Held-to-Maturity Securities

6 Months Ended

Jun. 30, 2011

Held-to-Maturity Securities [Abstract]

Held-to-Maturity Securities

Note 4. Held-to-Maturity Securities.

Major Security Types

The amortized cost basis, the gross unrecognized holding gains and losses¹, the fair values of held-to-maturity securities, and OTTI recognized in AOCI were as follows (in thousands):

	June 30, 2011
			OTTI					Gross		Gross
	Amortized		Recognized			Carrying		Unrecognized		Unrecognized			Fair
Issued, guaranteed or insured:	Cost		in AOCI			Value		Holding Gains		Holding Losses			Value
Pools of Mortgages
Fannie Mae	$	750,813	$	—		$	750,813	$	49,714	$	—		$	800,527
Freddie Mac		213,963		—			213,963		13,774		—			227,737
Total pools of mortgages		964,776		—			964,776		63,488		—			1,028,264
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits
Fannie Mae		1,823,668		—			1,823,668		42,611		—			1,866,279
Freddie Mac		2,537,287		—			2,537,287		70,977		—			2,608,264
Ginnie Mae		101,403		—			101,403		738		—			102,141
Total CMOs/REMICs		4,462,358		—			4,462,358		114,326		—			4,576,684
Commercial Mortgage-Backed Securities
Fannie Mae		100,469		—			100,469		—		(1,240	)		99,229
Freddie Mac		1,300,847		—			1,300,847		16,770		(5,401	)		1,312,216
Ginnie Mae		39,428		—			39,428		1,348		—			40,776
Total commercial mortgage-backed securities		1,440,744		—			1,440,744		18,118		(6,641	)		1,452,221
Non-GSE MBS
CMOs/REMICs		232,119		(1,846	)		230,273		4,486		(1,182	)		233,577
Commercial MBS		—		—			—		—		—			—
Total non-federal-agency MBS		232,119		(1,846	)		230,273		4,486		(1,182	)		233,577
Asset-Backed Securities
Manufactured housing (insured)		165,162		—			165,162		—		(8,408	)		156,754
Home equity loans (insured)		244,688		(61,816	)		182,872		34,592		(4,971	)		212,493
Home equity loans (uninsured)		169,633		(22,538	)		147,095		16,131		(18,022	)		145,204
Total asset-backed securities		579,483		(84,354	)		495,129		50,723		(31,401	)		514,451
Total MBS	$	7,679,480	$	(86,200	)	$	7,593,280	$	251,141	$	(39,224	)	$	7,805,197
Other
State and local housing finance agency obligations	$	806,379	$	—		$	806,379	$	1,620	$	(68,249	)	$	739,750
Total other	$	806,379	$	—		$	806,379	$	1,620	$	(68,249	)	$	739,750
Total Held-to-maturity securities	$	8,485,859	$	(86,200	)	$	8,399,659	$	252,761	$	(107,473	)	$	8,544,947

	December 31, 2010
			OTTI					Gross		Gross
	Amortized		Recognized			Carrying		Unrecognized		Unrecognized			Fair
Issued, guaranteed or insured:	Cost		in AOCI			Value		Holding Gains		Holding Losses			Value
Pools of Mortgages
Fannie Mae	$	857,387	$	—		$	857,387	$	48,712	$	—		$	906,099
Freddie Mac		244,041		—			244,041		13,316		—			257,357
Total pools of mortgages		1,101,428		—			1,101,428		62,028		—			1,163,456
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits
Fannie Mae		1,637,261		—			1,637,261		52,935		—			1,690,196
Freddie Mac		2,790,103		—			2,790,103		92,746		—			2,882,849
Ginnie Mae		116,126		—			116,126		936		—			117,062
Total CMOs/REMICs		4,543,490		—			4,543,490		146,617		—			4,690,107
Commercial Mortgage-Backed Securities
Fannie Mae		100,492		—			100,492		—		(2,516	)		97,976
Freddie Mac		375,901		—			375,901		1,031		(5,315	)		371,617
Ginnie Mae		48,747		—			48,747		1,857		—			50,604
Total commercial mortgage-backed securities		525,140		—			525,140		2,888		(7,831	)		520,197
Non-GSE MBS
CMOs/REMICs		294,686		(2,209	)		292,477		6,228		(916	)		297,789
Commercial MBS		—		—			—		—		—			—
Total non-federal-agency MBS		294,686		(2,209	)		292,477		6,228		(916	)		297,789
Asset-Backed Securities
Manufactured housing (insured)		176,592		—			176,592		—		(21,437	)		155,155
Home equity loans (insured)		257,889		(66,252	)		191,637		35,550		(4,316	)		222,871
Home equity loans (uninsured)		184,284		(24,465	)		159,819		17,780		(21,478	)		156,121
Total asset-backed securities		618,765		(90,717	)		528,048		53,330		(47,231	)		534,147
Total MBS	$	7,083,509	$	(92,926	)	$	6,990,583	$	271,091	$	(55,978	)	$	7,205,696
Other
State and local housing finance agency obligations	$	770,609	$	—		$	770,609	$	1,434	$	(79,439	)	$	692,604
Total other	$	770,609	$	—		$	770,609	$	1,434	$	(79,439	)	$	692,604
Total Held-to-maturity securities	$	7,854,118	$	(92,926	)	$	7,761,192	$	272,525	$	(135,417	)	$	7,898,300

¹ Unrecognized gross holding gains and losses represent the difference between carrying value and fair value of a held-to-maturity security. At June 30, 2011 and December 31, 2010, the FHLBNY had pledged MBS with an amortized cost basis of $2.3 million and $2.7 million to the FDIC in connection with deposits maintained by the FDIC at the FHLBNY.

Unrealized losses

The following tables summarize held-to-maturity securities with fair values below their amortized cost basis. The fair values and gross unrealized holding losses¹ are aggregated by major security type and by the length of time individual securities have been in a continuous unrealized loss position as follows (in thousands):

	June 30, 2011
	Less than 12 months					12 months or more					Total
	Estimated		Unrealized			Estimated		Unrealized			Estimated		Unrealized
	Fair Value		Losses			Fair Value		Losses			Fair Value		Losses
Non-MBS Investment Securities
State and local housing finance agency obligations	$	—	$	—		$	321,946	$	(68,249	)	$	321,946	$	(68,249	)
Total Non-MBS		—		—			321,946		(68,249	)		321,946		(68,249	)
MBS Investment Securities
MBS-GSE
Fannie Mae-CMBS		99,229		(1,240	)		—		—			99,229		(1,240	)
Freddie Mac-CMBS		691,337		(5,401	)		—		—			691,337		(5,401	)
Total MBS-GSE		790,566		(6,641	)		—		—			790,566		(6,641	)
MBS-Private-Label-CMOs		23,195		(201	)		563,902		(68,021	)		587,097		(68,222	)
Total MBS		813,761		(6,842	)		563,902		(68,021	)		1,377,663		(74,863	)
Total	$	813,761	$	(6,842	)	$	885,848	$	(136,270	)	$	1,699,609	$	(143,112	)

	December 31, 2010
	Less than 12 months					12 months or more					Total
	Estimated		Unrealized			Estimated		Unrealized			Estimated		Unrealized
	Fair Value		Losses			Fair Value		Losses			Fair Value		Losses
Non-MBS Investment Securities
State and local housing finance agency obligations	$	20,945	$	(1,270	)	$	309,476	$	(78,169	)	$	330,421	$	(79,439	)
Total Non-MBS		20,945		(1,270	)		309,476		(78,169	)		330,421		(79,439	)
MBS Investment Securities
MBS-GSE
Fannie Mae-CMBS		97,976		(2,516	)		—		—			97,976		(2,516	)
Freddie Mac-CMBS		196,658		(5,315	)		—		—			196,658		(5,315	)
Total MBS-GSE		294,634		(7,831	)		—		—			294,634		(7,831	)
MBS-Private-Label-CMOs		5,017		(19	)		593,667		(87,302	)		598,684		(87,321	)
Total MBS		299,651		(7,850	)		593,667		(87,302	)		893,318		(95,152	)
Total	$	320,596	$	(9,120	)	$	903,143	$	(165,471	)	$	1,223,739	$	(174,591	)

¹ Unrealized holding losses represent the difference between amortized cost and fair value of a security. The baseline measure of unrealized holding losses is amortized cost, which is not adjusted for non-credit OTTI. Unrealized holding losses will not equal gross unrecognized losses, which are adjusted for non-credit OTTI.

Redemption terms

The amortized cost and estimated fair value of held-to-maturity securities, by contractual maturity, were as follows (in thousands). 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.

	June 30, 2011				December 31, 2010
	Amortized		Estimated		Amortized		Estimated
	Cost		Fair Value		Cost		Fair Value
State and local housing finance agency obligations
Due in one year or less	$	—	$	—	$	—	$	—
Due after one year through five years		4,915		4,982		6,415		6,467
Due after five years through ten years		60,630		60,662		61,945		60,667
Due after ten years		740,834		674,106		702,249		625,470
State and local housing finance agency obligations		806,379		739,750		770,609		692,604
Mortgage-backed securities
Due in one year or less		—		—		—		—
Due after one year through five years		1,324		1,347		1,730		1,768
Due after five years through ten years		2,085,840		2,125,511		1,324,480		1,351,936
Due after ten years		5,592,316		5,678,339		5,757,299		5,851,992
Mortgage-backed securities		7,679,480		7,805,197		7,083,509		7,205,696
Total Held-to-maturity securities	$	8,485,859	$	8,544,947	$	7,854,118	$	7,898,300

Interest rate payment terms

The following table summarizes interest rate payment terms of long-term securities classified as held-to-maturity (in thousands):

	June 30, 2011				December 31, 2010
	Amortized		Carrying		Amortized		Carrying
	Cost		Value		Cost		Value
Mortgage-backed securities
CMO
Fixed	$	3,350,338	$	3,347,147	$	3,064,470	$	3,060,797
Floating		2,635,184		2,635,184		2,105,272		2,105,272
CMO Total		5,985,522		5,982,331		5,169,742		5,166,069
Pass Thru
Fixed		1,556,948		1,475,099		1,830,665		1,742,633
Floating		137,010		135,850		83,102		81,881
Pass Thru Total		1,693,958		1,610,949		1,913,767		1,824,514
Total MBS		7,679,480		7,593,280		7,083,509		6,990,583
State and local housing finance agency obligations
Fixed		113,354		113,354		135,344		135,344
Floating		693,025		693,025		635,265		635,265
		806,379		806,379		770,609		770,609
Total Held-to-maturity securities	$	8,485,859	$	8,399,659	$	7,854,118	$	7,761,192

Impairment analysis of GSE-issued and private label mortgage-backed securities

Summarized below are the FHLBNY’s OTTI assessment methodologies and have not changed from those reported and discussed in the audited financial statements included in the FHLBNY’s most recent Form 10-K filed on March 25, 2011.

The FHLBNY evaluates its individual securities issued by Fannie Mae, Freddie Mac and government agencies by considering the creditworthiness and performance of the debt securities and the strength of the GSE’s guarantees of the securities. Based on the Bank’s analysis, GSE and agency-issued securities are performing in accordance with their contractual agreements. The FHLBNY believes that it will recover its investments in GSE- and agency-issued securities given the current levels of collateral, credit enhancements and guarantees that exist to protect the investments. Management evaluates its investments in private-label MBS (“PLMBS”) for OTTI on a quarterly basis by performing cash flow tests of 100 percent of securities. The credit-related OTTI is recognized in earnings. The non-credit portion of OTTI, which represents fair value losses of OTTI securities, is recognized in AOCI.

OTTI — Cash flow assessments identified credit impairment as reported in the following tables (in thousands). Certain securities had been previously determined to be OTTI, and the additional impairment (or re-impairment) was due to further deterioration in the credit performance metrics of the securities.

													Three months ended						Six months ended
	Three months ended June 30, 2011												June 30, 2011						June 30, 2011
	Insurer MBIA				Insurer Ambac				Uninsured				OTTI						OTTI
Security			Fair				Fair				Fair		Credit			Non-credit			Credit			Non-credit
Classification	UPB		Value		UPB		Value		UPB		Value		Loss			Loss1			Loss			Loss1
HEL Subprime*	$	19,298	$	10,900	$	—	$	—	$	—	$	—	$	(140	)	$	(26	)	$	(510	)	$	344
Total	$	19,298	$	10,900	$	—	$	—	$	—	$	—	$	(140	)	$	(26	)	$	(510	)	$	344

													Twelve months ended
	Year ended December 31, 2010												December 31, 2010
	Insurer MBIA				Insurer Ambac				Uninsured				OTTI
Security			Fair				Fair				Fair		Credit			Non-credit
Classification	UPB		Value		UPB		Value		UPB		Value		Loss			Loss1
RMBS-Prime	$	—	$	—	$	—	$	—	$	58,269	$	55,631	$	(176	)	$	(303	)
HEL Subprime*		31,256		17,090		173,220		129,804		70,747		62,300		(8,146	)		3,573
Total	$	31,256	$	17,090	$	173,220	$	129,804	$	129,016	$	117,931	$	(8,322	)	$	3,270

									Three months ended					Six months ended
	Three months ended June 30, 2010								June 30, 2010					June 30, 2010
	Insurer MBIA				Insurer Ambac				OTTI					OTTI
Security			Fair				Fair		Credit			Non-credit		Credit			Non-credit
Classification	UPB		Value		UPB		Value		Loss			Loss1		Loss			Loss1
HEL Subprime*	$	20,976	$	9,044	$	37,456	$	22,564	$	(1,270	)	$	1,068	$	(4,670	)	$	595
Total	$	20,976	$	9,044	$	37,456	$	22,564	$	(1,270	)	$	1,068	$	(4,670	)	$	595

1	The credit-related OTTI is recognized in earnings. The noncredit portion of OTTI, which represents fair value losses of OTTI securities (excluding the amount of credit loss), is recognized in AOCI. Positive noncredit loss represents the net amount of noncredit loss reclassified from AOCI to increase the carrying value of securities previously deemed OTTI.
*	HEL Subprime securities are supported by home equity loans.

The Bank believes no OTTI exists for the remaining investments. The Bank’s conclusion is based upon multiple factors: bond issuers’ continued satisfaction of their obligations under the contractual terms of the securities; the estimated performance of the underlying collateral; and the evaluation of the fundamentals of the issuers’ financial condition. Management has not made a decision to sell such securities at June 30, 2011, and has also concluded that it will not be required to sell such securities before recovery of the amortized cost basis of the securities.

The following table provides rollforward information about the credit component of OTTI recognized as a charge to earnings related to held-to-maturity securities (in thousands):

	Three months ended June 30,				Six months ended June 30,
	2011		2010		2011		2010
Beginning balance	$	29,508	$	24,216	$	29,138	$	20,816
Additions to the credit component for OTTI loss not previously recognized		25		—		25		—
Additional credit losses for which an OTTI charge was previously recognized		115		1,270		485		4,670
Increases in cash flows expected to be collected, recognized over the remaining life of the securities		—		—		—		—
Ending balance	$	29,648	$	25,486	$	29,648	$	25,486

Key Base Assumptions

The table below summarizes the weighted average and range of Key Base Assumptions for all private-label MBS at June 30, 2011, including those deemed OTTI:

	Key Base Assumption — All PLMBS at June 30, 2011
	CDR (a)				CPR (b)				Loss Severity % (c)
Security Classification	Range		Average		Range		Average		Range		Average
RMBS Prime		1.0-2.6		1.4		9.0-44.9		25.8		30.0-73.5		38.5
Alt-A		1.0-3.2		1.8		2.0-16.5		5.4		30.0-42.1		34.5
HEL Subprime		1.0-10.4		3.7		2.0-16.0		3.6		30.0-100.0		70.8

(a)	Conditional Default Rate (CDR): 1— ((1-MDR)^12) where, MDR is defined as the “Monthly Default Rate (MDR)” = (Beginning Principal Balance of Liquidated Loans)/(Total Beginning Principal Balance).
(b)	Conditional Prepayment Rate (CPR): 1— ((1-SMM)^12) where, SMM is defined as the “Single Monthly Mortality (SMM)” = (Voluntary partial and full prepayments + repurchases + Liquidated Balances)/(Beginning Principal Balance — Scheduled Principal). Voluntary prepayment excludes the liquidated balances mentioned above.
(c)	Loss Severity (Principal and interest in the current period) = Sum (Total Realized Loss Amount)/Sum (Beginning Principal and interest Balance of Liquidated Loans).

If the present value of cash flows expected to be collected (discounted at the security’s initial effective yield) is less than the amortized cost basis of the security, other-than-temporary impairment is considered to have occurred because the entire amortized cost basis of the security will not be recovered. The Bank considers whether or not it will recover the entire amortized cost of the security by comparing the present value of the cash flows expected to be collected from the security (discounted at the security’s initial effective yield) with the amortized cost basis of the security.