Advances

6 Months Ended

Jun. 30, 2011

Note 6. Advances.

Redemption terms

Contractual redemption terms and yields of advances were as follows (dollars in thousands):


	June 30, 2011									December 31, 2010
				Weighted²									Weighted²
				Average			Percentage						Average			Percentage
	Amount			Yield			of Total			Amount			Yield			of Total
Overdrawn demand deposit accounts	$	3			1.06	%		—	%	$	196			1.15	%		—
Due in one year or less		17,283,935			1.68			24.31			16,872,651			1.77			21.94
Due after one year through two years		9,488,292			2.60			13.34			9,488,116			2.81			12.33
Due after two years through three years		6,916,800			2.38			9.73			7,221,496			2.94			9.39
Due after three years through four years		3,871,556			2.59			5.44			5,004,502			2.69			6.50
Due after four years through five years		10,982,510			3.45			15.44			6,832,709			2.93			8.88
Due after five years through six years		11,711,476			4.33			16.47			9,590,448			4.32			12.46
Thereafter		10,856,853			3.25			15.27			21,929,421			3.68			28.50


Total par value		71,111,425			2.87	%		100.00	%		76,939,539			3.03	%		100.00


Discount on AHP advances ¹		(29	)								(42	)
Hedging adjustments		3,679,757									4,260,839


Total	$	74,791,153								$	81,200,336


¹		Discounts on AHP advances were amortized to interest income using the level-yield method and were not significant for all periods reported. Interest rates on AHP advances ranged from 1.25% to 3.50% at June 30, 2011 and at December 31, 2010

²		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.

Monitoring and evaluating credit losses — Advances

Summarized below are the FHLBNY’s assessment methodologies for evaluating credit losses on advances. These methodologies 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 closely monitors the creditworthiness of the institutions to which it lends. The FHLBNY also closely monitors the quality and value of the assets that are pledged as collateral by its members. The FHLBNY’s members are required to pledge collateral to secure advances. Eligible collateral includes: (1) one-to-four-family and multi-family mortgages; (2) U.S. Treasury and government-agency securities; (3) mortgage-backed securities; and (4) certain other collateral which is real estate-related and has a readily ascertainable value, and in which the FHLBNY can perfect a security interest. The FHLBNY has the right to take such steps as it deems necessary to protect its secured position on outstanding advances, including requiring additional collateral (whether or not such additional collateral would otherwise be eligible to secure a loan). The FHLBNY also has a statutory lien under the FHLBank Act on the capital stock of its members, which serves as further collateral for members’ indebtedness to the FHLBNY.

Credit Risk. The management of the Bank has policies and procedures in place to appropriately manage credit risk. There were no past due advances and all advances were current for all periods in this report. Management does not anticipate any credit losses, and accordingly, the Bank has not provided an allowance for credit losses on advances. The Bank’s potential credit risk from advances is concentrated in commercial banks, savings institutions, and insurance companies.

Concentration of advances outstanding. Advances to the FHLBNY’s top ten borrowing member institutions are reported in Note 19, Segment Information and Concentration. The FHLBNY held sufficient collateral to cover the advances to all of these institutions and it does not expect to incur any credit losses.

Collateral Coverage of Advances

Security Terms. The FHLBNY lends to financial institutions involved in housing finance within its district. Borrowing members pledge their capital stock of the FHLBNY as additional collateral for advances. As of June 30, 2011 and December 31, 2010, the FHLBNY had rights to collateral with an estimated value greater than outstanding advances ^(a). Based upon the financial condition of the member, the FHLBNY:

	(1)		Allows a member to retain possession of the mortgage collateral assigned to the FHLBNY if the member executes a written security agreement 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 safekeeping agent.

Beyond these provisions, Section 10(e) of the FHLBank Act affords any security interest granted by a member to the FHLBNY priority over the claims or rights of any other party. The two exceptions are claims that would be entitled to priority under otherwise applicable law or perfected security interests. All member obligations with the Bank were fully collateralized throughout their entire term. The total of collateral pledged to the Bank includes excess collateral pledged above the Bank’s minimum collateral requirements. However, a “Maximum Lendable Value” is established to ensure that the Bank has sufficient eligible collateral securing credit extensions. The Maximum Lendable Value ranges from 90 percent to 70 percent for mortgage collateral, and is applied to the lesser of book or market value. For securities, it ranges from 97 percent to 67 percent, and is applied to the market value. There are no Maximum Lendable Value ranges for deposit collateral pledged. It is common for members to maintain excess collateral positions with the Bank for future liquidity needs. Based on several factors (e.g. advance type, collateral type or member financial condition) members are required to comply with specified collateral requirements, including but not limited to a detailed listing of pledged mortgage collateral and/or delivery of pledged collateral to the Bank or its designated collateral custodian(s). All pledged securities collateral must be delivered to the Bank’s nominee name at Citibank, N.A., its securities safekeeping custodian. Mortgage collateral that is required to be in the Bank’s possession is typically delivered to the Bank’s Jersey City, New Jersey facility. However, in certain instances, delivery to a Bank approved custodian may be allowed. In both instances, the members provide periodic listings updating the information of the mortgage collateral in possession.

The following table summarizes pledged collateral in support of advances at June 30, 2011 and December 31, 2010 (in thousands):

Collateral Supporting Advances to Members


			Underlying Collateral for Advances
			Mortgage Loans		Securities and
	Advances^(b)		^(c)		Deposits^(c)			Total^(c)
June 30, 2011	$	71,111,425	$	136,789,766	$	38,959,173	$	175,748,939

December 31, 2010	$	76,939,539	$	99,348,492	$	42,461,442	$	141,809,934


(a)		The level of over-collateralization is on an aggregate basis and may not necessarily be indicative of a similar level of over-collateralization on an individual member basis. At a minimum, each member pledged sufficient collateral to adequately secure the member’s outstanding obligation with the FHLBNY. In addition, most members maintain an excess amount of pledged collateral with the FHLBNY to secure future liquidity needs.

(b)		Par value.

(c)		Estimated market value.

The following table summarizes pledged collateral in support of other member obligations (other than advances) at June 30, 2011 and December 31, 2010 (in thousands):


			Underlying Collateral for Other Obligations
	Other				Securities and
	Obligations¹		Mortgage Loans²		Deposits²		Total ²
June 30, 2011	$	2,310,227	$	8,207,119	$	648,193	$	8,855,312

December 31, 2010	$	2,057,501	$	5,772,835	$	213,620	$	5,986,455


Note¹		Standby financial letters of credit, derivatives and members’ credit enhancement guarantee amount (“MPFCE”)

Note²		Estimated market value

The following table shows the breakdown of collateral pledged by members between those that were specifically listed and those in the physical possession or that of its safekeeping agent (in thousands):

Location of Collateral Held


	Estimated Market Values
	Collateral in		Collateral
	Physical		Specifically		Collateral			Total Collateral
	Possession		Listed		Pledged for AHP			Received
June 30, 2011	$	45,084,351	$	139,592,040	$	(72,140	)	$	184,604,251

December 31, 2010	$	48,604,470	$	99,289,202	$	(97,283	)	$	147,796,389