FEDERAL RESERVE BANK of NEW YORK

FEDERAL RESERVE BANK of NEW YORK
2015 ANNUAL REPORT
of $3,288 million and $3,155 million, respectively, of which $1,059 million and $1,016 million, respectively, were
allocated to the Bank. There were no sales of foreign government debt instruments in 2015.
In connection with its foreign currency activities, the Bank may enter into transactions that are subject to varying
degrees of off-balance-sheet market risk and counterparty credit risk that result from their future settlement. The
Bank controls these risks by obtaining credit approvals, establishing transaction limits, receiving collateral in some
cases, and performing monitoring procedures.
Foreign currency working balances held and foreign exchange contracts executed by the Bank to facilitate
international payments and currency transactions made on behalf of foreign central banks and U.S. official
institution customers were not material as of December 31, 2015 and 2014.
c. Central Bank Liquidity Swaps
U.S. Dollar Liquidity Swaps
The Bank’s allocated share of U.S. dollar liquidity swaps was 32.226 percent and 32.156 percent at December 31,
2015 and 2014, respectively.
The total foreign currency held under U.S. dollar liquidity swaps in the SOMA at December 31, 2015 and 2014, was
$997 million and $1,528 million, respectively, of which $321 million and $491 million, respectively, was allocated
to the Bank.
The remaining maturity distribution of U.S. dollar liquidity swaps that were allocated to the Bank at December 31
was as follows (in millions):
2015 2014
Within 15
days
Within 15
days
Euro $ 298 $ -
Japanese yen 23 491
Total $ 321 $ 491
Foreign Currency Liquidity Swaps
At December 31, 2015 and 2014, there was no balance outstanding related to foreign currency liquidity swaps.
d. Fair Value of SOMA Assets and Liabilities
The fair value amounts below are presented solely for informational purposes and are not intended to comply with
the fair value disclosures required by ASC 820. Although the fair value of SOMA security holdings can be
substantially greater than or less than the recorded value at any point in time, these unrealized gains or losses have
no effect on the ability of the Reserve Banks, as the central bank, to meet their financial obligations and
responsibilities. Because SOMA securities are recorded at amortized cost, cumulative unrealized gains (losses) are
not recognized in the Consolidated Statements of Condition and the changes in cumulative unrealized gains (losses)
are not recognized in the Consolidated Statements of Income and Comprehensive Income.
The fair value of the Treasury securities, GSE debt securities, federal agency and GSE MBS, and foreign
government debt instruments held in the SOMA is subject to market risk, arising from movements in market
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
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