Document and Entity Information
Document and Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2022 | Feb. 28, 2023 | Jun. 30, 2022 | |
Document and Entity Information | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Transition Report | false | ||
Document Period End Date | Dec. 31, 2022 | ||
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 | N/A | ||
Security Exchange Name | NONE | ||
Amendment Flag | false | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
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 Public Float | $ 0 | ||
Entity Common Stock, Shares Outstanding | 61,346,916 | ||
Entity Central Index Key | 0001329842 | ||
Document Fiscal Year Focus | 2022 | ||
Document Fiscal Period Focus | FY | ||
ICFR Auditor Attestation Flag | true | ||
Auditor Name | PricewaterhouseCoopers LLP | ||
Auditor Firm ID | 238 | ||
Auditor Location | New York, New York |
Statements of Condition
Statements of Condition - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Assets | ||
Cash and due from banks (Note 3) | $ 27,420 | $ 21,653 |
Interest-bearing deposits (Note 4) | 1,750,000 | 675,000 |
Securities purchased under agreements to resell (Note 4) | 4,245,000 | 1,200,000 |
Federal funds sold (Note 4) | 9,470,000 | 7,230,000 |
Trading securities (Note 5) (Includes $576,756 pledged as collateral at December 31, 2022 and $367,110 at December 31, 2021) | 7,113,419 | 5,821,380 |
Equity Investments (Note 6) | 81,754 | 96,124 |
Available-for-sale securities, amortized cost of $7,322,538 at December 31, 2022 and $6,391,584 at December 31, 2021 (Note 7) | 7,088,870 | 6,547,421 |
Held-to-maturity securities, net of allowance for credit losses of $307 at December 31, 2022 and $340 at December 31, 2021 (Note 8) (Includes $3,008 pledged as collateral at December 31, 2022 and $2,453 at December 31, 2021) | 9,354,048 | 9,328,665 |
Advances (Note 9) (Includes $0 at December 31, 2022 and December 31, 2021 at fair value under the fair value option) | 115,292,876 | 71,536,402 |
Accrued interest receivable | 437,823 | 123,258 |
Premises, software, and equipment | 77,710 | 83,815 |
Operating lease right-of-use assets (Note 19) | 60,338 | 65,624 |
Derivative assets (Note 17) | 163,921 | 297,504 |
Other assets | 121,341 | 11,632 |
Total assets | 157,391,489 | 105,358,342 |
Deposits (Note 11) | ||
Interest-bearing demand | 1,015,991 | 1,283,072 |
Non-interest-bearing demand | 10,946 | 38,166 |
Total deposits | 1,026,937 | 1,321,238 |
Consolidated obligations, net (Note 12) | ||
Bonds (Includes $4,159,862 at December 31, 2022 and $7,386,074 at December 31, 2021 at fair value under the fair value option) | 85,497,755 | 54,829,401 |
Discount notes (Includes $0 at December 31, 2022 and December 31, 2021 at fair value under the fair value option) | 61,792,989 | 42,197,259 |
Total consolidated obligations | 147,290,744 | 97,026,660 |
Mandatorily redeemable capital stock (Note 14) | 4,578 | 1,959 |
Accrued interest payable | 370,456 | 126,990 |
Affordable Housing Program (Note 13) | 131,394 | 137,638 |
Derivative liabilities (Note 17) | 15,333 | 36,512 |
Other liabilities | 131,360 | 182,466 |
Operating lease liabilities (Note 19) | 73,304 | 79,026 |
Total liabilities | 149,044,106 | 98,912,489 |
Commitments and Contingencies (Notes 14, 17 and 19) | ||
Capital (Note 14) | ||
Capital stock ($100 par value), putable, issued and outstanding shares: 63,877 at December 31, 2022 and 45,008 at December 31, 2021 | 6,387,701 | 4,500,785 |
Retained earnings | ||
Unrestricted | 1,185,112 | 1,103,585 |
Restricted (Note 14) | 910,855 | 827,380 |
Total retained earnings | 2,095,967 | 1,930,965 |
Total accumulated other comprehensive income (loss) | (136,285) | 14,103 |
Total capital | 8,347,383 | 6,445,853 |
Total liabilities and capital | 157,391,489 | 105,358,342 |
Mortgage receivables | ||
Assets | ||
Mortgage loans held-for-portfolio, net of allowance for credit losses of $1,911 at December 31, 2022 and $2,135 at December 31, 2021 (Note 10) | $ 2,106,969 | $ 2,319,864 |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Trading securities pledged as collateral | $ 576,756 | $ 367,110 |
Trading securities pledged as collateral | us-gaap:AssetPledgedAsCollateralMember | us-gaap:AssetPledgedAsCollateralMember |
Available-for-sale securities, amortized cost | $ 7,322,538 | $ 6,391,584 |
Held-to-maturity securities pledged as collateral | 3,008 | 2,453 |
Held-to-maturity securities, allowance for credit losses | $ 307 | $ 340 |
Held-to-maturity securities pledged as collateral | us-gaap:AssetPledgedAsCollateralMember | us-gaap:AssetPledgedAsCollateralMember |
Advances, at fair value under the fair value option | $ 0 | $ 0 |
Capital stock, par value (in dollars per share) | $ 100 | $ 100 |
Capital stock, putable (in shares) | 63,877 | 45,008 |
Capital stock, issued (in shares) | 63,877 | 45,008 |
Capital stock, outstanding (in shares) | 63,877 | 45,008 |
Mortgage receivables | ||
Allowance for credit losses | $ 1,911 | $ 2,135 |
Consolidated obligation - bonds, fair value option | ||
Consolidated obligations | 4,159,862 | 7,386,074 |
Consolidated obligation - discount notes, fair value option | ||
Consolidated obligations | $ 0 | $ 0 |
Statements of Income
Statements of Income - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Interest income | |||
Advances, net (Note 9) | $ 1,915,358 | $ 483,216 | $ 1,166,745 |
Interest-bearing deposits (Note 4) | 51,848 | 1,202 | 3,615 |
Securities purchased under agreements to resell (Note 4) | 2,542 | 487 | 28,573 |
Federal funds sold (Note 4) | 200,548 | 9,249 | 34,791 |
Trading securities (Note 5) | 93,581 | 96,911 | 221,780 |
Available-for-sale securities (Note 7) | 172,350 | 69,879 | 61,580 |
Held-to-maturity securities (Note 8) | 255,895 | 233,199 | 324,784 |
Mortgage loans held-for-portfolio (Note 10) | 65,832 | 71,434 | 91,964 |
Loans to other FHLBanks (Note 20) | 228 | 1 | 33 |
Total interest income | 2,758,182 | 965,578 | 1,933,865 |
Interest expense | |||
Consolidated obligation bonds (Note 12) | 1,295,704 | 349,165 | 747,914 |
Consolidated obligation discount notes (Note 12) | 812,455 | 75,283 | 428,864 |
Deposits (Note 11) | 13,765 | 380 | 3,768 |
Mandatorily redeemable capital stock (Note 14) | 1,278 | 109 | 235 |
Cash collateral held and other borrowings | 1,253 | 44 | 128 |
Total interest expense | 2,124,455 | 424,981 | 1,180,909 |
Net interest income before provision for credit losses | 633,727 | 540,597 | 752,956 |
Provision (Reversal) for credit losses | (226) | (5,528) | 3,721 |
Net interest income after provision for credit losses | 633,953 | 546,125 | 749,235 |
Other income (loss) | |||
Service fees and other | 17,336 | 17,304 | 17,924 |
Instruments held under the fair value option gains (losses) (Note 18) | 206,998 | 22,471 | 123 |
Derivative gains (losses) (Note 17) | 181,959 | 4,424 | (151,709) |
Trading securities gains (losses) (Note 5) | (363,973) | (101,423) | 72,826 |
Equity investments gains (losses) (Note 6) | (15,374) | 9,769 | 9,792 |
Litigation settlement | 2,202 | 33 | 225 |
Losses from extinguishment of debt | (99) | ||
Total other income (loss) | 29,049 | (47,422) | (50,819) |
Other expenses | |||
Operating | 74,024 | 69,913 | 69,806 |
Compensation and benefits | 94,282 | 96,100 | 100,200 |
Finance Agency and Office of Finance | 21,068 | 21,979 | 19,392 |
Other expenses | 9,735 | 15,676 | 17,453 |
Total other expenses | 199,109 | 203,668 | 206,851 |
Income before assessments | 463,893 | 295,035 | 491,565 |
Affordable Housing Program Assessments (Note 13) | 46,517 | 29,514 | 49,180 |
Net income | $ 417,376 | $ 265,521 | $ 442,385 |
Basic earnings per share (Note 15) (in dollars per share) | $ 8.40 | $ 5.42 | $ 7.22 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | ||
Statements of Comprehensive Income | ||||
Net Income | $ 417,376 | $ 265,521 | $ 442,385 | |
Other Comprehensive income (loss) | ||||
Net change in unrealized gains (losses) on available-for-sale securities | (933,942) | (155,456) | 182,758 | |
Net change in non-credit accretion portion of held-to-maturity securities | ||||
Accretion of non-credit portion | 588 | 4,002 | 1,983 | |
Total net change in non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | 588 | 4,002 | 1,983 | |
Net change due to hedging activities | ||||
Total net change due to hedging activities | 748,136 | 180,424 | (145,147) | |
Net change in pension and postretirement benefits | 34,830 | 4,880 | (11,536) | |
Total other comprehensive income (loss) | (150,388) | 33,850 | 28,058 | |
Total comprehensive income (loss) | 266,988 | 299,371 | 470,443 | |
Cash Flow Hedging [Member] | ||||
Net change due to hedging activities | ||||
Net change due to hedging activities | [1] | 203,699 | 105,705 | (112,688) |
Fair Value Hedging [Member] | ||||
Net change due to hedging activities | ||||
Net change due to hedging activities | [2] | $ 544,437 | $ 74,719 | $ (32,459) |
[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 . Represents cumulative hedge valuation basis adjustments on fair value hedges of Available-for-Sale (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 | 12 Months Ended | |||||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | ||||
Increase (decrease) in shareholders' equity | ||||||
Balance | $ 6,445,853 | $ 7,256,699 | [1] | $ 7,531,895 | ||
Recovery of prior capital distribution | [2] | 18,204 | ||||
Proceeds from issuance of capital stock | 9,262,880 | 2,647,373 | 5,640,764 | |||
Repurchase/redemption of capital stock | (7,114,335) | (3,513,333) | (6,049,857) | |||
Shares reclassified to mandatorily redeemable capital stock | (261,629) | (85) | (2,743) | |||
Cash dividends on capital stock | (252,374) | (244,172) | (348,234) | |||
Comprehensive income (loss) | 266,988 | 299,371 | 470,443 | |||
Balance | 8,347,383 | 6,445,853 | 7,256,699 | [1] | ||
Capital Stock | Capital Stock Class B | ||||||
Increase (decrease) in shareholders' equity | ||||||
Balance | [3] | $ 4,500,785 | $ 5,366,830 | [1] | $ 5,778,666 | |
Balance (in shares) | [3] | 45,008 | 53,669 | [1] | 57,787 | |
Proceeds from issuance of capital stock | [3] | $ 9,262,880 | $ 2,647,373 | $ 5,640,764 | ||
Proceeds from issuance of capital stock (in shares) | [3] | 92,629 | 26,473 | 56,408 | ||
Repurchase/redemption of capital stock | [3] | $ (7,114,335) | $ (3,513,333) | $ (6,049,857) | ||
Repurchase/redemption of capital stock (in shares) | [3] | (71,144) | (35,133) | (60,499) | ||
Shares reclassified to mandatorily redeemable capital stock | [3] | $ (261,629) | $ (85) | $ (2,743) | ||
Shares reclassified to mandatorily redeemable capital stock (in shares) | [3] | (2,616) | (1) | (27) | ||
Balance | [3] | $ 6,387,701 | $ 4,500,785 | $ 5,366,830 | [1] | |
Balance (in shares) | [3] | 63,877 | 45,008 | 53,669 | [1] | |
Total Retained Earnings | ||||||
Increase (decrease) in shareholders' equity | ||||||
Balance | $ 1,930,965 | $ 1,909,616 | [1] | $ 1,801,034 | ||
Recovery of prior capital distribution | [2] | 18,204 | ||||
Cash dividends on capital stock | (252,374) | (244,172) | (348,234) | |||
Comprehensive income (loss) | 417,376 | 265,521 | 442,385 | |||
Balance | 2,095,967 | 1,930,965 | 1,909,616 | [1] | ||
Unrestricted Retained Earnings | ||||||
Increase (decrease) in shareholders' equity | ||||||
Balance | 1,103,585 | 1,135,341 | [1] | 1,115,236 | ||
Recovery of prior capital distribution | [2] | 18,204 | ||||
Cash dividends on capital stock | (252,374) | (244,172) | (348,234) | |||
Comprehensive income (loss) | 333,901 | 212,416 | 353,908 | |||
Balance | 1,185,112 | 1,103,585 | 1,135,341 | [1] | ||
Restricted Retained Earnings | ||||||
Increase (decrease) in shareholders' equity | ||||||
Balance | 827,380 | 774,275 | [1] | 685,798 | ||
Comprehensive income (loss) | 83,475 | 53,105 | 88,477 | |||
Balance | 910,855 | 827,380 | 774,275 | [1] | ||
Accumulated Other Comprehensive Income (Loss) | ||||||
Increase (decrease) in shareholders' equity | ||||||
Balance | 14,103 | (19,747) | [1] | (47,805) | ||
Comprehensive income (loss) | (150,388) | 33,850 | 28,058 | |||
Balance | $ (136,285) | $ 14,103 | (19,747) | [1] | ||
Cumulative Effect, Period of Adoption, Adjustment | ASU 2016-13 | ||||||
Increase (decrease) in shareholders' equity | ||||||
Balance | [1] | (3,773) | ||||
Cumulative Effect, Period of Adoption, Adjustment | ASU 2016-13 | Total Retained Earnings | ||||||
Increase (decrease) in shareholders' equity | ||||||
Balance | [1] | (3,773) | ||||
Cumulative Effect, Period of Adoption, Adjustment | ASU 2016-13 | Unrestricted Retained Earnings | ||||||
Increase (decrease) in shareholders' equity | ||||||
Balance | [1] | $ (3,773) | ||||
[1] Adjustments include a cumulative-effect adjustment 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 $18.2 million, which represented the FHLBNY’s share of recovery of prior cash distribution to Financing Corporation (FICO), an entity established by Congress in 1987 was dissolved and surplus funds distributed to the 11 FHLBanks . Putable stock. Cash dividends paid — Dividends per share and aggregate dividends were paid on a single class of shares of capital stock. For more information, see Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. |
Statements of Capital (Parenthe
Statements of Capital (Parenthetical) - USD ($) $ in Thousands | 1 Months Ended | 12 Months Ended | ||||
Jun. 30, 2020 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |||
Cash dividends on capital stock (in dollars per share) | $ 5.34 | $ 4.69 | $ 5.74 | |||
Adjustments to opening balances | $ (8,347,383) | $ (6,445,853) | $ (7,256,699) | [1] | ||
Recovery of prior capital distribution | [2] | 18,204 | ||||
Total Retained Earnings | ||||||
Adjustments to opening balances | $ (2,095,967) | $ (1,930,965) | (1,909,616) | [1] | ||
Recovery of prior capital distribution | [2] | $ 18,204 | ||||
FICO | ||||||
Recovery of prior capital distribution | $ 18,200 | |||||
[1] Adjustments include a cumulative-effect adjustment 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 $18.2 million, which represented the FHLBNY’s share of recovery of prior cash distribution to Financing Corporation (FICO), an entity established by Congress in 1987 was dissolved and surplus funds distributed to the 11 FHLBanks . |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | ||
Operating activities | ||||
Net Income | $ 417,376 | $ 265,521 | $ 442,385 | |
Depreciation and amortization: | ||||
Net premiums and discounts on consolidated obligations, investments, mortgage loans and other adjustments (a) | [1] | 532,604 | 10,871 | (238,735) |
Concessions on consolidated obligations | 2,477 | 3,217 | 4,399 | |
Premises, software, and equipment | 17,559 | 13,117 | 10,669 | |
Provision (Reversal) for credit losses | (226) | (5,528) | 3,721 | |
Change in net fair value adjustments on derivatives and hedging activities (b) | [2] | 1,307,010 | 552,833 | (488,369) |
Net realized and unrealized (gains) losses on trading securities | 363,973 | 101,423 | (72,826) | |
Change in fair value on Equity Investments | 17,877 | (4,480) | (6,481) | |
Change in fair value adjustments on financial instruments held at fair value | (206,998) | (22,471) | (123) | |
Losses from extinguishment of debt | 99 | |||
Net change in: | ||||
Accrued interest receivable | (326,660) | 66,090 | 123,351 | |
Derivative assets due to accrued interest | (915,033) | 12,618 | 247,471 | |
Derivative liabilities due to accrued interest | 856,991 | (89,042) | (99,649) | |
Other assets | 1,759 | (326) | (2,228) | |
Affordable Housing Program liability | (6,244) | (11,189) | (5,067) | |
Accrued interest payable | 243,466 | 9,008 | (38,907) | |
Other liabilities | (24,457) | (1,954) | 23,225 | |
Total adjustments | 1,864,197 | 634,187 | (539,549) | |
Net cash provided by (used in) operating activities | 2,281,573 | 899,708 | (97,164) | |
Net change in: | ||||
Interest-bearing deposits | (1,846,444) | (15,006) | (1,104,928) | |
Securities purchased under agreements to resell | (3,045,000) | 3,450,000 | 10,335,000 | |
Federal funds sold | (2,240,000) | (950,000) | 2,360,000 | |
Deposits with other FHLBanks | (55) | 35 | (6) | |
Premises, software, and equipment | (11,454) | (19,305) | (24,870) | |
Trading securities: | ||||
Purchased | (4,846,833) | (4,180,599) | (3,833,164) | |
Repayments | 2,305,000 | 9,982,153 | 3,150,747 | |
Proceeds from sales | 794,624 | 4,292,913 | ||
Equity Investments: | ||||
Purchased | (8,887) | (14,489) | (16,379) | |
Proceeds from sales | 5,380 | 3,215 | 2,538 | |
Available-for-sale securities: | ||||
Purchased | (1,841,924) | (2,081,108) | (674,519) | |
Repayments | 354,719 | 179,877 | 67,924 | |
Held-to-maturity securities: | ||||
Purchased | (1,534,285) | (194,332) | (301,052) | |
Repayments | 1,504,148 | 2,353,525 | 2,647,288 | |
Advances: | ||||
Principal collected | 1,041,776,112 | 398,546,416 | 538,451,834 | |
Made | (1,087,490,800) | (379,020,424) | (528,796,915) | |
Mortgage loans held-for-portfolio: | ||||
Principal collected | 285,238 | 775,465 | 785,100 | |
Purchased | (79,215) | (204,368) | (529,956) | |
Proceeds from sales of REO | 804 | 102 | 712 | |
Net cash provided by (used in) investing activities | (55,918,872) | 28,611,157 | 26,812,267 | |
Net change in: | ||||
Deposits and other borrowings | (317,949) | (536,520) | 627,679 | |
Partial recovery of prior capital distribution to Financing Corporation | 18,204 | |||
Derivative contracts with financing element | 2,973 | (3,256) | (5,948) | |
Consolidated obligation bonds: | ||||
Proceeds from issuance | 63,289,264 | 49,960,540 | 69,673,063 | |
Payments for maturing and early retirement | (30,247,381) | (64,461,946) | (79,761,238) | |
Payments on bonds (transferred to) or assumed from other FHLBanks (c) | [3] | 173,984 | 1,005,990 | |
Consolidated obligation discount notes: | ||||
Proceeds from issuance | 800,537,408 | 693,791,158 | 952,058,230 | |
Payments for maturing | (781,258,410) | (709,198,078) | (968,275,961) | |
Capital stock: | ||||
Proceeds from issuance of capital stock | 9,262,880 | 2,647,373 | 5,640,764 | |
Payments for repurchase/redemption of capital stock | (7,114,335) | (3,513,333) | (6,049,857) | |
Redemption of mandatorily redeemable capital stock | (259,010) | (1,117) | (4,881) | |
Cash dividends paid (d) | [4] | (252,374) | (244,172) | (348,234) |
Net cash provided by (used in) financing activities | 53,643,066 | (31,385,367) | (25,422,189) | |
Net increase (decrease) in cash and due from banks | 5,767 | (1,874,502) | 1,292,914 | |
Cash and due from banks at beginning of the period (e) | [5] | 21,653 | 1,896,155 | 603,241 |
Cash and due from banks at end of the period (e) | [5] | 27,420 | 21,653 | 1,896,155 |
Supplemental disclosures: | ||||
Interest paid | 351,474 | 574,198 | 964,205 | |
Interest paid for Discount Notes (f) | [6] | 411,213 | 66,056 | 482,595 |
Affordable Housing Program payments (g) | [7] | 52,761 | 40,703 | 54,247 |
Transfers of mortgage loans to real estate owned | 232 | 315 | 135 | |
Capital stock subject to mandatory redemption reclassified from equity | $ 261,629 | 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 twelve months ended December 31, 2022, compared to the same period of 2021 in parallel with greater usage of discount notes in the twelve months ended December 31, 2022. As a result, the impact on operating cash flows was also larger in the twelve months ended December 31, 2022. Net cash provided by (used in) operating activities were also impacted by derivatives and hedging activities. In the twelve months ended December 31, 2022, derivatives and hedging activities provided $ 1.3 billion in cash flows; in the twelve months ended December 31, 2021, derivatives and hedging activities provided $ 552.8 million in cash flows; in the twelve months ended December 31, 2020, derivatives and hedging activities used $488.4 million in cash flows. For information about bonds (transferred to) or assumed from FHLBanks and other related party transactions, see Note 20. Related Party Transactions. Does not include payments to holders of mandatorily redeemable capital stock. Such payments are considered as interest expense and reported within operating cash flows. 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. Interest paid for Discount Notes is the portion of the cash payments at settlement of zero-coupon Consolidated obligation discount notes. AHP payments equals (beginning accrual - ending accrual) plus AHP assessment for the period; payments represent funds released to the Affordable Housing Program. 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. 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 index. |
Statements of Cash Flows (Paren
Statements of Cash Flows (Parenthetical) $ in Thousands | 3 Months Ended |
Jun. 30, 2021 USD ($) | |
SOFR-OIS indexed securities | |
Supplemental disclosures: | |
Available-for-sale securities, amortized cost | $ 686,300 |
Available-for-sale securities | 686,700 |
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 |
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain | $ 7,600 |
Background, Tax Status. Assessm
Background, Tax Status. Assessments. | 12 Months Ended |
Dec. 31, 2022 | |
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. Each FHLBank, including the FHLBNY, provides subsidies in the form of direct grants and below-market interest rate advances to members, who use the funds to assist in the purchase, construction or rehabilitation of housing for very low-, low- and moderate-income households. Annually, the |
Summary of Significant Accounti
Summary of Significant Accounting Policies. | 12 Months Ended |
Dec. 31, 2022 | |
Summary of Significant Accounting Policies. | |
Summary of Significant Accounting Policies. | Note 1. Summary of Significant Accounting Policies. Basis of Presentation The accompanying financial statements of the FHLBNY 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. Valuation Techniques — Three valuation techniques are prescribed under the fair value measurement standards — Market approach, Income approach and Cost approach. Valuation techniques for which sufficient data is available and that are appropriate under the circumstances should be used. In determining fair value, the FHLBNY uses various valuation methods, including both the market and income approaches. ● Market approach — This technique uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities. ● Income approach — This technique uses valuation techniques to convert future amounts (for example, cash flows or earnings) to a single present amount (discounted), based on assumptions used by market participants. When the income approach is used, the fair value measurement reflects current market expectations about those future amounts. The present value technique used to measure fair value depends on the facts and circumstances specific to the asset or liability being measured and the availability of data. ● Cost approach — This approach is based on the amount that currently would be required to replace the service capacity of an asset (often referred to as current replacement cost). The FHLBNY has complied with the accounting standards under Fair Value Measurement that defines fair value, establishes a consistent framework for measuring fair value, and requires disclosure about fair value measurement on assets and liabilities recorded at fair value on the balance sheet. For more information about the fair value hierarchy, and the hierarchy levels of the FHLBNY’s financial instruments, see Note 18. Fair Values of Financial Instruments. On a recurring basis, fair values were measured and recorded in the Statements of Condition for derivatives, available-for-sale securities (AFS or AFS securities), securities designated as trading, equity investments, and financial instruments elected under the Fair Value Option (FVO). On a non-recurring basis, credit impaired (formerly OTTI) held-to-maturity securities were measured and recorded at their fair values in the Statements of Condition. When credit impaired mortgage loans held-for-portfolio were partially charged off, the loans were written down to their collateral values on a non-recurring basis. Fair values of derivative positions — The FHLBNY is an end-user of over-the-counter (OTC) derivatives to hedge assets, liabilities, and certain firm commitments to mitigate fair value risks. Valuations of derivative assets and liabilities reflect the value of the instrument including the value associated with counterparty risk. Derivative values also take into account the FHLBNY’s own credit standing. The computed fair values of the FHLBNY’s OTC derivatives take into consideration the effects of legally enforceable master netting agreements that allow the FHLBNY to settle positive and negative positions and offset cash collateral with the same counterparty on a net basis. The agreements include collateral thresholds that reflect the net credit differential between the FHLBNY and its derivative counterparties. On a contract-by-contract basis, the collateral and netting arrangements sufficiently mitigated the impact of the credit differential between the FHLBNY and its derivative counterparties to an immaterial level such that an adjustment for nonperformance risk was not deemed necessary. Fair values of investments classified as AFS securities — The FHLBNY’s investments classified as AFS are primarily GSE-issued mortgage-backed securities (MBS), which are recorded at fair values. The MBS fair values are estimated by management using specialized pricing services that employ pricing models or quoted prices of securities with similar characteristics. The FHLBNY has established that the pricing vendors use methods that generally employ, but are not limited to, benchmark yields, recent trades, dealer estimates, valuation models, benchmarking of like securities, sector groupings, and/or matrix pricing. 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 at December 31, 2022 and 2021, see financial statements, Note 18. Fair Values of Financial Instruments. 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 2021, 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. 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, 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 first quarter of 2021, we began to negotiate with derivative counterparties to transform LIBOR-indexed interest rate swaps to SOFR- OIS and have now made the transition to SOFR-OIS for a significant number of bilaterally executed derivatives. We will continue to review opportunities to execute the transition, the timing would be determined by the economic feasibility of transitioning to SOFR. In October 2020, we elected to adopt SOFR as the appropriate index to discount interest rate swaps cleared by the two major central swap clearing organizations as a start to an orderly transition to SOFR. 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. 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. The FHLBNY records derivatives on trade date, and hedge accounting commences on trade date, at which time subsequent changes to the derivative’s fair value are recorded along with the offsetting changes in the fair value of the hedged item attributable to the risk being hedged. On settlement date, the basis adjustments to the hedged item’s carrying amount are combined with the principal amounts and the basis becomes part of the total carrying amount of the hedged item. The FHLBNY has defined its market settlement conventions for hedged items to be five business days or less for advances and thirty calendar days or less, using a next business day convention, for Consolidated obligations bonds and discount notes. These market settlement conventions are the shortest period possible for each type of advance and Consolidated obligations from the time the instruments are committed to the time they settle. The FHLBNY reports derivative assets and derivative liabilities in its Statements of Condition after giving effect to legally enforceable master netting, or when an agreement is not available as with OTC cleared derivatives, enforceability is based on a legal analysis or legal opinion. Reported Derivative assets and liabilities include interest receivable and payable on derivative contracts and the fair values of the derivative contracts. The Bank records cash collateral received and posted in the Statements of Condition as an adjustment to Derivative assets and liabilities in the following manner - Cash collateral posted by the FHLBNY is reported as a deduction to Derivative liabilities; cash collateral received from derivative counterparties is reported as a deduction to Derivative assets. Cash posted by the FHLBNY in excess of margin requirements is recorded as a receivable in Derivative assets. Variation margin exchanged with Derivative Clearing Organizations on cleared derivatives is treated as a settlement of the derivative itself, a reduction of the fair value of the derivative, and not as collateral. When derivative counterparties pledge marketable securities, they typically retain title and the securities are treated as non-cash collateral. When the FHLBNY pledges securities to counterparties, we also retain title to the securities and treat the securities as collateral. Securities pledged or received are not netted against the derivative exposures on the Statements of Condition. The FHLBNY routinely issues debt to investors and makes advances to members. In certain such instruments, the FHLBNY may embed a derivative. Typically, such derivatives are call and put options to early terminate the instruments at par on pre-determined dates. The FHLBNY may also embed interest rate caps and floors, or step-up or step-down interest rate features within the instruments. The FHLBNY also routinely structures interest rate swaps to hedge the FHLBank debt and advances, and the FHLBNY may also embed derivative instruments, such as those identified in the previous discussion, in the swaps. When such instruments are conceived, designed and structured, our control procedures require the identification and evaluation of embedded derivatives, as defined under accounting standards for derivatives and hedging activities. This evaluation will consider whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the advance or debt (the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. Typically, we execute derivatives under three hedging strategies — by designating them as a fair value or cash flow hedge of an underlying financial instrument or a forecasted transaction that qualifies for hedge accounting treatment; by acting as an intermediary; or by designating the derivative as an asset-liability management hedge (i.e. an “economic hedge”). Derivative contracts hedging the risks associated with changes in fair value are referred to as fair value hedges, while contracts hedging the variability of expected future cash flows are cash flow hedges. Other than to elect the amendments under ASU 2017-12, which expanded the strategies that qualify for hedge accounting and simplified the application of hedge accounting, no other changes were made to hedge accounting strategies. Fair Value Hedges. Hedging of Benchmark interest Rate Risk — The FHLBNY’s fair value hedges are primarily hedges of fixed-rate Consolidated obligation bonds and fixed-rate advances, and beginning in 2019 we have executed fair value hedges of available-for-sale securities. For qualifying fair value hedges of interest rate risk, the changes in the fair value of the derivative and the changes in the fair value of the hedged item attributable to the hedged risk, either total cash flows or benchmark only cash flows, are presented within Interest income or Interest expense based on whether the hedged item is an asset or a liability. Prior to the adoption of ASU 2017-12, changes to the fair value of the derivative and the qualifying hedged item were presented in Other income (loss), a line item below the Net interest income line in the Statements of income. The two principal fair value hedging activities are summarized below: Consolidated Obligations — The FHLBNY may manage the risk arising from changing market prices and volatility of a Consolidated obligation debt by matching the cash inflows on the derivative with the cash outflow on the Consolidated obligation debt and may include early termination features or options. In general, whenever we issue a longer-term fixed-rate debt, or a fixed-rate debt with call or put or other embedded options, we will simultaneously execute a derivative transaction, generally an interest rate swap, with terms that offset the terms of the fixed-rate debt, or terms of the debt with embedded put or call options or other options. When a fixed-rate debt is hedged, the combination of the fixed-rate debt and the derivative transaction effectively creates a variable rate liability, indexed to a benchmark interest rate. Advances — We offer a wide array of advances structures to meet members’ funding needs. These advances may have maturities up to 30 years with fixed or adjustable rates and may include early termination features or options. We may use derivatives to adjust the repricing and/or options characteristics of advances to more closely match the characteristics of its funding liabilities. In general, whenever a member executes a longer term fixed-rate advance, or a fixed-rate advance with call or put or other embedded options, we will simultaneously execute a derivative transaction, generally an interest rate swap, with terms that offset the terms of the fixed-rate advance, or terms of the advance with embedded put or call options or other options. When a fixed-rate advance is hedged, the combination of the fixed-rate advance and the derivative transaction effectively creates a variable rate asset, indexed to a benchmark interest rate. The partial-term hedging strategy makes it possible to hedge selected fixed-rate payments in a fair value hedge of interest rate risk. While U.S. GAAP has long permitted entities to designate one or more contractual cash flows in a financial instrument, the hedge strategy could result in hedge ineffectiveness. This is because the fair value of the hedging instrument and the hedged item would react differently to changes in interest rates because the principal repayment of the debt occurs on a different date than the swap’s maturity. ASU 2017-12 addressed this issue by allowing entities to calculate the change in the fair value of the hedged item in a partial-term hedge of a fixed-rate financial instrument using an assumed term that begins when the first hedged cash flow begins to accrue and ends when the last hedged cash flow is due and payable. Similar to other fair value hedges, where the hedged item is an asset, the fair value of the hedged item attributable to interest rate risk is recorded in P&L and presented in Interest income from investments along with the change in the fair value of the hedging instrument. The new strategy has been utilized by the FHLBNY for hedging certain AFS designated mortgage-backed securities. Benchmark rate component hedging is permitted under the ASU, which addressed the issue that measuring changes in the fair value of the hedged item using the total coupon cash flows misrepresents the true effectiveness of these hedging relationships. Additionally, these hedging relationships are not meant to manage credit risk, and that using the total contractual cash flows to determine the change in the fair value of the hedged item attributable to the change in the benchmark interest rate creates an earnings mismatch that reflects the portion of the financial instrument that the entity does not intend to hedge. The new guidance addresses these issues by allowing entities to use either (1) the full contractual coupon cash flows or (2) the benchmark rate component of the contractual coupon cash flows to calculate the change in the fair value of the hedged item attributable to changes in the benchmark interest rate in a fair value hedge of interest rate risk. We have used the concept selectively. Discontinuation of Hedge Accounting. When hedge accounting is discontinued because the FHLBNY determines that the derivative no longer qualifies as an effective Cash flow hedge of an existing hedged item, the FHLBNY continues to carry the derivative on the balance sheet at its fair value; fair value marks previously recorded as basis adjustment in AOCI are reclassified to earnings when earnings are affected by the existing hedge item, which is the original forecasted transaction. Fair value changes on derivatives that are no longer in a hedge relationship are charged directly to earnings. Under limited circumstances, when the FHLBNY discontinues cash flow hedge accounting because it is no longer probable that the forecasted transaction will occur in the originally expected period plus the following two months, but it is probable the transaction will still occur in the future, the gain or loss on the derivative remains in AOCI and is recognized into earnings when the forecasted transaction affects earnings. However, if it is probable that a forecasted transaction will not occur by the end of the originally specified time period or within two months after that, the gains and losses that were included in AOCI are recognized immediately in earnings. The FHLBNY treats modifications of hedged items (e.g. reduction in par amounts, change in maturity date, and change in strike rates) that are other than minor as a termination of a hedge relationship, and previously recorded hedge basis adjustments of the hedged items are amortized over the life of the hedged item. 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. Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell. Note 7. Available-for-Sale Securities. Note 8. Held-to-Maturity Securities. Note 9. Advances. Note 10. Mortgage Loans Held-for-Portfolio. Note 19. Commitments and Contingencies (for off-balance sheet). Applications of the incurred loss methodology to develop credit loss provisions prior to the adoption of ASU 2016-13 are also described in the notes to financial statements. Classification of Investment Securities The FHLBNY classifies a debt security at the date of acquisition as trading, held-to-maturity or available-for-sale. Investments designated as held-to-maturity and available-for-sale are primarily GSE-issued mortgage-backed securities, and a small portfolio of bonds issued by housing finance agencies. Investments designated as trading are primarily U.S. Treasury securities. Purchases and sales of securities are recorded on a trade date basis. Prepayments are estimated for purposes of amortizing premiums and accreting discounts on investment securities in accordance with accounting standards for investments in debt securities, which requires premiums and discounts to be recognized in income at a constant effective yield over the life of the instrument. Because actual prepayments often deviate from the estimates, the effective yield is recalculated periodically to reflect actual prepayments to date. Adjustments of the effective yields for mortgage-backed securities are recorded on a retrospective basis, as if the new estimated life of the security had been known at its original acquisition date. The Bank’s trading portfolio is to enhance the FHLBNY’s liquidity position, and is invested typically in U.S. Treasury securities and GSE-issued bonds. The securities are carried at fair value with changes in the fair value of these investments recorded in Other income. The Bank does not participate in speculative trading practices and holds these investments indefinitely as the FHLBNY periodically evaluates its liquidity needs. Held-to-Maturity Securities — The FHLBNY classifies debt securities for which it has both the ability and intent to hold to maturity as held-to-maturity investments. Such investments are recorded at amortized cost basis, which includes adjustments made to the cost of an investment for accretion and amortization of discounts and premiums, collection of cash and, if hedged, the fair value hedge accounting adjustments. If a held-to-maturity security is determined to be credit impaired or other-than-temporarily impaired (formerly OTTI), the amortized cost basis of the security is adjusted for credit losses. Amortized cost basis of a held-to-maturity OTTI security is further adjusted for impairment related to all other factors (also referred as the non-credit component of OTTI) and recognized in AOCI; the adjusted amortized cost basis is the carrying value of the OTTI security as reported in the Statements of Condition. Carrying value of a held-to-maturity security that is not OTTI is its amortized cost basis. Interest earned on such securities is included in Interest income. In accordance with accounting standards for investments in debt securities, sales of debt securities that meet either of the following two conditions may be considered as maturities for purposes of the classification of securities: (1) the sale occurs near enough to its maturity date (or call date if exercise of the call is probable) such that interest rate risk is substantially eliminated as a pricing factor and the changes in market interest rates would not have a significant effect on the security’s fair value, or (2) the sale of a security occurs after the FHLBNY has already collected a substantial portion (at least 85%) of the principal outstanding at acquisition. 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. Available-for-Sale Securities Trading Securities — Debt securities classified as trading are held for liquidity purposes and carried at fair value. We record changes in the fair value of these investments through Other income as net realized and unrealized gains or losses on trading securities. The Finance Agency prohibits speculative trading practices but allows permitted securities to be deemed held for liquidity if invested in a trading portfolio. We periodically evaluate our liquidity needs and may dispose these investments as deemed prudent by liquidity and market conditions. Equity Securities Federal Funds Sold. Securities Purchased under Agreements to Resell. As part of the FHLBNY’s banking activities with counterparties, the FHLBNY may enter into secured financing transactions that mature overnight and can be extended only at the discretion of the FHLBNY. These transactions involve the lending of cash, against which securities are taken as collateral. The FHLBNY does not have the right to repledge the securities received. Securities purchased under agreements to resell generally do not constitute a transfer of the underlying securities. The FHLBNY treats securities purchased under agreements to resell as collateralized financings because the counterparty retains control of the securities. Interest from such securities is included in Interest income. The FHLBNY did not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented. Advances Accounting for Advances. The FHLBNY reports advances at amortized cost, net of any discounts and premiums (discounts are generally associated with advances for the Affordable Housing Program). If the advance is hedged in an ASC 815 qualifying hedge, its carrying value will include hedging valuation adjustments, which will typically be the result of changes in designated benchmark index. If an advance is accounted under the Fair Value Option, the carrying value of the advances elected will be its full fair value. The FHLBNY records interest on advances to income as earned, and amortizes the premium and accretes the discounts on a contractual basis to interest income using a level-yield methodology. Typically, advances are issued at par. Impairment Analysis of Advances . An advance will be considered impaired when, based on current information and events, it is probable that the FHLBNY will be unable to collect all amounts due according to the contractual terms of the advance agreement. The FHLBNY has established asset classification and reserve policies for adversely classified assets. All adversely classified assets of the FHLBNY will have a reserve established for probable losses. Following the requirements of the Federal Home Loan Bank Act of 1932 (FHLBank Act), as amended, the FHLBNY obtains sufficient collateral on advances to protect it from losses. The FHLBank Act limits eligible collateral to certain investment securities, residential mortgage loans, cash or deposits with the FHLBNY, and other eligible real estate related assets. Borrowing members pledge their capital stock of the FHLBNY as additional collateral for advances. The FHLBNY has not incurred any credit losses on advances since its inception. Based upon the financial condition of its borrowers, the collateral held as security on the advances and repayment history, management of the FHLBNY believes that an allowance for credit losses on advances is unnecessary. Advance Modifications. From time to time, the FHLBNY will enter into an agreement with a member to modify the terms of an existing advance. The FHLBNY evaluates whether the modified advance meets the accounting criteria under ASC 310-20 to qualify as a modification of an existing advance or as a new advance in accordance with provisions under creditor’s accounting for a modification or exchange of debt instruments. The evaluation includes analysis of (i) whether the effective yield on the new advance is at least equal to the effective yield for a comparable advance to a similar member that is not refinancing or restructuring, and (ii) whether the modification of the original advance is more than minor. If the FHLBNY determines that the modification is more than minor, the transaction is treated as an advance termination and the subsequent funding of a new advance, with gains or losses recognized in earnings for the period. If the advance is in a hedging relationship, and the modification is more than minor, the FHLBNY will consider the hedge relationship as terminated and previously recorded hedge basis adjustments are amortized over the life of the hedged advance through interest income as a yield adjustment. If the modification of the hedged item and the derivative instrument is considered minor, and if the hedge relationship is de-designated and contemporaneously re-designated, the FHLBNY would not require amortization of previously recorded hedge basis adjustments, although the assumption of no ineffectiveness is removed if the hedge was previously designated as a short-cut hedge. The FHLBNY performs a “test of a modification” under the guidance provided in ASC 310-20-35-11 each time a new advance is borrowed within a short-period of time, typically 5 business days after a prepayment. If a prepayment fee is received on an advance that is determined to be a modification |
Financial Accounting Standards
Financial Accounting Standards Board (FASB) Standards Issued. | 12 Months Ended |
Dec. 31, 2022 | |
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 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: • contract modifications, • hedging relationship, and • sale or transfer of debt securities classified as HTM. This guidance is effective for the FHLBNY beginning on March 12, 2020, and we may elect to apply the amendments prospectively through December 31, 2024. The Bank is in the process of converting longer dated LIBOR-indexed swaps to SOFR and working with our counterparties. We don’t expect this guidance to have a material effect on the Bank’s financial position or results of operations. Fair Value Hedging - Portfolio Layer Method ASU 2022-01, Issued March 2022 This guidance expands the current last-of-layer method to apply fair value hedging by allowing multiple hedged layers of a single closed portfolio under the method. To reflect that expansion, the last-of-layer method is renamed the portfolio layer method. Additionally, among other things, this guidance: • expands the scope of the portfolio layer method to include nonprepayable assets • specifies eligible hedging instruments in a single-layer hedge This guidance is effective for annual periods, and interim periods within those annual periods, beginning after December 15, 2022. Early adoption is permitted. We are in the process of evaluating the guidance and its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined. Troubled Debt Restructurings and Vintage Disclosures ASU 2022-02, Issued March 2022 This guidance eliminates the accounting guidance for troubled debt restructurings by creditors that have adopted the current expected credit losses methodology while enhancing disclosure requirements for certain loan refinancing and restructuring by creditors made to borrowers experiencing financial difficulty. Additionally, this guidance requires disclosure of current period gross write-offs by year of origination for financing receivables and net investment in leases. This guidance is effective for annual periods, and interim periods within those annual periods, beginning after December 15, 2022. Early adoption is permitted. We are in the process of evaluating the guidance and its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined. |
Cash and Due from Banks.
Cash and Due from Banks. | 12 Months Ended |
Dec. 31, 2022 | |
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 exempt 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 December 31, 2022 and December 31, 2021. There were no restricted cash balances at December 31, 2022 and December 31, 2021. 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. There were |
Interest-bearing Deposits, Fede
Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell. | 12 Months Ended |
Dec. 31, 2022 | |
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 billion at December 31, 2021. Deposits are evaluated quarterly for expected credit losses based on the probability of default of the borrowing counterparty and the terms to maturity of the outstanding investments at the measurement dates. Based on analysis performed, Federal funds sold Securities purchased under agreements to resell billion at December 31, 2021. The investments typically matured overnight, and were executed through a tri-party arrangement that involved transfer of overnight funds to a segregated safekeeping account at the Bank of New York (BONY). BONY, acting as an independent agent on behalf of the FHLBNY and the counterparty to the transactions, assumes the responsibility of receiving eligible securities as collateral and releasing funds to the counterparty. The amount of cash loaned against the collateral is a function of the liquidity and quality of the collateral. The collateral is typically in the form of securities that meet the FHLBNY’s credit quality standards, are highly rated and readily marketable. The FHLBNY has the ability to call for additional collateral if the value of the securities falls below a pre-defined haircut. The FHLBNY can terminate the transaction and liquidate the collateral if the counterparty fails to post the additional margin. Agreements generally allow the FHLBNY to repledge securities under certain conditions. U.S. Treasury securities at market values of $4.3 billion at December 31, 2022 and $1.2 billion at December 31, 2021 were received at BONY to collateralize the overnight investments. Securities purchased under agreements to resell averaged $74.0 million for the twelve months ended December 31, 2022 and $0.6 billion for the same period in 2021. Interest income from securities purchased under agreements to resell was $2.5 million for 2022, $0.5 million for 2021 and $28.6 million for 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 December 31, 2022 and December 31, 2021. |
Trading Securities.
Trading Securities. | 12 Months Ended |
Dec. 31, 2022 | |
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 December 31, 2022 and December 31, 2021 (in thousands): Fair value December 31, 2022 December 31, 2021 U.S. Treasury notes $ 7,113,419 $ 5,821,380 Total trading securities $ 7,113,419 $ 5,821,380 The carrying values of trading securities included net unrealized fair value loss of $373.0 million at December 31, 2022 and loss of $13.8 million at December 31, 2021. 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 $576.8 million at December 31, 2022 and $367.1 million at December 31, 2021 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 December 31, 2022 Due in one year Due after one year Due after five years or less through five years through ten years Total Fair Value U.S. Treasury notes $ 2,894,964 $ 2,589,829 $ 1,628,626 $ 7,113,419 Total trading securities $ 2,894,964 $ 2,589,829 $ 1,628,626 $ 7,113,419 Yield on trading securities 0.96 % 1.39 % 1.18 % December 31, 2021 Due in one year Due after one year Due after five years or less through five years through ten years Total Fair Value U.S. Treasury notes $ 2,516,659 $ 1,491,893 $ 1,812,828 $ 5,821,380 Total trading securities $ 2,516,659 $ 1,491,893 $ 1,812,828 $ 5,821,380 Yield on trading securities 1.27 % 1.32 % 1.32 % |
Equity Investments.
Equity Investments. | 12 Months Ended |
Dec. 31, 2022 | |
Equity Investments. | |
Equity Investments. | Note 6. Equity Investments. The FHLBNY has classified its grantor trust as equity investments. December 31, 2022 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains (b) Losses (b) Value (c) Cash equivalents $ 4,308 $ — $ — $ 4,308 Equity funds 43,038 12,772 (6,760) 49,050 Fixed income funds 33,353 167 (5,124) 28,396 Total Equity Investments (a) $ 80,699 $ 12,939 $ (11,884) $ 81,754 December 31, 2021 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains (b) Losses (b) Value (c) Cash equivalents $ 3,261 $ — $ — $ 3,261 Equity funds 41,228 21,342 (2,425) 60,145 Fixed income funds 32,703 415 (400) 32,718 Total Equity Investments (a) $ 77,192 $ 21,757 $ (2,825) $ 96,124 (a) The intent of the grantor trust is to set aside cash to meet current and future payments for a supplemental unfunded pension plan. 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): Years ended December 31, 2022 2021 Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date $ (17,877) $ 4,480 Net gains (losses) recognized during the period on equity investments sold during the period (265) 1,434 Net dividend and other 2,768 3,855 Net gains (losses) recognized during the period $ (15,374) $ 9,769 |
Available-for-Sale Securities.
Available-for-Sale Securities. | 12 Months Ended |
Dec. 31, 2022 | |
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 December 31, 2022 and December 31, 2021. The following tables provide major security types (in thousands): December 31, 2022 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains Losses Value GSE and U.S. Obligations State and local housing finance agency obligations $ 1,109,790 $ 1 $ (762) $ 1,109,029 Mortgage-backed securities Floating CMO 462,796 557 (5,403) 457,950 PASS THRU 4,080 24 (2) 4,102 Total Floating 466,876 581 (5,405) 462,052 Fixed CMBS 6,320,976 3,875 (807,062) 5,517,789 Total Fixed 6,320,976 3,875 (807,062) 5,517,789 MBS AFS Before Hedging Adjustments 6,787,852 4,456 (a) (812,467) (a) 5,979,841 Hedging Basis Adjustments in AOCI (b) (575,104) 575,104 — — Total Available-for-sale securities (MBS) 6,212,748 579,560 (812,467) 5,979,841 Total Available-for-sale securities $ 7,322,538 $ 579,561 $ (813,229) $ 7,088,870 December 31, 2021 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains Losses Value GSE and U.S. Obligations State and local housing finance agency obligations $ 998,520 $ 167 $ (50) $ 998,637 Mortgage-backed securities Floating CMO 575,441 8,982 — 584,423 PASS THRU 4,896 215 — 5,111 Total Floating 580,337 9,197 — 589,534 Fixed CMBS 4,843,394 171,731 (55,875) 4,959,250 Total Fixed 4,843,394 171,731 (55,875) 4,959,250 MBS AFS Before Hedging Adjustments 5,423,731 180,928 (a) (55,875) (a) 5,548,784 Hedging Basis Adjustments in AOCI (b) (30,667) 30,667 — — Total Available-for-sale securities (MBS) 5,393,064 211,595 (55,875) 5,548,784 Total Available-for-sale securities $ 6,391,584 $ 211,762 $ (55,925) $ 6,547,421 (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 December 31, 2022 recorded $575.1 million of hedge basis losses; at December 31, 2021, hedge basis losses of $30.7 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 December 31, 2022 and December 31, 2021, 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 December 31, 2022 and December 31, 2021. The following table summarizes available-for-sale securities with estimated fair values below their amortized cost basis (in thousands): December 31, 2022 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-Other US Obligations Ginnie Mae-CMO $ 4,521 $ (51) $ — $ — $ 4,521 $ (51) MBS-GSE Fannie Mae-CMO 283,287 (4,620) — — 283,287 (4,620) Fannie Mae-CMBS 424,871 (26,948) — — 424,871 (26,948) Freddie Mac-CMO 76,951 (732) — — 76,951 (732) Freddie Mac-CMBS 2,657,360 (202,093) 2,302,235 (578,021) 4,959,595 (780,114) Fannie Mae-Pass Thru 368 (2) — — 368 (2) Total MBS-GSE 3,442,837 (234,395) 2,302,235 (578,021) 5,745,072 (812,416) Total MBS Temporarily Impaired $ 3,447,358 $ (234,446) $ 2,302,235 $ (578,021) $ 5,749,593 $ (812,467) State and local housing finance agency obligations 944,406 (684) 14,622 (78) 959,028 (762) Total Temporarily Impaired $ 4,391,764 $ (235,130) $ 2,316,857 $ (578,099) $ 6,708,621 $ (813,229) December 31, 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 $ 1,476,219 $ (23,442) $ 641,268 $ (32,433) $ 2,117,487 $ (55,875) Total MBS-GSE 1,476,219 (23,442) 641,268 (32,433) 2,117,487 (55,875) Total MBS Temporarily Impaired $ 1,476,219 $ (23,442) $ 641,268 $ (32,433) $ 2,117,487 $ (55,875) State and local housing finance agency obligations — — 21,130 (50) 21,130 (50) Total Temporarily Impaired $ 1,476,219 $ (23,442) $ 662,398 $ (32,483) $ 2,138,617 $ (55,925) 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) December 31, 2022 December 31, 2021 Amortized Estimated Amortized Estimated Cost (b) Fair Value Cost (b) Fair Value State and local housing finance agency obligations Due in one year or less $ 750 $ 750 $ — $ — Due after one year through five years 14,700 14,622 21,180 21,130 Due after ten years 1,094,340 1,093,657 977,340 977,507 State and local housing finance agency obligations $ 1,109,790 $ 1,109,029 $ 998,520 $ 998,637 Mortgage-backed securities Due in one year or less $ 34 $ 34 $ — $ — Due after one year through five years 1,046,588 991,319 875,385 917,150 Due after five year through ten years 4,169,456 4,035,246 3,591,533 3,696,985 Due after ten years 996,670 953,242 926,146 934,649 Mortgage-backed securities $ 6,212,748 $ 5,979,841 $ 5,393,064 $ 5,548,784 Total Available-for-Sale securities $ 7,322,538 $ 7,088,870 $ 6,391,584 $ 6,547,421 (a) The carrying value of AFS securities equals fair value. (b) Amortized cost is UPB after adjusting for net unamortized premiums of $4.6 million and $79.9 million at December 31, 2022 and December 31, 2021, 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): December 31, 2022 December 31, 2021 Amortized Cost Fair Value Amortized Cost Fair Value Mortgage-backed securities Floating CMO $ 462,796 $ 457,950 $ 575,441 $ 584,423 PASS THRU 4,080 4,102 4,896 5,111 Total Floating 466,876 462,052 580,337 589,534 Fixed CMBS 5,745,872 5,517,789 4,812,727 4,959,250 Total Fixed 5,745,872 5,517,789 4,812,727 4,959,250 Total Mortgage-backed securities 6,212,748 5,979,841 5,393,064 5,548,784 State and local housing finance agency obligations Floating 1,109,790 1,109,029 998,520 998,637 Total Available-for-Sale securities $ 7,322,538 $ 7,088,870 $ 6,391,584 $ 6,547,421 |
Held-to-Maturity Securities.
Held-to-Maturity Securities. | 12 Months Ended |
Dec. 31, 2022 | |
Held-to-Maturity Securities. | |
Held-to-Maturity Securities. | |
Securities. | Note 8. Held-to-Maturity Securities. Major Security Types (in thousands) December 31, 2022 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 $ 26,251 $ — $ — $ 26,251 $ 371 $ (6) $ 26,616 Freddie Mac 4,570 — — 4,570 76 — 4,646 Total pools of mortgages 30,821 — — 30,821 447 (6) 31,262 Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits Fannie Mae 210,453 — — 210,453 — (7,072) 203,381 Freddie Mac 248,687 — — 248,687 — (6,162) 242,525 Ginnie Mae — — — — — — — Total CMOs/REMICs 459,140 — — 459,140 — (13,234) 445,906 Commercial Mortgage-Backed Securities (b) Fannie Mae 1,108,553 — — 1,108,553 — (21,410) 1,087,143 Freddie Mac 7,530,247 — — 7,530,247 3,629 (394,246) 7,139,630 Total commercial mortgage-backed securities 8,638,800 — — 8,638,800 3,629 (415,656) 8,226,773 Non-GSE MBS (c) CMOs/REMICs 2,626 (199) (231) 2,196 — (359) 1,837 Asset-Backed Securities (c) Manufactured housing (insured) 13,738 — — 13,738 291 — 14,029 Home equity loans (insured) 26,832 — (311) 26,521 3,821 (444) 29,898 Home equity loans (uninsured) 6,171 — (456) 5,715 596 (59) 6,252 Total asset-backed securities 46,741 — (767) 45,974 4,708 (503) 50,179 Total MBS 9,178,128 (199) (998) 9,176,931 8,784 (429,758) 8,755,957 Other State and local housing finance agency obligations 177,225 (108) — 177,117 — (13,869) 163,248 Total Held-to-maturity securities $ 9,355,353 $ (307) $ (998) $ 9,354,048 $ 8,784 $ (443,627) $ 8,919,205 December 31, 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 $ 33,128 $ — $ — $ 33,128 $ 4,086 $ — $ 37,214 Freddie Mac 5,478 — — 5,478 712 — 6,190 Total pools of mortgages 38,606 — — 38,606 4,798 — 43,404 Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits Fannie Mae 300,442 — — 300,442 2,338 (144) 302,636 Freddie Mac 322,186 — — 322,186 3,066 (22) 325,230 Ginnie Mae — — — — — — — Total CMOs/REMICs 622,628 — — 622,628 5,404 (166) 627,866 Commercial Mortgage-Backed Securities (b) Fannie Mae 1,301,041 — — 1,301,041 22,166 (159) 1,323,048 Freddie Mac 7,117,953 — — 7,117,953 339,409 (6,461) 7,450,901 Total commercial mortgage-backed securities 8,418,994 — — 8,418,994 361,575 (6,620) 8,773,949 Non-GSE MBS (c) CMOs/REMICs 2,978 (226) (261) 2,491 35 (51) 2,475 Asset-Backed Securities (c) Manufactured housing (insured) 18,484 — — 18,484 498 — 18,982 Home equity loans (insured) 32,519 — (374) 32,145 6,187 — 38,332 Home equity loans (uninsured) 11,382 — (951) 10,431 1,286 (84) 11,633 Total asset-backed securities 62,385 — (1,325) 61,060 7,971 (84) 68,947 Total MBS 9,145,591 (226) (1,586) 9,143,779 379,783 (6,921) 9,516,641 Other State and local housing finance agency obligations 185,000 (114) — 184,886 16 (17,269) 167,633 Total Held-to-maturity securities $ 9,330,591 $ (340) $ (1,586) $ 9,328,665 $ 379,799 $ (24,190) $ 9,684,274 (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 “multi-family properties”. Eligible property types include standard conventional multifamily apartments, affordable multi-family 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. Securities Pledged The FHLBNY had pledged MBS, with an amortized cost basis of $3.0 million at December 31, 2022 and $2.5 million at December 31, 2021, 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 — 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. December 31, 2022 December 31, 2021 Amortized Estimated Amortized Estimated Cost (a) Fair Value Cost (a) Fair Value State and local housing finance agency obligations Due in one year or less $ — $ — $ 1,085 $ 1,100 Due after one year through five years 1,145 1,137 1,560 1,550 Due after five years through ten years 3,545 3,415 100 100 Due after ten years 172,535 158,696 182,255 164,883 State and local housing finance agency obligations $ 177,225 $ 163,248 $ 185,000 $ 167,633 Mortgage-backed securities Due in one year or less $ 375,677 $ 372,953 $ 622,150 $ 627,027 Due after one year through five years 4,564,091 4,397,702 3,244,996 3,338,703 Due after five years through ten years 3,484,910 3,258,306 4,411,317 4,670,692 Due after ten years 753,450 726,996 867,128 880,219 Mortgage-backed securities $ 9,178,128 $ 8,755,957 $ 9,145,591 $ 9,516,641 Total Held-to-Maturity Securities $ 9,355,353 $ 8,919,205 $ 9,330,591 $ 9,684,274 (a) Amortized cost is UPB after adjusting for net unamortized discounts of $32.3 million at December 31, 2022 and net unamortized premiums of $45.7 million at December 31, 2021 and before adjustments for allowance for credit losses. |
Advances.
Advances. | 12 Months Ended |
Dec. 31, 2022 | |
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): December 31, 2022 December 31, 2021 Weighted (a) Weighted (a) Average Percentage Average Percentage Amount Yield of Total Amount Yield of Total Overdrawn demand deposit accounts $ 4 5.36 % — % $ — — % — % Due in one year or less 82,971,070 3.00 70.96 39,102,862 0.64 54.91 Due after one year through two years 13,739,663 1.82 11.75 8,417,861 1.52 11.82 Due after two years through three years 4,480,758 1.79 3.83 5,986,412 1.35 8.41 Due after three years through four years 2,552,886 1.55 2.18 3,847,497 1.49 5.40 Due after four years through five years 5,588,876 3.27 4.78 2,366,939 1.41 3.32 Thereafter 7,596,597 3.15 6.50 11,493,595 1.82 16.14 Total par value 116,929,854 2.80 % 100.00 % 71,215,166 1.07 % 100.00 % Advance discounts (2,083) (160) Hedge valuation basis adjustments (b) (1,634,895) 321,396 Total $ 115,292,876 $ 71,536,402 (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 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, can be liquidated in due course, 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, can be liquidated in due course, 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 status impaired As of December 31, 2022, 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 2023 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 December 31, 2022. Concentration of Advances Outstanding. borrowing member institutions are reported in Note 21. Segment Information and Concentration. The FHLBNY held sufficient collateral to cover the advances to all institutions and it does not expect to incur any credit losses. Advances borrowed by insurance companies accounted for 32.9% and 41.4% of total advances at December 31, 2022 and December 31, 2021, 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 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. | 12 Months Ended |
Dec. 31, 2022 | |
Mortgage Loans Held-for-Portfolio. | |
Mortgage Loans Held-for-Portfolio. | Note 10. Mortgage Loans Held-for-Portfolio. Mortgage Partnership Finance program loans (MPF) are the mortgage loans held-for-portfolio. The FHLBNY participates in the MPF program by purchasing and originating conventional mortgage loans from its participating members, hereafter referred to as Participating Financial Institutions (PFI). The FHLBNY manages the liquidity, interest rate and prepayment option risk of the MPF loans, while the PFIs retain servicing activities, and may credit-enhance the portion of the loans participated to the FHLBNY. No intermediary trust is involved. 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 MAP. Legacy loans under the MPF programs will continue to be supported and serviced under the MPF loan agreements. At December 31, 2022, mortgage loans under the MAP program were at carrying value of $226.0 million compared to $161.6 million at December 31, 2021. 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): December 31, 2022 December 31, 2021 Carrying Percentage of Carrying Percentage of Amount Total Amount Total Real Estate (a) : Fixed medium-term single-family mortgages $ 109,429 5.90 % $ 138,831 6.52 % Fixed long-term single-family mortgages 1,745,699 94.10 1,988,968 93.48 Total unpaid principal balance $ 1,855,128 100.00 % $ 2,127,799 100.00 % Unamortized premiums 26,448 31,351 Unamortized discounts (693) (857) Basis adjustment (b) 1,703 1,966 Total MPF loans amortized cost $ 1,882,586 $ 2,160,259 MPF allowance for credit losses (1,665) (1,956) MPF loans held-for-portfolio $ 1,880,921 $ 2,158,303 MAP loans held-for-portfolio 226,048 161,561 Total mortgage loans held-for-portfolio at carrying value $ 2,106,969 $ 2,319,864 (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 following table presents the fixed-rate mortgage loans held-for-portfolio by redemption terms for the current year (in thousands): Redemption Term December 31, 2022 December 31, 2021 Due in one year or less $ 79,855 $ 83,195 Due after one year through five years 334,980 355,950 Due after five years through fifteen years 860,981 922,236 Thereafter 800,395 923,160 Total unpaid principal balance $ 2,076,211 $ 2,284,541 Other adjustments, net (a) 32,669 37,458 Total mortgage loans held for portfolio $ 2,108,880 $ 2,321,999 Allowance for credit losses on mortgage loans (1,911) (2,135) Mortgage loans held for portfolio, net $ 2,106,969 $ 2,319,864 (a) Consists of premiums, discounts, and hedging adjustments. 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 $44.3 million at December 31, 2022 and $44.2 million at December 31, 2021. 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 $1.7 million in 2022, $2.1 million in 2021, and $2.7 million in 2020. 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 single or aggregate (multi-member) 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 $3.5 million at December 31, 2022 and $2.4 million at December 31, 2021. 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). Our allowance for credit loss of $1.9 million at December 31, 2022 took into consideration several factors. First, the Bank’s mortgage loan portfolio has a history of incurred losses that have not been significant. 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 $10.2 million at December 31, 2022 and $11.1 million at December 31, 2021. 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. There were no MAP loans in serious delinquent status (90 days or more) at December 31, 2022 and December 31, 2021. Roll forward Analysis of Allowance for Credit Losses The following table provides a roll forward analysis of the allowance for credit losses (in thousands): Years ended December 31, 2022 2021 2020 Allowance for credit losses: Beginning balance $ 2,135 $ 7,073 $ 653 Adjustment for cumulative effect of accounting change — — 2,972 Charge-offs (31) (50) (94) Recoveries — — — Provision (Reversal) for credit losses on mortgage loans (193) (4,888) 3,542 Balance, at end of period $ 1,911 $ 2,135 $ 7,073 The following table presents risk elements and credit losses (dollars in thousands): December 31, 2022 December 31, 2021 Average loans outstanding during the period (a) $ 2,155,287 $ 2,501,735 Mortgage loans held for portfolio (a) 2,076,211 2,284,541 Non-accrual loans (a) 7,795 12,294 Allowance for credit losses on mortgage loans held for portfolio 1,911 2,135 Net charge-offs 31 50 Ratio of net charge-offs to average loans outstanding during the period 0.001 % 0.002 % Ratio of allowance for credit losses to mortgage loans held for portfolio 0.092 % 0.093 % Ratio of non-accrual loans to mortgage loans held for portfolio 0.375 % 0.538 % Ratio of allowance for credit losses to non-accrual loans 24.511 % 17.369 % (a) Balances represent unpaid principal balance. The FHLBNY’s total MPF loans and impaired MPF loans were as follows (in thousands): December 31, 2022 December 31, 2021 Total MPF Mortgage loans, carrying values net (a) $ 1,880,921 $ 2,158,303 Non-performing MPF mortgage loans - Conventional (a)(b) $ 7,795 $ 12,294 Insured MPF loans past due 90 days or more and still accruing interest (a)(b) $ 4,632 $ 6,612 (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 unpaid principal balance 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 2022 or 2021. 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): December 31, 2022 Unpaid Average Principal Related Amortized Cost Amortized Cost Balance Allowance After Allowance After Allowance (d) Conventional Loans - MPF (a)(c) No related allowance (b) $ 1,053,813 $ — $ 1,068,388 $ 1,167,490 With a related allowance 664,581 (1,665) 673,518 668,124 Total measured for impairment $ 1,718,394 $ (1,665) $ 1,741,906 $ 1,835,614 December 31, 2021 Unpaid Average Principal Related Amortized Cost Amortized Cost Balance Allowance After Allowance After Allowance (d) Conventional Loans - MPF (a)(c) No related allowance (b) $ 1,329,019 $ — $ 1,348,056 $ 1,506,305 With a related allowance 640,788 (1,956) 649,531 779,346 Total measured for impairment $ 1,969,807 $ (1,956) $ 1,997,587 $ 2,285,651 (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 twelve months ended December 31, 2022 and for the same period ended December 31, 2021. The following table summarizes MPF mortgage loans held-for-portfolio by collateral/guarantee type (in thousands): December 31, 2022 December 31, 2021 Mortgage Loans Held for Portfolio by Collateral/Guarantee Type : Conventional mortgage loans - MPF $ 1,718,394 $ 1,969,807 MPF Government-guaranteed or -insured mortgage loans 136,734 157,992 Total MPF loans - unpaid principal balance $ 1,855,128 $ 2,127,799 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 December 31, 2022 and December 31, 2021. Credit Quality Indicator for Conventional Mortgage Loans December 31, 2022 Conventional Loans Origination Year Prior to 2018 2018 to 2022 Total Payment Status, at Amortized Cost: Conventional MPF/MAP Past due 30 - 59 days $ 8,399 $ 4,104 $ 12,503 Past due 60 - 89 days 2,707 653 3,360 Past due 90 days or more 6,676 1,162 7,838 Total past due mortgage loans 17,782 5,919 23,701 Current MPF mortgage loans 941,098 778,871 1,719,969 Current MAP mortgage loans — 225,961 225,961 Total conventional mortgage loans $ 958,880 $ 1,010,751 $ 1,969,631 December 31, 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 $ 6,458 $ 6,614 $ 13,072 Past due 60 - 89 days 1,386 1,100 2,486 Past due 90 days or more 11,066 1,288 12,354 Total past due mortgage loans 18,910 9,002 27,912 Current MPF mortgage loans 964,314 1,007,317 1,971,631 Current MAP mortgage loans — 161,740 161,740 Total conventional mortgage loans $ 983,224 $ 1,178,059 $ 2,161,283 Other Delinquency Statistics December 31, 2022 Conventional MPF Government-Guaranteed MPF Loans or -Insured Loans Total MPF Loans Amortized Cost: In process of foreclosure (a) $ 3,940 $ 2,865 $ 6,805 Serious delinquency rate (b) 0.45 % 3.45 % 0.68 % Past due 90 days or more and still accruing interest $ — $ 4,702 $ 4,702 Loans on non-accrual status $ 7,838 $ — $ 7,838 Troubled debt restructurings: Loans discharged from bankruptcy (c) $ 5,241 $ 1,434 $ 6,675 Modified loans under MPF program $ — $ — $ — Real estate owned (d) $ — $ — $ — December 31, 2021 Conventional MPF Government-Guaranteed MPF Loans or -Insured Loans Total MPF Loans Amortized Cost: In process of foreclosure (a) $ 11,190 $ 4,053 $ 15,243 Serious delinquency rate (b) 0.95 % 4.26 % 1.19 % Past due 90 days or more and still accruing interest $ — $ 6,684 $ 6,684 Loans on non-accrual status $ 12,354 $ — $ 12,354 Troubled debt restructurings: Loans discharged from bankruptcy (c) $ 4,849 $ 778 $ 5,627 Modified loans under MPF program $ 421 $ — $ 421 Real estate owned (d) $ 357 $ — $ 357 (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 in MPF program. 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. | 12 Months Ended |
Dec. 31, 2022 | |
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. Deposits represent a relatively small portion of the FHLBNY’s funding, totaling $1.0 billion at December 31, 2022 and $1.3 billion at December 31, 2021, a decrease of $294.3 million, or 22.3%, from December 31, 2021. All FHLBNY deposits are uninsured and the balance of deposits vary depending on market factors, such as the attractiveness of the FHLBNY’s deposit pricing relative to the rates available on alternative money market instruments, FHLBNY members’ investment preferences with respect to the maturity of their investments, and FHLBNY members’ liquidity. Interest-bearing demand and overnight deposits represented 98.9% and 97.1% of deposits at December 31, 2022 and December 31, 2021, respectively, with the remaining deposits primarily being term deposits and non-interest- bearing deposits. Interest-bearing demand and overnight deposits pay interest based on a daily interest rate. The year-to-date average balances of demand and overnight deposits were $1.0 billion for 2022 and $1.4 billion for 2021. The annualized weighted-average interest rates paid on demand and overnight deposits were 1.36% for the year ended December 31, 2022 and 0.03% for the year ended December 31, 2021. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit. The average balances of term deposits were $0.4 million for the year ended December 31, 2022 and $0.2 million for the year ended December 31, 2021. The weighted-average interest rates paid on term deposits were 3.51% for the year ended December 31, 2022 and 0.17% for the year ended December 31, 2021. The following table summarizes deposits (in thousands): December 31, 2022 December 31, 2021 Interest-bearing deposits Interest-bearing demand $ 1,015,991 $ 1,283,072 Term (a) — — Total interest-bearing deposits 1,015,991 1,283,072 Non-interest-bearing demand 10,946 38,166 Total deposits (b) $ 1,026,937 $ 1,321,238 (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): Average Average Deposits December 31, 2022 Interest Rate (b) December 31, 2021 Interest Rate (b) Term deposits $ — 3.51 % $ — 0.17 % Interest-bearing demand (a) 1,015,991 1.36 1,283,072 0.03 Total interest-bearing deposits $ 1,015,991 1.36 % $ 1,283,072 0.03 % Non-interest-bearing demand 10,946 38,166 Total deposits $ 1,026,937 $ 1,321,238 (a) Primarily adjustable rate. (b) The weighted average interest rate is calculated based on the average balance. |
Consolidated Obligations.
Consolidated Obligations. | 12 Months Ended |
Dec. 31, 2022 | |
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 (in thousands): December 31, 2022 December 31, 2021 Consolidated obligation bonds-amortized cost $ 87,612,556 $ 54,643,748 Hedge valuation basis adjustments (2,015,128) 77,048 Hedge basis adjustments on de-designated hedges 114,430 125,091 FVO - valuation adjustments and accrued interest (214,103) (16,486) Total Consolidated obligation bonds $ 85,497,755 $ 54,829,401 Discount notes-amortized cost $ 61,832,418 $ 42,197,683 Hedge value basis adjustments (39,088) (424) Hedge basis adjustments on de-designated hedges (341) — FVO - valuation adjustments and remaining accretion — — Total Consolidated obligation discount notes $ 61,792,989 $ 42,197,259 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): December 31, 2022 December 31, 2021 Weighted Weighted Average Percentage Average Percentage Maturity Amount Rate (a) of Total Amount Rate (a) of Total One year or less $ 40,943,160 3.69 % 46.79 % $ 19,254,345 0.59 % 35.32 % Over one year through two years 16,499,805 2.56 18.85 7,317,160 1.20 13.42 Over two years through three years 7,808,115 1.65 8.92 5,881,385 0.85 10.79 Over three years through four years 10,533,905 1.09 12.04 4,149,215 0.97 7.61 Over four years through five years 4,638,435 2.35 5.30 10,072,905 0.95 18.48 Thereafter 7,092,000 2.88 8.10 7,839,700 2.44 14.38 Total par value 87,515,420 2.85 % 100.00 % 54,514,710 1.06 % 100.00 % Bond premiums (b) 123,477 152,601 Bond discounts (b) (26,341) (23,563) Hedge valuation basis adjustments (c) (2,015,128) 77,048 Hedge basis adjustments on de-designated hedges (d) 114,430 125,091 FVO (e) (214,103) (16,486) Total Consolidated obligation-bonds $ 85,497,755 $ 54,829,401 (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 the unamortized basis is reversed to zero at maturity of the debt. (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): December 31, 2022 December 31, 2021 Percentage Percentage Amount of Total Amount of Total Fixed-rate, non-callable $ 30,482,290 34.83 % $ 31,907,580 58.53 % Fixed-rate, callable 18,676,130 21.34 12,993,130 23.84 Step Up, callable 5,374,000 6.14 4,799,000 8.80 Floating rate, callable 250,000 0.29 1,265,000 2.32 Single-index floating rate 32,733,000 37.40 3,550,000 6.51 Total par value $ 87,515,420 100.00 % $ 54,514,710 100.00 % Discount Notes Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are Consolidated obligations with original maturities of up to . These notes are issued at less than their face amount and redeemed at par when they mature. December 31, 2022 December 31, 2021 Par value $ 62,295,735 $ 42,204,430 Amortized cost $ 61,832,418 $ 42,197,683 Hedge value basis adjustments (a) (39,088) (424) Hedge basis adjustments on de-designated hedges (b) (341) — FVO (c) — — Total discount notes $ 61,792,989 $ 42,197,259 Weighted average interest rate 3.97 % 0.06 % (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) Hedge basis adjustments on de-designated hedges — Represents the unamortized balances of valuation basis of CO discount notes 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 the unamortized basis is reversed to zero at maturity of the debt. (c) FVO valuation adjustments — Valuation basis adjustments 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. No CO discount notes were elected under the FVO at December 31, 2022 and December 31, 2021. |
Affordable Housing Program.
Affordable Housing Program. | 12 Months Ended |
Dec. 31, 2022 | |
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 roll forward information with respect to changes in Affordable Housing Program liabilities (in thousands): Years ended December 31, 2022 2021 2020 Beginning balance $ 137,638 $ 148,827 $ 153,894 Additions from current period’s assessments 46,517 29,514 49,180 Net disbursements for grants and programs (52,761) (40,703) (54,247) Ending balance $ 131,394 $ 137,638 $ 148,827 |
Capital Stock, Mandatorily Rede
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | 12 Months Ended |
Dec. 31, 2022 | |
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 were $6.4 billion at December 31, 2022 and $4.5 billion at December 31, 2021. Both 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 previously had a $ 100 million cap on membership stock per member. However, effective August 1, 2022, the maximum amount of membership capital stock purchase per member was reduced from $100 million to $50 million. As a result of this change, the Bank repurchased approximately $166 million in membership stock. ● Activity based stock is issued on a percentage of outstanding balances of advances, MPF and MAP 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 for advances and mortgage loans, and 12.5 basis points for letter of credits. 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 FHLBNY’s 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 leverage ratio at all times. The FHFA’s regulatory leverage ratio is defined as the sum of permanent capital weighted 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 December 31, 2022 December 31, 2021 Required (d) Actual Required (d) Actual Regulatory capital requirements: Risk-based capital (a)(e) $ 749,451 $ 8,488,246 $ 844,115 $ 6,433,709 Total capital-to-asset ratio 4.00 % 5.39 % 4.00 % 6.11 % Total capital (b) $ 6,295,660 $ 8,488,246 $ 4,214,334 $ 6,433,709 Leverage ratio 5.00 % 8.09 % 5.00 % 9.16 % Leverage capital (c) $ 7,869,574 $ 12,732,369 $ 5,267,917 $ 9,650,563 (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 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): December 31, 2022 December 31, 2021 Redemption less than one year $ 93 $ 97 Redemption from one year to less than three years 2,387 226 Redemption from three years to less than five years 952 244 Redemption from five years or greater 1,146 1,392 Total $ 4,578 $ 1,959 The following table provides roll forward information with respect to changes in mandatorily redeemable capital stock liabilities (in thousands): Years ended December 31, 2022 2021 2020 Beginning balance $ 1,959 $ 2,991 $ 5,129 Capital stock subject to mandatory redemption reclassified from equity 261,629 85 2,743 Redemption of mandatorily redeemable capital stock (a) (259,010) (1,117) (4,881) Ending balance $ 4,578 $ 1,959 $ 2,991 Accrued interest payable (b) $ 82 $ 23 $ 41 (a) Redemption includes repayment of excess stock. (b) The annualized accrual rates were 6.75% , 4.40% and 5.10% for the three months ended December 31, 2022, 2021 and 2020, respectively. 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 $910.9 million and $827.4 million as restricted retained earnings in the FHLBNY’s Total Capital at December 31, 2022 and December 31, 2021, respectively. |
Earnings Per Share of Capital.
Earnings Per Share of Capital. | 12 Months Ended |
Dec. 31, 2022 | |
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. Years ended December 31, 2022 2021 2020 Net income $ 417,376 $ 265,521 $ 442,385 Net income available to stockholders $ 417,376 $ 265,521 $ 442,385 Weighted average shares of capital 49,916 48,987 61,334 Less: Mandatorily redeemable capital stock (227) (24) (43) Average number of shares of capital used to calculate earnings per share 49,689 48,963 61,291 Basic earnings per share $ 8.40 $ 5.42 $ 7.22 |
Employee Retirement Plans.
Employee Retirement Plans. | 12 Months Ended |
Dec. 31, 2022 | |
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 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): Years ended December 31, 2022 2021 2020 Defined Benefit Plan $ 9,400 $ 10,000 $ 10,000 Benefit Equalization Plans (defined benefit and defined contribution) 11,310 12,176 10,450 Defined Contribution Plans 2,805 2,844 2,701 Postretirement Health Benefit Plan 304 288 297 Total retirement plan expenses $ 23,819 $ 25,308 $ 23,448 Pentegra DB Plan Net Pension Cost and Funded Status The Pentegra DB Plan operates as a multiemployer plan for accounting purposes and as a multiple-employer plan under the Employee Retirement Income Security Act of 1974 (ERISA) and the Internal Revenue Code. As a result, certain multiemployer plan disclosures, including the certified zone status, are not applicable to the Pentegra DB Plan. Typically, multiemployer plans contain provisions for collective bargaining arrangements. There are no collective bargaining agreements in place at any of the FHLBanks (including the FHLBNY) that participate in the plan. Under the Pentegra DB Plan, contributions made by a participating employer may be used to provide benefits to employees of other participating employers because assets contributed by an employer are not segregated in a separate account or restricted to provide benefits only to employees of that employer. In addition, in the event a participating employer is unable to meet its contribution requirements, the required contributions for the other participating employers could increase proportionately. If an employee transfers employment to the FHLBNY, and the employee was a participant in the Pentegra Benefit Plan with another employer, the FHLBNY is responsible for the entire benefit. At the time of transfer, the former employer will transfer assets to the FHLBNY’s plan, in the amount of the liability for the accrued benefit. The Pentegra DB Plan operates on a fiscal year from July 1 through June 30, and files one Form 5500 on behalf of all employers who participate in the plan. The Employer Identification Number is 13-5645888 and the three-digit plan number is 333. The Pentegra DB Plan’s annual valuation process includes calculating the plan’s funded status, and separately calculating the funded status of each participating employer. The funded status is defined as the market value of assets divided by the funding target (100 percent of the present value of all benefit liabilities accrued at that date). As permitted by ERISA, the Pentegra DB Plan accepts contributions for the prior plan year up to eight The following table presents multiemployer plan disclosure for the three years ended December 31, (dollars in thousands): 2022 2021 2020 Net pension cost charged to compensation and benefit expense for the year ended December 31 $ 9,400 $ 10,000 $ 10,000 Contributions allocated to plan year ended June 30 $ 9,969 $ 9,905 $ 9,863 Pentegra DB Plan funded status as of July 1 (a) 118.87 % 129.62 % 108.20 % FHLBNY's funded status as of July 1 (b) 113.87 % 126.15 % 105.31 % (a) Funded status is based on actuarial valuation of the Pentegra DB Plan, and includes all participants allocated to plan years and known at the time of the preparation of the actuarial valuation. The funded status may increase because the plan’s participants are permitted to make contributions through March 15 of the following year. Funded status remains preliminary until the Form 5500 is filed no later than April 15, 2023 for the plan year ended June 30, 2022. For information with respect to contributions expensed by the FHLBNY, see previous Table — Retirement Plan Expenses Summary. Contributions include minimum required under ERISA that are prepaid for the fiscal plan year that ends at June 30 in the following year, and as a result contributions may not equal amounts expensed. (b) Based on cash contributions made through December 31, 2022 and allocated to the DB Plan year(s). The funded status may increase because the FHLBNY is permitted to make contributions through March 15 of the following year. 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, as this is an unfunded plan that has been designated for the BEP plan. The accrued pension costs for the BEP plan were as follows (in thousands): December 31, 2022 2021 Accumulated benefit obligation $ 65,064 $ 84,419 Effect of future salary increases 5,955 14,091 Projected benefit obligation 71,019 98,510 Unrecognized prior service (cost)/credit (73) (281) Unrecognized net (loss)/gain (6,835) (39,269) Accrued pension cost $ 64,111 $ 58,960 Components of the projected benefit obligation for the BEP plan were as follows (in thousands): December 31, 2022 2021 Projected benefit obligation at the beginning of the year $ 98,510 $ 95,278 Service cost 2,478 2,023 Interest cost 2,576 2,250 Benefits paid (2,928) (2,775) Actuarial loss/(gain) (a) (27,551) 1,579 Settlements (2,066) — Plan amendments — 155 Projected benefit obligation at the end of the year $ 71,019 $ 98,510 The measurement date used to determine projected benefit obligation for the BEP plan was December 31 in each of the two years. (a) Actuarial gain of $27.6 million in 2022 was primarily due to gains from discount rate change and gain from demographic experience. Amounts recognized in AOCI for the BEP plan were as follows (in thousands): December 31, 2022 2021 Net loss/(gain) $ 6,835 $ 39,269 Prior service cost/(credit) 73 281 Accumulated other comprehensive loss/(gain) $ 6,908 $ 39,550 Changes in the BEP plan assets were as follows (in thousands): December 31, 2022 2021 Fair value of the plan assets at the beginning of the year $ — $ — Employer contributions 4,994 2,775 Settlements (2,066) — Benefits paid (2,928) (2,775) Fair value of the plan assets at the end of the year $ — $ — Components of the net periodic pension cost for the defined benefit component of the BEP were as follows (in thousands): Years ended December 31, 2022 2021 2020 Service cost $ 2,478 $ 2,023 $ 1,567 Interest cost 2,576 2,250 2,348 Amortization of unrecognized net loss 4,883 5,361 4,561 Amortization of unrecognized past service cost 208 725 697 Net periodic benefit cost - Defined Benefit BEP 10,145 10,359 9,173 Benefit Equalization plans - Thrift and Deferred incentive compensation plans 1,165 1,817 1,277 Total $ 11,310 $ 12,176 $ 10,450 Other changes in benefit obligations recognized in AOCI were as follows (in thousands): December 31, 2022 2021 New (gain)/loss during the year $ (27,551) $ 1,579 Recognized prior service credit/(cost) (208) (725) New past service (credit)/cost — 155 Recognized gain/(loss) (4,883) (5,361) Total recognized in other comprehensive loss/(income) $ (32,642) $ (4,352) Total recognized in net periodic benefit cost and other comprehensive income $ (22,497) $ 6,007 The net transition obligation (asset), prior service cost (credit), and the estimated net loss (gain) for the BEP plan that are expected to be amortized from AOCI into net periodic benefit cost over the next fiscal year are shown in the table below (in thousands): December 31, 2023 Expected amortization of net loss/(gain) $ — Expected amortization of past service cost/(credit) $ 55 Key assumptions and other information for the actuarial calculations to determine benefit obligations for the BEP plan were as follows (dollars in thousands): December 31, 2022 December 31, 2021 December 31, 2020 Discount rate (a) 4.96 % 2.66 % 2.26 % Salary increases 4.50 % 4.50 % 4.50 % Amortization period (years) 6 6 6 Benefits paid during the period $ (2,928) $ (2,775) $ (2,601) (a) The discount rates were based on the Citigroup Pension Liability Index at December 31, adjusted for duration in each of the three years. Future BEP plan benefits to be paid were estimated to be as follows (in thousands): Years Payments 2023 $ 3,366 2024 3,610 2025 4,119 2026 4,326 2027 4,718 2028-2032 25,743 Total $ 45,882 The net periodic benefit cost for 2023 is expected to be $5.1 million ($10.1 million in 2022). 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. Assumptions used in determining the accumulated postretirement benefit obligation (APBO) included a discount rate assumption of 5.15%. Components of the accumulated postretirement benefit obligation for the postretirement health benefits plan for the years ended December 31, 2022 and 2021 (in thousands): December 31, 2022 2021 Accumulated postretirement benefit obligation at the beginning of the year $ 10,604 $ 11,364 Service cost 31 46 Interest cost 273 242 Actuarial loss/(gain) (2,188) (528) Plan participant contributions 241 241 Actual benefits paid (682) (807) Retiree drug subsidy reimbursement 41 46 Accumulated postretirement benefit obligation at the end of the year $ 8,320 $ 10,604 Changes in postretirement health benefit plan assets (in thousands): December 31, 2022 2021 Fair value of plan assets at the beginning of the year $ — $ — Employer contributions 441 566 Plan participant contributions 241 241 Actual benefits paid (682) (807) Fair value of plan assets at the end of the year $ — $ — Amounts recognized in AOCI for the postretirement benefit obligation (in thousands): December 31, 2022 2021 Net (gain)/loss $ (3,089) $ (901) Accumulated other comprehensive (gain)/loss $ (3,089) $ (901) Components of the net periodic benefit cost for the postretirement health benefit plan were as follows (in thousands): Years ended December 31, 2022 2021 2020 Service cost (benefits attributed to service during the period) $ 31 $ 46 $ 58 Interest cost on accumulated postretirement health benefit obligation 273 242 320 Amortization of (gain)/loss — — (81) Net periodic postretirement health benefit expense/(income) $ 304 $ 288 $ 297 Other changes in benefit obligations recognized in AOCI were as follows (in thousands): December 31, 2022 2021 Net loss/(gain) $ (2,188) $ (528) Amortization of net gain/(loss) — — Total recognized in other comprehensive income $ (2,188) $ (528) Total recognized in net periodic benefit cost and other comprehensive income $ (1,884) $ (240) The measurement date used to determine benefit obligations was December 31 in each of the two years. Key assumptions and other information to determine current year’s obligation for the postretirement health benefit plan were as follows: Years ended December 31, 2022 2021 2020 Weighted average discount rate (a) 5.15% 2.60% 2.18% Health care cost trend rates: Assumed for next year Pre 65 6.80% 6.20% 6.50% Post 65 5.40% 5.20% 4.95% Pre 65 Ultimate rate 4.50% 4.50% 4.50% Pre 65 Year that ultimate rate is reached 2033 2031 2028 Post 65 Ultimate rate 4.50% 4.50% 4.50% Post 65 Year that ultimate rate is reached 2033 2031 2028 Alternative amortization methods used to amortize Prior service cost Straight - line Straight - line Straight - line Unrecognized net (gain) or loss Straight - line Straight - line Straight - line (a) The discount rates were based on the Citigroup Pension Liability Index adjusted for duration in each of the periods in this report. Future postretirement health benefit plan expenses to be paid were estimated to be as follows (in thousands): Years Payments 2023 $ 737 2024 720 2025 694 2026 704 2027 690 2028-2032 3,288 Total $ 6,833 The postretirement health benefit plan accrual for 2023 is expected to be a benefit of $1.0 million (cost of $0.3 million in 2022). |
Derivatives and Hedging Activit
Derivatives and Hedging Activities. | 12 Months Ended |
Dec. 31, 2022 | |
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): Derivative Notionals Hedging Instruments Under ASC 815 December 31, 2022 December 31, 2021 Interest rate contracts Interest rate swaps $ 173,232,721 $ 94,190,603 Interest rate caps 800,000 800,000 Mortgage delivery commitments 9,837 8,573 Total interest rate contracts notionals $ 174,042,558 $ 94,999,176 Offsetting of Derivative Assets and Derivative Liabilities – Net Presentation The table below presents the gross and net derivatives receivables by contract type and amount for those derivatives contracts for which netting is permissible under U.S. GAAP as Derivative instruments — nettable. Derivatives receivables have been netted with respect to those receivables as to which the netting requirements have been met, including obtaining a legal analysis with respect to the enforceability of the netting (in thousands): December 31, 2022 December 31, 2021 Derivative Derivative Derivative Derivative Assets Liabilities Assets Liabilities Derivative instruments - nettable Gross recognized amount Uncleared derivatives $ 683,389 $ 2,110,074 $ 203,797 $ 719,892 Cleared derivatives 1,534,274 1,504,012 293,323 296,531 Total gross recognized amount 2,217,663 3,614,086 497,120 1,016,423 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (550,878) (2,095,888) (77,045) (683,385) Cleared derivatives (1,502,901) (1,502,901) (122,585) (296,531) Total gross amounts of netting adjustments and cash collateral (2,053,779) (3,598,789) (199,630) (979,916) Net amounts after offsetting adjustments and cash collateral $ 163,884 $ 15,297 $ 297,490 $ 36,507 Uncleared derivatives $ 132,511 $ 14,186 $ 126,752 $ 36,507 Cleared derivatives 31,373 1,111 170,738 — Total net amounts after offsetting adjustments and cash collateral $ 163,884 $ 15,297 $ 297,490 $ 36,507 Derivative instruments - not nettable Uncleared derivatives (a) $ 37 $ 36 $ 14 $ 5 Total derivative assets and total derivative liabilities Uncleared derivatives $ 132,548 $ 14,222 $ 126,766 $ 36,512 Cleared derivatives 31,373 1,111 170,738 — Total derivative assets and total derivative liabilities presented in the Statements of Condition (b) $ 163,921 $ 15,333 $ 297,504 $ 36,512 Non-cash collateral received or pledged (c) Can be sold or repledged Security collateral pledged as initial margin to Derivative Clearing Organization (d) $ 576,756 $ — $ 367,110 $ — Cannot be sold or repledged Uncleared derivatives securities received as Variation Margin (108,761) — (115,833) — Total net amount of non-cash collateral received or repledged $ 467,995 $ — $ 251,277 $ — Total net exposure cash and non-cash (e) $ 631,916 $ 15,333 $ 548,781 $ 36,512 Net unsecured amount - Represented by: Uncleared derivatives $ 23,787 $ 14,222 $ 10,933 $ 36,512 Cleared derivatives 608,129 1,111 537,848 — Total net exposure cash and non-cash (e) $ 631,916 $ 15,333 $ 548,781 $ 36,512 (a) Not nettable derivative instruments are without legal right of offset, and were synthetic derivatives representing forward mortgage delivery commitments of 60 calendar 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 collateral 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 December 31, 2022, no net of cash as settlement variation margin was posted to FCMs. At December 31, 2021, the FHLBNY posted $7.8 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 (in thousands): December 31, 2022 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 $ 123,913,433 $ 1,090,359 $ 2,745,983 Total derivatives in hedging relationships under ASC 815 123,913,433 1,090,359 2,745,983 Derivatives not designated as hedging instruments Interest rate swaps 49,253,288 1,126,638 866,175 Interest rate caps 800,000 431 — Mortgage delivery commitments 9,837 37 36 Other (b) 66,000 235 1,928 Total derivatives not designated as hedging instruments 50,129,125 1,127,341 868,139 Total derivatives before netting and collateral adjustments $ 174,042,558 $ 2,217,700 $ 3,614,122 Netting adjustments $ (2,039,759) $ (2,039,759) Cash collateral and related accrued interest (14,020) (1,559,030) Total netting adjustments and cash collateral (2,053,779) (3,598,789) Total derivative assets and total derivative liabilities $ 163,921 $ 15,333 Security collateral pledged as initial margin to Derivative Clearing Organization (c) $ 576,756 Security collateral received from counterparty (c) (108,761) Net security 467,995 Net exposure $ 631,916 December 31, 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 $ 77,159,117 $ 469,953 $ 990,925 Total derivatives in hedging relationships under ASC 815 77,159,117 469,953 990,925 Derivatives not designated as hedging instruments Interest rate swaps 16,873,486 23,014 24,627 Interest rate caps 800,000 136 — Mortgage delivery commitments 8,573 14 5 Other (b) 158,000 4,017 871 Total derivatives not designated as hedging instruments 17,840,059 27,181 25,503 Total derivatives before netting and collateral adjustments $ 94,999,176 $ 497,134 $ 1,016,428 Netting adjustments $ (192,330) $ (192,330) Cash collateral and related accrued interest (7,300) (787,586) Total netting adjustments and cash collateral (199,630) (979,916) Total derivative assets and total derivative liabilities $ 297,504 $ 36,512 Security collateral pledged as initial margin to Derivative Clearing Organization (c) $ 367,110 Security collateral received from counterparty (c) (115,833) Net security 251,277 Net exposure $ 548,781 (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 members, 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 December 31 , 2022 and December 31, 2021. Accounting for Derivative Hedging The FHLBNY accounts for its hedging activities in accordance with ASC 815, Derivatives and Hedging . As a general rule, hedge accounting is permitted where the FHLBNY is exposed to a particular risk, typically interest-rate risk that causes changes in the fair value of an asset or liability or variability in the expected future cash flows of an existing asset, liability or a forecasted transaction that may affect earnings. Derivative contracts hedging the risks associated with the changes in fair value are referred to as Fair value hedges, while contracts hedging the risks affecting the expected future cash flows are called Cash flow hedges. Derivatives not designated under a qualifying ASC 815 hedge relationship and designated as an asset/liability management hedge are classified as an economic hedge. For more information, see financial statements, Note 1. Summary of Significant Accounting Policies in this Form 10-K. 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 Years ended December 31, 2022 2021 2020 Gains (losses) on derivatives in designated and qualifying fair value hedges: Interest rate hedges $ 403,405 $ 620,234 $ (978,281) Gains (losses) on hedged item in designated and qualifying fair value hedges: Interest rate hedges $ (366,585) $ (613,272) $ 977,118 Gains (losses) represent changes in fair values of derivatives and changes in the fair value of 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 December 31, 2022 and December 31, 2021, 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. December 31, 2022 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 $ 42,378,681 $ (1,634,913) $ — Hedged AFS debt securities (a) 3,691,391 (575,104) — De-designated advances (b) — — 18 $ 46,070,072 $ (2,210,017) $ 18 Liabilities: Hedged consolidated obligation bonds $ 36,962,293 $ 2,015,128 $ — Hedged consolidated obligation discount notes 47,594,103 39,088 — De-designated consolidated obligation bonds (b) — — (114,430) De-designated consolidated obligation discount notes (b) — — 341 $ 84,556,396 $ 2,054,216 $ (114,089) December 31, 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 $ 37,731,410 $ 321,057 $ — Hedged AFS debt securities (a) 2,892,784 (30,667) — De-designated advances (b) — — 339 $ 40,624,194 $ 290,390 $ 339 Liabilities: Hedged consolidated obligation bonds $ 30,158,015 $ (77,048) $ — Hedged consolidated obligation discount notes 3,325,017 424 — De-designated consolidated obligation bonds (b) — — (125,091) $ 33,483,032 $ (76,624) $ (125,091) (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 December 31, 2022, par amounts of de-designated advances were $0.5 billion; par amounts of de-designation CO bonds were $1.7 billion; par amounts of de-designated CO discount notes were $1.5 billion. At December 31, 2021, par amounts of de-designated advances were $0.1 billion, and par amount of de-designated CO bonds were $1.4 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 December 31, 2022 Amounts Amounts Reclassified Reclassified from Amounts Total Change from AOCI to AOCI to Other Recorded in in OCI for Interest Expense (b) Income (Loss) (c) OCI (d) Period Interest rate contracts (a) $ (1,190) $ — $ 202,509 $ 203,699 Derivative Gains (Losses) Recorded in Income and Other Comprehensive Income/Loss December 31, 2021 Amounts Amounts Reclassified Reclassified from Amounts Total Change from AOCI to AOCI to Other Recorded in in OCI for Interest Expense (b) Income (Loss) (c) OCI (d) Period Interest rate contracts (a) $ (1,511) $ — $ 104,194 $ 105,705 Derivative Gains (Losses) Recorded in Income and Other Comprehensive Income/Loss December 31, 2020 Amounts Amounts Reclassified Reclassified from Amounts Total Change from AOCI to AOCI to Other Recorded in in OCI for Interest Expense (b) Income (Loss) (c) OCI (d) Period Interest rate contracts (a) $ (1,352) $ — $ (114,040) $ (112,688) (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, $0.6 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) Years ended December 31, 2022 2021 2020 Gains (losses) on derivatives designated in economic hedges Interest rate hedges $ 183,069 $ 4,755 $ (153,396) Caps 294 93 (6) Mortgage delivery commitments (1,404) (424) 1,693 Total gains (losses) on derivatives in economic hedges $ 181,959 $ 4,424 $ (151,709) |
Fair Values of Financial Instru
Fair Values of Financial Instruments. | 12 Months Ended |
Dec. 31, 2022 | |
Fair Values of Financial Instruments. | |
Fair Values of Financial Instruments. | Note 18. Fair Values of Financial Instruments. Estimated Fair Values — Summary Tables - December 31, 2022 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 $ 27,420 $ 27,420 $ 27,420 $ — $ — $ — Interest-bearing deposits 1,750,000 1,750,017 — 1,750,017 — — Securities purchased under agreements to resell 4,245,000 4,245,019 — 4,245,019 — — Federal funds sold 9,470,000 9,470,068 — 9,470,068 — — Trading securities 7,113,419 7,113,419 7,113,419 — — — Equity Investments 81,754 81,754 81,754 — — — Available-for-sale securities 7,088,870 7,088,870 — 5,979,841 1,109,029 — Held-to-maturity securities 9,354,048 8,919,205 — 8,703,941 215,264 — Advances 115,292,876 115,195,748 — 115,195,748 — — Mortgage loans held-for-portfolio, net 2,106,969 1,836,785 — 1,836,785 — — Accrued interest receivable 437,823 437,823 — 437,823 — — Derivative assets 163,921 163,921 — 2,217,700 — (2,053,779) Other financial assets — — — — — — Liabilities Deposits 1,026,937 1,026,925 — 1,026,925 — — Consolidated obligations Bonds 85,497,755 84,409,975 — 84,409,975 — — Discount notes 61,792,989 61,799,962 — 61,799,962 — — Mandatorily redeemable capital stock 4,578 4,578 4,578 — — — Accrued interest payable 370,456 370,456 — 370,456 — — Derivative liabilities 15,333 15,333 — 3,614,122 — (3,598,789) Other financial liabilities — — — — — — December 31, 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 $ 21,653 $ 21,653 $ 21,653 $ — $ — $ — Interest-bearing deposits 675,000 675,003 — 675,003 — — Securities purchased under agreements to resell 1,200,000 1,200,000 — 1,200,000 — — Federal funds sold 7,230,000 7,230,014 — 7,230,014 — — Trading securities 5,821,380 5,821,380 5,821,380 — — — Equity Investments 96,124 96,124 96,124 — — — Available-for-sale securities 6,547,421 6,547,421 — 5,548,784 998,637 — Held-to-maturity securities 9,328,665 9,684,274 — 9,445,219 239,055 — Advances 71,536,402 71,595,785 — 71,595,785 — — Mortgage loans held-for-portfolio, net 2,319,864 2,369,769 — 2,369,769 — — Accrued interest receivable 123,258 123,258 — 123,258 — — Derivative assets 297,504 297,504 — 497,134 — (199,630) Other financial assets 357 357 — — 357 — Liabilities Deposits 1,321,238 1,321,241 — 1,321,241 — — Consolidated obligations Bonds 54,829,401 55,104,747 — 55,104,747 — — Discount notes 42,197,259 42,196,648 — 42,196,648 — — Mandatorily redeemable capital stock 1,959 1,959 1,959 — — — Accrued interest payable 126,990 126,990 — 126,990 — — Derivative liabilities 36,512 36,512 — 1,016,428 — (979,916) Other financial liabilities 30,368 30,368 30,368 — — — 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 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 fair value of such securities is estimated by the FHLBNY using pricing primarily from specialized pricing services. The pricing vendors typically use market multiples derived from a set of comparables, including matrix pricing, and other techniques. The FHLBNY’s valuation technique incorporates prices from up to designated third-party pricing services at December 31, 2022 and December 31, 2021. The FHLBNY’s base investment pricing methodology establishes a median price for each security using a formula that is based on the number of prices received. If price is received, it is used, typically subject to further validation. Vendor prices that are outside of a defined tolerance threshold of the median price are identified as outliers and subject to additional review, including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates, which are deemed to be reflective of all relevant facts and circumstances that a market participant would consider. Such analysis is also applied in those limited instances where 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 - When a PLMBS is deemed to be impaired, it is recorded at fair value. The valuation of PLMBS may require pricing services to use significant inputs that are subjective and are considered by management to be within Level 3 of the fair value hierarchy. This determination was made based on management’s view that the private-label instruments may not have an active market because of the specific vintage of the securities as well as inherent conditions surrounding the trading of private-label MBS, so that the inputs may not be market based and observable. Historically, impairments have been de minimis. The portfolio of PLMBS has declined as the FHLBNY has ceased acquiring PLMBS. Trading Securities — The FHLBNY classifies trading securities as Level 1 of the fair value hierarchy when we use quoted market prices in active markets to determine the fair value of trading securities, such as U.S. government securities. We classify trading securities as Level 2 of the fair value hierarchy when we use quoted market prices in less active markets to determine the fair value of trading securities. Equity Investments — The FHLBNY has a grantor trust, which 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. Because of the highly liquid nature of the investments at their NAVs, they are categorized as Level 1 financial instruments under the valuation hierarchy. Advances elected under the FVO — When the FHLBNY elects the FVO designation for certain advances, the advances are recorded at their fair values in the Statements of Condition. The fair values are computed using standard option valuation models. The most significant inputs to the valuation model are (1) Consolidated obligation debt curve (CO Curve), published by the Office of Finance and available to the public, and (2) Benchmark swap curves and volatilities. Both these inputs are considered to be market based and observable as they can be directly corroborated by market participants. The CO Curve is the primary input, which is market based and observable. Inputs to apply spreads, which are FHLBNY specific, were not material. Fair values were classified within Level 2 of the valuation hierarchy. The FHLBNY determines the fair values of advances elected under the FVO by calculating the present value of expected future cash flows from the advances, a methodology also referred to as the Income approach under the Fair Value Measurement standards. The discount rates used in these calculations are equivalent to the replacement advance rates for advances with similar terms. In accordance with the Finance Agency’s “Advances” regulations, an advance with a maturity or repricing period greater than requires a prepayment fee sufficient to make a FHLBank financially indifferent to the borrower’s decision to prepay the advance. Therefore, the fair value of an advance does not assume prepayment risk. The inputs used to determine fair value of advances elected under the FVO are as follows: ● CO Curve. The FHLBNY uses the CO Curve, which represents its cost of funds, as an input to estimate the fair value of advances, and to determine current advance rates. This input is considered market observable and therefore a Level 2 input. ● Volatility assumption. To estimate the fair value of advances with optionality, the FHLBNY uses market-based expectations of future interest rate volatility implied from current market prices for similar options. This input is considered a Level 2 input as it is market based and market observable. ● Spread adjustment. Adjustments represent the FHLBNY’s mark-up based on its pricing strategy. The input is considered as unobservable and is classified as a Level 3 input. The spread adjustment is not a significant input to the overall fair value of an advance. Consolidated Obligations elected under the FVO — The FHLBNY estimates the fair values of Consolidated obligations elected under the FVO based on the present values of expected future cash flows due on the debt obligations. Calculations are performed by using the FHLBNY’s industry standard option adjusted valuation models. The FHLBNY’s internal valuation models use the following inputs: ● CO Curve and Benchmark Swap Curves. The Office of Finance constructs an internal curve, referred to as the CO Curve, using the U.S. Treasury Curve as a base curve that is then adjusted by adding indicative spreads obtained from market observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, recent GSE trades and secondary market activity. The FHLBNY considers the inputs as Level 2 inputs as they are market observable. ● Volatility assumptions. To estimate the fair values of Consolidated obligations with optionality, the FHLBNY uses market-based expectations of future interest rate volatility implied from current market prices for similar options. These inputs are also considered Level 2 as they are market based and observable. No CO debt elected under the FVO were structured with options in any periods in this report. Derivative Assets and Liabilities — The FHLBNY’s derivatives (cleared derivatives and bilaterally executed derivatives) are executed in the over-the-counter market and are valued using internal valuation techniques as no quoted market prices exist for such instruments. Discounted cash flow analysis is the primary methodology employed by the FHLBNY’s valuation models to measure the fair values of interest rate swaps. The valuation technique is considered as an “Income approach”. Interest rate caps and floors are valued under the “Market approach”. Interest rate swaps and interest rate caps and floors, collectively “derivatives”, were valued in industry-standard option adjusted valuation models, which generated fair values. The valuation models employed multiple market inputs including interest rates, prices, and indices to create continuous yield or pricing curves and volatility factors. These multiple market inputs were corroborated by management to independent market data, and to relevant benchmark indices. In addition, derivative valuations were compared by management to counterparty valuations received as part of the collateral exchange process. These derivative positions were classified within Level 2 of the valuation hierarchy at December 31, 2022 and December 31, 2021. Starting in mid-October 2020, interest rate swaps cleared by Central Clearing Houses, LCH and the CME, are valued by discounting forward cash flows by the SOFR index, consistent with the change to SOFR in the interest accrual calculation of margins. The FHLBNY’s valuation model utilizes a modified Black-Karasinski methodology. Significant market based and observable inputs into the valuation model include volatilities and interest rates. The Bank’s valuation model employs industry standard market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative were as follows: Interest-rate related: ● LIBOR Swap Curve. ● Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. ● Prepayment assumption (if applicable). ● Federal funds curve (FF/OIS curve). ● SOFR curve (SOFR/OIS). Mortgage delivery commitments (considered a derivative) 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 Derivatives Clearing Organizations (DCO). To mitigate this risk, the FHLBNY has entered into master netting agreements and credit support agreements with its derivative counterparties for its bilaterally executed derivative contracts that provide for the delivery of collateral at specified levels at least weekly. The computed fair values of the derivatives took into consideration the effects of legally enforceable master netting agreements that allow the FHLBNY to settle positive and negative positions and offset cash collateral with the same counterparty on a net basis. For derivative transactions executed as a cleared derivative, the transactions are fully collateralized in cash and for the most part exchanged and settled daily with the DCO. The FHLBNY has also established the enforceability of offsetting rights incorporated in the agreements for the cleared derivative transactions. As a result of these practices and agreements and the FHLBNY’s assessment of any change in its own credit spread, the FHLBNY has concluded that the impact of the credit differential between the FHLBNY and its derivative counterparties and DCO was sufficiently mitigated to an immaterial level that no credit adjustments were deemed necessary to the recorded fair value of Derivative assets and Derivative liabilities in the Statements of Condition at December 31, 2022 and December 31, 2021. Fair Value Measurement The tables below present the fair value of those assets and liabilities that are recorded at fair value on a recurring or non-recurring basis at December 31, 2022 and December 31, 2021, 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): December 31, 2022 Netting Adjustment and Total Level 1 Level 2 Level 3 Cash Collateral Assets Trading securities U.S. Treasury securities $ 7,113,419 $ 7,113,419 $ — $ — $ — Equity Investments 81,754 81,754 — — — Available-for-sale securities GSE/U.S. agency issued MBS 5,979,841 — 5,979,841 — — State and local housing finance agency obligations 1,109,029 — — 1,109,029 — Derivative assets (a) Interest-rate derivatives 163,884 — 2,217,663 — (2,053,779) Mortgage delivery commitments 37 — 37 — — Total recurring fair value measurement - Assets $ 14,447,964 $ 7,195,173 $ 8,197,541 $ 1,109,029 $ (2,053,779) Liabilities Consolidated obligation: Bonds (to the extent FVO is elected) (b) $ (4,159,862) $ — $ (4,159,862) $ — $ — Derivative liabilities (a) Interest-rate derivatives (15,297) — (3,614,086) — 3,598,789 Mortgage delivery commitments (36) — (36) — — Total recurring fair value measurement - Liabilities $ (4,175,195) $ — $ (7,773,984) $ — $ 3,598,789 December 31, 2021 Netting Adjustment and Total Level 1 Level 2 Level 3 Cash Collateral Assets Trading securities U.S. Treasury securities $ 5,821,380 $ 5,821,380 $ — $ — $ — Equity Investments 96,124 96,124 — — — Available-for-sale securities GSE/U.S. agency issued MBS 5,548,784 — 5,548,784 — — State and local housing finance agency obligations 998,637 — — 998,637 — Derivative assets (a) Interest-rate derivatives 297,490 — 497,120 — (199,630) Mortgage delivery commitments 14 — 14 — — Total recurring fair value measurement - Assets $ 12,762,429 $ 5,917,504 $ 6,045,918 $ 998,637 $ (199,630) Liabilities Consolidated obligation: Bonds (to the extent FVO is elected) (b) $ (7,386,074) $ — $ (7,386,074) $ — $ — Derivative liabilities (a) Interest-rate derivatives (36,507) — (1,016,423) — 979,916 Mortgage delivery commitments (5) — (5) — — Total recurring fair value measurement - Liabilities $ (7,422,586) $ — $ (8,402,502) $ — $ 979,916 (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 Years ended December 31, 2022 2021 Balance, beginning of the period $ 998,637 $ — Transfer of securities from held-to-maturity to available-for-sale — 902,719 Provision for credit losses — 586 Total gains (losses) included in other comprehensive income Net unrealized gains (losses) (878) 117 Purchases 308,000 100,000 Settlements (196,730) (4,785) Balance, end of the period $ 1,109,029 $ 998,637 Items Measured at Fair Value on a Non-recurring Basis (a) (in thousands): During the period ended December 31, 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 (a) No items at fair value on a non-recurring basis was outstanding during the period ended December 31, 2022 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 December 31, 2021, 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. We may also elect CO bonds under the FVO to achieve asset liability objectives. 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 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 (a) Year ended December 31, 2022 Bonds Discount Notes (b) Balance, beginning of the period $ (7,386,074) $ — New transactions elected for fair value option (2,636,405) — Maturities and terminations 5,665,000 — Net gains (losses) on financial instruments held under fair value option 206,998 — Change in accrued interest/unaccreted balance (9,381) — Balance, end of the period $ (4,159,862) $ — Year ended December 31, 2021 Bonds Discount Notes (b) Balance, beginning of the period $ (16,580,464) $ (7,133,755) New transactions elected for fair value option (16,802,560) (1,249,392) Maturities and terminations 25,975,000 8,367,602 Net gains (losses) on financial instruments held under fair value option 20,444 2,027 Change in accrued interest/unaccreted balance 1,506 13,518 Balance, end of the period $ (7,386,074) $ — Year ended December 31, 2020 Bonds Discount Notes Balance, beginning of the period $ (12,134,043) $ (2,186,603) New transactions elected for fair value option (19,375,000) (23,818,753) Maturities and terminations 14,867,000 18,883,387 Net gains (losses) on financial instruments held under fair value option 2,069 (1,946) Change in accrued interest/unaccreted balance 59,510 (9,840) Balance, end of the period $ (16,580,464) $ (7,133,755) (a) No advances elected under the FVO was outstanding at December 31, 2022, 2021 and 2020. (b) No discount notes elected under the FVO was outstanding at December 31, 2022 and 2021. 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 (a) December 31, 2022 Net Gains (Losses) Total Change in Fair Interest Due to Changes in Value Included in Current Expense Fair Value Period Earnings Consolidated obligation bonds $ (56,533) $ 206,998 $ 150,465 Consolidated obligation discount notes (b) — — — $ (56,533) $ 206,998 $ 150,465 December 31, 2021 Net Gains (Losses) Total Change in Fair Interest Due to Changes in Value Included in Current Expense Fair Value Period Earnings Consolidated obligation bonds $ (16,869) $ 20,444 $ 3,575 Consolidated obligation discount notes (3,839) 2,027 (1,812) $ (20,708) $ 22,471 $ 1,763 December 31, 2020 Net Gains (Losses) Total Change in Fair Interest Due to Changes in Value Included in Current Expense Fair Value Period Earnings Consolidated obligation bonds $ (55,088) $ 2,069 $ (53,019) Consolidated obligation discount notes (60,063) (1,946) (62,009) $ (115,151) $ 123 $ (115,028) (a) No advances elected under the FVO was outstanding at December 31, 2022, 2021 and 2020. (b) No discount notes elected under the FVO was outstanding at December 31, 2022. 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) December 31, 2022 Fair Value Over/(Under) Aggregate Unpaid Aggregate Fair Aggregate Unpaid Principal Balance Value Principal Balance Consolidated obligation bonds (b) $ 4,373,965 $ 4,159,862 $ (214,103) December 31, 2021 Fair Value Over/(Under) Aggregate Unpaid Aggregate Fair Aggregate Unpaid Principal Balance Value Principal Balance Consolidated obligation bonds (b) $ 7,402,560 $ 7,386,074 $ (16,486) 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) |
Commitments and Contingencies.
Commitments and Contingencies. | 12 Months Ended |
Dec. 31, 2022 | |
Commitments and Contingencies. | |
Commitments and Contingencies. | Note 19. Commitments and Contingencies. Consolidated obligations — The FHLBanks have joint and several liability for all the Consolidated obligations issued on their behalf. Accordingly, should or more of the FHLBanks be unable to repay their participation in the Consolidated obligations, each of the other FHLBanks could be called upon to repay all or part of such obligations, as determined or approved by the Finance Agency. Neither the FHLBNY nor any other FHLBank has ever had to assume or pay the Consolidated obligations of another FHLBank. The FHLBNY does not believe that it will be called upon to pay the Consolidated obligations of another FHLBank in the future. Under the provisions of accounting standards for guarantees, the FHLBNY would have been required to recognize the fair value of the FHLBNY’s joint and several liability for all the Consolidated obligations, as discussed above. However, the FHLBNY considers the joint and several liabilities as similar to a related party guarantee, which meets the scope exception under the accounting standard for guarantees. Accordingly, the FHLBNY has not recognized the fair value of a liability for its joint and several obligations related to other FHLBanks’ Consolidated obligations, which in aggregate were par amounts of Affordable Housing Program The following table summarizes contractual obligations and contingencies (in thousands): December 31, 2022 Contractual Obligations Consolidated obligation bonds at par (a) $ 87,515,420 Consolidated obligation discount notes at par 62,295,735 Mandatorily redeemable capital stock (a) 4,578 Premises (lease obligations) (b) 85,660 Remote backup site 902 Other liabilities (c) 131,360 Total contractual obligations $ 150,033,655 Other commitments Standby letters of credit (d) $ 18,318,415 Consolidated 375,000 Commitments to fund additional advances — Commitments to fund pension 12,400 Open delivery commitments (MAP) 9,837 Total other commitments $ 18,715,652 Total obligations and commitments $ 168,749,307 (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. (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. The Bank did not record credit losses on off-balance sheet arrangements for any 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 December 31, 2022 and December 31, 2021, 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 December 31, 2022 December 31, 2021 Operating Leases (a) Right-of-use assets $ 60,338 $ 65,624 Lease Liabilities $ 73,304 $ 79,026 Twelve months ended December 31, 2022 2021 Operating Lease Expense $ 7,809 $ 7,809 Operating cash flows - Cash Paid $ 8,246 $ 8,148 December 31, 2022 December 31, 2021 Weighted Average Discount Rate 3.31 % 3.30 % Weighted Average Remaining Lease Term 10.13 Years 11.06 Years Remaining maturities through Operating lease liabilities December 31, 2022 December 31, 2021 2022 $ — $ 8,246 2023 8,615 8,615 2024 8,297 8,297 2025 8,088 8,088 2026 8,142 8,142 2027 8,246 8,246 Thereafter 45,410 45,410 Total undiscounted lease payments 86,798 95,044 Imputed interest (13,494) (16,018) Total operating lease liabilities $ 73,304 $ 79,026 (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. | 12 Months Ended |
Dec. 31, 2022 | |
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 $3.8 million at December 31, 2022 and $4.6 million at December 31, 2021. Fees paid to the FHLBank of Chicago for providing MPF program services were approximately $1.3 million, $1.8 million, and $2.6 million for the twelve months ended in December 2022, 2021, and 2020, respectively. 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 December 31, 2022 and December 31, 2021, outstanding notional amounts were $33.0 million and $79.0 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 In the twelve months ended December 31, 2022 and 2021, overnight loans extended to other FHLBanks averaged $13.7 million and $0.8 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. In the twelve months ended December 31, 2022, the FHLBNY borrowed a total of $3.0 billion in overnight loans from other FHLBanks. There were no borrowings from other FHLBanks in the twelve months ended December 31, 2021. The borrowings averaged $24.7 million for the twelve months ended December 31, 2022. Interest expense was immaterial. 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 December 31, 2022 and December 31, 2021, 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 and transactions (in thousands): Related Party: Outstanding Assets, Liabilities and Capital December 31, 2022 December 31, 2021 Related Related Assets Advances $ 115,292,876 $ 71,536,402 Accrued interest receivable 352,578 69,852 Liabilities and capital Deposits $ 1,026,937 $ 1,321,238 Mandatorily redeemable capital stock 4,578 1,959 Accrued interest payable 82 23 Affordable Housing Program (a) 131,394 137,638 Other liabilities (b) — 30,368 Capital $ 8,347,383 $ 6,445,853 (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 Years ended December 31, 2022 2021 2020 Related Related Related Interest income Advances $ 1,915,358 $ 483,216 $ 1,166,745 Interest-bearing deposits 4 — 1 Loans to other FHLBanks 228 1 33 Interest expense Deposits $ 13,765 $ 380 $ 3,768 Mandatorily redeemable capital stock 1,278 109 235 Cash collateral held and other borrowings 958 — — Service fees and other $ 16,818 $ 17,470 $ 18,207 |
Segment Information and Concent
Segment Information and Concentration. | 12 Months Ended |
Dec. 31, 2022 | |
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 and associated interest income for the periods then ended are summarized as follows (dollars in thousands): December 31, 2022 Percentage of Par Total Par Value Twelve Months City State Advances of Advances Interest Income Percentage (a) Citibank, N.A. New York NY $ 19,250,000 16.46 % $ 332,309 24.51 % Flagstar Bank, N.A. (b)(c) Hicksville NY 15,775,000 13.49 244,568 18.04 MetLife, Inc.: Metropolitan Life Insurance Company New York NY 13,535,000 11.58 253,973 18.73 Metropolitan Tower Life Insurance Company New York NY 1,405,000 1.20 21,673 1.60 Subtotal MetLife, Inc. 14,940,000 12.78 275,646 20.33 Signature Bank New York NY 11,283,738 9.65 61,762 4.56 Equitable Financial Life Insurance Company New York NY 8,501,263 7.27 155,524 11.47 Teachers Ins. & Annuity Assoc. of America New York NY 7,084,800 6.06 127,885 9.43 New York Life Insurance Company New York NY 3,638,000 3.11 64,737 4.78 Manufacturers and Traders Trust Company Buffalo NY 3,200,169 2.74 12,657 0.93 Prudential Insurance Company of America Newark NJ 2,619,250 2.24 36,766 2.71 ESL Federal Credit Union Rochester NY 2,561,931 2.19 43,941 3.24 Total $ 88,854,151 75.99 % $ 1,355,795 100.00 % (a) Interest income percentage is the member's interest income from advances as a percentage of the top 10 members. (b) An officer of this member bank joined the Board of Directors of the FHLBNY as a Member Director on January 1, 2022. (c) A non-Member institution Flagstar Bank, FSB merged into FHLBNY member New York Community Bank, on December 1, 2022. Surviving entity renamed Flagstar Bank, N.A. as a member of the FHLBNY. December 31, 2021 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 $ 14,745,000 20.70 % $ 156,632 24.03 % Metropolitan Tower Life Insurance Company New York NY 1,005,000 1.41 5,374 0.83 Subtotal MetLife, Inc. 15,750,000 22.11 162,006 24.86 New York Community Bank Hicksville NY 15,105,000 21.21 207,738 31.87 Equitable Financial Life Insurance Company New York NY 6,642,717 9.33 59,209 9.08 Citibank, N.A. New York NY 5,250,000 7.37 71,312 10.94 Investors Bank (b) Short Hills NJ 3,075,000 4.32 30,135 4.62 Signature Bank New York NY 2,639,245 3.71 28,419 4.36 New York Life Insurance Company New York NY 2,455,000 3.45 54,063 8.30 ESL Federal Credit Union Rochester NY 2,189,398 3.07 7,890 1.21 Teachers Ins. & Annuity Assoc. of America New York NY 2,155,300 3.03 5,973 0.92 Valley National Bank (b) Wayne NJ 1,288,000 1.81 25,028 3.84 Total $ 56,549,660 79.41 % $ 651,773 100.00 % (a) Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members. (b) At December 31, 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. The following tables summarize capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY’s outstanding capital stock as of February 28, 2023 and December 31, 2022 (shares in thousands): Number Percent February 28, 2023 of Shares of Total Name of Beneficial Owner Principal Executive Office Address Owned Capital Stock Flagstar Bank, N.A. 102 Duffy Avenue, Hicksville, NY, 11801 7,778 12.68 % Citibank, N.A. 399 Park Avenue, New York, NY, 10043 7,593 12.38 MetLife, Inc.: Metropolitan Life Insurance Company 200 Park Avenue, New York, NY, 10166 6,591 10.74 Metropolitan Tower Life Insurance Company 200 Park Avenue, New York, NY, 10166 769 1.25 Subtotal MetLife, Inc. 7,360 11.99 Teachers Ins. & Annuity Assoc. of America 730 Third Avenue, New York, NY, 10017 4,229 6.89 Signature Bank 565 Fifth Avenue, New York, NY, 10017 4,208 6.86 Equitable Financial Life Insurance Company 1290 Avenue of the Americas, New York, NY, 10104 3,736 6.09 34,904 56.89 % Number Percent December 31, 2022 of Shares of Total Name of Beneficial Owner Principal Executive Office Address Owned Capital Stock Citibank, N.A. 399 Park Avenue, New York, NY, 10043 9,172 14.35 % Flagstar Bank, N.A. 102 Duffy Avenue, Hicksville, NY, 11801 7,621 11.92 MetLife, Inc.: Metropolitan Life Insurance Company 200 Park Avenue, New York, NY, 10166 6,591 10.31 Metropolitan Tower Life Insurance Company 200 Park Avenue, New York, NY, 10166 702 1.10 Subtotal MetLife, Inc. 7,293 11.41 Signature Bank 565 Fifth Avenue, New York, NY, 10017 5,603 8.77 Equitable Financial Life Insurance Company 1290 Avenue of the Americas, New York, NY, 10104 3,943 6.17 Teachers Ins. & Annuity Assoc. of America 730 Third Avenue, New York, NY, 10017 3,688 5.77 37,320 58.39 % |
Subsequent Events.
Subsequent Events. | 12 Months Ended |
Dec. 31, 2022 | |
Subsequent Events. | |
Subsequent Events. | Note 22. Subsequent Events. Signature Bank On December 31, 2022, Signature Bank held $11.3 billion in advances with the FHLBNY. On February 14, 2023, Signature Bank held $5.7 billion in advances, the low point for the first quarter of 2023. As of March 10, 2023, the last business day before the receivership, Signature Bank held $11.2 billion in advances. Also, as of each date noted above, Signature Bank had $2.0 billion in undrawn letters of credit. Signature Bank’s repayment obligations to the Bank were transferred to Signature Bridge Bank, N.A., and remain fully collateralized. The Bank does not anticipate that we will experience a credit loss as a result of the foregoing. Federal Reserve Announcement of BTFP Given the favorable terms of secured loans under the BTFP, the Bank’s depository institution members may determine to request loans under the BTFP rather than requesting Bank advances, which, in turn, could have a negative impact on Bank advances balances. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies. (Policies) | 12 Months Ended |
Dec. 31, 2022 | |
Summary of Significant Accounting Policies. | |
Basis of Presentation | Basis of Presentation The accompanying financial statements of the FHLBNY 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. Valuation Techniques — Three valuation techniques are prescribed under the fair value measurement standards — Market approach, Income approach and Cost approach. Valuation techniques for which sufficient data is available and that are appropriate under the circumstances should be used. In determining fair value, the FHLBNY uses various valuation methods, including both the market and income approaches. ● Market approach — This technique uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities. ● Income approach — This technique uses valuation techniques to convert future amounts (for example, cash flows or earnings) to a single present amount (discounted), based on assumptions used by market participants. When the income approach is used, the fair value measurement reflects current market expectations about those future amounts. The present value technique used to measure fair value depends on the facts and circumstances specific to the asset or liability being measured and the availability of data. ● Cost approach — This approach is based on the amount that currently would be required to replace the service capacity of an asset (often referred to as current replacement cost). The FHLBNY has complied with the accounting standards under Fair Value Measurement that defines fair value, establishes a consistent framework for measuring fair value, and requires disclosure about fair value measurement on assets and liabilities recorded at fair value on the balance sheet. For more information about the fair value hierarchy, and the hierarchy levels of the FHLBNY’s financial instruments, see Note 18. Fair Values of Financial Instruments. On a recurring basis, fair values were measured and recorded in the Statements of Condition for derivatives, available-for-sale securities (AFS or AFS securities), securities designated as trading, equity investments, and financial instruments elected under the Fair Value Option (FVO). On a non-recurring basis, credit impaired (formerly OTTI) held-to-maturity securities were measured and recorded at their fair values in the Statements of Condition. When credit impaired mortgage loans held-for-portfolio were partially charged off, the loans were written down to their collateral values on a non-recurring basis. Fair values of derivative positions — The FHLBNY is an end-user of over-the-counter (OTC) derivatives to hedge assets, liabilities, and certain firm commitments to mitigate fair value risks. Valuations of derivative assets and liabilities reflect the value of the instrument including the value associated with counterparty risk. Derivative values also take into account the FHLBNY’s own credit standing. The computed fair values of the FHLBNY’s OTC derivatives take into consideration the effects of legally enforceable master netting agreements that allow the FHLBNY to settle positive and negative positions and offset cash collateral with the same counterparty on a net basis. The agreements include collateral thresholds that reflect the net credit differential between the FHLBNY and its derivative counterparties. On a contract-by-contract basis, the collateral and netting arrangements sufficiently mitigated the impact of the credit differential between the FHLBNY and its derivative counterparties to an immaterial level such that an adjustment for nonperformance risk was not deemed necessary. Fair values of investments classified as AFS securities — The FHLBNY’s investments classified as AFS are primarily GSE-issued mortgage-backed securities (MBS), which are recorded at fair values. The MBS fair values are estimated by management using specialized pricing services that employ pricing models or quoted prices of securities with similar characteristics. The FHLBNY has established that the pricing vendors use methods that generally employ, but are not limited to, benchmark yields, recent trades, dealer estimates, valuation models, benchmarking of like securities, sector groupings, and/or matrix pricing. 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 at December 31, 2022 and 2021, see financial statements, Note 18. Fair Values of Financial Instruments. |
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 2021, 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. 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, 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 first quarter of 2021, we began to negotiate with derivative counterparties to transform LIBOR-indexed interest rate swaps to SOFR- OIS and have now made the transition to SOFR-OIS for a significant number of bilaterally executed derivatives. We will continue to review opportunities to execute the transition, the timing would be determined by the economic feasibility of transitioning to SOFR. In October 2020, we elected to adopt SOFR as the appropriate index to discount interest rate swaps cleared by the two major central swap clearing organizations as a start to an orderly transition to SOFR. 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. 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. The FHLBNY records derivatives on trade date, and hedge accounting commences on trade date, at which time subsequent changes to the derivative’s fair value are recorded along with the offsetting changes in the fair value of the hedged item attributable to the risk being hedged. On settlement date, the basis adjustments to the hedged item’s carrying amount are combined with the principal amounts and the basis becomes part of the total carrying amount of the hedged item. The FHLBNY has defined its market settlement conventions for hedged items to be five business days or less for advances and thirty calendar days or less, using a next business day convention, for Consolidated obligations bonds and discount notes. These market settlement conventions are the shortest period possible for each type of advance and Consolidated obligations from the time the instruments are committed to the time they settle. The FHLBNY reports derivative assets and derivative liabilities in its Statements of Condition after giving effect to legally enforceable master netting, or when an agreement is not available as with OTC cleared derivatives, enforceability is based on a legal analysis or legal opinion. Reported Derivative assets and liabilities include interest receivable and payable on derivative contracts and the fair values of the derivative contracts. The Bank records cash collateral received and posted in the Statements of Condition as an adjustment to Derivative assets and liabilities in the following manner - Cash collateral posted by the FHLBNY is reported as a deduction to Derivative liabilities; cash collateral received from derivative counterparties is reported as a deduction to Derivative assets. Cash posted by the FHLBNY in excess of margin requirements is recorded as a receivable in Derivative assets. Variation margin exchanged with Derivative Clearing Organizations on cleared derivatives is treated as a settlement of the derivative itself, a reduction of the fair value of the derivative, and not as collateral. When derivative counterparties pledge marketable securities, they typically retain title and the securities are treated as non-cash collateral. When the FHLBNY pledges securities to counterparties, we also retain title to the securities and treat the securities as collateral. Securities pledged or received are not netted against the derivative exposures on the Statements of Condition. The FHLBNY routinely issues debt to investors and makes advances to members. In certain such instruments, the FHLBNY may embed a derivative. Typically, such derivatives are call and put options to early terminate the instruments at par on pre-determined dates. The FHLBNY may also embed interest rate caps and floors, or step-up or step-down interest rate features within the instruments. The FHLBNY also routinely structures interest rate swaps to hedge the FHLBank debt and advances, and the FHLBNY may also embed derivative instruments, such as those identified in the previous discussion, in the swaps. When such instruments are conceived, designed and structured, our control procedures require the identification and evaluation of embedded derivatives, as defined under accounting standards for derivatives and hedging activities. This evaluation will consider whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the advance or debt (the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. Typically, we execute derivatives under three hedging strategies — by designating them as a fair value or cash flow hedge of an underlying financial instrument or a forecasted transaction that qualifies for hedge accounting treatment; by acting as an intermediary; or by designating the derivative as an asset-liability management hedge (i.e. an “economic hedge”). Derivative contracts hedging the risks associated with changes in fair value are referred to as fair value hedges, while contracts hedging the variability of expected future cash flows are cash flow hedges. Other than to elect the amendments under ASU 2017-12, which expanded the strategies that qualify for hedge accounting and simplified the application of hedge accounting, no other changes were made to hedge accounting strategies. Fair Value Hedges. Hedging of Benchmark interest Rate Risk — The FHLBNY’s fair value hedges are primarily hedges of fixed-rate Consolidated obligation bonds and fixed-rate advances, and beginning in 2019 we have executed fair value hedges of available-for-sale securities. For qualifying fair value hedges of interest rate risk, the changes in the fair value of the derivative and the changes in the fair value of the hedged item attributable to the hedged risk, either total cash flows or benchmark only cash flows, are presented within Interest income or Interest expense based on whether the hedged item is an asset or a liability. Prior to the adoption of ASU 2017-12, changes to the fair value of the derivative and the qualifying hedged item were presented in Other income (loss), a line item below the Net interest income line in the Statements of income. The two principal fair value hedging activities are summarized below: Consolidated Obligations — The FHLBNY may manage the risk arising from changing market prices and volatility of a Consolidated obligation debt by matching the cash inflows on the derivative with the cash outflow on the Consolidated obligation debt and may include early termination features or options. In general, whenever we issue a longer-term fixed-rate debt, or a fixed-rate debt with call or put or other embedded options, we will simultaneously execute a derivative transaction, generally an interest rate swap, with terms that offset the terms of the fixed-rate debt, or terms of the debt with embedded put or call options or other options. When a fixed-rate debt is hedged, the combination of the fixed-rate debt and the derivative transaction effectively creates a variable rate liability, indexed to a benchmark interest rate. Advances — We offer a wide array of advances structures to meet members’ funding needs. These advances may have maturities up to 30 years with fixed or adjustable rates and may include early termination features or options. We may use derivatives to adjust the repricing and/or options characteristics of advances to more closely match the characteristics of its funding liabilities. In general, whenever a member executes a longer term fixed-rate advance, or a fixed-rate advance with call or put or other embedded options, we will simultaneously execute a derivative transaction, generally an interest rate swap, with terms that offset the terms of the fixed-rate advance, or terms of the advance with embedded put or call options or other options. When a fixed-rate advance is hedged, the combination of the fixed-rate advance and the derivative transaction effectively creates a variable rate asset, indexed to a benchmark interest rate. The partial-term hedging strategy makes it possible to hedge selected fixed-rate payments in a fair value hedge of interest rate risk. While U.S. GAAP has long permitted entities to designate one or more contractual cash flows in a financial instrument, the hedge strategy could result in hedge ineffectiveness. This is because the fair value of the hedging instrument and the hedged item would react differently to changes in interest rates because the principal repayment of the debt occurs on a different date than the swap’s maturity. ASU 2017-12 addressed this issue by allowing entities to calculate the change in the fair value of the hedged item in a partial-term hedge of a fixed-rate financial instrument using an assumed term that begins when the first hedged cash flow begins to accrue and ends when the last hedged cash flow is due and payable. Similar to other fair value hedges, where the hedged item is an asset, the fair value of the hedged item attributable to interest rate risk is recorded in P&L and presented in Interest income from investments along with the change in the fair value of the hedging instrument. The new strategy has been utilized by the FHLBNY for hedging certain AFS designated mortgage-backed securities. Benchmark rate component hedging is permitted under the ASU, which addressed the issue that measuring changes in the fair value of the hedged item using the total coupon cash flows misrepresents the true effectiveness of these hedging relationships. Additionally, these hedging relationships are not meant to manage credit risk, and that using the total contractual cash flows to determine the change in the fair value of the hedged item attributable to the change in the benchmark interest rate creates an earnings mismatch that reflects the portion of the financial instrument that the entity does not intend to hedge. The new guidance addresses these issues by allowing entities to use either (1) the full contractual coupon cash flows or (2) the benchmark rate component of the contractual coupon cash flows to calculate the change in the fair value of the hedged item attributable to changes in the benchmark interest rate in a fair value hedge of interest rate risk. We have used the concept selectively. Discontinuation of Hedge Accounting. When hedge accounting is discontinued because the FHLBNY determines that the derivative no longer qualifies as an effective Cash flow hedge of an existing hedged item, the FHLBNY continues to carry the derivative on the balance sheet at its fair value; fair value marks previously recorded as basis adjustment in AOCI are reclassified to earnings when earnings are affected by the existing hedge item, which is the original forecasted transaction. Fair value changes on derivatives that are no longer in a hedge relationship are charged directly to earnings. Under limited circumstances, when the FHLBNY discontinues cash flow hedge accounting because it is no longer probable that the forecasted transaction will occur in the originally expected period plus the following two months, but it is probable the transaction will still occur in the future, the gain or loss on the derivative remains in AOCI and is recognized into earnings when the forecasted transaction affects earnings. However, if it is probable that a forecasted transaction will not occur by the end of the originally specified time period or within two months after that, the gains and losses that were included in AOCI are recognized immediately in earnings. The FHLBNY treats modifications of hedged items (e.g. reduction in par amounts, change in maturity date, and change in strike rates) that are other than minor as a termination of a hedge relationship, and previously recorded hedge basis adjustments of the hedged items are amortized over the life of the hedged item. |
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. Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell. Note 7. Available-for-Sale Securities. Note 8. Held-to-Maturity Securities. Note 9. Advances. Note 10. Mortgage Loans Held-for-Portfolio. Note 19. Commitments and Contingencies (for off-balance sheet). Applications of the incurred loss methodology to develop credit loss provisions prior to the adoption of ASU 2016-13 are also described in the notes to financial statements. |
Classification of Investment Securities | Classification of Investment Securities The FHLBNY classifies a debt security at the date of acquisition as trading, held-to-maturity or available-for-sale. Investments designated as held-to-maturity and available-for-sale are primarily GSE-issued mortgage-backed securities, and a small portfolio of bonds issued by housing finance agencies. Investments designated as trading are primarily U.S. Treasury securities. Purchases and sales of securities are recorded on a trade date basis. Prepayments are estimated for purposes of amortizing premiums and accreting discounts on investment securities in accordance with accounting standards for investments in debt securities, which requires premiums and discounts to be recognized in income at a constant effective yield over the life of the instrument. Because actual prepayments often deviate from the estimates, the effective yield is recalculated periodically to reflect actual prepayments to date. Adjustments of the effective yields for mortgage-backed securities are recorded on a retrospective basis, as if the new estimated life of the security had been known at its original acquisition date. The Bank’s trading portfolio is to enhance the FHLBNY’s liquidity position, and is invested typically in U.S. Treasury securities and GSE-issued bonds. The securities are carried at fair value with changes in the fair value of these investments recorded in Other income. The Bank does not participate in speculative trading practices and holds these investments indefinitely as the FHLBNY periodically evaluates its liquidity needs. Held-to-Maturity Securities — The FHLBNY classifies debt securities for which it has both the ability and intent to hold to maturity as held-to-maturity investments. Such investments are recorded at amortized cost basis, which includes adjustments made to the cost of an investment for accretion and amortization of discounts and premiums, collection of cash and, if hedged, the fair value hedge accounting adjustments. If a held-to-maturity security is determined to be credit impaired or other-than-temporarily impaired (formerly OTTI), the amortized cost basis of the security is adjusted for credit losses. Amortized cost basis of a held-to-maturity OTTI security is further adjusted for impairment related to all other factors (also referred as the non-credit component of OTTI) and recognized in AOCI; the adjusted amortized cost basis is the carrying value of the OTTI security as reported in the Statements of Condition. Carrying value of a held-to-maturity security that is not OTTI is its amortized cost basis. Interest earned on such securities is included in Interest income. In accordance with accounting standards for investments in debt securities, sales of debt securities that meet either of the following two conditions may be considered as maturities for purposes of the classification of securities: (1) the sale occurs near enough to its maturity date (or call date if exercise of the call is probable) such that interest rate risk is substantially eliminated as a pricing factor and the changes in market interest rates would not have a significant effect on the security’s fair value, or (2) the sale of a security occurs after the FHLBNY has already collected a substantial portion (at least 85%) of the principal outstanding at acquisition. 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. Available-for-Sale Securities Trading Securities — Debt securities classified as trading are held for liquidity purposes and carried at fair value. We record changes in the fair value of these investments through Other income as net realized and unrealized gains or losses on trading securities. The Finance Agency prohibits speculative trading practices but allows permitted securities to be deemed held for liquidity if invested in a trading portfolio. We periodically evaluate our liquidity needs and may dispose these investments as deemed prudent by liquidity and market conditions. Equity Securities |
Federal Funds Sold and Securities Purchased Under Agreements to Resell | Federal Funds Sold. Securities Purchased under Agreements to Resell. As part of the FHLBNY’s banking activities with counterparties, the FHLBNY may enter into secured financing transactions that mature overnight and can be extended only at the discretion of the FHLBNY. These transactions involve the lending of cash, against which securities are taken as collateral. The FHLBNY does not have the right to repledge the securities received. Securities purchased under agreements to resell generally do not constitute a transfer of the underlying securities. The FHLBNY treats securities purchased under agreements to resell as collateralized financings because the counterparty retains control of the securities. Interest from such securities is included in Interest income. The FHLBNY did not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented. |
Advances | Advances Accounting for Advances. The FHLBNY reports advances at amortized cost, net of any discounts and premiums (discounts are generally associated with advances for the Affordable Housing Program). If the advance is hedged in an ASC 815 qualifying hedge, its carrying value will include hedging valuation adjustments, which will typically be the result of changes in designated benchmark index. If an advance is accounted under the Fair Value Option, the carrying value of the advances elected will be its full fair value. The FHLBNY records interest on advances to income as earned, and amortizes the premium and accretes the discounts on a contractual basis to interest income using a level-yield methodology. Typically, advances are issued at par. Impairment Analysis of Advances . An advance will be considered impaired when, based on current information and events, it is probable that the FHLBNY will be unable to collect all amounts due according to the contractual terms of the advance agreement. The FHLBNY has established asset classification and reserve policies for adversely classified assets. All adversely classified assets of the FHLBNY will have a reserve established for probable losses. Following the requirements of the Federal Home Loan Bank Act of 1932 (FHLBank Act), as amended, the FHLBNY obtains sufficient collateral on advances to protect it from losses. The FHLBank Act limits eligible collateral to certain investment securities, residential mortgage loans, cash or deposits with the FHLBNY, and other eligible real estate related assets. Borrowing members pledge their capital stock of the FHLBNY as additional collateral for advances. The FHLBNY has not incurred any credit losses on advances since its inception. Based upon the financial condition of its borrowers, the collateral held as security on the advances and repayment history, management of the FHLBNY believes that an allowance for credit losses on advances is unnecessary. Advance Modifications. From time to time, the FHLBNY will enter into an agreement with a member to modify the terms of an existing advance. The FHLBNY evaluates whether the modified advance meets the accounting criteria under ASC 310-20 to qualify as a modification of an existing advance or as a new advance in accordance with provisions under creditor’s accounting for a modification or exchange of debt instruments. The evaluation includes analysis of (i) whether the effective yield on the new advance is at least equal to the effective yield for a comparable advance to a similar member that is not refinancing or restructuring, and (ii) whether the modification of the original advance is more than minor. If the FHLBNY determines that the modification is more than minor, the transaction is treated as an advance termination and the subsequent funding of a new advance, with gains or losses recognized in earnings for the period. If the advance is in a hedging relationship, and the modification is more than minor, the FHLBNY will consider the hedge relationship as terminated and previously recorded hedge basis adjustments are amortized over the life of the hedged advance through interest income as a yield adjustment. If the modification of the hedged item and the derivative instrument is considered minor, and if the hedge relationship is de-designated and contemporaneously re-designated, the FHLBNY would not require amortization of previously recorded hedge basis adjustments, although the assumption of no ineffectiveness is removed if the hedge was previously designated as a short-cut hedge. The FHLBNY performs a “test of a modification” under the guidance provided in ASC 310-20-35-11 each time a new advance is borrowed within a short-period of time, typically 5 business days after a prepayment. If a prepayment fee is received on an advance that is determined to be a modification of the original advance, the fee would be deferred, recorded in the basis of the modified advance, and amortized over the life of the modified advance using the level-yield method. This amortization would be recorded as a component of interest income from advances. Prepayment Fees on Advances . Generally, advances are prepaid by members at their fair values. The FHLBNY also charges the member a prepayment fee to make the FHLBNY financially indifferent to the early termination of the advance. For a prepaid advance that had been hedged under a qualifying fair value hedge, the FHLBNY would terminate the hedging relationship. Typically, the FHLBNY would terminate the interest rate swap, and would record the fair value exchanged with the swap counterparty as its settlement value. Prepayment fees received from the prepaying member to make the FHLBNY financially indifferent is recognized in earnings as interest income from advances. For prepaid advances that are not hedged or that are economically hedged, the FHLBNY would also charge the member the fair value of the advance, in addition to a prepayment fee that would make the FHLBNY financially indifferent to the early termination. The FHLBNY offers a rebate, which is typically a portion of the prepayment fee. The rebate is contingent upon the prepaying member borrowing new advances within a -day period following prepayment, also satisfying conditions to qualify for the rebate, and complying with the then prevailing terms and conditions for borrowing new advances. At the time a prepayment fee is received from the borrowing member, a portion of the fee, deemed to be potentially rebatable, is not recognized in earnings. The rebatable amount is deferred as a liability as the FHLBNY considers the rebate opportunity for the member a contingency for the FHLBNY. Until no likelihood exists, such that the member has a potential claim to a rebate within the 30-day rebate period, the potential rebatable amount will be considered to be contingently payable. That amount will be deferred, based on the supposition that the rebatable portion of the prepayment fee may not be recognized as a revenue in its entirety because it may be subject to a claim payable to a third party, the borrowing member. Amounts would be recorded once the contingency has been resolved, i.e. when any future potential claims to rebatable funds have expired (30-day rebate period has expired) or has been otherwise settled and resolved (member enters into new qualifying advances within the 30-day period). Only after the member has no further claims on the funds, and the FHLBNY has no obligations to rebate funds, the deferred amounts may only then be released to earnings. The actual rebate would depend on the amount and the maturity duration of the new advance. |
Mortgage Loans Held-for-Portfolio | Mortgage Loans Held-for-Portfolio Mortgage Partnership Finance program loans, or (MPF), are mortgage loans held-for-portfolio. The FHLBNY participates in the MPF program by purchasing and originating conventional mortgage loans from its participating members (Participating Financial Institutions or PFIs). We introduced a new mortgage purchase program, Mortgage Asset Program or (MAP) in 2020. Amount outstanding was $226.0 million at December 31, 2022 and $161.6 million at December 31, 2021. We rolled out the new program fully and ceased to purchase loans in the MPF program in late March 2021. The new program, MAP, was created based on feedback from members and is expected to better serve the needs of our district. Legacy MPF loans will continue to be supported by the FHLBNY and the FHLBank of Chicago as MPF Provider. In the MAP program, we will purchase investment grade, conventional one-to-four family or government-insured loans from participating members. Due to the unique credit enhancement structure and MAP program requirements of acquiring loans with strong credit quality indicators, we expect loan performance to remain within its credit quality indicators. To capitalize this activity, member sellers will also be required to purchase stock, as mandated by the FHLBNY’s capital plan, equal to 4.5% of the outstanding principal balance of the MAP assets sold by the member to the FHLBNY. At this point, we cannot forecast with certainty the volume of loans or the income from this program. Currently, the new program does not have a significant impact on our earnings, cash flows or our operations. MAP will help fulfill our mission by providing an off-balance sheet option of providing liquidity in all operating environments. Because of the immateriality of loans acquired, certain disclosures are omitted at December 31, 2022. The remaining disclosures pertain to mortgage loans under the MPF program. Credit Enhancement Obligations and Loss Layers. The FHLBNY and the PFI share the credit risks of the uninsured MPF loans by structuring potential credit losses into layers. Collectability of the loans is first supported by liens on the real estate securing the loan. For conventional mortgage loans, additional loss protection is provided by private mortgage insurance required for MPF loans with a loan-to-value ratio of more than at origination, which is paid for by the borrower. Credit losses are absorbed by the FHLBNY to the extent of the First Loss Account (FLA) for which the maximum exposure is estimated to be million at December 31, 2021. The aggregate amount of FLA is memorialized and tracked but is neither recorded nor reported as a loan loss reserve in the FHLBNY’s financial statements. If “second losses” beyond this layer are incurred, they are absorbed through a credit enhancement provided by the PFI. The credit enhancement held by PFIs ensures that the lender retains a credit stake in the loans it sells to the FHLBNY, or for the MPF 100 product that the PFI originates as an agent for the FHLBNY. For assuming the second loss credit risk, PFIs receive monthly credit enhancement fees from the FHLBNY. For most MPF products, the credit enhancement fee is paid monthly to the PFI on an amount mutually agreed upon, as specified in the Master Commitment. For MPF loans acquired after May 2017, the amount of the credit enhancement is computed with the use of a Standard & Poor’s model to determine the amount of credit enhancement necessary to bring a pool of uninsured loans to a “Single A” credit risk. Prior to May 2017, the credit enhancement was calculated to a “Double A” credit risk. The credit enhancement becomes an obligation of the PFI. Delivery commitment fees are charged to a PFI for extending the scheduled delivery period of the loans. Pair-off fees may be assessed and charged to a PFI when the settlement of the delivery commitment (1) fails to occur, or (2) the principal amount of the loans purchased by the FHLBNY under a delivery commitment is not equal to the contract amount beyond established limits. Accounting for Mortgage Loans. The FHLBNY has the intent and ability to hold these mortgage loans for the foreseeable future or until maturity or payoff and classifies mortgage loans as held-for-portfolio. Loans are reported at their principal amount outstanding, net of premiums and discounts, which is the fair value of the mortgage loan on settlement date. The FHLBNY defers premiums and discounts, and uses the contractual method to amortize premiums and accrete discounts on mortgage loans. The contractual method recognizes the income effects of premiums and discounts in a manner that is reflective of the actual behavior of the mortgage loans during the period in which the behavior occurs while also reflecting the contractual terms of the assets without regard to changes in estimated prepayments based upon assumptions about future borrower behavior. Mortgage loans are written down to their fair values either at foreclosure or to their collateral values when collectability is doubtful, typically when delinquent 180 days or greater and the loan is not well collateralized. When a loan is partially charged off, the remaining loan balance is typically written down and recorded at its collateral value on a non-recurring basis (see Note 18. Fair Values of Financial Instruments). The FHLBNY records credit enhancement fees as a reduction to mortgage loan interest income. Other non-origination fees, such as delivery commitment extension fees and pair-off fees, are considered as derivative income and recorded over the life of the commitment; all such fees were insignificant for all periods reported. Non-Accrual Mortgage Loans. The FHLBNY places a mortgage loan on non-accrual status when the collection of the contractual principal or interest is doubtful, which for the FHLBNY is typically or more past due. When a mortgage loan is placed on non-accrual status, accrued but uncollected interest is reversed against interest income. A loan on non-accrual status may be restored to accrual when (1) principal and interest is no longer delinquent, (2) the FHLBNY expects to collect the remaining interest and principal, and (3) the collection is not under legal proceedings. For mortgage loans on non-accrual status, impairment calculations would consider if the collection of the remaining principal and interest due is determined to be doubtful, and any cash received would be applied first to principal until the remaining principal amount due is collected, and then as a recovery of any charge-offs. Any remaining cash flows would be recorded as interest income. If the FHLBNY determines that the loan servicer on a non-accrual loan has paid the accrued interest receivable as an advance, which is likely to be subject to recovery by the borrower, the FHLBNY would consider the cash received as a liability until the impaired loan returns to a performing status. The cumulative amounts of cash received and recorded as a liability was Impairment Methodology and Portfolio Segmentation and Disaggregation — Except for VA and FHA insured mortgage loans, all MPF loans are measured for impairment and analyzed for credit losses. Measurement of credit losses is based on current information and events and when it is probable that the FHLBNY will be unable to collect all amounts due according to the contractual terms of the loan agreement. Credit losses are measured for impairment based on the fair value of the underlying property less estimated selling costs. It is assumed that repayment is expected to be provided solely by the sale of the underlying property, that is, there is no other available and reliable source of repayment. To the extent that the net fair value of the property (collateral) is less than the amortized cost in the loan, a loan loss allowance is recorded. FHA and VA are insured loans, and are excluded from the loan-by-loan analysis. FHA and VA insured mortgage loans have minimal inherent credit risk; risk generally arises mainly from the servicers defaulting on their obligations. FHA and VA insured mortgage loans, if adversely classified, would have reserves established only in the event of a default of a PFI, and reserves would be based on aging, collateral value and estimated costs to recover any uninsured portion of the MPF loan. Aside from separating conventional mortgage loans from FHA and VA insured loans, the FHLBNY has determined that no further disaggregation or portfolio segmentation is needed as the credit risk is measured at the individual loan level. Charge-Off Policy — The FHLBNY complies with the guidance provided by the FHFA to perform a charge-off analysis when a loan is on non-accrual status for 180 days or more and the loan is not well collateralized. The charge-off is calculated as the amount of the shortfall of the fair value of the underlying collateral, less estimated selling costs, compared to the amortized cost in the loan. Real Estate Owned (REO) — REO includes assets that have been received in satisfaction of mortgage loans through foreclosure. REO is recorded at the lower of cost or fair value less estimated selling costs of the REO. At the date of transfer, from mortgage loan to REO, the FHLBNY recognizes a charge-off to allowance for credit losses if the fair value of the REO is less than the amortized cost in the loan. Any subsequent realized gains, realized or unrealized losses and carrying costs are included in Other income (non-interest) in the Statements of Income. REO is recorded in Other assets, in the Statements of Condition. |
Mandatorily Redeemable Capital Stock | Mandatorily Redeemable Capital Stock Generally, the FHLBNY’s capital stock is redeemable at the option of both the member and the FHLBNY, subject to certain conditions. The FHLBNY’s capital stock is accounted for under the guidance for financial instruments with characteristics of both liabilities and equity. Dividends paid on capital stock classified as mandatorily redeemable stock are accrued at an estimated dividend rate and reported as interest expense in the Statements of Income. Mandatorily redeemable capital stock at December 31, 2022 and 2021 represented capital stocks held by former members. Accounting Considerations under the Capital Plan ● a member requests redemption of excess membership stock; ● a member delivers notice of its intent to withdraw from membership; or ● a member attains non-member status (through merger into or acquisition by a non-member, charter termination, or involuntary termination from membership). The member’s request to redeem excess Membership Stock will be considered to be revocable until the stock is repurchased. Since the member’s request to redeem excess Membership Stock can be withdrawn by the member without penalty, the FHLBNY considers the member’s intent regarding such request to not be substantive in nature; therefore, no reclassification to a liability will be made at the time the request is delivered. Under the Capital Plan, when a member delivers a notification of its intent to withdraw from membership, the reclassification from equity to a liability will become effective upon receipt of the notification. The FHLBNY considers the member’s intent regarding such notification to be substantive in nature; therefore, reclassification to a liability will be made at the time the notification of the intent to withdraw is delivered. When a member is acquired by a non-member, the FHLBNY reclassifies stock of former members to a liability on the day the member’s charter is dissolved. Unpaid dividends related to capital stock reclassified as a liability are accrued at an estimated dividend rate and reported as interest expense in the Statements of Income. The repurchase of these mandatorily redeemable financial instruments is reflected as a cash outflow in the financing activities section of the Statements of Cash Flows. The FHLBNY’s capital stock can only be acquired and redeemed at par value; and are not traded and no market mechanism exists for the exchange of stock outside the cooperative structure. |
Affordable Housing Program | Affordable Housing Program The FHLBank Act requires each FHLBank to establish and fund an AHP (see Note 13. Affordable Housing Program). The FHLBNY charges the required funding for AHP to earnings and establishes a liability. The AHP funds provide subsidies to members to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. The AHP assessment is based on a fixed percentage of income before adjustment for dividends associated with mandatorily redeemable capital stock. Dividend payments are reported as interest expense in accordance with the accounting guidance for certain financial instruments with characteristics of both liabilities and equity. If the FHLBNY incurs a loss for the entire year, no AHP assessment or assessment credit is due or accrued, as explained more fully in Note 13. Affordable Housing Program. From time to time, the FHLBNY may also issue AHP advances at interest rates below the customary interest rates for non-subsidized advances. When the FHLBNY makes an AHP advance, the present value of the variation in the cash flow caused by the difference between the AHP advance interest rate and the FHLBNY’s related cost of funds for comparable maturity funding is charged against the AHP liability. The amounts are then recorded as a discount on the AHP advance. As an alternative, the FHLBNY has the authority to make the AHP subsidy available to members as a grant. |
Commitment Fees | Commitment Fees The FHLBNY records the present value of fees receivable from standby letters of credit as an asset and an offsetting liability for the obligation. Fees, which are generally received for in advance, are recorded as unrecognized standby commitment fees (deferred credit) and amortized monthly over the commitment period. The FHLBNY amortizes fees received to income using the straight-line method. |
Premises, Software and Equipment | Premises, Software and Equipment The Bank computes depreciation using the straight-line method over the estimated useful lives of assets ranging from four . Leasehold improvements are amortized on a straight-line basis over the lesser of the useful life of the asset or the remaining term of the lease. The FHLBNY capitalizes improvements and major renewals but expenses ordinary maintenance and repairs when incurred, and would include gains and losses on disposal of premises and equipment in Other income (loss). |
Lease Accounting | Lease Accounting The FHLBNY adopted ASU 2016-02, Leases (Topic 842) effective January 1, 2019. Leases are recognized on the balance sheet as a lease liability with a right-of-use asset as an offset. See Operating lease commitment disclosures in Note 19. Commitments and Contingencies. |
Consolidated Obligations | Consolidated Obligations Accounting for Consolidated obligation debt . The FHLBNY reports Consolidated obligation bonds and discount notes at amortized cost, net of discounts and premiums. If the consolidated obligation debt is hedged in a benchmark hedge, its carrying value will include hedging valuation adjustments, which will typically be the changes in the LIBOR index. The carrying value of Consolidated obligation debt elected under the FVO will be its fair value. The FHLBNY records interest paid on Consolidated obligation bonds in interest expense. The FHLBNY expenses the discounts on Consolidated obligation discount notes, using the level-yield method, over the term of the related notes and amortizes the discounts and premiums on callable and non-callable Consolidated bonds, also using the contractual level-yield method, over the term to maturity of the Consolidated obligation bonds. Concessions on Consolidated Obligations. Concessions are paid to dealers in connection with the issuance of certain Consolidated obligation bonds. The Office of Finance prorates the amount of the concession to the FHLBNY based upon the percentage of the debt issued that is assumed by the FHLBNY. Concessions paid on Consolidated obligation bonds elected under the FVO are expensed as incurred. Concessions paid on Consolidated obligation bonds not designated under the FVO are deferred and amortized, using the contractual level-yield method, over the term to maturity of the Consolidated obligation bond. Unamortized debt issuance costs are recorded in Consolidated obligation bond liabilities in the Statements of Condition. The FHLBNY charges to expense, as incurred, the concessions applicable to the sale of Consolidated obligation discount notes because of their short maturities; amounts are recorded in Consolidated obligations interest expense. |
Finance Agency and Office of Finance Expenses | Finance Agency and Office of Finance Expenses The FHLBNY is assessed for its proportionate share of the costs of operating the Finance Agency and the Office of Finance. The Finance Agency is authorized to impose assessments on the FHLBanks and The Office of Finance is also authorized to impose assessments on the FHLBanks, including the FHLBNY, in amounts sufficient to pay the Office of Finance’s annual operating and capital expenditures. Each FHLBank is assessed a prorated — two one |
Earnings per Share of Capital | Earnings per Share of Capital Basic earnings per share is computed by dividing income available to stockholders by the weighted average number of shares outstanding for the period. Capital stock classified as mandatorily redeemable capital stock is excluded from this calculation. Basic and diluted earnings per share are the same, as the FHLBNY has |
Cash Flows | Cash Flows In the Statements of Cash Flows, the FHLBNY considers Cash and due from banks to be cash. Interest-bearing deposits, Federal funds sold, and securities purchased under agreements to resell are reported in the Statements of Cash Flows as investing activities. Federal funds sold, securities purchased under agreements to resell, and deposits with other FHLBanks are deemed short-term under ASC 320 and therefore, net presentation is appropriate. Derivative instruments — Cash flows from a derivative instrument that is accounted for as a fair value or cash flow hedge, including those designated as economic hedges, are reflected as cash flows from operating activities if the derivative instrument did not include “an other-than-insignificant” financing element at inception. When the FHLBNY executes an off-market derivative, which would typically require an up-front cash exchange, the FHLBNY will analyze the transaction and would deem it to contain a financing element if the cash exchange is more than insignificant. Financing elements are recorded as a financing activity in the Statements of Cash Flows. Losses on debt extinguishment — Losses from debt retirement and transfers (debt retirement) are considered financing activities in the Statements of Cash Flows. Losses are added back as an adjustment to Net cash provided by operating activities, with an offsetting increase in payments on maturing Consolidated obligation bonds as a financing activity. |
Trading Securities. (Tables)
Trading Securities. (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Securities. | |
Schedule of major security types of trading securities | The following table provides major security types at December 31, 2022 and December 31, 2021 (in thousands): Fair value December 31, 2022 December 31, 2021 U.S. Treasury notes $ 7,113,419 $ 5,821,380 Total trading securities $ 7,113,419 $ 5,821,380 |
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 December 31, 2022 Due in one year Due after one year Due after five years or less through five years through ten years Total Fair Value U.S. Treasury notes $ 2,894,964 $ 2,589,829 $ 1,628,626 $ 7,113,419 Total trading securities $ 2,894,964 $ 2,589,829 $ 1,628,626 $ 7,113,419 Yield on trading securities 0.96 % 1.39 % 1.18 % December 31, 2021 Due in one year Due after one year Due after five years or less through five years through ten years Total Fair Value U.S. Treasury notes $ 2,516,659 $ 1,491,893 $ 1,812,828 $ 5,821,380 Total trading securities $ 2,516,659 $ 1,491,893 $ 1,812,828 $ 5,821,380 Yield on trading securities 1.27 % 1.32 % 1.32 % |
Equity Investments. (Tables)
Equity Investments. (Tables) - Equity Investment | 12 Months Ended |
Dec. 31, 2022 | |
Equity Investments | |
Schedule of carrying value of equity investments | The carrying value of equity investments in the Statements of Condition, and the types of assets in the grantor trust were as follows (in thousands): December 31, 2022 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains (b) Losses (b) Value (c) Cash equivalents $ 4,308 $ — $ — $ 4,308 Equity funds 43,038 12,772 (6,760) 49,050 Fixed income funds 33,353 167 (5,124) 28,396 Total Equity Investments (a) $ 80,699 $ 12,939 $ (11,884) $ 81,754 December 31, 2021 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains (b) Losses (b) Value (c) Cash equivalents $ 3,261 $ — $ — $ 3,261 Equity funds 41,228 21,342 (2,425) 60,145 Fixed income funds 32,703 415 (400) 32,718 Total Equity Investments (a) $ 77,192 $ 21,757 $ (2,825) $ 96,124 (a) The intent of the grantor trust is to set aside cash to meet current and future payments for a supplemental unfunded pension plan. 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): Years ended December 31, 2022 2021 Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date $ (17,877) $ 4,480 Net gains (losses) recognized during the period on equity investments sold during the period (265) 1,434 Net dividend and other 2,768 3,855 Net gains (losses) recognized during the period $ (15,374) $ 9,769 |
Available-for-Sale Securities.
Available-for-Sale Securities. (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
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): December 31, 2022 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-Other US Obligations Ginnie Mae-CMO $ 4,521 $ (51) $ — $ — $ 4,521 $ (51) MBS-GSE Fannie Mae-CMO 283,287 (4,620) — — 283,287 (4,620) Fannie Mae-CMBS 424,871 (26,948) — — 424,871 (26,948) Freddie Mac-CMO 76,951 (732) — — 76,951 (732) Freddie Mac-CMBS 2,657,360 (202,093) 2,302,235 (578,021) 4,959,595 (780,114) Fannie Mae-Pass Thru 368 (2) — — 368 (2) Total MBS-GSE 3,442,837 (234,395) 2,302,235 (578,021) 5,745,072 (812,416) Total MBS Temporarily Impaired $ 3,447,358 $ (234,446) $ 2,302,235 $ (578,021) $ 5,749,593 $ (812,467) State and local housing finance agency obligations 944,406 (684) 14,622 (78) 959,028 (762) Total Temporarily Impaired $ 4,391,764 $ (235,130) $ 2,316,857 $ (578,099) $ 6,708,621 $ (813,229) December 31, 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 $ 1,476,219 $ (23,442) $ 641,268 $ (32,433) $ 2,117,487 $ (55,875) Total MBS-GSE 1,476,219 (23,442) 641,268 (32,433) 2,117,487 (55,875) Total MBS Temporarily Impaired $ 1,476,219 $ (23,442) $ 641,268 $ (32,433) $ 2,117,487 $ (55,875) State and local housing finance agency obligations — — 21,130 (50) 21,130 (50) Total Temporarily Impaired $ 1,476,219 $ (23,442) $ 662,398 $ (32,483) $ 2,138,617 $ (55,925) |
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): December 31, 2022 December 31, 2021 Amortized Cost Fair Value Amortized Cost Fair Value Mortgage-backed securities Floating CMO $ 462,796 $ 457,950 $ 575,441 $ 584,423 PASS THRU 4,080 4,102 4,896 5,111 Total Floating 466,876 462,052 580,337 589,534 Fixed CMBS 5,745,872 5,517,789 4,812,727 4,959,250 Total Fixed 5,745,872 5,517,789 4,812,727 4,959,250 Total Mortgage-backed securities 6,212,748 5,979,841 5,393,064 5,548,784 State and local housing finance agency obligations Floating 1,109,790 1,109,029 998,520 998,637 Total Available-for-Sale securities $ 7,322,538 $ 7,088,870 $ 6,391,584 $ 6,547,421 |
Available-for-Sale Securities. | |
Securities. | |
Schedule of major security types | The following tables provide major security types (in thousands): December 31, 2022 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains Losses Value GSE and U.S. Obligations State and local housing finance agency obligations $ 1,109,790 $ 1 $ (762) $ 1,109,029 Mortgage-backed securities Floating CMO 462,796 557 (5,403) 457,950 PASS THRU 4,080 24 (2) 4,102 Total Floating 466,876 581 (5,405) 462,052 Fixed CMBS 6,320,976 3,875 (807,062) 5,517,789 Total Fixed 6,320,976 3,875 (807,062) 5,517,789 MBS AFS Before Hedging Adjustments 6,787,852 4,456 (a) (812,467) (a) 5,979,841 Hedging Basis Adjustments in AOCI (b) (575,104) 575,104 — — Total Available-for-sale securities (MBS) 6,212,748 579,560 (812,467) 5,979,841 Total Available-for-sale securities $ 7,322,538 $ 579,561 $ (813,229) $ 7,088,870 December 31, 2021 Gross Gross Amortized Unrealized Unrealized Fair Cost Gains Losses Value GSE and U.S. Obligations State and local housing finance agency obligations $ 998,520 $ 167 $ (50) $ 998,637 Mortgage-backed securities Floating CMO 575,441 8,982 — 584,423 PASS THRU 4,896 215 — 5,111 Total Floating 580,337 9,197 — 589,534 Fixed CMBS 4,843,394 171,731 (55,875) 4,959,250 Total Fixed 4,843,394 171,731 (55,875) 4,959,250 MBS AFS Before Hedging Adjustments 5,423,731 180,928 (a) (55,875) (a) 5,548,784 Hedging Basis Adjustments in AOCI (b) (30,667) 30,667 — — Total Available-for-sale securities (MBS) 5,393,064 211,595 (55,875) 5,548,784 Total Available-for-sale securities $ 6,391,584 $ 211,762 $ (55,925) $ 6,547,421 (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 December 31, 2022 recorded $575.1 million of hedge basis losses; at December 31, 2021, hedge basis losses of $30.7 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) December 31, 2022 December 31, 2021 Amortized Estimated Amortized Estimated Cost (b) Fair Value Cost (b) Fair Value State and local housing finance agency obligations Due in one year or less $ 750 $ 750 $ — $ — Due after one year through five years 14,700 14,622 21,180 21,130 Due after ten years 1,094,340 1,093,657 977,340 977,507 State and local housing finance agency obligations $ 1,109,790 $ 1,109,029 $ 998,520 $ 998,637 Mortgage-backed securities Due in one year or less $ 34 $ 34 $ — $ — Due after one year through five years 1,046,588 991,319 875,385 917,150 Due after five year through ten years 4,169,456 4,035,246 3,591,533 3,696,985 Due after ten years 996,670 953,242 926,146 934,649 Mortgage-backed securities $ 6,212,748 $ 5,979,841 $ 5,393,064 $ 5,548,784 Total Available-for-Sale securities $ 7,322,538 $ 7,088,870 $ 6,391,584 $ 6,547,421 (a) The carrying value of AFS securities equals fair value. (b) Amortized cost is UPB after adjusting for net unamortized premiums of $4.6 million and $79.9 million at December 31, 2022 and December 31, 2021, 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. | 12 Months Ended |
Dec. 31, 2022 | |
Held-to-Maturity Securities. | |
Schedule of major security types | Major Security Types (in thousands) December 31, 2022 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 $ 26,251 $ — $ — $ 26,251 $ 371 $ (6) $ 26,616 Freddie Mac 4,570 — — 4,570 76 — 4,646 Total pools of mortgages 30,821 — — 30,821 447 (6) 31,262 Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits Fannie Mae 210,453 — — 210,453 — (7,072) 203,381 Freddie Mac 248,687 — — 248,687 — (6,162) 242,525 Ginnie Mae — — — — — — — Total CMOs/REMICs 459,140 — — 459,140 — (13,234) 445,906 Commercial Mortgage-Backed Securities (b) Fannie Mae 1,108,553 — — 1,108,553 — (21,410) 1,087,143 Freddie Mac 7,530,247 — — 7,530,247 3,629 (394,246) 7,139,630 Total commercial mortgage-backed securities 8,638,800 — — 8,638,800 3,629 (415,656) 8,226,773 Non-GSE MBS (c) CMOs/REMICs 2,626 (199) (231) 2,196 — (359) 1,837 Asset-Backed Securities (c) Manufactured housing (insured) 13,738 — — 13,738 291 — 14,029 Home equity loans (insured) 26,832 — (311) 26,521 3,821 (444) 29,898 Home equity loans (uninsured) 6,171 — (456) 5,715 596 (59) 6,252 Total asset-backed securities 46,741 — (767) 45,974 4,708 (503) 50,179 Total MBS 9,178,128 (199) (998) 9,176,931 8,784 (429,758) 8,755,957 Other State and local housing finance agency obligations 177,225 (108) — 177,117 — (13,869) 163,248 Total Held-to-maturity securities $ 9,355,353 $ (307) $ (998) $ 9,354,048 $ 8,784 $ (443,627) $ 8,919,205 December 31, 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 $ 33,128 $ — $ — $ 33,128 $ 4,086 $ — $ 37,214 Freddie Mac 5,478 — — 5,478 712 — 6,190 Total pools of mortgages 38,606 — — 38,606 4,798 — 43,404 Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits Fannie Mae 300,442 — — 300,442 2,338 (144) 302,636 Freddie Mac 322,186 — — 322,186 3,066 (22) 325,230 Ginnie Mae — — — — — — — Total CMOs/REMICs 622,628 — — 622,628 5,404 (166) 627,866 Commercial Mortgage-Backed Securities (b) Fannie Mae 1,301,041 — — 1,301,041 22,166 (159) 1,323,048 Freddie Mac 7,117,953 — — 7,117,953 339,409 (6,461) 7,450,901 Total commercial mortgage-backed securities 8,418,994 — — 8,418,994 361,575 (6,620) 8,773,949 Non-GSE MBS (c) CMOs/REMICs 2,978 (226) (261) 2,491 35 (51) 2,475 Asset-Backed Securities (c) Manufactured housing (insured) 18,484 — — 18,484 498 — 18,982 Home equity loans (insured) 32,519 — (374) 32,145 6,187 — 38,332 Home equity loans (uninsured) 11,382 — (951) 10,431 1,286 (84) 11,633 Total asset-backed securities 62,385 — (1,325) 61,060 7,971 (84) 68,947 Total MBS 9,145,591 (226) (1,586) 9,143,779 379,783 (6,921) 9,516,641 Other State and local housing finance agency obligations 185,000 (114) — 184,886 16 (17,269) 167,633 Total Held-to-maturity securities $ 9,330,591 $ (340) $ (1,586) $ 9,328,665 $ 379,799 $ (24,190) $ 9,684,274 (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 “multi-family properties”. Eligible property types include standard conventional multifamily apartments, affordable multi-family 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. |
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): December 31, 2022 December 31, 2021 Amortized Estimated Amortized Estimated Cost (a) Fair Value Cost (a) Fair Value State and local housing finance agency obligations Due in one year or less $ — $ — $ 1,085 $ 1,100 Due after one year through five years 1,145 1,137 1,560 1,550 Due after five years through ten years 3,545 3,415 100 100 Due after ten years 172,535 158,696 182,255 164,883 State and local housing finance agency obligations $ 177,225 $ 163,248 $ 185,000 $ 167,633 Mortgage-backed securities Due in one year or less $ 375,677 $ 372,953 $ 622,150 $ 627,027 Due after one year through five years 4,564,091 4,397,702 3,244,996 3,338,703 Due after five years through ten years 3,484,910 3,258,306 4,411,317 4,670,692 Due after ten years 753,450 726,996 867,128 880,219 Mortgage-backed securities $ 9,178,128 $ 8,755,957 $ 9,145,591 $ 9,516,641 Total Held-to-Maturity Securities $ 9,355,353 $ 8,919,205 $ 9,330,591 $ 9,684,274 (a) Amortized cost is UPB after adjusting for net unamortized discounts of $32.3 million at December 31, 2022 and net unamortized premiums of $45.7 million at December 31, 2021 and before adjustments for allowance for credit losses. |
Advances. (Tables)
Advances. (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Advances. | |
Schedule of contractual redemption terms and yields of advances | Contractual redemption terms and yields of advances were as follows (dollars in thousands): December 31, 2022 December 31, 2021 Weighted (a) Weighted (a) Average Percentage Average Percentage Amount Yield of Total Amount Yield of Total Overdrawn demand deposit accounts $ 4 5.36 % — % $ — — % — % Due in one year or less 82,971,070 3.00 70.96 39,102,862 0.64 54.91 Due after one year through two years 13,739,663 1.82 11.75 8,417,861 1.52 11.82 Due after two years through three years 4,480,758 1.79 3.83 5,986,412 1.35 8.41 Due after three years through four years 2,552,886 1.55 2.18 3,847,497 1.49 5.40 Due after four years through five years 5,588,876 3.27 4.78 2,366,939 1.41 3.32 Thereafter 7,596,597 3.15 6.50 11,493,595 1.82 16.14 Total par value 116,929,854 2.80 % 100.00 % 71,215,166 1.07 % 100.00 % Advance discounts (2,083) (160) Hedge valuation basis adjustments (b) (1,634,895) 321,396 Total $ 115,292,876 $ 71,536,402 (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) | 12 Months Ended |
Dec. 31, 2022 | |
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): December 31, 2022 December 31, 2021 Carrying Percentage of Carrying Percentage of Amount Total Amount Total Real Estate (a) : Fixed medium-term single-family mortgages $ 109,429 5.90 % $ 138,831 6.52 % Fixed long-term single-family mortgages 1,745,699 94.10 1,988,968 93.48 Total unpaid principal balance $ 1,855,128 100.00 % $ 2,127,799 100.00 % Unamortized premiums 26,448 31,351 Unamortized discounts (693) (857) Basis adjustment (b) 1,703 1,966 Total MPF loans amortized cost $ 1,882,586 $ 2,160,259 MPF allowance for credit losses (1,665) (1,956) MPF loans held-for-portfolio $ 1,880,921 $ 2,158,303 MAP loans held-for-portfolio 226,048 161,561 Total mortgage loans held-for-portfolio at carrying value $ 2,106,969 $ 2,319,864 (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. |
Summary of mortgage loans held-for-portfolio by redemption term | The following table presents the fixed-rate mortgage loans held-for-portfolio by redemption terms for the current year (in thousands): Redemption Term December 31, 2022 December 31, 2021 Due in one year or less $ 79,855 $ 83,195 Due after one year through five years 334,980 355,950 Due after five years through fifteen years 860,981 922,236 Thereafter 800,395 923,160 Total unpaid principal balance $ 2,076,211 $ 2,284,541 Other adjustments, net (a) 32,669 37,458 Total mortgage loans held for portfolio $ 2,108,880 $ 2,321,999 Allowance for credit losses on mortgage loans (1,911) (2,135) Mortgage loans held for portfolio, net $ 2,106,969 $ 2,319,864 (a) Consists of premiums, discounts, and hedging adjustments. |
Rollforward analysis of allowance for credit losses | The following table provides a roll forward analysis of the allowance for credit losses (in thousands): Years ended December 31, 2022 2021 2020 Allowance for credit losses: Beginning balance $ 2,135 $ 7,073 $ 653 Adjustment for cumulative effect of accounting change — — 2,972 Charge-offs (31) (50) (94) Recoveries — — — Provision (Reversal) for credit losses on mortgage loans (193) (4,888) 3,542 Balance, at end of period $ 1,911 $ 2,135 $ 7,073 |
Summary of risk elements and credit losses | The following table presents risk elements and credit losses (dollars in thousands): December 31, 2022 December 31, 2021 Average loans outstanding during the period (a) $ 2,155,287 $ 2,501,735 Mortgage loans held for portfolio (a) 2,076,211 2,284,541 Non-accrual loans (a) 7,795 12,294 Allowance for credit losses on mortgage loans held for portfolio 1,911 2,135 Net charge-offs 31 50 Ratio of net charge-offs to average loans outstanding during the period 0.001 % 0.002 % Ratio of allowance for credit losses to mortgage loans held for portfolio 0.092 % 0.093 % Ratio of non-accrual loans to mortgage loans held for portfolio 0.375 % 0.538 % Ratio of allowance for credit losses to non-accrual loans 24.511 % 17.369 % (a) Balances represent unpaid principal balance. |
Schedule of non-performing mortgage loans | The FHLBNY’s total MPF loans and impaired MPF loans were as follows (in thousands): December 31, 2022 December 31, 2021 Total MPF Mortgage loans, carrying values net (a) $ 1,880,921 $ 2,158,303 Non-performing MPF mortgage loans - Conventional (a)(b) $ 7,795 $ 12,294 Insured MPF loans past due 90 days or more and still accruing interest (a)(b) $ 4,632 $ 6,612 (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 unpaid principal balance 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): December 31, 2022 Unpaid Average Principal Related Amortized Cost Amortized Cost Balance Allowance After Allowance After Allowance (d) Conventional Loans - MPF (a)(c) No related allowance (b) $ 1,053,813 $ — $ 1,068,388 $ 1,167,490 With a related allowance 664,581 (1,665) 673,518 668,124 Total measured for impairment $ 1,718,394 $ (1,665) $ 1,741,906 $ 1,835,614 December 31, 2021 Unpaid Average Principal Related Amortized Cost Amortized Cost Balance Allowance After Allowance After Allowance (d) Conventional Loans - MPF (a)(c) No related allowance (b) $ 1,329,019 $ — $ 1,348,056 $ 1,506,305 With a related allowance 640,788 (1,956) 649,531 779,346 Total measured for impairment $ 1,969,807 $ (1,956) $ 1,997,587 $ 2,285,651 (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 twelve months ended December 31, 2022 and for the same period ended December 31, 2021. |
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): December 31, 2022 December 31, 2021 Mortgage Loans Held for Portfolio by Collateral/Guarantee Type : Conventional mortgage loans - MPF $ 1,718,394 $ 1,969,807 MPF Government-guaranteed or -insured mortgage loans 136,734 157,992 Total MPF loans - unpaid principal balance $ 1,855,128 $ 2,127,799 |
Summary of credit quality indicator for conventional mortgage loans | Credit Quality Indicator for Conventional Mortgage Loans December 31, 2022 Conventional Loans Origination Year Prior to 2018 2018 to 2022 Total Payment Status, at Amortized Cost: Conventional MPF/MAP Past due 30 - 59 days $ 8,399 $ 4,104 $ 12,503 Past due 60 - 89 days 2,707 653 3,360 Past due 90 days or more 6,676 1,162 7,838 Total past due mortgage loans 17,782 5,919 23,701 Current MPF mortgage loans 941,098 778,871 1,719,969 Current MAP mortgage loans — 225,961 225,961 Total conventional mortgage loans $ 958,880 $ 1,010,751 $ 1,969,631 December 31, 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 $ 6,458 $ 6,614 $ 13,072 Past due 60 - 89 days 1,386 1,100 2,486 Past due 90 days or more 11,066 1,288 12,354 Total past due mortgage loans 18,910 9,002 27,912 Current MPF mortgage loans 964,314 1,007,317 1,971,631 Current MAP mortgage loans — 161,740 161,740 Total conventional mortgage loans $ 983,224 $ 1,178,059 $ 2,161,283 Other Delinquency Statistics December 31, 2022 Conventional MPF Government-Guaranteed MPF Loans or -Insured Loans Total MPF Loans Amortized Cost: In process of foreclosure (a) $ 3,940 $ 2,865 $ 6,805 Serious delinquency rate (b) 0.45 % 3.45 % 0.68 % Past due 90 days or more and still accruing interest $ — $ 4,702 $ 4,702 Loans on non-accrual status $ 7,838 $ — $ 7,838 Troubled debt restructurings: Loans discharged from bankruptcy (c) $ 5,241 $ 1,434 $ 6,675 Modified loans under MPF program $ — $ — $ — Real estate owned (d) $ — $ — $ — December 31, 2021 Conventional MPF Government-Guaranteed MPF Loans or -Insured Loans Total MPF Loans Amortized Cost: In process of foreclosure (a) $ 11,190 $ 4,053 $ 15,243 Serious delinquency rate (b) 0.95 % 4.26 % 1.19 % Past due 90 days or more and still accruing interest $ — $ 6,684 $ 6,684 Loans on non-accrual status $ 12,354 $ — $ 12,354 Troubled debt restructurings: Loans discharged from bankruptcy (c) $ 4,849 $ 778 $ 5,627 Modified loans under MPF program $ 421 $ — $ 421 Real estate owned (d) $ 357 $ — $ 357 (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 in MPF program. 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) | 12 Months Ended |
Dec. 31, 2022 | |
Deposits. | |
Summary of deposits and interest rate payment terms for deposits | The following table summarizes deposits (in thousands): December 31, 2022 December 31, 2021 Interest-bearing deposits Interest-bearing demand $ 1,015,991 $ 1,283,072 Term (a) — — Total interest-bearing deposits 1,015,991 1,283,072 Non-interest-bearing demand 10,946 38,166 Total deposits (b) $ 1,026,937 $ 1,321,238 (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): Average Average Deposits December 31, 2022 Interest Rate (b) December 31, 2021 Interest Rate (b) Term deposits $ — 3.51 % $ — 0.17 % Interest-bearing demand (a) 1,015,991 1.36 1,283,072 0.03 Total interest-bearing deposits $ 1,015,991 1.36 % $ 1,283,072 0.03 % Non-interest-bearing demand 10,946 38,166 Total deposits $ 1,026,937 $ 1,321,238 (a) Primarily adjustable rate. (b) The weighted average interest rate is calculated based on the average balance. |
Consolidated Obligations. (Tabl
Consolidated Obligations. (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Consolidated Obligations. | |
Summary of Consolidated obligations issued and outstanding | The following table summarizes carrying amounts of Consolidated obligations outstanding (in thousands): December 31, 2022 December 31, 2021 Consolidated obligation bonds-amortized cost $ 87,612,556 $ 54,643,748 Hedge valuation basis adjustments (2,015,128) 77,048 Hedge basis adjustments on de-designated hedges 114,430 125,091 FVO - valuation adjustments and accrued interest (214,103) (16,486) Total Consolidated obligation bonds $ 85,497,755 $ 54,829,401 Discount notes-amortized cost $ 61,832,418 $ 42,197,683 Hedge value basis adjustments (39,088) (424) Hedge basis adjustments on de-designated hedges (341) — FVO - valuation adjustments and remaining accretion — — Total Consolidated obligation discount notes $ 61,792,989 $ 42,197,259 |
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): December 31, 2022 December 31, 2021 Weighted Weighted Average Percentage Average Percentage Maturity Amount Rate (a) of Total Amount Rate (a) of Total One year or less $ 40,943,160 3.69 % 46.79 % $ 19,254,345 0.59 % 35.32 % Over one year through two years 16,499,805 2.56 18.85 7,317,160 1.20 13.42 Over two years through three years 7,808,115 1.65 8.92 5,881,385 0.85 10.79 Over three years through four years 10,533,905 1.09 12.04 4,149,215 0.97 7.61 Over four years through five years 4,638,435 2.35 5.30 10,072,905 0.95 18.48 Thereafter 7,092,000 2.88 8.10 7,839,700 2.44 14.38 Total par value 87,515,420 2.85 % 100.00 % 54,514,710 1.06 % 100.00 % Bond premiums (b) 123,477 152,601 Bond discounts (b) (26,341) (23,563) Hedge valuation basis adjustments (c) (2,015,128) 77,048 Hedge basis adjustments on de-designated hedges (d) 114,430 125,091 FVO (e) (214,103) (16,486) Total Consolidated obligation-bonds $ 85,497,755 $ 54,829,401 (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 the unamortized basis is reversed to zero at maturity of the debt. (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): December 31, 2022 December 31, 2021 Percentage Percentage Amount of Total Amount of Total Fixed-rate, non-callable $ 30,482,290 34.83 % $ 31,907,580 58.53 % Fixed-rate, callable 18,676,130 21.34 12,993,130 23.84 Step Up, callable 5,374,000 6.14 4,799,000 8.80 Floating rate, callable 250,000 0.29 1,265,000 2.32 Single-index floating rate 32,733,000 37.40 3,550,000 6.51 Total par value $ 87,515,420 100.00 % $ 54,514,710 100.00 % |
Schedule of outstanding Consolidated obligation discount notes | The FHLBNY’s outstanding Consolidated obligation discount notes were as follows (dollars in thousands): December 31, 2022 December 31, 2021 Par value $ 62,295,735 $ 42,204,430 Amortized cost $ 61,832,418 $ 42,197,683 Hedge value basis adjustments (a) (39,088) (424) Hedge basis adjustments on de-designated hedges (b) (341) — FVO (c) — — Total discount notes $ 61,792,989 $ 42,197,259 Weighted average interest rate 3.97 % 0.06 % (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) Hedge basis adjustments on de-designated hedges — Represents the unamortized balances of valuation basis of CO discount notes 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 the unamortized basis is reversed to zero at maturity of the debt. (c) FVO valuation adjustments — Valuation basis adjustments 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. No CO discount notes were elected under the FVO at December 31, 2022 and December 31, 2021. |
Affordable Housing Program. (Ta
Affordable Housing Program. (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Affordable Housing Program. | |
Schedule of Rollforward information with respect to changes in Affordable Housing Program liabilities | The following table provides roll forward information with respect to changes in Affordable Housing Program liabilities (in thousands): Years ended December 31, 2022 2021 2020 Beginning balance $ 137,638 $ 148,827 $ 153,894 Additions from current period’s assessments 46,517 29,514 49,180 Net disbursements for grants and programs (52,761) (40,703) (54,247) Ending balance $ 131,394 $ 137,638 $ 148,827 |
Capital Stock, Mandatorily Re_2
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | |
Summary of risk-based capital ratios | Risk-based Capital December 31, 2022 December 31, 2021 Required (d) Actual Required (d) Actual Regulatory capital requirements: Risk-based capital (a)(e) $ 749,451 $ 8,488,246 $ 844,115 $ 6,433,709 Total capital-to-asset ratio 4.00 % 5.39 % 4.00 % 6.11 % Total capital (b) $ 6,295,660 $ 8,488,246 $ 4,214,334 $ 6,433,709 Leverage ratio 5.00 % 8.09 % 5.00 % 9.16 % Leverage capital (c) $ 7,869,574 $ 12,732,369 $ 5,267,917 $ 9,650,563 (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 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): December 31, 2022 December 31, 2021 Redemption less than one year $ 93 $ 97 Redemption from one year to less than three years 2,387 226 Redemption from three years to less than five years 952 244 Redemption from five years or greater 1,146 1,392 Total $ 4,578 $ 1,959 |
Rollforward information with respect to changes in mandatorily redeemable capital stock liabilities | The following table provides roll forward information with respect to changes in mandatorily redeemable capital stock liabilities (in thousands): Years ended December 31, 2022 2021 2020 Beginning balance $ 1,959 $ 2,991 $ 5,129 Capital stock subject to mandatory redemption reclassified from equity 261,629 85 2,743 Redemption of mandatorily redeemable capital stock (a) (259,010) (1,117) (4,881) Ending balance $ 4,578 $ 1,959 $ 2,991 Accrued interest payable (b) $ 82 $ 23 $ 41 (a) Redemption includes repayment of excess stock. (b) The annualized accrual rates were 6.75% , 4.40% and 5.10% for the three months ended December 31, 2022, 2021 and 2020, respectively. Accrual rates are based on estimated dividend rates. |
Earnings Per Share of Capital.
Earnings Per Share of Capital. (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
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): Years ended December 31, 2022 2021 2020 Net income $ 417,376 $ 265,521 $ 442,385 Net income available to stockholders $ 417,376 $ 265,521 $ 442,385 Weighted average shares of capital 49,916 48,987 61,334 Less: Mandatorily redeemable capital stock (227) (24) (43) Average number of shares of capital used to calculate earnings per share 49,689 48,963 61,291 Basic earnings per share $ 8.40 $ 5.42 $ 7.22 |
Employee Retirement Plans. (Tab
Employee Retirement Plans. (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Employee Retirement Plans | |
Schedule of employee retirement plan expenses | The following table presents employee retirement plan expenses for the periods ended (in thousands): Years ended December 31, 2022 2021 2020 Defined Benefit Plan $ 9,400 $ 10,000 $ 10,000 Benefit Equalization Plans (defined benefit and defined contribution) 11,310 12,176 10,450 Defined Contribution Plans 2,805 2,844 2,701 Postretirement Health Benefit Plan 304 288 297 Total retirement plan expenses $ 23,819 $ 25,308 $ 23,448 |
Pentegra Defined Benefit Plan | |
Employee Retirement Plans | |
Schedule of multiemployer plan disclosure | The following table presents multiemployer plan disclosure for the three years ended December 31, (dollars in thousands): 2022 2021 2020 Net pension cost charged to compensation and benefit expense for the year ended December 31 $ 9,400 $ 10,000 $ 10,000 Contributions allocated to plan year ended June 30 $ 9,969 $ 9,905 $ 9,863 Pentegra DB Plan funded status as of July 1 (a) 118.87 % 129.62 % 108.20 % FHLBNY's funded status as of July 1 (b) 113.87 % 126.15 % 105.31 % (a) Funded status is based on actuarial valuation of the Pentegra DB Plan, and includes all participants allocated to plan years and known at the time of the preparation of the actuarial valuation. The funded status may increase because the plan’s participants are permitted to make contributions through March 15 of the following year. Funded status remains preliminary until the Form 5500 is filed no later than April 15, 2023 for the plan year ended June 30, 2022. For information with respect to contributions expensed by the FHLBNY, see previous Table — Retirement Plan Expenses Summary. Contributions include minimum required under ERISA that are prepaid for the fiscal plan year that ends at June 30 in the following year, and as a result contributions may not equal amounts expensed. (b) Based on cash contributions made through December 31, 2022 and allocated to the DB Plan year(s). The funded status may increase because the FHLBNY is permitted to make contributions through March 15 of the following year. |
Benefit Equalization Plan (BEP) | |
Employee Retirement Plans | |
Schedule of accrued pension costs | The accrued pension costs for the BEP plan were as follows (in thousands): December 31, 2022 2021 Accumulated benefit obligation $ 65,064 $ 84,419 Effect of future salary increases 5,955 14,091 Projected benefit obligation 71,019 98,510 Unrecognized prior service (cost)/credit (73) (281) Unrecognized net (loss)/gain (6,835) (39,269) Accrued pension cost $ 64,111 $ 58,960 |
Schedule of components of benefit obligation for the plan | Components of the projected benefit obligation for the BEP plan were as follows (in thousands): December 31, 2022 2021 Projected benefit obligation at the beginning of the year $ 98,510 $ 95,278 Service cost 2,478 2,023 Interest cost 2,576 2,250 Benefits paid (2,928) (2,775) Actuarial loss/(gain) (a) (27,551) 1,579 Settlements (2,066) — Plan amendments — 155 Projected benefit obligation at the end of the year $ 71,019 $ 98,510 The measurement date used to determine projected benefit obligation for the BEP plan was December 31 in each of the two years. (a) Actuarial gain of $27.6 million in 2022 was primarily due to gains from discount rate change and gain from demographic experience. |
Schedule of amounts recognized in AOCI for the plan | Amounts recognized in AOCI for the BEP plan were as follows (in thousands): December 31, 2022 2021 Net loss/(gain) $ 6,835 $ 39,269 Prior service cost/(credit) 73 281 Accumulated other comprehensive loss/(gain) $ 6,908 $ 39,550 |
Schedule of changes in plan assets | Changes in the BEP plan assets were as follows (in thousands): December 31, 2022 2021 Fair value of the plan assets at the beginning of the year $ — $ — Employer contributions 4,994 2,775 Settlements (2,066) — Benefits paid (2,928) (2,775) Fair value of the plan assets at the end of the year $ — $ — |
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): Years ended December 31, 2022 2021 2020 Service cost $ 2,478 $ 2,023 $ 1,567 Interest cost 2,576 2,250 2,348 Amortization of unrecognized net loss 4,883 5,361 4,561 Amortization of unrecognized past service cost 208 725 697 Net periodic benefit cost - Defined Benefit BEP 10,145 10,359 9,173 Benefit Equalization plans - Thrift and Deferred incentive compensation plans 1,165 1,817 1,277 Total $ 11,310 $ 12,176 $ 10,450 |
Schedule of other changes in benefit obligations recognized in AOCI | Other changes in benefit obligations recognized in AOCI were as follows (in thousands): December 31, 2022 2021 New (gain)/loss during the year $ (27,551) $ 1,579 Recognized prior service credit/(cost) (208) (725) New past service (credit)/cost — 155 Recognized gain/(loss) (4,883) (5,361) Total recognized in other comprehensive loss/(income) $ (32,642) $ (4,352) Total recognized in net periodic benefit cost and other comprehensive income $ (22,497) $ 6,007 |
Schedule of net transition obligation (asset), prior service cost (credit), and estimated net loss (gain) expected to be amortized from AOCI into net periodic benefit cost over next fiscal year | The net transition obligation (asset), prior service cost (credit), and the estimated net loss (gain) for the BEP plan that are expected to be amortized from AOCI into net periodic benefit cost over the next fiscal year are shown in the table below (in thousands): December 31, 2023 Expected amortization of net loss/(gain) $ — Expected amortization of past service cost/(credit) $ 55 |
Schedule of key assumptions and other information for actuarial calculations to determine benefit obligations | Key assumptions and other information for the actuarial calculations to determine benefit obligations for the BEP plan were as follows (dollars in thousands): December 31, 2022 December 31, 2021 December 31, 2020 Discount rate (a) 4.96 % 2.66 % 2.26 % Salary increases 4.50 % 4.50 % 4.50 % Amortization period (years) 6 6 6 Benefits paid during the period $ (2,928) $ (2,775) $ (2,601) (a) The discount rates were based on the Citigroup Pension Liability Index at December 31, adjusted for duration in each of the three years. |
Schedule of estimated future plan benefits to be paid | Future BEP plan benefits to be paid were estimated to be as follows (in thousands): Years Payments 2023 $ 3,366 2024 3,610 2025 4,119 2026 4,326 2027 4,718 2028-2032 25,743 Total $ 45,882 |
Postretirement Health Benefit Plan | |
Employee Retirement Plans | |
Schedule of components of benefit obligation for the plan | Components of the accumulated postretirement benefit obligation for the postretirement health benefits plan for the years ended December 31, 2022 and 2021 (in thousands): December 31, 2022 2021 Accumulated postretirement benefit obligation at the beginning of the year $ 10,604 $ 11,364 Service cost 31 46 Interest cost 273 242 Actuarial loss/(gain) (2,188) (528) Plan participant contributions 241 241 Actual benefits paid (682) (807) Retiree drug subsidy reimbursement 41 46 Accumulated postretirement benefit obligation at the end of the year $ 8,320 $ 10,604 |
Schedule of amounts recognized in AOCI for the plan | Amounts recognized in AOCI for the postretirement benefit obligation (in thousands): December 31, 2022 2021 Net (gain)/loss $ (3,089) $ (901) Accumulated other comprehensive (gain)/loss $ (3,089) $ (901) |
Schedule of changes in plan assets | Changes in postretirement health benefit plan assets (in thousands): December 31, 2022 2021 Fair value of plan assets at the beginning of the year $ — $ — Employer contributions 441 566 Plan participant contributions 241 241 Actual benefits paid (682) (807) Fair value of plan assets at the end of the year $ — $ — |
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): Years ended December 31, 2022 2021 2020 Service cost (benefits attributed to service during the period) $ 31 $ 46 $ 58 Interest cost on accumulated postretirement health benefit obligation 273 242 320 Amortization of (gain)/loss — — (81) Net periodic postretirement health benefit expense/(income) $ 304 $ 288 $ 297 |
Schedule of other changes in benefit obligations recognized in AOCI | Other changes in benefit obligations recognized in AOCI were as follows (in thousands): December 31, 2022 2021 Net loss/(gain) $ (2,188) $ (528) Amortization of net gain/(loss) — — Total recognized in other comprehensive income $ (2,188) $ (528) Total recognized in net periodic benefit cost and other comprehensive income $ (1,884) $ (240) |
Schedule of key assumptions and other information for actuarial calculations to determine benefit obligations | Years ended December 31, 2022 2021 2020 Weighted average discount rate (a) 5.15% 2.60% 2.18% Health care cost trend rates: Assumed for next year Pre 65 6.80% 6.20% 6.50% Post 65 5.40% 5.20% 4.95% Pre 65 Ultimate rate 4.50% 4.50% 4.50% Pre 65 Year that ultimate rate is reached 2033 2031 2028 Post 65 Ultimate rate 4.50% 4.50% 4.50% Post 65 Year that ultimate rate is reached 2033 2031 2028 Alternative amortization methods used to amortize Prior service cost Straight - line Straight - line Straight - line Unrecognized net (gain) or loss Straight - line Straight - line Straight - line (a) The discount rates were based on the Citigroup Pension Liability Index adjusted for duration in each of the periods in this report. |
Schedule of estimated future plan benefits to be paid | Future postretirement health benefit plan expenses to be paid were estimated to be as follows (in thousands): Years Payments 2023 $ 737 2024 720 2025 694 2026 704 2027 690 2028-2032 3,288 Total $ 6,833 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities. (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Derivatives and Hedging Activities. | |
Schedule of derivative notionals | The following table presents the FHLBNY’s derivative activities based on notional amounts (in thousands): Derivative Notionals Hedging Instruments Under ASC 815 December 31, 2022 December 31, 2021 Interest rate contracts Interest rate swaps $ 173,232,721 $ 94,190,603 Interest rate caps 800,000 800,000 Mortgage delivery commitments 9,837 8,573 Total interest rate contracts notionals $ 174,042,558 $ 94,999,176 |
Schedule of derivative assets nettable and not nettable | The table below presents the gross and net derivatives receivables by contract type and amount for those derivatives contracts for which netting is permissible under U.S. GAAP as Derivative instruments — nettable. Derivatives receivables have been netted with respect to those receivables as to which the netting requirements have been met, including obtaining a legal analysis with respect to the enforceability of the netting (in thousands): December 31, 2022 December 31, 2021 Derivative Derivative Derivative Derivative Assets Liabilities Assets Liabilities Derivative instruments - nettable Gross recognized amount Uncleared derivatives $ 683,389 $ 2,110,074 $ 203,797 $ 719,892 Cleared derivatives 1,534,274 1,504,012 293,323 296,531 Total gross recognized amount 2,217,663 3,614,086 497,120 1,016,423 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (550,878) (2,095,888) (77,045) (683,385) Cleared derivatives (1,502,901) (1,502,901) (122,585) (296,531) Total gross amounts of netting adjustments and cash collateral (2,053,779) (3,598,789) (199,630) (979,916) Net amounts after offsetting adjustments and cash collateral $ 163,884 $ 15,297 $ 297,490 $ 36,507 Uncleared derivatives $ 132,511 $ 14,186 $ 126,752 $ 36,507 Cleared derivatives 31,373 1,111 170,738 — Total net amounts after offsetting adjustments and cash collateral $ 163,884 $ 15,297 $ 297,490 $ 36,507 Derivative instruments - not nettable Uncleared derivatives (a) $ 37 $ 36 $ 14 $ 5 Total derivative assets and total derivative liabilities Uncleared derivatives $ 132,548 $ 14,222 $ 126,766 $ 36,512 Cleared derivatives 31,373 1,111 170,738 — Total derivative assets and total derivative liabilities presented in the Statements of Condition (b) $ 163,921 $ 15,333 $ 297,504 $ 36,512 Non-cash collateral received or pledged (c) Can be sold or repledged Security collateral pledged as initial margin to Derivative Clearing Organization (d) $ 576,756 $ — $ 367,110 $ — Cannot be sold or repledged Uncleared derivatives securities received as Variation Margin (108,761) — (115,833) — Total net amount of non-cash collateral received or repledged $ 467,995 $ — $ 251,277 $ — Total net exposure cash and non-cash (e) $ 631,916 $ 15,333 $ 548,781 $ 36,512 Net unsecured amount - Represented by: Uncleared derivatives $ 23,787 $ 14,222 $ 10,933 $ 36,512 Cleared derivatives 608,129 1,111 537,848 — Total net exposure cash and non-cash (e) $ 631,916 $ 15,333 $ 548,781 $ 36,512 (a) Not nettable derivative instruments are without legal right of offset, and were synthetic derivatives representing forward mortgage delivery commitments of 60 calendar 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 collateral 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 December 31, 2022, no net of cash as settlement variation margin was posted to FCMs. At December 31, 2021, the FHLBNY posted $7.8 million in cash as settlement variation margin to FCMs. As noted, variation margin is not considered as collateral, rather as the daily settlement amounts of outstanding derivative contracts. |
Schedule of derivative liabilities nettable and not nettable | The table below presents the gross and net derivatives receivables by contract type and amount for those derivatives contracts for which netting is permissible under U.S. GAAP as Derivative instruments — nettable. Derivatives receivables have been netted with respect to those receivables as to which the netting requirements have been met, including obtaining a legal analysis with respect to the enforceability of the netting (in thousands): December 31, 2022 December 31, 2021 Derivative Derivative Derivative Derivative Assets Liabilities Assets Liabilities Derivative instruments - nettable Gross recognized amount Uncleared derivatives $ 683,389 $ 2,110,074 $ 203,797 $ 719,892 Cleared derivatives 1,534,274 1,504,012 293,323 296,531 Total gross recognized amount 2,217,663 3,614,086 497,120 1,016,423 Gross amounts of netting adjustments and cash collateral Uncleared derivatives (550,878) (2,095,888) (77,045) (683,385) Cleared derivatives (1,502,901) (1,502,901) (122,585) (296,531) Total gross amounts of netting adjustments and cash collateral (2,053,779) (3,598,789) (199,630) (979,916) Net amounts after offsetting adjustments and cash collateral $ 163,884 $ 15,297 $ 297,490 $ 36,507 Uncleared derivatives $ 132,511 $ 14,186 $ 126,752 $ 36,507 Cleared derivatives 31,373 1,111 170,738 — Total net amounts after offsetting adjustments and cash collateral $ 163,884 $ 15,297 $ 297,490 $ 36,507 Derivative instruments - not nettable Uncleared derivatives (a) $ 37 $ 36 $ 14 $ 5 Total derivative assets and total derivative liabilities Uncleared derivatives $ 132,548 $ 14,222 $ 126,766 $ 36,512 Cleared derivatives 31,373 1,111 170,738 — Total derivative assets and total derivative liabilities presented in the Statements of Condition (b) $ 163,921 $ 15,333 $ 297,504 $ 36,512 Non-cash collateral received or pledged (c) Can be sold or repledged Security collateral pledged as initial margin to Derivative Clearing Organization (d) $ 576,756 $ — $ 367,110 $ — Cannot be sold or repledged Uncleared derivatives securities received as Variation Margin (108,761) — (115,833) — Total net amount of non-cash collateral received or repledged $ 467,995 $ — $ 251,277 $ — Total net exposure cash and non-cash (e) $ 631,916 $ 15,333 $ 548,781 $ 36,512 Net unsecured amount - Represented by: Uncleared derivatives $ 23,787 $ 14,222 $ 10,933 $ 36,512 Cleared derivatives 608,129 1,111 537,848 — Total net exposure cash and non-cash (e) $ 631,916 $ 15,333 $ 548,781 $ 36,512 (a) Not nettable derivative instruments are without legal right of offset, and were synthetic derivatives representing forward mortgage delivery commitments of 60 calendar 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 collateral 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 December 31, 2022, no net of cash as settlement variation margin was posted to FCMs. At December 31, 2021, the FHLBNY posted $7.8 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 (in thousands): December 31, 2022 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 $ 123,913,433 $ 1,090,359 $ 2,745,983 Total derivatives in hedging relationships under ASC 815 123,913,433 1,090,359 2,745,983 Derivatives not designated as hedging instruments Interest rate swaps 49,253,288 1,126,638 866,175 Interest rate caps 800,000 431 — Mortgage delivery commitments 9,837 37 36 Other (b) 66,000 235 1,928 Total derivatives not designated as hedging instruments 50,129,125 1,127,341 868,139 Total derivatives before netting and collateral adjustments $ 174,042,558 $ 2,217,700 $ 3,614,122 Netting adjustments $ (2,039,759) $ (2,039,759) Cash collateral and related accrued interest (14,020) (1,559,030) Total netting adjustments and cash collateral (2,053,779) (3,598,789) Total derivative assets and total derivative liabilities $ 163,921 $ 15,333 Security collateral pledged as initial margin to Derivative Clearing Organization (c) $ 576,756 Security collateral received from counterparty (c) (108,761) Net security 467,995 Net exposure $ 631,916 December 31, 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 $ 77,159,117 $ 469,953 $ 990,925 Total derivatives in hedging relationships under ASC 815 77,159,117 469,953 990,925 Derivatives not designated as hedging instruments Interest rate swaps 16,873,486 23,014 24,627 Interest rate caps 800,000 136 — Mortgage delivery commitments 8,573 14 5 Other (b) 158,000 4,017 871 Total derivatives not designated as hedging instruments 17,840,059 27,181 25,503 Total derivatives before netting and collateral adjustments $ 94,999,176 $ 497,134 $ 1,016,428 Netting adjustments $ (192,330) $ (192,330) Cash collateral and related accrued interest (7,300) (787,586) Total netting adjustments and cash collateral (199,630) (979,916) Total derivative assets and total derivative liabilities $ 297,504 $ 36,512 Security collateral pledged as initial margin to Derivative Clearing Organization (c) $ 367,110 Security collateral received from counterparty (c) (115,833) Net security 251,277 Net exposure $ 548,781 (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 members, 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 December 31 , 2022 and December 31, 2021. |
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 Years ended December 31, 2022 2021 2020 Gains (losses) on derivatives in designated and qualifying fair value hedges: Interest rate hedges $ 403,405 $ 620,234 $ (978,281) Gains (losses) on hedged item in designated and qualifying fair value hedges: Interest rate hedges $ (366,585) $ (613,272) $ 977,118 |
Schedule of carrying amount of hedged assets and liabilities as well as hedged item's cumulative hedge basis adjustments and unamortized cumulative basis adjustments from discontinued hedges | The tables also present unamortized cumulative basis adjustments from discontinued hedges where the previously hedged item remains on the FHLBNY’s Statements of Condition (in thousands): December 31, 2022 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 $ 42,378,681 $ (1,634,913) $ — Hedged AFS debt securities (a) 3,691,391 (575,104) — De-designated advances (b) — — 18 $ 46,070,072 $ (2,210,017) $ 18 Liabilities: Hedged consolidated obligation bonds $ 36,962,293 $ 2,015,128 $ — Hedged consolidated obligation discount notes 47,594,103 39,088 — De-designated consolidated obligation bonds (b) — — (114,430) De-designated consolidated obligation discount notes (b) — — 341 $ 84,556,396 $ 2,054,216 $ (114,089) December 31, 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 $ 37,731,410 $ 321,057 $ — Hedged AFS debt securities (a) 2,892,784 (30,667) — De-designated advances (b) — — 339 $ 40,624,194 $ 290,390 $ 339 Liabilities: Hedged consolidated obligation bonds $ 30,158,015 $ (77,048) $ — Hedged consolidated obligation discount notes 3,325,017 424 — De-designated consolidated obligation bonds (b) — — (125,091) $ 33,483,032 $ (76,624) $ (125,091) (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 December 31, 2022, par amounts of de-designated advances were $0.5 billion; par amounts of de-designation CO bonds were $1.7 billion; par amounts of de-designated CO discount notes were $1.5 billion. At December 31, 2021, par amounts of de-designated advances were $0.1 billion, and par amount of de-designated CO bonds were $1.4 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 December 31, 2022 Amounts Amounts Reclassified Reclassified from Amounts Total Change from AOCI to AOCI to Other Recorded in in OCI for Interest Expense (b) Income (Loss) (c) OCI (d) Period Interest rate contracts (a) $ (1,190) $ — $ 202,509 $ 203,699 Derivative Gains (Losses) Recorded in Income and Other Comprehensive Income/Loss December 31, 2021 Amounts Amounts Reclassified Reclassified from Amounts Total Change from AOCI to AOCI to Other Recorded in in OCI for Interest Expense (b) Income (Loss) (c) OCI (d) Period Interest rate contracts (a) $ (1,511) $ — $ 104,194 $ 105,705 Derivative Gains (Losses) Recorded in Income and Other Comprehensive Income/Loss December 31, 2020 Amounts Amounts Reclassified Reclassified from Amounts Total Change from AOCI to AOCI to Other Recorded in in OCI for Interest Expense (b) Income (Loss) (c) OCI (d) Period Interest rate contracts (a) $ (1,352) $ — $ (114,040) $ (112,688) (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, $0.6 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) Years ended December 31, 2022 2021 2020 Gains (losses) on derivatives designated in economic hedges Interest rate hedges $ 183,069 $ 4,755 $ (153,396) Caps 294 93 (6) Mortgage delivery commitments (1,404) (424) 1,693 Total gains (losses) on derivatives in economic hedges $ 181,959 $ 4,424 $ (151,709) |
Fair Values of Financial Inst_2
Fair Values of Financial Instruments. (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
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 - December 31, 2022 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 $ 27,420 $ 27,420 $ 27,420 $ — $ — $ — Interest-bearing deposits 1,750,000 1,750,017 — 1,750,017 — — Securities purchased under agreements to resell 4,245,000 4,245,019 — 4,245,019 — — Federal funds sold 9,470,000 9,470,068 — 9,470,068 — — Trading securities 7,113,419 7,113,419 7,113,419 — — — Equity Investments 81,754 81,754 81,754 — — — Available-for-sale securities 7,088,870 7,088,870 — 5,979,841 1,109,029 — Held-to-maturity securities 9,354,048 8,919,205 — 8,703,941 215,264 — Advances 115,292,876 115,195,748 — 115,195,748 — — Mortgage loans held-for-portfolio, net 2,106,969 1,836,785 — 1,836,785 — — Accrued interest receivable 437,823 437,823 — 437,823 — — Derivative assets 163,921 163,921 — 2,217,700 — (2,053,779) Other financial assets — — — — — — Liabilities Deposits 1,026,937 1,026,925 — 1,026,925 — — Consolidated obligations Bonds 85,497,755 84,409,975 — 84,409,975 — — Discount notes 61,792,989 61,799,962 — 61,799,962 — — Mandatorily redeemable capital stock 4,578 4,578 4,578 — — — Accrued interest payable 370,456 370,456 — 370,456 — — Derivative liabilities 15,333 15,333 — 3,614,122 — (3,598,789) Other financial liabilities — — — — — — December 31, 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 $ 21,653 $ 21,653 $ 21,653 $ — $ — $ — Interest-bearing deposits 675,000 675,003 — 675,003 — — Securities purchased under agreements to resell 1,200,000 1,200,000 — 1,200,000 — — Federal funds sold 7,230,000 7,230,014 — 7,230,014 — — Trading securities 5,821,380 5,821,380 5,821,380 — — — Equity Investments 96,124 96,124 96,124 — — — Available-for-sale securities 6,547,421 6,547,421 — 5,548,784 998,637 — Held-to-maturity securities 9,328,665 9,684,274 — 9,445,219 239,055 — Advances 71,536,402 71,595,785 — 71,595,785 — — Mortgage loans held-for-portfolio, net 2,319,864 2,369,769 — 2,369,769 — — Accrued interest receivable 123,258 123,258 — 123,258 — — Derivative assets 297,504 297,504 — 497,134 — (199,630) Other financial assets 357 357 — — 357 — Liabilities Deposits 1,321,238 1,321,241 — 1,321,241 — — Consolidated obligations Bonds 54,829,401 55,104,747 — 55,104,747 — — Discount notes 42,197,259 42,196,648 — 42,196,648 — — Mandatorily redeemable capital stock 1,959 1,959 1,959 — — — Accrued interest payable 126,990 126,990 — 126,990 — — Derivative liabilities 36,512 36,512 — 1,016,428 — (979,916) Other financial liabilities 30,368 30,368 30,368 — — — 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): December 31, 2022 Netting Adjustment and Total Level 1 Level 2 Level 3 Cash Collateral Assets Trading securities U.S. Treasury securities $ 7,113,419 $ 7,113,419 $ — $ — $ — Equity Investments 81,754 81,754 — — — Available-for-sale securities GSE/U.S. agency issued MBS 5,979,841 — 5,979,841 — — State and local housing finance agency obligations 1,109,029 — — 1,109,029 — Derivative assets (a) Interest-rate derivatives 163,884 — 2,217,663 — (2,053,779) Mortgage delivery commitments 37 — 37 — — Total recurring fair value measurement - Assets $ 14,447,964 $ 7,195,173 $ 8,197,541 $ 1,109,029 $ (2,053,779) Liabilities Consolidated obligation: Bonds (to the extent FVO is elected) (b) $ (4,159,862) $ — $ (4,159,862) $ — $ — Derivative liabilities (a) Interest-rate derivatives (15,297) — (3,614,086) — 3,598,789 Mortgage delivery commitments (36) — (36) — — Total recurring fair value measurement - Liabilities $ (4,175,195) $ — $ (7,773,984) $ — $ 3,598,789 December 31, 2021 Netting Adjustment and Total Level 1 Level 2 Level 3 Cash Collateral Assets Trading securities U.S. Treasury securities $ 5,821,380 $ 5,821,380 $ — $ — $ — Equity Investments 96,124 96,124 — — — Available-for-sale securities GSE/U.S. agency issued MBS 5,548,784 — 5,548,784 — — State and local housing finance agency obligations 998,637 — — 998,637 — Derivative assets (a) Interest-rate derivatives 297,490 — 497,120 — (199,630) Mortgage delivery commitments 14 — 14 — — Total recurring fair value measurement - Assets $ 12,762,429 $ 5,917,504 $ 6,045,918 $ 998,637 $ (199,630) Liabilities Consolidated obligation: Bonds (to the extent FVO is elected) (b) $ (7,386,074) $ — $ (7,386,074) $ — $ — Derivative liabilities (a) Interest-rate derivatives (36,507) — (1,016,423) — 979,916 Mortgage delivery commitments (5) — (5) — — Total recurring fair value measurement - Liabilities $ (7,422,586) $ — $ (8,402,502) $ — $ 979,916 (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 Years ended December 31, 2022 2021 Balance, beginning of the period $ 998,637 $ — Transfer of securities from held-to-maturity to available-for-sale — 902,719 Provision for credit losses — 586 Total gains (losses) included in other comprehensive income Net unrealized gains (losses) (878) 117 Purchases 308,000 100,000 Settlements (196,730) (4,785) Balance, end of the period $ 1,109,029 $ 998,637 |
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 (a) (in thousands): During the period ended December 31, 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 (a) No items at fair value on a non-recurring basis was outstanding during the period ended December 31, 2022 |
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 (a) Year ended December 31, 2022 Bonds Discount Notes (b) Balance, beginning of the period $ (7,386,074) $ — New transactions elected for fair value option (2,636,405) — Maturities and terminations 5,665,000 — Net gains (losses) on financial instruments held under fair value option 206,998 — Change in accrued interest/unaccreted balance (9,381) — Balance, end of the period $ (4,159,862) $ — Year ended December 31, 2021 Bonds Discount Notes (b) Balance, beginning of the period $ (16,580,464) $ (7,133,755) New transactions elected for fair value option (16,802,560) (1,249,392) Maturities and terminations 25,975,000 8,367,602 Net gains (losses) on financial instruments held under fair value option 20,444 2,027 Change in accrued interest/unaccreted balance 1,506 13,518 Balance, end of the period $ (7,386,074) $ — Year ended December 31, 2020 Bonds Discount Notes Balance, beginning of the period $ (12,134,043) $ (2,186,603) New transactions elected for fair value option (19,375,000) (23,818,753) Maturities and terminations 14,867,000 18,883,387 Net gains (losses) on financial instruments held under fair value option 2,069 (1,946) Change in accrued interest/unaccreted balance 59,510 (9,840) Balance, end of the period $ (16,580,464) $ (7,133,755) (a) No advances elected under the FVO was outstanding at December 31, 2022, 2021 and 2020. (b) No discount notes elected under the FVO was outstanding at December 31, 2022 and 2021. 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 (a) December 31, 2022 Net Gains (Losses) Total Change in Fair Interest Due to Changes in Value Included in Current Expense Fair Value Period Earnings Consolidated obligation bonds $ (56,533) $ 206,998 $ 150,465 Consolidated obligation discount notes (b) — — — $ (56,533) $ 206,998 $ 150,465 December 31, 2021 Net Gains (Losses) Total Change in Fair Interest Due to Changes in Value Included in Current Expense Fair Value Period Earnings Consolidated obligation bonds $ (16,869) $ 20,444 $ 3,575 Consolidated obligation discount notes (3,839) 2,027 (1,812) $ (20,708) $ 22,471 $ 1,763 December 31, 2020 Net Gains (Losses) Total Change in Fair Interest Due to Changes in Value Included in Current Expense Fair Value Period Earnings Consolidated obligation bonds $ (55,088) $ 2,069 $ (53,019) Consolidated obligation discount notes (60,063) (1,946) (62,009) $ (115,151) $ 123 $ (115,028) (a) No advances elected under the FVO was outstanding at December 31, 2022, 2021 and 2020. (b) No discount notes elected under the FVO was outstanding at December 31, 2022. 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) December 31, 2022 Fair Value Over/(Under) Aggregate Unpaid Aggregate Fair Aggregate Unpaid Principal Balance Value Principal Balance Consolidated obligation bonds (b) $ 4,373,965 $ 4,159,862 $ (214,103) December 31, 2021 Fair Value Over/(Under) Aggregate Unpaid Aggregate Fair Aggregate Unpaid Principal Balance Value Principal Balance Consolidated obligation bonds (b) $ 7,402,560 $ 7,386,074 $ (16,486) 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 (a) Advances – No advances elected under the FVO were outstanding at December 31, 2022, 2021 and 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; management elects the FVO for such CO bonds when management is 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. Management may also elect the FVO of certain other CO bonds to achieve asset liability objectives. (c) Discount notes - No discount notes elected under the FVO were outstanding at December 31, 2022 and December 31, 2021. From time to time, 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) | 12 Months Ended |
Dec. 31, 2022 | |
Commitments and Contingencies. | |
Summary of significant contractual obligations and contingencies | The following table summarizes contractual obligations and contingencies (in thousands): December 31, 2022 Contractual Obligations Consolidated obligation bonds at par (a) $ 87,515,420 Consolidated obligation discount notes at par 62,295,735 Mandatorily redeemable capital stock (a) 4,578 Premises (lease obligations) (b) 85,660 Remote backup site 902 Other liabilities (c) 131,360 Total contractual obligations $ 150,033,655 Other commitments Standby letters of credit (d) $ 18,318,415 Consolidated 375,000 Commitments to fund additional advances — Commitments to fund pension 12,400 Open delivery commitments (MAP) 9,837 Total other commitments $ 18,715,652 Total obligations and commitments $ 168,749,307 (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. (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 December 31, 2022 December 31, 2021 Operating Leases (a) Right-of-use assets $ 60,338 $ 65,624 Lease Liabilities $ 73,304 $ 79,026 Twelve months ended December 31, 2022 2021 Operating Lease Expense $ 7,809 $ 7,809 Operating cash flows - Cash Paid $ 8,246 $ 8,148 December 31, 2022 December 31, 2021 Weighted Average Discount Rate 3.31 % 3.30 % Weighted Average Remaining Lease Term 10.13 Years 11.06 Years |
Schedule of remaining maturities of leases liabilities | Remaining maturities through Operating lease liabilities December 31, 2022 December 31, 2021 2022 $ — $ 8,246 2023 8,615 8,615 2024 8,297 8,297 2025 8,088 8,088 2026 8,142 8,142 2027 8,246 8,246 Thereafter 45,410 45,410 Total undiscounted lease payments 86,798 95,044 Imputed interest (13,494) (16,018) Total operating lease liabilities $ 73,304 $ 79,026 (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) | 12 Months Ended |
Dec. 31, 2022 | |
Related Party Transactions. | |
Schedule of significant balances and transactions with related parties | The following tables summarize significant balances and transactions with related parties and transactions (in thousands): Related Party: Outstanding Assets, Liabilities and Capital December 31, 2022 December 31, 2021 Related Related Assets Advances $ 115,292,876 $ 71,536,402 Accrued interest receivable 352,578 69,852 Liabilities and capital Deposits $ 1,026,937 $ 1,321,238 Mandatorily redeemable capital stock 4,578 1,959 Accrued interest payable 82 23 Affordable Housing Program (a) 131,394 137,638 Other liabilities (b) — 30,368 Capital $ 8,347,383 $ 6,445,853 (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 Years ended December 31, 2022 2021 2020 Related Related Related Interest income Advances $ 1,915,358 $ 483,216 $ 1,166,745 Interest-bearing deposits 4 — 1 Loans to other FHLBanks 228 1 33 Interest expense Deposits $ 13,765 $ 380 $ 3,768 Mandatorily redeemable capital stock 1,278 109 235 Cash collateral held and other borrowings 958 — — Service fees and other $ 16,818 $ 17,470 $ 18,207 |
Segment Information and Conce_2
Segment Information and Concentration. (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Par Value of Advances | Credit concentration risk | |
Segment Information and Concentration | |
Schedule of concentrations | December 31, 2022 Percentage of Par Total Par Value Twelve Months City State Advances of Advances Interest Income Percentage (a) Citibank, N.A. New York NY $ 19,250,000 16.46 % $ 332,309 24.51 % Flagstar Bank, N.A. (b)(c) Hicksville NY 15,775,000 13.49 244,568 18.04 MetLife, Inc.: Metropolitan Life Insurance Company New York NY 13,535,000 11.58 253,973 18.73 Metropolitan Tower Life Insurance Company New York NY 1,405,000 1.20 21,673 1.60 Subtotal MetLife, Inc. 14,940,000 12.78 275,646 20.33 Signature Bank New York NY 11,283,738 9.65 61,762 4.56 Equitable Financial Life Insurance Company New York NY 8,501,263 7.27 155,524 11.47 Teachers Ins. & Annuity Assoc. of America New York NY 7,084,800 6.06 127,885 9.43 New York Life Insurance Company New York NY 3,638,000 3.11 64,737 4.78 Manufacturers and Traders Trust Company Buffalo NY 3,200,169 2.74 12,657 0.93 Prudential Insurance Company of America Newark NJ 2,619,250 2.24 36,766 2.71 ESL Federal Credit Union Rochester NY 2,561,931 2.19 43,941 3.24 Total $ 88,854,151 75.99 % $ 1,355,795 100.00 % (a) Interest income percentage is the member's interest income from advances as a percentage of the top 10 members. (b) An officer of this member bank joined the Board of Directors of the FHLBNY as a Member Director on January 1, 2022. (c) A non-Member institution Flagstar Bank, FSB merged into FHLBNY member New York Community Bank, on December 1, 2022. Surviving entity renamed Flagstar Bank, N.A. as a member of the FHLBNY. December 31, 2021 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 $ 14,745,000 20.70 % $ 156,632 24.03 % Metropolitan Tower Life Insurance Company New York NY 1,005,000 1.41 5,374 0.83 Subtotal MetLife, Inc. 15,750,000 22.11 162,006 24.86 New York Community Bank Hicksville NY 15,105,000 21.21 207,738 31.87 Equitable Financial Life Insurance Company New York NY 6,642,717 9.33 59,209 9.08 Citibank, N.A. New York NY 5,250,000 7.37 71,312 10.94 Investors Bank (b) Short Hills NJ 3,075,000 4.32 30,135 4.62 Signature Bank New York NY 2,639,245 3.71 28,419 4.36 New York Life Insurance Company New York NY 2,455,000 3.45 54,063 8.30 ESL Federal Credit Union Rochester NY 2,189,398 3.07 7,890 1.21 Teachers Ins. & Annuity Assoc. of America New York NY 2,155,300 3.03 5,973 0.92 Valley National Bank (b) Wayne NJ 1,288,000 1.81 25,028 3.84 Total $ 56,549,660 79.41 % $ 651,773 100.00 % (a) Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members. (b) At December 31, 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. |
Outstanding Capital Stock Shares | Shareholder balances | |
Segment Information and Concentration | |
Schedule of concentrations | The following tables summarize capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY’s outstanding capital stock as of February 28, 2023 and December 31, 2022 (shares in thousands): Number Percent February 28, 2023 of Shares of Total Name of Beneficial Owner Principal Executive Office Address Owned Capital Stock Flagstar Bank, N.A. 102 Duffy Avenue, Hicksville, NY, 11801 7,778 12.68 % Citibank, N.A. 399 Park Avenue, New York, NY, 10043 7,593 12.38 MetLife, Inc.: Metropolitan Life Insurance Company 200 Park Avenue, New York, NY, 10166 6,591 10.74 Metropolitan Tower Life Insurance Company 200 Park Avenue, New York, NY, 10166 769 1.25 Subtotal MetLife, Inc. 7,360 11.99 Teachers Ins. & Annuity Assoc. of America 730 Third Avenue, New York, NY, 10017 4,229 6.89 Signature Bank 565 Fifth Avenue, New York, NY, 10017 4,208 6.86 Equitable Financial Life Insurance Company 1290 Avenue of the Americas, New York, NY, 10104 3,736 6.09 34,904 56.89 % Number Percent December 31, 2022 of Shares of Total Name of Beneficial Owner Principal Executive Office Address Owned Capital Stock Citibank, N.A. 399 Park Avenue, New York, NY, 10043 9,172 14.35 % Flagstar Bank, N.A. 102 Duffy Avenue, Hicksville, NY, 11801 7,621 11.92 MetLife, Inc.: Metropolitan Life Insurance Company 200 Park Avenue, New York, NY, 10166 6,591 10.31 Metropolitan Tower Life Insurance Company 200 Park Avenue, New York, NY, 10166 702 1.10 Subtotal MetLife, Inc. 7,293 11.41 Signature Bank 565 Fifth Avenue, New York, NY, 10017 5,603 8.77 Equitable Financial Life Insurance Company 1290 Avenue of the Americas, New York, NY, 10104 3,943 6.17 Teachers Ins. & Annuity Assoc. of America 730 Third Avenue, New York, NY, 10017 3,688 5.77 37,320 58.39 % |
Background, Tax Status. Asses_2
Background, Tax Status. Assessments. (Details) $ in Millions | 12 Months Ended |
Dec. 31, 2022 USD ($) 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% |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies. - Classification of Investment Securities and Advances (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Jun. 30, 2021 | Dec. 31, 2022 | Dec. 31, 2021 | ||
Advances | ||||
Period after a member prepayment and new advance for a test of a modification to be performed | 5 days | |||
Reclassification of debt securities from held to maturity to available for sale | [1] | $ 1,376,212 | ||
LIBOR-indexed securities | ||||
Advances | ||||
Reclassification of debt securities from held to maturity to available for sale | $ 1,400,000 | |||
Maximum | ||||
Advances | ||||
Period following member prepayment of an advance that prepaying member must borrow new advances to qualify for rebate | 30 days | |||
[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 $7.6 million. |
Summary of Significant Accoun_4
Summary of Significant Accounting Policies. - Mortgage Loans Held-for-Portfolio (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Credit Enhancement Obligations and Loss Layers | ||
First Loss Account | $ 44.3 | $ 44.2 |
Non-Accrual Mortgage Loans | ||
Cash received and recorded as a liability | $ 1.3 | 1.7 |
MAP loans held-for-portfolio | ||
Non-Accrual Mortgage Loans | ||
Percentage of outstanding principal balance | 4.50% | |
Amount outstanding | $ 226 | 161.6 |
Minimum | ||
Credit Enhancement Obligations and Loss Layers | ||
Loan-to-value ratio for next layer of protection from the primary mortgage insurance required for loans (as a percent) | 80% | |
Non-Accrual Mortgage Loans | ||
Period past due for nonaccrual status | 90 days | |
Maximum | ||
Credit Enhancement Obligations and Loss Layers | ||
First Loss Account | $ 44.3 | $ 44.2 |
Summary of Significant Accoun_5
Summary of Significant Accounting Policies. - Triggering Events to Cause Repurchase of Capital Stock and Standby Letters of Credit Commitment Fees (Details) | 12 Months Ended |
Dec. 31, 2022 item | |
Accounting Considerations Under the Capital Plan | |
Number of triggering events that could cause the FHLBNY to repurchase capital stock | 3 |
Commitment Fees | |
Period for which commitment fees are received in advance | 1 year |
Summary of Significant Accoun_6
Summary of Significant Accounting Policies. - Estimated Useful Lives of Premises, Software and Equipment (Details) | 12 Months Ended |
Dec. 31, 2022 | |
Minimum | |
Premises, Software and Equipment | |
Useful lives | 4 years |
Maximum | |
Premises, Software and Equipment | |
Useful lives | 5 years |
Summary of Significant Accoun_7
Summary of Significant Accounting Policies. - Finance Agency and Office of Finance Expenses and Potential Dilutive Shares (Details) | 12 Months Ended | ||
Dec. 31, 2022 entity shares | Dec. 31, 2021 shares | Dec. 31, 2020 shares | |
Finance Agency and Office of Finance expenses | |||
Number of other GSEs on which the Finance Agency is authorized to impose assessments for proportionate share of the Finance Agency's annual operating expenses | entity | 2 | ||
Assessments for proportionate share of the Office of Finance's annual operating and capital expenditures, percentage share based upon each FHLBank's share of total consolidated obligations outstanding | 66.67% | ||
Assessments for proportionate share of the Office of Finance's annual operating and capital expenditures, percentage share based upon an equal pro-rata allocation | 33.33% | ||
Earnings per Share of Capital | |||
Weighted Average Number Diluted Shares Outstanding Adjustment | shares | 0 | 0 | 0 |
Cash and Due from Banks. (Detai
Cash and Due from Banks. (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
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 | $ 0 | $ 30,400 |
Interest-bearing Deposits, Fe_2
Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell. (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Securities purchased under agreements to resell | |||
Federal funds sold | $ 9,470,000,000 | $ 7,230,000,000 | |
Interest-bearing deposits | 1,750,000,000 | 675,000,000 | |
Accrued interest receivable | 437,823,000 | 123,258,000 | |
Securities purchased under agreements to resell balances outstanding | 4,245,000,000 | 1,200,000,000 | |
Average transaction balances of securities purchased under agreements to resell | 74,000,000 | 600,000,000 | |
Interest income from securities purchased under agreements to resell | 2,542,000 | 487,000 | $ 28,573,000 |
U.S. Treasury securities | |||
Securities purchased under agreements to resell | |||
Securities received as collateral | 4,300,000,000 | 1,200,000,000 | |
Interest-bearing deposits | |||
Securities purchased under agreements to resell | |||
Interest-bearing deposits | 1,800,000,000 | 700,000,000 | |
Allowance for credit losses | 0 | 0 | |
Accrued interest receivable | 400,000 | 1,900 | |
Allowance for credit losses for accrued interest receivable | 0 | 0 | |
Federal funds sold | |||
Securities purchased under agreements to resell | |||
Federal funds sold | 9,500,000,000 | 7,200,000,000 | |
Allowance for credit losses | 0 | 0 | |
Accrued interest receivable | 2,300,000 | 14,700 | |
Allowance for credit losses for accrued interest receivable | 0 | 0 | |
Securities purchased under agreements to resell | |||
Securities purchased under agreements to resell | |||
Allowance for credit losses | 0 | 0 | |
Allowance for credit losses for accrued interest receivable | 0 | 0 | |
Adjustments for instrument-specific credit risk | 0 | 0 | |
Securities purchased under agreements to resell balances outstanding | $ 4,200,000,000 | $ 1,200,000,000 |
Trading Securities. (Details)
Trading Securities. (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Trading Securities. | ||
Trading securities | $ 7,113,419 | $ 5,821,380 |
Net unrealized fair value gains (losses) included in carrying values of trading securities | (373,000) | (13,800) |
Trading securities pledged as collateral | 576,756 | 367,110 |
Estimated fair value of investments classified as trading securities, by remaining maturity | ||
Due in one year or less | 2,894,964 | 2,516,659 |
Due after one year through five years | 2,589,829 | 1,491,893 |
Due after five years through ten years | 1,628,626 | 1,812,828 |
Total trading securities | $ 7,113,419 | $ 5,821,380 |
Yield on trading securities due in one year or less (as a percent) | 0.96% | 1.27% |
Yield on trading securities due after one year through five years (as a percent) | 1.39% | 1.32% |
Yield on trading securities due after five years through ten years (as a percent) | 1.18% | 1.32% |
U.S. Treasury notes | ||
Trading Securities. | ||
Trading securities | $ 7,113,419 | $ 5,821,380 |
Estimated fair value of investments classified as trading securities, by remaining maturity | ||
Due in one year or less | 2,894,964 | 2,516,659 |
Due after one year through five years | 2,589,829 | 1,491,893 |
Due after five years through ten years | 1,628,626 | 1,812,828 |
Total trading securities | $ 7,113,419 | $ 5,821,380 |
Equity Investments. (Details)
Equity Investments. (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Equity Investments | |||
Amortized Cost | $ 80,699 | $ 77,192 | |
Gross Unrealized Gains | 12,939 | 21,757 | |
Gross Unrealized Losses | (11,884) | (2,825) | |
Fair Value | 81,754 | 96,124 | |
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 | (17,877) | 4,480 | $ 6,481 |
Net gains (losses) recognized during the period on equity investments sold during the period | (265) | 1,434 | |
Net dividend and other | 2,768 | 3,855 | |
Net gains (losses) recognized during the period | (15,374) | 9,769 | $ 9,792 |
Cash equivalents | |||
Equity Investments | |||
Amortized Cost | 4,308 | 3,261 | |
Fair Value | 4,308 | 3,261 | |
Equity funds | |||
Equity Investments | |||
Amortized Cost | 43,038 | 41,228 | |
Gross Unrealized Gains | 12,772 | 21,342 | |
Gross Unrealized Losses | (6,760) | (2,425) | |
Fair Value | 49,050 | 60,145 | |
Fixed income funds | |||
Equity Investments | |||
Amortized Cost | 33,353 | 32,703 | |
Gross Unrealized Gains | 167 | 415 | |
Gross Unrealized Losses | (5,124) | (400) | |
Fair Value | $ 28,396 | $ 32,718 |
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 | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Available-for-Sale Securities | ||
Impaired AFS securities | $ 0 | $ 0 |
Allowance for credit loss | 0 | 0 |
Amortized Cost | 7,322,538 | 6,391,584 |
Gross Unrealized Gains | 579,561 | 211,762 |
Gross Unrealized Losses | (813,229) | (55,925) |
Fair Value | 7,088,870 | 6,547,421 |
Fair Value Hedging | ||
Available-for-Sale Securities | ||
Gross Unrealized Losses | (575,100) | (30,700) |
Floating | ||
Available-for-Sale Securities | ||
Amortized Cost | 466,876 | 580,337 |
Fair Value | 462,052 | 589,534 |
Fixed | ||
Available-for-Sale Securities | ||
Amortized Cost | 5,745,872 | 4,812,727 |
Fair Value | 5,517,789 | 4,959,250 |
Mortgage-backed securities (MBS) | ||
Available-for-Sale Securities | ||
Amortized Cost | 6,212,748 | 5,393,064 |
Gross Unrealized Gains | 579,560 | 211,595 |
Gross Unrealized Losses | (812,467) | (55,875) |
Fair Value | 5,979,841 | 5,548,784 |
Mortgage-backed securities (MBS) | Floating | ||
Available-for-Sale Securities | ||
Amortized Cost | 466,876 | 580,337 |
Gross Unrealized Gains | 581 | 9,197 |
Gross Unrealized Losses | (5,405) | |
Fair Value | 462,052 | 589,534 |
Mortgage-backed securities (MBS) | Fixed | ||
Available-for-Sale Securities | ||
Amortized Cost | 6,320,976 | 4,843,394 |
Gross Unrealized Gains | 3,875 | 171,731 |
Gross Unrealized Losses | (807,062) | (55,875) |
Fair Value | 5,517,789 | 4,959,250 |
CMO | Floating | ||
Available-for-Sale Securities | ||
Amortized Cost | 462,796 | 575,441 |
Gross Unrealized Gains | 557 | 8,982 |
Gross Unrealized Losses | (5,403) | |
Fair Value | 457,950 | 584,423 |
PASS THRU | Floating | ||
Available-for-Sale Securities | ||
Amortized Cost | 4,080 | 4,896 |
Gross Unrealized Gains | 24 | 215 |
Gross Unrealized Losses | (2) | |
Fair Value | 4,102 | 5,111 |
CMBS | Fixed | ||
Available-for-Sale Securities | ||
Amortized Cost | 6,320,976 | 4,843,394 |
Gross Unrealized Gains | 3,875 | 171,731 |
Gross Unrealized Losses | (807,062) | (55,875) |
Fair Value | 5,517,789 | 4,959,250 |
State and local housing finance agency obligations. | ||
Available-for-Sale Securities | ||
Amortized Cost | 1,109,790 | 998,520 |
Gross Unrealized Gains | 1 | 167 |
Gross Unrealized Losses | (762) | (50) |
Fair Value | 1,109,029 | 998,637 |
State and local housing finance agency obligations. | Floating | ||
Available-for-Sale Securities | ||
Amortized Cost | 1,109,790 | 998,520 |
Fair Value | 1,109,029 | 998,637 |
Before Hedging Adjustments | Mortgage-backed securities (MBS) | ||
Available-for-Sale Securities | ||
Amortized Cost | 6,787,852 | 5,423,731 |
Gross Unrealized Gains | 4,456 | 180,928 |
Gross Unrealized Losses | (812,467) | (55,875) |
Fair Value | 5,979,841 | 5,548,784 |
Hedging Basis Adjustment | Mortgage-backed securities (MBS) | Fair Value Hedging | ||
Available-for-Sale Securities | ||
Amortized Cost | (575,104) | (30,667) |
Gross Unrealized Gains | $ 575,104 | $ 30,667 |
Available-for-Sale Securities_3
Available-for-Sale Securities. - Credit Loss Analysis of AFS Securities (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Available-for-Sale Securities | ||
Allowance for credit loss | $ 0 | $ 0 |
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | 4,391,764 | 1,476,219 |
12 months or more, Estimated Fair Value | 2,316,857 | 662,398 |
Total, Estimated Fair Value | 6,708,621 | 2,138,617 |
Unrealized Losses | ||
Less than 12 months, Unrealized Losses | (235,130) | (23,442) |
12 months or more, Unrealized Losses | (578,099) | (32,483) |
Total, Unrealized Losses | (813,229) | (55,925) |
Mortgage-backed securities (MBS) | ||
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | 3,447,358 | 1,476,219 |
12 months or more, Estimated Fair Value | 2,302,235 | 641,268 |
Total, Estimated Fair Value | 5,749,593 | 2,117,487 |
Unrealized Losses | ||
Less than 12 months, Unrealized Losses | (234,446) | (23,442) |
12 months or more, Unrealized Losses | (578,021) | (32,433) |
Total, Unrealized Losses | (812,467) | (55,875) |
Ginnie Mae-CMO | ||
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | 4,521 | |
Total, Estimated Fair Value | 4,521 | |
Unrealized Losses | ||
Less than 12 months, Unrealized Losses | (51) | |
Total, Unrealized Losses | (51) | |
MBS-GSE | ||
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | 3,442,837 | 1,476,219 |
12 months or more, Estimated Fair Value | 2,302,235 | 641,268 |
Total, Estimated Fair Value | 5,745,072 | 2,117,487 |
Unrealized Losses | ||
Less than 12 months, Unrealized Losses | (234,395) | (23,442) |
12 months or more, Unrealized Losses | (578,021) | (32,433) |
Total, Unrealized Losses | (812,416) | (55,875) |
Fannie Mae-CMO | ||
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | 283,287 | |
Total, Estimated Fair Value | 283,287 | |
Unrealized Losses | ||
Less than 12 months, Unrealized Losses | (4,620) | |
Total, Unrealized Losses | (4,620) | |
Fannie Mae-CMBS | ||
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | 424,871 | |
Total, Estimated Fair Value | 424,871 | |
Unrealized Losses | ||
Less than 12 months, Unrealized Losses | (26,948) | |
Total, Unrealized Losses | (26,948) | |
Freddie Mac-CMO | ||
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | 76,951 | |
Total, Estimated Fair Value | 76,951 | |
Unrealized Losses | ||
Less than 12 months, Unrealized Losses | (732) | |
Total, Unrealized Losses | (732) | |
Freddie Mac-CMBS | ||
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | 2,657,360 | 1,476,219 |
12 months or more, Estimated Fair Value | 2,302,235 | 641,268 |
Total, Estimated Fair Value | 4,959,595 | 2,117,487 |
Unrealized Losses | ||
Less than 12 months, Unrealized Losses | (202,093) | (23,442) |
12 months or more, Unrealized Losses | (578,021) | (32,433) |
Total, Unrealized Losses | (780,114) | (55,875) |
Fannie Mae-Pass Thru | ||
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | 368 | |
Total, Estimated Fair Value | 368 | |
Unrealized Losses | ||
Less than 12 months, Unrealized Losses | (2) | |
Total, Unrealized Losses | (2) | |
State and local housing finance agency obligations. | ||
Estimated Fair Value | ||
Less than 12 months, Estimated Fair Value | 944,406 | |
12 months or more, Estimated Fair Value | 14,622 | 21,130 |
Total, Estimated Fair Value | 959,028 | 21,130 |
Unrealized Losses | ||
Less than 12 months, Unrealized Losses | (684) | |
12 months or more, Unrealized Losses | (78) | (50) |
Total, Unrealized Losses | $ (762) | $ (50) |
Available-for-Sale Securities_4
Available-for-Sale Securities. - Redemption Terms (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Amortized Cost | ||
Amortized Cost | $ 7,322,538 | $ 6,391,584 |
Estimated Fair Value | ||
Estimated Fair Value | 7,088,870 | 6,547,421 |
Net unamortized premiums | 4,600 | 79,900 |
Mortgage-backed securities (MBS) | ||
Amortized Cost | ||
Due in one year or less | 34 | |
Due after one year through five years | 1,046,588 | 875,385 |
Due after five year through ten years | 4,169,456 | 3,591,533 |
Due after ten years | 996,670 | 926,146 |
Amortized Cost | 6,212,748 | 5,393,064 |
Estimated Fair Value | ||
Due in one year or less | 34 | |
Due after one year through five years | 991,319 | 917,150 |
Due after five year through ten years | 4,035,246 | 3,696,985 |
Due after ten years | 953,242 | 934,649 |
Estimated Fair Value | 5,979,841 | 5,548,784 |
State and local housing finance agency obligations. | ||
Amortized Cost | ||
Due in one year or less | 750 | |
Due after one year through five years | 14,700 | 21,180 |
Due after ten years | 1,094,340 | 977,340 |
Amortized Cost | 1,109,790 | 998,520 |
Estimated Fair Value | ||
Due in one year or less | 750 | |
Due after one year through five years | 14,622 | 21,130 |
Due after ten years | 1,093,657 | 977,507 |
Estimated Fair Value | $ 1,109,029 | $ 998,637 |
Available-for-Sale Securities_5
Available-for-Sale Securities. - Interest Rate Payment Terms (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | $ 7,322,538 | $ 6,391,584 |
Fair Value | 7,088,870 | 6,547,421 |
Floating | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 466,876 | 580,337 |
Fair Value | 462,052 | 589,534 |
Fixed | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 5,745,872 | 4,812,727 |
Fair Value | 5,517,789 | 4,959,250 |
CMO | Floating | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 462,796 | 575,441 |
Fair Value | 457,950 | 584,423 |
Commercial Mortgage-Backed Securities (CMBS) | Fixed | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 5,745,872 | 4,812,727 |
Fair Value | 5,517,789 | 4,959,250 |
PASS THRU | Floating | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 4,080 | 4,896 |
Fair Value | 4,102 | 5,111 |
Mortgage-backed securities (MBS) | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 6,212,748 | 5,393,064 |
Fair Value | 5,979,841 | 5,548,784 |
Mortgage-backed securities (MBS) | Floating | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 466,876 | 580,337 |
Fair Value | 462,052 | 589,534 |
Mortgage-backed securities (MBS) | Fixed | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 6,320,976 | 4,843,394 |
Fair Value | 5,517,789 | 4,959,250 |
State and local housing finance agency obligations. | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 1,109,790 | 998,520 |
Fair Value | 1,109,029 | 998,637 |
State and local housing finance agency obligations. | Floating | ||
Summary of available-for-sale securities by interest rate payment terms | ||
Amortized Cost | 1,109,790 | 998,520 |
Fair Value | $ 1,109,029 | $ 998,637 |
Held-to-Maturity Securities. -
Held-to-Maturity Securities. - Amortized Cost to Fair Value by Major Security Types and Securities Pledged (Details) $ in Thousands | Dec. 31, 2022 USD ($) position | Dec. 31, 2021 USD ($) position |
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||
Amortized Cost | $ 9,355,353 | $ 9,330,591 |
Held-to-maturity securities, allowance for credit losses | (307) | (340) |
OTTI Recognized in AOCI | (998) | (1,586) |
Carrying Value | 9,354,048 | 9,328,665 |
Gross Unrecognized Holding Gains | 8,784 | 379,799 |
Gross Unrecognized Holding Losses | (443,627) | (24,190) |
Fair Value | 8,919,205 | 9,684,274 |
Pools of Mortgages | ||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||
Amortized Cost | 30,821 | 38,606 |
Carrying Value | 30,821 | 38,606 |
Gross Unrecognized Holding Gains | 447 | 4,798 |
Gross Unrecognized Holding Losses | (6) | |
Fair Value | 31,262 | 43,404 |
Asset-Backed Securities | ||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||
Amortized Cost | 46,741 | 62,385 |
OTTI Recognized in AOCI | (767) | (1,325) |
Carrying Value | 45,974 | 61,060 |
Gross Unrecognized Holding Gains | 4,708 | 7,971 |
Gross Unrecognized Holding Losses | (503) | (84) |
Fair Value | 50,179 | 68,947 |
Mortgage-backed securities (MBS) | ||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||
Amortized Cost | 9,178,128 | 9,145,591 |
Held-to-maturity securities, allowance for credit losses | (199) | (226) |
OTTI Recognized in AOCI | (998) | (1,586) |
Carrying Value | 9,176,931 | 9,143,779 |
Gross Unrecognized Holding Gains | 8,784 | 379,783 |
Gross Unrecognized Holding Losses | (429,758) | (6,921) |
Fair Value | 8,755,957 | 9,516,641 |
Mortgage-backed securities (MBS) | Asset Pledged As Collateral Without Right To Sell Or Repledge | ||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||
Carrying Value | 3,000 | 2,500 |
State and local housing finance agency obligations | ||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||
Amortized Cost | 177,225 | 185,000 |
Held-to-maturity securities, allowance for credit losses | (108) | (114) |
Carrying Value | 177,117 | 184,886 |
Gross Unrecognized Holding Gains | 16 | |
Gross Unrecognized Holding Losses | (13,869) | (17,269) |
Fair Value | $ 163,248 | $ 167,633 |
Number of investment positions in an unrealized loss position | 5 | 5 |
Unrealized Losses | $ 13,900 | $ 17,300 |
Allowance of credit losses | 100 | $ 100 |
Allowance for credit losses for accrued interest receivable | $ 0 | |
Private-label MBS | ||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||
Number of investment positions in an unrealized loss position | 11 | 8 |
Allowance for credit losses | $ 200 | |
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 | 2,626 | $ 2,978 |
Held-to-maturity securities, allowance for credit losses | (199) | (226) |
OTTI Recognized in AOCI | (231) | (261) |
Carrying Value | 2,196 | 2,491 |
Gross Unrecognized Holding Gains | 35 | |
Gross Unrecognized Holding Losses | (359) | (51) |
Fair Value | $ 1,837 | $ 2,475 |
GSE | ||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||
Number of investment positions in an unrealized loss position | position | 192 | 24 |
GSE | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||
Amortized Cost | $ 459,140 | $ 622,628 |
Carrying Value | 459,140 | 622,628 |
Gross Unrecognized Holding Gains | 5,404 | |
Gross Unrecognized Holding Losses | (13,234) | (166) |
Fair Value | 445,906 | 627,866 |
GSE | Commercial Mortgage-Backed Securities (CMBS) | ||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||
Amortized Cost | 8,638,800 | 8,418,994 |
Carrying Value | 8,638,800 | 8,418,994 |
Gross Unrecognized Holding Gains | 3,629 | 361,575 |
Gross Unrecognized Holding Losses | (415,656) | (6,620) |
Fair Value | 8,226,773 | 8,773,949 |
Fannie Mae | Pools of Mortgages | ||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||
Amortized Cost | 26,251 | 33,128 |
Carrying Value | 26,251 | 33,128 |
Gross Unrecognized Holding Gains | 371 | 4,086 |
Gross Unrecognized Holding Losses | (6) | |
Fair Value | 26,616 | 37,214 |
Fannie Mae | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||
Amortized Cost | 210,453 | 300,442 |
Carrying Value | 210,453 | 300,442 |
Gross Unrecognized Holding Gains | 2,338 | |
Gross Unrecognized Holding Losses | (7,072) | (144) |
Fair Value | 203,381 | 302,636 |
Fannie Mae | Commercial Mortgage-Backed Securities (CMBS) | ||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||
Amortized Cost | 1,108,553 | 1,301,041 |
Carrying Value | 1,108,553 | 1,301,041 |
Gross Unrecognized Holding Gains | 22,166 | |
Gross Unrecognized Holding Losses | (21,410) | (159) |
Fair Value | 1,087,143 | 1,323,048 |
Freddie Mac | Pools of Mortgages | ||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||
Amortized Cost | 4,570 | 5,478 |
Carrying Value | 4,570 | 5,478 |
Gross Unrecognized Holding Gains | 76 | 712 |
Fair Value | 4,646 | 6,190 |
Freddie Mac | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | ||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||
Amortized Cost | 248,687 | 322,186 |
Carrying Value | 248,687 | 322,186 |
Gross Unrecognized Holding Gains | 3,066 | |
Gross Unrecognized Holding Losses | (6,162) | (22) |
Fair Value | 242,525 | 325,230 |
Freddie Mac | Commercial Mortgage-Backed Securities (CMBS) | ||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||
Amortized Cost | 7,530,247 | 7,117,953 |
Carrying Value | 7,530,247 | 7,117,953 |
Gross Unrecognized Holding Gains | 3,629 | 339,409 |
Gross Unrecognized Holding Losses | (394,246) | (6,461) |
Fair Value | 7,139,630 | 7,450,901 |
Insured | Manufactured housing loans | ||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||
Amortized Cost | 13,738 | 18,484 |
Carrying Value | 13,738 | 18,484 |
Gross Unrecognized Holding Gains | 291 | 498 |
Fair Value | 14,029 | 18,982 |
Insured | Home equity loans | ||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||
Amortized Cost | 26,832 | 32,519 |
OTTI Recognized in AOCI | (311) | (374) |
Carrying Value | 26,521 | 32,145 |
Gross Unrecognized Holding Gains | 3,821 | 6,187 |
Gross Unrecognized Holding Losses | (444) | |
Fair Value | 29,898 | 38,332 |
Uninsured | Home equity loans | ||
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value | ||
Amortized Cost | 6,171 | 11,382 |
OTTI Recognized in AOCI | (456) | (951) |
Carrying Value | 5,715 | 10,431 |
Gross Unrecognized Holding Gains | 596 | 1,286 |
Gross Unrecognized Holding Losses | (59) | (84) |
Fair Value | $ 6,252 | $ 11,633 |
Held-to-Maturity Securities. _2
Held-to-Maturity Securities. - Redemption Terms (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Amortized Cost | ||
Amortized Cost | $ 9,355,353 | $ 9,330,591 |
Estimated Fair Value | ||
Fair Value | 8,919,205 | 9,684,274 |
Net unamortized premiums | (32,300) | 45,700 |
State and local housing finance agency obligations | ||
Amortized Cost | ||
Due in one year or less | 1,085 | |
Due after one year through five years | 1,145 | 1,560 |
Due after five years through ten years | 3,545 | 100 |
Due after ten years | 172,535 | 182,255 |
Amortized Cost | 177,225 | 185,000 |
Estimated Fair Value | ||
Due in one year or less | 1,100 | |
Due after one year through five years | 1,137 | 1,550 |
Due after five years through ten years | 3,415 | 100 |
Due after ten years | 158,696 | 164,883 |
Fair Value | 163,248 | 167,633 |
Mortgage-backed securities (MBS) | ||
Amortized Cost | ||
Due in one year or less | 375,677 | 622,150 |
Due after one year through five years | 4,564,091 | 3,244,996 |
Due after five years through ten years | 3,484,910 | 4,411,317 |
Due after ten years | 753,450 | 867,128 |
Amortized Cost | 9,178,128 | 9,145,591 |
Estimated Fair Value | ||
Due in one year or less | 372,953 | 627,027 |
Due after one year through five years | 4,397,702 | 3,338,703 |
Due after five years through ten years | 3,258,306 | 4,670,692 |
Due after ten years | 726,996 | 880,219 |
Fair Value | $ 8,755,957 | $ 9,516,641 |
Advances. - Redemption Terms (D
Advances. - Redemption Terms (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Amount | ||
Overdrawn demand deposit accounts | $ 4 | |
Due in one year or less | 82,971,070 | $ 39,102,862 |
Due after one year through two years | 13,739,663 | 8,417,861 |
Due after two years through three years | 4,480,758 | 5,986,412 |
Due after three years through four years | 2,552,886 | 3,847,497 |
Due after four years through five years | 5,588,876 | 2,366,939 |
Thereafter | 7,596,597 | 11,493,595 |
Total par value | 116,929,854 | 71,215,166 |
Advance discounts | (2,083) | (160) |
Hedge valuation basis adjustments (b) | (1,634,895) | 321,396 |
Total | $ 115,292,876 | $ 71,536,402 |
Weighted Average Yield | ||
Overdrawn demand deposit accounts (as a percent) | 5.36% | |
Due in one year or less (as a percent) | 3% | 0.64% |
Due after one year through two years (as a percent) | 1.82% | 1.52% |
Due after two years through three years (as a percent) | 1.79% | 1.35% |
Due after three years through four years (as a percent) | 1.55% | 1.49% |
Due after four years through five years (as a percent) | 3.27% | 1.41% |
Thereafter (as a percent) | 3.15% | 1.82% |
Total par value (as a percent) | 2.80% | 1.07% |
Percentage of Total | ||
Due in one year or less (as a percent) | 70.96% | 54.91% |
Due after one year through two years (as a percent) | 11.75% | 11.82% |
Due after two years through three years (as a percent) | 3.83% | 8.41% |
Due after three years through four years (as a percent) | 2.18% | 5.40% |
Due after four years through five years (as a percent) | 4.78% | 3.32% |
Thereafter (as a percent) | 6.50% | 16.14% |
Total par value (as a percent) | 100% | 100% |
Advances. - Credit Risk, Concen
Advances. - Credit Risk, Concentration of Advances Outstanding and Security Terms (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 USD ($) item Institution | Dec. 31, 2021 USD ($) Institution | Dec. 31, 2020 USD ($) Institution | |
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 | $ 0 |
Security Terms | |||
Number of exceptions | item | 2 | ||
Par Value of Advances | Credit concentration risk | Top ten advance holders | |||
Segment Information and Concentration | |||
Number of borrowing member institutions | Institution | 10 | 10 | 10 |
Concentration risk percentage | 75.99% | 79.41% | 77.95% |
Par Value of Advances | Credit concentration risk | Insurance companies | |||
Segment Information and Concentration | |||
Concentration risk percentage | 32.90% | 41.40% | |
Advances to member banks | |||
Segment Information and Concentration | |||
Credit loss allowance | $ 0 |
Mortgage Loans Held-for-Portf_3
Mortgage Loans Held-for-Portfolio. - Balance Information and Roll-Forward Analysis of Allowance for Credit Losses (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Mortgage Loans Held-for-Portfolio, Net. | |||
First layer of potential credit losses (as a percent) | 100% | ||
First Loss Account | $ 44,300 | $ 44,200 | |
Credit enhancement fees accrued | $ 1,700 | 2,100 | $ 2,700 |
Percentage of standard credit enhancement, loan funded | 1.50% | ||
Liability in respect of member performance account for PFIs | $ 3,500 | 2,400 | |
Accrued interest receivable | 437,823 | 123,258 | |
Allowance for credit losses: | |||
Provision (Reversal) for credit losses on mortgage loans | $ (226) | (5,528) | 3,721 |
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% | ||
Pools of Mortgages | |||
Mortgage Loans Held-for-Portfolio, Net. | |||
Allowance for credit losses | $ (1,900) | ||
Credit loss allowance | 1,900 | ||
Accrued interest receivable | 10,200 | 11,100 | |
Allowance for credit losses: | |||
Ending Balance | 1,900 | ||
Mortgage receivables | |||
Mortgage Loans Held-for-Portfolio, Net. | |||
Allowance for credit losses | (1,911) | (2,135) | |
Mortgage loans held for portfolio, net | 2,106,969 | 2,319,864 | |
Credit loss allowance | 1,911 | 2,135 | |
Allowance for credit losses: | |||
Beginning Balance | 2,135 | ||
Ending Balance | 1,911 | 2,135 | |
Conventional Loans | |||
Mortgage Loans Held-for-Portfolio, Net. | |||
Allowance for credit losses | (1,911) | (2,135) | (7,073) |
Credit loss allowance | 1,911 | 2,135 | 7,073 |
Allowance for credit losses: | |||
Beginning Balance | 2,135 | 7,073 | 653 |
Adjustment for cumulative effect of accounting change | 2,972 | ||
Charge-offs | (31) | (50) | (94) |
Provision (Reversal) for credit losses on mortgage loans | (193) | (4,888) | 3,542 |
Ending Balance | 1,911 | 2,135 | $ 7,073 |
Conventional Loans | Mortgage receivables | |||
Mortgage Loans Held-for-Portfolio, Net. | |||
Total par value | $ 1,855,128 | $ 2,127,799 | |
Percentage of Total Par (as a percent) | 100% | 100% | |
Unamortized premiums | $ 26,448 | $ 31,351 | |
Unamortized discounts | (693) | (857) | |
Basis adjustment | 1,703 | 1,966 | |
Total MPF loans amortized cost | 1,882,586 | 2,160,259 | |
Allowance for credit losses | (1,665) | (1,956) | |
Mortgage loans held for portfolio, net | 1,880,921 | 2,158,303 | |
Credit loss allowance | 1,665 | 1,956 | |
Allowance for credit losses: | |||
Beginning Balance | 1,956 | ||
Ending Balance | 1,665 | 1,956 | |
Conventional Loans | Fixed medium-term mortgages | Single-family | |||
Mortgage Loans Held-for-Portfolio, Net. | |||
Total par value | $ 109,429 | $ 138,831 | |
Percentage of Total Par (as a percent) | 5.90% | 6.52% | |
Conventional Loans | Fixed long-term mortgages | Single-family | |||
Mortgage Loans Held-for-Portfolio, Net. | |||
Total par value | $ 1,745,699 | $ 1,988,968 | |
Percentage of Total Par (as a percent) | 94.10% | 93.48% | |
MAP loans held-for-portfolio | |||
Mortgage Loans Held-for-Portfolio, Net. | |||
Mortgage loans held for portfolio, net | $ 226,000 | $ 161,600 | |
MAP loans held-for-portfolio | Mortgage receivables | |||
Mortgage Loans Held-for-Portfolio, Net. | |||
Mortgage loans held for portfolio, net | $ 226,048 | $ 161,561 |
Mortgage Loans Held-for-Portf_4
Mortgage Loans Held-for-Portfolio. - Mortgage Loans Held-For-Portfolio by Redemption Term (Details) - Mortgage receivables - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Mortgage Loans On Real Estate Held For Portfolio [Line Items] | ||
Due in one year or less | $ 79,855 | $ 83,195 |
Due after one year through five years | 334,980 | 355,950 |
Due after five years through fifteen years | 860,981 | 922,236 |
Thereafter | 800,395 | 923,160 |
Total unpaid principal balance | 2,076,211 | 2,284,541 |
Other adjustments, net | 32,669 | 37,458 |
Total mortgage loans held for portfolio | 2,108,880 | 2,321,999 |
Allowance for credit losses on mortgage loans | (1,911) | (2,135) |
Mortgage loans held for portfolio, net | $ 2,106,969 | $ 2,319,864 |
Mortgage Loans Held-for-Portf_5
Mortgage Loans Held-for-Portfolio. - Risk Elements and Credit Losses (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Mortgage Loans Held-for-Portfolio. | ||
Non-accrual loans | $ 7,838 | $ 12,354 |
Mortgage receivables | ||
Mortgage Loans Held-for-Portfolio. | ||
Average loans outstanding during the period | 2,155,287 | 2,501,735 |
Mortgage loans held for portfolio | 2,076,211 | 2,284,541 |
Non-accrual loans | 7,795 | 12,294 |
Allowance for credit losses | 1,911 | 2,135 |
Net charge-offs | $ 31 | $ 50 |
Ratio of net charge-offs to average loans outstanding during the period | 0.001% | 0.002% |
Ratio of allowance for credit losses to mortgage loans held for portfolio | 0.092% | 0.093% |
Ratio of non-accrual loans to mortgage loans held for portfolio | 0.375% | 0.538% |
Ratio of allowance for credit losses to non-accrual loans | 24.511% | 17.369% |
Mortgage Loans Held-for-Portf_6
Mortgage Loans Held-for-Portfolio. - Non-performing Loans and Impaired Loans Individually Measured for Impairment (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Mortgage Loans - Non-performing loans | ||
Loans on non-accrual status | $ 7,838 | $ 12,354 |
Conventional Loans | ||
Mortgage Loans - Non-performing loans | ||
Loans on non-accrual status | 7,838 | 12,354 |
MAP loans held-for-portfolio | ||
Mortgage Loans - Non-performing loans | ||
Total Mortgage loans, carrying values net | 226,000 | 161,600 |
Mortgage receivables | ||
Mortgage Loans - Non-performing loans | ||
Total Mortgage loans, carrying values net | 2,106,969 | 2,319,864 |
Loans on non-accrual status | $ 7,795 | $ 12,294 |
Delinquency period | 180 days | 180 days |
Unpaid Principal Balance for Impaired Loans | ||
Total unpaid principal balance for impaired loans | $ 1,855,128 | $ 2,127,799 |
Mortgage receivables | Conventional Loans | ||
Mortgage Loans - Non-performing loans | ||
Total Mortgage loans, carrying values net | 1,880,921 | 2,158,303 |
Unpaid Principal Balance for Impaired Loans | ||
Total unpaid principal balance for impaired loans | 1,718,394 | 1,969,807 |
Mortgage receivables | Conventional Loans | Non-performing | ||
Mortgage Loans - Non-performing loans | ||
Loans on non-accrual status | 7,795 | 12,294 |
Mortgage receivables | Conventional Loans | Individually measured for impairment | ||
Unpaid Principal Balance for Impaired Loans | ||
Unpaid principal balance with no related allowance | 1,053,813 | 1,329,019 |
Unpaid principal balance with a related allowance | 664,581 | 640,788 |
Total unpaid principal balance for impaired loans | 1,718,394 | 1,969,807 |
Related Allowance for Impaired Loans | ||
Allowance for loan losses for impaired loans | (1,665) | (1,956) |
Amortized cost after allowance for Impaired Loans | ||
Amortized cost after allowance with no related allowance | 1,068,388 | 1,348,056 |
Amortized cost after allowance with a related allowance | 673,518 | 649,531 |
Total amortized cost after allowance for impaired loans | 1,741,906 | 1,997,587 |
Average amortized cost after allowance for Impaired Loans | ||
Average amortized cost after allowance with no related allowance | 1,167,490 | 1,506,305 |
Average amortized cost after allowance with a related allowance | 668,124 | 779,346 |
Total average amortized cost after allowance for impaired loans | 1,835,614 | 2,285,651 |
Mortgage receivables | MAP loans held-for-portfolio | ||
Mortgage Loans - Non-performing loans | ||
Total Mortgage loans, carrying values net | 226,048 | 161,561 |
Mortgage receivables | Government-guaranteed or -insured mortgage loans | ||
Unpaid Principal Balance for Impaired Loans | ||
Total unpaid principal balance for impaired loans | 136,734 | 157,992 |
Mortgage receivables | Insured Loans | ||
Mortgage Loans - Non-performing loans | ||
Insured MPF loans past due 90 days or more and still accruing interest | $ 4,632 | $ 6,612 |
Mortgage receivables | Uninsured loans | Minimum | ||
Average amortized cost after allowance for Impaired Loans | ||
Period past due for interest received on loan to be recorded as a liability | 90 days | 90 days |
Mortgage Loans Held-for-Portf_7
Mortgage Loans Held-for-Portfolio. - Credit Quality Indicator for Conventional Mortgage Loans (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Conventional Loans | ||
Amortized Cost | ||
Amount due | $ 1,969,631 | $ 2,161,283 |
Conventional Loans Originated Prior To 2017 | ||
Amortized Cost | ||
Amount due | 983,224 | |
Conventional Loans Originated Prior To 2017 | Past due 30 - 59 days | ||
Amortized Cost | ||
Amount due | 6,458 | |
Conventional Loans Originated Prior To 2017 | Past due 60 - 89 days | ||
Amortized Cost | ||
Amount due | 1,386 | |
Conventional Loans Originated Prior To 2017 | Past due 90 days or more | ||
Amortized Cost | ||
Amount due | 11,066 | |
Conventional Loans Originated Prior To 2017 | Total past due | ||
Amortized Cost | ||
Amount due | 18,910 | |
Conventional Loans Originated Prior To 2017 | Current | ||
Amortized Cost | ||
Amount due | 964,314 | |
Conventional MPF Mortgage Loans | Past due 30 - 59 days | ||
Amortized Cost | ||
Amount due | 12,503 | 13,072 |
Conventional MPF Mortgage Loans | Past due 60 - 89 days | ||
Amortized Cost | ||
Amount due | 3,360 | 2,486 |
Conventional MPF Mortgage Loans | Past due 90 days or more | ||
Amortized Cost | ||
Amount due | 7,838 | 12,354 |
Conventional MPF Mortgage Loans | Total past due | ||
Amortized Cost | ||
Amount due | 23,701 | 27,912 |
Conventional MPF Mortgage Loans | Current | ||
Amortized Cost | ||
Amount due | 1,719,969 | 1,971,631 |
Conventional MPF Mortgage Loans - Origination Year Prior to 2018 | ||
Amortized Cost | ||
Amount due | 958,880 | |
Conventional MPF Mortgage Loans - Origination Year Prior to 2018 | Past due 30 - 59 days | ||
Amortized Cost | ||
Amount due | 8,399 | |
Conventional MPF Mortgage Loans - Origination Year Prior to 2018 | Past due 60 - 89 days | ||
Amortized Cost | ||
Amount due | 2,707 | |
Conventional MPF Mortgage Loans - Origination Year Prior to 2018 | Past due 90 days or more | ||
Amortized Cost | ||
Amount due | 6,676 | |
Conventional MPF Mortgage Loans - Origination Year Prior to 2018 | Total past due | ||
Amortized Cost | ||
Amount due | 17,782 | |
Conventional MPF Mortgage Loans - Origination Year Prior to 2018 | Current | ||
Amortized Cost | ||
Amount due | 941,098 | |
Conventional MPF Mortgage Loans - Origination Year 2018 to 2022 | ||
Amortized Cost | ||
Amount due | 1,010,751 | |
Conventional MPF Mortgage Loans - Origination Year 2018 to 2022 | Past due 30 - 59 days | ||
Amortized Cost | ||
Amount due | 4,104 | |
Conventional MPF Mortgage Loans - Origination Year 2018 to 2022 | Past due 60 - 89 days | ||
Amortized Cost | ||
Amount due | 653 | |
Conventional MPF Mortgage Loans - Origination Year 2018 to 2022 | Past due 90 days or more | ||
Amortized Cost | ||
Amount due | 1,162 | |
Conventional MPF Mortgage Loans - Origination Year 2018 to 2022 | Total past due | ||
Amortized Cost | ||
Amount due | 5,919 | |
Conventional MPF Mortgage Loans - Origination Year 2018 to 2022 | Current | ||
Amortized Cost | ||
Amount due | 778,871 | |
Conventional MPF Mortgage Loans - Origination Year 2017 to 2021 | ||
Amortized Cost | ||
Amount due | 1,178,059 | |
Conventional MPF Mortgage Loans - Origination Year 2017 to 2021 | Past due 30 - 59 days | ||
Amortized Cost | ||
Amount due | 6,614 | |
Conventional MPF Mortgage Loans - Origination Year 2017 to 2021 | Past due 60 - 89 days | ||
Amortized Cost | ||
Amount due | 1,100 | |
Conventional MPF Mortgage Loans - Origination Year 2017 to 2021 | Past due 90 days or more | ||
Amortized Cost | ||
Amount due | 1,288 | |
Conventional MPF Mortgage Loans - Origination Year 2017 to 2021 | Total past due | ||
Amortized Cost | ||
Amount due | 9,002 | |
Conventional MPF Mortgage Loans - Origination Year 2017 to 2021 | Current | ||
Amortized Cost | ||
Amount due | 1,007,317 | |
Conventional MAP Mortgage Loans | ||
Amortized Cost | ||
Amount due | 225,961 | 161,740 |
Conventional MAP Mortgage Loans - Origination Year 2017 to 2021 | ||
Amortized Cost | ||
Amount due | $ 161,740 | |
Conventional Mortgage Asset Programs Loan Originated 2018 to 2022 | ||
Amortized Cost | ||
Amount due | $ 225,961 |
Mortgage Loans Held-for-Portf_8
Mortgage Loans Held-for-Portfolio. - Recorded Investments in Loans Past Due and Real Estate Owned (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Other delinquency statistics: | ||
Loans in process of foreclosure | $ 6,805 | $ 15,243 |
Serious delinquency rate (as a percent) | 0.68% | 1.19% |
Past due 90 days or more and still accruing interest | $ 4,702 | $ 6,684 |
Loans on non-accrual status | $ 7,838 | 12,354 |
Real estate owned | $ 357 | |
Delinquency period | 90 days | 90 days |
Loans discharged from bankruptcy | ||
Other delinquency statistics: | ||
Troubled debt restructurings | $ 6,675 | $ 5,627 |
Modified Loans under MPF program | ||
Other delinquency statistics: | ||
Troubled debt restructurings | 421 | |
Conventional MPF Loans | ||
Other delinquency statistics: | ||
Loans in process of foreclosure | $ 3,940 | $ 11,190 |
Serious delinquency rate (as a percent) | 0.45% | 0.95% |
Loans on non-accrual status | $ 7,838 | $ 12,354 |
Real estate owned | 357 | |
Conventional MPF Loans | Loans discharged from bankruptcy | ||
Other delinquency statistics: | ||
Troubled debt restructurings | 5,241 | 4,849 |
Conventional MPF Loans | Modified Loans under MPF program | ||
Other delinquency statistics: | ||
Troubled debt restructurings | 421 | |
Insured Loans | ||
Other delinquency statistics: | ||
Loans in process of foreclosure | $ 2,865 | $ 4,053 |
Serious delinquency rate (as a percent) | 3.45% | 4.26% |
Past due 90 days or more and still accruing interest | $ 4,702 | $ 6,684 |
Insured Loans | Loans discharged from bankruptcy | ||
Other delinquency statistics: | ||
Troubled debt restructurings | $ 1,434 | $ 778 |
Deposits. - Additional Informat
Deposits. - Additional Information (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Interest-bearing deposits | ||
Deposits | $ 1,026,937 | $ 1,321,238 |
Average balances of term deposits | $ 400 | $ 200 |
Weighted-average interest rates paid on term deposits | 3.51% | 0.17% |
FHLBNY | ||
Interest-bearing deposits | ||
Deposits | $ 1,000,000 | $ 1,300,000 |
Decrease in deposits | $ 294,300 | |
Decrease in deposits (as a percent) | 22.30% | |
Interest-bearing demand and overnight deposits as percentage of deposits | 98.90% | 97.10% |
Average balances of demand and overnight deposits | $ 1,000,000 | $ 1,400,000 |
Weighted-average interest rates paid on demand and overnight deposits | 1.36% | 0.03% |
Deposits - Summary and Interest
Deposits - Summary and Interest rate payment terms. (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Interest-bearing deposits | ||
Interest-bearing demand | $ 1,015,991 | $ 1,283,072 |
Total interest-bearing deposits | 1,015,991 | 1,283,072 |
Non-interest-bearing demand | 10,946 | 38,166 |
Total deposits | $ 1,026,937 | $ 1,321,238 |
Maximum period of term deposits | 1 year | 1 year |
Interest rate for term deposits | 3.51% | 0.17% |
Interest rate for interest-bearing demand | 1.36% | 0.03% |
Interest rate, all interest-bearing deposits | 1.36% | 0.03% |
Consolidated Obligations. - Sum
Consolidated Obligations. - Summary of Issued and Outstanding Consolidated Obligations (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Summary of Consolidated obligations issued by the Bank and outstanding | ||
Total Consolidated obligation-bonds | $ 85,497,755 | $ 54,829,401 |
Total discount notes | 61,792,989 | 42,197,259 |
Consolidated obligation bonds | ||
Summary of Consolidated obligations issued by the Bank and outstanding | ||
Consolidated obligation bonds-amortized cost | 87,612,556 | 54,643,748 |
Hedge valuation basis adjustments | (2,015,128) | 77,048 |
Hedge basis adjustments on de-designated hedges | 114,430 | 125,091 |
FVO-valuation adjustments and accrued interest | (214,103) | (16,486) |
Total Consolidated obligation-bonds | 85,497,755 | 54,829,401 |
Consolidated obligation discount notes | ||
Summary of Consolidated obligations issued by the Bank and outstanding | ||
Hedge basis adjustments on de-designated hedges | (341) | |
Discount notes-amortized cost | 61,832,418 | 42,197,683 |
Hedge value basis adjustments | (39,088) | (424) |
Total discount notes | $ 61,792,989 | $ 42,197,259 |
Consolidated Obligations. - Red
Consolidated Obligations. - Redemption Terms of Consolidated Obligation Bonds (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Amount | ||
Total Consolidated obligation-bonds | $ 85,497,755 | $ 54,829,401 |
Consolidated obligation bonds | ||
Amount | ||
One year or less | 40,943,160 | 19,254,345 |
Over one year through two years | 16,499,805 | 7,317,160 |
Over two years through three years | 7,808,115 | 5,881,385 |
Over three years through four years | 10,533,905 | 4,149,215 |
Over four years through five years | 4,638,435 | 10,072,905 |
Thereafter | 7,092,000 | 7,839,700 |
Total par value | 87,515,420 | 54,514,710 |
Bond premiums | 123,477 | 152,601 |
Bond discounts | (26,341) | (23,563) |
Hedge valuation basis adjustments | (2,015,128) | 77,048 |
Hedge basis adjustments on de-designated hedges | 114,430 | 125,091 |
FVO-valuation adjustments and accrued interest | (214,103) | (16,486) |
Total Consolidated obligation-bonds | $ 85,497,755 | $ 54,829,401 |
Weighted Average Rate | ||
One year or less, Weighted Average Rate (as a percent) | 3.69% | 0.59% |
Over one year through two years, Weighted Average Rate (as a percent) | 2.56% | 1.20% |
Over two years through three years, Weighted Average Rate (as a percent) | 1.65% | 0.85% |
Over three years through four years, Weighted Average Rate (as a percent) | 1.09% | 0.97% |
Over four years through five years, Weighted Average Rate (as a percent) | 2.35% | 0.95% |
Thereafter, Weighted Average Rate (as a percent) | 2.88% | 2.44% |
Total par value, Weighted Average Rate (as a percent) | 2.85% | 1.06% |
Percentage of Total | ||
One year or less, Percentage of Total (as a percent) | 46.79% | 35.32% |
Over one year through two years, Percentage of Total (as a percent) | 18.85% | 13.42% |
Over two years through three years, Percentage of Total (as a percent) | 8.92% | 10.79% |
Over three years through four years, Percentage of Total (as a percent) | 12.04% | 7.61% |
Over four years through five years, Percentage of Total (as a percent) | 5.30% | 18.48% |
Thereafter, Percentage of Total (as a percent) | 8.10% | 14.38% |
Total par value, Percentage of Total (as a percent) | 100% | 100% |
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 | Dec. 31, 2022 | Dec. 31, 2021 |
Interest rate payment terms | ||
Total par value | $ 87,515,420 | $ 54,514,710 |
Total par value, Percentage of Total (as a percent) | 100% | 100% |
Fixed-rate, non-callable | ||
Interest rate payment terms | ||
Total par value | $ 30,482,290 | $ 31,907,580 |
Total par value, Percentage of Total (as a percent) | 34.83% | 58.53% |
Fixed-rate, callable | ||
Interest rate payment terms | ||
Total par value | $ 18,676,130 | $ 12,993,130 |
Total par value, Percentage of Total (as a percent) | 21.34% | 23.84% |
Step Up, callable | ||
Interest rate payment terms | ||
Total par value | $ 5,374,000 | $ 4,799,000 |
Total par value, Percentage of Total (as a percent) | 6.14% | 8.80% |
Floating rate, callable | ||
Interest rate payment terms | ||
Total par value | $ 250,000 | $ 1,265,000 |
Total par value, Percentage of Total (as a percent) | 0.29% | 2.32% |
Single-index floating rate | ||
Interest rate payment terms | ||
Total par value | $ 32,733,000 | $ 3,550,000 |
Total par value, Percentage of Total (as a percent) | 37.40% | 6.51% |
Consolidated Obligations. - Out
Consolidated Obligations. - Outstanding Consolidated Obligation Discount Notes (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Discount Notes | ||
Total discount notes | $ 61,792,989 | $ 42,197,259 |
Consolidated obligation discount notes | ||
Discount Notes | ||
Par value | 62,295,735 | 42,204,430 |
Amortized cost | 61,832,418 | 42,197,683 |
Hedge value basis adjustments(a) | (39,088) | (424) |
Hedge basis adjustments on de-designated hedges (b) | (341) | |
Total discount notes | $ 61,792,989 | $ 42,197,259 |
Weighted average interest rate (as a percent) | 3.97% | 0.06% |
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 | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | ||
Changes in Affordable Housing Program liabilities | ||||
Beginning balance | $ 137,638 | $ 148,827 | $ 153,894 | |
Additions from current period's assessments | 46,517 | 29,514 | 49,180 | |
Net disbursements for grants and programs | [1] | (52,761) | (40,703) | (54,247) |
Ending balance | $ 131,394 | $ 137,638 | $ 148,827 | |
[1] AHP payments equals (beginning accrual - ending accrual) plus 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 | 5 Months Ended | 7 Months Ended | 12 Months Ended | ||
Aug. 01, 2022 USD ($) | Dec. 31, 2022 USD ($) class item $ / shares | Jul. 31, 2022 USD ($) | Dec. 31, 2022 USD ($) class item $ / shares | Dec. 31, 2021 USD ($) $ / shares | |
Details of capital stock | |||||
Stated par value of capital stock (in dollars per share) | $ / shares | $ 100 | $ 100 | $ 100 | ||
Capital stock | $ 6,387,701 | $ 6,387,701 | $ 4,500,785 | ||
Capital requirements that the Company is subject to | item | 3 | 3 | |||
Required capital-to-asset ratio (as a percent) | 4% | 4% | 4% | ||
Minimum leverage ratio (as a percent) | 5% | 5% | 5% | ||
Weighting factor applicable to the permanent capital used in determining compliance with minimum leverage ratio | 1.5 | 1.5 | |||
Weighting factor applicable to the non-permanent capital used in determining compliance with minimum leverage ratio | 1 | 1 | |||
Capital Stock Class B | |||||
Details of capital stock | |||||
Sub-classes of class of capital stock | class | 2 | 2 | |||
Notice period required for stock redemption | 5 years | ||||
Capital stock | $ 6,400,000 | $ 6,400,000 | $ 4,500,000 | ||
Capital Stock Class B | Maximum | |||||
Details of capital stock | |||||
Amount of membership capital stock purchase per member | $ 50,000 | ||||
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% | ||||
Membership stock repurchased by the bank | $ 166,000 | ||||
Common Class B Membership Capital Stock | Maximum | |||||
Details of capital stock | |||||
Amount of membership capital stock purchase 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 for advances and mortgage loans. | 4.50% | ||||
Capital stock purchase requirement for membership as a percentage of member's borrowed amount on letters of credit | 0.125% |
Capital Stock, Mandatorily Re_4
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. - Risk-based Capital (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. | ||
Risk-based capital, Required | $ 749,451 | $ 844,115 |
Risk-based capital, Actual | $ 8,488,246 | $ 6,433,709 |
Total capital-to-asset ratio, Required (as a percent) | 4% | 4% |
Total capital-to-asset ratio, Actual (as a percent) | 5.39% | 6.11% |
Total capital, Required | $ 6,295,660 | $ 4,214,334 |
Total capital, Actual | $ 8,488,246 | $ 6,433,709 |
Leverage ratio, Required (as a percent) | 5% | 5% |
Leverage ratio, Actual (as a percent) | 8.09% | 9.16% |
Leverage capital, Required | $ 7,869,574 | $ 5,267,917 |
Leverage capital, Actual | $ 12,732,369 | $ 9,650,563 |
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 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Anticipated redemption of mandatorily redeemable capital stock | ||||
Redemption less than one year | $ 93 | $ 97 | ||
Redemption from one year to less than three years | 2,387 | 226 | ||
Redemption from three years to less than five years | 952 | 244 | ||
Redemption from five years or greater | 1,146 | 1,392 | ||
Total | $ 4,578 | $ 1,959 | $ 2,991 | $ 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 | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Changes in mandatorily redeemable capital stock liabilities during the period | |||
Beginning balance | $ 1,959 | $ 2,991 | $ 5,129 |
Capital stock subject to mandatory redemption reclassified from equity | 261,629 | 85 | 2,743 |
Redemption of mandatorily redeemable capital stock | (259,010) | (1,117) | (4,881) |
Ending balance | 4,578 | 1,959 | 2,991 |
Accrued interest payable | $ 82 | $ 23 | $ 41 |
Annualized accrual rates for the period (as a percent) | 6.75% | 4.40% | 5.10% |
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% | ||
Minimum percentage of FHLBank's average balance of outstanding consolidated obligations for restricted retained earnings | 1% | ||
Restricted retained earnings | $ 910,855 | $ 827,380 |
Earnings Per Share of Capital_2
Earnings Per Share of Capital. (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Earnings Per Share of Capital. | |||
Number of dilutive potential common shares or other common stock equivalents | 0 | 0 | 0 |
Net income | $ 417,376 | $ 265,521 | $ 442,385 |
Net income available to stockholders | $ 417,376 | $ 265,521 | $ 442,385 |
Weighted average shares of capital (in shares) | 49,916,000 | 48,987,000 | 61,334,000 |
Less: Mandatorily redeemable capital stock (in shares) | (227,000) | (24,000) | (43,000) |
Average number of shares of capital used to calculate earnings per share (in shares) | 49,689,000 | 48,963,000 | 61,291,000 |
Basic earnings per share (in dollars per share) | $ 8.40 | $ 5.42 | $ 7.22 |
Employee Retirement Plans. - Pl
Employee Retirement Plans. - Plan Information and Expenses Summary (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 USD ($) plan | Dec. 31, 2021 USD ($) | Dec. 31, 2020 USD ($) | |
Employee retirement plan expenses | |||
Total retirement plan expenses | $ 23,819 | $ 25,308 | $ 23,448 |
Benefit Equalization Plans (BEP) | |||
Employee retirement plans | |||
Number of plans | plan | 2 | ||
Pentegra Defined Benefit Plan | |||
Employee retirement plan expenses | |||
Total retirement plan expenses | $ 9,400 | 10,000 | 10,000 |
Benefit Equalization Plans (defined benefit and defined contribution (including deferred incentive compensation)) | |||
Employee retirement plan expenses | |||
Total retirement plan expenses | 11,310 | 12,176 | 10,450 |
Pentegra Defined Contribution Plans | |||
Employee retirement plan expenses | |||
Total retirement plan expenses | 2,805 | 2,844 | 2,701 |
Postretirement Health Benefit Plan | |||
Employee retirement plan expenses | |||
Total retirement plan expenses | $ 304 | $ 288 | $ 297 |
Employee Retirement Plans. - Pe
Employee Retirement Plans. - Pentegra DB Plan Net Pension Cost and Funded Status (Details) - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Jul. 01, 2022 | Jul. 01, 2021 | Jul. 01, 2020 | |
Pentegra DB Plan Net Pension Cost and Funded Status | ||||||
Plan Employer Identification Number | 13-6400946 | |||||
Multiemployer plan disclosure | ||||||
Net pension cost charged to compensation and benefit expense | $ 23,819 | $ 25,308 | $ 23,448 | |||
Pentegra Defined Benefit Plan | ||||||
Pentegra DB Plan Net Pension Cost and Funded Status | ||||||
Plan Employer Identification Number | 13-5645888 | |||||
Three-digit plan number | 333 | |||||
Calculation basis of funded status, funding target as a percentage of the present value of all benefit liabilities accrued at that date | 100% | |||||
Maximum contribution period after the asset valuation date for the prior plan year | 8 months 15 days | |||||
Multiemployer plan disclosure | ||||||
Net pension cost charged to compensation and benefit expense | $ 9,400 | 10,000 | 10,000 | |||
Pentegra DB Plan funded status as of July 1 (as a percent) | 118.87% | 129.62% | 108.20% | |||
FHLBNY's funded status as of July 1 (as a percent) | 113.87% | 126.15% | 105.31% | |||
Pentegra Defined Benefit Plan | Plan year ended June 30, 2022 | ||||||
Multiemployer plan disclosure | ||||||
Contributions allocated to plan | $ 9,969 | |||||
Pentegra Defined Benefit Plan | Plan year ended June 30, 2021 | ||||||
Multiemployer plan disclosure | ||||||
Contributions allocated to plan | $ 9,905 | |||||
Pentegra Defined Benefit Plan | Plan year ended June 30, 2020 | ||||||
Multiemployer plan disclosure | ||||||
Contributions allocated to plan | $ 9,863 |
Employee Retirement Plans. - Be
Employee Retirement Plans. - Benefit Equalization Plan (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2023 | |
Components of the net periodic pension cost | ||||
Total retirement plan expenses | $ 23,819 | $ 25,308 | $ 23,448 | |
Other changes in benefit obligations recognized in AOCI | ||||
Prior service cost/(credit) | (155) | |||
Total recognized in other comprehensive loss/(income) | (34,830) | (4,880) | 11,536 | |
Benefit Equalization Plan (BEP) | ||||
Accrued pension costs | ||||
Accumulated benefit obligation | 65,064 | 84,419 | ||
Effect of future salary increases | 5,955 | 14,091 | ||
Projected benefit obligation | 71,019 | 98,510 | 95,278 | |
Unrecognized prior service (cost)/credit | (73) | (281) | ||
Unrecognized net (loss)/gain | (6,835) | (39,269) | ||
Accrued pension cost | 64,111 | 58,960 | ||
Components of the projected benefit obligation | ||||
Projected benefit obligation at the beginning of the year | 98,510 | 95,278 | ||
Actuarial loss/(gain) | (27,551) | 1,579 | ||
Settlements | (2,066) | |||
Plan amendments | 155 | |||
Projected benefit obligation at the end of the year | 71,019 | 98,510 | 95,278 | |
Amounts recognized in AOCI | ||||
Net (gain)/loss | 6,835 | 39,269 | ||
Prior service (credit)/cost | 73 | 281 | ||
Accumulated other comprehensive loss/(gain) | 6,908 | 39,550 | ||
Changes in plan assets | ||||
Employer contributions | 4,994 | 2,775 | ||
Settlements | (2,066) | |||
Benefits paid | (2,928) | (2,775) | ||
Components of the net periodic pension cost | ||||
Service cost | 2,478 | 2,023 | 1,567 | |
Interest cost | $ 2,576 | $ 2,250 | $ 2,348 | |
Defined Benefit Plan, Net Periodic Benefit Cost (Credit), Interest Cost, Statement of Income or Comprehensive Income [Extensible Enumeration] | Labor and Related Expense | Labor and Related Expense | Labor and Related Expense | |
Amortization of unrecognized net loss | $ 4,883 | $ 5,361 | $ 4,561 | |
Defined Benefit Plan, Net Periodic Benefit (Cost) Credit, Amortization of Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Labor and Related Expense | Labor and Related Expense | Labor and Related Expense | |
Amortization of unrecognized past service cost | $ 208 | $ 725 | $ 697 | |
Defined Benefit Plan, Net Periodic Benefit Cost (Credit), Amortization of Prior Service Cost (Credit), Statement of Income or Comprehensive Income [Extensible Enumeration] | Labor and Related Expense | Labor and Related Expense | Labor and Related Expense | |
Net periodic benefit cost/income | $ 10,145 | $ 10,359 | $ 9,173 | |
Other changes in benefit obligations recognized in AOCI | ||||
Net (gain)/loss | (27,551) | 1,579 | ||
Prior service cost/(credit) | 208 | 725 | ||
Amortization of net (loss)/gain | (4,883) | (5,361) | ||
Total recognized in other comprehensive loss/(income) | (32,642) | (4,352) | ||
Total recognized in net periodic benefit cost and other comprehensive income | (22,497) | $ 6,007 | ||
Net transition obligation (asset), prior service cost (credit), and the estimated net loss (gain) that are expected to be amortized from AOCI into net periodic benefit cost over the next fiscal year | ||||
Expected amortization of past service cost/(credit) | $ 55 | |||
Key assumptions and other information for the actuarial calculations to determine benefit obligations for the plan | ||||
Discount rate | 4.96% | 2.66% | 2.26% | |
Salary increases (as a percent) | 4.50% | 4.50% | 4.50% | |
Amortization period (years) | 6 years | 6 years | 6 years | |
Benefits paid during the period | $ (2,928) | $ (2,775) | $ (2,601) | |
Estimated future plan benefits to be paid | ||||
2023 | 3,366 | |||
2024 | 3,610 | |||
2025 | 4,119 | |||
2026 | 4,326 | |||
2027 | 4,718 | |||
2028-2032 | 25,743 | |||
Total | 45,882 | |||
Benefit Equalization Plan (BEP) | Forecast | ||||
Estimated future plan benefits to be paid | ||||
Expected net periodic benefit cost for next fiscal year | $ 5,100 | |||
Benefit Equalization Plans (defined benefit and defined contribution (including deferred incentive compensation)) | ||||
Components of the net periodic pension cost | ||||
Total retirement plan expenses | 11,310 | 12,176 | 10,450 | |
Benefit Equalization Plans - Thrift and Deferred incentive compensation plans (introduced in 2017) | ||||
Components of the net periodic pension cost | ||||
Defined Contribution Plan Cost Recognized Net | $ 1,165 | $ 1,817 | $ 1,277 |
Employee Retirement Plans. - Po
Employee Retirement Plans. - Postretirement Health Benefit Plan Amendment, Discount Rate and Effect of Increase or Decrease in Health Care Cost Trend Rates (Details) - Postretirement Health Benefit Plan | Jan. 01, 2015 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 |
Postretirement Health Benefit Plan, eligibility requirements | ||||
Threshold term of service to be eligible under plan | 10 years | |||
Threshold age to be eligible under plan | 55 years | |||
Assumptions used in determining accumulated benefit obligation | ||||
Discount rate | 5.15% | 2.60% | 2.18% |
Employee Retirement Plans. - _2
Employee Retirement Plans. - Postretirement Health Benefit Plan (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2023 | |
Other changes in benefit obligations recognized in AOCI | |||||
Prior service cost/(credit) | $ (155) | ||||
Total recognized in other comprehensive income | $ (34,830) | (4,880) | $ 11,536 | ||
Postretirement Health Benefit Plan | |||||
Components of the projected benefit obligation | |||||
Accumulated benefit obligation at the beginning of the year | 10,604 | 11,364 | |||
Actuarial (gain)/loss | (2,188) | (528) | |||
Plan participant contributions | 241 | 241 | |||
Actual benefits paid | (682) | (807) | |||
Retiree drug subsidy reimbursement | 41 | 46 | |||
Accumulated benefit obligation at the end of the year | 8,320 | 10,604 | 11,364 | ||
Changes in plan assets | |||||
Employer contributions | 441 | 566 | |||
Plan participant contributions | 241 | 241 | |||
Actual benefits paid | (682) | (807) | |||
Amounts recognized in AOCI | |||||
Net (gain)/loss | (3,089) | (901) | |||
Accumulated other comprehensive loss/(gain) | (3,089) | (901) | |||
Components of the net periodic pension cost | |||||
Service cost (benefits attributed to service during the period) | 31 | 46 | 58 | ||
Interest cost on accumulated postretirement health benefit obligation | $ 273 | $ 242 | $ 320 | ||
Defined Benefit Plan, Net Periodic Benefit Cost (Credit), Interest Cost, Statement of Income or Comprehensive Income [Extensible Enumeration] | Labor and Related Expense | Labor and Related Expense | Labor and Related Expense | ||
Amortization of (gain)/loss | $ (81) | ||||
Defined Benefit Plan, Net Periodic Benefit (Cost) Credit, Amortization of Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Labor and Related Expense | Labor and Related Expense | Labor and Related Expense | ||
Net periodic postretirement health benefit expense/(income) | $ 304 | $ 288 | $ 297 | ||
Other changes in benefit obligations recognized in AOCI | |||||
Net (gain)/loss | (2,188) | (528) | |||
Total recognized in other comprehensive income | (2,188) | (528) | |||
Total recognized in net periodic benefit cost and other comprehensive income | $ (1,884) | $ (240) | |||
Key assumptions and other information for the actuarial calculations to determine benefit obligations for the plan | |||||
Discount rate | 5.15% | 2.60% | 2.18% | ||
Estimated future benefit plan expenses to be paid | |||||
2023 | $ 737 | ||||
2024 | 720 | ||||
2025 | 694 | ||||
2026 | 704 | ||||
2027 | 690 | ||||
2028-2032 | 3,288 | ||||
Total | $ 6,833 | ||||
Postretirement Health Benefit Plan | Pre 65 | |||||
Health care cost trend rates | |||||
Assumed for next year (as a percent) | 6.80% | 6.20% | 6.50% | ||
Ultimate rate (as a percent) | 4.50% | 4.50% | 4.50% | ||
Year that ultimate rate is reached | 2033 | 2031 | 2028 | ||
Postretirement Health Benefit Plan | Post 65 | |||||
Health care cost trend rates | |||||
Assumed for next year (as a percent) | 5.40% | 5.20% | 4.95% | ||
Ultimate rate (as a percent) | 4.50% | 4.50% | 4.50% | ||
Year that ultimate rate is reached | 2033 | 2031 | 2028 | ||
Postretirement Health Benefit Plan | Forecast | |||||
Estimated future benefit plan expenses to be paid | |||||
Expected benefit plan accrual for next fiscal year | $ 1,000 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities. - Derivative Notionals (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Hedging activities | ||
Notional amount of derivatives | $ 174,042,558 | $ 94,999,176 |
Interest rate swaps | ||
Hedging activities | ||
Notional amount of derivatives | 173,232,721 | 94,190,603 |
Interest rate caps | ||
Hedging activities | ||
Notional amount of derivatives | 800,000 | 800,000 |
Mortgage delivery commitments | ||
Hedging activities | ||
Notional amount of derivatives | 9,837 | 8,573 |
Interest rate contracts | ||
Hedging activities | ||
Notional amount of derivatives | $ 174,042,558 | $ 94,999,176 |
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 | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Derivative instruments - Nettable | ||
Derivative fair values | $ 2,217,663 | $ 497,120 |
Gross amounts of netting adjustments and cash collateral | (2,053,779) | (199,630) |
Net amounts after offsetting adjustments and cash collateral | 163,884 | 297,490 |
Derivative assets and liabilities | ||
Total derivative assets and total derivative liabilities presented in the Statements of Condition | 163,921 | 297,504 |
Non-cash collateral received or pledged | ||
Security collateral pledged as initial margin to Derivative Clearing Organization | 576,756 | 367,110 |
Uncleared derivatives securities received as Variation Margin | (108,761) | (115,833) |
Total net amount of non-cash collateral received or repledged | 467,995 | 251,277 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 631,916 | 548,781 |
Derivative instruments - Nettable | ||
Derivative fair values | 3,614,086 | 1,016,423 |
Gross amount of netting adjustments and cash collateral | (3,598,789) | (979,916) |
Net amounts after offsetting adjustments and cash collateral | 15,297 | 36,507 |
Derivative assets and liabilities | ||
Total derivative assets and total derivative liabilities presented in the Statements of Condition | 15,333 | 36,512 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 15,333 | 36,512 |
Cash collateral received | 14,020 | 7,300 |
Cash collateral posted | 1,559,030 | 787,586 |
Cash paid (posted) as variation margin | 0 | 7,800 |
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 | 60 days | |
Uncleared derivatives | ||
Derivative instruments - Nettable | ||
Derivative fair values | $ 683,389 | 203,797 |
Gross amounts of netting adjustments and cash collateral | (550,878) | (77,045) |
Net amounts after offsetting adjustments and cash collateral | 132,511 | 126,752 |
Derivative instruments - Not Nettable | ||
Derivative instruments - not nettable | 37 | 14 |
Derivative assets and liabilities | ||
Total derivative assets and total derivative liabilities presented in the Statements of Condition | 132,548 | 126,766 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 23,787 | 10,933 |
Derivative instruments - Nettable | ||
Derivative fair values | 2,110,074 | 719,892 |
Gross amount of netting adjustments and cash collateral | (2,095,888) | (683,385) |
Net amounts after offsetting adjustments and cash collateral | 14,186 | 36,507 |
Derivative instruments - Not Nettable | ||
Derivative instruments - not nettable | 36 | 5 |
Derivative assets and liabilities | ||
Total derivative assets and total derivative liabilities presented in the Statements of Condition | 14,222 | 36,512 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 14,222 | 36,512 |
Uncleared - cannot be sold or repledged | ||
Non-cash collateral received or pledged | ||
Uncleared derivatives securities received as Variation Margin | (108,761) | (115,833) |
Cleared derivatives | ||
Derivative instruments - Nettable | ||
Derivative fair values | 1,534,274 | 293,323 |
Gross amounts of netting adjustments and cash collateral | (1,502,901) | (122,585) |
Net amounts after offsetting adjustments and cash collateral | 31,373 | 170,738 |
Derivative assets and liabilities | ||
Total derivative assets and total derivative liabilities presented in the Statements of Condition | 31,373 | 170,738 |
Net unsecured amount | ||
Total net exposure cash and non-cash | 608,129 | 537,848 |
Derivative instruments - Nettable | ||
Derivative fair values | 1,504,012 | 296,531 |
Gross amount of netting adjustments and cash collateral | (1,502,901) | (296,531) |
Net amounts after offsetting adjustments and cash collateral | 1,111 | |
Derivative assets and liabilities | ||
Total derivative assets and total derivative liabilities presented in the Statements of Condition | 1,111 | |
Net unsecured amount | ||
Total net exposure cash and non-cash | 1,111 | |
Cleared - can be sold or repledged | ||
Non-cash collateral received or pledged | ||
Security collateral pledged as initial margin to Derivative Clearing Organization | $ 576,756 | $ 367,110 |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities. - Outstanding Notional Balances and Estimated Fair Values of Derivatives Outstanding (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional amount of derivatives | $ 174,042,558 | $ 94,999,176 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 2,217,700 | 497,134 |
Netting adjustments | (2,039,759) | (192,330) |
Cash collateral and related accrued interest | (14,020) | (7,300) |
Total netting adjustments and cash collateral | (2,053,779) | (199,630) |
Total derivative assets and total derivative liabilities presented in the Statements of Condition | 163,921 | 297,504 |
Security collateral pledged as initial margin to Derivative Clearing Organization | 576,756 | 367,110 |
Security collateral received from counterparty | (108,761) | (115,833) |
Net security | 467,995 | 251,277 |
Net exposure | 631,916 | 548,781 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 3,614,122 | 1,016,428 |
Netting adjustments | (2,039,759) | (192,330) |
Cash collateral and related accrued interest | (1,559,030) | (787,586) |
Total netting adjustments and cash collateral | (3,598,789) | (979,916) |
Total derivative assets and total derivative liabilities presented in the Statements of Condition | 15,333 | 36,512 |
Interest rate swaps | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional amount of derivatives | 173,232,721 | 94,190,603 |
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 | 9,837 | 8,573 |
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 | 123,913,433 | 77,159,117 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 1,090,359 | 469,953 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 2,745,983 | 990,925 |
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 | 123,913,433 | 77,159,117 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 1,090,359 | 469,953 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 2,745,983 | 990,925 |
Derivatives not designated as hedging instruments | ||
Summary of outstanding notional balances and estimated fair values of derivatives outstanding | ||
Notional amount of derivatives | 50,129,125 | 17,840,059 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 1,127,341 | 27,181 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 868,139 | 25,503 |
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 | 49,253,288 | 16,873,486 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 1,126,638 | 23,014 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 866,175 | 24,627 |
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 | 431 | 136 |
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 | 9,837 | 8,573 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 37 | 14 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | 36 | 5 |
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 | 66,000 | 158,000 |
Derivative Assets | ||
Total derivatives before netting and collateral adjustment | 235 | 4,017 |
Derivative Liabilities | ||
Total derivatives before netting and collateral adjustment | $ 1,928 | $ 871 |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities. - Summary of the gains (losses) on the FHLBNY's fair value hedges (Details) - Interest Rate Contract [Member] - Fair Value Hedging [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Gains and losses from derivatives and hedging activities | |||
Gains (losses) on derivatives in designated and qualifying fair value hedges: | $ 403,405 | $ 620,234 | $ (978,281) |
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Gain (Loss) on Derivative Instruments, Net, Pretax | Gain (Loss) on Derivative Instruments, Net, Pretax | Gain (Loss) on Derivative Instruments, Net, Pretax |
Interest Income | |||
Gains and losses from derivatives and hedging activities | |||
Gains (losses) on hedged item in designated and qualifying fair value hedges: | $ 977,118 | ||
Interest Expense | |||
Gains and losses from derivatives and hedging activities | |||
Gains (losses) on hedged item in designated and qualifying fair value hedges: | $ (366,585) | $ (613,272) |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities. - Cumulative hedge basis adjustments (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Hedged Assets | ||
Carrying Amount of Hedged Assets | $ 46,070,072 | $ 40,624,194 |
Hedged Assets | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Assets | (2,210,017) | 290,390 |
Hedged Assets | Discontinued Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Assets | 18 | 339 |
Hedged Advances | ||
Carrying Amount of Hedged Assets | 42,378,681 | 37,731,410 |
Hedged Advances | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Assets | (1,634,913) | 321,057 |
Hedged Advances | Discontinued Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Assets | 18 | 339 |
Par amounts of de-designated advances | 500,000 | 100,000 |
Hedged AFS debt securities | ||
Carrying Amount of Hedged Assets | 3,691,391 | 2,892,784 |
Hedged AFS debt securities | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Assets | (575,104) | (30,667) |
Hedged Liabilities | ||
Carrying Amount of Hedged Liabilities | 84,556,396 | 33,483,032 |
Hedged Liabilities | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Liabilities | 2,054,216 | (76,624) |
Hedged Liabilities | Discontinued Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Liabilities | (114,089) | (125,091) |
Hedged Consolidated obligation bonds | ||
Carrying Amount of Hedged Liabilities | 36,962,293 | 30,158,015 |
Hedged Consolidated obligation bonds | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Liabilities | 2,015,128 | (77,048) |
Hedged Consolidated obligation bonds | Discontinued Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Liabilities | (114,430) | (125,091) |
Par amounts of de-designated bonds | 1,700,000 | 1,400,000 |
Hedged consolidated obligation discount notes | ||
Carrying Amount of Hedged Liabilities | 47,594,103 | 3,325,017 |
Hedged consolidated obligation discount notes | Active Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Liabilities | 39,088 | $ 424 |
Hedged consolidated obligation discount notes | Discontinued Hedging Relationship | ||
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Liabilities | 341 | |
Par amounts of de-designated CO discount notes | $ 1,500,000 |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities. - Changes in AOCI from cash flow hedges (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 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 | $ (600) | ||
Cash Flow Hedging [Member] | Interest Rate Contract [Member] | |||
Amount of gains (losses) reclassified from AOCI to earnings: | |||
Amounts Recorded in OCI | 202,509 | $ 104,194 | $ (114,040) |
Total Change in OCI for Period | 203,699 | 105,705 | (112,688) |
Cash Flow Hedging [Member] | Interest Rate Contract [Member] | Interest Expense | |||
Amount of gains (losses) reclassified from AOCI to earnings: | |||
Amount Reclassified from AOCI to Earnings | (1,190) | $ (1,511) | $ (1,352) |
Cash Flow Hedges | |||
Interest rate cash flow hedges | |||
Amounts reclassified into earnings due to discontinuation of cash flow hedges | $ 0 |
Derivatives and Hedging Activ_9
Derivatives and Hedging Activities. - Economic Hedges (Details) - Not Designated As Hedging Instrument Economic Hedge [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Gains and losses from derivatives and hedging activities | |||
Total gains (losses) on derivatives in designated economic hedges | $ 181,959 | $ 4,424 | $ (151,709) |
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Gain (Loss) on Derivative Instruments, Net, Pretax | Gain (Loss) on Derivative Instruments, Net, Pretax | Gain (Loss) on Derivative Instruments, Net, Pretax |
Interest Rate Contract [Member] | |||
Gains and losses from derivatives and hedging activities | |||
Total gains (losses) on derivatives in designated economic hedges | $ 183,069 | $ 4,755 | $ (153,396) |
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Gain (Loss) on Derivative Instruments, Net, Pretax | Gain (Loss) on Derivative Instruments, Net, Pretax | Gain (Loss) on Derivative Instruments, Net, Pretax |
Interest Rate Cap [Member] | |||
Gains and losses from derivatives and hedging activities | |||
Total gains (losses) on derivatives in designated economic hedges | $ 294 | $ 93 | $ (6) |
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Gain (Loss) on Derivative Instruments, Net, Pretax | Gain (Loss) on Derivative Instruments, Net, Pretax | Gain (Loss) on Derivative Instruments, Net, Pretax |
Mortgage delivery commitments | |||
Gains and losses from derivatives and hedging activities | |||
Total gains (losses) on derivatives in designated economic hedges | $ (1,404) | $ (424) | $ 1,693 |
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Gain (Loss) on Derivative Instruments, Net, Pretax | Gain (Loss) on Derivative Instruments, Net, Pretax | Gain (Loss) on Derivative Instruments, Net, Pretax |
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 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Assets | ||||
Cash and due from banks | $ 27,420 | $ 21,653 | ||
Interest-bearing deposits | 1,750,000 | 675,000 | ||
Securities purchased under agreements to resell | 4,245,000 | 1,200,000 | ||
Federal funds sold | 9,470,000 | 7,230,000 | ||
Trading securities | 7,113,419 | 5,821,380 | ||
Equity Investments | 81,754 | 96,124 | ||
Available-for-sale securities | 7,088,870 | 6,547,421 | ||
Held-to-maturity securities | 8,919,205 | 9,684,274 | ||
Advances | 115,292,876 | 71,536,402 | ||
Accrued interest receivable | 437,823 | 123,258 | ||
Derivative assets | 163,921 | 297,504 | ||
Derivative assets, before netting and cash collateral | 2,217,700 | 497,134 | ||
Netting Adjustment and Cash Collateral | (2,053,779) | (199,630) | ||
Liabilities | ||||
Consolidated obligations - Bonds | 85,497,755 | 54,829,401 | ||
Consolidated obligations - Discount notes | 61,792,989 | 42,197,259 | ||
Mandatorily redeemable capital stock | 4,578 | 1,959 | $ 2,991 | $ 5,129 |
Accrued interest payable | 370,456 | 126,990 | ||
Derivative liabilities | 15,333 | 36,512 | ||
Derivative liabilities, before netting and cash collateral | 3,614,122 | 1,016,428 | ||
Netting Adjustment and Cash Collateral | (3,598,789) | (979,916) | ||
Carrying Value | ||||
Assets | ||||
Cash and due from banks | 27,420 | 21,653 | ||
Interest-bearing deposits | 1,750,000 | 675,000 | ||
Securities purchased under agreements to resell | 4,245,000 | 1,200,000 | ||
Federal funds sold | 9,470,000 | 7,230,000 | ||
Trading securities | 7,113,419 | 5,821,380 | ||
Equity Investments | 81,754 | 96,124 | ||
Available-for-sale securities | 7,088,870 | 6,547,421 | ||
Held-to-maturity securities | 9,354,048 | 9,328,665 | ||
Advances | 115,292,876 | 71,536,402 | ||
Mortgage loans held-for-portfolio, net | 2,106,969 | 2,319,864 | ||
Accrued interest receivable | 437,823 | 123,258 | ||
Derivative assets | 163,921 | 297,504 | ||
Other financial assets | 357 | |||
Liabilities | ||||
Deposits | 1,026,937 | 1,321,238 | ||
Consolidated obligations - Bonds | 85,497,755 | 54,829,401 | ||
Consolidated obligations - Discount notes | 61,792,989 | 42,197,259 | ||
Mandatorily redeemable capital stock | 4,578 | 1,959 | ||
Accrued interest payable | 370,456 | 126,990 | ||
Derivative liabilities | 15,333 | 36,512 | ||
Other financial liabilities | 30,368 | |||
Estimated Fair Value | ||||
Assets | ||||
Cash and due from banks | 27,420 | 21,653 | ||
Interest-bearing deposits | 1,750,017 | 675,003 | ||
Securities purchased under agreements to resell | 4,245,019 | 1,200,000 | ||
Federal funds sold | 9,470,068 | 7,230,014 | ||
Trading securities | 7,113,419 | 5,821,380 | ||
Equity Investments | 81,754 | 96,124 | ||
Available-for-sale securities | 7,088,870 | 6,547,421 | ||
Held-to-maturity securities | 8,919,205 | 9,684,274 | ||
Advances | 115,195,748 | 71,595,785 | ||
Mortgage loans held-for-portfolio, net | 1,836,785 | 2,369,769 | ||
Accrued interest receivable | 437,823 | 123,258 | ||
Derivative assets | 163,921 | 297,504 | ||
Other financial assets | 357 | |||
Liabilities | ||||
Deposits | 1,026,925 | 1,321,241 | ||
Consolidated obligations - Bonds | 84,409,975 | 55,104,747 | ||
Consolidated obligations - Discount notes | 61,799,962 | 42,196,648 | ||
Mandatorily redeemable capital stock | 4,578 | 1,959 | ||
Accrued interest payable | 370,456 | 126,990 | ||
Derivative liabilities | 15,333 | 36,512 | ||
Other financial liabilities | 30,368 | |||
Estimated Fair Value | Level 1 | ||||
Assets | ||||
Cash and due from banks | 27,420 | 21,653 | ||
Trading securities | 7,113,419 | 5,821,380 | ||
Equity Investments | 81,754 | 96,124 | ||
Liabilities | ||||
Mandatorily redeemable capital stock | 4,578 | 1,959 | ||
Other financial liabilities | 30,368 | |||
Estimated Fair Value | Level 2 | ||||
Assets | ||||
Interest-bearing deposits | 1,750,017 | 675,003 | ||
Securities purchased under agreements to resell | 4,245,019 | 1,200,000 | ||
Federal funds sold | 9,470,068 | 7,230,014 | ||
Available-for-sale securities | 5,979,841 | 5,548,784 | ||
Held-to-maturity securities | 8,703,941 | 9,445,219 | ||
Advances | 115,195,748 | 71,595,785 | ||
Mortgage loans held-for-portfolio, net | 1,836,785 | 2,369,769 | ||
Accrued interest receivable | 437,823 | 123,258 | ||
Derivative assets, before netting and cash collateral | 2,217,700 | 497,134 | ||
Liabilities | ||||
Deposits | 1,026,925 | 1,321,241 | ||
Consolidated obligations - Bonds | 84,409,975 | 55,104,747 | ||
Consolidated obligations - Discount notes | 61,799,962 | 42,196,648 | ||
Accrued interest payable | 370,456 | 126,990 | ||
Derivative liabilities, before netting and cash collateral | 3,614,122 | 1,016,428 | ||
Estimated Fair Value | Level 3 | ||||
Assets | ||||
Available-for-sale securities | 1,109,029 | 998,637 | ||
Held-to-maturity securities | $ 215,264 | 239,055 | ||
Other financial assets | $ 357 |
Fair Values of Financial Inst_4
Fair Values of Financial Instruments. - Fair Value Hierarchy Transfers, Valuation Techniques and Primary Inputs (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 USD ($) item | Dec. 31, 2021 USD ($) item | Dec. 31, 2020 USD ($) | |
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 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Assets | ||||
Trading securities | $ 7,113,419 | $ 5,821,380 | ||
Equity Investments | 81,754 | 96,124 | ||
Available-for-sale securities | 7,088,870 | 6,547,421 | ||
Derivative assets | 163,884 | 297,490 | ||
Netting Adjustment and Cash Collateral | (2,053,779) | (199,630) | ||
Liabilities | ||||
Derivative liabilities | (15,297) | (36,507) | ||
Netting Adjustment and Cash Collateral | 3,598,789 | 979,916 | ||
State and local housing finance agency obligations. | ||||
Assets | ||||
Available-for-sale securities | 1,109,029 | 998,637 | ||
U.S. Treasury notes | ||||
Assets | ||||
Trading securities | 7,113,419 | 5,821,380 | ||
Mortgage-backed securities (MBS) | ||||
Assets | ||||
Available-for-sale securities | 5,979,841 | 5,548,784 | ||
Consolidated obligation - discount notes, fair value option | ||||
Liabilities | ||||
Consolidated obligations | 0 | 0 | $ 7,133,755 | $ 2,186,603 |
Consolidated obligation - bonds, fair value option | ||||
Liabilities | ||||
Consolidated obligations | 4,159,862 | 7,386,074 | $ 16,580,464 | $ 12,134,043 |
Measured on a recurring basis | ||||
Assets | ||||
Equity Investments | 81,754 | 96,124 | ||
Netting Adjustment and Cash Collateral | (2,053,779) | (199,630) | ||
Total recurring fair value measurement - Assets | 14,447,964 | 12,762,429 | ||
Liabilities | ||||
Netting Adjustment and Cash Collateral | 3,598,789 | 979,916 | ||
Total recurring fair value measurement - Liabilities | (4,175,195) | (7,422,586) | ||
Measured on a recurring basis | Interest Rate Contract [Member] | ||||
Assets | ||||
Derivative assets | 163,884 | 297,490 | ||
Netting Adjustment and Cash Collateral | (2,053,779) | (199,630) | ||
Liabilities | ||||
Derivative liabilities | (15,297) | (36,507) | ||
Netting Adjustment and Cash Collateral | 3,598,789 | 979,916 | ||
Measured on a recurring basis | Mortgage delivery commitments | ||||
Assets | ||||
Derivative assets | 37 | 14 | ||
Liabilities | ||||
Derivative liabilities | (36) | (5) | ||
Measured on a recurring basis | MBS-GSE | ||||
Assets | ||||
Available-for-sale securities | 5,979,841 | 5,548,784 | ||
Measured on a recurring basis | State and local housing finance agency obligations. | ||||
Assets | ||||
Available-for-sale securities | 1,109,029 | 998,637 | ||
Measured on a recurring basis | U.S. Treasury notes | ||||
Assets | ||||
Trading securities | 7,113,419 | 5,821,380 | ||
Measured on a recurring basis | Consolidated obligation - bonds, fair value option | ||||
Liabilities | ||||
Consolidated obligations | 4,159,862 | 7,386,074 | ||
Measured on a recurring basis | Level 1 | ||||
Assets | ||||
Equity Investments | 81,754 | 96,124 | ||
Total recurring fair value measurement - Assets | 7,195,173 | 5,917,504 | ||
Measured on a recurring basis | Level 1 | U.S. Treasury notes | ||||
Assets | ||||
Trading securities | 7,113,419 | 5,821,380 | ||
Measured on a recurring basis | Level 2 | ||||
Assets | ||||
Total recurring fair value measurement - Assets | 8,197,541 | 6,045,918 | ||
Liabilities | ||||
Total recurring fair value measurement - Liabilities | (7,773,984) | (8,402,502) | ||
Measured on a recurring basis | Level 2 | Interest Rate Contract [Member] | ||||
Assets | ||||
Derivative assets | 2,217,663 | 497,120 | ||
Liabilities | ||||
Derivative liabilities | (3,614,086) | (1,016,423) | ||
Measured on a recurring basis | Level 2 | Mortgage delivery commitments | ||||
Assets | ||||
Derivative assets | 37 | 14 | ||
Liabilities | ||||
Derivative liabilities | (36) | (5) | ||
Measured on a recurring basis | Level 2 | MBS-GSE | ||||
Assets | ||||
Available-for-sale securities | 5,979,841 | 5,548,784 | ||
Measured on a recurring basis | Level 2 | Consolidated obligation - bonds, fair value option | ||||
Liabilities | ||||
Consolidated obligations | 4,159,862 | 7,386,074 | ||
Measured on a recurring basis | Level 3 | ||||
Assets | ||||
Total recurring fair value measurement - Assets | 1,109,029 | 998,637 | ||
Measured on a recurring basis | Level 3 | State and local housing finance agency obligations. | ||||
Assets | ||||
Available-for-sale securities | $ 1,109,029 | $ 998,637 |
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 | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Schedule of Available-for-sale Securities [Line Items] | ||
Balance, beginning of the period | $ 998,637 | |
Transfer of securities from held-to-maturity to available-for-sale | $ 902,719 | |
Provisions for credit losses | 586 | |
Total gains (losses) included in other comprehensive income Net unrealized gains (losses) | $ (878) | $ 117 |
Fair Value, Asset, Recurring Basis, Unobservable Input Reconciliation, Asset, Gain (Loss), Statement of Other Comprehensive Income or Comprehensive Income [Extensible Enumeration] | Other Comprehensive Income (Loss), Available-for-sale Securities Adjustment, before Tax, Portion Attributable to Parent | Other Comprehensive Income (Loss), Available-for-sale Securities Adjustment, before Tax, Portion Attributable to Parent |
Purchases | $ 308,000 | $ 100,000 |
Settlements | (196,730) | (4,785) |
Balance, end of the period | $ 1,109,029 | $ 998,637 |
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 | Dec. 31, 2022 | Dec. 31, 2021 |
Assets recorded at fair value on a non-recurring basis | ||
Real estate owned | $ 315 | |
Total non-recurring assets at fair value | $ 0 | 972 |
Past due 180 days or more | ||
Assets recorded at fair value on a non-recurring basis | ||
Mortgage loans held-for-portfolio | 657 | |
Level 2 | ||
Assets recorded at fair value on a non-recurring basis | ||
Total non-recurring assets at fair value | 657 | |
Level 2 | Past due 180 days or more | ||
Assets recorded at fair value on a non-recurring basis | ||
Mortgage loans held-for-portfolio | 657 | |
Level 3 | ||
Assets recorded at fair value on a non-recurring basis | ||
Real estate owned | 315 | |
Total non-recurring assets at fair value | $ 315 |
Fair Values of Financial Inst_8
Fair Values of Financial Instruments. - Fair Value Option (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | 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 | $ 206,998 | $ 22,471 | $ 123 |
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 | 206,998 | 22,471 | 123 |
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 | |
Activity related to financial instruments for which the Bank elected the fair value option | |||
Balance, beginning of the period | 0 | 0 | |
Balance, end of the period | 0 | 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 | |||
Aggregate Fair Value | 0 | 0 | 0 |
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | 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 | 206,998 | 22,471 | 123 |
Balance, end of the period | (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 | (56,533) | (20,708) | (115,151) |
Net gains (losses) on financial instruments held under fair value option | 206,998 | 22,471 | 123 |
Total Change in Fair Value Included in Current Period Earnings | 150,465 | 1,763 | (115,028) |
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 | 23,693,211 | ||
Aggregate Fair Value | 23,714,219 | ||
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | 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 | (7,386,074) | (16,580,464) | (12,134,043) |
New transactions elected for fair value option | (2,636,405) | (16,802,560) | (19,375,000) |
Maturities and terminations | 5,665,000 | 25,975,000 | 14,867,000 |
Net gains (losses) on financial instruments held under fair value option | 206,998 | 20,444 | 2,069 |
Change in accrued interest/ unaccreted balance | (9,381) | 1,506 | 59,510 |
Balance, end of the period | (4,159,862) | (7,386,074) | (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 | (56,533) | (16,869) | (55,088) |
Net gains (losses) on financial instruments held under fair value option | 206,998 | 20,444 | 2,069 |
Total Change in Fair Value Included in Current Period Earnings | 150,465 | 3,575 | (53,019) |
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 | 4,373,965 | 7,402,560 | 16,575,000 |
Aggregate Fair Value | 4,159,862 | 7,386,074 | 16,580,464 |
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | (214,103) | (16,486) | 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 | 0 | (7,133,755) | (2,186,603) |
New transactions elected for fair value option | (1,249,392) | (23,818,753) | |
Maturities and terminations | 8,367,602 | 18,883,387 | |
Net gains (losses) on financial instruments held under fair value option | 2,027 | (1,946) | |
Change in accrued interest/ unaccreted balance | 13,518 | (9,840) | |
Balance, end of the period | 0 | 0 | (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 | (3,839) | (60,063) | |
Net gains (losses) on financial instruments held under fair value option | 2,027 | (1,946) | |
Total Change in Fair Value Included in Current Period Earnings | (1,812) | (62,009) | |
Comparison of aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected | |||
Aggregate Unpaid Principal Balance | 7,118,211 | ||
Aggregate Fair Value | 0 | 0 | 7,133,755 |
Fair Value Over/(Under) Aggregate Unpaid Principal Balance | $ 0 | $ 0 | $ 15,544 |
Commitments and Contingencies_2
Commitments and Contingencies. - Consolidated obligations (Details) - Obligations subject to joint and several liability - All other FHLBanks $ in Trillions | 12 Months Ended | |
Dec. 31, 2022 USD ($) Institution | Dec. 31, 2021 USD ($) | |
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 | $ | $ 1.2 | $ 0.7 |
Commitments and Contingencies_3
Commitments and Contingencies. - Affordable Housing Program (Details) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 USD ($) Institution | Dec. 31, 2021 USD ($) | Dec. 31, 2020 USD ($) | |
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 | Dec. 31, 2022 USD ($) |
Contractual obligations and commitments | |
Total | $ 168,749,307 |
Contractual Obligations | |
Contractual obligations and commitments | |
Total | 150,033,655 |
Consolidated obligation bonds | |
Contractual obligations and commitments | |
Total | 87,515,420 |
Consolidated obligation discount notes | |
Contractual obligations and commitments | |
Total | 62,295,735 |
Mandatorily redeemable capital stock | |
Contractual obligations and commitments | |
Total | 4,578 |
Lease obligations | Premises | |
Contractual obligations and commitments | |
Total | 85,660 |
Lease obligations | Remote backup site | |
Contractual obligations and commitments | |
Total | 902 |
Other liabilities | |
Contractual obligations and commitments | |
Total | 131,360 |
Other commitments | |
Contractual obligations and commitments | |
Total | 18,715,652 |
Standby letters of credit | |
Contractual obligations and commitments | |
Total | 18,318,415 |
Consolidated obligation bonds/discount notes traded not settled | |
Contractual obligations and commitments | |
Total | 375,000 |
Pentegra Defined Benefit Plan | |
Contractual obligations and commitments | |
Total | 12,400 |
Open delivery commitments (MAP) | |
Contractual obligations and commitments | |
Total | $ 9,837 |
Commitments and Contingencies_5
Commitments and Contingencies. - Operating Lease (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Assets and Liabilities | ||
Right-of-use assets | $ 60,338 | $ 65,624 |
Lease Liabilities | 73,304 | 79,026 |
Lease Expense and operating cash flows | ||
Operating Lease Expense | 7,809 | 7,809 |
Operating cash flows - Cash Paid | $ 8,246 | $ 8,148 |
Weighted Average Discount Rate | 3.31% | 3.30% |
Weighted Average Remaining Lease Term | 10 years 1 month 17 days | 11 years 21 days |
Operating lease liabilities | ||
Year 1 | $ 8,615 | $ 8,246 |
Year 2 | 8,297 | 8,615 |
Year 3 | 8,088 | 8,297 |
Year 4 | 8,142 | 8,088 |
Year 5 | 8,246 | 8,142 |
Year 6 | 8,246 | |
After Year 5 | 45,410 | |
After Year 6 | 45,410 | |
Total undiscounted lease payments | 86,798 | 95,044 |
Imputed interest | (13,494) | (16,018) |
Total operating lease liabilities | $ 73,304 | $ 79,026 |
Maximum | ||
Assets and Liabilities | ||
Operating lease term of contract (in years) | 15 years | 15 years |
Related Party Transactions. - S
Related Party Transactions. - Summary of Activity and Outstanding Balances with Related Parties (Details) - USD ($) $ in Thousands | 1 Months Ended | 12 Months Ended | ||||
Feb. 28, 2021 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | 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 | |||
Mortgage-backed securities acquired by FHLBNY from another FHLBank | 0 | 0 | 0 | |||
Notional amounts outstanding | 174,042,558 | 94,999,176 | ||||
Average overnight loans extended to other FHLBanks | $ 13,700 | 800 | ||||
Borrowing period from other FHLBanks | 1 day | |||||
Borrowings from other FHLBanks | $ 3,000,000 | 0 | ||||
Average borrowings from other FHLBanks | 24,700 | |||||
Estimated annual lease receipts | 100 | |||||
Compensating cash balance | 0 | 0 | ||||
Assets | ||||||
Advances | 115,292,876 | 71,536,402 | ||||
Accrued interest receivable | 437,823 | 123,258 | ||||
Liabilities and capital | ||||||
Deposits | 1,026,937 | 1,321,238 | ||||
Mandatorily redeemable capital stock | 4,578 | 1,959 | 2,991 | $ 5,129 | ||
Accrued interest payable | 370,456 | 126,990 | ||||
Affordable Housing Program | 131,394 | 137,638 | 148,827 | 153,894 | ||
Other liabilities | 131,360 | 182,466 | ||||
Total capital | 8,347,383 | 6,445,853 | 7,256,699 | [1] | $ 7,531,895 | |
FHLBank of Chicago | MPF program services | ||||||
Related Party Transactions | ||||||
Purchases of mortgage loans, cumulative participations by other Federal Home Loan Banks | 3,800 | 4,600 | ||||
Fees paid | 1,300 | 1,800 | $ 2,600 | |||
Smaller members | Swaps [Member] | ||||||
Related Party Transactions | ||||||
Notional amounts outstanding | 33,000 | 79,000 | ||||
Related Party | ||||||
Assets | ||||||
Advances | 115,292,876 | 71,536,402 | ||||
Accrued interest receivable | 352,578 | 69,852 | ||||
Liabilities and capital | ||||||
Deposits | 1,026,937 | 1,321,238 | ||||
Mandatorily redeemable capital stock | 4,578 | 1,959 | ||||
Accrued interest payable | 82 | 23 | ||||
Affordable Housing Program | 131,394 | 137,638 | ||||
Other liabilities | 30,368 | |||||
Total capital | 8,347,383 | 6,445,853 | ||||
Citibank, N.A. | ||||||
Related Party Transactions | ||||||
Compensating cash balance | $ 0 | $ 0 | ||||
[1] Adjustments include a cumulative-effect adjustment to retained earnings of $3.8 million at the adoption of ASU 2016-13 on January 1, 2020. |
Related Party Transactions. -_2
Related Party Transactions. - Summary of Income and Expense Transactions with Related Parties (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Interest income | |||
Advances | $ 1,915,358 | $ 483,216 | $ 1,166,745 |
Interest-bearing deposits | 51,848 | 1,202 | 3,615 |
Loans to other FHLBanks | 228 | 1 | 33 |
Interest expense | |||
Deposits | 13,765 | 380 | 3,768 |
Mandatorily redeemable capital stock | 1,278 | 109 | 235 |
Cash collateral held and other borrowings | 1,253 | 44 | 128 |
Service fees and other | 17,336 | 17,304 | 17,924 |
Related Party | |||
Interest income | |||
Advances | 1,915,358 | 483,216 | 1,166,745 |
Interest-bearing deposits | 4 | 1 | |
Loans to other FHLBanks | 228 | 1 | 33 |
Interest expense | |||
Deposits | 13,765 | 380 | 3,768 |
Mandatorily redeemable capital stock | 1,278 | 109 | 235 |
Cash collateral held and other borrowings | 958 | ||
Service fees and other | $ 16,818 | $ 17,470 | $ 18,207 |
Segment Information and Conce_3
Segment Information and Concentration. - Top Ten Advance Holders and Associated Interest Income (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 USD ($) Institution | Dec. 31, 2021 USD ($) Institution | Dec. 31, 2020 USD ($) Institution | |
Segment Information and Concentration | |||
Large member withdrawals which could significantly decrease assets, capital or business, minimum number | Institution | 1 | ||
Advances | |||
Par Advances | $ 116,929,854 | $ 71,215,166 | |
Interest Income | $ 1,915,358 | $ 483,216 | $ 1,166,745 |
Par Value of Advances | Credit concentration risk | Top ten advance holders | |||
Advances | |||
Number of top advance holders reported for segment reporting | Institution | 10 | 10 | 10 |
Par Advances | $ 88,854,151 | $ 56,549,660 | $ 70,730,505 |
Percentage of Total | 75.99% | 79.41% | 77.95% |
Par Value of Advances | Credit concentration risk | Citibank, N.A. | |||
Advances | |||
Par Advances | $ 19,250,000 | $ 5,250,000 | $ 14,900,000 |
Percentage of Total | 16.46% | 7.37% | 16.42% |
Par Value of Advances | Credit concentration risk | Flagstar Bank, N.A. | |||
Advances | |||
Par Advances | $ 15,775,000 | ||
Percentage of Total | 13.49% | ||
Par Value of Advances | Credit concentration risk | MetLife, Inc | |||
Advances | |||
Par Advances | $ 14,940,000 | $ 15,750,000 | $ 16,200,000 |
Percentage of Total | 12.78% | 22.11% | 17.85% |
Par Value of Advances | Credit concentration risk | Metropolitan Life Insurance Company | |||
Advances | |||
Par Advances | $ 13,535,000 | $ 14,745,000 | $ 15,245,000 |
Percentage of Total | 11.58% | 20.70% | 16.80% |
Par Value of Advances | Credit concentration risk | Metropolitan Tower Life Insurance Company | |||
Advances | |||
Par Advances | $ 1,405,000 | $ 1,005,000 | $ 955,000 |
Percentage of Total | 1.20% | 1.41% | 1.05% |
Par Value of Advances | Credit concentration risk | Signature Bank | |||
Advances | |||
Par Advances | $ 11,283,738 | $ 2,639,245 | $ 2,839,245 |
Percentage of Total | 9.65% | 3.71% | 3.13% |
Par Value of Advances | Credit concentration risk | Equitable Financial Life Insurance Company | |||
Advances | |||
Par Advances | $ 8,501,263 | $ 6,642,717 | $ 6,890,415 |
Percentage of Total | 7.27% | 9.33% | 7.60% |
Par Value of Advances | Credit concentration risk | Teachers Ins. & Annuity Assoc of America | |||
Advances | |||
Par Advances | $ 7,084,800 | $ 2,155,300 | |
Percentage of Total | 6.06% | 3.03% | |
Par Value of Advances | Credit concentration risk | New York Community Bank | |||
Advances | |||
Par Advances | $ 15,105,000 | $ 14,627,661 | |
Percentage of Total | 21.21% | 16.12% | |
Par Value of Advances | Credit concentration risk | Manufacturers and Traders Trust Company | |||
Advances | |||
Par Advances | $ 3,200,169 | ||
Percentage of Total | 2.74% | ||
Par Value of Advances | Credit concentration risk | Prudential Insurance Company of America | |||
Advances | |||
Par Advances | $ 2,619,250 | $ 2,517,125 | |
Percentage of Total | 2.24% | 2.77% | |
Par Value of Advances | Credit concentration risk | ESL Federal Credit Union | |||
Advances | |||
Par Advances | $ 2,561,931 | $ 2,189,398 | |
Percentage of Total | 2.19% | 3.07% | |
Par Value of Advances | Credit concentration risk | HSBC Bank USA, National Association | |||
Advances | |||
Par Advances | $ 4,250,000 | ||
Percentage of Total | 4.69% | ||
Par Value of Advances | Credit concentration risk | New York Life Insurance Company | |||
Advances | |||
Par Advances | $ 3,638,000 | $ 2,455,000 | $ 3,250,000 |
Percentage of Total | 3.11% | 3.45% | 3.58% |
Par Value of Advances | Credit concentration risk | Investors Bank | |||
Advances | |||
Par Advances | $ 3,075,000 | $ 2,668,000 | |
Percentage of Total | 4.32% | 2.94% | |
Par Value of Advances | Credit concentration risk | Valley National Bank | |||
Advances | |||
Par Advances | $ 1,288,000 | $ 2,588,059 | |
Percentage of Total | 1.81% | 2.85% | |
Interest income, top ten advance holders | Member concentration | Top ten advance holders | |||
Advances | |||
Interest Income | $ 1,355,795 | $ 651,773 | $ 1,113,246 |
Percentage of Total | 100% | 100% | 100% |
Interest income, top ten advance holders | Member concentration | Citibank, N.A. | |||
Advances | |||
Interest Income | $ 332,309 | $ 71,312 | $ 280,084 |
Percentage of Total | 24.51% | 10.94% | 25.16% |
Interest income, top ten advance holders | Member concentration | Flagstar Bank, N.A. | |||
Advances | |||
Interest Income | $ 244,568 | ||
Percentage of Total | 18.04% | ||
Interest income, top ten advance holders | Member concentration | MetLife, Inc | |||
Advances | |||
Interest Income | $ 275,646 | $ 162,006 | $ 214,973 |
Percentage of Total | 20.33% | 24.86% | 19.31% |
Interest income, top ten advance holders | Member concentration | Metropolitan Life Insurance Company | |||
Advances | |||
Interest Income | $ 253,973 | $ 156,632 | $ 211,797 |
Percentage of Total | 18.73% | 24.03% | 19.03% |
Interest income, top ten advance holders | Member concentration | Metropolitan Tower Life Insurance Company | |||
Advances | |||
Interest Income | $ 21,673 | $ 5,374 | $ 3,176 |
Percentage of Total | 1.60% | 0.83% | 0.28% |
Interest income, top ten advance holders | Member concentration | Signature Bank | |||
Advances | |||
Interest Income | $ 61,762 | $ 28,419 | $ 54,832 |
Percentage of Total | 4.56% | 4.36% | 4.93% |
Interest income, top ten advance holders | Member concentration | Equitable Financial Life Insurance Company | |||
Advances | |||
Interest Income | $ 155,524 | $ 59,209 | $ 77,739 |
Percentage of Total | 11.47% | 9.08% | 6.98% |
Interest income, top ten advance holders | Member concentration | Teachers Ins. & Annuity Assoc of America | |||
Advances | |||
Interest Income | $ 127,885 | $ 5,973 | |
Percentage of Total | 9.43% | 0.92% | |
Interest income, top ten advance holders | Member concentration | New York Community Bank | |||
Advances | |||
Interest Income | $ 207,738 | $ 233,915 | |
Percentage of Total | 31.87% | 21.01% | |
Interest income, top ten advance holders | Member concentration | Manufacturers and Traders Trust Company | |||
Advances | |||
Interest Income | $ 12,657 | ||
Percentage of Total | 0.93% | ||
Interest income, top ten advance holders | Member concentration | Prudential Insurance Company of America | |||
Advances | |||
Interest Income | $ 36,766 | $ 30,158 | |
Percentage of Total | 2.71% | 2.71% | |
Interest income, top ten advance holders | Member concentration | ESL Federal Credit Union | |||
Advances | |||
Interest Income | $ 43,941 | $ 7,890 | |
Percentage of Total | 3.24% | 1.21% | |
Interest income, top ten advance holders | Member concentration | HSBC Bank USA, National Association | |||
Advances | |||
Interest Income | $ 41,663 | ||
Percentage of Total | 3.74% | ||
Interest income, top ten advance holders | Member concentration | New York Life Insurance Company | |||
Advances | |||
Interest Income | $ 64,737 | $ 54,063 | $ 68,611 |
Percentage of Total | 4.78% | 8.30% | 6.16% |
Interest income, top ten advance holders | Member concentration | Investors Bank | |||
Advances | |||
Interest Income | $ 30,135 | $ 61,501 | |
Percentage of Total | 4.62% | 5.53% | |
Interest income, top ten advance holders | Member concentration | Valley National Bank | |||
Advances | |||
Interest Income | $ 25,028 | $ 49,770 | |
Percentage of Total | 3.84% | 4.47% |
Segment Information and Conce_4
Segment Information and Concentration. - Beneficial Owners of Capital Stock (Details) - Outstanding Capital Stock Shares - Shareholder balances - FHLBNY. | 1 Months Ended | 12 Months Ended |
Feb. 28, 2023 shares | Dec. 31, 2022 shares | |
Total of member institutions having beneficial ownership interest of more than 5 percent of the FHLBNY's outstanding capital stock | ||
Capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY's outstanding capital stock | ||
Number of Shares Owned | 34,904 | 37,320 |
Percentage of Total | 0.5689 | 0.5839 |
MetLife, Inc | ||
Capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY's outstanding capital stock | ||
Number of Shares Owned | 7,360 | 7,293 |
Percentage of Total | 0.1199 | 0.1141 |
Metropolitan Life Insurance Company | ||
Capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY's outstanding capital stock | ||
Number of Shares Owned | 6,591 | 6,591 |
Percentage of Total | 0.1074 | 0.1031 |
Metropolitan Tower Life Insurance Company | ||
Capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY's outstanding capital stock | ||
Number of Shares Owned | 769 | 702 |
Percentage of Total | 0.0125 | 0.0110 |
Flagstar Bank, N.A.[Member] | ||
Capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY's outstanding capital stock | ||
Number of Shares Owned | 7,778 | 7,621 |
Percentage of Total | 0.1268 | 0.1192 |
Citibank, N.A. | ||
Capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY's outstanding capital stock | ||
Number of Shares Owned | 7,593 | 9,172 |
Percentage of Total | 0.1238 | 0.1435 |
Signature Bank | ||
Capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY's outstanding capital stock | ||
Number of Shares Owned | 4,208 | 5,603 |
Percentage of Total | 0.0686 | 0.0877 |
Equitable Financial Life Insurance Company | ||
Capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY's outstanding capital stock | ||
Number of Shares Owned | 3,736 | 3,943 |
Percentage of Total | 0.0609 | 0.0617 |
Teachers Ins. & Annuity Assoc of America | ||
Capital stock held by members who were beneficial owners of more than 5 percent of the FHLBNY's outstanding capital stock | ||
Number of Shares Owned | 4,229 | 3,688 |
Percentage of Total | 0.0689 | 0.0577 |
Subsequent Events. (Details)
Subsequent Events. (Details) - USD ($) $ in Thousands | Mar. 10, 2023 | Feb. 14, 2023 | Dec. 31, 2022 | Dec. 31, 2021 |
Subsequent Event [Line Items] | ||||
Advances | $ 115,292,876 | $ 71,536,402 | ||
Letter of credit extended to Signature Bank | ||||
Subsequent Event [Line Items] | ||||
Undrawn letters of credit | $ 2,000,000 | $ 2,000,000 | 2,000,000 | |
Signature Bank | ||||
Subsequent Event [Line Items] | ||||
Advances | $ 11,300,000 | |||
Subsequent event | Signature Bank | ||||
Subsequent Event [Line Items] | ||||
Advances | $ 11,200,000 | $ 5,700,000 |