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.
FEDERAL HOME LOAN BANK OF NEW YORK
FORM 10-Q FOR THE QUARTERLY PERIOD ENDED MARCH 31, 2018
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.
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 |
| ||||
|
|
|
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.
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.
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.
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.
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.
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.
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
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
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.
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 |
|
Due after one |
|
Total Fair |
| |||
|
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 |
|
Due after one |
|
Total Fair |
| |||
|
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.
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.
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.
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 |
|
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.
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 |
) | ||||||