Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2021 | Oct. 31, 2021 | |
Document and Entity Information | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Transition Report | false | |
Document Period End Date | Sep. 30, 2021 | |
Entity Registrant Name | Federal Home Loan Bank of New York | |
Entity File Number | 000-51397 | |
Entity Incorporation, State or Country Code | X1 | |
Entity Tax Identification Number | 13-6400946 | |
Entity Address, Address Line One | 101 Park Avenue | |
Entity Address, City or Town | New York | |
Entity Address, State or Province | NY | |
Entity Address, Postal Zip Code | 10178 | |
City Area Code | 212 | |
Local Phone Number | 681-6000 | |
Title of 12(b) Security | None | |
Trading Symbol | No | |
Security Exchange Name | NONE | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Non-accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 45,108,609 | |
Entity Central Index Key | 0001329842 | |
Document Fiscal Year Focus | 2021 | |
Document Fiscal Period Focus | Q3 |
Statements of Condition
Statements of Condition - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Assets | ||
Cash and due from banks (Note 3) | $ 118,754 | $ 1,896,155 |
Interest-bearing deposits (Note 4) | 675,000 | 685,000 |
Securities purchased under agreements to resell (Note 4) | 4,650,000 | |
Federal funds sold (Note 4) | 8,628,000 | 6,280,000 |
Trading securities (Note 5) (Includes $368,864 pledged as collateral at September 30, 2021 and $630,372 at December 31, 2020) | 4,377,199 | 11,742,965 |
Equity Investments (Note 6) | 91,813 | 80,369 |
Available-for-sale securities, net of unrealized gains (losses) of $176,495 at September 30, 2021 and $280,626 at December 31, 2020 (Note 7) | 5,458,612 | 3,435,945 |
Held-to-maturity securities, net of allowance for credit losses of $350 at September 30, 2021 and $980 at December 31, 2020 (Note 8) (Includes $2,729 pledged as collateral at September 30, 2021 and $2,680 at December 31, 2020) | 9,844,952 | 12,873,646 |
Advances (Note 9) (Includes $0 at September 30, 2021 and December 31, 2020 at fair value under the fair value option) | 70,547,573 | 92,067,104 |
Mortgage loans held-for-portfolio, net of allowance for credit losses of $3,044 at September 30, 2021 and $7,073 at December 31, 2020 (Note 10) | 2,417,656 | 2,899,712 |
Accrued interest receivable | 120,562 | 189,454 |
Premises, software, and equipment | 81,758 | 77,628 |
Operating lease right-of-use assets (Note 19) | 66,917 | 70,733 |
Derivative assets (Note 17) | 241,365 | 36,669 |
Other assets | 6,726 | 11,003 |
Total assets | 102,676,887 | 136,996,383 |
Deposits (Note 11) | ||
Interest-bearing demand | 1,421,802 | 1,677,526 |
Non-interest-bearing demand | 44,113 | 70,437 |
Term | 5,000 | |
Total deposits | 1,465,915 | 1,752,963 |
Consolidated obligations, net (Note 12) | ||
Bonds (Includes $10,811,362 at September 30, 2021 and $16,580,464 at December 31, 2020 at fair value under the fair value option) | 61,454,356 | 69,716,298 |
Discount notes (Includes $0 at September 30, 2021 and $7,133,755 at December 31, 2020 at fair value under the fair value option) | 32,768,402 | 57,658,838 |
Total consolidated obligations | 94,222,758 | 127,375,136 |
Mandatorily redeemable capital stock (Note 14) | 2,170 | 2,991 |
Accrued interest payable | 125,260 | 117,982 |
Affordable Housing Program (Note 13) | 144,803 | 148,827 |
Derivative liabilities (Note 17) | 40,831 | 70,760 |
Other liabilities | 183,391 | 186,550 |
Operating lease liabilities (Note 19) | 80,405 | 84,475 |
Total liabilities | 96,265,533 | 129,739,684 |
Commitments and Contingencies (Notes 14, 17 and 19) | ||
Capital (Note 14) | ||
Capital stock ($100 par value), putable, issued and outstanding shares: 44,471 at September 30, 2021 and 53,669 at December 31, 2020 | 4,447,124 | 5,366,830 |
Retained earnings | ||
Unrestricted | 1,113,113 | 1,135,341 |
Restricted (Note 14) | 816,820 | 774,275 |
Total retained earnings | 1,929,933 | 1,909,616 |
Total accumulated other comprehensive income (loss) | 34,297 | (19,747) |
Total capital | 6,411,354 | 7,256,699 |
Total liabilities and capital | $ 102,676,887 | $ 136,996,383 |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Trading securities pledged as collateral | $ 368,864 | $ 630,372 |
Trading securities pledged as collateral | us-gaap:AssetPledgedAsCollateralMember | us-gaap:AssetPledgedAsCollateralMember |
Available-for-sale securities, unrealized gains | $ 176,495 | $ 280,626 |
Held-to-maturity securities pledged as collateral | 2,729 | 2,680 |
Held-to-maturity securities, allowance for credit losses | $ 350 | $ 980 |
Held-to-maturity securities pledged as collateral | us-gaap:AssetPledgedAsCollateralMember | us-gaap:AssetPledgedAsCollateralMember |
Advances, at fair value under the fair value option | $ 0 | $ 0 |
Mortgage loans held-for-portfolio, allowance for credit losses | $ 3,044 | $ 7,073 |
Capital stock, par value (in dollars per share) | $ 100 | $ 100 |
Capital stock, putable (in shares) | 44,471 | 53,669 |
Capital stock, issued (in shares) | 44,471 | 53,669 |
Capital stock, outstanding (in shares) | 44,471 | 53,669 |
Consolidated obligation - bonds, fair value option | ||
Consolidated obligations | $ 10,811,362 | $ 16,580,464 |
Consolidated obligation - discount notes, fair value option | ||
Consolidated obligations | $ 0 | $ 7,133,755 |
Statements of Income
Statements of Income - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Interest income | ||||
Advances, net (Note 9) | $ 116,229 | $ 193,003 | $ 379,624 | $ 983,798 |
Interest-bearing deposits (Note 4) | 311 | 581 | 908 | 3,190 |
Securities purchased under agreements to resell (Note 4) | 9 | 957 | 485 | 27,657 |
Federal funds sold (Note 4) | 2,825 | 2,082 | 6,989 | 32,743 |
Trading securities (Note 5) | 16,871 | 48,708 | 85,249 | 174,589 |
Available-for-sale securities (Note 7) | 18,346 | 14,742 | 50,511 | 46,459 |
Held-to-maturity securities (Note 8) | 55,606 | 73,303 | 179,479 | 256,906 |
Mortgage loans held-for-portfolio (Note 10) | 17,206 | 21,336 | 53,966 | 71,694 |
Loans to other FHLBanks (Note 20) | 1 | 33 | ||
Total interest income | 227,403 | 354,712 | 757,212 | 1,597,069 |
Interest expense | ||||
Consolidated obligation bonds (Note 12) | 84,488 | 110,066 | 267,323 | 643,549 |
Consolidated obligation discount notes (Note 12) | 14,593 | 63,582 | 59,590 | 386,392 |
Deposits (Note 11) | 116 | 208 | 291 | 3,582 |
Mandatorily redeemable capital stock (Note 14) | 25 | 65 | 87 | 200 |
Cash collateral held and other borrowings | 4 | 28 | 41 | 102 |
Total interest expense | 99,226 | 173,949 | 327,332 | 1,033,825 |
Net interest income before provision for credit losses | 128,177 | 180,763 | 429,880 | 563,244 |
Provision (Reversal) for credit losses | (1,652) | 2,536 | (4,609) | 5,702 |
Net interest income after provision for credit losses | 129,829 | 178,227 | 434,489 | 557,542 |
Other income (loss) | ||||
Service fees and other | 4,334 | 4,133 | 12,893 | 13,373 |
Instruments held under the fair value option gains (losses) (Note 18) | 315 | 7,107 | 4,248 | (4,283) |
Derivative gains (losses) (Note 17) | 3,263 | 10,849 | 2,872 | (157,242) |
Trading securities gains (losses) (Note 5) | (16,115) | (39,693) | (77,298) | 116,182 |
Equity investments gains (losses) (Note 6) | (482) | 3,096 | 6,357 | 2,374 |
Litigation settlement | 33 | 225 | 33 | 225 |
Total other income (loss) | (8,652) | (14,283) | (50,895) | (29,371) |
Other expenses | ||||
Operating | 16,943 | 17,037 | 49,361 | 48,602 |
Compensation and benefits | 23,275 | 22,957 | 70,755 | 68,599 |
Finance Agency and Office of Finance | 5,514 | 4,850 | 16,520 | 13,894 |
Other expenses | 2,323 | 6,654 | 10,591 | 15,024 |
Total other expenses | 48,055 | 51,498 | 147,227 | 146,119 |
Income before assessments | 73,122 | 112,446 | 236,367 | 382,052 |
Affordable Housing Program Assessments (Note 13) | 7,314 | 11,251 | 23,645 | 38,225 |
Net income | $ 65,808 | $ 101,195 | $ 212,722 | $ 343,827 |
Basic earnings per share (Note 15) (in dollars per share) | $ 1.41 | $ 1.64 | $ 4.21 | $ 5.46 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | ||
Statements of Comprehensive Income | |||||
Net Income | $ 65,808 | $ 101,195 | $ 212,722 | $ 343,827 | |
Other Comprehensive income (loss) | |||||
Net change in unrealized gains (losses) on available-for-sale securities | (38,820) | 6,216 | (104,131) | 187,328 | |
Net change in non-credit accretion portion of held-to-maturity securities | |||||
Accretion of non-credit portion | 355 | 478 | 2,874 | 1,535 | |
Total net change in non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | 355 | 478 | 2,874 | 1,535 | |
Net change due to hedging activities | |||||
Total net change due to hedging activities | 38,331 | 25,590 | 147,210 | (191,860) | |
Net change in pension and postretirement benefits | 4,788 | 1,277 | 8,091 | 3,830 | |
Total other comprehensive income (loss) | 4,654 | 33,561 | 54,044 | 833 | |
Total comprehensive income (loss) | 70,462 | 134,756 | 266,766 | 344,660 | |
Cash flow hedges | |||||
Net change due to hedging activities | |||||
Net change due to hedging activities | [1] | 16,309 | 18,070 | 82,378 | (140,542) |
Fair value hedges | |||||
Net change due to hedging activities | |||||
Net change due to hedging activities | [2] | $ 22,022 | $ 7,520 | $ 64,832 | $ (51,318) |
[1] | Represents changes in the fair values of derivatives in cash flow hedging programs, primarily from open contracts in the hedging of rolling issuance of CO discount notes, and any open contracts in cash flow hedges of anticipatory issuance of CO bonds. Also includes unamortized gains and losses related to closed cash flow hedges that will be amortized in future periods from AOCI to Interest expense. For more information, see table “Cash flow hedge gains and losses” in Note 17. Derivatives and Hedging Activities. | ||||
[2] | Represents cumulative hedge valuation basis adjustments on fair value hedges of AFS securities under the partial-term hedging provisions of ASU 2017-12. Amounts represent change in the benchmark rate of the hedged securities. Changes in the benchmark rate on ASC 815 qualifying fair value hedges are recorded through earnings with an offset to the carrying values of the hedged AFS securities. Changes in marked-to-market values of AFS securities are recorded to adjust the amortized cost of AFS securities with an offset in AOCI. In AOCI, the marked-to-market gains and losses are reported separately from ASC 815 valuation changes due to changes in the benchmark rate. |
Statements of Capital
Statements of Capital - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | ||
Increase (decrease) in shareholders' equity | |||||
Balance | $ 6,820,527 | $ 8,138,108 | $ 7,256,699 | $ 7,531,895 | |
Adjustments to opening balances | [1] | 14,431 | |||
Proceeds from issuance of capital stock | 532,698 | 672,165 | 1,943,031 | 5,003,049 | |
Repurchase/redemption of capital stock | (952,865) | (1,007,894) | (2,862,652) | (4,783,309) | |
Shares reclassified to mandatorily redeemable capital stock | (2,743) | (85) | (2,743) | ||
Cash dividends on capital stock | (59,468) | (95,433) | (192,405) | (269,024) | |
Comprehensive income (loss) | 70,462 | 134,756 | 266,766 | 344,660 | |
Balance | 6,411,354 | 7,838,959 | 6,411,354 | 7,838,959 | |
Capital Stock | Capital Stock Class B | |||||
Increase (decrease) in shareholders' equity | |||||
Balance | [2] | $ 4,867,291 | $ 6,334,135 | $ 5,366,830 | $ 5,778,666 |
Balance (in shares) | [2] | 48,673 | 63,342 | 53,669 | 57,787 |
Proceeds from issuance of capital stock | [2] | $ 532,698 | $ 672,165 | $ 1,943,031 | $ 5,003,049 |
Proceeds from issuance of capital stock (in shares) | [2] | 5,327 | 6,721 | 19,430 | 50,030 |
Repurchase/redemption of capital stock | [2] | $ (952,865) | $ (1,007,894) | $ (2,862,652) | $ (4,783,309) |
Repurchase/redemption of capital stock (in shares) | [2] | (9,529) | (10,079) | (28,627) | (47,833) |
Shares reclassified to mandatorily redeemable capital stock | [2] | $ (2,743) | $ (85) | $ (2,743) | |
Shares reclassified to mandatorily redeemable capital stock (in shares) | [2] | (27) | (1) | (27) | |
Balance | [2] | $ 4,447,124 | $ 5,995,663 | $ 4,447,124 | $ 5,995,663 |
Balance (in shares) | [2] | 44,471 | 59,957 | 44,471 | 59,957 |
Total Retained Earnings | |||||
Increase (decrease) in shareholders' equity | |||||
Balance | $ 1,923,593 | $ 1,884,506 | $ 1,909,616 | $ 1,801,034 | |
Adjustments to opening balances | [1] | 14,431 | |||
Cash dividends on capital stock | (59,468) | (95,433) | (192,405) | (269,024) | |
Comprehensive income (loss) | 65,808 | 101,195 | 212,722 | 343,827 | |
Balance | 1,929,933 | 1,890,268 | 1,929,933 | 1,890,268 | |
Unrestricted Retained Earnings | |||||
Increase (decrease) in shareholders' equity | |||||
Balance | 1,119,935 | 1,150,181 | 1,135,341 | 1,115,236 | |
Adjustments to opening balances | [1] | 14,431 | |||
Cash dividends on capital stock | (59,468) | (95,433) | (192,405) | (269,024) | |
Comprehensive income (loss) | 52,646 | 80,956 | 170,177 | 275,061 | |
Balance | 1,113,113 | 1,135,704 | 1,113,113 | 1,135,704 | |
Restricted Retained Earnings | |||||
Increase (decrease) in shareholders' equity | |||||
Balance | 803,658 | 734,325 | 774,275 | 685,798 | |
Comprehensive income (loss) | 13,162 | 20,239 | 42,545 | 68,766 | |
Balance | 816,820 | 754,564 | 816,820 | 754,564 | |
Accumulated Other Comprehensive Income (Loss) | |||||
Increase (decrease) in shareholders' equity | |||||
Balance | 29,643 | (80,533) | (19,747) | (47,805) | |
Comprehensive income (loss) | 4,654 | 33,561 | 54,044 | 833 | |
Balance | $ 34,297 | $ (46,972) | $ 34,297 | $ (46,972) | |
[1] | Adjustments include a charge to retained earnings of $3.8 million at the adoption of ASU 2016-13 on January 1, 2020; in June 2020, we recorded an increase to retained earnings of $18.2 million, which represented the FHLBNY’s share of cash distribution received when Financing Corporation (FICO), an entity established by Congress in 1987 was dissolved and surplus funds distributed to the 11 FHLBanks. For more information, see Distribution received from Financing Corporation in Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | ||||
[2] | Putable stock. Cash dividends paid — Dividends per share and aggregate dividends were paid on a single class of shares of capital stock. For more information, see Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. |
Statements of Capital (Parenthe
Statements of Capital (Parenthetical) - USD ($) $ in Thousands | 1 Months Ended | 3 Months Ended | 9 Months Ended | ||||
Jun. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2019 | ||
Cash dividends on capital stock (in dollars per share) | $ 1.14 | $ 1.39 | $ 3.57 | $ 4.46 | |||
Adjustments to opening balances | [1] | $ 14,431 | |||||
Adjustments to opening balances | $ 8,138,108 | $ 6,411,354 | $ 7,838,959 | $ 6,411,354 | 7,838,959 | $ 7,531,895 | |
Total Retained Earnings | |||||||
Adjustments to opening balances | [1] | 14,431 | |||||
Adjustments to opening balances | 1,884,506 | $ 1,929,933 | $ 1,890,268 | $ 1,929,933 | $ 1,890,268 | 1,801,034 | |
FICO | |||||||
Recovery Of Prior Capital Distribution | $ 18,200 | ||||||
Cumulative Effect, Period of Adoption, Adjustment | ASU 2016-13 | Total Retained Earnings | |||||||
Adjustments to opening balances | $ (3,800) | ||||||
[1] | Adjustments include a charge to retained earnings of $3.8 million at the adoption of ASU 2016-13 on January 1, 2020; in June 2020, we recorded an increase to retained earnings of $18.2 million, which represented the FHLBNY’s share of cash distribution received when Financing Corporation (FICO), an entity established by Congress in 1987 was dissolved and surplus funds distributed to the 11 FHLBanks. For more information, see Distribution received from Financing Corporation in Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | ||
Operating activities | |||
Net Income | $ 212,722 | $ 343,827 | |
Depreciation and amortization: | |||
Net premiums and discounts on consolidated obligations, investments, mortgage loans and other adjustments (a) | [1] | 2,764 | (243,626) |
Concessions on consolidated obligations | 2,457 | 3,500 | |
Premises, software, and equipment | 9,285 | 7,946 | |
Provision (Reversal) for credit losses | (4,609) | 5,702 | |
Change in net fair value adjustments on derivatives and hedging activities (b) | [2] | 391,552 | (603,475) |
Net realized and unrealized (gains) losses on trading securities | 77,298 | (116,182) | |
Change in fair value on Equity Investments | (3,821) | (1,716) | |
Change in fair value adjustments on financial instruments held at fair value | (4,248) | 4,283 | |
Net change in: | |||
Accrued interest receivable | 68,909 | 116,976 | |
Derivative assets due to accrued interest | 30,507 | 240,239 | |
Derivative liabilities due to accrued interest | (92,877) | (125,660) | |
Other assets | 4,573 | 1,773 | |
Affordable Housing Program liability | (4,024) | 4,458 | |
Accrued interest payable | 7,278 | (39,609) | |
Other liabilities | 43 | 2,557 | |
Total adjustments | 485,087 | (742,834) | |
Net cash provided by (used in) operating activities | 697,809 | (399,007) | |
Net change in: | |||
Interest-bearing deposits | 77,474 | (1,237,918) | |
Securities purchased under agreements to resell | 4,650,000 | 11,585,000 | |
Federal funds sold | (2,348,000) | 966,000 | |
Deposits with other FHLBanks | 11 | (72) | |
Premises, software, and equipment | (13,415) | (16,245) | |
Trading securities: | |||
Purchased | (2,412,758) | (3,333,433) | |
Repayments | 9,682,153 | 1,850,738 | |
Proceeds from sales | 4,292,913 | ||
Equity Investments: | |||
Purchased | (10,090) | (10,024) | |
Proceeds from sales | 2,466 | 1,825 | |
Available-for-sale securities: | |||
Purchased | (889,263) | (489,130) | |
Repayments | 131,431 | 49,363 | |
Held-to-maturity securities: | |||
Purchased | (194,332) | (286,053) | |
Repayments | 1,839,345 | 1,693,437 | |
Advances: | |||
Principal collected | 293,707,453 | 450,650,767 | |
Made | (272,889,999) | (454,872,494) | |
Mortgage loans held-for-portfolio: | |||
Principal collected | 627,228 | 515,139 | |
Purchased | (152,000) | (411,852) | |
Proceeds from sales of REO | 102 | 442 | |
Net cash provided by (used in) investing activities | 31,807,806 | 10,948,403 | |
Net change in: | |||
Deposits and other borrowings | (388,243) | 690,210 | |
Partial recovery of prior capital distribution to Financing Corporation | 18,204 | ||
Derivative contracts with financing element | (2,320) | (5,049) | |
Consolidated obligation bonds: | |||
Proceeds from issuance | 44,016,429 | 59,823,060 | |
Payments for maturing and early retirement | (52,134,214) | (66,949,288) | |
Payments on bonds (transferred to) or assumed from other FHLBanks (c) | [3] | 173,984 | |
Consolidated obligation discount notes: | |||
Proceeds from issuance | 467,348,752 | 734,342,359 | |
Payments for maturing | (492,184,472) | (738,530,592) | |
Capital stock: | |||
Proceeds from issuance of capital stock | 1,943,031 | 5,003,049 | |
Payments for repurchase/redemption of capital stock | (2,862,652) | (4,783,309) | |
Redemption of mandatorily redeemable capital stock | (906) | (4,538) | |
Cash dividends paid (d) | [4] | (192,405) | (269,024) |
Net cash provided by (used in) financing activities | (34,283,016) | (10,664,918) | |
Net increase (decrease) in cash and due from banks | (1,777,401) | (115,522) | |
Cash and due from banks at beginning of the period (e) | [5] | 1,896,155 | 603,241 |
Cash and due from banks at end of the period (e) | [5] | 118,754 | 487,719 |
Supplemental disclosures: | |||
Interest paid | 463,257 | 858,482 | |
Interest paid for Discount Notes (f) | [6] | 62,406 | 445,801 |
Affordable Housing Program payments (g) | [7] | 27,669 | 33,767 |
Transfers of mortgage loans to real estate owned | 315 | 135 | |
Capital stock subject to mandatory redemption reclassified from equity | 85 | $ 2,743 | |
Transfers of HTM securities to AFS that are not other-than-temporarily impaired (h) | [8] | 1,376,212 | |
AFS HFA bonds were tendered and re-issued from Libor to SOFR index (i) | [9] | $ 686,340 | |
[1] | In the Statements of Cash Flows, we adjust discount note accretion expense within operating cash flows and an offset to financing activities in the period discount notes mature. The net adjustment to accretion expense was larger in the nine months ended September 30, 2020, compared to the same period of 2021 in parallel with greater usage of discount notes in the nine months ended September 30, 2020. As a result, the impact on operating cash flows was also larger in the nine months ended September 30, 2020. | ||
[2] | Net cash provided by (used in) operating activities were also impacted by derivatives and hedging activities. In the nine months ended September 30, 2021, derivatives and hedging activities provided $ 391.6 million in cash flows; in the nine months ended September 30, 2020, derivatives and hedging activities used $ 603.5 million in cash flows. The changes were consistent with the significant decline in benchmark interest rates in the current year period; additionally, lower amounts of margins were posted to derivative counterparties in the current year period. | ||
[3] | For information about bonds (transferred to) or assumed from FHLBanks and other related party transactions, see Note 20. Related Party Transactions. | ||
[4] | Does not include payments to holders of mandatorily redeemable capital stock. Such payments are considered as interest expense and reported within operating cash flows. | ||
[5] | Cash and due from Banks includes pass-thru reserves at the Federal Reserve Bank of New York. See Note 3. Cash and Due from Banks for further information. Interest-bearing deposits are considered investments and are not included in cash or cash equivalent. | ||
[6] | Interest paid for Discount Notes, is the portion of the cash payments at settlement of zero-coupon Consolidated obligation discount notes . | ||
[7] | AHP payments = (beginning accrual - ending accrual) + AHP assessment for the period; payments represent funds released to the Affordable Housing Program. | ||
[8] | As a one-time election in accordance with ASC 848 Reference Rate Reform, we reclassified $1.4 billion of LIBOR-indexed held-to-maturity securities to available-for-sale during the second quarter of 2021 without tainting our intent to hold other debt securities to maturity. At the date of transfer, these securities had a total amortized cost of $1.4 billion and a total net unrealized gain of $7.6 million. | ||
[9] | During the second quarter of 2021, amortized cost of $686.3 million (market value of $686.7 million) in available-for-sale debt securities were tendered and re-issued from the Libor to SOFR-OIS index. |
Statements of Cash Flows (Paren
Statements of Cash Flows (Parenthetical) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Jun. 30, 2021 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | ||
Supplemental disclosures: | |||||
Change in net fair value adjustments on derivatives and hedging activities | [1] | $ 391,552 | $ (603,475) | ||
Reclassification of debt securities from held to maturity to available for sale | [2] | 1,376,212 | |||
Unrealized gain on date of transfer | 470,064 | $ 685,289 | |||
Available for sale securities Amortized cost | 5,261,337 | 3,199,371 | |||
Available-for-sale securities | $ 5,458,612 | $ 3,435,945 | |||
LIBOR-indexed securities | |||||
Supplemental disclosures: | |||||
Reclassification of debt securities from held to maturity to available for sale | $ 1,400,000 | ||||
Held to maturity securities amortized cost on date of transfer | 1,400,000 | ||||
Unrealized gain on date of transfer | 7,600 | ||||
SOFR-OIS indexed securities | |||||
Supplemental disclosures: | |||||
Available for sale securities Amortized cost | 686,300 | ||||
Available-for-sale securities | $ 686,700 | ||||
[1] | Net cash provided by (used in) operating activities were also impacted by derivatives and hedging activities. In the nine months ended September 30, 2021, derivatives and hedging activities provided $ 391.6 million in cash flows; in the nine months ended September 30, 2020, derivatives and hedging activities used $ 603.5 million in cash flows. The changes were consistent with the significant decline in benchmark interest rates in the current year period; additionally, lower amounts of margins were posted to derivative counterparties in the current year period. | ||||
[2] | As a one-time election in accordance with ASC 848 Reference Rate Reform, we reclassified $1.4 billion of LIBOR-indexed held-to-maturity securities to available-for-sale during the second quarter of 2021 without tainting our intent to hold other debt securities to maturity. At the date of transfer, these securities had a total amortized cost of $1.4 billion and a total net unrealized gain of $7.6 million. |
Background, Tax Status. Assessm
Background, Tax Status. Assessments. | 9 Months Ended |
Sep. 30, 2021 | |
Background, Tax Status. Assessments. | |
Background, Tax Status. Assessments. | Background The Federal Home Loan Bank of New York (FHLBNY or the Bank) is a federally chartered corporation, and is one of 11 district Federal Home Loan Banks (FHLBanks). The FHLBanks are U.S. government-sponsored enterprises (GSEs), organized under the authority of the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act). Each FHLBank is a cooperative owned by member institutions located within a defined geographic district. The FHLBNY’s defined geographic district is New Jersey, New York, Puerto Rico, and the U.S. Virgin Islands. Tax Status. Assessments. |
Critical Accounting Policies an
Critical Accounting Policies and Estimates. | 9 Months Ended |
Sep. 30, 2021 | |
Critical Accounting Policies and Estimates. | |
Critical Accounting Policies and Estimates. | Note 1. Critical Accounting Policies and Estimates. Basis of Presentation The accompanying financial statements of the Federal Home Loan Bank of New York have been prepared in accordance with Generally Accepted Accounting Principles in the United States (GAAP) and with the instructions provided by the Securities and Exchange Commission (SEC). The FHLBNY has identified certain accounting policies that it believes are critical because they require management to make subjective judgments about matters that are inherently uncertain and because of the likelihood that materially different amounts would be reported under different conditions or by using different assumptions. The most significant of these critical policies include derivatives and hedging relationships, estimating the fair values of assets and liabilities, estimating the allowance for credit losses on the advance, mortgage loan portfolios and our portfolios of investment securities. Financial Instruments with Legal Right of Offset The FHLBNY has derivative instruments, and securities purchased under agreements to resell that are subject to enforceable master netting arrangements. The FHLBNY has elected to offset its derivative asset and liability positions, as well as cash collateral received or pledged, when it has the legal right of offset under these master agreements. The FHLBNY did not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments, any excess cash collateral received or pledged is recognized as a derivative liability or as a derivative asset based on the terms of the individual master agreement between the FHLBNY and its derivative counterparty. For securities purchased under agreements to resell, the FHLBNY did not have any unsecured amounts based on the fair value of the related collateral held at the end of the periods presented. Additional information about the FHLBNY’s investments in securities purchased under agreements to resell is disclosed in Note 4. Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell. Fair Value Measurements The accounting standards on fair value measurements discuss how entities should measure fair value based on whether the inputs to those valuation techniques are observable or unobservable. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction in the principal or most advantageous market for the asset or liability between market participants at the measurement date. This definition is based on an exit price rather than transaction or entry price. The FHLBNY complied with the accounting guidance on fair value measurements and has established a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are inputs that market participants would use in pricing the asset or liability, and would be based on market data obtained from independent sources. Unobservable inputs are inputs that reflect our assumptions about the parameters market participants would use in pricing the asset or liability, and would be based on the best information available in the circumstances. Our pricing models are subject to periodic validations, and we periodically review and refine, as appropriate, our assumptions and valuation methodologies to reflect market indications as closely as possible. We have the appropriate personnel, technology, and policies and procedures in place to value financial instruments in a reasonable and consistent manner and in accordance with established accounting policies. For more information about methodologies used by the FHLBNY to validate vendor pricing, and fair value “Levels” associated with assets and liabilities recorded on the FHLBNY’s Statements of Condition, see financial statements, Note 18. Fair Values of Financial Instruments in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2020 filed on March 19, 2021. Derivatives and Hedging Activities The FHLBNY hedges the risk of changes in benchmark interest rates under the provisions of ASC 815. In years prior to 2020, the benchmark rate has been primarily LIBOR; LIBOR rates are derived from an average of submissions by panel banks. The underlying market that LIBOR seeks to reflect has become increasingly less active. A significant number of the FHLBNY derivatives are indexed to LIBOR. The Alternative Reference Rates Committee (ARRC) in the U.S. has settled on the establishment of the Secured Overnight Financing Rate (SOFR) as its recommended alternative to U.S. dollar LIBOR. The United Kingdom’s Financial Conduct Authority (FCA), which oversees LIBOR, has announced that the FCA would no longer persuade or compel member panel banks to make LIBOR quote submissions for U.S. dollar LIBOR setting of 1-month and 3-month, two key LIBOR settings, so that submissions will permanently cease after June 30, 2023. The FASB has issued two Accounting Standards Updates to Reference Rate Reform (Topic 848), Facilitation of the Effects of Reference Rate Reform on Financial Reporting, Generally, we enter into derivatives primarily to manage our exposure to changes in interest rates. Through the use of derivatives, we may adjust the effective maturity, repricing frequency, or option characteristics of financial instruments to achieve our risk management objectives. The accounting guidance related to derivatives and hedging activities is complex and contains prescriptive documentation requirements. At the inception of each hedge transaction, we formally document the hedge relationship, its risk management objective, and strategy for undertaking the hedge. In compliance with accounting standards, primarily ASC 815, the accounting for derivatives requires us to (i) assess whether the hedging relationship qualifies for hedge accounting, (ii) assess whether an embedded derivative should be bifurcated, (iii) calculate the effectiveness of the hedging relationship, (iv) evaluate exposure associated with counterparty credit risk, and (v) estimate the fair value of the derivatives. Our assumptions and judgments include subjective estimates based on information available as of the date of the financial statements and could be materially different based on different assumptions, calculations, and estimates. To qualify as an accounting hedge under the hedge accounting rules (versus an economic hedge where hedge accounting is not sought), a derivative must be highly effective in offsetting the risk designated as being hedged. The hedge relationship must be formally documented at inception, detailing the particular risk management objective and strategy for the hedge, which includes the item and risk that is being hedged and the derivative that is being used, as well as how effectiveness will be assessed and measured. The effectiveness of these hedging relationships is evaluated on a retrospective and prospective basis, typically using quantitative measures of correlation. For hedges that are highly effective, changes in the fair values of the hedging instrument and the offsetting changes in the fair values of the hedged item are recorded in current earnings. If a hedge relationship is found to be not highly effective, it will no longer qualify as an accounting hedge and hedge accounting would be prospectively withdrawn. When hedge accounting is discontinued, the offsetting changes of fair values of the hedged item are also discontinued. For more information about the FHLBNY’s hedging activities, see financial statements, Note 17. Derivatives and Hedging Activities in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2020 filed on March 19, 2021. Credit Losses under ASU 2016-13 The FASB issued ASU 2016-13, Financial Instruments Credit Losses (Topic 326 Summarized information of expected losses are provided in notes to financial statements: Note 4. Note 7. Note 8. Note 9. Note 10. Note 19. |
Financial Accounting Standards
Financial Accounting Standards Board ("FASB") Standards Issued. | 9 Months Ended |
Sep. 30, 2021 | |
Financial Accounting Standards Board ("FASB") Standards Issued. | |
Financial Accounting Standards Board ("FASB") Standards Issued. | Note 2. Financial Accounting Standards Board (“FASB”) Standards Issued. Recently Adopted Accounting Standards Standard Summary of Guidance Effective Date Effects on the Financial Statements Facilitation of the Effects of Reference Rate Reform on Financial Reporting ASU 2020-04, Reference Rate Reform (Topic 848) Issued in March 2020 , This guidance provides temporary optional guidance to ease the potential burden in accounting for reference rate reform. The new guidance provides optional expedients and exceptions for applying generally accepted accounting principles to transactions affected by reference rate reform if certain criteria are met. These transactions include: ● ● ● This guidance is effective for the FHLBNY beginning on March 12, 2020, and we may elect to apply the amendments prospectively through December 31, 2022. The FASB has issued two Accounting Standards Updates to Reference Rate Reform (Topic 848), Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which have outlined permissible expedients offered under Topic 848, including a one-time election to transfer/sell LIBOR-indexed securities in our held-to-maturity portfolio. In the second quarter of 2021, we reclassified $1.4 billion of LIBOR-indexed securities from held-to-maturity to available-for-sale as a one-time election. |
Cash and Due from Banks.
Cash and Due from Banks. | 9 Months Ended |
Sep. 30, 2021 | |
Cash and Due from Banks. | |
Cash and Due from Banks. | Note 3. Cash and Due from Banks. Cash on hand, cash items in the process of collection, and amounts due from correspondent banks and the Federal Reserve Banks are recorded as cash and cash equivalent in the Statements of Cash Flows. The FHLBNY is exempted from maintaining any required clearing balance at the Federal Reserve Bank of New York. Compensating Balances The FHLBNY has arrangements with Citibank (a member/stockholder of the FHLBNY) to maintain compensating collected cash balances in return for certain fee based safekeeping and back office operational services that the counterparty provides to the FHLBNY. There are no restrictions on the withdrawal of funds in this arrangement. There were no compensating balances at September 30, 2021 and December 31, 2020. There were no restricted cash balances at September 30, 2021 and December 31, 2020. Pass-through Deposit Reserves The FHLBNY acts as a pass-through correspondent for member institutions who are required by banking regulations to deposit reserves with the Federal Reserve Banks. Pass-through reserves deposited with Federal Reserve Banks on behalf of the members by the FHLBNY were $30.4 million at September 30, 2021 and $32.4 million at December 31, 2020. The liabilities offsetting the pass-through reserves were due to member institutions and were recorded in Other liabilities in the Statements of Condition. |
Interest-bearing Deposits, Fede
Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell. | 9 Months Ended |
Sep. 30, 2021 | |
Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell. | |
Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell. | Note 4. Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell. The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that have received a credit rating of triple-B or higher (investment grade) by a nationally recognized statistical rating organization. Interest-bearing deposits Federal funds sold Securities purchased under agreements to resell U.S. Treasury securities at market values of $4.7 billion at December 31, 2020 were received at BONY to collateralize the overnight investments. Securities purchased under agreements to resell averaged $61.4 million and $824.5 million for the three and nine months ended September 30, 2021, respectively. For the twelve months ended December 31, 2020, transaction balances averaged $4.4 billion. Interest income from securities purchased under agreements to resell was $9 thousand and $0.5 million for the three and nine months ended September 30, 2021 compared to $1.0 million and $27.7 million for the same periods in the prior year. No overnight investments had been executed bilaterally with counterparties at September 30, 2021 and December 31, 2020. Transactions recorded as Securities purchased under agreements to resell were accounted as collateralized financing transactions. Investments are evaluated quarterly for expected credit losses based on the probability of default of the borrowing counterparty and the terms to maturity of the outstanding investments at the measurement dates. A credit loss would also be recognized if there is a collateral shortfall which the FHLBNY does not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost. Repurchase agreements are short-term and generally overnight, and counterparties are highly rated. Based on analysis performed, no allowance for credit losses was recorded for these assets at September 30, 2021 and December 31, 2020. |
Trading Securities.
Trading Securities. | 9 Months Ended |
Sep. 30, 2021 | |
Trading Securities. | |
Securities. | |
Securities. | Note 5. Trading Securities. The carrying value of a trading security equals its fair value. The following table provides major security types at September 30, 2021 and December 31, 2020 (in thousands): Fair value September 30, 2021 December 31, 2020 Corporate notes $ — $ 2,164 U.S. Treasury notes 4,377,199 11,240,915 U.S. Treasury bills — 499,886 Total trading securities $ 4,377,199 $ 11,742,965 The carrying values of trading securities included net unrealized fair value gains of $10.3 million at September 30, 2021 and $87.6 million at December 31, 2020. We have classified investments acquired for purposes of meeting short-term contingency and other liquidity needs as trading securities. In accordance with Finance Agency guidance, we do not participate in speculative trading practices. Trading Securities Pledged The FHLBNY had pledged marketable securities at fair values of $368.9 million at September 30, 2021 and $630.4 million at December 31, 2020 to derivative clearing organizations to fulfill the FHLBNY’s initial margin requirements as mandated under margin rules of the Commodity Futures Trading Commission (CFTC). The clearing organizations have rights to sell or repledge the collateral securities under certain conditions. The following tables present redemption terms of the major types of trading securities (dollars in thousands): Redemption Terms September 30, 2021 Due in one year or Due after one year Due after five years less through five years through ten years Total Fair Value Corporate notes $ — $ — $ — $ — U.S. Treasury notes 1,965,716 1,698,555 712,928 4,377,199 U.S. Treasury bills — — — — Total trading securities $ 1,965,716 $ 1,698,555 $ 712,928 $ 4,377,199 Yield on trading securities 1.34 % 1.40 % 1.40 % December 31, 2020 Due in one year or Due after one year Due after five years less through five years through ten years Total Fair Value Corporate notes $ — $ 2,164 $ — $ 2,164 U.S. Treasury notes 9,563,920 1,676,995 — 11,240,915 U.S. Treasury bills 499,886 — — 499,886 Total trading securities $ 10,063,806 $ 1,679,159 $ — $ 11,742,965 Yield on trading securities 1.66 % 1.79 % — % |
Equity Investments.
Equity Investments. | 9 Months Ended |
Sep. 30, 2021 | |
Equity Investments. | |
Equity Investments. | Note 6. Equity Investments. The FHLBNY has classified its grantor trust as equity investments. The carrying value of equity investments in the Statements of Condition, and the types of assets in the grantor trust were as follows (in thousands): September 30, 2021 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains (b) Losses (b) Value (c) Cash equivalents $ 4,816 $ — $ — $ 4,816 Equity funds 36,738 20,148 (2,220) 54,666 Fixed income funds 31,987 638 (294) 32,331 Total Equity Investments (a) $ 73,541 $ 20,786 $ (2,514) $ 91,813 December 31, 2020 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains (b) Losses (b) Value (c) Cash equivalents $ 4,164 $ — $ — $ 4,164 Equity funds 36,833 15,325 (1,909) 50,249 Fixed income funds 24,920 1,146 (110) 25,956 Total Equity Investments (a) $ 65,917 $ 16,471 $ (2,019) $ 80,369 (a) The intent of the grantor trust is to set aside cash to meet current and future payments for supplemental unfunded pension plans. Neither the pension plans nor employees of the FHLBNY own the trust. (b) Changes in unrealized gains and losses are recorded through earnings, specifically in Other income in the Statements of Income. (c) The grantor trust invests in money market, equity and fixed income and bond funds. Daily net asset values (NAVs) are readily available and investments are redeemable at short notice. NAVs are the fair values of the funds in the grantor trust. The grantor trust is owned by the FHLBNY. In the Statements of Income, gains and losses related to outstanding Equity Investments were as follows (in thousands): Three Months Ended September 30, Nine Months Ended September 30, 2021 2020 2021 2020 Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date $ (1,545) $ 2,888 $ 3,821 $ 1,716 Net gains (losses) recognized during the period on equity investments sold during the period 713 — 1,434 — Net dividend and other 350 208 1,102 658 Net gains (losses) recognized during the period $ (482) $ 3,096 $ 6,357 $ 2,374 |
Available-for-Sale Securities.
Available-for-Sale Securities. | 9 Months Ended |
Sep. 30, 2021 | |
Available-for-Sale securities. | |
Securities. | |
Securities. | Note 7. Available-for-Sale Securities. No AFS security was impaired in any periods in this report and no credit loss allowance was necessary at September 30, 2021 and December 31, 2020, respectively. The following tables provide major security types (in thousands): September 30, 2021 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains Losses Value GSE and U.S. Obligations State and local housing finance agency obligations $ 901,305 $ 11 $ (124) $ 901,192 Mortgage-backed securities Floating CMO 617,841 9,643 — 627,484 CMBS 1,137 — — 1,137 PASS THRU 5,483 250 — 5,733 Total Floating 624,461 9,893 — 634,354 Fixed CMBS 3,756,351 205,556 (38,841) 3,923,066 Total Fixed 3,756,351 205,556 (38,841) 3,923,066 MBS AFS Before Hedging Adjustments 4,380,812 215,449 (a) (38,841) (a) 4,557,420 Hedging Basis Adjustments in AOCI (20,780) 20,780 (b) — — Total Available-for-sale securities (MBS) 4,360,032 236,229 (38,841) 4,557,420 Total Available-for-sale securities $ 5,261,337 $ 236,240 $ (38,965) $ 5,458,612 December 31, 2020 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains Losses Value GSE and U.S. Obligations Mortgage-backed securities Floating CMO $ 277,372 $ 3,960 $ — $ 281,332 Total Floating 277,372 3,960 — 281,332 Fixed CMBS 2,877,947 282,913 (6,247) 3,154,613 Total Fixed 2,877,947 282,913 (6,247) 3,154,613 AFS Before Hedging Adjustments 3,155,319 286,873 (a) (6,247) (a) 3,435,945 Hedging Basis Adjustments in AOCI 44,052 (44,052) (b) — — Total Available-for-sale securities $ 3,199,371 $ 242,821 $ (6,247) $ 3,435,945 (a) Amounts represent specialized third party pricing vendors’ estimates of gains/losses of AFS securities; market pricing is based on historical amortized cost adjusted for pay downs and amortization of premiums and discounts; fair value unrealized gains and losses are before adjusting book values for hedge basis adjustments and will equal market values of AFS securities recorded in AOCI. Fair value hedges were executed to mitigate the interest rate risk of the hedged fixed-rate securities due to changes in the designated benchmark rate . (b) Amounts represent fair value hedging basis due to changes in the benchmark rate and were recorded as an adjustment to the carrying values of hedged securities; the adjustments impacted the unrealized market value gains and losses. Securities in a fair value hedging relationship at September 30, 2021 recorded $20.8 million of hedge basis losses; at December 31, 2020, hedge basis gains of $44.1 million were recorded. In the table above, the benchmark hedging basis adjustments were reported separately from the market based prices of ASC 815 qualifying hedges to provide greater clarity to market based pricing of the securities. Credit Loss Analysis of AFS Securities The FHLBNY’s portfolio of MBS classified as AFS is comprised primarily of GSE-issued collateralized mortgage obligations and CMBS. A portfolio of State and local housing finance agency obligations is also classified as AFS. The FHLBNY evaluates its GSE-issued securities by considering the creditworthiness and performance of the debt securities and the strength of the government-sponsored enterprises’ guarantees of the securities. Based on credit and performance analysis, GSE-issued securities are performing in accordance with their contractual agreements. The FHLBNY believes that it will recover its investments in GSE-issued securities given the current levels of collateral, credit enhancements and guarantees that exist to protect the investments. At September 30, 2021 and December 31, 2020, unrealized fair value losses have been aggregated in the table below by the length of time a security was in a continuous unrealized loss position based on market based pricing and excluding the effects of hedge basis adjustments. The Bank evaluates its individual AFS securities for impairment by comparing the security’s fair value to its amortized cost. Impairment may exist when the fair value of the investment is less than its amortized cost (i.e. in an unrealized loss position). We have not experienced any payment defaults on the instruments. As noted previously, substantially all of these securities are GSE-issued and carry an implicit or explicit U.S. government guarantee. Based on the analysis, no allowance for credit losses was recorded on these AFS securities at September 30, 2021. The following table summarizes available-for-sale securities with estimated fair values below their amortized cost basis (in thousands): September 30, 2021 Less than 12 months 12 months or more Total Estimated Unrealized Estimated Unrealized Estimated Unrealized Fair Value Losses Fair Value Losses Fair Value Losses MBS Investment Securities and State and local housing finance agency obligations MBS-GSE Freddie Mac-CMBS $ 888,205 $ (18,684) $ 459,454 $ (20,157) $ 1,347,659 $ (38,841) State and local housing finance agency obligations 686,280 (61) 23,902 (63) 710,182 (124) Total Temporarily Impaired $ 1,574,485 $ (18,745) $ 483,356 $ (20,220) $ 2,057,841 $ (38,965) December 31, 2020 Less than 12 months 12 months or more Total Estimated Unrealized Estimated Unrealized Estimated Unrealized Fair Value Losses Fair Value Losses Fair Value Losses MBS Investment Securities MBS-GSE Freddie Mac-CMBS $ 526,365 $ (6,247) $ — $ — $ 526,365 $ (6,247) Total Temporarily Impaired $ 526,365 $ (6,247) $ — $ — $ 526,365 $ (6,247) 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) September 30, 2021 December 31, 2020 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 $ 23,965 $ 23,902 $ — $ — Due after ten years 877,340 877,290 — — State and local housing finance agency obligations $ 901,305 $ 901,192 $ — $ — Mortgage-backed securities Due in one year or less $ 1,138 $ 1,138 $ — $ — Due after one year through five years 842,896 898,259 332,752 364,081 Due after five year through ten years 2,744,575 2,876,410 2,550,443 2,750,824 Due after ten years 771,423 781,613 316,176 321,040 Mortgage-backed securities $ 4,360,032 $ 4,557,420 $ 3,199,371 $ 3,435,945 Total Available-for-Sale securities $ 5,261,337 $ 5,458,612 $ 3,199,371 $ 3,435,945 (a) The carrying value of AFS securities equals fair value. (b) Amortized cost is UPB after adjusting for net unamortized premiums of $56.3 million and $41.1 million at September 30, 2021 and December 31, 2020, respectively. Additionally, historical amortized cost in the table above is after adjustment for hedging basis. Interest Rate Payment Terms The following table summarizes interest rate payment terms of investments in Mortgage-backed Securities and State and local housing finance agency obligations classified as AFS securities (in thousands): September 30, 2021 December 31, 2020 Amortized Cost Fair Value Amortized Cost Fair Value Mortgage-backed securities Floating CMO - LIBOR $ 617,841 $ 627,484 $ 277,372 $ 281,332 CMBS - LIBOR 1,137 1,137 — — PASS THRU 5,483 5,733 — — Total Floating 624,461 634,354 277,372 281,332 Fixed CMBS - LIBOR 3,735,571 3,923,066 2,921,999 3,154,613 Total Fixed 3,735,571 3,923,066 2,921,999 3,154,613 Total Mortgage-backed securities 4,360,032 4,557,420 3,199,371 3,435,945 State and local housing finance agency obligations Floating 901,305 901,192 — — Total Available-for-Sale securities $ 5,261,337 $ 5,458,612 $ 3,199,371 $ 3,435,945 |
Held-to-Maturity Securities.
Held-to-Maturity Securities. | 9 Months Ended |
Sep. 30, 2021 | |
Held-to-Maturity Securities. | |
Held-to-Maturity Securities. | |
Securities. | Note 8. Held-to-Maturity Securities. Major Security Types (in thousands) September 30, 2021 Allowance OTTI Gross Gross Amortized for Credit Recognized Carrying Unrecognized Unrecognized Fair Issued, guaranteed or insured: Cost (d) Loss (ACL) in AOCI Value Holding Gains (a) Holding Losses (a) Value Pools of Mortgages Fannie Mae $ 35,442 $ — $ — $ 35,442 $ 4,596 $ — $ 40,038 Freddie Mac 5,744 — — 5,744 859 — 6,603 Total pools of mortgages 41,186 — — 41,186 5,455 — 46,641 Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits Fannie Mae 343,345 — — 343,345 2,554 (188) 345,711 Freddie Mac 352,509 — — 352,509 3,343 (37) 355,815 Ginnie Mae — — — — — — — Total CMOs/REMICs 695,854 — — 695,854 5,897 (225) 701,526 Commercial Mortgage-Backed Securities (b) Fannie Mae 1,371,160 — — 1,371,160 32,214 (742) 1,402,632 Freddie Mac 7,477,722 — — 7,477,722 416,307 (3,982) 7,890,047 Total commercial mortgage-backed securities 8,848,882 — — 8,848,882 448,521 (4,724) 9,292,679 Non-GSE MBS (c) CMOs/REMICs 3,270 (234) (269) 2,767 236 (53) 2,950 Asset-Backed Securities (c) Manufactured housing (insured) 19,525 — — 19,525 551 — 20,076 Home equity loans (insured) 38,307 — (1,239) 37,068 7,766 — 44,834 Home equity loans (uninsured) 12,718 — (1,207) 11,511 1,615 (98) 13,028 Total asset-backed securities 70,550 — (2,446) 68,104 9,932 (98) 77,938 Total MBS 9,659,742 (234) (2,715) 9,656,793 470,041 (5,100) 10,121,734 Other State and local housing finance agency obligations 188,275 (116) — 188,159 23 (17,904) 170,278 Total Held-to-maturity securities $ 9,848,017 $ (350) $ (2,715) $ 9,844,952 $ 470,064 $ (23,004) $ 10,292,012 December 31, 2020 Allowance OTTI Gross Gross Amortized for Credit Recognized Carrying Unrecognized Unrecognized Fair Issued, guaranteed or insured: Cost (d) Loss (ACL) in AOCI Value Holding Gains (a) Holding Losses (a) Value Pools of Mortgages Fannie Mae $ 47,558 $ — $ — $ 47,558 $ 6,626 $ — $ 54,184 Freddie Mac 9,813 — — 9,813 1,305 — 11,118 Total pools of mortgages 57,371 — — 57,371 7,931 — 65,302 Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits Fannie Mae 942,268 — — 942,268 9,204 (830) 950,642 Freddie Mac 604,713 — — 604,713 5,709 (385) 610,037 Ginnie Mae 6,458 — — 6,458 108 — 6,566 Total CMOs/REMICs 1,553,439 — — 1,553,439 15,021 (1,215) 1,567,245 Commercial Mortgage-Backed Securities (b) Fannie Mae 1,570,197 — — 1,570,197 53,905 (1,428) 1,622,674 Freddie Mac 8,503,433 — — 8,503,433 591,514 (5,142) 9,089,805 Total commercial mortgage-backed securities 10,073,630 — — 10,073,630 645,419 (6,570) 10,712,479 Non-GSE MBS (c) CMOs/REMICs 3,824 (257) (294) 3,273 146 (71) 3,348 Asset-Backed Securities (c) Manufactured housing (insured) 23,763 — — 23,763 768 — 24,531 Home equity loans (insured) 52,262 — (3,308) 48,954 13,340 (52) 62,242 Home equity loans (uninsured) 17,450 — (1,986) 15,464 2,588 (284) 17,768 Total asset-backed securities 93,475 — (5,294) 88,181 16,696 (336) 104,541 Total MBS 11,781,739 (257) (5,588) 11,775,894 685,213 (8,192) 12,452,915 Other State and local housing finance agency obligations (e) 1,097,752 — — 1,097,752 76 (21,562) 1,076,266 Total Held-to-maturity securities $ 12,879,491 $ (257) $ (5,588) $ 12,873,646 $ 685,289 $ (29,754) $ 13,529,181 (a) Unrecognized gross holding gains and losses represent the difference between fair value and carrying value. (b) Commercial mortgage-backed securities (CMBS) are Agency issued securities, collateralized by income-producing “multifamily properties”. Eligible property types include standard conventional multifamily apartments, affordable multifamily housing, seniors housing, student housing, military housing, and rural rent housing. (c) The amounts represent non-agency private-label mortgage- and asset-backed securities. (d) Amortized cost — For securities that were deemed impaired, amortized cost represents unamortized cost less credit losses, net of credit recoveries (reversals) due to improvements in cash flows. (e) Amortized costs at December 31, 2020 include allowances for credit losses of $0.7 million. Securities Pledged The FHLBNY had pledged MBS, with an amortized cost basis of $2.7 million at September 30, 2021 and $2.7 million at December 31, 2020, to the FDIC in connection with deposits maintained by the FDIC at the FHLBNY. The FDIC does not have rights to sell or repledge the collateral unless the FHLBNY defaults under the terms of its deposit arrangements with the FDIC. Credit Loss Allowances on Held-to-Maturity Securities GSE-issued securities Housing finance agency bonds Accrued interest receivable for HTM housing finance agency bonds was $0.2 million and $1.3 million at September 30, 2021 and December 31, 2020, respectively. No allowance for credit losses was recorded as interest due is expected to be collected. Our investments are performing to their contractual terms, and management has concluded that the gross unrealized losses on its housing finance agency bonds are temporary because the underlying collateral and credit enhancements are sufficient to protect the FHLBNY from losses based on current expectations. The credit enhancements may include additional support from monoline insurance companies, reserve and investment funds allocated to the securities that may be used to make principal and interest payments in the event that the underlying loans pledged for these securities are not sufficient to make the necessary payments and the general obligation of the State issuing the bond. Private-label mortgage-backed securities Redemption Terms Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment features. The amortized cost and estimated fair value of held-to-maturity securities, arranged by contractual maturity, were as follows (in thousands): September 30, 2021 December 31, 2020 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 $ 3,340 $ 3,349 $ 30,867 $ 30,758 Due after five years through ten years 100 100 100 100 Due after ten years 184,835 166,829 1,066,785 1,045,408 State and local housing finance agency obligations $ 188,275 $ 170,278 $ 1,097,752 $ 1,076,266 Mortgage-backed securities Due in one year or less $ 416,786 $ 417,694 $ 690,206 $ 694,962 Due after one year through five years 2,787,162 2,881,881 2,991,105 3,114,446 Due after five years through ten years 5,506,875 5,854,138 6,137,440 6,629,839 Due after ten years 948,919 968,021 1,962,988 2,013,668 Mortgage-backed securities $ 9,659,742 $ 10,121,734 $ 11,781,739 $ 12,452,915 Total Held-to-Maturity Securities $ 9,848,017 $ 10,292,012 $ 12,879,491 $ (a) Amortized cost is UPB after adjusting for net unamortized premiums of $49.6 million at September 30, 2021 and $57.4 million at December 31, 2020 (net of unamortized discounts) and before adjustments for allowance for credit losses. |
Advances.
Advances. | 9 Months Ended |
Sep. 30, 2021 | |
Advances. | |
Advances. | Note 9. Advances. The FHLBNY offers to its members a wide range of fixed- and adjustable-rate advance loan products with different maturities, interest rates, payment characteristics, and optionality. Redemption Terms Contractual redemption terms and yields of advances were as follows (dollars in thousands): September 30, 2021 December 31, 2020 Weighted (a) Weighted (a) Average Percentage Average Percentage Amount Yield of Total Amount Yield of Total Overdrawn demand deposit accounts $ 6,034 1.09 % — % $ — — % — % Due in one year or less 38,710,313 0.68 55.36 51,202,647 0.65 56.42 Due after one year through two years 7,297,548 1.57 10.44 11,520,983 1.52 12.70 Due after two years through three years 5,744,511 1.46 8.22 7,734,061 1.65 8.52 Due after three years through four years 4,406,435 1.55 6.30 4,400,913 1.55 4.85 Due after four years through five years 2,158,153 1.43 3.09 3,770,927 1.50 4.16 Thereafter 11,600,711 1.84 16.59 12,111,628 1.87 13.35 Total par value 69,923,705 1.10 % 100.00 % 90,741,159 1.09 % 100.00 % Hedge valuation basis adjustments (b) 623,868 1,325,945 Total $ 70,547,573 $ 92,067,104 (a) The weighted average yield is the weighted average coupon rates for advances, unadjusted for swaps. For floating-rate advances, the weighted average rate is the rate outstanding at the reporting dates. (b) Hedge valuation basis adjustments under ASC 815 hedges represent changes in the fair values of fixed-rate advances due to changes in designated benchmark interest rates, the remaining terms to maturity or to next call and the notional amounts of advances in a hedging relationship. The FHLBNY’s benchmark rates are LIBOR, Federal Funds-OIS index and SOFR-OIS index. Monitoring and Evaluating Credit Losses on Advances Our credit and collateral practices have not identified allowance for credit losses at September 30, 2021 and December 31, 2020 or in the periods in 2020. Accrued interest receivable was $70.0 million and $89.6 million at September 30, 2021 and December 31, 2020, and no allowance for credit losses was recorded as interest due is well collateralized and interest due is expected to be collected. No subsequent events have occurred that would require us to report a credit loss on advances. The FHLBNY’s (or the Bank’s) advances are primarily made to member financial institutions, which include commercial banks and insurance companies. The Bank manages its credit exposure to advances through an integrated approach that includes establishing a credit limit for each borrower. This approach includes an ongoing review of each borrower’s financial condition, in conjunction with the Bank’s collateral and lending policies to limit risk of loss, while balancing borrowers’ needs for a reliable source of funding. In addition, the Bank lends to eligible borrowers in accordance with federal law and FHFA regulations. Specifically, the Bank is required to obtain sufficient collateral to fully secure credit products up to the counterparty’s total credit limit. Collateral eligible to secure new or renewed advances includes: ● one-to-four family and multifamily mortgage loans (delinquent for no more than 90 days) and securities representing such mortgages; ● securities issued, insured, or guaranteed by the U.S. government or any U.S. government agency (for example, mortgage-backed securities issued or guaranteed by Fannie Mae, Freddie Mac, or Ginnie Mae); ● cash or deposits in the Bank; ● certain other collateral that is real estate-related, provided that the collateral has a readily ascertainable value and that the Bank can perfect a security interest in it; and ● qualifying securities. Residential mortgage loans are the principal form of collateral for advances. The estimated value of the collateral required to secure each member’s credit products is calculated by applying collateral discounts, or haircuts, to the market value or unpaid principal balance of the collateral, as applicable. In addition, community financial institutions are eligible to use expanded statutory collateral provisions for small business, agriculture loans, and community development loans. The Bank’s capital stock owned by each borrower is also pledged as collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition, and performance; borrowing capacity; and overall credit exposure to the borrower. The Bank can also require additional or substitute collateral to protect its security interest. The Bank also has policies and procedures for validating the reasonableness of our collateral valuations. Summarized below are the FHLBNY’s credit loss allowance methodologies: Adoption of the guidance under ASU 2016-13, resulted in formalizing the governance stipulated under the new guidance. Our pre-existing processes - collateral monitoring, valuation of collateral and haircuts in addition to borrower credit analysis - are extensive and remain key to our operations. We devote considerable resources towards these procedures and processes. The FHLBNY closely monitors the creditworthiness of the institutions to which it lends. The FHLBNY also closely monitors the quality and value of the assets that are pledged as collateral by its members. The FHLBNY’s members are required to pledge collateral to secure advances. Eligible collateral includes: (1) one-to-four-family and multi-family mortgages; (2) U.S. Treasury and government-agency securities; (3) mortgage-backed securities; and (4) certain other collateral which is real estate related and has a readily ascertainable value, and in which the FHLBNY can perfect a security interest. The FHLBNY has the right to take such steps, as it deems necessary to protect its secured position on outstanding advances, including requiring additional collateral (whether or not such additional collateral would otherwise be eligible to secure a loan; and the provision would benefit the FHLBNY in a scenario when a member defaults). The FHLBNY also has a statutory lien under the FHLBank Act on members’ capital stock, which serves as further collateral for members’ indebtedness to the FHLBNY. Allowance for Credit Risk. non-accrual impaired As of September 30, 2021, the FHLBNY had collateral on a borrower-by-borrower basis with a value equal to, or greater than, its outstanding advances. Based on the collateral held as security, the FHLBNY’s management’s credit extension and collateral policies, and repayment history on advances, the FHLBNY did not expect any losses on its advances at any time in the periods in 2021 and through the filing date on this report; therefore, no allowance for credit losses on advances was recorded. For the same reasons, the FHLBNY did not record any allowance for credit losses on interest receivable on advances as of September 30, 2021. Concentration of Advances Outstanding. Advances borrowed by insurance companies accounted for 41.9% and 35.6% of total advances at September 30, 2021 and December 31, 2020, respectively. Lending to insurance companies poses a number of unique risks not present in lending to federally insured depository institutions. For example, there is no single federal regulator for insurance companies. They are supervised by state regulators and subject to state insurance codes and regulations. There is uncertainty about whether a state insurance commissioner would try to void the FHLBNY’s claims on collateral in the event of an insurance company failure. As with all members, insurance companies are also required to purchase the FHLBNY’s capital stock as a prerequisite to membership and borrowing activity. The FHLBNY’s management takes a number of steps to mitigate the unique risk of lending to insurance companies. At the time of membership, the FHLBNY requires an insurance company to be highly rated and to meet the FHLBNY’s credit quality standards. The FHLBNY performs quarterly credit analysis of the insurance borrower. Insurance companies are required to successfully complete an onsite review prior to pledging collateral. Additionally, in order to ensure its position as a first priority secured creditor, FHLBNY typically requires insurance companies to place physical possession of all pledged eligible collateral with FHLBNY or deposit it with a third party custodian or control agent. Such collateral must meet the FHLBNY’s credit quality standards, with appropriate minimum margins applied. Security Terms . (1) Allows a member to retain possession of the mortgage collateral pledged to the FHLBNY if the member executes a written security agreement, provides periodic listings and agrees to hold such collateral for the benefit of the FHLBNY; however, securities and cash collateral are always in physical possession; or (2) Requires the member specifically to assign or place physical possession of such mortgage collateral with the FHLBNY or its custodial agent. Beyond these provisions, Section 10(e) of the FHLBank Act affords any security interest granted by a member to the FHLBNY’s priority over the claims or rights of any other party. The two exceptions are claims that would be entitled to priority under otherwise applicable law or perfected security interests. All member obligations with the FHLBNY were fully collateralized throughout their entire term. The total of collateral pledged to the FHLBNY includes excess collateral pledged above the minimum collateral requirements. However, a “Maximum Lendable Value” is established to ensure that the FHLBNY has sufficient eligible collateral securing credit extensions. |
Mortgage Loans Held-for-Portfol
Mortgage Loans Held-for-Portfolio. | 9 Months Ended |
Sep. 30, 2021 | |
Mortgage Loans Held-for-Portfolio. | |
Mortgage Loans Held-for-Portfolio. | Note 10. Mortgage Loans Held-for-Portfolio. Mortgage Partnership Finance ® ® In March 2021, the FHLBNY ceased to acquire loans under the MPF program. Future mortgage loan purchases will be made only through our new mortgage loan program - ® The FHLBNY classifies mortgage loans as held for investment, and accordingly reports them at their principal amount outstanding net of unamortized premiums, discounts, and unrealized gains and losses from loans initially classified as mortgage loan commitments. The following table presents information on mortgage loans held-for-portfolio (dollars in thousands): September 30, 2021 December 31, 2020 Carrying Amount Percentage of Total Carrying Amount Percentage of Total Real Estate (a) : Fixed medium-term single-family mortgages $ 148,894 6.55 % $ 178,968 6.25 % Fixed long-term single-family mortgages 2,124,871 93.45 2,682,955 93.75 Total unpaid principal balance $ 2,273,765 100.00 % $ 2,861,923 100.00 % Unamortized premiums 33,829 43,103 Unamortized discounts (916) (1,246) Basis adjustment (b) 2,099 2,691 Total MPF loans amortized cost $ 2,308,777 $ 2,906,471 MPF allowance for credit losses (2,921) (7,073) MPF loans held-for-portfolio $ 2,305,856 $ 2,899,398 MAP loans held-for-portfolio $ 111,800 $ 314 Total mortgage loans held-for-portfolio at carrying value $ 2,417,656 $ 2,899,712 (a) Conventional mortgage loans represent the majority of mortgage loans held-for-portfolio, with the remainder invested in FHA and VA insured loans (also referred to as government loans). (b) Balances represent unamortized fair value basis of closed delivery commitments. A basis adjustment is recorded at the settlement of the loan and it represents the difference in trade price paid for acquiring the loan and the price at the settlement date for a similar loan. The basis adjustment is amortized as a yield adjustment to Interest income. The FHLBNY and its members share the credit risk of MPF loans by structuring potential credit losses into layers. The first layer is typically 100 bps, but this varies with the particular MPF product. The amount of the first layer, or First Loss Account (FLA), was estimated at $44.2 million and $43.9 million at September 30, 2021 and December 31, 2020, respectively. The FLA is not recorded or reported as a reserve for loan losses, as it serves as a memorandum or information account. The FHLBNY is responsible for absorbing the first layer. The second layer is that amount of credit obligations that the PFI has agreed to assume at the “Master Commitment” level. The FHLBNY pays a credit enhancement fee to the PFI for taking on this obligation. The FHLBNY assumes all residual risk. Credit enhancement fees accrued were $0.5 million and $1.7 million for the three and nine months ended September 30, 2021 and $0.7 million and $2.0 million for the same periods in the prior year. These fees were reported as a reduction to mortgage loan interest income. In terms of the credit enhancement waterfall, the MPF program structures potential credit losses on conventional MPF loans into layers on each loan pool as follows: (1) The first layer of protection against loss is the liquidation value of the real property securing the loan. (2) The next layer of protection comes from the primary mortgage insurance (PMI) that is required for loans with a loan-to-value ratio greater than 80% at origination. (3) Losses that exceed the liquidation value of the real property and any PMI will be absorbed by the FHLBNY, limited to the amount of the FLA available under the Master Commitment. For certain MPF products, the FHLBNY could recover previously absorbed losses by withholding future credit enhancement fees (CE Fees) otherwise payable to the PFI, and applying the amounts to recover losses previously absorbed. In effect, the FHLBNY may recover losses allocated to the FLA from CE Fees. The amount of CE Fees depends on the MPF product and the outstanding balances of loans funded in the Master Commitment. CE Fees payable (potentially available for loss recovery) will decline as the outstanding loan balances in the Master Commitment declines. (4) The second layer or portion of credit losses is incurred by the PFI and/or the Supplemental Mortgage Insurance (SMI) provider as follows: The PFI absorbs losses in excess of any FLA up to the amount of the PFI’s credit obligation amount and/or to the SMI provider for MPF 125 Plus products if the PFI has selected SMI coverage. (5) The third layer of losses is absorbed by the FHLBNY. The MAP program operates on the Simplified Risk-Sharing Structure. MAP credit risk sharing structure rewards PFIs for originating high quality, well-performing loans. At the time of purchase, FHLBNY will set aside a standard credit enhancement of 1.5% for every loan funded, to be retained in a Member Performance Account (MPA) for each PFI. Loans are pooled into Aggregate Master Commitments. Loan losses over the life of the pool are absorbed in order by borrower’s equity, mortgage insurance (if applicable), MPA, and finally by FHLBNY. If pooled losses are low, MPA funds are returned to the seller over time, based on a contractual release schedule. This liability account was $1.6 million at September 30, 2021 and $4.5 thousand at December 31, 2020. Allowance Methodology for Mortgage Loan Losses under ASU 2016-13. Effective January 1, 2020, the FHLBNY adopted ASU 2016-13, Financial Instruments Credit Losses (Topic 326). Mortgage loans are evaluated for credit losses on an individual basis. The following table presents the cumulative loan loss allowances at each of the dates (in thousands): Reserves/(Recoveries) December 31, 2020 Recorded in 2021 September 30, 2021 Allowance for Credit Losses $ 7,073 $ (4,029) $ 3,044 Our allowance for credit loss of $3.0 million at September 30, 2021 took into consideration several factors. First, the Bank’s mortgage loan portfolio has a history of incurred losses that accumulates to less than $5 million in life-time losses. Second, loss sharing and insurance would largely offset actual losses. Lastly, forbearance processes under COVID-19 are likely to be temporary for the MPF loans; amounts under forbearance agreements are not material. Loan deferrals under COVID-19 relief are not material. Evaluation of Credit Losses under CECL The Bank’s credit risk model (“Model”) estimates the probabilities of prepayments and defaults concurrently. Prepayments represent the probability that an individual loan will voluntarily prepay while defaults represent the probability that an individual loan will transition to involuntary payoffs. Defaults transition from one delinquency status to another (e.g., current to 30 days, 30 days to 60 days, etc.) until the loan is involuntarily paid off. The transition probabilities are a function of collateral types, borrower characteristics, and economic factors. The model utilizes economic data files that provide interest rates, the applicable house price index, and applicable foreclosure timeline, which are used in simulating transition probabilities. The Bank’s third party credit loss model provides the ability to update assumptions and calculate the probability of default of each individual mortgage loan. The model also uses loan and borrower information along with economic assumptions about applicable housing prices and interest rates as inputs to generate a distribution of projected cash flows over the life of the mortgage. The model estimates the loss given default (LGD) for each loan during the simulation based on assumptions adopted in the model by projecting loan status probabilities and aggregating projected cash flows for each loan in the portfolio. A loan in foreclosure or REO sale is considered to be a default. Accrued interest receivable was $11.5 million at September 30, 2021 and $14.2 million at December 31, 2020. Delinquency and non-accruals are factors that are applied in estimating expected credit losses. Refer to discussions on non-accrual and delinquent loans. Government mortgages, which carry FHA, VA or USDA guarantees present a minimal risk of loss. Additionally, as part of the service agreement between FHLBNY and the members that sold us government loans, those members will buy back delinquent government loans. Credit enhancements under the MPF Program may include primary mortgage insurance, supplemental mortgage insurance, in addition to recoverable performance-based credit enhancement fees. Potential recoveries from credit enhancements for conventional loans are evaluated at the individual master commitment level to determine the credit enhancements available to recover losses on loans under each individual master commitment. However, expected recoveries from credit enhancements are not factored into the calculation of expected credit losses. The MPF program’s actual loss experience has been immaterial and inclusion of recoveries in the allowance calculations would result in an immaterial change. No MAP loans were in a delinquent status at September 30, 2021 or December 31, 2020. Rollforward Analysis of Allowance for Credit Losses The following table provides a rollforward analysis of the allowance for credit losses (in thousands): Three months ended September 30, Nine months ended September 30, 2021 2020 2021 2020 Allowance for credit losses: Beginning balance $ 4,103 $ 6,534 $ 7,073 $ 653 Adjustment for cumulative effect of accounting change — — — 2,972 Charge-offs — — (50) — Recoveries — — — — Provision (Reversal) for credit losses on mortgage loans (1,059) 2,566 (3,979) 5,475 Balance, at end of period $ 3,044 $ 9,100 $ 3,044 $ 9,100 The FHLBNY’s total MPF loans and impaired MPF loans were as follows (in thousands): September 30, 2021 December 31, 2020 Total MPF Mortgage loans, carrying values net (a) $ 2,305,856 $ 2,899,398 Non-performing MPF mortgage loans - Conventional (a)(b) $ 31,008 $ 58,498 Insured MPF loans past due 90 days or more and still accruing interest (a)(b) $ 8,933 $ 14,760 (a) Includes loans classified as special mention, sub-standard, doubtful or loss under regulatory criteria, net of amounts charged-off if delinquent for 180 days or more. (b) Data in this table represents UPB and would not agree to data reported in other tables at “amortized cost”. Under the new framework, the FHLBNY evaluates all loans, including non-performing conventional loans, on an individual basis for lifetime credit losses. FHA and VA loans are considered as insured MPF loans, and while the loans are evaluated on an individual basis, we have deemed that FHA and VA loans as collectively insured. Additionally, based on the Bank’s assessment of its servicers and the collateral backing the insured loans, the risk of loss was deemed immaterial. The Bank has not recorded an allowance for credit losses for government-guaranteed or -insured mortgage loans in any periods in 2021 or 2020. Furthermore, none of these mortgage loans has been placed on non-accrual status because of the U.S. government guarantee or insurance on these loans and the contractual obligation of the loan servicer to repurchase the loans when certain criteria are met. The following tables present unpaid principal balances with and without related loan loss allowances for conventional loans (excluding insured FHA/VA MPF loans ) in the MPF program (in thousands): Three months ended Nine months ended September 30, 2021 September 30, 2021 September 30, 2021 Unpaid Average Principal Related Amortized Cost Recorded Balance Allowance After Allowance Investment (d) Conventional Loans - MPF (a)(c) No related allowance (b) $ 1,421,654 $ — $ 1,442,290 $ 1,423,570 $ 1,551,227 With a related allowance 685,312 (2,921) 693,858 760,232 815,650 Total measured for impairment $ 2,106,966 $ (2,921) $ 2,136,148 $ 2,183,802 $ 2,366,877 December 31, 2020 Unpaid Average Principal Related Amortized Cost Amortized Cost Balance Allowance After Allowance After Allowance (d) Conventional Loans - MPF (a)(c) No related allowance (b) $ 1,792,650 $ — $ 1,818,942 $ 1,903,273 With a related allowance 873,955 (7,073) 881,661 994,262 Total measured for impairment $ 2,666,605 $ (7,073) $ 2,700,603 $ 2,897,535 (a) Based on analysis of the nature of risks of the FHLBNY’s investments in MPF loans, including its methodologies for identifying and measuring impairment, management has determined that presenting such loans as a single class is appropriate. (b) Collateral values, net of estimated costs to sell, exceeded the amortized cost in impaired loans and no allowances were deemed necessary. (c) Interest received is not recorded as Interest income if an uninsured loan is past due 90-days or more. Cash received is recorded as a liability on the assumption that cash was remitted by the servicer to the FHLBNY that could potentially be recouped by the borrower in a foreclosure. (d) Represents the average amortized cost after allowance for the three and nine months ended September 30, 2021 and for the twelve months ended December 31, 2020. The following table summarizes MPF mortgage loans held-for-portfolio by collateral/guarantee type (in thousands): September 30, 2021 December 31, 2020 Mortgage Loans Held for Portfolio by Collateral/Guarantee Type: Conventional mortgage loans - MPF $ 2,106,966 $ 2,666,605 MPF Government-guaranteed or -insured mortgage loans 166,799 195,318 Total MPF loans - unpaid principal balance $ 2,273,765 $ 2,861,923 Payment Status of Mortgage Loans Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include non-accrual loans and loans in process of foreclosure. The following tables present the payment status for conventional mortgage loans and other delinquency statistics for the Bank’s mortgage loans at September 30, 2021 and December 31, 2020, respectively. Credit Quality Indicator for Conventional Mortgage Loans September 30, 2021 Conventional Loans Origination Year Prior to 2017 2017 to 2021 Total Payment Status, at Amortized Cost: Conventional MPF/MAP Past due 30 - 59 days $ 5,720 $ 3,792 $ 9,512 Past due 60 - 89 days 1,573 514 2,087 Past due 90 days or more 18,697 12,528 31,225 Total past due MPF mortgage loans 25,990 16,834 42,824 Current MPF mortgage loans 1,032,532 1,063,713 2,096,245 Current MAP Mortgage Loans — 111,923 111,923 Total conventional Mortgage Loans $ 1,058,522 $ 1,192,470 $ 2,250,992 December 31, 2020 Conventional Loans Origination Year Prior to 2016 2016 to 2020 Total Payment Status, at Amortized Cost: Conventional Loans Past due 30 - 59 days $ 10,088 $ 9,768 $ 19,856 Past due 60 - 89 days 4,267 7,682 11,949 Past due 90 days or more 28,157 31,002 59,159 Total past due MPF mortgage loans 42,512 48,452 90,964 Current MPF mortgage loans 1,038,404 1,578,308 2,616,712 Current MAP mortgage loans — 314 314 Total conventional loans $ 1,080,916 $ 1,627,074 $ 2,707,990 Other Delinquency Statistics September 30, 2021 Conventional MPF Government-Guaranteed MPF Loans or -Insured Loans Total MPF Loans Amortized Cost: In process of foreclosure (a) $ 13,047 $ 5,927 $ 18,974 Serious delinquency rate (b) 1.52 % 5.37 % 1.80 % Past due 90 days or more and still accruing interest $ — $ 9,046 $ 9,046 Loans on non-accrual status $ 31,225 $ — $ 31,225 Troubled debt restructurings: Loans discharged from bankruptcy (c) $ 4,848 $ 995 $ 5,843 Modified loans under MPF ® program $ 426 $ — $ 426 Real estate owned (d) $ 367 $ — $ 367 December 31, 2020 Conventional MPF Government-Guaranteed MPF Loans or -Insured Loans Total MPF Loans Amortized Cost: In process of foreclosure (a) $ 23,645 $ 9,266 $ 32,911 Serious delinquency rate (b) 2.44 % 8.05 % 2.82 % Past due 90 days or more and still accruing interest $ — $ 14,986 $ 14,986 Loans on non-accrual status $ 59,159 $ — $ 59,159 Troubled debt restructurings: Loans discharged from bankruptcy (c) $ 6,802 $ 1,219 $ 8,021 Modified loans under MPF ® program $ 926 $ — $ 926 Real estate owned (d) $ 133 $ — $ 133 (a) Includes loans where the decision of foreclosure or a similar alternative, such as pursuit of deed-in-lieu, has been reported. (b) Represents seriously delinquent loans as a percentage of total mortgage loans. Seriously delinquent loans are comprised of all loans past due 90 days or more delinquent or loans that are in the process of foreclosure. (c) Loans discharged from Chapter 7 bankruptcies are considered as TDRs. (d) REO is reported at lower of cost or market value. |
Deposits.
Deposits. | 9 Months Ended |
Sep. 30, 2021 | |
Deposits. | |
Deposits. | Note 11. Deposits. The FHLBNY accepts demand, overnight and term deposits from its members. Also, a member that services mortgage loans may deposit funds collected in connection with the mortgage loans as a pending disbursement to the owners of the mortgage loans. The following table summarizes deposits (in thousands): September 30, 2021 December 31, 2020 Interest-bearing deposits Interest-bearing demand $ 1,421,802 $ 1,677,526 Term (a) — 5,000 Total interest-bearing deposits 1,421,802 1,682,526 Non-interest-bearing demand 44,113 70,437 Total deposits (b) $ 1,465,915 $ 1,752,963 (a) Term deposits were for periods of one year or less. (b) Specific disclosures about deposits that exceed FDIC limits have been omitted as deposits are not insured by the FDIC. Deposits are received in the ordinary course of the FHLBNY’s business. The FHLBNY has pledged securities to the FDIC to collateralize deposits maintained at the FHLBNY by the FDIC; for more information, see Securities Pledged in Note 8. Held-to-Maturity Securities. Interest rate payment terms for deposits are summarized below (dollars in thousands): September 30, 2021 December 31, 2020 Amount Average Interest Amount Average Interest Outstanding Rate (b) Outstanding Rate (b) Due in one year or less Interest-bearing deposits (a) $ 1,421,802 0.03 % $ 1,682,526 0.26 % Non-interest-bearing deposits 44,113 70,437 Total deposits $ 1,465,915 $ 1,752,963 (a) Primarily adjustable rate. (b) The weighted average interest rate is calculated based on the average balance . |
Consolidated Obligations.
Consolidated Obligations. | 9 Months Ended |
Sep. 30, 2021 | |
Consolidated Obligations. | |
Consolidated Obligations. | Note 12. Consolidated Obligations. The FHLBanks have joint and several liability for all the Consolidated obligations issued on their behalf (for more information, see Note 19. Commitments and Contingencies). Consolidated obligations consist of bonds and discount notes. The FHLBanks issue Consolidated obligations through the Office of Finance as their fiscal agent. In connection with each debt issuance, a FHLBank specifies the amount of debt it wants issued on its behalf. The Office of Finance tracks the amount of debt issued on behalf of each FHLBank. Each FHLBank separately tracks and records as a liability for its specific portion of Consolidated obligations for which it is the primary obligor. Consolidated obligation bonds (CO bonds or Consolidated bonds) are issued primarily to raise intermediate- and long-term funds for the FHLBanks and are not subject to any statutory or regulatory limits on maturity. Consolidated obligation discount notes (CO discount notes, Discount notes, or Consolidated discount notes) are issued primarily to raise short-term funds. Discount notes sell at less than their face amount and are redeemed at par value when they mature. The following table summarizes carrying amounts of Consolidated obligations outstanding at September 30, 2021 and December 31, 2020 (in thousands): September 30, 2021 December 31, 2020 Consolidated obligation bonds-amortized cost $ 61,049,484 $ 69,063,948 Hedge valuation basis adjustments 277,624 514,436 Hedge basis adjustments on de-designated hedges 126,811 132,450 FVO - valuation adjustments and accrued interest 437 5,464 Total Consolidated obligation bonds $ 61,454,356 $ 69,716,298 Discount notes-amortized cost $ 32,768,402 $ 57,642,972 Hedge value basis adjustments — 321 FVO - valuation adjustments and remaining accretion — 15,545 Total Consolidated obligation discount notes $ 32,768,402 $ 57,658,838 Redemption Terms of Consolidated Obligation Bonds The following table is a summary of carrying amounts of Consolidated obligation bonds outstanding by year of maturity (dollars in thousands): September 30, 2021 December 31, 2020 Weighted Weighted Average Percentage Average Percentage Maturity Amount Rate (a) of Total Amount Rate (a) of Total One year or less $ 26,957,790 0.48 % 44.24 % $ 45,481,150 0.34 % 66.00 % Over one year through two years 7,249,465 1.42 11.90 10,367,545 1.01 15.05 Over two years through three years 4,837,080 0.94 7.94 4,324,660 1.72 6.28 Over three years through four years 3,994,860 0.83 6.56 1,581,355 1.94 2.29 Over four years through five years 9,401,920 0.87 15.43 822,620 1.62 1.19 Thereafter 8,485,700 2.39 13.93 6,329,200 3.14 9.19 Total par value 60,926,815 0.98 % 100.00 % 68,906,530 0.84 % 100.00 % Bond premiums (b) 146,700 184,084 Bond discounts (b) (24,031) (26,666) Hedge valuation basis adjustments (c) 277,624 514,436 Hedge basis adjustments on de-designated hedges (d) 126,811 132,450 FVO (e) - valuation adjustments and accrued interest 437 5,464 Total Consolidated obligation-bonds $ 61,454,356 $ 69,716,298 (a) Weighted average rate represents the weighted average contractual coupons of bonds, unadjusted for swaps. (b) Amortization of CO bond premiums and discounts are recorded in interest expense as yield adjustments. (c) Hedge valuation basis adjustments under ASC 815 fair value hedges represent changes in the fair values of fixed-rate CO bonds due to changes in the designated benchmark interest rate, remaining terms to maturity or next call, and the notional amounts of CO bonds designated in hedge relationship. Our interest rate benchmarks are LIBOR, the Federal Funds-OIS index and the SOFR-OIS index. (d) Hedge basis adjustments on de-designated hedges represent the unamortized balances of valuation basis of fixed-rate CO bonds that were previously in a fair value hedging relationship. Generally, when a hedging relationship is de-designated, the valuation basis is no longer adjusted for changes in the valuation of the debt for changes in the benchmark rate; instead, the basis is amortized over the debt’s remaining life, so that at maturity of the debt the unamortized basis is reversed to zero . (e) Valuation adjustments on FVO designated bonds represent changes in the entire fair values of CO bonds elected under the FVO plus accrued unpaid interest. Changes in the timing of coupon payments impact outstanding accrued interest. Changes in benchmark interest rates, notional amounts of CO bonds elected under FVO and remaining terms to maturity or next call will impact hedge valuation adjustments. Interest Rate Payment Terms The following table summarizes par amounts of major types of Consolidated obligation bonds issued and outstanding (dollars in thousands): September 30, 2021 December 31, 2020 Percentage Percentage Amount of Total Amount of Total Fixed-rate, non-callable $ 39,862,685 65.43 % $ 49,275,530 71.51 % Fixed-rate, callable 12,893,130 21.16 1,434,000 2.08 Step Up, callable 4,871,000 7.99 — — Floating rate, callable 250,000 0.41 — — Single-index floating rate 3,050,000 5.01 18,197,000 26.41 Total par value $ 60,926,815 100.00 % $ 68,906,530 100.00 % Discount Notes Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are Consolidated obligations with original maturities of up to one year. These notes are issued at less than their face amount and redeemed at par when they mature. The FHLBNY’s outstanding Consolidated obligation discount notes were as follows (dollars in thousands): September 30, 2021 December 31, 2020 Par value $ 32,769,938 $ 57,668,646 Amortized cost $ 32,768,402 $ 57,642,972 Hedge value basis adjustments (a) — 321 FVO (b) - valuation adjustments and remaining accretion — 15,545 Total discount notes $ 32,768,402 $ 57,658,838 Weighted average interest rate 0.04 % 0.15 % (a) Hedging valuation basis adjustments — The reported carrying values of hedged CO discount notes are adjusted for changes in their fair values (fair value basis adjustments or fair value) that are attributable to changes in the benchmark risk being hedged. Changes in the designated benchmark interest rate, notional amounts of CO discount notes in hedging relationships and remaining terms to maturity are factors that impact hedge valuation adjustments. (b) FVO valuation adjustments — Valuation basis adjustment losses are recorded to recognize changes in the entire or full fair values including unaccreted discounts on CO discount notes elected under the FVO. Changes in benchmark interest rates, notional amounts of CO discount notes elected under FVO and remaining terms to maturity are factors that impact hedge valuation adjustments. |
Affordable Housing Program.
Affordable Housing Program. | 9 Months Ended |
Sep. 30, 2021 | |
Affordable Housing Program. | |
Affordable Housing Program. | Note 13. Affordable Housing Program. The FHLBNY charges the amount allocated for the Affordable Housing Program (AHP) to expense and recognizes it as a liability. The FHLBNY relieves the AHP liability as members use the subsidies. The following table provides rollforward information with respect to changes in Affordable Housing Program liabilities (in thousands): Three months ended September 30, Nine months ended September 30, 2021 2020 2021 2020 Beginning balance $ 152,523 $ 159,464 $ 148,827 $ 153,894 Additions from current period’s assessments 7,314 11,251 23,645 38,225 Net disbursements for grants and programs (15,034) (12,363) (27,669) (33,767) Ending balance $ 144,803 $ 158,352 $ 144,803 $ 158,352 |
Capital Stock, Mandatorily Rede
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | 9 Months Ended |
Sep. 30, 2021 | |
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | |
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. The FHLBanks, including the FHLBNY, have a cooperative structure. To access the FHLBNY’s products and services, a financial institution must be approved for membership and purchase capital stock in the FHLBNY. A member’s stock requirement is generally based on its use of FHLBNY products, subject to a minimum membership requirement as prescribed by the FHLBank Act and the FHLBNY’s Capital Plan. FHLBNY stock can be issued, exchanged, redeemed and repurchased only at its stated par value of $100 per share. It is not publicly traded. An option to redeem capital stock that is greater than a member’s minimum requirement is held by both the member and the FHLBNY. The FHLBNY’s Capital Plan offers two sub-classes of Class B capital stock, membership and activity-based capital stock, and members can redeem Class B stock by giving five years notice. The FHLBNY’s Class B capital stock issued and outstanding was $4.4 billion at September 30, 2021 and $5.4 billion at December 31, 2020. Membership and Activity-based Class B capital stocks have the same voting rights and dividend rates. (See Statements of Capital): ● Membership stock is issued to meet membership stock purchase requirements. The FHLBNY requires member institutions to maintain membership stock based on a percentage of the member’s mortgage-related assets. The current capital stock purchase requirement for membership is 12.5 basis points. In addition, notwithstanding this requirement, the FHLBNY has a $100 million cap on membership stock per member. ● Activity based stock is issued on a percentage of outstanding balances of advances, MPF loans and financial letters of credit. The FHLBNY’s current capital plan requires a stock purchase of 4.5% of the member’s borrowed amount. Excess activity-based capital stock is repurchased daily. The FHLBNY is subject to risk-based capital rules of the Finance Agency, the regulator of the FHLBanks. Specifically, the FHLBNY is subject to three capital requirements under its capital plan. First, the FHLBNY must maintain at all times permanent capital in an amount at least equal to the sum of its credit risk, market risk, and operations risk capital requirements as calculated in accordance with the FHLBNY policy, and rules and regulations of the Finance Agency. Only permanent capital, defined as Class B stock and retained earnings, satisfies this risk-based capital requirement. The capital plan does not provide for the issuance of Class A capital stock. The Finance Agency may require the FHLBNY to maintain an amount of permanent capital greater than what is required by the risk-based capital requirements. Second, the FHLBNY is required to maintain at least a 4.0% total capital-to-asset ratio; and third, the FHLBNY will maintain at least a 5.0% leverage ratio at all times. The FHFA’s regulatory leverage ratio is defined as the sum of permanent capital weighted 1.5 times and non-permanent capital weighted 1.0 times divided by total assets. The FHLBNY was in compliance with the aforementioned capital rules and requirements for all periods presented, and met the “adequately capitalized” classification, which is the highest rating, under the capital rule. The Director of the Finance Agency has discretion to add to or modify the corrective action requirements for each capital classification other than adequately capitalized if the Director of the Finance Agency determines that such action is necessary to ensure the safe and sound operation of the FHLBank and the FHLBank’s compliance with its risk-based and minimum capital requirements. Risk-based Capital September 30, 2021 December 31, 2020 Required (d) Actual Required (d) Actual Regulatory capital requirements: Risk-based capital (a)(e) $ 822,751 $ 6,379,228 $ 1,067,518 $ 7,279,437 Total capital-to-asset ratio 4.00 % 6.21 % 4.00 % 5.31 % Total capital (b) $ 4,107,075 $ 6,379,228 $ 5,479,855 $ 7,279,437 Leverage ratio 5.00 % 9.32 % 5.00 % 7.97 % Leverage capital (c) $ 5,133,844 $ 9,568,841 $ 6,849,819 $ 10,919,156 (a) Actual “Risk-based capital” is capital stock and retained earnings plus mandatorily redeemable capital stock. Section 1277.3 of the Finance Agency’s regulations (superseding section 932.2 effective January 1, 2020) also refers to this amount as “Permanent Capital.” (b) Required “Total capital” is 4.0% of total assets. (c) The required leverage ratio of total capital to total assets should be at least 5.0% . For the purposes of determining the leverage ratio, total capital shall be computed by multiplying the Bank’s Permanent Capital by 1.5. (d) Required minimum. (e) Under regulatory guidelines issued by the Finance Agency in August 2011 that was consistent with guidance provided by other federal banking agencies with respect to capital rules, risk weights are maintained at AAA for U.S. Treasury securities and other securities issued or guaranteed by the U.S. Government, government agencies, and government-sponsored entities for purposes of calculating risk-based capital. Mandatorily Redeemable Capital Stock Generally, the FHLBNY’s capital stock is redeemable at the option of either the member or the FHLBNY subject to certain conditions, including the provisions under the accounting guidance for certain financial instruments with characteristics of both liabilities and equity. In accordance with the accounting guidance, the FHLBNY generally reclassifies the stock subject to redemption from equity to a liability once a member irrevocably exercises a written redemption right, gives notice of intent to withdraw from membership, or attains non-member status by merger or acquisition, charter termination, or involuntary termination from membership. Under such circumstances, the member shares will then meet the definition of a mandatorily redeemable financial instrument. Estimated redemption periods were as follows (in thousands): September 30, 2021 December 31, 2020 Redemption less than one year $ 104 $ 127 Redemption from one year to less than three years 240 293 Redemption from three years to less than five years 260 317 Redemption from five years or greater 1,566 2,254 Total $ 2,170 $ 2,991 The following table provides rollforward information with respect to changes in mandatorily redeemable capital stock liabilities (in thousands): Three months ended September 30, Nine months ended September 30, 2021 2020 2021 2020 Beginning balance $ 2,360 $ 3,841 $ 2,991 $ 5,129 Capital stock subject to mandatory redemption reclassified from equity — 2,743 85 2,743 Redemption of mandatorily redeemable capital stock (a) (190) (3,250) (906) (4,538) Ending balance $ 2,170 $ 3,334 $ 2,170 $ 3,334 Accrued interest payable (b) $ 26 $ 69 $ 26 $ 69 (a) Redemption includes repayment of excess stock. (b) The annualized accrual rate was 4.60% for the three months ended September 30, 2021 and 5.60% for the three months ended September 30, 2020. Accrual rates are based on estimated dividend rates. Restricted Retained Earnings Under the FHLBank Joint Capital Enhancement Agreement (Capital Agreement), each FHLBank is required to set aside 20% of its Net income each quarter to a restricted retained earnings account until the balance of that account equals at least one percent of that FHLBank’s average balance of outstanding Consolidated obligations as calculated as of the last day of the current calendar 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 $816.8 million and $774.3 million as restricted retained earnings in the FHLBNY’s Total Capital at September 30, 2021 and December 31, 2020, respectively. |
Earnings Per Share of Capital.
Earnings Per Share of Capital. | 9 Months Ended |
Sep. 30, 2021 | |
Earnings Per Share of Capital. | |
Earnings Per Share of Capital. | Note 15. Earnings Per Share of Capital. The FHLBNY has a single class of capital stock, and earnings per share computation is for the Class B capital stock. The following table sets forth the computation of earnings per share. Basic and diluted earnings per share of capital are the same. The FHLBNY has no dilutive potential common shares or other common stock equivalents (dollars in thousands except per share amounts): Three months ended September 30, Nine months ended September 30, 2021 2020 2021 2020 Net income $ 65,808 $ 101,195 $ 212,722 $ 343,827 Net income available to stockholders $ 65,808 $ 101,195 $ 212,722 $ 343,827 Weighted average shares of capital 46,700 61,837 50,525 62,999 Less: Mandatorily redeemable capital stock (22) (49) (25) (47) Average number of shares of capital used to calculate earnings per share 46,678 61,788 50,500 62,952 Basic earnings per share $ 1.41 $ 1.64 $ 4.21 $ 5.46 |
Employee Retirement Plans.
Employee Retirement Plans. | 9 Months Ended |
Sep. 30, 2021 | |
Employee Retirement Plans. | |
Employee Retirement Plans. | Note 16. Employee Retirement Plans. The FHLBNY participates in the Pentegra Defined Benefit Plan for Financial Institutions (Pentegra DB Plan), a tax-qualified, defined-benefit multiemployer pension plan that covers all FHLBNY officers and employees. The FHLBNY also participates in the Pentegra Defined Contribution Plan for Financial Institutions, a tax-qualified defined contribution plan. The FHLBNY offers two non-qualified Benefit Equalization Plans, which are retirement plans. The two plans restore and enhance defined benefits for those employees who have had their qualified Defined Benefit Plan and their Defined Contribution Plan limited by IRS regulations. The two non-qualified Benefit Equalization Plans (BEP) are unfunded. Retirement Plan Expenses Summary The following table presents employee retirement plan expenses for the periods ended (in thousands): Three months ended September 30, Nine months ended September 30, 2021 2020 2021 2020 Defined Benefit Plan $ 2,500 $ 2,500 $ 7,500 $ 7,500 Benefit Equalization Plans (defined benefit and defined contribution) 2,847 2,753 9,113 7,414 Defined Contribution Plans 700 664 2,190 2,058 Postretirement Health Benefit Plan 76 62 229 184 Total retirement plan expenses $ 6,123 $ 5,979 $ 19,032 $ 17,156 Benefit Equalization Plan (BEP) The BEP restores defined benefits for those employees who have had their qualified defined benefits limited by IRS regulations. The method for determining the accrual expense and liabilities of the plan is the Projected Unit Credit Accrual Method. Under this method, the liability of the plan is composed mainly of two components, Projected Benefit Obligation (PBO) and Service Cost accruals. The total liability is determined by projecting each person’s expected plan benefits. These projected benefits are then discounted to the measurement date. Finally, the liability is allocated to service already worked (PBO) and service to be worked (Service Cost). There were no plan assets (this is an unfunded plan) that have been designated for the BEP plan. Components of the net periodic pension cost for the defined benefit component of the BEP were as follows (in thousands): Three months ended September 30, Nine months ended September 30, 2021 2020 2021 2020 Service cost $ 495 $ 391 $ 1,487 $ 1,175 Interest cost 529 587 1,588 1,761 Amortization of unrecognized net loss 1,478 1,141 4,432 3,421 Amortization of unrecognized past service cost 175 175 523 523 Net periodic benefit cost -Defined Benefit BEP 2,677 2,294 8,030 6,880 Benefit Equalization plans - Thrift and Deferred incentive compensation plans 170 459 1,083 534 Total $ 2,847 $ 2,753 $ 9,113 $ 7,414 Postretirement Health Benefit Plan The Retiree Medical Benefit Plan (the Plan) is for retired employees and for employees who are eligible for retirement benefits. The Plan is unfunded. The Plan, as amended, is offered to active employees who have completed 10 years of employment service at the FHLBNY and attained age 55 as of January 1, 2015. Components of the net periodic benefit cost for the postretirement health benefit plan were as follows (in thousands): Three months ended September 30, Nine months ended September 30, 2021 2020 2021 2020 Service cost (benefits attributed to service during the period) $ 16 $ 21 $ 48 $ 63 Interest cost on accumulated postretirement health benefit obligation 60 79 181 235 Amortization of (gain)/loss — (38) — (114) Net periodic postretirement health benefit expense/(income) $ 76 $ 62 $ 229 $ 184 |
Derivatives and Hedging Activit
Derivatives and Hedging Activities. | 9 Months Ended |
Sep. 30, 2021 | |
Derivatives and Hedging Activities. | |
Derivatives and Hedging Activities. | Note 17. Derivatives and Hedging Activities. The FHLBNY, consistent with the Finance Agency’s regulations, may enter into interest-rate swaps, swaptions, and interest-rate cap and floor agreements to manage its interest rate exposure inherent in otherwise unhedged assets and funding positions. We are not a derivatives dealer and do not trade derivatives for short-term profit. The contractual or notional amount of derivatives reflects the involvement of the FHLBNY in the various classes of financial instruments, and serve as a basis for calculating periodic interest payments or cash flows. Notional amount of a derivative does not measure the credit risk exposure, and the maximum credit exposure is substantially less than the notional amount. The maximum credit risk is the estimated cost of replacing interest-rate swaps, forward agreements, mandatory delivery contracts for mortgage loans and purchased caps and floors (derivatives) in a gain position if the counterparty defaults and the related collateral, if any, is of insufficient value to the FHLBNY. Derivatives are instruments that derive their value from underlying asset prices, indices, reference rates and other inputs, or a combination of these factors. The FHLBNY executes derivatives with swap dealers and financial institution swap counterparties as negotiated contracts, which are usually referred to as over-the-counter (OTC) derivatives. The following table presents the FHLBNY’s derivative activities based on notional amounts (in thousands): Hedging Instruments Under ASC 815 September 30, 2021 December 31, 2020 Interest rate contracts Interest rate swaps $ 94,406,359 $ 127,077,867 Interest rate caps 800,000 800,000 Mortgage delivery commitments 21,868 9,777 Total interest rate contracts notionals $ 95,228,227 $ 127,887,644 Derivative Notionals Offsetting of Derivative Assets and Derivative Liabilities — Net Presentation The table below presents the gross and net derivatives receivables by contract type and amount for those derivatives contracts for which netting is permissible under U.S. GAAP as Derivative instruments — September 30, 2021 December 31, 2020 Derivative Derivative Derivative Derivative Assets Liabilities Assets Liabilities Derivative instruments - nettable Gross recognized amount Uncleared derivatives $ 189,239 $ 674,347 $ 232,355 $ 913,215 Cleared derivatives 243,747 242,192 205,505 211,259 Total gross recognized amount 432,986 916,539 437,860 1,124,474 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (71,529) (633,639) (197,385) (849,880) Cleared derivatives (120,096) (242,192) (203,835) (203,835) Total gross amounts of netting adjustments and cash collateral (191,625) (875,831) (401,220) (1,053,715) Net amounts after offsetting adjustments and cash collateral $ 241,361 $ 40,708 $ 36,640 $ 70,759 Uncleared derivatives $ 117,710 $ 40,708 $ 34,970 $ 63,335 Cleared derivatives 123,651 — 1,670 7,424 Total net amounts after offsetting adjustments and cash collateral $ 241,361 $ 40,708 $ 36,640 $ 70,759 Derivative instruments - not nettable Uncleared derivatives (a) $ 4 $ 123 $ 29 $ 1 Total derivative assets and total derivative liabilities Uncleared derivatives $ 117,714 $ 40,831 $ 34,999 $ 63,336 Cleared derivatives 123,651 — 1,670 7,424 Total derivative assets and total derivative liabilities presented in the Statements of Condition (b) $ 241,365 $ 40,831 $ 36,669 $ 70,760 Non-cash collateral received or pledged (c) Can be sold or repledged Security pledged as initial margin to Derivative Clearing Organization (d) $ 368,864 $ — $ 630,372 $ — Cannot be sold or repledged Uncleared derivatives securities received (100,163) — (20,687) — Total net amount of non-cash collateral received or repledged $ 268,701 $ — $ 609,685 $ — Total net exposure cash and non-cash (e) $ 510,066 $ 40,831 $ 646,354 $ 70,760 Net unsecured amount - Represented by: Uncleared derivatives $ 17,551 $ 40,831 $ 14,312 $ 63,336 Cleared derivatives 492,515 — 632,042 7,424 Total net exposure cash and non-cash (e) $ 510,066 $ 40,831 $ 646,354 $ 70,760 (a) Not nettable derivative instruments are without legal right of offset, and were synthetic derivatives representing forward mortgage delivery commitments of 45 business days or less. Amounts were not material, and it was operationally not practical to separate receivables from payables; net presentation was adopted. No cash collateral was involved with the mortgage delivery commitments. (b) Amounts represented Derivative assets and liabilities that were recorded in the Statements of Condition. Derivative cash balances were not netted with non-cash collateral received or pledged, since legal ownership of the non-cash collateral remains with the pledging counterparty (see footnote (c) below). (c) Non-cash collateral received or pledged – For certain uncleared derivatives, from time to time counterparties have pledged U.S. Treasury securities to the FHLBNY as collateral. Amounts also included non-cash mortgage collateral on derivative positions with member counterparties where we acted as an intermediary. For certain cleared derivatives, we have pledged marketable securities to satisfy initial margin or collateral requirements. (d) Amounts represented securities pledged to Derivative Clearing Organization (DCO) to fulfill our initial margin obligations on cleared derivatives. Securities pledged may be sold or repledged if the FHLBNY defaults on its obligations under rules established by the CFTC. (e) Amounts represented net exposure after applying non-cash collateral pledged to and by the FHLBNY. Since legal ownership and control over the securities are not transferred, the net exposure represented in the table above is for information only and is not reported as such in the Statements of Condition. Note on variation margin — For all cleared derivative contracts that have not matured, “Variation margin” is exchanged between the FHLBNY and the Futures Commission Merchant (FCM), acting as agents on behalf of DCOs. Variation margin is determined by the DCO and fluctuates with the fair values of the open contracts. When the aggregate contract value of open derivatives is “in-the-money” for the FHLBNY (gain position), the FHLBNY would receive variation margin from the DCO. If the value of the open contracts is “out-of-the-money” (liability position), the FHLBNY would post variation margin to the DCO. At September 30, 2021, the FHLBNY posted $155.9 million in cash as settlement variation margin to FCMs. At December 31, 2020, the FHLBNY posted $732.9 million in cash as settlement variation margin to FCMs. As noted, variation margin is not considered as collateral, rather as the daily settlement amounts of outstanding derivative contracts. Fair Value of Derivative Instruments The following tables represent outstanding notional balances and estimated fair values of the derivatives outstanding at September 30, 2021 and December 31, 2020 (in thousands): September 30, 2021 Notional Amount Derivative Derivative of Derivatives Assets Liabilities Fair value of derivative instruments (a) Derivatives designated as hedging instruments under ASC 815 interest rate swaps $ 71,697,637 $ 418,525 $ 911,870 Total derivatives in hedging relationships under ASC 815 71,697,637 418,525 911,870 Derivatives not designated as hedging instruments Interest rate swaps 22,550,722 9,741 4,050 Interest rate caps 800,000 34 — Mortgage delivery commitments 21,868 4 123 Other (b) 158,000 4,686 619 Total derivatives not designated as hedging instruments 23,530,590 14,465 4,792 Total derivatives before netting and collateral adjustments $ 95,228,227 432,990 916,662 Netting adjustments (180,725) (180,725) Cash collateral and related accrued interest (10,900) (695,106) Total netting adjustments and cash collateral (191,625) (875,831) Total derivative assets and total derivative liabilities $ 241,365 $ 40,831 Security collateral pledged as initial margin to Derivative Clearing Organization (c) $ 368,864 Security collateral received from counterparty (c) (100,163) Net security 268,701 Net exposure $ 510,066 December 31, 2020 Notional Amount Derivative Derivative of Derivatives Assets Liabilities Fair value of derivative instruments (a) Derivatives designated as hedging instruments under ASC 815 interest rate swaps $ 69,885,821 $ 380,504 $ 1,088,253 Total derivatives in hedging relationships under ASC 815 69,885,821 380,504 1,088,253 Derivatives not designated as hedging instruments Interest rate swaps 56,304,046 35,555 34,989 Interest rate caps 800,000 44 — Mortgage delivery commitments 9,777 29 1 Other (b) 888,000 21,757 1,232 Total derivatives not designated as hedging instruments 58,001,823 57,385 36,222 Total derivatives before netting and collateral adjustments $ 127,887,644 437,889 1,124,475 Netting adjustments (291,135) (291,135) Cash collateral and related accrued interest (110,085) (762,580) Total netting adjustments and cash collateral (401,220) (1,053,715) Total derivative assets and total derivative liabilities $ 36,669 $ 70,760 Security collateral pledged as initial margin to Derivative Clearing Organization (c) $ 630,372 Security collateral received from counterparty (c) (20,687) Net security 609,685 Net exposure $ 646,354 (a) All derivative assets and liabilities with swap dealers and counterparties are executed under collateral agreements; derivative instruments executed bilaterally are subject to legal right of offset under master netting agreements. (b) The Other category comprised of interest rate swaps intermediated for member, and notional amounts represent purchases by the FHLBNY from dealers and an offsetting purchase from us by the members. (c) Non-cash security collateral is not permitted to be offset on the balance sheet but would be eligible for offsetting in an event of default. Amounts represent non-cash collateral and or U.S. Treasury securities pledged to and received from counterparties as collateral at September 30, 2021 and December 31, 2020. Accounting for Derivative Hedging The FHLBNY accounts for its hedging activities in accordance with ASC 815, Derivatives and Hedging Fair value hedge gains and losses Gains and Losses on Fair value hedges under ASC 815 are summarized below (in thousands): Gains (Losses) on Fair Value Hedges Recorded in Interest Income/Expense Three months ended September 30, Nine months ended September 30, 2021 2020 2021 2020 Gains (losses) on derivatives in designated Interest rate hedges $ 108,070 $ 133,360 $ 509,861 $ (1,180,423) Gains (losses) on hedged item in designated Interest rate hedges $ (107,046) $ (133,685) $ (504,637) $ 1,178,172 Gains (losses) represent changes in fair values of derivatives and hedged items due to changes in the designated benchmark interest rates, the risk being hedged. Gains and losses on ASC 815 hedges are recorded in the same line in the Statements of Income as the hedged assets and hedged liabilities. Cumulative Basis Adjustment Upon electing to apply ASC 815 fair value hedge accounting, the carrying value of the hedged item is adjusted to reflect the cumulative impact of changes in the hedged risk. The hedge basis adjustment, whether arising from an active or de-designated hedge relationship, remains with the hedged item until the hedged item is derecognized from the balance sheet. The tables below present the carrying amount of FHLBNY’s assets and liabilities under active ASC 815 qualifying fair value hedges at September 30, 2021 and December 31, 2020, as well as the hedged item’s cumulative hedge basis adjustments, which were included in the carrying value of assets and liabilities in active hedges. The tables also present unamortized cumulative basis adjustments from discontinued hedges where the previously hedged item remains on the FHLBNY’s Statements of Condition (in thousands): September 30, 2021 Cumulative Fair Value Hedging Adjustment Included in the Carrying Amount of Hedged Items Gains (Losses) Carrying Amount of Discontinued Hedged Active Hedging Hedging Assets/Liabilities (a) Relationship Relationship Assets: Hedged advances $ 35,295,857 $ 622,889 $ — Hedged AFS debt securities (a) 1,915,522 (20,780) — De-designated advances (b) — — 979 $ 37,211,379 $ 602,109 $ 979 Liabilities: Hedged consolidated obligation bonds $ 33,577,984 $ (277,624) $ — De-designated consolidated obligation bonds (b) — — (126,811) $ 33,577,984 $ (277,624) $ (126,811) December 31, 2020 Cumulative Fair Value Hedging Adjustment Included in the Carrying Amount of Hedged Items Gains (Losses) Carrying Amount of Discontinued Hedged Active Hedging Hedging Assets/Liabilities (a) Relationship Relationship Assets: Hedged advances $ 38,275,533 $ 1,324,615 $ — Hedged AFS debt securities (a) 1,162,366 44,052 — De-designated advances (b) — — 1,331 $ 39,437,899 $ 1,368,667 $ 1,331 Liabilities: Hedged consolidated obligation bonds $ 20,639,825 $ (514,436) $ — Hedged consolidated obligation discount notes 7,583,549 (321) — De-designated consolidated obligation bonds (b) — — (132,450) $ 28,223,374 $ (514,757) $ (132,450) (a) Carrying amounts represent amortized cost adjusted for cumulative fair value hedging basis. For AFS securities in a fair value partial-term hedge, changes in the fair values due to changes in the benchmark rate were recorded as an adjustment to amortized cost and an offset to interest income from the hedged AFS securities. (b) At September 30, 2021, par amounts of de-designated advances were $0.1 billion, and par amount of de-designated CO bonds were $2.6 billion. At December 31, 2020, par amounts of de-designated advances were $1.2 billion; par amounts of de-designated CO bonds were approximately $1.5 billion; par amounts of de-designated CO discount notes were approximately $0.1 billion. Cumulative fair value hedging adjustments for active and discontinued hedging relationships will remain on the balance sheet until the items are derecognized. Cash flow hedge gains and losses The following tables present derivative instruments used in cash flow hedge accounting relationships and the gains and losses recorded on such derivatives (in thousands): Derivative Gains (Losses) Recorded in Income and Other Comprehensive Income/Loss Three months ended September 30, 2021 2020 Amounts Amounts Amounts Amounts Reclassified from Reclassified from Amounts Total Change Reclassified from Reclassified from Amounts Total Change in AOCI to AOCI to Other Recorded in in OCI for AOCI to AOCI to Other Recorded in OCI for Interest Expense (b) Income (Loss) (c) OCI (d) Period Interest Expense (b) Income (Loss) (c) OCI (d) Period Interest rate contracts (a) $ (387) $ — $ 15,922 $ 16,309 $ (363) $ — $ 17,707 $ 18,070 Derivative Gains (Losses) Recorded in Income and Other Comprehensive Income/Loss Nine months ended September 30, 2021 2020 Amounts Amounts Amounts Amounts Reclassified from Reclassified from Amounts Total Change Reclassified from Reclassified from Amounts Total Change in AOCI to AOCI to Other Recorded in in OCI for AOCI to AOCI to Other Recorded in OCI for Interest Expense (b) Income (Loss) (c) OCI (d) Period Interest Expense (b) Income (Loss) (c) OCI (d) Period Interest rate contracts (a) $ (1,128) $ — $ 81,250 $ 82,378 $ (984) $ — $ (141,526) $ (140,542) (a) Amounts represent cash flow hedges of CO debt hedged with benchmark interest rate swaps indexed to a benchmark rate. Under guidance provided by ASU 2017-12, the FHLBNY includes the gain and loss on the hedging derivatives in the same line in the Statements of Income as the change in cash flows on the hedged item. (b) Amounts represent amortization of gains (losses) related to closed cash flow hedges of anticipated issuance of CO bonds that were reclassified during the period to interest expense as a yield adjustment. Losses reclassified represent losses in AOCI that were amortized as an expense to debt interest expense. If debt is held to maturity, losses in AOCI will be relieved through amortization. It is expected that over the next 12 months, $1.4 million of the unrecognized losses in AOCI will be recognized as yield adjustments to debt interest expense. (c) Under guidance provided by ASU 2017-12, hedge ineffectiveness (as defined under ASC 815) is reclassified only if the original transaction would not occur by the end of the specified time period or within a two-month period thereafter. There were no amounts that were reclassified into earnings due to discontinuation of cash flow hedges. Reclassification would occur if it became probable that the original forecasted transactions would not occur by the end of the originally specified time period or within a two-month period thereafter. (d) Amounts represent changes in the fair values of open interest rate swap contracts in cash flow hedges of CO debt, primarily those hedging the rolling issuance of CO discount notes. Economic Hedges FHLBNY often uses economic hedges when hedge accounting would be too complex or operationally burdensome. Derivatives that are economic hedges are carried at fair value, with changes in value included in Other income (loss), a line item, which is below Net interest income. For hedges that either do not meet the ASC 815 hedging criteria or for which management decides not to apply ASC 815 hedge accounting, the derivative is recorded at fair value on the balance sheet with the associated changes in fair value recorded in earnings, while the “hedged” instrument continues to be carried at amortized cost. Therefore, current earnings are affected by the interest rate shifts and other factors that cause a change in the swap’s value, but for which no offsetting change in value is recorded on the hedged instrument. Economic hedges are an acceptable hedging strategy under the FHLBNY’s risk management program, and the strategies comply with the Finance Agency’s regulatory requirements prohibiting speculative use of derivatives. Gains and losses on economic hedges are presented below (in thousands): Gains (Losses) on Economic Hedges Recorded in Other Income (Loss) Three months ended September 30, Nine months ended September 30, 2021 2020 2021 2020 Gains (losses) on derivatives designated in economic hedges Interest rate hedges $ 3,397 $ 10,352 $ 3,197 $ (158,863) Caps (34) (38) (9) (33) Mortgage delivery commitments (100) 535 (316) 1,654 Total gains (losses) on derivatives in economic hedges $ 3,263 $ 10,849 $ 2,872 $ (157,242) |
Fair Values of Financial Instru
Fair Values of Financial Instruments. | 9 Months Ended |
Sep. 30, 2021 | |
Fair Values of Financial Instruments. | |
Fair Values of Financial Instruments. | Note 18. Fair Values of Financial Instruments. Estimated Fair Values — Summary Tables – September 30, 2021 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 $ 118,754 $ 118,754 $ 118,754 $ — $ — $ — Interest-bearing deposits 675,000 675,001 — 675,001 — — Federal funds sold 8,628,000 8,628,004 — 8,628,004 — — Trading securities 4,377,199 4,377,199 4,377,199 — — — Equity Investments 91,813 91,813 91,813 — — — Available-for-sale securities 5,458,612 5,458,612 — 4,557,420 901,192 — Held-to-maturity securities 9,844,952 10,292,012 — 10,040,846 251,166 — Advances 70,547,573 70,690,728 — 70,690,728 — — Mortgage loans held-for-portfolio, net 2,417,656 2,480,799 — 2,480,799 — — Accrued interest receivable 120,562 120,562 — 120,562 — — Derivative assets 241,365 241,365 — 432,990 — (191,625) Other financial assets 367 367 — — 367 — Liabilities Deposits 1,465,915 1,465,916 — 1,465,916 — — Consolidated obligations Bonds 61,454,356 61,888,241 — 61,888,241 — — Discount notes 32,768,402 32,768,861 — 32,768,861 — — Mandatorily redeemable capital stock 2,170 2,170 2,170 — — — Accrued interest payable 125,260 125,260 — 125,260 — — Derivative liabilities 40,831 40,831 — 916,662 — (875,831) Other financial liabilities 30,368 30,368 30,368 — — — 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 — — — 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, including housing finance obligations, classified as available-for-sale 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. 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. Fair values of Mortgage-backed securities deemed impaired Trading Securities Equity Investments Advances elected under the FVO 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 ● 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 — 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 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) 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 September 30, 2021 and December 31, 2020. 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 September 30, 2021 and December 31, 2020, 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. 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): September 30, 2021 Netting Adjustment and Total Level 1 Level 2 Level 3 Cash Collateral Assets Trading securities U.S. Treasury securities $ 4,377,199 $ 4,377,199 $ — $ — $ — Equity Investments 91,813 91,813 — — — Available-for-sale securities GSE/U.S. agency issued MBS 4,557,420 — 4,557,420 — — State and local housing finance agency obligations 901,192 — — 901,192 — Derivative assets (a) Interest-rate derivatives 241,361 — 432,986 — (191,625) Mortgage delivery commitments 4 — 4 — — Total recurring fair value measurement - Assets $ 10,168,989 $ 4,469,012 $ 4,990,410 $ 901,192 $ (191,625) Liabilities Consolidated obligation: Bonds (to the extent FVO is elected) (b) $ (10,811,362) $ — $ (10,811,362) $ — $ — Derivative liabilities (a) Interest-rate derivatives (40,708) — (916,539) — 875,831 Mortgage delivery commitments (123) — (123) — — Total recurring fair value measurement - Liabilities $ (10,852,193) $ — $ (11,728,024) $ — $ 875,831 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 (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. Roll Forward of Level 3 Available-for-Sale Securities (in thousands): State and Local Housing Finance Agency Obligations Three months ended September 30, Nine months ended September 30, 2021 2021 Balance, beginning of the period $ — $ — Transfer of securities from held-to-maturity to available-for-sale 900,719 900,719 Provision for credit losses 586 586 Net unrealized gains (losses) in other comprehensive income (113) (113) Balance, end of the period $ 901,192 $ 901,192 Items Measured at Fair Value on a Non-recurring Basis (in thousands): During the period ended September 30, 2021 Fair Value Level 1 Level 2 Level 3 Mortgage loans held-for-portfolio $ 657 $ — $ 657 $ — Real estate owned 315 — — 315 Total non-recurring assets at fair value $ 972 $ — $ 657 $ 315 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 $ — Mortgage loans and REO 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 September 30, 2021 and December 31, 2020, 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, the discount amortization on fair value option consolidated obligation discount notes and the premium/discount amortization on fair value option consolidated obligation bonds 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 September 30, 2021 and December 31, 2020. As with all advances, when advances are elected under the FVO, they are also fully collateralized through their terms to maturity. We consider our Consolidated obligation debt as high credit-quality, highly rated instruments, and changes in fair values are generally related to changes in interest rates and investor preference, including investor asset allocation strategies. The FHLBNY believes the credit-quality of Consolidated obligation debt has remained stable, and changes in fair value attributable to instrument-specific credit risk, if any, were not material given that the debt elected under the FVO had been issued within the recent past periods, and no adverse changes have been observed in their credit characteristics. The following tables summarize the activity related to financial instruments for which the FHLBNY elected the fair value option (in thousands): Three months ended September 30, 2021 2020 2021 2020 Bonds Discount Notes Balance, beginning of the period $ (13,347,759) $ (1,302,385) $ (1,249,963) $ (20,159,341) New transactions elected for fair value option (4,415,000) (14,275,000) — (2,498,439) Maturities and terminations 6,950,000 800,000 1,249,392 9,793,052 Net gains (losses) on financial instruments held under fair value option 282 770 33 6,337 Change in accrued interest/unaccreted balance 1,115 (358) 538 5,322 Balance, end of the period $ (10,811,362) $ (14,776,973) $ — $ (12,853,069) Nine months ended September 30, 2021 2020 2021 2020 Bonds Discount Notes Balance, beginning of the period $ (16,580,464) $ (12,134,043) $ (7,133,755) $ (2,186,603) New transactions elected for fair value option (15,760,925) (15,575,000) (1,249,391) (22,619,434) Maturities and terminations 21,525,000 12,867,000 8,367,602 11,975,897 Net gains (losses) on financial instruments held under fair value option 2,221 2,902 2,027 (7,185) Change in accrued interest/unaccreted balance 2,806 62,168 13,517 (15,744) Balance, end of the period $ (10,811,362) $ (14,776,973) $ — $ (12,853,069) The following tables present the change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected (in thousands): Three months ended September 30, 2021 2020 Net Gains Total Change in Fair Net Gains Total Change in Fair (Losses) Due to Value Included in (Losses) Due to Value Included in Interest Changes in Fair Current Period Interest Changes in Fair Current Period Expense Value Earnings Expense Value Earnings Consolidated obligation bonds $ (2,938) $ 282 $ (2,656) $ (3,643) $ 770 $ (2,873) Consolidated obligation discount notes (71) 33 (38) (15,654) 6,337 (9,317) $ (3,009) $ 315 $ (2,694) $ (19,297) $ 7,107 $ (12,190) Nine months ended September 30, 2021 2020 Net Gains Total Change in Fair Net Gains Total Change in Fair (Losses) Due to Value Included in (Losses) Due to Value Included in Interest Changes in Fair Current Period Interest Changes in Fair Current Period Expense Value Earnings Expense Value Earnings Consolidated obligation bonds $ (12,844) $ 2,221 $ (10,623) $ (49,045) $ 2,902 $ (46,143) Consolidated obligation discount notes (3,839) 2,027 (1,812) (51,788) (7,185) (58,973) $ (16,683) $ 4,248 $ (12,435) $ (100,833) $ (4,283) $ (105,116) 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) September 30, 2021 Fair Value Over/(Under) Aggregate Unpaid Aggregate Fair Aggregate Unpaid Principal Balance Value Principal Balance Consolidated obligation bonds (b) $ 10,810,925 $ 10,811,362 $ 437 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 September 30, 2020 Fair Value Over/(Under) Aggregate Unpaid Aggregate Fair Aggregate Unpaid Principal Balance Value Principal Balance Consolidated obligation bonds (b) $ 14,775,000 $ 14,776,973 $ 1,973 Consolidated obligation discount notes (c) 12,826,382 12,853,069 26,687 $ 27,601,382 $ 27,630,042 $ 28,660 (a) Advances – No advances elected under the FVO were outstanding at September 30, 2021, December 31, 2020 and September 30, 2020. From time to time, the FHLBNY has elected the FVO for advances on an instrument by instrument basis with terms that were primarily short-and intermediate-term. (b) CO bonds – The FHLBNY has elected the FVO on an instrument-by-instrument basis for CO bonds, primarily fixed-rate, intermediate- and short-term debt, because management was not able to assert with confidence that the debt would qualify for hedge accounting as such short-term debt may not remain highly effective hedges through the maturity of the bonds. (c) Discount notes were elected under the FVO because management was not able to assert with confidence that the debt would qualify for hedge accounting as the short-term discount note debt may not remain highly effective hedges through maturity . |
Commitments and Contingencies.
Commitments and Contingencies. | 9 Months Ended |
Sep. 30, 2021 | |
Commitments and Contingencies. | |
Commitments and Contingencies. | Note 19. Commitments and Contingencies. Consolidated obligations Affordable Housing Program The following table summarizes contractual obligations and contingencies as of September 30, 2021 (in thousands): September 30, 2021 Payments Due or Expiration Terms by Period Greater Than Greater Than Less Than One Year Three Years Greater Than One Year to Three Years to Five Years Five Years Total Contractual Obligations Consolidated obligation bonds at par (a) $ 26,957,790 $ 12,086,545 $ 13,396,780 $ 8,485,700 $ 60,926,815 Consolidated obligation discount notes at par 32,769,938 — — — 32,769,938 Mandatorily redeemable capital stock (a) 104 240 260 1,566 2,170 Premises (lease obligations) (b) 7,160 16,028 16,282 55,959 95,429 Remote backup site 804 1,100 — — 1,904 Other liabilities (c) 79,822 11,925 9,502 82,142 183,391 Total contractual obligations 59,815,618 12,115,838 13,422,824 8,625,367 93,979,647 Other commitments Standby letters of credit (d) 21,295,948 40,188 — — 21,336,136 Consolidated obligation bonds/discount notes traded not settled 2,213,000 — — — 2,213,000 Commitments to fund pension 10,000 — — — 10,000 Open delivery commitments (MAP) 21,868 — — — 21,868 Total other commitments 23,540,816 40,188 — — 23,581,004 Total obligations and commitments $ 83,356,434 $ 12,156,026 $ 13,422,824 $ 8,625,367 $ 117,560,651 (a) Callable bonds contain an exercise date or a series of exercise dates that may result in a shorter redemption period. Redemption dates of mandatorily redeemable capital stock are assumed to correspond to maturity dates of member advances. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock. While interest payments on CO bonds and discount notes are contractual obligations, they are deemed to be not material and, therefore, amounts were omitted from the table. (b) Amounts represent undiscounted obligations. Lease obligations are recorded in the Statements of Condition as a Right-of-use (ROU) asset and a corresponding lease liability. Immaterial amounts of equipment and other leases have been excluded in the table above. (c) Includes accounts payable and accrued expenses, liabilities recorded for future settlements of investments, Pass-through reserves due to member institutions held at the FRB, and projected payment obligations for pension plans. Where it was not possible to estimate the exact timing of payment obligations, they were assumed to be due within one year; amounts were not material. For more information about employee retirement plans in general, see Note 16. Employee Retirement Plans. (d) Financial letters of credit - Standby letters of credit are executed for a fee on behalf of members to facilitate residential housing, community lending, and members’ asset/liability management or to provide liquidity. A standby letter of credit is a financing arrangement between the FHLBNY and its member. Members assume an unconditional obligation to reimburse the FHLBNY for value given by the FHLBNY to the beneficiary under the terms of the standby letter of credit. The FHLBNY may, in its discretion, permit the member to finance repayment of their obligation by receiving a collateralized advance. Effective January 1, 2020, we adopted the framework for credit losses under ASU 2016-13 (Topic 326); adoption did not result in a recognition of credit losses on off-balance sheet arrangements as of January 1, 2020 or periods in this report. Operating Lease Commitments In compliance with the guidance under ASU 2016-02, Leases (Topic 842), we recognize in our Statements of Condition all leases with lease terms greater than twelve months as a lease liability with a corresponding right-of-use (ROU) asset. At September 30, 2021 and December 31, 2020, the FHLBNY was obligated under a number of noncancelable leases, predominantly operating leases for premises. These leases generally have terms of 15 years or less that contain escalation clauses that will increase rental payments. Operating leases also include backup datacenters and certain office equipment. Operating lease liabilities and ROU are recognized at the lease commencement date based on the present value of the future minimum lease payments over the lease term. The future lease payments are discounted at a rate that represents the FHLBNY’s borrowing rate for its own debt (Consolidated obligation bonds) of a similar term. ROU includes any lease prepayments made, plus any initial direct costs incurred, less any lease incentives received. Rental expense associated with operating leases is recognized on a straight-line basis over the lease term. Premise rental expense is included in occupancy expense, and datacenter and other lease expenses are included in other operating expense in the Statements of Income. ROU and lease liabilities are reported in the Statements of Condition. The following tables provide summarized information on our leases (dollars in thousands): September 30, 2021 December 31, 2020 Operating Leases (a) Right-of-use assets $ 66,917 $ 70,733 Lease Liabilities $ 80,405 $ 84,475 Three months ended September 30, Nine months ended September 30, 2021 2020 2021 2020 Operating Lease Expense $ 1,952 $ 1,944 $ 5,856 $ 5,823 Operating cash flows - Cash Paid $ 2,037 $ 1,997 $ 6,111 $ 5,874 September 30, 2021 December 31, 2020 Weighted Average Discount Rate 3.30 % 3.29 % Weighted Average Remaining Lease Term 11.30 Years 12.01 Years Remaining maturities through Operating lease liabilities September 30, 2021 December 31, 2020 Remainder of 2021 $ 2,037 $ 8,148 2022 8,246 8,246 2023 8,615 8,615 2024 8,298 8,297 2025 8,088 8,088 Thereafter 61,798 61,798 Total undiscounted lease payments 97,082 103,192 Imputed interest (16,677) (18,717) Total operating lease liabilities $ 80,405 $ 84,475 (a) We have elected to exclude immaterial amounts of short-term operating lease liabilities in the Right-of-use assets and lease liabilities . |
Related Party Transactions.
Related Party Transactions. | 9 Months Ended |
Sep. 30, 2021 | |
Related Party Transactions. | |
Related Party Transactions. | Note 20. Related Party Transactions. The FHLBNY is a cooperative and the members own almost all of the stock of the FHLBNY. Stock issued and outstanding that is not owned by members is held by former members. The majority of the members of the Board of Directors of the FHLBNY are elected by and from the membership. The FHLBNY conducts its advances business almost exclusively with members, and considers its transactions with its members and non-member stockholders as related party transactions in addition to transactions with other FHLBanks, the Office of Finance, and the Finance Agency. The FHLBNY conducts all transactions with members and non-members in the ordinary course of business. All transactions with all members, including those whose officers may serve as directors of the FHLBNY, are at terms that are no more favorable than comparable transactions with other members. The FHLBNY may from time to time borrow or sell overnight and term federal funds at market rates to members. Debt Assumptions and Transfers. Debt assumptions Debt transfers Advances Sold or Transferred No advances were transferred or sold to the FHLBNY or from the FHLBNY to another FHLBank in any periods in this report. When an advance is transferred or assumed, the transactions would be executed in the ordinary course of the FHLBNY’s business and at negotiated market pricing. MPF Program In the MPF program, the FHLBNY may participate to the FHLBank of Chicago portions of its purchases of mortgage loans from its members. Transactions are participated at market rates. Since 2004, the FHLBNY has not shared its purchases with the FHLBank of Chicago. From the inception of the program through 2004, the cumulative share of MPF Chicago’s participation in the FHLBNY’s MPF loans that has remained outstanding was $5.0 million at September 30, 2021 and $6.0 million at December 31, 2020. Fees paid to the FHLBank of Chicago for providing MPF program services were approximately $0.4 million and $1.4 million for the three and nine months ended September 30, 2021, compared to $0.7 million and $2.0 million for the same periods in the prior year. Mortgage-backed Securities No mortgage-backed securities were acquired from other FHLBanks during the periods in this report. Intermediation From time to time, the FHLBNY acts as an intermediary to purchase derivatives to accommodate its smaller members. At September 30, 2021 and December 31, 2020, outstanding notional amounts were $79.0 million and $444.0 million, representing derivative contracts in which the FHLBNY acted as an intermediary to execute derivative contracts with members. Separately, the contracts were offset with contracts purchased from unrelated derivatives dealers. Net fair value exposures of these transactions were not significant. The intermediated derivative transactions with members and derivative counterparties were collateralized. Loans to Other Federal Home Loan Banks There were no overnight loans extended to other FHLBanks in the three months ended September 30, 2021 and September 30, 2020. In the nine months ended September 30, 2021 and September 30, 2020, overnight loans extended to other FHLBanks averaged $1.1 million and $2.7 million, respectively. Generally, loans made to other FHLBanks are uncollateralized. Interest income from such loans was immaterial in the periods in this report. Borrowings from Other Federal Home Loan Banks The FHLBNY borrows from other FHLBanks, generally for a period of one day. There were no borrowings from other FHLBanks in the nine months ended September 30, 2021 and September 30, 2020. Sub-lease of Office Space to Another Federal Home Loan Bank The FHLBNY is a lessor of shared office space to another FHLBank for a term through August 2028 at an estimated $0.1 million in annual lease receipts. Cash and Due from Banks At September 30, 2021 and December 31, 2020, there was no compensating cash balances held at Citibank. Citibank is a member and stockholder of the FHLBNY. For more information, see Note 3. Cash and Due from Banks. The following tables summarize significant balances and transactions with related parties at September 30, 2021 and December 31, 2020, and transactions for the three and nine months ended September 30, 2021 and September 30, 2020 (in thousands): Related Party: Outstanding Assets, Liabilities and Capital September 30, 2021 December 31, 2020 Related Related Assets Advances $ 70,547,573 $ 92,067,104 Accrued interest receivable 70,011 89,604 Liabilities and capital Deposits $ 1,465,915 $ 1,752,963 Mandatorily redeemable capital stock 2,170 2,991 Accrued interest payable 26 45 Affordable Housing Program (a) 144,803 148,827 Other liabilities (b) 30,368 32,378 Capital $ 6,411,354 $ 7,256,699 (a) Represents funds not yet allocated or disbursed to AHP programs. (b) Includes member pass-through reserves at the Federal Reserve Bank of New York. Related Party: Income and Expense Transactions Three months ended September 30, Nine months ended September 30, 2021 2020 2021 2020 Related Related Related Related Interest income Advances $ 116,229 $ 193,003 $ 379,624 $ 983,798 Interest-bearing deposits — — — 1 Loans to other FHLBanks — — 1 33 Interest expense Deposits $ 116 $ 208 $ 291 $ 3,582 Mandatorily redeemable capital stock 25 65 87 200 Service fees and other $ 4,354 $ 4,459 $ 13,091 $ 13,781 |
Segment Information and Concent
Segment Information and Concentration. | 9 Months Ended |
Sep. 30, 2021 | |
Segment Information and Concentration. | |
Segment Information and Concentration. | Note 21. Segment Information and Concentration. The FHLBNY manages its operations as a single business segment. Management and the FHLBNY’s Board of Directors review enterprise-wide financial information in order to make operating decisions and assess performance. Advances to large members constitute a significant percentage of the FHLBNY’s advance portfolio and its source of revenues. The FHLBNY’s total assets and capital could significantly decrease if one or more large members were to withdraw from membership or decrease business with the FHLBNY. Members might withdraw or reduce their business as a result of consolidating with an institution that was a member of another FHLBank, or for other reasons. The FHLBNY has considered the impact of losing one or more large members. In general, a withdrawing member would be required to repay all indebtedness prior to the redemption of its capital stock. Under current conditions, the FHLBNY does not expect the loss of a large member to impair its operations, since the FHLBank Act, as amended, does not allow the FHLBNY to redeem the capital of an existing member if the redemption would cause the FHLBNY to fall below its capital requirements. Consequently, the loss of a large member should not result in an inadequate capital position for the FHLBNY. However, such an event could reduce the amount of capital that the FHLBNY has available for continued growth. This could have various ramifications for the FHLBNY, including a possible reduction in net income and dividends, and a lower return on capital stock for remaining members. The top ten advance holders at September 30, 2021, December 31, 2020 and September 30, 2020 and associated interest income for the years then ended are summarized as follows (dollars in thousands): September 30, 2021 Percentage of Par Total Par Value Three Months Nine Months City State Advances of Advances Interest Income Percentage (a) Interest Income Percentage (a) MetLife, Inc.: Metropolitan Life Insurance Company New York NY $ 15,245,000 21.80 % $ 40,303 25.42 % $ 118,253 23.48 % Metropolitan Tower Life Insurance Company New York NY 1,005,000 1.44 1,368 0.86 3,820 0.76 Subtotal MetLife,Inc. 16,250,000 23.24 41,671 26.28 122,073 24.24 New York Community Bank Westbury NY 13,977,661 19.99 51,921 32.74 156,665 31.11 Equitable Financial Life Insurance Company New York NY 6,802,175 9.73 14,091 8.89 46,337 9.20 Citibank, N.A. New York NY 5,751,000 8.23 16,296 10.28 61,609 12.23 Investors Bank (b) Short Hills NJ 3,075,000 4.40 7,589 4.79 24,378 4.84 New York Life Insurance Company New York NY 2,725,000 3.90 13,155 8.30 40,700 8.08 Signature Bank New York NY 2,664,245 3.81 6,820 4.30 21,698 4.31 ESL Federal Credit Union Rochester NY 1,683,937 2.41 1,865 1.18 5,717 1.14 Valley National Bank (b) Wayne NJ 1,388,000 1.98 4,475 2.82 20,851 4.14 Teachers Ins. & Annuity Assoc of America New York NY 1,126,634 1.61 674 0.42 3,552 0.71 Total $ 55,443,652 79.30 % $ 158,557 100.00 % $ 503,580 100.00 % (a) Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members. (b) At September 30, 2021, an officer of this member bank also served on the Board of Directors of the FHLBNY. December 31, 2020 Percentage of Par Total Par Value Twelve Months City State Advances of Advances Interest Income Percentage (a) MetLife, Inc.: Metropolitan Life Insurance Company New York NY $ 15,245,000 16.80 % $ 211,797 19.03 % Metropolitan Tower Life Insurance Company New York NY 955,000 1.05 3,176 0.28 Subtotal MetLife, Inc. 16,200,000 17.85 214,973 19.31 Citibank, N.A. New York NY 14,900,000 16.42 280,084 25.16 New York Community Bank (b) Westbury NY 14,627,661 16.12 233,915 21.01 Equitable Financial Life Insurance Company (c) New York NY 6,890,415 7.60 77,739 6.98 HSBC Bank USA, National Association New York NY 4,250,000 4.69 41,663 3.74 New York Life Insurance Company New York NY 3,250,000 3.58 68,611 6.16 Signature Bank New York NY 2,839,245 3.13 54,832 4.93 Investors Bank (b) Short Hills NJ 2,668,000 2.94 61,501 5.53 Valley National Bank (b) Wayne NJ 2,588,059 2.85 49,770 4.47 Prudential Insurance Company of America Newark NJ 2,517,125 2.77 30,158 2.71 Total $ 70,730,505 77.95 % $ 1,113,246 100.00 % (a) Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members. (b) At December 31, 2020, an officer of this member bank also served on the Board of Directors of the FHLBNY. (c) AXA Equitable Life Insurance Company changed name to Equitable Financial Life Insurance Company in the second quarter of 2020. September 30, 2020 Percentage of Par Total Par Value Three Months Nine Months City State Advances of Advances Interest Income Percentage (a) Interest Income Percentage (a) Citibank, N.A. New York NY $ 23,950,000 22.89 % $ 42,786 18.45 % $ 249,319 27.41 % MetLife, Inc.: Metropolitan Life Insurance Company New York NY 15,245,000 14.57 44,351 19.12 171,063 18.81 Metropolitan Tower Life Insurance Company New York NY 955,000 0.91 1,281 0.55 1,914 0.21 Subtotal MetLife, Inc. 16,200,000 15.48 45,632 19.67 172,977 19.02 New York Community Bank (b) Westbury NY 14,227,661 13.60 55,981 24.14 179,439 19.73 Equitable Financial Life Insurance Company (c) New York NY 6,840,415 6.54 15,290 6.59 62,661 6.89 HSBC Bank USA, National Association New York NY 5,250,000 5.02 11,690 5.04 31,546 3.47 Investors Bank (b) Short Hills NJ 3,850,279 3.68 12,477 5.38 52,513 5.77 Valley National Bank (b) Wayne NJ 3,397,352 3.25 12,018 5.18 38,626 4.24 Prudential Insurance Company of America Newark NJ 3,040,725 2.91 9,056 3.90 22,139 2.43 Signature Bank New York NY 2,839,245 2.71 10,640 4.59 47,090 5.18 New York Life Insurance Company New York NY 2,825,000 2.70 16,369 7.06 53,284 5.86 Total $ 82,420,677 78.78 % $ 231,939 100.00 % $ 909,594 100.00 % (a) Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members. (b) At September 30, 2020, an officer of this member bank also served on the Board of Directors of the FHLBNY. (c) AXA Equitable Life Insurance Company changed name to Equitable Financial Life Insurance Company in the second quarter of 2020. |
Critical Accounting Policies _2
Critical Accounting Policies and Estimates. (Policies) | 9 Months Ended |
Sep. 30, 2021 | |
Critical Accounting Policies and Estimates. | |
Basis of Presentation | Basis of Presentation The accompanying financial statements of the Federal Home Loan Bank of New York have been prepared in accordance with Generally Accepted Accounting Principles in the United States (GAAP) and with the instructions provided by the Securities and Exchange Commission (SEC). The FHLBNY has identified certain accounting policies that it believes are critical because they require management to make subjective judgments about matters that are inherently uncertain and because of the likelihood that materially different amounts would be reported under different conditions or by using different assumptions. The most significant of these critical policies include derivatives and hedging relationships, estimating the fair values of assets and liabilities, estimating the allowance for credit losses on the advance, mortgage loan portfolios and our portfolios of investment securities. |
Financial Instruments with Legal Right of Offset | Financial Instruments with Legal Right of Offset The FHLBNY has derivative instruments, and securities purchased under agreements to resell that are subject to enforceable master netting arrangements. The FHLBNY has elected to offset its derivative asset and liability positions, as well as cash collateral received or pledged, when it has the legal right of offset under these master agreements. The FHLBNY did not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments, any excess cash collateral received or pledged is recognized as a derivative liability or as a derivative asset based on the terms of the individual master agreement between the FHLBNY and its derivative counterparty. For securities purchased under agreements to resell, the FHLBNY did not have any unsecured amounts based on the fair value of the related collateral held at the end of the periods presented. Additional information about the FHLBNY’s investments in securities purchased under agreements to resell is disclosed in Note 4. Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell. |
Fair Value Measurements | Fair Value Measurements The accounting standards on fair value measurements discuss how entities should measure fair value based on whether the inputs to those valuation techniques are observable or unobservable. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction in the principal or most advantageous market for the asset or liability between market participants at the measurement date. This definition is based on an exit price rather than transaction or entry price. The FHLBNY complied with the accounting guidance on fair value measurements and has established a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are inputs that market participants would use in pricing the asset or liability, and would be based on market data obtained from independent sources. Unobservable inputs are inputs that reflect our assumptions about the parameters market participants would use in pricing the asset or liability, and would be based on the best information available in the circumstances. Our pricing models are subject to periodic validations, and we periodically review and refine, as appropriate, our assumptions and valuation methodologies to reflect market indications as closely as possible. We have the appropriate personnel, technology, and policies and procedures in place to value financial instruments in a reasonable and consistent manner and in accordance with established accounting policies. For more information about methodologies used by the FHLBNY to validate vendor pricing, and fair value “Levels” associated with assets and liabilities recorded on the FHLBNY’s Statements of Condition, see financial statements, Note 18. Fair Values of Financial Instruments in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2020 filed on March 19, 2021. |
Derivatives and Hedging Activities | Derivatives and Hedging Activities The FHLBNY hedges the risk of changes in benchmark interest rates under the provisions of ASC 815. In years prior to 2020, the benchmark rate has been primarily LIBOR; LIBOR rates are derived from an average of submissions by panel banks. The underlying market that LIBOR seeks to reflect has become increasingly less active. A significant number of the FHLBNY derivatives are indexed to LIBOR. The Alternative Reference Rates Committee (ARRC) in the U.S. has settled on the establishment of the Secured Overnight Financing Rate (SOFR) as its recommended alternative to U.S. dollar LIBOR. The United Kingdom’s Financial Conduct Authority (FCA), which oversees LIBOR, has announced that the FCA would no longer persuade or compel member panel banks to make LIBOR quote submissions for U.S. dollar LIBOR setting of 1-month and 3-month, two key LIBOR settings, so that submissions will permanently cease after June 30, 2023. The FASB has issued two Accounting Standards Updates to Reference Rate Reform (Topic 848), Facilitation of the Effects of Reference Rate Reform on Financial Reporting, Generally, we enter into derivatives primarily to manage our exposure to changes in interest rates. Through the use of derivatives, we may adjust the effective maturity, repricing frequency, or option characteristics of financial instruments to achieve our risk management objectives. The accounting guidance related to derivatives and hedging activities is complex and contains prescriptive documentation requirements. At the inception of each hedge transaction, we formally document the hedge relationship, its risk management objective, and strategy for undertaking the hedge. In compliance with accounting standards, primarily ASC 815, the accounting for derivatives requires us to (i) assess whether the hedging relationship qualifies for hedge accounting, (ii) assess whether an embedded derivative should be bifurcated, (iii) calculate the effectiveness of the hedging relationship, (iv) evaluate exposure associated with counterparty credit risk, and (v) estimate the fair value of the derivatives. Our assumptions and judgments include subjective estimates based on information available as of the date of the financial statements and could be materially different based on different assumptions, calculations, and estimates. To qualify as an accounting hedge under the hedge accounting rules (versus an economic hedge where hedge accounting is not sought), a derivative must be highly effective in offsetting the risk designated as being hedged. The hedge relationship must be formally documented at inception, detailing the particular risk management objective and strategy for the hedge, which includes the item and risk that is being hedged and the derivative that is being used, as well as how effectiveness will be assessed and measured. The effectiveness of these hedging relationships is evaluated on a retrospective and prospective basis, typically using quantitative measures of correlation. For hedges that are highly effective, changes in the fair values of the hedging instrument and the offsetting changes in the fair values of the hedged item are recorded in current earnings. If a hedge relationship is found to be not highly effective, it will no longer qualify as an accounting hedge and hedge accounting would be prospectively withdrawn. When hedge accounting is discontinued, the offsetting changes of fair values of the hedged item are also discontinued. For more information about the FHLBNY’s hedging activities, see financial statements, Note 17. Derivatives and Hedging Activities in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2020 filed on March 19, 2021. |
Credit Losses under ASU 2016-13 | Credit Losses under ASU 2016-13 The FASB issued ASU 2016-13, Financial Instruments Credit Losses (Topic 326 Summarized information of expected losses are provided in notes to financial statements: Note 4. Note 7. Note 8. Note 9. Note 10. Note 19. |
Trading Securities. (Tables)
Trading Securities. (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Securities. | |
Schedule of major security types of trading securities | The carrying value of a trading security equals its fair value. The following table provides major security types at September 30, 2021 and December 31, 2020 (in thousands): Fair value September 30, 2021 December 31, 2020 Corporate notes $ — $ 2,164 U.S. Treasury notes 4,377,199 11,240,915 U.S. Treasury bills — 499,886 Total trading securities $ 4,377,199 $ 11,742,965 |
Trading Securities. | |
Securities. | |
Schedule of redemption terms of the major types of trading securities | The following tables present redemption terms of the major types of trading securities (dollars in thousands): Redemption Terms September 30, 2021 Due in one year or Due after one year Due after five years less through five years through ten years Total Fair Value Corporate notes $ — $ — $ — $ — U.S. Treasury notes 1,965,716 1,698,555 712,928 4,377,199 U.S. Treasury bills — — — — Total trading securities $ 1,965,716 $ 1,698,555 $ 712,928 $ 4,377,199 Yield on trading securities 1.34 % 1.40 % 1.40 % December 31, 2020 Due in one year or Due after one year Due after five years less through five years through ten years Total Fair Value Corporate notes $ — $ 2,164 $ — $ 2,164 U.S. Treasury notes 9,563,920 1,676,995 — 11,240,915 U.S. Treasury bills 499,886 — — 499,886 Total trading securities $ 10,063,806 $ 1,679,159 $ — $ 11,742,965 Yield on trading securities 1.66 % 1.79 % — % |
Equity Investments. (Tables)
Equity Investments. (Tables) - Equity Investment | 9 Months Ended |
Sep. 30, 2021 | |
Equity Investments | |
Schedule of carrying value of equity investments | September 30, 2021 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains (b) Losses (b) Value (c) Cash equivalents $ 4,816 $ — $ — $ 4,816 Equity funds 36,738 20,148 (2,220) 54,666 Fixed income funds 31,987 638 (294) 32,331 Total Equity Investments (a) $ 73,541 $ 20,786 $ (2,514) $ 91,813 December 31, 2020 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains (b) Losses (b) Value (c) Cash equivalents $ 4,164 $ — $ — $ 4,164 Equity funds 36,833 15,325 (1,909) 50,249 Fixed income funds 24,920 1,146 (110) 25,956 Total Equity Investments (a) $ 65,917 $ 16,471 $ (2,019) $ 80,369 (a) The intent of the grantor trust is to set aside cash to meet current and future payments for supplemental unfunded pension plans. Neither the pension plans nor employees of the FHLBNY own the trust. (b) Changes in unrealized gains and losses are recorded through earnings, specifically in Other income in the Statements of Income. (c) The grantor trust invests in money market, equity and fixed income and bond funds. Daily net asset values (NAVs) are readily available and investments are redeemable at short notice. NAVs are the fair values of the funds in the grantor trust. The grantor trust is owned by the FHLBNY. |
Schedule of calculation of gains and losses related to outstanding equity investments held | In the Statements of Income, gains and losses related to outstanding Equity Investments were as follows (in thousands): Three Months Ended September 30, Nine Months Ended September 30, 2021 2020 2021 2020 Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date $ (1,545) $ 2,888 $ 3,821 $ 1,716 Net gains (losses) recognized during the period on equity investments sold during the period 713 — 1,434 — Net dividend and other 350 208 1,102 658 Net gains (losses) recognized during the period $ (482) $ 3,096 $ 6,357 $ 2,374 |
Available-for-Sale Securities.
Available-for-Sale Securities. (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Securities. | |
Schedule of available-for-sale securities with estimated fair values below their amortized cost basis | The following table summarizes available-for-sale securities with estimated fair values below their amortized cost basis (in thousands): September 30, 2021 Less than 12 months 12 months or more Total Estimated Unrealized Estimated Unrealized Estimated Unrealized Fair Value Losses Fair Value Losses Fair Value Losses MBS Investment Securities and State and local housing finance agency obligations MBS-GSE Freddie Mac-CMBS $ 888,205 $ (18,684) $ 459,454 $ (20,157) $ 1,347,659 $ (38,841) State and local housing finance agency obligations 686,280 (61) 23,902 (63) 710,182 (124) Total Temporarily Impaired $ 1,574,485 $ (18,745) $ 483,356 $ (20,220) $ 2,057,841 $ (38,965) December 31, 2020 Less than 12 months 12 months or more Total Estimated Unrealized Estimated Unrealized Estimated Unrealized Fair Value Losses Fair Value Losses Fair Value Losses MBS Investment Securities MBS-GSE Freddie Mac-CMBS $ 526,365 $ (6,247) $ — $ — $ 526,365 $ (6,247) Total Temporarily Impaired $ 526,365 $ (6,247) $ — $ — $ 526,365 $ (6,247) |
Summary of interest rate payment terms of investments in mortgage-backed securities and state and local housing finance agency obligations classified as AFS securities | The following table summarizes interest rate payment terms of investments in Mortgage-backed Securities and State and local housing finance agency obligations classified as AFS securities (in thousands): September 30, 2021 December 31, 2020 Amortized Cost Fair Value Amortized Cost Fair Value Mortgage-backed securities Floating CMO - LIBOR $ 617,841 $ 627,484 $ 277,372 $ 281,332 CMBS - LIBOR 1,137 1,137 — — PASS THRU 5,483 5,733 — — Total Floating 624,461 634,354 277,372 281,332 Fixed CMBS - LIBOR 3,735,571 3,923,066 2,921,999 3,154,613 Total Fixed 3,735,571 3,923,066 2,921,999 3,154,613 Total Mortgage-backed securities 4,360,032 4,557,420 3,199,371 3,435,945 State and local housing finance agency obligations Floating 901,305 901,192 — — Total Available-for-Sale securities $ 5,261,337 $ 5,458,612 $ 3,199,371 $ 3,435,945 |
Available-for-Sale securities. | |
Securities. | |
Schedule of major security types | The following tables provide major security types (in thousands): September 30, 2021 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains Losses Value GSE and U.S. Obligations State and local housing finance agency obligations $ 901,305 $ 11 $ (124) $ 901,192 Mortgage-backed securities Floating CMO 617,841 9,643 — 627,484 CMBS 1,137 — — 1,137 PASS THRU 5,483 250 — 5,733 Total Floating 624,461 9,893 — 634,354 Fixed CMBS 3,756,351 205,556 (38,841) 3,923,066 Total Fixed 3,756,351 205,556 (38,841) 3,923,066 MBS AFS Before Hedging Adjustments 4,380,812 215,449 (a) (38,841) (a) 4,557,420 Hedging Basis Adjustments in AOCI (20,780) 20,780 (b) — — Total Available-for-sale securities (MBS) 4,360,032 236,229 (38,841) 4,557,420 Total Available-for-sale securities $ 5,261,337 $ 236,240 $ (38,965) $ 5,458,612 December 31, 2020 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains Losses Value GSE and U.S. Obligations Mortgage-backed securities Floating CMO $ 277,372 $ 3,960 $ — $ 281,332 Total Floating 277,372 3,960 — 281,332 Fixed CMBS 2,877,947 282,913 (6,247) 3,154,613 Total Fixed 2,877,947 282,913 (6,247) 3,154,613 AFS Before Hedging Adjustments 3,155,319 286,873 (a) (6,247) (a) 3,435,945 Hedging Basis Adjustments in AOCI 44,052 (44,052) (b) — — Total Available-for-sale securities $ 3,199,371 $ 242,821 $ (6,247) $ 3,435,945 (a) Amounts represent specialized third party pricing vendors’ estimates of gains/losses of AFS securities; market pricing is based on historical amortized cost adjusted for pay downs and amortization of premiums and discounts; fair value unrealized gains and losses are before adjusting book values for hedge basis adjustments and will equal market values of AFS securities recorded in AOCI. Fair value hedges were executed to mitigate the interest rate risk of the hedged fixed-rate securities due to changes in the designated benchmark rate . (b) Amounts represent fair value hedging basis due to changes in the benchmark rate and were recorded as an adjustment to the carrying values of hedged securities; the adjustments impacted the unrealized market value gains and losses. Securities in a fair value hedging relationship at September 30, 2021 recorded $20.8 million of hedge basis losses; at December 31, 2020, hedge basis gains of $44.1 million were recorded. In the table above, the benchmark hedging basis adjustments were reported separately from the market based prices of ASC 815 qualifying hedges to provide greater clarity to market based pricing of the securities. |
Schedule of amortized cost and estimated fair value of investments by contractual maturity | The amortized cost and estimated fair value (a) September 30, 2021 December 31, 2020 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 $ 23,965 $ 23,902 $ — $ — Due after ten years 877,340 877,290 — — State and local housing finance agency obligations $ 901,305 $ 901,192 $ — $ — Mortgage-backed securities Due in one year or less $ 1,138 $ 1,138 $ — $ — Due after one year through five years 842,896 898,259 332,752 364,081 Due after five year through ten years 2,744,575 2,876,410 2,550,443 2,750,824 Due after ten years 771,423 781,613 316,176 321,040 Mortgage-backed securities $ 4,360,032 $ 4,557,420 $ 3,199,371 $ 3,435,945 Total Available-for-Sale securities $ 5,261,337 $ 5,458,612 $ 3,199,371 $ 3,435,945 (a) The carrying value of AFS securities equals fair value. (b) Amortized cost is UPB after adjusting for net unamortized premiums of $56.3 million and $41.1 million at September 30, 2021 and December 31, 2020, respectively. Additionally, historical amortized cost in the table above is after adjustment for hedging basis. |
Held-to-Maturity Securities. (T
Held-to-Maturity Securities. (Tables) - Held-to-Maturity Securities. | 9 Months Ended |
Sep. 30, 2021 | |
Held-to-Maturity Securities. | |
Schedule of major security types | Major Security Types (in thousands) September 30, 2021 Allowance OTTI Gross Gross Amortized for Credit Recognized Carrying Unrecognized Unrecognized Fair Issued, guaranteed or insured: Cost (d) Loss (ACL) in AOCI Value Holding Gains (a) Holding Losses (a) Value Pools of Mortgages Fannie Mae $ 35,442 $ — $ — $ 35,442 $ 4,596 $ — $ 40,038 Freddie Mac 5,744 — — 5,744 859 — 6,603 Total pools of mortgages 41,186 — — 41,186 5,455 — 46,641 Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits Fannie Mae 343,345 — — 343,345 2,554 (188) 345,711 Freddie Mac 352,509 — — 352,509 3,343 (37) 355,815 Ginnie Mae — — — — — — — Total CMOs/REMICs 695,854 — — 695,854 5,897 (225) 701,526 Commercial Mortgage-Backed Securities (b) Fannie Mae 1,371,160 — — 1,371,160 32,214 (742) 1,402,632 Freddie Mac 7,477,722 — — 7,477,722 416,307 (3,982) 7,890,047 Total commercial mortgage-backed securities 8,848,882 — — 8,848,882 448,521 (4,724) 9,292,679 Non-GSE MBS (c) CMOs/REMICs 3,270 (234) (269) 2,767 236 (53) 2,950 Asset-Backed Securities (c) Manufactured housing (insured) 19,525 — — 19,525 551 — 20,076 Home equity loans (insured) 38,307 — (1,239) 37,068 7,766 — 44,834 Home equity loans (uninsured) 12,718 — (1,207) 11,511 1,615 (98) 13,028 Total asset-backed securities 70,550 — (2,446) 68,104 9,932 (98) 77,938 Total MBS 9,659,742 (234) (2,715) 9,656,793 470,041 (5,100) 10,121,734 Other State and local housing finance agency obligations 188,275 (116) — 188,159 23 (17,904) 170,278 Total Held-to-maturity securities $ 9,848,017 $ (350) $ (2,715) $ 9,844,952 $ 470,064 $ (23,004) $ 10,292,012 December 31, 2020 Allowance OTTI Gross Gross Amortized for Credit Recognized Carrying Unrecognized Unrecognized Fair Issued, guaranteed or insured: Cost (d) Loss (ACL) in AOCI Value Holding Gains (a) Holding Losses (a) Value Pools of Mortgages Fannie Mae $ 47,558 $ — $ — $ 47,558 $ 6,626 $ — $ 54,184 Freddie Mac 9,813 — — 9,813 1,305 — 11,118 Total pools of mortgages 57,371 — — 57,371 7,931 — 65,302 Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits Fannie Mae 942,268 — — 942,268 9,204 (830) 950,642 Freddie Mac 604,713 — — 604,713 5,709 (385) 610,037 Ginnie Mae 6,458 — — 6,458 108 — 6,566 Total CMOs/REMICs 1,553,439 — — 1,553,439 15,021 (1,215) 1,567,245 Commercial Mortgage-Backed Securities (b) Fannie Mae 1,570,197 — — 1,570,197 53,905 (1,428) 1,622,674 Freddie Mac 8,503,433 — — 8,503,433 591,514 (5,142) 9,089,805 Total commercial mortgage-backed securities 10,073,630 — — 10,073,630 645,419 (6,570) 10,712,479 Non-GSE MBS (c) CMOs/REMICs 3,824 (257) (294) 3,273 146 (71) 3,348 Asset-Backed Securities (c) Manufactured housing (insured) 23,763 — — 23,763 768 — 24,531 Home equity loans (insured) 52,262 — (3,308) 48,954 13,340 (52) 62,242 Home equity loans (uninsured) 17,450 — (1,986) 15,464 2,588 (284) 17,768 Total asset-backed securities 93,475 — (5,294) 88,181 16,696 (336) 104,541 Total MBS 11,781,739 (257) (5,588) 11,775,894 685,213 (8,192) 12,452,915 Other State and local housing finance agency obligations (e) 1,097,752 — — 1,097,752 76 (21,562) 1,076,266 Total Held-to-maturity securities $ 12,879,491 $ (257) $ (5,588) $ 12,873,646 $ 685,289 $ (29,754) $ 13,529,181 (a) Unrecognized gross holding gains and losses represent the difference between fair value and carrying value. (b) Commercial mortgage-backed securities (CMBS) are Agency issued securities, collateralized by income-producing “multifamily properties”. Eligible property types include standard conventional multifamily apartments, affordable multifamily housing, seniors housing, student housing, military housing, and rural rent housing. (c) The amounts represent non-agency private-label mortgage- and asset-backed securities. (d) Amortized cost — For securities that were deemed impaired, amortized cost represents unamortized cost less credit losses, net of credit recoveries (reversals) due to improvements in cash flows. (e) Amortized costs at December 31, 2020 include allowances for credit losses of $0.7 million. |
Schedule of amortized cost and estimated fair value of investments by contractual maturity | . The amortized cost and estimated fair value of held-to-maturity securities, arranged by contractual maturity, were as follows (in thousands): September 30, 2021 December 31, 2020 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 $ 3,340 $ 3,349 $ 30,867 $ 30,758 Due after five years through ten years 100 100 100 100 Due after ten years 184,835 166,829 1,066,785 1,045,408 State and local housing finance agency obligations $ 188,275 $ 170,278 $ 1,097,752 $ 1,076,266 Mortgage-backed securities Due in one year or less $ 416,786 $ 417,694 $ 690,206 $ 694,962 Due after one year through five years 2,787,162 2,881,881 2,991,105 3,114,446 Due after five years through ten years 5,506,875 5,854,138 6,137,440 6,629,839 Due after ten years 948,919 968,021 1,962,988 2,013,668 Mortgage-backed securities $ 9,659,742 $ 10,121,734 $ 11,781,739 $ 12,452,915 Total Held-to-Maturity Securities $ 9,848,017 $ 10,292,012 $ 12,879,491 $ (a) Amortized cost is UPB after adjusting for net unamortized premiums of $49.6 million at September 30, 2021 and $57.4 million at December 31, 2020 (net of unamortized discounts) and before adjustments for allowance for credit losses. |
Advances. (Tables)
Advances. (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Advances. | |
Schedule of contractual redemption terms and yields of advances | Contractual redemption terms and yields of advances were as follows (dollars in thousands): September 30, 2021 December 31, 2020 Weighted (a) Weighted (a) Average Percentage Average Percentage Amount Yield of Total Amount Yield of Total Overdrawn demand deposit accounts $ 6,034 1.09 % — % $ — — % — % Due in one year or less 38,710,313 0.68 55.36 51,202,647 0.65 56.42 Due after one year through two years 7,297,548 1.57 10.44 11,520,983 1.52 12.70 Due after two years through three years 5,744,511 1.46 8.22 7,734,061 1.65 8.52 Due after three years through four years 4,406,435 1.55 6.30 4,400,913 1.55 4.85 Due after four years through five years 2,158,153 1.43 3.09 3,770,927 1.50 4.16 Thereafter 11,600,711 1.84 16.59 12,111,628 1.87 13.35 Total par value 69,923,705 1.10 % 100.00 % 90,741,159 1.09 % 100.00 % Hedge valuation basis adjustments (b) 623,868 1,325,945 Total $ 70,547,573 $ 92,067,104 (a) The weighted average yield is the weighted average coupon rates for advances, unadjusted for swaps. For floating-rate advances, the weighted average rate is the rate outstanding at the reporting dates. (b) Hedge valuation basis adjustments under ASC 815 hedges represent changes in the fair values of fixed-rate advances due to changes in designated benchmark interest rates, the remaining terms to maturity or to next call and the notional amounts of advances in a hedging relationship. The FHLBNY’s benchmark rates are LIBOR, Federal Funds-OIS index and SOFR-OIS index. |
Mortgage Loans Held-for-Portf_2
Mortgage Loans Held-for-Portfolio. (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Mortgage Loans Held-for-Portfolio. | |
Schedule of information on mortgage loans held-for-portfolio | The following table presents information on mortgage loans held-for-portfolio (dollars in thousands): September 30, 2021 December 31, 2020 Carrying Amount Percentage of Total Carrying Amount Percentage of Total Real Estate (a) : Fixed medium-term single-family mortgages $ 148,894 6.55 % $ 178,968 6.25 % Fixed long-term single-family mortgages 2,124,871 93.45 2,682,955 93.75 Total unpaid principal balance $ 2,273,765 100.00 % $ 2,861,923 100.00 % Unamortized premiums 33,829 43,103 Unamortized discounts (916) (1,246) Basis adjustment (b) 2,099 2,691 Total MPF loans amortized cost $ 2,308,777 $ 2,906,471 MPF allowance for credit losses (2,921) (7,073) MPF loans held-for-portfolio $ 2,305,856 $ 2,899,398 MAP loans held-for-portfolio $ 111,800 $ 314 Total mortgage loans held-for-portfolio at carrying value $ 2,417,656 $ 2,899,712 (a) Conventional mortgage loans represent the majority of mortgage loans held-for-portfolio, with the remainder invested in FHA and VA insured loans (also referred to as government loans). (b) Balances represent unamortized fair value basis of closed delivery commitments. A basis adjustment is recorded at the settlement of the loan and it represents the difference in trade price paid for acquiring the loan and the price at the settlement date for a similar loan. The basis adjustment is amortized as a yield adjustment to Interest income. |
Rollforward analysis of allowance for credit losses | The following table presents the cumulative loan loss allowances at each of the dates (in thousands): Reserves/(Recoveries) December 31, 2020 Recorded in 2021 September 30, 2021 Allowance for Credit Losses $ 7,073 $ (4,029) $ 3,044 The following table provides a rollforward analysis of the allowance for credit losses (in thousands): Three months ended September 30, Nine months ended September 30, 2021 2020 2021 2020 Allowance for credit losses: Beginning balance $ 4,103 $ 6,534 $ 7,073 $ 653 Adjustment for cumulative effect of accounting change — — — 2,972 Charge-offs — — (50) — Recoveries — — — — Provision (Reversal) for credit losses on mortgage loans (1,059) 2,566 (3,979) 5,475 Balance, at end of period $ 3,044 $ 9,100 $ 3,044 $ 9,100 |
Schedule of non-performing mortgage loans | The FHLBNY’s total MPF loans and impaired MPF loans were as follows (in thousands): September 30, 2021 December 31, 2020 Total MPF Mortgage loans, carrying values net (a) $ 2,305,856 $ 2,899,398 Non-performing MPF mortgage loans - Conventional (a)(b) $ 31,008 $ 58,498 Insured MPF loans past due 90 days or more and still accruing interest (a)(b) $ 8,933 $ 14,760 (a) Includes loans classified as special mention, sub-standard, doubtful or loss under regulatory criteria, net of amounts charged-off if delinquent for 180 days or more. (b) Data in this table represents UPB and would not agree to data reported in other tables at “amortized cost”. |
Summary of impaired loans for which related allowance was individually measured (excluding insured FHA/VA loans) | The following tables present unpaid principal balances with and without related loan loss allowances for conventional loans (excluding insured FHA/VA MPF loans ) in the MPF program (in thousands): Three months ended Nine months ended September 30, 2021 September 30, 2021 September 30, 2021 Unpaid Average Principal Related Amortized Cost Recorded Balance Allowance After Allowance Investment (d) Conventional Loans - MPF (a)(c) No related allowance (b) $ 1,421,654 $ — $ 1,442,290 $ 1,423,570 $ 1,551,227 With a related allowance 685,312 (2,921) 693,858 760,232 815,650 Total measured for impairment $ 2,106,966 $ (2,921) $ 2,136,148 $ 2,183,802 $ 2,366,877 December 31, 2020 Unpaid Average Principal Related Amortized Cost Amortized Cost Balance Allowance After Allowance After Allowance (d) Conventional Loans - MPF (a)(c) No related allowance (b) $ 1,792,650 $ — $ 1,818,942 $ 1,903,273 With a related allowance 873,955 (7,073) 881,661 994,262 Total measured for impairment $ 2,666,605 $ (7,073) $ 2,700,603 $ 2,897,535 (a) Based on analysis of the nature of risks of the FHLBNY’s investments in MPF loans, including its methodologies for identifying and measuring impairment, management has determined that presenting such loans as a single class is appropriate. (b) Collateral values, net of estimated costs to sell, exceeded the amortized cost in impaired loans and no allowances were deemed necessary. (c) Interest received is not recorded as Interest income if an uninsured loan is past due 90-days or more. Cash received is recorded as a liability on the assumption that cash was remitted by the servicer to the FHLBNY that could potentially be recouped by the borrower in a foreclosure. (d) Represents the average amortized cost after allowance for the three and nine months ended September 30, 2021 and for the twelve months ended December 31, 2020. |
Schedule of mortgage loans hold for portfolio by collateral | The following table summarizes MPF mortgage loans held-for-portfolio by collateral/guarantee type (in thousands): September 30, 2021 December 31, 2020 Mortgage Loans Held for Portfolio by Collateral/Guarantee Type: Conventional mortgage loans - MPF $ 2,106,966 $ 2,666,605 MPF Government-guaranteed or -insured mortgage loans 166,799 195,318 Total MPF loans - unpaid principal balance $ 2,273,765 $ 2,861,923 |
Summary of credit quality indicator for conventional mortgage loans | Credit Quality Indicator for Conventional Mortgage Loans September 30, 2021 Conventional Loans Origination Year Prior to 2017 2017 to 2021 Total Payment Status, at Amortized Cost: Conventional MPF/MAP Past due 30 - 59 days $ 5,720 $ 3,792 $ 9,512 Past due 60 - 89 days 1,573 514 2,087 Past due 90 days or more 18,697 12,528 31,225 Total past due MPF mortgage loans 25,990 16,834 42,824 Current MPF mortgage loans 1,032,532 1,063,713 2,096,245 Current MAP Mortgage Loans — 111,923 111,923 Total conventional Mortgage Loans $ 1,058,522 $ 1,192,470 $ 2,250,992 December 31, 2020 Conventional Loans Origination Year Prior to 2016 2016 to 2020 Total Payment Status, at Amortized Cost: Conventional Loans Past due 30 - 59 days $ 10,088 $ 9,768 $ 19,856 Past due 60 - 89 days 4,267 7,682 11,949 Past due 90 days or more 28,157 31,002 59,159 Total past due MPF mortgage loans 42,512 48,452 90,964 Current MPF mortgage loans 1,038,404 1,578,308 2,616,712 Current MAP mortgage loans — 314 314 Total conventional loans $ 1,080,916 $ 1,627,074 $ 2,707,990 Other Delinquency Statistics September 30, 2021 Conventional MPF Government-Guaranteed MPF Loans or -Insured Loans Total MPF Loans Amortized Cost: In process of foreclosure (a) $ 13,047 $ 5,927 $ 18,974 Serious delinquency rate (b) 1.52 % 5.37 % 1.80 % Past due 90 days or more and still accruing interest $ — $ 9,046 $ 9,046 Loans on non-accrual status $ 31,225 $ — $ 31,225 Troubled debt restructurings: Loans discharged from bankruptcy (c) $ 4,848 $ 995 $ 5,843 Modified loans under MPF ® program $ 426 $ — $ 426 Real estate owned (d) $ 367 $ — $ 367 December 31, 2020 Conventional MPF Government-Guaranteed MPF Loans or -Insured Loans Total MPF Loans Amortized Cost: In process of foreclosure (a) $ 23,645 $ 9,266 $ 32,911 Serious delinquency rate (b) 2.44 % 8.05 % 2.82 % Past due 90 days or more and still accruing interest $ — $ 14,986 $ 14,986 Loans on non-accrual status $ 59,159 $ — $ 59,159 Troubled debt restructurings: Loans discharged from bankruptcy (c) $ 6,802 $ 1,219 $ 8,021 Modified loans under MPF ® program $ 926 $ — $ 926 Real estate owned (d) $ 133 $ — $ 133 (a) Includes loans where the decision of foreclosure or a similar alternative, such as pursuit of deed-in-lieu, has been reported. (b) Represents seriously delinquent loans as a percentage of total mortgage loans. Seriously delinquent loans are comprised of all loans past due 90 days or more delinquent or loans that are in the process of foreclosure. (c) Loans discharged from Chapter 7 bankruptcies are considered as TDRs. (d) REO is reported at lower of cost or market value. |
Deposits. (Tables)
Deposits. (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Deposits. | |
Summary of deposits and interest rate payment terms for deposits | The following table summarizes deposits (in thousands): September 30, 2021 December 31, 2020 Interest-bearing deposits Interest-bearing demand $ 1,421,802 $ 1,677,526 Term (a) — 5,000 Total interest-bearing deposits 1,421,802 1,682,526 Non-interest-bearing demand 44,113 70,437 Total deposits (b) $ 1,465,915 $ 1,752,963 (a) Term deposits were for periods of one year or less. (b) Specific disclosures about deposits that exceed FDIC limits have been omitted as deposits are not insured by the FDIC. Deposits are received in the ordinary course of the FHLBNY’s business. The FHLBNY has pledged securities to the FDIC to collateralize deposits maintained at the FHLBNY by the FDIC; for more information, see Securities Pledged in Note 8. Held-to-Maturity Securities. Interest rate payment terms for deposits are summarized below (dollars in thousands): September 30, 2021 December 31, 2020 Amount Average Interest Amount Average Interest Outstanding Rate (b) Outstanding Rate (b) Due in one year or less Interest-bearing deposits (a) $ 1,421,802 0.03 % $ 1,682,526 0.26 % Non-interest-bearing deposits 44,113 70,437 Total deposits $ 1,465,915 $ 1,752,963 (a) Primarily adjustable rate. (b) The weighted average interest rate is calculated based on the average balance . |
Consolidated Obligations. (Tabl
Consolidated Obligations. (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Consolidated Obligations. | |
Summary of Consolidated obligations issued and outstanding | The following table summarizes carrying amounts of Consolidated obligations outstanding at September 30, 2021 and December 31, 2020 (in thousands): September 30, 2021 December 31, 2020 Consolidated obligation bonds-amortized cost $ 61,049,484 $ 69,063,948 Hedge valuation basis adjustments 277,624 514,436 Hedge basis adjustments on de-designated hedges 126,811 132,450 FVO - valuation adjustments and accrued interest 437 5,464 Total Consolidated obligation bonds $ 61,454,356 $ 69,716,298 Discount notes-amortized cost $ 32,768,402 $ 57,642,972 Hedge value basis adjustments — 321 FVO - valuation adjustments and remaining accretion — 15,545 Total Consolidated obligation discount notes $ 32,768,402 $ 57,658,838 |
Summary of Consolidated obligation bonds outstanding by year of maturity | The following table is a summary of carrying amounts of Consolidated obligation bonds outstanding by year of maturity (dollars in thousands): September 30, 2021 December 31, 2020 Weighted Weighted Average Percentage Average Percentage Maturity Amount Rate (a) of Total Amount Rate (a) of Total One year or less $ 26,957,790 0.48 % 44.24 % $ 45,481,150 0.34 % 66.00 % Over one year through two years 7,249,465 1.42 11.90 10,367,545 1.01 15.05 Over two years through three years 4,837,080 0.94 7.94 4,324,660 1.72 6.28 Over three years through four years 3,994,860 0.83 6.56 1,581,355 1.94 2.29 Over four years through five years 9,401,920 0.87 15.43 822,620 1.62 1.19 Thereafter 8,485,700 2.39 13.93 6,329,200 3.14 9.19 Total par value 60,926,815 0.98 % 100.00 % 68,906,530 0.84 % 100.00 % Bond premiums (b) 146,700 184,084 Bond discounts (b) (24,031) (26,666) Hedge valuation basis adjustments (c) 277,624 514,436 Hedge basis adjustments on de-designated hedges (d) 126,811 132,450 FVO (e) - valuation adjustments and accrued interest 437 5,464 Total Consolidated obligation-bonds $ 61,454,356 $ 69,716,298 (a) Weighted average rate represents the weighted average contractual coupons of bonds, unadjusted for swaps. (b) Amortization of CO bond premiums and discounts are recorded in interest expense as yield adjustments. (c) Hedge valuation basis adjustments under ASC 815 fair value hedges represent changes in the fair values of fixed-rate CO bonds due to changes in the designated benchmark interest rate, remaining terms to maturity or next call, and the notional amounts of CO bonds designated in hedge relationship. Our interest rate benchmarks are LIBOR, the Federal Funds-OIS index and the SOFR-OIS index. (d) Hedge basis adjustments on de-designated hedges represent the unamortized balances of valuation basis of fixed-rate CO bonds that were previously in a fair value hedging relationship. Generally, when a hedging relationship is de-designated, the valuation basis is no longer adjusted for changes in the valuation of the debt for changes in the benchmark rate; instead, the basis is amortized over the debt’s remaining life, so that at maturity of the debt the unamortized basis is reversed to zero . (e) Valuation adjustments on FVO designated bonds represent changes in the entire fair values of CO bonds elected under the FVO plus accrued unpaid interest. Changes in the timing of coupon payments impact outstanding accrued interest. Changes in benchmark interest rates, notional amounts of CO bonds elected under FVO and remaining terms to maturity or next call will impact hedge valuation adjustments. |
Summary of types of Consolidated obligation bonds issued and outstanding by Interest Rate Payment Terms | The following table summarizes par amounts of major types of Consolidated obligation bonds issued and outstanding (dollars in thousands): September 30, 2021 December 31, 2020 Percentage Percentage Amount of Total Amount of Total Fixed-rate, non-callable $ 39,862,685 65.43 % $ 49,275,530 71.51 % Fixed-rate, callable 12,893,130 21.16 1,434,000 2.08 Step Up, callable 4,871,000 7.99 — — Floating rate, callable 250,000 0.41 — — Single-index floating rate 3,050,000 5.01 18,197,000 26.41 Total par value $ 60,926,815 100.00 % $ 68,906,530 100.00 % |
Schedule of outstanding Consolidated obligation discount notes | The FHLBNY’s outstanding Consolidated obligation discount notes were as follows (dollars in thousands): September 30, 2021 December 31, 2020 Par value $ 32,769,938 $ 57,668,646 Amortized cost $ 32,768,402 $ 57,642,972 Hedge value basis adjustments (a) — 321 FVO (b) - valuation adjustments and remaining accretion — 15,545 Total discount notes $ 32,768,402 $ 57,658,838 Weighted average interest rate 0.04 % 0.15 % (a) Hedging valuation basis adjustments — The reported carrying values of hedged CO discount notes are adjusted for changes in their fair values (fair value basis adjustments or fair value) that are attributable to changes in the benchmark risk being hedged. Changes in the designated benchmark interest rate, notional amounts of CO discount notes in hedging relationships and remaining terms to maturity are factors that impact hedge valuation adjustments. (b) FVO valuation adjustments — Valuation basis adjustment losses are recorded to recognize changes in the entire or full fair values including unaccreted discounts on CO discount notes elected under the FVO. Changes in benchmark interest rates, notional amounts of CO discount notes elected under FVO and remaining terms to maturity are factors that impact hedge valuation adjustments. |
Affordable Housing Program. (Ta
Affordable Housing Program. (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Affordable Housing Program. | |
Schedule of Rollforward information with respect to changes in Affordable Housing Program liabilities | The following table provides rollforward information with respect to changes in Affordable Housing Program liabilities (in thousands): Three months ended September 30, Nine months ended September 30, 2021 2020 2021 2020 Beginning balance $ 152,523 $ 159,464 $ 148,827 $ 153,894 Additions from current period’s assessments 7,314 11,251 23,645 38,225 Net disbursements for grants and programs (15,034) (12,363) (27,669) (33,767) Ending balance $ 144,803 $ 158,352 $ 144,803 $ 158,352 |
Capital Stock, Mandatorily Re_2
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | |
Summary of risk-based capital ratios | Risk-based Capital September 30, 2021 December 31, 2020 Required (d) Actual Required (d) Actual Regulatory capital requirements: Risk-based capital (a)(e) $ 822,751 $ 6,379,228 $ 1,067,518 $ 7,279,437 Total capital-to-asset ratio 4.00 % 6.21 % 4.00 % 5.31 % Total capital (b) $ 4,107,075 $ 6,379,228 $ 5,479,855 $ 7,279,437 Leverage ratio 5.00 % 9.32 % 5.00 % 7.97 % Leverage capital (c) $ 5,133,844 $ 9,568,841 $ 6,849,819 $ 10,919,156 (a) Actual “Risk-based capital” is capital stock and retained earnings plus mandatorily redeemable capital stock. Section 1277.3 of the Finance Agency’s regulations (superseding section 932.2 effective January 1, 2020) also refers to this amount as “Permanent Capital.” (b) Required “Total capital” is 4.0% of total assets. (c) The required leverage ratio of total capital to total assets should be at least 5.0% . For the purposes of determining the leverage ratio, total capital shall be computed by multiplying the Bank’s Permanent Capital by 1.5. (d) Required minimum. (e) Under regulatory guidelines issued by the Finance Agency in August 2011 that was consistent with guidance provided by other federal banking agencies with respect to capital rules, risk weights are maintained at AAA for U.S. Treasury securities and other securities issued or guaranteed by the U.S. Government, government agencies, and government-sponsored entities for purposes of calculating risk-based capital. |
Schedule of anticipated redemptions of mandatorily redeemable capital stock | Estimated redemption periods were as follows (in thousands): September 30, 2021 December 31, 2020 Redemption less than one year $ 104 $ 127 Redemption from one year to less than three years 240 293 Redemption from three years to less than five years 260 317 Redemption from five years or greater 1,566 2,254 Total $ 2,170 $ 2,991 |
Rollforward information with respect to changes in mandatorily redeemable capital stock liabilities | The following table provides rollforward information with respect to changes in mandatorily redeemable capital stock liabilities (in thousands): Three months ended September 30, Nine months ended September 30, 2021 2020 2021 2020 Beginning balance $ 2,360 $ 3,841 $ 2,991 $ 5,129 Capital stock subject to mandatory redemption reclassified from equity — 2,743 85 2,743 Redemption of mandatorily redeemable capital stock (a) (190) (3,250) (906) (4,538) Ending balance $ 2,170 $ 3,334 $ 2,170 $ 3,334 Accrued interest payable (b) $ 26 $ 69 $ 26 $ 69 (a) Redemption includes repayment of excess stock. (b) The annualized accrual rate was 4.60% for the three months ended September 30, 2021 and 5.60% for the three months ended September 30, 2020. Accrual rates are based on estimated dividend rates. |
Earnings Per Share of Capital.
Earnings Per Share of Capital. (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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 September 30, Nine months ended September 30, 2021 2020 2021 2020 Net income $ 65,808 $ 101,195 $ 212,722 $ 343,827 Net income available to stockholders $ 65,808 $ 101,195 $ 212,722 $ 343,827 Weighted average shares of capital 46,700 61,837 50,525 62,999 Less: Mandatorily redeemable capital stock (22) (49) (25) (47) Average number of shares of capital used to calculate earnings per share 46,678 61,788 50,500 62,952 Basic earnings per share $ 1.41 $ 1.64 $ 4.21 $ 5.46 |
Employee Retirement Plans. (Tab
Employee Retirement Plans. (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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 September 30, Nine months ended September 30, 2021 2020 2021 2020 Defined Benefit Plan $ 2,500 $ 2,500 $ 7,500 $ 7,500 Benefit Equalization Plans (defined benefit and defined contribution) 2,847 2,753 9,113 7,414 Defined Contribution Plans 700 664 2,190 2,058 Postretirement Health Benefit Plan 76 62 229 184 Total retirement plan expenses $ 6,123 $ 5,979 $ 19,032 $ 17,156 |
Benefit Equalization Plan (BEP) | |
Employee Retirement Plans | |
Schedule of components of net periodic cost | Components of the net periodic pension cost for the defined benefit component of the BEP were as follows (in thousands): Three months ended September 30, Nine months ended September 30, 2021 2020 2021 2020 Service cost $ 495 $ 391 $ 1,487 $ 1,175 Interest cost 529 587 1,588 1,761 Amortization of unrecognized net loss 1,478 1,141 4,432 3,421 Amortization of unrecognized past service cost 175 175 523 523 Net periodic benefit cost -Defined Benefit BEP 2,677 2,294 8,030 6,880 Benefit Equalization plans - Thrift and Deferred incentive compensation plans 170 459 1,083 534 Total $ 2,847 $ 2,753 $ 9,113 $ 7,414 |
Postretirement Health Benefit Plan | |
Employee Retirement Plans | |
Schedule of components of net periodic cost | Components of the net periodic benefit cost for the postretirement health benefit plan were as follows (in thousands): Three months ended September 30, Nine months ended September 30, 2021 2020 2021 2020 Service cost (benefits attributed to service during the period) $ 16 $ 21 $ 48 $ 63 Interest cost on accumulated postretirement health benefit obligation 60 79 181 235 Amortization of (gain)/loss — (38) — (114) Net periodic postretirement health benefit expense/(income) $ 76 $ 62 $ 229 $ 184 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities. (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Derivatives and Hedging Activities. | |
Schedule of Derivative Notionals | The following table presents the FHLBNY’s derivative activities based on notional amounts (in thousands): Hedging Instruments Under ASC 815 September 30, 2021 December 31, 2020 Interest rate contracts Interest rate swaps $ 94,406,359 $ 127,077,867 Interest rate caps 800,000 800,000 Mortgage delivery commitments 21,868 9,777 Total interest rate contracts notionals $ 95,228,227 $ 127,887,644 |
Schedule of Derivative Assets Nettable and Not Nettable | The table below presents the gross and net derivatives receivables by contract type and amount for those derivatives contracts for which netting is permissible under U.S. GAAP as Derivative instruments — September 30, 2021 December 31, 2020 Derivative Derivative Derivative Derivative Assets Liabilities Assets Liabilities Derivative instruments - nettable Gross recognized amount Uncleared derivatives $ 189,239 $ 674,347 $ 232,355 $ 913,215 Cleared derivatives 243,747 242,192 205,505 211,259 Total gross recognized amount 432,986 916,539 437,860 1,124,474 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (71,529) (633,639) (197,385) (849,880) Cleared derivatives (120,096) (242,192) (203,835) (203,835) Total gross amounts of netting adjustments and cash collateral (191,625) (875,831) (401,220) (1,053,715) Net amounts after offsetting adjustments and cash collateral $ 241,361 $ 40,708 $ 36,640 $ 70,759 Uncleared derivatives $ 117,710 $ 40,708 $ 34,970 $ 63,335 Cleared derivatives 123,651 — 1,670 7,424 Total net amounts after offsetting adjustments and cash collateral $ 241,361 $ 40,708 $ 36,640 $ 70,759 Derivative instruments - not nettable Uncleared derivatives (a) $ 4 $ 123 $ 29 $ 1 Total derivative assets and total derivative liabilities Uncleared derivatives $ 117,714 $ 40,831 $ 34,999 $ 63,336 Cleared derivatives 123,651 — 1,670 7,424 Total derivative assets and total derivative liabilities presented in the Statements of Condition (b) $ 241,365 $ 40,831 $ 36,669 $ 70,760 Non-cash collateral received or pledged (c) Can be sold or repledged Security pledged as initial margin to Derivative Clearing Organization (d) $ 368,864 $ — $ 630,372 $ — Cannot be sold or repledged Uncleared derivatives securities received (100,163) — (20,687) — Total net amount of non-cash collateral received or repledged $ 268,701 $ — $ 609,685 $ — Total net exposure cash and non-cash (e) $ 510,066 $ 40,831 $ 646,354 $ 70,760 Net unsecured amount - Represented by: Uncleared derivatives $ 17,551 $ 40,831 $ 14,312 $ 63,336 Cleared derivatives 492,515 — 632,042 7,424 Total net exposure cash and non-cash (e) $ 510,066 $ 40,831 $ 646,354 $ 70,760 (a) Not nettable derivative instruments are without legal right of offset, and were synthetic derivatives representing forward mortgage delivery commitments of 45 business days or less. Amounts were not material, and it was operationally not practical to separate receivables from payables; net presentation was adopted. No cash collateral was involved with the mortgage delivery commitments. (b) Amounts represented Derivative assets and liabilities that were recorded in the Statements of Condition. Derivative cash balances were not netted with non-cash collateral received or pledged, since legal ownership of the non-cash collateral remains with the pledging counterparty (see footnote (c) below). (c) Non-cash collateral received or pledged – For certain uncleared derivatives, from time to time counterparties have pledged U.S. Treasury securities to the FHLBNY as collateral. Amounts also included non-cash mortgage collateral on derivative positions with member counterparties where we acted as an intermediary. For certain cleared derivatives, we have pledged marketable securities to satisfy initial margin or collateral requirements. (d) Amounts represented securities pledged to Derivative Clearing Organization (DCO) to fulfill our initial margin obligations on cleared derivatives. Securities pledged may be sold or repledged if the FHLBNY defaults on its obligations under rules established by the CFTC. (e) Amounts represented net exposure after applying non-cash collateral pledged to and by the FHLBNY. Since legal ownership and control over the securities are not transferred, the net exposure represented in the table above is for information only and is not reported as such in the Statements of Condition. Note on variation margin — For all cleared derivative contracts that have not matured, “Variation margin” is exchanged between the FHLBNY and the Futures Commission Merchant (FCM), acting as agents on behalf of DCOs. Variation margin is determined by the DCO and fluctuates with the fair values of the open contracts. When the aggregate contract value of open derivatives is “in-the-money” for the FHLBNY (gain position), the FHLBNY would receive variation margin from the DCO. If the value of the open contracts is “out-of-the-money” (liability position), the FHLBNY would post variation margin to the DCO. At September 30, 2021, the FHLBNY posted $155.9 million in cash as settlement variation margin to FCMs. At December 31, 2020, the FHLBNY posted $732.9 million in cash as settlement variation margin to FCMs. As noted, variation margin is not considered as collateral, rather as the daily settlement amounts of outstanding derivative contracts. |
Schedule of Derivative Liabilities Nettable and Not Nettable | The table below presents the gross and net derivatives receivables by contract type and amount for those derivatives contracts for which netting is permissible under U.S. GAAP as Derivative instruments — September 30, 2021 December 31, 2020 Derivative Derivative Derivative Derivative Assets Liabilities Assets Liabilities Derivative instruments - nettable Gross recognized amount Uncleared derivatives $ 189,239 $ 674,347 $ 232,355 $ 913,215 Cleared derivatives 243,747 242,192 205,505 211,259 Total gross recognized amount 432,986 916,539 437,860 1,124,474 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (71,529) (633,639) (197,385) (849,880) Cleared derivatives (120,096) (242,192) (203,835) (203,835) Total gross amounts of netting adjustments and cash collateral (191,625) (875,831) (401,220) (1,053,715) Net amounts after offsetting adjustments and cash collateral $ 241,361 $ 40,708 $ 36,640 $ 70,759 Uncleared derivatives $ 117,710 $ 40,708 $ 34,970 $ 63,335 Cleared derivatives 123,651 — 1,670 7,424 Total net amounts after offsetting adjustments and cash collateral $ 241,361 $ 40,708 $ 36,640 $ 70,759 Derivative instruments - not nettable Uncleared derivatives (a) $ 4 $ 123 $ 29 $ 1 Total derivative assets and total derivative liabilities Uncleared derivatives $ 117,714 $ 40,831 $ 34,999 $ 63,336 Cleared derivatives 123,651 — 1,670 7,424 Total derivative assets and total derivative liabilities presented in the Statements of Condition (b) $ 241,365 $ 40,831 $ 36,669 $ 70,760 Non-cash collateral received or pledged (c) Can be sold or repledged Security pledged as initial margin to Derivative Clearing Organization (d) $ 368,864 $ — $ 630,372 $ — Cannot be sold or repledged Uncleared derivatives securities received (100,163) — (20,687) — Total net amount of non-cash collateral received or repledged $ 268,701 $ — $ 609,685 $ — Total net exposure cash and non-cash (e) $ 510,066 $ 40,831 $ 646,354 $ 70,760 Net unsecured amount - Represented by: Uncleared derivatives $ 17,551 $ 40,831 $ 14,312 $ 63,336 Cleared derivatives 492,515 — 632,042 7,424 Total net exposure cash and non-cash (e) $ 510,066 $ 40,831 $ 646,354 $ 70,760 (a) Not nettable derivative instruments are without legal right of offset, and were synthetic derivatives representing forward mortgage delivery commitments of 45 business days or less. Amounts were not material, and it was operationally not practical to separate receivables from payables; net presentation was adopted. No cash collateral was involved with the mortgage delivery commitments. (b) Amounts represented Derivative assets and liabilities that were recorded in the Statements of Condition. Derivative cash balances were not netted with non-cash collateral received or pledged, since legal ownership of the non-cash collateral remains with the pledging counterparty (see footnote (c) below). (c) Non-cash collateral received or pledged – For certain uncleared derivatives, from time to time counterparties have pledged U.S. Treasury securities to the FHLBNY as collateral. Amounts also included non-cash mortgage collateral on derivative positions with member counterparties where we acted as an intermediary. For certain cleared derivatives, we have pledged marketable securities to satisfy initial margin or collateral requirements. (d) Amounts represented securities pledged to Derivative Clearing Organization (DCO) to fulfill our initial margin obligations on cleared derivatives. Securities pledged may be sold or repledged if the FHLBNY defaults on its obligations under rules established by the CFTC. (e) Amounts represented net exposure after applying non-cash collateral pledged to and by the FHLBNY. Since legal ownership and control over the securities are not transferred, the net exposure represented in the table above is for information only and is not reported as such in the Statements of Condition. Note on variation margin — For all cleared derivative contracts that have not matured, “Variation margin” is exchanged between the FHLBNY and the Futures Commission Merchant (FCM), acting as agents on behalf of DCOs. Variation margin is determined by the DCO and fluctuates with the fair values of the open contracts. When the aggregate contract value of open derivatives is “in-the-money” for the FHLBNY (gain position), the FHLBNY would receive variation margin from the DCO. If the value of the open contracts is “out-of-the-money” (liability position), the FHLBNY would post variation margin to the DCO. At September 30, 2021, the FHLBNY posted $155.9 million in cash as settlement variation margin to FCMs. At December 31, 2020, the FHLBNY posted $732.9 million in cash as settlement variation margin to FCMs. As noted, variation margin is not considered as collateral, rather as the daily settlement amounts of outstanding derivative contracts. |
Schedule of outstanding notional balances and estimated fair values of derivatives outstanding | The following tables represent outstanding notional balances and estimated fair values of the derivatives outstanding at September 30, 2021 and December 31, 2020 (in thousands): September 30, 2021 Notional Amount Derivative Derivative of Derivatives Assets Liabilities Fair value of derivative instruments (a) Derivatives designated as hedging instruments under ASC 815 interest rate swaps $ 71,697,637 $ 418,525 $ 911,870 Total derivatives in hedging relationships under ASC 815 71,697,637 418,525 911,870 Derivatives not designated as hedging instruments Interest rate swaps 22,550,722 9,741 4,050 Interest rate caps 800,000 34 — Mortgage delivery commitments 21,868 4 123 Other (b) 158,000 4,686 619 Total derivatives not designated as hedging instruments 23,530,590 14,465 4,792 Total derivatives before netting and collateral adjustments $ 95,228,227 432,990 916,662 Netting adjustments (180,725) (180,725) Cash collateral and related accrued interest (10,900) (695,106) Total netting adjustments and cash collateral (191,625) (875,831) Total derivative assets and total derivative liabilities $ 241,365 $ 40,831 Security collateral pledged as initial margin to Derivative Clearing Organization (c) $ 368,864 Security collateral received from counterparty (c) (100,163) Net security 268,701 Net exposure $ 510,066 December 31, 2020 Notional Amount Derivative Derivative of Derivatives Assets Liabilities Fair value of derivative instruments (a) Derivatives designated as hedging instruments under ASC 815 interest rate swaps $ 69,885,821 $ 380,504 $ 1,088,253 Total derivatives in hedging relationships under ASC 815 69,885,821 380,504 1,088,253 Derivatives not designated as hedging instruments Interest rate swaps 56,304,046 35,555 34,989 Interest rate caps 800,000 44 — Mortgage delivery commitments 9,777 29 1 Other (b) 888,000 21,757 1,232 Total derivatives not designated as hedging instruments 58,001,823 57,385 36,222 Total derivatives before netting and collateral adjustments $ 127,887,644 437,889 1,124,475 Netting adjustments (291,135) (291,135) Cash collateral and related accrued interest (110,085) (762,580) Total netting adjustments and cash collateral (401,220) (1,053,715) Total derivative assets and total derivative liabilities $ 36,669 $ 70,760 Security collateral pledged as initial margin to Derivative Clearing Organization (c) $ 630,372 Security collateral received from counterparty (c) (20,687) Net security 609,685 Net exposure $ 646,354 (a) All derivative assets and liabilities with swap dealers and counterparties are executed under collateral agreements; derivative instruments executed bilaterally are subject to legal right of offset under master netting agreements. (b) The Other category comprised of interest rate swaps intermediated for member, and notional amounts represent purchases by the FHLBNY from dealers and an offsetting purchase from us by the members. (c) Non-cash security collateral is not permitted to be offset on the balance sheet but would be eligible for offsetting in an event of default. Amounts represent non-cash collateral and or U.S. Treasury securities pledged to and received from counterparties as collateral at September 30, 2021 and December 31, 2020. |
Schedule of Gains and Losses on Fair value hedges | Gains and Losses on Fair value hedges under ASC 815 are summarized below (in thousands): Gains (Losses) on Fair Value Hedges Recorded in Interest Income/Expense Three months ended September 30, Nine months ended September 30, 2021 2020 2021 2020 Gains (losses) on derivatives in designated Interest rate hedges $ 108,070 $ 133,360 $ 509,861 $ (1,180,423) Gains (losses) on hedged item in designated Interest rate hedges $ (107,046) $ (133,685) $ (504,637) $ 1,178,172 |
Schedule of carrying amount of hedged assets and liabilities as well as hedged item's cumulative hedge basis adjustments and unamortized cumulative basis adjustments from discontinued hedges | The tables below present the carrying amount of FHLBNY’s assets and liabilities under active ASC 815 qualifying fair value hedges at September 30, 2021 and December 31, 2020, as well as the hedged item’s cumulative hedge basis adjustments, which were included in the carrying value of assets and liabilities in active hedges. The tables also present unamortized cumulative basis adjustments from discontinued hedges where the previously hedged item remains on the FHLBNY’s Statements of Condition (in thousands): September 30, 2021 Cumulative Fair Value Hedging Adjustment Included in the Carrying Amount of Hedged Items Gains (Losses) Carrying Amount of Discontinued Hedged Active Hedging Hedging Assets/Liabilities (a) Relationship Relationship Assets: Hedged advances $ 35,295,857 $ 622,889 $ — Hedged AFS debt securities (a) 1,915,522 (20,780) — De-designated advances (b) — — 979 $ 37,211,379 $ 602,109 $ 979 Liabilities: Hedged consolidated obligation bonds $ 33,577,984 $ (277,624) $ — De-designated consolidated obligation bonds (b) — — (126,811) $ 33,577,984 $ (277,624) $ (126,811) December 31, 2020 Cumulative Fair Value Hedging Adjustment Included in the Carrying Amount of Hedged Items Gains (Losses) Carrying Amount of Discontinued Hedged Active Hedging Hedging Assets/Liabilities (a) Relationship Relationship Assets: Hedged advances $ 38,275,533 $ 1,324,615 $ — Hedged AFS debt securities (a) 1,162,366 44,052 — De-designated advances (b) — — 1,331 $ 39,437,899 $ 1,368,667 $ 1,331 Liabilities: Hedged consolidated obligation bonds $ 20,639,825 $ (514,436) $ — Hedged consolidated obligation discount notes 7,583,549 (321) — De-designated consolidated obligation bonds (b) — — (132,450) $ 28,223,374 $ (514,757) $ (132,450) (a) Carrying amounts represent amortized cost adjusted for cumulative fair value hedging basis. For AFS securities in a fair value partial-term hedge, changes in the fair values due to changes in the benchmark rate were recorded as an adjustment to amortized cost and an offset to interest income from the hedged AFS securities. (b) At September 30, 2021, par amounts of de-designated advances were $0.1 billion, and par amount of de-designated CO bonds were $2.6 billion. At December 31, 2020, par amounts of de-designated advances were $1.2 billion; par amounts of de-designated CO bonds were approximately $1.5 billion; par amounts of de-designated CO discount notes were approximately $0.1 billion. Cumulative fair value hedging adjustments for active and discontinued hedging relationships will remain on the balance sheet until the items are derecognized. |
Schedule of balances and changes in AOCI from cash flow hedges | The following tables present derivative instruments used in cash flow hedge accounting relationships and the gains and losses recorded on such derivatives (in thousands): Derivative Gains (Losses) Recorded in Income and Other Comprehensive Income/Loss Three months ended September 30, 2021 2020 Amounts Amounts Amounts Amounts Reclassified from Reclassified from Amounts Total Change Reclassified from Reclassified from Amounts Total Change in AOCI to AOCI to Other Recorded in in OCI for AOCI to AOCI to Other Recorded in OCI for Interest Expense (b) Income (Loss) (c) OCI (d) Period Interest Expense (b) Income (Loss) (c) OCI (d) Period Interest rate contracts (a) $ (387) $ — $ 15,922 $ 16,309 $ (363) $ — $ 17,707 $ 18,070 Derivative Gains (Losses) Recorded in Income and Other Comprehensive Income/Loss Nine months ended September 30, 2021 2020 Amounts Amounts Amounts Amounts Reclassified from Reclassified from Amounts Total Change Reclassified from Reclassified from Amounts Total Change in AOCI to AOCI to Other Recorded in in OCI for AOCI to AOCI to Other Recorded in OCI for Interest Expense (b) Income (Loss) (c) OCI (d) Period Interest Expense (b) Income (Loss) (c) OCI (d) Period Interest rate contracts (a) $ (1,128) $ — $ 81,250 $ 82,378 $ (984) $ — $ (141,526) $ (140,542) (a) Amounts represent cash flow hedges of CO debt hedged with benchmark interest rate swaps indexed to a benchmark rate. Under guidance provided by ASU 2017-12, the FHLBNY includes the gain and loss on the hedging derivatives in the same line in the Statements of Income as the change in cash flows on the hedged item. (b) Amounts represent amortization of gains (losses) related to closed cash flow hedges of anticipated issuance of CO bonds that were reclassified during the period to interest expense as a yield adjustment. Losses reclassified represent losses in AOCI that were amortized as an expense to debt interest expense. If debt is held to maturity, losses in AOCI will be relieved through amortization. It is expected that over the next 12 months, $1.4 million of the unrecognized losses in AOCI will be recognized as yield adjustments to debt interest expense. (c) Under guidance provided by ASU 2017-12, hedge ineffectiveness (as defined under ASC 815) is reclassified only if the original transaction would not occur by the end of the specified time period or within a two-month period thereafter. There were no amounts that were reclassified into earnings due to discontinuation of cash flow hedges. Reclassification would occur if it became probable that the original forecasted transactions would not occur by the end of the originally specified time period or within a two-month period thereafter. (d) Amounts represent changes in the fair values of open interest rate swap contracts in cash flow hedges of CO debt, primarily those hedging the rolling issuance of CO discount notes. |
Schedule of gains (losses) on derivatives in designated economic hedges | Gains and losses on economic hedges are presented below (in thousands): Gains (Losses) on Economic Hedges Recorded in Other Income (Loss) Three months ended September 30, Nine months ended September 30, 2021 2020 2021 2020 Gains (losses) on derivatives designated in economic hedges Interest rate hedges $ 3,397 $ 10,352 $ 3,197 $ (158,863) Caps (34) (38) (9) (33) Mortgage delivery commitments (100) 535 (316) 1,654 Total gains (losses) on derivatives in economic hedges $ 3,263 $ 10,849 $ 2,872 $ (157,242) |
Fair Values of Financial Inst_2
Fair Values of Financial Instruments. (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Fair Values of Financial Instruments. | |
Schedule of carrying values, estimated fair values and levels within fair value hierarchy of financial instruments | Estimated Fair Values — Summary Tables – September 30, 2021 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 $ 118,754 $ 118,754 $ 118,754 $ — $ — $ — Interest-bearing deposits 675,000 675,001 — 675,001 — — Federal funds sold 8,628,000 8,628,004 — 8,628,004 — — Trading securities 4,377,199 4,377,199 4,377,199 — — — Equity Investments 91,813 91,813 91,813 — — — Available-for-sale securities 5,458,612 5,458,612 — 4,557,420 901,192 — Held-to-maturity securities 9,844,952 10,292,012 — 10,040,846 251,166 — Advances 70,547,573 70,690,728 — 70,690,728 — — Mortgage loans held-for-portfolio, net 2,417,656 2,480,799 — 2,480,799 — — Accrued interest receivable 120,562 120,562 — 120,562 — — Derivative assets 241,365 241,365 — 432,990 — (191,625) Other financial assets 367 367 — — 367 — Liabilities Deposits 1,465,915 1,465,916 — 1,465,916 — — Consolidated obligations Bonds 61,454,356 61,888,241 — 61,888,241 — — Discount notes 32,768,402 32,768,861 — 32,768,861 — — Mandatorily redeemable capital stock 2,170 2,170 2,170 — — — Accrued interest payable 125,260 125,260 — 125,260 — — Derivative liabilities 40,831 40,831 — 916,662 — (875,831) Other financial liabilities 30,368 30,368 30,368 — — — 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 — — — The fair value amounts recorded on the Statements of Condition or presented in the table above have been determined by the FHLBNY using available market information and our reasonable judgment of appropriate valuation methods. (a) Level 3 Instruments — The fair values of non-Agency private-label MBS and housing finance agency bonds were estimated by management based on pricing services. Valuations may have required pricing services to use significant inputs that were subjective because of the current lack of significant market activity; the inputs may not be market based and observable. |
Schedule of fair value of assets and liabilities recorded at fair value on a recurring basis, by level within fair value hierarchy | Items Measured at Fair Value on a Recurring Basis (in thousands): September 30, 2021 Netting Adjustment and Total Level 1 Level 2 Level 3 Cash Collateral Assets Trading securities U.S. Treasury securities $ 4,377,199 $ 4,377,199 $ — $ — $ — Equity Investments 91,813 91,813 — — — Available-for-sale securities GSE/U.S. agency issued MBS 4,557,420 — 4,557,420 — — State and local housing finance agency obligations 901,192 — — 901,192 — Derivative assets (a) Interest-rate derivatives 241,361 — 432,986 — (191,625) Mortgage delivery commitments 4 — 4 — — Total recurring fair value measurement - Assets $ 10,168,989 $ 4,469,012 $ 4,990,410 $ 901,192 $ (191,625) Liabilities Consolidated obligation: Bonds (to the extent FVO is elected) (b) $ (10,811,362) $ — $ (10,811,362) $ — $ — Derivative liabilities (a) Interest-rate derivatives (40,708) — (916,539) — 875,831 Mortgage delivery commitments (123) — (123) — — Total recurring fair value measurement - Liabilities $ (10,852,193) $ — $ (11,728,024) $ — $ 875,831 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 (a) Based on analysis of the nature of the risk, the presentation of derivatives as a single class is appropriate. (b) Based on analysis of the nature of risks of Consolidated obligation bonds measured at fair value, the FHLBNY has determined that presenting the bonds as a single class is appropriate. |
Schedule of roll forward of level 3 available-for-sale securities | Roll Forward of Level 3 Available-for-Sale Securities (in thousands): State and Local Housing Finance Agency Obligations Three months ended September 30, Nine months ended September 30, 2021 2021 Balance, beginning of the period $ — $ — Transfer of securities from held-to-maturity to available-for-sale 900,719 900,719 Provision for credit losses 586 586 Net unrealized gains (losses) in other comprehensive income (113) (113) Balance, end of the period $ 901,192 $ 901,192 |
Schedule of items measured at fair value on a nonrecurring basis, by level within fair value hierarchy | Items Measured at Fair Value on a Non-recurring Basis (in thousands): During the period ended September 30, 2021 Fair Value Level 1 Level 2 Level 3 Mortgage loans held-for-portfolio $ 657 $ — $ 657 $ — Real estate owned 315 — — 315 Total non-recurring assets at fair value $ 972 $ — $ 657 $ 315 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 $ — |
Schedule of activity, change in fair value and comparison of aggregate fair value and remaining contractual principal balance outstanding related to financial instruments for which fair value option elected | The following tables summarize the activity related to financial instruments for which the FHLBNY elected the fair value option (in thousands): Three months ended September 30, 2021 2020 2021 2020 Bonds Discount Notes Balance, beginning of the period $ (13,347,759) $ (1,302,385) $ (1,249,963) $ (20,159,341) New transactions elected for fair value option (4,415,000) (14,275,000) — (2,498,439) Maturities and terminations 6,950,000 800,000 1,249,392 9,793,052 Net gains (losses) on financial instruments held under fair value option 282 770 33 6,337 Change in accrued interest/unaccreted balance 1,115 (358) 538 5,322 Balance, end of the period $ (10,811,362) $ (14,776,973) $ — $ (12,853,069) Nine months ended September 30, 2021 2020 2021 2020 Bonds Discount Notes Balance, beginning of the period $ (16,580,464) $ (12,134,043) $ (7,133,755) $ (2,186,603) New transactions elected for fair value option (15,760,925) (15,575,000) (1,249,391) (22,619,434) Maturities and terminations 21,525,000 12,867,000 8,367,602 11,975,897 Net gains (losses) on financial instruments held under fair value option 2,221 2,902 2,027 (7,185) Change in accrued interest/unaccreted balance 2,806 62,168 13,517 (15,744) Balance, end of the period $ (10,811,362) $ (14,776,973) $ — $ (12,853,069) The following tables present the change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected (in thousands): Three months ended September 30, 2021 2020 Net Gains Total Change in Fair Net Gains Total Change in Fair (Losses) Due to Value Included in (Losses) Due to Value Included in Interest Changes in Fair Current Period Interest Changes in Fair Current Period Expense Value Earnings Expense Value Earnings Consolidated obligation bonds $ (2,938) $ 282 $ (2,656) $ (3,643) $ 770 $ (2,873) Consolidated obligation discount notes (71) 33 (38) (15,654) 6,337 (9,317) $ (3,009) $ 315 $ (2,694) $ (19,297) $ 7,107 $ (12,190) Nine months ended September 30, 2021 2020 Net Gains Total Change in Fair Net Gains Total Change in Fair (Losses) Due to Value Included in (Losses) Due to Value Included in Interest Changes in Fair Current Period Interest Changes in Fair Current Period Expense Value Earnings Expense Value Earnings Consolidated obligation bonds $ (12,844) $ 2,221 $ (10,623) $ (49,045) $ 2,902 $ (46,143) Consolidated obligation discount notes (3,839) 2,027 (1,812) (51,788) (7,185) (58,973) $ (16,683) $ 4,248 $ (12,435) $ (100,833) $ (4,283) $ (105,116) 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) September 30, 2021 Fair Value Over/(Under) Aggregate Unpaid Aggregate Fair Aggregate Unpaid Principal Balance Value Principal Balance Consolidated obligation bonds (b) $ 10,810,925 $ 10,811,362 $ 437 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 September 30, 2020 Fair Value Over/(Under) Aggregate Unpaid Aggregate Fair Aggregate Unpaid Principal Balance Value Principal Balance Consolidated obligation bonds (b) $ 14,775,000 $ 14,776,973 $ 1,973 Consolidated obligation discount notes (c) 12,826,382 12,853,069 26,687 $ 27,601,382 $ 27,630,042 $ 28,660 (a) Advances – No advances elected under the FVO were outstanding at September 30, 2021, December 31, 2020 and September 30, 2020. From time to time, the FHLBNY has elected the FVO for advances on an instrument by instrument basis with terms that were primarily short-and intermediate-term. (b) CO bonds – The FHLBNY has elected the FVO on an instrument-by-instrument basis for CO bonds, primarily fixed-rate, intermediate- and short-term debt, because management was not able to assert with confidence that the debt would qualify for hedge accounting as such short-term debt may not remain highly effective hedges through the maturity of the bonds. (c) Discount notes were elected under the FVO because management was not able to assert with confidence that the debt would qualify for hedge accounting as the short-term discount note debt may not remain highly effective hedges through maturity . |
Commitments and Contingencies.
Commitments and Contingencies. (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Commitments and Contingencies. | |
Summary of significant contractual obligations and contingencies | The following table summarizes contractual obligations and contingencies as of September 30, 2021 (in thousands): September 30, 2021 Payments Due or Expiration Terms by Period Greater Than Greater Than Less Than One Year Three Years Greater Than One Year to Three Years to Five Years Five Years Total Contractual Obligations Consolidated obligation bonds at par (a) $ 26,957,790 $ 12,086,545 $ 13,396,780 $ 8,485,700 $ 60,926,815 Consolidated obligation discount notes at par 32,769,938 — — — 32,769,938 Mandatorily redeemable capital stock (a) 104 240 260 1,566 2,170 Premises (lease obligations) (b) 7,160 16,028 16,282 55,959 95,429 Remote backup site 804 1,100 — — 1,904 Other liabilities (c) 79,822 11,925 9,502 82,142 183,391 Total contractual obligations 59,815,618 12,115,838 13,422,824 8,625,367 93,979,647 Other commitments Standby letters of credit (d) 21,295,948 40,188 — — 21,336,136 Consolidated obligation bonds/discount notes traded not settled 2,213,000 — — — 2,213,000 Commitments to fund pension 10,000 — — — 10,000 Open delivery commitments (MAP) 21,868 — — — 21,868 Total other commitments 23,540,816 40,188 — — 23,581,004 Total obligations and commitments $ 83,356,434 $ 12,156,026 $ 13,422,824 $ 8,625,367 $ 117,560,651 (a) Callable bonds contain an exercise date or a series of exercise dates that may result in a shorter redemption period. Redemption dates of mandatorily redeemable capital stock are assumed to correspond to maturity dates of member advances. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock. While interest payments on CO bonds and discount notes are contractual obligations, they are deemed to be not material and, therefore, amounts were omitted from the table. (b) Amounts represent undiscounted obligations. Lease obligations are recorded in the Statements of Condition as a Right-of-use (ROU) asset and a corresponding lease liability. Immaterial amounts of equipment and other leases have been excluded in the table above. (c) Includes accounts payable and accrued expenses, liabilities recorded for future settlements of investments, Pass-through reserves due to member institutions held at the FRB, and projected payment obligations for pension plans. Where it was not possible to estimate the exact timing of payment obligations, they were assumed to be due within one year; amounts were not material. For more information about employee retirement plans in general, see Note 16. Employee Retirement Plans. (d) Financial letters of credit - Standby letters of credit are executed for a fee on behalf of members to facilitate residential housing, community lending, and members’ asset/liability management or to provide liquidity. A standby letter of credit is a financing arrangement between the FHLBNY and its member. Members assume an unconditional obligation to reimburse the FHLBNY for value given by the FHLBNY to the beneficiary under the terms of the standby letter of credit. The FHLBNY may, in its discretion, permit the member to finance repayment of their obligation by receiving a collateralized advance. |
Summarized information on our leases | The following tables provide summarized information on our leases (dollars in thousands): September 30, 2021 December 31, 2020 Operating Leases (a) Right-of-use assets $ 66,917 $ 70,733 Lease Liabilities $ 80,405 $ 84,475 Three months ended September 30, Nine months ended September 30, 2021 2020 2021 2020 Operating Lease Expense $ 1,952 $ 1,944 $ 5,856 $ 5,823 Operating cash flows - Cash Paid $ 2,037 $ 1,997 $ 6,111 $ 5,874 September 30, 2021 December 31, 2020 Weighted Average Discount Rate 3.30 % 3.29 % Weighted Average Remaining Lease Term 11.30 Years 12.01 Years |
Schedule of remaining maturities of leases liabilities | Remaining maturities through Operating lease liabilities September 30, 2021 December 31, 2020 Remainder of 2021 $ 2,037 $ 8,148 2022 8,246 8,246 2023 8,615 8,615 2024 8,298 8,297 2025 8,088 8,088 Thereafter 61,798 61,798 Total undiscounted lease payments 97,082 103,192 Imputed interest (16,677) (18,717) Total operating lease liabilities $ 80,405 $ 84,475 (a) We have elected to exclude immaterial amounts of short-term operating lease liabilities in the Right-of-use assets and lease liabilities . |
Related Party Transactions. (Ta
Related Party Transactions. (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Related Party Transactions. | |
Schedule of significant balances and transactions with related parties | Related Party: Outstanding Assets, Liabilities and Capital September 30, 2021 December 31, 2020 Related Related Assets Advances $ 70,547,573 $ 92,067,104 Accrued interest receivable 70,011 89,604 Liabilities and capital Deposits $ 1,465,915 $ 1,752,963 Mandatorily redeemable capital stock 2,170 2,991 Accrued interest payable 26 45 Affordable Housing Program (a) 144,803 148,827 Other liabilities (b) 30,368 32,378 Capital $ 6,411,354 $ 7,256,699 (a) Represents funds not yet allocated or disbursed to AHP programs. (b) Includes member pass-through reserves at the Federal Reserve Bank of New York. Related Party: Income and Expense Transactions Three months ended September 30, Nine months ended September 30, 2021 2020 2021 2020 Related Related Related Related Interest income Advances $ 116,229 $ 193,003 $ 379,624 $ 983,798 Interest-bearing deposits — — — 1 Loans to other FHLBanks — — 1 33 Interest expense Deposits $ 116 $ 208 $ 291 $ 3,582 Mandatorily redeemable capital stock 25 65 87 200 Service fees and other $ 4,354 $ 4,459 $ 13,091 $ 13,781 |
Segment Information and Conce_2
Segment Information and Concentration. (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Par Value of Advances | Credit concentration risk | |
Segment Information and Concentration | |
Schedule of concentrations | The top ten advance holders at September 30, 2021, December 31, 2020 and September 30, 2020 and associated interest income for the years then ended are summarized as follows (dollars in thousands): September 30, 2021 Percentage of Par Total Par Value Three Months Nine Months City State Advances of Advances Interest Income Percentage (a) Interest Income Percentage (a) MetLife, Inc.: Metropolitan Life Insurance Company New York NY $ 15,245,000 21.80 % $ 40,303 25.42 % $ 118,253 23.48 % Metropolitan Tower Life Insurance Company New York NY 1,005,000 1.44 1,368 0.86 3,820 0.76 Subtotal MetLife,Inc. 16,250,000 23.24 41,671 26.28 122,073 24.24 New York Community Bank Westbury NY 13,977,661 19.99 51,921 32.74 156,665 31.11 Equitable Financial Life Insurance Company New York NY 6,802,175 9.73 14,091 8.89 46,337 9.20 Citibank, N.A. New York NY 5,751,000 8.23 16,296 10.28 61,609 12.23 Investors Bank (b) Short Hills NJ 3,075,000 4.40 7,589 4.79 24,378 4.84 New York Life Insurance Company New York NY 2,725,000 3.90 13,155 8.30 40,700 8.08 Signature Bank New York NY 2,664,245 3.81 6,820 4.30 21,698 4.31 ESL Federal Credit Union Rochester NY 1,683,937 2.41 1,865 1.18 5,717 1.14 Valley National Bank (b) Wayne NJ 1,388,000 1.98 4,475 2.82 20,851 4.14 Teachers Ins. & Annuity Assoc of America New York NY 1,126,634 1.61 674 0.42 3,552 0.71 Total $ 55,443,652 79.30 % $ 158,557 100.00 % $ 503,580 100.00 % (a) Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members. (b) At September 30, 2021, an officer of this member bank also served on the Board of Directors of the FHLBNY. December 31, 2020 Percentage of Par Total Par Value Twelve Months City State Advances of Advances Interest Income Percentage (a) MetLife, Inc.: Metropolitan Life Insurance Company New York NY $ 15,245,000 16.80 % $ 211,797 19.03 % Metropolitan Tower Life Insurance Company New York NY 955,000 1.05 3,176 0.28 Subtotal MetLife, Inc. 16,200,000 17.85 214,973 19.31 Citibank, N.A. New York NY 14,900,000 16.42 280,084 25.16 New York Community Bank (b) Westbury NY 14,627,661 16.12 233,915 21.01 Equitable Financial Life Insurance Company (c) New York NY 6,890,415 7.60 77,739 6.98 HSBC Bank USA, National Association New York NY 4,250,000 4.69 41,663 3.74 New York Life Insurance Company New York NY 3,250,000 3.58 68,611 6.16 Signature Bank New York NY 2,839,245 3.13 54,832 4.93 Investors Bank (b) Short Hills NJ 2,668,000 2.94 61,501 5.53 Valley National Bank (b) Wayne NJ 2,588,059 2.85 49,770 4.47 Prudential Insurance Company of America Newark NJ 2,517,125 2.77 30,158 2.71 Total $ 70,730,505 77.95 % $ 1,113,246 100.00 % (a) Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members. (b) At December 31, 2020, an officer of this member bank also served on the Board of Directors of the FHLBNY. (c) AXA Equitable Life Insurance Company changed name to Equitable Financial Life Insurance Company in the second quarter of 2020. September 30, 2020 Percentage of Par Total Par Value Three Months Nine Months City State Advances of Advances Interest Income Percentage (a) Interest Income Percentage (a) Citibank, N.A. New York NY $ 23,950,000 22.89 % $ 42,786 18.45 % $ 249,319 27.41 % MetLife, Inc.: Metropolitan Life Insurance Company New York NY 15,245,000 14.57 44,351 19.12 171,063 18.81 Metropolitan Tower Life Insurance Company New York NY 955,000 0.91 1,281 0.55 1,914 0.21 Subtotal MetLife, Inc. 16,200,000 15.48 45,632 19.67 172,977 19.02 New York Community Bank (b) Westbury NY 14,227,661 13.60 55,981 24.14 179,439 19.73 Equitable Financial Life Insurance Company (c) New York NY 6,840,415 6.54 15,290 6.59 62,661 6.89 HSBC Bank USA, National Association New York NY 5,250,000 5.02 11,690 5.04 31,546 3.47 Investors Bank (b) Short Hills NJ 3,850,279 3.68 12,477 5.38 52,513 5.77 Valley National Bank (b) Wayne NJ 3,397,352 3.25 12,018 5.18 38,626 4.24 Prudential Insurance Company of America Newark NJ 3,040,725 2.91 9,056 3.90 22,139 2.43 Signature Bank New York NY 2,839,245 2.71 10,640 4.59 47,090 5.18 New York Life Insurance Company New York NY 2,825,000 2.70 16,369 7.06 53,284 5.86 Total $ 82,420,677 78.78 % $ 231,939 100.00 % $ 909,594 100.00 % (a) Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members. (b) At September 30, 2020, an officer of this member bank also served on the Board of Directors of the FHLBNY. (c) AXA Equitable Life Insurance Company changed name to Equitable Financial Life Insurance Company in the second quarter of 2020. |
Background, Tax Status. Asses_2
Background, Tax Status. Assessments. (Details) $ in Millions | 9 Months Ended |
Sep. 30, 2021USD ($)Institution | |
Background, Tax Status. Assessments. | |
Number of Federal Home Loan Banks in a defined geographic district | 1 |
Number of FHLBanks | 11 |
Minimum amount annually set aside for Affordable Housing Program | $ | $ 100 |
Minimum amount annually set aside for Affordable Housing Program as a percentage of the regulatory defined net income (as a percent) | 10.00% |
Financial Accounting Standard_2
Financial Accounting Standards Board ("FASB") Standards Issued. (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |
Jun. 30, 2021 | Sep. 30, 2021 | ||
Transfers of HTM securities to AFS that are not other-than-temporarily impaired (h) | [1] | $ 1,376,212 | |
LIBOR-indexed securities | |||
Transfers of HTM securities to AFS that are not other-than-temporarily impaired (h) | $ 1,400,000 | ||
[1] | As a one-time election in accordance with ASC 848 Reference Rate Reform, we reclassified $1.4 billion of LIBOR-indexed held-to-maturity securities to available-for-sale during the second quarter of 2021 without tainting our intent to hold other debt securities to maturity. At the date of transfer, these securities had a total amortized cost of $1.4 billion and a total net unrealized gain of $7.6 million. |
Cash and Due from Banks. (Detai
Cash and Due from Banks. (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Compensating Balances | ||
Amount of compensating balance restricted as to withdrawal | $ 0 | |
Compensating balance | 0 | $ 0 |
Restricted cash | 0 | 0 |
Pass-through Deposit Reserves | ||
Pass-through reserves of member institutions deposited with Federal Reserve Banks | $ 30,400 | $ 32,400 |
Interest-bearing Deposits, Fe_2
Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell. (Details) - USD ($) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Securities purchased under agreements to resell | |||||
Federal funds sold | $ 8,628,000,000 | $ 8,628,000,000 | $ 6,280,000,000 | ||
Interest-bearing deposits | 675,000,000 | 675,000,000 | 685,000,000 | ||
Accrued interest receivable | 120,562,000 | 120,562,000 | 189,454,000 | ||
Securities purchased under agreements to resell balances outstanding | 4,650,000,000 | ||||
Average transaction balances of securities purchased under agreements to resell | 61,400,000 | 824,500,000 | 4,400,000,000 | ||
Interest income from securities purchased under agreements to resell | 9,000 | $ 957,000 | 485,000 | $ 27,657,000 | |
Interest-bearing deposits | |||||
Securities purchased under agreements to resell | |||||
Allowance for credit losses | 0 | 0 | 0 | ||
Allowance for credit losses for accrued interest receivable | 0 | 0 | 0 | ||
Interest-bearing deposits | 700,000,000 | 700,000,000 | 700,000,000 | ||
Federal funds sold | |||||
Securities purchased under agreements to resell | |||||
Federal funds sold | 8,600,000,000 | 8,600,000,000 | 6,300,000,000 | ||
Allowance for credit losses | 0 | 0 | 0 | ||
Allowance for credit losses for accrued interest receivable | 0 | 0 | 0 | ||
Securities purchased under agreements to resell | |||||
Securities purchased under agreements to resell | |||||
Allowance for credit losses | 0 | 0 | 0 | ||
Allowance for credit losses for accrued interest receivable | 0 | 0 | 0 | ||
Accrued interest receivable | 0 | 0 | 10,000 | ||
Adjustments for instrument-specific credit risk | 0 | 0 | 0 | ||
Securities purchased under agreements to resell balances outstanding | 0 | 0 | 4,700,000,000 | ||
BONY | U.S. Treasury securities | Pledged as collateral | |||||
Securities purchased under agreements to resell | |||||
Securities purchased under agreements to resell pledged as collateral | 4,700,000,000 | ||||
Bilateral counterparties | |||||
Securities purchased under agreements to resell | |||||
Securities purchased under agreements to resell balances outstanding | $ 0 | $ 0 | $ 0 |
Trading Securities. (Details)
Trading Securities. (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021 | Dec. 31, 2020 | |
Trading Securities. | ||
Trading securities | $ 4,377,199 | $ 11,742,965 |
Net unrealized fair value gains (losses) included in carrying values of trading securities | 10,300 | 87,600 |
Trading securities pledged as collateral | 368,864 | 630,372 |
Estimated fair value of investments classified as trading securities, by remaining maturity | ||
Due in one year or less | 1,965,716 | 10,063,806 |
Due after one year through five years | 1,698,555 | 1,679,159 |
Due after five years through ten years | 712,928 | |
Total trading securities | $ 4,377,199 | $ 11,742,965 |
Yield on trading securities due in one year or less (as a percent) | 1.34% | 1.66% |
Yield on trading securities due after one year through five years (as a percent) | 1.40% | 1.79% |
Yield on trading securities due after five years through ten years (as a percent) | 1.40% | |
Corporate notes | ||
Trading Securities. | ||
Trading securities | $ 2,164 | |
Estimated fair value of investments classified as trading securities, by remaining maturity | ||
Due after one year through five years | 2,164 | |
Total trading securities | 2,164 | |
U.S. Treasury notes | ||
Trading Securities. | ||
Trading securities | $ 4,377,199 | 11,240,915 |
Estimated fair value of investments classified as trading securities, by remaining maturity | ||
Due in one year or less | 1,965,716 | 9,563,920 |
Due after one year through five years | 1,698,555 | 1,676,995 |
Due after five years through ten years | 712,928 | |
Total trading securities | $ 4,377,199 | 11,240,915 |
U.S. Treasury bills | ||
Trading Securities. | ||
Trading securities | 499,886 | |
Estimated fair value of investments classified as trading securities, by remaining maturity | ||
Due in one year or less | 499,886 | |
Total trading securities | $ 499,886 |
Equity Investments. (Details)
Equity Investments. (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Equity Investments | |||||
Amortized Cost | $ 73,541 | $ 73,541 | $ 65,917 | ||
Gross Unrealized Gains | 20,786 | 16,471 | |||
Gross Unrealized Losses | (2,514) | (2,019) | |||
Fair Value | 91,813 | 91,813 | 80,369 | ||
Gains and losses related to outstanding Equity Investments | |||||
Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date | (1,545) | $ 2,888 | 3,821 | $ 1,716 | |
Net gains (losses) recognized during the period on equity investments sold during the period | 713 | 1,434 | |||
Net dividend and other | 350 | 208 | 1,102 | 658 | |
Net gains (losses) recognized during the period | (482) | $ 3,096 | 6,357 | $ 2,374 | |
Cash equivalents | |||||
Equity Investments | |||||
Amortized Cost | 4,816 | 4,816 | 4,164 | ||
Fair Value | 4,816 | 4,816 | 4,164 | ||
Equity funds | |||||
Equity Investments | |||||
Amortized Cost | 36,738 | 36,738 | 36,833 | ||
Gross Unrealized Gains | 20,148 | 15,325 | |||
Gross Unrealized Losses | (2,220) | (1,909) | |||
Fair Value | 54,666 | 54,666 | 50,249 | ||
Fixed income funds | |||||
Equity Investments | |||||
Amortized Cost | 31,987 | 31,987 | 24,920 | ||
Gross Unrealized Gains | 638 | 1,146 | |||
Gross Unrealized Losses | (294) | (110) | |||
Fair Value | $ 32,331 | $ 32,331 | $ 25,956 |
Available-for-Sale Securities_2
Available-for-Sale Securities. - Amortized Cost to Fair Value by Major Security Types and Other Income Activity from Grantor Trust (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2021 | Jun. 30, 2021 | Sep. 30, 2021 | Dec. 31, 2020 | ||
Available-for-Sale Securities | |||||
Impaired AFS securities | $ 0 | $ 0 | $ 0 | ||
Transfers of HTM securities to AFS that are not other-than-temporarily impaired (h) | [1] | 1,376,212 | |||
Unrealized gain on date of transfer | 470,064 | 470,064 | 685,289 | ||
Amortized Cost | 5,261,337 | 5,261,337 | 3,199,371 | ||
Available-for-sale debt securities that were tendered and re-issued from the Libor to the SOFR index | [2] | 686,340 | |||
Fair Value | 5,458,612 | 5,458,612 | 3,435,945 | ||
Fair value hedges | |||||
Available-for-Sale Securities | |||||
Gross Unrealized Gains | 44,100 | ||||
Gross Unrealized Losses | (20,800) | (20,800) | |||
Floating | |||||
Available-for-Sale Securities | |||||
Amortized Cost | 624,461 | 624,461 | 277,372 | ||
Fair Value | 634,354 | 634,354 | 281,332 | ||
Fixed | |||||
Available-for-Sale Securities | |||||
Amortized Cost | 3,735,571 | 3,735,571 | 2,921,999 | ||
Fair Value | 3,923,066 | 3,923,066 | 3,154,613 | ||
Available-for-Sale securities. | |||||
Available-for-Sale Securities | |||||
Allowance for credit loss | 0 | 0 | 0 | ||
CMOs | Floating | |||||
Available-for-Sale Securities | |||||
Amortized Cost | 617,841 | 617,841 | 277,372 | ||
Fair Value | 627,484 | 627,484 | 281,332 | ||
Commercial Mortgage-Backed Securities (CMBS) | Floating | |||||
Available-for-Sale Securities | |||||
Amortized Cost | 1,137 | 1,137 | |||
Fair Value | 1,137 | 1,137 | |||
Commercial Mortgage-Backed Securities (CMBS) | Fixed | |||||
Available-for-Sale Securities | |||||
Amortized Cost | 3,735,571 | 3,735,571 | 2,921,999 | ||
Fair Value | 3,923,066 | 3,923,066 | 3,154,613 | ||
Mortgage-backed securities (MBS) | |||||
Available-for-Sale Securities | |||||
Unrealized gain on date of transfer | 470,041 | 470,041 | 685,213 | ||
Amortized Cost | 4,360,032 | 4,360,032 | 3,199,371 | ||
Allowance for credit loss | 0 | 0 | |||
Fair Value | 4,557,420 | 4,557,420 | 3,435,945 | ||
LIBOR-indexed securities | |||||
Available-for-Sale Securities | |||||
Transfers of HTM securities to AFS that are not other-than-temporarily impaired (h) | $ 1,400,000 | ||||
Held to maturity securities amortized cost on date of transfer | 1,400,000 | ||||
Unrealized gain on date of transfer | $ 7,600 | ||||
State and local housing finance agency obligations | |||||
Available-for-Sale Securities | |||||
Amortized Cost | 901,305 | 901,305 | |||
Fair Value | 901,192 | 901,192 | |||
State and local housing finance agency obligations | Floating | |||||
Available-for-Sale Securities | |||||
Amortized Cost | 901,305 | 901,305 | |||
Fair Value | 901,192 | 901,192 | |||
PASS THRU | Floating | |||||
Available-for-Sale Securities | |||||
Amortized Cost | 5,483 | 5,483 | |||
Fair Value | 5,733 | 5,733 | |||
GSE and U.S. Obligations | |||||
Available-for-Sale Securities | |||||
Amortized Cost | 5,261,337 | 5,261,337 | 3,199,371 | ||
Gross Unrealized Gains | 236,240 | 236,240 | 242,821 | ||
Gross Unrealized Losses | (38,965) | (38,965) | (6,247) | ||
Fair Value | 5,458,612 | 5,458,612 | 3,435,945 | ||
GSE and U.S. Obligations | Active Hedging Relationship | |||||
Available-for-Sale Securities | |||||
Amortized Cost | 20,780 | 20,780 | 44,052 | ||
Gross Unrealized Gains (Losses) | 20,780 | 20,780 | (44,052) | ||
GSE and U.S. Obligations | Floating | |||||
Available-for-Sale Securities | |||||
Amortized Cost | 624,461 | 624,461 | 277,372 | ||
Gross Unrealized Gains | 9,893 | 9,893 | 3,960 | ||
Fair Value | 634,354 | 634,354 | 281,332 | ||
GSE and U.S. Obligations | Fixed | |||||
Available-for-Sale Securities | |||||
Amortized Cost | 3,756,351 | 3,756,351 | 2,877,947 | ||
Gross Unrealized Gains | 205,556 | 205,556 | 282,913 | ||
Gross Unrealized Losses | (38,841) | (38,841) | (6,247) | ||
Fair Value | 3,923,066 | 3,923,066 | 3,154,613 | ||
GSE and U.S. Obligations | CMOs | Floating | |||||
Available-for-Sale Securities | |||||
Amortized Cost | 617,841 | 617,841 | 277,372 | ||
Gross Unrealized Gains | 9,643 | 9,643 | 3,960 | ||
Fair Value | 627,484 | 627,484 | 281,332 | ||
GSE and U.S. Obligations | Commercial Mortgage Backed Securities (CMBS) Before Hedging Adjustments | Floating | |||||
Available-for-Sale Securities | |||||
Amortized Cost | 1,137 | 1,137 | |||
Fair Value | 1,137 | 1,137 | |||
GSE and U.S. Obligations | Commercial Mortgage Backed Securities (CMBS) Before Hedging Adjustments | Fixed | |||||
Available-for-Sale Securities | |||||
Amortized Cost | 3,756,351 | 3,756,351 | 2,877,947 | ||
Gross Unrealized Gains | 205,556 | 205,556 | 282,913 | ||
Gross Unrealized Losses | (38,841) | (38,841) | (6,247) | ||
Fair Value | 3,923,066 | 3,923,066 | 3,154,613 | ||
GSE and U.S. Obligations | Mortgage-backed securities (MBS) | |||||
Available-for-Sale Securities | |||||
Amortized Cost | 4,360,032 | 4,360,032 | |||
Gross Unrealized Gains | 236,229 | 236,229 | |||
Gross Unrealized Losses | (38,841) | (38,841) | |||
Fair Value | 4,557,420 | 4,557,420 | |||
GSE and U.S. Obligations | AFS before hedging adjustments | |||||
Available-for-Sale Securities | |||||
Amortized Cost | 3,155,319 | ||||
Gross Unrealized Gains | 286,873 | ||||
Gross Unrealized Losses | (6,247) | ||||
Fair Value | $ 3,435,945 | ||||
GSE and U.S. Obligations | State and local housing finance agency obligations | |||||
Available-for-Sale Securities | |||||
Amortized Cost | 901,305 | 901,305 | |||
Gross Unrealized Gains | 11 | 11 | |||
Gross Unrealized Losses | (124) | (124) | |||
Fair Value | 901,192 | 901,192 | |||
GSE and U.S. Obligations | PASS THRU | Floating | |||||
Available-for-Sale Securities | |||||
Amortized Cost | 5,483 | 5,483 | |||
Gross Unrealized Gains | 250 | 250 | |||
Fair Value | 5,733 | 5,733 | |||
GSE and U.S. Obligations | MBS AFS Before Hedging Adjustments | |||||
Available-for-Sale Securities | |||||
Amortized Cost | 4,380,812 | 4,380,812 | |||
Gross Unrealized Gains | 215,449 | 215,449 | |||
Gross Unrealized Losses | (38,841) | (38,841) | |||
Fair Value | $ 4,557,420 | $ 4,557,420 | |||
[1] | As a one-time election in accordance with ASC 848 Reference Rate Reform, we reclassified $1.4 billion of LIBOR-indexed held-to-maturity securities to available-for-sale during the second quarter of 2021 without tainting our intent to hold other debt securities to maturity. At the date of transfer, these securities had a total amortized cost of $1.4 billion and a total net unrealized gain of $7.6 million. | ||||
[2] | During the second quarter of 2021, amortized cost of $686.3 million (market value of $686.7 million) in available-for-sale debt securities were tendered and re-issued from the Libor to SOFR-OIS index. |
Available-for-Sale Securities_3
Available-for-Sale Securities. - Credit Loss Analysis of AFS Securities (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Available-for-Sale securities. | ||
Available-for-Sale Securities | ||
Allowance for credit loss | $ 0 | $ 0 |
Mortgage-backed securities (MBS) | ||
Available-for-Sale Securities | ||
Allowance for credit loss | 0 | |
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | 1,574,485 | 526,365 |
12 months or more, Estimated Fair Value | 483,356 | |
Total, Estimated Fair Value | 2,057,841 | 526,365 |
Unrealized Losses | ||
Less than 12 months, Unrealized Losses | (18,745) | (6,247) |
12 months or more, Unrealized Losses | (20,220) | |
Total, Unrealized Losses | (38,965) | (6,247) |
Freddie Mac-CMBS | ||
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | 888,205 | 526,365 |
12 months or more, Estimated Fair Value | 459,454 | |
Total, Estimated Fair Value | 1,347,659 | 526,365 |
Unrealized Losses | ||
Less than 12 months, Unrealized Losses | (18,684) | (6,247) |
12 months or more, Unrealized Losses | (20,157) | |
Total, Unrealized Losses | (38,841) | $ (6,247) |
State and local housing finance agency obligations | ||
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | 686,280 | |
12 months or more, Estimated Fair Value | 23,902 | |
Total, Estimated Fair Value | 710,182 | |
Unrealized Losses | ||
Less than 12 months, Unrealized Losses | (61) | |
12 months or more, Unrealized Losses | (63) | |
Total, Unrealized Losses | $ (124) |
Available-for-Sale Securities_4
Available-for-Sale Securities. - Redemption Terms (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Amortized Cost | ||
Amortized Cost | $ 5,261,337 | $ 3,199,371 |
Fair Value | ||
Fair Value | 5,458,612 | 3,435,945 |
Net unamortized premiums | 56,300 | 41,100 |
Mortgage-backed securities (MBS) | ||
Amortized Cost | ||
Due in one year or less | 1,138 | |
Due after one year through five years | 842,896 | 332,752 |
Due after five year through ten years | 2,744,575 | 2,550,443 |
Due after ten years | 771,423 | 316,176 |
Amortized Cost | 4,360,032 | 3,199,371 |
Fair Value | ||
Due in one year or less | 1,138 | |
Due after one year through five years | 898,259 | 364,081 |
Due after five year through ten years | 2,876,410 | 2,750,824 |
Due after ten years | 781,613 | 321,040 |
Fair Value | 4,557,420 | $ 3,435,945 |
State and local housing finance agency obligations | ||
Amortized Cost | ||
Due after one year through five years | 23,965 | |
Due after ten years | 877,340 | |
Amortized Cost | 901,305 | |
Fair Value | ||
Due after one year through five years | 23,902 | |
Due after ten years | 877,290 | |
Fair Value | $ 901,192 |
Available-for-Sale Securities_5
Available-for-Sale Securities. - Interest Rate Payment Terms (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | $ 5,261,337 | $ 3,199,371 |
Fair Value | 5,458,612 | 3,435,945 |
Floating | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 624,461 | 277,372 |
Fair Value | 634,354 | 281,332 |
Fixed | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 3,735,571 | 2,921,999 |
Fair Value | 3,923,066 | 3,154,613 |
CMOs | Floating | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 617,841 | 277,372 |
Fair Value | 627,484 | 281,332 |
Commercial Mortgage-Backed Securities (CMBS) | Floating | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 1,137 | |
Fair Value | 1,137 | |
Commercial Mortgage-Backed Securities (CMBS) | Fixed | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 3,735,571 | 2,921,999 |
Fair Value | 3,923,066 | 3,154,613 |
PASS THRU | Floating | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 5,483 | |
Fair Value | 5,733 | |
Mortgage-backed securities (MBS) | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 4,360,032 | 3,199,371 |
Fair Value | 4,557,420 | 3,435,945 |
State and local housing finance agency obligations | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 901,305 | |
Fair Value | 901,192 | |
State and local housing finance agency obligations | Floating | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 901,305 | |
Fair Value | 901,192 | |
GSE and U.S. Obligations | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 5,261,337 | 3,199,371 |
Fair Value | 5,458,612 | 3,435,945 |
GSE and U.S. Obligations | Floating | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 624,461 | 277,372 |
Fair Value | 634,354 | 281,332 |
GSE and U.S. Obligations | Fixed | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 3,756,351 | 2,877,947 |
Fair Value | 3,923,066 | 3,154,613 |
GSE and U.S. Obligations | CMOs | Floating | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 617,841 | 277,372 |
Fair Value | 627,484 | $ 281,332 |
GSE and U.S. Obligations | PASS THRU | Floating | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 5,483 | |
Fair Value | 5,733 | |
GSE and U.S. Obligations | Mortgage-backed securities (MBS) | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 4,360,032 | |
Fair Value | 4,557,420 | |
GSE and U.S. Obligations | State and local housing finance agency obligations | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 901,305 | |
Fair Value | $ 901,192 |
Held-to-Maturity Securities. -
Held-to-Maturity Securities. - Amortized Cost to Fair Value by Major Security Types and Securities Pledged (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Jun. 30, 2021USD ($) | Sep. 30, 2021USD ($) | Dec. 31, 2020USD ($) | ||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | $ 9,848,017 | $ 12,879,491 | ||
Allowance for Credit Loss (ACL) | (350) | (257) | ||
OTTI Recognized in AOCI | (2,715) | (5,588) | ||
Net Carrying Value | 9,844,952 | 12,873,646 | ||
Gross Unrecognized Holding Gains | 470,064 | 685,289 | ||
Gross Unrecognized Holding Losses | (23,004) | (29,754) | ||
Fair Value | 10,292,012 | 13,529,181 | ||
Credit loss allowance | 350 | 980 | ||
Transfers of HTM securities to AFS that are not other-than-temporarily impaired (h) | [1] | 1,376,212 | ||
Accrued interest receivable | 120,562 | 189,454 | ||
LIBOR-indexed securities | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Gross Unrecognized Holding Gains | $ 7,600 | |||
Transfers of HTM securities to AFS that are not other-than-temporarily impaired (h) | $ 1,400,000 | |||
Pools of Mortgages | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 41,186 | 57,371 | ||
Net Carrying Value | 41,186 | 57,371 | ||
Gross Unrecognized Holding Gains | 5,455 | 7,931 | ||
Fair Value | 46,641 | 65,302 | ||
Asset-Backed Securities | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 70,550 | 93,475 | ||
OTTI Recognized in AOCI | (2,446) | (5,294) | ||
Net Carrying Value | 68,104 | 88,181 | ||
Gross Unrecognized Holding Gains | 9,932 | 16,696 | ||
Gross Unrecognized Holding Losses | (98) | (336) | ||
Fair Value | 77,938 | 104,541 | ||
Mortgage-backed securities (MBS) | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 9,659,742 | 11,781,739 | ||
Allowance for Credit Loss (ACL) | (234) | (257) | ||
OTTI Recognized in AOCI | (2,715) | (5,588) | ||
Net Carrying Value | 9,656,793 | 11,775,894 | ||
Gross Unrecognized Holding Gains | 470,041 | 685,213 | ||
Gross Unrecognized Holding Losses | (5,100) | (8,192) | ||
Fair Value | 10,121,734 | 12,452,915 | ||
Amortized cost of pledged MBS in connection with deposits maintained by the FDIC at the Bank | 2,700 | 2,700 | ||
State and local housing finance agency obligations | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 188,275 | 1,097,752 | ||
Allowance for Credit Loss (ACL) | (116) | |||
Net Carrying Value | 188,159 | 1,097,752 | ||
Gross Unrecognized Holding Gains | 23 | 76 | ||
Gross Unrecognized Holding Losses | (17,904) | (21,562) | ||
Fair Value | 170,278 | 1,076,266 | ||
Unrealized Losses | (17,900) | (21,600) | ||
Credit loss allowance | 700 | |||
Allowance for credit losses for accrued interest receivable | 0 | 0 | ||
Accrued interest receivable | $ 200 | $ 1,300 | ||
Number of investment positions in an unrealized loss position | 5 | 18 | ||
Cumulative credit losses | $ 100 | $ 700 | ||
Private-label MBS | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Credit loss allowance | $ 200 | $ 300 | ||
Number of investment positions in an unrealized loss position | 8 | 10 | ||
Private-label MBS | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | $ 3,270 | $ 3,824 | ||
Allowance for Credit Loss (ACL) | (234) | (257) | ||
OTTI Recognized in AOCI | (269) | (294) | ||
Net Carrying Value | 2,767 | 3,273 | ||
Gross Unrecognized Holding Gains | 236 | 146 | ||
Gross Unrecognized Holding Losses | (53) | (71) | ||
Fair Value | $ 2,950 | $ 3,348 | ||
GSE | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Number of investment positions in an unrealized loss position | 26 | 42 | ||
GSE | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | $ 695,854 | $ 1,553,439 | ||
Net Carrying Value | 695,854 | 1,553,439 | ||
Gross Unrecognized Holding Gains | 5,897 | 15,021 | ||
Gross Unrecognized Holding Losses | (225) | (1,215) | ||
Fair Value | 701,526 | 1,567,245 | ||
GSE | Commercial Mortgage-Backed Securities (CMBS) | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 8,848,882 | 10,073,630 | ||
Net Carrying Value | 8,848,882 | 10,073,630 | ||
Gross Unrecognized Holding Gains | 448,521 | 645,419 | ||
Gross Unrecognized Holding Losses | (4,724) | (6,570) | ||
Fair Value | 9,292,679 | 10,712,479 | ||
Fannie Mae | Pools of Mortgages | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 35,442 | 47,558 | ||
Net Carrying Value | 35,442 | 47,558 | ||
Gross Unrecognized Holding Gains | 4,596 | 6,626 | ||
Fair Value | 40,038 | 54,184 | ||
Fannie Mae | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 343,345 | 942,268 | ||
Net Carrying Value | 343,345 | 942,268 | ||
Gross Unrecognized Holding Gains | 2,554 | 9,204 | ||
Gross Unrecognized Holding Losses | (188) | (830) | ||
Fair Value | 345,711 | 950,642 | ||
Fannie Mae | Commercial Mortgage-Backed Securities (CMBS) | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 1,371,160 | 1,570,197 | ||
Net Carrying Value | 1,371,160 | 1,570,197 | ||
Gross Unrecognized Holding Gains | 32,214 | 53,905 | ||
Gross Unrecognized Holding Losses | (742) | (1,428) | ||
Fair Value | 1,402,632 | 1,622,674 | ||
Freddie Mac | Pools of Mortgages | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 5,744 | 9,813 | ||
Net Carrying Value | 5,744 | 9,813 | ||
Gross Unrecognized Holding Gains | 859 | 1,305 | ||
Fair Value | 6,603 | 11,118 | ||
Freddie Mac | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 352,509 | 604,713 | ||
Net Carrying Value | 352,509 | 604,713 | ||
Gross Unrecognized Holding Gains | 3,343 | 5,709 | ||
Gross Unrecognized Holding Losses | (37) | (385) | ||
Fair Value | 355,815 | 610,037 | ||
Freddie Mac | Commercial Mortgage-Backed Securities (CMBS) | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 7,477,722 | 8,503,433 | ||
Net Carrying Value | 7,477,722 | 8,503,433 | ||
Gross Unrecognized Holding Gains | 416,307 | 591,514 | ||
Gross Unrecognized Holding Losses | (3,982) | (5,142) | ||
Fair Value | 7,890,047 | 9,089,805 | ||
Ginnie Mae-CMOs | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 6,458 | |||
Net Carrying Value | 6,458 | |||
Gross Unrecognized Holding Gains | 108 | |||
Fair Value | 6,566 | |||
Insured | Manufactured housing loans | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 19,525 | 23,763 | ||
Net Carrying Value | 19,525 | 23,763 | ||
Gross Unrecognized Holding Gains | 551 | 768 | ||
Fair Value | 20,076 | 24,531 | ||
Insured | Home equity loans | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 38,307 | 52,262 | ||
OTTI Recognized in AOCI | (1,239) | (3,308) | ||
Net Carrying Value | 37,068 | 48,954 | ||
Gross Unrecognized Holding Gains | 7,766 | 13,340 | ||
Gross Unrecognized Holding Losses | (52) | |||
Fair Value | 44,834 | 62,242 | ||
Uninsured | Home equity loans | ||||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||||
Amortized Cost | 12,718 | 17,450 | ||
OTTI Recognized in AOCI | (1,207) | (1,986) | ||
Net Carrying Value | 11,511 | 15,464 | ||
Gross Unrecognized Holding Gains | 1,615 | 2,588 | ||
Gross Unrecognized Holding Losses | (98) | (284) | ||
Fair Value | $ 13,028 | $ 17,768 | ||
[1] | As a one-time election in accordance with ASC 848 Reference Rate Reform, we reclassified $1.4 billion of LIBOR-indexed held-to-maturity securities to available-for-sale during the second quarter of 2021 without tainting our intent to hold other debt securities to maturity. At the date of transfer, these securities had a total amortized cost of $1.4 billion and a total net unrealized gain of $7.6 million. |
Held-to-Maturity Securities. _2
Held-to-Maturity Securities. - Redemption Terms (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Amortized Cost | ||
Amortized Cost | $ 9,848,017 | $ 12,879,491 |
Estimated Fair Value | ||
Fair Value | 10,292,012 | 13,529,181 |
Net unamortized premiums | 49,600 | 57,400 |
State and local housing finance agency obligations | ||
Amortized Cost | ||
Due after one year through five years | 3,340 | 30,867 |
Due after five years through ten years | 100 | 100 |
Due after ten years | 184,835 | 1,066,785 |
Amortized Cost | 188,275 | 1,097,752 |
Estimated Fair Value | ||
Due after one year through five years | 3,349 | 30,758 |
Due after five years through ten years | 100 | 100 |
Due after ten years | 166,829 | 1,045,408 |
Fair Value | 170,278 | 1,076,266 |
Mortgage-backed securities (MBS) | ||
Amortized Cost | ||
Due in one year or less | 416,786 | 690,206 |
Due after one year through five years | 2,787,162 | 2,991,105 |
Due after five years through ten years | 5,506,875 | 6,137,440 |
Due after ten years | 948,919 | 1,962,988 |
Amortized Cost | 9,659,742 | 11,781,739 |
Estimated Fair Value | ||
Due in one year or less | 417,694 | 694,962 |
Due after one year through five years | 2,881,881 | 3,114,446 |
Due after five years through ten years | 5,854,138 | 6,629,839 |
Due after ten years | 968,021 | 2,013,668 |
Fair Value | $ 10,121,734 | $ 12,452,915 |
Advances. - Redemption Terms (D
Advances. - Redemption Terms (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Amount | ||
Overdrawn demand deposit accounts | $ 6,034 | |
Due in one year or less | 38,710,313 | $ 51,202,647 |
Due after one year through two years | 7,297,548 | 11,520,983 |
Due after two years through three years | 5,744,511 | 7,734,061 |
Due after three years through four years | 4,406,435 | 4,400,913 |
Due after four years through five years | 2,158,153 | 3,770,927 |
Thereafter | 11,600,711 | 12,111,628 |
Total par value | 69,923,705 | 90,741,159 |
Hedge valuation basis adjustments | 623,868 | 1,325,945 |
Total | $ 70,547,573 | $ 92,067,104 |
Weighted Average Yield | ||
Overdrawn demand deposit accounts (as a percent) | 1.09% | |
Due in one year or less (as a percent) | 0.68% | 0.65% |
Due after one year through two years (as a percent) | 1.57% | 1.52% |
Due after two years through three years (as a percent) | 1.46% | 1.65% |
Due after three years through four years (as a percent) | 1.55% | 1.55% |
Due after four years through five years (as a percent) | 1.43% | 1.50% |
Thereafter (as a percent) | 1.84% | 1.87% |
Total par value (as a percent) | 1.10% | 1.09% |
Percentage of Total | ||
Due in one year or less (as a percent) | 55.36% | 56.42% |
Due after one year through two years (as a percent) | 10.44% | 12.70% |
Due after two years through three years (as a percent) | 8.22% | 8.52% |
Due after three years through four years (as a percent) | 6.30% | 4.85% |
Due after four years through five years (as a percent) | 3.09% | 4.16% |
Thereafter (as a percent) | 16.59% | 13.35% |
Total par value (as a percent) | 100.00% | 100.00% |
Accrued interest receivable | $ 120,562 | $ 189,454 |
Advances to member banks | ||
Percentage of Total | ||
Credit loss allowance | 0 | |
Allowance for credit losses for accrued interest receivable | 0 | 0 |
Accrued interest receivable | $ 70,000 | $ 89,600 |
Advances. - Credit Risk, Concen
Advances. - Credit Risk, Concentration of Advances Outstanding and Security Terms (Details) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2021USD ($)Institutionitem | Sep. 30, 2020 | Dec. 31, 2020USD ($) | |
Segment Information and Concentration | |||
Past due advances | $ 0 | ||
Advances on non-accrual status | 0 | ||
Impaired advances | 0 | ||
Troubled debt restructurings related to advances | $ 0 | $ 0 | |
Security Terms | |||
Number of exceptions | item | 2 | ||
Par Value of Advances | Credit concentration risk | Top ten advance holders | |||
Segment Information and Concentration | |||
Number of borrowing member institutions | Institution | 10 | ||
Concentration risk percentage | 79.30% | 78.78% | 77.95% |
Par Value of Advances | Credit concentration risk | Insurance companies | |||
Segment Information and Concentration | |||
Concentration risk percentage | 41.90% | 35.60% |
Mortgage Loans Held-for-Portf_3
Mortgage Loans Held-for-Portfolio. - Balance Information and Roll-Forward Analysis of Allowance for Credit Losses (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Mortgage Loans Held-for-Portfolio, Net. | |||||
Allowance for credit losses | $ (3,044,000) | $ (3,044,000) | $ (7,073,000) | ||
Total mortgage loans held-for-portfolio at carrying value | 2,417,656,000 | 2,417,656,000 | 2,899,712,000 | ||
First Loss Account | 44,200,000 | 44,200,000 | 43,900,000 | ||
Credit enhancement fees accrued | 500,000 | $ 700,000 | $ 1,700,000 | $ 2,000,000 | |
Percentage of standard credit enhancement, loan funded | 1.50% | ||||
Liability in respect of member performance account for PFIs | 1,600,000 | $ 1,600,000 | 4,500 | ||
Mortgage loan portfolio, history of incurred losses, maximum accumulation | 5,000,000 | 5,000,000 | |||
Accrued interest receivable | 120,562,000 | 120,562,000 | 189,454,000 | ||
Allowance for credit losses: | |||||
Beginning balance | 7,073,000 | ||||
Provision (Reversal) for credit losses on mortgage loans | (1,652,000) | 2,536,000 | (4,609,000) | 5,702,000 | |
Ending balance | 3,044,000 | 3,044,000 | |||
Total Allowance for credit losses | $ 3,044,000 | $ 3,044,000 | 7,073,000 | ||
Minimum | |||||
Mortgage Loans Held-for-Portfolio, Net. | |||||
Loan-to-value ratio for next layer of protection from the primary mortgage insurance required for loans (as a percent) | 80.00% | 80.00% | |||
Pools of Mortgages | |||||
Mortgage Loans Held-for-Portfolio, Net. | |||||
Allowance for credit losses | $ (3,044,000) | $ (3,044,000) | (7,073,000) | ||
Allowance for Credit Losses | (4,029,000) | ||||
Accrued interest receivable | 11,500,000 | 11,500,000 | 14,200,000 | ||
Allowance for credit losses: | |||||
Beginning balance | 7,073,000 | ||||
Ending balance | 3,044,000 | 3,044,000 | |||
Total Allowance for credit losses | 3,044,000 | 3,044,000 | 7,073,000 | ||
Mortgage loans receivable (MPF) | |||||
Mortgage Loans Held-for-Portfolio, Net. | |||||
Total par value | 2,273,765,000 | 2,273,765,000 | 2,861,923,000 | ||
Unamortized premiums | 33,829,000 | 33,829,000 | 43,103,000 | ||
Unamortized discounts | (916,000) | (916,000) | (1,246,000) | ||
Basis adjustment | 2,099,000 | 2,099,000 | 2,691,000 | ||
Total MPF loans amortized cost | 2,308,777,000 | 2,308,777,000 | 2,906,471,000 | ||
Total mortgage loans held-for-portfolio | 2,305,856,000 | 2,305,856,000 | 2,899,398,000 | ||
Allowance for credit losses | (2,921,000) | (2,921,000) | (7,073,000) | ||
Total mortgage loans held-for-portfolio at carrying value | $ 2,417,656,000 | $ 2,417,656,000 | $ 2,899,712,000 | ||
Percentage of Total Par (as a percent) | 100.00% | 100.00% | 100.00% | ||
Allowance for credit losses: | |||||
Beginning balance | $ 7,073,000 | ||||
Ending balance | $ 2,921,000 | 2,921,000 | |||
Total Allowance for credit losses | 2,921,000 | 2,921,000 | $ 7,073,000 | ||
Fixed medium-term mortgages | Single-family | |||||
Mortgage Loans Held-for-Portfolio, Net. | |||||
Total par value | $ 148,894,000 | $ 148,894,000 | $ 178,968,000 | ||
Percentage of Total Par (as a percent) | 6.55% | 6.55% | 6.25% | ||
Fixed long-term mortgages | Single-family | |||||
Mortgage Loans Held-for-Portfolio, Net. | |||||
Total par value | $ 2,124,871,000 | $ 2,124,871,000 | $ 2,682,955,000 | ||
Percentage of Total Par (as a percent) | 93.45% | 93.45% | 93.75% | ||
Conventional Loans | |||||
Mortgage Loans Held-for-Portfolio, Net. | |||||
Allowance for credit losses | $ (3,044,000) | (9,100,000) | $ (3,044,000) | (9,100,000) | $ (7,073,000) |
Allowance for credit losses: | |||||
Beginning balance | 4,103,000 | 6,534,000 | 7,073,000 | 653,000 | |
Adjustment for cumulative effect of accounting change | 2,972,000 | ||||
Charge-offs | (50,000) | ||||
Provision (Reversal) for credit losses on mortgage loans | (1,059,000) | 2,566,000 | (3,979,000) | 5,475,000 | |
Ending balance | 3,044,000 | 9,100,000 | 3,044,000 | 9,100,000 | |
Total Allowance for credit losses | 3,044,000 | $ 9,100,000 | 3,044,000 | $ 9,100,000 | 7,073,000 |
Conventional Loans | Mortgage loans receivable (MPF) | |||||
Mortgage Loans Held-for-Portfolio, Net. | |||||
Total mortgage loans held-for-portfolio at carrying value | 2,305,856,000 | 2,305,856,000 | 2,899,398,000 | ||
MAP loans held-for-portfolio | |||||
Mortgage Loans Held-for-Portfolio, Net. | |||||
Total mortgage loans held-for-portfolio at carrying value | $ 111,800,000 | $ 111,800,000 | $ 314,000 |
Mortgage Loans Held-for-Portf_4
Mortgage Loans Held-for-Portfolio. - Non-performing Loans and Impaired Loans Individually Measured for Impairment (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021 | Sep. 30, 2021 | Dec. 31, 2020 | |
Mortgage Loans - Non-performing loans | |||
Total Mortgage loans, carrying values net | $ 2,417,656 | $ 2,417,656 | $ 2,899,712 |
MAP loans held-for-portfolio | |||
Mortgage Loans - Non-performing loans | |||
Total Mortgage loans, carrying values net | 111,800 | 111,800 | 314 |
Mortgage loans receivable (MPF) | |||
Mortgage Loans - Non-performing loans | |||
Total Mortgage loans, carrying values net | 2,417,656 | $ 2,417,656 | $ 2,899,712 |
Delinquency period | 180 days | 180 days | |
Unpaid Principal Balance for Impaired Loans | |||
Total unpaid principal balance for impaired loans | 2,273,765 | $ 2,273,765 | $ 2,861,923 |
Mortgage loans receivable (MPF) | Conventional Loans | |||
Mortgage Loans - Non-performing loans | |||
Total Mortgage loans, carrying values net | 2,305,856 | 2,305,856 | 2,899,398 |
Unpaid Principal Balance for Impaired Loans | |||
Total unpaid principal balance for impaired loans | 2,106,966 | $ 2,106,966 | $ 2,666,605 |
Mortgage loans receivable (MPF) | Conventional Loans | Minimum | |||
Average amortized cost after allowance for Impaired Loans | |||
Period past due for interest received on loan to be recorded as a liability | 90 days | 90 days | |
Mortgage loans receivable (MPF) | Conventional Loans | Non-performing | |||
Mortgage Loans - Non-performing loans | |||
Non-performing mortgage loans - Conventional | 31,008 | $ 31,008 | $ 58,498 |
Mortgage loans receivable (MPF) | Conventional Loans | Individually measured for impairment | |||
Unpaid Principal Balance for Impaired Loans | |||
Unpaid principal balance with no related allowance | 1,421,654 | 1,421,654 | 1,792,650 |
Unpaid principal balance with a related allowance | 685,312 | 685,312 | 873,955 |
Total unpaid principal balance for impaired loans | 2,106,966 | 2,106,966 | 2,666,605 |
Related Allowance for Impaired Loans | |||
Allowance for loan losses for impaired loans | (2,921) | (2,921) | (7,073) |
Amortized cost after allowance for Impaired Loans | |||
Amortized cost after allowance with no related allowance | 1,442,290 | 1,442,290 | 1,818,942 |
Amortized cost after allowance with a related allowance | 693,858 | 693,858 | 881,661 |
Total amortized cost after allowance for impaired loans | 2,136,148 | 2,136,148 | 2,700,603 |
Average amortized cost after allowance for Impaired Loans | |||
Average amortized cost after allowance with no related allowance | 1,423,570 | 1,551,227 | 1,903,273 |
Average amortized cost after allowance with a related allowance | 760,232 | 815,650 | 994,262 |
Total average amortized cost after allowance for impaired loans | 2,183,802 | 2,366,877 | 2,897,535 |
Mortgage loans receivable (MPF) | Government-guaranteed or -insured mortgage loans | |||
Unpaid Principal Balance for Impaired Loans | |||
Total unpaid principal balance for impaired loans | 166,799 | 166,799 | 195,318 |
Mortgage loans receivable (MPF) | Insured Loans | |||
Mortgage Loans - Non-performing loans | |||
Insured MPF loans past due 90 days or more and still accruing interest | $ 8,933 | $ 8,933 | $ 14,760 |
Mortgage Loans Held-for-Portf_5
Mortgage Loans Held-for-Portfolio. - Credit Quality Indicator for Conventional Mortgage Loans (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Conventional Loans | ||
Amortized Costs | ||
Total mortgage loans | $ 2,250,992 | $ 2,707,990 |
Conventional Loans - Origination Year Prior to 2016 | ||
Amortized Costs | ||
Total mortgage loans | 1,080,916 | |
Conventional Loan Originated Prior To 2017 | ||
Amortized Costs | ||
Total mortgage loans | 1,058,522 | |
Conventional Loans - Origination Year 2016 to 2020 | ||
Amortized Costs | ||
Total mortgage loans | 1,627,074 | |
Conventional Loan Originated 2017 To 2021 | ||
Amortized Costs | ||
Total mortgage loans | 1,192,470 | |
Conventional MPF Mortgage Loans | ||
Amortized Costs | ||
Current | 2,096,245 | 2,616,712 |
Conventional MPF Mortgage Loans | Past due 30 - 59 days | ||
Amortized Costs | ||
Past due | 9,512 | 19,856 |
Conventional MPF Mortgage Loans | Past due 60 - 89 days | ||
Amortized Costs | ||
Past due | 2,087 | 11,949 |
Conventional MPF Mortgage Loans | Past due 90 days or more | ||
Amortized Costs | ||
Past due | 31,225 | 59,159 |
Conventional MPF Mortgage Loans | Total past due | ||
Amortized Costs | ||
Past due | 42,824 | 90,964 |
Conventional MPF Mortgage Loans - Origination Year Prior to 2017 | ||
Amortized Costs | ||
Current | 1,032,532 | |
Conventional MPF Mortgage Loans - Origination Year Prior to 2017 | Past due 30 - 59 days | ||
Amortized Costs | ||
Past due | 5,720 | |
Conventional MPF Mortgage Loans - Origination Year Prior to 2017 | Past due 60 - 89 days | ||
Amortized Costs | ||
Past due | 1,573 | |
Conventional MPF Mortgage Loans - Origination Year Prior to 2017 | Past due 90 days or more | ||
Amortized Costs | ||
Past due | 18,697 | |
Conventional MPF Mortgage Loans - Origination Year Prior to 2017 | Total past due | ||
Amortized Costs | ||
Past due | 25,990 | |
Conventional MPF Mortgage Loans - Origination Year Prior to 2016 | ||
Amortized Costs | ||
Current | 1,038,404 | |
Conventional MPF Mortgage Loans - Origination Year Prior to 2016 | Past due 30 - 59 days | ||
Amortized Costs | ||
Past due | 10,088 | |
Conventional MPF Mortgage Loans - Origination Year Prior to 2016 | Past due 60 - 89 days | ||
Amortized Costs | ||
Past due | 4,267 | |
Conventional MPF Mortgage Loans - Origination Year Prior to 2016 | Past due 90 days or more | ||
Amortized Costs | ||
Past due | 28,157 | |
Conventional MPF Mortgage Loans - Origination Year Prior to 2016 | Total past due | ||
Amortized Costs | ||
Past due | 42,512 | |
Conventional MPF Mortgage Loans - Origination Year 2017 to 2021 | ||
Amortized Costs | ||
Current | 1,063,713 | |
Conventional MPF Mortgage Loans - Origination Year 2017 to 2021 | Past due 30 - 59 days | ||
Amortized Costs | ||
Past due | 3,792 | |
Conventional MPF Mortgage Loans - Origination Year 2017 to 2021 | Past due 60 - 89 days | ||
Amortized Costs | ||
Past due | 514 | |
Conventional MPF Mortgage Loans - Origination Year 2017 to 2021 | Past due 90 days or more | ||
Amortized Costs | ||
Past due | 12,528 | |
Conventional MPF Mortgage Loans - Origination Year 2017 to 2021 | Total past due | ||
Amortized Costs | ||
Past due | 16,834 | |
Conventional MPF Mortgage Loans - Origination Year 2016 to 2020 | ||
Amortized Costs | ||
Current | 1,578,308 | |
Conventional MPF Mortgage Loans - Origination Year 2016 to 2020 | Past due 30 - 59 days | ||
Amortized Costs | ||
Past due | 9,768 | |
Conventional MPF Mortgage Loans - Origination Year 2016 to 2020 | Past due 60 - 89 days | ||
Amortized Costs | ||
Past due | 7,682 | |
Conventional MPF Mortgage Loans - Origination Year 2016 to 2020 | Past due 90 days or more | ||
Amortized Costs | ||
Past due | 31,002 | |
Conventional MPF Mortgage Loans - Origination Year 2016 to 2020 | Total past due | ||
Amortized Costs | ||
Past due | 48,452 | |
Conventional MAP Mortgage Loans | ||
Amortized Costs | ||
Current | 111,923 | 314 |
Conventional Mortgage Asset Programs Loan Originated 2017 To 2021 | ||
Amortized Costs | ||
Current | $ 111,923 | |
Conventional MAP Mortgage Loans - Origination Year 2016 to 2020 | ||
Amortized Costs | ||
Current | $ 314 |
Mortgage Loans Held-for-Portf_6
Mortgage Loans Held-for-Portfolio. - Recorded Investments in Loans Past Due and Real Estate Owned (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021 | Dec. 31, 2020 | |
Other delinquency statistics: | ||
Loans in process of foreclosure | $ 18,974 | $ 32,911 |
Serious delinquency rate (as a percent) | 1.80% | 2.82% |
Past due 90 days or more and still accruing interest | $ 9,046 | $ 14,986 |
Loans on non-accrual status | 31,225 | 59,159 |
Real estate owned | $ 367 | $ 133 |
Delinquency period | 90 days | 90 days |
Loans discharged from bankruptcy | ||
Other delinquency statistics: | ||
Troubled debt restructurings | $ 5,843 | $ 8,021 |
Modified Loans under MPF program | ||
Other delinquency statistics: | ||
Troubled debt restructurings | 426 | 926 |
Conventional MPF Mortgage Loans | ||
Other delinquency statistics: | ||
Loans in process of foreclosure | $ 13,047 | $ 23,645 |
Serious delinquency rate (as a percent) | 1.52% | 2.44% |
Loans on non-accrual status | $ 31,225 | $ 59,159 |
Real estate owned | 367 | 133 |
Conventional MPF Mortgage Loans | Loans discharged from bankruptcy | ||
Other delinquency statistics: | ||
Troubled debt restructurings | 4,848 | 6,802 |
Conventional MPF Mortgage Loans | Modified Loans under MPF program | ||
Other delinquency statistics: | ||
Troubled debt restructurings | 426 | 926 |
Government-guaranteed or -insured mortgage loans | ||
Other delinquency statistics: | ||
Loans in process of foreclosure | $ 5,927 | $ 9,266 |
Serious delinquency rate (as a percent) | 5.37% | 8.05% |
Past due 90 days or more and still accruing interest | $ 9,046 | $ 14,986 |
Government-guaranteed or -insured mortgage loans | Loans discharged from bankruptcy | ||
Other delinquency statistics: | ||
Troubled debt restructurings | $ 995 | $ 1,219 |
Deposits. (Details)
Deposits. (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021 | Dec. 31, 2020 | |
Interest-bearing deposits | ||
Interest-bearing demand | $ 1,421,802 | $ 1,677,526 |
Term | 5,000 | |
Total interest-bearing deposits | 1,421,802 | 1,682,526 |
Non-interest-bearing demand | 44,113 | 70,437 |
Total deposits | $ 1,465,915 | $ 1,752,963 |
Maximum period of term deposits | 1 year | 1 year |
Amount Outstanding | ||
Due in one year or less, Interest-bearing deposits | $ 1,421,802 | $ 1,682,526 |
Due in one year or less, Non-interest-bearing deposits | 44,113 | 70,437 |
Total deposits | $ 1,465,915 | $ 1,752,963 |
Average Interest Rate | ||
Due in one year or less, Interest-bearing deposits (as a percent) | 0.03% | 0.26% |
Consolidated Obligations. - Sum
Consolidated Obligations. - Summary of Issued and Outstanding Consolidated Obligations (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Summary of Consolidated obligations issued by the Bank and outstanding | ||
Total Consolidated obligation-bonds | $ 61,454,356 | $ 69,716,298 |
Total discount notes | 32,768,402 | 57,658,838 |
Consolidated obligation bonds | ||
Summary of Consolidated obligations issued by the Bank and outstanding | ||
Consolidated obligation bonds-amortized cost | 61,049,484 | 69,063,948 |
Hedge valuation basis adjustments | 277,624 | 514,436 |
Hedge basis adjustments on de-designated hedges | 126,811 | 132,450 |
FVO-valuation adjustments and accrued interest | 437 | 5,464 |
Total Consolidated obligation-bonds | 61,454,356 | 69,716,298 |
Consolidated obligation discount notes | ||
Summary of Consolidated obligations issued by the Bank and outstanding | ||
Discount notes-amortized cost | 32,768,402 | 57,642,972 |
Hedge value basis adjustments | 321 | |
FVO-valuation adjustments and remaining accretion | 15,545 | |
Total discount notes | $ 32,768,402 | $ 57,658,838 |
Consolidated Obligations. - Red
Consolidated Obligations. - Redemption Terms of Consolidated Obligation Bonds (Details) - USD ($) | Sep. 30, 2021 | Dec. 31, 2020 |
Amount | ||
Total Consolidated obligation-bonds | $ 61,454,356,000 | $ 69,716,298,000 |
Consolidated obligation bonds | ||
Amount | ||
One year or less | 26,957,790,000 | 45,481,150,000 |
Over one year through two years | 7,249,465,000 | 10,367,545,000 |
Over two years through three years | 4,837,080,000 | 4,324,660,000 |
Over three years through four years | 3,994,860,000 | 1,581,355,000 |
Over four years through five years | 9,401,920,000 | 822,620,000 |
Thereafter | 8,485,700,000 | 6,329,200,000 |
Total par value | 60,926,815,000 | 68,906,530,000 |
Bond premiums | 146,700,000 | 184,084,000 |
Bond discounts | (24,031,000) | (26,666,000) |
Hedge valuation basis adjustments | 277,624,000 | 514,436,000 |
Hedge basis adjustments on de-designated hedges | 126,811,000 | 132,450,000 |
FVO-valuation adjustments and accrued interest | 437,000 | 5,464,000 |
Total Consolidated obligation-bonds | $ 61,454,356,000 | $ 69,716,298,000 |
Weighted Average Rate | ||
One year or less, Weighted Average Rate (as a percent) | 0.48% | 0.34% |
Over one year through two years, Weighted Average Rate (as a percent) | 1.42% | 1.01% |
Over two years through three years, Weighted Average Rate (as a percent) | 0.94% | 1.72% |
Over three years through four years, Weighted Average Rate (as a percent) | 0.83% | 1.94% |
Over four years through five years, Weighted Average Rate (as a percent) | 0.87% | 1.62% |
Thereafter, Weighted Average Rate (as a percent) | 2.39% | 3.14% |
Total par value, Weighted Average Rate (as a percent) | 0.98% | 0.84% |
Percentage of Total | ||
One year or less, Percentage of Total (as a percent) | 44.24% | 66.00% |
Over one year through two years, Percentage of Total (as a percent) | 11.90% | 15.05% |
Over two years through three years, Percentage of Total (as a percent) | 7.94% | 6.28% |
Over three years through four years, Percentage of Total (as a percent) | 6.56% | 2.29% |
Over four years through five years, Percentage of Total (as a percent) | 15.43% | 1.19% |
Thereafter, Percentage of Total (as a percent) | 13.93% | 9.19% |
Total par value, Percentage of Total (as a percent) | 100.00% | 100.00% |
Debt maturity | Consolidated obligation bonds | ||
Amount | ||
Hedge basis adjustments on de-designated hedges | $ 0 | $ 0 |
Consolidated Obligations. - Int
Consolidated Obligations. - Interest Rate Payment Terms of Consolidated Obligation Bonds (Details) - Consolidated obligation bonds - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Interest rate payment terms | ||
Total par value | $ 60,926,815 | $ 68,906,530 |
Total par value, Percentage of Total (as a percent) | 100.00% | 100.00% |
Fixed-rate, non-callable | ||
Interest rate payment terms | ||
Total par value | $ 39,862,685 | $ 49,275,530 |
Total par value, Percentage of Total (as a percent) | 65.43% | 71.51% |
Fixed-rate, callable | ||
Interest rate payment terms | ||
Total par value | $ 12,893,130 | $ 1,434,000 |
Total par value, Percentage of Total (as a percent) | 21.16% | 2.08% |
Step Up, callable | ||
Interest rate payment terms | ||
Total par value | $ 4,871,000 | |
Total par value, Percentage of Total (as a percent) | 7.99% | |
Floating rate, callable | ||
Interest rate payment terms | ||
Total par value | $ 250,000 | |
Total par value, Percentage of Total (as a percent) | 0.41% | |
Single-index floating rate | ||
Interest rate payment terms | ||
Total par value | $ 3,050,000 | $ 18,197,000 |
Total par value, Percentage of Total (as a percent) | 5.01% | 26.41% |
Consolidated Obligations. - Out
Consolidated Obligations. - Outstanding Consolidated Obligation Discount Notes (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2021 | Dec. 31, 2020 | |
Discount Notes | ||
Total discount notes | $ 32,768,402 | $ 57,658,838 |
Consolidated obligation discount notes | ||
Discount Notes | ||
Par value | 32,769,938 | 57,668,646 |
Amortized cost | 32,768,402 | 57,642,972 |
Hedge value basis adjustments(a) | 321 | |
FVO(b) - valuation adjustments and remaining accretion | 15,545 | |
Total discount notes | $ 32,768,402 | $ 57,658,838 |
Weighted average interest rate (as a percent) | 0.04% | 0.15% |
Consolidated obligation discount notes | Maximum | ||
Discount Notes | ||
Original maturity | 1 year |
Affordable Housing Program. - C
Affordable Housing Program. - Changes in Liabilities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |||
Changes in Affordable Housing Program liabilities | ||||||
Beginning balance | $ 152,523 | $ 159,464 | $ 148,827 | $ 153,894 | ||
Additions from current period's assessments | 7,314 | 11,251 | 23,645 | 38,225 | ||
Net disbursements for grants and programs | (15,034) | (12,363) | (27,669) | [1] | (33,767) | [1] |
Ending balance | $ 144,803 | $ 158,352 | $ 144,803 | $ 158,352 | ||
[1] | AHP payments = (beginning accrual - ending accrual) + AHP assessment for the period; payments represent funds released to the Affordable Housing Program. |
Capital Stock, Mandatorily Re_3
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. - Capital Stock and Capital Rules (Details) $ / shares in Units, $ in Thousands | 9 Months Ended | |
Sep. 30, 2021USD ($)item$ / shares | Dec. 31, 2020USD ($)$ / shares | |
Details of capital stock | ||
Stated par value of capital stock (in dollars per share) | $ / shares | $ 100 | $ 100 |
Capital stock | $ 4,447,124 | $ 5,366,830 |
Capital requirements that the Company is subject to | item | 3 | |
Required capital-to-asset ratio (as a percent) | 4.00% | 4.00% |
Minimum leverage ratio (as a percent) | 5.00% | 5.00% |
Weighting factor applicable to the permanent capital used in determining compliance with minimum leverage ratio | 1.5 | |
Weighting factor applicable to the non-permanent capital used in determining compliance with minimum leverage ratio | 1 | |
Capital Stock Class B | ||
Details of capital stock | ||
Sub-classes of class of capital stock | item | 2 | |
Notice period required for stock redemption | 5 years | |
Capital stock | $ 4,400,000 | $ 5,400,000 |
Common Class B Membership Capital Stock | ||
Details of capital stock | ||
Capital stock purchase requirement for membership as a percentage of members' Mortgage-related assets | 0.125% | |
Common Class B Membership Capital Stock | Maximum | ||
Details of capital stock | ||
Amount of cap on membership stock per member | $ 100,000 | |
Common Class B Activity Based Capital Stock | ||
Details of capital stock | ||
Capital stock purchase requirement for membership as a percentage of member's borrowed amount | 4.50% |
Capital Stock, Mandatorily Re_4
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. - Risk-based Capital (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | ||
Risk-based capital, Required | $ 822,751 | $ 1,067,518 |
Risk-based capital, Actual | $ 6,379,228 | $ 7,279,437 |
Total capital-to-asset ratio, Required (as a percent) | 4.00% | 4.00% |
Total capital-to-asset ratio, Actual (as a percent) | 6.21% | 5.31% |
Total capital, Required | $ 4,107,075 | $ 5,479,855 |
Total capital, Actual | $ 6,379,228 | $ 7,279,437 |
Leverage ratio, Required (as a percent) | 5.00% | 5.00% |
Leverage ratio, Actual (as a percent) | 9.32% | 7.97% |
Leverage capital, Required | $ 5,133,844 | $ 6,849,819 |
Leverage capital, Actual | $ 9,568,841 | $ 10,919,156 |
Multiplier applied to actual "Risk-based capital" to derive actual "Leverage capital" | 1.5 | 1.5 |
Capital Stock, Mandatorily Re_5
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. - Anticipated Redemptions of Mandatorily Redeemable Capital Stock (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 |
Anticipated redemption of mandatorily redeemable capital stock | ||||||
Redemption less than one year | $ 104 | $ 127 | ||||
Redemption from one year to less than three years | 240 | 293 | ||||
Redemption from three years to less than five years | 260 | 317 | ||||
Redemption from five years or greater | 1,566 | 2,254 | ||||
Total | $ 2,170 | $ 2,360 | $ 2,991 | $ 3,334 | $ 3,841 | $ 5,129 |
Capital Stock, Mandatorily Re_6
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. - Changes in Mandatorily Redeemable Capital Stock Liabilities and Restricted Retained Earnings (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Changes in mandatorily redeemable capital stock liabilities during the period | |||||
Beginning balance | $ 2,360 | $ 3,841 | $ 2,991 | $ 5,129 | |
Capital stock subject to mandatory redemption reclassified from equity | 2,743 | 85 | 2,743 | ||
Redemption of mandatorily redeemable capital stock | (190) | (3,250) | (906) | (4,538) | |
Ending balance | 2,170 | 3,334 | 2,170 | 3,334 | |
Accrued interest payable | $ 26 | $ 69 | $ 26 | $ 69 | |
Annualized accrual rates for the period (as a percent) | 4.60% | 5.60% | |||
Restricted Retained Earnings | |||||
Percentage of net income each FHLBank is required to contribute to a restricted retained earnings account until the balance of that account equals at least one percent of average balance of outstanding consolidated obligations | 20.00% | ||||
Minimum percentage of FHLBank's average balance of outstanding consolidated obligations for restricted retained earnings | 1.00% | ||||
Restricted retained earnings | $ 816,820 | $ 816,820 | $ 774,275 |
Earnings Per Share of Capital_2
Earnings Per Share of Capital. (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Earnings Per Share of Capital. | ||||
Number of dilutive potential common shares or other common stock equivalents | 0 | 0 | 0 | 0 |
Net Income | $ 65,808 | $ 101,195 | $ 212,722 | $ 343,827 |
Net income available to stockholders | $ 65,808 | $ 101,195 | $ 212,722 | $ 343,827 |
Weighted average shares of capital (in shares) | 46,700,000 | 61,837,000 | 50,525,000 | 62,999,000 |
Less: Mandatorily redeemable capital stock (in shares) | (22,000) | (49,000) | (25,000) | (47,000) |
Average number of shares of capital used to calculate earnings per share (in shares) | 46,678,000 | 61,788,000 | 50,500,000 | 62,952,000 |
Basic earnings per share (in dollars per share) | $ 1.41 | $ 1.64 | $ 4.21 | $ 5.46 |
Employee Retirement Plans. - Pl
Employee Retirement Plans. - Plan Information and Expenses Summary (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021USD ($) | Sep. 30, 2020USD ($) | Sep. 30, 2021USD ($)plan | Sep. 30, 2020USD ($) | |
Employee retirement plan expenses | ||||
Total retirement plan expenses | $ 6,123 | $ 5,979 | $ 19,032 | $ 17,156 |
Benefit Equalization Plans (BEP) | ||||
Employee retirement plans | ||||
Number of plans | plan | 2 | |||
Pentegra Defined Benefit Plan | ||||
Employee retirement plan expenses | ||||
Total retirement plan expenses | 2,500 | 2,500 | $ 7,500 | 7,500 |
Benefit Equalization Plans (defined benefit and defined contribution (including deferred incentive compensation)) | ||||
Employee retirement plan expenses | ||||
Total retirement plan expenses | 2,847 | 2,753 | 9,113 | 7,414 |
Pentegra Defined Contribution Plans | ||||
Employee retirement plan expenses | ||||
Total retirement plan expenses | 700 | 664 | 2,190 | 2,058 |
Postretirement Health Benefit Plan | ||||
Employee retirement plan expenses | ||||
Total retirement plan expenses | $ 76 | $ 62 | $ 229 | $ 184 |
Employee Retirement Plans. - Be
Employee Retirement Plans. - Benefit Equalization Plan (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Components of the net periodic pension cost | ||||
Total retirement plan expenses | $ 6,123 | $ 5,979 | $ 19,032 | $ 17,156 |
Benefit Equalization plans - Thrift and Deferred incentive compensation plans | ||||
Components of the net periodic pension cost | ||||
Total retirement plan expenses | 170 | 459 | 1,083 | 534 |
Benefit Equalization Plan (BEP) | Defined Benefit BEP | ||||
Components of the net periodic pension cost | ||||
Service cost | 495 | 391 | 1,487 | 1,175 |
Interest cost | 529 | 587 | 1,588 | 1,761 |
Amortization of unrecognized net loss | 1,478 | 1,141 | 4,432 | 3,421 |
Amortization of unrecognized past service cost | 175 | 175 | 523 | 523 |
Total retirement plan expenses | 2,677 | 2,294 | 8,030 | 6,880 |
Benefit Equalization Plans (defined benefit and defined contribution (including deferred incentive compensation)) | ||||
Components of the net periodic pension cost | ||||
Total retirement plan expenses | $ 2,847 | $ 2,753 | $ 9,113 | $ 7,414 |
Employee Retirement Plans. - Po
Employee Retirement Plans. - Postretirement Health Benefit Plan (Details) - USD ($) $ in Thousands | Jan. 01, 2015 | Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 |
Employee Retirement Plans | |||||
Threshold term of service to be eligible under plan | 10 years | ||||
Threshold age to be eligible under plan | 55 years | ||||
Postretirement Health Benefit Plan | |||||
Components of the net periodic pension cost | |||||
Service cost (benefits attributed to service during the period) | $ 16 | $ 21 | $ 48 | $ 63 | |
Interest cost on accumulated postretirement health benefit obligation | 60 | 79 | 181 | 235 | |
Amortization of (gain)/loss | (38) | (114) | |||
Net periodic postretirement health benefit expense/(income) | $ 76 | $ 62 | $ 229 | $ 184 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities. - Derivative Notionals (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Hedging activities | ||
Notional Amount of Derivatives | $ 95,228,227 | $ 127,887,644 |
Interest rate swaps | ||
Hedging activities | ||
Notional Amount of Derivatives | 94,406,359 | 127,077,867 |
Interest rate caps | ||
Hedging activities | ||
Notional Amount of Derivatives | 800,000 | 800,000 |
Mortgage delivery commitments | ||
Hedging activities | ||
Notional Amount of Derivatives | 21,868 | 9,777 |
Interest rate contracts | ||
Hedging activities | ||
Notional Amount of Derivatives | $ 95,228,227 | $ 127,887,644 |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities. - Nettable Gross and Net and Not Nettable Assets and Liabilities by Contract Type and Amount (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021 | Dec. 31, 2020 | |
Derivative instruments - Nettable | ||
Derivative fair values | $ 432,986 | $ 437,860 |
Gross amounts of netting adjustments and cash collateral | (191,625) | (401,220) |
Net amounts after offsetting adjustments and cash collateral | 241,361 | 36,640 |
Derivative assets | ||
Total derivative assets after cash collateral presented in the Statements of Condition | 241,365 | 36,669 |
Non-cash collateral received or pledged | ||
Security pledged as initial margin to Derivative Clearing Organization | 368,864 | 630,372 |
Uncleared derivatives securities received | (100,163) | (20,687) |
Total net amount of non-cash collateral received or pledged | 268,701 | 609,685 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 510,066 | 646,354 |
Derivative instruments - Nettable | ||
Derivative fair values | 916,539 | 1,124,474 |
Gross amount of netting adjustments and cash collateral | (875,831) | (1,053,715) |
Net amounts after offsetting adjustments and cash collateral | 40,708 | 70,759 |
Derivative liabilities | ||
Total derivative liabilities after cash collateral presented in the Statements of Condition | 40,831 | 70,760 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 40,831 | 70,760 |
Cash collateral received | 10,900 | 110,085 |
Cash collateral posted | (695,106) | (762,580) |
Cash paid (posted) as variation margin | 155,900 | 732,900 |
Mortgage delivery commitments | ||
Net unsecured amount | ||
Cash collateral received | 0 | 0 |
Cash collateral posted | $ 0 | 0 |
Mortgage delivery commitments | Maximum | ||
Net unsecured amount | ||
Period of forward mortgage delivery commitments | 45 days | |
Uncleared derivatives | ||
Derivative instruments - Nettable | ||
Derivative fair values | $ 189,239 | 232,355 |
Gross amounts of netting adjustments and cash collateral | (71,529) | (197,385) |
Net amounts after offsetting adjustments and cash collateral | 117,710 | 34,970 |
Derivative instruments - Not Nettable | ||
Derivative instruments - Not Nettable | 4 | 29 |
Derivative assets | ||
Total derivative assets after cash collateral presented in the Statements of Condition | 117,714 | 34,999 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 17,551 | 14,312 |
Derivative instruments - Nettable | ||
Derivative fair values | 674,347 | 913,215 |
Gross amount of netting adjustments and cash collateral | (633,639) | (849,880) |
Net amounts after offsetting adjustments and cash collateral | 40,708 | 63,335 |
Derivative instruments - Not Nettable | ||
Derivative instruments - Not Nettable | 123 | 1 |
Derivative liabilities | ||
Total derivative liabilities after cash collateral presented in the Statements of Condition | 40,831 | 63,336 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 40,831 | 63,336 |
Uncleared - cannot be sold or repledged | ||
Non-cash collateral received or pledged | ||
Uncleared derivatives securities received | (100,163) | (20,687) |
Intermediation / Cleared | ||
Derivative instruments - Nettable | ||
Derivative fair values | 243,747 | 205,505 |
Gross amounts of netting adjustments and cash collateral | (120,096) | (203,835) |
Net amounts after offsetting adjustments and cash collateral | 123,651 | 1,670 |
Derivative assets | ||
Total derivative assets after cash collateral presented in the Statements of Condition | 123,651 | 1,670 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 492,515 | 632,042 |
Derivative instruments - Nettable | ||
Derivative fair values | 242,192 | 211,259 |
Gross amount of netting adjustments and cash collateral | (242,192) | (203,835) |
Net amounts after offsetting adjustments and cash collateral | 7,424 | |
Derivative liabilities | ||
Total derivative liabilities after cash collateral presented in the Statements of Condition | 7,424 | |
Net unsecured amount | ||
Total net exposure cash and non-cash | 7,424 | |
Cleared - can be sold or repledged | ||
Non-cash collateral received or pledged | ||
Security pledged as initial margin to Derivative Clearing Organization | $ 368,864 | $ 630,372 |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities. - Outstanding Notional Balances and Estimated Fair Values of Derivatives Outstanding (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | $ 95,228,227 | $ 127,887,644 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 432,990 | 437,889 |
Netting adjustments | (180,725) | (291,135) |
Cash collateral and related accrued interest | (10,900) | (110,085) |
Total netting adjustments and cash collateral | (191,625) | (401,220) |
Total derivative assets after cash collateral presented in the Statements of Condition | 241,365 | 36,669 |
Security collateral pledged as initial margin to Derivative Clearing Organization | 368,864 | 630,372 |
Security collateral received from counterparty | (100,163) | (20,687) |
Net security | 268,701 | 609,685 |
Net exposure | 510,066 | 646,354 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 916,662 | 1,124,475 |
Netting adjustments | (180,725) | (291,135) |
Cash Collateral and related accrued interest | (695,106) | (762,580) |
Total netting adjustments and cash collateral | (875,831) | (1,053,715) |
Total derivative liabilities after cash collateral presented in the Statements of Condition | 40,831 | 70,760 |
Interest rate swaps | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 94,406,359 | 127,077,867 |
Interest rate caps | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 800,000 | 800,000 |
Mortgage delivery commitments | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 21,868 | 9,777 |
Derivative Assets | ||
Cash collateral and related accrued interest | 0 | 0 |
Derivative Liabilities | ||
Cash Collateral and related accrued interest | 0 | 0 |
Derivatives designated as hedging instruments under ASC 815 | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 71,697,637 | 69,885,821 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 418,525 | 380,504 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 911,870 | 1,088,253 |
Derivatives designated as hedging instruments under ASC 815 | Interest rate swaps | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 71,697,637 | 69,885,821 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 418,525 | 380,504 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 911,870 | 1,088,253 |
Derivatives not designated as hedging instruments | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 23,530,590 | 58,001,823 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 14,465 | 57,385 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 4,792 | 36,222 |
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 | 22,550,722 | 56,304,046 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 9,741 | 35,555 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 4,050 | 34,989 |
Derivatives not designated as hedging instruments | Interest rate caps | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 800,000 | 800,000 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 34 | 44 |
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 | 21,868 | 9,777 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 4 | 29 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 123 | 1 |
Derivatives not designated as hedging instruments | Member Swaps Intermediation | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional Amount of Derivatives | 158,000 | 888,000 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 4,686 | 21,757 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | $ 619 | $ 1,232 |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities. - Summary of the gains (losses) on the FHLBNY's fair value hedges (Details) - Interest rate contracts - Fair value hedges - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Interest Income | ||||
Gains and losses from derivatives and hedging activities | ||||
Gains (losses) on hedged item in designated and qualifying fair value hedges: | $ (107,046) | $ (133,685) | $ (504,637) | $ 1,178,172 |
Interest Expense | ||||
Gains and losses from derivatives and hedging activities | ||||
Gains (losses) on derivatives in designated and qualifying fair value hedges: | $ 108,070 | $ 133,360 | $ 509,861 | $ (1,180,423) |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities. - Cumulative hedge basis adjustments (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Hedged Assets | ||
Carrying Amount of Hedged Assets | $ 37,211,379 | $ 39,437,899 |
Hedged Assets | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Assets | 602,109 | 1,368,667 |
Hedged Assets | Discontinued Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Assets | 979 | 1,331 |
Hedged Advances | ||
Carrying Amount of Hedged Assets | 35,295,857 | 38,275,533 |
Hedged Advances | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Assets | 622,889 | 1,324,615 |
Hedged Advances | Discontinued Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Assets | 979 | 1,331 |
Par amounts of de-designated advances | 100,000 | 1,200,000 |
Hedged AFS debt securities | ||
Carrying Amount of Hedged Assets | 1,915,522 | 1,162,366 |
Hedged AFS debt securities | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Assets | (20,780) | 44,052 |
Hedged Liabilities | ||
Carrying Amount of Hedged Liabilities | 33,577,984 | 28,223,374 |
Hedged Liabilities | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Liabilities | (277,624) | (514,757) |
Hedged Liabilities | Discontinued Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Liabilities | (126,811) | (132,450) |
Hedged Consolidated obligation bonds | ||
Carrying Amount of Hedged Liabilities | 33,577,984 | 20,639,825 |
Hedged Consolidated obligation bonds | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Liabilities | (277,624) | (514,436) |
Hedged Consolidated obligation bonds | Discontinued Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Liabilities | (126,811) | (132,450) |
Par amounts of de-designated bonds | $ 2,600,000 | 1,500,000 |
Hedged consolidated obligation discount notes | ||
Carrying Amount of Hedged Liabilities | 7,583,549 | |
Hedged consolidated obligation discount notes | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Liabilities | (321) | |
Hedged consolidated obligation discount notes | Discontinued Hedging Relationship | ||
Par amounts of de-designated CO discount notes | $ 100,000 |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities. - Changes in AOCI from cash flow hedges (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Derivative instruments | ||||
Unrecognized losses in AOCI to be recognized over the next 12 months as a yield adjustment (expenses) to consolidated debt interest expense | $ (1,400) | |||
Cash flow hedges | Interest rate contracts | ||||
Amount of gains (losses) reclassified from AOCI to earnings: | ||||
Amounts Recorded in OCI | $ 15,922 | $ 17,707 | 81,250 | $ (141,526) |
Total Change in OCI for Period | 16,309 | 18,070 | 82,378 | (140,542) |
Cash flow hedges | Interest rate contracts | Interest Expense | ||||
Amount of gains (losses) reclassified from AOCI to earnings: | ||||
Amount Reclassified from AOCI to Earnings | $ (387) | $ (363) | (1,128) | (984) |
Cash Flow Hedges | ||||
Interest rate cash flow hedges | ||||
Amounts reclassified into earnings due to discontinuation of cash flow hedges | $ 0 | $ 0 |
Derivatives and Hedging Activ_9
Derivatives and Hedging Activities. - Economic Hedges (Details) - Other Income (Loss) - Derivatives not designated as hedging instruments - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Gains and losses from derivatives and hedging activities | ||||
Total gains (losses) on derivatives in designated economic hedges | $ 3,263 | $ 10,849 | $ 2,872 | $ (157,242) |
Interest rate contracts | ||||
Gains and losses from derivatives and hedging activities | ||||
Total gains (losses) on derivatives in designated economic hedges | 3,397 | 10,352 | 3,197 | (158,863) |
Interest rate caps | ||||
Gains and losses from derivatives and hedging activities | ||||
Total gains (losses) on derivatives in designated economic hedges | (34) | (38) | (9) | (33) |
Mortgage delivery commitments | ||||
Gains and losses from derivatives and hedging activities | ||||
Total gains (losses) on derivatives in designated economic hedges | $ (100) | $ 535 | $ (316) | $ 1,654 |
Fair Values of Financial Inst_3
Fair Values of Financial Instruments. - Carrying Values, Estimated Fair Values and Levels within Fair Value Hierarchy (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 |
Assets | ||||||
Cash and due from banks | $ 118,754 | $ 1,896,155 | ||||
Interest-bearing deposits | 675,000 | 685,000 | ||||
Securities purchased under agreements to resell | 4,650,000 | |||||
Federal funds sold | 8,628,000 | 6,280,000 | ||||
Trading securities | 4,377,199 | 11,742,965 | ||||
Equity Investments | 91,813 | 80,369 | ||||
Available-for-sale securities | 5,458,612 | 3,435,945 | ||||
Held-to-maturity securities | 10,292,012 | 13,529,181 | ||||
Advances | 70,547,573 | 92,067,104 | ||||
Accrued interest receivable | 120,562 | 189,454 | ||||
Derivative assets | 241,365 | 36,669 | ||||
Derivative assets, before netting and cash collateral | 432,990 | 437,889 | ||||
Netting Adjustment and Cash Collateral | (191,625) | (401,220) | ||||
Liabilities | ||||||
Consolidated obligations - Bonds | 61,454,356 | 69,716,298 | ||||
Consolidated obligations - Discount notes | 32,768,402 | 57,658,838 | ||||
Mandatorily redeemable capital stock | 2,170 | $ 2,360 | 2,991 | $ 3,334 | $ 3,841 | $ 5,129 |
Accrued interest payable | 125,260 | 117,982 | ||||
Derivative liabilities | 40,831 | 70,760 | ||||
Derivative liabilities, before netting and cash collateral | 916,662 | 1,124,475 | ||||
Netting Adjustment and Cash Collateral | (875,831) | (1,053,715) | ||||
Carrying Value | ||||||
Assets | ||||||
Cash and due from banks | 118,754 | 1,896,155 | ||||
Interest-bearing deposits | 675,000 | 685,000 | ||||
Securities purchased under agreements to resell | 4,650,000 | |||||
Federal funds sold | 8,628,000 | 6,280,000 | ||||
Trading securities | 4,377,199 | 11,742,965 | ||||
Equity Investments | 91,813 | 80,369 | ||||
Available-for-sale securities | 5,458,612 | 3,435,945 | ||||
Held-to-maturity securities | 9,844,952 | 12,873,646 | ||||
Advances | 70,547,573 | 92,067,104 | ||||
Mortgage loans held-for-portfolio, net | 2,417,656 | 2,899,712 | ||||
Accrued interest receivable | 120,562 | 189,454 | ||||
Derivative assets | 241,365 | 36,669 | ||||
Other financial assets | 367 | 133 | ||||
Liabilities | ||||||
Deposits | 1,465,915 | 1,752,963 | ||||
Consolidated obligations - Bonds | 61,454,356 | 69,716,298 | ||||
Consolidated obligations - Discount notes | 32,768,402 | 57,658,838 | ||||
Mandatorily redeemable capital stock | 2,170 | 2,991 | ||||
Accrued interest payable | 125,260 | 117,982 | ||||
Derivative liabilities | 40,831 | 70,760 | ||||
Other financial liabilities | 30,368 | 32,378 | ||||
Estimated Fair Value | ||||||
Assets | ||||||
Cash and due from banks | 118,754 | 1,896,155 | ||||
Interest-bearing deposits | 675,001 | 685,002 | ||||
Securities purchased under agreements to resell | 4,649,989 | |||||
Federal funds sold | 8,628,004 | 6,279,989 | ||||
Trading securities | 4,377,199 | 11,742,965 | ||||
Equity Investments | 91,813 | 80,369 | ||||
Available-for-sale securities | 5,458,612 | 3,435,945 | ||||
Held-to-maturity securities | 10,292,012 | 13,529,181 | ||||
Advances | 70,690,728 | 92,315,784 | ||||
Mortgage loans held-for-portfolio, net | 2,480,799 | 3,002,883 | ||||
Accrued interest receivable | 120,562 | 189,454 | ||||
Derivative assets | 241,365 | 36,669 | ||||
Other financial assets | 367 | 133 | ||||
Liabilities | ||||||
Deposits | 1,465,916 | 1,752,974 | ||||
Consolidated obligations - Bonds | 61,888,241 | 70,610,339 | ||||
Consolidated obligations - Discount notes | 32,768,861 | 57,663,523 | ||||
Mandatorily redeemable capital stock | 2,170 | 2,991 | ||||
Accrued interest payable | 125,260 | 117,982 | ||||
Derivative liabilities | 40,831 | 70,760 | ||||
Other financial liabilities | 30,368 | 32,378 | ||||
Estimated Fair Value | Level 1 | ||||||
Assets | ||||||
Cash and due from banks | 118,754 | 1,896,155 | ||||
Trading securities | 4,377,199 | 11,740,801 | ||||
Equity Investments | 91,813 | 80,369 | ||||
Liabilities | ||||||
Mandatorily redeemable capital stock | 2,170 | 2,991 | ||||
Other financial liabilities | 30,368 | 32,378 | ||||
Estimated Fair Value | Level 2 | ||||||
Assets | ||||||
Interest-bearing deposits | 675,001 | 685,002 | ||||
Securities purchased under agreements to resell | 4,649,989 | |||||
Federal funds sold | 8,628,004 | 6,279,989 | ||||
Trading securities | 2,164 | |||||
Available-for-sale securities | 4,557,420 | 3,435,945 | ||||
Held-to-maturity securities | 10,040,846 | 12,345,026 | ||||
Advances | 70,690,728 | 92,315,784 | ||||
Mortgage loans held-for-portfolio, net | 2,480,799 | 3,002,883 | ||||
Accrued interest receivable | 120,562 | 189,454 | ||||
Derivative assets, before netting and cash collateral | 432,990 | 437,889 | ||||
Liabilities | ||||||
Deposits | 1,465,916 | 1,752,974 | ||||
Consolidated obligations - Bonds | 61,888,241 | 70,610,339 | ||||
Consolidated obligations - Discount notes | 32,768,861 | 57,663,523 | ||||
Accrued interest payable | 125,260 | 117,982 | ||||
Derivative liabilities, before netting and cash collateral | 916,662 | 1,124,475 | ||||
Estimated Fair Value | Level 3 | ||||||
Assets | ||||||
Available-for-sale securities | 901,192 | |||||
Held-to-maturity securities | 251,166 | 1,184,155 | ||||
Other financial assets | $ 367 | $ 133 |
Fair Values of Financial Inst_4
Fair Values of Financial Instruments. - Fair Value Hierarchy Transfers, Valuation Techniques and Primary Inputs (Details) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2021USD ($)item | Dec. 31, 2020USD ($)item | Sep. 30, 2020USD ($) | |
Summary of Valuation Techniques and Primary Inputs | |||
Asset transfers in/out of Level 1, Level 2 or Level 3 | $ | $ 0 | $ 0 | $ 0 |
Liability transfers in/out of Level 1, Level 2 or Level 3 | $ | 0 | 0 | $ 0 |
Credit adjustment to recorded fair value of Derivative assets | $ | 0 | 0 | |
Credit adjustment to recorded fair value of Derivative liabilities | $ | $ 0 | $ 0 | |
Minimum | |||
Summary of Valuation Techniques and Primary Inputs | |||
Maturity or repricing period of advances which requires a prepayment fee | 6 months | ||
Mortgage-backed securities (MBS) | |||
Summary of Valuation Techniques and Primary Inputs | |||
Number of prices to be received for middle price to be used | 3 | ||
Number of prices received when two prices used for average | 2 | ||
Number of prices used for calculating average when two prices are received | 2 | ||
Number of prices received that are subject to additional validation | 1 | ||
Mortgage-backed securities (MBS) | Minimum | |||
Summary of Valuation Techniques and Primary Inputs | |||
Number of third-party vendors, price available subject to additional validation | 0 | ||
Mortgage-backed securities (MBS) | Maximum | |||
Summary of Valuation Techniques and Primary Inputs | |||
Number of third-party vendors | 3 | 3 | |
Number of third-party vendors, price available subject to additional validation | 1 |
Fair Values of Financial Inst_5
Fair Values of Financial Instruments. - Items Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 |
Assets | ||||||
Trading securities | $ 4,377,199 | $ 11,742,965 | ||||
Equity Investments | 91,813 | 80,369 | ||||
Available-for-sale securities | 5,458,612 | 3,435,945 | ||||
Derivative assets | 241,361 | 36,640 | ||||
Netting Adjustment and Cash Collateral | (191,625) | (401,220) | ||||
Liabilities | ||||||
Derivative liabilities | (40,708) | (70,759) | ||||
Netting Adjustment and Cash Collateral | 875,831 | 1,053,715 | ||||
Corporate notes | ||||||
Assets | ||||||
Trading securities | 2,164 | |||||
State and local housing finance agency obligations | ||||||
Assets | ||||||
Available-for-sale securities | 901,192 | |||||
U.S. Treasury notes | ||||||
Assets | ||||||
Trading securities | 4,377,199 | 11,240,915 | ||||
Mortgage-backed securities (MBS) | ||||||
Assets | ||||||
Available-for-sale securities | 4,557,420 | 3,435,945 | ||||
Consolidated obligation - discount notes, fair value option | ||||||
Liabilities | ||||||
Consolidated obligations | 0 | $ 1,249,963 | 7,133,755 | $ 12,853,069 | $ 20,159,341 | $ 2,186,603 |
Consolidated obligation - bonds, fair value option | ||||||
Liabilities | ||||||
Consolidated obligations | 10,811,362 | $ 13,347,759 | 16,580,464 | $ 14,776,973 | $ 1,302,385 | $ 12,134,043 |
Measured on a recurring basis | ||||||
Assets | ||||||
Equity Investments | 91,813 | 80,369 | ||||
Netting Adjustment and Cash Collateral | (191,625) | (401,220) | ||||
Total assets | 10,168,989 | 15,295,948 | ||||
Liabilities | ||||||
Netting Adjustment and Cash Collateral | 875,831 | 1,053,715 | ||||
Total liabilities | (10,852,193) | (23,784,979) | ||||
Measured on a recurring basis | Interest rate contracts | ||||||
Assets | ||||||
Derivative assets | 241,361 | 36,640 | ||||
Netting Adjustment and Cash Collateral | (191,625) | (401,220) | ||||
Liabilities | ||||||
Derivative liabilities | (40,708) | (70,759) | ||||
Netting Adjustment and Cash Collateral | 875,831 | 1,053,715 | ||||
Measured on a recurring basis | Mortgage delivery commitments | ||||||
Assets | ||||||
Derivative assets | 4 | 29 | ||||
Liabilities | ||||||
Derivative liabilities | (123) | (1) | ||||
Measured on a recurring basis | Corporate notes | ||||||
Assets | ||||||
Trading securities | 2,164 | |||||
Measured on a recurring basis | State and local housing finance agency obligations | ||||||
Assets | ||||||
Available-for-sale securities | 901,192 | |||||
Measured on a recurring basis | U.S. Treasury notes | ||||||
Assets | ||||||
Trading securities | 4,377,199 | 11,740,801 | ||||
Measured on a recurring basis | Consolidated obligation - discount notes, fair value option | ||||||
Liabilities | ||||||
Consolidated obligations | 7,133,755 | |||||
Measured on a recurring basis | Consolidated obligation - bonds, fair value option | ||||||
Liabilities | ||||||
Consolidated obligations | 10,811,362 | 16,580,464 | ||||
Measured on a recurring basis | GSE | Mortgage-backed securities (MBS) | ||||||
Assets | ||||||
Available-for-sale securities | 4,557,420 | 3,435,945 | ||||
Measured on a recurring basis | Level 1 | ||||||
Assets | ||||||
Equity Investments | 91,813 | 80,369 | ||||
Total assets | 4,469,012 | 11,821,170 | ||||
Measured on a recurring basis | Level 1 | U.S. Treasury notes | ||||||
Assets | ||||||
Trading securities | 4,377,199 | 11,740,801 | ||||
Measured on a recurring basis | Level 2 | ||||||
Assets | ||||||
Total assets | 4,990,410 | 3,875,998 | ||||
Liabilities | ||||||
Total liabilities | (11,728,024) | (24,838,694) | ||||
Measured on a recurring basis | Level 2 | Interest rate contracts | ||||||
Assets | ||||||
Derivative assets | 432,986 | 437,860 | ||||
Liabilities | ||||||
Derivative liabilities | (916,539) | (1,124,474) | ||||
Measured on a recurring basis | Level 2 | Mortgage delivery commitments | ||||||
Assets | ||||||
Derivative assets | 4 | 29 | ||||
Liabilities | ||||||
Derivative liabilities | (123) | (1) | ||||
Measured on a recurring basis | Level 2 | Corporate notes | ||||||
Assets | ||||||
Trading securities | 2,164 | |||||
Measured on a recurring basis | Level 2 | Consolidated obligation - discount notes, fair value option | ||||||
Liabilities | ||||||
Consolidated obligations | 7,133,755 | |||||
Measured on a recurring basis | Level 2 | Consolidated obligation - bonds, fair value option | ||||||
Liabilities | ||||||
Consolidated obligations | 10,811,362 | 16,580,464 | ||||
Measured on a recurring basis | Level 2 | GSE | Mortgage-backed securities (MBS) | ||||||
Assets | ||||||
Available-for-sale securities | 4,557,420 | $ 3,435,945 | ||||
Measured on a recurring basis | Level 3 | ||||||
Assets | ||||||
Total assets | 901,192 | |||||
Measured on a recurring basis | Level 3 | State and local housing finance agency obligations | ||||||
Assets | ||||||
Available-for-sale securities | $ 901,192 |
Fair Values of Financial Inst_6
Fair Values of Financial Instruments. - Roll Forward of Level 3 Available-for-Sale Securities (Details) - Measured on a recurring basis - Available-for-Sale securities. - State and local housing finance agency obligations - Level 3 - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2021 | Sep. 30, 2021 | |
Schedule of Available-for-sale Securities [Line Items] | ||
Balance, beginning of the period | $ 0 | $ 0 |
Transfer of securities from held-to-maturity to available-for-sale | 900,719 | 900,719 |
Provisions for credit losses | 586 | 586 |
Net unrealized gains (losses) in other comprehensive income | (113) | (113) |
Balance, end of the period | $ 901,192 | $ 901,192 |
Fair Values of Financial Inst_7
Fair Values of Financial Instruments. - Items Measured at Fair Value on a Non-recurring Basis (Details) - Measured on a non-recurring basis - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Assets recorded at fair value on a non-recurring basis | ||
Real estate owned | $ 315 | |
Total assets at fair value | 972 | $ 1,671 |
Past due 180 days or more | ||
Assets recorded at fair value on a non-recurring basis | ||
Mortgage loans held-for-portfolio | 657 | 1,671 |
Level 2 | ||
Assets recorded at fair value on a non-recurring basis | ||
Total assets at fair value | 657 | 1,671 |
Level 2 | Past due 180 days or more | ||
Assets recorded at fair value on a non-recurring basis | ||
Mortgage loans held-for-portfolio | 657 | $ 1,671 |
Level 3 | ||
Assets recorded at fair value on a non-recurring basis | ||
Real estate owned | 315 | |
Total assets at fair value | $ 315 |
Fair Values of Financial Inst_8
Fair Values of Financial Instruments. - Fair Value Option (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Activity related to financial instruments for which the Bank elected the fair value option | |||||
Net gains (losses) on financial instruments held under fair value option | $ 315 | $ 7,107 | $ 4,248 | $ (4,283) | |
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected | |||||
Net gains (losses) on financial instruments held under fair value option | 315 | 7,107 | 4,248 | (4,283) | |
Advances, fair value option | |||||
Fair Value Option Disclosures | |||||
Adjustments to fair values of assets recorded under fair value option for instrument-specific credit risk | 0 | $ 0 | |||
Comparison of aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected | |||||
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | 0 | 0 | 0 | 0 | 0 |
Consolidated obligations, fair value option | |||||
Fair Value Option Disclosures | |||||
Adjustments to fair values of liabilities recorded under fair value option for instrument-specific credit risk | 0 | 0 | |||
Activity related to financial instruments for which the Bank elected the fair value option | |||||
Balance, beginning of the period | (23,714,219) | ||||
Net gains (losses) on financial instruments held under fair value option | 315 | 7,107 | 4,248 | (4,283) | |
Balance, end of the period | (27,630,042) | (27,630,042) | (23,714,219) | ||
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected | |||||
Interest Expense | (3,009) | (19,297) | (16,683) | (100,833) | |
Net gains (losses) on financial instruments held under fair value option | 315 | 7,107 | 4,248 | (4,283) | |
Total Change in Fair Value Included in Current Period Earnings | (2,694) | (12,190) | (12,435) | (105,116) | |
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 | 27,601,382 | 27,601,382 | 23,693,211 | ||
Aggregate Fair Value | 27,630,042 | 27,630,042 | 23,714,219 | ||
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | 28,660 | 28,660 | 21,008 | ||
Consolidated obligation - bonds, fair value option | |||||
Activity related to financial instruments for which the Bank elected the fair value option | |||||
Balance, beginning of the period | (13,347,759) | (1,302,385) | (16,580,464) | (12,134,043) | (12,134,043) |
New transactions elected for fair value option | (4,415,000) | (14,275,000) | (15,760,925) | (15,575,000) | |
Maturities and terminations | 6,950,000 | 800,000 | 21,525,000 | 12,867,000 | |
Net gains (losses) on financial instruments held under fair value option | 282 | 770 | 2,221 | 2,902 | |
Change in accrued interest/ unaccreted balance | 1,115 | (358) | 2,806 | 62,168 | |
Balance, end of the period | (10,811,362) | (14,776,973) | (10,811,362) | (14,776,973) | (16,580,464) |
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected | |||||
Interest Expense | (2,938) | (3,643) | (12,844) | (49,045) | |
Net gains (losses) on financial instruments held under fair value option | 282 | 770 | 2,221 | 2,902 | |
Total Change in Fair Value Included in Current Period Earnings | (2,656) | (2,873) | (10,623) | (46,143) | |
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 | 10,810,925 | 14,775,000 | 10,810,925 | 14,775,000 | 16,575,000 |
Aggregate Fair Value | 10,811,362 | 14,776,973 | 10,811,362 | 14,776,973 | 16,580,464 |
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | 437 | 1,973 | 437 | 1,973 | 5,464 |
Consolidated obligation - discount notes, fair value option | |||||
Activity related to financial instruments for which the Bank elected the fair value option | |||||
Balance, beginning of the period | (1,249,963) | (20,159,341) | (7,133,755) | (2,186,603) | (2,186,603) |
New transactions elected for fair value option | (2,498,439) | (1,249,391) | (22,619,434) | ||
Maturities and terminations | 1,249,392 | 9,793,052 | 8,367,602 | 11,975,897 | |
Net gains (losses) on financial instruments held under fair value option | 33 | 6,337 | 2,027 | (7,185) | |
Change in accrued interest/ unaccreted balance | 538 | 5,322 | 13,517 | (15,744) | |
Balance, end of the period | 0 | (12,853,069) | 0 | (12,853,069) | (7,133,755) |
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected | |||||
Interest Expense | (71) | (15,654) | (3,839) | (51,788) | |
Net gains (losses) on financial instruments held under fair value option | 33 | 6,337 | 2,027 | (7,185) | |
Total Change in Fair Value Included in Current Period Earnings | (38) | (9,317) | (1,812) | (58,973) | |
Comparison of aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected | |||||
Aggregate Unpaid Principal Balance | 12,826,382 | 12,826,382 | 7,118,211 | ||
Aggregate Fair Value | $ 0 | 12,853,069 | $ 0 | 12,853,069 | 7,133,755 |
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | $ 26,687 | $ 26,687 | $ 15,544 |
Commitments and Contingencies_2
Commitments and Contingencies. - Consolidated obligations (Details) - Obligations subject to joint and several liability - All other FHLBanks $ in Trillions | 9 Months Ended | |
Sep. 30, 2021USD ($)Institution | Dec. 31, 2020USD ($) | |
Commitments | ||
Joint and several liability, number of Federal Home Loan Banks unable to repay their participation in consolidated obligations, minimum | Institution | 1 | |
Consolidated obligations | ||
Commitments | ||
Aggregate amount outstanding | $ | $ 0.6 | $ 0.7 |
Commitments and Contingencies_3
Commitments and Contingencies. - Affordable Housing Program (Details) $ in Millions | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2021USD ($)Institution | Sep. 30, 2020USD ($) | Dec. 31, 2020USD ($) | |
Affordable Housing Program | |||
Number of FHLBanks | Institution | 11 | ||
Expected annual aggregate FHLBank contribution to the Affordable Housing Program | $ 100 | ||
Shortfall of expected aggregate annual contribution to the Affordable Housing Program | $ 0 | $ 0 | $ 0 |
Commitments and Contingencies_4
Commitments and Contingencies. - Summary of Contractual Obligations and Contingencies (Details) $ in Thousands | Sep. 30, 2021USD ($) |
Contractual obligations and commitments | |
Less Than One Year | $ 83,356,434 |
Greater Than One Year to Three Years | 12,156,026 |
Greater Than Three Years to Five Years | 13,422,824 |
Greater Than Five Years | 8,625,367 |
Total | 117,560,651 |
Contractual Obligations | |
Contractual obligations and commitments | |
Less Than One Year | 59,815,618 |
Greater Than One Year to Three Years | 12,115,838 |
Greater Than Three Years to Five Years | 13,422,824 |
Greater Than Five Years | 8,625,367 |
Total | 93,979,647 |
Consolidated obligation bonds | |
Contractual obligations and commitments | |
Less Than One Year | 26,957,790 |
Greater Than One Year to Three Years | 12,086,545 |
Greater Than Three Years to Five Years | 13,396,780 |
Greater Than Five Years | 8,485,700 |
Total | 60,926,815 |
Consolidated obligation discount notes | |
Contractual obligations and commitments | |
Less Than One Year | 32,769,938 |
Total | 32,769,938 |
Mandatorily redeemable capital stock | |
Contractual obligations and commitments | |
Less Than One Year | 104 |
Greater Than One Year to Three Years | 240 |
Greater Than Three Years to Five Years | 260 |
Greater Than Five Years | 1,566 |
Total | 2,170 |
Lease obligations | Premises | |
Contractual obligations and commitments | |
Less Than One Year | 7,160 |
Greater Than One Year to Three Years | 16,028 |
Greater Than Three Years to Five Years | 16,282 |
Greater Than Five Years | 55,959 |
Total | 95,429 |
Lease obligations | Remote backup site | |
Contractual obligations and commitments | |
Less Than One Year | 804 |
Greater Than One Year to Three Years | 1,100 |
Total | 1,904 |
Other liabilities | |
Contractual obligations and commitments | |
Less Than One Year | 79,822 |
Greater Than One Year to Three Years | 11,925 |
Greater Than Three Years to Five Years | 9,502 |
Greater Than Five Years | 82,142 |
Total | 183,391 |
Other commitments | |
Contractual obligations and commitments | |
Less Than One Year | 23,540,816 |
Greater Than One Year to Three Years | 40,188 |
Total | 23,581,004 |
Standby letters of credit | |
Contractual obligations and commitments | |
Less Than One Year | 21,295,948 |
Greater Than One Year to Three Years | 40,188 |
Total | 21,336,136 |
Consolidated obligation bonds/discount notes traded not settled | |
Contractual obligations and commitments | |
Less Than One Year | 2,213,000 |
Total | 2,213,000 |
Pentegra Defined Benefit Plan | |
Contractual obligations and commitments | |
Less Than One Year | 10,000 |
Total | 10,000 |
Open delivery commitments (MAP) | |
Contractual obligations and commitments | |
Less Than One Year | 21,868 |
Total | $ 21,868 |
Commitments and Contingencies_5
Commitments and Contingencies. - Operating Lease (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Assets and Liabilities | |||||
Right-of-use assets | $ 66,917 | $ 66,917 | $ 70,733 | ||
Lease Liabilities | 80,405 | 80,405 | $ 84,475 | ||
Lease Expense and operating cash flows | |||||
Operating Lease Expense | 1,952 | $ 1,944 | 5,856 | $ 5,823 | |
Operating cash flows - Cash Paid | $ 2,037 | $ 1,997 | $ 6,111 | $ 5,874 | |
Weighted Average Discount Rate | 3.30% | 3.30% | 3.29% | ||
Weighted Average Remaining Lease Term | 11 years 3 months 18 days | 11 years 3 months 18 days | 12 years 3 days | ||
Operating lease liabilities | |||||
Remainder of 2021 | $ 2,037 | $ 2,037 | $ 8,148 | ||
2022 | 8,246 | 8,246 | 8,246 | ||
2023 | 8,615 | 8,615 | 8,615 | ||
2024 | 8,298 | 8,298 | 8,297 | ||
2025 | 8,088 | 8,088 | 8,088 | ||
Thereafter | 61,798 | 61,798 | 61,798 | ||
Total undiscounted lease payments | 97,082 | 97,082 | 103,192 | ||
Imputed interest | (16,677) | (16,677) | (18,717) | ||
Total operating lease liabilities | $ 80,405 | $ 80,405 | $ 84,475 | ||
Maximum | |||||
Assets and Liabilities | |||||
Operating lease term of contract (in years) | 15 years | 15 years | 15 years |
Related Party Transactions. - S
Related Party Transactions. - Summary of Activity and Outstanding Balances with Related Parties (Details) - USD ($) $ in Thousands | 1 Months Ended | 3 Months Ended | 6 Months Ended | 9 Months Ended | 12 Months Ended | ||||
Feb. 28, 2021 | Sep. 30, 2021 | Sep. 30, 2020 | Jun. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | Jun. 30, 2021 | Dec. 31, 2019 | |
Related Party Transactions | |||||||||
Debt assumed by FHLBNY from another FHLBank | $ 171,200 | $ 0 | |||||||
Debt transferred to another FHLBNY | $ 0 | $ 0 | |||||||
Advances transferred or sold by FHLBNY to another FHLBank | 0 | 0 | $ 0 | ||||||
Advances transferred or sold to the FHLBNY from another FHLBank | 0 | 0 | 0 | ||||||
Mortgage-backed securities acquired by FHLBNY from another FHLBank | 0 | 0 | |||||||
Notional amounts outstanding | $ 95,228,227 | 95,228,227 | 127,887,644 | ||||||
Overnight loans extended to other FHLBanks | 0 | $ 0 | |||||||
Average overnight loans extended to other FHLBanks | $ 1,100 | 2,700 | |||||||
Borrowing period from other FHLBanks | 1 day | ||||||||
Borrowings from other FHLBanks | 0 | 0 | $ 0 | 0 | |||||
Estimated annual lease receipts | 100 | 100 | |||||||
Compensating cash balance | 0 | 0 | 0 | ||||||
Assets | |||||||||
Advances | 70,547,573 | 70,547,573 | 92,067,104 | ||||||
Accrued interest receivable | 120,562 | 120,562 | 189,454 | ||||||
Liabilities and capital | |||||||||
Deposits | 1,465,915 | 1,465,915 | 1,752,963 | ||||||
Mandatorily redeemable capital stock | 2,170 | 3,334 | 3,841 | 2,170 | 3,334 | 2,991 | $ 2,360 | $ 5,129 | |
Accrued interest payable | 125,260 | 125,260 | 117,982 | ||||||
Affordable Housing Program | 144,803 | 158,352 | 159,464 | 144,803 | 158,352 | 148,827 | 152,523 | 153,894 | |
Other liabilities | 183,391 | 183,391 | 186,550 | ||||||
Total capital | 6,411,354 | 7,838,959 | $ 8,138,108 | 6,411,354 | 7,838,959 | 7,256,699 | $ 6,820,527 | $ 7,531,895 | |
FHLBank of Chicago | MPF program services | |||||||||
Related Party Transactions | |||||||||
Purchases of mortgage loans, cumulative participations by other Federal Home Loan Banks | 5,000 | 5,000 | 6,000 | ||||||
Fees paid | 400 | $ 700 | 1,400 | $ 2,000 | |||||
Smaller members | Member Swaps Intermediation | |||||||||
Related Party Transactions | |||||||||
Notional amounts outstanding | 79,000 | 79,000 | 444,000 | ||||||
Related Party | |||||||||
Assets | |||||||||
Advances | 70,547,573 | 70,547,573 | 92,067,104 | ||||||
Accrued interest receivable | 70,011 | 70,011 | 89,604 | ||||||
Liabilities and capital | |||||||||
Deposits | 1,465,915 | 1,465,915 | 1,752,963 | ||||||
Mandatorily redeemable capital stock | 2,170 | 2,170 | 2,991 | ||||||
Accrued interest payable | 26 | 26 | 45 | ||||||
Affordable Housing Program | 144,803 | 144,803 | 148,827 | ||||||
Other liabilities | 30,368 | 30,368 | 32,378 | ||||||
Total capital | 6,411,354 | 6,411,354 | $ 7,256,699 | ||||||
Citibank, N.A. | |||||||||
Related Party Transactions | |||||||||
Compensating cash balance | $ 0 | $ 0 |
Related Party Transactions. -_2
Related Party Transactions. - Summary of Income and Expense Transactions with Related Parties (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Interest income | ||||
Advances | $ 116,229 | $ 193,003 | $ 379,624 | $ 983,798 |
Interest-bearing deposits | 311 | 581 | 908 | 3,190 |
Loans to other FHLBanks | 1 | 33 | ||
Interest expense | ||||
Deposits | 116 | 208 | 291 | 3,582 |
Mandatorily redeemable capital stock | 25 | 65 | 87 | 200 |
Cash collateral held and other borrowings | 4 | 28 | 41 | 102 |
Service fees and other | 4,334 | 4,133 | 12,893 | 13,373 |
Related Party | ||||
Interest income | ||||
Advances | 116,229 | 193,003 | 379,624 | 983,798 |
Interest-bearing deposits | 1 | |||
Loans to other FHLBanks | 1 | 33 | ||
Interest expense | ||||
Deposits | 116 | 208 | 291 | 3,582 |
Mandatorily redeemable capital stock | 25 | 65 | 87 | 200 |
Service fees and other | $ 4,354 | $ 4,459 | $ 13,091 | $ 13,781 |
Segment Information and Conce_3
Segment Information and Concentration. - Top Ten Advance Holders and Associated Interest Income (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2021USD ($)Institution | Sep. 30, 2020USD ($) | Sep. 30, 2021USD ($)Institution | Sep. 30, 2020USD ($) | Dec. 31, 2020USD ($) | |
Segment Information and Concentration | |||||
Large member withdrawals which could significantly decrease assets, capital or business, minimum number | Institution | 1 | ||||
Advances | |||||
Par Advances | $ 69,923,705 | $ 69,923,705 | $ 90,741,159 | ||
Interest Income | $ 116,229 | $ 193,003 | $ 379,624 | $ 983,798 | |
Par Value of Advances | Credit concentration risk | Top ten advance holders | |||||
Advances | |||||
Number of top advance holders reported for segment reporting | Institution | 10 | 10 | |||
Par Advances | $ 55,443,652 | 82,420,677 | $ 55,443,652 | $ 82,420,677 | $ 70,730,505 |
Percentage of Total | 79.30% | 78.78% | 77.95% | ||
Par Value of Advances | Credit concentration risk | MetLife, Inc | |||||
Advances | |||||
Par Advances | 16,250,000 | 16,200,000 | $ 16,250,000 | $ 16,200,000 | $ 16,200,000 |
Percentage of Total | 23.24% | 15.48% | 17.85% | ||
Par Value of Advances | Credit concentration risk | Metropolitan Life Insurance Company | |||||
Advances | |||||
Par Advances | 15,245,000 | 15,245,000 | $ 15,245,000 | $ 15,245,000 | $ 15,245,000 |
Percentage of Total | 21.80% | 14.57% | 16.80% | ||
Par Value of Advances | Credit concentration risk | Metropolitan Tower Life Insurance Company | |||||
Advances | |||||
Par Advances | 1,005,000 | 955,000 | $ 1,005,000 | $ 955,000 | $ 955,000 |
Percentage of Total | 1.44% | 0.91% | 1.05% | ||
Par Value of Advances | Credit concentration risk | Citibank, N.A. | |||||
Advances | |||||
Par Advances | 5,751,000 | 23,950,000 | $ 5,751,000 | $ 23,950,000 | $ 14,900,000 |
Percentage of Total | 8.23% | 22.89% | 16.42% | ||
Par Value of Advances | Credit concentration risk | New York Community Bank | |||||
Advances | |||||
Par Advances | 13,977,661 | 14,227,661 | $ 13,977,661 | $ 14,227,661 | $ 14,627,661 |
Percentage of Total | 19.99% | 13.60% | 16.12% | ||
Par Value of Advances | Credit concentration risk | Equitable Financial Life Insurance Company | |||||
Advances | |||||
Par Advances | 6,802,175 | 6,840,415 | $ 6,802,175 | $ 6,840,415 | $ 6,890,415 |
Percentage of Total | 9.73% | 6.54% | 7.60% | ||
Par Value of Advances | Credit concentration risk | HSBC Bank USA, National Association | |||||
Advances | |||||
Par Advances | 5,250,000 | $ 5,250,000 | $ 4,250,000 | ||
Percentage of Total | 5.02% | 4.69% | |||
Par Value of Advances | Credit concentration risk | New York Life Insurance Company | |||||
Advances | |||||
Par Advances | 2,725,000 | 2,825,000 | $ 2,725,000 | $ 2,825,000 | $ 3,250,000 |
Percentage of Total | 3.90% | 2.70% | 3.58% | ||
Par Value of Advances | Credit concentration risk | Signature Bank | |||||
Advances | |||||
Par Advances | 2,664,245 | 2,839,245 | $ 2,664,245 | $ 2,839,245 | $ 2,839,245 |
Percentage of Total | 3.81% | 2.71% | 3.13% | ||
Par Value of Advances | Credit concentration risk | Investors Bank | |||||
Advances | |||||
Par Advances | 3,075,000 | 3,850,279 | $ 3,075,000 | $ 3,850,279 | $ 2,668,000 |
Percentage of Total | 4.40% | 3.68% | 2.94% | ||
Par Value of Advances | Credit concentration risk | Valley National Bank | |||||
Advances | |||||
Par Advances | 1,388,000 | 3,397,352 | $ 1,388,000 | $ 3,397,352 | $ 2,588,059 |
Percentage of Total | 1.98% | 3.25% | 2.85% | ||
Par Value of Advances | Credit concentration risk | ESL Federal Credit Union | |||||
Advances | |||||
Par Advances | 1,683,937 | $ 1,683,937 | |||
Percentage of Total | 2.41% | ||||
Par Value of Advances | Credit concentration risk | Prudential Insurance Company of America | |||||
Advances | |||||
Par Advances | 3,040,725 | $ 3,040,725 | $ 2,517,125 | ||
Percentage of Total | 2.91% | 2.77% | |||
Par Value of Advances | Credit concentration risk | Teachers Ins. & Annuity Assoc of America | |||||
Advances | |||||
Par Advances | 1,126,634 | $ 1,126,634 | |||
Percentage of Total | 1.61% | ||||
Interest income, top ten advance holders | Member concentration | Top ten advance holders | |||||
Advances | |||||
Interest Income | $ 158,557 | $ 231,939 | $ 503,580 | $ 909,594 | $ 1,113,246 |
Percentage of Total | 100.00% | 100.00% | 100.00% | 100.00% | 100.00% |
Interest income, top ten advance holders | Member concentration | MetLife, Inc | |||||
Advances | |||||
Interest Income | $ 41,671 | $ 45,632 | $ 122,073 | $ 172,977 | $ 214,973 |
Percentage of Total | 26.28% | 19.67% | 24.24% | 19.02% | 19.31% |
Interest income, top ten advance holders | Member concentration | Metropolitan Life Insurance Company | |||||
Advances | |||||
Interest Income | $ 40,303 | $ 44,351 | $ 118,253 | $ 171,063 | $ 211,797 |
Percentage of Total | 25.42% | 19.12% | 23.48% | 18.81% | 19.03% |
Interest income, top ten advance holders | Member concentration | Metropolitan Tower Life Insurance Company | |||||
Advances | |||||
Interest Income | $ 1,368 | $ 1,281 | $ 3,820 | $ 1,914 | $ 3,176 |
Percentage of Total | 0.86% | 0.55% | 0.76% | 0.21% | 0.28% |
Interest income, top ten advance holders | Member concentration | Citibank, N.A. | |||||
Advances | |||||
Interest Income | $ 16,296 | $ 42,786 | $ 61,609 | $ 249,319 | $ 280,084 |
Percentage of Total | 10.28% | 18.45% | 12.23% | 27.41% | 25.16% |
Interest income, top ten advance holders | Member concentration | New York Community Bank | |||||
Advances | |||||
Interest Income | $ 51,921 | $ 55,981 | $ 156,665 | $ 179,439 | $ 233,915 |
Percentage of Total | 32.74% | 24.14% | 31.11% | 19.73% | 21.01% |
Interest income, top ten advance holders | Member concentration | Equitable Financial Life Insurance Company | |||||
Advances | |||||
Interest Income | $ 14,091 | $ 15,290 | $ 46,337 | $ 62,661 | $ 77,739 |
Percentage of Total | 8.89% | 6.59% | 9.20% | 6.89% | 6.98% |
Interest income, top ten advance holders | Member concentration | HSBC Bank USA, National Association | |||||
Advances | |||||
Interest Income | $ 11,690 | $ 31,546 | $ 41,663 | ||
Percentage of Total | 5.04% | 3.47% | 3.74% | ||
Interest income, top ten advance holders | Member concentration | New York Life Insurance Company | |||||
Advances | |||||
Interest Income | $ 13,155 | $ 16,369 | $ 40,700 | $ 53,284 | $ 68,611 |
Percentage of Total | 8.30% | 7.06% | 8.08% | 5.86% | 6.16% |
Interest income, top ten advance holders | Member concentration | Signature Bank | |||||
Advances | |||||
Interest Income | $ 6,820 | $ 10,640 | $ 21,698 | $ 47,090 | $ 54,832 |
Percentage of Total | 4.30% | 4.59% | 4.31% | 5.18% | 4.93% |
Interest income, top ten advance holders | Member concentration | Investors Bank | |||||
Advances | |||||
Interest Income | $ 7,589 | $ 12,477 | $ 24,378 | $ 52,513 | $ 61,501 |
Percentage of Total | 4.79% | 5.38% | 4.84% | 5.77% | 5.53% |
Interest income, top ten advance holders | Member concentration | Valley National Bank | |||||
Advances | |||||
Interest Income | $ 4,475 | $ 12,018 | $ 20,851 | $ 38,626 | $ 49,770 |
Percentage of Total | 2.82% | 5.18% | 4.14% | 4.24% | 4.47% |
Interest income, top ten advance holders | Member concentration | ESL Federal Credit Union | |||||
Advances | |||||
Interest Income | $ 1,865 | $ 5,717 | |||
Percentage of Total | 1.18% | 1.14% | |||
Interest income, top ten advance holders | Member concentration | Prudential Insurance Company of America | |||||
Advances | |||||
Interest Income | $ 9,056 | $ 22,139 | $ 30,158 | ||
Percentage of Total | 3.90% | 2.43% | 2.71% | ||
Interest income, top ten advance holders | Member concentration | Teachers Ins. & Annuity Assoc of America | |||||
Advances | |||||
Interest Income | $ 674 | $ 3,552 | |||
Percentage of Total | 0.42% | 0.71% |