair value hedge. | |||||||||||||||
(d) | Hedge basis adjustments on terminated hedges represent the unamortized balances of valuation basis of fixed-rate bonds that were previously in a hedging relationship. When the hedging relationship is de-designated, the valuation basis is no longer adjusted for changes in the valuation of the debt for changes in the benchmark rate; instead, the basis is amortized over the debt’s remaining life, so that at its maturity, the unamortized basis ($149.2 million loss at March 31, 2015) is reversed to $0. Amortization is recorded as a yield adjustment, which reduced Interest expenses by $1.3 million and $0.7 million in the 2015 first quarter and the prior year period. | |||||||||||||||
(e) | Valuation adjustments represent changes in the full fair values of bonds elected under the FVO. | |||||||||||||||
Summary of types of bonds issued and outstanding | ||||||||||||||||
The following summarizes types of bonds issued and outstanding (dollars in thousands): | ||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||
Amount | Percentage of | Amount | Percentage of | |||||||||||||
Total | Total | |||||||||||||||
Fixed-rate, non-callable | $ | 48,510,810 | 74.12 | % | $ | 53,659,055 | 73.51 | % | ||||||||
Fixed-rate, callable | 8,494,500 | 12.98 | 9,419,500 | 12.9 | ||||||||||||
Step Up, callable | 1,890,000 | 2.89 | 2,040,000 | 2.8 | ||||||||||||
Step Down, callable | 25,000 | 0.04 | 25,000 | 0.03 | ||||||||||||
Single-index floating rate | 6,525,000 | 9.97 | 7,855,000 | 10.76 | ||||||||||||
Total par value | 65,445,310 | 100 | % | 72,998,555 | 100 | % | ||||||||||
Bond premiums | 54,180 | 49,537 | ||||||||||||||
Bond discounts | (25,462 | ) | (27,542 | ) | ||||||||||||
Hedge valuation basis adjustments (a) | 451,185 | 387,371 | ||||||||||||||
Hedge basis adjustments on terminated hedges (b) | 149,216 | 119,500 | ||||||||||||||
FVO (c) - valuation adjustments and accrued interest | 8,649 | 8,122 | ||||||||||||||
Total Consolidated obligation-bonds | $ | 66,083,078 | $ | 73,535,543 | ||||||||||||
(a) | Hedge valuation basis adjustments represent changes in the fair values of fixed-rate bonds due to changes in LIBOR, which is the FHLBNY’s benchmark rate in a Fair value hedge. | |||||||||||||||
(b) | Hedge basis adjustments on terminated hedges represent the unamortized balances of valuation basis of fixed-rate bonds that were previously in a hedging relationship. | |||||||||||||||
(c) | Valuation adjustments represent changes in the full fair values of bonds elected under the FVO. | |||||||||||||||
Schedule of outstanding consolidated obligation-discount notes | ||||||||||||||||
The FHLBNY’s outstanding consolidated obligation — discount notes were as follows (dollars in thousands): | ||||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||||
Par value | $ | 44,937,674 | $ | 50,054,103 | ||||||||||||
Amortized cost | $ | 44,914,010 | $ | 50,041,041 | ||||||||||||
Fair value option valuation adjustments (a) | 9,759 | 3,064 | ||||||||||||||
Total discount notes | $ | 44,923,769 | $ | 50,044,105 | ||||||||||||
Weighted average interest rate | 0.11 | % | 0.08 | % | ||||||||||||
(a) | Valuation adjustments represent changes in the full fair values of discount notes elected under the FVO. | |||||||||||||||
Affordable_Housing_Program_Tab
Affordable Housing Program. (Tables) | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Affordable Housing Program. | ||||||||
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 March 31, | ||||||||
2015 | 2014 | |||||||
Beginning balance | $ | 113,544 | $ | 123,060 | ||||
Additions from current period’s assessments | 9,831 | 8,405 | ||||||
Net disbursements for grants and programs | (13,803 | ) | (7,199 | ) | ||||
Ending balance | $ | 109,572 | $ | 124,266 | ||||
Capital_Stock_Mandatorily_Rede1
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. (Tables) | 3 Months Ended | |||||||||||||
Mar. 31, 2015 | ||||||||||||||
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | ||||||||||||||
Summary of risk-based capital ratios | The following table summarizes the FHLBNY’s risk-based capital ratios (dollars in thousands): | |||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||
Required(d) | Actual | Required(d) | Actual | |||||||||||
Regulatory capital requirements: | ||||||||||||||
Risk-based capital (a) (e) | $ | 642,303 | $ | 6,238,254 | $ | 631,508 | $ | 6,682,045 | ||||||
Total capital-to-asset ratio | 4.00 | % | 5.23 | % | 4.00 | % | 5.03 | % | ||||||
Total capital (b) | $ | 4,775,163 | $ | 6,238,254 | $ | 5,313,015 | $ | 6,682,045 | ||||||
Leverage ratio | 5.00 | % | 7.84 | % | 5.00 | % | 7.55 | % | ||||||
Leverage capital (c) | $ | 5,968,953 | $ | 9,357,381 | $ | 6,641,268 | $ | 10,023,068 | ||||||
(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 and consistent with guidance provided by the banking regulators to maintain the risk weights at AAA 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): | ||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||
Redemption less than one year | $ | 93 | $ | 95 | ||||||||||
Redemption from one year to less than three years | 5,696 | 5,159 | ||||||||||||
Redemption from three years to less than five years | 11,025 | 11,567 | ||||||||||||
Redemption from five years or greater | 2,283 | 2,379 | ||||||||||||
Total | $ | 19,097 | $ | 19,200 | ||||||||||
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 March 31, | ||||||||||||||
2015 | 2014 | |||||||||||||
Beginning balance | $ | 19,200 | $ | 23,994 | ||||||||||
Capital stock subject to mandatory redemption reclassified from equity | 8,179 | — | ||||||||||||
Redemption of mandatorily redeemable capital stock (a) | (8,282 | ) | (79 | ) | ||||||||||
Ending balance | $ | 19,097 | $ | 23,915 | ||||||||||
Accrued interest payable (b) | $ | 229 | $ | 236 | ||||||||||
(a) | Redemption includes repayment of excess stock. | |||||||||||||
(b) | The annualized accrual rates were 4.60% for March 31, 2015 and 4.00% for March 31, 2014 on mandatorily redeemable capital stock. | |||||||||||||
Earnings_Per_Share_of_Capital_
Earnings Per Share of Capital. (Tables) | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Earnings Per Share of Capital. | ||||||||
Schedule of computation of earnings per share | ||||||||
The FHLBNY has no dilutive potential common shares or other common stock equivalents (dollars in thousands except per share amounts): | ||||||||
Three months ended March 31, | ||||||||
2015 | 2014 | |||||||
Net income | $ | 88,228 | $ | 75,359 | ||||
Net income available to stockholders | $ | 88,228 | $ | 75,359 | ||||
Weighted average shares of capital | 55,357 | 55,182 | ||||||
Less: Mandatorily redeemable capital stock | (199 | ) | (240 | ) | ||||
Average number of shares of capital used to calculate earnings per share | 55,158 | 54,942 | ||||||
Basic earnings per share | $ | 1.6 | $ | 1.37 | ||||
Employee_Retirement_Plans_Tabl
Employee Retirement Plans. (Tables) | 3 Months Ended | |||||||
Mar. 31, 2015 | ||||||||
Employee retirement plans | ||||||||
Schedule of employee retirement plan expenses | ||||||||
The following table presents employee retirement plan expenses for the periods ended (in thousands): | ||||||||
Three months ended March 31, | ||||||||
2015 | 2014 | |||||||
Defined Benefit Plan | $ | 1,888 | $ | 242 | ||||
Benefit Equalization Plan (defined benefit) | 1,187 | 872 | ||||||
Defined Contribution Plan | 446 | 401 | ||||||
Postretirement Health Benefit Plan | 39 | 519 | ||||||
Total retirement plan expenses | $ | 3,560 | $ | 2,034 | ||||
Benefit Equalization Plan (defined benefit) | ||||||||
Employee retirement plans | ||||||||
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 March 31, | ||||||||
2015 | 2014 | |||||||
Service cost | $ | 185 | $ | 177 | ||||
Interest cost | 447 | 401 | ||||||
Amortization of unrecognized net loss/(gain) | 568 | 307 | ||||||
Amortization of unrecognized past service liability | (13 | ) | (13 | ) | ||||
Net periodic benefit cost | $ | 1,187 | $ | 872 | ||||
Postretirement Health Benefit Plan | ||||||||
Employee retirement plans | ||||||||
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 March 31, | ||||||||
2015 | 2014 | |||||||
Service cost (benefits attributed to service during the period) | $ | 81 | $ | 218 | ||||
Interest cost on accumulated postretirement health benefit obligation | 139 | 248 | ||||||
Amortization of loss/(gain) | 259 | 53 | ||||||
Amortization of prior service (credit)/cost | (440 | ) | — | |||||
Net periodic postretirement health benefit cost (a) | $ | 39 | $ | 519 | ||||
(a) | The net periodic benefit cost declined in the 2015 period as a result of negative plan amendments (as defined in Accounting Standards Codification ASC 715-60-55) in the first quarter of 2014 that reduced plan obligations by $8.8 million at March 31, 2014; gain is being amortized over an actuarially determined period, effectively reducing net periodic benefit cost. | |||||||
Schedule of key assumptions and other information for actuarial calculations to determine benefit obligation | ||||||||
March 31, 2015 | December 31, 2014 | |||||||
Weighted average discount rate | 3.65 | % | 3.65 | % | ||||
Health care cost trend rates: | ||||||||
Assumed for next year | ||||||||
Pre 65 | 7.75 | % | 7.75 | % | ||||
Post 65 | 7.25 | % | 7.25 | % | ||||
Pre 65 Ultimate rate | 5.00 | % | 5.00 | % | ||||
Pre 65 Year that ultimate rate is reached | 2022 | 2022 | ||||||
Post 65 Ultimate rate | 5.00 | % | 5.00 | % | ||||
Post 65 Year that ultimate rate is reached | 2022 | 2022 | ||||||
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 in each of the period. | |||||||
Derivatives_and_Hedging_Activi1
Derivatives and Hedging Activities. (Tables) | 3 Months Ended | |||||||||||||
Mar. 31, 2015 | ||||||||||||||
Derivatives and Hedging Activities. | ||||||||||||||
Schedule of gross and net derivatives receivables by contract type and amount for those derivatives contracts for which netting is permissible under U.S. GAAP | 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): | |||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||
Derivative | Derivative | Derivative | Derivative | |||||||||||
Assets | Liabilities | Assets | Liabilities | |||||||||||
Derivative instruments -Nettable | ||||||||||||||
Gross recognized amount | ||||||||||||||
Bilateral derivatives | $ | 291,001 | $ | 1,769,957 | $ | 334,655 | $ | 1,738,894 | ||||||
Cleared derivatives | 294,148 | 182,420 | 267,317 | 154,591 | ||||||||||
Total gross recognized amount | 585,149 | 1,952,377 | 601,972 | 1,893,485 | ||||||||||
Gross amounts of netting adjustments and cash collateral | ||||||||||||||
Bilateral derivatives | (282,194 | ) | (1,432,253 | ) | (324,553 | ) | (1,393,661 | ) | ||||||
Cleared derivatives | (264,617 | ) | (182,420 | ) | (238,349 | ) | (154,591 | ) | ||||||
Total gross amounts of netting adjustments and cash collateral | (546,811 | ) | (1,614,673 | ) | (562,902 | ) | (1,548,252 | ) | ||||||
Net amounts after offsetting adjustments | ||||||||||||||
Bilateral derivatives | 8,807 | 337,704 | 10,102 | 345,233 | ||||||||||
Cleared derivatives | 29,531 | — | 28,968 | — | ||||||||||
Total net amounts after offsetting adjustments | 38,338 | 337,704 | 39,070 | 345,233 | ||||||||||
Derivative instruments -Not Nettable | ||||||||||||||
Delivery commitments (a) | 85 | 5 | 53 | 9 | ||||||||||
Total derivative assets and total derivative liabilities presented in the Statements of Condition | $ | 38,423 | $ | 337,709 | $ | 39,123 | $ | 345,242 | ||||||
Non-cash collateral received or pledged not offset (c) | ||||||||||||||
Cannot be sold or repledged | ||||||||||||||
Bilateral derivatives | $ | 1,025 | $ | — | $ | 1,096 | $ | — | ||||||
Delivery commitments (a) | 85 | — | 53 | — | ||||||||||
Total cannot be sold or repledged | 1,110 | — | 1,149 | — | ||||||||||
Net unsecured amount | ||||||||||||||
Bilateral derivatives | 7,782 | 337,709 | 9,006 | 345,242 | ||||||||||
Cleared derivatives | 29,531 | — | 28,968 | — | ||||||||||
Total Net unsecured amount (b) | $ | 37,313 | $ | 337,709 | $ | 37,974 | $ | 345,242 | ||||||
(a) | Derivative instruments without legal right of offset were synthetic derivatives representing forward mortgage delivery commitments of 45 days or less. Amounts were not material, and it was operationally not practical to separate receivable from payables, and net presentation was adopted. No cash collateral was involved with the mortgage delivery commitments accounted as derivatives. | |||||||||||||
(b) | Unsecured amounts represent Derivative assets and liabilities recorded in the Statements of Condition at March 31, 2015 and December 31, 2014. The amounts primarily represent (1) the aggregate credit support thresholds that were waived under ISDA Credit Support and Master netting agreements between the FHLBNY and derivative counterparties for uncleared derivative contracts, and (2) Initial margins posted by the FHLBNY to DCO on cleared derivative transactions. | |||||||||||||
(c) | Non-Cash collateral received or pledged not offset — Amounts represent exposure arising from derivative positions with member counterparties where we acted as an intermediary, and a small amount of delivery commitments (see footnote a). Amounts are collateralized by pledged non-cash collateral, primarily 1-4 family housing collateral. | |||||||||||||
Schedule of outstanding notional balances and estimated fair values of derivatives outstanding | ||||||||||||||
The following tables represented outstanding notional balances and estimated fair values of the derivatives outstanding at March 31, 2015 and December 31, 2014 (in thousands): | ||||||||||||||
March 31, 2015 | ||||||||||||||
Notional Amount | Derivative Assets | Derivative | ||||||||||||
of Derivatives | Liabilities | |||||||||||||
Fair value of derivative instruments (a) | ||||||||||||||
Derivatives designated in hedging relationships | ||||||||||||||
Interest rate swaps-fair value hedges | $ | 76,999,381 | $ | 561,451 | $ | 1,844,252 | ||||||||
Interest rate swaps-cash flow hedges | 1,256,000 | 339 | 101,974 | |||||||||||
Total derivatives in hedging instruments | 78,255,381 | 561,790 | 1,946,226 | |||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||
Interest rate swaps | 29,466,531 | 16,245 | 5,093 | |||||||||||
Interest rate caps or floors | 2,698,000 | 5,956 | — | |||||||||||
Mortgage delivery commitments | 23,868 | 85 | 5 | |||||||||||
Other (b) | 262,000 | 1,158 | 1,058 | |||||||||||
Total derivatives not designated as hedging instruments | 32,450,399 | 23,444 | 6,156 | |||||||||||
Total derivatives before netting and collateral adjustments | $ | 110,705,780 | 585,234 | 1,952,382 | ||||||||||
Netting adjustments and cash collateral (c) | (546,811 | ) | (1,614,673 | ) | ||||||||||
Net after cash collateral reported on the Statements of Condition | $ | 38,423 | $ | 337,709 | ||||||||||
December 31, 2014 | ||||||||||||||
Notional Amount | Derivative Assets | Derivative | ||||||||||||
of Derivatives | Liabilities | |||||||||||||
Fair value of derivative instruments (a) | ||||||||||||||
Derivatives designated in hedging relationships | ||||||||||||||
Interest rate swaps-fair value hedges | $ | 78,680,077 | $ | 578,275 | $ | 1,803,325 | ||||||||
Interest rate swaps-cash flow hedges | 1,333,600 | 2,176 | 83,142 | |||||||||||
Total derivatives in hedging instruments | 80,013,677 | 580,451 | 1,886,467 | |||||||||||
Derivatives not designated as hedging instruments | ||||||||||||||
Interest rate swaps | 28,099,243 | 12,530 | 5,733 | |||||||||||
Interest rate caps or floors | 2,698,000 | 7,624 | — | |||||||||||
Mortgage delivery commitments | 15,536 | 53 | 9 | |||||||||||
Other (b) | 220,000 | 1,367 | 1,285 | |||||||||||
Total derivatives not designated as hedging instruments | 31,032,779 | 21,574 | 7,027 | |||||||||||
Total derivatives before netting and collateral adjustments | $ | 111,046,456 | 602,025 | 1,893,494 | ||||||||||
Netting adjustments and cash collateral (c) | (562,902 | ) | (1,548,252 | ) | ||||||||||
Net after cash collateral reported on the Statements of Condition | $ | 39,123 | $ | 345,242 | ||||||||||
(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. | |||||||||||||
(b) | Other category comprised of swaps intermediated for member, and notional amounts represent purchases from dealers and sales to members. | |||||||||||||
(c) | Includes cash collateral and related accrued interest posted by counterparties of $93.7 million and $143.2 million at March 31, 2015 and December 31, 2014 and cash collateral posted by the FHLBNY of $1.2 billion and $1.1 billion at those dates. | |||||||||||||
Summary of components of net gains/ (losses) on Derivatives and hedging activities as presented in 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 March 31, 2015 | ||||||||||||||
Gains (Losses) | Gains (Losses) | Earnings | Effect of | |||||||||||
on Derivative | on Hedged Item | Impact | Derivatives on Net | |||||||||||
Interest Income | ||||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||
Interest rate swaps | ||||||||||||||
Advances | $ | (120,546 | ) | $ | 119,486 | $ | (1,060 | ) | $ | (237,210 | ) | |||
Consolidated obligations-bonds | 95,126 | (94,699 | ) | 427 | 62,661 | |||||||||
Net (losses) gains related to fair value hedges | (25,420 | ) | 24,787 | (633 | ) | $ | (174,549 | ) | ||||||
Cash flow hedges | (265 | ) | (265 | ) | $ | (8,624 | ) | |||||||
Derivatives not designated as hedging instruments | ||||||||||||||
Interest rate swaps (a) | 986 | 986 | ||||||||||||
Caps or floors | (1,642 | ) | (1,642 | ) | ||||||||||
Mortgage delivery commitments | (93 | ) | (93 | ) | ||||||||||
Swaps economically hedging instruments designated under FVO | 3,053 | 3,053 | ||||||||||||
Accrued interest-swaps (a) | 4,693 | 4,693 | ||||||||||||
Net gains related to derivatives not designated as hedging instruments | 6,997 | 6,997 | ||||||||||||
Net (losses) gains on derivatives and hedging activities | $ | (18,688 | ) | $ | 24,787 | $ | 6,099 | |||||||
Three months ended March 31, 2014 | ||||||||||||||
Gains (Losses) | Gains (Losses) | Earnings | Effect of | |||||||||||
on Derivative | on Hedged Item | Impact | Derivatives on Net | |||||||||||
Interest Income | ||||||||||||||
Derivatives designated as hedging instruments | ||||||||||||||
Interest rate swaps | ||||||||||||||
Advances | $ | 111,825 | $ | (111,192 | ) | $ | 633 | $ | (252,423 | ) | ||||
Consolidated obligations-bonds | 64,254 | (62,940 | ) | 1,314 | 58,608 | |||||||||
Net gains (losses) related to fair value hedges | 176,079 | (174,132 | ) | 1,947 | $ | (193,815 | ) | |||||||
Cash flow hedges | — | — | $ | (8,648 | ) | |||||||||
Derivatives not designated as hedging instruments | ||||||||||||||
Interest rate swaps (a) | (380 | ) | (380 | ) | ||||||||||
Caps or floors | (8,246 | ) | (8,246 | ) | ||||||||||
Mortgage delivery commitments | 110 | 110 | ||||||||||||
Swaps economically hedging instruments designated under FVO | 792 | 792 | ||||||||||||
Accrued interest-swaps (a) | 3,655 | 3,655 | ||||||||||||
Net losses related to derivatives not designated as hedging instruments | (4,069 | ) | (4,069 | ) | ||||||||||
Net gains (losses) on derivatives and hedging activities | $ | 172,010 | $ | (174,132 | ) | $ | (2,122 | ) | ||||||
(a) | Derivative gains and losses from interest rate swaps that did not qualify as hedges under accounting rules were designated as economic hedges. Gains and losses include interest expenses and income associated with the interest rate swap. | |||||||||||||
Schedule of effect of interest rate swaps in cash flow hedging relationships | ||||||||||||||
The effect of interest rate swaps in cash flow hedging relationships was as follows (in thousands): | ||||||||||||||
Three months ended March 31, 2015 | ||||||||||||||
AOCI | ||||||||||||||
Gains/(Losses) | ||||||||||||||
Recognized in | Location: | Amount | Ineffectiveness | |||||||||||
AOCI (c)(d) | Reclassified to | Reclassified to | Recognized in | |||||||||||
Earnings (c) | Earnings (c) | Earnings | ||||||||||||
Consolidated obligations-bonds (a) | $ | (1,237 | ) | Interest Expense | $ | 505 | $ | (265 | ) | |||||
Consolidated obligations-discount notes (b) | (20,858 | ) | Interest Expense | — | — | |||||||||
$ | (22,095 | ) | $ | 505 | $ | (265 | ) | |||||||
Three months ended March 31, 2014 | ||||||||||||||
AOCI | ||||||||||||||
Gains/(Losses) | ||||||||||||||
Recognized in | Location: | Amount | Ineffectiveness | |||||||||||
AOCI(c)(d) | Reclassified to | Reclassified to | Recognized in | |||||||||||
Earnings(c) | Earnings(c) | Earnings | ||||||||||||
Consolidated obligations-bonds (a) | $ | — | Interest Expense | $ | 736 | $ | — | |||||||
Consolidated obligations-discount notes (b) | (20,308 | ) | Interest Expense | — | — | |||||||||
$ | (20,308 | ) | $ | 736 | $ | — | ||||||||
(a) | Hedges of anticipated issuance of debt - The maximum period of time that the FHLBNY typically hedges its exposure to the variability in future cash flows for forecasted transactions in this program is between three and nine months. There were no open swap contracts at March 31, 2015. There were $77.6 million in notional amounts at December 31, 2014, and the fair value recorded in AOCI was an unrealized loss of $0.2 million. The amounts in AOCI from closed cash flow hedges under this strategy were net unrecognized losses of $6.6 million and $5.7 million at March 31, 2015 and December 31, 2014. It is expected that over the next 12 months, $2.1 million of the unrecognized loss in AOCI will be recognized as a yield adjustment (expense) to debt interest expense. | |||||||||||||
(b) | Hedges of discount notes in rolling issuances — Open swap contracts under this strategy were $1.3 billion in notional amounts at March 31, 2015 and December 31, 2014, and the fair values recorded in AOCI were net unrealized losses of $101.6 million and $80.8 million at those dates. The cash flow hedges mitigated exposure to the variability in future cash flows for a maximum period of 14 years at March 31, 2015. Long-term swap rates at March 31, 2015 decline relative to March 31, 2014, causing fair values of the swap contracts to lose value, and additional $22.1 million and $20.3 million were recorded in AOCI. The FHLBNY’s cash payments to swap counterparties are fixed, and in return the FHLBNY receives LIBOR-indexed floating rate cash flows; in a declining rate environment, the amount of forecasted cash flows that the FHLBNY would potentially receive grows smaller, effectively increasing 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) | 3 Months Ended | |||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||
Fair Values of Financial Instruments. | ||||||||||||||||||||
Schedule of carrying values, estimated fair values and levels within 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): | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Netting | ||||||||||||||||||||
Estimated Fair Value | Adjustment and | |||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 (a) | Cash Collateral | ||||||||||||||
Assets | ||||||||||||||||||||
Cash and due from banks | $ | 204,119 | $ | 204,119 | $ | 204,119 | $ | — | $ | — | $ | — | ||||||||
Securities purchased under agreements to resell | 6,000,000 | 5,999,993 | — | 5,999,993 | — | — | ||||||||||||||
Federal funds sold | 7,697,000 | 7,696,987 | — | 7,696,987 | — | — | ||||||||||||||
Available-for-sale securities | 1,173,333 | 1,173,333 | 22,216 | 1,151,117 | — | — | ||||||||||||||
Held-to-maturity securities | 13,248,810 | 13,588,452 | — | 12,432,021 | 1,156,431 | — | ||||||||||||||
Advances | 88,523,609 | 88,568,162 | — | 88,568,162 | — | — | ||||||||||||||
Mortgage loans held-for-portfolio, net | 2,298,524 | 2,362,152 | — | 2,362,152 | — | — | ||||||||||||||
Accrued interest receivable | 169,571 | 169,571 | — | 169,571 | — | — | ||||||||||||||
Derivative assets | 38,423 | 38,423 | — | 585,234 | — | (546,811 | ) | |||||||||||||
Other financial assets | 2,998 | 2,998 | — | — | 2,998 | — | ||||||||||||||
Liabilities | ||||||||||||||||||||
Deposits | 1,607,167 | 1,607,171 | — | 1,607,171 | — | — | ||||||||||||||
Consolidated obligations | ||||||||||||||||||||
Bonds | 66,083,078 | 66,088,961 | — | 66,088,961 | — | — | ||||||||||||||
Discount notes | 44,923,769 | 44,922,732 | — | 44,922,732 | — | — | ||||||||||||||
Mandatorily redeemable capital stock | 19,097 | 19,097 | 19,097 | — | — | — | ||||||||||||||
Accrued interest payable | 119,257 | 119,257 | — | 119,257 | — | — | ||||||||||||||
Derivative liabilities | 337,709 | 337,709 | — | 1,952,382 | — | (1,614,673 | ) | |||||||||||||
Other financial liabilities | 35,802 | 35,802 | 35,802 | — | — | — | ||||||||||||||
December 31, 2014 | ||||||||||||||||||||
Netting | ||||||||||||||||||||
Estimated Fair Value | Adjustment and | |||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 (a) | Cash Collateral | ||||||||||||||
Assets | ||||||||||||||||||||
Cash and due from banks | $ | 6,458,943 | $ | 6,458,943 | $ | 6,458,943 | $ | — | $ | — | $ | — | ||||||||
Securities purchased under agreements to resell | 800,000 | 799,998 | — | 799,998 | — | — | ||||||||||||||
Federal funds sold | 10,018,000 | 10,017,965 | — | 10,017,965 | — | — | ||||||||||||||
Available-for-sale securities | 1,234,427 | 1,234,427 | 17,947 | 1,216,480 | — | — | ||||||||||||||
Held-to-maturity securities | 13,148,179 | 13,416,183 | — | 12,241,378 | 1,174,805 | — | ||||||||||||||
Advances | 98,797,497 | 98,828,195 | — | 98,828,195 | — | — | ||||||||||||||
Mortgage loans held-for-portfolio, net | 2,129,239 | 2,182,755 | — | 2,182,755 | — | — | ||||||||||||||
Accrued interest receivable | 172,003 | 172,003 | — | 172,003 | — | — | ||||||||||||||
Derivative assets | 39,123 | 39,123 | — | 602,025 | — | (562,902 | ) | |||||||||||||
Other financial assets | 1,980 | 1,980 | — | — | 1,980 | — | ||||||||||||||
Liabilities | ||||||||||||||||||||
Deposits | 1,998,919 | 1,998,923 | — | 1,998,923 | — | — | ||||||||||||||
Consolidated obligations | ||||||||||||||||||||
Bonds | 73,535,543 | 73,445,340 | — | 73,445,340 | — | — | ||||||||||||||
Discount notes | 50,044,105 | 50,043,107 | — | 50,043,107 | — | — | ||||||||||||||
Mandatorily redeemable capital stock | 19,200 | 19,200 | 19,200 | — | — | — | ||||||||||||||
Accrued interest payable | 120,524 | 120,524 | — | 120,524 | — | — | ||||||||||||||
Derivative liabilities | 345,242 | 345,242 | — | 1,893,494 | — | (1,548,252 | ) | |||||||||||||
Other financial liabilities | 38,443 | 38,443 | 38,443 | — | — | — | ||||||||||||||
(a) | Level 3 Instruments — The fair values of non-Agency private-label MBS and housing finance agency bonds were estimated by management based on pricing services. Valuations may have required pricing services to use significant inputs that were subjective because of the current lack of significant market activity so that the inputs may not be market based and observable. | |||||||||||||||||||
Schedule of fair value of assets and liabilities recorded at fair value on a recurring basis, by level within the fair value hierarchy | ||||||||||||||||||||
Items Measured at Fair Value on a Recurring Basis (in thousands) | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Netting | ||||||||||||||||
Adjustment and | ||||||||||||||||||||
Cash Collateral | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||
GSE/U.S. agency issued MBS | $ | 1,151,117 | $ | — | $ | 1,151,117 | $ | — | $ | — | ||||||||||
Equity and bond funds | 22,216 | 22,216 | — | — | — | |||||||||||||||
Advances (to the extent FVO is elected) | 6,505,141 | — | 6,505,141 | — | — | |||||||||||||||
Derivative assets (a) | ||||||||||||||||||||
Interest-rate derivatives | 38,338 | — | 585,149 | — | (546,811 | ) | ||||||||||||||
Mortgage delivery commitments | 85 | — | 85 | — | — | |||||||||||||||
Total recurring fair value measurement - assets | $ | 7,716,897 | $ | 22,216 | $ | 8,241,492 | $ | — | $ | (546,811 | ) | |||||||||
Liabilities | ||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||
Discount notes (to the extent FVO is elected) | $ | (13,121,826 | ) | $ | — | $ | (13,121,826 | ) | $ | — | $ | — | ||||||||
Bonds (to the extent FVO is elected) (b) | (15,672,379 | ) | — | (15,672,379 | ) | — | — | |||||||||||||
Derivative liabilities (a) | ||||||||||||||||||||
Interest-rate derivatives | (337,704 | ) | — | (1,952,377 | ) | — | 1,614,673 | |||||||||||||
Mortgage delivery commitments | (5 | ) | — | (5 | ) | — | — | |||||||||||||
Total recurring fair value measurement - liabilities | $ | (29,131,914 | ) | $ | — | $ | (30,746,587 | ) | $ | — | $ | 1,614,673 | ||||||||
December 31, 2014 | ||||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Netting | ||||||||||||||||
Adjustment and | ||||||||||||||||||||
Cash Collateral | ||||||||||||||||||||
Assets | ||||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||
GSE/U.S. agency issued MBS | $ | 1,216,480 | $ | — | $ | 1,216,480 | $ | — | $ | — | ||||||||||
Equity and bond funds | 17,947 | 17,947 | — | — | — | |||||||||||||||
Advances (to the extent FVO is elected) | 15,655,403 | — | 15,655,403 | — | — | |||||||||||||||
Derivative assets (a) | ||||||||||||||||||||
Interest-rate derivatives | 39,070 | — | 601,972 | — | (562,902 | ) | ||||||||||||||
Mortgage delivery commitments | 53 | — | 53 | — | — | |||||||||||||||
Total recurring fair value measurement - assets | $ | 16,928,953 | $ | 17,947 | $ | 17,473,908 | $ | — | $ | (562,902 | ) | |||||||||
Liabilities | ||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||
Discount notes (to the extent FVO is elected) | $ | (7,890,027 | ) | $ | — | $ | (7,890,027 | ) | $ | — | $ | — | ||||||||
Bonds (to the extent FVO is elected) (b) | (19,523,202 | ) | — | (19,523,202 | ) | — | — | |||||||||||||
Derivative liabilities (a) | ||||||||||||||||||||
Interest-rate derivatives | (345,233 | ) | — | (1,893,485 | ) | — | 1,548,252 | |||||||||||||
Mortgage delivery commitments | (9 | ) | — | (9 | ) | — | — | |||||||||||||
Total recurring fair value measurement - liabilities | $ | (27,758,471 | ) | $ | — | $ | (29,306,723 | ) | $ | — | $ | 1,548,252 | ||||||||
(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. | |||||||||||||||||||
Summary of activity related to financial instruments for which fair value option elected | ||||||||||||||||||||
The following tables summarize the activity related to financial instruments for which the FHLBNY elected the fair value option (in thousands): | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Advances | Consolidated | Consolidated | ||||||||||||||||||
Bonds | Discount Notes | |||||||||||||||||||
Balance, beginning of the period | $ | 15,655,403 | $ | (19,523,202 | ) | $ | (7,890,027 | ) | ||||||||||||
New transactions elected for fair value option | 2,600,000 | (2,948,650 | ) | (8,123,647 | ) | |||||||||||||||
Maturities and terminations | (11,751,015 | ) | 6,800,000 | 2,898,543 | ||||||||||||||||
Net gains (losses) on financial instruments held under fair value option | 4,367 | (4,439 | ) | (3,018 | ) | |||||||||||||||
Change in accrued interest/unaccreted balance | (3,614 | ) | 3,912 | (3,677 | ) | |||||||||||||||
Balance, end of the period | $ | 6,505,141 | $ | (15,672,379 | ) | $ | (13,121,826 | ) | ||||||||||||
December 31, 2014 | ||||||||||||||||||||
Advances | Consolidated | Consolidated | ||||||||||||||||||
Bonds | Discount Notes | |||||||||||||||||||
Balance, beginning of the period | $ | 19,205,399 | $ | (22,868,401 | ) | $ | (4,260,635 | ) | ||||||||||||
New transactions elected for fair value option | 15,900,000 | (21,865,080 | ) | (12,384,875 | ) | |||||||||||||||
Maturities and terminations | (19,450,000 | ) | 25,210,000 | 8,756,808 | ||||||||||||||||
Net (losses) gains on financial instruments held under fair value option | (555 | ) | 2,212 | 935 | ||||||||||||||||
Change in accrued interest/unaccreted balance | 559 | (1,933 | ) | (2,260 | ) | |||||||||||||||
Balance, end of the period | $ | 15,655,403 | $ | (19,523,202 | ) | $ | (7,890,027 | ) | ||||||||||||
March 31, 2014 | ||||||||||||||||||||
Advances | Consolidated | Consolidated | ||||||||||||||||||
Bonds | Discount Notes | |||||||||||||||||||
Balance, beginning of the period | $ | 19,205,399 | $ | (22,868,401 | ) | $ | (4,260,635 | ) | ||||||||||||
New transactions elected for fair value option | 5,450,000 | (5,400,000 | ) | (2,698,657 | ) | |||||||||||||||
Maturities and terminations | (5,450,000 | ) | 8,300,000 | — | ||||||||||||||||
Net gains (losses) on financial instruments held under fair value option | 1,887 | (940 | ) | (142 | ) | |||||||||||||||
Change in accrued interest/unaccreted balance | (161 | ) | 20 | (1,809 | ) | |||||||||||||||
Balance, end of the period | $ | 19,207,125 | $ | (19,969,321 | ) | $ | (6,961,243 | ) | ||||||||||||
Schedule of change in fair value included in Statements of Income for financial instruments for which 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 | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Interest Income | Net Gains Due | Total Change in Fair | ||||||||||||||||||
to Changes in | Value Included in | |||||||||||||||||||
Fair Value | Current Period | |||||||||||||||||||
Earnings | ||||||||||||||||||||
Advances | $ | 14,981 | $ | 4,367 | $ | 19,348 | ||||||||||||||
Three months ended | ||||||||||||||||||||
March 31, 2014 | ||||||||||||||||||||
Interest Income | Net Gains Due | Total Change in Fair | ||||||||||||||||||
to Changes in | Value Included in | |||||||||||||||||||
Fair Value | Current Period | |||||||||||||||||||
Earnings | ||||||||||||||||||||
Advances | $ | 19,372 | $ | 1,887 | $ | 21,259 | ||||||||||||||
Three months ended | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Interest Expense | Net Losses Due | Total Change in Fair | ||||||||||||||||||
to Changes in | Value Included in | |||||||||||||||||||
Fair Value | Current Period | |||||||||||||||||||
Earnings | ||||||||||||||||||||
Consolidated obligations-bonds | $ | (8,724 | ) | $ | (4,439 | ) | $ | (13,163 | ) | |||||||||||
Consolidated obligations-discount notes | (5,132 | ) | (3,018 | ) | (8,150 | ) | ||||||||||||||
$ | (13,856 | ) | $ | (7,457 | ) | $ | (21,313 | ) | ||||||||||||
Three months ended | ||||||||||||||||||||
March 31, 2014 | ||||||||||||||||||||
Interest Expense | Net Losses Due | Total Change in Fair | ||||||||||||||||||
to Changes in | Value Included in | |||||||||||||||||||
Fair Value | Current Period | |||||||||||||||||||
Earnings | ||||||||||||||||||||
Consolidated obligations-bonds | $ | (8,621 | ) | $ | (940 | ) | $ | (9,561 | ) | |||||||||||
Consolidated obligations-discount notes | (1,812 | ) | (142 | ) | (1,954 | ) | ||||||||||||||
$ | (10,433 | ) | $ | (1,082 | ) | $ | (11,515 | ) | ||||||||||||
Schedule of comparison of aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which fair value option has been elected | ||||||||||||||||||||
The following tables compare the aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected (in thousands): | ||||||||||||||||||||
March 31, 2015 | ||||||||||||||||||||
Aggregate | Aggregate Fair | Fair Value | ||||||||||||||||||
Unpaid Principal | Value | Over/(Under) | ||||||||||||||||||
Balance | Aggregate Unpaid | |||||||||||||||||||
Principal Balance | ||||||||||||||||||||
Advances (a) | $ | 6,500,000 | $ | 6,505,141 | $ | 5,141 | ||||||||||||||
Consolidated obligations-bonds (b) | $ | 15,663,730 | $ | 15,672,379 | $ | 8,649 | ||||||||||||||
Consolidated obligations-discount notes (c) | 13,112,067 | 13,121,826 | 9,759 | |||||||||||||||||
$ | 28,775,797 | $ | 28,794,205 | $ | 18,408 | |||||||||||||||
December 31, 2014 | ||||||||||||||||||||
Aggregate | Aggregate Fair | Fair Value | ||||||||||||||||||
Unpaid Principal | Value | Over/(Under) | ||||||||||||||||||
Balance | Aggregate Unpaid | |||||||||||||||||||
Principal Balance | ||||||||||||||||||||
Advances (a) | $ | 15,650,000 | $ | 15,655,403 | $ | 5,403 | ||||||||||||||
Consolidated obligations-bonds (b) | $ | 19,515,080 | $ | 19,523,202 | $ | 8,122 | ||||||||||||||
Consolidated obligations-discount notes (c) | 7,886,963 | 7,890,027 | 3,064 | |||||||||||||||||
$ | 27,402,043 | $ | 27,413,229 | $ | 11,186 | |||||||||||||||
March 31, 2014 | ||||||||||||||||||||
Aggregate | Aggregate Fair | Fair Value | ||||||||||||||||||
Unpaid Principal | Value | Over/(Under) | ||||||||||||||||||
Balance | Aggregate Unpaid | |||||||||||||||||||
Principal Balance | ||||||||||||||||||||
Advances (a) | $ | 19,200,000 | $ | 19,207,125 | $ | 7,125 | ||||||||||||||
Consolidated obligations-bonds (b) | $ | 19,960,000 | $ | 19,969,321 | $ | 9,321 | ||||||||||||||
Consolidated obligations-discount notes (c) | 6,957,553 | 6,961,243 | 3,690 | |||||||||||||||||
$ | 26,917,553 | $ | 26,930,564 | $ | 13,011 | |||||||||||||||
(a) | Advance — The FHLBNY has elected the FVO for certain short- and intermediate term floating-rate advances. The elections were made primarily as a natural fair value offset to debt elected under the FVO. | |||||||||||||||||||
(b) | The FHLBNY Bank has elected the FVO for short-term callable bonds because management was not able to assert with confidence that the debt would qualify for hedge accounting, as such short-term debt, specifically with call options may not remain highly effective hedges through the maturity of the bonds. | |||||||||||||||||||
(c) | Discount notes were elected under the FVO because management was not able to assert with confidence that the debt would qualify for hedge accounting as the short-term discount note debt may not remain highly effective hedges through maturity. | |||||||||||||||||||
Commitments_and_Contingencies_
Commitments and Contingencies. (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Commitments and Contingencies. | |||||||||||||||||
Summary of contractual obligations and contingencies | |||||||||||||||||
The following table summarizes contractual obligations and contingencies as of March 31, 2015 (in thousands): | |||||||||||||||||
March 31, 2015 | |||||||||||||||||
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) | $ | 35,535,625 | $ | 19,205,345 | $ | 5,116,560 | $ | 5,587,780 | $ | 65,445,310 | |||||||
Long-term debt obligations-interest payments (a) | 144,318 | 195,870 | 77,538 | 156,854 | 574,580 | ||||||||||||
Mandatorily redeemable capital stock (a) | 93 | 5,696 | 11,025 | 2,283 | 19,097 | ||||||||||||
Other liabilities (b) | 54,257 | 6,629 | 5,505 | 50,937 | 117,328 | ||||||||||||
Total contractual obligations | 35,734,293 | 19,413,540 | 5,210,628 | 5,797,854 | 66,156,315 | ||||||||||||
Other commitments | |||||||||||||||||
Standby letters of credit | 9,337,018 | 28,789 | 17,309 | — | 9,383,116 | ||||||||||||
Consolidated obligations-bonds/discount notes traded not settled | 184,620 | — | — | — | 184,620 | ||||||||||||
Commitments to fund additional advances | 44,759 | — | — | — | 44,759 | ||||||||||||
Open delivery commitments (MPF) | 23,868 | — | — | — | 23,868 | ||||||||||||
Total other commitments | 9,590,265 | 28,789 | 17,309 | — | 9,636,363 | ||||||||||||
Total obligations and commitments | $ | 45,324,558 | $ | 19,442,329 | $ | 5,227,937 | $ | 5,797,854 | $ | 75,792,678 | |||||||
(a) | Contractual obligations related to interest payments on long-term debt are calculated by applying the weighted average interest rate on the outstanding long-term debt at March 31, 2015 to the contractual payment obligations on long-term debt for each forecasted period disclosed in the table. The FHLBNY’s overall weighted average contractual interest rate for long-term debt was 0.88% at March 31, 2015. Callable bonds contain an exercise date or a series of exercise dates that may result in a shorter redemption period. Redemption dates of mandatorily redeemable capital stock are assumed to correspond to maturity dates of member advances. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock. | ||||||||||||||||
(b) | Includes accounts payable and accrued expenses, Pass-through reserves at the FRB on behalf of certain members of the FHLBNY recorded in Other liabilities. Also includes projected payment obligations for pension plans. For more information about these employee retirement plans, see Note 14. Employee Retirement Plans. | ||||||||||||||||
Related_Party_Transactions_Tab
Related Party Transactions. (Tables) | 3 Months Ended | |||||||||||||
Mar. 31, 2015 | ||||||||||||||
Related Party Transactions. | ||||||||||||||
Summary of outstanding balances with related parties | ||||||||||||||
The following tables summarize outstanding balances with related parties at March 31, 2015 and December 31, 2014, and transactions for the three months ended March 31, 2015 and March 31, 2014 (in thousands): | ||||||||||||||
Related Party: Outstanding Assets, Liabilities and Capital | ||||||||||||||
March 31, 2015 | December 31, 2014 | |||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||
Assets | ||||||||||||||
Cash and due from banks | $ | — | $ | 204,119 | $ | — | $ | 6,458,943 | ||||||
Securities purchased under agreements to resell | — | 6,000,000 | — | 800,000 | ||||||||||
Federal funds sold | — | 7,697,000 | — | 10,018,000 | ||||||||||
Available-for-sale securities | — | 1,173,333 | — | 1,234,427 | ||||||||||
Held-to-maturity securities | — | 13,248,810 | — | 13,148,179 | ||||||||||
Advances | 88,523,609 | — | 98,797,497 | — | ||||||||||
Mortgage loans (a) | — | 2,298,524 | — | 2,129,239 | ||||||||||
Accrued interest receivable | 137,925 | 31,646 | 140,535 | 31,468 | ||||||||||
Premises, software, and equipment | — | 10,536 | — | 10,669 | ||||||||||
Derivative assets (b) | — | 38,423 | — | 39,123 | ||||||||||
Other assets (c) | 552 | 14,587 | 560 | 16,728 | ||||||||||
Total assets | $ | 88,662,086 | $ | 30,716,978 | $ | 98,938,592 | $ | 33,886,776 | ||||||
Liabilities and capital | ||||||||||||||
Deposits | $ | 1,607,167 | $ | — | $ | 1,998,919 | $ | — | ||||||
Consolidated obligations | — | 111,006,847 | — | 123,579,648 | ||||||||||
Mandatorily redeemable capital stock | 19,097 | — | 19,200 | — | ||||||||||
Accrued interest payable | 15 | 119,242 | 15 | 120,509 | ||||||||||
Affordable Housing Program (d) | 109,572 | — | 113,544 | — | ||||||||||
Derivative liabilities (b) | — | 337,709 | — | 345,242 | ||||||||||
Other liabilities (e) | 35,801 | 81,527 | 38,442 | 83,991 | ||||||||||
Total liabilities | 1,771,652 | 111,545,325 | 2,170,120 | 124,129,390 | ||||||||||
Total capital | 6,062,087 | — | 6,525,858 | — | ||||||||||
Total liabilities and capital | $ | 7,833,739 | $ | 111,545,325 | $ | 8,695,978 | $ | 124,129,390 | ||||||
(a) | May include 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 conducted in the ordinary course of the FHLBNY’s business — At March 31, 2015, notional amounts outstanding were $3.8 billion; the net fair value after posting $66.5 million cash collateral was a net derivative liability of $26.8 million. At December 31, 2014, notional amounts outstanding were $5.1 billion; the net fair value after posting $62.1 million cash collateral was a net derivative liability of $26.5 million. The swap interest rate exchanges with Citibank, N.A., resulted in interest expense of $5.1 million and $10.1 million in the three months ended March 31, 2015 and the same period in 2014. Also, includes insignificant fair values due to intermediation activities on behalf of other members with derivative dealers. | |||||||||||||
Goldman Sachs Bank USA became a member effective December 23, 2014. Derivative transactions with Goldman Sachs Bank USA, a member that is a derivatives dealer counterparty, were conducted in the ordinary course of the FHLBNY’s business — At March 31, 2015, notional amounts outstanding were $3.8 billion; the net fair value after posting $120.4 million cash collateral was a net derivative liability of $37.1 million. At December 31, 2014, notional amounts outstanding were $3.8 billion; the net fair value after posting $113.9 million cash collateral was a net derivative liability of $32.7 million. The swap interest rate exchanges with Goldman Sachs Bank USA, resulted in interest expense of $21.7 million and $24.2 million in the three months ended March 31, 2015 and the same period in 2014. Also, includes insignificant fair values due to intermediation activities on behalf of other members with derivative dealers. | ||||||||||||||
(c) | May include insignificant amounts of miscellaneous assets that are in the Unrelated party category. | |||||||||||||
(d) | Represents funds not yet allocated or disbursed to AHP programs. | |||||||||||||
(e) | Related column includes member pass-through reserves at the Federal Reserve Bank. | |||||||||||||
Summary of transactions with related parties | The following tables summarize outstanding balances with related parties at March 31, 2015 and December 31, 2014, and transactions for the three months ended March 31, 2015 and March 31, 2014 (in thousands): | |||||||||||||
Related Party: Income and Expense transactions | ||||||||||||||
Three months ended | ||||||||||||||
March 31, 2015 | March 31, 2014 | |||||||||||||
Related | Unrelated | Related | Unrelated | |||||||||||
Interest income | ||||||||||||||
Advances | $ | 131,198 | $ | — | $ | 113,851 | $ | — | ||||||
Interest-bearing deposits (a) | — | 331 | — | 231 | ||||||||||
Securities purchased under agreements to resell | — | 240 | — | 63 | ||||||||||
Federal funds sold | — | 2,839 | — | 1,996 | ||||||||||
Available-for-sale securities | — | 2,044 | — | 3,002 | ||||||||||
Held-to-maturity securities | — | 65,440 | — | 66,623 | ||||||||||
Mortgage loans held-for-portfolio (b) | — | 19,316 | — | 17,463 | ||||||||||
Loans to other FHLBanks | 2 | — | 2 | — | ||||||||||
Total interest income | $ | 131,200 | $ | 90,210 | $ | 113,853 | $ | 89,378 | ||||||
Interest expense | ||||||||||||||
Consolidated obligations | $ | — | $ | 101,877 | $ | — | $ | 94,685 | ||||||
Deposits | 120 | — | 143 | — | ||||||||||
Mandatorily redeemable capital stock | 256 | — | 282 | — | ||||||||||
Cash collateral held and other borrowings | — | 63 | — | 1 | ||||||||||
Total interest expense | $ | 376 | $ | 101,940 | $ | 425 | $ | 94,686 | ||||||
Service fees and other Income and Expenses | $ | 2,263 | $ | 701 | $ | 2,361 | $ | 371 | ||||||
(a) | Includes insignificant amounts of interest income from MPF service provider. | |||||||||||||
(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) (Par Value of Advances, Credit concentration risk) | 3 Months Ended | |||||||||||||||
Mar. 31, 2015 | ||||||||||||||||
Par Value of Advances | Credit concentration risk | ||||||||||||||||
Concentration | ||||||||||||||||
Summary of concentrations | ||||||||||||||||
The top ten advance holders at March 31, 2015, December 31, 2014, and March 31, 2014 and associated interest income for the periods then ended are summarized as follows (dollars in thousands): | ||||||||||||||||
March 31, 2015 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | Three Months | ||||||||||||||
City | State | Advances | of Advances | Interest Income | Percentage | |||||||||||
Citibank, N.A. | New York | NY | $ | 15,250,000 | 17.56 | % | $ | 28,706 | 10.69 | % | ||||||
Metropolitan Life Insurance Company | New York | NY | 12,570,000 | 14.48 | 46,096 | 17.17 | ||||||||||
New York Community Bancorp, Inc.: | ||||||||||||||||
New York Community Bank | Westbury | NY | 7,934,115 | 9.14 | 59,850 | 22.30 | ||||||||||
New York Commercial Bank | Westbury | NY | 793,612 | 0.91 | 1,311 | 0.49 | ||||||||||
Subtotal New York Community Bancorp, Inc. | 8,727,727 | 10.05 | 61,161 | 22.79 | ||||||||||||
Hudson City Savings Bank, FSB | Paramus | NJ | 6,025,000 | 6.94 | 71,522 | 26.65 | ||||||||||
HSBC Bank USA, National Association | New York | NY | 5,600,000 | 6.45 | 4,403 | 1.64 | ||||||||||
First Niagara Bank, National Association | Buffalo | NY | 4,787,000 | 5.51 | 6,065 | 2.26 | ||||||||||
Investors Bank* | Short Hills | NJ | 3,012,052 | 3.47 | 14,342 | 5.34 | ||||||||||
Astoria Bank* | Lake Success | NY | 2,400,000 | 2.76 | 10,333 | 3.85 | ||||||||||
The Prudential Insurance Co. of America | Newark | NJ | 2,225,000 | 2.56 | 7,542 | 2.81 | ||||||||||
Valley National Bank* | Wayne | NJ | 1,899,500 | 2.19 | 18,242 | 6.80 | ||||||||||
Total | $ | 62,496,279 | 71.97 | % | $ | 268,412 | 100.00 | % | ||||||||
* At March 31, 2015, officer of member bank also served on the Board of Directors of the FHLBNY. | ||||||||||||||||
December 31, 2014 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | Twelve Months | ||||||||||||||
City | State | Advances | of Advances | Interest Income | Percentage | |||||||||||
Citibank, N.A. | New York | NY | $ | 28,000,000 | 28.80 | % | $ | 115,280 | 10.40 | % | ||||||
Metropolitan Life Insurance Company | New York | NY | 12,570,000 | 12.93 | 211,354 | 19.08 | ||||||||||
New York Community Bancorp, Inc.: | ||||||||||||||||
New York Community Bank* | Westbury | NY | 8,887,818 | 9.14 | 246,245 | 22.22 | ||||||||||
New York Commercial Bank* | Westbury | NY | 1,035,912 | 1.07 | 3,509 | 0.32 | ||||||||||
Subtotal New York Community Bancorp, Inc. | 9,923,730 | 10.21 | 249,754 | 22.54 | ||||||||||||
Hudson City Savings Bank, FSB | Paramus | NJ | 6,025,000 | 6.20 | 289,985 | 26.18 | ||||||||||
First Niagara Bank, National Association | Buffalo | NY | 5,049,400 | 5.19 | 19,191 | 1.73 | ||||||||||
Investors Bank* | Short Hills | NJ | 2,616,141 | 2.69 | 58,125 | 5.25 | ||||||||||
Astoria Bank* | Lake Success | NY | 2,384,000 | 2.45 | 41,912 | 3.78 | ||||||||||
The Prudential Insurance Co. of America | Newark | NJ | 2,225,000 | 2.29 | 33,738 | 3.04 | ||||||||||
Valley National Bank* | Wayne | NJ | 1,899,500 | 1.95 | 81,047 | 7.31 | ||||||||||
New York Life Insurance Company | New York | NY | 1,600,000 | 1.65 | 7,612 | 0.69 | ||||||||||
Total | $ | 72,292,771 | 74.36 | % | $ | 1,107,998 | 100.00 | % | ||||||||
* At December 31, 2014, officer of member bank also served on the Board of Directors of the FHLBNY. | ||||||||||||||||
March 31, 2014 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | Three Months | ||||||||||||||
City | State | Advances | of Advances | Interest Income | Percentage | |||||||||||
Citibank, N.A. | New York | NY | $ | 22,200,000 | 25.89 | % | $ | 22,744 | 8.16 | % | ||||||
Metropolitan Life Insurance Company | New York | NY | 12,570,000 | 14.66 | 58,550 | 21.00 | ||||||||||
New York Community Bancorp, Inc.: | ||||||||||||||||
New York Community Bank* | Westbury | NY | 9,828,128 | 11.46 | 61,296 | 21.98 | ||||||||||
New York Commercial Bank* | Westbury | NY | 322,412 | 0.38 | 796 | 0.29 | ||||||||||
Subtotal New York Community Bancorp, Inc. | 10,150,540 | 11.84 | 62,092 | 22.27 | ||||||||||||
Hudson City Savings Bank, FSB | Paramus | NJ | 6,025,000 | 7.03 | 71,447 | 25.63 | ||||||||||
First Niagara Bank, National Association | Buffalo | NY | 3,600,000 | 4.20 | 4,705 | 1.69 | ||||||||||
Investors Bank* | Short Hills | NJ | 3,123,407 | 3.64 | 14,585 | 5.23 | ||||||||||
Astoria Federal Savings and Loan Assn. (a) * | Lake Success | NY | 2,410,000 | 2.81 | 10,653 | 3.82 | ||||||||||
The Prudential Insurance Co. of America | Newark | NJ | 2,225,000 | 2.59 | 10,747 | 3.86 | ||||||||||
Valley National Bank* | Wayne | NJ | 2,149,500 | 2.51 | 20,045 | 7.19 | ||||||||||
Signature Bank | New York | NY | 1,790,313 | 2.09 | 3,198 | 1.15 | ||||||||||
Total | $ | 66,243,760 | 77.26 | % | $ | 278,766 | 100.00 | % | ||||||||
(a) | Astoria Federal Savings and Loan Assn. changed name to Astoria Bank in June 2014. | |||||||||||||||
* At March 31, 2014, officer of member bank also served on the Board of Directors of the FHLBNY. | ||||||||||||||||
Background_Tax_Status_and_Asse1
Background, Tax Status and Assessments (Details) (USD $) | 3 Months Ended | |
In Millions, unless otherwise specified | Mar. 31, 2015 | Sep. 30, 2011 |
Institution | Institution | |
Background, Tax Status and Assessments | ||
Number of Federal Home Loan Banks in a defined geographic district | 1 | |
Number of Federal Home Loan Banks | 12 | 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_Policie2
Significant Accounting Policies and Estimates. (Details) (USD $) | 0 Months Ended | 3 Months Ended |
In Millions, unless otherwise specified | Jan. 01, 2015 | Mar. 31, 2015 |
Recently Adopted Significant Accounting Policies | ||
Credit loss allowance on mortgage loans that were past due 180 days or more reclassified | $3.70 | |
Minimum | ||
Recently Adopted Significant Accounting Policies | ||
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 $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Millions, unless otherwise specified | ||
Pass-through Deposit Reserves | ||
Pass-through reserves of member institutions deposited with Federal Reserve Banks | $35.80 | $38.40 |
Federal_Funds_Sold_Interestbea1
Federal Funds Sold, Interest-bearing Deposits, and Securities Purchased Under Agreements to Resell. (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Billions, unless otherwise specified | ||
Derivative contracts with counterparty credit exposure | ||
Interest-bearing cash deposited with derivative counterparties, reclassified and recorded as a deduction to Derivative liabilities | $1.20 | $1.10 |
Federal_Funds_Sold_Interestbea2
Federal Funds Sold, Interest-bearing Deposits, and Securities Purchased Under Agreements to Resell. (Details 2) (USD $) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | |
Securities purchased under agreements to resell | |||
Securities purchased under agreements to resell balances outstanding | $6,000,000,000 | $500,000,000 | $800,000,000 |
Average transaction balances of securities purchased under agreements to resell | 1,500,000,000 | 700,000,000 | 900,000,000 |
Interest income from securities purchased under agreements to resell | 240,000 | 63,000 | |
BONY | |||
Securities purchased under agreements to resell | |||
Securities purchased under agreements to resell balances outstanding | 5,400,000,000 | 600,000,000 | |
BONY | Securities pledged as collateral | U.S. Treasury securities | |||
Securities purchased under agreements to resell | |||
Securities purchased under agreements to resell pledged as collateral | 5,400,000,000 | 612,000,000 | |
Bilateral counterparties | |||
Securities purchased under agreements to resell | |||
Securities purchased under agreements to resell balances outstanding | 625,000,000 | 200,000,000 | |
Bilateral counterparties | Securities pledged as collateral | U.S. Treasury securities | |||
Securities purchased under agreements to resell | |||
Securities purchased under agreements to resell pledged as collateral | $637,000,000 | $203,700,000 |
HeldtoMaturity_Securities_Deta
Held-to-Maturity Securities. (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | |
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | $13,291,100,000 | $13,192,462,000 | |
OTTI Recognized in AOCI | -42,290,000 | -44,283,000 | |
Carrying Value | 13,248,810,000 | 13,148,179,000 | |
Gross Unrecognized Holding Gains | 394,332,000 | 330,802,000 | [1] |
Gross Unrecognized Holding Losses | -54,690,000 | -62,798,000 | [1] |
Fair Value | 13,588,452,000 | 13,416,183,000 | |
Pools of Mortgages | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 281,936,000 | 305,010,000 | |
Carrying Value | 281,936,000 | 305,010,000 | |
Gross Unrecognized Holding Gains | 26,312,000 | 27,172,000 | [1] |
Fair Value | 308,248,000 | 332,182,000 | |
Pools of Mortgages | Fannie Mae | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 219,295,000 | 236,500,000 | |
Carrying Value | 219,295,000 | 236,500,000 | |
Gross Unrecognized Holding Gains | 21,384,000 | 21,891,000 | [1] |
Fair Value | 240,679,000 | 258,391,000 | |
Pools of Mortgages | Freddie Mac | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 62,641,000 | 68,510,000 | |
Carrying Value | 62,641,000 | 68,510,000 | |
Gross Unrecognized Holding Gains | 4,928,000 | 5,281,000 | [1] |
Fair Value | 67,569,000 | 73,791,000 | |
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | GSE | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 4,673,298,000 | 4,868,882,000 | |
Carrying Value | 4,673,298,000 | 4,868,882,000 | |
Gross Unrecognized Holding Gains | 67,019,000 | 56,146,000 | [1] |
Gross Unrecognized Holding Losses | -2,000 | ||
Fair Value | 4,740,315,000 | 4,925,028,000 | |
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | Fannie Mae | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 2,830,284,000 | 2,941,093,000 | |
Carrying Value | 2,830,284,000 | 2,941,093,000 | |
Gross Unrecognized Holding Gains | 45,684,000 | 36,164,000 | [1] |
Gross Unrecognized Holding Losses | -2,000 | ||
Fair Value | 2,875,966,000 | 2,977,257,000 | |
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | Freddie Mac | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 1,812,871,000 | 1,895,889,000 | |
Carrying Value | 1,812,871,000 | 1,895,889,000 | |
Gross Unrecognized Holding Gains | 20,909,000 | 19,514,000 | [1] |
Fair Value | 1,833,780,000 | 1,915,403,000 | |
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | Ginnie Mae | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 30,143,000 | 31,900,000 | |
Carrying Value | 30,143,000 | 31,900,000 | |
Gross Unrecognized Holding Gains | 426,000 | 468,000 | [1] |
Fair Value | 30,569,000 | 32,368,000 | |
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | Private-label MBS | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 31,248,000 | 34,249,000 | |
OTTI Recognized in AOCI | -307,000 | -359,000 | |
Carrying Value | 30,941,000 | 33,890,000 | |
Gross Unrecognized Holding Gains | 1,651,000 | 1,709,000 | [1] |
Gross Unrecognized Holding Losses | -932,000 | -914,000 | [1] |
Fair Value | 31,660,000 | 34,685,000 | |
Commercial Mortgage-Backed Securities (CMBS) | GSE | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 7,157,825,000 | 6,822,484,000 | |
Carrying Value | 7,157,825,000 | 6,822,484,000 | |
Gross Unrecognized Holding Gains | 227,377,000 | 170,802,000 | [1] |
Gross Unrecognized Holding Losses | -1,744,000 | -9,118,000 | [1] |
Fair Value | 7,383,458,000 | 6,984,168,000 | |
Commercial Mortgage-Backed Securities (CMBS) | Fannie Mae | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 1,958,210,000 | 1,876,767,000 | |
Carrying Value | 1,958,210,000 | 1,876,767,000 | |
Gross Unrecognized Holding Gains | 26,480,000 | 14,686,000 | [1] |
Gross Unrecognized Holding Losses | -562,000 | -3,452,000 | [1] |
Fair Value | 1,984,128,000 | 1,888,001,000 | |
Commercial Mortgage-Backed Securities (CMBS) | Freddie Mac | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 5,199,615,000 | 4,945,717,000 | |
Carrying Value | 5,199,615,000 | 4,945,717,000 | |
Gross Unrecognized Holding Gains | 200,897,000 | 156,116,000 | [1] |
Gross Unrecognized Holding Losses | -1,182,000 | -5,666,000 | [1] |
Fair Value | 5,399,330,000 | 5,096,167,000 | |
Manufactured housing (insured) | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 89,573,000 | 93,693,000 | |
Carrying Value | 89,573,000 | 93,693,000 | |
Gross Unrecognized Holding Gains | 2,377,000 | 2,476,000 | [1] |
Fair Value | 91,950,000 | 96,169,000 | |
Home equity loans (insured) | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 152,973,000 | 158,233,000 | |
OTTI Recognized in AOCI | -31,103,000 | -32,476,000 | |
Carrying Value | 121,870,000 | 125,757,000 | |
Gross Unrecognized Holding Gains | 56,835,000 | 59,169,000 | [1] |
Gross Unrecognized Holding Losses | -87,000 | -167,000 | [1] |
Fair Value | 178,618,000 | 184,759,000 | |
Home equity loans (uninsured) | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 93,467,000 | 96,831,000 | |
OTTI Recognized in AOCI | -10,880,000 | -11,448,000 | |
Carrying Value | 82,587,000 | 85,383,000 | |
Gross Unrecognized Holding Gains | 12,582,000 | 13,124,000 | [1] |
Gross Unrecognized Holding Losses | -2,855,000 | -2,693,000 | [1] |
Fair Value | 92,314,000 | 95,814,000 | |
Asset-Backed Securities | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 336,013,000 | 348,757,000 | |
OTTI Recognized in AOCI | -41,983,000 | -43,924,000 | |
Carrying Value | 294,030,000 | 304,833,000 | |
Gross Unrecognized Holding Gains | 71,794,000 | 74,769,000 | [1] |
Gross Unrecognized Holding Losses | -2,942,000 | -2,860,000 | [1] |
Fair Value | 362,882,000 | 376,742,000 | |
Mortgage-backed securities (MBS) | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 12,480,320,000 | 12,379,382,000 | |
OTTI Recognized in AOCI | -42,290,000 | -44,283,000 | |
Carrying Value | 12,438,030,000 | 12,335,099,000 | |
Gross Unrecognized Holding Gains | 394,153,000 | 330,598,000 | [1] |
Gross Unrecognized Holding Losses | -5,620,000 | -12,892,000 | [1] |
Fair Value | 12,826,563,000 | 12,652,805,000 | |
Amortized cost of pledged MBS in connection with deposits maintained by the FDIC at the Bank | 9,900,000 | 10,200,000 | |
State and local housing finance agency obligations | |||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | |||
Amortized Cost | 810,780,000 | 813,080,000 | |
Carrying Value | 810,780,000 | 813,080,000 | |
Gross Unrecognized Holding Gains | 179,000 | 204,000 | [1] |
Gross Unrecognized Holding Losses | -49,070,000 | -49,906,000 | [1] |
Fair Value | $761,889,000 | $763,378,000 | |
[1] | Unrecognized gross holding gains and losses represent the difference between fair value and carrying value. Commercial mortgage-backed securities (bCMBSb) - Agency issued CMBS are income-producing, multifamily properties. Eligible property types include standard conventional multifamily apartments, affordable multifamily housing, seniors housing, student housing, military housing, and rural rent housing.The amounts represent non-agency private-label mortgage- and asset-backed securities.Amortized cost b |
HeldtoMaturity_Securities_Deta1
Held-to-Maturity Securities. (Details 2) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Less than 12 months | ||
Estimated Fair Value | $901,183 | $1,174,469 |
Unrealized Losses | -759 | -1,505 |
12 months or more | ||
Estimated Fair Value | 505,730 | 1,045,718 |
Unrealized Losses | -53,468 | -60,910 |
Total | ||
Estimated Fair Value | 1,406,913 | 2,220,187 |
Unrealized Losses | -54,227 | -62,415 |
State and local housing finance agency obligations | ||
Less than 12 months | ||
Estimated Fair Value | 154,982 | 49,997 |
Unrealized Losses | -18 | -3 |
12 months or more | ||
Estimated Fair Value | 270,248 | 269,642 |
Unrealized Losses | -49,052 | -49,903 |
Total | ||
Estimated Fair Value | 425,230 | 319,639 |
Unrealized Losses | -49,070 | -49,906 |
Mortgage-backed securities (MBS) | ||
Less than 12 months | ||
Estimated Fair Value | 746,201 | 1,124,472 |
Unrealized Losses | -741 | -1,502 |
12 months or more | ||
Estimated Fair Value | 235,482 | 776,076 |
Unrealized Losses | -4,416 | -11,007 |
Total | ||
Estimated Fair Value | 981,683 | 1,900,548 |
Unrealized Losses | -5,157 | -12,509 |
Mortgage-backed securities (MBS) | Fannie Mae | ||
Less than 12 months | ||
Estimated Fair Value | 443,896 | 397,554 |
Unrealized Losses | -564 | -1,153 |
12 months or more | ||
Estimated Fair Value | 272,592 | |
Unrealized Losses | -2,299 | |
Total | ||
Estimated Fair Value | 443,896 | 670,146 |
Unrealized Losses | -564 | -3,452 |
Mortgage-backed securities (MBS) | Freddie Mac | ||
Less than 12 months | ||
Estimated Fair Value | 301,402 | 726,865 |
Unrealized Losses | -170 | -348 |
12 months or more | ||
Estimated Fair Value | 166,373 | 441,713 |
Unrealized Losses | -1,012 | -5,318 |
Total | ||
Estimated Fair Value | 467,775 | 1,168,578 |
Unrealized Losses | -1,182 | -5,666 |
Mortgage-backed securities (MBS) | MBS-GSE | ||
Less than 12 months | ||
Estimated Fair Value | 745,298 | 1,124,419 |
Unrealized Losses | -734 | -1,501 |
12 months or more | ||
Estimated Fair Value | 166,373 | 714,305 |
Unrealized Losses | -1,012 | -7,617 |
Total | ||
Estimated Fair Value | 911,671 | 1,838,724 |
Unrealized Losses | -1,746 | -9,118 |
Mortgage-backed securities (MBS) | Private-label MBS | ||
Less than 12 months | ||
Estimated Fair Value | 903 | 53 |
Unrealized Losses | -7 | -1 |
12 months or more | ||
Estimated Fair Value | 69,109 | 61,771 |
Unrealized Losses | -3,404 | -3,390 |
Total | ||
Estimated Fair Value | 70,012 | 61,824 |
Unrealized Losses | ($3,411) | ($3,391) |
HeldtoMaturity_Securities_Deta2
Held-to-Maturity Securities. (Details 3) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
Amortized Cost | ||
Amortized cost | $13,291,100,000 | $13,192,462,000 |
Estimated Fair Value | ||
Fair Value | 13,588,452,000 | 13,416,183,000 |
Net unamortized premium | 36,500,000 | 38,300,000 |
State and local housing finance agency obligations | ||
Amortized Cost | ||
Due after one year through five years | 31,950,000 | 33,990,000 |
Due after five years through ten years | 37,615,000 | 37,615,000 |
Due after ten years | 741,215,000 | 741,475,000 |
Amortized cost | 810,780,000 | 813,080,000 |
Estimated Fair Value | ||
Due after one year through five years | 31,106,000 | 33,069,000 |
Due after five years through ten years | 36,839,000 | 36,771,000 |
Due after ten years | 693,944,000 | 693,538,000 |
Fair Value | 761,889,000 | 763,378,000 |
Mortgage-backed securities (MBS) | ||
Amortized Cost | ||
Due in one year or less | 55,769,000 | |
Due after one year through five years | 2,755,678,000 | 2,561,843,000 |
Due after five years through ten years | 4,292,949,000 | 4,380,717,000 |
Due after ten years | 5,375,924,000 | 5,436,822,000 |
Amortized cost | 12,480,320,000 | 12,379,382,000 |
Estimated Fair Value | ||
Due in one year or less | 55,741,000 | |
Due after one year through five years | 2,815,041,000 | 2,589,028,000 |
Due after five years through ten years | 4,463,334,000 | 4,519,973,000 |
Due after ten years | 5,492,447,000 | 5,543,804,000 |
Fair Value | $12,826,563,000 | $12,652,805,000 |
HeldtoMaturity_Securities_Deta3
Held-to-Maturity Securities. (Details 4) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Interest Rate Payment Terms | ||
Amortized Cost | $13,291,100 | $13,192,462 |
Carrying Value | 13,248,810 | 13,148,179 |
CMOs | ||
Interest Rate Payment Terms | ||
Amortized Cost | 4,693,735 | 4,891,216 |
Carrying Value | 4,693,220 | 4,890,631 |
CMOs | Fixed | ||
Interest Rate Payment Terms | ||
Amortized Cost | 1,548,124 | 1,595,060 |
Carrying Value | 1,547,610 | 1,594,475 |
CMOs | Floating | ||
Interest Rate Payment Terms | ||
Amortized Cost | 3,145,611 | 3,296,156 |
Carrying Value | 3,145,610 | 3,296,156 |
Commercial Mortgage-Backed Securities (CMBS) | GSE | ||
Interest Rate Payment Terms | ||
Amortized Cost | 7,157,825 | 6,822,484 |
Carrying Value | 7,157,825 | 6,822,484 |
Commercial Mortgage-Backed Securities (CMBS) | GSE | Fixed | ||
Interest Rate Payment Terms | ||
Amortized Cost | 4,998,472 | 5,009,903 |
Carrying Value | 4,998,472 | 5,009,903 |
Commercial Mortgage-Backed Securities (CMBS) | GSE | Floating | ||
Interest Rate Payment Terms | ||
Amortized Cost | 2,159,353 | 1,812,581 |
Carrying Value | 2,159,353 | 1,812,581 |
Pass Thru | ||
Interest Rate Payment Terms | ||
Amortized Cost | 628,760 | 665,682 |
Carrying Value | 586,985 | 621,984 |
Pass Thru | Fixed | ||
Interest Rate Payment Terms | ||
Amortized Cost | 554,679 | 588,326 |
Carrying Value | 513,744 | 545,493 |
Pass Thru | Floating | ||
Interest Rate Payment Terms | ||
Amortized Cost | 74,081 | 77,356 |
Carrying Value | 73,241 | 76,491 |
Mortgage-backed securities (MBS) | ||
Interest Rate Payment Terms | ||
Amortized Cost | 12,480,320 | 12,379,382 |
Carrying Value | 12,438,030 | 12,335,099 |
State and local housing finance agency obligations | ||
Interest Rate Payment Terms | ||
Amortized Cost | 810,780 | 813,080 |
Carrying Value | 810,780 | 813,080 |
State and local housing finance agency obligations | Fixed | ||
Interest Rate Payment Terms | ||
Amortized Cost | 14,555 | 16,610 |
Carrying Value | 14,555 | 16,610 |
State and local housing finance agency obligations | Floating | ||
Interest Rate Payment Terms | ||
Amortized Cost | 796,225 | 796,470 |
Carrying Value | $796,225 | $796,470 |
HeldtoMaturity_Securities_Deta4
Held-to-Maturity Securities. (Details 5) (Private-label MBS, USD $) | 3 Months Ended | 12 Months Ended |
In Millions, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 |
Impairment Analysis (OTTI) | ||
Bonds deemed credit OTTI | $0 | $0 |
MBIA | ||
Impairment Analysis (OTTI) | ||
Reliance period for insurance guarantees | 1 year | |
Ambac | ||
Impairment Analysis (OTTI) | ||
Reliance period for insurance guarantees | 4 years | |
Ambac | Maximum | ||
Impairment Analysis (OTTI) | ||
Percentage of shortfall in reliance period for insurance guarantees | 45.00% |
HeldtoMaturity_Securities_Deta5
Held-to-Maturity Securities. (Details 6) (Private-label MBS, USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Private-label MBS | ||
Rollforward information about credit component of OTTI recognized as a charge to earnings | ||
Beginning balance | $34,893 | $36,543 |
Increases in cash flows expected to be collected, recognized over the remaining life of the securities | -772 | -236 |
Ending balance | $34,121 | $36,307 |
HeldtoMaturity_Securities_Deta6
Held-to-Maturity Securities. (Details 7) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | |
item | item | ||
Mortgage-backed securities (MBS) | |||
Significant Inputs | |||
Number of pricing services | 4 | ||
Maximum | Mortgage-backed securities (MBS) | |||
Significant Inputs | |||
Number of pricing services | 4 | 4 | |
RMBS Prime | Private-label MBS | Minimum | |||
Key Base Assumptions | |||
Conditional Default Rate (as a percent) | 0.00% | 0.00% | |
Conditional Prepayment Rate (as a percent) | 12.60% | 12.10% | |
Loss Severity (as a percent) | 0.00% | 34.40% | |
RMBS Prime | Private-label MBS | Maximum | |||
Key Base Assumptions | |||
Conditional Default Rate (as a percent) | 5.00% | 5.10% | |
Conditional Prepayment Rate (as a percent) | 26.80% | 29.60% | |
Loss Severity (as a percent) | 54.90% | 83.80% | |
RMBS Prime | Private-label MBS | Weighted Average | |||
Key Base Assumptions | |||
Conditional Default Rate (as a percent) | 1.60% | 1.70% | |
Conditional Prepayment Rate (as a percent) | 20.10% | 22.90% | |
Loss Severity (as a percent) | 34.60% | 54.30% | |
RMBS Alt-A | Private-label MBS | Minimum | |||
Key Base Assumptions | |||
Conditional Default Rate (as a percent) | 1.00% | 1.00% | |
Conditional Prepayment Rate (as a percent) | 2.00% | 2.00% | |
Loss Severity (as a percent) | 30.00% | 30.00% | |
RMBS Alt-A | Private-label MBS | Maximum | |||
Key Base Assumptions | |||
Conditional Default Rate (as a percent) | 8.00% | 7.00% | |
Conditional Prepayment Rate (as a percent) | 10.30% | 8.40% | |
Loss Severity (as a percent) | 30.00% | 30.00% | |
RMBS Alt-A | Private-label MBS | Weighted Average | |||
Key Base Assumptions | |||
Conditional Default Rate (as a percent) | 1.80% | 1.70% | |
Conditional Prepayment Rate (as a percent) | 5.20% | 5.30% | |
Loss Severity (as a percent) | 30.00% | 30.00% | |
Manufactured Housing Loans | Private-label MBS | Minimum | |||
Key Base Assumptions | |||
Conditional Default Rate (as a percent) | 2.60% | 2.80% | |
Conditional Prepayment Rate (as a percent) | 2.60% | 2.70% | |
Loss Severity (as a percent) | 77.90% | 76.00% | |
Manufactured Housing Loans | Private-label MBS | Maximum | |||
Key Base Assumptions | |||
Conditional Default Rate (as a percent) | 3.70% | 4.10% | |
Conditional Prepayment Rate (as a percent) | 3.80% | 3.80% | |
Loss Severity (as a percent) | 85.20% | 83.30% | |
Manufactured Housing Loans | Private-label MBS | Weighted Average | |||
Key Base Assumptions | |||
Conditional Default Rate (as a percent) | 3.30% | 3.60% | |
Conditional Prepayment Rate (as a percent) | 3.00% | 3.10% | |
Loss Severity (as a percent) | 82.60% | 80.60% | |
Home equity loans (HEL) | Subprime | Private-label MBS | Minimum | |||
Key Base Assumptions | |||
Conditional Default Rate (as a percent) | 1.00% | 1.00% | |
Conditional Prepayment Rate (as a percent) | 2.00% | 2.00% | |
Loss Severity (as a percent) | 25.60% | 22.70% | |
Home equity loans (HEL) | Subprime | Private-label MBS | Maximum | |||
Key Base Assumptions | |||
Conditional Default Rate (as a percent) | 11.40% | 10.30% | |
Conditional Prepayment Rate (as a percent) | 21.80% | 23.90% | |
Loss Severity (as a percent) | 100.00% | 100.00% | |
Home equity loans (HEL) | Subprime | Private-label MBS | Weighted Average | |||
Key Base Assumptions | |||
Conditional Default Rate (as a percent) | 4.10% | 3.80% | |
Conditional Prepayment Rate (as a percent) | 4.80% | 4.90% | |
Loss Severity (as a percent) | 66.30% | 65.70% |
AvailableforSale_Securities_De
Available-for-Sale Securities. (Details) (USD $) | 0 Months Ended | 3 Months Ended | ||
Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2015 | Mar. 31, 2014 | |
Available-for-Sale Securities | ||||
Other-than-temporarily impaired AFS securities | $0 | $0 | ||
Amortized cost | 1,158,819,000 | 1,219,053,000 | 1,158,819,000 | |
Gross unrealized gains | 14,516,000 | 15,398,000 | 14,516,000 | |
Gross unrealized losses | -2,000 | -24,000 | -2,000 | |
Fair value | 1,173,333,000 | 1,234,427,000 | 1,173,333,000 | |
Grantor trust for employee supplemental pension plan | Other income | ||||
Available-for-Sale Securities | ||||
Dividend income and gains and losses from sales of funds | 711,300 | 51,000 | ||
Cash equivalents | ||||
Available-for-Sale Securities | ||||
Amortized cost | 648,000 | 537,000 | 648,000 | |
Fair value | 648,000 | 537,000 | 648,000 | |
Equity funds | ||||
Available-for-Sale Securities | ||||
Amortized cost | 10,610,000 | 9,310,000 | 10,610,000 | |
Gross unrealized gains | 1,600,000 | 1,579,000 | 1,600,000 | |
Gross unrealized losses | -7,000 | |||
Fair value | 12,210,000 | 10,882,000 | 12,210,000 | |
Fixed income funds | ||||
Available-for-Sale Securities | ||||
Amortized cost | 9,344,000 | 6,399,000 | 9,344,000 | |
Gross unrealized gains | 16,000 | 146,000 | 16,000 | |
Gross unrealized losses | -2,000 | -17,000 | -2,000 | |
Fair value | 9,358,000 | 6,528,000 | 9,358,000 | |
GSE and U.S. Obligations | CMOs | Floating | ||||
Available-for-Sale Securities | ||||
Amortized cost | 1,096,628,000 | 1,161,115,000 | 1,096,628,000 | |
Gross unrealized gains | 12,444,000 | 13,156,000 | 12,444,000 | |
Fair value | 1,109,072,000 | 1,174,271,000 | 1,109,072,000 | |
GSE and U.S. Obligations | Commercial Mortgage-Backed Securities (CMBS) | Floating | ||||
Available-for-Sale Securities | ||||
Amortized cost | 41,589,000 | 41,692,000 | 41,589,000 | |
Gross unrealized gains | 456,000 | 517,000 | 456,000 | |
Fair value | $42,045,000 | $42,209,000 | $42,045,000 |
AvailableforSale_Securities_De1
Available-for-Sale Securities. (Details 2) (Mortgage-backed securities (MBS), USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Mortgage-backed securities (MBS) | ||
Unrealized Losses | ||
Total, Unrealized Losses | $0 | $0 |
AvailableforSale_Securities_De2
Available-for-Sale Securities. (Details 3) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
Amortized cost | ||
Total Available-for-sale securities | $1,158,819,000 | $1,219,053,000 |
Estimated fair value | ||
Total Available-for-sale securities | 1,173,333,000 | 1,234,427,000 |
Unamortized discounts | 3,800,000 | 3,800,000 |
Mortgage-backed securities (MBS) | ||
Amortized cost | ||
Due after five years through ten years | 41,589,000 | 41,692,000 |
Due after ten years | 1,096,628,000 | 1,161,115,000 |
Estimated fair value | ||
Due after five years through ten years | 42,045,000 | 42,209,000 |
Due after ten years | 1,109,072,000 | 1,174,271,000 |
Fixed income/bond funds, equity funds and cash equivalents | ||
Amortized cost | ||
Total Available-for-sale securities | 20,602,000 | 16,246,000 |
Estimated fair value | ||
Total Available-for-sale securities | $22,216,000 | $17,947,000 |
AvailableforSale_Securities_De3
Available-for-Sale Securities. (Details 4) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized cost | $1,158,819 | $1,219,053 |
Fair value | 1,173,333 | 1,234,427 |
GSE and U.S. Obligations | CMOs | Floating | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized cost | 1,096,628 | 1,161,115 |
Fair value | 1,109,072 | 1,174,271 |
GSE and U.S. Obligations | CMOs | Floating | LIBOR | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized cost | 1,096,628 | 1,161,115 |
Fair value | 1,109,072 | 1,174,271 |
GSE and U.S. Obligations | Commercial Mortgage-Backed Securities (CMBS) | Floating | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized cost | 41,589 | 41,692 |
Fair value | 42,045 | 42,209 |
GSE and U.S. Obligations | Commercial Mortgage-Backed Securities (CMBS) | Floating | LIBOR | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized cost | 41,589 | 41,692 |
Fair value | 42,045 | 42,209 |
GSE and U.S. Obligations | Mortgage-backed securities (MBS) | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized cost | 1,138,217 | 1,202,807 |
Fair value | $1,151,117 | $1,216,480 |
Advances_Details
Advances. (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Amount | ||
Due in one year or less | $30,004,303 | $43,044,026 |
Due after one year through two years | 19,222,306 | 17,322,868 |
Due after two years through three years | 17,544,061 | 15,775,401 |
Due after three years through four years | 6,164,722 | 7,053,431 |
Due after four years through five years | 5,311,236 | 4,655,510 |
Thereafter | 8,585,673 | 9,366,815 |
Total par value | 86,832,301 | 97,218,051 |
Hedge valuation basis adjustments | 1,686,167 | 1,574,044 |
Fair value option valuation adjustments and accrued interest | 5,141 | 5,402 |
Total | $88,523,609 | $98,797,497 |
Weighted Average Yield | ||
Due in one year or less (as a percent) | 0.87% | 0.68% |
Due after one year through two years (as a percent) | 1.83% | 2.10% |
Due after two years through three years (as a percent) | 1.60% | 1.71% |
Due after three years through four years (as a percent) | 2.18% | 2.10% |
Due after four years through five years (as a percent) | 2.50% | 2.41% |
Thereafter (as a percent) | 2.82% | 2.81% |
Total par value (as a percent) | 1.61% | 1.49% |
Percentage of Total | ||
Due in one year or less (as a percent) | 34.55% | 44.28% |
Due after one year through two years (as a percent) | 22.14% | 17.82% |
Due after two years through three years (as a percent) | 20.20% | 16.23% |
Due after three years through four years (as a percent) | 7.10% | 7.26% |
Due after four years through five years (as a percent) | 6.12% | 4.79% |
Thereafter (as a percent) | 9.89% | 9.62% |
Total par value (as a percent) | 100.00% | 100.00% |
Advances_Details_2
Advances. (Details 2) (USD $) | 3 Months Ended | 12 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 |
item | item | item | |
Concentration | |||
Past due advances | 0 | ||
Number of exceptions | 2 | ||
Par Value of Advances | Credit concentration risk | Top ten advance holders | |||
Concentration | |||
Concentration risk percentage | 71.97% | 77.26% | 74.36% |
Number of borrowing member institutions | 10 | 10 | 10 |
Par Value of Advances | Credit concentration risk | Insurance companies | |||
Concentration | |||
Concentration risk percentage | 19.20% | 17.40% |
Mortgage_Loans_HeldforPortfoli2
Mortgage Loans Held-for-Portfolio. (Details) (USD $) | 0 Months Ended | 3 Months Ended | ||
Jan. 01, 2015 | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | |
Information on mortgage loans held-for-portfolio | ||||
Total par value | $2,254,848,000 | $2,092,836,000 | ||
Unamortized premiums | 44,851,000 | 41,046,000 | ||
Unamortized discounts | -2,402,000 | -2,544,000 | ||
Basis adjustment | 2,175,000 | 2,408,000 | ||
Total mortgage loans held-for-portfolio | 2,299,472,000 | 2,133,746,000 | ||
Allowance for credit losses | -948,000 | -5,945,000 | ||
Total mortgage loans held-for-portfolio, net of allowance for credit losses | 2,298,524,000 | 2,129,239,000 | ||
Percentage of Total Par (as a percent) | 100.00% | 100.00% | ||
Credit loss allowance on mortgage loans that were past due 180 days or more reclassified | 3,700,000 | |||
First layer of potential credit losses (as a percent) | 1.00% | |||
First Loss Account | 24,100,000 | 22,100,000 | ||
Credit Enhancement fees accrued | 500,000 | 400,000 | ||
Period for which CE fees are held back | 12 months | |||
Allowance for credit losses: | ||||
Beginning balance | 4,507,000 | 4,507,000 | 5,697,000 | |
Charge-offs | -3,747,000 | -132,000 | ||
Recoveries | 45,000 | |||
Provision for credit losses on mortgage loans | 188,000 | 335,000 | ||
Ending balance | 948,000 | 5,945,000 | ||
Ending balance, individually evaluated for impairment | 948,000 | 5,945,000 | ||
Minimum | ||||
Information on mortgage loans held-for-portfolio | ||||
Delinquency period for recording credit loss allowance on a loan level basis on all MPF loans | 90 days | |||
Loan-to-value ratio for next layer of protection from the primary mortgage insurance required for loans (as a percent) | 80.00% | |||
Fixed medium-term single-family mortgages | ||||
Information on mortgage loans held-for-portfolio | ||||
Total par value | 316,652,000 | 327,112,000 | ||
Percentage of Total Par (as a percent) | 14.04% | 15.63% | ||
Fixed long-term single-family mortgages | ||||
Information on mortgage loans held-for-portfolio | ||||
Total par value | 1,938,134,000 | 1,765,661,000 | ||
Percentage of Total Par (as a percent) | 85.96% | 84.37% | ||
Multi-family mortgages | ||||
Information on mortgage loans held-for-portfolio | ||||
Total par value | 62,000 | 63,000 | ||
Conventional MPF Loans | Minimum | ||||
Information on mortgage loans held-for-portfolio | ||||
Period past due for loans to be considered for impairment | 90 days | |||
Uninsured loans | ||||
Recorded investment, individually evaluated for impairment | ||||
Impaired, with or without related allowance | 23,473,000 | 27,389,000 | ||
Not impaired, no related allowance | 2,112,609,000 | 1,949,490,000 | ||
Total uninsured mortgage loans | 2,136,082,000 | 1,976,879,000 | ||
Insured Loans | ||||
Recorded investment, collectively evaluated for impairment | ||||
Impaired, with or without related allowance | 1,963,000 | 1,275,000 | ||
Not impaired, no related allowance | 172,109,000 | 165,978,000 | ||
Total insured mortgage loans | $174,072,000 | $167,253,000 | ||
Insured Loans | Minimum | ||||
Information on mortgage loans held-for-portfolio | ||||
Period past due for loans to be considered for impairment | 90 days |
Mortgage_Loans_HeldforPortfoli3
Mortgage Loans Held-for-Portfolio. (Details 2) (USD $) | 3 Months Ended | 12 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 |
Mortgage Loans - Non-performing loans | |||
Mortgage loans, net of allowance for credit losses | $2,298,524 | $2,129,239 | |
Interest contractually due and actually received for interest on non-performing loans | |||
Interest contractually due | 363 | 409 | |
Interest actually received | 328 | 373 | |
Shortfall | 35 | 36 | |
Conventional MPF Loans | |||
Mortgage Loans - Non-performing loans | |||
Non-performing mortgage loans | 20,472 | 24,709 | |
Recorded Investment for Impaired Loans | |||
Recorded investment with no related allowance | 20,301 | 10,713 | |
Recorded investment with an allowance | 3,172 | 16,676 | |
Total recorded investment for impaired loans | 23,473 | 27,389 | |
Unpaid Principal Balance for Impaired Loans | |||
Unpaid principal balance with no related allowance | 20,275 | 10,692 | |
Unpaid principal balance with an allowance | 3,149 | 16,673 | |
Total unpaid principal balance for impaired loans | 23,424 | 27,365 | |
Related Allowance for Impaired Loans | |||
Allowance for loan losses for impaired loans | 948 | 4,507 | |
Average Recorded Investment of Impaired Loans | |||
Average recorded investment with no related allowance | 13,754 | 9,754 | |
Average recorded investment with an allowance | 11,910 | 18,517 | |
Total average recorded investment of impaired loans | 25,664 | 28,271 | |
Conventional MPF Loans | Minimum | |||
Average Recorded Investment of Impaired Loans | |||
Period past due for interest received on loan to be recorded as a liability | 90 days | ||
Insured Loans | |||
Mortgage Loans - Non-performing loans | |||
MPF loans past due 90 days or more and still accruing interest | $1,865 | $1,217 |
Mortgage_Loans_HeldforPortfoli4
Mortgage Loans Held-for-Portfolio. (Details 3) (USD $) | 3 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 |
item | item | |
Conventional MPF Loans | ||
Mortgage loans: | ||
Past due 30-59 days | $21,049 | $23,212 |
Past due 60-89 days | 5,981 | 5,578 |
Past due 90-179 days | 3,857 | 3,198 |
Past due 180 days or more | 16,647 | 21,526 |
Total past due | 47,534 | 53,514 |
Total current loans | 2,088,486 | 1,923,302 |
Total mortgage loans | 2,136,020 | 1,976,816 |
Other delinquency statistics: | ||
Loans in process of foreclosure | 12,033 | 17,032 |
Number of foreclosures outstanding at period end | 108 | 119 |
Serious delinquency rate (as a percent) | 0.96% | 1.25% |
Serious delinquent loans total used in calculation of serious delinquency rate | 20,504 | 24,724 |
Loans on non-accrual status | 20,504 | 24,724 |
Troubled debt restructurings | 10,808 | 11,038 |
Real estate owned | 2,998 | 1,980 |
Conventional MPF Loans | Loans discharged from bankruptcy | ||
Other delinquency statistics: | ||
Troubled debt restructurings | 9,753 | 10,029 |
Conventional MPF Loans | Modified Loans under MPF program | ||
Other delinquency statistics: | ||
Troubled debt restructurings | 1,055 | 1,009 |
Insured Loans | ||
Mortgage loans: | ||
Past due 30-59 days | 4,303 | 6,312 |
Past due 60-89 days | 1,264 | 886 |
Past due 90-179 days | 937 | 740 |
Past due 180 days or more | 1,026 | 535 |
Total past due | 7,530 | 8,473 |
Total current loans | 166,542 | 158,780 |
Total mortgage loans | 174,072 | 167,253 |
Other delinquency statistics: | ||
Loans in process of foreclosure | 481 | 413 |
Number of foreclosures outstanding at period end | 9 | 10 |
Serious delinquency rate (as a percent) | 1.13% | 0.76% |
Serious delinquent loans total used in calculation of serious delinquency rate | 1,963 | 1,275 |
Past due 90 days or more and still accruing interest | 1,963 | 1,275 |
Insured Loans | Loans discharged from bankruptcy | ||
Other delinquency statistics: | ||
Troubled debt restructurings | 369 | 324 |
Other Loans | ||
Mortgage loans: | ||
Total current loans | 62 | 63 |
Total mortgage loans | $62 | $63 |
Mortgage_Loans_HeldforPortfoli5
Mortgage Loans Held-for-Portfolio. (Details 4) (Conventional MPF Loans, USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 |
Troubled Debt Restructurings | ||
Troubled debt restructurings | 10,808 | $11,038 |
Related Allowance | 336 | 612 |
Performing | ||
Troubled Debt Restructurings | ||
Troubled debt restructurings | 10,476 | 10,222 |
Non-performing | ||
Troubled Debt Restructurings | ||
Troubled debt restructurings | 332 | 816 |
Loans discharged from bankruptcy | ||
Troubled Debt Restructurings | ||
Troubled debt restructurings | 9,753 | 10,029 |
Loans discharged from bankruptcy | Minimum | ||
Troubled Debt Restructurings | ||
Period past due for loans to be considered for impairment | 90 days | |
Loans discharged from bankruptcy | Performing | ||
Troubled Debt Restructurings | ||
Troubled debt restructurings | 9,648 | 9,800 |
Loans discharged from bankruptcy | Non-performing | ||
Troubled Debt Restructurings | ||
Troubled debt restructurings | 105 | 229 |
Related Allowance | 0 | |
Modified Loans under MPF program | ||
Troubled Debt Restructurings | ||
Allowance for loan losses for impaired loans | 300 | 500 |
Troubled debt restructurings | 1,055 | 1,009 |
Modified Loans under MPF program | Performing | ||
Troubled Debt Restructurings | ||
Troubled debt restructurings | 828 | 422 |
Modified Loans under MPF program | Non-performing | ||
Troubled Debt Restructurings | ||
Troubled debt restructurings | 227 | $587 |
Deposits_Details
Deposits. (Details) (USD $) | 3 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 |
Interest-bearing deposits: | ||
Interest-bearing demand | $1,559,312 | $1,958,518 |
Term | 32,000 | 27,000 |
Total interest-bearing deposits | 1,591,312 | 1,985,518 |
Non-interest-bearing demand | 15,855 | 13,401 |
Total deposits | 1,607,167 | 1,998,919 |
Maximum period of term deposits | 1 year | 1 year |
Amount Outstanding | ||
Due in one year or less, Interest-bearing deposits | 1,591,312 | 1,985,518 |
Due in one year or less, Non-interest-bearing deposits | 15,855 | 13,401 |
Total deposits | $1,607,167 | $1,998,919 |
Weighted Average Interest Rate | ||
Due in one year or less, Interest-bearing deposits (as a percent) | 0.03% | 0.03% |
Consolidated_Obligations_Detai
Consolidated Obligations. (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
Consolidated Obligations. | ||
Outstanding consolidated obligations, including consolidated obligations held by other FHLBanks | $800,000,000,000 | $800,000,000,000 |
Percentage of unpledged qualifying assets to consolidated obligations | 107.00% | 107.00% |
Consolidated obligations - bonds | ||
Summary of consolidated obligations issued by the Bank and outstanding | ||
Consolidated obligation bonds-amortized cost | 65,474,028,000 | 73,020,550,000 |
Hedge valuation basis adjustments | 451,185,000 | 387,371,000 |
Hedge basis adjustments on terminated hedges | 149,216,000 | 119,500,000 |
FVO-valuation adjustments and accrued interest | 8,649,000 | 8,122,000 |
Total Consolidated obligation-bonds | 66,083,078,000 | 73,535,543,000 |
Consolidated obligations - discount notes | ||
Summary of consolidated obligations issued by the Bank and outstanding | ||
Discount notes-amortized cost | 44,914,010,000 | 50,041,041,000 |
FVO-valuation adjustments and remaining accretion | 9,759,000 | 3,064,000 |
Total consolidated obligation - discount notes | $44,923,769,000 | $50,044,105,000 |
Consolidated_Obligations_Detai1
Consolidated Obligations. (Details 2) (Consolidated obligations - bonds, USD $) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2015 | Dec. 31, 2014 | |
Amount | ||
One year or less | $35,535,625,000 | $40,697,005,000 |
Over one year through two years | 11,804,415,000 | 12,668,090,000 |
Over two years through three years | 7,400,930,000 | 8,179,800,000 |
Over three years through four years | 2,513,960,000 | 2,855,780,000 |
Over four years through five years | 2,602,600,000 | 2,482,500,000 |
Thereafter | 5,587,780,000 | 6,115,380,000 |
Total par value | 65,445,310,000 | 72,998,555,000 |
Bond premiums | 54,180,000 | 49,537,000 |
Bond discounts | -25,462,000 | -27,542,000 |
Hedge valuation basis adjustments | 451,185,000 | 387,371,000 |
Hedge basis adjustments on terminated hedges | 149,216,000 | 119,500,000 |
FVO-valuation adjustments and accrued interest | 8,649,000 | 8,122,000 |
Total Consolidated obligation-bonds | 66,083,078,000 | 73,535,543,000 |
Weighted Average Rate | ||
One year or less, Weighted Average Rate (as a percent) | 0.41% | 0.36% |
Over one year through two years, Weighted Average Rate (as a percent) | 0.78% | 0.64% |
Over two years through three years, Weighted Average Rate (as a percent) | 1.40% | 1.27% |
Over three years through four years, Weighted Average Rate (as a percent) | 1.48% | 1.43% |
Over four years through five years, Weighted Average Rate (as a percent) | 1.55% | 1.53% |
Thereafter, Weighted Average Rate (as a percent) | 2.81% | 2.67% |
Total par value, Weighted Average Rate (as a percent) | 0.88% | 0.78% |
Percentage of Total | ||
One year or less, Percentage of Total (as a percent) | 54.30% | 55.75% |
Over one year through two years, Percentage of Total (as a percent) | 18.04% | 17.35% |
Over two years through three years, Percentage of Total (as a percent) | 11.31% | 11.21% |
Over three years through four years, Percentage of Total (as a percent) | 3.84% | 3.91% |
Over four years through five years, Percentage of Total (as a percent) | 3.97% | 3.40% |
Thereafter, Percentage of Total (as a percent) | 8.54% | 8.38% |
Total par value, Percentage of Total (as a percent) | 100.00% | 100.00% |
Interest Expense | ||
Percentage of Total | ||
Amortization of bond premiums and discount | 5,300,000 | 10,000,000 |
Amortization of hedge basis adjustments on terminated hedges | $1,300,000 | $700,000 |
Consolidated_Obligations_Detai2
Consolidated Obligations. (Details 3) (Consolidated obligations - bonds, USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Interest rate payment terms | ||
Total par value | $65,445,310 | $72,998,555 |
Bond premiums | 54,180 | 49,537 |
Bond discounts | -25,462 | -27,542 |
Hedge valuation basis adjustments | 451,185 | 387,371 |
Hedge basis adjustments on terminated hedges | 149,216 | 119,500 |
FVO-valuation adjustments and accrued interest | 8,649 | 8,122 |
Total Consolidated obligation-bonds | 66,083,078 | 73,535,543 |
Total par value, Percentage of Total (as a percent) | 100.00% | 100.00% |
Fixed-rate, non-callable | ||
Interest rate payment terms | ||
Total par value | 48,510,810 | 53,659,055 |
Total par value, Percentage of Total (as a percent) | 74.12% | 73.51% |
Fixed-rate, callable | ||
Interest rate payment terms | ||
Total par value | 8,494,500 | 9,419,500 |
Total par value, Percentage of Total (as a percent) | 12.98% | 12.90% |
Step Up, callable | ||
Interest rate payment terms | ||
Total par value | 1,890,000 | 2,040,000 |
Total par value, Percentage of Total (as a percent) | 2.89% | 2.80% |
Step Down, callable | ||
Interest rate payment terms | ||
Total par value | 25,000 | 25,000 |
Total par value, Percentage of Total (as a percent) | 0.04% | 0.03% |
Single-index floating rate | ||
Interest rate payment terms | ||
Total par value | $6,525,000 | $7,855,000 |
Total par value, Percentage of Total (as a percent) | 9.97% | 10.76% |
Consolidated_Obligations_Detai3
Consolidated Obligations. (Details 4) (Consolidated obligations - discount notes, USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 |
Discount Notes | ||
Par value | 44,937,674 | $50,054,103 |
Amortized cost | 44,914,010 | 50,041,041 |
Fair value option valuation adjustments | 9,759 | 3,064 |
Total consolidated obligation - discount notes | 44,923,769 | $50,044,105 |
Weighted average interest rate (as a percent) | 0.11% | 0.08% |
Maximum | ||
Discount Notes | ||
Original maturity | 1 year |
Affordable_Housing_Program_Det
Affordable Housing Program. (Details) (USD $) | 3 Months Ended | |||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | ||
Changes in Affordable Housing Program liabilities | ||||
Beginning balance | $113,544 | $123,060 | ||
Additions from current period's assessments | 9,831 | 8,405 | ||
Net disbursements for grants and programs | -13,803 | [1] | -7,199 | [1] |
Ending balance | $109,572 | $124,266 | ||
[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 $) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2015 | Dec. 31, 2014 | |
item | ||
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | ||
Stated par value of capital stock (in dollars per share) | $100 | $100 |
Details of capital stock | ||
Capital requirements that the Company is subject to | 3 | |
Required capital-to-asset ratio (as a percent) | 4.00% | 4.00% |
Minimum leverage ratio (as a percent) | 5.00% | 5.00% |
Weighting factor applicable to the permanent capital used in determining compliance with minimum leverage ratio | 1.5 | |
Weighting factor applicable to the nonpermanent capital used in determining compliance with minimum leverage ratio | 1 | |
Capital Stock Class B | ||
Details of capital stock | ||
Sub-classes of class of capital stock | 2 | |
Notice period required for stock redemption | 5 years |
Capital_Stock_Mandatorily_Rede3
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. (Details 2) (USD $) | 3 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 |
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | ||
Risk-based capital, Required | $642,303 | $631,508 |
Risk-based capital, Actual | 6,238,254 | 6,682,045 |
Total capital-to-asset ratio, Required (as a percent) | 4.00% | 4.00% |
Total capital-to-asset ratio, Actual (as a percent) | 5.23% | 5.03% |
Total capital, Required | 4,775,163 | 5,313,015 |
Total capital, Actual | 6,238,254 | 6,682,045 |
Leverage ratio, Required (as a percent) | 5.00% | 5.00% |
Leverage ratio, Actual (as a percent) | 7.84% | 7.55% |
Leverage capital, Required | 5,968,953 | 6,641,268 |
Leverage capital, Actual | $9,357,381 | $10,023,068 |
Percentage applied to total assets to derive required "Total capital" | 4.00% | 4.00% |
Multiplier applied to actual "Risk-based capital" to derive actual "Leverage capital" | 1.5 | 1.5 |
Capital_Stock_Mandatorily_Rede4
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. (Details 3) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||||
Anticipated redemption of mandatorily redeemable capital stock | ||||
Redemption less than one year | $93 | $95 | ||
Redemption from one year to less than three years | 5,696 | 5,159 | ||
Redemption from three years to less than five years | 11,025 | 11,567 | ||
Redemption from five years or greater | 2,283 | 2,379 | ||
Total | $19,097 | $19,200 | $23,915 | $23,994 |
Capital_Stock_Mandatorily_Rede5
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. (Details 4) (USD $) | 3 Months Ended | |||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | Sep. 30, 2011 | Dec. 31, 2014 |
Institution | Institution | |||
Changes in mandatorily redeemable capital stock liabilities during the period | ||||
Beginning balance | $19,200 | $23,994 | ||
Capital stock subject to mandatory redemption reclassified from equity | 8,179 | |||
Redemption of mandatorily redeemable capital stock | -8,282 | -79 | ||
Ending balance | 19,097 | 23,915 | ||
Accrued interest payable | 229 | 236 | ||
Annualized accrual rates for the period (as a percent) | 4.60% | 4.00% | ||
Restricted Retained Earnings | ||||
Number of FHL Banks | 12 | 12 | ||
Percentage of net income each FHLBank is required to contribute to a restricted retained earnings account until the balance of that account equals at least one percent of average balance of outstanding consolidated obligations | 20.00% | |||
Minimum percentage of FHLBank's average balance of outstanding consolidated obligations for restricted retained earnings | 1.00% | |||
Restricted retained earnings | $237,744 | $220,099 |
Earnings_Per_Share_of_Capital_1
Earnings Per Share of Capital. (Details) (USD $) | 3 Months Ended | |
In Thousands, except Per Share data, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Earnings Per Share of Capital. | ||
Number of dilutive potential common shares or other common stock equivalents | 0 | 0 |
Net income | $88,228 | $75,359 |
Net income available to stockholders | $88,228 | $75,359 |
Weighted average shares of capital (in shares) | 55,357 | 55,182 |
Less: Mandatorily redeemable capital stock (in shares) | -199 | -240 |
Average number of shares of capital used to calculate earnings per share (in shares) | 55,158 | 54,942 |
Basic earnings per share (in dollars per share) | $1.60 | $1.37 |
Employee_Retirement_Plans_Deta
Employee Retirement Plans. (Details) (USD $) | 3 Months Ended | 12 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 |
Employee retirement plan expenses | |||
Employee retirement plan expenses, charged to compensation and benefits expense | $3,560 | $2,034 | |
Benefit Equalization Plan (defined benefit) | |||
Employee retirement plan expenses | |||
Employee retirement plan expenses, charged to compensation and benefits expense | 1,187 | 872 | |
Postretirement Health Benefit Plan | |||
Plan amendments | |||
Threshold term of service to be eligible under plan | 10 years | ||
Threshold age to be eligible under plan | 55 years | ||
Percentage reduction in Defined Dollar Plan subsidy for all services earned after December 31, 2014 as per plan amendment | 50.00% | ||
Employee retirement plan expenses | |||
Employee retirement plan expenses, charged to compensation and benefits expense | 39 | 519 | |
Pentegra Defined Benefit Plan | |||
Employee retirement plan expenses | |||
Employee retirement plan expenses, charged to compensation and benefits expense | 1,888 | 242 | |
Pentegra Defined Contribution Plan | |||
Employee retirement plan expenses | |||
Employee retirement plan expenses, charged to compensation and benefits expense | $446 | $401 |
Employee_Retirement_Plans_Deta1
Employee Retirement Plans. (Details 2) (Benefit Equalization Plan (defined benefit), USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Benefit Equalization Plan (defined benefit) | ||
Components of the net periodic pension cost | ||
Service cost | $185 | $177 |
Interest cost | 447 | 401 |
Amortization of unrecognized net loss/(gain) | 568 | 307 |
Amortization of unrecognized past service liability | -13 | -13 |
Net periodic benefit cost | $1,187 | $872 |
Employee_Retirement_Plans_Deta2
Employee Retirement Plans. (Details 3) (Postretirement Health Benefit Plan, USD $) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | |
Components of the net periodic pension cost | |||
Service cost (benefits attributed to service during the period) | $81,000 | $218,000 | |
Interest cost on accumulated postretirement health benefit obligation | 139,000 | 248,000 | |
Amortization of loss/(gain) | 259,000 | 53,000 | |
Amortization of prior service (credit)/cost | -440,000 | ||
Net periodic benefit cost | 39,000 | 519,000 | |
Plan amendment | $8,800,000 | ||
Weighted Average | |||
Key assumptions and other information for the actuarial calculations to determine benefit obligations for the plan | |||
Discount rate (as a percent) | 3.65% | 3.65% | |
Pre 65 | |||
Health care cost trend rates | |||
Assumed for next year (as a percent) | 7.75% | 7.75% | |
Ultimate rate (as a percent) | 5.00% | 5.00% | |
Year that ultimate rate is reached | 2022 | 2022 | |
Post 65 | |||
Health care cost trend rates | |||
Assumed for next year (as a percent) | 7.25% | 7.25% | |
Ultimate rate (as a percent) | 5.00% | 5.00% | |
Year that ultimate rate is reached | 2022 | 2022 |
Derivatives_and_Hedging_Activi2
Derivatives and Hedging Activities. (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 |
item | ||
Derivatives and Hedging Activities. | ||
Number of ways in which derivatives are used | 3 | |
Hedging activities | ||
Notional amounts outstanding | $110,705,780 | $111,046,456 |
Maximum | ||
Hedging activities | ||
Maturity period of advances | 30 years | |
Consolidated obligations - discount notes | Maximum | ||
Hedging activities | ||
Maturity period of discount notes | 1 year | |
Intermediation / Cleared | Swaps | ||
Hedging activities | ||
Notional amounts outstanding | 131,000 | 110,000 |
Derivatives not designated as hedging instruments | ||
Hedging activities | ||
Notional amounts outstanding | 32,450,399 | 31,032,779 |
Derivatives not designated as hedging instruments | Interest rate swaps | ||
Hedging activities | ||
Notional amounts outstanding | 29,466,531 | 28,099,243 |
Derivatives not designated as hedging instruments | Basis swaps | Consolidated obligations - bonds | LIBOR | ||
Hedging activities | ||
Variable-rate consolidated obligations indexed to reference rate | 3-month LIBOR | |
Derivatives not designated as hedging instruments | Intermediation / Cleared | Swaps | ||
Hedging activities | ||
Notional amounts outstanding | $262,000 | $220,000 |
Cash flow hedges | Consolidated obligations | ||
Hedging activities | ||
Number of Cash flow strategies | 2 | |
Cash flow hedges | Interest rate swaps | Consolidated obligations - discount notes | Rolling issuance | ||
Hedging activities | ||
Maturity period of discount notes | 91 days | |
Interest rate swap settlement period/period for each forecasted discount note issuance | 91 days | |
Cash flow hedges | Interest rate swaps | Consolidated obligations - discount notes | Rolling issuance | Maximum | ||
Hedging activities | ||
Term of borrowing program | 14 years | |
Cash flow hedges | Interest rate swaps | Consolidated obligations - discount notes | Rolling issuance | LIBOR | ||
Hedging activities | ||
Variable-rate consolidated obligations indexed to reference rate | 3-month LIBOR |
Derivatives_and_Hedging_Activi3
Derivatives and Hedging Activities. (Details 2) (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Dec. 31, 2014 | |
item | ||
Derivatives and Hedging Activities. | ||
Minimum number of derivative transactions outstanding with a counterparty | 1 | |
Derivative instruments - Nettable | ||
Gross recognized amount | $585,149,000 | $601,972,000 |
Gross amount of netting adjustments and cash collateral | -546,811,000 | -562,902,000 |
Net amounts after offsetting adjustments | 38,338,000 | 39,070,000 |
Derivative assets | ||
Total derivative assets after cash collateral presented in the Statements of Condition | 38,423,000 | 39,123,000 |
Non-cash collateral received or pledged not offset | ||
Cannot be sold or repledged | 1,110,000 | 1,149,000 |
Net unsecured amount | ||
Net unsecured amount | 37,313,000 | 37,974,000 |
Derivative instruments - Nettable | ||
Gross recognized amount | 1,952,377,000 | 1,893,485,000 |
Gross amount of netting adjustments and cash collateral | -1,614,673,000 | -1,548,252,000 |
Net amounts after offsetting adjustments | 337,704,000 | 345,233,000 |
Derivative liabilities | ||
Total derivative liabilities after cash collateral presented in the Statements of Condition | 337,709,000 | 345,242,000 |
Net unsecured amount | ||
Net unsecured amount | 337,709,000 | 345,242,000 |
Cash collateral received and netted against receivable | 93,700,000 | 143,200,000 |
Cash collateral posted, netted against derivative liabilities | 1,200,000,000 | 1,100,000,000 |
Net exposures after offsetting adjustments | 38,400,000 | 39,100,000 |
Mortgage delivery commitments | ||
Derivative instruments - Not Nettable | ||
Derivative instruments - Not Nettable | 85,000 | 53,000 |
Non-cash collateral received or pledged not offset | ||
Cannot be sold or repledged | 85,000 | 53,000 |
Derivative instruments - Not Nettable | ||
Derivative instruments - Not Nettable | 5,000 | 9,000 |
Net unsecured amount | ||
Cash collateral received and netted against receivable | 0 | 0 |
Cash collateral posted, netted against derivative liabilities | 0 | 0 |
Mortgage delivery commitments | Maximum | ||
Net unsecured amount | ||
Period of forward mortgage delivery commitments | 45 days | |
Bilateral derivatives | ||
Derivative instruments - Nettable | ||
Gross recognized amount | 291,001,000 | 334,655,000 |
Gross amount of netting adjustments and cash collateral | -282,194,000 | -324,553,000 |
Net amounts after offsetting adjustments | 8,807,000 | 10,102,000 |
Non-cash collateral received or pledged not offset | ||
Cannot be sold or repledged | 1,025,000 | 1,096,000 |
Net unsecured amount | ||
Net unsecured amount | 7,782,000 | 9,006,000 |
Derivative instruments - Nettable | ||
Gross recognized amount | 1,769,957,000 | 1,738,894,000 |
Gross amount of netting adjustments and cash collateral | -1,432,253,000 | -1,393,661,000 |
Net amounts after offsetting adjustments | 337,704,000 | 345,233,000 |
Net unsecured amount | ||
Net unsecured amount | 337,709,000 | 345,242,000 |
Intermediation / Cleared | ||
Derivative instruments - Nettable | ||
Gross recognized amount | 294,148,000 | 267,317,000 |
Gross amount of netting adjustments and cash collateral | -264,617,000 | -238,349,000 |
Net amounts after offsetting adjustments | 29,531,000 | 28,968,000 |
Net unsecured amount | ||
Net unsecured amount | 29,531,000 | 28,968,000 |
Derivative instruments - Nettable | ||
Gross recognized amount | 182,420,000 | 154,591,000 |
Gross amount of netting adjustments and cash collateral | ($182,420,000) | ($154,591,000) |
Derivatives_and_Hedging_Activi4
Derivatives and Hedging Activities. (Details 3) (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Dec. 31, 2014 | |
Derivatives with potential nonperformance risk to counterparties | ||
Derivatives in a net unrealized loss positions | 337,700,000 | $345,200,000 |
Cash collateral posted | 1,200,000,000 | $1,100,000,000 |
Intermediation / Cleared | ||
Accelerated Share Repurchases [Line Items] | ||
Period for delivery of margin following execution of derivative instrument | 1 day |
Derivatives_and_Hedging_Activi5
Derivatives and Hedging Activities. (Details 4) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | $110,705,780 | $111,046,456 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 585,234 | 602,025 |
Netting Adjustment and Cash Collateral | -546,811 | -562,902 |
Total derivative assets after cash collateral presented in the Statements of Condition | 38,423 | 39,123 |
Cash collateral and related accrued interest posted by counterparties, netted against derivative assets | 93,700 | 143,200 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 1,952,382 | 1,893,494 |
Netting Adjustment and Cash Collateral | -1,614,673 | -1,548,252 |
Total derivative liabilities after cash collateral presented in the Statements of Condition | 337,709 | 345,242 |
Cash collateral posted, netted against derivative liabilities | 1,200,000 | 1,100,000 |
Mortgage delivery commitments | ||
Derivative Assets | ||
Cash collateral and related accrued interest posted by counterparties, netted against derivative assets | 0 | 0 |
Derivative Liabilities | ||
Cash collateral posted, netted against derivative liabilities | 0 | 0 |
Intermediation / Cleared | Swaps | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 131,000 | 110,000 |
Derivatives designated as hedging instruments | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 78,255,381 | 80,013,677 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 561,790 | 580,451 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 1,946,226 | 1,886,467 |
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 | 76,999,381 | 78,680,077 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 561,451 | 578,275 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 1,844,252 | 1,803,325 |
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 | 1,256,000 | 1,333,600 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 339 | 2,176 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 101,974 | 83,142 |
Derivatives not designated as hedging instruments | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 32,450,399 | 31,032,779 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 23,444 | 21,574 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 6,156 | 7,027 |
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 | 29,466,531 | 28,099,243 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 16,245 | 12,530 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 5,093 | 5,733 |
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 | 2,698,000 | 2,698,000 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 5,956 | 7,624 |
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 | 23,868 | 15,536 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 85 | 53 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 5 | 9 |
Derivatives not designated as hedging instruments | Intermediation / Cleared | Swaps | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 262,000 | 220,000 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 1,158 | 1,367 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | $1,058 | $1,285 |
Derivatives_and_Hedging_Activi6
Derivatives and Hedging Activities. (Details 5) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Components of net gains/ (losses) on derivatives and hedging activities as presented in the Statements of Income | ||
Gains (Losses) on Derivative | ($18,688) | $172,010 |
Gains (Losses) on Hedged Item | 24,787 | -174,132 |
Earnings Impact | 6,099 | -2,122 |
Net Interest Income | 119,094 | 108,120 |
Derivatives not designated as hedging instruments | ||
Components of net gains/ (losses) on derivatives and hedging activities as presented in the Statements of Income | ||
Gains (Losses) on Derivative | 6,997 | -4,069 |
Earnings Impact | 6,997 | -4,069 |
Derivatives not designated as hedging instruments | Interest rate swaps | ||
Components of net gains/ (losses) on derivatives and hedging activities as presented in the Statements of Income | ||
Gains (Losses) on Derivative | 986 | -380 |
Earnings Impact | 986 | -380 |
Derivatives not designated as hedging instruments | Interest rate caps or floors | ||
Components of net gains/ (losses) on derivatives and hedging activities as presented in the Statements of Income | ||
Gains (Losses) on Derivative | -1,642 | -8,246 |
Earnings Impact | -1,642 | -8,246 |
Derivatives not designated as hedging instruments | Mortgage delivery commitments | ||
Components of net gains/ (losses) on derivatives and hedging activities as presented in the Statements of Income | ||
Gains (Losses) on Derivative | -93 | 110 |
Earnings Impact | -93 | 110 |
Derivatives not designated as hedging instruments | Swaps | ||
Components of net gains/ (losses) on derivatives and hedging activities as presented in the Statements of Income | ||
Gains (Losses) on Derivative | 3,053 | 792 |
Earnings Impact | 3,053 | 792 |
Derivatives not designated as hedging instruments | Swaps | Accrued interest | ||
Components of net gains/ (losses) on derivatives and hedging activities as presented in the Statements of Income | ||
Gains (Losses) on Derivative | 4,693 | 3,655 |
Earnings Impact | 4,693 | 3,655 |
Fair value hedges | Interest rate swaps | ||
Components of net gains/ (losses) on derivatives and hedging activities as presented in the Statements of Income | ||
Gains (Losses) on Derivative | -25,420 | 176,079 |
Gains (Losses) on Hedged Item | 24,787 | -174,132 |
Earnings Impact | -633 | 1,947 |
Net Interest Income | -174,549 | -193,815 |
Fair value hedges | Interest rate swaps | Advances | ||
Components of net gains/ (losses) on derivatives and hedging activities as presented in the Statements of Income | ||
Gains (Losses) on Derivative | -120,546 | 111,825 |
Gains (Losses) on Hedged Item | 119,486 | -111,192 |
Earnings Impact | -1,060 | 633 |
Net Interest Income | -237,210 | -252,423 |
Fair value hedges | Interest rate swaps | Consolidated obligations - bonds | ||
Components of net gains/ (losses) on derivatives and hedging activities as presented in the Statements of Income | ||
Gains (Losses) on Derivative | 95,126 | 64,254 |
Gains (Losses) on Hedged Item | -94,699 | -62,940 |
Earnings Impact | 427 | 1,314 |
Net Interest Income | 62,661 | 58,608 |
Cash flow hedges | Interest rate swaps | ||
Components of net gains/ (losses) on derivatives and hedging activities as presented in the Statements of Income | ||
Gains (Losses) on Derivative | -265 | |
Earnings Impact | -265 | |
Net Interest Income | ($8,624) | ($8,648) |
Derivatives_and_Hedging_Activi7
Derivatives and Hedging Activities. (Details 6) (USD $) | 3 Months Ended | 12 Months Ended | 3 Months Ended |
Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 | |
Derivative instruments | |||
Notional amounts outstanding | $110,705,780,000 | $111,046,456,000 | |
Interest rate swaps | Consolidated obligations - bonds | |||
Derivative instruments | |||
Unrecognized losses in AOCI to be recognized over the next 12 months as a yield adjustment (expenses) to consolidated debt interest expense | 2,100,000 | ||
Interest rate swaps | Consolidated obligations - bonds | Minimum | |||
Derivative instruments | |||
Cash flow hedge, maximum period of time of hedged exposure | 3 months | ||
Interest rate swaps | Consolidated obligations - bonds | Maximum | |||
Derivative instruments | |||
Cash flow hedge, maximum period of time of hedged exposure | 9 months | ||
Interest rate swaps | Consolidated obligations - bonds | Open derivative contracts | |||
Derivative instruments | |||
Losses on cash flow hedges in AOCI | 200,000 | ||
Interest rate swaps | Consolidated obligations - bonds | Closed derivative contracts | |||
Derivative instruments | |||
Losses on cash flow hedges in AOCI | 6,600,000 | 5,700,000 | |
Interest rate swaps | Consolidated obligations - discount notes | |||
Derivative instruments | |||
Cash flow hedge, maximum period of time of hedged exposure | 14 years | ||
Interest rate swaps | Consolidated obligations - discount notes | Open derivative contracts | |||
Derivative instruments | |||
Losses on cash flow hedges in AOCI | 101,600,000 | 80,800,000 | |
Cash flow hedges | Interest rate swaps | |||
Derivative instruments | |||
Recognized in AOCI | -22,095,000 | -20,308,000 | |
Amount Reclassified to Earnings | 505,000 | 736,000 | |
Ineffectiveness Recognized in Earnings | -265,000 | ||
Cash flow hedges | Interest rate swaps | Consolidated obligations - bonds | |||
Derivative instruments | |||
Recognized in AOCI | -1,237,000 | ||
Ineffectiveness Recognized in Earnings | -265,000 | ||
Cash flow hedges | Interest rate swaps | Consolidated obligations - bonds | Open derivative contracts | |||
Derivative instruments | |||
Number of contracts | 0 | ||
Notional amounts outstanding | 77,600,000 | ||
Cash flow hedges | Interest rate swaps | Consolidated obligations - bonds | Interest Expense | |||
Derivative instruments | |||
Amount Reclassified to Earnings | 505,000 | 736,000 | |
Cash flow hedges | Interest rate swaps | Consolidated obligations - discount notes | |||
Derivative instruments | |||
Recognized in AOCI | -20,858,000 | -20,308,000 | |
Cash flow hedges | Interest rate swaps | Consolidated obligations - discount notes | Open derivative contracts | |||
Derivative instruments | |||
Notional amounts outstanding | $1,300,000,000 | $1,300,000,000 |
Fair_Values_of_Financial_Instr2
Fair Values of Financial Instruments. (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 | Dec. 31, 2013 |
Assets | ||||
Cash and due from banks | $204,119,000 | $6,458,943,000 | ||
Securities purchased under agreements to resell | 6,000,000,000 | 800,000,000 | 500,000,000 | |
Federal funds sold | 7,697,000,000 | 10,018,000,000 | ||
Available-for-sale securities | 1,173,333,000 | 1,234,427,000 | ||
Held-to-maturity securities | 13,588,452,000 | 13,416,183,000 | ||
Advances | 88,523,609,000 | 98,797,497,000 | ||
Accrued interest receivable | 169,571,000 | 172,003,000 | ||
Derivative assets | 38,423,000 | 39,123,000 | ||
Derivative assets, before netting and cash collateral | 585,234,000 | 602,025,000 | ||
Netting Adjustment and Cash Collateral | -546,811,000 | -562,902,000 | ||
Liabilities | ||||
Consolidated obligations - Bonds | 66,083,078,000 | 73,535,543,000 | ||
Consolidated obligations - Discount Notes | 44,923,769,000 | 50,044,105,000 | ||
Mandatorily redeemable capital stock | 19,097,000 | 19,200,000 | 23,915,000 | 23,994,000 |
Accrued interest payable | 119,257,000 | 120,524,000 | ||
Derivative liabilities | 337,709,000 | 345,242,000 | ||
Derivative liabilities, before netting and cash collateral | 1,952,382,000 | 1,893,494,000 | ||
Netting Adjustment and Cash Collateral | -1,614,673,000 | -1,548,252,000 | ||
Carrying Value | ||||
Assets | ||||
Cash and due from banks | 204,119,000 | 6,458,943,000 | ||
Securities purchased under agreements to resell | 6,000,000,000 | 800,000,000 | ||
Federal funds sold | 7,697,000,000 | 10,018,000,000 | ||
Available-for-sale securities | 1,173,333,000 | 1,234,427,000 | ||
Held-to-maturity securities | 13,248,810,000 | 13,148,179,000 | ||
Advances | 88,523,609,000 | 98,797,497,000 | ||
Mortgage loans held-for-portfolio, net | 2,298,524,000 | 2,129,239,000 | ||
Accrued interest receivable | 169,571,000 | 172,003,000 | ||
Derivative assets | 38,423,000 | 39,123,000 | ||
Other financial assets | 2,998,000 | 1,980,000 | ||
Liabilities | ||||
Deposits | 1,607,167,000 | 1,998,919,000 | ||
Consolidated obligations - Bonds | 66,083,078,000 | 73,535,543,000 | ||
Consolidated obligations - Discount Notes | 44,923,769,000 | 50,044,105,000 | ||
Mandatorily redeemable capital stock | 19,097,000 | 19,200,000 | ||
Accrued interest payable | 119,257,000 | 120,524,000 | ||
Derivative liabilities | 337,709,000 | 345,242,000 | ||
Other financial liabilities | 35,802,000 | 38,443,000 | ||
Estimated Fair Value | ||||
Assets | ||||
Cash and due from banks | 204,119,000 | 6,458,943,000 | ||
Securities purchased under agreements to resell | 5,999,993,000 | 799,998,000 | ||
Federal funds sold | 7,696,987,000 | 10,017,965,000 | ||
Available-for-sale securities | 1,173,333,000 | 1,234,427,000 | ||
Held-to-maturity securities | 13,588,452,000 | 13,416,183,000 | ||
Advances | 88,568,162,000 | 98,828,195,000 | ||
Mortgage loans held-for-portfolio, net | 2,362,152,000 | 2,182,755,000 | ||
Accrued interest receivable | 169,571,000 | 172,003,000 | ||
Derivative assets | 38,423,000 | 39,123,000 | ||
Other financial assets | 2,998,000 | 1,980,000 | ||
Liabilities | ||||
Deposits | 1,607,171,000 | 1,998,923,000 | ||
Consolidated obligations - Bonds | 66,088,961,000 | 73,445,340,000 | ||
Consolidated obligations - Discount Notes | 44,922,732,000 | 50,043,107,000 | ||
Mandatorily redeemable capital stock | 19,097,000 | 19,200,000 | ||
Accrued interest payable | 119,257,000 | 120,524,000 | ||
Derivative liabilities | 337,709,000 | 345,242,000 | ||
Other financial liabilities | 35,802,000 | 38,443,000 | ||
Estimated Fair Value | Level 1 | ||||
Assets | ||||
Cash and due from banks | 204,119,000 | 6,458,943,000 | ||
Available-for-sale securities | 22,216,000 | 17,947,000 | ||
Liabilities | ||||
Mandatorily redeemable capital stock | 19,097,000 | 19,200,000 | ||
Other financial liabilities | 35,802,000 | 38,443,000 | ||
Estimated Fair Value | Level 2 | ||||
Assets | ||||
Securities purchased under agreements to resell | 5,999,993,000 | 799,998,000 | ||
Federal funds sold | 7,696,987,000 | 10,017,965,000 | ||
Available-for-sale securities | 1,151,117,000 | 1,216,480,000 | ||
Held-to-maturity securities | 12,432,021,000 | 12,241,378,000 | ||
Advances | 88,568,162,000 | 98,828,195,000 | ||
Mortgage loans held-for-portfolio, net | 2,362,152,000 | 2,182,755,000 | ||
Accrued interest receivable | 169,571,000 | 172,003,000 | ||
Derivative assets, before netting and cash collateral | 585,234,000 | 602,025,000 | ||
Liabilities | ||||
Deposits | 1,607,171,000 | 1,998,923,000 | ||
Consolidated obligations - Bonds | 66,088,961,000 | 73,445,340,000 | ||
Consolidated obligations - Discount Notes | 44,922,732,000 | 50,043,107,000 | ||
Accrued interest payable | 119,257,000 | 120,524,000 | ||
Derivative liabilities, before netting and cash collateral | 1,952,382,000 | 1,893,494,000 | ||
Estimated Fair Value | Level 3 | ||||
Assets | ||||
Held-to-maturity securities | 1,156,431,000 | 1,174,805,000 | ||
Other financial assets | $2,998,000 | $1,980,000 |
Fair_Values_of_Financial_Instr3
Fair Values of Financial Instruments. (Details 2) (USD $) | 3 Months Ended | 12 Months Ended | 0 Months Ended | ||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | Mar. 31, 2015 | Dec. 31, 2014 | |
item | Point | ||||
Fair Values of Financial Instruments. | |||||
Asset transfers in/out of Level 1, Level 2 or Level 3 | 0 | 0 | $0 | $0 | |
Liability transfers in/out of Level 1, Level 2 or Level 3 | 0 | 0 | 0 | 0 | |
Summary of Valuation Techniques and Primary Inputs | |||||
Held-to-maturity securities | 13,588,452,000 | 13,416,183,000 | 13,588,452,000 | 13,416,183,000 | |
Credit adjustment to recorded fair value of Derivative assets | 0 | 0 | 0 | 0 | |
Credit adjustment to recorded fair value of Derivative liabilities | 0 | 0 | 0 | 0 | |
Minimum | |||||
Summary of Valuation Techniques and Primary Inputs | |||||
Maturity or repricing period of advances which requires a prepayment fee | 6 months | ||||
Quantitative threshold for significance factor, advances | 10.00% | ||||
Mortgage-backed securities (MBS) | |||||
Summary of Valuation Techniques and Primary Inputs | |||||
Number of third-party vendors | 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 | ||||
Mortgage-backed securities (MBS) | Minimum | |||||
Summary of Valuation Techniques and Primary Inputs | |||||
Number of third-party vendors, price available subject to additional validation | 0 | ||||
Mortgage-backed securities (MBS) | Maximum | |||||
Summary of Valuation Techniques and Primary Inputs | |||||
Number of third-party vendors | 4 | 4 | |||
Number of third-party vendors, price available subject to additional validation | 1 | ||||
Private-label MBS | Residential mortgage-backed securities | Maximum | |||||
Summary of Valuation Techniques and Primary Inputs | |||||
Number of points from median price to be included among the cluster | 7 | 7 | |||
GSE | Mortgage-backed securities (MBS) | Maximum | |||||
Summary of Valuation Techniques and Primary Inputs | |||||
Number of points from median price to be included among the cluster | 2 | ||||
Measured on a nonrecurring basis | |||||
Summary of Valuation Techniques and Primary Inputs | |||||
Held-to-maturity securities | 0 | 0 | 0 | 0 | |
Measured on a nonrecurring basis | Mortgage-backed securities (MBS) | |||||
Summary of Valuation Techniques and Primary Inputs | |||||
Securities determined to be OTTI | $0 | $0 |
Fair_Values_of_Financial_Instr4
Fair Values of Financial Instruments. (Details 3) (USD $) | 0 Months Ended | |
Mar. 31, 2015 | Dec. 31, 2014 | |
Assets | ||
Available-for-sale securities | $1,173,333,000 | $1,234,427,000 |
Advances | 6,505,141,000 | 15,655,403,000 |
Derivative assets | 38,338,000 | 39,070,000 |
Derivative assets | 585,149,000 | 601,972,000 |
Netting Adjustment and Cash Collateral | -546,811,000 | -562,902,000 |
Held-to-maturity securities | 13,588,452,000 | 13,416,183,000 |
Liabilities | ||
Consolidated obligations - Discount Notes | -44,923,769,000 | -50,044,105,000 |
Consolidated obligations - Bonds | -66,083,078,000 | -73,535,543,000 |
Derivative liabilities | -337,704,000 | -345,233,000 |
Derivative liabilities | -1,952,377,000 | -1,893,485,000 |
Netting Adjustment and Cash Collateral | -1,614,673,000 | -1,548,252,000 |
Mortgage delivery commitments | ||
Assets | ||
Derivative assets | 85,000 | 53,000 |
Liabilities | ||
Derivative liabilities | -5,000 | -9,000 |
Measured on a recurring basis | ||
Assets | ||
Netting Adjustment and Cash Collateral | -546,811,000 | -562,902,000 |
Liabilities | ||
Netting Adjustment and Cash Collateral | 1,614,673,000 | 1,548,252,000 |
Measured on a recurring basis | Interest-rate derivatives | ||
Assets | ||
Netting Adjustment and Cash Collateral | -546,811,000 | -562,902,000 |
Liabilities | ||
Netting Adjustment and Cash Collateral | 1,614,673,000 | 1,548,252,000 |
Measured on a recurring basis | Estimated Fair Value | ||
Assets | ||
Total assets at fair value | 7,716,897,000 | 16,928,953,000 |
Liabilities | ||
Total liabilities at fair value Disclosure, Total | 29,131,914,000 | 27,758,471,000 |
Measured on a recurring basis | Estimated Fair Value | Fair value option | ||
Assets | ||
Advances | 6,505,141,000 | 15,655,403,000 |
Liabilities | ||
Consolidated obligations - Discount Notes | -13,121,826,000 | -7,890,027,000 |
Consolidated obligations - Bonds | -15,672,379,000 | -19,523,202,000 |
Measured on a recurring basis | Estimated Fair Value | Interest-rate derivatives | ||
Assets | ||
Derivative assets | 38,338,000 | 39,070,000 |
Liabilities | ||
Derivative liabilities | -337,704,000 | -345,233,000 |
Measured on a recurring basis | Estimated Fair Value | Mortgage delivery commitments | ||
Assets | ||
Derivative assets | 85,000 | 53,000 |
Liabilities | ||
Derivative liabilities | -5,000 | -9,000 |
Measured on a recurring basis | Estimated Fair Value | Equity and bond funds | ||
Assets | ||
Available-for-sale securities | 22,216,000 | 17,947,000 |
Measured on a recurring basis | Estimated Fair Value | GSE | Mortgage-backed securities (MBS) | ||
Assets | ||
Available-for-sale securities | 1,151,117,000 | 1,216,480,000 |
Measured on a recurring basis | Level 1 | ||
Assets | ||
Total assets at fair value | 22,216,000 | 17,947,000 |
Measured on a recurring basis | Level 1 | Equity and bond funds | ||
Assets | ||
Available-for-sale securities | 22,216,000 | 17,947,000 |
Measured on a recurring basis | Level 2 | ||
Assets | ||
Total assets at fair value | 8,241,492,000 | 17,473,908,000 |
Liabilities | ||
Total liabilities at fair value Disclosure, Total | 30,746,587,000 | 29,306,723,000 |
Measured on a recurring basis | Level 2 | Fair value option | ||
Assets | ||
Advances | 6,505,141,000 | 15,655,403,000 |
Liabilities | ||
Consolidated obligations - Discount Notes | -13,121,826,000 | -7,890,027,000 |
Consolidated obligations - Bonds | -15,672,379,000 | -19,523,202,000 |
Measured on a recurring basis | Level 2 | Interest-rate derivatives | ||
Assets | ||
Derivative assets | 585,149,000 | 601,972,000 |
Liabilities | ||
Derivative liabilities | -1,952,377,000 | -1,893,485,000 |
Measured on a recurring basis | Level 2 | Mortgage delivery commitments | ||
Assets | ||
Derivative assets | 85,000 | 53,000 |
Liabilities | ||
Derivative liabilities | -5,000 | -9,000 |
Measured on a recurring basis | Level 2 | GSE | Mortgage-backed securities (MBS) | ||
Assets | ||
Available-for-sale securities | 1,151,117,000 | 1,216,480,000 |
Measured on a nonrecurring basis | ||
Assets | ||
Held-to-maturity securities | 0 | 0 |
Measured on a nonrecurring basis | Mortgage-backed securities (MBS) | ||
Assets | ||
Securities determined to be OTTI | 0 | 0 |
Measured on a nonrecurring basis | Estimated Fair Value | ||
Assets | ||
Held-to-maturity securities | $0 | $0 |
Fair_Values_of_Financial_Instr5
Fair Values of Financial Instruments. (Details 4) (USD $) | 0 Months Ended | 3 Months Ended | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2014 | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 |
Activity related to financial instruments for which the Bank elected the fair value option | ||||
Net Gains (Losses) Due to Changes in Fair Value | ($3,090) | $805 | ||
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected | ||||
Interest Income | 131,198 | 113,851 | ||
Net Gains (Losses) Due to Changes in Fair Value | -3,090 | 805 | ||
Advances | ||||
Fair Value Option Disclosures | ||||
Adjustments to fair values of assets recorded under fair value option for instrument-specific credit risk | 0 | 0 | 0 | |
Activity related to financial instruments for which the Bank elected the fair value option | ||||
Balance, beginning of the period | 15,655,403 | 15,655,403 | 19,205,399 | 19,205,399 |
New transactions elected for fair value option | 2,600,000 | 5,450,000 | 15,900,000 | |
Maturities and terminations | -11,751,015 | -5,450,000 | -19,450,000 | |
Net Gains (Losses) Due to Changes in Fair Value | 4,367 | 1,887 | -555 | |
Change in accrued interest/ unaccreted balance | -3,614 | -161 | 559 | |
Balance, end of the period | 15,655,403 | 6,505,141 | 19,207,125 | 15,655,403 |
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 | 4,367 | 1,887 | -555 | |
Total Change in Fair Value Included in Current Period Earnings | 19,348 | 21,259 | ||
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 | 15,650,000 | 6,500,000 | 19,200,000 | 15,650,000 |
Aggregate Fair Value | 15,655,403 | 6,505,141 | 19,207,125 | 15,655,403 |
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | 5,403 | 5,141 | 7,125 | 5,403 |
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 | 14,981 | 19,372 | ||
Consolidated obligations | ||||
Fair Value Option Disclosures | ||||
Adjustments to fair values of liabilities recorded under fair value option for instrument-specific credit risk | 0 | 0 | 0 | |
Activity related to financial instruments for which the Bank elected the fair value option | ||||
Balance, beginning of the period | -27,413,229 | -27,413,229 | ||
Net Gains (Losses) Due to Changes in Fair Value | -7,457 | -1,082 | ||
Balance, end of the period | -28,794,205 | -26,930,564 | ||
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 | -7,457 | -1,082 | ||
Total Change in Fair Value Included in Current Period Earnings | -21,313 | -11,515 | ||
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 | 27,402,043 | 28,775,797 | 26,917,553 | 27,402,043 |
Aggregate Fair Value | 28,794,205 | 26,930,564 | ||
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | 11,186 | 18,408 | 13,011 | 11,186 |
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 | -13,856 | -10,433 | ||
Consolidated obligations - bonds | ||||
Activity related to financial instruments for which the Bank elected the fair value option | ||||
Balance, beginning of the period | -19,523,202 | -22,868,401 | -22,868,401 | |
New transactions elected for fair value option | -2,948,650 | -5,400,000 | -21,865,080 | |
Maturities and terminations | 6,800,000 | 8,300,000 | 25,210,000 | |
Net Gains (Losses) Due to Changes in Fair Value | -4,439 | -940 | 2,212 | |
Change in accrued interest/ unaccreted balance | 3,912 | 20 | -1,933 | |
Balance, end of the period | -19,523,202 | -15,672,379 | -19,969,321 | -19,523,202 |
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 | -4,439 | -940 | 2,212 | |
Total Change in Fair Value Included in Current Period Earnings | -13,163 | -9,561 | ||
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 | 19,515,080 | 15,663,730 | 19,960,000 | 19,515,080 |
Aggregate Fair Value | 19,523,202 | 15,672,379 | 19,969,321 | 19,523,202 |
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | 8,122 | 8,649 | 9,321 | 8,122 |
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 | -8,724 | -8,621 | ||
Consolidated obligations - discount notes | ||||
Activity related to financial instruments for which the Bank elected the fair value option | ||||
Balance, beginning of the period | -7,890,027 | -4,260,635 | -4,260,635 | |
New transactions elected for fair value option | -8,123,647 | -2,698,657 | -12,384,875 | |
Maturities and terminations | 2,898,543 | 8,756,808 | ||
Net Gains (Losses) Due to Changes in Fair Value | -3,018 | -142 | 935 | |
Change in accrued interest/ unaccreted balance | -3,677 | -1,809 | -2,260 | |
Balance, end of the period | -7,890,027 | -13,121,826 | -6,961,243 | -7,890,027 |
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 | -3,018 | -142 | 935 | |
Total Change in Fair Value Included in Current Period Earnings | -8,150 | -1,954 | ||
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 | 7,886,963 | 13,112,067 | 6,957,553 | 7,886,963 |
Aggregate Fair Value | 7,890,027 | 13,121,826 | 6,961,243 | 7,890,027 |
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | 3,064 | 9,759 | 3,690 | 3,064 |
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 | ($5,132) | ($1,812) |
Commitments_and_Contingencies_1
Commitments and Contingencies. (Details) (USD $) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2015 | Dec. 31, 2014 | |
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 | All other FHLBanks | Consolidated obligations | ||
Guarantee obligations | ||
Aggregate amount outstanding | $800,000,000,000 | $800,000,000,000 |
Standby letters of credit | ||
Guarantee obligations | ||
Aggregate amount outstanding | 9,400,000,000 | 9,500,000,000 |
Maximum original terms | 15 years | 15 years |
Standby letters of credit | Other liabilities | Maximum | ||
Guarantee obligations | ||
Unearned fees | $1,000,000 | $1,000,000 |
Commitments_and_Contingencies_2
Commitments and Contingencies. (Details 2) (USD $) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2015 | Dec. 31, 2014 | |
Mortgage loans receivable (MPF) | ||
Commitments | ||
Conditional purchase obligation | $1,400,000,000 | $1,500,000,000 |
Mortgage loans receivable (MPF) | ||
Commitments | ||
Unconditional purchase obligation | $23,900,000 | $15,500,000 |
Maximum commitment period | 45 days | 45 days |
Commitments_and_Contingencies_3
Commitments and Contingencies. (Details 3) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Billions, unless otherwise specified | ||
Derivative contracts with counterparty credit exposure | ||
Cash collateral posted | $1.20 | $1.10 |
Commitments_and_Contingencies_4
Commitments and Contingencies. (Details 4) (USD $) | 3 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2015 |
Contractual obligations and commitments | |
Less Than One Year | $45,324,558 |
Greater Than One Year to Three Years | 19,442,329 |
Greater Than Three Years to Five Years | 5,227,937 |
Greater Than Five Years | 5,797,854 |
Total | 75,792,678 |
Contractual Obligations | |
Contractual obligations and commitments | |
Less Than One Year | 35,734,293 |
Greater Than One Year to Three Years | 19,413,540 |
Greater Than Three Years to Five Years | 5,210,628 |
Greater Than Five Years | 5,797,854 |
Total | 66,156,315 |
Consolidated obligations - bonds | |
Contractual obligations and commitments | |
Less Than One Year | 35,535,625 |
Greater Than One Year to Three Years | 19,205,345 |
Greater Than Three Years to Five Years | 5,116,560 |
Greater Than Five Years | 5,587,780 |
Total | 65,445,310 |
Weighted average contractual interest rate for long-term debt | 0.88% |
Long-term debt obligations - interest payments | |
Contractual obligations and commitments | |
Less Than One Year | 144,318 |
Greater Than One Year to Three Years | 195,870 |
Greater Than Three Years to Five Years | 77,538 |
Greater Than Five Years | 156,854 |
Total | 574,580 |
Mandatorily redeemable capital stock | |
Contractual obligations and commitments | |
Less Than One Year | 93 |
Greater Than One Year to Three Years | 5,696 |
Greater Than Three Years to Five Years | 11,025 |
Greater Than Five Years | 2,283 |
Total | 19,097 |
Other liabilities | |
Contractual obligations and commitments | |
Less Than One Year | 54,257 |
Greater Than One Year to Three Years | 6,629 |
Greater Than Three Years to Five Years | 5,505 |
Greater Than Five Years | 50,937 |
Total | 117,328 |
Other commitments | |
Contractual obligations and commitments | |
Less Than One Year | 9,590,265 |
Greater Than One Year to Three Years | 28,789 |
Greater Than Three Years to Five Years | 17,309 |
Total | 9,636,363 |
Provision for off-balance sheet credit losses | 0 |
Standby letters of credit | |
Contractual obligations and commitments | |
Less Than One Year | 9,337,018 |
Greater Than One Year to Three Years | 28,789 |
Greater Than Three Years to Five Years | 17,309 |
Total | 9,383,116 |
Consolidated obligations - bonds/discount notes traded not settled | |
Contractual obligations and commitments | |
Less Than One Year | 184,620 |
Total | 184,620 |
Commitments to fund additional advances | |
Contractual obligations and commitments | |
Less Than One Year | 44,759 |
Total | 44,759 |
Open delivery commitments (MPF) | |
Contractual obligations and commitments | |
Less Than One Year | 23,868 |
Total | $23,868 |
Commitments_and_Contingencies_5
Commitments and Contingencies. (Details 5) (Bankruptcy of counterparty, Lehman Brothers Special Financing Inc., USD $) | 1 Months Ended | 0 Months Ended | |||||
Oct. 31, 2008 | 5-May-15 | Oct. 03, 2008 | Sep. 18, 2008 | Mar. 31, 2015 | Dec. 06, 2010 | Dec. 02, 2008 | |
Bankruptcy of Lehman Brothers | |||||||
Notional amount of derivative transactions at time of termination | $16,500,000,000 | ||||||
Net amount due to Bank after giving effect to obligations that were due LBSF and Bank collateral posted with and netted by LBSF | 65,000,000 | ||||||
Proofs of claim filed as creditor of Lehman Brothers | 65,000,000 | ||||||
Lehman Brothers Derivatives ADR Procedure | |||||||
Bankruptcy of Lehman Brothers | |||||||
Principal amount | 198,000,000 | 198,000,000 | 198,000,000 | ||||
Contingent amount payable to Lehman Brothers in connection with ADR Notice | 268,000,000 | ||||||
Lehman Brothers Derivatives ADR Procedure | LIBOR | |||||||
Bankruptcy of Lehman Brothers | |||||||
Basis points added to reference rate (as a percent) | 13.50% | 13.50% | |||||
Lehman Brothers Derivatives ADR Procedure | Expected | |||||||
Bankruptcy of Lehman Brothers | |||||||
Proofs of claim filed as creditor of Lehman Brothers | $45,000,000 |
Related_Party_Transactions_Det
Related Party Transactions. (Details) (USD $) | 3 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2013 | |
Related Party Transactions. | ||||
Advances transferred/sold by FHLBNY to another FHLBank | $0 | $0 | ||
Mortgage-backed securities acquired by FHLBNY from another FHLBank | 0 | 0 | ||
Loans to Other Federal Home Loan Banks | 900,000,000 | 1,300,000,000 | ||
Borrowing period from other FHLBanks | 1 day | |||
Overnight loan borrowed from other FHL Banks | 0 | 0 | ||
Related Party Transactions | ||||
Notional amounts outstanding | 110,705,780,000 | 111,046,456,000 | ||
Assets | ||||
Cash and due from banks | 204,119,000 | 6,458,943,000 | ||
Securities purchased under agreements to resell | 6,000,000,000 | 500,000,000 | 800,000,000 | |
Federal funds sold | 7,697,000,000 | 10,018,000,000 | ||
Available-for-sale securities | 1,173,333,000 | 1,234,427,000 | ||
Held-to-maturity securities | 13,248,810,000 | 13,148,179,000 | ||
Advances | 88,523,609,000 | 98,797,497,000 | ||
Mortgage loans | 2,298,524,000 | 2,129,239,000 | ||
Accrued interest receivable | 169,571,000 | 172,003,000 | ||
Premises, software, and equipment | 10,536,000 | 10,669,000 | ||
Derivative assets | 38,423,000 | 39,123,000 | ||
Other assets | 15,139,000 | 17,288,000 | ||
Total assets | 119,379,064,000 | 132,825,368,000 | ||
Liabilities and capital | ||||
Deposits | 1,607,167,000 | 1,998,919,000 | ||
Consolidated obligations | 111,006,847,000 | 123,579,648,000 | ||
Mandatorily redeemable capital stock | 19,097,000 | 23,915,000 | 19,200,000 | 23,994,000 |
Accrued interest payable | 119,257,000 | 120,524,000 | ||
Affordable Housing Program | 109,572,000 | 124,266,000 | 113,544,000 | 123,060,000 |
Derivative liabilities | 337,709,000 | 345,242,000 | ||
Other liabilities | 117,328,000 | 122,433,000 | ||
Total liabilities | 113,316,977,000 | 126,299,510,000 | ||
Total capital | 6,062,087,000 | 6,352,601,000 | 6,525,858,000 | 6,485,654,000 |
Total liabilities and capital | 119,379,064,000 | 132,825,368,000 | ||
Cash collateral posted, netted against derivative liabilities | 1,200,000,000 | 1,100,000,000 | ||
Interest expense | 102,316,000 | 95,111,000 | ||
Intermediation / Cleared | Swaps | ||||
Related Party Transactions | ||||
Notional amounts outstanding | 131,000,000 | 110,000,000 | ||
FHLBank of Chicago | MPF program services | ||||
Related Party Transactions | ||||
Purchases of mortgage loans, cumulative participations by other Federal Home Loan Banks | 26,300,000 | 27,900,000 | ||
Fees paid | 300,000 | 200,000 | ||
FHLBank of Chicago | Use of MBS cash flow model | ||||
Related Party Transactions | ||||
Annual fee | 6,000 | |||
Smaller members | Intermediation / Cleared | Swaps | ||||
Related Party Transactions | ||||
Notional amounts outstanding | 131,000,000 | 110,000,000 | ||
Citibank, N.A. | Derivatives dealer counterparty | ||||
Related Party Transactions | ||||
Notional amounts outstanding | 3,800,000,000 | 5,100,000,000 | ||
Liabilities and capital | ||||
Derivative liabilities | 26,800,000 | 26,500,000 | ||
Cash collateral posted, netted against derivative liabilities | 66,500,000 | 62,100,000 | ||
Citibank, N.A. | Derivatives dealer counterparty | Interest rate swaps | ||||
Liabilities and capital | ||||
Interest expense | 5,100,000 | 10,100,000 | ||
Goldman Sachs Bank USA | Derivatives dealer counterparty | ||||
Related Party Transactions | ||||
Notional amounts outstanding | 3,800,000,000 | 3,800,000,000 | ||
Liabilities and capital | ||||
Derivative liabilities | 37,100,000 | 32,700,000 | ||
Cash collateral posted, netted against derivative liabilities | 120,400,000 | 113,900,000 | ||
Goldman Sachs Bank USA | Derivatives dealer counterparty | Interest rate swaps | ||||
Liabilities and capital | ||||
Interest expense | 21,700,000 | 24,200,000 | ||
Related | ||||
Assets | ||||
Advances | 88,523,609,000 | 98,797,497,000 | ||
Accrued interest receivable | 137,925,000 | 140,535,000 | ||
Other assets | 552,000 | 560,000 | ||
Total assets | 88,662,086,000 | 98,938,592,000 | ||
Liabilities and capital | ||||
Deposits | 1,607,167,000 | 1,998,919,000 | ||
Mandatorily redeemable capital stock | 19,097,000 | 19,200,000 | ||
Accrued interest payable | 15,000 | 15,000 | ||
Affordable Housing Program | 109,572,000 | 113,544,000 | ||
Other liabilities | 35,801,000 | 38,442,000 | ||
Total liabilities | 1,771,652,000 | 2,170,120,000 | ||
Total capital | 6,062,087,000 | 6,525,858,000 | ||
Total liabilities and capital | 7,833,739,000 | 8,695,978,000 | ||
Interest expense | 376,000 | 425,000 | ||
Unrelated | ||||
Assets | ||||
Cash and due from banks | 204,119,000 | 6,458,943,000 | ||
Securities purchased under agreements to resell | 6,000,000,000 | 800,000,000 | ||
Federal funds sold | 7,697,000,000 | 10,018,000,000 | ||
Available-for-sale securities | 1,173,333,000 | 1,234,427,000 | ||
Held-to-maturity securities | 13,248,810,000 | 13,148,179,000 | ||
Mortgage loans | 2,298,524,000 | 2,129,239,000 | ||
Accrued interest receivable | 31,646,000 | 31,468,000 | ||
Premises, software, and equipment | 10,536,000 | 10,669,000 | ||
Derivative assets | 38,423,000 | 39,123,000 | ||
Other assets | 14,587,000 | 16,728,000 | ||
Total assets | 30,716,978,000 | 33,886,776,000 | ||
Liabilities and capital | ||||
Consolidated obligations | 111,006,847,000 | 123,579,648,000 | ||
Accrued interest payable | 119,242,000 | 120,509,000 | ||
Derivative liabilities | 337,709,000 | 345,242,000 | ||
Other liabilities | 81,527,000 | 83,991,000 | ||
Total liabilities | 111,545,325,000 | 124,129,390,000 | ||
Total liabilities and capital | 111,545,325,000 | 124,129,390,000 | ||
Interest expense | $101,940,000 | $94,686,000 |
Related_Party_Transactions_Det1
Related Party Transactions. (Details 2) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Interest income | ||
Advances | $131,198 | $113,851 |
Interest-bearing deposits | 331 | 231 |
Securities purchased under agreements to resell | 240 | 63 |
Federal funds sold | 2,839 | 1,996 |
Available-for-sale securities | 2,044 | 3,002 |
Held-to-maturity securities | 65,440 | 66,623 |
Mortgage loans held-for-portfolio | 19,316 | 17,463 |
Loans to other FHLBanks | 2 | 2 |
Total interest income | 221,410 | 203,231 |
Interest expense | ||
Deposits | 120 | 143 |
Mandatorily redeemable capital stock | 256 | 282 |
Cash collateral held and other borrowings | 63 | 1 |
Total interest expense | 102,316 | 95,111 |
Service fees and other Income and Expenses | 2,964 | 2,732 |
Related | ||
Interest income | ||
Advances | 131,198 | 113,851 |
Loans to other FHLBanks | 2 | 2 |
Total interest income | 131,200 | 113,853 |
Interest expense | ||
Deposits | 120 | 143 |
Mandatorily redeemable capital stock | 256 | 282 |
Total interest expense | 376 | 425 |
Service fees and other Income and Expenses | 2,263 | 2,361 |
Unrelated | ||
Interest income | ||
Interest-bearing deposits | 331 | 231 |
Securities purchased under agreements to resell | 240 | 63 |
Federal funds sold | 2,839 | 1,996 |
Available-for-sale securities | 2,044 | 3,002 |
Held-to-maturity securities | 65,440 | 66,623 |
Mortgage loans held-for-portfolio | 19,316 | 17,463 |
Total interest income | 90,210 | 89,378 |
Interest expense | ||
Consolidated obligations | 101,877 | 94,685 |
Cash collateral held and other borrowings | 63 | 1 |
Total interest expense | 101,940 | 94,686 |
Service fees and other Income and Expenses | $701 | $371 |
Segment_Information_and_Concen2
Segment Information and Concentration. (Details) (USD $) | 3 Months Ended | 12 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 |
item | item | item | |
Segment Information and Concentration. | |||
Large member withdrawals which could significantly decrease assets, capital or business, minimum number | 1 | ||
Advances | |||
Par Advances | $86,832,301 | $97,218,051 | |
Interest Income | 131,198 | 113,851 | |
Par Value of Advances | Credit concentration risk | Top ten advance holders | |||
Segment Information and Concentration. | |||
Number of top advance holders reported for segment reporting | 10 | 10 | 10 |
Advances | |||
Par Advances | 62,496,279 | 66,243,760 | 72,292,771 |
Percentage of Total | 71.97% | 77.26% | 74.36% |
Par Value of Advances | Credit concentration risk | Citibank, N.A. | |||
Advances | |||
Par Advances | 15,250,000 | 22,200,000 | 28,000,000 |
Percentage of Total | 17.56% | 25.89% | 28.80% |
Par Value of Advances | Credit concentration risk | Metropolitan Life Insurance Company | |||
Advances | |||
Par Advances | 12,570,000 | 12,570,000 | 12,570,000 |
Percentage of Total | 14.48% | 14.66% | 12.93% |
Par Value of Advances | Credit concentration risk | New York Community Bancorp, Inc. | |||
Advances | |||
Par Advances | 8,727,727 | 10,150,540 | 9,923,730 |
Percentage of Total | 10.05% | 11.84% | 10.21% |
Par Value of Advances | Credit concentration risk | New York Community Bank | |||
Advances | |||
Par Advances | 7,934,115 | 9,828,128 | 8,887,818 |
Percentage of Total | 9.14% | 11.46% | 9.14% |
Par Value of Advances | Credit concentration risk | New York Commercial Bank | |||
Advances | |||
Par Advances | 793,612 | 322,412 | 1,035,912 |
Percentage of Total | 0.91% | 0.38% | 1.07% |
Par Value of Advances | Credit concentration risk | Hudson City Savings Bank, FSB | |||
Advances | |||
Par Advances | 6,025,000 | 6,025,000 | 6,025,000 |
Percentage of Total | 6.94% | 7.03% | 6.20% |
Par Value of Advances | Credit concentration risk | HSBC Bank USA, National Association | |||
Advances | |||
Par Advances | 5,600,000 | ||
Percentage of Total | 6.45% | ||
Par Value of Advances | Credit concentration risk | First Niagara Bank, National Association | |||
Advances | |||
Par Advances | 4,787,000 | 3,600,000 | 5,049,400 |
Percentage of Total | 5.51% | 4.20% | 5.19% |
Par Value of Advances | Credit concentration risk | Investors Bank | |||
Advances | |||
Par Advances | 3,012,052 | 3,123,407 | 2,616,141 |
Percentage of Total | 3.47% | 3.64% | 2.69% |
Par Value of Advances | Credit concentration risk | Astoria Bank | |||
Advances | |||
Par Advances | 2,400,000 | 2,410,000 | 2,384,000 |
Percentage of Total | 2.76% | 2.81% | 2.45% |
Par Value of Advances | Credit concentration risk | The Prudential Insurance Co. of America | |||
Advances | |||
Par Advances | 2,225,000 | 2,225,000 | 2,225,000 |
Percentage of Total | 2.56% | 2.59% | 2.29% |
Par Value of Advances | Credit concentration risk | Valley National Bank | |||
Advances | |||
Par Advances | 1,899,500 | 2,149,500 | 1,899,500 |
Percentage of Total | 2.19% | 2.51% | 1.95% |
Par Value of Advances | Credit concentration risk | New York Life Insurance Company | |||
Advances | |||
Par Advances | 1,600,000 | ||
Percentage of Total | 1.65% | ||
Par Value of Advances | Credit concentration risk | Signature Bank | |||
Advances | |||
Par Advances | 1,790,313 | ||
Percentage of Total | 2.09% | ||
Interest income, top ten advance holders | Member concentration | Top ten advance holders | |||
Advances | |||
Interest Income | 268,412 | 278,766 | 1,107,998 |
Percentage of Total | 100.00% | 100.00% | 100.00% |
Interest income, top ten advance holders | Member concentration | Citibank, N.A. | |||
Advances | |||
Interest Income | 28,706 | 22,744 | 115,280 |
Percentage of Total | 10.69% | 8.16% | 10.40% |
Interest income, top ten advance holders | Member concentration | Metropolitan Life Insurance Company | |||
Advances | |||
Interest Income | 46,096 | 58,550 | 211,354 |
Percentage of Total | 17.17% | 21.00% | 19.08% |
Interest income, top ten advance holders | Member concentration | New York Community Bancorp, Inc. | |||
Advances | |||
Interest Income | 61,161 | 62,092 | 249,754 |
Percentage of Total | 22.79% | 22.27% | 22.54% |
Interest income, top ten advance holders | Member concentration | New York Community Bank | |||
Advances | |||
Interest Income | 59,850 | 61,296 | 246,245 |
Percentage of Total | 22.30% | 21.98% | 22.22% |
Interest income, top ten advance holders | Member concentration | New York Commercial Bank | |||
Advances | |||
Interest Income | 1,311 | 796 | 3,509 |
Percentage of Total | 0.49% | 0.29% | 0.32% |
Interest income, top ten advance holders | Member concentration | Hudson City Savings Bank, FSB | |||
Advances | |||
Interest Income | 71,522 | 71,447 | 289,985 |
Percentage of Total | 26.65% | 25.63% | 26.18% |
Interest income, top ten advance holders | Member concentration | HSBC Bank USA, National Association | |||
Advances | |||
Interest Income | 4,403 | ||
Percentage of Total | 1.64% | ||
Interest income, top ten advance holders | Member concentration | First Niagara Bank, National Association | |||
Advances | |||
Interest Income | 6,065 | 4,705 | 19,191 |
Percentage of Total | 2.26% | 1.69% | 1.73% |
Interest income, top ten advance holders | Member concentration | Investors Bank | |||
Advances | |||
Interest Income | 14,342 | 14,585 | 58,125 |
Percentage of Total | 5.34% | 5.23% | 5.25% |
Interest income, top ten advance holders | Member concentration | Astoria Bank | |||
Advances | |||
Interest Income | 10,333 | 10,653 | 41,912 |
Percentage of Total | 3.85% | 3.82% | 3.78% |
Interest income, top ten advance holders | Member concentration | The Prudential Insurance Co. of America | |||
Advances | |||
Interest Income | 7,542 | 10,747 | 33,738 |
Percentage of Total | 2.81% | 3.86% | 3.04% |
Interest income, top ten advance holders | Member concentration | Valley National Bank | |||
Advances | |||
Interest Income | 18,242 | 20,045 | 81,047 |
Percentage of Total | 6.80% | 7.19% | 7.31% |
Interest income, top ten advance holders | Member concentration | New York Life Insurance Company | |||
Advances | |||
Interest Income | 7,612 | ||
Percentage of Total | 0.69% | ||
Interest income, top ten advance holders | Member concentration | Signature Bank | |||
Advances | |||
Interest Income | $3,198 | ||
Percentage of Total | 1.15% |