UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM
For the quarterly period ended
or
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the transition period from to
Commission file number:
(Exact name of registrant as specified in its charter)
Federally chartered corporation |
| |
(State or other jurisdiction of | (I.R.S. Employer | |
incorporation or organization) | Identification No.) | |
(Address of principal executive offices) | (Zip Code) |
(
(Registrant’s telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Act:
Title of each class | Trading Symbol(s) | Name of each exchange on which registered |
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.
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted 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 such files).
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 ☐ | Accelerated filer ☐ | |
Smaller reporting company | ||
Emerging growth company |
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The number of shares outstanding of issuer’s Class B capital stock as of April 30, 2022 was
FEDERAL HOME LOAN BANK OF NEW YORK
FORM 10-Q FOR THE QUARTERLY PERIOD ENDED MARCH 31, 2022
Table of Contents
2
Federal Home Loan Bank of New York
Statements of Condition — Unaudited (In Thousands, Except Par Value of Capital Stock)
As of March 31, 2022 and December 31, 2021
| March 31, 2022 |
| December 31, 2021 | |||
Assets | ||||||
Cash and due from banks (Note 3) | $ | | $ | | ||
Interest-bearing deposits (Note 4) | | | ||||
Securities purchased under agreements to resell (Note 4) |
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Federal funds sold (Note 4) |
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Trading securities (Note 5) | ||||||
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Equity Investments (Note 6) | | | ||||
Available-for-sale securities, amortized cost of $ |
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Advances (Note 9) (Includes $ |
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Mortgage loans held-for-portfolio, net of allowance for credit losses of $ |
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Accrued interest receivable | | | ||||
Premises, software, and equipment |
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Operating lease right-of-use assets (Note 19) | | | ||||
Derivative assets (Note 17) |
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Other assets |
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Total assets | $ | | $ | | ||
Liabilities and capital | ||||||
Liabilities | ||||||
Deposits (Note 11) | ||||||
Interest-bearing demand | $ | | $ | | ||
Non-interest-bearing demand |
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Total deposits |
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Consolidated obligations, net (Note 12) | ||||||
Bonds (Includes $ |
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Discount notes (Includes $ |
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Total consolidated obligations |
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Mandatorily redeemable capital stock (Note 14) |
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Accrued interest payable |
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Affordable Housing Program (Note 13) |
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Derivative liabilities (Note 17) |
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Other liabilities |
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Operating lease liabilities (Note 19) | | | ||||
Total liabilities |
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Commitments and Contingencies (Notes 14, 17 and 19) | ||||||
Capital (Note 14) | ||||||
Capital stock ($ |
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Retained earnings | ||||||
Unrestricted |
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Restricted (Note 14) |
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Total retained earnings |
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Total accumulated other comprehensive income (loss) |
| ( |
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Total capital |
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Total liabilities and capital | $ | | $ | |
The accompanying notes are an integral part of these financial statements.
3
Federal Home Loan Bank of New York
Statements of Income — Unaudited (In Thousands, Except Per Share Data)
For the Three Months Ended March 31, 2022 and 2021
Three months ended | ||||||
March 31, | ||||||
| 2022 |
| 2021 | |||
Interest income | ||||||
Advances, net (Note 9) | $ | | $ | | ||
Interest-bearing deposits (Note 4) |
| |
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Securities purchased under agreements to resell (Note 4) |
| |
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Federal funds sold (Note 4) |
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Trading securities (Note 5) | | | ||||
Available-for-sale securities (Note 7) |
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Held-to-maturity securities (Note 8) |
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Mortgage loans held-for-portfolio (Note 10) |
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Loans to other FHLBanks (Note 20) |
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| — | ||
Total interest income |
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Interest expense | ||||||
Consolidated obligation bonds (Note 12) |
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Consolidated obligation discount notes (Note 12) |
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Deposits (Note 11) |
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Mandatorily redeemable capital stock (Note 14) |
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Cash collateral held and other borrowings |
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Total interest expense |
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Net interest income before provision for credit losses |
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Provision (Reversal) for credit losses |
| ( |
| ( | ||
Net interest income after provision for credit losses |
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Other income (loss) | ||||||
Service fees and other |
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Instruments held under the fair value option gains (losses) (Note 18) |
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Derivative gains (losses) (Note 17) |
| |
| ( | ||
Trading securities gains (losses) (Note 5) | ( | ( | ||||
Equity investments gains (losses) (Note 6) | ( | | ||||
Litigation settlement | | — | ||||
Total other income (loss) |
| ( |
| ( | ||
Other expenses | ||||||
Operating |
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Compensation and benefits |
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Finance Agency and Office of Finance |
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Other expenses | | | ||||
Total other expenses |
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Income before assessments |
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Affordable Housing Program Assessments (Note 13) |
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Net income | $ | | $ | | ||
Basic earnings per share (Note 15) | $ | | $ | |
The accompanying notes are an integral part of these financial statements.
4
Federal Home Loan Bank of New York
Statements of Comprehensive Income — Unaudited (In Thousands)
For the Three Months Ended March 31, 2022 and 2021
Three months ended March 31, | ||||||
| 2022 |
| 2021 | |||
Net Income | $ | | $ | | ||
Other Comprehensive income (loss) | ||||||
Net change in unrealized gains (losses) on available-for-sale securities | ( | ( | ||||
Net change in non-credit accretion portion of held-to-maturity securities | ||||||
Non-credit portion of other-than-temporary impairment gains (losses) | — | — | ||||
Reclassification of non-credit portion included in net income | — | — | ||||
Accretion of non-credit portion |
| |
| | ||
Total net change in non-credit portion of other-than-temporary impairment losses on held-to-maturity securities | | | ||||
Net change due to hedging activities | ||||||
Cash flow hedges (a) | | | ||||
Fair value hedges (b) | | | ||||
Total net change due to hedging activities |
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Net change in pension and postretirement benefits |
| |
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Total other comprehensive income (loss) |
| ( |
| | ||
Total comprehensive income (loss) | $ | ( | $ | |
(a) |
(b) |
The accompanying notes are an integral part of these financial statements.
5
Federal Home Loan Bank of New York
Statements of Capital — Unaudited (In Thousands, Except Per Share Data)
For the Three Months Ended March 31, 2022 and 2021
Accumulated | ||||||||||||||||||||
Capital Stock (a) | Other | |||||||||||||||||||
Class B | Retained Earnings | Comprehensive | Total | |||||||||||||||||
| Shares |
| Par Value |
| Unrestricted |
| Restricted |
| Total |
| Income (Loss) |
| Capital | |||||||
Balance, December 31, 2020 |
| | $ | | $ | | $ | | $ | | $ | ( | $ | | ||||||
Proceeds from issuance of capital stock | | | — | — | — | — | | |||||||||||||
Repurchase/redemption of capital stock |
| ( |
| ( |
| — | — | — | — |
| ( | |||||||||
Shares reclassified to mandatorily redeemable capital stock | ( | ( | — | — | — | — | ( | |||||||||||||
Cash dividends ($ |
| — | — |
| ( |
| — |
| ( |
| — |
| ( | |||||||
Comprehensive income (loss) |
| — | — |
| | |
| |
| |
| | ||||||||
Balance, March 31, 2021 |
| | $ | | $ | | $ | | $ | | $ | | $ | | ||||||
Balance, December 31, 2021 |
| | $ | | $ | | $ | | $ | | $ | | $ | | ||||||
Proceeds from issuance of capital stock |
| | |
| — |
| — |
| — |
| — |
| | |||||||
Repurchase/redemption of capital stock | ( | ( | — | — | — | — | ( | |||||||||||||
Shares reclassified to mandatorily redeemable capital stock | ( | ( | — | — | — | — | ( | |||||||||||||
Cash dividends ($ |
| — |
| — |
| ( |
| — |
| ( |
| — |
| ( | ||||||
Comprehensive income (loss) |
| — |
| — |
| |
| |
| |
| ( |
| ( | ||||||
Balance, March 31, 2022 |
| | $ | | $ | | $ | | $ | | $ | ( | $ | |
(a) |
The accompanying notes are an integral part of these financial statements.
6
Federal Home Loan Bank of New York
Statements of Cash Flows — Unaudited (In Thousands)
For the Three Months Ended March 31, 2022 and 2021
Three months ended March 31, | ||||||
| 2022 |
| 2021 | |||
Operating activities | ||||||
Net Income | $ | | $ | | ||
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 (a) |
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Concessions on consolidated obligations |
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Premises, software, and equipment |
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Provision (Reversal) for credit losses | ( | ( | ||||
Change in net fair value adjustments on derivatives and hedging activities (b) |
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Net realized and unrealized (gains) losses on trading securities | | | ||||
Change in fair value on Equity Investments | | ( | ||||
Change in fair value adjustments on financial instruments held at fair value |
| ( |
| ( | ||
Net change in: | ||||||
Accrued interest receivable |
| ( |
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Derivative assets due to accrued interest |
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Derivative liabilities due to accrued interest |
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| ( | ||
Other assets |
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Affordable Housing Program liability |
| ( |
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Accrued interest payable |
| ( |
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Other liabilities |
| ( |
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Total adjustments |
| |
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Net cash provided by (used in) operating activities | $ | | $ | | ||
Investing activities | ||||||
Net change in: | ||||||
Interest-bearing deposits | $ | ( | $ | | ||
Securities purchased under agreements to resell |
| |
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Federal funds sold |
| ( |
| ( | ||
Deposits with other FHLBanks |
| ( |
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Premises, software, and equipment |
| ( |
| ( | ||
Trading securities: | ||||||
Purchased | ( | ( | ||||
Repayments | | | ||||
Equity Investments: | ||||||
Purchased | ( | ( | ||||
Proceeds from sales | | | ||||
Available-for-sale securities: | ||||||
Purchased | ( | ( | ||||
Repayments |
| |
| | ||
Held-to-maturity securities: | ||||||
Long-term securities | ||||||
Purchased | ( | ( | ||||
Repayments | | | ||||
Advances: | ||||||
Principal collected |
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Made |
| ( |
| ( | ||
Mortgage loans held-for-portfolio: | ||||||
Principal collected |
| |
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Purchased |
| ( |
| ( | ||
Net cash provided by (used in) investing activities | $ | ( | $ | |
The accompanying notes are an integral part of these financial statements.
7
Federal Home Loan Bank of New York
Statements of Cash Flows — Unaudited (In Thousands)
For the Three Months Ended March 31, 2022 and 2021
Three months ended March 31, | ||||||
| 2022 |
| 2021 | |||
Financing activities | ||||||
Net change in: | ||||||
Deposits and other borrowings | $ | ( | $ | | ||
Derivative contracts with financing element |
| ( |
| ( | ||
Consolidated obligation bonds: | ||||||
Proceeds from issuance |
| |
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Payments for maturing and early retirement |
| ( |
| ( | ||
Payments on bonds (transferred to) or assumed from other FHLBanks (c) | — | | ||||
Consolidated obligation discount notes: | ||||||
Proceeds from issuance |
| |
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Payments for maturing |
| ( |
| ( | ||
Capital stock: | ||||||
Proceeds from issuance of capital stock |
| | | |||
Payments for repurchase/redemption of capital stock |
| ( | ( | |||
Redemption of mandatorily redeemable capital stock |
| ( | ( | |||
Cash dividends paid (d) |
| ( | ( | |||
Net cash provided by (used in) financing activities | $ | | $ | ( | ||
Net increase (decrease) in cash and due from banks |
| ( | | |||
Cash and due from banks at beginning of the period (e) |
| | | |||
Cash and due from banks at end of the period (e) | $ | | $ | |||
Supplemental disclosures: | ||||||
Interest paid | $ | | $ | | ||
Interest paid for Discount Notes (f) | $ | | $ | | ||
Affordable Housing Program payments (g) | $ | | $ | | ||
Transfers of mortgage loans to real estate owned | $ | | $ | — | ||
Capital stock subject to mandatory redemption reclassified from equity | $ | | $ | |
Notes to Supplemental Disclosure:
(a) |
(b) |
(c) |
(d) |
(e) |
(f) |
(g) |
The accompanying notes are an integral part of these financial statements.
8
Background
The Federal Home Loan Bank of New York (FHLBNY or the Bank) is a federally chartered corporation, and is
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
Note 1. Critical 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).
The FHLBNY has identified certain accounting policies that it believes are critical 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. The most significant of these critical policies include derivatives and hedging relationships, estimating the fair values of assets and liabilities, estimating the allowance for credit losses on the advance, mortgage loan portfolios and our portfolios of investment securities.
Financial Instruments with Legal Right of Offset
The FHLBNY has derivative instruments, and securities purchased under agreements to resell that are subject to enforceable master netting arrangements. The FHLBNY has elected to offset its derivative asset and liability positions, as well as cash collateral received or pledged, when it has the legal right of offset under these master agreements. The FHLBNY did not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented.
The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments, any excess cash collateral received or pledged is recognized as a derivative liability or as a derivative asset based on the terms of the individual master agreement between the FHLBNY and its derivative counterparty. For securities purchased under agreements to resell, the FHLBNY did not have any unsecured amounts based on the fair value of the related collateral held at the end of the periods presented. Additional information about the FHLBNY’s investments in securities purchased under agreements to resell is disclosed in Note 4. Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell.
9
Fair Value Measurements
The accounting standards on fair value measurements discuss how entities should measure fair value based on whether the inputs to those valuation techniques are observable or unobservable. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction in the principal or most advantageous market for the asset or liability between market participants at the measurement date. This definition is based on an exit price rather than transaction or entry price.
The FHLBNY complied with the accounting guidance on fair value measurements and has established a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are inputs that market participants would use in pricing the asset or liability and would be based on market data obtained from independent sources. Unobservable inputs are inputs that reflect our assumptions about the parameters market participants would use in pricing the asset or liability and would be based on the best information available in the circumstances. Our pricing models are subject to periodic validations, and we periodically review and refine, as appropriate, our assumptions and valuation methodologies to reflect market indications as closely as possible. We have the appropriate personnel, technology, and policies and procedures in place to value financial instruments in a reasonable and consistent manner and in accordance with established accounting policies.
For more information about methodologies used by the FHLBNY to validate vendor pricing, and fair value “Levels” associated with assets and liabilities recorded on the FHLBNY’s Statements of Condition, see financial statements, Note 18. Fair Values of Financial Instruments in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2021 filed on March 22, 2022.
Derivatives and Hedging Activities
The FHLBNY hedges the risk of changes in benchmark interest rates under the provisions of ASC 815. In years prior to 2021, the benchmark rate has been primarily LIBOR; LIBOR rates are derived from an average of submissions by panel banks. The underlying market that LIBOR seeks to reflect has become increasingly less active. The Alternative Reference Rates Committee (ARRC) in the U.S. has settled on the establishment of the Secured Overnight Financing Rate (SOFR) as its recommended alternative to U.S. dollar LIBOR. The United Kingdom’s Financial Conduct Authority (FCA), which oversees LIBOR, has announced that the FCA would no longer persuade or compel member panel banks to make LIBOR quote submissions for U.S. dollar LIBOR setting of 1-month and 3-month, two key LIBOR settings, so that submissions will permanently cease after June 30, 2023.
The FASB has issued two Accounting Standards Updates to Reference Rate Reform (Topic 848), Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which have outlined permissible expedients offered under Topic 848, including a one-time election to transfer/sell LIBOR-indexed securities in our held-to-maturity portfolio. In the first quarter of 2021, we have begun to negotiate with derivative counterparties to transform LIBOR-indexed interest rate swaps to SOFR-OIS and have successfully made the transition to SOFR-OIS for a significant number of bilaterally executed derivatives. We will continue to review opportunities to execute the transition, the timing would be determined by the economic feasibility of transitioning to SOFR. In October 2020, we elected to adopt SOFR as the appropriate index to discount interest rate swaps cleared by the two major central swap clearing organizations as a start to an orderly transition to SOFR.
Generally, we enter into derivatives primarily to manage our exposure to changes in interest rates. Through the use of derivatives, we may adjust the effective maturity, repricing frequency, or option characteristics of financial instruments to achieve our risk management objectives. The accounting guidance related to derivatives and hedging activities is complex and contains prescriptive documentation requirements. At the inception of each hedge transaction, we formally document the hedge relationship, its risk management objective, and strategy for undertaking the hedge.
10
In compliance with accounting standards, primarily ASC 815, the accounting for derivatives requires us to (i) assess whether the hedging relationship qualifies for hedge accounting, (ii) assess whether an embedded derivative should be bifurcated, (iii) calculate the effectiveness of the hedging relationship, (iv) evaluate exposure associated with counterparty credit risk, and (v) estimate the fair value of the derivatives. Our assumptions and judgments include subjective estimates based on information available as of the date of the financial statements and could be materially different based on different assumptions, calculations, and estimates.
To qualify as an accounting hedge under the hedge accounting rules (versus an economic hedge where hedge accounting is not sought), a derivative must be highly effective in offsetting the risk designated as being hedged. The hedge relationship must be formally documented at inception, detailing the particular risk management objective and strategy for the hedge, which includes the item and risk that is being hedged and the derivative that is being used, as well as how effectiveness will be assessed and measured. The effectiveness of these hedging relationships is evaluated on a retrospective and prospective basis, typically using quantitative measures of correlation. For hedges that are highly effective, changes in the fair values of the hedging instrument and the offsetting changes in the fair values of the hedged item are recorded in current earnings. If a hedge relationship is found to be not highly effective, it will no longer qualify as an accounting hedge and hedge accounting would be prospectively withdrawn. When hedge accounting is discontinued, the offsetting changes of fair values of the hedged item are also discontinued.
For more information about the FHLBNY’s hedging activities, see financial statements, Note 17. Derivatives and Hedging Activities in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2021 filed on March 22, 2022.
Credit Losses under ASU 2016-13
The FASB issued ASU 2016-13, Financial Instruments — Credit Losses (Topic 326), which became effective for the Bank as of January 1, 2020. The adoption of this guidance established a single allowance framework for all financial assets carried at amortized cost, including advances, loans, held-to-maturity securities, other receivables and certain off-balance sheet credit exposures. We have elected to evaluate expected credit losses on interest receivable separately. 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 framework requires that management’s estimate reflects credit losses over the full remaining expected life and considers expected future changes in macroeconomic conditions.
Summarized information of expected losses are provided in notes to financial statements:
Note 4.Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell.
Note 7.Available-for-Sale Securities.
Note 8.Held-to-Maturity Securities.
Note 9.Advances.
Note 10.Mortgage Loans Held-for-Portfolio.
Note 19.Commitments and Contingencies (for off-balance sheet).
11
Note 2. Financial Accounting Standards Board (FASB) Standards Issued.
Recently Adopted Accounting Standards
Standard |
| Summary of Guidance |
| Effective Date |
| Effects on the Financial Statements |
Facilitation of the Effects of Reference Rate Reform on Financial Reporting ASU 2020-04, Reference Rate Reform (Topic 848) Issued in March 2020, as amended in January 2021 | This guidance provides temporary optional guidance to ease the potential burden in accounting for reference rate reform. The new guidance provides optional expedients and exceptions for applying generally accepted accounting principles to transactions affected by reference rate reform if certain criteria are met. These transactions include: ● contract modifications, ● hedging relationship, and ● sale or transfer of debt securities classified as HTM. | This guidance is effective for the FHLBNY beginning on March 12, 2020, and we may elect to apply the amendments prospectively through December 31, 2022. | The FASB has issued two Accounting Standards Updates to Reference Rate Reform (Topic 848), Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which have outlined permissible expedients offered under Topic 848, including a one-time election to transfer/sell LIBOR-indexed securities in our held-to-maturity portfolio. In the second quarter of 2021, we reclassified $ | |||
Fair Value Hedging - Portfolio Layer Method ASU 2022-01, Issued March 2022 | This guidance expands the current last-of-layer method to apply fair value hedging by allowing multiple hedged layers of a single closed portfolio under the method. To reflect that expansion, the last-of-layer method is renamed the portfolio layer method. Additionally, among other things, this guidance: ● expands the scope of the portfolio layer method to include nonprepayable assets ● specifies eligible hedging instruments in a single-layer hedge. | This guidance is effective for annual periods, and interim periods within those annual periods, beginning after December 15, 2022. Early adoption is permitted. | We are in the process of evaluating the guidance and its effect on the Bank's financial condition, results of operations, and cash flows has not yet been determined. | |||
Troubled Debt Restructurings and Vintage Disclosures ASU 2022-02, Issued March 2022 | This guidance eliminates the accounting guidance for troubled debt restructurings by creditors that have adopted the current expected credit losses methodology while enhancing disclosure requirements for certain loan refinancing and restructuring by creditors made to borrowers experiencing financial difficulty. Additionally,this guidance requires disclosure of current period gross write-offs by year of origination for financing receivables and net investment in leases. | This guidance is effective for annual periods, and interim periods within those annual periods, beginning after December 15, 2022. Early adoption is permitted. | We are in the process of evaluating the guidance and its effect on the Bank's financial condition, results of operations, and cash flows has not yet been determined. |
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 recorded as cash and cash equivalent in the Statements of Cash Flows. The FHLBNY is exempted from maintaining any required clearing balance at the Federal Reserve Bank of New York.
Compensating Balances
The FHLBNY has arrangements with Citibank (a member/stockholder of the FHLBNY) to maintain compensating collected cash balances in return for certain fee-based safekeeping and back office operational services that the counterparty provides to the FHLBNY. There are
12
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 $
Note 4. Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell.
The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that have received a credit rating of triple-B or higher (investment grade) by a nationally recognized statistical rating organization.
Interest-bearing deposits —Investments are typically short-term deposits placed with highly-rated large financial institutions and are recorded at amortized cost. Deposits placed were uncollateralized. Deposits placed were $
Federal funds sold —Federal funds sold are unsecured advances to highly-rated large financial institutions. Federal funds sold are unsecured loans that are generally transacted on an overnight term and recorded at amortized cost basis. FHFA regulations include a limit on the amount of unsecured credit an individual Bank may extend to a counterparty. Federal funds sold were $
Securities purchased under agreements to resell — The outstanding balances of Securities purchased under agreements to resell were recorded at amortized cost basis of $
U.S. Treasury securities at market values of $
13
Investments are evaluated quarterly for expected credit losses based on the probability of default of the borrowing counterparty and the terms to maturity of the outstanding investments at the measurement dates. A credit loss would also be recognized if there is a collateral shortfall which the FHLBNY does not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost. Repurchase agreements are short-term and generally overnight, and counterparties are highly rated. Based on analysis performed,
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, 2022 and December 31, 2021 (in thousands):
Fair value |
| March 31, 2022 |
| December 31, 2021 | ||
U.S. Treasury notes | $ | | $ | | ||
Total trading securities | $ | | $ | |
The carrying values of trading securities included net unrealized fair value loss of $
Trading Securities Pledged
The FHLBNY had pledged marketable securities at fair values of $
The following tables present redemption terms of the major types of trading securities (dollars in thousands):
Redemption Terms
March 31, 2022 | ||||||||||||
Due in one year or | Due after one year | Due after five years | ||||||||||
| less |
| through five years |
| through ten years |
| Total Fair Value | |||||
U.S. Treasury notes | $ | | $ | | $ | | $ | | ||||
Total trading securities | $ | | $ | | $ | | $ | | ||||
Yield on trading securities | | % | | % | | % |
December 31, 2021 | ||||||||||||
Due in one year or | Due after one year | Due after five years | ||||||||||
| less |
| through five years |
| through ten years |
| Total Fair Value | |||||
U.S. Treasury notes | $ | | $ | | $ | | $ | | ||||
Total trading securities | $ | | $ | | $ | | $ | | ||||
Yield on trading securities | | % | | % | | % |
14
Note 6. Equity Investments.
The FHLBNY has classified its grantor trust as equity investments.
March 31, 2022 | ||||||||||||
Gross | Gross | |||||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||
| Cost |
| Gains (b) |
| Losses (b) |
| Value (c) | |||||
Cash equivalents | $ | | $ | — | $ | — | $ | | ||||
Equity funds |
| |
| |
| ( |
| | ||||
Fixed income funds |
| |
| |
| ( |
| | ||||
Total Equity Investments (a) | $ | | $ | | $ | ( | $ | |
| December 31, 2021 | |||||||||||
| Gross |
| Gross | |||||||||
| Amortized |
| Unrealized |
| Unrealized |
| Fair | |||||
| Cost |
| Gains (b) |
| Losses (b) |
| Value (c) | |||||
Cash equivalents | $ | | $ | — | $ | — | $ | | ||||
Equity funds |
| |
| |
| ( |
| | ||||
Fixed income funds |
| |
| |
| ( |
| | ||||
Total Equity Investments (a) | $ | | $ | | $ | ( | $ | |
(a) | The intent of the grantor trust 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 trust invests 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 trust. The grantor trust is owned by the FHLBNY. |
In the Statements of Income, gains and losses related to outstanding Equity Investments were as follows (in thousands):
Three months ended March 31, | ||||||
| 2022 |
| 2021 | |||
Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date | $ | ( | $ | | ||
Net dividend and other | | | ||||
Net gains (losses) recognized during the period | $ | ( | $ | |
15
Note 7. Available-for-Sale Securities.
The following tables provide major security types (in thousands):
March 31, 2022 | ||||||||||||
| Gross | Gross |
| |||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||
| Cost |
| Gains |
| Losses |
| Value | |||||
GSE and U.S. Obligations | ||||||||||||
State and local housing finance agency obligations | $ | | $ | | $ | ( | $ | | ||||
Mortgage-backed securities | ||||||||||||
Floating | ||||||||||||
CMO | | | — | | ||||||||
PASS THRU | | | — | | ||||||||
Total Floating | | | — | | ||||||||
Fixed | ||||||||||||
CMBS | | | ( | | ||||||||
Total Fixed | | | ( | | ||||||||
MBS AFS Before Hedging Adjustments | | | (a) | ( | (a) | | ||||||
Hedging Basis Adjustments in AOCI | ( | | (b) | — | — | |||||||
Total Available-for-sale securities (MBS) | | | ( | | ||||||||
Total Available-for-sale securities | $ | | $ | | $ | ( | $ | |
December 31, 2021 | ||||||||||||
| Gross | Gross |
| |||||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||
| Cost |
| Gains |
| Losses |
| Value | |||||
GSE and U.S. Obligations | ||||||||||||
State and local housing finance agency obligations | $ | | $ | | $ | ( | $ | | ||||
Mortgage-backed securities | ||||||||||||
Floating | ||||||||||||
CMO | | | — | | ||||||||
PASS THRU | | | — | | ||||||||
Total Floating | | | — | | ||||||||
Fixed | ||||||||||||
CMBS |
| |
| |
| ( |
| | ||||
Total Fixed | | | ( | | ||||||||
MBS AFS Before Hedging Adjustments | | | (a) | ( | (a) | | ||||||
Hedging Basis Adjustments in AOCI |
| ( |
| | (b) |
| — |
| — | |||
Total Available-for-sale securities (MBS) | | | ( | | ||||||||
Total Available-for-sale securities | $ | | $ | | $ | ( | $ | |
(a) | Amounts represent specialized third party pricing vendors’ estimates of gains/losses of AFS securities; market pricing is based on historical amortized cost adjusted for pay downs and amortization of premiums and discounts; fair value unrealized gains and losses are before adjusting book values for hedge basis adjustments and will equal market values of AFS securities recorded in AOCI. Fair value hedges were executed to mitigate the interest rate risk of the hedged fixed-rate securities due to changes in the designated benchmark rate. |
16
(b) | Amounts represent fair value hedging basis due to changes in the benchmark rate and were recorded as an adjustment to the carrying values of hedged securities; the adjustments impacted the unrealized market value gains and losses. Securities in a fair value hedging relationship at March 31, 2022 recorded $ |
Credit Loss Analysis of AFS Securities
The FHLBNY’s portfolio of MBS classified as AFS is comprised primarily of GSE-issued collateralized mortgage obligations and CMBS. A portfolio of State and local housing finance agency obligations is also classified as AFS. 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.
Based on credit and performance 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. At March 31, 2022 and December 31, 2021, unrealized fair value losses have been aggregated in the table below by the length of time a security was in a continuous unrealized loss position based on market based pricing and excluding the effects of hedge basis adjustments.
The Bank evaluates its individual AFS securities for impairment by comparing the security’s fair value to its amortized cost. Impairment may exist when the fair value of the investment is less than its amortized cost (i.e. in an unrealized loss position). We have not experienced any payment defaults on the instruments. As noted previously, substantially all of these securities are GSE-issued and carry an implicit or explicit U.S. government guarantee. Based on the analysis,
The following table summarizes available-for-sale securities with estimated fair values below their amortized cost basis (in thousands):
March 31, 2022 | ||||||||||||||||||
| Less than 12 months |
| 12 months or more |
| Total | |||||||||||||
| Estimated |
| Unrealized |
| Estimated |
| Unrealized |
| Estimated |
| Unrealized | |||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||
MBS Investment Securities and State and local housing finance agency obligations | ||||||||||||||||||
MBS-GSE | ||||||||||||||||||
Fannie Mae-CMBS | $ | | $ | ( | $ | — | $ | — | $ | | $ | ( | ||||||
Freddie Mac-CMBS | | ( | | ( | | ( | ||||||||||||
State and local housing finance agency obligations | — | — | | ( | | ( | ||||||||||||
Total Temporarily Impaired | $ | | $ | ( | $ | | $ | ( | $ | | $ | ( |
December 31, 2021 | ||||||||||||||||||
| Less than 12 months |
| 12 months or more |
| Total | |||||||||||||
| Estimated |
| Unrealized |
| Estimated |
| Unrealized |
| Estimated |
| Unrealized | |||||||
Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||
MBS Investment Securities and State and local housing finance agency obligations | ||||||||||||||||||
MBS-GSE | ||||||||||||||||||
Freddie Mac-CMBS | $ | | $ | ( | $ | | $ | ( | $ | | $ | ( | ||||||
State and local housing finance agency obligations | — | — | | ( | | ( | ||||||||||||
Total Temporarily Impaired | $ | | $ | ( | $ | | $ | ( | $ | | $ | ( |
17
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.
March 31, 2022 | December 31, 2021 | |||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||
| Cost (b) |
| Fair Value |
| Cost (b) |
| Fair Value | |||||
State and local housing finance agency obligations | ||||||||||||
Due after one year through five years | $ | | $ | | $ | | $ | | ||||
Due after ten years | | | | | ||||||||
State and local housing finance agency obligations | $ | | $ | | $ | | $ | | ||||
Mortgage-backed securities | ||||||||||||
Due in one year or less | $ | | $ | | $ | — | $ | — | ||||
Due after one year through five years | | | | | ||||||||
Due after five year through ten years | | | | | ||||||||
Due after ten years |
| |
| |
| |
| | ||||
Mortgage-backed securities | $ | | $ | | $ | | $ | | ||||
Total Available-for-Sale securities | $ | | $ | | $ | | $ | |
(a) | The carrying value of AFS securities equals fair value. |
(b) | Amortized cost is UPB after adjusting for net unamortized premiums of $ |
Interest Rate Payment Terms
The following table summarizes interest rate payment terms of investments in Mortgage-backed securities and State and local housing finance agency obligations classified as AFS securities (in thousands):
March 31, 2022 | December 31, 2021 | |||||||||||
| Amortized Cost |
| Fair Value |
| Amortized Cost |
| Fair Value | |||||
Mortgage-backed securities | ||||||||||||
Floating | ||||||||||||
CMO | $ | | $ | | $ | | $ | | ||||
PASS THRU | | | | | ||||||||
Total Floating | | | | | ||||||||
Fixed | ||||||||||||
CMBS | | | | | ||||||||
Total Fixed | | | | | ||||||||
Total Mortgage-backed securities | | | | | ||||||||
State and local housing finance agency obligations | ||||||||||||
Floating | | | | | ||||||||
Total Available-for-Sale securities | $ | | $ | | $ | | $ | |
18
Note 8. Held-to-Maturity Securities.
Major Security Types (in thousands)
March 31, 2022 | |||||||||||||||||||||
| Allowance | OTTI | Gross | Gross |
| ||||||||||||||||
Amortized | for Credit | Recognized | Carrying | Unrecognized | Unrecognized | Fair | |||||||||||||||
Issued, guaranteed or insured: |
| Cost(d) |
| Loss (ACL) |
| in AOCI |
| Value |
| Holding Gains (a) |
| Holding Losses (a) |
| Value | |||||||
Pools of Mortgages | |||||||||||||||||||||
Fannie Mae | $ | | $ | — | $ | — | $ | | $ | | $ | — | $ | | |||||||
Freddie Mac |
| |
| — |
| — | |
| |
| — |
| | ||||||||
Total pools of mortgages |
| |
| — |
| — | |
| |
| — |
| | ||||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | |||||||||||||||||||||
Fannie Mae |
| |
| — |
| — | |
| |
| ( |
| | ||||||||
Freddie Mac |
| |
| — |
| — | |
| |
| ( |
| | ||||||||
Ginnie Mae |
| — |
| — |
| — | — |
| — |
| — |
| — | ||||||||
Total CMOs/REMICs |
| |
| — |
| — | |
| |
| ( |
| | ||||||||
Commercial Mortgage-Backed Securities (b) | |||||||||||||||||||||
Fannie Mae |
| |
| — |
| — | |
| |
| ( |
| | ||||||||
Freddie Mac |
| |
| — |
| — | |
| |
| ( |
| | ||||||||
Total commercial mortgage-backed securities |
| |
| — |
| — | |
| |
| ( |
| | ||||||||
Non-GSE MBS (c) | |||||||||||||||||||||
CMOs/REMICs |
| |
| ( |
| ( | |
| |
| ( |
| | ||||||||
Asset-Backed Securities (c) | |||||||||||||||||||||
Manufactured housing (insured) |
| |
| — |
| — | |
| |
| — |
| | ||||||||
Home equity loans (insured) |
| |
| — |
| ( | |
| |
| ( |
| | ||||||||
Home equity loans (uninsured) |
| |
| — |
| ( | |
| |
| ( |
| | ||||||||
Total asset-backed securities |
| |
| — |
| ( | |
| |
| ( |
| | ||||||||
Total MBS |
| |
| ( |
| ( | |
| |
| ( |
| | ||||||||
Other | |||||||||||||||||||||
State and local housing finance agency obligations |
| |
| ( |
| — | |
| |
| ( |
| | ||||||||
Total Held-to-maturity securities | $ | | $ | ( | $ | ( | $ | | $ | | $ | ( | $ | |
19
December 31, 2021 | |||||||||||||||||||||
| Allowance | OTTI |
| Gross | Gross |
| |||||||||||||||
Amortized | for Credit | Recognized | Carrying | Unrecognized | Unrecognized | Fair | |||||||||||||||
Issued, guaranteed or insured: |
| Cost(d) |
| Loss (ACL) |
| in AOCI |
| Value |
| Holding Gains (a) |
| Holding Losses (a) |
| Value | |||||||
Pools of Mortgages | |||||||||||||||||||||
Fannie Mae | $ | | $ | — | $ | — | $ | | $ | | $ | — | $ | | |||||||
Freddie Mac |
| |
| — |
| — |
| |
| |
| — |
| | |||||||
Total pools of mortgages |
| |
| — |
| — |
| |
| |
| — |
| | |||||||
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits | |||||||||||||||||||||
Fannie Mae |
| |
| — |
| — |
| |
| |
| ( |
| | |||||||
Freddie Mac |
| |
| — |
| — |
| |
| |
| ( |
| | |||||||
Ginnie Mae |
| — |
| — |
| — |
| — |
| — |
| — |
| — | |||||||
Total CMOs/REMICs |
| |
| — |
| — |
| |
| |
| ( |
| | |||||||
Commercial Mortgage-Backed Securities (b) | |||||||||||||||||||||
Fannie Mae |
| |
| — |
| — |
| |
| |
| ( |
| | |||||||
Freddie Mac |
| |
| — |
| — |
| |
| |
| ( |
| | |||||||
Total commercial mortgage-backed securities |
| |
| — |
| — |
| |
| |
| ( |
| | |||||||
Non-GSE MBS(c) | |||||||||||||||||||||
CMOs/REMICs |
| |
| ( |
| ( |
| |
| |
| ( |
| | |||||||
Asset-Backed Securities(c) | |||||||||||||||||||||
Manufactured housing (insured) |
| |
| — |
| — |
| |
| |
| — |
| | |||||||
Home equity loans (insured) |
| |
| — |
| ( |
| |
| |
| — |
| | |||||||
Home equity loans (uninsured) |
| |
| — |
| ( |
| |
| |
| ( |
| | |||||||
Total asset-backed securities |
| |
| — |
| ( |
| |
| |
| ( |
| | |||||||
Total MBS |
| |
| ( |
| ( |
| |
| |
| ( |
| | |||||||
Other | |||||||||||||||||||||
State and local housing finance agency obligations |
| |
| ( |
| — |
| |
| |
| ( |
| | |||||||
Total Held-to-maturity securities | $ | | $ | ( | $ | ( | $ | | $ | | $ | ( | $ | |
(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 impaired, amortized cost represents unamortized cost less credit losses, net of credit recoveries (reversals) due to improvements in cash flows. |
Securities Pledged
The FHLBNY had pledged MBS, with an amortized cost basis of $
Credit Loss Allowances on Held-to-Maturity Securities
GSE-issued securities — The FHLBNY evaluates its individual securities issued by Fannie Mae, Freddie Mac and U.S. government agency, (collectively GSE-issued securities), by considering the creditworthiness and performance of the debt securities and the strength of the GSEs’ guarantees of the securities. Based on analysis, GSE-issued securities are performing in accordance with their contractual agreements, and we will recover our investments in GSE-issued securities given the current levels of collateral, credit enhancements and guarantees that exist to protect the investments. Number of investment positions that were in an unrealized loss position was
20
Housing finance agency bonds — The FHLBNY’s investments in Housing finance agency bonds reported gross unrealized losses of $
Our investments are performing to their contractual terms, and management has concluded that the gross unrealized losses on its housing finance agency bonds are temporary because the underlying collateral and credit enhancements are sufficient to protect the FHLBNY from losses based on current expectations. The credit enhancements may include additional support from monoline insurance companies, reserve and investment funds allocated to the securities that may be used to make principal and interest payments in the event that the underlying loans pledged for these securities are not sufficient to make the necessary payments and the general obligation of the State issuing the bond.
Private-label mortgage-backed securities — Management evaluates its investments in private-label MBS (PLMBS) for credit losses on a quarterly basis by performing cash flow tests on its entire portfolio of PLMBS. Allowance for credit loss of $
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 features.
March 31, 2022 | December 31, 2021 | |||||||||||
Amortized | Estimated | Amortized | Estimated | |||||||||
| Cost (a) |
| Fair Value |
| Cost (a) |
| Fair Value | |||||
State and local housing finance agency obligations | ||||||||||||
Due in one year or less | $ | | $ | | $ | | $ | | ||||
Due after one year through five years | | | | | ||||||||
Due after five years through ten years |
| |
| |
| |
| | ||||
Due after ten years |
| |
| |
| |
| | ||||
State and local housing finance agency obligations | $ | | $ | | $ | | $ | | ||||
Mortgage-backed securities | ||||||||||||
Due in one year or less | $ | | $ | | $ | | $ | | ||||
Due after one year through five years |
| |
| |
| |
| | ||||
Due after five years through ten years |
| |
| |
| |
| | ||||
Due after ten years |
| |
| |
| |
| | ||||
Mortgage-backed securities | $ | | $ | | $ | | $ | | ||||
Total Held-to-Maturity Securities | $ | | $ | | $ | | $ | |
(a) | Amortized cost is UPB after adjusting for net unamortized premiums of $ |
21
Note 9. Advances.
The FHLBNY offers to its members a wide range of fixed- and adjustable-rate advance loan products with different maturities, interest rates, payment characteristics, and optionality.
Redemption Terms
Contractual redemption terms and yields of advances were as follows (dollars in thousands):
March 31, 2022 | December 31, 2021 | ||||||||||||||
Weighted (a) |
| Weighted (a) |
| ||||||||||||
Average | Percentage | Average | Percentage | ||||||||||||
| Amount |
| Yield |
| of Total |
| Amount |
| Yield |
| of Total | ||||
Overdrawn demand deposit accounts | $ | — | — | % | — | % | $ | — | — | % | — | % | |||
Due in one year or less | | | | |
| | | ||||||||
Due after one year through two years |
| | | |
| |
| | | ||||||
Due after two years through three years |
| | | |
| |
| | | ||||||
Due after three years through four years |
| | | |
| |
| | | ||||||
Due after four years through five years |
| | | |
| |
| | | ||||||
Thereafter |
| | | |
| |
| | | ||||||
Total par value |
| |
| | % | | % |
| |
| | % | | % | |
Advance discounts | ( | ( | |||||||||||||
Hedge valuation basis adjustments (b) |
| ( |
| | |||||||||||
Total | $ | | $ | |
(a) | The weighted average yield is the weighted average coupon rates for advances, unadjusted for swaps. For floating-rate advances, the weighted average rate is the rate outstanding at the reporting dates. |
(b) | Hedge valuation basis adjustments under ASC 815 hedges represent changes in the fair values of fixed-rate advances due to changes in designated benchmark interest rates, the remaining terms to maturity or to next call and the notional amounts of advances in a hedging relationship. The FHLBNY’s benchmark rates are LIBOR, Federal Funds-OIS index and SOFR-OIS index. |
Monitoring and Evaluating Credit Losses on Advances
The Bank manages its credit exposure to advances through an integrated approach that includes establishing a credit limit for each borrower. This approach includes an ongoing review of each borrower’s financial condition, in conjunction with the Bank’s collateral and lending policies to limit risk of loss, while balancing borrowers’ needs for a reliable source of funding.
In addition, the Bank lends to eligible borrowers in accordance with federal law and FHFA regulations. Specifically, the Bank is required to obtain sufficient collateral to fully secure credit products up to the counterparty’s total credit limit. Collateral eligible to secure new or renewed advances includes:
● | one-to-four family and multifamily mortgage loans (delinquent for no more than 90 days) and securities representing such mortgages; |
● | securities issued, insured, or guaranteed by the U.S. government or any U.S. government agency (for example, mortgage-backed securities issued or guaranteed by Fannie Mae, Freddie Mac, or Ginnie Mae); |
● | cash or deposits in the Bank; |
● | certain other collateral that is real estate-related, provided that the collateral has a readily ascertainable value and that the Bank can perfect a security interest in it; and |
● | qualifying securities. |
22
Residential mortgage loans are the principal form of collateral for advances. The estimated value of the collateral required to secure each member’s credit products is calculated by applying collateral discounts, or haircuts, to the market value or unpaid principal balance of the collateral, as applicable. In addition, community financial institutions are eligible to use expanded statutory collateral provisions for small business, agriculture loans, and community development loans. The Bank’s capital stock owned by each borrower is also pledged as collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition, and performance; borrowing capacity; and overall credit exposure to the borrower. The Bank can also require additional or substitute collateral to protect its security interest. The Bank also has policies and procedures for validating the reasonableness of our collateral valuations.
Summarized below are the FHLBNY’s credit loss allowance methodologies:
Adoption of the guidance under ASU 2016-13, resulted in formalizing the governance stipulated under the new guidance. Our pre-existing processes - collateral monitoring, valuation of collateral and haircuts in addition to borrower credit analysis - are extensive and remain key to our operations. We devote considerable resources towards these procedures and processes.
The FHLBNY closely monitors the creditworthiness of the institutions to which it lends. The FHLBNY also closely monitors the quality and value of the assets that are pledged as collateral by its members. The FHLBNY’s members are required to pledge collateral to secure advances. Eligible collateral includes: (1) one-to-four-family and multi-family mortgages; (2) U.S. Treasury and government-agency securities; (3) mortgage-backed securities; and (4) certain other collateral which is real estate related and has a readily ascertainable value, and in which the FHLBNY can perfect a security interest. The FHLBNY has the right to take such steps, as it deems necessary to protect its secured position on outstanding advances, including requiring additional collateral (whether or not such additional collateral would otherwise be eligible to secure a loan; and the provision would benefit the FHLBNY in a scenario when a member defaults). The FHLBNY also has a statutory lien under the FHLBank Act on members’ capital stock, which serves as further collateral for members’ indebtedness to the FHLBNY.
Allowance for Credit Risk. The FHLBNY has policies and procedures in place to manage credit risk. The FHLBNY has a continuous process of evaluating collateral supporting advances and to make changes to its collateral guidelines, as necessary, based on current market conditions.
As of March 31, 2022, the FHLBNY had collateral on a borrower-by-borrower basis with a value equal to, or greater than, its outstanding advances. Based on the collateral held as security, the FHLBNY’s management’s credit extension and collateral policies, and repayment history on advances, the FHLBNY did not expect any losses on its advances at any time in the periods in 2022 and through the filing date on this report; therefore,
Concentration of Advances Outstanding. Advances to the FHLBNY’s top
23
Advances borrowed by insurance companies accounted for
Security Terms. The FHLBNY lends to financial institutions involved in housing finance within its district. Borrowing members are required to purchase capital stock of the FHLBNY and pledge collateral for advances. During all periods in this report and as of March 31, 2022, the FHLBNY had rights to collateral with an estimated value greater than outstanding advances. Based upon the financial condition of the member, the FHLBNY:
(1) | Allows a member to retain possession of the mortgage collateral pledged to the FHLBNY if the member executes a written security agreement, provides periodic listings and agrees to hold such collateral for the benefit of the FHLBNY; however, securities and cash collateral are always in physical possession; or |
(2) | Requires the member specifically to assign or place physical possession of such mortgage collateral with the FHLBNY or its custodial agent. |
Beyond these provisions, Section 10(e) of the FHLBank Act affords any security interest granted by a member to the FHLBNY’s priority over the claims or rights of any other party. The
Note 10. Mortgage Loans Held-for-Portfolio.
Mortgage Partnership Finance program loans (MPF) are the mortgage loans held-for-portfolio. The FHLBNY participates in the MPF program by purchasing and originating conventional mortgage loans from its participating members, hereafter referred to as Participating Financial Institutions (PFI). The FHLBNY manages the liquidity, interest rate and prepayment option risk of the MPF loans, while the PFIs retain servicing activities, and may credit-enhance the portion of the loans participated to the FHLBNY. No intermediary trust is involved.
In March 2021, the FHLBNY ceased to acquire loans under the MPF program. Future mortgage loan purchases will be made only through our new mortgage loan program — the Mortgage Asset Program (MAP). Legacy loans under the MPF programs will continue to be supported and serviced under the MPF loan agreements. At March 31, 2022, mortgage loans under the MAP program were at carrying value of $
The FHLBNY classifies mortgage loans as held for investment, and accordingly reports them at their principal amount outstanding net of unamortized premiums, discounts, and unrealized gains and losses from loans initially classified as mortgage loan commitments.
24
The following table presents information on mortgage loans held-for-portfolio (dollars in thousands):
March 31, 2022 | December 31, 2021 | ||||||||||
| Carrying Amount |
| Percentage of Total |
| Carrying Amount |
| Percentage of Total | ||||
Real Estate (a): | |||||||||||
Fixed medium-term single-family mortgages | $ | |
| | % | $ | |
| | % | |
Fixed long-term single-family mortgages | |
| |
| |
| | ||||
Total unpaid principal balance | $ | |
| | % | $ | |
| | % | |
Unamortized premiums | |
| | ||||||||
Unamortized discounts | ( |
| ( | ||||||||
Basis adjustment (b) | |
| | ||||||||
Total MPF loans amortized cost | $ | | $ | | |||||||
MPF allowance for credit losses | ( | ( | |||||||||
MPF loans held-for-portfolio | $ | | $ | | |||||||
MAP loans held-for-portfolio | | | |||||||||
Total mortgage loans held-for-portfolio at carrying value | $ | | $ | |
(a) | Conventional mortgage loans represent the majority of mortgage loans held-for-portfolio, with the remainder invested in FHA and VA insured loans (also referred to as government loans). |
(b) | Balances represent unamortized fair value basis of closed delivery commitments. A basis adjustment is recorded at the settlement of the loan and it represents the difference in trade price paid for acquiring the loan and the price at the settlement date for a similar loan. The basis adjustment is amortized as a yield adjustment to Interest income. |
The FHLBNY and its members share the credit risk of MPF loans by structuring potential credit losses into layers. The first layer is typically
In terms of the credit enhancement waterfall, the MPF program structures potential credit losses on conventional MPF loans into layers on each loan pool as follows:
(1) | The first layer of protection against loss is the liquidation value of the real property securing the loan. |
(2) | The next layer of protection comes from the primary mortgage insurance (PMI) that is required for loans with a loan-to-value ratio greater than |
(3) | Losses that exceed the liquidation value of the real property and any PMI will be absorbed by the FHLBNY, limited to the amount of the FLA available under the Master Commitment. For certain MPF products, the FHLBNY could recover previously absorbed losses by withholding future credit enhancement fees (CE Fees) otherwise payable to the PFI, and applying the amounts to recover losses previously absorbed. In effect, the FHLBNY may recover losses allocated to the FLA from CE Fees. The amount of CE Fees depends on the MPF product and the outstanding balances of loans funded in the Master Commitment. CE Fees payable (potentially available for loss recovery) will decline as the outstanding loan balances in the Master Commitment declines. |
(4) | The second layer or portion of credit losses is incurred by the PFI and/or the Supplemental Mortgage Insurance (SMI) provider as follows: The PFI absorbs losses in excess of any FLA up to the amount of the PFI’s credit obligation amount and/or to the SMI provider for MPF 125 Plus products if the PFI has selected SMI coverage. |
(5) | The third layer of losses is absorbed by the FHLBNY. |
The MAP program operates on the Simplified Risk-Sharing Structure. MAP credit risk sharing structure rewards PFIs for originating high quality, well-performing loans. At the time of purchase, FHLBNY will set aside a standard credit enhancement of
25
loan funded, to be retained in a Member Performance Account (MPA) for each PFI. Loans are pooled into Aggregate Master Commitments. Loan losses over the life of the pool are absorbed in order by borrower’s equity, mortgage insurance (if applicable), MPA, and finally by FHLBNY. If pooled losses are low, MPA funds are returned to the seller over time, based on a contractual release schedule. This liability account was $
Allowance Methodology for Mortgage Loan Losses under ASU 2016-13.
Effective January 1, 2020, the FHLBNY adopted ASU 2016-13, Financial Instruments — Credit Losses (Topic 326). With the adoption of the CECL guidance, the estimate of expected credit losses for MPF is forward-looking. CECL requires the use of forecasts about future economic conditions to estimate the expected credit loss over the remaining life of an instrument. The estimated credit loss is recorded upon initial recognition of the asset, even if the asset is performing at the time of purchase, in anticipation of a future event that will lead to a loss being realized (including consideration of remote scenarios as required under ASC 326-20-30-10). The objective of the estimate is to record the net amount expected to be collected for the asset, while considering available relevant information about the collectability of cash flows.
Our allowance for credit loss of $
Evaluation of Credit Losses under CECL — Mortgage loans are evaluated for credit losses using the practical expedient for collateral dependent assets. We consider a conventional mortgage loan as a collateral dependent loan because we expect repayment to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. We may estimate the applicable fair value of this collateral by applying an appropriate loss severity rate or using third party estimates or property valuation model. The expected credit loss of a collateral dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. We will either reserve for these estimated losses or record a direct charge-off of the loan balance, if certain triggering criteria are exceeded. Expected recoveries of prior charge-offs would be included in the allowance for credit loss.
The Bank’s credit risk model (“Model”) estimates the probabilities of prepayments and defaults concurrently. Prepayments represent the probability that an individual loan will voluntarily prepay while defaults represent the probability that an individual loan will transition to involuntary payoffs. Defaults transition from one delinquency status to another (e.g., current to 30 days, 30 days to 60 days, etc.) until the loan is involuntarily paid off. The transition probabilities are a function of collateral types, borrower characteristics, and economic factors. The model utilizes economic data files that provide interest rates, the applicable house price index, and applicable foreclosure timeline, which are used in simulating transition probabilities. The Bank’s third party credit loss model provides the ability to update assumptions and calculate the probability of default of each individual mortgage loan. The model also uses loan and borrower information along with economic assumptions about applicable housing prices and interest rates as inputs to generate a distribution of projected cash flows over the life of the mortgage. The model estimates the loss given default (LGD) for each loan during the simulation based on assumptions adopted in the model by projecting loan status probabilities and aggregating projected cash flows for each loan in the portfolio. A loan in foreclosure or REO sale is considered to be a default.
Accrued interest receivable was $
Government mortgages, which carry FHA, VA or USDA guarantees present a minimal risk of loss. Additionally, as part of the service agreement between FHLBNY and the members that sold us government loans, those members will buy back delinquent government loans.
Credit enhancements under the MPF Program may include primary mortgage insurance, supplemental mortgage insurance, in addition to recoverable performance-based credit enhancement fees. Potential recoveries from credit enhancements for conventional loans are evaluated at the individual master commitment level to determine the credit enhancements available to recover losses on loans under
26
each individual master commitment. However, expected recoveries from credit enhancements are not factored into the calculation of expected credit losses. The MPF program’s actual loss experience has been immaterial and inclusion of recoveries in the allowance calculations would result in an immaterial change.
There were no MAP loans in serious delinquent status (90 days or more) at March 31, 2022 and December 31, 2021.
Rollforward Analysis of Allowance for Credit Losses
The following table provides a rollforward analysis of the allowance for credit losses (in thousands):
Three months ended March 31, | ||||||
| 2022 |
| 2021 | |||
Allowance for credit losses: | ||||||
Beginning balance | $ | | $ | | ||
Adjustment for cumulative effect of accounting change | — | — | ||||
Charge-offs | ( |
| ( | |||
Recoveries | — | — | ||||
Provision (Reversal) for credit losses on mortgage loans | ( |
| ( | |||
Balance, at end of period | $ | | $ | |
The following table presents risk elements and credit losses (dollars in thousands):
| March 31, 2022 |
| December 31, 2021 |
| |||
Average loans outstanding during the period (a) | $ | |
| $ | | ||
Mortgage loans held for portfolio (a) | | | |||||
Non-accrual loans (a) | |
| | ||||
Allowance for credit losses on mortgage loans held for portfolio | |
| | ||||
Net charge-offs | |
| | ||||
Ratio of net charge-offs to average loans outstanding during the period |
| | % |
| | % | |
Ratio of allowance for credit losses to mortgage loans held for portfolio |
| | % |
| | % | |
Ratio of non-accrual loans to mortgage loans held for portfolio |
| | % |
| | % | |
Ratio of allowance for credit losses to non-accrual loans |
| | % |
| | % |
(a) | Balances represent unpaid principal balance. |
The FHLBNY’s total MPF loans and impaired MPF loans were as follows (in thousands):
| March 31, 2022 |
| December 31, 2021 | |||
Total MPF Mortgage loans, carrying values net (a) | $ | | $ | | ||
Non-performing MPF mortgage loans - Conventional (a)(b) | $ | | $ | | ||
Insured MPF loans past due 90 days or more and still accruing interest (a)(b) | $ | | $ | |
(a) | Includes loans classified as special mention, sub-standard, doubtful or loss under regulatory criteria, net of amounts charged-off if delinquent for |
(b) | Data in this table represents unpaid principal balance and would not agree to data reported in other tables at “amortized cost”. |
Under the new framework, the FHLBNY evaluates all loans, including non-performing conventional loans, on an individual basis for lifetime credit losses.
FHA and VA loans are considered as insured MPF loans, and while the loans are evaluated on an individual basis, we have deemed that FHA and VA loans as collectively insured. Additionally, based on the Bank’s assessment of its servicers and the collateral
27
backing the insured loans, the risk of loss was deemed immaterial. The Bank has not recorded an allowance for credit losses for government-guaranteed or -insured mortgage loans in any periods in 2022 or 2021. Furthermore, none of these mortgage loans has been placed on non-accrual status because of the U.S. government guarantee or insurance on these loans and the contractual obligation of the loan servicer to repurchase the loans when certain criteria are met.
The following tables present unpaid principal balances with and without related loan loss allowances for conventional loans (excluding insured FHA/VA MPF loans) in the MPF program (in thousands):
March 31, 2022 | ||||||||||||
| Unpaid |
|
| Average | ||||||||
Principal | Related | Amortized Cost | Amortized Cost | |||||||||
| Balance | Allowance |
| After Allowance | After Allowance (d) | |||||||
Conventional Loans - MPF (a)(c) | ||||||||||||
No related allowance (b) | $ | | $ | — | $ | | $ | | ||||
With a related allowance | | ( | | | ||||||||
Total measured for impairment | $ | | $ | ( | $ | | $ | |
December 31, 2021 | ||||||||||||
| Unpaid |
|
|
|
| Average | ||||||
Principal | Related | Amortized Cost | Amortized Cost | |||||||||
Balance | Allowance | After Allowance | After Allowance (d) | |||||||||
Conventional Loans - MPF (a)(c) | ||||||||||||
No related allowance (b) | $ | | $ | — | $ | | $ | | ||||
With a related allowance |
| |
| ( |
| |
| | ||||
Total measured for impairment | $ | | $ | ( | $ | | $ | |
(a) | Based on analysis of the nature of risks of the FHLBNY’s investments in MPF loans, including its methodologies for identifying and measuring impairment, management has determined that presenting such loans as a single class is appropriate. |
(b) | Collateral values, net of estimated costs to sell, exceeded the amortized cost in impaired loans and no allowances were deemed necessary. |
(c) | Interest received is not recorded as Interest income if an uninsured loan is past due |
(d) | Represents the average amortized cost after allowance for the three months ended March 31, 2022 and for the twelve months ended December 31, 2021. |
The following table summarizes MPF mortgage loans held-for-portfolio by collateral/guarantee type (in thousands):
| March 31, 2022 |
| December 31, 2021 | |||
Mortgage Loans Held for Portfolio by Collateral/Guarantee Type: | ||||||
Conventional mortgage loans - MPF | $ | | $ | | ||
MPF Government-guaranteed or -insured mortgage loans | | | ||||
Total MPF loans - unpaid principal balance | $ | | $ | |
Payment Status of Mortgage Loans
Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include non-accrual loans and loans in process of foreclosure.
28
The following tables present the payment status for conventional mortgage loans and other delinquency statistics for the Bank’s mortgage loans at March 31, 2022 and December 31, 2021.
Credit Quality Indicator for Conventional Mortgage Loans (in thousands):
March 31, 2022 | |||||||||
Conventional Loans | |||||||||
Origination Year | |||||||||
| Prior to 2018 |
| 2018 to 2022 |
| Total | ||||
Payment Status, at Amortized Cost: | |||||||||
Conventional Loans | |||||||||
Past due 30 - 59 days | $ | | $ | | $ | | |||
Past due 60 - 89 days |
| | | | |||||
Past due 90 days or more |
| | | | |||||
Total past due mortgage loans |
| | | | |||||
Current MPF mortgage loans | | | | ||||||
Current MAP mortgage loans |
| — | | | |||||
Total conventional mortgage loans | $ | | $ | | $ | |
December 31, 2021 | |||||||||
Conventional Loans | |||||||||
Origination Year | |||||||||
| Prior to 2017 |
| 2017 to 2021 |
| Total | ||||
Payment Status, at Amortized Cost: | |||||||||
Conventional MPF/MAP | |||||||||
Past due 30 - 59 days | $ | | $ | | $ | | |||
Past due 60 - 89 days | | | | ||||||
Past due 90 days or more | | | | ||||||
Total past due mortgage loans | | | | ||||||
Current MPF mortgage loans | | | | ||||||
Current MAP mortgage loans | — | | | ||||||
Total conventional mortgage loans | $ | | $ | | $ | |
29
Other Delinquency Statistics (dollars in thousands):
March 31, 2022 | ||||||||||
Conventional | MPF Government-Guaranteed | |||||||||
| MPF Loans |
| or -Insured Loans |
| Total MPF Loans | |||||
Amortized Cost: | ||||||||||
In process of foreclosure (a) | $ | | $ | | $ | | ||||
Serious delinquency rate (b) | | % | | % | | % | ||||
Past due 90 days or more and still accruing interest | $ | — | $ | | $ | | ||||
Loans on non-accrual status | $ | | $ | — | $ | | ||||
Troubled debt restructurings: | ||||||||||
Loans discharged from bankruptcy(c) | $ | | $ | | $ | | ||||
Modified loans under MPF program | $ | | $ | — | $ | | ||||
Real estate owned (d) | $ | | $ | — | $ | |
December 31, 2021 | ||||||||||
Conventional | MPF Government-Guaranteed | |||||||||
| MPF Loans |
| or -Insured Loans |
| Total MPF Loans | |||||
Amortized Cost: | ||||||||||
In process of foreclosure (a) | $ | | $ | | $ | | ||||
Serious delinquency rate (b) | | % | | % | | % | ||||
Past due 90 days or more and still accruing interest | $ | — | $ | | $ | | ||||
Loans on non-accrual status | $ | | $ | — | $ | | ||||
Troubled debt restructurings: | ||||||||||
Loans discharged from bankruptcy(c) | $ | | $ | | $ | | ||||
Modified loans under MPF program | $ | | $ | — | $ | | ||||
Real estate owned (d) | $ | | $ | — | $ | |
(a) | Includes loans where the decision of foreclosure or a similar alternative, such as pursuit of deed-in-lieu, has been reported. |
(b) | Represents seriously delinquent loans as a percentage of total mortgage loans in MPF program. Seriously delinquent loans are comprised of all loans past due |
(c) | Loans discharged from Chapter 7 bankruptcies are considered as TDRs. |
(d) | REO is reported at lower of cost or market value. |
Note 11. Deposits.
The FHLBNY accepts demand, overnight and term deposits from its members. Also, a member that services mortgage loans may deposit funds collected in connection with the mortgage loans as a pending disbursement to the owners of the mortgage loans.
Deposits represent a relatively small portion of the FHLBNY’s funding, totaling $
30
Interest-bearing demand and overnight deposits pay interest based on a daily interest rate. The average balances of demand and overnight deposits were $
The following table summarizes deposits (in thousands):
| March 31, 2022 |
| December 31, 2021 | |||
Interest-bearing deposits | ||||||
Interest-bearing demand | $ | | $ | | ||
Term (a) |
| — |
| — | ||
Total interest-bearing deposits |
| |
| | ||
Non-interest-bearing demand | |
| | |||
Total deposits (b) | $ | | $ | |
(a) | Term deposits were for periods of |
(b) | Specific disclosures about deposits that exceed FDIC limits have been omitted as deposits are not insured by the FDIC. Deposits are received in the ordinary course of the FHLBNY’s business. The FHLBNY has pledged securities to the FDIC to collateralize deposits maintained at the FHLBNY by the FDIC; for more information, see Securities Pledged in Note 8. Held-to-Maturity Securities. |
Interest rate payment terms for deposits are summarized below (dollars in thousands):
Average | Average | ||||||||||
Deposits |
| March 31, 2022 |
| Interest Rate (b) |
| December 31, 2021 |
| Interest Rate (b) | |||
Term deposits | $ | — | — | % | $ | — | | % | |||
Interest-bearing demand (a) | |
| | |
| | |||||
Total interest-bearing deposits | $ | | | % | $ | | | % | |||
Non-interest-bearing demand | | | |||||||||
Total deposits | $ | | $ | |
(a) | Primarily adjustable rate. |
(b) | The weighted average interest rate is calculated based on the average balance. |
Note 12. Consolidated Obligations.
The FHLBanks have joint and several liability for all the Consolidated obligations issued on their behalf (for more information, see Note 19. Commitments and Contingencies). Consolidated obligations consist of bonds and discount notes. The FHLBanks issue Consolidated obligations through the Office of Finance as their fiscal agent. In connection with each debt issuance, a FHLBank specifies the amount of debt it wants issued on its behalf. The Office of Finance tracks the amount of debt issued on behalf of each FHLBank. Each FHLBank separately tracks and records as a liability for its specific portion of Consolidated obligations for which it is the primary obligor. Consolidated obligation bonds (CO bonds or Consolidated bonds) are issued primarily to raise intermediate- and long-term funds for the FHLBanks and are not subject to any statutory or regulatory limits on maturity.
Consolidated obligation discount notes (CO discount notes, Discount notes, or Consolidated discount notes) are issued primarily to raise short-term funds. Discount notes sell at less than their face amount and are redeemed at par value when they mature.
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The following table summarizes carrying amounts of Consolidated obligations outstanding (in thousands):
| March 31, 2022 |
| December 31, 2021 | |||
Consolidated obligation bonds-amortized cost | $ | | $ | | ||
Hedge valuation basis adjustments |
| ( |
| | ||
Hedge basis adjustments on de-designated hedges |
| |
| | ||
FVO - valuation adjustments and accrued interest |
| ( |
| ( | ||
Total Consolidated obligation bonds | $ | | $ | | ||
Discount notes-amortized cost | $ | | $ | | ||
Hedge value basis adjustments | ( | ( | ||||
Total Consolidated obligation discount notes | $ | | $ | |
Redemption Terms of Consolidated Obligation Bonds
The following table is a summary of carrying amounts of Consolidated obligation bonds outstanding by year of maturity (dollars in thousands):
March 31, 2022 | December 31, 2021 | ||||||||||||||
Weighted |
| Weighted |
| ||||||||||||
Average | Percentage | Average | Percentage | ||||||||||||
Maturity |
| Amount |
| Rate (a) |
| of Total |
| Amount |
| Rate (a) |
| of Total | |||
One year or less | $ | |
| | % | | % | $ | |
| | % | | % | |
Over one year through two years |
| |
| | |
| |
| | | |||||
Over two years through three years |
| |
| | |
| |
| | | |||||
Over three years through four years |
| |
| | |
| |
| | | |||||
Over four years through five years |
| |
| | |
| |
| | | |||||
Thereafter |
| |
| | |
| |
| | | |||||
Total par value |
| |
| | % | | % |
| |
| | % | | % | |
Bond premiums (b) |
| |
| | |||||||||||
Bond discounts (b) |
| ( |
| ( | |||||||||||
Hedge valuation basis adjustments (c) |
| ( |
| | |||||||||||
Hedge basis adjustments on de-designated hedges (d) |
| |
| | |||||||||||
FVO (e) - valuation adjustments and accrued interest |
| ( |
| ( | |||||||||||
Total Consolidated obligation-bonds | $ | | $ | |
(a) | Weighted average rate represents the weighted average contractual coupons of bonds, unadjusted for swaps. |
(b) | Amortization of CO bond premiums and discounts are recorded in interest expense as yield adjustments. |
(c) | Hedge valuation basis adjustments under ASC 815 fair value hedges represent changes in the fair values of fixed-rate CO bonds due to changes in the designated benchmark interest rate, remaining terms to maturity or next call, and the notional amounts of CO bonds designated in hedge relationship. Our interest rate benchmarks are LIBOR, the Federal Funds-OIS index and the SOFR-OIS index. |
(d) | Hedge basis adjustments on de-designated hedges represent the unamortized balances of valuation basis of fixed-rate CO bonds that were previously in a fair value hedging relationship. Generally, when a hedging relationship is de-designated, the valuation basis is no longer adjusted for changes in the valuation of the debt for changes in the benchmark rate; instead, the basis is amortized over the debt’s remaining life, so that at maturity of the debt the unamortized basis is reversed to |
(e) | Valuation adjustments on FVO designated bonds represent changes in the entire fair values of CO bonds elected under the FVO plus accrued unpaid interest. Changes in the timing of coupon payments impact outstanding accrued interest. Changes in benchmark interest rates, notional amounts of CO bonds elected under FVO and remaining terms to maturity or next call will impact hedge valuation adjustments. |
32
Interest Rate Payment Terms
The following table summarizes par amounts of major types of Consolidated obligation bonds issued and outstanding (dollars in thousands):
March 31, 2022 | December 31, 2021 | ||||||||||
Percentage | Percentage | ||||||||||
| Amount |
| of Total |
| Amount |
| of Total | ||||
Fixed-rate, non-callable | $ | |
| | % | $ | |
| | % | |
Fixed-rate, callable |
| | |
| | | |||||
Step Up, callable |
| | |
| | | |||||
Floating rate, callable | | | | | |||||||
Single-index floating rate |
| |
| |
| |
| | |||
Total par value | $ | |
| | % | $ | |
| | % |
Discount Notes
Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are Consolidated obligations with original maturities of up to
| March 31, 2022 |
| December 31, 2021 | ||||
Par value | $ | | $ | | |||
Amortized cost | $ | | $ | | |||
Hedge value basis adjustments (a) | ( | ( | |||||
FVO (b) - valuation adjustments and remaining accretion |
| — |
| — | |||
Total discount notes | $ | | $ | | |||
Weighted average interest rate |
| | % |
| | % |
(a) | Hedging valuation basis adjustments — The reported carrying values of hedged CO discount notes are adjusted for changes in their fair values (fair value basis adjustments or fair value) that are attributable to changes in the benchmark risk being hedged. Changes in the designated benchmark interest rate, notional amounts of CO discount notes in hedging relationships and remaining terms to maturity are factors that impact hedge valuation adjustments. |
(b) | FVO valuation adjustments — Valuation basis adjustment are recorded to recognize changes in the entire or full fair values including unaccreted discounts on CO discount notes elected under the FVO. Changes in benchmark interest rates, notional amounts of CO discount notes elected under FVO and remaining terms to maturity are factors that impact hedge valuation adjustments. |
33
Note 13. Affordable Housing Program.
The FHLBNY charges the amount allocated for the Affordable Housing Program (AHP) to expense and recognizes it as a liability. The FHLBNY relieves the AHP liability as members use the subsidies.
The following table provides rollforward information with respect to changes in Affordable Housing Program liabilities (in thousands):
Three months ended March 31, | ||||||
| 2022 |
| 2021 | |||
Beginning balance | $ | | $ | | ||
Additions from current period’s assessments | |
| | |||
Net disbursements for grants and programs | ( |
| ( | |||
Ending balance | $ | | $ | |
Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings.
The FHLBanks, including the FHLBNY, have a cooperative structure. To access the FHLBNY’s products and services, a financial institution must be approved for membership and purchase capital stock in the FHLBNY. A member’s stock requirement is generally based on its use of FHLBNY products, subject to a minimum membership requirement as prescribed by the FHLBank Act and the FHLBNY’s Capital Plan. FHLBNY stock can be issued, exchanged, redeemed and repurchased only at its stated par value of $
Membership and Activity-based Class B capital stocks have the same voting rights and dividend rates. (See Statements of Capital):
● | Membership stock is issued to meet membership stock purchase requirements. The FHLBNY requires member institutions to maintain membership stock based on a percentage of the member’s mortgage-related assets. The current capital stock purchase requirement for membership is |
● | Activity based stock is issued on a percentage of outstanding balances of advances, MPF loans and financial letters of credit. The FHLBNY’s current capital plan requires a stock purchase of |
The FHLBNY is subject to risk-based capital rules of the Finance Agency, the regulator of the FHLBanks. Specifically, the FHLBNY is subject to
34
The FHLBNY was in compliance with the aforementioned capital rules and requirements for all periods presented, and met the “adequately capitalized” classification, which is the highest rating, under the capital rule. The Director of the Finance Agency has discretion to add to or modify the corrective action requirements for each capital classification other than adequately capitalized if the Director of the Finance Agency determines that such action is necessary to ensure the safe and sound operation of the FHLBank and the FHLBank’s compliance with its risk-based and minimum capital requirements.
Risk-based Capital — The following table summarizes the FHLBNY’s risk-based capital ratios (dollars in thousands):
March 31, 2022 | December 31, 2021 | ||||||||||||
| Required (d) |
| Actual |
| Required (d) |
| Actual | ||||||
Regulatory capital requirements: | |||||||||||||
Risk-based capital (a)(e) | $ | | $ | | $ | | $ | | |||||
Total capital-to-asset ratio |
| | % |
| | % |
| | % |
| | % | |
Total capital (b) | $ | | $ | | $ | | $ | | |||||
Leverage ratio |
| | % |
| | % |
| | % |
| | % | |
Leverage capital (c) | $ | | $ | | $ | | $ | |
(a) | Actual “Risk-based capital” is capital stock and retained earnings plus mandatorily redeemable capital stock. Section 1277.3 of the Finance Agency’s regulations (superseding section 932.2 effective January 1, 2020) also refers to this amount as “Permanent Capital.” |
(b) | Required “Total capital” is |
(c) | The required leverage ratio of total capital to total assets should be at least |
(d) | Required minimum. |
(e) | Under regulatory guidelines issued by the Finance Agency in August 2011 that was consistent with guidance provided by other federal banking agencies with respect to capital rules, risk weights are maintained at AAA for U.S. Treasury securities and other securities issued or guaranteed by the U.S. Government, government agencies, and government-sponsored entities for purposes of calculating risk-based capital. |
Mandatorily Redeemable Capital Stock
Generally, the FHLBNY’s capital stock is redeemable at the option of either the member or the FHLBNY subject to certain conditions, including the provisions under the accounting guidance for certain financial instruments with characteristics of both liabilities and equity. In accordance with the accounting guidance, the FHLBNY generally reclassifies the stock subject to redemption from equity to a liability once a member irrevocably exercises a written redemption right, gives notice of intent to withdraw from membership, or attains non-member status by merger or acquisition, charter termination, or involuntary termination from membership. Under such circumstances, the member shares will then meet the definition of a mandatorily redeemable financial instrument.
Estimated redemption periods were as follows (in thousands):
| March 31, 2022 |
| December 31, 2021 | |||
Redemption less than one year | $ | | $ | | ||
Redemption from one year to less than three years |
| |
| | ||
Redemption from three years to less than five years |
| |
| | ||
Redemption from five years or greater |
| |
| | ||
Total | $ | | $ | |
35
The following table provides rollforward information with respect to changes in mandatorily redeemable capital stock liabilities (in thousands):
Three months ended March 31, | ||||||
| 2022 |
| 2021 | |||
Beginning balance | $ | | $ | | ||
Capital stock subject to mandatory redemption reclassified from equity | |
| | |||
Redemption of mandatorily redeemable capital stock (a) | ( |
| ( | |||
Ending balance | $ | | $ | | ||
Accrued interest payable (b) | $ | | $ | |
(a) | Redemption includes repayment of excess stock. |
(b) | The annualized accrual rates was |
Restricted Retained Earnings
Under the FHLBank Joint Capital Enhancement Agreement (Capital Agreement), each FHLBank is required to set aside
Note 15. Earnings Per Share of Capital.
The FHLBNY has a single class of capital stock, and earnings per share computation is for the Class B capital stock.
The following table sets forth the computation of earnings per share. Basic and diluted earnings per share of capital are the same.
Three months ended March 31, | ||||||
| 2022 |
| 2021 | |||
Net income | $ | | $ | | ||
Net income available to stockholders | $ | | $ | | ||
Weighted average shares of capital |
| |
| | ||
Less: Mandatorily redeemable capital stock |
| ( |
| ( | ||
Average number of shares of capital used to calculate earnings per share |
| |
| | ||
Basic earnings per share | $ | $ |
Note 16. Employee Retirement Plans.
The FHLBNY participates in the Pentegra Defined Benefit Plan for Financial Institutions (Pentegra DB Plan), a tax-qualified, defined-benefit multiemployer pension plan that covers all FHLBNY officers and employees. The FHLBNY also participates in the Pentegra Defined Contribution Plan for Financial Institutions, a tax-qualified defined contribution plan. The FHLBNY offers
36
Retirement Plan Expenses — Summary
The following table presents employee retirement plan expenses for the periods ended (in thousands):
Three months ended March 31, | ||||||
| 2022 |
| 2021 | |||
Defined Benefit Plan | $ | | $ | | ||
Benefit Equalization Plans (defined benefit and defined contribution) |
| |
| | ||
Defined Contribution Plans |
| |
| | ||
Postretirement Health Benefit Plan | |
| | |||
Total retirement plan expenses | $ | | $ | |
Benefit Equalization Plan (BEP)
The BEP restores defined benefits for those employees who have had their qualified defined benefits limited by IRS regulations. The method for determining the accrual expense and liabilities of the plan is the Projected Unit Credit Accrual Method. Under this method, the liability of the plan is composed mainly of two components, Projected Benefit Obligation (PBO) and Service Cost accruals. The total liability is determined by projecting each person’s expected plan benefits. These projected benefits are then discounted to the measurement date. Finally, the liability is allocated to service already worked (PBO) and service to be worked (Service Cost). There were no plan assets (this is an unfunded plan) that have been designated for the BEP plan.
Components of the net periodic pension cost for the defined benefit component of the BEP were as follows (in thousands):
Three months ended March 31, | ||||||
| 2022 |
| 2021 | |||
Service cost | $ | | $ | | ||
Interest cost |
| |
| | ||
Amortization of unrecognized net loss |
| |
| | ||
Amortization of unrecognized past service cost | | | ||||
Net periodic benefit cost - Defined Benefit BEP | | | ||||
Benefit Equalization plans - Thrift and Deferred incentive compensation plans | ( | | ||||
Total | $ | | $ | |
Postretirement Health Benefit Plan
The Retiree Medical Benefit Plan (the Plan) is for retired employees and for employees who are eligible for retirement benefits. The Plan is unfunded. The Plan, as amended, is offered to active employees who have completed
Components of the net periodic benefit cost for the postretirement health benefit plan were as follows (in thousands):
Three months ended March 31, | ||||||
| 2022 |
| 2021 | |||
Service cost (benefits attributed to service during the period) | $ | | $ | | ||
Interest cost on accumulated postretirement health benefit obligation |
| |
| | ||
Net periodic postretirement health benefit expense/(income) | $ | | $ | |
37
Note 17. Derivatives and Hedging Activities.
The FHLBNY, consistent with the Finance Agency’s regulations, may enter into interest-rate swaps, swaptions, and interest-rate cap and floor agreements to manage its interest rate exposure inherent in otherwise unhedged assets and funding positions. We are not a derivatives dealer and do not trade derivatives for short-term profit.
The contractual or notional amount of derivatives reflects the involvement of the FHLBNY in the various classes of financial instruments, and serve as a basis for calculating periodic interest payments or cash flows. Notional amount of a derivative does not measure the credit risk exposure, and the maximum credit exposure is substantially less than the notional amount. The maximum credit risk is the estimated cost of replacing interest-rate swaps, forward agreements, mandatory delivery contracts for mortgage loans and purchased caps and floors (derivatives) in a gain position if the counterparty defaults and the related collateral, if any, is of insufficient value to the FHLBNY.
Derivatives are instruments that derive their value from underlying asset prices, indices, reference rates and other inputs, or a combination of these factors. The FHLBNY executes derivatives with swap dealers and financial institution swap counterparties as negotiated contracts, which are usually referred to as over-the-counter (OTC) derivatives.
The following table presents the FHLBNY’s derivative activities based on notional amounts (in thousands):
| Hedging Instruments Under ASC 815 | |||||
| March 31, 2022 |
| December 31, 2021 | |||
Interest rate contracts | ||||||
Interest rate swaps | $ | | $ | | ||
Interest rate caps |
| |
| | ||
Mortgage delivery commitments |
| |
| | ||
Total interest rate contracts notionals | $ | | $ | |
38
Derivative Notionals
Offsetting of Derivative Assets and Derivative Liabilities — Net Presentation
The table below presents the gross and net derivatives receivables by contract type and amount for those derivatives contracts for which netting is permissible under U.S. GAAP as Derivative instruments — nettable. Derivatives receivables have been netted with respect to those receivables as to which the netting requirements have been met, including obtaining a legal analysis with respect to the enforceability of the netting (in thousands):
March 31, 2022 | December 31, 2021 | |||||||||||
Derivative | Derivative | Derivative | Derivative | |||||||||
| Assets |
| Liabilities |
| Assets |
| Liabilities | |||||
Derivative instruments - nettable | ||||||||||||
Gross recognized amount | ||||||||||||
Uncleared derivatives | $ | | $ | | $ | | $ | | ||||
Cleared derivatives |
| |
| |
| |
| | ||||
Total gross recognized amount |
| |
| |
| |
| | ||||
Gross amounts of netting adjustments and cash collateral | ||||||||||||
Uncleared derivatives |
| ( |
| ( |
| ( |
| ( | ||||
Cleared derivatives |
| ( |
| ( |
| ( |
| ( | ||||
Total gross amounts of netting adjustments and cash collateral | ( | ( | ( | ( | ||||||||
Net amounts after offsetting adjustments and cash collateral | $ | | $ | | $ | | $ | | ||||
Uncleared derivatives | $ | | $ | | $ | | $ | | ||||
Cleared derivatives |
| |
| — |
| |
| — | ||||
Total net amounts after offsetting adjustments and cash collateral | $ | | $ | | $ | | $ | | ||||
Derivative instruments - not nettable | ||||||||||||
Uncleared derivatives (a) | $ | | $ | | $ | $ | | |||||
Total derivative assets and total derivative liabilities | ||||||||||||
Uncleared derivatives | $ | | $ | | $ | | $ | | ||||
Cleared derivatives |
| |
| — |
| |
| — | ||||
Total derivative assets and total derivative liabilities presented in the Statements of Condition (b) | $ | | $ | | $ | | $ | | ||||
Non-cash collateral received or pledged (c) | ||||||||||||
Can be sold or repledged | ||||||||||||
Security pledged as initial margin to Derivative Clearing Organization (d) | $ | | $ | — | $ | | $ | — | ||||
Cannot be sold or repledged | ||||||||||||
Uncleared derivatives securities received | ( | — | ( | — | ||||||||
Total net amount of non-cash collateral received or repledged | $ | | $ | — | $ | | $ | — | ||||
Total net exposure cash and non-cash (e) | $ | | $ | | $ | | $ | | ||||
Net unsecured amount - Represented by: | ||||||||||||
Uncleared derivatives | $ | | $ | | $ | | $ | | ||||
Cleared derivatives |
| |
| — |
| |
| — | ||||
Total net exposure cash and non-cash (e) | $ | | $ | | $ | | $ | |
(a) | Not nettable derivative instruments are without legal right of offset, and were synthetic derivatives representing forward mortgage delivery commitments of |
(b) | Amounts represented Derivative assets and liabilities that were recorded in the Statements of Condition. Derivative cash balances were not netted with non-cash collateral received or pledged, since legal ownership of the non-cash collateral remains with the pledging counterparty (see footnote (c) below). |
(c) | Non-cash collateral received or pledged – For certain uncleared derivatives, from time to time counterparties have pledged U.S. Treasury securities to the FHLBNY as collateral. Amounts also included non-cash mortgage collateral on derivative positions with member counterparties where we acted as an intermediary. For certain cleared derivatives, we have pledged marketable securities to satisfy initial margin or collateral requirements. |
(d) | Amounts represented securities pledged to Derivative Clearing Organization (DCO) to fulfill our initial margin obligations on cleared derivatives. Securities pledged may be sold or repledged if the FHLBNY defaults on its obligations under rules established by the CFTC. |
39
(e) | Amounts represented net exposure after applying non-cash collateral pledged to and by the FHLBNY. Since legal ownership and control over the securities are not transferred, the net exposure represented in the table above is for information only and is not reported as such in the Statements of Condition. |
Note on variation margin — For all cleared derivative contracts that have not matured, “Variation margin” is exchanged between the FHLBNY and the Futures Commission Merchant (FCM), acting as agents on behalf of DCOs. Variation margin is determined by the DCO and fluctuates with the fair values of the open contracts. When the aggregate contract value of open derivatives is “in-the-money” for the FHLBNY (gain position), the FHLBNY would receive variation margin from the DCO. If the value of the open contracts is “out-of-the-money” (liability position), the FHLBNY would post variation margin to the DCO. At March 31, 2022,
Fair Value of Derivative Instruments
The following tables represent outstanding notional balances and estimated fair values of the derivatives outstanding (in thousands):
March 31, 2022 | |||||||||
Notional Amount | Derivative | Derivative | |||||||
| of Derivatives |
| Assets |
| Liabilities | ||||
Fair value of derivative instruments (a) | |||||||||
Derivatives designated as hedging instruments under ASC 815 interest rate swaps | $ | | $ | | $ | | |||
Total derivatives in hedging relationships under ASC 815 |
| | |
| | ||||
Derivatives not designated as hedging instruments | |||||||||
Interest rate swaps |
| |
| |
| | |||
Interest rate caps |
| |
| |
| — | |||
Mortgage delivery commitments |
| |
| |
| | |||
Other (b) |
| |
| |
| | |||
Total derivatives not designated as hedging instruments |
| |
| |
| | |||
Total derivatives before netting and collateral adjustments | $ | | $ | | $ | | |||
Netting adjustments | $ | ( | $ | ( | |||||
Cash collateral and related accrued interest | ( | ( | |||||||
Total netting adjustments and cash collateral |
| ( |
| ( | |||||
Total derivative assets and total derivative liabilities | $ | | $ | | |||||
Security collateral pledged as initial margin to Derivative Clearing Organization (c) | $ | | |||||||
Security collateral received from counterparty(c) | ( | ||||||||
Net security | | ||||||||
Net exposure | $ | |
40
December 31, 2021 | |||||||||
Notional Amount | Derivative | Derivative | |||||||
| of Derivatives |
| Assets |
| Liabilities | ||||
Fair value of derivative instruments (a) | |||||||||
Derivatives designated as hedging instruments under ASC 815 interest rate swaps | $ | | $ | | $ | | |||
Total derivatives in hedging relationships under ASC 815 |
| | |
| | ||||
Derivatives not designated as hedging instruments | |||||||||
Interest rate swaps |
| |
| |
| | |||
Interest rate caps |
| |
| |
| — | |||
Mortgage delivery commitments |
| |
| |
| | |||
Other (b) |
| |
| |
| | |||
Total derivatives not designated as hedging instruments |
| |
| |
| | |||
Total derivatives before netting and collateral adjustments | $ | | $ | | $ | | |||
Netting adjustments | $ | ( | $ | ( | |||||
Cash collateral and related accrued interest | ( | ( | |||||||
Total netting adjustments and cash collateral |
| ( |
| ( | |||||
Total derivative assets and total derivative liabilities | $ | | $ | | |||||
Security collateral pledged as initial margin to Derivative Clearing Organization (c) | $ | | |||||||
Security collateral received from counterparty(c) | ( | ||||||||
Net security | | ||||||||
Net exposure | $ | |
(a) | All derivative assets and liabilities with swap dealers and counterparties are executed under collateral agreements; derivative instruments executed bilaterally are subject to legal right of offset under master netting agreements. |
(b) | The Other category comprised of interest rate swaps intermediated for members, and notional amounts represent purchases by the FHLBNY from dealers and an offsetting purchase from us by the members. |
(c) | Non-cash security collateral is not permitted to be offset on the balance sheet but would be eligible for offsetting in an event of default. Amounts represent non-cash collateral and or U.S. Treasury securities pledged to and received from counterparties as collateral at March 31, 2022 and December 31, 2021. |
Accounting for Derivative Hedging
The FHLBNY accounts for its hedging activities in accordance with ASC 815, Derivatives and Hedging. As a general rule, hedge accounting is permitted where the FHLBNY is exposed to a particular risk, typically interest-rate risk that causes changes in the fair value of an asset or liability or variability in the expected future cash flows of an existing asset, liability or a forecasted transaction that may affect earnings. Derivative contracts hedging the risks associated with the changes in fair value are referred to as Fair value hedges, while contracts hedging the risks affecting the expected future cash flows are called Cash flow hedges. Derivatives not designated under a qualifying ASC 815 hedge relationship and designated as an asset/liability management hedge are classified as an economic hedge. For more information, see financial statements, Note 1. Critical Accounting Policies and Estimates in the most recent Form 10-K for the year ended December 31, 2021 filed on March 22, 2022.
41
Fair value hedge gains and losses
Gains and Losses on Fair value hedges under ASC 815 are summarized below (in thousands):
Gains (Losses) on Fair Value Hedges | ||||||
Recorded in Interest Income/Expense | ||||||
Three months ended March 31, | ||||||
| 2022 |
| 2021 | |||
Gains (losses) on derivatives in designated | ||||||
Interest rate hedges | $ | | $ | | ||
Gains (losses) on hedged item in designated |
|
| ||||
Interest rate hedges | $ | ( | $ | ( |
Gains (losses) represent changes in fair values of derivatives and hedged items due to changes in the designated benchmark interest rates, the risk being hedged. Gains and losses on ASC 815 hedges are recorded in the same line in the Statements of Income as the hedged assets and hedged liabilities.
Cumulative Basis Adjustment
Upon electing to apply ASC 815 fair value hedge accounting, the carrying value of the hedged item is adjusted to reflect the cumulative impact of changes in the hedged risk. The hedge basis adjustment, whether arising from an active or de-designated hedge relationship, remains with the hedged item until the hedged item is derecognized from the balance sheet.
The tables below present the carrying amount of FHLBNY’s assets and liabilities under active ASC 815 qualifying fair value hedges at March 31, 2022 and December 31, 2021, as well as the hedged item’s cumulative hedge basis adjustments, which were included in the carrying value of assets and liabilities in active hedges. The tables also present unamortized cumulative basis adjustments from discontinued hedges where the previously hedged item remains on the FHLBNY’s Statements of Condition (in thousands):
| March 31, 2022 | ||||||||
|
| Cumulative Fair Value Hedging Adjustment | |||||||
Included in the Carrying Amount of Hedged | |||||||||
|
| Items Gains (Losses) | |||||||
Carrying Amount of | Discontinued | ||||||||
Hedged | Active Hedging |
| Hedging | ||||||
| Assets/Liabilities (a) |
| Relationship |
| Relationship | ||||
Assets: |
| ||||||||
Hedged advances | $ | | $ | ( | $ | — | |||
Hedged AFS debt securities (a) | | ( | — | ||||||
De-designated advances (b) | — | — | | ||||||
$ | | $ | ( | $ | | ||||
Liabilities: |
|
|
|
|
| ||||
Hedged consolidated obligation bonds | $ | | $ | | $ | — | |||
Hedged consolidated obligation discount notes | | | — | ||||||
De-designated consolidated obligation bonds (b) | — | — | ( | ||||||
$ | | $ | | $ | ( |
42
| December 31, 2021 | ||||||||
|
| Cumulative Fair Value Hedging Adjustment | |||||||
Included in the Carrying Amount of Hedged | |||||||||
|
| Items Gains (Losses) | |||||||
Carrying Amount of | Discontinued | ||||||||
Hedged | Active Hedging |
| Hedging | ||||||
| Assets/Liabilities (a) |
| Relationship |
| Relationship | ||||
Assets: |
|
|
|
|
|
| |||
Hedged advances | $ | | $ | | $ | — | |||
Hedged AFS debt securities (a) | | ( | — | ||||||
De-designated advances (b) | — | — | | ||||||
$ | | $ | | $ | | ||||
Liabilities: |
|
|
|
|
| ||||
Hedged consolidated obligation bonds | $ | | $ | ( | $ | — | |||
Hedged consolidated obligation discount notes | | | — | ||||||
De-designated consolidated obligation bonds (b) | — | — | ( | ||||||
$ | | $ | ( | $ | ( |
(a) | Carrying amounts represent amortized cost adjusted for cumulative fair value hedging basis. For AFS securities in a fair value partial-term hedge, changes in the fair values due to changes in the benchmark rate were recorded as an adjustment to amortized cost and an offset to interest income from the hedged AFS securities. |
(b) | At March 31, 2022, par amount of de-designated CO bonds were $ |
Cash flow hedge gains and losses
The following tables present derivative instruments used in cash flow hedge accounting relationships and the gains and losses recorded on such derivatives (in thousands):
Derivative Gains (Losses) Recorded in Income and Other | ||||||||||||
Comprehensive Income/Loss | ||||||||||||
Three months ended March 31, 2022 | ||||||||||||
Amounts | Amounts | Total | ||||||||||
Reclassified from | Reclassified from | Amounts | Change in | |||||||||
AOCI to | AOCI to Other |
| Recorded in | OCI for | ||||||||
| Interest Expense (b) |
| Income (Loss) (c) | OCI (d) |
| Period | ||||||
Interest rate contracts (a) | $ | ( | $ | — | $ | | $ | |
Derivative Gains (Losses) Recorded in Income and Other | ||||||||||||
Comprehensive Income/Loss | ||||||||||||
Three months ended March 31, 2021 | ||||||||||||
Amounts | Amounts | Total | ||||||||||
Reclassified from | Reclassified from | Amounts | Change in | |||||||||
AOCI to | AOCI to Other | Recorded in | OCI for | |||||||||
| Interest Expense (b) |
| Income (Loss) (c) |
| OCI (d) |
| Period | |||||
Interest rate contracts (a) | $ | ( | $ | — | $ | | $ | |
(a) | Amounts represent cash flow hedges of CO debt hedged with benchmark interest rate swaps indexed to a benchmark rate. Under guidance provided by ASU 2017-12, the FHLBNY includes the gain and loss on the hedging derivatives in the same line in the Statements of Income as the change in cash flows on the hedged item. |
43
(b) | Amounts represent amortization of gains (losses) related to closed cash flow hedges of anticipated issuance of CO bonds that were reclassified during the period to interest expense as a yield adjustment. Losses reclassified represent losses in AOCI that were amortized as an expense to debt interest expense. If debt is held to maturity, losses in AOCI will be relieved through amortization. It is expected that over the next 12 months, $ |
(c) | Under guidance provided by ASU 2017-12, hedge ineffectiveness (as defined under ASC 815) is reclassified only if the original transaction would not occur by the end of the specified time period or within a two-month period thereafter. There were |
(d) | Amounts represent changes in the fair values of open interest rate swap contracts in cash flow hedges of CO debt, primarily those hedging the rolling issuance of CO discount notes. |
Economic Hedges
FHLBNY often uses economic hedges when hedge accounting would be too complex or operationally burdensome. Derivatives that are economic hedges are carried at fair value, with changes in value included in Other income (loss), a line item, which is below Net interest income. For hedges that either do not meet the ASC 815 hedging criteria or for which management decides not to apply ASC 815 hedge accounting, the derivative is recorded at fair value on the balance sheet with the associated changes in fair value recorded in earnings, while the “hedged” instrument continues to be carried at amortized cost. Therefore, current earnings are affected by the interest rate shifts and other factors that cause a change in the swap’s value, but for which no offsetting change in value is recorded on the hedged instrument. Economic hedges are an acceptable hedging strategy under the FHLBNY’s risk management program, and the strategies comply with the Finance Agency’s regulatory requirements prohibiting speculative use of derivatives.
Gains and losses on economic hedges are presented below (in thousands):
| Gains (Losses) on Economic Hedges | |||||
| Recorded in Other Income (Loss) | |||||
| Three month ended March 31, | |||||
| 2022 |
| 2021 | |||
Gains (losses) on derivatives designated in economic hedges | ||||||
Interest rate hedges | $ | | $ | ( | ||
Caps | | | ||||
Mortgage delivery commitments | ( | ( | ||||
Total gains (losses) on derivatives in economic hedges | $ | | $ | ( |
44
Note 18. Fair Values of Financial Instruments.
Estimated Fair Values — Summary Tables – Carrying values, the estimated fair values and the levels within the fair value hierarchy were as follows (in thousands):
March 31, 2022 | ||||||||||||||||||
Estimated Fair Value | ||||||||||||||||||
Netting | ||||||||||||||||||
Carrying | Adjustment and | |||||||||||||||||
Financial Instruments |
| Value |
| Total |
| Level 1 |
| Level 2 |
| Level 3 (a) |
| Cash Collateral | ||||||
Assets | ||||||||||||||||||
Cash and due from banks | $ | | $ | | $ | | $ | — | $ | — | $ | — | ||||||
Interest-bearing deposits | | | — | | — | — | ||||||||||||
Securities purchased under agreements to resell |
| |
| |
| — |
| |
| — |
| — | ||||||
Federal funds sold |
| |
| |
| — |
| |
| — |
| — | ||||||
Trading securities | | | | — | — | — | ||||||||||||
Equity Investments | | | | — | — | — | ||||||||||||
Available-for-sale securities |
| |
| |
| — |
| |
| |
| — | ||||||
Held-to-maturity securities |
| |
| |
| — |
| |
| |
| — | ||||||
Advances |
| |
| |
| — |
| |
| — |
| — | ||||||
Mortgage loans held-for-portfolio, net |
| |
| |
| — |
| |
| — |
| — | ||||||
Accrued interest receivable |
| |
| |
| — |
| |
| — |
| — | ||||||
Derivative assets |
| |
| |
| — |
| |
| — |
| ( | ||||||
Other financial assets |
| |
| |
| — |
| — |
| |
| — | ||||||
Liabilities | ||||||||||||||||||
Deposits |
| |
| |
| — |
| |
| — |
| — | ||||||
Consolidated obligations | ||||||||||||||||||
Bonds |
| |
| |
| — |
| |
| — |
| — | ||||||
Discount notes |
| |
| |
| — |
| |
| — |
| — | ||||||
Mandatorily redeemable capital stock |
| |
| |
| |
| — |
| — |
| — | ||||||
Accrued interest payable |
| |
| |
| — |
| |
| — |
| — | ||||||
Derivative liabilities |
| |
| |
| — |
| |
| — |
| ( | ||||||
Other financial liabilities |
| |
| |
| |
| — |
| — |
| — |
45
December 31, 2021 | ||||||||||||||||||
Estimated Fair Value | ||||||||||||||||||
Netting | ||||||||||||||||||
Carrying | Adjustment and | |||||||||||||||||
Financial Instruments |
| Value |
| Total |
| Level 1 |
| Level 2 |
| Level 3 (a) |
| Cash Collateral | ||||||
Assets | ||||||||||||||||||
Cash and due from banks | $ | | $ | | $ | | $ | — | $ | — | $ | — | ||||||
Interest-bearing deposits | | | — | | — | — | ||||||||||||
Securities purchased under agreements to resell |
| |
| |
| — |
| |
| — |
| — | ||||||
Federal funds sold |
| |
| |
| — |
| |
| — |
| — | ||||||
Trading securities | | | | — | — | — | ||||||||||||
Equity Investments |
| | | | — | — | — | |||||||||||
Available-for-sale securities |
| |
| |
| — |
| |
| |
| — | ||||||
Held-to-maturity securities | |
| |
| — |
| |
| |
| — | |||||||
Advances | |
| |
| — |
| |
| — |
| — | |||||||
Mortgage loans held-for-portfolio, net | |
| |
| — |
| |
| — |
| — | |||||||
Accrued interest receivable |
| |
| |
| — |
| |
| — |
| — | ||||||
Derivative assets |
| |
| |
| — |
| |
| — |
| ( | ||||||
Other financial assets |
| |
| |
| — |
| — |
|
| — | |||||||
Liabilities | ||||||||||||||||||
Deposits |
| |
| |
| — |
| |
| — |
| — | ||||||
Consolidated obligations | ||||||||||||||||||
Bonds |
| |
| |
| — |
| |
| — |
| — | ||||||
Discount notes |
| |
| |
| — |
| |
| — |
| — | ||||||
Mandatorily redeemable capital stock |
| |
| |
| |
| — |
| — |
| — | ||||||
Accrued interest payable |
| |
| |
| — |
| |
| — |
| — | ||||||
Derivative liabilities |
| |
| |
| — |
| |
| — |
| ( | ||||||
Other financial liabilities |
| |
| |
| |
| — |
| — |
| — |
The fair value amounts recorded on the Statements of Condition or presented in the table above have been determined by the FHLBNY using available market information and our reasonable judgment of appropriate valuation methods.
(a) | Level 3 Instruments — The fair values of non-Agency private-label MBS and housing finance agency bonds were estimated by management based on pricing services. Valuations may have required pricing services to use significant inputs that were subjective because of the current lack of significant market activity; the inputs may not be market based and observable. |
Fair Value Hierarchy
The FHLBNY records trading securities, equity investments, available-for-sale securities, derivative instruments, and Consolidated obligations and advances elected under the FVO at fair values on a recurring basis. On a non-recurring basis for the FHLBNY, when mortgage loans held-for-portfolio are written down or are foreclosed as Other Real Estate Owned (REO or OREO), they are recorded at the fair values of the real estate collateral supporting the mortgage loans.
The accounting standards under Fair Value Measurement defines fair value, establishes a consistent framework for measuring fair value and requires disclosures about fair value measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Among other things, the standard requires the FHLBNY to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. The standard specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect the FHLBNY’s market assumptions.
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These two types of inputs have created the following fair value hierarchy, and an entity must disclose the level within the fair value hierarchy in which the measurements are classified for all assets and liabilities measured on a recurring or non-recurring basis:
● | Level 1 Inputs — Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. |
● | Level 2 Inputs — Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and volatilities). |
● | Level 3 Inputs — Inputs that are unobservable and significant to the valuation of the asset or liability. |
The inputs are evaluated on an overall level for the fair value measurement to be determined. This overall level is an indication of market observability of the fair value measurement for the asset or liability. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. These reclassifications are reported as transfers in/out as of the beginning of the quarter in which the changes occur. There were
The availability of observable inputs can vary from product to product and is affected by a wide variety of factors including, for example, the characteristics peculiar to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised by the FHLBNY in determining fair value is greatest for instruments categorized as Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Summary of Valuation Techniques and Primary Inputs
The fair value of a financial instrument that is an asset is defined as the price the FHLBNY would receive to sell the asset in an orderly transaction with market participants. A financial liability’s fair value is defined as the amount that would be paid to transfer the liability to a new obligor, not the amount that would be paid to settle the liability with the creditor. Where available, fair values were based on observable market prices or parameters or derived from such prices or parameters. Where observable prices are not available, valuation models and inputs are utilized. These valuation techniques involve some level of management estimation and judgment, the degree of which is dependent on the price transparency for the instruments or markets and the instruments’ complexity. Because an active secondary market does not exist for a portion of the FHLBNY’s financial instruments, in certain cases, fair values are not subject to precise quantification or verification and may change as economic and market factors and evaluation of those factors change.
47
For assets and liabilities carried at fair value, the FHLBNY measures fair value using the procedures set out below:
Mortgage-backed securities, including housing finance obligations, classified as available-for-sale - The fair value of such securities is estimated by the FHLBNY using pricing primarily from specialized pricing services. The pricing vendors typically use market multiples derived from a set of comparables, including matrix pricing, and other techniques. The FHLBNY’s valuation technique incorporates prices from up to
The FHLBNY has also concluded that the pricing vendors use methods that generally employ, but are not limited to benchmark yields, recent trades, dealer estimates, valuation models, benchmarking of like securities, sector groupings, and/or matrix pricing.
Based on the FHLBNY’s review processes, management has concluded that inputs into the pricing models employed by pricing services for the FHLBNY’s investments in GSE securities classified as available-for-sale are market based and observable and are considered to be within Level 2 of the fair value hierarchy.
Housing finance agency bonds —The fair value of housing finance agency bonds is estimated by management using information primarily from pricing services. Because of the current lack of significant market activity, their fair values were categorized within Level 3 of the fair value hierarchy as inputs into vendor pricing models may not be market based and observable.
Fair values of Mortgage-backed securities deemed impaired - When a PLMBS is deemed to be impaired, it is recorded at fair value. The valuation of PLMBS may require pricing services to use significant inputs that are subjective and are considered by management to be within Level 3 of the fair value hierarchy. This determination was made based on management’s view that the private-label instruments may not have an active market because of the specific vintage of the securities as well as inherent conditions surrounding the trading of private-label MBS, so that the inputs may not be market based and observable. Historically, impairments have been de minimis. The portfolio of PLMBS has declined as the FHLBNY has ceased acquiring PLMBS.
Trading Securities — The FHLBNY classifies trading securities as Level 1 of the fair value hierarchy when we use quoted market prices in active markets to determine the fair value of trading securities, such as U.S. government securities. We classify trading securities as Level 2 of the fair value hierarchy when we use quoted market prices in less active markets to determine the fair value of trading securities.
Equity Investments — The FHLBNY has a grantor trust, which invests 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 trust. Because of the highly liquid nature of the investments at their NAVs, they are categorized as Level 1 financial instruments under the valuation hierarchy.
Advances elected under the FVO - When the FHLBNY elects the FVO designation for certain advances, the advances are recorded at their fair values in the Statements of Condition. The fair values are computed using standard option valuation models. The most significant inputs to the valuation model are (1) Consolidated obligation debt curve (CO Curve), published by the Office of Finance and available to the public, and (2) Benchmark swap curves and volatilities. Both these inputs are considered to be market based and observable as they can be directly corroborated by market participants.
The CO Curve is the primary input, which is market based and observable. Inputs to apply spreads, which are FHLBNY specific, were not material. Fair values were classified within Level 2 of the valuation hierarchy.
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The FHLBNY determines the fair values of advances elected under the FVO by calculating the present value of expected future cash flows from the advances, a methodology also referred to as the Income approach under the Fair Value Measurement standards. The discount rates used in these calculations are equivalent to the replacement advance rates for advances with similar terms. In accordance with the Finance Agency’s “Advances” regulations, an advance with a maturity or repricing period greater than
The inputs used to determine fair value of advances elected under the FVO are as follows:
● | CO Curve. The FHLBNY uses the CO Curve, which represents its cost of funds, as an input to estimate the fair value of advances, and to determine current advance rates. This input is considered market observable and therefore a Level 2 input. |
● | Volatility assumption. To estimate the fair value of advances with optionality, the FHLBNY uses market-based expectations of future interest rate volatility implied from current market prices for similar options. This input is considered a Level 2 input as it is market based and market observable. |
● | Spread adjustment. Adjustments represent the FHLBNY’s mark-up based on its pricing strategy. The input is considered as unobservable and is classified as a Level 3 input. The spread adjustment is not a significant input to the overall fair value of an advance. |
Consolidated Obligations elected under the FVO — The FHLBNY estimates the fair values of Consolidated obligations elected under the FVO based on the present values of expected future cash flows due on the debt obligations. Calculations are performed by using the FHLBNY’s industry standard option adjusted valuation models. The FHLBNY’s internal valuation models use the following inputs:
● | CO Curve and Benchmark Swap Curves. The Office of Finance constructs an internal curve, referred to as the CO Curve, using the U.S. Treasury Curve as a base curve that is then adjusted by adding indicative spreads obtained from market observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, recent GSE trades and secondary market activity. The FHLBNY considers the inputs as Level 2 inputs as they are market observable. |
● | Volatility assumptions. To estimate the fair values of Consolidated obligations with optionality, the FHLBNY uses market-based expectations of future interest rate volatility implied from current market prices for similar options. These inputs are also considered Level 2 as they are market based and observable. No CO debt elected under the FVO were structured with options in any periods in this report. |
Derivative Assets and Liabilities — The FHLBNY’s derivatives (cleared derivatives and bilaterally executed derivatives) are executed in the over-the-counter market and are valued using internal valuation techniques as no quoted market prices exist for such instruments. Discounted cash flow analysis is the primary methodology employed by the FHLBNY’s valuation models to measure the fair values of interest rate swaps. The valuation technique is considered as an “Income approach”. Interest rate caps and floors are valued under the “Market approach”. Interest rate swaps and interest rate caps and floors, collectively “derivatives”, were valued in industry-standard option adjusted valuation models, which generated fair values. The valuation models employed multiple market inputs including interest rates, prices, and indices to create continuous yield or pricing curves and volatility factors. These multiple market inputs were corroborated by management to independent market data, and to relevant benchmark indices. In addition, derivative valuations were compared by management to counterparty valuations received as part of the collateral exchange process. These derivative positions were classified within Level 2 of the valuation hierarchy at March 31, 2022 and December 31, 2021.
Starting in mid-October 2020, interest rate swaps cleared by Central Clearing Houses, LCH and the CME, are valued by discounting forward cash flows by the SOFR index, consistent with the change to SOFR in the interest accrual calculation of margins.
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The FHLBNY’s valuation model utilizes a modified Black-Karasinski methodology. Significant market based and observable inputs into the valuation model include volatilities and interest rates. The Bank’s valuation model employs industry standard market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative were as follows:
Interest-rate related:
● | LIBOR Swap Curve. |
● | Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. |
● | Prepayment assumption (if applicable). |
● | Federal funds curve (FF/OIS curve). |
● | SOFR curve (SOFR/OIS) |
Mortgage delivery commitments (considered a derivative) — TBA security prices are adjusted for differences in coupon, average loan rate and seasoning. To be announced (TBA) is the term describing forward-settling MBS trades issued by Freddie Mac, Fannie Mae, and Ginnie Mae trade in the TBA market. The FHLBNY incorporates SOFR and the overnight indexed swap (FF/OIS) curves as fair value measurement inputs for the valuation of its derivatives as the curves reflect the interest rates paid on cash collateral provided against the fair value of these derivatives. The FHLBNY believes using relevant SOFR and the FF/OIS curves as inputs to determine fair value measurements provides a more representative reflection of the fair values of these collateralized interest-rate related derivatives. SOFR and the FF/OIS curves are inputs to the valuation model and are obtained from industry standard pricing vendors; the inputs are available and observable over the entire terms of the interest rate swaps.
Management considers the SOFR and the federal funds curve to be Level 2 inputs. The FHLBNY’s valuation model utilizes industry standard OIS methodology. The model generates forecasted cash flows using the contractual cash flows, then discounts the cash flows by SOFR and FF/OIS curve to generate fair values.
Credit risk and credit valuation adjustments
The FHLBNY is subject to credit risk in derivatives transactions due to the potential non-performance of its derivatives counterparties or a Derivatives Clearing Organizations (DCO). To mitigate this risk, the FHLBNY has entered into master netting agreements and credit support agreements with its derivative counterparties for its bilaterally executed derivative contracts that provide for the delivery of collateral at specified levels at least weekly. The computed fair values of the derivatives took into consideration the effects of legally enforceable master netting agreements that allow the FHLBNY to settle positive and negative positions and offset cash collateral with the same counterparty on a net basis. For derivative transactions executed as a cleared derivative, the transactions are fully collateralized in cash and for the most part exchanged and settled daily with the DCO. The FHLBNY has also established the enforceability of offsetting rights incorporated in the agreements for the cleared derivative transactions.
As a result of these practices and agreements and the FHLBNY’s assessment of any change in its own credit spread, the FHLBNY has concluded that the impact of the credit differential between the FHLBNY and its derivative counterparties and DCO was sufficiently mitigated to an immaterial level that
Fair Value Measurement
The tables below present the fair value of those assets and liabilities that are recorded at fair value on a recurring or non-recurring basis at March 31,2022 and December 31, 2021, by level within the fair value hierarchy. Certain mortgage loans that were partially charged-off were recorded at their collateral values on a non-recurring basis. OREO is measured at fair value when the asset’s fair value less costs to sell is lower than its carrying amount.
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Items Measured at Fair Value on a Recurring Basis (in thousands):
March 31, 2022 | |||||||||||||||
Netting | |||||||||||||||
Adjustment and | |||||||||||||||
| Total |
| Level 1 |
| Level 2 |
| Level 3 |
| Cash Collateral | ||||||
Assets | |||||||||||||||
Trading securities | |||||||||||||||
U.S. Treasury securities | $ | | $ | | $ | — | $ | — | $ | — | |||||
Equity Investments | | | — | — | — | ||||||||||
Available-for-sale securities | |||||||||||||||
GSE/U.S. agency issued MBS | | — | | — | — | ||||||||||
State and local housing finance agency obligations | | — | — | | — | ||||||||||
Derivative assets (a) | |||||||||||||||
Interest-rate derivatives | | — | | — | ( | ||||||||||
Mortgage delivery commitments | | — | | — | — | ||||||||||
Total recurring fair value measurement - Assets | $ | | $ | | $ | | $ | | $ | ( | |||||
Liabilities | |||||||||||||||
Consolidated obligation: | |||||||||||||||
Bonds (to the extent FVO is elected) (b) | $ | ( | $ | — | $ | ( | $ | — | $ | — | |||||
Derivative liabilities (a) | |||||||||||||||
Interest-rate derivatives | ( | — | ( | — | | ||||||||||
Mortgage delivery commitments | ( | — | ( | — | — | ||||||||||
Total recurring fair value measurement - Liabilities | $ | ( | $ | — | $ | ( | $ | — | $ | |
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December 31, 2021 | |||||||||||||||
Netting | |||||||||||||||
Adjustment and | |||||||||||||||
| Total |
| Level 1 |
| Level 2 |
| Level 3 |
| Cash Collateral | ||||||
Assets | |||||||||||||||
Trading securities | |||||||||||||||
U.S. Treasury securities | $ | | $ | | $ | — | $ | — | $ | — | |||||
Equity Investments | | | — | — | — | ||||||||||
Available-for-sale securities | |||||||||||||||
GSE/U.S. agency issued MBS | | — | | — | — | ||||||||||
State and local housing finance agency obligations | | — | — | | — | ||||||||||
Derivative assets(a) | |||||||||||||||
Interest-rate derivatives | | — | | — | ( | ||||||||||
Mortgage delivery commitments | | — | | — | — | ||||||||||
Total recurring fair value measurement - Assets | $ | | $ | | $ | | $ | | $ | ( | |||||
Liabilities | |||||||||||||||
Consolidated obligation: | |||||||||||||||
Bonds (to the extent FVO is elected) (b) | $ | ( | $ | — | $ | ( | $ | — | $ | — | |||||
Derivative liabilities (a) | |||||||||||||||
Interest-rate derivatives | ( | — | ( | — | | ||||||||||
Mortgage delivery commitments | ( | — | ( | — | — | ||||||||||
Total recurring fair value measurement - Liabilities | $ | ( | $ | — | $ | ( | $ | — | $ | |
(a) | Based on analysis of the nature of the risk, the presentation of derivatives as a single class is appropriate. |
(b) | Based on analysis of the nature of risks of Consolidated obligation bonds measured at fair value, the FHLBNY has determined that presenting the bonds as a single class is appropriate. |
52
Roll Forward of Level 3 Available-for-Sale Securities(a) (in thousands):
State and Local Housing Finance | |||
Agency Obligations | |||
Three Months ended March 31, 2022 | |||
Balance, beginning of the period | $ | | |
Transfer of securities from held-to-maturity to available-for-sale |
| — | |
Provision for credit losses | — | ||
Total gains (losses) included in other comprehensive income | |||
Net unrealized gains (losses) |
| ( | |
Purchases | — | ||
Settlements | — | ||
Balance, end of the period | $ | |
(a) | No Roll Forward of Level 3 Available-for-Sale Securities at March 31, 2021. |
Items Measured at Fair Value on a Non-recurring Basis (in thousands):
During the period ended March 31, 2022 | ||||||||||||
| Fair Value |
| Level 1 |
| Level 2 |
| Level 3 | |||||
Mortgage loans held-for-portfolio | $ | | $ | — | $ | | $ | — | ||||
Real estate owned | | — | — | | ||||||||
Total non-recurring assets at fair value | $ | | $ | — | $ | | $ | |
During the period ended December 31, 2021 | ||||||||||||
| Fair Value |
| Level 1 |
| Level 2 |
| Level 3 | |||||
Mortgage loans held-for-portfolio | $ | | $ | — | $ | | $ | — | ||||
Real estate owned |
| |
| — |
| — |
| | ||||
Total non-recurring assets at fair value |
| $ | |
| $ | — |
| $ | |
| $ | |
Mortgage loans and REO — The FHLBNY measured and recorded certain impaired mortgage loans and REO (foreclosed properties) on a non-recurring basis. These assets were subject to fair value adjustments in certain circumstances at the occurrence of the events during the periods in this report. Impaired loans were primarily loans that were delinquent for 180 days or more, partially charged-off, with the remaining loans recorded at their collateral values at the dates the loans were charged off. Fair value adjustments on the impaired loans and real estate owned assets were based primarily on broker price opinions.
In accordance with disclosure provisions, we have reported changes in fair values of such assets as of the date the fair value adjustments were recorded during the period ended March 31, 2022 and December 31, 2021, and reported fair values were not as of the period end dates.
Fair Value Option Disclosures
From time to time, the FHLBNY will elect the FVO for advances and Consolidated obligations on an instrument-by-instrument basis with changes in fair value reported in earnings. Customarily, the election is made when either the instruments do not qualify for hedge accounting or may be at risk for not meeting hedge effectiveness requirements; the objective is primarily to mitigate the potential income statement volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value. We may also elect advances under the FVO when analysis indicates that changes in the fair values of the advance would be an offset to fair value volatility of debt elected under the FVO. We may also elect CO bonds under the FVO to achieve asset liability objectives. The FVO election is made at inception of the contracts for advances and debt obligations.
For instruments for which the fair value option has been elected, the related contractual interest income, contractual interest expense, the discount amortization on fair value option consolidated obligation discount notes and the premium/discount amortization on fair
53
value option consolidated obligation bonds are recorded as part of net interest income in the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains (losses) on financial instruments held under fair value option in the Statements of Income. The change in fair value does not include changes in instrument-specific credit risk. The FHLBNY has determined that
As with all advances, when advances are elected under the FVO, they are also fully collateralized through their terms to maturity. We consider our Consolidated obligation debt as high credit-quality, highly rated instruments, and changes in fair values are generally related to changes in interest rates and investor preference, including investor asset allocation strategies. The FHLBNY believes the credit-quality of Consolidated obligation debt has remained stable, and changes in fair value attributable to instrument-specific credit risk, if any, were not material given that the debt elected under the FVO had been issued within the recent past periods, and no adverse changes have been observed in their credit characteristics.
The following tables summarize the activity related to financial instruments for which the FHLBNY elected the fair value option (a) (in thousands):
March 31, 2022 | |||
| Bonds | ||
Balance, beginning of the period | $ | ( | |
New transactions elected for fair value option |
| ( | |
Maturities and terminations |
| | |
Net gains (losses) on financial instruments held under fair value option |
| | |
Change in accrued interest/unaccreted balance |
| ( | |
Balance, end of the period | $ | ( |
December 31, 2021 | ||||||
| Bonds | Discount Notes | ||||
Balance, beginning of the period | $ | ( | $ | ( | ||
New transactions elected for fair value option |
| ( |
| ( | ||
Maturities and terminations |
| |
| | ||
Net gains (losses) on financial instruments held under fair value option |
| |
| | ||
Change in accrued interest/unaccreted balance |
| |
| | ||
Balance, end of the period | $ | ( | $ | — |
| March 31, 2021 | |||||
Bonds |
| Discount Notes | ||||
Balance, beginning of the period | $ | ( | $ | ( | ||
New transactions elected for fair value option |
| ( |
| ( | ||
Maturities and terminations |
| |
| | ||
Net gains (losses) on financial instruments held under fair value option |
| ( |
| | ||
Change in accrued interest/unaccreted balance |
| ( |
| | ||
Balance, end of the period | $ | ( | $ | ( |
(a) | No discount notes elected under the FVO was outstanding at March 31, 2022. |
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The following tables present the change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected (a) (in thousands):
Three months ended March 31, 2022 | |||||||||
Net Gains | Total Change in Fair | ||||||||
(Losses) Due to | Value Included in | ||||||||
Changes in Fair | Current Period | ||||||||
| Interest Expense |
| Value |
| Earnings | ||||
Consolidated obligation bonds | $ | ( | $ | | $ | |
Three months ended March 31, 2021 | |||||||||
Net Gains | Total Change in Fair | ||||||||
(Losses) Due to | Value Included in | ||||||||
Changes in Fair | Current Period | ||||||||
| Interest Expense |
| Value |
| Earnings | ||||
Consolidated obligation bonds | $ | ( | $ | ( | $ | ( | |||
Consolidated obligation discount notes | ( | | ( | ||||||
$ | ( | $ | | $ | ( |
(a) | No discount notes elected under the FVO was outstanding at March 31, 2022. |
The following tables compare the aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected (a) (in thousands):
March 31, 2022 | |||||||||
Fair Value Over/(Under) | |||||||||
Aggregate Unpaid | Aggregate Fair | Aggregate Unpaid | |||||||
| Principal Balance |
| Value |
| Principal Balance | ||||
Consolidated obligation bonds (b) | $ | | $ | | $ | ( |
December 31, 2021 | |||||||||
|
|
| Fair Value Over/(Under) | ||||||
Aggregate Unpaid | Aggregate Fair | Aggregate Unpaid | |||||||
Principal Balance | Value | Principal Balance | |||||||
Consolidated obligation bonds (b) | $ | | $ | | $ | ( |
March 31, 2021 | |||||||||
|
|
| Fair Value Over/(Under) | ||||||
Aggregate Unpaid | Aggregate Fair | Aggregate Unpaid | |||||||
Principal Balance | Value | Principal Balance | |||||||
Consolidated obligation bonds (b) | $ | | $ | | $ | | |||
Consolidated obligation discount notes (c) |
| |
| |
| | |||
$ | | $ | | $ | |
(a) | Advances – |
(b) | CO bonds – The FHLBNY has elected the FVO on an instrument-by-instrument basis for CO bonds, primarily fixed-rate, intermediate- and short-term debt; management elects the FVO for such CO bonds when management is not able to assert with confidence that the debt would qualify for hedge accounting as such short-term debt may not remain highly effective hedges through the maturity of the bonds. Management may also elect the FVO of certain other CO bonds to achieve asset liability objectives. |
(c) | Discount notes - |
55
Note 19. Commitments and Contingencies.
Consolidated obligations — The FHLBanks have joint and several liability for all the Consolidated obligations issued on their behalf. Accordingly, should
Affordable Housing Program — The
The following table summarizes contractual obligations and contingencies (in thousands):
| March 31, 2022 | ||
Contractual Obligations | |||
Consolidated obligation bonds at par (a) | $ | | |
Consolidated obligation discount notes at par | | ||
Mandatorily redeemable capital stock (a) |
| | |
Premises (lease obligations) (b) | | ||
Remote backup site | | ||
Other liabilities (c) |
| | |
Total contractual obligations | $ | | |
Other commitments | |||
Standby letters of credit (d) | $ | | |
Consolidated obligation bonds/discount notes traded not settled |
| | |
Commitments to fund additional advances | | ||
Commitments to fund pension | | ||
Open delivery commitments (MAP) |
| | |
Total other commitments | $ | | |
Total obligations and commitments | $ | |
(a) | Callable bonds contain an exercise date or a series of exercise dates that may result in a shorter redemption period. Redemption dates of mandatorily redeemable capital stock are assumed to correspond to maturity dates of member advances. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock. While interest payments on CO bonds and discount notes are contractual obligations, they are deemed to be not material and, therefore, amounts were omitted from the table. |
(b) | Amounts represent undiscounted obligations. Lease obligations are recorded in the Statements of Condition as a Right-of-use (ROU) asset and a corresponding lease liability. Immaterial amounts of equipment and other leases have been excluded in the table above. |
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(c) | Includes accounts payable and accrued expenses, liabilities recorded for future settlements of investments, Pass-through reserves due to member institutions held at the FRB, and projected payment obligations for pension plans. Where it was not possible to estimate the exact timing of payment obligations, they were assumed to be due within one year; amounts were not material. For more information about employee retirement plans in general, see Note 16. Employee Retirement Plans. |
(d) | Financial letters of credit - Standby letters of credit are executed for a fee on behalf of members to facilitate residential housing, community lending, and members’ asset/liability management or to provide liquidity. A standby letter of credit is a financing arrangement between the FHLBNY and its member. Members assume an unconditional obligation to reimburse the FHLBNY for value given by the FHLBNY to the beneficiary under the terms of the standby letter of credit. The FHLBNY may, in its discretion, permit the member to finance repayment of their obligation by receiving a collateralized advance. |
Effective January 1, 2020, we adopted the framework for credit losses under ASU 2016-13 (Topic 326); adoption did not result in a recognition of credit losses on off-balance sheet arrangements as of January 1, 2020 or periods in this report.
Operating Lease Commitments
In compliance with the guidance under ASU 2016-02, Leases (Topic 842), we recognize in our Statements of Condition all leases with lease terms greater than twelve months as a lease liability with a corresponding right-of-use (ROU) asset.
At March 31, 2022 and December 31, 2021, the FHLBNY was obligated under a number of noncancelable leases, predominantly operating leases for premises. These leases generally have terms of
57
The following tables provide summarized information on our leases (dollars in thousands):
| March 31, 2022 |
| December 31, 2021 | ||||
Operating Leases (a) | |||||||
Right-of-use assets | $ | | $ | | |||
Lease Liabilities | $ | | $ | |
| Three months ended March 31, | ||||||
| 2022 | 2021 |
| ||||
Operating Lease Expense | $ | |
| $ | | ||
Operating cash flows - Cash Paid | $ | | $ | | |||
| March 31, 2022 |
| December 31, 2021 | ||||
Weighted Average Discount Rate | | % | | % | |||
Weighted Average Remaining Lease Term | Years | Years |
Remaining maturities through | ||||||
Operating lease liabilities |
| March 31, 2022 |
| December 31, 2021 | ||
Remainder of 2022 | $ | | $ | | ||
2023 | | | ||||
2024 | | | ||||
2025 | | | ||||
2026 | | | ||||
Thereafter | | | ||||
Total undiscounted lease payments | | | ||||
Imputed interest | ( | ( | ||||
Total operating lease liabilities | $ | | $ | |
(a) | We have elected to exclude immaterial amounts of short-term operating lease liabilities in the Right-of-use assets and lease liabilities. |
Note 20. Related Party Transactions.
The FHLBNY is a cooperative and the members own almost all of the stock of the FHLBNY. Stock issued and outstanding that is not owned by members is held by former members. The majority of the members of the Board of Directors of the FHLBNY are elected by and from the membership. The FHLBNY conducts its advances business almost exclusively with members, and considers its transactions with its members and non-member stockholders as related party transactions in addition to transactions with other FHLBanks, the Office of Finance, and the Finance Agency. The FHLBNY conducts all transactions with members and non-members in the ordinary course of business. All transactions with all members, including those whose officers may serve as directors of the FHLBNY, are at terms that are no more favorable than comparable transactions with other members. The FHLBNY may from time to time borrow or sell overnight and term federal funds at market rates to members.
Debt Assumptions and Transfers. When debt is transferred or assumed, the transactions would be executed in the ordinary course of the FHLBNY’s business and at negotiated market pricing.
Debt assumptions —
Debt transfers —
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Advances Sold or Transferred
MPF Program
In the MPF program, the FHLBNY may participate to the FHLBank of Chicago portions of its purchases of mortgage loans from its members. Transactions are participated at market rates. Since 2004, the FHLBNY has not shared its purchases with the FHLBank of Chicago. From the inception of the program through 2004, the cumulative share of MPF Chicago’s participation in the FHLBNY’s MPF loans that has remained outstanding was $
Fees paid to the FHLBank of Chicago for providing MPF program services were approximately $
Mortgage-backed Securities
Intermediation
From time to time, the FHLBNY acts as an intermediary to purchase derivatives to accommodate its smaller members. At March 31, 2022 and December 31, 2021, outstanding notional amounts were $
Loans to Other Federal Home Loan Banks
In the three months ended March 31, 2022, overnight loans extended to other FHLBanks averaged $
Borrowings from Other Federal Home Loan Banks
The FHLBNY borrows from other FHLBanks, generally for a period of
Sub-lease of Office Space to Another Federal Home Loan Bank
The FHLBNY is a lessor of shared office space to another FHLBank for a term through August 2028 at an estimated $
Cash and Due from Banks
At March 31, 2022 and December 31, 2021, there was
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The following tables summarize significant balances and transactions with related parties and transactions (in thousands):
Related Party: Outstanding Assets, Liabilities and Capital
March 31, 2022 | December 31, 2021 | |||||
| Related |
| Related | |||
Assets | ||||||
Advances | $ | | $ | | ||
Accrued interest receivable |
| |
| | ||
Liabilities and capital | ||||||
Deposits | $ | | $ | | ||
Mandatorily redeemable capital stock |
| |
| | ||
Accrued interest payable |
| |
| | ||
Affordable Housing Program (a) | | | ||||
Other liabilities (b) |
| |
| | ||
Capital | $ | | $ | |
(a) | Represents funds not yet allocated or disbursed to AHP programs. |
(b) | Includes member pass-through reserves at the Federal Reserve Bank of New York. |
Related Party: Income and Expense Transactions
Three months ended March 31, | ||||||
2022 | 2021 | |||||
| Related |
| Related | |||
Interest income | ||||||
Advances | $ | | $ | | ||
Loans to other FHLBanks | | — | ||||
Interest expense | ||||||
Deposits | $ | | $ | | ||
Mandatorily redeemable capital stock | | | ||||
Service fees and other | $ | | $ | |
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Note 21. Segment Information and Concentration.
The FHLBNY manages its operations as a single business segment. Management and the FHLBNY’s Board of Directors review enterprise-wide financial information in order to make operating decisions and assess performance. Advances to large members constitute a significant percentage of the FHLBNY’s advance portfolio and its source of revenues.
The FHLBNY’s total assets and capital could significantly decrease if
The top
March 31, 2022 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | Three Months | ||||||||||||||
| City |
| State |
| Advances |
| of Advances |
| Interest Income |
| Percentage (a) |
| ||||
MetLife, Inc.: | ||||||||||||||||
Metropolitan Life Insurance Company |
| New York |
| NY | $ | | | % | $ | | | % | ||||
Metropolitan Tower Life Insurance Company | New York | NY | | | | | ||||||||||
Subtotal MetLife,Inc. | | | | | ||||||||||||
New York Community Bank (b) |
| Hicksville |
| NY | | | | | ||||||||
Equitable Financial Life Insurance Company | New York | NY | | | | | ||||||||||
Teachers Ins. & Annuity Assoc. of America | New York | NY | | | | | ||||||||||
New York Life Insurance Company |
| New York |
| NY |
| | | | | |||||||
Investors Bank (c) | Short Hills | NJ | | | | | ||||||||||
Goldman Sachs Bank USA | New York | NY | | | | | ||||||||||
Signature Bank | New York | NY | | | | | ||||||||||
ESL Federal Credit Union | Rochester | NY | | | | | ||||||||||
Prudential Insurance Company of America | Newark | NJ | | | | | ||||||||||
Total | $ | | % | $ | | | % |
(a) | Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members. |
(b) | An officer of this member bank joined the Board of Directors of the FHLBNY as a Member Director on January 1, 2022. |
(c) | At March 31, 2022, an officer of this member bank also served on the Board of Directors of the FHLBNY as a Member Director. The member bank merged into a non-member institution on April 7, 2022. As a result, the bank is no longer a member of the FHLBNY and the Director has left the FHLBNY’s Board. |
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December 31, 2021 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | Twelve Months | ||||||||||||||
| City |
| State |
| Advances |
| of Advances |
| Interest Income |
| Percentage (a) | |||||
MetLife, Inc.: | ||||||||||||||||
Metropolitan Life Insurance Company | New York | NY | $ | | | % | $ | | | % | ||||||
Metropolitan Tower Life Insurance Company | New York | NY | | | | | ||||||||||
Subtotal MetLife, Inc. | | | | | ||||||||||||
New York Community Bank |
| Hicksville |
| NY |
| | | |
| | ||||||
Equitable Financial Life Insurance Company | New York | NY | | | | | ||||||||||
Citibank, N.A. |
| New York |
| NY | | | | | ||||||||
Investors Bank (b) | Short Hills | NJ | | | | | ||||||||||
Signature Bank | New York | NY | | | | | ||||||||||
New York Life Insurance Company |
| New York |
| NY |
| | | |
| | ||||||
ESL Federal Credit Union |
| Rochester |
| NY |
| | | |
| | ||||||
Teachers Ins. & Annuity Assoc. of America | New York | NY | | | | | ||||||||||
Valley National Bank (b) |
| Wayne |
| NJ |
| | | |
| | ||||||
Total | $ | |
| | % | $ | |
| | % |
(a) | Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members. |
(b) | At December 31, 2021, an officer of this member bank also served on the Board of Directors of the FHLBNY. |
March 31, 2021 | ||||||||||||||||
Percentage of | ||||||||||||||||
Par | Total Par Value | Three Months | ||||||||||||||
| City |
| State |
| Advances |
| of Advances |
| Interest Income |
| Percentage (a) |
| ||||
MetLife, Inc.: | ||||||||||||||||
Metropolitan Life Insurance Company |
| New York |
| NY | $ | | | % | $ | | | % | ||||
Metropolitan Tower Life Insurance Company | New York | NY | | | | | ||||||||||
Subtotal MetLife, Inc. | | | | | ||||||||||||
Citibank, N.A. |
| New York |
| NY | | | | | ||||||||
New York Community Bank | Westbury | NY | | | | | ||||||||||
Equitable Financial Life Insurance Company | New York | NY | | | | | ||||||||||
Investors Bank (b) | New York | NY | | | | | ||||||||||
Signature Bank | New York | NY | | | | | ||||||||||
HSBC Bank USA, National Association | New York | NY | | | | | ||||||||||
Valley National Bank (b) | Short Hills | NJ |
| | |
| | | ||||||||
New York Life Insurance Company | Wayne |
| NJ | | | | | |||||||||
Teachers Ins. & Annuity Assoc. of America | Newark | NJ | | | | | ||||||||||
Total | $ | |
| | % | $ | | | % |
(a) | Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members. |
(b) | At March 31, 2021, an officer of this member bank also served on the Board of Directors of the FHLBNY. |
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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
Forward-Looking Statements
Statements contained in this Quarterly Report on Form 10-Q, including statements describing the objectives, projections, estimates, or predictions of the Federal Home Loan Bank of New York (“we” “us,” “our,” “the Bank” or the “FHLBNY”) may be “forward-looking statements” within the meaning of Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934. These statements may use forward-looking terminology, such as “anticipates,” “believes,” “could,” “estimates,” “may,” “should,” “will,” or other variations on these terms or their negatives. The Bank cautions that, by their nature, forward-looking statements are subject to a number of risks or uncertainties, including the Risk Factors set forth in Part 1, Item 1A of our Annual Report on Form 10-K for the fiscal year ended December 31, 2021, filed with the SEC on March 22, 2022 (the “2021 Annual Report”), and the risks set forth below, and that actual results could differ materially from those expressed or implied in these forward-looking statements. As a result, you are cautioned not to place undue reliance on such statements. These forward-looking statements speak only as of the date they were made, and the Bank does not undertake to update any forward-looking statement herein. Forward-looking statements include, among others, the following:
● | the Bank’s projections regarding income, retained earnings, dividend payouts, and the repurchase of excess capital stock; |
● | the Bank’s statements related to gains and losses on derivatives, future credit and impairment charges, and future classification of securities; |
● | the Bank’s expectations relating to future balance sheet growth; |
● | the LIBOR interest rate transition to other alternatives; |
● | the Bank’s targets under the Bank’s retained earnings plan; |
● | the Bank’s expectations regarding the size of its mortgage loan portfolio, particularly as compared to prior periods; and |
● | the Bank’s statements related to reform legislation, including without limitation, housing, government-sponsored enterprise or COVID-19 pandemic legislation. |
Actual results may differ from forward-looking statements for many reasons, including, but not limited to, the risk factors set forth in Part I, Item 1A – Risk Factors of our 2021 Annual Report, and the risks set forth below:
● | changes in economic and market conditions, including the evolving risks relating to the current coronavirus pandemic; |
● | changes in demand for Bank advances and other products resulting from changes in members’ deposit flows and credit demands or otherwise; |
● | an increase in advance prepayments as a result of changes in interest rates (including negative interest rates) or other factors; |
● | the volatility of market prices, rates, and indices that could affect the value of collateral held by the Bank as security for obligations of Bank members and counterparties to interest rate exchange agreements and similar agreements; |
● | political events, including legislative developments that affect the Bank, its members, counterparties, and/or investors in the Consolidated obligations (“COs”) of the FHLBanks; |
● | competitive forces including, without limitation, other sources of funding available to Bank members, other entities borrowing funds in the capital markets, and the ability to attract and retain skilled employees; |
● | the pace of technological change and the ability of the Bank to develop and support technology and information systems, including the internet, sufficient to manage the risks of the Bank’s business effectively; |
● | changes in investor demand for COs and/or the terms of interest rate exchange agreements and similar agreements; |
● | timing and volume of market activity; |
● | ability to introduce new or adequately adapt current Bank products and services and successfully manage the risks associated with those products and services, including new types of collateral used to secure advances; |
● | risk of loss arising from litigation filed against one or more of the FHLBanks; |
● | realization of losses arising from the Bank’s joint and several liability on COs; |
● | risk of loss due to fluctuations in the housing market; |
● | inflation or deflation; |
● | issues and events within the FHLBank System and in the political arena that may lead to legislative, regulatory, judicial, or other developments that may affect the marketability of the COs, the Bank’s financial obligations with respect to COs, and the Bank’s ability to access the capital markets; |
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● | the availability of derivative financial instruments of the types and in the quantities needed for risk management purposes from acceptable counterparties; |
● | significant business disruptions resulting from natural or other disasters (including, but not limited to, health emergencies such as pandemics or epidemics, including the current coronavirus pandemic), acts of war (including, but not limited to, the war between Ukraine and Russia) or terrorism; |
● | the effect of new accounting standards, including the development of supporting systems; |
● | membership changes, including changes resulting from mergers or changes in the principal place of business of Bank members; |
● | the soundness of other financial institutions, including Bank members, nonmember borrowers, other counterparties, and the other FHLBanks; and |
● | the willingness of the Bank’s members to do business with the Bank whether or not the Bank is paying dividends or repurchasing excess capital stock. |
Risks and other factors could cause actual results of the Bank to differ materially from those implied by any forward-looking statements. These risk factors are not exhaustive. The Bank operates in changing economic, legislative and regulatory environments, and new risk factors will emerge from time to time. Management cannot predict such new risk factors nor can it assess the impact, if any, of such new risk factors on the business of the Bank or the extent to which any factor, or combination of factors, may cause actual results to differ materially from those implied by any forward-looking statements.
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Organization of Management’s Discussion and Analysis (MD&A).
This MD&A is designed to provide information that will assist the readers in better understanding the FHLBNY’s financial statements, the changes in key items in the Bank’s financial statements from period to period and the primary factors driving those changes as well as how accounting principles affect the FHLBNY’s financial statements. The MD&A is organized as follows:
| Page |
66 | |
67 | |
68 | |
69 | |
73 | |
75 | |
81 | |
86 | |
87 | |
93 | |
95 | |
Liquidity, Cash Flows, Short-Term Borrowings and Short-Term Debt | 97 |
100 | |
101 | |
Net Interest Income, Interest Rate Margin and Interest Rate Spreads | 102 |
107 | |
108 | |
110 | |
Operating Expenses, Compensation and Benefits, and Other Expenses | 111 |
112 | |
112 |
MD&A TABLE REFERENCE | ||||
---|---|---|---|---|
| ||||
Table(s) |
| Description |
| Page(s) |
71-72 | ||||
73 | ||||
75 | ||||
75-80 | ||||
81-85 | ||||
86-88 | ||||
88-93 | ||||
93-95 | ||||
95-98 | ||||
98-99 | ||||
100-111 | ||||
112 |
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Executive Overview
This overview of management’s discussion and analysis highlights selected information and may not contain all of the information that is important to readers of this Form 10-Q. For a more complete understanding of events, trends and uncertainties, as well as the liquidity, capital, credit and market risks, and critical accounting estimates, affecting the Federal Home Loan Bank of New York (FHLBNY or Bank), this Form 10-Q should be read in its entirety and in conjunction with the Bank’s most recent 2021 Form 10-K filed on March 22, 2022.
Cooperative business model. As a cooperative, we seek to maintain a balance between our public policy mission and our ability to provide adequate returns on the capital supplied by our members. We achieve this balance by delivering low-cost financing to members to help them meet the credit needs of their communities and by paying a dividend on members’ capital stock. Our financial strategies are designed to enable us to expand and contract in response to member credit needs. By investing capital in high-quality, short- and medium-term financial instruments, we maintain sufficient liquidity to satisfy member demand for short- and long-term funds, repay maturing Consolidated obligations (CO bonds and CO discount notes), and meet other obligations. The dividends we pay are largely the result of earnings on invested member capital, net earnings on advances to members, mortgage loans and investments, offset in part by operating expenses and assessments. Our Board of Directors and Management determine the pricing of member credit and dividend policies based on the needs of our members and the cooperative as well as current and forecasted conditions in the marketplace.
Business segment. We manage our operations as a single business segment. Advances to members are our primary focus and the principal factor that impacts our operating results.
The level and volatility of interest rates and credit spreads were affected by several factors during the year ended December 31, 2021, principally the COVID-19 pandemic and efforts in response by the Federal Reserve to keep interest rates low and facilitate liquidity. Overall economic conditions and financial regulation also continue to be influencing factors. During the first quarter of 2022, the Federal Reserve has made an effort to raise interest rates in an effort to combat inflation. Markets began experiencing increased volatility due to the conflict between Ukraine and Russia, and the level and volatility of interest rates and credit spreads may continue to be affected by the geopolitical conflict, government actions (including sanctions) taken in response to the conflict, and resulting economic and market uncertainties.
COVID-19 and Business Continuity. We have continually monitored the key metrics with regards to the ongoing COVID-19 pandemic. These metrics, which include positive test percentages, overall new case numbers and hospital capacity, have helped guide our decision-making since the onset of the pandemic in March 2020. The trend has moved in a positive direction and we returned to the office on February 28, 2022.
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First Quarter 2022 Financial Results
Net income — Net income for 2022 first quarter was $57.0 million, a decrease of $15.2 million, or 21.0 percent, compared to the same period in the prior year. Our Net income is primarily driven by Net interest income, which is the spread between yields earned on advances, mortgage-backed securities, and other investments and the costing yields on debt. Advance balances have decreased compared with the same period in 2021 as members’ funding needs remain lower driven primarily by the significant amounts of deposits on member banks’ balance sheets and liquidity made available through government support actions. Non-interest income increased by $19.9 million compared with same period in 2021, driven primarily by an increase in value of derivatives and instruments held under the fair value option. These gains were largely offset by declines in fair values of U.S. Treasury securities held for liquidity purposes as interest rates increased.
Net Interest Income — Our 2022 first quarter net interest income was $122.1 million compared to $158.5 million in prior year first quarter. This decrease was primarily attributed to a decline of $25.4 billion in average earning assets balances for the first quarter of 2022, compared with first quarter of 2021, including a decrease of $18.8 billion in average advances balances of $71.6 billion at March 31, 2022 from $90.5 billion at December 31, 2021. There have been recent opportunities to purchase mortgage-backed securities due to the increased supply as the Federal Reserve is less actively buying securities, but average balances are lower than the same period last year. In addition, acquired member assets decreased in 2022 due to prepayments and lower originations as interest rates rise. Net interest spread was 42 basis points in the first quarter of 2022, compared to 45 basis points in the same period in the prior year.
Return on average equity (ROE) for 2022 first quarter was 3.61% compared to ROE of 4.06% for the first quarter of 2021.
Other income (loss) — Other income (loss) reported a loss of $12.8 million in first quarter of 2022 compared to a loss of $32.6 million in the first quarter of 2021. Primary drivers are summarized below:
● | Financial instruments carried at fair values — In 2022 first quarter, FVO instruments reported valuation gains of $80.6 million. In 2021 first quarter, FVO instruments reported valuation gains of $61.6 thousand. |
● | Derivative activities reported a net increase to income in Other income of $69.0 million in the first quarter of 2022, compared to a net charge of $4.3 million in the first quarter of 2021. Interest rate swaps in economic hedges (standalone derivatives) recorded net fair value gains of $150.8 million in the first quarter of 2022, compared to net fair value gains of $27.4 million in the first quarter of 2021. These fair value gains largely offset the marked-to-market valuation of the portfolio of U.S. Treasury securities held for liquidity. Swap interest accruals on standalone swaps of $6.6 million and $28.6 million were charges to Other income in the first quarter of 2022 and 2021, respectively. |
● | U.S. Treasury Securities held for liquidity (classified as trading) reported marked-to-market losses of $163.3 million and $34.8 million in the first quarter of 2022 and 2021, respectively. The marked-to-market volatility was largely offset by fair value changes on the standalone interest rate swaps in economic hedges of the fixed-rate treasury securities. |
● | Equity Investments, held to finance payments to retirees in non-qualified pension plans, reported a loss of $5.8 million in current year period, compared to net gains of $2.3 million in the prior year period. |
● | Litigation Settlement – The Bank received a $2.2 million net settlement related to investments in LIBOR-based financial instruments. |
Other expenses were $46.0 million in the first quarter of the current year, compared to $47.0 million in the same period in the prior year. Other expenses are primarily Operating expenses, Compensation and benefits, and our share of expenses of the Office of Finance and the Federal Housing Finance Agency.
Affordable Housing Program Assessments (AHP) allocated from Net income were $6.4 million in the first quarter of the current year, compared to $8.0 million in the same period in the prior year. Assessments are calculated as a percentage of Net income, and changes in allocations were parallel with changes in Net income.
Dividend payments — A quarterly cash dividend of $1.10 per share (4.36% annualized) was paid in the first quarter of the current year, compared to $1.26 per share (5.00% annualized) in the same period of the prior year.
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Financial Condition — March 31, 2022 compared to December 31, 2021
Our financial condition is characterized by a solid balance sheet and ample liquidity readily available for our member institutions.
Total assets increased to $108.6 billion at March 31, 2022 from $105.4 billion at December 31, 2021, an increase of $3.2 billion, or 3.1%.
Cash at banks was $20.2 million at March 31, 2022, compared to $21.7 million at December 31, 2021.
Liquidity investments — Money market investments at March 31, 2021 were $9.4 billion in federal funds sold and $0.8 billion in overnight resale agreements. At December 31, 2021, money market investments were $7.2 billion in federal funds sold and $1.2 billion in overnight resale agreements. Money market investments also included interest-bearing deposits at highly rated financial institutions. Balances were $675.0 million at March 31, 2022 and December 31, 2021.
For liquidity, we maintain a portfolio of U.S. Treasury securities designated as trading to meet short-term contingency liquidity needs. Balances were $8.1 billion and $5.8 billion at March 31, 2022 and December 31, 2021, respectively.
Our liquidity position remains strong, and in compliance with all regulatory requirements, and we do not foresee any changes to that position. In addition to the liquidity trading portfolio and assets discussed above, liquid assets at March 31, 2022 and December 31, 2021 included $5.8 billion and $5.5 billion, respectively, of high credit quality GSE-issued available-for-sale securities that are investment quality and readily marketable. The Finance Agency issued a Liquidity Advisory Bulletin in 2018 that defined liquidity levels to be maintained within certain ranges. We also have other liquidity measures in place, deposit liquidity and operational liquidity, and other liquidity buffers. We remain in compliance with the Advisory Bulletin and all liquidity regulations.
For more information about the Advisory Bulletin and our liquidity measures, see section Liquidity, Cash Flows, Short-Term Borrowings and Short-Term Debt, and Table 8.1 through Table 8.3 in this MD&A.
Advances — Par balances were relatively flat at March 31, 2022 at $71.3 billion, compared to $71.2 billion at December 31, 2021. Short-term fixed-rate advances decreased by 13.0% to $10.0 billion at March 31, 2022, down from $11.5 billion at December 31, 2021. ARC advances, which are adjustable-rate borrowings, decreased by 24.7% to $5.6 billion at March 31, 2022, compared to $7.5 billion at December 31, 2021. Given that advances are always well collateralized, a provision for credit loss was not necessary. We have no history of credit losses on advances.
Long-term investment debt securities — Long-term investment debt securities are designated as available-for-sale (AFS) or held-to-maturity (HTM). Our investment profile consists almost exclusively of GSE and Agency issued (GSE-issued) securities.
In the AFS portfolio, long-term investments of floating-rate GSE-issued mortgage-backed securities were carried on the balance sheet at fair values of $552.3 million and $589.5 million at March 31, 2022 and December 31, 2021, respectively. Fixed-rate long-term investments in the AFS portfolio, comprising of fixed-rate GSE-issued mortgage-backed securities, were carried on the balance sheet at fair values of $5.2 billion and $5.0 billion at March 31, 2022 and December 31, 2021, respectively.
In the AFS portfolio, long-term investments of floating rate State and local housing finance agency obligations were carried on the balance sheet at fair value of $998.6 million at March 31, 2022 of which the majority were transferred from the HTM portfolio in the second quarter of 2021.
State and local housing finance agency obligations, primarily New York and New Jersey, were carried as AFS securities at $1.0 billion at March 31, 2022 and December 31, 2021.
In the HTM portfolio, long-term investments were predominantly GSE-issued fixed- and floating-rate mortgage-backed securities and a portfolio of housing finance agency bonds. Securities in the HTM portfolio are recorded at amortized cost, adjusted for credit and non-credit losses from the application of pre-ASU 2016-13 credit loss standards (formerly referred to as OTTI), and, beginning January 1, 2020, adjusted for allowances for credit losses under the new framework. Fixed- and floating-rate mortgage-backed securities in the HTM portfolio were $9.0 billion and $9.1 billion at March 31, 2022 and December 31, 2021, respectively. No
68
allowance for credit losses were deemed necessary for GSE-issued investments. Allowance for credit losses was $0.2 million on private-label MBS at March 31, 2022, slightly lower than December 31, 2021.
In the HTM portfolio, State and local housing finance agency obligations were $0.2 billion at March 31, 2022 and at December 31, 2021. Allowance for credit losses on State and local housing finance agency obligations in HTM portfolio was $0.1 million at March 31, 2022, unchanged from December 31, 2021.
Equity Investments — We own a grantor trust that invests in highly-liquid registered mutual funds. Funds are classified as Equity Investments and were carried on the balance sheet at fair values of $91.8 million and $96.1 million at March 31, 2022 and December 31, 2021, respectively.
Mortgage loans held-for-portfolio — Mortgage loans were investments in Mortgage Partnership Finance loans (MPF) and Mortgage Asset Program (MAP) loans. As of March 31, 2021, the MAP mortgage loan program became our only active mortgage loan purchase program as we ceased to acquire mortgage loans through MPF.
Unpaid principal balance of MPF loans stood at $2.0 billion at March 31, 2022, a decrease of $0.1 billion from the balance at December 31, 2021. Unpaid principal balance of MAP loans stood at $175.8 million at March 31, 2022 compared to $156.7 million at December 31, 2021.
Historically, credit performance has been strong in the MPF and MAP portfolio and delinquency low. Residential collateral values have remained stable in the New York and New Jersey sectors, the primary geographic concentration for our MPF and MAP portfolio, and historical loss experience remains very low. Serious delinquencies (typically 90 days or more) at March 31, 2022, were lower than December 31, 2021. Allowance for credit losses decreased to $2.0 million at March 31, 2022 compared to $2.1 million at December 31, 2021.
Capital ratios — Our capital position remains strong. At March 31, 2022, actual risk-based capital was $6.4 billion, compared to required risk-based capital of $760.0 million. To support $108.6 billion of total assets at March 31, 2022, the minimum required total capital was $4.3 billion or 4.0% of assets. Our actual regulatory risk-based capital was $6.4 billion, exceeding required total capital by $2.1 billion. These ratios have remained consistently above the required regulatory ratios through all periods in this report.
Leverage — At March 31, 2022 balance sheet leverage (based on U.S. GAAP) was 17.2 times shareholders’ equity. Balance sheet leverage has generally remained steady over the last several years, although from time to time we have maintained excess liquidity in highly liquid investments, or cash balances at the Federal Reserve Bank of New York (FRBNY) to meet unexpected member demand for funds.
Other Developments
Replacement of London Interbank Offered Rates (LIBOR) — The Alternative Reference Rates Committee (ARRC) in the U.S. has settled on the establishment of the Secured Overnight Financing Rate (SOFR) as its recommended alternative to U.S. dollar LIBOR. As noted throughout this report, much of the FHLBNY’s assets, liabilities and derivatives are indexed to LIBOR.
On March 5, 2021, the U.K. Financial Conduct Authority (“FCA”) confirmed that the publication of the principal tenors of U.S. dollar LIBOR (i.e., overnight, one-month, three-month, six-month and 12-month LIBOR) will cease immediately following a final publication on June 30, 2023. As of January 1, 2022, the one-week and two-month U.S. dollar LIBOR settings and all non-U.S. dollar LIBOR settings ceased to be provided by any administrator. Although the FCA has indicated that it does not expect the remaining U.S. dollar LIBOR settings to become unrepresentative before the cessation date, there is no assurance that any of them will continue to be published or be representative through any particular date.
Recently Issued Accounting Standards and Interpretations and Critical Accounting Policies and Estimates
For a discussion of recently issued accounting standards and interpretations, see financial statements, Note 2. Financial Accounting Standards Board (FASB) Standards Issued.
69
Critical Accounting Policies and Estimates
We have identified certain accounting policies that we believe are critical 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 fair values of certain assets and liabilities, evaluating the impairment of our securities portfolios, estimating the allowance for credit losses on the advance and mortgage loan portfolios, and accounting for derivatives and hedging activities. We have discussed each of these critical accounting policies, the related estimates, and its judgment with the Audit Committee of the Board of Directors. Refer to Note 1. Critical Accounting Policies and Estimates in this Form 10-Q and in the 2021 Form 10-K filed on March 22, 2022.
70
Selected Financial Data (Unaudited).
Statements of Condition |
| March 31, |
| December 31, |
| September 30, |
| June 30, |
| March 31, |
| |||||
(dollars in millions) |
| 2022 |
| 2021 |
| 2021 |
| 2021 |
| 2021 | ||||||
Investments (a) | $ | 35,088 | $ | 30,898 | $ | 29,076 | $ | 37,553 | $ | 34,839 | ||||||
Advances |
| 70,629 |
| 71,536 |
| 70,548 |
| 79,985 |
| 90,072 | ||||||
Mortgage loans held-for-portfolio, net (b) |
| 2,233 |
| 2,320 |
| 2,418 |
| 2,526 |
| 2,711 | ||||||
Total assets |
| 108,598 |
| 105,358 |
| 102,677 |
| 120,449 |
| 130,276 | ||||||
Deposits and borrowings |
| 1,181 |
| 1,321 |
| 1,466 |
| 1,531 |
| 1,912 | ||||||
Consolidated obligations, net |
|
|
|
|
|
|
| |||||||||
Bonds |
| 57,376 |
| 54,829 |
| 61,454 |
| 69,313 |
| 71,906 | ||||||
Discount notes |
| 43,177 |
| 42,197 |
| 32,769 |
| 42,173 |
| 48,617 | ||||||
Total consolidated obligations |
| 100,553 |
| 97,026 |
| 94,223 |
| 111,486 |
| 120,523 | ||||||
Mandatorily redeemable capital stock |
| 8 |
| 2 |
| 2 |
| 2 |
| 3 | ||||||
AHP liability |
| 137 |
| 138 |
| 145 |
| 153 |
| 152 | ||||||
Capital |
|
|
|
|
|
|
|
|
|
| ||||||
Capital stock |
| 4,480 |
| 4,501 |
| 4,447 |
| 4,867 |
| 5,314 | ||||||
Retained earnings |
|
|
|
|
|
|
|
|
|
| ||||||
Unrestricted |
| 1,100 |
| 1,104 |
| 1,113 |
| 1,120 |
| 1,123 | ||||||
Restricted |
| 839 |
| 827 |
| 817 |
| 803 |
| 788 | ||||||
Total retained earnings |
| 1,939 |
| 1,931 |
| 1,930 |
| 1,923 |
| 1,911 | ||||||
Accumulated other comprehensive income (loss) |
| (89) |
| 14 |
| 34 |
| 30 |
| 13 | ||||||
Total capital |
| 6,330 |
| 6,446 |
| 6,411 |
| 6,820 |
| 7,238 | ||||||
Equity to asset ratio (c)(j) |
| 5.83 | % |
| 6.12 | % |
| 6.24 | % |
| 5.66 | % |
| 5.56 | % |
Three months ended | |||||||||||||||
Statements of Condition |
| March 31, |
| December 31, |
| September 30, |
| June 30, |
| March 31, | |||||
Averages (See note below; dollars in millions) |
| 2022 |
| 2021 |
| 2021 |
| 2021 |
| 2021 | |||||
Investments (a) | $ | 35,609 | $ | 32,227 | $ | 34,733 | $ | 34,952 | $ | 42,043 | |||||
Advances |
| 71,636 |
| 70,326 |
| 75,642 |
| 87,031 |
| 90,458 | |||||
Mortgage loans held-for-portfolio, net |
| 2,275 |
| 2,372 |
| 2,468 |
| 2,608 |
| 2,806 | |||||
Total assets |
| 110,951 |
| 106,215 |
| 114,074 |
| 125,605 |
| 136,463 | |||||
Interest-bearing deposits and other borrowings |
| 1,166 |
| 1,256 |
| 1,391 |
| 1,461 |
| 1,604 | |||||
Consolidated obligations, net |
|
|
|
|
|
|
|
|
|
| |||||
Bonds |
| 56,449 |
| 58,852 |
| 65,335 |
| 68,927 |
| 68,601 | |||||
Discount notes |
| 45,323 |
| 38,188 |
| 39,375 |
| 46,796 |
| 57,621 | |||||
Total consolidated obligations |
| 101,772 |
| 97,040 |
| 104,710 |
| 115,723 |
| 126,222 | |||||
Mandatorily redeemable capital stock |
| 12 |
| 2 |
| 2 |
| 3 |
| 3 | |||||
AHP liability |
| 137 |
| 142 |
| 147 |
| 152 |
| 149 | |||||
Capital |
|
|
|
|
|
|
|
|
|
| |||||
Capital stock |
| 4,501 |
| 4,440 |
| 4,668 |
| 5,185 |
| 5,304 | |||||
Retained earnings |
|
|
|
|
|
|
|
|
|
| |||||
Unrestricted |
| 1,094 |
| 1,103 |
| 1,112 |
| 1,120 |
| 1,122 | |||||
Restricted |
| 830 |
| 820 |
| 808 |
| 794 |
| 779 | |||||
Total retained earnings |
| 1,924 |
| 1,923 |
| 1,920 |
| 1,914 |
| 1,901 | |||||
Accumulated other comprehensive income (loss) |
| (21) |
| 28 |
| 29 |
| 25 |
| (1) | |||||
Total capital |
| 6,404 |
| 6,391 |
| 6,617 |
| 7,124 |
| 7,204 |
Note — Average balance calculation. For most components of the average balances, a daily weighted average balance is calculated for the period. When daily weighted average balance information is not available, a simple monthly average balance is calculated.
71
Operating Results and Other Data
Three months ended | ||||||||||||||||
(dollars in millions) |
| March 31, |
| December 31, |
| September 30, |
| June 30, |
| March 31, |
| |||||
(except earnings and dividends per share, and headcount) |
| 2022 |
| 2021 |
| 2021 |
| 2021 |
| 2021 |
| |||||
Net income | $ | 57 | $ | 53 | $ | 66 | $ | 75 | $ | 72 | ||||||
Net interest income (d) | 122 |
| 111 |
| 128 |
| 143 |
| 159 | |||||||
Dividends paid in cash (e) | 49 |
| 52 |
| 59 |
| 63 |
| 70 | |||||||
AHP expense | 6 |
| 6 |
| 7 |
| 8 |
| 8 | |||||||
Return on average equity (f)(g)(j) | 3.61 | % |
| 3.28 | % |
| 3.95 | % |
| 4.21 | % |
| 4.06 | % | ||
Return on average assets (g)(j) | 0.21 | % |
| 0.20 | % |
| 0.23 | % |
| 0.24 | % |
| 0.21 | % | ||
Other non-interest income (loss) | (13) |
| 3 |
| (8) |
| (10) |
| (33) | |||||||
Operating expenses (h) | 38 |
| 46 |
| 41 |
| 41 |
| 38 | |||||||
Finance Agency and |
|
|
|
|
|
|
| |||||||||
Office of Finance expenses | 6 |
| 5 |
| 6 |
| 5 |
| 6 | |||||||
Total other expenses (k) | 46 |
| 56 |
| 49 |
| 52 |
| 47 | |||||||
Operating expenses ratio (g)(i)(j) | 0.14 | % |
| 0.17 | % |
| 0.14 | % |
| 0.13 | % |
| 0.11 | % | ||
Earnings per share | $ | 1.27 | $ | 1.21 | $ | 1.41 | $ | 1.44 | $ | 1.36 | ||||||
Dividends per share | $ | 1.10 | $ | 1.12 | $ | 1.14 | $ | 1.17 | $ | 1.26 | ||||||
Headcount (Full/part time) | 338 |
| 340 |
| 344 |
| 353 |
| 353 |
(a) | Investments include trading securities, available-for-sale securities, held-to-maturity securities, equity investments in grantor trusts owned by the FHLBNY, securities purchased under agreements to resell, federal funds, loans to other FHLBanks, and other interest-bearing deposits. |
(b) | Allowances for credit losses on mortgage loans were $2.0 million, $2.1 million, $3.0 million, $4.1 million and $5.7 million, for the periods ended March 31, 2022, December 31, 2021, September 30, 2021, June 30, 2021 and March 31, 2021, respectively. |
(c) | Equity to asset ratio is Capital stock plus Retained earnings and Accumulated other comprehensive income (loss) as a percentage of Total assets. |
(d) | Net interest income is net interest income before the provision for credit losses on mortgage loans. |
(e) | Excludes dividends accrued to non-members classified as interest expense under the accounting standards for certain financial instruments with characteristics of both liabilities and equity. |
(f) | Return on average equity is Net income as a percentage of average Capital Stock plus average retained earnings and average Accumulated other comprehensive income (loss). |
(g) | Annualized. |
(h) | Operating expenses include Compensation and Benefits. |
(i) | Operating expenses as a percentage of Total average assets. |
(j) | All percentage calculations are performed using amounts in thousands and may not agree if calculations are performed using amounts in millions. |
(k) | Includes Operating expenses, Compensation and benefits, Finance Agency and Office of Finance expenses and Other expenses. |
72
Financial Condition
Table 1.1 Statements of Condition — Period-Over-Period Comparison
| Net change in |
| Net change in | |||||||||
(Dollars in thousands) |
| March 31, 2022 |
| December 31, 2021 |
| dollar amount |
| percentage | ||||
Assets | ||||||||||||
Cash and due from banks | $ | 20,204 | $ | 21,653 | $ | (1,449) |
| (6.69) | % | |||
Interest-bearing deposits |
| 675,000 |
| 675,000 | — |
| — | |||||
Securities purchased under agreements to resell |
| 800,000 |
| 1,200,000 | (400,000) |
| (33.33) | |||||
Federal funds sold |
| 9,420,000 |
| 7,230,000 | 2,190,000 |
| 30.29 | |||||
Trading securities |
| 8,123,393 |
| 5,821,380 | 2,302,013 |
| 39.54 | |||||
Equity Investments |
| 91,805 |
| 96,124 | (4,319) |
| (4.49) | |||||
Available-for-sale securities |
| 6,791,399 |
| 6,547,421 | 243,978 |
| 3.73 | |||||
Held-to-maturity securities |
| 9,186,463 |
| 9,328,665 | (142,202) |
| (1.52) | |||||
Advances |
| 70,629,189 |
| 71,536,402 | (907,213) |
| (1.27) | |||||
Mortgage loans held-for-portfolio |
| 2,233,027 |
| 2,319,864 | (86,837) |
| (3.74) | |||||
Accrued interest receivable |
| 140,878 |
| 123,258 | 17,620 |
| 14.30 | |||||
Premises, software, and equipment |
| 80,541 |
| 83,815 | (3,274) |
| (3.91) | |||||
Operating lease right-of-use assets |
| 64,319 |
| 65,624 | (1,305) |
| (1.99) | |||||
Derivative assets |
| 332,274 |
| 297,504 | 34,770 |
| 11.69 | |||||
Other assets |
| 9,426 |
| 11,632 | (2,206) |
| (18.96) | |||||
Total assets | $ | 108,597,918 | $ | 105,358,342 | $ | 3,239,576 |
| 3.07 | % | |||
Liabilities |
|
|
|
|
|
|
| |||||
Deposits |
|
|
|
|
|
|
| |||||
Interest-bearing demand | $ | 1,157,593 | $ | 1,283,072 | $ | (125,479) |
| (9.78) | % | |||
Non-interest-bearing demand |
| 23,227 |
| 38,166 | (14,939) |
| (39.14) | |||||
Total deposits |
| 1,180,820 |
| 1,321,238 | (140,418) |
| (10.63) | |||||
Consolidated obligations |
|
|
|
|
| |||||||
Bonds |
| 57,375,908 |
| 54,829,401 | 2,546,507 |
| 4.64 | |||||
Discount notes |
| 43,176,960 |
| 42,197,259 | 979,701 |
| 2.32 | |||||
Total consolidated obligations |
| 100,552,868 |
| 97,026,660 | 3,526,208 |
| 3.63 | |||||
Mandatorily redeemable capital stock |
| 7,565 |
| 1,959 | 5,606 |
| 286.17 | |||||
Accrued interest payable |
| 121,388 |
| 126,990 | (5,602) |
| (4.41) | |||||
Affordable Housing Program |
| 137,261 |
| 137,638 | (377) |
| (0.27) | |||||
Derivative liabilities |
| 13,447 |
| 36,512 | (23,065) |
| (63.17) | |||||
Other liabilities |
| 176,882 |
| 182,466 | (5,584) |
| (3.06) | |||||
Operating lease liabilities |
| 77,625 |
| 79,026 | (1,401) |
| (1.77) | |||||
Total liabilities |
| 102,267,856 |
| 98,912,489 | 3,355,367 |
| 3.39 | |||||
Capital |
| 6,330,062 |
| 6,445,853 | (115,791) |
| (1.80) | |||||
Total liabilities and capital | $ | 108,597,918 | $ | 105,358,342 | $ | 3,239,576 |
| 3.07 | % |
Balance Sheet overview March 31, 2022 and December 31, 2021
Total assets increased to $108.6 billion at March 31, 2022 from $105.4 billion at December 31, 2021, an increase of $3.2 billion, or 3.1%.
Cash at banks was $20.2 million at March 31, 2022, compared to $21.7 million at December 31, 2021.
Money market investments at March 31, 2022 were $9.4 billion in federal funds sold and $0.8 billion in overnight resale agreements. At December 31, 2021, money market investments were $7.2 billion in federal funds sold and $1.2 billion in overnight resale agreements. Federal funds sold averaged $12.1 billion, $10.8 billion and $11.6 billion in the first quarter of 2022, the fourth quarter of 2021 and the first quarter of 2021, respectively. Resale agreements averaged $35.6 million, $13.0 million and $2.3 billion in the first quarter of 2022, the fourth quarter of 2021 and the first quarter of 2021, respectively. Money market investments also included interest-bearing deposits at highly rated financial institutions. Balances were $675.0 million at March 31, 2022, unchanged from December 31, 2021.
Advances — Par balances were relatively flat at March 31, 2022 at $71.3 billion, compared to $71.2 billion at December 31, 2021. Short-term fixed-rate advances decreased by 13.0% to $10.0 billion at March 31, 2022, down from $11.5 billion at December 31,
73
2021. ARC advances, which are adjustable-rate borrowings, decreased by 24.7% to $5.6 billion at March 31, 2022, compared to $7.5 billion at December 31, 2021.
Long-term investment debt securities — Long-term investment debt securities are designated as available-for-sale (AFS) or held-to-maturity (HTM). Our investment profile consists almost exclusively of GSE and Agency issued (GSE-issued) securities.
In the AFS portfolio, long-term investments of floating-rate GSE-issued mortgage-backed securities were carried on the balance sheet at fair values of $552.3 million and $589.5 million at March 31, 2022 and December 31, 2021, respectively. Fixed-rate long-term investments in the AFS portfolio, comprising of fixed-rate GSE-issued mortgage-backed securities, were carried on the balance sheet at fair values of $5.2 billion and $5.0 billion at March 31, 2022 and December 31, 2021, respectively. We acquired $0.7 billion (par) of fixed-rate GSE-issued MBS in the first quarter of 2022.
State and local housing finance agency obligations, primarily New York and New Jersey, were carried as AFS securities at $1.0 billion at March 31, 2022 and December 31, 2021.
In the HTM portfolio, long-term investments were predominantly GSE-issued fixed- and floating-rate mortgage-backed securities and a small portfolio of housing finance agency bonds. Securities in the HTM portfolio are recorded at amortized cost, adjusted for credit and non-credit losses from the application of pre-ASU 2016-13 credit loss standards (formerly referred to as OTTI), and, beginning January 1, 2020, adjusted for allowances for credit losses under the new framework. Fixed- and floating-rate mortgage-backed securities in the HTM portfolio were $9.0 billion and $9.1 billion at March 31, 2022 and December 31, 2021. We acquired $150.0 million (par) of fixed-rate GSE-issued MBS in the first quarter of 2022.
State and local housing finance agency obligations, primarily New York and New Jersey, were carried as HTM securities at $0.2 billion at March 31, 2022 and December 31, 2021.
Trading securities (liquidity portfolio) — The objective of the trading portfolio is to meet short-term contingency liquidity needs. During the current year period, we continued to invest in highly liquid U.S. Treasury securities. Trading investments are carried at fair value, with changes recorded through earnings. At March 31, 2022, trading investments were $8.1 billion in U.S. Treasury securities. At March 31, 2021, trading investments were $9.6 billion in U.S. Treasury securities and $2.1 million in Ambac corporate notes. At December 31, 2021, trading investments were $5.8 billion in U.S. Treasury securities.
We will periodically evaluate our liquidity needs and may add to or dispose these liquidity investments as deemed prudent based on liquidity and market conditions. The Finance Agency prohibits speculative trading practices but allows permitted securities to be deemed held for liquidity if invested in a trading portfolio.
Equity Investments — We own a grantor trust that invests in highly-liquid registered mutual funds. Funds are classified as Equity Investments and were carried on the balance sheet at fair values of $91.8 million and $96.1 million at March 31, 2022 and December 31, 2021, respectively.
Mortgage loans held-for-portfolio — Mortgage loans were investments in Mortgage Partnership Finance loans (MPF or MPF Program) and Mortgage Asset Program (MAP). Unpaid principal balance of MPF loans stood at $2.0 billion at March 31, 2022, a decrease of $0.1 billion from the balance at December 31, 2021. Loans are primarily fixed-rate, single-family mortgages acquired through the MPF Program. Unpaid principal balance of MAP loans stood at $175.8 million at March 31, 2022, an increase of $19.1 million from the balance at December 31, 2021. Paydowns for the total portfolio for three months ended March 31, 2022 were $106.9 million compared to $244.6 million for the same period in 2021. Acquisitions for the three months ended March 31, 2022 were $22.2 million compared to $58.6 million for the same period in 2021. Historically, credit performance has been strong and delinquency low. Loan origination by members and acceptable pricing are key factors that drive acquisitions. Residential collateral values have remained stable in the New York and New Jersey sectors, the primary geographic concentration for our MPF portfolio, and historical loss experience remains very low. Serious delinquencies (typically 90 days or more) at March 31, 2022 were lower than December 31, 2021. Allowance for credit losses decreased to $2.0 million at March 31, 2022 compared to $2.1 million at December 31, 2021.
Capital ratios — Our capital position remains strong. At March 31, 2022, actual risk-based capital was $6.4 billion, compared to required risk-based capital of $760.0 million. To support $108.6 billion of total assets at March 31, 2022, the minimum required total capital was $4.3 billion or 4.0% of assets. Our actual regulatory risk-based capital was $6.4 billion, exceeding required total capital by
74
$2.1 billion. These ratios have remained consistently above the required regulatory ratios through all periods in this report. For more information, see financial statements, Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings.
Leverage — At March 31, 2022, balance sheet leverage (based on U.S. GAAP) was 17.2 times shareholders’ equity. Balance sheet leverage has generally remained steady over the last several years, although from time to time we have maintained excess liquidity in highly liquid investments, or cash balances at the Federal Reserve Bank of New York (FRBNY) to meet unexpected member demand for funds. Increases or decreases in investments have a direct impact on leverage, but generally growth in or shrinkage of advances does not significantly impact balance sheet leverage under existing capital stock management practices. Members are required to purchase activity-based capital stock to support their borrowings from us, and when activity-based capital stock is in excess of the amount that is required to support advance borrowings, we redeem the excess capital stock immediately. Therefore, stockholders’ capital increases and decreases with members’ advance borrowings, and the capital to asset ratio remains relatively unchanged.
Liquidity — Our liquidity position remains strong, and in compliance with all regulatory requirements, and we do not foresee any changes to that position. In addition to the liquidity trading portfolio discussed previously, liquid assets at March 31, 2022 included $18.1 million as demand cash balances at the FRBNY, $10.2 billion in short-term and overnight investments in the federal funds and resale agreements, and $5.8 billion of high credit quality GSE-issued available-for-sale securities that are investment quality and readily marketable.
We also have other regulatory liquidity measures in place, deposit liquidity and operational liquidity, and other liquidity buffers. We remain in compliance with the Advisory Bulletin and all liquidity regulations.
For more information about the Advisory Bulletin and our liquidity measures, see section Liquidity, Cash Flows, Short-Term Borrowings and Short-Term Debt, and Table 8.1 through Table 8.3 in this MD&A.
Replacement of London Interbank Offered Rates (LIBOR) — We are actively engaged in transitioning our LIBOR-indexed swaps and cash instruments to SOFR. We have successfully transitioned $7.5 billion of advance derivative hedges since 2020 to March 31, 2022. We have successfully transitioned $0.7 billion of securities from LIBOR to SOFR in 2021.
The Alternative Reference Rates Committee (ARRC) in the U.S. has settled on the establishment of the Secured Overnight Financing Rate (SOFR) as its recommended alternative to U.S. dollar LIBOR. As noted throughout this report, much of the FHLBNY’s assets, liabilities and derivatives are indexed to LIBOR. As of January 1, 2022, the one-week and two-month U.S. dollar LIBOR settings and all non-U.S. dollar LIBOR settings ceased to be provided by any administrator. Although the FCA has indicated that it does not expect the remaining U.S. dollar LIBOR settings to become unrepresentative before the cessation date, there is no assurance that any of them will continue to be published or be representative through any particular date.
The following data provides an overview of LIBOR-indexed instruments outstanding at March 31, 2022 with maturities beyond June 30, 2023, which is the relevant LIBOR cessation date for the FHLBNY (in thousands):
Table 1.2Overview of LIBOR-indexed Instruments Outstanding
| Outstanding at | ||
Maturing after June 30, 2023 | March 31, 2022 | ||
LIBOR indexed Derivatives (notionals) | $ | 5,877,189 | |
LIBOR indexed Variable-rate mortgage-backed securities (UPB) | $ | 2,641,136 | |
LIBOR indexed Variable-rate housing finance agency bonds (UPB) | $ | 210,000 | |
LIBOR indexed Variable-rate Other securities (UPB) | $ | — | |
LIBOR indexed Variable-rate Advances (UPB) | $ | 1,165,000 | |
LIBOR indexed Variable-rate CO bonds (UPB) | $ | — |
Advances
Our primary business is making collateralized loans to members, referred to as advances. Generally, the growth or decline in advances is reflective of demand by members for both short-term liquidity and term funding. This demand is driven by economic factors such as
75
availability of alternative funding sources that are more attractive, or by the interest rate environment and the outlook for the economy. Members may choose to prepay advances (which may generate prepayment penalty fees) based on their expectations of interest rate changes and demand for liquidity.
Advance volume is also influenced by merger activity, where members are either acquired by non-members or acquired by members of another FHLBank. When our members are acquired by members of another FHLBank or by non-members, these former members no longer qualify for membership and we may not offer renewals or additional advances to the former members. If maturing advances are not replaced, it may have an impact on business volume.
Interest rate hedging and basis adjustments — A significant percentage of fixed-rate, longer-term advances and all putable advances were designated under an ASC 815 fair value accounting hedge. Also, certain advances were hedged by interest rate swaps in economic hedges. From time to time, we have also elected the fair value option (FVO) on an instrument by instrument basis for advances.
Carrying values of advances outstanding at March 31, 2022 and December 31, 2021 were $70.6 billion and $71.5 billion, respectively. Carrying values included cumulative hedging basis adjustment losses of $627.3 million at March 31, 2022 and gains of $321.4 million at December 31, 2021.
Table 2.1 Advance Trends
Member demand for advance products
Future demand from our members for advances is difficult to forecast as it is uncertain what the impact will be on our members’ businesses from multiple uncertainties, including supply of deposits and other funding to members’ businesses, risk of credit losses, and other potential disruptions to our members’ businesses. For more information on how the risks related to COVID-19 may adversely affect our business, results of operations and financial condition, see Part I, Item 1A. Risk Factors in the most recent 10-K filed on March 22, 2022.
76
Advances — Product Types
The following table summarizes par values of advances by product type (dollars in thousands):
Table 2.2 Advances by Product Type
March 31, 2022 | December 31, 2021 |
| ||||||||||
| Percentage |
| Percentage | |||||||||
| Amounts |
| of Total |
| Amounts |
| of Total | |||||
Adjustable Rate Credit - ARCs | $ | 5,621,000 |
| 7.89 | % | $ | 7,468,000 |
| 10.49 | % | ||
Fixed Rate Advances |
| 51,442,057 |
| 72.19 |
| 47,466,196 |
| 66.65 | ||||
Short-Term Advances |
| 9,978,172 |
| 14.00 |
| 11,468,580 |
| 16.10 | ||||
Mortgage Matched Advances |
| 92,339 |
| 0.13 |
| 112,215 |
| 0.16 | ||||
Overnight & Line of Credit (OLOC) Advances |
| 727,100 |
| 1.02 |
| 959,752 |
| 1.35 | ||||
All other categories |
| 3,396,003 |
| 4.77 |
| 3,740,423 |
| 5.25 | ||||
Total par value |
| 71,256,671 |
| 100.00 | % |
| 71,215,166 |
| 100.00 | % | ||
Advance discounts | (144) | (160) | ||||||||||
Hedge valuation basis adjustments |
| (627,338) |
|
| 321,396 |
|
| |||||
Total | $ | 70,629,189 | $ | 71,536,402 |
|
|
The following table summarizes pledged collateral (in thousands):
Table 2.3 Collateral Supporting Indebtedness to Members
Indebtedness | Collateral (a) | |||||||||||||||||
| Other |
| Total |
| Securities and | |||||||||||||
| Advances (b) |
| Obligations (c) |
| Indebtedness |
| Loans (d) |
| Deposits (d) |
| Total (d) | |||||||
March 31, 2022 | $ | 71,256,671 | $ | 22,339,617 | $ | 93,596,288 | $ | 316,033,946 | $ | 73,313,430 | $ | 389,347,376 | ||||||
December 31, 2021 | $ | 71,215,166 | $ | 20,606,819 | $ | 91,821,985 | $ | 320,683,186 | $ | 63,956,008 | $ | 384,639,194 |
(a) | The level of over-collateralization is on an aggregate basis and may not necessarily be indicative of a similar level of over-collateralization on an individual member basis. At a minimum, each member pledged sufficient collateral to adequately secure the member’s outstanding obligation with the FHLBNY. In addition, most members maintain an excess amount of pledged collateral with the FHLBNY to secure future liquidity needs. |
(b) | Par value. |
(c) | Standby financial letters of credit, derivatives, and members’ credit enhancement guarantee amount (MPFCE). |
(d) | Estimated market value. |
The following table shows the breakdown of collateral pledged by members between those in the physical possession of the FHLBNY or its safekeeping agent, and those that were specifically listed (in thousands):
Table 2.4 Location of Collateral Held
Estimated Market Values | |||||||||
| Collateral in |
|
| Total | |||||
| Physical |
| Collateral |
| Collateral | ||||
| Possession |
| Specifically Listed |
| Received | ||||
March 31, 2022 | $ | 73,994,530 | $ | 315,352,846 | $ | 389,347,376 | |||
December 31, 2021 | $ | 64,690,246 | $ | 319,948,948 | $ | 384,639,194 |
77
Advances — Interest Rate Terms
The following table summarizes interest-rate payment terms for advances (dollars in thousands):
Table 2.5 Advances by Interest-Rate Payment Terms
March 31, 2022 | December 31, 2021 |
| ||||||||||
| Percentage |
| Percentage | |||||||||
| Amount |
| of Total |
| Amount |
| of Total | |||||
Fixed-rate (a) | $ | 65,633,171 |
| 92.11 | % | $ | 63,744,666 |
| 89.51 | % | ||
Variable-rate (b) |
| 5,623,500 |
| 7.89 |
| 7,470,500 |
| 10.49 | ||||
Variable-rate capped or floored (c) |
| — |
| — |
| — |
| — | ||||
Overdrawn demand deposit accounts |
| — |
| — |
| — |
| — | ||||
Total par value |
| 71,256,671 |
| 100.00 | % |
| 71,215,166 |
| 100.00 | % | ||
Advance discounts | (144) | (160) | ||||||||||
Hedge valuation basis adjustments |
| (627,338) |
|
| 321,396 |
|
| |||||
Total | $ | 70,629,189 | $ | 71,536,402 |
|
|
(b)Variable-rate advances are ARC advances, which are typically indexed to LIBOR and other benchmark indices. The FHLBNY’s larger members are generally borrowers of variable-rate advances.
(c)Category represents ARCs with options that “cap” increase or “floor” decrease in the LIBOR index at predetermined strikes (We have also purchased cap/floor options that mirror the terms of the options embedded in the advances sold to members, offsetting our exposure on the advance).
78
The following table summarizes Redemption Term of advances (dollars in thousands):
Table 2.6 Advances by Redemption Term
March 31, 2022 | December 31, 2021 |
| Change | ||||||||||||||
Redemption Term (dollars in thousands) |
| Amount |
| Percentage |
| Amount |
| Percentage | Amount |
| Percentage | ||||||
Fixed-rate | |||||||||||||||||
Due in 1 year or less | $ | 35,645,689 |
| 50.03 | % | $ | 33,315,184 |
| 46.78 | % | $ | 2,330,505 |
| 7.00 | % | ||
Due after 1 year through 3 years |
| 14,465,241 |
| 20.30 |
| 13,672,643 |
| 19.20 |
| 792,598 |
| 5.80 | |||||
Due after 3 years through 5 years | 5,645,260 | 7.92 | 5,981,524 | 8.40 | (336,264) | (5.62) | |||||||||||
Due after 5 years through 15 years | 2,033,623 | 2.85 | 2,892,046 | 4.06 | (858,423) | (29.68) | |||||||||||
Thereafter | 268 | — | 303 | — | (35) | (11.45) | |||||||||||
Total principal amount | 57,790,081 | 81.10 | 55,861,700 | 78.44 | 1,928,381 | 3.45 | |||||||||||
Fixed-rate, putable |
|
|
|
|
|
| |||||||||||
Due in 1 year or less |
| 1,000 |
| — |
| 1,000 |
| — |
| — |
| — | |||||
Due after 1 year through 3 years |
| 158,000 |
| 0.22 |
| 158,000 |
| 0.22 |
| — |
| — | |||||
Due after 3 years through 5 years |
| 9,250 |
| 0.01 |
| 14,250 |
| 0.02 |
| (5,000) |
| (35.09) | |||||
Due after 5 years through 15 years |
| 7,582,500 |
| 10.65 |
| 7,597,500 |
| 10.67 |
| (15,000) |
| (0.20) | |||||
Thereafter |
| — |
| — |
| — |
| — |
| — |
| NM | |||||
Total principal amount |
| 7,750,750 |
| 10.88 |
| 7,770,750 |
| 10.91 |
| (20,000) |
| (0.26) | |||||
Variable-rate | |||||||||||||||||
Due in 1 year or less | 3,979,500 | 5.58 | 5,639,500 | 7.92 | (1,660,000) | (29.44) | |||||||||||
Due after 1 year through 3 years | 424,000 | 0.60 | 524,000 | 0.74 | (100,000) | (19.08) | |||||||||||
Due after 3 years through 5 years | 220,000 | 0.31 | 207,000 | 0.29 | 13,000 | 6.28 | |||||||||||
Due after 5 years through 15 years | 1,000,000 | 1.40 | 1,000,000 | 1.40 | — | — | |||||||||||
Thereafter | — | — | — | — | — | NM | |||||||||||
Total principal amount | 5,623,500 | 7.89 | 7,370,500 | 10.35 | (1,747,000) | (23.70) | |||||||||||
Variable-rate, callable or prepayable (a) | |||||||||||||||||
Due in 1 year or less | — | — | 100,000 | 0.14 | (100,000) | (100.00) | |||||||||||
Due after 1 year through 3 years | — | — | — | — | — | NM | |||||||||||
Due after 3 years through 5 years | — | — | — | — | — | NM | |||||||||||
Due after 5 years through 15 years | — | — | — | — | — | NM | |||||||||||
Thereafter | — | — | — | — | — | NM | |||||||||||
Total principal amount | — | — | 100,000 | 0.14 | (100,000) | (100.00) | |||||||||||
Other (b) | |||||||||||||||||
Due in 1 year or less | 38,548 | 0.06 | 47,177 | 0.07 | (8,629) | (18.29) | |||||||||||
Due after 1 year through 3 years | 41,204 | 0.06 | 49,630 | 0.07 | (8,426) | (16.98) | |||||||||||
Due after 3 years through 5 years | 9,120 | 0.01 | 11,663 | 0.02 | (2,543) | (21.80) | |||||||||||
Due after 5 years through 15 years | 2,798 | — | 3,014 | — | (216) | (7.17) | |||||||||||
Thereafter | 670 | — | 732 | — | (62) | (8.49) | |||||||||||
Total principal amount | 92,340 | 0.13 | 112,216 | 0.16 | (19,876) | (17.71) | |||||||||||
Overdrawn and overnight deposit accounts | — | — | — | — | — | NM | |||||||||||
Total principal amount advances | 71,256,671 | 100.00 | % | 71,215,166 | 100.00 | % | 41,505 | 0.06 | % | ||||||||
Other adjustments, net (c) | (627,482) | 321,236 | (948,718) | ||||||||||||||
Total advances | $ | 70,629,189 | $ | 71,536,402 |
|
| $ | (907,213) |
|
|
79
(a) | Prepayable advances are those advances that may be contractually prepaid by the borrower on specified dates without incurring prepayment or termination fees. |
(b) | Includes hybrid, fixed-rate amortizing/mortgage matched, convertible, fixed-rate callable or prepayable, and other advances. |
(c) | Consists of hedging and fair value option valuation adjustments and unamortized premiums, discounts, and commitment fees. |
NM — Not meaningful.
Hedge volume — We hedge putable advances and certain “vanilla” fixed-rate advances under the hedge accounting provisions when they qualify under those standards and as economic hedges when hedge effectiveness accounting provisions cannot be established.
The following table summarizes advances hedged under ASC 815 qualifying hedge by type of structure (in thousands):
Table 2.7 Hedged Advances by Type
Par Amount |
| March 31, 2022 |
| December 31, 2021 | ||
Qualifying hedges | ||||||
Fixed-rate bullets (a) | $ | 34,576,282 | $ | 29,279,507 | ||
Fixed-rate putable (b) |
| 7,750,750 |
| 7,770,750 | ||
Fixed-rate with embedded cap |
| 360,000 |
| 360,000 | ||
Total qualifying hedges | $ | 42,687,032 | $ | 37,410,257 | ||
Aggregate par amount of advances hedged (c) | $ | 42,937,032 | $ | 40,560,257 | ||
Fair value basis (hedging adjustments) | $ | (627,338) | $ | 321,396 |
(a) | Generally, fixed-rate medium- and longer-term advances are hedged to mitigate the risk in fixed-rate lending. |
(b) | Putable advances are hedged by cancellable swaps, and the paired long put option mitigate the put option risks; in the hedge, fixed-rate cash flows are also synthetically converted to benchmark floating-rate. |
(c) | Represents par values of advances in ASC 815 hedge relationships. Amounts do not include advances that were in ASC 815 hedges but have since been de-designated or advances that are in economic hedges (not qualifying as ASC 815 accounting hedge). |
Economic hedges of floating-rate advances — We issue floating-rate advances indexed to one or more benchmark rates (LIBOR, Federal Funds-OIS and SOFR-OIS) and may then execute interest rate basis swaps that would synthetically convert the cash flows to the desired floating-rate cash flows indexed to another benchmark to meet our asset/liability funding strategies. At March 31, 2022 and December 31, 2021, notional amounts of basis swaps were $0.3 billion and $3.1 billion. The carrying value of the advances in the economic hedge would not include fair value basis since the advance is recorded at amortized cost.
Putable Advances — The following table summarizes par amounts of advances that were still putable or callable, with one or more pre-determined option exercise dates remaining (in thousands):
Table 2.8 Putable and Callable Advances
Advances | ||||||
Par Amount |
| March 31, 2022 |
| December 31, 2021 | ||
Putable (a) | $ | 7,750,750 | $ | 7,770,750 |
(a) | Putable advances were typically long-term advances with one or more put options exercisable by the FHLBNY. Putable advances are hedged in an ASC 815 qualifying fair value hedge with mirror image terms, including mirror image put option terms. |
80
Investments
We maintain long-term investment portfolios of debt securities, which are principally mortgage-backed securities issued by GSEs and U.S. Agency (GSE-issued). Investments include a small portfolio of MBS issued by private enterprises, and bonds issued by state or local housing finance agencies. We also maintain short-term investments for our liquidity resources, for funding daily stock repurchases and redemptions, for ensuring the availability of funds to meet the credit needs of our members, and to provide additional earnings. We also invest in a liquidity trading portfolio, the purpose of which is to augment our liquidity needs. Investments in the trading portfolio are typically U.S. Treasury securities, and from time to time we have also invested in GSE-issued securities, all carried at their fair values. The Finance Agency prohibits speculative investments but allows the designation of a trading portfolio for liquidity purposes. We may dispose such investments if liquidity needs are met and market conditions deem the sale as advantageous.
We are subject to credit risk on our investments, generally transacted with GSEs and large financial institutions that are considered to be investment quality. The Finance Agency defines investment quality as a security with adequate financial backing so that full and timely payment of principal and interest on such security is expected and there is minimal risk that the timely payment of principal and interest would not occur because of adverse changes in economic and financial conditions during the projected life of the security.
The following table summarizes changes in investments by categories: Interest-bearing deposits, Money market investments, Trading securities, Equity investments in Grantor trust, Available-for-sale securities, and Held-to-maturity securities (Carrying values, dollars in thousands):
Table 3.1 Investments by Categories
| March 31, |
| December 31, |
| Dollar |
| Percentage |
| ||||
2022 | 2021 | Variance | Variance |
| ||||||||
State and local housing finance agency obligations, net (a) | ||||||||||||
Available-for-sale securities, at fair value | $ | 998,578 | $ | 998,637 | $ | (59) |
| (0.01) | % | |||
Held-to-maturity securities, at carrying value, net | 184,477 | 184,886 | (409) | (0.22) | ||||||||
Total HFA securities | 1,183,055 | 1,183,523 | (468) | (0.04) | ||||||||
Trading securities (b) |
| 8,123,393 |
| 5,821,380 |
| 2,302,013 |
| 39.54 | ||||
Mortgage-backed securities |
|
|
|
|
|
| ||||||
Available-for-sale securities, at fair value (c) |
| 5,792,821 |
| 5,548,784 |
| 244,037 |
| 4.40 | ||||
Held-to-maturity securities, at carrying value, net (c) |
| 9,001,986 |
| 9,143,779 |
| (141,793) |
| (1.55) | ||||
Total MBS securities |
| 14,794,807 |
| 14,692,563 |
| 102,244 |
| 0.70 | ||||
Equity investments in Grantor trust (d) |
| 91,805 |
| 96,124 |
| (4,319) |
| (4.49) | ||||
Interest-bearing deposits |
| 675,000 |
| 675,000 |
| — |
| — | ||||
Securities purchased under agreements to resell |
| 800,000 |
| 1,200,000 |
| (400,000) |
| (33.33) | ||||
Federal funds sold |
| 9,420,000 |
| 7,230,000 |
| 2,190,000 |
| 30.29 | ||||
Total Investments | $ | 35,088,060 | $ | 30,898,590 | $ | 4,189,470 |
| 13.56 | % |
(a) | State and local housing finance agency bonds are designated as both AFS, carried at fair values and HTM, carried at carrying value. There were no acquisitions of State and local housing finance agency bonds for the three months ending March 31, 2022 and paydowns were $0.4 million in the HTM portfolio for the same period. During the second quarter of 2021, we reclassified $0.9 billion of LIBOR-indexed held-to-maturity securities to available-for-sale as a one-time election in accordance with ASC 848 Reference Rate Reform. |
(b) | Trading securities comprised of U.S. Treasury securities at March 31, 2022 and are carried at fair value. Trading portfolio is for liquidity and not for speculative purposes. We acquired $2.8 billion par of U.S. Treasury notes in the first quarter of 2022. |
(c) | AFS securities outstanding were GSE and U.S. Agency issued MBS and carried at fair values. MBS in the HTM portfolio were predominantly GSE-issued. |
81
(d) | Funds in the grantor trust are designated as equity investments and are carried at fair value. Trust fund balances represent investments in registered fixed-income and equity mutual funds and money market funds. Funds are highly liquid and readily redeemable at their NAVs, which are the fair values of the investments. The funds are owned by the FHLBNY, and the intent is to utilize investments to fund current and potential future payment obligations of the non-qualified employee retirement plans. |
The following table summarizes our investment debt securities issuer concentration (dollars in thousands):
Table 3.2 Investment Debt Securities Issuer Concentration
March 31, 2022 | December 31, 2021 |
| |||||||||||||||
Carrying value as | Carrying value as | ||||||||||||||||
Carrying (a) | a Percentage | Carrying (a) | a Percentage |
| |||||||||||||
Long Term Investment (c) |
| Value |
| Fair Value |
| of Capital |
| Value |
| Fair Value |
| of Capital |
| ||||
| |||||||||||||||||
MBS |
|
|
|
|
|
|
|
|
|
|
|
| |||||
Fannie Mae | $ | 2,441,284 | $ | 2,442,192 |
| 38.57 | % | $ | 2,565,768 | $ | 2,594,055 |
| 39.80 | % | |||
Freddie Mac |
| 12,284,758 |
| 12,309,338 |
| 194.07 |
| 12,053,895 |
| 12,390,599 |
| 187.00 | |||||
Ginnie Mae |
| 8,750 |
| 8,750 |
| 0.14 |
| 9,349 |
| 9,349 |
| 0.15 | |||||
All Others - PLMBS |
| 60,015 |
| 66,506 |
| 0.95 |
| 63,551 |
| 71,422 |
| 0.99 | |||||
Non-MBS, net (b) |
| 1,183,055 |
| 1,166,991 |
| 18.69 |
| 1,183,523 |
| 1,166,270 |
| 18.36 | |||||
Total Investment Debt Securities | $ | 15,977,862 | $ | 15,993,777 |
| 252.41 | % | $ | 15,876,086 | $ | 16,231,695 |
| 246.30 | % | |||
Categorized as: |
|
|
|
|
|
|
|
|
|
|
|
| |||||
Available-for-Sale Securities | $ | 6,791,399 | $ | 6,791,399 | $ | 6,547,421 | $ | 6,547,421 |
|
| |||||||
Held-to-Maturity Securities, net | $ | 9,186,463 | $ | 9,202,378 | $ | 9,328,665 | $ | 9,684,274 |
|
|
(a) | Carrying values include fair values for AFS securities. |
(b) | Non-MBS — Includes Housing finance agency bonds. |
(c) | Excludes Trading portfolio. |
External rating information of the held-to-maturity portfolio was as follows (carrying values in thousands):
Table 3.3 External Rating of the Held-to-Maturity Portfolio
March 31, 2022 | ||||||||||||||||||
Below | ||||||||||||||||||
Investment | ||||||||||||||||||
| AAA-rated (a) |
| AA-rated (b) |
| A-rated |
| BBB-rated |
| Grade |
| Total | |||||||
Mortgage-backed securities | $ | 198 | $ | 8,943,813 | $ | 45,196 | $ | 566 | $ | 12,213 | $ | 9,001,986 | ||||||
State and local housing finance agency obligations |
| — |
| 182,920 |
| 1,557 |
| — |
| — |
| 184,477 | ||||||
Total Long-term securities | $ | 198 | $ | 9,126,733 | $ | 46,753 | $ | 566 | $ | 12,213 | $ | 9,186,463 |
82
December 31, 2021 | ||||||||||||||||||
Below | ||||||||||||||||||
Investment | ||||||||||||||||||
| AAA-rated (a) |
| AA-rated (b) |
| A-rated |
| BBB-rated |
| Grade |
| Total | |||||||
Mortgage-backed securities | $ | 229 | $ | 9,082,287 | $ | 48,055 | $ | 616 | $ | 12,592 | $ | 9,143,779 | ||||||
State and local housing finance agency obligations |
| — |
| 183,330 |
| 1,556 |
| — |
| — |
| 184,886 | ||||||
Total Long-term securities | $ | 229 | $ | 9,265,617 | $ | 49,611 | $ | 616 | $ | 12,592 | $ | 9,328,665 |
See footnotes (a) and (b) under Table 3.4.
External rating information of the AFS portfolio was as follows (the carrying values of AFS investments are at fair values; in thousands):
Table 3.4 External Rating of the Available-for-Sale Portfolio
| March 31, 2022 | |||||||||||||||||
Below | ||||||||||||||||||
Investment | ||||||||||||||||||
| AAA-rated(a) |
| AA-rated(b) |
| A-rated |
| BBB-rated |
| Grade |
| Total | |||||||
Mortgage-backed securities | $ | — | $ | 5,792,821 | $ | — | $ | — | $ | — | $ | 5,792,821 | ||||||
State and local housing finance agency obligations |
| 18,987 |
| 977,412 |
| — |
| 2,179 |
| — |
| 998,578 | ||||||
Total Long-term securities | $ | 18,987 | $ | 6,770,233 | $ | — | $ | 2,179 | $ | — | $ | 6,791,399 |
December 31, 2021 | ||||||||||||||||||
Below | ||||||||||||||||||
Investment | ||||||||||||||||||
| AAA-rated(a) |
| AA-rated(b) |
| A-rated |
| BBB-rated |
| Grade |
| Total | |||||||
Mortgage-backed securities | $ | — | $ | 5,548,784 | $ | — | $ | — | $ | — | $ | 5,548,784 | ||||||
State and local housing finance agency obligations | 18,951 | 977,507 | — | 2,179 | — | 998,637 | ||||||||||||
Total Long-term securities | $ | 18,951 | $ | 6,526,291 | $ | — | $ | 2,179 | $ | — | $ | 6,547,421 |
Footnotes to Table 3.3 and Table 3.4.
(a) | Certain PLMBS and housing finance bonds have been assigned AAA, based on the ratings by S&P and Moody’s. |
(b) | We have assigned GSE-issued MBS a rating of AA+ based on the credit rating assigned to long-term senior debt issued by Fannie Mae, Freddie Mac, and U.S. Agency. The debt ratings are based on S&P’s rating of AA+ for the GSE Senior long-term debt and AA+ for the debt issued by the U.S. government; Moody’s debt rating is Aaa for the GSE Senior long-term debt and the U.S. government. |
External credit rating information has been provided in Table 3.3 and Table 3.4 as the information is used as another data point to supplement our credit quality indicators, and they serve as a useful indicator when analyzing the degree of credit risk to which we are exposed. Significant changes in credit ratings classifications of our investment debt securities portfolio could indicate increased credit risk for us that could be accompanied by a reduction in the fair values of our investment debt securities portfolio.
Fair Value Levels of Investment Debt Securities
To compute fair values, multiple vendor prices were received for substantially all of our MBS holdings, and substantially all of those prices fell within specified thresholds. The relative proximity of the prices received from the multiple vendors supported our conclusion that the final computed prices were reasonable estimates of fair values. GSE securities priced under such a valuation technique using the market approach are typically classified within Level 2 of the valuation hierarchy.
The fair value of State and local housing finance agency obligations is estimated by management using information primarily from pricing services. Due to the current lack of significant market activity, their fair values were categorized as Level 3 of the valuation
83
hierarchy. For a comparison of carrying values and fair values of investment debt securities, see financial statements, Note 5. Trading securities, Note 7. Available-for-Sale Securities and Note 8. Held-to-Maturity Securities. For more information about the corroboration and other analytical procedures performed, see Note 18. Fair Values of Financial Instruments. Also see Note 7. Available-for-sale securities for an explanation of amortized cost for securities hedged under ASC 815 fair value hedges.
Weighted average rates — Mortgage-backed securities (HTM and AFS) — The following table summarizes weighted average rates (yields) and amortized cost by contractual maturities (dollars in thousands):
Table 3.5 Mortgage-Backed Securities Weighted Average Rates by Contractual Maturities
March 31, 2022 | December 31, 2021 |
| |||||||||
Amortized | Weighted | Amortized | Weighted |
| |||||||
| Cost |
| Average Rate |
| Cost |
| Average Rate |
| |||
Mortgage-backed securities |
|
|
|
| |||||||
Due in one year or less | $ | 988,222 |
| 2.75 | % | $ | 622,150 |
| 2.63 | % | |
Due after one year through five years |
| 4,033,243 |
| 2.52 |
| 4,120,381 |
| 2.47 | |||
Due after five years through ten years |
| 8,114,914 |
| 2.54 |
| 8,002,850 |
| 2.51 | |||
Due after ten years |
| 1,699,666 |
| 1.62 |
| 1,793,274 |
| 1.46 | |||
Total Mortgage-backed securities | $ | 14,836,045 |
| 2.44 | % | $ | 14,538,655 |
| 2.37 | % |
A significant portion of the MBS portfolio consists of floating-rate securities and the weighted average rates will change in parallel with changes in the LIBOR rate.
Fair Value Hedges of Fixed-rate Available-for-sale Mortgage-backed Securities
The adoption of ASU 2017-12 provided an alternative guidance in the application of partial-term hedging. The ASU also provided a new approach that allows entities to hedge only the benchmark rate instead of the entire coupon of a fixed-rate instrument in a fair value hedge. We have adopted the guidance in the ASU to hedge designated available-for-sale fixed-rate CMBS. The following table summarizes key data (in thousands):
Table 3.6 Fair Value Hedges of Fixed-Rate Prepayable CMBS
Fair Value Hedges of Fixed-Rate Prepayable CMBS | ||||||
| March 31, 2022 |
| December 31, 2021 | |||
Current face value of hedged CMBS | $ | 3,879,361 | $ | 3,190,361 | ||
Partial-term hedge face value of hedged CMBS | $ | 3,461,000 | $ | 2,859,000 | ||
Cumulative basis adjustment gains (losses) | $ | (237,063) | $ | (30,667) | ||
Interest rate swap contracts (par) | $ | 3,461,000 | $ | 2,859,000 |
Short-term investments
We typically maintain substantial investments in high quality short- and intermediate-term financial instruments such as secured overnight transactions collateralized by securities, including unsecured overnight and term deposits and federal funds sold to highly-rated financial institutions who also satisfy other credit quality factors. These investments provide the liquidity necessary to meet members’ credit needs. Short-term investments also provide a flexible means of implementing the asset/liability management decisions to adjust liquidity. We also invest in a liquidity trading portfolio, consisting of U.S. treasury securities, with the objective of satisfying our liquidity requirements and expanding our choice of investing for liquidity.
Monitoring — We actively monitor our credit exposures and the credit quality of our counterparties, including an assessment of each counterparty’s financial performance, capital adequacy, and sovereign support as well as related market signals, and actively limit or suspend existing exposures, as appropriate. In addition, we are required to manage our unsecured portfolio subject to regulatory limits prescribed by our regulator, the Finance Agency. The Finance Agency regulations include limits on the amount of unsecured credit that may be extended to a counterparty or a group of affiliated counterparties, based upon a percentage of eligible regulatory capital and the counterparty’s overall credit rating. Under these regulations, the level of eligible regulatory capital is determined as the lesser
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of our regulatory capital or the eligible amount of regulatory capital of the counterparty determined in accordance with Finance Agency regulations.
The Finance Agency regulations also permit us to extend additional unsecured credit, which could be comprised of overnight extensions and sales of federal funds subject to continuing contract. Our total unsecured overnight exposure to a single counterparty may not exceed twice the regulatory limit for term exposures. We are prohibited by Finance Agency regulation from investing in financial instruments issued by non-U.S. entities other than those issued by U.S. branches and agency offices of foreign commercial banks, and we did not own any financial instruments issued by foreign sovereign governments, including those countries that are members of the European Union in any periods in this report.
Securities purchased under agreements to resell — As part of our banking activities with counterparties, we have entered into secured financing transactions that mature overnight and can be extended only at our discretion. These transactions involve the lending of cash against securities, which are accepted as collateral. The balances outstanding under such agreements were $0.8 billion at March 31, 2022 and $1.2 billion at December 31, 2021. Resale agreements averaged $35.6 million and $13.0 million in the first quarter of 2022 and forth quarter of 2021, respectively. For more information, see financial statements, Note 4. Interest-bearing Deposits, Federal Funds Sold and Securities Purchased under Agreements to Resell.
Federal funds sold — Federal funds sold was $9.4 billion at March 31, 2022, and $7.2 billion at December 31, 2021, and averaged $12.1 billion and $10.8 billion the first quarter of 2022 and the fourth quarter of 2021, respectively. Investments represent unsecured lending to major banks and financial institutions. We are a major lender in this market, particularly in the overnight market. The amount of unsecured credit risk that may be extended to individual counterparties is commensurate with the counterparty’s credit quality as assessed by our management, and the assessment would include reviews of credit ratings of counterparty’s debt securities or deposits as reported by NRSROs. Overnight and short-term federal funds allow us to warehouse funds and provide balance sheet liquidity to meet unexpected member borrowing demands.
The following table summarizes par value, amortized cost and the carrying value (fair value) of the trading portfolio (in thousands):
Table 3.7 Trading Securities
Trading Securities | ||||||
| March 31, 2022 |
| December 31, 2021 | |||
Par value | $ | 8,320,925 |
| $ | 5,850,925 | |
Amortized cost | $ | 8,300,539 | $ | 5,835,212 | ||
Carrying/Fair value | $ | 8,123,393 | $ | 5,821,380 |
The Finance Agency prohibits speculative investments but allows permitted securities to be deemed held for liquidity if invested in a trading portfolio. We may dispose such investments if liquidity needs are met and market conditions deem the sale as advantageous. For more information about fair values of securities in the trading portfolio, see Note 5. Trading Securities in the Notes to the Financial Statements.
The following table summarizes economic hedges of fixed-rate trading securities held for liquidity (in thousands):
Table 3.8 Economic Hedges of Fixed-rate Liquidity Trading Securities
Economic Hedges of Fixed-Rate Trading | ||||||
Securities | ||||||
| March 31, 2022 |
| December 31, 2021 | |||
Par/Face amounts of portfolio of U.S. Treasury fixed-rate securities (a) | $ | 8,320,925 | $ | 5,850,925 | ||
Par amounts of interest rate swaps | $ | 8,320,925 | $ | 5,850,925 |
(a) | Balances represent outstanding amounts of U.S. Treasury notes and bills. |
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Mortgage Loans Held-for-Portfolio, Net
Mortgage loans are carried in the Statements of Condition at amortized cost, less allowance for credit losses. The outstanding unpaid principal balance was $2.2 billion at March 31, 2022, a decrease of $0.1 billion (net of acquisitions and paydowns) from the balance at December 31, 2021. Mortgage loan balances declined due to loan prepayments as a result of the low interest rate environment. Mortgage loans were investments in Mortgage Partnership Finance loans (MPF or MPF Program) and Mortgage Asset Program (MAP). Serious delinquencies at March 31, 2022 were lower than December 31, 2021. Allowance for credit losses was $2.0 million at March 31, 2022, compared to $2.1 million at December 31, 2021.
Mortgage Partnership Finance Program — We invest in mortgage loans through the MPF Program, which is a secondary mortgage market structure under which eligible mortgage loans are purchased or funded from or through members who are Participating Financial Institution (PFI). We may also acquire MPF loans through participations with other FHLBanks, although our current acquisition strategy is to limit acquisitions through our PFIs. MPF loans are conforming conventional and Government i.e., insured or guaranteed by the Federal Housing Administration (FHA), the Department of Veterans Affairs (VA) or the Rural Housing Service of the Department of Agriculture (RHS), fixed-rate mortgage loans secured primarily by single-family residential properties with maturities ranging from five to 30 years or participations in such mortgage loans. The FHLBank of Chicago (MPF Provider) developed the MPF Program in order to help fulfill the housing mission and to provide an additional source of liquidity to FHLBank members that choose to sell mortgage loans into the secondary market rather than holding them in their own portfolios. Finance Agency regulations define the acquisition of Acquired Member Assets (AMA) as a core mission activity of the FHLBanks. In order for MPF loans to meet the AMA requirements, the purchase and funding are structured so that the credit risk associated with MPF loans is shared with PFIs.
Mortgage Asset Program — The MAP program is a residential housing finance program in which the FHLBNY funds or purchases loans originated by members or affiliates. The FHLBNY offers the Mortgage Asset Program as a secondary market outlet for PFI members to fund mortgages and be competitive in offering fixed-rate mortgage loan products.
In response to the COVID-19 pandemic, the Federal Government and various states have taken certain actions to allow the Federal Home Loans Banks to provide various forms of relief in response to the effects of the pandemic. These measures include forbearance and modification for MPF program loans. Loans under these agreements were not material at March 31, 2022. We are continuing to apply our policies, and not delaying the recognition of charge-offs, delinquencies, and nonaccruals status for the borrowers who would have otherwise moved into past due or nonaccruals status.
Mortgage loans — Conventional and Insured Loans — The following table classifies mortgage loans between conventional loans and loans insured by FHA/VA (in thousands):
Table 4.1 MPF by Conventional and Insured Loans
| March 31, 2022 |
| December 31, 2021 | |||
Federal Housing Administration and Veteran Administration insured loans | $ | 153,590 | $ | 160,716 | ||
Conventional loans | 1,900,540 |
| 1,999,543 | |||
Allowance for credit losses on mortgage loans | (1,838) |
| (1,956) | |||
MPF loans held-for-portfolio, net (a) | $ | 2,052,292 | $ | 2,158,303 |
(a) | Balances represent MPF portfolio; MAP portfolio balance of $180.7 million as of March 31, 2022 and $161.6 million as of December 31, 2021 were not included. |
Mortgage Loans — Loss Sharing and the Credit Enhancement Waterfall — For all loans acquired prior to June 1, 2017, the credit enhancement was computed as the amount that would bring an uninsured loan to “Double A” credit risk. For loans acquired after June 1, 2017, the credit enhancement is computed to a “Single A” credit risk. In the credit enhancement waterfall, we are responsible for the first loss layer. The second loss layer is the credit obligation of the PFI. We assume all residual risk. Also, see financial statements, Note 10. Mortgage Loans Held-for-Portfolio.
Loan and PFI Concentration — Loan concentration was in New York State, which is to be expected since many of the largest PFIs are located in New York. The tables below summarize concentrations — Geographic and PFI.
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Table 4.2 Geographic Concentration of MPF Loans
March 31, 2022 | December 31, 2021 |
| |||||||
| Number of loans % |
| Amounts outstanding % |
| Number of loans % |
| Amounts outstanding % |
| |
New York State (a) |
| 73.4 | % | 68.4 | % | 73.2 | % | 68.0 | % |
(a) | MAP loans were not included in the above calculation. |
Table4.3 Top Five Participating Financial Institutions — Concentration (par value, dollars in thousands):
March 31, 2022 |
| |||||
Mortgage | Percent of Total |
| ||||
| Loans |
| Mortgage Loans |
| ||
Teachers Federal Credit Union | $ | 190,444 | 9.41 | % | ||
Bethpage Federal Credit Union | 156,329 | 7.73 | ||||
Investors Bank (a) |
| 145,869 |
| 7.21 | ||
Sterling National Bank |
| 137,306 |
| 6.79 | ||
Manasquan Bank |
| 111,000 |
| 5.48 | ||
All Others |
| 1,282,498 |
| 63.38 | ||
Total (b) | $ | 2,023,446 |
| 100.00 | % |
December 31, 2021 |
| |||||
Mortgage | Percent of Total |
| ||||
| Loans |
| Mortgage Loans |
| ||
Teachers Federal Credit Union | $ | 195,737 | 9.20 | % | ||
Bethpage Federal Credit Union |
| 164,021 |
| 7.71 | ||
Investors Bank |
| 157,304 |
| 7.39 | ||
Sterling National Bank |
| 143,790 |
| 6.76 | ||
Manasquan Bank |
| 116,256 |
| 5.46 | ||
All Others |
| 1,350,691 |
| 63.48 | ||
Total (b) | $ | 2,127,799 |
| 100.00 | % |
(a) | This member bank merged into a non-member institution on April 7, 2022. As a result, the bank is no longer a member of the FHLBNY. |
(b) | MAP unpaid principal balances of $175.8 million as of March 31, 2022 and $156.7 million as of December 31, 2021 were not included. |
Debt Financing Activity and Consolidated Obligations
Our primary source of funds continues to be the issuance of Consolidated obligation bonds and discount notes. In aggregate, carrying balances of CO bonds and CO discount notes were $100.6 billion and $97.0 billion at March 31, 2022 and December 31, 2021.
CO bonds and CO discount notes — The carrying value of Consolidated obligation bonds (CO bonds or Consolidated obligation bonds) was $57.4 billion (par, $58.1 billion) at March 31, 2022, compared to $54.8 billion (par, $54.5 billion) at December 31, 2021. The carrying value of Consolidated obligation discount notes outstanding was $43.2 billion at March 31, 2022 and $42.2 billion at December 31, 2021.
Interest rate hedging — Significant amounts of CO bonds have been designated under an ASC 815 fair value accounting hedge. Also, certain CO bonds were hedged by interest rate swaps in economic hedges. From time to time, we have also hedged the anticipatory issuance of fixed-rate CO bonds in a cash flow hedge under ASC 815. Certain CO bonds were elected under the FVO. As a result of hedging elections under ASC 815 and the elections under the FVO, carrying values of CO bonds included valuation basis adjustments. For more information about valuation basis adjustments on CO bonds, see Table 5.1 CO Bonds by Type.
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From time to time, we hedge CO discount notes (discount notes) under ASC 815 fair value accounting; additionally, certain discount notes are also hedged under ASC 815 cash flow accounting hedge. Certain discount notes were elected under the FVO. As a result of accounting elections, carrying values of discount notes may include valuation basis adjustments. For more information about valuation basis adjustments on discount notes, see Table 5.7 Discount Notes Outstanding. Also, see financial statements, Note 17. Derivatives and Hedging Activities.
Debt Ratings — A FHLBank’s ability to access the capital markets to issue debt, as well as our cost of funds, is dependent on credit ratings from Nationally Recognized Statistical Rating Organizations. Consolidated obligations of FHLBanks are rated Aaa/P-1 by Moody’s, and AA+/A-1+ by S&P. Any rating actions on the U.S. Government would likely result in all individual FHLBanks’ long-term deposit ratings and the FHLBank System long-term bond rating moving in lock step with any U.S. sovereign rating action.
Joint and Several Liability — Although we are primarily liable for our portion of Consolidated obligations (i.e. those issued on our behalf), we are also jointly and severally liable with the other FHLBanks for the payment of principal and interest on the Consolidated obligations of all the FHLBanks. For more information, see financial statements, Note 19. Commitments and Contingencies.
SOFR CO Bonds —The SOFR market continues to develop, and successful issuances of FHLBank System SOFR-linked floaters (Floating-rate notes or FRNs) have been an important development for the FHLBank debt and its support for SOFR.
The FHLBNY is an active participant in the issuance of SOFR-linked CO bonds. Outstanding balances were $8.5 billion at March 31, 2022 and $4.8 billion at December 31, 2021.
Consolidated obligation bonds
The following table summarizes types of Consolidated obligation bonds (CO Bonds) issued and outstanding (dollars in thousands):
Table 5.1 CO Bonds by Type
March 31, 2022 | December 31, 2021 |
| |||||||||
Percentage | Percentage | ||||||||||
| Amount |
| of Total |
| Amount |
| of Total |
| |||
Fixed-rate, non-callable | $ | 28,145,380 | 48.44 | % | $ | 31,907,580 | 58.53 | % | |||
Fixed-rate, callable |
| 15,890,130 |
| 27.35 |
|
| 12,993,130 |
| 23.84 | ||
Step Up, callable |
| 5,590,000 |
| 9.62 |
|
| 4,799,000 |
| 8.80 | ||
Floating rate, callable | 2,015,000 | 3.47 | 1,265,000 | 2.32 | |||||||
Single-index floating rate |
| 6,458,850 |
| 11.12 |
|
| 3,550,000 |
| 6.51 | ||
Total par value |
| 58,099,360 |
| 100.00 | % |
| 54,514,710 |
| 100.00 | % | |
Bond premiums |
| 152,650 |
|
| 152,601 |
| |||||
Bond discounts |
| (22,366) |
|
| (23,563) |
| |||||
Hedge valuation basis adjustments (a) |
| (881,323) |
|
| 77,048 |
| |||||
Hedge basis adjustments on de-designated hedges (b) |
| 124,015 |
|
| 125,091 |
| |||||
FVO (c) - valuation adjustments and accrued interest |
| (96,428) |
|
| (16,486) |
| |||||
Total Consolidated obligation-bonds | $ | 57,375,908 |
| $ | 54,829,401 |
Fair value basis and valuation adjustments — Key determinants are factors such as run-offs and new transactions designated under an ASC 815 hedge or elected under the FVO, the forward swap curve, the volatility of the swap rates, the remaining duration to maturity, and for bonds elected under the FVO, the changes in the spread between the swap rate and the Consolidated obligation debt yields, and changes in interest payable, which is a component of the entire fair value of FVO bonds.
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(a) | Hedging valuation basis adjustments — The reported carrying values of hedged CO bonds are adjusted for changes in their fair values (fair value basis adjustments or fair value) that are attributable to changes in the benchmark risk being hedged. Our benchmarks are LIBOR, SOFR-OIS and Federal Funds-OIS, although we are actively transitioning away from LIBOR. In the hedging relationships, a benchmark is elected on an instrument-by-instrument basis and becomes the discounting basis under ASC 815 for computing changes in fair values for hedged CO bonds. Table 5.2 CO Bonds Hedged under Qualifying Fair Value Hedges discloses notional amounts of CO bonds hedged. The application of ASC 815 accounting methodology resulted in the recognition of net cumulative hedge valuation basis gains of $881.3 million at March 31, 2022 and losses of $77.0 million at December 31, 2021. Generally, hedge valuation basis gains and losses are unrealized and are expected to reverse to zero if the CO bonds are held to maturity or are called on the early option exercise dates. |
(b) | Valuation basis of terminated hedges — Represents unamortized cumulative valuation basis of certain CO bonds that were no longer in fair value hedge relationships. When hedging relationships for the debt were de-designated, the net unrealized cumulative losses at the hedge termination dates were no longer adjusted for changes in the benchmark rate. Instead, the valuation basis is being amortized on a level yield method, and the net amortization is recorded as a reduction of Interest expense. If the CO bonds are held to maturity, the basis losses will be fully amortized as interest expense. |
(c) | FVO valuation adjustments — Valuation basis adjustments and accrued interest payable are recorded to recognize changes in the entire fair value (the full fair value) of CO bonds elected under the FVO. Table 5.3 CO Bonds Elected under the Fair Value Option (FVO) discloses par amounts of CO bonds elected under the FVO. |
We have elected the FVO on an instrument-by-instrument basis. For bonds elected under the FVO, it was not necessary to estimate changes attributable to instrument-specific credit risk, as we consider the credit worthiness of the FHLBanks to be secure and credit related adjustments unnecessary. More information about debt elected under the FVO is provided in financial statements, Note 18. Fair Values of Financial Instruments (See Fair Value Option Disclosures).
Hedge volume — Tables 5.2 – 5.4 provide information with respect to par amounts of CO bonds based on accounting designation: (1) under hedge qualifying rules, (2) under the FVO, and (3) as an economic hedge.
Qualifying hedges — Generally, fixed-rate (bullet and callable) medium and long-term Consolidated obligation bonds are hedged in a Fair value ASC 815 qualifying hedge.
The following table provides information on CO bonds in an ASC 815 qualifying hedge relationship (in thousands):
Table 5.2 CO Bonds Hedged under Qualifying Fair Value Hedges
Consolidated Obligation Bonds | ||||||
Par Amount |
| March 31, 2022 |
| December 31, 2021 | ||
Qualifying hedges |
|
| ||||
Fixed-rate bullet bonds | $ | 16,121,890 | $ | 15,333,890 | ||
Fixed-rate callable bonds |
| 21,371,130 |
| 16,488,130 | ||
$ | 37,493,020 | $ | 31,822,020 |
CO bonds elected under the FVO — If at inception of a hedge we do not believe that a hedge would be highly effective in offsetting fair value changes between the derivative and the debt (hedged item), we may designate the debt under the FVO. We would record fair value changes of the FVO debt through earnings, and to the extent the debt is economically hedged, record changes in the fair values
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of the interest rate swap through earnings. The recorded balance sheet value of debt under the FVO would include the fair value basis adjustments, so that the debt’s balance sheet carrying values would be its full fair value.
The following table provides information on CO bonds elected under the fair value option (in thousands):
Table 5.3 CO Bonds Elected under the Fair Value Option (FVO)
Consolidated Obligation Bonds | ||||||
Par Amount |
| March 31, 2022 |
| December 31, 2021 | ||
Bonds designated under FVO | $ | 1,997,575 | $ | 7,402,560 |
CO bonds elected under the FVO were generally in economic hedges by the execution of interest rate swaps that converted the fixed-rate bonds to a variable-rate instrument. We elected to account for the bonds under the FVO when we were generally unable to assert with confidence that the short- and intermediate-term bonds, or callable bonds, with short lock-out periods to the exercise of call options, would remain effective hedges as required under hedge accounting rules. We may also elect the FVO to achieve asset liability objectives. Designation of CO bonds under the FVO is an asset-liability management decision. For more information, see financial statements, Fair Value Option Disclosures in Note 18. Fair Values of Financial Instruments.
Economic hedges of CO bonds — We issue floating-rate debt indexed to a benchmark rate (LIBOR, Federal Funds-OIS or SOFR-OIS) and may then execute interest rate swaps that would synthetically convert the cash flows to the desired floating-rate funding indexed to another benchmark to meet our asset/liability funding strategies. The carrying value of the debt would not include fair value basis since the debt is recorded at amortized cost.
The following table provides information on CO bonds in an economic hedge relationship (in thousands):
Table 5.4 Economic Hedges of CO Bonds (data in table excludes CO bonds elected under the FVO)
Consolidated Obligation Bonds | ||||||
Par Amount |
| March 31, 2022 |
| December 31, 2021 | ||
Bonds designated as economically hedged |
|
| ||||
Floating-rate bonds (a) | $ | — | $ | 250,000 | ||
Fixed-rate bonds (b) |
| 350,000 |
| 220,000 | ||
$ | 350,000 | $ | 470,000 |
(a) | Floating-rate debt — Floating-rate bonds were typically indexed to 1-month LIBOR and SOFR-OIS. With the execution of basis hedges, certain floating-rate bonds were swapped in economic hedges to indices (SOFR-OIS and Federal Funds-OIS) that met our asset/liability interest rate risk management objectives, mitigating the basis risk between the index attached to the debt and the target benchmark. |
(b) | Fixed-rate debt — Bonds that were previously hedged and have fallen out of effectiveness. |
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CO Bonds — Maturity or Next Call Date (a)
Callable bonds contain an exercise date or a series of exercise dates that may result in a shorter redemption period. The following table summarizes par amounts of Consolidated bonds outstanding by years to maturity or next call date (dollars in thousands):
Table 5.5 CO Bonds — Maturity or Next Call Date
March 31, 2022 | December 31, 2021 |
| |||||||||
Percentage | Percentage |
| |||||||||
| Amount |
| of Total |
| Amount |
| of Total |
| |||
Year of maturity or next call date |
|
|
|
|
|
|
| ||||
Due or callable in one year or less | $ | 40,107,160 |
| 69.03 | % | $ | 37,107,475 |
| 68.07 | % | |
Due or callable after one year through two years |
| 6,824,875 |
| 11.75 |
| 6,990,160 |
| 12.82 | |||
Due or callable after two years through three years |
| 2,096,850 |
| 3.61 |
| 2,331,385 |
| 4.28 | |||
Due or callable after three years through four years |
| 2,748,765 |
| 4.73 |
| 2,013,085 |
| 3.69 | |||
Due or callable after four years through five years |
| 2,228,905 |
| 3.84 |
| 1,825,905 |
| 3.35 | |||
Thereafter |
| 4,092,805 |
| 7.04 |
| 4,246,700 |
| 7.79 | |||
Total par value | $ | 58,099,360 |
| 100.00 | % | $ | 54,514,710 |
| 100.00 | % |
(a) | Contrasting Consolidated obligation bonds by contractual maturity dates (see financial statements, Note 12. Consolidated Obligations — Redemption Terms of Consolidated Obligation Bonds) with potential call dates (as reported in table above) illustrates the impact of hedging on the effective duration of the bond. With a callable bond, we have purchased the option to terminate debt at agreed upon dates from investors. The call options are exercisable as either a one-time option or quarterly. Our current practice is to exercise our option to call a bond when the swap counterparty exercises its option to call the cancellable swap hedging the callable bond. Thus, issuance of a callable bond with an associated callable swap significantly alters the contractual maturity characteristics of the original bond and introduces the possibility of an exercise call date that is significantly shorter than the contractual maturity. |
The following table summarizes callable bonds versus non-callable CO bonds outstanding (par amounts, in thousands):
Table 5.6 Outstanding Callable CO Bonds versus Non-callable CO bonds
| March 31, 2022 |
| December 31, 2021 | |||
Callable | $ | 23,495,130 | $ | 19,057,130 | ||
Non-Callable | $ | 34,604,230 | $ | 35,457,580 |
CO Discount Notes
The following table summarizes discount notes issued and outstanding (dollars in thousands):
Table 5.7 Discount Notes Outstanding
| March 31, 2022 |
| December 31, 2021 |
| |||
Par value | $ | 43,225,559 | $ | 42,204,430 | |||
Amortized cost | $ | 43,199,256 | $ | 42,197,683 | |||
Hedge value basis adjustments (a) |
| (22,296) | (424) | ||||
FVO (b) - valuation adjustments and remaining accretion |
| — |
| — | |||
Total discount notes | $ | 43,176,960 | $ | 42,197,259 | |||
Weighted average interest rate |
| 0.26 | % |
| 0.06 | % |
(a) | Hedging valuation basis adjustments — The reported carrying values of hedged CO discount notes are adjusted for changes in their fair values (fair value basis adjustments or fair value) that are attributable to changes in the benchmark risk being hedged. In the hedging relationships, a specific benchmark is elected on an instrument-by-instrument basis and becomes the discounting basis under ASC 815 for computing changes in fair values for the hedged CO discount notes. Notional amounts of $29.2 billion |
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and $3.4 billion were hedged under ASC 815 qualifying fair value hedges at March 31, 2022 and December 31, 2021, respectively. The application of ASC 815 accounting methodology resulted in immaterial amounts of net cumulative hedge valuation adjustments as noted in the table above. Generally, hedge valuation basis gains and losses are unrealized and are expected to reverse to zero if the CO discount notes are held to maturity. |
(b) | FVO valuation adjustments — Valuation basis adjustment are recorded to recognize changes in the entire or full fair values, including unaccreted discounts on CO discount notes elected under the FVO. No FVO discount note was elected under the FVO at March 31, 2022 and December 31, 2021. The discounting basis for computing changes in fair values of discount notes elected under the FVO is the observable FHLBank discount note yield curve. When held to maturity, unaccreted discounts will be fully accreted to par, and unrealized fair value gains and losses will sum to zero over the term to maturity. |
The following table summarizes Fair Value hedges of discount notes (in thousands):
Table 5.8 Fair Value Hedges of Discount Notes
Consolidated Obligation Discount Notes | ||||||
Principal Amount |
| March 31, 2022 | December 31, 2021 | |||
Discount notes hedged under qualifying hedge | $ | 29,216,279 |
| $ | 3,374,841 |
The following table summarizes economic hedges of discount notes (in thousands):
Table 5.9 Economic Hedges of Discount Notes
Consolidated Obligation Discount Notes | |||
Par Amount |
| March 31, 2022 | |
Discount notes designated as economic hedges (a) | $ | 349,846 |
(a) | Represents CO discount notes that were de-designated; unamortized hedge basis adjustments were not material. No CO discount notes were outstanding at December 31, 2021 for economic hedges. |
The following table summarizes Cash flow hedges of discount notes (in thousands):
Table 5.10 Cash Flow Hedges of Discount Notes
Consolidated Obligation Discount Notes | ||||||
Principal Amount |
| March 31, 2022 |
| December 31, 2021 | ||
Discount notes hedged under qualifying hedge (a) | $ | 1,608,000 |
| $ | 1,693,000 |
(a) | Amounts represent discounts notes issued in cash flow “rollover” hedge strategies that hedged the variability of 91-day discount notes issued in sequence. The original maturities of the interest rate swaps typically ranged from 10-15 years. In this strategy, the discount note expense, which resets every 91 days, is synthetically converted to fixed cash flows over the hedge periods, thereby achieving hedge objectives. For more information, see financial statements, Cash flow hedge gains and losses in Note 17. Derivatives and Hedging Activities. |
Discount Notes under the Fair Value Option (FVO)
CO discount notes elected under the FVO were generally in economic hedges with the execution of interest rate swaps that converted the fixed-rate notes to a variable-rate instrument. We elected to account for the discount notes under the FVO when we were generally unable to assert with confidence that the discount notes would remain effective hedges as required under hedge accounting rules. See Fair Value Option Disclosures in Note 18. Fair Values of Financial Instruments. No CO discount notes elected under the FVO at March 31, 2022 and December 31, 2021.
Accrued interest payable
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Accrued interest payable — Amounts outstanding were $121.4 million at March 31, 2022 and $127.0 million at December 31, 2021. Accrued interest payable was comprised primarily of interest due and unpaid on CO bonds, which are generally payable on a semi-annual basis. Fluctuations in unpaid interest balances on bonds are due to the timing of semi-annual coupon accruals and payments at the balance sheet dates.
Other Liabilities
Other liabilities — Amounts outstanding were $176.9 million at March 31, 2022 and $182.5 million at December 31, 2021. Other liabilities comprised of unfunded pension liabilities, Federal Reserve pass-through reserves held on behalf of members, and miscellaneous payables.
Stockholders’ Capital
The following table summarizes the components of Stockholders’ capital (in thousands):
Table6.1 Stockholders’ Capital
| March 31, 2022 |
| December 31, 2021 | |||
Capital Stock (a) | $ | 4,480,031 | $ | 4,500,785 | ||
Unrestricted retained earnings (b) |
| 1,100,420 |
| 1,103,585 | ||
Restricted retained earnings (c) |
| 838,788 |
| 827,380 | ||
Accumulated Other Comprehensive Income (Loss) |
| (89,177) |
| 14,103 | ||
Total Capital | $ | 6,330,062 | $ | 6,445,853 |
(a) | Stockholders’ Capital — Capital stock decreased in line with the decrease in advances borrowed. When an advance matures or is prepaid, the excess capital stock is repurchased by the FHLBNY. When an advance is borrowed or a member joins the FHLBNY’s membership, the member is required to purchase capital stock. |
(b) | Unrestricted retained earnings — Net income is added to this balance. Dividends are paid out of this balance. Funds are transferred to Restricted retained earnings balances that are determined in line with the approved provisions of the conduct of restricted retained earnings account. |
(c) | Restricted retained earnings — Restricted retained earnings balance at March 31, 2022 has grown to $838.8 million from the time the provisions were implemented in 2011 when the FHLBanks, including the FHLBNY, agreed to set up a restricted retained earnings account. The FHLBNY will allocate at least 20% of its net income to the FHLBNY’s Restricted retained earnings account until the balance of the account equals at least 1% of FHLBNY’s average balance of outstanding Consolidated obligations for the current calendar quarter. By way of reference, the Restricted retained earnings target calculated at March 31, 2022 was $1.0 billion based on the FHLBNY’s average consolidated obligations outstanding during the current calendar quarter, as compared to actual Restricted retained earnings of $838.8 million at March 31, 2022. Also see Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. |
The following table summarizes the components of AOCI (in thousands):
Table 6.2 Accumulated Other Comprehensive Income (Loss) (AOCI)
| March 31, 2022 |
| December 31, 2021 | |||
Accumulated other comprehensive income (loss) |
|
|
|
| ||
Non-credit portion on held-to-maturity securities, net (a) | $ | (1,368) | $ | (1,586) | ||
Net market value unrealized gains (losses) on available-for-sale securities (b) |
| (276,657) |
| 125,170 | ||
Net Fair value hedging gains (losses) on available-for-sale securities (b) |
| 237,063 |
| 30,667 | ||
Net Cash flow hedging gains (losses) (c) |
| (10,012) |
| (101,499) | ||
Employee supplemental retirement plans (d) |
| (38,203) |
| (38,649) | ||
Total Accumulated other comprehensive income (loss) | $ | (89,177) | $ | 14,103 |
93
(a) | Represents cumulative unamortized non-credit losses (also referred to as non-credit OTTI) recorded prior to the application of the framework under ASU 2016-13. Balances in AOCI have declined due to accretion recorded as a reduction in AOCI (and a corresponding increase in the balance sheet carrying values of the impaired securities). |
(b) | Net market values unrealized gains (losses) on available-for-sale securities were losses of $276.7 million and gains of $125.2 million at March 31, 2022 and December 31, 2021, respectively, represent third-party pricing vendors’ market-based unrealized gains of securities designated as AFS. Net unrealized gains of $237.1 million and $30.7 million at March 31, 2022 and December 31, 2021, respectively, represent changes in the benchmark rate (the risk being hedged) calculated by Bank’s internal models for AFS designated in ASC 815 hedging relationships. Hedging gains and losses are recorded through earnings with an offset to the carrying values of hedged AFS securities. Hedging basis will reverse to zero if hedges are allowed to mature. |
(c) | Cash flow hedging losses recorded in AOCI were primarily the result of cash flow hedges of sequential issuance of discount notes; also included immaterial valuation basis of cash flow hedges of anticipatory issuance of CO bonds. See Table 6.3 AOCI Rollforward due to ASC 815 Hedging Programs. |
(d) | Employee supplemental plans — Balances represent actuarially determined supplemental pension and postretirement health benefit liabilities that were not recognized through earnings. |
The following table presents amounts recognized in and reclassified out of AOCI due to cash flow and fair value hedges (in thousands): Gains/(losses) are recorded in AOCI.
Table 6.3 AOCI Rollforward due to ASC 815 Hedging Programs
March 31, 2022 | |||||||||
Cash Flow Hedges | Fair Value Hedges | ||||||||
Rollover Hedge | Anticipatory | ||||||||
| Program |
| Hedge Program |
| AFS Securities | ||||
Beginning balance | $ | (94,601) | $ | (6,898) | $ | 30,667 | |||
Changes in fair values (a) |
| 90,784 |
| — |
| 206,396 | |||
Amount reclassified |
| — |
| 351 |
| — | |||
Fair Value - closed contract | — | 352 | — | ||||||
Ending balance | $ | (3,817) | $ | (6,195) | $ | 237,063 | |||
Notional amount of swaps outstanding | $ | 1,608,000 | $ | — | $ | 3,461,000 |
December 31, 2021 | |||||||||
Cash Flow Hedges | Fair Value Hedges | ||||||||
Rollover Hedge | Anticipatory | ||||||||
| Program |
| Hedge Program |
| AFS Securities | ||||
Beginning balance | $ | (198,494) | $ | (8,710) | $ | (44,052) | |||
Changes in fair values (a) |
| 103,893 |
| — |
| 74,719 | |||
Amount reclassified |
| — |
| 1,511 |
| — | |||
Fair Value - closed contract |
| — |
| 301 |
| — | |||
Ending balance | $ | (94,601) | $ | (6,898) | $ | 30,667 | |||
Notional amount of swaps outstanding | $ | 1,693,000 | $ | — | $ | 2,859,000 |
March 31, 2021 | |||||||||
Cash Flow Hedges | Fair Value Hedges | ||||||||
Rollover Hedge | Anticipatory | ||||||||
| Program |
| Hedge Program |
| AFS Securities | ||||
Beginning balance | $ | (198,494) | $ | (8,710) | $ | (44,052) | |||
Changes in fair values (a) |
| 82,494 |
| — |
| 77,393 | |||
Amount reclassified |
| — |
| 367 |
| — | |||
Ending balance | $ | (116,000) | $ | (8,343) | $ | 33,341 | |||
Notional amount of swaps outstanding | $ | 1,896,000 | $ | — | $ | 1,432,000 |
94
(a) | Represents fair value changes of open swap contracts in cash flow hedges. For more information, see Financial Statements, Note 17. Derivatives and Hedging Activities. |
Dividends — By Finance Agency regulation, dividends may be paid out of current earnings or if certain conditions are met, may be paid out of previously retained earnings. We may be restricted from paying dividends if we do not comply with any of the Finance Agency’s minimum capital requirements or if payment would cause us to fail to meet any of the minimum capital requirements, including our Retained earnings target as established by the Board of Directors of the FHLBNY. In addition, we may not pay dividends if any principal or interest due on any Consolidated obligations has not been paid in full, or if we fail to satisfy certain liquidity requirements under applicable Finance Agency regulations. None of these restrictions applied for any period presented.
The following table summarizes dividends paid and payout ratios:
Table 6.4 Dividends Paid and Payout Ratios
Three months ended |
| ||||||
| March 31, 2022 |
| March 31, 2021 |
| |||
Cash dividends paid per share | $ | 1.10 | $ | 1.26 | |||
Dividends paid (a) (c) | $ | 48,797 | $ | 70,815 | |||
Pay-out ratio (b) |
| 85.55 | % |
| 98.07 | % |
(a) | In thousands. |
(b) | Dividend paid during the period divided by net income for the period. |
(c) | Does not include dividends paid to non-members; for accounting purposes, such dividends are recorded as interest expense. |
Derivative Instruments and Hedging Activities
Interest rate swaps, swaptions, cap and floor agreements (collectively, derivatives) enable us to manage our exposure to changes in interest rates by adjusting the effective maturity, repricing frequency, or option characteristics of financial instruments. To a limited extent, we also use interest rate swaps to hedge changes in interest rates prior to debt issuance and essentially lock in funding costs. Finance Agency regulations prohibit the speculative use of derivatives. For additional information about the methodologies adopted for the fair value measurement of derivatives, see financial statements, Note 18. Fair Values of Financial Instruments.
Derivatives Counterparty Credit Ratings
For information, and an analysis of our exposure due to non-performance of swap counterparties, see Table “Offsetting of Derivative Assets and Derivative Liabilities — Net Presentation” in Note 17. Derivatives and Hedging Activities to financial statements. For information about the methodologies adopted for the fair value measurement of derivatives, see financial statements, Note 18. Fair Values of Financial Instruments.
95
The following tables summarize notional amounts and fair values for the FHLBNY’s derivative exposures as represented by derivatives in fair value gain positions (in thousands):
Table 7.1 Derivatives Counterparty Credit Ratings
March 31, 2022 | ||||||||||||||||||
Net Derivatives | Cash Collateral | Non-Cash Collateral | Net Credit | |||||||||||||||
Fair Value | Pledged To (From) | Balance Sheet Net | Pledged To (From) | Exposure to | ||||||||||||||
Credit Rating |
| Notional Amount |
| Before Collateral |
| Counterparties (a) |
| Credit Exposure |
| Counterparties (b) |
| Counterparties | ||||||
Non-member counterparties | ||||||||||||||||||
Asset positions with credit exposure | ||||||||||||||||||
Uncleared derivatives | ||||||||||||||||||
Single A asset (c) | $ | 699,000 | $ | 2,197 | $ | (2,160) | $ | 37 | $ | — | $ | 37 | ||||||
Cleared derivatives assets (d) |
| 1,130,533 |
| 2,894 |
| — |
| 2,894 |
| 33,146 |
| 36,040 | ||||||
| 1,829,533 |
| 5,091 |
| (2,160) |
| 2,931 |
| 33,146 |
| 36,077 | |||||||
Liability positions with credit exposure |
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Uncleared derivatives |
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Single A liability (c) |
| 17,832,809 |
| (550,832) |
| 693,160 |
| 142,328 |
| (107,228) |
| 35,100 | ||||||
Triple B liability (c) |
| 6,303,000 |
| (217,840) |
| 224,200 |
| 6,360 |
| — |
| 6,360 | ||||||
Cleared derivatives liability (d) |
| 91,636,989 |
| (39,032) |
| 219,208 |
| 180,176 |
| 332,332 |
| 512,508 | ||||||
| 115,772,798 |
| (807,704) |
| 1,136,568 |
| 328,864 |
| 225,104 |
| 553,968 | |||||||
Total derivative positions with non-member counterparties to which the Bank had credit exposure |
| 117,602,331 |
| (802,613) |
| 1,134,408 |
| 331,795 |
| 258,250 |
| 590,045 | ||||||
Member institutions |
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Derivative positions with member counterparties to which the Bank had credit exposure |
| 33,000 |
| 479 |
| — |
| 479 |
| (479) |
| — | ||||||
Delivery commitments |
|
|
|
|
|
|
|
|
|
|
| |||||||
Derivative position with delivery commitments |
| 8,469 |
| — |
| — |
| — |
| — |
| — | ||||||
Total derivative position with members |
| 41,469 |
| 479 |
| — |
| 479 |
| (479) |
| — | ||||||
Total | $ | 117,643,800 | $ | (802,134) | $ | 1,134,408 | $ | 332,274 | $ | 257,771 | $ | 590,045 | ||||||
Derivative positions without credit exposure |
| 9,031,345 |
|
|
|
|
|
|
|
|
|
| ||||||
Total notional | $ | 126,675,145 |
|
|
|
|
|
|
|
|
|
|
96
December 31, 2021 | ||||||||||||||||||
Net Derivatives | ||||||||||||||||||
Fair Value | Cash Collateral | Non-Cash Collateral | Net Credit | |||||||||||||||
Before | Pledged To (From) | Balance Sheet Net | Pledged To (From) | Exposure to | ||||||||||||||
Credit Rating |
| Notional Amount |
| Collateral |
| Counterparties (a) |
| Credit Exposure |
| Counterparties (b) |
| Counterparties | ||||||
Non-member counterparties | ||||||||||||||||||
Asset positions with credit exposure | ||||||||||||||||||
Uncleared derivatives | ||||||||||||||||||
Single A asset (c) | $ | 4,182,000 | $ | 50,094 | $ | 73,000 | $ | 123,094 | $ | (112,659) | $ | 10,435 | ||||||
Cleared derivatives assets (d) |
| 4,191,067 |
| 743 |
| — |
| 743 |
| 33,859 |
| 34,602 | ||||||
| 8,373,067 |
| 50,837 |
| 73,000 |
| 123,837 |
| (78,800) |
| 45,037 | |||||||
Liability positions with credit exposure |
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Uncleared derivatives |
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Single A liability (c) |
| 699,000 |
| (6,478) |
| 6,540 |
| 62 |
| — |
| 62 | ||||||
Triple B liability (c) | 3,203,000 | (167,564) | 168,000 | 436 | — | 436 | ||||||||||||
Cleared derivatives liability (d) |
| 62,389,522 |
| (3,951) |
| 173,946 |
| 169,995 |
| 333,251 |
| 503,246 | ||||||
| 66,291,522 |
| (177,993) |
| 348,486 |
| 170,493 |
| 333,251 |
| 503,744 | |||||||
Total derivative positions with non-member counterparties to which the Bank had credit exposure |
| 74,664,589 |
| (127,156) |
| 421,486 |
| 294,330 |
| 254,451 |
| 548,781 | ||||||
Member institutions |
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Derivative positions with member counterparties to which the Bank had credit exposure |
| 79,000 |
| 3,165 |
| — |
| 3,165 |
| (3,165) |
| — | ||||||
Delivery commitments |
|
|
|
|
|
|
|
|
|
|
| |||||||
Derivative position with delivery commitments |
| 8,573 |
| 9 |
| — |
| 9 |
| (9) |
| — | ||||||
Total derivative position with members |
| 87,573 |
| 3,174 |
| — |
| 3,174 |
| (3,174) |
| — | ||||||
Total | $ | 74,752,162 | $ | (123,982) | $ | 421,486 | $ | 297,504 | $ | 251,277 | $ | 548,781 | ||||||
Derivative positions without credit exposure |
| 20,247,014 |
|
|
|
|
|
|
|
|
|
| ||||||
Total notional | $ | 94,999,176 |
|
|
|
|
|
|
|
|
|
|
(a) | When collateral is posted to counterparties in excess of fair value liabilities that are due to counterparties, the excess collateral is classified as a component of derivative assets, as the excess represents a receivable and an exposure for the FHLBNY. |
(b) | Non-cash collateral securities. Non-cash collateral was not deducted from net derivative assets on the balance sheet as control over the securities was not transferred. |
(c) | NRSRO Ratings. |
(d) | On cleared derivatives, we are required to pledge initial margin (considered as collateral) to Derivative Clearing Organizations (DCOs) in cash or securities. We had pledged $365.5 million and $367.1 million, in marketable securities as collateral at March 31, 2022 and December 31, 2021. At March 31, 2022 and December 31, 2021, we had pledged $219.2 million and $173.9 million in cash as collateral. |
Liquidity, Cash Flows, Short-Term Borrowings and Short-Term Debt
Our primary source of liquidity is the issuance of Consolidated obligation bonds and discount notes. To refinance maturing Consolidated obligations, we rely on the willingness of our investors to purchase new issuances. We have access to the discount note market, and the efficiency of issuing discount notes is an important source of liquidity, since discount notes can be issued any time and in a variety of amounts and maturities. Member deposits and capital stock purchased by members are also sources of funds. Short-term unsecured borrowings from other FHLBanks and in the federal funds market, as well as secured borrowings in the repo market provide additional sources of liquidity. In addition, the Secretary of the Treasury is authorized to purchase up to $4.0 billion of Consolidated obligations from the FHLBanks. Our liquidity position remains in compliance with all regulatory requirements and management does not foresee any changes to that position.
97
Finance Agency Regulations — Liquidity
Regulatory requirements are specified in Parts 1239, 1270 and 1277 of the Finance Agency regulations and Advisory Bulletin 2018-07. Each FHLBank shall at all times have at least an amount of liquidity equal to the current deposits received from its members that may be invested in: (1) Obligations of the United States; (2) Deposits in banks or trust companies; and (3) Advances with a remaining maturity not to exceed five years that are made to members in conformity with part 1266. We are required to hold positive cash flow assuming no access to capital markets and assuming renewal of all maturing advances for a period of between ten to thirty calendar days and to maintain liquidity limits to reduce the risks associated with a mismatch in asset and liability maturities, including an undue reliance on short-term debt funding.
In addition, the Bank provides for Contingency Liquidity, which is defined as the sources of cash the Bank may use to meet its operational requirements when its access to the capital markets is impeded. We met our Contingency Liquidity requirements during all periods in this report. Liquidity in excess of requirements is summarized in the table titled Contingency Liquidity. Advisory Bulletin 2018-07 concerning liquidity was by policy fully implemented on December 31, 2019.
Liquidity Management
We actively manage our liquidity position to maintain stable, reliable, and cost-effective sources of funds while taking into account market conditions, member demand and the maturity profile of our assets and liabilities. We recognize that managing liquidity is critical to achieving our statutory mission of providing low-cost ready liquidity to our members. In managing liquidity risk, we are required to maintain certain liquidity measures in accordance with the FHLBank Act, an Advisory Bulletin and policies developed by management and approved by our Board of Directors. The applicable liquidity requirements are described in the next four sections.
Deposit Liquidity. We are required to invest an aggregate amount at least equal to the amount of current deposits received from members in: (1) Obligations of the United States; (2) Deposits in banks or trust companies; or (3) Advances with a remaining maturity not to exceed five years that are made to members in conformity with 12 CFR part 1266. In addition to accepting deposits from our members, we may accept deposits from other FHLBanks or from any other governmental instrumentality. We met these requirements at all times. Quarterly average reserves and actual reserves are summarized below (in millions):
Table 8.1 Deposit Liquidity
| Average Deposit |
| Average Actual |
| |||||
For the Quarters Ended | Reserve Required | Deposit Liquidity | Excess | ||||||
March 31, 2022 | $ | 1,199 | $ | 60,522 | $ | 59,323 | |||
December 31, 2021 |
| 1,301 |
| 58,192 |
| 56,891 |
Operational Liquidity. We must be able to fund our activities as our balance sheet changes from day-to-day. We maintain the capacity to fund balance sheet growth through regular money market and capital market funding and investment activities. We monitor our operational liquidity needs by regularly comparing our demonstrated funding capacity with potential balance sheet growth. We take such actions as may be necessary to maintain adequate sources of funding for such growth. Operational liquidity is measured daily. We met these requirements at all times.
The following table summarizes excess operational liquidity (in millions):
Table 8.2 Operational Liquidity
| Average Balance Sheet |
| Average Actual |
| |||||
For the Quarters Ended | Liquidity Requirement | Operational Liquidity | Excess | ||||||
March 31, 2022 | $ | 2,944 | $ | 27,048 | $ | 24,104 | |||
December 31, 2021 |
| 4,174 |
| 23,534 |
| 19,360 |
98
Contingency Liquidity. The Bank holds “contingency liquidity” in an amount sufficient to meet our liquidity needs if we are unable to access the Consolidated obligation debt markets for at least five business days. Contingency liquidity includes (1) marketable assets with a maturity of one year or less; (2) self-liquidating assets with a maturity of one year or less; (3) assets that are generally acceptable as collateral in the repurchase market; and (4) irrevocable lines of credit from financial institutions receiving not less than the second-highest credit rating from a NRSRO. We consistently exceed the minimum requirements for contingency liquidity. Contingency liquidity is measured daily. We met these requirements at all times.
The following table summarizes excess contingency liquidity (in millions):
Table 8.3 Contingency Liquidity
| Average Five Day |
| Average Actual |
| |||||
For the Quarters Ended |
| Requirement | Contingency Liquidity | Excess | |||||
March 31, 2022 | $ | 1,881 | $ | 24,382 | $ | 22,501 | |||
December 31, 2021 |
| 1,115 |
| 21,023 |
| 19,908 |
The Liquidity standards in our risk management policy address our day-to-day operational and contingency liquidity needs. These standards enumerate the specific types of investments to be held to satisfy such liquidity needs and are outlined above. These standards also establish the methodology to be used in determining our operational and contingency needs. We continually monitor and project our cash needs, daily debt issuance capacity, and the amount and value of investments available for use in the market for repurchase agreements. We use this information to determine our liquidity needs and to develop appropriate liquidity plans.
The Finance Agency’s Liquidity Advisory Bulletin 2018-07 requires the Bank to maintain between 10 and 30 business days of positive cash flow assuming all advances renew. The Advisory Bulletin also requires us to hold liquidity in a specified range of the notional of our outstanding standby financial letters of credit and provides guidance on maintaining appropriate funding gaps for three-month and one-year maturity horizons. The FHFA has periodically issued updated guidance in supervisory letters. We remain in compliance with the Advisory Bulletin and all Liquidity regulations.
Other Liquidity Contingencies. As discussed more fully under the section Debt Financing Activity and Consolidated Obligations, we are primarily liable for Consolidated obligations issued on our behalf. We are also jointly and severally liable with the other FHLBanks for the payment of principal and interest on the Consolidated obligations of all the FHLBanks. If the principal or interest on any Consolidated obligation issued on our behalf is not paid in full when due, we may not pay dividends, redeem or repurchase shares of stock of any member or non-member stockholder until the Finance Agency approves our Consolidated obligation payment plan or other remedy and until we pay all the interest or principal currently due on all our Consolidated obligations. The Finance Agency, at its discretion, may require any FHLBank to make principal or interest payments due on any Consolidated obligations.
Finance Agency regulations also state that the FHLBanks must maintain, free from any lien or pledge, the following types of assets in an amount at least equal to the amount of Consolidated obligations outstanding: Cash; Obligations of, or fully guaranteed by, the United States; Secured advances; Mortgages that have any guaranty, insurance, or commitment from the United States or any agency of the United States; and investments described in section 16(a) of the FHLBank Act, including securities that a fiduciary or trust fund may purchase under the laws of the state in which the FHLBank is located.
Cash flows
Cash and due from Banks was $20.2 million at March 31, 2022 and $2.3 billion at March 31, 2021. Cash and cash equivalents exclude short-term interest-bearing deposits, federal funds sold, and securities purchased under agreements to resell. The following discussion highlights the major activities and transactions that affected our cash flows.
Cash flows provided by/(used in) operating activities — Operating assets and liabilities support our lending activities to members, and can vary significantly in the normal course of business due to the amount and timing of cash flows, which are affected by member-driven borrowing, our investment strategies, and market conditions. Management believes cash flows from operations, available cash balances and our ability to generate cash through the issuance of Consolidated obligation bonds and discount notes are sufficient to fund our operating liquidity needs.
99
Operating activities resulted in $898.3 million in net cash inflows in the three months ended March 31, 2022, compared to inflows of $409.2 million in the same period in the prior year. Period changes in cash flows provided by or used in operating activities were largely driven by: (a) Net income was $57.0 million in the three months ended March 31, 2022 and $72.2 million in the same period in the prior year; (b) Derivatives and hedging activities provided $667.8 million in cash flows in the three months ended March 31, 2022, compared to $231.1 million in cash flows in the same period in the prior year. (c) Positive adjustments to operating cash flows of $163.3 million to recognize unrealized valuation losses on U.S. Treasury securities at March 31, 2022, compared to $34.8 million in the same period in the prior year.
Cash flows provided by/(used in) investing activities — Investing activities resulted in $5.3 billion in net cash outflows in the three months ended March 31, 2022, compared to $6.5 billion in net cash inflows in the same period in the prior year. In the three months ended March 31, 2022, we acquired $2.7 billion of Treasury securities compared to $0.7 billion in the same period of the prior year. Repayments from Treasury securities were $0.3 billion in the three months ended March 31, 2022 compared to $2.8 billion in the same period in the prior year. Net cash inflows from Securities purchased under agreements to resell were $0.4 billion in the three months ended March 31, 2022 compared to $4.7 billion in the same period in the prior year.
Cash flows provided by/(used in) financing activities — Our primary source of funding is the issuance of Consolidated obligation debt. Issuance of capital stock is another source. Financing activities reported net cash inflows of $4.4 billion in the three months ended March 31, 2022 compared to net outflows of $6.5 billion in the same period in the prior year.
For more information, see Statements of Cash Flows in the financial statements.
Short-term Borrowings and Short-term Debt
Our primary source of funds is the issuance of FHLBank debt. Consolidated obligation discount notes are issued with maturities up to one year and provide us with short-term funds. Discount notes are principally used in funding short-term advances, some long-term advances, as well as money market instruments. We also issue short-term Consolidated obligation bonds as part of our asset-liability management strategy. We may also borrow from another FHLBank, generally for a period of one day. Such borrowings have been historically insignificant.
Off-Balance Sheet Arrangements, Guarantees, and Other Commitments — In accordance with regulations governing the operations of the FHLBanks, each FHLBank, including the FHLBNY, is jointly and severally liable for the FHLBank System’s Consolidated obligations issued under sections 11(a) and 11(c) of the FHLBank Act. The joint and several liability regulations authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on Consolidated obligations for which another FHLBank is the primary obligor.
In addition, in the ordinary course of business, the FHLBNY engages in financial transactions that, in accordance with U.S. GAAP, are not recorded on the FHLBNY’s balance sheet or may be recorded on the FHLBNY’s balance sheet in amounts that are different from the full contract or notional amount of the transactions. For example, the Bank routinely enters into commitments to purchase mortgage loans from PFIs, and issues standby letters of credit.
These commitments may represent future cash requirements of the Bank, although the standby letters of credit usually expire without being drawn upon. For more information about contractual obligations and commitments, see financial statements, Note 19. Commitments and Contingencies.
Results of Operations
The following section provides a comparative discussion of the FHLBNY’s results of operations for the three months ended March 31, 2022 and March 31, 2021. For a discussion of the critical accounting estimates used by the FHLBNY that affect the results of operations, see financial statements, Note 1. Critical Accounting Policies and Estimates in the Bank’s most recent Form 10-K filed on March 22, 2022.
100
Net Income
Interest income from advances is the principal source of revenue. Other sources of revenue are interest income from investment debt securities, liquidity trading securities, mortgage loans in the MPF portfolio, securities purchased under agreements to resell and federal funds sold. Fair value gains and losses on liquidity trading securities and equity investments also impact Net income. The primary expense is interest paid on Consolidated obligation debt. Other expenses are Compensation and benefits, Operating expenses, our share of operating expenses of the Office of Finance and the FHFA, and affordable housing program assessments on Net income. Other significant factors affecting our Net income include the volume and timing of investments in mortgage-backed securities, prepayments of advances, charges due to debt repurchased, gains and losses from derivatives and hedging activities, and earnings from investing our shareholders’ capital.
Summarized below are the principal components of Net income (in thousands):
Table 9.1 Principal Components of Net Income
Three months ended March 31, | ||||||
| 2022 |
| 2021 | |||
Total interest income | $ | 222,410 | $ | 282,275 | ||
Total interest expense |
| 100,320 |
| 123,737 | ||
Net interest income before provision for credit losses |
| 122,090 |
| 158,538 | ||
Provision (Reversal) for credit losses |
| (78) |
| (1,285) | ||
Net interest income after provision for credit losses |
| 122,168 |
| 159,823 | ||
Total other income (loss) |
| (12,755) |
| (32,618) | ||
Total other expenses |
| 46,022 |
| 46,969 | ||
Income before assessments |
| 63,391 |
| 80,236 | ||
Affordable Housing Program Assessments |
| 6,351 |
| 8,027 | ||
Net income | $ | 57,040 | $ | 72,209 |
Net Income — 2022 First Quarter Compared to 2021 First Quarter
Net income — For the FHLBNY, Net income is Net interest income, minus Provision (Reversal) for credit losses, plus Other income (loss), less Other expenses and Assessments set aside for the FHLBNY’s Affordable Housing Program.
Net income for the 2022 first quarter was $57.0 million, a decrease of $15.2 million, or 21.0% compared to the same period in the prior year. Summarized below are the primary components of our Net income:
Net interest income — The 2022 first quarter Net interest income was $122.1 million, a decrease of $36.4 million, or 23.0% compared to the same period in the prior year. Net interest spread was 42 basis points in the 2022 first quarter compared to 45 basis points in the same period in the prior year. For more information, see Table 9.2 Net Interest Income and accompanying discussions in this MD&A.
Other income (loss) — Other income (loss) reported a loss of $12.8 million in 2022 first quarter compared to a loss of $32.6 million in the same period in the prior year.
● | Service fees and other were $4.5 million in the 2022 first quarter compared to $4.1 million in the same period in the prior year. Service fees and other are primarily fee revenues from financial letters of credit. |
● | Financial instruments carried at fair values reported net valuation gain of $80.6 million in the 2022 first quarter compared to net gain of $61.6 thousand in the same period in the prior year. For more information, see financial statements, Fair Value Option Disclosures in Note 18. Fair Values of Financial Instruments. Also see Table 9.8 Other Income (Loss) and accompanying discussions in this MD&A. |
101
● | Derivative activities reported net gains of $69.0 million in Other income in the 2022 first quarter compared to net losses of $4.3 million in the same period in the prior year. For more information, see Table 9.10 Other Income (Loss) — Impact of Derivative Gains and Losses and accompanying discussions in this MD&A. |
● | U.S. Treasury Securities held for liquidity (classified as trading) reported net losses of $163.3 million in the 2022 first quarter compared to net losses of $34.8 million in the same period in the prior year. |
● | Equity Investments, held to finance payments to retirees in non-qualified pension plans, reported net losses of $5.8 million in the 2022 first quarter compared to net gains of $2.3 million in the same period in the prior year. |
● | Litigation Settlement — The Bank received a $2.2 million net settlement related to investments in LIBOR-based financial instruments. |
Other expenses were $46.0 million in the 2022 first quarter compared to $47.0 million in the same period in the prior year. Other expenses are primarily Operating expenses, Compensation and benefits, and our share of expenses of the Office of Finance and the Federal Housing Finance Agency.
● | Operating expenses were $14.5 million in the 2022 first quarter, up from $14.2 million in the same period in the prior year. |
● | Compensation and benefits expenses were $23.3 million in the 2022 first quarter compared to $24.3 million in the same period in the prior year. |
● | The expenses allocated for our share of the costs to operate the Office of Finance and the Federal Housing Finance Agency were $5.7 million in the 2022 first quarter compared to $5.6 million in the same period in the prior year. |
● | Other expenses were $2.4 million in the 2022 first quarter compared to $2.8 million in the same period in the prior year. |
Affordable Housing Program Assessments (AHP) allocated from Net income were $6.4 million in the 2022 first quarter compared to $8.0 million in the same period in the prior year. Assessments are calculated as a percentage of Net income, and changes in allocations were in tandem with changes in Net income.
Net Interest Income, Interest Rate Margins and Interest Rate Spreads
Net interest income is our principal source of Net income. It represents the difference between income on interest-earning assets and expense on interest-bearing liabilities.
Changes in Net interest income are typically driven by changes in the volume of earning assets, as measured by average balances of earning assets, and the impact of market interest rates on earnings assets and funding costs. Interest income and expense accruals on interest rate swaps that qualified under the ASC 815 hedge accounting rules may impact year-over-year changes. Shareholders’ capital stock and retained earnings are also factors that impact net interest income as they provide interest free funding. Earnings on capital typically move directly with changes in short-term market interest rates. In a period when members prepay advances, the prepayment fees, which we receive may cause fluctuations in net interest income. For more information about factors that impact Interest income and Interest expense, see Table 9.3 Net Interest Adjustments from Hedge Qualifying Interest Rate Swaps and discussions thereto. Also, see Table 9.4 Spread and Yield Analysis, and Table 9.5 Rate and Volume Analysis.
102
The following table summarizes Net interest income (dollars in thousands):
Table 9.2 Net Interest Income
Three months ended March 31, |
| ||||||||
Percentage |
| ||||||||
| 2022 |
| 2021 |
| Change |
| |||
Total interest income (a) | $ | 222,410 | $ | 282,275 | (21.21) | % | |||
Total interest expense (a) |
| 100,320 |
| 123,737 |
| (18.92) | |||
Net interest income before provision for credit losses | $ | 122,090 | $ | 158,538 |
| (22.99) | % |
(a) | Total Interest Income and Total Interest Expense — See Tables 9.6 and 9.7 and accompanying discussions |
In the 2022 first quarter, net interest income, before loan loss provisions, was $122.1 million, a decline of $36.4 million, or 23.0% from first quarter of 2021. Primary driver was a decrease in the average balances of interest earning assets, principally advances. Additionally, $1.0 million of prepayment fees from Advances and Mortgage-backed securities were recorded in Net interest income in 2022 first quarter compared to $7.4 million in 2021 first quarter. Financial markets during the quarter started to exhibit rising levels of interest rates, but continued high levels of liquidity, impacting our interest revenues and opportunities for acquiring investments during the quarter.
In the 2022 first quarter, margins between yields on assets, specifically overnight, short-term, and floating-rate investments and short-term and floating-rate advances, and the corresponding yields paid on funding those assets were lower than 2021 first quarter. Net interest margin, a measure of margin efficiency, which is calculated as Net interest income divided by average earning assets, was 45 basis points in the first quarter of 2022, compared to 47 basis points in the prior year same period. Net interest spread in the first quarter of 2022 was 42 basis points, representing the yield from earning assets minus interest paid on costing liabilities, compared to 45 basis points in the prior year same period.
Stockholders’ capital, which is typically deployed to fund short-term interest-earning assets, decreased to $6.4 billion in the first quarter of 2022, down from $7.2 billion in the same period in the prior year (as measured by average outstanding balance in the period). Decrease in Capital stock was in line with decrease in advances in the first quarter of 2022 as borrowing members are required to purchase capital stock in proportion to amounts borrowed.
Swap interest settlement on swaps designated in ASC 815 hedging of assets and liabilities recorded net expense of $55.0 million in the first quarter of 2022, compared to $95.0 million in the first quarter of 2021. Interest settlements are impacted by the net differential between fixed-rates associated with hedging swaps and the benchmark variable-rates associated with the swap’s floating-leg. Net interest settlements on swaps hedging assets and liabilities under ASC 815 fluctuated as expected in line with changes in the benchmark rates; the hedging transactions achieved our interest rate risk management objectives. The impact of hedge ineffectiveness compared to last year was immaterial.
103
Impact of Qualifying Hedges on Net Interest Income
The following table summarizes the impact of net interest adjustments from hedge qualifying interest-rate swaps (in thousands):
Table 9.3 Net Interest Adjustments from Hedge Qualifying Interest Rate Swaps
Three months ended March 31, | ||||||
| 2022 |
| 2021 | |||
Interest income | $ | 317,340 |
| $ | 392,024 | |
Fair value hedging effects |
| 3,168 |
| 1,994 | ||
Amortization of basis |
| (36) |
| 52 | ||
Interest rate swap accruals |
| (98,062) |
| (111,795) | ||
Reported interest income |
| 222,410 |
| 282,275 | ||
Interest expense |
| 149,841 |
| 144,581 | ||
Fair value hedging effects |
| (4,264) |
| (2,657) | ||
Amortization of basis |
| (2,187) |
| (1,381) | ||
Interest rate swap accruals |
| (43,070) |
| (16,806) | ||
Reported interest expense |
| 100,320 |
| 123,737 | ||
Net interest income | $ | 122,090 | $ | 158,538 | ||
Net interest adjustment - interest rate swaps | $ | (45,409) | $ | (88,905) |
104
Spread and Yield Analysis — 2022 First Quarter Compared to 2021 First Quarter
Table 9.4 Spread and Yield Analysis
Three months ended March 31, |
| ||||||||||||||||
2022 | 2021 |
| |||||||||||||||
Interest | Interest |
| |||||||||||||||
Average | Income/ | Average | Income/ |
| |||||||||||||
(Dollars in thousands) |
| Balance |
| Expense |
| Rate (a) |
| Balance |
| Expense |
| Rate (a) |
| ||||
Earning Assets: |
|
|
|
|
|
| |||||||||||
Advances | $ | 71,635,722 | $ | 112,754 |
| 0.64 | % | $ | 90,458,272 | $ | 139,828 |
| 0.63 | % | |||
Interest bearing deposits and others | 1,611,485 |
| 488 |
| 0.12 |
| 1,500,859 |
| 333 |
| 0.09 | ||||||
Federal funds sold and other overnight funds | 12,095,044 |
| 3,704 |
| 0.12 |
| 13,938,233 |
| 2,776 |
| 0.08 | ||||||
Investments |
|
|
|
|
|
|
|
| |||||||||
Trading securities | 6,692,087 |
| 15,334 |
| 0.93 |
| 11,004,750 |
| 40,630 |
| 1.50 | ||||||
Mortgage-backed securities |
|
|
|
|
|
|
|
| |||||||||
Fixed | 11,906,129 |
| 67,126 |
| 2.29 |
| 10,776,178 |
| 71,599 |
| 2.69 | ||||||
Floating | 2,770,518 |
| 4,310 |
| 0.63 |
| 4,029,421 |
| 6,057 |
| 0.61 | ||||||
State and local housing finance agency obligations | 1,183,137 |
| 2,322 |
| 0.80 |
| 1,097,489 |
| 1,912 |
| 0.71 | ||||||
Mortgage loans held-for-portfolio | 2,274,675 |
| 16,371 |
| 2.92 |
| 2,806,486 |
| 19,140 |
| 2.77 | ||||||
Loans to other FHLBanks | 2,778 |
| 1 |
| 0.15 |
| — |
| — |
| NM | ||||||
Total interest-earning assets | $ | 110,171,575 | $ | 222,410 |
| 0.82 | % | $ | 135,611,688 | $ | 282,275 |
| 0.84 | % | |||
Funded By: |
|
|
|
|
|
|
|
|
|
|
| ||||||
Consolidated obligation bonds |
|
|
|
|
|
|
|
|
|
|
| ||||||
Fixed | $ | 49,954,202 | $ | 79,557 |
| 0.65 | % | $ | 56,006,451 | $ | 89,297 |
| 0.65 | % | |||
Floating | 6,495,067 |
| 2,536 |
| 0.16 |
| 12,594,285 |
| 4,669 |
| 0.15 | ||||||
Consolidated obligation discount notes | 45,323,296 |
| 17,927 |
| 0.16 |
| 57,621,475 |
| 29,612 |
| 0.21 | ||||||
Interest-bearing deposits and other borrowings | 1,164,204 |
| 174 |
| 0.06 |
| 1,605,517 |
| 125 |
| 0.03 | ||||||
Mandatorily redeemable capital stock | 11,788 |
| 126 |
| 4.37 |
| 2,818 |
| 34 |
| 4.89 | ||||||
Total interest-bearing liabilities | 102,948,557 |
| 100,320 |
| 0.40 | % |
| 127,830,546 |
| 123,737 |
| 0.39 | % | ||||
Other non-interest-bearing funds | 797,785 |
| — |
| 575,442 |
| — |
|
| ||||||||
Capital | 6,425,233 |
| — |
| 7,205,700 |
| — |
|
| ||||||||
Total Funding | $ | 110,171,575 | $ | 100,320 | $ | 135,611,688 | $ | 123,737 |
|
| |||||||
Net Interest Income/Spread | $ | 122,090 | 0.42 | % |
| $ | 158,538 |
| 0.45 | % | |||||||
Net Interest Margin |
|
|
|
|
|
|
|
|
|
| |||||||
(Net interest income/Earning Assets) |
| 0.45 | % |
|
|
|
|
| 0.47 | % |
105
(a) | Reported yields with respect to advances and Consolidated obligations may not necessarily equal the coupons on the instruments as derivatives are extensively used to change the yield and optionality characteristics of the underlying hedged items. When we issue fixed-rate debt that is hedged with an interest rate swap, the hedge effectively converts the debt into a simple floating-rate bond. Similarly, we make fixed-rate advances to members and hedge the advances with a pay-fixed and receive-variable interest rate swap that effectively converts the fixed-rate asset to one that floats with the designated benchmark rate (LIBOR, Federal Funds-OIS or SOFR-OIS) in the hedging relationship. Average balance sheet information is presented, as it is more representative of activity throughout the periods presented. For most components of the average balances, a daily weighted average balance is calculated for the period. When daily weighted average balance information is not available, a simple monthly average balance is calculated. Average yields are derived by dividing income by the average balances of the related assets, and average costs are derived by dividing expenses by the average balances of the related liabilities. Yields and spreads are annualized. |
NM — Not meaningful.
Rate and Volume Analysis — 2022 First Quarter Compared to 2021 First Quarter
The Rate and Volume Analysis presents changes in interest income, interest expense and net interest income that are due to changes in both interest rates and the volume of interest-earning assets and interest-bearing liabilities, and their impact on interest income and interest expense (in thousands):
Table 9.5 Rate and Volume Analysis
For the three months ended | |||||||||
March 31, 2022 vs. March 31, 2021 | |||||||||
Increase (Decrease) | |||||||||
| Volume |
| Rate |
| Total | ||||
Interest Income |
|
|
| ||||||
Advances | $ | (29,584) | $ | 2,510 | $ | (27,074) | |||
Interest bearing deposits and others |
| 26 |
| 129 |
| 155 | |||
Federal funds sold and other overnight funds |
| (406) |
| 1,334 |
| 928 | |||
Investments |
|
|
| ||||||
Trading securities |
| (12,853) |
| (12,443) |
| (25,296) | |||
Mortgage-backed securities |
|
|
| ||||||
Fixed |
| 7,042 |
| (11,515) |
| (4,473) | |||
Floating |
| (1,952) |
| 205 |
| (1,747) | |||
State and local housing finance agency obligations |
| 156 |
| 254 |
| 410 | |||
Mortgage loans held-for-portfolio |
| (3,782) |
| 1,013 |
| (2,769) | |||
Loans to other FHLBanks |
| — |
| 1 |
| 1 | |||
Total interest income |
| (41,353) |
| (18,512) |
| (59,865) | |||
Interest Expense |
|
|
| ||||||
Consolidated obligation bonds |
|
|
| ||||||
Fixed |
| (9,638) |
| (102) |
| (9,740) | |||
Floating |
| (2,370) |
| 237 |
| (2,133) | |||
Consolidated obligation discount notes |
| (5,621) |
| (6,064) |
| (11,685) | |||
Deposits and borrowings |
| (42) |
| 91 |
| 49 | |||
Mandatorily redeemable capital stock |
| 96 |
| (4) |
| 92 | |||
Total interest expense |
| (17,575) |
| (5,842) |
| (23,417) | |||
Changes in Net Interest Income | $ | (23,778) | $ | (12,670) | $ | (36,448) |
106
Interest Income
Interest income from advances is our principal source of interest income. We also earn interest income from an asset mix of long-term assets, such as fixed-rate advances, long-term fixed- and floating-rate investments, long-term 15-year and 30-year mortgage loans, and revenues generated from portfolios of overnight and short-term assets and U.S. Treasury securities held for liquidity.
Reported interest income also includes prepayments fees, primarily fees recorded when advances are prepaid ahead of their contractual maturities.
The principal categories of Interest Income are summarized below (dollars in thousands):
Table 9.6 Interest Income — Principal Sources
Three months ended March 31, |
| ||||||||
Percentage |
| ||||||||
| 2022 |
| 2021 |
| Change |
| |||
Interest Income |
|
|
| ||||||
Advances | $ | 112,754 | $ | 139,828 |
| (19.36) | % | ||
Interest-bearing deposits |
| 488 |
| 333 |
| 46.55 | |||
Securities purchased under agreements to resell |
| 10 |
| 464 |
| (97.84) | |||
Federal funds sold |
| 3,694 |
| 2,312 |
| 59.78 | |||
Trading securities |
| 15,334 |
| 40,630 |
| (62.26) | |||
Mortgage-backed securities |
|
|
|
|
| ||||
Fixed |
| 67,126 |
| 71,599 |
| (6.25) | |||
Floating |
| 4,310 |
| 6,057 |
| (28.84) | |||
State and local housing finance agency obligations |
| 2,322 |
| 1,912 |
| 21.44 | |||
Mortgage loans held-for-portfolio |
| 16,371 |
| 19,140 |
| (14.47) | |||
Loans to other FHLBanks |
| 1 |
| — |
| NM | |||
Total interest income | $ | 222,410 | $ | 282,275 |
| (21.21) | % |
NM — Not meaningful.
Interest income for 2022 first quarter was $222.4 million, a decline of $59.9 million, or 21.2% compared to the same period in the prior year. To provide context, interest expense for 2022 first quarter declined by 18.9% compared to the same period in the prior year.
Interest revenues earned from lower balance sheet earning assets (primarily the decrease in volume of advance business) made an unfavorable revenue decrease of $41.4 million and yield (rate) related revenue decline of $18.5 million.
Aggregate yield earned on earning assets in 2022 first quarter was 82 basis points, compared to 84 basis points in 2021 first quarter.
The more significant revenue categories are discussed below. For information about the effects of changes in rates and business volume, see Table 9.4 Spread and Yield Analysis and Table 9.5 Rate and Volume analysis.
Advance — Interest income from advances declined by 19.4% in 2022 first quarter, compared to the same period in the prior year.
Advances average balances were $71.6 billion in 2022 first quarter, compared to $90.5 billion in 2021 first quarter.
As compared to 2021 first quarter, lower advances balances in 2022 first quarter resulted in an unfavorable impact of $29.6 million on interest income from advances, and lower market rates resulted in a favorable impact of $2.5 million, for a total decline of $27.1 million in advances interest income. Advances yielded 64 basis points in 2022 first quarter, increased from 63 basis points in 2021 first quarter. Prepayment fee recorded in Interest income from advances was $0.6 million in 2022 first quarter, down from $5.6 million in 2021 first quarter.
107
Liquidity Investments — Money Market Investments and U.S. Treasury Securities — We derive interest income from investing in highly-liquid portfolios of investments to meet liquidity regulatory requirements. Interest income from overnight invested funds, specifically federal funds sold and repurchase agreements increased mainly due to higher average rates in the first quarter of 2022 compared to the same period in 2021. Investments in federal funds and repurchase agreements yielded 12 basis points in aggregate in the first quarter of 2022, compared to 8 basis points in the same period in 2021. Interest income from fixed-rate U.S. Treasury securities was $15.3 million in the first quarter of 2022, down from $40.6 million in the same period in 2021 due to lower average invested balances; yields declined to 93 basis points, compared to 150 basis points in the first quarter of 2021. The lower yields on the fixed-rate securities reflected lower yields on new acquisitions. The liquidity trading portfolio is comprised primarily of medium-term, highly liquid fixed-rate U.S. Treasury securities that are available to enhance and meet our liquidity objectives. Securities are not acquired for speculative purpose.
The earnings impact due to changes in market values of the securities outstanding (unrealized gains and losses) and realized gains and losses on securities sold are recorded in Other income (below the margin) and are noted in Table 9.9 Net Gains (Losses) on Trading Securities Recorded in the Statements of Income, and discussions thereto. Fixed-rate treasury securities are hedged under economic hedges utilizing swap contracts to synthetically convert fixed cash flows to variable cash flows. The interest settlements on the swaps and changes in the fair values of the swap contracts are recorded in Other income (below the margin); our accounting policies require us to record in Other income the cash flows and fair values on hedging that do not qualify under ASC 815 hedging (economic hedges).
Mortgage-backed-securities
Interest income from floating-rate MBS declined by 28.8% period-over-period in line with declining balances. By policy, no floating-rate LIBOR-indexed MBS were acquired, a decision driven by our goal to reduce our holdings of LIBOR-indexed instruments. Until GSE-issued floating-rate SOFR-indexed MBS become widely traded, we will likely continue to see declining balances of variable-rate MBS.
Interest income from fixed-rate MBS decreased in the first quarter of 2022 compared to the same period in the prior year due to lower aggregate yield, which was 229 basis points in the first quarter of 2022, down from 269 basis points in the same period in the prior year. The Federal Reserve purchases of Fannie and Freddie securities have driven down yields, so that target acquisitions would not always meet our risk/reward targets. Average outstanding balance was $11.9 billion in the first quarter of 2022, compared to $10.8 billion in the same period in the prior year.
In the first quarter of 2022, our acquisitions were primarily fixed-rate commercial-mortgage backed securities (CMBS). We utilized the swap market to synthetically create variable-rate cash flows indexed to SOFR and Federal funds applying ASC 815 fair value accounting hedge treatment. The impact to interest income from changes in the ASC 815 hedging recorded a net loss of $8.9 million in the first quarter of 2022, compared to a net loss of $3.3 million in the same period in the prior year.
Mortgage loans held-for-portfolio — Interest income from mortgage loans was $16.4 million for the three months ended March 31, 2022, compared to $19.1 million in the same period in the prior year. Investment volume has declined, with paydowns exceeding acquisitions. MPF loans are primarily 15 and 30-year conventional loans. The portfolio averaged $2.3 billion, yielding 292 basis points in the three months ended March 31, 2022, compared to 277 basis points in the same period last year. In the low interest rate environment, we are observing elevated levels of prepayments, causing accelerated amortization of premiums, specifically on 20-year and 30-year high-balance mortgage loans. Net amortization expense was $1.8 million in the three months ended March 31, 2022, compared to net amortization of $3.7 million in the same period in the prior year. The Bank’s portfolio is largely at a premium price and amortization is sensitive to changes in prepayment speeds particularly in a volatile interest rate environment. The Bank does not hedge mortgage loans in an ASC 815 hedge or an economic hedge.
As noted in the audited financial statements under Note 1. Critical Accounting Policies and Estimates, we implemented a new mortgage program, the Mortgage Asset Program (MAP) in late March 2021. At March 31, 2022, mortgage loans under MAP were $175.8 million (par amounts). Effective March 31, 2021, we ceased to accept mortgage commitments to purchase loans under the MPF program; the MAP became our alternative to MPF. The outstanding MPF portfolio will continue to be serviced, managed under its existing contractual agreements.
Interest Expense
108
Our primary source of funding is the issuance of Consolidated obligation bonds and discount notes to investors in the global debt markets issued through the Office of Finance, the FHLBank’s fiscal agent. Consolidated obligation bonds are generally medium- and long-term bonds, while Consolidated obligation discount notes are short-term instruments. To fund our assets, our management considers our interest rate risk and liquidity requirements in conjunction with consolidated obligation buyers’ preferences and capital market conditions when determining the characteristics of debt to be issued. Typically, we have used fixed-rate callable and non-callable CO bonds to fund mortgage-related assets and advances. CO discount notes are generally issued to fund advances and investments with shorter interest rate reset characteristics.
Changes in bond market rates, changes in intermediation volume (average interest-costing liabilities and interest-earning assets), the mix of debt issuances between CO bonds and CO discount notes, and the impact of hedging strategies are the primary factors that drive period-over-period changes in interest expense.
Derivative strategies are used to manage the interest rate risk inherent in fixed-rate debt. We execute our strategies by converting the fixed-rate funding to floating-rate debt using swap contracts indexed to a risk-free benchmark interest rate. Our adopted hedging benchmarks are SOFR-OIS, LIBOR and Federal Funds-OIS. We are transitioning away from LIBOR to SOFR-OIS benchmark in line with an industry-wide transition effort. For ASC 815 qualifying hedges of debt, swap interest settlements and fair value gains and losses are recorded in interest expense together with the interest expense accrued on the hedged CO debt.
The principal categories of Interest expense are summarized below (dollars in thousands):
Table 9.7 Interest Expenses — Principal Categories
Three months ended March 31, |
| ||||||||
Percentage |
| ||||||||
| 2022 |
| 2021 |
| Change |
| |||
Interest Expense |
|
|
| ||||||
Consolidated obligations bonds |
|
|
|
|
|
| |||
Fixed | $ | 79,557 | $ | 89,297 |
| (10.91) | % | ||
Floating |
| 2,536 |
| 4,669 |
| (45.68) | |||
Consolidated obligations discount notes |
| 17,927 |
| 29,612 |
| (39.46) | |||
Deposits |
| 172 |
| 106 |
| 62.26 | |||
Mandatorily redeemable capital stock |
| 126 |
| 34 |
| 270.59 | |||
Cash collateral held and other borrowings |
| 2 |
| 19 |
| (89.47) | |||
Total interest expense | $ | 100,320 | $ | 123,737 |
| (18.92) | % |
Interest expense in 2022 first quarter was $100.3 million, a decline of 18.9% from 2021 first quarter, comparatively, interest income in 2022 first quarter declined by 21.2% from 2021 first quarter.
The decline in interest expense was driven by lower average balances and market interest rates in 2022 first quarter as compared with 2021 first quarter, and also by lower average balances of Consolidated obligations outstanding.
Rate-related decline in funding expense was $5.8 million, due to volatility in rates in the bond markets; volume-related decline in funding expense was $17.6 million in 2022 first quarter compared to 2021 first quarter. Aggregate yield paid on total funding in 2022 first quarter was 40 basis points, compared to 39 basis points in the same period prior year.
Hedging strategies under ASC 815 have remained effective and are operating as designed, although in preparation for the market transition away from LIBOR, we have increased the use of SOFR-OIS as the alternative hedging benchmarks. For more information, see Table 9.3 Net Interest Adjustments from Hedge Qualifying Interest Rate Swaps.
Allowance for Credit Losses — 2022 First Quarter Compared to 2021 First Quarter
The FASB issued ASU 2016-13, Financial Instruments — Credit Losses (Topic 326) and became effective for the Bank as of January 1, 2020. In the 2022 first quarter, we recorded net reversal of $70.3 thousand compared to net reversal of $1.3 million in the same
109
period in the prior year against our mortgage loan portfolio. We also recorded de minimis amount of net reversal against our investment portfolio in the first quarter of 2022 and the same period in the prior year.
Analysis of Non-Interest Income (Loss) — 2022 First Quarter Compared to 2021 First Quarter
The principal components of Non-interest income (loss) are summarized below (in thousands):
Table 9.8 Other Income (Loss)
Three months ended March 31, | ||||||
| 2022 |
| 2021 | |||
Other income (loss): |
|
|
| |||
Service fees and other (a) | $ | 4,495 | $ | 4,132 | ||
Instruments held under the fair value option gains (losses) (b) |
| 80,646 |
| 62 | ||
Derivative gains (losses) (c) |
| 69,016 |
| (4,309) | ||
Trading securities gains (losses) (d) |
| (163,313) |
| (34,803) | ||
Equity investments gains (losses) (e) |
| (5,801) |
| 2,300 | ||
Litigation settlement |
| 2,202 |
| — | ||
Total other income (loss) | $ | (12,755) | $ | (32,618) |
(a) | Service fees and other, net — Service fees are from providing correspondent banking services to members, primarily fees earned on standby financial letters of credit. Letters of credit are generally issued on behalf of members to units of state and local governments to collateralize their deposits at member banks. Fee income earned on financial letters of credit was $4.3 million in the first quarter of the current year compared to $4.4 million in the same period in the prior year. Immaterial amounts of fees paid, and other expenses were included in reported revenues. |
(b) | FVO Instruments — Net fair value gains and losses represented changes in fair values of CO bonds and discount notes elected under the FVO. For more information, see Fair Value Option Disclosures in Note 18. Fair Values of Financial Instruments in this Form 10-Q. |
(c) | See Table 9.10 Other Income (Loss) — Impact of Derivative Gains and Losses. |
(d) | See Table 9.9 Net Gains (Losses) on Trading Securities Recorded in the Statements of Income. |
(e) | Fair value gains (losses) on Equity investments — The grantor trust invests in money market, equity and fixed income and bond funds, and funds are classified as equity investments. 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 trust. Gains and losses are typically unrealized, and primarily represent changes in portfolio valuations. The grantor trust is owned by the FHLBNY with the objective of providing liquidity to pay for pension benefits to retirees vested in retirement plans. |
The following table summarizes unrealized and realized gains (losses) in the trading portfolio (in thousands):
Table 9.9 Net Gains (Losses) on Trading Securities Recorded in the Statements of Income
Three months ended March 31, | ||||||
| 2022 |
| 2021 | |||
Net unrealized gains (losses) on trading securities held at period-end | $ | (163,313) | $ | (34,803) | ||
Net gains (losses) on trading securities | $ | (163,313) | $ | (34,803) |
We have invested in short- and medium-term fixed-rate U.S. Treasury securities. The securities are not held for speculative trading, rather held to satisfy liquidity requirements. Fluctuations in valuations are a factor of market demand and market yields of fixed-rate U.S. Treasury securities. Securities classified as trading are carried at fair values. Changes in unrealized fair values and realized gains (losses) are recorded in the Statements of Income as Other income. FHFA regulations prohibit trading in or the speculative use of financial instruments. Notional amounts of securities were higher in the current year period, $8.3 billion at March 31, 2022, compared to $5.9 billion at December 31, 2021.
Other income (loss) — Derivatives and Hedging Activities — 2022 First Quarter Compared to 2021 First Quarter
110
For derivatives that are not designated in hedge qualifying relationship (i.e. in an economic hedge), the derivatives are considered as a “standalone” instrument and fair value changes are recorded in Other income (loss), without the offset of valuation of a hedged item. Gains and losses recorded in Other income (loss) on standalone derivatives include net interest accruals.
The table presents fair value changes of derivatives in economic hedges (i.e. not in an ASC 815 qualifying hedge) in Other income (loss):
Table 9.10 Other Income (Loss) — Impact of Derivative Gains and Losses (in thousands)
Impact on Other Income (Loss) | ||||||
Three months ended March 31, | ||||||
| 2022 |
| 2021 | |||
Derivatives not designated as hedging instruments |
|
| ||||
Interest rate swaps (a) | $ | 150,759 | $ | 27,410 | ||
Caps or floors |
| 395 |
| 27 | ||
Mortgage delivery commitments |
| (452) |
| (413) | ||
Swaps economically hedging instruments designated under FVO (b) |
| (75,101) |
| (2,738) | ||
Accrued interest on derivatives in economic hedging relationships (c) |
| (6,578) |
| (28,610) | ||
Net gains (losses) related to derivatives not designated as hedging instruments | $ | 69,023 | $ | (4,324) | ||
Price alignment interest paid on variation margin |
| (7) |
| 15 | ||
Net gains (losses) on derivatives and hedging activities | $ | 69,016 | $ | (4,309) |
Derivative gains and losses in the table above include both realized and unrealized fair value net gains and losses. Also includes swap interest settlements on derivatives designated as standalone hedging instruments.
(a) | Represents fair value changes recorded in Other income, primarily interest rate swaps in economic hedges of U.S. Treasury fixed-rate securities recorded fair value gains of $154.9 million in the first quarter of 2022, compared to fair value gains of $33.3 million in the first quarter of 2021. The swaps are structured to mitigate the volatility of price changes of the liquidity portfolio of fixed-rate U.S. Treasury notes. |
(b) | Represents fair value changes recorded in Other income on interest rate swaps hedging CO debt elected under the FVO. |
(c) | Represents impact to Other income due to net interest settlements on standalone swap contracts. Net interest settlements are the interest accruals on swaps in economic hedges of U.S. Treasury securities, debt and advances, and economic hedges of instruments elected under the FVO. |
Operating Expenses, Compensation and Benefits, and Other Expenses — 2022 First Quarter Compared to 2021 First Quarter
The following table sets forth the major categories of operating expenses (dollars in thousands):
Table 9.11 Operating Expenses, and Compensation and Benefits
Three months ended March 31, |
| ||||||||||
Percentage of | Percentage |
| |||||||||
| 2022 |
| Total |
| 2021 |
| of Total | ||||
Operating Expenses (a) |
|
|
|
| |||||||
Occupancy | $ | 2,148 |
| 14.78 | % | $ | 2,202 |
| 15.46 | % | |
Depreciation and leasehold amortization |
| 4,172 |
| 28.71 |
| 3,034 |
| 21.29 | |||
All others (b) |
| 8,211 |
| 56.51 |
| 9,011 |
| 63.25 | |||
Total Operating Expenses | $ | 14,531 |
| 100.00 | % | $ | 14,247 |
| 100.00 | % | |
Total Compensation and Benefits | $ | 23,332 |
|
| $ | 24,327 |
|
| |||
Finance Agency and Office of Finance (c) | $ | 5,712 |
|
| $ | 5,620 |
|
| |||
Other expenses (d) | $ | 2,447 |
|
| $ | 2,775 |
|
|
(a) | Operating expenses included the administrative and overhead costs of operating the FHLBNY, as well as the operating costs of providing advances and managing collateral associated with the advances, managing the investment portfolios, and providing correspondent banking services to members. |
111
(b) | The category “All others” included temporary workers, computer service agreements, contractual services, professional and legal fees, audit fees, director fees and expenses, insurance, and telecommunications. |
(c) | We are also assessed for our share of the operating expenses for the Finance Agency and the Office of Finance. The FHLBanks and two other GSEs share the entire cost of the Finance Agency. Expenses are allocated by the Finance Agency and the Office of Finance. |
(d) | The category Other expenses included the non-service elements of Net periodic pension benefit costs, and derivative clearing fees. |
Assessments — 2022 First Quarter Compared to 2021 First Quarter
For more information about assessments, see Affordable Housing Program and Other Mission Related Programs and Assessments under Part I Item 1 Business in the most recent Form 10-K for the year ended December 31, 2021 filed on March 22, 2022.
The following table provides rollforward information with respect to changes in Affordable Housing Program liabilities (in thousands):
Table 10.1 Affordable Housing Program Liabilities
Three months ended March 31, | ||||||
| 2022 |
| 2021 | |||
Beginning balance | $ | 137,638 | $ | 148,827 | ||
Additions from current period’s assessments |
| 6,351 |
| 8,027 | ||
Net disbursements for grants and programs |
| (6,728) |
| (4,678) | ||
Ending balance | $ | 137,261 | $ | 152,176 |
AHP assessments allocated from net income totaled $6.4 million for the three months ended March 31, 2022, compared to $8.0 million for same period in the prior year. Assessments are calculated as a percentage of Net income, and the changes in allocations were in tandem with changes in Net income.
Legislative and Regulatory Developments
On March 21, 2022, the SEC issued a proposed rule on climate-related disclosures that would require the Bank to expand the breadth, specificity and rigor of climate-related disclosures in its periodic reports. More specifically, the proposed rule would require the Bank to disclose its:
● | Direct and certain indirect greenhouse gas emissions; |
● | Climate transition plan, climate-related targets and goals, and progress toward any such plan, targets or goals; |
● | Climate-related risks over various time horizons and their impacts on the Bank’s business; |
● | Climate-related financial statement metrics and related information, both qualitative and quantitative, in the notes to the Bank’s financial statements; and |
● | Corporate governance of climate-related risks and risk management processes. |
Compliance would be phased in, with the Bank becoming subject to certain disclosure requirements for its annual report for fiscal year 2024 and additional disclosure requirements for its annual report for fiscal year 2025.
We continue to review the proposed rule, but we believe that it may result in increased costs and complexity associated with the Bank’s SEC reporting. While the Bank is unable to quantify the anticipated costs at this time, the Bank believes that compliance would require operational enhancements impacting many aspects of the Bank’s business.
The Bank is unable to predict at this time whether the SEC will finalize the proposed rule, the extent to which any final rule will deviate from the proposed rule and the extent to which the Bank would be required to comply with any final rule.
112
Item 3. Quantitative and Qualitative Disclosures about Market Risk.
Market Risk Management. Market risk or interest rate risk (IRR) is the risk of change to market value or future earnings due to a change in the interest rate environment. IRR arises from the Banks operation due to maturity mismatches between interest rate sensitive cash-flows of assets and liabilities. As the maturity mismatch increases so does the level of IRR. The Bank has opted to retain a modest level of IRR which allows for the preservation of capital value while generating steady and predictable income. Accordingly, the balance sheet consists of predominantly short-term instruments and assets and liabilities synthetically swapped to floating-rate indices. A conservative and limited maturity gap profile of asset and liability positions protect our capital from changes in value arising from a volatile interest rate environment.
The desired risk profile is primarily affected by the use of interest rate exchange agreements (Swaps) which the Bank uses to match asset and liability index exposure. Historically the index concentration was 1- or 3-month LIBOR driven; however as the Bank strategizes to address LIBOR cessation, SOFR has become the dominant index utilized by the Bank. Index matching allows for a relatively steady income that changes in concert with prevailing interest rate changes to maintain a spread to short-term rates.
Although the Bank maintains a conservative IRR profile, income variability does arise from structural aspects in our portfolio. These include: embedded prepayment rights, basis risk on asset and liability positions, yield curve risk, liquidity and funding risks. These varied risks are controlled by monitoring IRR measures including re-pricing gaps, duration of equity (DOE), value at risk (VaR), net interest income (NII) at risk, key rate durations (KRD) and forecasted dividend rate sensitivities.
Risk Measurements. Our Risk Management Policy assigns comprehensive risk limits which we calculate on a regular basis. The below limits were established in 2021 based on an anticipated market condition for 2022. Management believes that the reported metrics below (except for income simulation) in the near term are limited because the model establishes a hard floor for the rate at near zero and the model therefore does not fully capture the resulting downward shocks in rates. The Bank is including these metrics as of March 31, 2022 for completeness and comparative purposes. The current risk limits are as follows:
● | The option-adjusted DOE is limited to a range of +4.0 years to -5.0 years in the rates unchanged case, and to a range of +/-5.0 years in the +/-200bps shock cases. |
● | The one-year cumulative re-pricing gap is limited to 10 percent of total assets. |
● | The sensitivity of expected net interest income over a one-year period is limited to a -17.5 percent change under the +200bps shock compared to the rates in the unchanged case. The sensitivity of expected net interest income over a one-year period is limited to a -30 percent change under the -50bps shock compared to the rates in the unchanged case. This metric measures the Bank’s sensitivity of earnings to changes in the level of rates along the yield curve and allows for negative rates. The model results will reflect the impact of net interest income compression when the Bank’s floating rate advances and related debt both decline towards zero. |
● | The potential decline in the market value of equity (MVE) is limited to a 10 percent change under the +/-200bps shocks. |
● | KRD exposure at any of nine term points (3-month, 1-year, 2-year, 3-year, 5-year, 7-year, 10-year, 15-year, and 30-year) is limited to between +/-20 months through the 3-year term point and a cumulative limit of +/-30 months from the 5-year through 30-year term points specific to the investment portfolio. Both of these quarterly observations are well within their limits. |
Our portfolio, including derivatives, is tracked and the overall mismatch net of derivatives between assets and liabilities is summarized by using a DOE measure. The base case DOE takes into account the current low rate level. Our last five quarterly DOE results are shown in years in the table below:
| Base Case DOE |
| -200bps DOE |
| -100bps DOE |
| +200bps DOE | |
March 31, 2022 | -0.62 | -0.38 | -1.31 | 0.52 | ||||
December 31, 2021 | -1.58 | 1.94 | -1.50 | 0.09 | ||||
September 30, 2021 |
| -1.33 |
| 1.84 |
| -0.70 |
| 0.34 |
June 30, 2021 |
| -1.69 |
| 1.36 |
| -0.91 |
| -0.22 |
March 31, 2021 |
| -0.72 |
| 0.10 |
| -0.57 |
| 0.06 |
The DOE has remained within policy limits. The -100/200bps scenarios impose a near zero rate condition and produced results that Bank management does not consider meaningful given the current low-rate market environment.
113
Duration indicates any cumulative re-pricing/maturity imbalance in the portfolio’s financial assets and liabilities. Duration of Equity (DOE) is the Market Value of Equity’s (MVE) sensitivity to a change in the level of interest rates expressed in years. MVE is calculated as market value of assets minus market value of liabilities. A positive DOE indicates a decrease to MVE if interest rates go higher, a negative DOE indicates a decrease to MVE if interest rates go lower. We measure DOE using software that generates a full revaluation incorporating optionality within our portfolio using well-known and tested financial pricing theoretical models. The DOE calculation also incorporates non-interest-bearing financial assets and liabilities.
We do not solely rely on the DOE measure as a mismatch measure between assets and liabilities. We analyze open key rate duration exposure across maturity buckets while also performing a more traditional gap measure that subtracts re-pricing/maturing liabilities from re-pricing/maturing assets over time. We observe the differences over various horizons, and have set a 10 percent limit on asset on cumulative re-pricings at the one-year point. This quarterly observation of the one-year cumulative re-pricing gap is provided in the table below and all values are below 10 percent of assets, well within the limit:
One Year | |||
| Re-pricing Gap | ||
March 31, 2022 | $ | 4.858 Billion | |
December 31, 2021 | $ | 4.563 Billion | |
September 30, 2021 | $ | 4.812 Billion | |
June 30, 2021 | $ | 5.128 Billion | |
March 31, 2021 | $ | 5.572 Billion |
Our review of potential interest rate risk issues also includes the effect of changes in interest rates on expected net income. We project asset and liability volumes and spreads over a one-year horizon and then simulate expected income and expenses from those volumes and other inputs. The effects of changes in interest rates are generated to measure the Bank’s net interest income sensitivity over the coming 12-month period. To measure the effect, a parallel shift of +200bps is calculated and compared against the forward rate scenario and subjected to a -17.5 percent limit. The sensitivity of expected net interest income over a one-year period is limited to a -30 percent change under the -50bps shock compared to the rates in the forward rate scenario. The Bank does not conduct a -100bps rate shock given existing low rate levels as it produces a hypothetical scenario with limited application. Prior to 2021, there had been a near zero floor assumption provided in the table below:
| Sensitivity in |
| Sensitivity in |
| Sensitivity in |
| |
the -200bps | the -100bps | the +200bps |
| ||||
Shock | Shock | Shock |
| ||||
March 31, 2022 | N/A | N/A | -6.39 | % | |||
December 31, 2021 | N/A | N/A | 10.07 | % | |||
September 30, 2021 |
| N/A |
| N/A | 5.39 | % | |
June 30, 2021 |
| N/A |
| N/A | 14.80 | % | |
March 31, 2021 |
| N/A |
| N/A | 7.32 | % |
114
Aside from net interest income, the other significant impact on changes in the interest rate environment is the potential impact on the value of the portfolio. These calculated and quoted market values are estimated based upon their financial attributes (including optionality) and then re-estimated under the assumption that interest rates suddenly rise or fall by 200bps. The worst effect, whether it is the up or the down shock, is compared to the internal limit of 10 percent. Management believes that the reported metrics below in the near term are less meaningful because the model establishes a hard floor for the rate at near zero, and the model therefore does not fully capture the resulting downward shocks in rates. The Bank is including these metrics as of March 31, 2022 for completeness and comparative purposes. The quarterly potential maximum decline in the MVE under these 200bps shocks is provided below:
| -200bps Change |
| -100bps Change |
| +200bps Change |
| |
in MVE | in MVE | in MVE |
| ||||
March 31, 2022 | -1.48 | % | -0.84 | % | 0.03 | % | |
December 31, 2021 | 1.48 | % | -1.49 | % | 1.19 | % | |
September 30, 2021 | 0.34 | % | -1.04 | % | 0.75 | % | |
June 30, 2021 |
| 0.15 | % | -0.99 | % | 1.88 | % |
March 31, 2021 |
| -1.57 | % | -0.85 | % | 0.79 | % |
As noted, the potential declines under these shocks are within our limits of a maximum 10 percent.
115
The following tables display the portfolio’s maturity/re-pricing gaps (in millions):
Interest Rate Sensitivity | |||||||||||||||
March 31, 2022 | |||||||||||||||
More Than | More Than | More Than | |||||||||||||
Six Months | Six Months to | One Year to | Three Years to | More Than | |||||||||||
| or Less |
| One Year |
| Three Years |
| Five Years |
| Five Years | ||||||
Interest-earning assets: |
|
|
|
|
| ||||||||||
Non-MBS investments | $ | 12,242 | $ | 111 | $ | 441 | $ | 352 | $ | 1,184 | |||||
MBS investments |
| 3,201 |
| 661 |
| 1,521 |
| 2,192 |
| 7,506 | |||||
Swaps hedging MBS |
| 3,461 |
| — |
| — |
| (50) |
| (3,411) | |||||
Adjustable-rate loans and advances |
| 5,623 |
| — |
| — |
| — |
| — | |||||
Net investments, adjustable rate loans and advances |
| 24,527 |
| 772 |
| 1,962 |
| 2,494 |
| 5,279 | |||||
Liquidity trading portfolio |
| 1,375 |
| 3,240 |
| 1,248 |
| 493 |
| 1,944 | |||||
Swaps hedging investments |
| 6,946 |
| (3,225) |
| (1,250) |
| (500) |
| (1,971) | |||||
Net liquidity trading portfolio |
| 8,321 |
| 15 |
| (2) |
| (7) |
| (27) | |||||
Fixed-rate loans and advances |
| 30,154 |
| 5,516 |
| 14,648 |
| 5,642 |
| 9,673 | |||||
Swaps hedging fixed-rate advances |
| 33,433 |
| (4,845) |
| (13,510) |
| (5,420) |
| (9,658) | |||||
Net fixed-rate loans and advances |
| 63,587 |
| 671 |
| 1,138 |
| 222 |
| 15 | |||||
Total interest-earning assets | $ | 96,435 | $ | 1,458 | $ | 3,098 | $ | 2,709 | $ | 5,267 | |||||
Interest-bearing liabilities: |
|
|
|
|
|
|
|
|
|
| |||||
Deposits | $ | 1,158 | $ | — | $ | — | $ | — | $ | — | |||||
Discount notes |
| 39,958 |
| 3,241 |
| — |
| — |
| — | |||||
Swaps hedging discount notes |
| 1,601 |
| (3,209) |
| 165 |
| 576 | 867 | ||||||
Net discount notes |
| 41,559 |
| 32 |
| 165 |
| 576 |
| 867 | |||||
Consolidated Obligation Bonds |
|
|
|
|
|
|
|
|
|
| |||||
FHLBank bonds |
| 16,377 |
| 6,028 |
| 14,478 |
| 15,337 |
| 6,136 | |||||
Swaps hedging bonds |
| 32,154 |
| (4,273) |
| (11,666) |
| (13,513) |
| (2,702) | |||||
Net FHLBank bonds |
| 48,531 |
| 1,755 |
| 2,812 |
| 1,824 |
| 3,434 | |||||
Total interest-bearing liabilities | $ | 91,248 | $ | 1,787 | $ | 2,977 | $ | 2,400 | $ | 4,301 | |||||
Post hedge gaps (a): |
|
|
|
|
|
|
|
|
|
| |||||
Periodic gap | $ | 5,187 | $ | (329) | $ | 121 | $ | 309 | $ | 966 | |||||
Cumulative gaps | $ | 5,187 | $ | 4,858 | $ | 4,979 | $ | 5,288 | $ | 6,254 |
116
Interest Rate Sensitivity | |||||||||||||||
December 31, 2021 | |||||||||||||||
More Than | More Than | More Than | |||||||||||||
Six Months | Six Months to | One Year to | Three Years to | More Than | |||||||||||
| or Less |
| One Year |
| Three Years |
| Five Years |
| Five Years | ||||||
Interest-earning assets: |
|
|
|
|
| ||||||||||
Non-MBS investments | $ | 10,525 | $ | 192 | $ | 518 | $ | 351 | $ | 1,042 | |||||
MBS investments |
| 3,283 |
| 602 |
| 1,609 |
| 2,107 |
| 6,977 | |||||
Swaps hedging MBS |
| 2,859 |
| — |
| — |
| (50) |
| (2,809) | |||||
Adjustable-rate loans and advances |
| 7,470 |
| — |
| — |
| — |
| — | |||||
Net investments, adjustable rate loans and advances |
| 24,137 |
| 794 |
| 2,127 |
| 2,408 |
| 5,210 | |||||
Liquidity trading portfolio |
| 1,154 |
| 1,358 |
| 1,499 |
| — |
| 1,824 | |||||
Swaps hedging investments |
| 4,696 |
| (1,350) |
| (1,500) |
| — |
| (1,846) | |||||
Net liquidity trading portfolio |
| 5,850 |
| 8 |
| (1) |
| — |
| (22) | |||||
Fixed-rate loans and advances |
| 30,222 |
| 3,126 |
| 13,850 |
| 6,001 |
| 10,546 | |||||
Swaps hedging fixed-rate advances |
| 31,323 |
| (2,732) |
| (12,333) |
| (5,733) |
| (10,525) | |||||
Net fixed-rate loans and advances |
| 61,545 |
| 394 |
| 1,517 |
| 268 |
| 21 | |||||
Total interest-earning assets | $ | 91,532 | $ | 1,196 | $ | 3,643 | $ | 2,676 | $ | 5,209 | |||||
Interest-bearing liabilities: |
|
|
|
|
|
|
|
|
|
| |||||
Deposits | $ | 1,283 | $ | — | $ | — | $ | — | $ | — | |||||
Discount notes |
| 39,887 |
| 2,310 |
| — |
| — |
| — | |||||
Swaps hedging discount notes |
| 702 |
| (2,310) |
| 90 |
| 550 |
| 968 | |||||
Net discount notes |
| 40,589 |
| — |
| 90 |
| 550 |
| 968 | |||||
Consolidated Obligation Bonds |
|
|
|
|
|
|
|
|
|
| |||||
FHLBank bonds |
| 16,390 |
| 5,115 |
| 12,364 |
| 13,978 |
| 6,926 | |||||
Swaps hedging bonds |
| 28,360 |
| (3,572) |
| (9,179) |
| (12,287) |
| (3,322) | |||||
Net FHLBank bonds |
| 44,750 |
| 1,543 |
| 3,185 |
| 1,691 |
| 3,604 | |||||
Total interest-bearing liabilities | $ | 86,622 | $ | 1,543 | $ | 3,275 | $ | 2,241 | $ | 4,572 | |||||
Post hedge gaps (a): |
|
|
|
|
|
|
|
|
|
| |||||
Periodic gap | $ | 4,910 | $ | (347) | $ | 368 | $ | 435 | $ | 637 | |||||
Cumulative gaps | $ | 4,910 | $ | 4,563 | $ | 4,931 | $ | 5,366 | $ | 6,003 |
(a) | Re-pricing gaps are estimated at the scheduled rate reset dates for floating rate instruments, and at maturity for fixed rate instruments. For callable instruments, the re-pricing period is estimated by the earlier of the estimated call date under the current interest rate environment or the instrument’s contractual maturity. |
117
Item 4. Controls and Procedures.
Disclosure Controls and Procedures
Evaluation of Disclosure Controls and Procedures: An evaluation of the Bank’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “Act”)) was carried out under the supervision and with the participation of the Bank’s President and Chief Executive Officer, José R. González, and Senior Vice President and Chief Financial Officer, Kevin M. Neylan, as of March 31, 2022. Based on this evaluation, they concluded that as of March 31, 2022, the Bank’s disclosure controls and procedures were effective, at a reasonable level of assurance, in ensuring that the information required to be disclosed by the Bank in the reports it files or submits under the Act is (i) accumulated and communicated to the Bank’s management (including the President and Chief Executive Officer and Senior Vice President and Chief Financial Officer) in a timely manner, and (ii) recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
Changes in Internal Control Over Financial Reporting
Changes in Internal Control Over Financial Reporting: There were no changes in the Bank’s internal control over financial reporting (as defined in Rules 13a-15(f) and 15d-15(f) under the Act) during the Bank’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting.
118
PART II. OTHER INFORMATION.
Item 1. Legal Proceedings
The Bank is not aware of any legal proceedings that are expected to have a material effect on its financial condition or results of operations or that are otherwise material to the Bank.
Item 1A. Risk Factors
There have been no material changes from the risk factors previously disclosed in Part I, Item 1A of the FHLBNY’s Annual Report on Form 10-K for the fiscal year ended December 31, 2021.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
Not applicable.
Item 3. Defaults upon Senior Securities
None.
Item 4. Mine Safety Disclosures
Not applicable.
Item 5. Other Information
None.
119
Item 6. Exhibits
No. |
| Exhibit Description |
| Filed with |
| Form* |
| Date Filed |
3.01 |
| Restated Organization Certificate of the Federal Home Loan Bank of New York (“Bank”) |
|
|
| 8-K |
| 12/1/2005 |
3.02 |
|
|
|
| 8-K |
| 3/21/2019 | |
4.01 |
|
|
|
| 8-K/A |
| 2/10/2021 | |
10.01 | 8-K | 3/30/2022 | ||||||
31.01 |
|
| X |
|
|
|
| |
31.02 |
|
| X |
|
|
|
| |
32.01 |
|
| X |
|
|
|
| |
32.02 |
|
| X |
|
|
|
| |
101.INS |
| Inline XBRL Instance Document – The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document. |
| X |
|
|
|
|
101.SCH |
| Inline XBRL Taxonomy Extension Schema Document |
| X |
|
|
|
|
101.CAL |
| Inline XBRL Taxonomy Extension Calculation Linkbase Document |
| X |
|
|
|
|
101.DEF | Inline XBRL Taxonomy Extension Definition Linkbase Document | X | ||||||
101.LAB |
| Inline XBRL Taxonomy Extension Label Linkbase Document |
| X |
|
|
|
|
101.PRE |
| Inline XBRL Taxonomy Extension Presentation Linkbase Document |
| X |
|
|
|
|
104 |
| Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101) |
| X |
|
|
|
|
Notes:
* Means that this exhibit is incorporated by reference from the named Form; the filing date of such named Form is listed in the next column.
(a) | This exhibit includes a management contract, compensatory plan or arrangement required to be noted herein. |
120
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
| Federal Home Loan Bank of New York |
| (Registrant) |
|
|
| /s/ Kevin M. Neylan |
| Kevin M. Neylan |
| Senior Vice President and Chief Financial Officer |
| Federal Home Loan Bank of New York (on behalf of the Registrant and as the Principal Financial Officer) |
|
|
Date: May 12, 2022 |
|
121