0001104659-18-031745.txt : 20180509 0001104659-18-031745.hdr.sgml : 20180509 20180509163938 ACCESSION NUMBER: 0001104659-18-031745 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 115 CONFORMED PERIOD OF REPORT: 20180331 FILED AS OF DATE: 20180509 DATE AS OF CHANGE: 20180509 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Federal Home Loan Bank of New York CENTRAL INDEX KEY: 0001329842 STANDARD INDUSTRIAL CLASSIFICATION: FEDERAL & FEDERALLY-SPONSORED CREDIT AGENCIES [6111] IRS NUMBER: 136400946 STATE OF INCORPORATION: X1 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 000-51397 FILM NUMBER: 18818921 BUSINESS ADDRESS: STREET 1: 101 PARK AVENUE, 5TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10178 BUSINESS PHONE: 212-681-6000 MAIL ADDRESS: STREET 1: 101 PARK AVENUE, 5TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10178 10-Q 1 a18-8618_110q.htm 10-Q

Table of Contents

 

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

FORM 10-Q

 

x      QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

 

For the quarterly period ended March 31, 2018

 

o         TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

 

Commission file number: 000-51397

 

Federal Home Loan Bank of New York

(Exact name of registrant as specified in its charter)

 

Federally chartered corporation

 

13-6400946

(State or other jurisdiction of

 

(I.R.S. Employer

incorporation or organization)

 

Identification No.)

 

101 Park Avenue, New York, N.Y.

 

10178

(Address of principal executive offices)

 

(Zip Code)

 

(212) 681-6000

(Registrant’s telephone number, including area code)

 

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  Yes x No o

 

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).  Yes x No o

 

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer,  a smaller reporting company or an emerging growth company.  See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

 

Large accelerated filer o

 

Accelerated filer o

Non-accelerated filer x

 

Smaller reporting company o

(Do not check if a smaller reporting company)

 

Emerging growth company o

 

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. o

 

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).  Yes o No x

 

The number of shares outstanding of the issuer’s common stock as of April 30, 2018 was 64,091,923.

 

 

 



Table of Contents

 

FEDERAL HOME LOAN BANK OF NEW YORK

FORM 10-Q FOR THE QUARTERLY PERIOD ENDED MARCH 31, 2018

 

Table of Contents

 

 

Page

 

 

PART I. FINANCIAL INFORMATION

 

 

 

Item 1. Financial Statements (Unaudited):

 

Statements of Condition (Unaudited) as of March 31, 2018 and December 31, 2017

3

Statements of Income (Unaudited) for the Three Months Ended March 31, 2018 and 2017

4

Statements of Comprehensive Income (Unaudited) for the Three Months Ended March 31, 2018 and 2017

5

Statements of Capital (Unaudited) for the Three Months Ended March 31, 2018 and 2017

6

Statements of Cash Flows (Unaudited) for the Three Months Ended March 31, 2018 and 2017

7

Notes to Financial Statements (Unaudited)

9

 

 

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

59

 

 

Item 3. Quantitative and Qualitative Disclosures about Market Risk

111

 

 

Item 4. Controls and Procedures

115

 

 

PART II. OTHER INFORMATION

116

 

 

Item 1. Legal Proceedings

116

 

 

Item 1A. Risk Factors

116

 

 

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

116

 

 

Item 3. Defaults upon Senior Securities

116

 

 

Item 4. Mine Safety Disclosures

116

 

 

Item 5. Other Information

116

 

 

Item 6. Exhibits

117

 

2



Table of Contents

 

Federal Home Loan Bank of New York

Statements of Condition — Unaudited (In Thousands, Except Par Value of Capital Stock)

As of March 31, 2018 and December 31, 2017

 

 

 

March 31, 2018

 

December 31, 2017

 

Assets

 

 

 

 

 

Cash and due from banks (Note 3)

 

$

86,567

 

$

127,403

 

Securities purchased under agreements to resell (Note 4)

 

4,050,000

 

2,700,000

 

Federal funds sold (Note 4)

 

11,300,000

 

10,326,000

 

Trading securities (Note 5) (Includes $239,868 pledged as collateral at March 31, 2018 and $239,064 at December 31, 2017)

 

2,241,243

 

1,641,568

 

Equity Investments (Note 6)

 

48,909

 

 

Available-for-sale securities, net of unrealized gains of $5,129 at March 31, 2018 and $10,178 at December 31, 2017 (Note 7)

 

504,403

 

577,269

 

Held-to-maturity securities (Note 8) (Includes $5,471 pledged as collateral at March 31, 2018 and $5,728 at December 31, 2017)

 

18,161,918

 

17,824,533

 

Advances (Note 9) (Includes $751,568 at March 31, 2018 and $2,205,624 at December 31, 2017 at fair value under the fair value option)

 

112,201,969

 

122,447,805

 

Mortgage loans held-for-portfolio, net of allowance for credit losses of $697 at March 31, 2018 and $992 at December 31, 2017 (Note 10)

 

2,879,506

 

2,896,976

 

Accrued interest receivable

 

250,998

 

226,981

 

Premises, software, and equipment

 

30,412

 

29,697

 

Derivative assets (Note 17)

 

117,676

 

112,742

 

Other assets

 

8,005

 

7,398

 

 

 

 

 

 

 

Total assets

 

$

151,881,606

 

$

158,918,372

 

 

 

 

 

 

 

Liabilities and capital

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

Deposits (Note 11)

 

 

 

 

 

Interest-bearing demand

 

$

1,259,598

 

$

1,142,056

 

Non-interest-bearing demand

 

17,035

 

17,999

 

Term

 

33,000

 

36,000

 

 

 

 

 

 

 

Total deposits

 

1,309,633

 

1,196,055

 

 

 

 

 

 

 

Consolidated obligations, net (Note 12)

 

 

 

 

 

Bonds (Includes $129,721 at March 31, 2018 and $1,131,074 at December 31, 2017 at fair value under the fair value option)

 

85,655,531

 

99,288,048

 

Discount notes (Includes $1,566,028 at March 31, 2018 and $2,312,621 at December 31, 2017 at fair value under the fair value option)

 

56,509,976

 

49,613,671

 

 

 

 

 

 

 

Total consolidated obligations

 

142,165,507

 

148,901,719

 

 

 

 

 

 

 

Mandatorily redeemable capital stock (Note 14)

 

18,764

 

19,945

 

 

 

 

 

 

 

Accrued interest payable

 

147,257

 

162,176

 

Affordable Housing Program (Note 13)

 

137,256

 

131,654

 

Derivative liabilities (Note 17)

 

17,634

 

61,607

 

Other liabilities

 

202,853

 

204,178

 

 

 

 

 

 

 

Total liabilities

 

143,998,904

 

150,677,334

 

 

 

 

 

 

 

Commitments and Contingencies (Notes 14, 17 and 19)

 

 

 

 

 

 

 

 

 

 

 

Capital (Note 14)

 

 

 

 

 

Capital stock ($100 par value), putable, issued and outstanding shares: 63,114 at March 31, 2018 and 67,500 at December 31, 2017

 

6,311,396

 

6,750,005

 

Retained earnings

 

 

 

 

 

Unrestricted

 

1,070,847

 

1,067,097

 

Restricted (Note 14)

 

504,430

 

479,185

 

Total retained earnings

 

1,575,277

 

1,546,282

 

Total accumulated other comprehensive income (loss)

 

(3,971

)

(55,249

)

 

 

 

 

 

 

Total capital

 

7,882,702

 

8,241,038

 

 

 

 

 

 

 

Total liabilities and capital

 

$

151,881,606

 

$

158,918,372

 

 

The accompanying notes are an integral part of these financial statements.

 

3



Table of Contents

 

Federal Home Loan Bank of New York

Statements of Income — Unaudited (In Thousands, Except Per Share Data)

For the Three Months Ended March 31, 2018 and 2017

 

 

 

Three months ended
March 31,

 

 

 

2018

 

2017

 

Interest income

 

 

 

 

 

Advances, net (Note 9)

 

$

546,460

 

$

316,771

 

Interest-bearing deposits

 

64

 

35

 

Securities purchased under agreements to resell (Note 4)

 

10,109

 

3,305

 

Federal funds sold (Note 4)

 

67,518

 

27,601

 

Trading securities (Note 5)

 

9,124

 

139

 

Available-for-sale securities (Note 7)

 

2,845

 

2,251

 

Held-to-maturity securities (Note 8)

 

110,315

 

86,419

 

Mortgage loans held-for-portfolio (Note 10)

 

24,203

 

22,858

 

Loans to other FHLBanks (Note 20)

 

7

 

8

 

 

 

 

 

 

 

Total interest income

 

770,645

 

459,387

 

 

 

 

 

 

 

Interest expense

 

 

 

 

 

Consolidated obligation bonds (Note 12)

 

366,174

 

206,484

 

Consolidated obligation discount notes (Note 12)

 

207,380

 

77,173

 

Deposits (Note 11)

 

3,505

 

1,824

 

Mandatorily redeemable capital stock (Note 14)

 

333

 

404

 

Cash collateral held and other borrowings

 

234

 

53

 

 

 

 

 

 

 

Total interest expense

 

577,626

 

285,938

 

 

 

 

 

 

 

Net interest income before provision for credit losses

 

193,019

 

173,449

 

 

 

 

 

 

 

Provision (Reversal) for credit losses on mortgage loans

 

(380

)

(301

)

 

 

 

 

 

 

Net interest income after provision for credit losses

 

193,399

 

173,750

 

 

 

 

 

 

 

Other income (loss)

 

 

 

 

 

Service fees and other

 

3,721

 

3,252

 

Instruments held at fair value - Unrealized gains (losses) (Note 18)

 

(53

)

1,719

 

Net realized and unrealized gains (losses) on derivatives and hedging activities (Note 17)

 

(18,800

)

(702

)

Net gains (losses) on Trading securities

 

(3,201

)

(52

)

Fair value gains (losses) on Equity Investments (Note 6)

 

(260

)

 

Provision for litigation settlement on derivative contracts

 

 

(70,000

)

 

 

 

 

 

 

Total other income (loss)

 

(18,593

)

(65,783

)

 

 

 

 

 

 

Other expenses

 

 

 

 

 

Operating

 

9,957

 

8,478

 

Compensation and benefits

 

18,768

 

17,366

 

Finance Agency and Office of Finance

 

4,259

 

3,776

 

Other expenses

 

1,535

 

1,008

 

Total other expenses

 

34,519

 

30,628

 

 

 

 

 

 

 

Income before assessments

 

140,287

 

77,339

 

 

 

 

 

 

 

Affordable Housing Program Assessments (Note 13)

 

14,062

 

7,774

 

 

 

 

 

 

 

Net income

 

$

126,225

 

$

69,565

 

 

 

 

 

 

 

Basic earnings per share (Note 15)

 

$

1.93

 

$

1.12

 

 

 

 

 

 

 

Cash dividends paid per share

 

$

1.64

 

$

1.42

 

 

The accompanying notes are an integral part of these financial statements.

 

4



Table of Contents

 

Federal Home Loan Bank of New York

Statements of Comprehensive Income — Unaudited (In Thousands)

For the Three Months Ended March 31, 2018 and 2017

 

 

 

Three months ended March 31,

 

 

 

2018

 

2017

 

 

 

 

 

 

 

Net Income

 

$

126,225

 

$

69,565

 

Other Comprehensive income (loss)

 

 

 

 

 

Net change in unrealized gains (losses) on available-for-sale securities

 

(125

)

2,704

 

Net change in non-credit portion of other-than-temporary impairment losses on held-to-maturity securities

 

 

 

 

 

Accretion of non-credit portion of OTTI

 

875

 

5,864

 

Total net change in non-credit portion of other-than-temporary impairment losses on held-to-maturity securities

 

875

 

5,864

 

Net change in unrealized gains/losses relating to hedging activities

 

 

 

 

 

Unrealized gains (losses)

 

54,738

 

10,086

 

Reclassification of losses included in net income

 

35

 

309

 

Total net change in unrealized gains (losses) relating to hedging activities

 

54,773

 

10,395

 

Net change in pension and postretirement benefits

 

679

 

340

 

Total other comprehensive income (loss)

 

56,202

 

19,303

 

Total comprehensive income

 

$

182,427

 

$

88,868

 

 

The accompanying notes are an integral part of these financial statements.

 

5



Table of Contents

 

Federal Home Loan Bank of New York

Statements of Capital — Unaudited (In Thousands, Except Per Share Data)

For the Three Months Ended March 31, 2018 and 2017

 

 

 

 

 

 

 

 

 

 

 

 

 

Accumulated

 

 

 

 

 

Capital Stock (a) 

 

 

 

 

 

 

 

Other

 

 

 

 

 

Class B

 

Retained Earnings

 

Comprehensive

 

Total

 

 

 

Shares

 

Par Value

 

Unrestricted

 

Restricted

 

Total

 

Income (Loss)

 

Capital

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, December 31, 2016

 

63,077

 

6,307,766

 

$

1,028,674

 

$

383,291

 

$

1,411,965

 

$

(95,650

)

$

7,624,081

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Proceeds from issuance of capital stock

 

9,879

 

987,901

 

 

 

 

 

987,901

 

Repurchase/redemption of capital stock

 

(13,216

)

(1,321,651

)

 

 

 

 

(1,321,651

)

Shares reclassified to mandatorily redeemable capital stock

 

(2

)

(215

)

 

 

 

 

(215

)

Cash dividends ($1.42 per share) on capital stock

 

 

 

(86,953

)

 

(86,953

)

 

(86,953

)

Comprehensive income

 

 

 

52,736

 

16,829

 

69,565

 

19,303

 

88,868

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, March 31, 2017

 

59,738

 

$

5,973,801

 

$

994,457

 

$

400,120

 

$

1,394,577

 

$

(76,347

)

$

7,292,031

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, December 31, 2017

 

67,500

 

$

6,750,005

 

$

1,067,097

 

$

479,185

 

$

1,546,282

 

$

(55,249

)

$

8,241,038

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Adjustments to opening balances (b)

 

 

 

4,924

 

 

4,924

 

(4,924

)

 

Proceeds from issuance of capital stock

 

18,716

 

1,871,635

 

 

 

 

 

1,871,635

 

Repurchase/redemption of capital stock

 

(23,101

)

(2,310,120

)

 

 

 

 

(2,310,120

)

Shares reclassified to mandatorily redeemable capital stock

 

(1

)

(124

)

 

 

 

 

(124

)

Cash dividends ($1.64 per share) on capital stock

 

 

 

(102,154

)

 

(102,154

)

 

(102,154

)

Comprehensive income

 

 

 

100,980

 

25,245

 

126,225

 

56,202

 

182,427

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, March 31, 2018

 

63,114

 

$

6,311,396

 

$

1,070,847

 

$

504,430

 

$

1,575,277

 

$

(3,971

)

$

7,882,702

 

 


(a)         Putable stock

(b)         Cumulative catch-up adjustment upon adoption of ASU 2016-01 relating to change in the designation of funds in the grantor trusts from AFS to Equity Investments.

 

The accompanying notes are an integral part of these financial statements.

 

6



Table of Contents

 

Federal Home Loan Bank of New York

Statements of Cash Flows — Unaudited (In Thousands)

For the Three Months Ended March 31, 2018 and 2017

 

 

 

Three months ended March 31,

 

 

 

2018

 

2017

 

Operating activities

 

 

 

 

 

 

 

 

 

 

 

Net Income

 

$

126,225

 

$

69,565

 

 

 

 

 

 

 

Adjustments to reconcile net income to net cash provided by operating activities:

 

 

 

 

 

Depreciation and amortization:

 

 

 

 

 

Net premiums and discounts on consolidated obligations, investments, mortgage loans and other adjustments

 

63,213

 

(5,143

)

Concessions on consolidated obligations

 

721

 

1,067

 

Premises, software, and equipment

 

1,286

 

911

 

Provision for litigation settlement on derivative contracts

 

 

70,000

 

Provision/(Reversal) for credit losses on mortgage loans

 

(380

)

(301

)

Change in net fair value adjustments on derivatives and hedging activities

 

124,780

 

12,917

 

Net realized and unrealized losses on trading securities

 

3,201

 

52

 

Change in fair value on Equity Investments

 

260

 

 

Change in fair value adjustments on financial instruments held at fair value

 

53

 

(1,655

)

Net change in:

 

 

 

 

 

Accrued interest receivable

 

(24,305

)

(9,599

)

Derivative assets due to accrued interest

 

(22,499

)

(8,651

)

Derivative liabilities due to accrued interest

 

31,886

 

463

 

Other assets

 

(770

)

1,282

 

Affordable Housing Program liability

 

5,602

 

(7,250

)

Accrued interest payable

 

(14,919

)

15,621

 

Other liabilities

 

5,145

 

5,209

 

Total adjustments

 

173,274

 

74,923

 

Net cash provided by operating activities

 

299,499

 

144,488

 

Investing activities

 

 

 

 

 

Net change in:

 

 

 

 

 

Interest-bearing deposits

 

(12,100

)

28,851

 

Securities purchased under agreements to resell

 

(1,350,000

)

540,000

 

Federal funds sold

 

(974,000

)

(6,125,000

)

Deposits with other FHLBanks

 

104

 

114

 

Premises, software, and equipment

 

(2,002

)

(9,233

)

Trading securities:

 

 

 

 

 

Purchased (a)

 

(596,033

)

 

Proceeds from sales

 

 

100,164

 

Equity Investments (b):

 

 

 

 

 

Purchased

 

(838

)

 

Proceeds from sales

 

505

 

 

Available-for-sale securities (b):

 

 

 

 

 

Purchased

 

 

(1,733

)

Repayments

 

24,197

 

36,871

 

Proceeds from sales

 

 

483

 

Held-to-maturity securities (c):

 

 

 

 

 

Long-term securities

 

 

 

 

 

Purchased

 

(1,080,812

)

(1,016,232

)

Repayments

 

742,028

 

504,307

 

Advances:

 

 

 

 

 

Principal collected

 

249,613,786

 

216,325,400

 

Made

 

(239,644,909

)

(208,589,243

)

Mortgage loans held-for-portfolio:

 

 

 

 

 

Principal collected

 

65,246

 

68,375

 

Purchased

 

(49,152

)

(110,027

)

Proceeds from sales of REO

 

316

 

663

 

Net change in loans to other FHLBanks

 

 

255,000

 

Net cash provided by investing activities

 

6,736,336

 

2,008,760

 

 

The accompanying notes are an integral part of these financial statements.

 

7



Table of Contents

 

Federal Home Loan Bank of New York

Statements of Cash Flows — Unaudited (In Thousands)

For the Three Months Ended March 31, 2018 and 2017

 

 

 

Three months ended March 31,

 

 

 

2018

 

2017

 

Financing activities

 

 

 

 

 

Net change in:

 

 

 

 

 

Deposits and other borrowings

 

$

124,512

 

$

71,829

 

Derivative contracts with financing element

 

(2,727

)

(4,552

)

Consolidated obligation bonds:

 

 

 

 

 

Proceeds from issuance

 

26,598,486

 

18,342,032

 

Payments for maturing and early retirement

 

(40,136,378

)

(16,954,757

)

Consolidated obligation discount notes:

 

 

 

 

 

Proceeds from issuance

 

288,894,082

 

218,868,864

 

Payments for maturing

 

(282,012,702

)

(222,055,972

)

Capital stock:

 

 

 

 

 

Proceeds from issuance of capital stock

 

1,871,635

 

987,901

 

Payments for repurchase/redemption of capital stock

 

(2,310,120

)

(1,321,651

)

Redemption of mandatorily redeemable capital stock

 

(1,305

)

(11,144

)

Cash dividends paid (d)

 

(102,154

)

(86,953

)

Net cash used in financing activities

 

(7,076,671

)

(2,164,403

)

Net decrease in cash and due from banks

 

(40,836

)

(11,155

)

Cash and due from banks at beginning of the period (e)

 

127,403

 

151,769

 

Cash and due from banks at end of the period (e)

 

$

86,567

 

$

140,614

 

 

 

 

 

 

 

Supplemental disclosures:

 

 

 

 

 

Interest paid

 

$

366,398

 

$

207,446

 

Interest paid for Discount Notes (f)

 

$

183,461

 

$

67,407

 

Affordable Housing Program payments (g)

 

$

8,460

 

$

15,024

 

Transfers of mortgage loans to real estate owned

 

$

49

 

$

313

 

Capital stock subject to mandatory redemption reclassified from equity

 

$

124

 

$

215

 

Securities traded but not settled

 

$

 

$

270,565

 

 


Notes to Supplemental Disclosure:

 

Non-cash transactions not included in the Statements of Cash Flows in the three months ended March 31, 2018:

 

(a)              Ambac corporate notes at fair values of $3.6 million were received as non-cash considerations on mortgage-backed securities insured by the Ambac Corporation.  The notes were designated as Trading Securities.

(b)              Equity Investments at fair values of $48.6 million were recorded at January 1, 2018 as a non-cash transfer from the available-for-sale category to Equity Investments upon adoption of ASU 2016-01.  The ASU requires certain equity investments to be measured at fair value through earnings, thus eliminating eligibility for the available-for-sale category.  Upon implementation of the ASU, a $4.9 million cumulative catch-up adjustment, representing net valuation gain at December 31, 2017, was reclassified from AOCI to retained earnings at January 1, 2018.

(c)               Non-cash $0.4 million principal pay-down on a held-to-maturity MBS that was also part of the considerations received from Ambac Corporation.

 

Other Notes

 

(d)              Does not include payments to holders of mandatorily redeemable capital stock.  Such payments are considered as interest expense and reported within operating cash flows.

(e)     Cash and due from banks did not include any restricted cash or cash equivalents.  Includes pass-thru reserves at the Federal Reserve Bank of New York.  See Note 3. Cash and Due from Banks for further information.

(f)                 Interest paid disclosures have been supplemented for the three months ended March 31, 2018 and 2017 under the disclosure guidance provided by ASU 2016-15 Statements of Cash flows (Topic 230), “Classification of Certain Cash Receipts and Cash Payments”, which the FHLBNY adopted on January 1, 2018: the line item is the portion of the cash payments at settlement of zero-coupon Consolidated obligation discount notes.

(g)              AHP payments = (beginning accrual - ending accrual) + AHP assessment for the period; payments represent funds released to the Affordable Housing Program.

 

The accompanying notes are an integral part of these financial statements.

 

8



Table of Contents

 

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

 

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.  The FHLBanks, including the FHLBNY, are exempt from ordinary federal, state, and local taxation except for real property taxes.

 

Assessments.  Affordable Housing Program (“AHP”) 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 11 FHLBanks must allocate the greater of $100 million or 10% of their regulatory defined net income for the Affordable Housing Program.

 

Note 1.                                                         Significant Accounting Policies and Estimates.

 

Basis of Presentation

 

The accompanying financial statements of the Federal Home Loan Bank of New York have been prepared in accordance with Generally Accepted Accounting Principles in the United States (“GAAP”) and with the instructions provided by the Securities and Exchange Commission (“SEC”).

 

Significant Accounting Policies and Estimates

 

The FHLBNY has identified certain accounting policies that it believes are significant 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.  These policies include estimating the allowance for credit losses on the advance and mortgage loan portfolios, evaluating the impairment of the FHLBNY’s securities portfolios, and estimating fair values of certain assets and liabilities.  Other than the recently adopted policies as discussed below, there have been no significant changes to accounting policies from those identified in Note 1. Significant Accounting Policies and Estimates in Notes to the Financial Statements in the Bank’s most recent Form 10-K filed on March 22, 2018, which contains a summary of the Bank’s significant accounting policies and estimates.

 

Recently Adopted Significant Accounting Policies

 

Recognition and Measurement of Financial Assets and Financial Liabilities.  In January 2016, the FASB issued ASU No. 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities, as an amendment to Financial Instruments — Overall (Subtopic 825-10).  The amendments provide guidance on certain aspects of recognition, measurement, presentation, and disclosure of financial instruments.

 

This ASU requires entities to present separately in OCI the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments.  To evaluate this provision, we have analyzed the FHLBank issued Consolidated obligation debt (“CO debt”), for which the fair value option has been elected, and have estimated the instrument-specific credit risk of CO debt as deminimis, if any, and accordingly no cumulative catch-up reclassification was necessary upon adoption at January 1, 2018.

 

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Table of Contents

 

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

 

The ASU also requires certain equity investments to be measured at fair value with changes in fair value recognized in net income, thus eliminating eligibility for the current available-for-sale category.  Our analysis of this provision in the ASU identified certain mutual fund assets in grantor trusts that were designated as available-for-sale and subject to this provision of the ASU.  The adoption of the guidance on January 1, 2018, resulted in an immaterial cumulative catch-up reclassification of the fair values of the trust assets from AOCI to retained earnings.  Prior period financial statements would not be subject to restatement under the transition provisions of this ASU.

 

Revenue Recognition.  In May 2014, the FASB issued ASU No. 2014-09, (Topic 606): Revenue from Contracts with Customers.  The FASB and the International Accounting Standards Board (“IASB”) initiated a joint project to clarify the principles for recognizing revenue and to develop a common revenue standard for U.S. GAAP and International Financial Reporting Standards (“IFRS”) that would remove inconsistencies and improve comparability of revenue recognition practices across entities and industries, and provide more useful information to users of financial statements through improved disclosure requirements.  The core principle of the guidance is that an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services.  The guidance provides entities with the option of using either of the following adoption methods: a full retrospective method, retrospectively to each prior reporting period presented; or a modified retrospective method, retrospectively with the cumulative effect of initially applying this guidance recognized at the date of initial application.  The FHLBNY elected to use the modified retrospective method to adopt the guidance as of January 1, 2018.

 

Our net income is derived principally from net interest income on financial assets and liabilities, which is explicitly excluded from the scope of this guidance.  Certain other streams of non-interest revenues, which relate to fee revenues from commitments and financial letters of credit, were evaluated and we have concluded that such fees and associated expenses are out of scope of the standard and therefore will not be impacted by the adoption of this guidance.  We have also analyzed the recognition of gains and losses when mortgage loans are foreclosed and transferred to real estate owned status (“OREO”), and have concluded that while such line items are in-scope of the standard, adoption resulted in an immaterial impact on our financial condition, results of operations, and cash flows.

 

For information on policies adopted in 2017, see Recently Adopted Significant Accounting Policies in Note 1 in the Bank’s most recent Form 10-K filed on March 22, 2018.

 

Note 2.                     Recently Issued Accounting Standards and Interpretations.

 

Derivatives and Hedging.  In August 2017, the FASB issued ASU 2017-12, Targeted Improvements to Accounting for Hedging Activities (Topic 815).  The FASB has issued this ASU with the objective of improving the financial reporting of hedging relationships to better portray the economic results of an entity’s risk management activities in its financial statements. In addition to that main objective, the amendments in this ASU make certain targeted improvements to simplify the application of the hedge accounting guidance in current GAAP.  The amendments in this guidance are effective for fiscal years beginning after December 15, 2018 (January 1, 2019 for the FHLBNY).  While early application is permitted in any interim period after issuance of the ASU, the FHLBNY has elected to not early adopt the guidances under the ASU.

 

While the FHLBNY is in the process of evaluating this ASU, we expect to realize operational benefits upon adoption, and potentially to also benefit from expanded hedging opportunities permitted under the ASU.  Other than changes in disclosures required under the ASU, the FHLBNY does not believe adoption will have a material effect on its financial condition, results of operations, and cash flows.

 

Accounting for Financial Instruments Credit Losses.  In June 2016, the FASB issued ASU 2016-13, Financial Instruments Credit Losses (Topic 326)The ASU introduces a new accounting model, the Current Expected Credit Losses model (“CECL”), which requires earlier recognition of credit losses, while also providing additional transparency about credit risk.  The FASB’s CECL model utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity securities and other receivables at the time the financial asset is originated or acquired.  The expected credit losses are adjusted each period for changes in

 

10



Table of Contents

 

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

 

expected lifetime credit losses.  For available-for-sale securities where fair value is less than cost, credit-related impairment, if any, will be recognized in an allowance for credit losses and adjusted each period for changes in expected credit risk.  This model replaces the multiple existing impairment models in current GAAP, which generally require that a loss be incurred before it is recognized.  We are in the process of evaluating this guidance.  The CECL model represents a significant departure from existing GAAP, but we do not expect adoption will have a material impact on our financial condition, results of operations, and cash flows.  This guidance is effective for interim and annual periods beginning on January 1, 2020.  Early application is permitted as of the interim and annual reporting periods beginning after December 15, 2018 (January 1, 2019 for the FHLBNY).  The FHLBNY does not intend to early adopt the ASU.

 

Lease Accounting.  In February 2016, the FASB issued ASU No. 2016-02, Leases (Topic 842), which is intended to increase transparency and comparability of accounting for lease transactions.  The ASU will require lessees to recognize all leases on the balance sheet as lease assets and lease liabilities and will require both quantitative and qualitative disclosures regarding key information about leasing arrangements.  The FHLBNY will adopt the guidance on its effective date of January 1, 2019.  In 2017, we entered into long-term lease contracts for our office premises in New York and New Jersey.  Beginning January 1, 2019, all leases will be recognized on our balance sheet under ASU No. 2016-02 Leases (Topic 842).  Recognition of the “right-to-use” asset and an offsetting lease liability for our operating leases under the ASU would have a minimal impact on our statements of condition and the statements of income upon adoption.  The leasing standard is required to be applied to leases in existence as of the date of adoption, January 1, 2019, and under recent amendments to the ASU, entities may elect not to restate comparative periods.

 

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 included in Cash and due from banks.  The FHLBNY is exempted from maintaining any required clearing balance at the Federal Reserve Bank of New York.

 

Compensating Balances

 

The FHLBNY maintains compensating collected cash balances at Citibank 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.  There was no compensating balance at March 31, 2018; at December 31, 2017, the compensating balance at Citibank included in Cash and due from banks was $41.1 million.

 

Pass-through Deposit Reserves

 

The FHLBNY acts as a pass-through correspondent for member institutions who are required by banking regulations to deposit reserves with the Federal Reserve Banks.  Pass-through reserves deposited with Federal Reserve Banks on behalf of the members by the FHLBNY were $76.5 million at March 31, 2018 and $84.2 million at December 31, 2017.  The liabilities offsetting the pass-through reserves were due to member institutions and were recorded in Other liabilities in the Statements of Condition.

 

Note 4.                                                                     Federal Funds Sold and Securities Purchased Under Agreements to Resell.

 

Federal funds sold — Federal funds sold are unsecured advances to third parties.

 

Securities purchased under agreements to resell — As part of the FHLBNY’s banking activities, 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 marketable securities are taken as collateral.  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

 

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Table of Contents

 

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

 

if the counterparty fails to post the additional margin.  Agreements generally allow the FHLBNY to repledge securities under certain conditions.  No adjustments for instrument-specific credit risk were deemed necessary as market values of collateral were in excess of principal amounts loaned.

 

At March 31, 2018 and December 31, 2017, the outstanding balances of Securities purchased under agreements to resell were $4.1 billion and $2.7 billion that 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.  U.S. Treasury securities, market values $4.2 billion and $2.8 billion, were received at BONY to collateralize the overnight investments at March 31, 2018 and December 31, 2017.  No overnight investments had been executed bilaterally with counterparties.  Securities purchased under agreements to resell averaged $2.8 billion and $2.3 billion in the three months ended March 31, 2018 and 2017.  Interest income from securities purchased under agreements to resell were $10.1 million and $3.3 million for the three months ended March 31, 2018 and the same period in 2017.

 

Transactions recorded as Securities purchased under agreements to resell (reverse repos) were accounted as collateralized financing transactions.

 

Note 5.                Trading Securities.

 

The carrying value of a trading security equals its fair value.  The following table provides major security types at March 31, 2018 and December 31, 2017 (in thousands):

 

Fair value

 

March 31, 2018

 

December 31, 2017

 

GSE securities

 

$

585,551

 

$

356,899

 

Corporate notes

 

3,640

 

 

U.S. Treasury notes

 

1,412,184

 

1,045,605

 

U.S. Treasury bills

 

239,868

 

239,064

 

Total Trading securities

 

$

2,241,243

 

$

1,641,568

 

 

The FHLBNY received Ambac corporate notes from the Ambac Corporation as consideration for insurance claims on certain Ambac insured private-label mortgage-backed securities owned by the FHLBNY.  The Ambac notes were designated as trading securities.

 

The carrying values of trading securities included net unrealized fair value losses of $4.1 million at March 31, 2018 and $1.1 million at December 31, 2017.

 

Trading Securities Pledged

 

The FHLBNY had pledged marketable securities at fair values of $239.9 million at March 31, 2018 and $239.1 million at December 31, 2017 to derivative clearing organizations to fulfill the FHLBNY’s initial margin requirements as mandated under margin rules of the Commodities Futures Trading Commission (“CFTC”).  The clearing organizations have rights to sell or repledge the collateral securities under certain conditions.

 

12



Table of Contents

 

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

 

Redemption Terms

 

The remaining maturities and estimated fair values of investments classified as trading (a) were as follows (dollars in thousands):

 

 

 

March 31, 2018

 

 

 

Due in one year
or less

 

Due after one
year through
five years

 

Total Fair
Value

 

GSE securities

 

$

585,551

 

$

 

$

585,551

 

Corporate notes

 

 

3,640

 

3,640

 

U.S. Treasury notes

 

1,412,184

 

 

1,412,184

 

U.S. Treasury bills

 

239,868

 

 

239,868

 

Total Trading securities

 

$

2,237,603

 

$

3,640

 

$

2,241,243

 

Yield on Trading securities

 

1.71

%

1.79

%

 

 

 

 

 

December 31, 2017

 

 

 

Due in one year
or less

 

Due after one
year through
five years

 

Total Fair
Value

 

GSE securities

 

$

210,390

 

$

146,509

 

$

356,899

 

U.S. Treasury notes

 

1,045,605

 

 

1,045,605

 

U.S. Treasury bills

 

239,064

 

 

239,064

 

Total Trading securities

 

$

1,495,059

(b)

$

146,509

(b)

$

1,641,568

 

Yield on Trading securities

 

1.34

%

1.28

%

 

 

 


(a)         We have classified investments acquired for purposes of meeting short-term contingency and other liquidity needs as trading securities, which are carried at their fair values.  In accordance with Finance Agency guidance, we do not participate in speculative trading practices.

(b)         Total amounts for the redemption categories were revised for mathematical errors. It was not necessary to revise any other data.

 

Note 6.                     Equity Investments

 

The carrying value of Equity Investments equals fair value.  The following table provides types of funds in the grantor trusts owned by the FHLBNY (in thousands):

 

 

 

March 31, 2018

 

 

 

 

 

Gross

 

Gross

 

 

 

 

 

Amortized

 

Unrealized

 

Unrealized

 

Fair

 

 

 

Cost

 

Gains (b)

 

Losses (b)

 

Value (c)

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents

 

$

541

 

$

 

$

 

$

541

 

Equity funds

 

25,559

 

5,235

 

(80

)

30,714

 

Fixed income funds

 

18,146

 

2

 

(494

)

17,654

 

Total Equity Investments (a)

 

$

44,246

 

$

5,237

 

$

(574

)

$

48,909

 

 


(a)         ASU 2016- 01 was adopted on January 1, 2018 and the FHLBNY made a non-cash transfer of grantor trusts to the Equity Investments category.  Prior to January 1, 2018 these investments were classified as available-for-sale.  The intent of the grantor trusts is to set aside cash to meet current and future payments for supplemental unfunded pension plans.  Neither the pension plans nor employees of the FHLBNY own the trust.

(b)         Changes in unrealized gains and losses are recorded through earnings, specifically in Other income in the Statements of Income.

(c)          The grantor trusts invest 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 trusts.

 

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Table of Contents

 

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

 

The portion of unrealized gains and losses for the period related to Equity Investments still held was calculated as follows (in thousands):

 

 

 

Three Months Ended

 

 

 

March 31, 2018

 

Net gains and losses recognized during the period

 

$

(260

)

Less: Net gains and losses recognized during the period on equity investments sold during the period

 

 

Unrealized gains and losses recognized during the reporting period on equity investments still held at the reporting date

 

$

(260

)

 

Note 7.                     Available-for-Sale Securities.

 

The carrying value of an AFS security equals its fair value.  At March 31, 2018 and December 31, 2017, no AFS security was other-than-temporarily impaired.  The following tables provide major security types (in thousands):

 

 

 

March 31, 2018

 

 

 

 

 

Gross

 

Gross

 

 

 

 

 

Amortized

 

Unrealized

 

Unrealized

 

Fair

 

 

 

Cost

 

Gains (b)

 

Losses (b)

 

Value

 

 

 

 

 

 

 

 

 

 

 

GSE and U.S. Obligations

 

 

 

 

 

 

 

 

 

Mortgage-backed securities

 

 

 

 

 

 

 

 

 

CMO-Floating

 

$

467,660

 

$

5,104

 

$

 

$

472,764

 

CMBS-Floating

 

31,614

 

25

 

 

31,639

 

Total Available-for-sale securities

 

$

499,274

 

$

5,129

 

$

 

$

504,403

 

 

 

 

December 31, 2017

 

 

 

 

 

Gross

 

Gross

 

 

 

 

 

Amortized

 

Unrealized

 

Unrealized

 

Fair

 

 

 

Cost

 

Gains (b)

 

Losses (b)

 

Value

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents (a)

 

$

893

 

$

 

$

 

$

893

 

Equity funds (a)

 

24,869

 

5,126

 

(3

)

29,992

 

Fixed income funds (a)

 

17,957

 

43

 

(243

)

17,757

 

GSE and U.S. Obligations

 

 

 

 

 

 

 

 

 

Mortgage-backed securities

 

 

 

 

 

 

 

 

 

CMO-Floating

 

490,249

 

5,163

 

 

495,412

 

CMBS-Floating

 

33,123

 

92

 

 

33,215

 

Total Available-for-sale securities

 

$

567,091

 

$

10,424

 

$

(246

)

$

577,269

 

 


(a)         At December 31, 2017, funds in the FHLBNY’s grantor trusts were designated as available-for-sale.  Upon adoption of ASU 2016-01, the funds were designated as Equity Investments.  For more information, see Note 6.  Equity Investments.

(b)         Recorded in AOCI — Net unrealized fair value gains were $5.1 million at March 31, 2018 and $10.2 million at December 31, 2017.

 

14



Table of Contents

 

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

 

Impairment Analysis of AFS Securities

 

The FHLBNY’s portfolio of MBS classified as AFS is comprised of GSE-issued collateralized mortgage obligations and floating rate CMBS, and U.S. Agency issued MBS.  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.  Fair values of mortgage-backed securities in the AFS portfolio were in excess of their amortized costs at March 31, 2018, and no security was in a loss position for 12 months or longer in the first quarter 2018.  Based on the 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.

 

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) of investments classified as AFS, by contractual maturity, were as follows (in thousands):

 

 

 

March 31, 2018

 

December 31, 2017

 

 

 

Amortized Cost (c)

 

Fair Value

 

Amortized Cost (c)

 

Fair Value

 

Mortgage-backed securities

 

 

 

 

 

 

 

 

 

Due after one year through five years

 

$

31,614

 

$

31,639

 

$

33,123

 

$

33,215

 

Due after ten years

 

467,660

 

472,764

 

490,249

 

495,412

 

Fixed income/bond funds, equity funds and cash equivalents (b)

 

 

 

43,719

 

48,642

 

 

 

 

 

 

 

 

 

 

 

Total Available-for-sale securities

 

$

499,274

 

$

504,403

 

$

567,091

 

$

577,269

 

 


(a)         The carrying value of AFS securities equals fair value.

(b)         Funds in the grantor trusts are determined to be redeemable at short notice.  Fair values are the daily NAVs of the bond and equity funds.  See Note 6. Equity Investments for more information.

(c)          Amortized cost is after adjusting for net unamortized discounts of $1.8 million and $1.9 million at March 31, 2018 and December 31, 2017.

 

Interest Rate Payment Terms

 

The following table summarizes interest rate payment terms of investments in mortgage-backed securities classified as AFS securities (in thousands):

 

 

 

March 31, 2018

 

December 31, 2017

 

 

 

Amortized Cost

 

Fair Value

 

Amortized Cost

 

Fair Value

 

Mortgage-backed securities

 

 

 

 

 

 

 

 

 

CMO floating - LIBOR

 

$

467,660

 

$

472,764

 

$

490,249

 

$

495,412

 

CMBS floating - LIBOR

 

31,614

 

31,639

 

33,123

 

33,215

 

 

 

 

 

 

 

 

 

 

 

Total Mortgage-backed securities (a)

 

$

499,274

 

$

504,403

 

$

523,372

 

$

528,627

 

 


(a)         Total will not agree to total AFS portfolio at December 31, 2017 because the grantor trusts, which primarily comprise of mutual funds, have been excluded.

 

15



Table of Contents

 

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

 

Note 8.                   Held-to-Maturity Securities.

 

Major Security Types (in thousands)

 

 

 

March 31, 2018

 

 

 

 

 

OTTI

 

 

 

Gross

 

Gross

 

 

 

 

 

Amortized

 

Recognized

 

Carrying

 

Unrecognized

 

Unrecognized

 

Fair

 

Issued, guaranteed or insured:

 

Cost (d)

 

in AOCI

 

Value

 

Holding Gains (a)

 

Holding Losses (a)

 

Value

 

Pools of Mortgages

 

 

 

 

 

 

 

 

 

 

 

 

 

Fannie Mae

 

$

90,649

 

$

 

$

90,649

 

$

6,882

 

$

 

$

97,531

 

Freddie Mac

 

17,987

 

 

17,987

 

1,257

 

 

19,244

 

Total pools of mortgages

 

108,636

 

 

108,636

 

8,139

 

 

116,775

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits

 

 

 

 

 

 

 

 

 

 

 

 

 

Fannie Mae

 

1,936,703

 

 

1,936,703

 

9,287

 

(6,315

)

1,939,675

 

Freddie Mac

 

1,173,809

 

 

1,173,809

 

7,806

 

(2,392

)

1,179,223

 

Ginnie Mae

 

13,701

 

 

13,701

 

171

 

 

13,872

 

Total CMOs/REMICs

 

3,124,213

 

 

3,124,213

 

17,264

 

(8,707

)

3,132,770

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commercial Mortgage-Backed Securities (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

Fannie Mae

 

2,879,965

 

 

2,879,965

 

1,994

 

(44,120

)

2,837,839

 

Freddie Mac

 

10,728,109

 

 

10,728,109

 

42,931

 

(60,482

)

10,710,558

 

Total commercial mortgage-backed securities

 

13,608,074

 

 

13,608,074

 

44,925

 

(104,602

)

13,548,397

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-GSE MBS (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

CMOs/REMICs

 

8,500

 

(163

)

8,337

 

94

 

(146

)

8,285

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

Manufactured housing (insured)

 

44,661

 

 

44,661

 

2,342

 

(27

)

46,976

 

Home equity loans (insured)

 

84,144

 

(8,245

)

75,899

 

28,589

 

(163

)

104,325

 

Home equity loans (uninsured)

 

50,433

 

(5,520

)

44,913

 

7,586

 

(771

)

51,728

 

Total asset-backed securities

 

179,238

 

(13,765

)

165,473

 

38,517

 

(961

)

203,029

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total MBS

 

17,028,661

 

(13,928

)

17,014,733

 

108,939

 

(114,416

)

17,009,256

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other

 

 

 

 

 

 

 

 

 

 

 

 

 

State and local housing finance agency obligations

 

1,147,185

 

 

1,147,185

 

601

 

(27,070

)

1,120,716

 

Total Held-to-maturity securities

 

$

18,175,846

 

$

(13,928

)

$

18,161,918

 

$

109,540

 

$

(141,486

)

$

18,129,972

 

 

16



Table of Contents

 

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

 

 

 

December 31, 2017

 

 

 

 

 

OTTI

 

 

 

Gross

 

Gross

 

 

 

 

 

Amortized

 

Recognized

 

Carrying

 

Unrecognized

 

Unrecognized

 

Fair

 

Issued, guaranteed or insured:

 

Cost (d)

 

in AOCI

 

Value

 

Holding Gains (a)

 

Holding Losses (a)

 

Value

 

Pools of Mortgages

 

 

 

 

 

 

 

 

 

 

 

 

 

Fannie Mae

 

$

97,579

 

$

 

$

97,579

 

$

7,978

 

$

 

$

105,557

 

Freddie Mac

 

20,160

 

 

20,160

 

1,512

 

 

21,672

 

Total pools of mortgages

 

117,739

 

 

117,739

 

9,490

 

 

127,229

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits

 

 

 

 

 

 

 

 

 

 

 

 

 

Fannie Mae

 

1,612,543

 

 

1,612,543

 

10,716

 

(662

)

1,622,597

 

Freddie Mac

 

960,374

 

 

960,374

 

7,485

 

(404

)

967,455

 

Ginnie Mae

 

14,513

 

 

14,513

 

175

 

 

14,688

 

Total CMOs/REMICs

 

2,587,430

 

 

2,587,430

 

18,376

 

(1,066

)

2,604,740

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commercial Mortgage-Backed Securities (b)

 

 

 

 

 

 

 

 

 

 

 

 

 

Fannie Mae

 

2,955,640

 

 

2,955,640

 

8,497

 

(15,639

)

2,948,498

 

Freddie Mac

 

10,834,852

 

 

10,834,852

 

76,196

 

(16,272

)

10,894,776

 

Total commercial mortgage-backed securities

 

13,790,492

 

 

13,790,492

 

84,693

 

(31,911

)

13,843,274

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-GSE MBS (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

CMOs/REMICs

 

9,159

 

(172

)

8,987

 

85

 

(385

)

8,687

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Asset-Backed Securities (c)

 

 

 

 

 

 

 

 

 

 

 

 

 

Manufactured housing (insured)

 

47,660

 

 

47,660

 

2,439

 

(40

)

50,059

 

Home equity loans (insured)

 

86,606

 

(8,746

)

77,860

 

26,479

 

(21

)

104,318

 

Home equity loans (uninsured)

 

52,740

 

(5,885

)

46,855

 

7,847

 

(973

)

53,729

 

Total asset-backed securities

 

187,006

 

(14,631

)

172,375

 

36,765

 

(1,034

)

208,106

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total MBS

 

16,691,826

 

(14,803

)

16,677,023

 

149,409

 

(34,396

)

16,792,036

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other

 

 

 

 

 

 

 

 

 

 

 

 

 

State and local housing finance agency obligations

 

1,147,510

 

 

1,147,510

 

204

 

(32,977

)

1,114,737

 

Total Held-to-maturity securities

 

$

17,839,336

 

$

(14,803

)

$

17,824,533

 

$

149,613

 

$

(67,373

)

$

17,906,773

 

 


(a)         Unrecognized gross holding gains and losses represent the difference between fair value and carrying value.

(b)         Commercial mortgage-backed securities (“CMBS”) are Agency issued securities, collateralized by income-producing “multifamily properties”.  Eligible property types include standard conventional multifamily apartments, affordable multifamily housing, seniors housing, student housing, military housing, and rural rent housing.

(c)          The amounts represent non-agency private-label mortgage- and asset-backed securities.

(d)         Amortized cost — For securities that were deemed to be OTTI, amortized cost represents unamortized cost less credit OTTI, net of credit OTTI reversed due to improvements in cash flows.

 

Certain non-Agency Private label MBS are insured by Ambac Assurance Corp (“Ambac”), MBIA Insurance Corp (“MBIA”) and Assured Guarantee Municipal Corp., (“AGM”).  Assumptions on the extent of expected reliance by the FHLBNY on insurance support by Ambac, AGM and MBIA to make whole expected cash shortfalls are noted under “Monoline insurance” within this Note 8.  Held-to-Maturity Securities.

 

Securities Pledged

 

The FHLBNY had pledged MBS, with an amortized cost basis of $5.5 million at March 31, 2018 and $5.7 million at December 31, 2017, 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.

 

17



Table of Contents

 

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

 

Unrealized Losses

 

The fair values and gross unrealized holding losses are aggregated by major security type and by the length of time the individual securities have been in a continuous unrealized loss position.  Unrealized losses represent the difference between fair value and amortized cost.  The baseline measure of unrealized loss is amortized cost, which is not adjusted for non-credit OTTI.  Total unrealized losses in these tables will not equal unrecognized holding losses in the Major Security Types tables.  Unrealized losses are calculated after adjusting for credit OTTI.  In the previous tables, unrecognized holding losses are adjusted for credit and non-credit OTTI.

 

The following tables summarize held-to-maturity securities with estimated fair values below their amortized cost basis (in thousands):

 

 

 

March 31, 2018

 

 

 

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

 

$

119,119

 

$

(1

)

$

237,921

 

$

(27,069

)

$

357,040

 

$

(27,070

)

MBS Investment Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

MBS-GSE

 

 

 

 

 

 

 

 

 

 

 

 

 

Fannie Mae

 

2,796,502

 

(36,034

)

323,910

 

(14,401

)

3,120,412

 

(50,435

)

Freddie Mac

 

4,738,908

 

(54,295

)

489,132

 

(8,579

)

5,228,040

 

(62,874

)

Total MBS-GSE

 

7,535,410

 

(90,329

)

813,042

 

(22,980

)

8,348,452

 

(113,309

)

MBS-Private-Label

 

2,849

 

(3

)

37,618

 

(1,264

)

40,467

 

(1,267

)

Total MBS

 

7,538,259

 

(90,332

)

850,660

 

(24,244

)

8,388,919

 

(114,576

)

Total

 

$

7,657,378

 

$

(90,333

)

$

1,088,581

 

$

(51,313

)

$

8,745,959

 

$

(141,646

)

 

 

 

December 31, 2017

 

 

 

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

 

$

191,872

 

$

(73

)

$

343,791

 

$

(32,904

)

$

535,663

 

$

(32,977

)

MBS Investment Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

MBS-GSE

 

 

 

 

 

 

 

 

 

 

 

 

 

Fannie Mae

 

1,181,936

 

(7,047

)

331,845

 

(9,254

)

1,513,781

 

(16,301

)

Freddie Mac

 

2,051,154

 

(8,968

)

781,211

 

(7,708

)

2,832,365

 

(16,676

)