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Available-for-Sale Securities
 6 Months Ended
Jun. 30, 2011
Available-for-Sale Securities [Abstract]  
Available-for-Sale Securities
Note 5. Available-for-Sale Securities.
Major Security types — The unamortized cost, gross unrealized gains, losses, and the fair value 1 of investments 2 classified as available-for-sale were as follows (in thousands):
                                         
    June 30, 2011  
            OTTI     Gross     Gross        
    Amortized     Recognized     Unrealized     Unrealized     Fair  
    Cost     in AOCI     Gains     Losses     Value  
Cash equivalents
  $ 144     $ —     $ —     $ —     $ 144  
Equity funds
    6,474       —       315       (440 )     6,349  
Fixed income funds
    3,305       —       255       —       3,560  
GSE and U.S. Obligations
                                       
Mortgage-backed securities
                                       
CMO-Floating
    3,459,616       —       20,667       (2,184 )     3,478,099  
CMBS-Floating
    49,831       —       —       —       49,831  
 
                             
Total
  $ 3,519,370     $ —     $ 21,237     $ (2,624 )   $ 3,537,983  
 
                             
                                         
    December 31, 2010  
            OTTI     Gross     Gross        
    Amortized     Recognized     Unrealized     Unrealized     Fair  
    Cost     in AOCI     Gains     Losses     Value  
Cash equivalents
  $ 120     $ —     $ —     $ —     $ 120  
Equity funds
    6,715       —       182       (651 )     6,246  
Fixed income funds
    3,374       —       207       —       3,581  
GSE and U.S. Obligations
                                       
Mortgage-backed securities
                                       
CMO-Floating
    3,906,932       —       26,588       (3,157 )     3,930,363  
CMBS-Floating
    49,976       —       —       (204 )     49,772  
 
                             
Total
  $ 3,967,117     $ —     $ 26,977     $ (4,012 )   $ 3,990,082  
 
                             
 
1   The carrying value of Available-for-sale securities equals fair value. No available-for-sale securities had been pledged at June 30, 2011 and December 31, 2010.
 
2   The Bank has a grantor trust to fund current and future payments for its employee supplemental pension plans and investment in the trusts are classified as available-for-sale. The grantor trust invests in money market, equity and fixed-income and bond funds. Investments in equity and fixed-income funds are redeemable at short notice, and realized gains and losses from investments in the funds were not significant.
Unrealized Losses — MBS classified as available-for-sale securities (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  
MBS Investment Securities
                                               
MBS-Other US Obligations
                                               
Ginnie Mae-CMOs
  $ 69,731     $ (85 )   $ —     $ —     $ 69,731     $ (85 )
MBS-GSE
                                               
Fannie Mae-CMOs
    371,632       (783 )     —       —       371,632       (783 )
Fannie Mae-CMBS
    —       —       —       —       —       —  
Freddie Mac-CMOs
    360,646       (1,316 )     —       —       360,646       (1,316 )
 
                                   
Total MBS-GSE
    732,278       (2,099 )     —       —       732,278       (2,099 )
 
                                   
Total Temporarily Impaired
  $ 802,009     $ (2,184 )   $ —     $ —     $ 802,009     $ (2,184 )
 
                                   
                                                 
    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  
MBS Investment Securities
                                               
MBS-Other US Obligations
                                               
Ginnie Mae-CMOs
  $ 71,922     $ (192 )   $ —     $ —     $ 71,922     $ (192 )
MBS-GSE
                                               
Fannie Mae-CMOs
    374,535       (1,267 )     —       —       374,535       (1,267 )
Fannie Mae-CMBS
    49,772       (204 )     —       —       49,772       (204 )
Freddie Mac-CMOs
    368,652       (1,698 )     —       —       368,652       (1,698 )
 
                                   
Total MBS-GSE
    792,959       (3,169 )     —       —       792,959       (3,169 )
 
                                   
Total Temporarily Impaired
  $ 864,881     $ (3,361 )   $ —     $ —     $ 864,881     $ (3,361 )
 
                                   
Management of the FHLBNY has concluded that gross unrealized losses at June 30, 2011 and December 31, 2010, as summarized in the tables above, were caused by interest rate changes, credit spreads widening and reduced liquidity in the applicable markets. The FHLBNY has reviewed the investment security holdings and determined, based on creditworthiness of the securities and including any underlying collateral and/or insurance provisions of the security, that unrealized losses in the analysis above represent temporary impairment.
Impairment analysis on Available-for-sale securities — The Bank’s portfolio of mortgage-backed securities classified as available-for-sale (“AFS”) is comprised primarily of GSE-issued collateralized mortgage obligations which are “pass through” securities. The FHLBNY evaluates its individual securities issued by Fannie Mae and Freddie Mac by considering the creditworthiness and performance of the debt securities and the strength of the government-sponsored enterprises’ guarantees of the securities. Based on the Bank’s 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. Management has not made a decision to sell such securities at June 30, 2011 or subsequently. Management also concluded that it is likely that it will not be required to sell such securities before recovery of the amortized cost basis of the security. The FHLBNY believes that these securities were not other-than-temporarily impaired as of June 30, 2011 or at December 31, 2010.
Redemption terms
The amortized cost and estimated fair value1 of investments classified as available-for-sale, 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     Fair     Amortized     Fair  
    Cost     Value     Cost     Value  
Mortgage-backed securities
                               
GSE/U.S. agency issued CMO
                               
Due after ten years
  $ 3,459,616     $ 3,478,099     $ 3,906,932     $ 3,930,363  
GSE/U.S. agency issued CMBS
                               
Due after five years through ten years
    49,831       49,831       49,976       49,772  
Fixed income funds, equity funds and cash equivalents*
    9,923       10,053       10,209       9,947  
 
                       
 
Total
  $ 3,519,370     $ 3,537,983     $ 3,967,117     $ 3,990,082  
 
                       
 
*   Determined to be redeemable at anytime.
 
1   The carrying value of Available-for-sale securities equals fair value.
Interest rate payment terms
The following table summarizes interest rate payment terms of investments classified as available-for-sale securities (in thousands):
                                 
    June 30, 2011     December 31, 2010  
    Amortized Cost     Fair Value     Amortized Cost     Fair Value  
Mortgage-backed securities
                               
Mortgage pass-throughs-GSE/U.S. agency issued
                               
Variable-rate*
  $ 3,459,616     $ 3,478,099     $ 3,906,932     $ 3,930,363  
Variable-rate CMBS*
    49,831       49,831       49,976       49,772  
 
                       
 
    3,509,447       3,527,930       3,956,908       3,980,135  
 
                       
Fixed income funds, equity funds and cash equivalents
    9,923       10,053       10,209       9,947  
 
                       
 
Total
  $ 3,519,370     $ 3,537,983     $ 3,967,117     $ 3,990,082  
 
                       
 
*   LIBOR Indexed