| Fair Values of Financial Instruments. | Note 18. Fair Values of Financial Instruments.
Estimated Fair Values — Summary Tables - Carrying values, the estimated fair values and the levels within the fair value hierarchy were as follows (in thousands):
December 31, 2020
Estimated Fair Value
Netting
Carrying
Adjustment and
Financial Instruments
Value
Total
Level 1
Level 2
Level 3 (a)
Cash Collateral
Assets
Cash and due from banks
$
1,896,155
$
1,896,155
$
1,896,155
$
—
$
—
$
—
Interest-bearing deposits
685,000
685,002
—
685,002
—
—
Securities purchased under agreements to resell
4,650,000
4,649,989
—
4,649,989
—
—
Federal funds sold
6,280,000
6,279,989
—
6,279,989
—
—
Trading securities
11,742,965
11,742,965
11,740,801
2,164
—
—
Equity Investments
80,369
80,369
80,369
—
—
—
Available-for-sale securities
3,435,945
3,435,945
—
3,435,945
—
—
Held-to-maturity securities
12,873,646
13,529,181
—
12,345,026
1,184,155
—
Advances
92,067,104
92,315,784
—
92,315,784
—
—
Mortgage loans held-for-portfolio, net
2,899,712
3,002,883
—
3,002,883
—
—
Accrued interest receivable
189,454
189,454
—
189,454
—
—
Derivative assets
36,669
36,669
—
437,889
—
(401,220)
Other financial assets
133
133
—
—
133
—
Liabilities
Deposits
1,752,963
1,752,974
—
1,752,974
—
—
Consolidated obligations
Bonds
69,716,298
70,610,339
—
70,610,339
—
—
Discount notes
57,658,838
57,663,523
—
57,663,523
—
—
Mandatorily redeemable capital stock
2,991
2,991
2,991
—
—
—
Accrued interest payable
117,982
117,982
—
117,982
—
—
Derivative liabilities
70,760
70,760
—
1,124,475
—
(1,053,715)
Other financial liabilities
32,378
32,378
32,378
—
—
—
December 31, 2019
Estimated Fair Value
Netting
Carrying
Adjustment and
Financial Instruments
Value
Total
Level 1
Level 2
Level 3 (a)
Cash Collateral
Assets
Cash and due from banks
$
603,241
$
603,241
$
603,241
$
—
$
—
$
—
Securities purchased under agreements to resell
14,985,000
14,984,909
—
14,984,909
—
—
Federal funds sold
8,640,000
8,639,966
—
8,639,966
—
—
Trading securities
15,318,809
15,318,809
15,315,592
3,217
—
—
Equity Investments
60,047
60,047
60,047
—
—
—
Available-for-sale securities
2,653,418
2,653,418
—
2,653,418
—
—
Held-to-maturity securities
15,234,482
15,456,606
—
14,223,919
1,232,687
—
Advances
100,695,241
100,738,675
—
100,738,675
—
—
Mortgage loans held-for-portfolio, net
3,173,352
3,190,109
—
3,190,109
—
—
Accrued interest receivable
312,559
312,559
—
312,559
—
—
Derivative assets
237,947
237,947
—
608,808
—
(370,861)
Other financial assets
293
293
—
—
293
—
Liabilities
Deposits
1,194,409
1,194,419
—
1,194,419
—
—
Consolidated obligations
Bonds
78,763,309
78,980,672
—
78,980,672
—
—
Discount notes
73,959,205
73,961,316
—
73,961,316
—
—
Mandatorily redeemable capital stock
5,129
5,129
5,129
—
—
—
Accrued interest payable
156,889
156,889
—
156,889
—
—
Derivative liabilities
32,411
32,411
—
717,974
—
(685,563)
Other financial liabilities
45,388
45,388
45,388
—
—
—
The fair value amounts recorded on the Statements of Condition or presented in the table above have been determined by the FHLBNY using available market information and our reasonable judgment of appropriate valuation methods.
(a)
Level 3 Instruments — The fair values of non-Agency private-label MBS and housing finance agency bonds were estimated by management based on pricing services. Valuations may have required pricing services to use significant inputs that were subjective because of the current lack of significant market activity; the inputs may not be market based and observable.
Fair Value Hierarchy
The FHLBNY records trading securities, equity investments, available-for-sale securities, derivative instruments, and Consolidated obligations and advances elected under the FVO at fair values on a recurring basis. On a non-recurring basis for the FHLBNY, when mortgage loans held-for-portfolio are written down or are foreclosed as Other real estate owned (REO or OREO), they are recorded at the fair values of the real estate collateral supporting the mortgage loans.
The accounting standards under Fair Value Measurement defines fair value, establishes a consistent framework for measuring fair value and requires disclosures about fair value measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Among other things, the standard requires the FHLBNY to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. The standard specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect the FHLBNY’s market assumptions.
These two types of inputs have created the following fair value hierarchy, and an entity must disclose the level within the fair value hierarchy in which the measurements are classified for all assets and liabilities measured on a recurring or non-recurring basis:
·
Level 1 Inputs — Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date.
·
Level 2 Inputs — Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and volatilities).
·
Level 3 Inputs — Inputs that are unobservable and significant to the valuation of the asset or liability.
The inputs are evaluated on an overall level for the fair value measurement to be determined. This overall level is an indication of market observability of the fair value measurement for the asset or liability. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. These reclassifications are reported as transfers in/out as of the beginning of the quarter in which the changes occur. There were no such transfers in any periods in this report.
The availability of observable inputs can vary from product to product and is affected by a wide variety of factors including, for example, the characteristics peculiar to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised by the FHLBNY in determining fair value is greatest for instruments categorized as Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Summary of Valuation Techniques and Primary Inputs
The fair value of a financial instrument that is an asset is defined as the price the FHLBNY would receive to sell the asset in an orderly transaction with market participants. A financial liability’s fair value is defined as the amount that would be paid to transfer the liability to a new obligor, not the amount that would be paid to settle the liability with the creditor. Where available, fair values were based on observable market prices or parameters or derived from such prices or parameters. Where observable prices are not available, valuation models and inputs are utilized. These valuation techniques involve some level of management estimation and judgment, the degree of which is dependent on the price transparency for the instruments or markets and the instruments’ complexity. Because an active secondary market does not exist for a portion of the FHLBNY’s financial instruments, in certain cases, fair values are not subject to precise quantification or verification and may change as economic and market factors and evaluation of those factors change.
For assets and liabilities carried at fair value, the FHLBNY measures fair value using the procedures set out below:
Mortgage-backed securities classified as available-for-sale — The fair value of such securities is estimated by the FHLBNY using pricing primarily from specialized pricing services. The pricing vendors typically use market multiples derived from a set of comparables, including matrix pricing, and other techniques. The FHLBNY’s valuation technique incorporates prices from up to three designated third-party pricing services at December 31, 2020 and December 31, 2019. The FHLBNY’s base investment pricing methodology establishes a median price for each security using a formula that is based on the number of prices received. If three prices are received, the middle price is used; if two prices are received, the average of the two prices is used; and if one price is received, it is used, typically subject to further validation. Vendor prices that are outside of a defined tolerance threshold of the median price are identified as outliers and subject to additional review, including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates, or use of internal model prices, which are deemed to be reflective of all relevant facts and circumstances that a market participant would consider. Such analysis is also applied in those limited instances where no third-party vendor price or only one third-party vendor price is available in order to arrive at an estimated fair value.
The FHLBNY has also concluded that the pricing vendors use methods that generally employ, but are not limited to benchmark yields, recent trades, dealer estimates, valuation models, benchmarking of like securities, sector groupings, and/or matrix pricing.
Based on the FHLBNY’s review processes, management has concluded that inputs into the pricing models employed by pricing services for the FHLBNY’s investments in GSE securities classified as available-for-sale are market based and observable and are considered to be within Level 2 of the fair value hierarchy.
Fair values of Mortgage-backed securities deemed impaired - When a PLMBS is deemed to be impaired, it is recorded at fair value. The valuation of PLMBS may require pricing services to use significant inputs that are subjective and are considered by management to be within Level 3 of the fair value hierarchy. This determination was made based on management’s view that the private-label instruments may not have an active market because of the specific vintage of the securities as well as inherent conditions surrounding the trading of private-label MBS, so that the inputs may not be market based and observable. Historically, impairments have been de minimis. The portfolio of PLMBS has declined as the FHLBNY has ceased acquiring PLMBS.
Trading Securities — The FHLBNY classifies trading securities as Level 1 of the fair value hierarchy when we use quoted market prices in active markets to determine the fair value of trading securities, such as U.S. government securities. We classify trading securities as Level 2 of the fair value hierarchy when we use quoted market prices in less active markets to determine the fair value of trading securities.
Equity Investments — The FHLBNY has a grantor trust, which invest in money market, equity and fixed income and bond funds. Daily net asset values (NAVs) are readily available and investments are redeemable at short notice. NAVs are the fair values of the funds in the grantor trust. Because of the highly liquid nature of the investments at their NAVs, they are categorized as Level 1 financial instruments under the valuation hierarchy.
Advances elected under the FVO — When the FHLBNY elects the FVO designation for certain advances, the advances are recorded at their fair values in the Statements of Condition. The fair values are computed using standard option valuation models. The most significant inputs to the valuation model are (1) Consolidated obligation debt curve (CO Curve), published by the Office of Finance and available to the public, and (2) LIBOR swap curves and volatilities. Both these inputs are considered to be market based and observable as they can be directly corroborated by market participants.
The CO Curve is the primary input, which is market based and observable. Inputs to apply spreads, which are FHLBNY specific, were not material. Fair values were classified within Level 2 of the valuation hierarchy.
The FHLBNY determines the fair values of advances elected under the FVO by calculating the present value of expected future cash flows from the advances, a methodology also referred to as the Income approach under the Fair Value Measurement standards. The discount rates used in these calculations are equivalent to the replacement advance rates for advances with similar terms. In accordance with the Finance Agency’s “Advances” regulations, an advance with a maturity or repricing period greater than six months requires a prepayment fee sufficient to make a FHLBank financially indifferent to the borrower’s decision to prepay the advance. Therefore, the fair value of an advance does not assume prepayment risk.
The inputs used to determine fair value of advances elected under the FVO are as follows:
·
CO Curve. The FHLBNY uses the CO Curve, which represents its cost of funds, as an input to estimate the fair value of advances, and to determine current advance rates. This input is considered market observable and therefore a Level 2 input.
·
Volatility assumption. To estimate the fair value of advances with optionality, the FHLBNY uses market-based expectations of future interest rate volatility implied from current market prices for similar options. This input is considered a Level 2 input as it is market based and market observable.
·
Spread adjustment. Adjustments represent the FHLBNY’s mark-up based on its pricing strategy. The input is considered as unobservable and is classified as a Level 3 input. The spread adjustment is not a significant input to the overall fair value of an advance.
Consolidated Obligations elected under the FVO — The FHLBNY estimates the fair values of Consolidated obligations elected under the FVO based on the present values of expected future cash flows due on the debt obligations. Calculations are performed by using the FHLBNY’s industry standard option adjusted valuation models. Inputs are based on the cost of comparable term debt. The FHLBNY’s internal valuation models use standard valuation techniques and estimate fair values based on the following inputs:
·
CO Curve and LIBOR Swap Curve. The Office of Finance constructs an internal curve, referred to as the CO Curve, using the U.S. Treasury Curve as a base curve that is then adjusted by adding indicative spreads obtained from market observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, recent GSE trades and secondary market activity. The FHLBNY considers the inputs as Level 2 inputs as they are market observable.
·
Volatility assumptions. To estimate the fair values of Consolidated obligations with optionality, the FHLBNY uses market-based expectations of future interest rate volatility implied from current market prices for similar options. These inputs are also considered Level 2 as they are market based and observable. No CO debt elected under the FVO were structured with options in any periods in this report.
Derivative Assets and Liabilities — The FHLBNY’s derivatives (cleared derivatives and bilaterally executed derivatives) are executed in the over-the-counter market and are valued using internal valuation techniques as no quoted market prices exist for such instruments. Discounted cash flow analysis is the primary methodology employed by the FHLBNY’s valuation models to measure the fair values of interest rate swaps. The valuation technique is considered as an “Income approach”. Interest rate caps and floors are valued under the “Market approach”. Interest rate swaps and interest rate caps and floors, collectively “derivatives”, were valued in industry-standard option adjusted valuation models, which generated fair values. The valuation models employed multiple market inputs including interest rates, prices, and indices to create continuous yield or pricing curves and volatility factors. These multiple market inputs were corroborated by management to independent market data, and to relevant benchmark indices. In addition, derivative valuations were compared by management to counterparty valuations received as part of the collateral exchange process. These derivative positions were classified within Level 2 of the valuation hierarchy at December 31, 2020 and December 31, 2019.
Starting in mid-October 2020, interest rate swaps cleared by Central Clearing Houses, LCH and the CME, are valued by discounting forward cash flows by the SOFR index, consistent with the change to SOFR in the interest accrual calculation of margins.
The FHLBNY’s valuation model utilizes a modified Black-Karasinski methodology. Significant market based and observable inputs into the valuation model include volatilities and interest rates. The Bank’s valuation model employs industry standard market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative were as follows:
Interest-rate related:
·
LIBOR Swap Curve.
·
Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options.
·
Prepayment assumption (if applicable).
·
Federal funds curve (FF/OIS curve).
·
SOFR curve (SOFR/OIS)
Mortgage delivery commitments (considered a derivative) — TBA security prices are adjusted for differences in coupon, average loan rate and seasoning. To be announced (TBA) is the term describing forward-settling MBS trades issued by Freddie Mac, Fannie Mae, and Ginnie Mae trade in the TBA market. The FHLBNY incorporates SOFR and the overnight indexed swap (FF/OIS) curves as fair value measurement inputs for the valuation of its derivatives, as SOFR the FF/OIS curves reflect the interest rates paid on cash collateral provided against the fair value of these derivatives. The FHLBNY believes using relevant SOFR and the FF/OIS curves as inputs to determine fair value measurements provides a more representative reflection of the fair values of these collateralized interest-rate related derivatives. SOFR and the FF/OIS curves are inputs to the valuation model and are obtained from industry standard pricing vendors; the inputs are available and observable over the entire terms of the interest rate swaps.
Management considers the SOFR and the federal funds curve to be Level 2 inputs. The FHLBNY’s valuation model utilizes industry standard OIS methodology. The model generates forecasted cash flows using the contractual cash flows, then discounts the cash flows by SOFR and FF/OIS curve to generate fair values.
Credit risk and credit valuation adjustments
The FHLBNY is subject to credit risk in derivatives transactions due to the potential non-performance of its derivatives counterparties or a DCO. To mitigate this risk, the FHLBNY has entered into master netting agreements and credit support agreements with its derivative counterparties for its bilaterally executed derivative contracts that provide for the delivery of collateral at specified levels at least weekly. The computed fair values of the derivatives took into consideration the effects of legally enforceable master netting agreements that allow the FHLBNY to settle positive and negative positions and offset cash collateral with the same counterparty on a net basis. For derivative transactions executed as a cleared derivative, the transactions are fully collateralized in cash and for the most part exchanged and settled daily with the DCO. The FHLBNY has also established the enforceability of offsetting rights incorporated in the agreements for the cleared derivative transactions.
As a result of these practices and agreements and the FHLBNY’s assessment of any change in its own credit spread, the FHLBNY has concluded that the impact of the credit differential between the FHLBNY and its derivative counterparties and DCO was sufficiently mitigated to an immaterial level that no credit adjustments were deemed necessary to the recorded fair value of Derivative assets and Derivative liabilities in the Statements of Condition at December 31, 2020 and December 31, 2019.
Fair Value Measurement
The tables below present the fair value of those assets and liabilities that are recorded at fair value on a recurring or non-recurring basis at December 31, 2020 and December 31, 2019, by level within the fair value hierarchy. Certain mortgage loans that were partially charged-off were recorded at their collateral values on a non-recurring basis. Other real estate owned (OREO) is measured at fair value when the asset’s fair value less costs to sell is lower than its carrying amount.
Items Measured at Fair Value on a Recurring Basis (in thousands):
December 31, 2020
Netting
Adjustment and
Total
Level 1
Level 2
Level 3
Cash Collateral
Assets
Trading securities
Corporate notes
$
2,164
$
—
$
2,164
$
—
$
—
U.S. Treasury securities
11,740,801
11,740,801
—
—
—
Equity Investments
80,369
80,369
—
—
—
Available-for-sale securities
GSE/U.S. agency issued MBS
3,435,945
—
3,435,945
—
—
Derivative assets (a)
Interest-rate derivatives
36,640
—
437,860
—
(401,220)
Mortgage delivery commitments
29
—
29
—
—
Total recurring fair value measurement - Assets
$
15,295,948
$
11,821,170
$
3,875,998
$
—
$
(401,220)
Liabilities
Consolidated obligation:
Discount notes (to the extent FVO is elected)
$
(7,133,755)
$
—
$
(7,133,755)
$
—
$
—
Bonds (to the extent FVO is elected) (b)
(16,580,464)
—
(16,580,464)
—
—
Derivative liabilities (a)
Interest-rate derivatives
(70,759)
—
(1,124,474)
—
1,053,715
Mortgage delivery commitments
(1)
—
(1)
—
—
Total recurring fair value measurement - Liabilities
$
(23,784,979)
$
—
$
(24,838,694)
$
—
$
1,053,715
December 31, 2019
Netting
Adjustment and
Total
Level 1
Level 2
Level 3
Cash Collateral
Assets
Trading securities
Corporate notes
$
3,217
$
—
$
3,217
$
—
$
—
U.S. Treasury securities
15,315,592
15,315,592
—
—
—
Equity Investments
60,047
60,047
—
—
—
Available-for-sale securities
GSE/U.S. agency issued MBS
2,653,418
—
2,653,418
—
—
Derivative assets (a)
Interest-rate derivatives
237,842
—
608,703
—
(370,861)
Mortgage delivery commitments
105
—
105
—
—
Total recurring fair value measurement - Assets
$
18,270,221
$
15,375,639
$
3,265,443
$
—
$
(370,861)
Liabilities
Consolidated obligation:
Discount notes (to the extent FVO is elected)
$
(2,186,603)
$
—
$
(2,186,603)
$
—
$
—
Bonds (to the extent FVO is elected) (b)
(12,134,043)
—
(12,134,043)
—
—
Derivative liabilities (a)
Interest-rate derivatives
(32,410)
—
(717,973)
—
685,563
Mortgage delivery commitments
(1)
—
(1)
—
—
Total recurring fair value measurement - Liabilities
$
(14,353,057)
$
—
$
(15,038,620)
$
—
$
685,563
(a)
Based on analysis of the nature of the risk, the presentation of derivatives as a single class is appropriate.
(b)
Based on analysis of the nature of risks of Consolidated obligation bonds measured at fair value, the FHLBNY has determined that presenting the bonds as a single class is appropriate.
Items Measured at Fair Value on a Non-recurring Basis (in thousands):
During the period ended December 31, 2020
Fair Value
Level 1
Level 2
Level 3
Mortgage loans held-for-portfolio
$
1,671
$
—
$
1,671
$
—
Total non-recurring assets at fair value
$
1,671
$
—
$
1,671
$
—
During the period ended December 31, 2019
Fair Value
Level 1
Level 2
Level 3
Mortgage loans held-for-portfolio
$
80
$
—
$
80
$
—
Real estate owned
306
—
—
306
Total non-recurring assets at fair value
$
386
$
—
$
80
$
306
Mortgage loans and real estate owned (OREO or REO) - The FHLBNY measured and recorded certain impaired mortgage loans and Real estate owned (foreclosed properties) on a non-recurring basis. These assets were subject to fair value adjustments in certain circumstances at the occurrence of the events during the periods in this report. Impaired loans were primarily loans that were delinquent for 180 days or more, partially charged-off, with the remaining loans recorded at their collateral values at the dates the loans were charged off. Fair value adjustments on the impaired loans and real estate owned assets were based primarily on broker price opinions.
In accordance with disclosure provisions, we have reported changes in fair values of such assets as of the date the fair value adjustments were recorded during the period ended December 31, 2020 and December 31, 2019, and reported fair values were not as of the period end dates.
Fair Value Option Disclosures
From time to time, the FHLBNY will elect the FVO for advances and Consolidated obligations on an instrument-by-instrument basis with changes in fair value reported in earnings. Customarily, the election is made when either the instruments do not qualify for hedge accounting or may be at risk for not meeting hedge effectiveness requirements; the objective is primarily to mitigate the potential income statement volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value. We may also elect advances under the FVO when analysis indicates that changes in the fair values of the advance would be an offset to fair value volatility of debt elected under the FVO. The FVO election is made at inception of the contracts for advances and debt obligations.
For instruments for which the fair value option has been elected, the related contractual interest income, contractual interest expense and the discount amortization on fair value option discount notes are recorded as part of net interest income in the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains (losses) on financial instruments held under fair value option in the Statements of Income. The change in fair value does not include changes in instrument-specific credit risk. The FHLBNY has determined that no adjustments to the fair values of its instruments recorded under the fair value option for instrument-specific credit risk were necessary at December 31, 2020 and December 31, 2019.
As with all advances, when advances are elected under the FVO, they are also fully collateralized through their terms to maturity. We consider our Consolidated obligation debt as high credit-quality, highly-rated instruments, and changes in fair values are generally related to changes in interest rates and investor preference, including investor asset allocation strategies. The FHLBNY believes the credit-quality of Consolidated obligation debt has remained stable, and changes in fair value attributable to instrument-specific credit risk, if any, were not material given that the debt elected under the FVO had been issued within the recent past periods, and no adverse changes have been observed in their credit characteristics.
The following tables summarize the activity related to financial instruments for which the FHLBNY elected the fair value option (in thousands):
Years ended December 31, 2020
Bonds
Discount Notes
Balance, beginning of the period
$
(12,134,043)
$
(2,186,603)
New transactions elected for fair value option
(19,375,000)
(23,818,753)
Maturities and terminations
14,867,000
18,883,387
Net gains (losses) on financial instruments held under fair value option
2,069
(1,946)
Change in accrued interest/unaccreted balance
59,510
(9,840)
Balance, end of the period
$
(16,580,464)
$
(7,133,755)
Years ended December 31, 2019
Bonds
Discount Notes
Balance, beginning of the period
$
(5,159,792)
$
(3,180,086)
New transactions elected for fair value option
(18,392,000)
(2,182,845)
Maturities and terminations
11,465,000
3,170,915
Net gains (losses) on financial instruments held under fair value option
(3,952)
(194)
Change in accrued interest/unaccreted balance
(43,299)
5,607
Balance, end of the period
$
(12,134,043)
$
(2,186,603)
Years ended December 31, 2018
Advances
Bonds
Discount Notes
Balance, beginning of the period
$
2,205,624
$
(1,131,074)
$
(2,312,621)
New transactions elected for fair value option
—
(5,225,000)
(4,735,290)
Maturities and terminations
(2,200,000)
1,215,000
3,873,993
Net gains (losses) on financial instruments held under fair value option
(590)
681
118
Change in accrued interest/unaccreted balance
(5,034)
(19,399)
(6,286)
Balance, end of the period
$
—
$
(5,159,792)
$
(3,180,086)
The following tables present the change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected (in thousands):
December 31, 2018
Net Gains (Losses)
Total Change in Fair
Interest
Due to Changes in
Value Included in Current
Income
Fair Value
Period Earnings
Advances
$
10,085
$
(590)
$
9,495
December 31, 2020
Net Gains (Losses)
Total Change in Fair
Interest
Due to Changes in
Value Included in Current
Expense
Fair Value
Period Earnings
Consolidated obligation bonds
$
(55,088)
$
2,069
$
(53,019)
Consolidated obligation discount notes
(60,063)
(1,946)
(62,009)
$
(115,151)
$
123
$
(115,028)
December 31, 2019
Net Gains (Losses)
Total Change in Fair
Interest
Due to Changes in
Value Included in Current
Expense
Fair Value
Period Earnings
Consolidated obligation bonds
$
(168,329)
$
(3,952)
$
(172,281)
Consolidated obligation discount notes
(26,475)
(194)
(26,669)
$
(194,804)
$
(4,146)
$
(198,950)
December 31, 2018
Net Gains (Losses)
Total Change in Fair
Interest
Due to Changes in
Value Included in Current
Expense
Fair Value
Period Earnings
Consolidated obligation bonds
$
(25,077)
$
681
$
(24,396)
Consolidated obligation discount notes
(21,617)
118
(21,499)
$
(46,694)
$
799
$
(45,895)
The following tables compare the aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected (a) (in thousands):
December 31, 2020
Fair Value Over/(Under)
Aggregate Unpaid
Aggregate Fair
Aggregate Unpaid
Principal Balance
Value
Principal Balance
Consolidated obligation bonds (b)
$
16,575,000
$
16,580,464
$
5,464
Consolidated obligation discount notes (c)
7,118,211
7,133,755
15,544
$
23,693,211
$
23,714,219
$
21,008
December 31, 2019
Fair Value Over/(Under)
Aggregate Unpaid
Aggregate Fair
Aggregate Unpaid
Principal Balance
Value
Principal Balance
Consolidated obligation bonds (b)
$
12,067,000
$
12,134,043
$
67,043
Consolidated obligation discount notes (c)
2,182,845
2,186,603
3,758
$
14,249,845
$
14,320,646
$
70,801
December 31, 2018
Fair Value Over/(Under)
Aggregate Unpaid
Aggregate Fair
Aggregate Unpaid
Principal Balance
Value
Principal Balance
Consolidated obligation bonds (b)
$
5,140,000
$
5,159,792
$
19,792
Consolidated obligation discount notes (c)
3,170,915
3,180,086
9,171
$
8,310,915
$
8,339,878
$
28,963
(a)
Advances — No advances elected under the FVO were outstanding at December 31, 2020, 2019 and 2018. From time to time, the FHLBNY has elected the FVO for advances on an instrument by instrument basis with terms that were primarily short-and intermediate-term.
(b)
CO bonds — The FHLBNY has elected the FVO on an instrument-by-instrument basis for CO bonds, primarily fixed-rate, intermediate-and short-term debt, because management was not able to assert with confidence that the debt would qualify for hedge accounting as such short-term debt may not remain highly effective hedges through the maturity of the bonds.
(c)
Discount notes were elected under the FVO because management was not able to assert with confidence that the debt would qualify for hedge accounting as the short-term discount note debt may not remain highly effective hedges through maturity. |
