Table of Contents

​

​

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

​

FORM 10-Q

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

​

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

​

For the quarterly period ended June 30, 20202021

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: 000-51397

​

FEDERAL HOME LOAN BANK OF NEW YORK

(Exact name of registrant as specified in its charter)

​

Federally chartered corporation

13-6400946

(State or other jurisdiction of

​

(I.R.S. Employer

incorporation or organization)

​

Identification No.)

​

​

​

101 Park Avenue, New York N.Y., New York

​

10178

(Address of principal executive offices)

​

(Zip Code)

​

(212) (212) 681-6000

(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

None

N/A

N/A

​

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

​

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). Yes x⌧ No ¨☐

​

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 ¨☐

Non-accelerated filer x⌧

​

Smaller reporting company ¨☐

​

​

Emerging growth company ¨☐

​

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

​

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

​

The number of shares outstanding of issuer’s Class B capital stock as of July 31, 20202021 was 62,922,241.47,712,368.

​

​

​

Table of Contents

FEDERAL HOME LOAN BANK OF NEW YORK

FORM 10-Q FOR THE QUARTERLY PERIOD ENDED JUNE 30, 20202021

​

Table of Contents

​

Page

PART I. FINANCIAL INFORMATION

​

​

Item 1. Financial Statements (Unaudited):

Statements of Condition (Unaudited) as of June 30, 20202021 and December 31, 20192020

3

Statements of Income (Unaudited) for the Three and Six Months Ended June 30, 20202021 and 20192020

4

Statements of Comprehensive Income (Unaudited) for the Three and Six Months Ended June 30, 20202021 and 20192020

5

Statements of Capital (Unaudited) for the Three and Six Months Ended June 30, 20202021 and 20192020

6

Statements of Cash Flows (Unaudited) for the Six Months Ended June 30, 20202021 and 20192020

7

Notes to Financial Statements (Unaudited)

9

​

​

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

61

63

​

​

Item 3. Quantitative and Qualitative Disclosures about Market Risk

120

118

​

​

Item 4. Controls and Procedures

125

123

​

​

PART II. OTHER INFORMATIONOther Information

126

124

​

​

Item 1. Legal Proceedings

126

124

​

​

Item 1A. Risk Factors

126

124

​

​

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

127

124

​

​

Item 3. Defaults Upon Senior Securities

127

124

​

​

Item 4. Mine Safety Disclosures

127

124

​

​

Item 5. Other Information

127

124

​

​

Item 6. Exhibits

128

125

​

​

Signatures

129

​

​

​

2

Table of Contents

Federal Home Loan Bank of New York

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

As of June 30, 20202021 and December 31, 2019 

  June 30, 2020  December 31, 2019 
Assets        
Cash and due from banks (Note 3) $44,308  $603,241 
Interest-bearing deposits (Note 3)  925,000   - 
Securities purchased under agreements to resell (Note 4)  4,950,000   14,985,000 
Federal funds sold (Note 4)  5,355,000   8,640,000 
Trading securities (Note 5) (Includes $635,775 pledged as collateral at June 30, 2020 and $251,177 at December 31, 2019)  12,923,831   15,318,809 
Equity Investments (Note 6)  63,852   60,047 
Available-for-sale securities, net of unrealized gains (losses) of $278,980 at June 30, 2020 and $97,868 at December 31, 2019 (Note 7)  2,874,107   2,653,418 
Held-to-maturity securities, net of allowance for credit losses of $1,058 at June 30, 2020 (Note 8) (Includes $3,233 pledged as collateral at June 30, 2020 and $3,719 at December 31, 2019)  14,348,334   15,234,482 
Advances (Note 9) (Includes $0 at June 30, 2020 and December 31, 2019 at fair value under the fair value option)  113,788,556   100,695,241 
Mortgage loans held-for-portfolio, net of allowance for credit losses of $6,534 at June 30, 2020 and $653 at December 31, 2019 (Note 10)  3,164,709   3,173,352 
Loans to other FHLBanks (Note 20)  -   - 
Accrued interest receivable  225,556   312,559 
Premises, software, and equipment  68,979   63,426 
Operating lease right-of-use assets (Note 19)  73,036   75,464 
Derivative assets (Note 17)  55,829   237,947 
Other assets  10,945   9,036 
         
Total assets $158,872,042  $162,062,022 
         
Liabilities and capital        
         
Liabilities        
Deposits (Note 11)        
Interest-bearing demand $1,497,431  $1,144,519 
Non-interest-bearing demand  59,926   34,890 
Term  33,000   15,000 
         
Total deposits  1,590,357   1,194,409 
         
Consolidated obligations, net (Note 12)        
Bonds (Includes $1,302,385 at June 30, 2020 and $12,134,043 at December 31, 2019 at fair value under the fair value option)  59,032,487   78,763,309 
Discount notes (Includes $20,159,341 at June 30, 2020 and $2,186,603 at December 31, 2019 at fair value under the fair value option)  89,499,893   73,959,205 
         
Total consolidated obligations  148,532,380   152,722,514 
         
Mandatorily redeemable capital stock (Note 14)  3,841   5,129 
         
Accrued interest payable  131,432   156,889 
Affordable Housing Program (Note 13)  159,464   153,894 
Derivative liabilities (Note 17)  70,726   32,411 
Other liabilities  158,795   175,516 
Operating lease liabilities (Note 19)  86,939   89,365 
Total liabilities  150,733,934   154,530,127 
         
Commitments and Contingencies (Notes 14, 17 and 19)        
         
Capital (Note 14)        
Capital stock ($100 par value), putable, issued and outstanding shares:        
63,342 at June 30, 2020 and 57,787 at December 31, 2019        
Retained earnings  6,334,135   5,778,666 
Unrestricted  1,150,181   1,115,236 
Restricted (Note 14)  734,325   685,798 
Total retained earnings  1,884,506   1,801,034 
Total accumulated other comprehensive income (loss)  (80,533)  (47,805)
         
Total capital  8,138,108   7,531,895 
         
Total liabilities and capital $158,872,042  $162,062,022 

The accompanying notes are an integral part of these financial statements.2020

​

3

Federal Home Loan Bank of New York
Statements of Income — (In Thousands, Except Per Share Data)
For the Three and Six Months Ended June 30, 2020 and 2019 

​

​

​

​

​

​

​

​

    

June 30, 2021

    

December 31, 2020

Assets

​

​

​

​

​

​

Cash and due from banks (Note 3)

​

$

52,565

​

$

1,896,155

Interest-bearing deposits (Note 4)

​

​

675,000

​

​

685,000

Securities purchased under agreements to resell (Note 4)

​

 

8,700,000

​

 

4,650,000

Federal funds sold (Note 4)

​

 

5,506,000

​

 

6,280,000

Trading securities (Note 5) (Includes $624,717 pledged as collateral at June 30, 2021 and $630,372 at December 31, 2020)

​

​

7,075,406

​

​

11,742,965

Equity Investments (Note 6)

​

​

91,401

​

​

80,369

Available-for-sale securities, net of unrealized gains (losses) of $215,315 at June 30, 2021 and $280,626 at December 31, 2020 (Note 7)

​

 

5,004,112

​

 

3,435,945

Held-to-maturity securities, net of allowance for credit losses of $357 at June 30, 2021 and $980 at December 31, 2020 (Note 8) (Includes $2,173 pledged as collateral at June 30, 2021 and $2,680 at December 31, 2020)

​

​

10,500,672

​

​

12,873,646

Advances (Note 9) (Includes $0 at June 30, 2021 and December 31, 2020 at fair value under the fair value option)

​

 

79,984,530

​

 

92,067,104

Mortgage loans held-for-portfolio, net of allowance for credit losses of $4,103 at June 30, 2021 and $7,073 at December 31, 2020 (Note 10)

​

 

2,525,967

​

 

2,899,712

Accrued interest receivable

​

​

145,257

​

​

189,454

Premises, software, and equipment

​

 

79,120

​

 

77,628

Operating lease right-of-use assets (Note 19)

​

​

68,200

​

​

70,733

Derivative assets (Note 17)

​

 

29,282

​

 

36,669

Other assets

​

 

11,144

​

 

11,003

Total assets

​

$

120,448,656

​

$

136,996,383

​

​

​

​

​

​

​

Liabilities and capital

​

​

​

​

​

​

​

​

​

​

​

​

​

Liabilities

​

​

​

​

​

​

Deposits (Note 11)

​

​

​

​

​

​

Interest-bearing demand

​

$

1,484,249

​

$

1,677,526

Non-interest-bearing demand

​

 

46,361

​

 

70,437

Term

​

 

—

​

 

5,000

Total deposits

​

 

1,530,610

​

 

1,752,963

​

​

​

​

​

​

​

Consolidated obligations, net (Note 12)

​

​

​

​

​

​

Bonds (Includes $13,347,759 at June 30, 2021 and $16,580,464 at December 31, 2020 at fair value under the fair value option)

​

 

69,312,550

​

 

69,716,298

Discount notes (Includes $1,249,963 at June 30, 2021 and $7,133,755 at December 31, 2020 at fair value under the fair value option)

​

 

42,173,073

​

 

57,658,838

Total consolidated obligations

​

 

111,485,623

​

 

127,375,136

​

​

​

​

​

​

​

Mandatorily redeemable capital stock (Note 14)

​

 

2,360

​

 

2,991

​

​

​

​

​

​

​

Accrued interest payable

​

 

133,209

​

 

117,982

Affordable Housing Program (Note 13)

​

 

152,523

​

 

148,827

Derivative liabilities (Note 17)

​

 

49,003

​

 

70,760

Other liabilities

​

 

193,028

​

 

186,550

Operating lease liabilities (Note 19)

​

​

81,773

​

​

84,475

Total liabilities

​

 

113,628,129

​

 

129,739,684

​

​

​

​

​

​

​

Commitments and Contingencies (Notes 14, 17 and 19)

​

​

​

​

​

​

​

​

​

​

​

​

​

Capital (Note 14)

​

​

​

​

​

​

Capital stock ($100 par value), putable, issued and outstanding shares: 48,673 at June 30, 2021 and 53,669 at December 31, 2020

​

 

4,867,291

​

 

5,366,830

Retained earnings

​

​

​

​

​

​

Unrestricted

​

 

1,119,935

​

 

1,135,341

Restricted (Note 14)

​

 

803,658

​

 

774,275

Total retained earnings

​

 

1,923,593

​

 

1,909,616

Total accumulated other comprehensive income (loss)

​

 

29,643

​

 

(19,747)

Total capital

​

 

6,820,527

​

 

7,256,699

Total liabilities and capital

​

$

120,448,656

​

$

136,996,383

  Three months ended
June 30,		  Six months ended
June 30,		 
  2020  2019  2020  2019 
Interest income                
Advances, net (Note 9) $326,230  $704,936  $790,795  $1,396,832 
Interest-bearing deposits  482   935   2,609   1,318 
Securities purchased under agreements to resell (Note 4)  350   52,320   26,700   82,242 
Federal funds sold (Note 4)  1,726   56,767   30,661   130,656 
Trading securities (Note 5)  50,884   46,929   125,881   87,802 
Available-for-sale securities (Note 7)  14,564   17,118   31,717   32,301 
Held-to-maturity securities (Note 8)  83,737   118,173   183,603   238,331 
Mortgage loans held-for-portfolio (Note 10)  24,332   25,274   50,358   50,454 
Loans to other FHLBanks (Note 20)  -   104   33   154 
                 
Total interest income  502,305   1,022,556   1,242,357   2,020,090 
                 
Interest expense                
Consolidated obligation bonds (Note 12)  176,926   495,987   533,483   994,582 
Consolidated obligation discount notes (Note 12)  95,477   356,705   322,810   672,021 
Deposits (Note 11)  146   5,976   3,374   11,941 
Mandatorily redeemable capital stock (Note 14)  56   108   135   208 
Cash collateral held and other borrowings  12   204   74   546 
               
Total interest expense  272,617   858,980   859,876   1,679,298 
                
Net interest income before provision for credit losses  229,688   163,576   382,481   340,792 
                
Provision (Reversal) for credit losses  3,030   (275)  3,166   (292)
                 
Net interest income after provision for credit losses  226,658   163,851   379,315   341,084 
                 
Other income (loss)                
Service fees and other  4,589   4,660   9,240   9,074 
Instruments held under the fair value option gains (losses) (Note 18)  10,564   (2,360)  (11,390)  (2,824)
Net amount of impairment losses reclassified to (from) Accumulated other comprehensive income (loss)  -   (384)  -   (384)
Derivative gains (losses) (Note 17)  (3,921)  (39,069)  (168,091)  (51,349)
Trading securities gains (losses) (Note 5)  (41,377)  33,924   155,875   50,994 
Equity investments gains (losses) (Note 6)  7,328   1,926   (722)  6,364 
                 
Total other income (loss)  (22,817)  (1,303)  (15,088)  11,875 
                 
Other expenses                
Operating  18,132   15,451   31,565   28,301 
Compensation and benefits  22,265   20,462   45,642   41,900 
Finance Agency and Office of Finance  4,593   4,199   9,044   8,141 
Other expenses  6,039   2,333   8,370   4,683 
Total other expenses  51,029   42,445   94,621   83,025 
                 
Income before assessments  152,812   120,103   269,606   269,934 
           -     
Affordable Housing Program Assessments (Note 13)  15,287   12,021   26,974   27,014 
                 
Net income $137,525  $108,082  $242,632  $242,920 
                 
                 
Basic earnings per share (Note 15) $2.02  $1.86  $3.82  $4.27 

​

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

​


3

Table of Contents

Federal Home Loan Bank of New York

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

For the Three and Six Months Ended June 30, 2021 and 2020

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended

​

Six months ended

​

​

June 30, 

​

June 30, 

​

    

2021

    

2020

    

2021

    

2020

Interest income

​

​

​

​

​

​

​

​

​

​

​

​

Advances, net (Note 9)

​

$

123,567

​

$

326,230

​

$

263,395

​

$

790,795

Interest-bearing deposits (Note 4)

​

 

264

​

 

482

​

 

597

​

 

2,609

Securities purchased under agreements to resell (Note 4)

​

 

12

​

 

350

​

 

476

​

 

26,700

Federal funds sold (Note 4)

​

 

1,852

​

 

1,726

​

 

4,164

​

 

30,661

Trading securities (Note 5)

​

​

27,748

​

​

50,884

​

​

68,378

​

​

125,881

Available-for-sale securities (Note 7)

​

 

16,987

​

 

14,564

​

 

32,165

​

 

31,717

Held-to-maturity securities (Note 8)

​

 

59,483

​

 

83,737

​

 

123,873

​

 

183,603

Mortgage loans held-for-portfolio (Note 10)

​

 

17,620

​

 

24,332

​

 

36,760

​

 

50,358

Loans to other FHLBanks (Note 20)

​

 

1

​

 

—

​

 

1

​

 

33

​

​

​

​

​

​

​

​

​

​

​

​

​

Total interest income

​

 

247,534

​

 

502,305

​

 

529,809

​

 

1,242,357

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest expense

​

​

​

​

​

​

​

​

​

​

​

​

Consolidated obligation bonds (Note 12)

​

 

88,869

​

 

176,926

​

 

182,835

​

 

533,483

Consolidated obligation discount notes (Note 12)

​

 

15,385

​

 

95,477

​

 

44,997

​

 

322,810

Deposits (Note 11)

​

 

69

​

 

146

​

 

175

​

 

3,374

Mandatorily redeemable capital stock (Note 14)

​

 

28

​

 

56

​

 

62

​

 

135

Cash collateral held and other borrowings

​

 

18

​

 

12

​

 

37

​

 

74

​

​

​

​

​

​

​

​

​

​

​

​

​

Total interest expense

​

 

104,369

​

 

272,617

​

 

228,106

​

 

859,876

​

​

​

​

​

​

​

​

​

​

​

​

​

Net interest income before provision for credit losses

​

 

143,165

​

 

229,688

​

 

301,703

​

 

382,481

​

​

​

​

​

​

​

​

​

​

​

​

​

Provision (Reversal) for credit losses

​

 

(1,672)

​

 

3,030

​

 

(2,957)

​

 

3,166

​

​

​

​

​

​

​

​

​

​

​

​

​

Net interest income after provision for credit losses

​

 

144,837

​

 

226,658

​

 

304,660

​

 

379,315

​

​

​

​

​

​

​

​

​

​

​

​

​

Other income (loss)

​

​

​

​

​

​

​

​

​

​

​

​

Service fees and other

​

 

4,427

​

 

4,589

​

 

8,559

​

 

9,240

Instruments held under the fair value option gains (losses) (Note 18)

​

 

3,871

​

 

10,564

​

 

3,933

​

 

(11,390)

Derivative gains (losses) (Note 17)

​

 

3,918

​

 

(3,921)

​

 

(391)

​

 

(168,091)

Trading securities gains (losses) (Note 5)

​

​

(26,380)

​

​

(41,377)

​

​

(61,183)

​

​

155,875

Equity investments gains (losses) (Note 6)

​

​

4,539

​

​

7,328

​

​

6,839

​

​

(722)

​

​

​

​

​

​

​

​

​

​

​

​

​

Total other income (loss)

​

 

(9,625)

​

 

(22,817)

​

 

(42,243)

​

 

(15,088)

​

​

​

​

​

​

​

​

​

​

​

​

​

Other expenses

​

​

​

​

​

​

​

​

​

​

​

​

Operating

​

 

18,171

​

 

18,132

​

 

32,418

​

 

31,565

Compensation and benefits

​

 

23,153

​

 

22,265

​

 

47,480

​

 

45,642

Finance Agency and Office of Finance

​

 

5,386

​

 

4,593

​

 

11,006

​

 

9,044

Other expenses

​

​

5,493

​

​

6,039

​

​

8,268

​

​

8,370

​

​

​

​

​

​

​

​

​

​

​

​

​

Total other expenses

​

 

52,203

​

 

51,029

​

 

99,172

​

 

94,621

​

​

​

​

​

​

​

​

​

​

​

​

​

Income before assessments

​

 

83,009

​

 

152,812

​

 

163,245

​

 

269,606

​

​

​

​

​

​

​

​

​

​

​

​

​

Affordable Housing Program Assessments (Note 13)

​

 

8,304

​

 

15,287

​

 

16,331

​

 

26,974

​

​

​

​

​

​

​

​

​

​

​

​

​

Net income

​

$

74,705

​

$

137,525

​

$

146,914

​

$

242,632

​

​

​

​

​

​

​

​

​

​

​

​

​

Basic earnings per share (Note 15)

​

$

1.44

​

$

2.02

​

$

2.80

​

$

3.82

​

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

​

4

Table of Contents

Federal Home Loan Bank of New York

Statements of Comprehensive Income — Unaudited (In Thousands)

For the Three and Six Months Ended June 30, 20202021 and 20192020

​

  Three months ended
June 30,		  Six months ended
June 30,		 
  2020  2019  2020  2019 
Net Income $137,525  $108,082  $242,632  $242,920 
Other Comprehensive income (loss)                
Net change in unrealized gains (losses) on available-for-sale securities  52,711   61,039   181,112   93,147 
Net change in non-credit accretion portion of held-to-maturity securities                
Reclassification of non-credit portion included in net income  -   384   -   384 
Accretion of non-credit portion  506   935   1,057   1,792 
Total net change in non-credit portion of other-than-temporary impairment losses on held-to-maturity securities  506   1,319   1,057   2,176 
Net change due to hedging activities                
Cash flow hedges (a)  (5,780)  (69,670)  (158,612)  (112,361)
Fair value hedges (b)  (3,853)  (11,469)  (58,838)  (13,362)
Total net change due to hedging activities  (9,633)  (81,139)  (217,450)  (125,723)
Net change in pension and postretirement benefits  1,277   654   2,553   1,310 
Total other comprehensive income (loss)  44,861   (18,127)  (32,728)  (29,090)
Total comprehensive income (loss) $182,386  $89,955  $209,904  $213,830 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended June 30, 

​

Six months ended June 30, 

​

    

2021

    

2020

    

2021

    

2020

Net Income

​

$

74,705

​

$

137,525

​

$

146,914

​

$

242,632

Other Comprehensive income (loss)

​

​

​

​

​

​

​

​

​

​

​

​

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

​

​

64,454

​

​

52,711

​

​

(65,311)

​

​

181,112

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

​

 

2,062

​

 

506

​

 

2,519

​

 

1,057

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

​

​

2,062

​

​

506

​

​

2,519

​

​

1,057

Net change due to hedging activities

​

​

​

​

​

​

​

​

​

​

​

​

Cash flow hedges (a)

​

​

(16,792)

​

​

(5,780)

​

​

66,069

​

​

(158,612)

Fair value hedges (b)

​

​

(34,583)

​

​

(3,853)

​

​

42,810

​

​

(58,838)

Total net change due to hedging activities

​

 

(51,375)

​

 

(9,633)

​

 

108,879

​

 

(217,450)

Net change in pension and postretirement benefits

​

 

1,651

​

 

1,277

​

 

3,303

​

 

2,553

Total other comprehensive income (loss)

​

 

16,792

​

 

44,861

​

 

49,390

​

 

(32,728)

Total comprehensive income (loss)

​

$

91,497

​

$

182,386

​

$

196,304

​

$

209,904

​

(a)

Represents changes in the fair values of derivatives in cash flow hedging programs, primarily from open contracts in the hedging of rolling issuance of CO discount notes, and any open contracts in cash flow hedges of anticipatory issuance of CO bonds. Also includes unamortized gains and losses related to closed cash flow hedges that will be amortized in future periods from AOCI to Interest expense. For more information, see table “Cash flow hedge gains and losses” in Note 17. Derivatives and Hedging Activities.

(b)

Represents cumulative hedge valuation basis adjustments on fair value hedges of AFS securities under the partial-term hedging provisions of ASU 2017-12. The amount represents theAmounts represent change in the unrealizedbenchmark rate of the hedged securities. Changes in the benchmark rate on ASC 815 qualifying fair value hedges are recorded through earnings with an offset to the carrying values of the hedged AFS securities. Changes in marked-to-market values of AFS securities are recorded to adjust the amortized cost of AFS securities with an offset in AOCI. In AOCI, the marked-to-market gains and losses are reported separately from ASC 815 valuation changes due to changes in the benchmark rate component elected in the hedging strategy. Quarterly changes in the benchmark rate will be recorded through AOCI with an offset to earnings until the hedged securities mature or are sold.rate.

​

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

​


5

Table of Contents

Federal Home Loan Bank of New York

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

For the Three and Six Months Ended June 30, 20202021 and 20192020

​

                 Accumulated    
  Capital Stock (a)           Other    
  Class B  Retained Earnings  Comprehensive  Total 
  Shares  Par Value  Unrestricted  Restricted  Total  Income (Loss)  Capital 
Balance, March 31, 2019  56,711  $5,671,075  $1,109,437  $618,248  $1,727,685  $(24,222) $7,374,538 
                             
Proceeds from issuance of capital stock  20,227   2,022,647   -   -   -   -   2,022,647 
Repurchase/redemption of capital stock  (18,486)  (1,848,538)  -   -   -   -   (1,848,538)
Shares reclassified to mandatorily
redeemable capital stock		    (40 )    (3,937 )    -      -      -      -      (3,937 )
Cash dividends ($1.57 per share) on
capital stock		   -      -      (87,515 )    -      (87,515 )   -      (87,515 )
Comprehensive income (loss)  -   -   86,465   21,617   108,082   (18,127)  89,955 
                             
Balance, June 30, 2019  58,412  $5,841,247  $1,108,387  $639,865  $1,748,252  $(42,349) $7,547,150 
                             
Balance, March 31, 2020  73,127  $7,312,703  $1,107,833  $706,820  $1,814,653  $(125,394) $9,001,962 
                             
Adjustments to opening balances (b)  -   -   18,204   -   18,204   -   18,204 
Proceeds from issuance of capital stock  7,122   712,159   -   -   -   -   712,159 
Repurchase/redemption of capital stock  (16,907)  (1,690,727)  -   -   -   -   (1,690,727)
Cash dividends ($1.47 per share) on
capital stock		    -      -      (85,876 )    -      (85,876 )   -      (85,876 )
Comprehensive income (loss)  -   -   110,020   27,505   137,525   44,861   182,386 
                             
Balance, June 30, 2020  63,342  $6,334,135  $1,150,181  $734,325  $1,884,506  $(80,533) $8,138,108 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Accumulated

​

​

​

​

​

Capital Stock (a)

​

​

​

​

​

​

​

​

​

​

Other

​

​

​

​

​

Class B

​

Retained Earnings

​

Comprehensive

​

Total

​

    

Shares

    

Par Value

    

Unrestricted

    

Restricted

    

Total

    

Income (Loss)

    

Capital

Balance, March 31, 2020

 

73,127

​

$

7,312,703

​

$

1,107,833

​

$

706,820

​

$

1,814,653

​

$

(125,394)

​

$

9,001,962

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Adjustments to opening balances (b)

​

—

​

​

—

​

​

18,204

​

​

—

​

​

18,204

​

​

—

​

​

18,204

Proceeds from issuance of capital stock

​

7,122

​

​

712,159

​

​

—

​

​

—

​

​

—

​

​

—

​

​

712,159

Repurchase/redemption of capital stock

 

(16,907)

​

 

(1,690,727)

​

 

—

​

​

—

​

​

—

​

​

—

​

 

(1,690,727)

Cash dividends ($1.47 per share) on capital stock

 

—

​

​

—

​

 

(85,876)

​

 

—

​

 

(85,876)

​

 

—

​

 

(85,876)

Comprehensive income (loss)

 

—

​

​

—

​

 

110,020

​

 

27,505

​

 

137,525

​

 

44,861

​

 

182,386

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Balance, June 30, 2020

 

63,342

​

$

6,334,135

​

$

1,150,181

​

$

734,325

​

$

1,884,506

​

$

(80,533)

​

$

8,138,108

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Balance, March 31, 2021

 

53,141

​

$

5,314,134

​

$

1,122,293

​

$

788,717

​

$

1,911,010

​

$

12,851

​

$

7,237,995

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Proceeds from issuance of capital stock

 

7,397

​

 

739,655

​

 

—

​

 

—

​

 

—

​

 

—

​

 

739,655

Repurchase/redemption of capital stock

​

(11,865)

​

​

(1,186,457)

​

​

—

​

​

—

​

​

—

​

​

—

​

​

(1,186,457)

Shares reclassified to mandatorily redeemable capital stock

​

—

​

​

(41)

​

​

—

​

​

—

​

​

—

​

​

—

​

​

(41)

Cash dividends ($1.17 per share) on capital stock

 

—

​

 

—

​

 

(62,122)

​

 

—

​

 

(62,122)

​

 

—

​

 

(62,122)

Comprehensive income (loss)

 

—

​

 

—

​

 

59,764

​

 

14,941

​

 

74,705

​

 

16,792

​

 

91,497

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Balance, June 30, 2021

 

48,673

​

$

4,867,291

​

$

1,119,935

​

$

803,658

​

$

1,923,593

​

$

29,643

​

$

6,820,527

​

                 Accumulated    
  Capital Stock (a)           Other    
  Class B  Retained Earnings  Comprehensive  Total 
  Shares  Par Value  Unrestricted  Restricted  Total  Income (Loss)  Capital 
Balance, December 31, 2018  60,658  $6,065,799  $1,102,801  $591,281  $1,694,082  $(13,259) $7,746,622 
                             
Proceeds from issuance of capital stock  36,722   3,672,176   -   -   -   -   3,672,176 
Repurchase/redemption of capital stock  (38,927)  (3,892,679)  -   -   -   -   (3,892,679)
Shares reclassified to mandatorily
redeemable capital stock		    (41 )    (4,049 )    -      -      -      -      (4,049 )
Cash dividends ($3.31 per share) on
capital stock		    -      -       (188,750 )    -      (188,750 )    -      (188,750 )
Comprehensive income (loss)  -   -   194,336   48,584   242,920   (29,090)  213,830 
                             
Balance, June 30, 2019  58,412  $5,841,247  $1,108,387  $639,865  $1,748,252  $(42,349) $7,547,150 
                             
Balance, December 31, 2019  57,787  $5,778,666  $1,115,236  $685,798  $1,801,034  $(47,805) $7,531,895 
                             
Adjustments to opening balances (b)  -   -   14,431   -   14,431   -   14,431 
Proceeds from issuance of capital stock  43,309   4,330,884   -   -   -   -   4,330,884 
Repurchase/redemption of capital stock  (37,754)  (3,775,415)  -   -   -   -   (3,775,415)
Cash dividends ($3.07 per share) on
capital stock		     -      -      (173,591 )    -      (173,591 )   -       (173,591 )
Comprehensive income (loss)  -   -   194,105   48,527   242,632   (32,728)  209,904 
                             
Balance, June 30, 2020  63,342  $6,334,135  $1,150,181  $734,325  $1,884,506  $(80,533) $8,138,108 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Accumulated

​

​

​

​

​

Capital Stock (a)

​

​

​

​

​

​

​

​

​

​

Other

​

​

​

​

​

Class B

​

Retained Earnings

​

Comprehensive

​

Total

​

    

Shares

    

Par Value

    

Unrestricted

    

Restricted

    

Total

    

Income (Loss)

    

Capital

Balance, December 31, 2019

 

57,787

​

$

5,778,666

​

$

1,115,236

​

$

685,798

​

$

1,801,034

​

$

(47,805)

​

$

7,531,895

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Adjustments to opening balances (b)

 

—

​

 

—

​

 

14,431

​

 

—

​

 

14,431

​

 

—

​

 

14,431

Proceeds from issuance of capital stock

 

43,309

​

 

4,330,884

​

 

—

​

 

—

​

 

—

​

 

—

​

 

4,330,884

Repurchase/redemption of capital stock

​

(37,754)

​

​

(3,775,415)

​

​

—

​

​

—

​

​

—

​

​

—

​

​

(3,775,415)

Cash dividends ($3.07 per share) on capital stock

 

—

​

 

—

​

 

(173,591)

​

 

—

​

 

(173,591)

​

 

—

​

 

(173,591)

Comprehensive income (loss)

 

—

​

 

—

​

 

194,105

​

 

48,527

​

 

242,632

​

 

(32,728)

​

 

209,904

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Balance, June 30, 2020

 

63,342

​

$

6,334,135

​

$

1,150,181

​

$

734,325

​

$

1,884,506

​

$

(80,533)

​

$

8,138,108

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Balance, December 31, 2020

 

53,669

​

$

5,366,830

​

$

1,135,341

​

$

774,275

​

$

1,909,616

​

$

(19,747)

​

$

7,256,699

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Proceeds from issuance of capital stock

​

14,103

​

​

1,410,333

​

​

—

​

​

—

​

​

—

​

​

—

​

​

1,410,333

Repurchase/redemption of capital stock

 

(19,098)

​

 

(1,909,787)

​

 

—

​

​

—

​

​

—

​

​

—

​

 

(1,909,787)

Shares reclassified to mandatorily redeemable capital stock

​

(1)

​

​

(85)

​

​

—

​

​

—

​

​

—

​

​

—

​

​

(85)

Cash dividends ($2.43 per share) on capital stock

 

—

​

​

—

​

 

(132,937)

​

 

—

​

 

(132,937)

​

 

—

​

 

(132,937)

Comprehensive income (loss)

 

—

​

​

—

​

 

117,531

​

 

29,383

​

 

146,914

​

 

49,390

​

 

196,304

Balance, June 30, 2021

 

48,673

​

$

4,867,291

​

$

1,119,935

​

$

803,658

​

$

1,923,593

​

$

29,643

​

$

6,820,527

​

(a)Putable stock. Cash dividends paid — Dividends per share and aggregate dividends were paid on a single class of shares of capital stock. For more information, see Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings.

(b)Adjustments include a charge to retained earnings of $3.8 million at the adoption of ASU 2016-13 on January 1, 2020; in June 2020, we recorded an increase to retained earnings of $18.2 million, which represented the FHLBNY’s share of cash distribution received when Financing Corporation (FICO), an entity established by Congress in 1987 was dissolved and surplus funds distributed to the 11 FHLBanks. For more information, see Distribution received from Financing Corporation in Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings.

​

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

​

​

6

Table of Contents

Federal Home Loan Bank of New York

Statements of Cash Flows — Unaudited (In Thousands)

For the Six Months Ended June 30, 20202021 and 20192020

​

  Six months ended June 30, 
  2020  2019 
Operating activities        
         
Net Income $242,632  $242,920 
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)  (258,125)  (48,960)
Concessions on consolidated obligations  2,192   1,266 
Premises, software, and equipment  5,277   4,113 
Provision (Reversal) for credit losses  3,166   (292)
Credit impairment losses on held-to-maturity securities  -   384 
Change in net fair value adjustments on derivatives and hedging activities (b)  (649,667)  (324,340)
Net realized and unrealized (gains) losses on trading securities  (155,875)  (50,994)
Change in fair value on Equity Investments  1,172   (5,877)
Change in fair value adjustments on financial instruments held at fair value  11,390   2,824 
Net change in:        
Accrued interest receivable  86,933   (86,362)
Derivative assets due to accrued interest  184,331   4,227 
Derivative liabilities due to accrued interest  (113,722)  35,316 
Other assets  (1,729)  (330)
Affordable Housing Program liability  5,570   2,544 
Accrued interest payable  (25,457)  (16,768)
Other liabilities (a)  (7,335)  1,644 
Total adjustments  (911,879)  (481,605)
Net cash provided by (used in) operating activities  (669,247)  (238,685)
Investing activities        
Net change in:        
Interest-bearing deposits  (1,519,009)  (205,237)
Securities purchased under agreements to resell  10,035,000   (5,190,000)
Federal funds sold  3,285,000   (1,600,000)
Deposits with other FHLBanks  (150)  (52)
Premises, software, and equipment  (10,830)  (9,391)
Trading securities:        
Purchased  (3,108,539)  (4,650,582)
Repayments  1,350,723   1,714,147 
Proceeds from sales  4,292,913   748,301 
Equity Investments:        
Purchased  (6,048)  (3,072)
Proceeds from sales  1,071   960 
Available-for-sale securities:        
Purchased  (74,156)  (438,539)
Repayments  31,534   42,830 
Held-to-maturity securities:        
Long-term securities        
Purchased  (246,116)  (1,072,620)
Repayments  1,124,103   1,482,781 
Advances:        
Principal collected  345,370,203   578,923,574 
Made  (356,975,684)  (575,518,705)
Mortgage loans held-for-portfolio:        
Principal collected  286,776   119,457 
Purchased  (288,479)  (180,255)
Proceeds from sales of REO  -   1,468 
Net change in loans to other FHLBanks  -   250,000 
Net cash provided by (used in) investing activities  3,548,312   (5,584,935)

​

​

​

​

​

​

​

​

​

Six months ended June 30, 

​

    

2021

    

2020

Operating activities

​

​

​

​

​

​

​

​

​

​

​

​

​

Net Income

​

$

146,914

​

$

242,632

​

​

​

​

​

​

​

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)

​

 

331

​

 

(258,125)

Concessions on consolidated obligations

​

 

1,601

​

 

2,192

Premises, software, and equipment

​

 

6,069

​

 

5,277

Provision (Reversal) for credit losses

​

​

(2,957)

​

​

3,166

Change in net fair value adjustments on derivatives and hedging activities (b)

​

 

281,500

​

 

(649,667)

Net realized and unrealized (gains) losses on trading securities

​

​

61,183

​

​

(155,875)

Change in fair value on Equity Investments

​

​

(5,366)

​

​

1,172

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

​

 

(3,933)

​

 

11,390

Net change in:

​

​

​

​

​

​

Accrued interest receivable

​

 

44,275

​

 

86,933

Derivative assets due to accrued interest

​

 

10,372

​

 

184,331

Derivative liabilities due to accrued interest

​

 

(59,990)

​

 

(113,722)

Other assets

​

 

(118)

​

 

(1,729)

Affordable Housing Program liability

​

 

3,696

​

 

5,570

Accrued interest payable

​

 

15,227

​

 

(25,457)

Other liabilities

​

 

8,375

​

 

(7,335)

Total adjustments

​

 

360,265

​

 

(911,879)

Net cash provided by (used in) operating activities

​

$

507,179

​

$

(669,247)

Investing activities

​

​

​

​

​

​

Net change in:

​

​

​

​

​

​

Interest-bearing deposits

​

$

177,260

​

$

(1,519,009)

Securities purchased under agreements to resell

​

 

(4,050,000)

​

 

10,035,000

Federal funds sold

​

 

774,000

​

 

3,285,000

Deposits with other FHLBanks

​

 

(50)

​

 

(150)

Premises, software, and equipment

​

 

(7,562)

​

 

(10,830)

Trading securities:

​

​

​

​

​

​

Purchased

​

​

(1,940,624)

​

​

(3,108,539)

Repayments

​

​

6,530,020

​

​

1,350,723

Proceeds from sales

​

​

—

​

​

4,292,913

Equity Investments:

​

​

​

​

​

​

Purchased

​

​

(7,398)

​

​

(6,048)

Proceeds from sales

​

​

1,731

​

​

1,071

Available-for-sale securities:

​

​

​

​

​

​

Purchased

​

​

(330,616)

​

​

(74,156)

Repayments

​

 

68,117

​

 

31,534

Held-to-maturity securities:

​

​

​

​

​

​

Long-term securities

​

​

​

​

​

​

Purchased

​

​

(173,733)

​

​

(246,116)

Repayments

​

​

1,166,529

​

​

1,124,103

Advances:

​

​

​

​

​

​

Principal collected

​

 

214,920,661

​

 

345,370,203

Made

​

 

(203,391,144)

​

 

(356,975,684)

Mortgage loans held-for-portfolio:

​

​

​

​

​

​

Principal collected

​

 

465,935

​

 

286,776

Purchased

​

 

(96,966)

​

 

(288,479)

Proceeds from sales of REO

​

 

102

​

 

—

Net cash provided by (used in) investing activities

​

$

14,106,262

​

$

3,548,312

​

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

​

7

Table of Contents

Federal Home Loan Bank of New York

Statements of Cash Flows — Unaudited (In Thousands)

For the Six Months Ended June 30, 20202021 and 20192020

​

  Six months ended June 30, 
  2020  2019 
Financing activities        
Net change in:        
Deposits and other borrowings $481,265  $121,693 
Partial recovery of prior capital distribution to Financing Corporation  18,204   - 
Derivative contracts with financing element  (4,065)  (9,746)
Consolidated obligation bonds:        
Proceeds from issuance  37,393,814   41,556,527 
Payments for maturing and early retirement  (57,286,952)  (47,127,264)
Consolidated obligation discount notes:        
Proceeds from issuance  501,373,428   605,334,521 
Payments for maturing  (485,794,282)  (593,674,687)
Capital stock:        
Proceeds from issuance of capital stock  4,330,884   3,672,176 
Payments for repurchase/redemption of capital stock  (3,775,415)  (3,892,679)
Redemption of mandatorily redeemable capital stock  (1,288)  (4,380)
Cash dividends paid (c)  (173,591)  (188,750)
Net cash provided by (used in) financing activities  (3,437,998)  5,787,411 
Net increase (decrease) in cash and due from banks  (558,933)  (36,209)
Cash and due from banks at beginning of the period (d)  603,241   85,406 
Cash and due from banks at end of the period (d) $44,308  $49,197 
         
Supplemental disclosures:        
Interest paid $698,687  $996,635 
Interest paid for Discount Notes (e) $390,456  $579,318 
Affordable Housing Program payments (f) $21,404  $24,470 
Transfers of mortgage loans to real estate owned $135  $366 
Net amount of impairment losses reclassified to (from) Accumulated other comprehensive income (loss) $-  $(384)
Capital stock subject to mandatory redemption reclassified from equity $-  $4,049 
Transfers of HTM securities to AFS that are not other-than-temporarily impaired (g) $-  $1,597,207 

​

​

​

​

​

​

​

​

​

Six months ended June 30, 

​

    

2021

    

2020

Financing activities

​

​

​

​

​

​

Net change in:

​

​

​

​

​

​

Deposits and other borrowings

​

$

(223,654)

​

$

481,265

Partial recovery of prior capital distribution to Financing Corporation

​

​

—

​

​

18,204

Derivative contracts with financing element

​

 

(1,788)

​

 

(4,065)

Consolidated obligation bonds:

​

​

​

​

​

​

Proceeds from issuance

​

 

33,828,355

​

 

37,393,814

Payments for maturing and early retirement

​

 

(34,169,646)

​

 

(57,286,952)

Payments on bonds (transferred to) or assumed from other FHLBanks (c)

​

​

173,984

​

​

—

Consolidated obligation discount notes:

​

​

​

​

​

​

Proceeds from issuance

​

 

296,370,345

​

 

501,373,428

Payments for maturing

​

 

(311,801,520)

​

 

(485,794,282)

Capital stock:

​

​

​

​

​

​

Proceeds from issuance of capital stock

​

 

1,410,333

​

​

4,330,884

Payments for repurchase/redemption of capital stock

​

 

(1,909,787)

​

​

(3,775,415)

Redemption of mandatorily redeemable capital stock

​

 

(716)

​

​

(1,288)

Cash dividends paid (d)

​

 

(132,937)

​

​

(173,591)

Net cash provided by (used in) financing activities

​

$

(16,457,031)

​

$

(3,437,998)

Net increase (decrease) in cash and due from banks

​

 

(1,843,590)

​

​

(558,933)

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

​

 

1,896,155

​

​

603,241

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

​

$

52,565

​

$

44,308

​

​

​

​

​

​

​

Supplemental disclosures:

​

​

​

​

​

​

Interest paid

​

$

301,317

​

$

698,687

Interest paid for Discount Notes (f)

​

$

59,793

​

$

390,456

Affordable Housing Program payments (g)

​

$

12,635

​

$

21,404

Transfers of mortgage loans to real estate owned

​

$

—

​

$

135

Capital stock subject to mandatory redemption reclassified from equity

​

$

85

​

$

—

Transfers of HTM securities to AFS that are not other-than-temporarily impaired (h)

​

$

1,376,212

​

$

—

AFS HFA bonds were tendered and re-issued from Libor to SOFR index (i)

​

$

686,340

​

$

—

​

​

Notes to Supplemental Disclosure:

​

(a)The adoptionIn the Statements of ASU 2016-02, Leases (Topic 842) resulted in the recognition of non-cash right-of-use operating assets of $71.6 million and lease liabilities of $83.9 million as of January 1, 2019. For cash flow information on operating leases outstanding at June 30, 2020 and December 31, 2019, including additions, see Operating Lease Commitments in Note 19. Commitments and Contingencies.
(b)Negative adjustments toCash Flows, we adjust discount note accretion expense within operating cash flows of $649.7 million and $324.3 million foran offset to financing activities in the period discount notes mature. The net adjustment to accretion expense was larger in the six months ended June 30, 2020, compared to the same period of 2021 in parallel with greater usage of discount notes in the six months ended June 30, 2020. As a result, the impact on operating cash flows was also larger in the six months ended June 30, 2020.
(b)Net cash provided by (used in) operating activities were also impacted by derivatives and 2019 represented fair value adjustments onhedging activities. In the six months ended June 30, 2021, derivatives and hedging activities provided $281.5 million in cash flows; in the six months ended June 30, 2020, derivatives and hedging activities used $649.7 million in cash flows. The changes were consistent with the increase was due to higher variation marginsignificant decline in benchmark interest rates in the current year period; additionally, lower amounts of margins were posted to derivative counterparties.counterparties in the current year period.
(c)(c)For information about bonds (transferred to) or assumed from FHLBanks and other related party transactions, see Note 20. Related Party Transactions.
(d)Does not include payments to holders of mandatorily redeemable capital stock. Such payments are considered as interest expense and reported within operating cash flows.
(d)(e)Cash and due from Banks includes pass-thru reserves at the Federal Reserve Bank of New York. See Note 3. Cash and Due from Banks for further information. Interest-bearing deposits are considered investments and are not included in cash or cash equivalent.
(e)(f)Interest paid for Discount Notes, is the portion of the cash payments at settlement of zero-coupon Consolidated obligation discount notes.notes.
(f)(g)AHP payments = (beginning accrual - ending accrual) + AHP assessment for the period; payments represent funds released to the Affordable Housing Program.
(g)(h)As a one-time election in accordance with ASC 848 Reference Rate Reform, we reclassified $1.4 billion of January 1, 2019,LIBOR-indexed held-to-maturity securities to available-for-sale during the FHLBNY elected (as permitted under ASU 2017-12)second quarter of 2021 without tainting our intent to hold other debt securities to maturity. At the date of transfer, these securities had a total amortized cost of $1.4 billion and transferred $1.6 billion (amortizeda total net unrealized gain of $7.6 million.
(i)During the second quarter of 2021, amortized cost basis) of fixed-rate MBS$686.3 million (market value of $686.7 million) in available-for-sale debt securities were tendered and re-issued from HTM classificationthe Libor to AFS classification.SOFR index.

​

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

​

​


8

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Background

Background

​

The Federal Home Loan Bank of New York (FHLBNY or the Bank) is a federally chartered corporation, and is one1 of 11 district Federal Home Loan Banks (FHLBanks). The FHLBanks are U.S. government-sponsored enterprises (GSEs), organized under the authority of the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act). Each FHLBank is a cooperative owned by member institutions located within a defined geographic district. The FHLBNY’s defined geographic district is New Jersey, New York, Puerto Rico, and the U.S. Virgin Islands.

​

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

​

Assessments. Affordable Housing Program (AHP) Assessments — Each FHLBank, including the FHLBNY, provides subsidies in the form of direct grants and below-market interest rate advances to members, who use the funds to assist in the purchase, construction or rehabilitation of housing for very low-, low- and moderate-income households. Annually, the 11 FHLBanks must allocate the greater of $100 million or 10% of their regulatory defined net income for the Affordable Housing Program.

​

Note 1.          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. Additional information regarding these agreements is provided in 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, 2019 filed on March 20, 2020. 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

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Fair Value Measurements and Disclosures

​

The accounting standards on fair value measurements and disclosures 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 disclosures 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, 20192020 filed on March 20, 2020.19, 2021.

​

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 2020, 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. A significant number of the FHLBNY derivatives are indexed to 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. 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 and have successfully made the transition to SOFR 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

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

In compliance with accounting standards, primarily ASC 815, the accounting for derivatives requires us to make the following assumptions and estimates:  (i) assessingassess whether the hedging relationship qualifies for hedge accounting, (ii) assessingassess whether an embedded derivative should be bifurcated, (iii) calculatingcalculate the effectiveness of the hedging relationship, (iv) evaluatingevaluate exposure associated with counterparty credit risk, and (v) estimatingestimate 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.


Federal Home Loan Bank of New York
Notes to Financial Statements — Unaudited

​

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, 20192020 filed on March 20, 2020.19, 2021.

​

Credit Losses under ASU 2016-13— Recently Adopted Accounting Guidance

​

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 relatedcredit-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.

​

For a descriptionSummarized information of how expected losses are developed including interest receivable, refer toprovided 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).

​

Adoption of ASU 2016-13 did not have a material impact on financial condition or cash flows. The following table presents the impacts to allowance for credit losses and retained earnings at January 1, 2020, the adoption date of this guidance, and at June 30, 2020 (in thousands):

  December 31, 2019  CECL Adoption Impact  January 1, 2020  June 30, 2020 
Allowance for Credit Losses                
     PLMBS Held-to-maturity $-  $-  $-  $257 
     Mortgage loans  653   2,972   2,972   6,534 
     Municipal securities  -   801   801   801 
     Federal funds sold and                
     Repurchase agreements  -   -   -   - 
  $653  $3,773  $3,773  $7,592 
                 
Retained Earnings                
     Allowance for credit losses     $3,773  $3,773     
     Decrease in retained earnings     $3,773  $3,773     

No off-balance sheet credit loss allowance was necessary at June 30, 2020 and December 31, 2019.

11

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 2.          FASBFinancial Accounting Standards Issued But Not Yet Adopted.Board (“FASB”) Standards Issued.

​

Recently Adopted Accounting Standards

​

Standard

​

​

​

​

​

​

​

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.

​

We are

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 processsecond quarter of evaluating2021, we reclassified $1.4 billion of LIBOR-indexed held-to-maturity securities to available-for-sale as a one-time election. During the guidance,second quarter of 2021, $686.3 million in available-for-sale debt securities were tendered and its effect onre-issued from the financial condition, results of operations, and cash flows.

While reference rate reform is not expectedLibor to have a material accounting impact on the FHLBNY’s financial position or results of operations, the standard will ease the administrative burden in accounting for the future effects of reference rate reform.SOFR index.

​

​

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 no0 restrictions on the withdrawal of funds in this arrangement. There were no0 compensating balances at June 30, 20202021 and December 31, 2019.2020. There were no0 restricted cash balances at June 30, 20202021 and December 31, 2019.2020.

​

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 $35.4$30.5 million at June 30, 20202021 and $45.4$32.4 million at December 31, 2019.2020. The liabilities offsetting the pass-through reserves were due to member institutions and were recorded in Other liabilities in the Statements of Condition.

​


12

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 4.          Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell.

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. AtDeposits placed were $0.7 billion at June 30, 2020, deposits placed were $0.9 billion.2021 and December 31, 2020. Deposits 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. Based on analysis performed, no0 allowance for credit losses was recorded at June 30, 20202021 and December 31, 2019.2020. Accrued interest receivable was $3.9 thousand as of June 30, 2020,de minimis, and no0 allowance for credit losses was recorded as interest due was collected.

​

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. At June 30, 2020 and December 31, 2019, federalFederal funds sold were $5.4$5.5 billion at June 30, 2021 and $8.6$6.3 billion at December 31, 2020 and were repaid according to their contractual terms. 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. Generally, federal funds are short-term and typically overnight. Counterparties are highly-rated.highly rated. Based on analysis, no0 allowance for credit losses was recorded for Federal funds sold at June 30, 20202021 and December 31, 2019.2020. Accrued interest receivable was $13.6 thousandde minimis, and $0.4 million as of June 30, 2020 and December 31, 2019, and no0 allowance for credit losses was recorded as interest due was collected.

​

Securities purchased under agreements to resell— At June 30, 2020 and December 31, 2019, theThe outstanding balances of Securities purchased under agreements to resell were recorded at amortized cost basis of $5.0$8.7 billion at June 30, 2021 and $15.0 billion.$4.7 billion at December 31, 2020. The investments typically matured overnight, and were executed through a tri-party arrangement that involved transfer of overnight funds to a segregated safekeeping account at the Bank of New York (BONY). BONY, acting as an independent agent on behalf of the FHLBNY and the counterparty to the transactions, assumes the responsibility of receiving eligible securities as collateral and releasing funds to the counterparty. The amount of cash loaned against the collateral is a function of the liquidity and quality of the collateral. The collateral is typically in the form of securities that meet the FHLBNY’s credit quality standards, are highly-ratedhighly rated and readily marketable. The FHLBNY has the ability to call for additional collateral if the value of the securities falls below a pre-defined haircut. The FHLBNY can terminate the transaction and liquidate the collateral if the counterparty fails to post the additional margin. Agreements generally allow the FHLBNY to repledge securities under certain conditions. NoNaN adjustments for instrument-specific credit risk were deemed necessary as market values of collateral were in excess of principal amounts loaned. Accrued interest receivable was $10.8$12.1 thousand and $0.6 million at June 30, 20202021 and $10.0 thousand at December 31, 2019, and no2020. NaN allowance for credit losses was recorded for accrued interest receivable of Securities purchased under agreements to resell as interest due was collected.

​

U.S. Treasury securities at market values of $5.0$8.7 billion at June 30, 2021 and $15.2$4.7 billion at December 31, 2020 were received at BONY to collateralize the overnight investments at June 30, 2020 and December 31, 2019.investments. Securities purchased under agreements to resell averaged $2.2 billion$95.6 million and $4.7$1.2 billion for the three and six months ended June 30, 2020.2021, respectively. For the twelve months ended December 31, 2019,2020, transaction balances averaged $8.3$4.4 billion. Interest income from securities purchased under agreements to resell were $0.4 millionwas $12.0 thousand and $26.7$0.5 million for the three and six months ended June 30, 20202021 compared to $52.3$0.4 million and $82.2$26.7 million for the same periods in the prior year. NoNaN overnight investments had been executed bilaterally with counterparties at those dates.June 30, 2021 and December 31, 2020. Transactions recorded as Securities purchased under agreements to resell (reverse repos) were accounted as collateralized financing transactions.

​

13

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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. Generally, repurchaseRepurchase agreements are short-term and generally overnight, and counterparties are highly-rated.highly rated. Based on analysis performed, no0 allowance for credit losses was recorded for these assets at June 30, 20202021 and December 31, 2019.2020.

​


Federal Home Loan Bank of New YorkNote 5.          Trading Securities.

Notes to Financial Statements — Unaudited

Note 5.Trading Securities.

​

The carrying value of a trading security equals its fair value. The following table provides major security types at June 30, 20202021 and December 31, 20192020 (in thousands):

​

​

​

​

​

​

​

​

Fair value June 30, 2020  December 31, 2019 

    

June 30, 2021

    

December 31, 2020

Corporate notes $2,158  $3,217 

​

$

2,132

​

$

2,164

U.S. Treasury notes  11,172,698   15,315,592 

​

​

7,073,274

​

​

11,240,915

U.S. Treasury bills  1,748,975   - 

​

​

—

​

​

499,886

Total trading securities $12,923,831  $15,318,809 

​

$

7,075,406

​

$

11,742,965

​

The carrying values of trading securities included net unrealized fair value gains of $170.6$26.4 million at June 30, 2020,2021 and $53.1$87.6 million at December 31, 2019.2020. We have classified investments acquired for purposes of meeting short-term contingency and other liquidity needs as trading securities. In accordance with Finance Agency guidance, we do not participate in speculative trading practices.

​

Trading Securities Pledged

​

The FHLBNY had pledged marketable securities at fair values of $635.8$624.7 million at June 30, 20202021 and $251.2$630.4 million at December 31, 20192020 to derivative clearing organizations to fulfill the FHLBNY’s initial margin requirements as mandated under margin rules of the Commodity Futures Trading Commission (CFTC). The clearing organizations have rights to sell or repledge the collateral securities under certain conditions.

​

The following tables present redemption terms of the major types of trading securities (dollars in thousands):

​

Redemption Terms

​

 June 30, 2020 
 Due in one year or less  Due after one year through five years  Total Fair Value 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

​

Due in one year or

​

Due after one year

​

Due after five years

​

​

​

    

less

    

through five years

    

through ten years

    

Total Fair Value

Corporate notes $-  $2,158  $2,158 

​

$

—

​

$

2,132

​

$

—

​

$

2,132

U.S. Treasury notes  6,678,814   4,493,884   11,172,698 

​

​

4,632,270

​

���

2,197,703

​

​

243,301

​

​

7,073,274

U.S. Treasury bills  1,748,975   -   1,748,975 

​

​

—

​

​

—

​

​

—

​

​

—

Total trading securities $8,427,789  $4,496,042  $12,923,831 

​

$

4,632,270

​

$

2,199,835

​

$

243,301

​

$

7,075,406

Yield on trading securities  1.74%  1.88%    

​

​

1.42

%  

​

1.49

%  

​

1.49

%  

​

​

​

 December 31, 2019 
 Due in one year or less  Due after one year through five years  Total Fair Value 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2020

​

​

Due in one year or

​

Due after one year

​

Due after five years

​

​

​

    

less

    

through five years

    

through ten years

    

Total Fair Value

Corporate notes $869  $2,348  $3,217 

​

$

—

​

$

2,164

​

$

—

​

$

2,164

U.S. Treasury notes  6,176,952   9,138,640   15,315,592 

​

​

9,563,920

​

​

1,676,995

​

​

—

​

​

11,240,915

U.S. Treasury bills

​

​

499,886

​

​

—

​

​

—

​

​

499,886

Total trading securities $6,177,821  $9,140,988  $15,318,809 

​

$

10,063,806

​

$

1,679,159

​

$

—

​

$

11,742,965

Yield on trading securities  2.36%  2.36%    

​

​

1.66

%  

​

1.79

%  

​

—

%  

​

​

​

​


14

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 6.          Equity Investments.

Note 6.Equity Investments.

​

The FHLBNY has classified its grantor trust as equity investments. The carrying value of equity investments in the Statements of Condition, and the types of assets in the grantor trust were as follows (in thousands):

​

 June 30, 2020 
    Gross Gross    
 Amortized Unrealized Unrealized Fair 
 Cost  Gains (b)  Losses (b)  Value (c) 
         

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

​

​

​

​

Gross

​

Gross

​

​

​

​

​

Amortized

​

Unrealized

​

Unrealized

​

Fair

​

    

Cost

    

Gains (b)

    

Losses (b)

    

Value (c)

​

​

​

​

​

​

​

​

​

​

​

​

​

Cash equivalents $5,487  $-  $-  $5,487 

​

$

2,907

​

$

—

​

$

—

​

$

2,907

Equity funds  28,985   8,256   (2,608)  34,633 

​

 

39,435

​

 

21,134

​

 

(1,791)

​

 

58,778

Fixed income funds  22,581   1,245   (94)  23,732 

​

 

29,241

​

 

727

​

 

(252)

​

 

29,716

Total Equity Investments (a) $57,053  $9,501  $(2,702) $63,852 

​

$

71,583

​

$

21,861

​

$

(2,043)

​

$

91,401

​

 December 31, 2019 
    Gross Gross    
 Amortized Unrealized Unrealized Fair 
 Cost  Gains (b)  Losses (b)  Value (c) 
         

​

​

​

​

​

​

​

​

​

​

​

​

​

​

 

December 31, 2020

​

​

​

​

 

Gross

 

Gross

​

​

​

​

 

Amortized

 

Unrealized

 

Unrealized

 

Fair

​

    

Cost

    

Gains (b)

    

Losses (b)

    

Value (c)

​

​

​

​

​

​

​

​

​

​

​

​

​

Cash equivalents $1,322  $-  $-  $1,322 

​

$

4,164

​

$

—

​

$

—

​

$

4,164

Equity funds  28,650   8,312   (623)  36,339 

​

 

36,833

​

 

15,325

​

 

(1,909)

​

 

50,249

Fixed income funds  22,104   412   (130)  22,386 

​

 

24,920

​

 

1,146

​

 

(110)

​

 

25,956

Total Equity Investments (a) $52,076  $8,724  $(753) $60,047 

​

$

65,917

​

$

16,471

​

$

(2,019)

​

$

80,369

​

(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)(b)Changes in unrealized gains and losses are recorded through earnings, specifically in Other income in the Statements of Income.
(c)(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 June 30,  Six Months Ended June 30, 
 2020  2019  2020  2019 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three Months Ended June 30,

​

Six Months Ended June 30, 

​

    

2021

    

2020

    

2021

    

2020

Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date $7,111  $1,667  $(1,172) $5,877 

​

$

3,327

​

$

7,111

​

$

5,366

​

$

(1,172)

Net gains (losses) recognized during the period on equity investments sold during the period

​

 

721

​

 

—

​

​

721

​

​

—

Net dividend and other  217   259   450   487 

​

​

491

​

​

217

​

​

752

​

​

450

Net gains (losses) recognized during the period $7,328  $1,926  $(722) $6,364 

​

$

4,539

​

$

7,328

​

$

6,839

​

$

(722)


Federal Home Loan Bank of New York​

Notes to Financial Statements — Unaudited​

Note 7.Available-for-Sale Securities.

Note 7.          Available-for-Sale Securities.

No​

NaN AFS security was impaired in any periods in this report, and noa credit loss allowance of $0.6 million and $0 was necessarytaken at June 30, 2021 and December 31, 2020, or upon adoptionrespectively.

​

As a one-time election in accordance with ASC 848 Reference Rate Reform, we reclassified $1.4 billion of ASU 2017-12 at January 1, 2020.LIBOR-indexed held-to-maturity securities to available-for-sale during the second quarter of 2021 without tainting our intent to hold other debt securities to maturity. At the date of transfer, these securities had a total amortized cost of $1.4 billion and a total net unrealized gain/(loss) of $7.6 million.

​

15

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

During the second quarter of 2021, $686.3 million in available-for-sale debt securities were tendered and re-issued from the Libor to SOFR index.

​

The following tables provide major security types (in thousands):

​

 June 30, 2020 
    Gross Gross    
 Amortized Unrealized Unrealized Fair 
 Cost  Gains  Losses  Value 
         

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

​

    

​

Allowance

​

Gross

​

Gross

​

    

​

​

Amortized

​

for Credit

​

Unrealized

​

Unrealized

​

Fair

​

    

Cost

    

Losses

    

Gains

    

Losses

    

Value

GSE and U.S. Obligations                

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Mortgage-backed securities                

State and local housing finance agency obligations(c)

​

$

901,305

​

$

(586)

​

$

18

​

$

(76)

​

$

900,661

Mortgage-backed securities(c)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Floating                

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

CMO $310,854  $2,657  $(3) $313,508 

​

​

662,526

​

​

—

​

​

10,808

​

​

—

​

​

673,334

CMBS  311   -   -   311 

​

 

17,388

​

 

—

​

 

4

​

 

—

​

 

17,392

PASS THRU

​

​

5,954

​

​

—

​

​

288

​

​

—

​

​

6,242

Total Floating  311,165   2,657   (3)  313,819 

​

​

685,868

​

​

—

​

​

11,100

​

​

—

​

​

696,968

Fixed                

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

CMBS  2,283,962   276,326   -   2,560,288 

​

​

3,202,210

​

​

—

​

​

226,378

​

​

(22,105)

​

​

3,406,483

Total Fixed  2,283,962   276,326   -   2,560,288 

​

​

3,202,210

​

​

—

​

​

226,378

​

​

(22,105)

​

​

3,406,483

                
AFS Before Hedging Adjustments  2,595,127   278,983(a)  (3)(a)  2,874,107 

MBS AFS Before Hedging Adjustments

​

​

3,888,078

​

​

—

​

​

237,478

(a)  

​

(22,105)

(a)  

​

4,103,451

Hedging Basis Adjustments in AOCI  70,431   70,431(b)  -   - 

​

​

1,242

​

​

—

​

​

(1,242)

(b)  

​

—

​

​

—

Total Available-for-sale securities (MBS)

​

​

3,889,320

​

​

—

​

​

236,236

​

​

(22,105)

​

​

4,103,451

Total Available-for-sale securities $2,665,558  $208,552  $(3) $2,874,107 

​

$

4,790,625

​

$

(586)

​

$

236,254

​

$

(22,181)

​

$

5,004,112

​

 December 31, 2019 
    Gross Gross    
 Amortized Unrealized Unrealized Fair 
 Cost  Gains  Losses  Value 
         

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2020

​

​

    

​

Gross

​

Gross

​

    

​

​

Amortized

​

Unrealized

​

Unrealized

​

Fair

​

    

Cost

    

Gains

    

Losses

    

Value

​

​

​

​

​

​

​

​

​

​

​

​

​

GSE and U.S. Obligations                

​

​

​

​

​

​

​

​

​

​

​

​

Mortgage-backed securities                

​

​

​

​

​

​

​

​

​

​

​

​

Floating                

​

​

​

​

​

​

​

​

​

​

​

​

CMO $339,419  $2,164  $(74) $341,509 

​

$

277,372

​

$

3,960

​

$

—

​

$

281,332

CMBS  2,539   1   -   2,540 
Total Floating  341,958   2,165   (74)  344,049 

​

​

277,372

​

​

3,960

​

​

—

​

​

281,332

Fixed                

​

​

​

​

​

​

​

​

​

​

​

​

CMBS  2,213,592   99,532   (3,755)  2,309,369 

​

 

2,877,947

​

 

282,913

​

 

(6,247)

​

 

3,154,613

Total Fixed  2,213,592   99,532   (3,755)  2,309,369 

​

​

2,877,947

​

​

282,913

​

​

(6,247)

​

​

3,154,613

                
AFS Before Hedging Adjustments  2,555,550   101,697(a)  (3,829)(a)  2,653,418 

​

​

3,155,319

​

​

286,873

(a)  

​

(6,247)

(a)  

​

3,435,945

Hedging Basis Adjustments in AOCI  11,593   14,925(b)  3,332(b)  - 

​

 

44,052

​

 

(44,052)

(b)  

 

—

​

 

—

Total Available-for-sale securities $2,567,143  $86,772  $(497) $2,653,418 

​

$

3,199,371

​

$

242,821

​

$

(6,247)

​

$

3,435,945

​

(a)(a)Amounts representsrepresent 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; amountsfair 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.
(b)(b)Amounts represent fair value hedging basis thatdue to changes in the benchmark rate and were recorded as an adjustment to the amortized costcarrying values of hedged securities, impactingsecurities; the adjustments impacted the unrealized market value gains and losses reported in the table above.losses. Securities in a fair value hedging relationship at June 30, 2020 and2021 recorded $1.2 million of hedge basis losses; at December 31, 2019 reported $70.42020, hedge basis gains of $44.1 million and $11.6 million as hedging basis as disclosed inwere recorded. In the table above, with an offset to AOCI.  Thethe benchmark hedging basis adjustment had no impact onadjustments were reported separately from the market based fair values.prices of ASC 815 qualifying hedges to provide greater clarity to market based pricing of the securities.
(c)During the second quarter of 2021 we reclassified $1.4 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. The reclassification composed of $0.5 billion of MBS and $0.9 billion of State and local housing finance agency obligations.

16


Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

​

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 June 30, 20202021 and December 31, 2019,2020, 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.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). As noted in the table below, AFS securities in an unrealized loss positionNaN losses for 12-months12 months or longer were not material. These losses are considered temporary as the Bank expects to recover the entire amortized cost basisidentified based on these AFS investment securities and neither intends to sell these securities nor considers it more likely than not that it will be required to sell these securities before its anticipated recovery of each security's remaining amortized cost basis.third party pricing methodologies. 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, no0 allowance for credit losses was recorded on these AFSMBS securities at June 30, 20202021. The portfolio of State and December 31, 2019. Accrued interest receivablelocal housing finance agency obligations was $6.0 million and $6.1 million at June 30, 2020 and December 31, 2019, and notransferred from HTM with an allowance for credit losses was recorded as interest due was collected.of $0.6 million.

​

No credit loss allowance was necessary at June 30, 2020 based on analysis as noted above. The following table summarizes available-for-sale securities with estimated fair values below their amortized cost basis (in thousands):

​

  June 30, 2020 
  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                        
MBS-GSE                        
Fannie Mae-CMO $4,409  $(3) $-  $-  $4,409  $(3)
Fannie Mae-CMBS  311   -   -   -   311   - 
Freddie Mac-CMO  842   -   -   -   842   - 
Total MBS-GSE  5,562   (3)  -   -   5,562   (3)
Total Temporarily Impaired $5,562  $(3) $-  $-  $5,562  $(3)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 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

​

$

699,288

​

$

(22,105)

​

$

—

​

$

—

​

$

699,288

​

$

(22,105)

State and local housing finance agency obligations

​

​

—

​

​

—

​

​

23,829

​

​

(76)

​

​

23,829

​

​

(76)

Total Temporarily Impaired

​

$

699,288

​

$

(22,105)

​

$

23,829

​

$

(76)

​

$

723,117

​

$

(22,181)

​

 December 31, 2019 
 Less than 12 months  12 months or more  Total 
 Estimated Unrealized Estimated Unrealized Estimated Unrealized 
 Fair Value  Losses  Fair Value  Losses  Fair Value  Losses 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2020

​

    

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                        

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

MBS-GSE                        

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Fannie Mae-CMO $32,012  $(65) $-  $-  $32,012  $(65)
Freddie Mac-CMO  7,071   (9)  -   -   7,071   (9)
Freddie Mac-CMBS  129,496   (423)  -   -   129,496   (423)

​

$

526,365

​

$

(6,247)

​

$

—

​

$

—

​

$

526,365

​

$

(6,247)

Total MBS-GSE  168,579   (497)  -   -   168,579   (497)
Total Temporarily Impaired $168,579  $(497) $-  $-  $168,579  $(497)

​

$

526,365

​

$

(6,247)

​

$

—

​

$

—

​

$

526,365

​

$

(6,247)

​

17

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Redemption Terms

​

Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. The amortized cost and estimated fair value (a) of investments classified as AFS, by contractual maturity, were as follows (in thousands):

​

 June 30, 2020  December 31, 2019 
 Amortized Cost (b)  Fair Value  Amortized Cost (b)  Fair Value 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

December 31, 2020

​

​

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

​

$

23,965

​

$

23,829

​

$

—

​

$

—

Due after ten years

​

​

877,340

​

​

876,832

​

​

—

​

​

—

State and local housing finance agency obligations

​

​

901,305

​

 

900,661

​

 

—

​

 

—

​

​

​

​

​

​

​

​

​

​

​

​

​

Mortgage-backed securities                

​

​

​

​

​

​

​

​

​

​

​

​

Due in one year or less $311  $311  $2,539  $2,540 

​

​

17,389

​

​

17,393

​

​

—

​

​

—

Due after one year through five years  243,223   263,114   -   - 

​

​

331,339

​

​

355,714

​

​

332,752

​

​

364,081

Due after five year through ten years  2,071,428   2,257,326   2,189,350   2,273,352 

​

​

2,834,947

​

​

3,012,486

​

​

2,550,443

​

​

2,750,824

Due after ten years  350,596   353,356   375,254   377,526 

​

 

705,645

​

 

717,858

​

 

316,176

​

 

321,040

Total Available-for-sale securities $2,665,558  $2,874,107  $2,567,143  $2,653,418 

Mortgage-backed securities

​

​

3,889,320

​

​

4,103,451

​

​

3,199,371

​

​

3,435,945

Total Available-for-Sale securities

​

$

4,790,625

​

$

5,004,112

​

$

3,199,371

​

$

3,435,945

​

(a)The carrying value of AFS securities equals fair value.
(b)(b)Amortized cost is UPB after adjusting for net unamortized premiums of $29.5$45.6 million and net unamortized premiums of $30.4$41.1 million at June 30, 20202021 and December 31, 2019.2020, respectively. Additionally, historical amortized cost in the table above is after adjustment for hedging basis.

​

Interest Rate Payment Terms

​

The following table summarizes interest rate payment terms of investments in mortgage-backed securitiesMortgage-backed Securities and State and local housing finance agency obligations classified as AFS securities (in thousands):

​

 June 30, 2020  December 31, 2019 
 Amortized Cost  Fair Value  Amortized Cost  Fair Value 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

December 31, 2020

​

    

Amortized Cost

    

Fair Value

    

Amortized Cost

    

Fair Value

Mortgage-backed securities                

​

​

​

​

​

​

​

​

​

​

​

​

Floating                

​

​

​

​

​

​

​

​

​

​

​

​

CMO - LIBOR $310,854  $313,508  $339,419  $341,509 

​

$

662,526

​

$

673,334

​

$

277,372

​

$

281,332

CMBS - LIBOR  311   311   2,539   2,540 

​

 

17,388

​

 

17,392

​

 

—

​

 

—

PASS THRU

​

​

5,954

​

​

6,242

​

​

—

​

​

—

Total Floating  311,165   313,819   341,958   344,049 

​

​

685,868

​

​

696,968

​

​

277,372

​

​

281,332

Fixed                

​

​

​

​

​

​

​

​

​

​

​

​

CMBS  2,354,393   2,560,288   2,225,185   2,309,369 
                

CMBS - LIBOR

​

​

3,203,452

​

​

3,406,483

​

​

2,921,999

​

​

3,154,613

Total Fixed

​

​

3,203,452

​

​

3,406,483

​

​

2,921,999

​

​

3,154,613

Total Mortgage-backed securities $2,665,558  $2,874,107  $2,567,143  $2,653,418 

​

​

3,889,320

​

​

4,103,451

​

​

3,199,371

​

​

3,435,945

State and local housing finance agency obligations

​

​

​

​

​

​

​

​

​

​

​

​

Floating

​

​

901,305

​

​

900,661

​

​

—

​

​

—

Total Available-for-Sale securities

​

$

4,790,625

​

$

5,004,112

​

$

3,199,371

​

$

3,435,945

​

​

18

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 8.          Held-to-Maturity Securities.

​

Major Security Types (in thousands)

​

 June 30, 2020 
    Allowance OTTI     Gross Gross    
 Amortized for Credit Recognized Carrying Unrecognized Unrecognized Fair 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 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 

    

Cost(d)

    

Loss (ACL)

    

in AOCI

    

Value

    

Holding Gains (a)

    

Holding Losses (a)

    

Value

Pools of Mortgages                            

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Fannie Mae $55,122  $-  $-  $55,122  $7,324  $-  $62,446 

​

$

38,218

​

$

—

​

$

—

​

$

38,218

​

$

5,194

​

$

—

​

$

43,412

Freddie Mac  10,670   -   -   10,670   1,319   -   11,989 

​

 

6,131

​

 

—

​

 

—

​

​

6,131

​

 

945

​

 

—

​

 

7,076

Total pools of mortgages  65,792   -   -   65,792   8,643   -   74,435 

​

 

44,349

​

 

—

​

 

—

​

​

44,349

​

 

6,139

​

 

—

​

 

50,488

                            

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits                            

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Fannie Mae  1,203,111   -   -   1,203,111   9,584   (2,197)  1,210,498 

​

 

399,416

​

 

—

​

 

—

​

​

399,416

​

 

4,048

​

 

(109)

​

 

403,355

Freddie Mac  757,604   -   -   757,604   4,412   (1,304)  760,712 

​

 

392,194

​

 

—

​

 

—

​

​

392,194

​

 

4,092

​

 

(40)

​

 

396,246

Ginnie Mae  8,166   -   -   8,166   117   -   8,283 

​

 

—

​

 

—

​

 

—

​

​

—

​

 

—

​

 

—

​

 

—

Total CMOs/REMICs  1,968,881   -   -   1,968,881   14,113   (3,501)  1,979,493 

​

 

791,610

​

 

—

​

 

—

​

​

791,610

​

 

8,140

​

 

(149)

​

 

799,601

                            

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Commercial Mortgage-Backed Securities (b)                            

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Fannie Mae  1,690,448   -   -   1,690,448   51,403   (1,890)  1,739,961 

​

 

1,415,638

​

 

—

​

 

—

​

​

1,415,638

​

 

38,051

​

 

(1,454)

​

 

1,452,235

Freddie Mac  9,414,648   -   -   9,414,648   630,089   (9,639)  10,035,098 

​

 

7,983,503

​

 

—

​

 

—

​

​

7,983,503

​

 

471,312

​

 

(2,928)

​

 

8,451,887

Total commercial mortgage-backed securities  11,105,096   -   -   11,105,096   681,492   (11,529)  11,775,059 

​

 

9,399,141

​

 

—

​

 

—

​

​

9,399,141

​

 

509,363

​

 

(4,382)

​

 

9,904,122

                            

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Non-GSE MBS (c)                            

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

CMOs/REMICs  4,010   (257)  (312)  3,441   239   (86)  3,594 

​

 

3,460

​

 

(240)

​

 

(276)

​

​

2,944

​

 

183

​

 

(54)

​

 

3,073

Commercial MBS  -   -   -   -   -   -   - 
Total non-federal-agency MBS  4,010   (257)  (312)  3,441   239   (86)  3,594 
                            

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Asset-Backed Securities (c)                            

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Manufactured housing (insured)  26,209   -   -   26,209   877   -   27,086 

​

 

20,909

​

 

—

​

 

—

​

​

20,909

​

 

621

​

 

—

​

 

21,530

Home equity loans (insured)  56,958   -   (3,672)  53,286   15,599   (40)  68,845 

​

 

39,738

​

 

—

​

 

(1,318)

​

​

38,420

​

 

8,353

​

 

—

​

 

46,773

Home equity loans (uninsured)  20,115   -   (2,530)  17,585   2,827   (373)  20,039 

​

 

14,257

​

 

—

​

 

(1,475)

​

​

12,782

​

 

1,960

​

 

(111)

​

 

14,631

Total asset-backed securities  103,282   -   (6,202)  97,080   19,303   (413)  115,970 

​

 

74,904

​

 

—

​

 

(2,793)

​

​

72,111

​

 

10,934

​

 

(111)

​

 

82,934

                            
Total MBS  13,247,061   (257)  (6,514)  13,240,290   723,790   (15,529)  13,948,551 
                            

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total MBS (f)

​

 

10,313,464

​

 

(240)

​

 

(3,069)

​

​

10,310,155

​

 

534,759

​

 

(4,696)

​

 

10,840,218

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Other                            

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

State and local housing finance agency obligations (e)  1,108,044   -   -   1,108,044   177   (22,595)  1,085,626 
Total other  1,108,044   -   -   1,108,044   177   (22,595)  1,085,626 
                            

State and local housing finance agency obligations(f)

​

 

190,634

​

 

(117)

​

 

—

​

​

190,517

​

 

26

​

 

(18,573)

​

 

171,970

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total Held-to-maturity securities $14,355,105  $(257) $(6,514) $14,348,334  $723,967  $(38,124) $15,034,177 

​

$

10,504,098

​

$

(357)

​

$

(3,069)

​

$

10,500,672

​

$

534,785

​

$

(23,269)

​

$

11,012,188

​


19

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2020

​

​

    

​

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

​

$

47,558

​

$

—

​

$

—

​

$

47,558

​

$

6,626

​

$

—

​

$

54,184

Freddie Mac

​

 

9,813

​

 

—

​

 

—

​

 

9,813

​

 

1,305

​

 

—

​

 

11,118

Total pools of mortgages

​

 

57,371

​

 

—

​

 

—

​

 

57,371

​

 

7,931

​

 

—

​

 

65,302

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Fannie Mae

​

 

942,268

​

 

—

​

 

—

​

 

942,268

​

 

9,204

​

 

(830)

​

 

950,642

Freddie Mac

​

 

604,713

​

 

—

​

 

—

​

 

604,713

​

 

5,709

​

 

(385)

​

 

610,037

Ginnie Mae

​

 

6,458

​

 

—

​

 

—

​

 

6,458

​

 

108

​

 

—

​

 

6,566

Total CMOs/REMICs

​

 

1,553,439

​

 

—

​

 

—

​

 

1,553,439

​

 

15,021

​

 

(1,215)

​

 

1,567,245

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Commercial Mortgage-Backed Securities (b)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Fannie Mae

​

 

1,570,197

​

 

—

​

 

—

​

 

1,570,197

​

 

53,905

​

 

(1,428)

​

 

1,622,674

Freddie Mac

​

 

8,503,433

​

 

—

​

 

—

​

 

8,503,433

​

 

591,514

​

 

(5,142)

​

 

9,089,805

Total commercial mortgage-backed securities

​

 

10,073,630

​

 

—

​

 

—

​

 

10,073,630

​

 

645,419

​

 

(6,570)

​

 

10,712,479

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Non-GSE MBS(c)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

CMOs/REMICs

​

 

3,824

​

 

(257)

​

 

(294)

​

 

3,273

​

 

146

​

 

(71)

​

 

3,348

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Asset-Backed Securities(c)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Manufactured housing (insured)

​

 

23,763

​

 

—

​

 

—

​

 

23,763

​

 

768

​

 

—

​

 

24,531

Home equity loans (insured)

​

 

52,262

​

 

—

​

 

(3,308)

​

 

48,954

​

 

13,340

​

 

(52)

​

 

62,242

Home equity loans (uninsured)

​

 

17,450

​

 

—

​

 

(1,986)

​

 

15,464

​

 

2,588

​

 

(284)

​

 

17,768

Total asset-backed securities

​

 

93,475

​

 

—

​

 

(5,294)

​

 

88,181

​

 

16,696

​

 

(336)

​

 

104,541

Total MBS

​

 

11,781,739

​

 

(257)

​

 

(5,588)

​

 

11,775,894

​

 

685,213

​

 

(8,192)

​

 

12,452,915

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Other

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

State and local housing finance agency obligations (e)

​

 

1,097,752

​

 

—

​

 

—

​

 

1,097,752

​

 

76

​

 

(21,562)

​

 

1,076,266

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total Held-to-maturity securities

​

$

12,879,491

​

$

(257)

​

$

(5,588)

​

$

12,873,646

​

$

685,289

​

$

(29,754)

​

$

13,529,181

  December 31, 2019 
     OTTI     Gross  Gross    
  Amortized  Recognized  Carrying  Unrecognized  Unrecognized  Fair 
Issued, guaranteed or insured: Cost (d)  in AOCI  Value  Holding Gains (a)  Holding Losses (a)  Value 
Pools of Mortgages                        
Fannie Mae $61,990  $-  $61,990  $6,255  $-  $68,245 
Freddie Mac  11,526   -   11,526   1,135   -   12,661 
Total pools of mortgages  73,516   -   73,516   7,390   -   80,906 
                         
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits                        
Fannie Mae  1,403,787   -   1,403,787   4,281   (3,130)  1,404,938 
Freddie Mac  878,068   -   878,068   2,871   (2,526)  878,413 
Ginnie Mae  9,265   -   9,265   113   -   9,378 
Total CMOs/REMICs  2,291,120   -   2,291,120   7,265   (5,656)  2,292,729 
                         
Commercial Mortgage-Backed Securities (b)                        
Fannie Mae  1,822,310   -   1,822,310   16,796   (1,372)  1,837,734 
Freddie Mac  9,815,215   -   9,815,215   215,919   (18,584)  10,012,550 
Total commercial mortgage-backed securities  11,637,525   -   11,637,525   232,715   (19,956)  11,850,284 
                         
Non-GSE MBS (c)                        
CMOs/REMICs  4,451   (331)  4,120   56   (30)  4,146 
Commercial MBS  -   -   -   -   -   - 
Total non-federal-agency MBS  4,451   (331)  4,120   56   (30)  4,146 
                        
Asset-Backed Securities (c)                        
Manufactured housing (insured)  28,618   -   28,618   1,175   -   29,793 
Home equity loans (insured)  61,186   (4,062)  57,124   17,912   -   75,036 
Home equity loans (uninsured)  23,322   (3,178)  20,144   4,209   (146)  24,207 
Total asset-backed securities  113,126   (7,240)  105,886   23,296   (146)  129,036 
                         
Total MBS  14,119,738   (7,571)  14,112,167   270,722   (25,788)  14,357,101 
                         
Other                        
State and local housing finance agency obligations  1,122,315   -   1,122,315   400   (23,210)  1,099,505 
                         
Total Held-to-maturity securities $15,242,053  $(7,571) $15,234,482  $271,122  $(48,998) $15,456,606 

​

(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.
(e)Amortized costs at December 31, 2020 include allowances for credit losses of $0.7 million.
(f)(e)Amortized cost at June 30, 2020 includes allowance for credit lossDuring the second quarter of $0.8 million recorded at January 1, 2020, the adoption date2021 we reclassified $1.4 billion of ASU 2016-13.LIBOR-indexed held-to-maturity securities to available-for-sale as a one-time election in accordance with ASC 848 Reference Rate Reform. The reclassification composed of $0.5 billion of MBS and $0.9 billion of State and local housing finance agency obligations.

​

Securities Pledged

​

The FHLBNY had pledged MBS, with an amortized cost basis of $3.2$2.2 million at June 30, 20202021 and $3.7$2.7 million at December 31, 2019,2020, to the FDIC in connection with deposits maintained by the FDIC at the FHLBNY. The FDIC does not have rights to sell or repledge the collateral unless the FHLBNY defaults under the terms of its deposit arrangements with the FDIC.

​

Credit Loss Allowances on Held-to-Maturity Securities

​


20

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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. NumbersNumber of investment positions that were in an unrealized loss position were 67was 27 and 12042 at June 30, 20202021 and December 31, 2019.2020, respectively.

​

Housing finance agency bonds — - The FHLBNY’s investments in housingHousing finance agency bonds reported gross unrealized losses of $22.6$18.6 million and $23.2$21.6 million at June 30, 20202021 and December 31, 2019.2020, respectively. 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 whichif the FHLBNY does not believebelieves the counterparty will not 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. Our analysis identified no collateral shortfall. NumberThe number of investment positions that were in an unrealized loss position were 155 and 1218 at June 30, 20202021 and December 31, 2019.

Based on analysis performed at January 1, 2020, the adoption date of the guidance under ASU 2016-13, a credit loss of $0.8 million was recognized as a charge to beginning retained earnings at January 1, 2020. At June 30, 2020, the probability default analysis reported cumulative credit loss of $0.8 million, unchanged from the evaluation at adoption date. The portfolio composition has not changed and no acquisitions or sales were made in the six months ended June 30, 2020. Additionally, our counterpartyProbability default analysis at June 30, 2021 and December 31, 2020 identified no changes from those at adoption date.recorded cumulative credit losses of $0.1 million and $0.7 million respectively.

​

Accrued interest receivable for HTM housing finance agency bonds was $2.1$0.2 million and $4.5$1.3 million at June 30, 20202021 and December 31, 2019, and no2020, respectively. NaN allowance for credit losses was recorded as interest due is expected to be collected.

​

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, 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. No allowanceAllowance for credit loss wasof $0.2 million and $0.3 million were recognized in the second quarter ofat June 30, 2021 and December 31, 2020. An OTTI of $0.4 million was recorded in the same period in 2019. Our investments in PLMBS were less than 1% of our investments in MBS. No acquisitions or sale of PLMBS were made in 2020; balances declined due to paydowns, and the portfolio composition remains largely unchanged. Based on cash flow testing, the Bank believes no material credit losses remains. Certain securities are insured by monoline insurers, and we have analyzed their guarantees with appropriate haircuts. The Bank’s conclusions are also based upon multiple factors, but not limited to the expected performance of the underlying collateral, and the evaluation of the fundamentals of the issuers’ financial condition. Management has not made a decision to sell such securities at June 30, 2020,2021, and has concluded that it will not be required to sell such securities before recovery of the amortized cost basis of the securities. Number of investment positions that were in an unrealized loss position was 12 and 89 at June 30, 20202021 and 10 at December 31, 2019.2020.

​


21

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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. The amortized cost and estimated fair value of held-to-maturity securities, arranged by contractual maturity, were as follows (in thousands):

​

 June 30, 2020  December 31, 2019 
 Amortized Estimated Amortized Estimated 
 Cost (a)  Fair Value  Cost (a)  Fair Value 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

December 31, 2020

​

​

Amortized

​

Estimated

​

Amortized

​

Estimated

​

    

Cost (a)

    

Fair Value

    

Cost (a)

    

Fair Value

State and local housing finance agency obligations                

​

​

​

​

​

​

​

​

​

​

​

​

Due after one year through five years $10,648  $10,646  $9,770  $9,781 

​

$

3,340

​

$

3,346

​

$

30,867

​

$

30,758

Due after five years through ten years  25,100   24,933   36,810   36,250 

​

 

100

​

 

100

​

 

100

​

 

100

Due after ten years  1,072,296   1,050,047   1,075,735   1,053,474 

​

 

187,194

​

 

168,524

​

 

1,066,785

​

 

1,045,408

State and local housing finance agency obligations  1,108,044   1,085,626   1,122,315   1,099,505 

​

 

190,634

​

 

171,970

​

 

1,097,752

​

 

1,076,266

                

​

​

​

​

​

​

​

​

​

​

​

​

​

Mortgage-backed securities                

​

​

​

​

​

​

​

​

​

​

​

​

Due in one year or less  1,050,689   1,061,967   613,863   619,948 

​

 

650,888

​

 

654,211

​

 

690,206

​

​

694,962

Due after one year through five years  3,415,357   3,535,726   4,102,650   4,142,443 

​

 

2,804,151

​

 

2,905,891

​

 

2,991,105

​

 

3,114,446

Due after five years through ten years  6,394,678   6,912,305   6,648,746   6,815,921 

​

 

5,808,149

​

 

6,204,330

​

 

6,137,440

​

 

6,629,839

Due after ten years  2,386,337   2,438,553   2,754,479   2,778,789 

​

 

1,050,276

​

 

1,075,786

​

 

1,962,988

​

 

2,013,668

Mortgage-backed securities  13,247,061   13,948,551   14,119,738   14,357,101 

​

 

10,313,464

​

 

10,840,218

​

 

11,781,739

​

 

12,452,915

                

​

​

​

​

​

​

​

​

​

​

​

​

​

Total Held-to-Maturity Securities $14,355,105  $15,034,177  $15,242,053  $15,456,606 

​

$

10,504,098

​

$

11,012,188

​

$

12,879,491

​

$

13,529,181

​

(a)Amortized cost is UPB after adjusting for net unamortized premiums of $66.1$53.4 million at June 30, 20202021 and $72.5$57.4 million at December 31, 20192020 (net of unamortized discounts) and before adjustments for allowance for credit losses.

​

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):

​

 June 30, 2020  December 31, 2019 
 Amount  

Weighted (a)

Average

Yield

 

 

 

Percentage

of Total

  Amount  

Weighted (a)

Average

Yield

  

Percentage

of Total

 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

December 31, 2020

​

​

​

​

​

​

Weighted (a)

​

    

​

​

​

​

Weighted (a)

​

    

​

​

​

​

​

​

Average

​

Percentage

​

​

​

​

Average

​

Percentage

​

​

    

Amount

    

Yield

    

of Total

    

Amount

    

Yield

    

of Total

​

Overdrawn demand deposit accounts $-   -%  -% $-   -%  -%

​

$

2,777

​

1.10

%  

—

%  

$

—

​

—

%  

—

%

Due in one year or less  64,701,355   0.75   57.77   69,206,283   1.99   68.93 

​

​

48,233,300

​

0.67

​

60.89

​

​

51,202,647

 

0.65

​

56.42

​

Due after one year through two years  19,059,688   1.51   17.02   8,727,277   2.16   8.69 

​

 

7,058,342

​

1.75

​

8.91

​

 

11,520,983

 

1.52

​

12.70

​

Due after two years through three years  7,412,850   1.86   6.62   6,214,853   2.32��  6.19 

​

 

4,809,927

​

1.53

​

6.07

​

 

7,734,061

 

1.65

​

8.52

​

Due after three years through four years  2,899,637   2.35   2.59   3,032,507   2.68   3.02 

​

 

5,686,033

​

1.44

​

7.18

​

 

4,400,913

 

1.55

​

4.85

​

Due after four years through five years  5,468,615   1.54   4.88   2,709,805   2.02   2.70 

​

 

1,819,642

​

1.86

​

2.30

​

 

3,770,927

 

1.50

​

4.16

​

Thereafter  12,459,414   1.99   11.12   10,505,353   2.13   10.47 

​

 

11,601,620

​

1.84

​

14.65

​

 

12,111,628

 

1.87

​

13.35

​

                        
Total par value  112,001,559   1.17%  100.00%  100,396,078   2.06%  100.00%

​

 

79,211,641

 

1.07

%  

100.00

%  

 

90,741,159

 

1.09

%  

100.00

%

Hedge valuation basis adjustments (b)  1,786,997           299,163         

​

 

772,889

​

​

​

​

​

 

1,325,945

​

​

​

​

​

                        
Total $113,788,556          $100,695,241         

​

$

79,984,530

​

​

​

​

​

$

92,067,104

​

​

​

​

​

​

(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.

22

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

(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 rates.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, OIS/FF index and OIS/SOFR index.


Federal Home Loan Bank of New York​

Notes to Financial Statements — Unaudited

Monitoring and Evaluating Credit Losses on Advances

​

In June 2016, the FASB issued ASU 2016-13, Financial Instruments — Credit Losses (Topic 326). The ASU introduced a new accounting framework, which was adopted effective January 1, 2020.

Advances borrowed by members have increased in the aftermath of the global Coronavirus-19 pandemic, resulting in an unprecedented demand for liquidity (advances) from our borrowing members. The increase largely occurred in March 2020 and carrying value of advances borrowed stood at $136.2 billion at March 31, 2020. Since then demand has declined with maturing advances not replaced by borrowing members. Carrying values were $113.8 billion at June 30, 2020 compared to $100.7 billion at December 31, 2019.

Demand for funds have been generally from a wide base of member financial institutions, although the larger members were the significant borrowers. For more information about borrower concentration, see Note 21. Segment Information and Concentration. Our collateral monitoring and valuation processes have remained robust through the increase in borrowing activities. We experienced a similar spike in demand during the 2008-9 financial crisis, and our operations were able to process, then as now, such growth in demand and maintain a robust and vigilant credit and collateral monitoring and operating environment.

Our credit and collateral practices have not identified allowance for credit losses at June 30, 2021 and December 31, 2019, or at January 1, 2020 the date ASU 2016-13 was adopted, or in the periods in 2020. Accrued interest receivable was $119.8$76.1 million and $181.8$89.6 million at June 30, 20202021 and December 31, 2019,2020, and no0 allowance for credit losses was recorded as interest due is well collateralized and interest due is expected to be collected. No subsequent events have occurred that would require us to report a credit loss on advances.

​

The FHLBNY’s (or the Bank’s) advances are primarily made to member financial institutions, which include commercial banks and insurance companies. 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'sborrower’s financial condition, in conjunction with the Bank'sBank’s collateral and lending policies to limit risk of loss, while balancing borrowers'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.

• 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.

​

Residential mortgage loans are the principal form of collateral for advances. The estimated value of the collateral required to secure each member'smember’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.


​

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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.

​

23

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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. In the periods in 2020 and December 31, 2019, noneNaN of the FHLBNY’s advances were past due, on non-accrual status, or considered impaired.impaired as of June 30, 2021. In addition, there were no0 troubled debt restructurings related to advances at the FHLBNY at any time in this report.

​

In the periods in 2020 and at December 31, 2019,As of June 30, 2021, 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'smanagement’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 20202021 and through the filing date on this report, andreport; therefore, no0 allowance for credit losses on advances was recorded. For the same reasons, the FHLBNY did not record any allowance for credit losses on interest receivable on advances at December 31, 2019.as of June 30, 2021.

​

Concentration of Advances Outstanding. Advances to the FHLBNY’s top ten10 borrowing member institutions are reported in Note 21. Segment Information and Concentration. The FHLBNY held sufficient collateral to cover the advances to all institutions and it does not expect to incur any credit losses.

​

Advances borrowed by insurance companies accounted for 30.7%37.4% and 24.9%35.6% of total advances at June 30, 20202021 and December 31, 2019.2020, respectively. Lending to insurance companies poses a number of unique risks not present in lending to federally insured depository institutions. For example, there is no single federal regulator for insurance companies. They are supervised by state regulators and subject to state insurance codes and regulations. There is uncertainty about whether a state insurance commissioner would try to void the FHLBNY’s claims on collateral in the event of an insurance company failure. As with all members, insurance companies are also required to purchase the FHLBNY’s capital stock as a prerequisite to membership and borrowing activity. The FHLBNY’s management takes a number of steps to mitigate the unique risk of lending to insurance companies. At the time of membership, the FHLBNY requires an insurance company to be highly-ratedhighly rated and to meet the FHLBNY’s credit quality standards. The FHLBNY performs quarterly credit analysis of the insurance borrower. Insurance companies are required to successfully complete an on-siteonsite review prior to pledging collateral. Additionally, in order to ensure its position as a first priority secured creditor, FHLBNY typically requires insurance companies to place physical possession of all pledged eligible collateral with FHLBNY or deposit it with a third party custodian or control agent. Such collateral must meet the FHLBNY’s credit quality standards, with appropriate minimum margins applied.

​

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 December 31, 2019,as of June 30, 2021, 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.

​


24

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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 two2 exceptions are claims that would be entitled to priority under otherwise applicable law or perfected security interests. All member obligations with the FHLBNY were fully collateralized throughout their entire term. The total of collateral pledged to the FHLBNY includes excess collateral pledged above the minimum collateral requirements. However, a “Maximum Lendable Value” is established to ensure that the FHLBNY has sufficient eligible collateral securing credit extensions.

​

Note 10.Mortgage Loans Held-for-Portfolio.

​

​

25

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 10.         Mortgage Loans Held-for-Portfolio.

​

Mortgage Partnership Finance® program loans, or (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 June 30, 2021, mortgage loans under the MAP program were $57.7 million.

​

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.

​

The following table presents information on mortgage loans held-for-portfolio (dollars in thousands):

​

 June 30, 2020  December 31, 2019 
 Carrying Amount  Percentage of Total  Carrying Amount  Percentage of Total 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

December 31, 2020

​

​

​

​

​

​

​

​

​

​

​

​

​

​

    

Carrying Amount

    

Percentage of Total

    

Carrying Amount

    

Percentage of Total

​

Real Estate (a):                

​

​

​

​

​

​

​

​

​

​

​

Fixed medium-term single-family mortgages $174,468   5.58% $174,291   5.57%

​

$

158,614

 

6.52

%  

$

178,968

 

6.25

%

Fixed long-term single-family mortgages  2,950,018   94.42   2,953,453   94.43 

​

​

2,275,889

 

93.48

​

 

2,682,955

 

93.75

​

Total unpaid principal balance  3,124,486   100.00%  3,127,744   100.00%

​

$

2,434,503

 

100.00

%  

$

2,861,923

 

100.00

%

                

​

​

​

​

​

​

​

​

​

​

​

​

Unamortized premiums  46,039       46,442     

​

​

36,552

​

​

​

 

43,103

​

​

​

Unamortized discounts  (1,424)      (1,562)    

​

​

(977)

​

​

​

 

(1,246)

​

​

​

Basis adjustment (b)  2,142       1,381     

​

​

2,250

​

​

​

 

2,691

​

​

​

                
Total mortgage loans held-for-portfolio  3,171,243       3,174,005     
Allowance for credit losses (c)  (6,534)      (653)    

​

​

​

​

​

​

​

​

​

​

​

​

Total MPF loans amortized cost

​

$

2,472,328

​

​

​

$

2,906,471

​

​

​

MPF allowance for credit losses

​

​

(4,033)

​

​

​

​

(7,073)

​

​

​

MPF loans held-for-portfolio

​

$

2,468,295

​

​

​

$

2,899,398

​

​

​

MAP loans held-for-portfolio

​

$

57,672

​

​

​

$

314

​

​

​

Total mortgage loans held-for-portfolio at carrying value $3,164,709      $3,173,352     

​

$

2,525,967

​

​

​

$

2,899,712

​

​

​

​

(a)Conventional mortgages 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.
(c)The Bank’s methodology for determining the allowance for credit losses on mortgage loans changed on January 1, 2020 with the adoption of CECL, the new accounting framework for the measurement of credit losses on financial instruments. Consistent with the modified retrospective method of adoption, the prior period has not been revised to conform to the new basis of accounting.


Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

​

The FHLBNY and its members share the credit risk of MPF loans by structuring potential credit losses into layers. The first layer is typically 100 bps, but this varies with the particular MPF product. The amount of the first layer, or First Loss Account (FLA), was estimated at $42.5$44.2 million and $40.2$43.9 million at June 30, 20202021 and December 31, 2019.2020, respectively. The FLA is not recorded or reported as a reserve for loan losses, as it serves as a memorandum or information account. The FHLBNY is responsible for absorbing the first layer. The second layer is that amount of credit obligations that the PFI has agreed to assume at the “Master Commitment” level. The FHLBNY pays a credit enhancement fee to the PFI for taking on this obligation. The FHLBNY assumes all residual risk. Credit enhancement fees accrued were $0.7$0.6 million and $1.4$1.2 million for the three months and six months ended June 30, 20202021 and $0.6$0.7 million and $1.2$1.4 million for the same periods in the prior year. These fees were reported as a reduction to mortgage loan interest income.

​

26

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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 80% at origination.
(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 1.5% for every 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 is $844.9 thousand at June 30, 2021 and $4.5 thousand at December 31, 2020.

​

Allowance Methodology for Mortgage Loan Losses under New Accounting Framework under ASU 2016-13.

​

In June 2016,Effective January 1, 2020, the FASB issuedFHLBNY adopted ASU 2016-13, Financial Instruments— Credit Losses (Topic 326).The ASU introduced a new accounting framework, which was adopted effective January 1, 2020. With the adoption of the CECL guidance, the estimate of expected credit losses for MPF will be forward-looking, which will requireis 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.

​

Mortgage loans are evaluated for credit losses on an individual basis. The following table presents the impacts to the allowance for credit losses and retained earnings upon adoption of this guidance on January 1, 2020 and at June 30, 2020. Amounts represent cumulative loan loss allowances at each of the dates (in thousands):

​

  December 31, 2019  CECL Adoption Impact  January 1, 2020  June 30, 2020 
Allowance for Credit Losses $653  $2,972  $2,972  $6,534 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Reserves/(Recoveries)

​

​

​

​

    

December 31, 2020

    

Recorded in 2021

    

June 30, 2021

​

​

​

​

​

​

​

​

​

​

Allowance for Credit Losses

​

$

7,073

​

$

(2,970)

​

$

4,103

​

The impact of adoption of ASU 2016-13 — Upon adoption at January 1, 2020, the Bank recorded $3.0 million as the incremental expected life-time losses.

Our allowance for credit loss of $6.5$4.1 million at the current quarter-end takesJune 30, 2021 took into consideration several factors. First, the Bank’s mortgage loan portfolio has a history of incurred losses that accumulates to less than $4$5 million in life-time losses. Second, loss sharing and insurance mitigates forecastedwould largely offset actual losses. Lastly, forbearance processes under COVID-19 are likely to be temporary for the MPF loans.loans; amounts under forbearance agreements are not material. Loan deferrals under COVID-19 relief are not material.

​


27

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Evaluation of Credit Losses under the new framework —CECL- MPF 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)(“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., Currentcurrent to 30 Days,days, 30 Daysdays to 60 Days,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 $16.3 million and $15.5$12.3 million at June 30, 20202021 and $14.2 million at December 31, 2019.2020. Delinquency and non-accruals are factors that are applied in estimating expected credit losses. Refer to discussions on non-accrual and delinquent loans.

​

Government mortgages, which carry FHA, VA or USDA guarantees presentspresent a minimal risk of loss are therefore excluded from CECL analysis.loss. Additionally, as part of the service agreement between FHLBNY and the members sellingthat sold us government loans, those membermembers 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 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.

​

Allowance Methodology for Loan Losses under Methodology Prior to the Adoption of ASU 2016-13.

Allowance Policy — MortgageNo MAP loans were considered impaired when, based on current information and events, it was probable that the FHLBNY would be unable to collect all principal and interest amounts due according to the contractual terms of the mortgage loan agreements. The FHLBNY consideredin a loan to be seriously delinquent when it was past due 90 daysstatus at June 30, 2021 or more, and was a primary confirming event of a credit loss. When a loan was seriously delinquent, or in bankruptcy or in foreclosure, the FHLBNY measured estimated credit losses on an individual loan basis by looking to the value of the real property collateral. For such loans, the FHLBNY believed it was probable that we would be unable to collect all contractual interest and principal in accordance with the terms of the loan agreement.December 31, 2020.

​

We computed the provision for credit losses without considering the private mortgage insurance and other accompanying credit enhancement features that provide credit assurance to the FHLBNY.


Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

For loans that were not individually measured for estimated credit losses (i.e. they are not seriously delinquent, or in bankruptcy or in foreclosure), the FHLBNY measured estimated incurred credit losses on a collective basis and recorded a valuation reserve. We reviewed government insured loans (FHA- and VA-insured MPF loans) on a collective basis.

Under pre-CECL policies, we collectively evaluated the majority of our conventional mortgage loan portfolio for impairment (excluding those individually evaluated), and estimated an allowance for credit losses based primarily upon the following factors: (i) loan delinquencies, and (ii) actual historical loss severities. We had utilized a roll-rate methodology when estimating allowance for credit losses. This methodology projected loans migrating to charge off status (180 days delinquency) based on historical average rates of delinquency. We then applied a loss severity factor to calculate an estimate of credit losses.

We collectively evaluated government insured loans (Federal Housing Administration, the Department of Veterans Affairs, and/or the Rural Housing Service of the Department of Agriculture). Any losses incurred on these loans that are not recovered from the insurer/guarantor are absorbed by the servicers. The FHLBNY’s credit risk for these loans is if the servicer or PFI fails to pay for losses not covered by the guarantee or insurance. We evaluated the credit worthiness of our member, the PFI.

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 June 30, Six months ended June 30, 
 2020 2019  2020  2019 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended June 30, 

​

Six months ended June 30, 

​

    

2021

    

2020

    

2021

    

2020

Allowance for credit losses:                

​

​

​

​

​

​

​

​

​

��

​

​

Beginning balance $3,504  $797  $653  $814 

​

$

5,747

​

$

3,504

​

$

7,073

​

$

653

Adjustment for cumulative effect of accounting change  -   -   2,972   - 

​

​

—

​

​

—

​

​

—

​

​

2,972

Charge-offs  -   -   -   - 

​

 

—

​

 

—

​

 

(50)

​

 

—

Recoveries  -   -   -   - 

​

​

—

​

​

—

​

​

—

​

​

—

Provision (Reversal) for credit losses on mortgage loans  3,030   (275)  2,909   (292)

​

 

(1,644)

​

 

3,030

​

 

(2,920)

​

 

2,909

Balance, at end of period $6,534  $522  $6,534  $522 

​

$

4,103

​

$

6,534

​

$

4,103

​

$

6,534

​

  June 30, 2020  December 31, 2019 
Ending balance, individually evaluated for impairment $6,534  $160 
Ending balance, collectively evaluated for impairment  -   493 
Total Allowance for credit losses $6,534  $653 

28

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

The FHLBNY’s total MPF loans and impaired MPF loans were as follows (in thousands):

​

       
  June 30, 2020  December 31, 2019 
Total Mortgage loans, carrying values net (a) $3,164,709  $3,173,352 
Non-performing mortgage loans - Conventional (a)(b) $10,574  $6,899 
Insured MPF loans past due 90 days or more and still accruing interest (a)(b) $6,961  $3,935 

​

​

​

​

​

​

​

​

    

June 30, 2021

    

December 31, 2020

Total MPF Mortgage loans, carrying values net (a)

​

$

2,468,295

​

$

2,899,398

Non-performing MPF mortgage loans - Conventional (a)(b)

​

$

37,310

​

$

58,498

Insured MPF loans past due 90 days or more and still accruing interest (a)(b)

​

$

9,910

​

$

14,760

​

(a)Includes loans classified as special mention, sub-standard, doubtful or loss under regulatory criteria, net of amounts charged-off if delinquent for 180 days or more.
(b)Data in this table represents UPB and would not agree to data reported in other tables at “amortized cost”.


Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

​

Under the new framework, the FHLBNY evaluates all loans, including non-performing conventional loans, on an individual basis for lifetime credit losses.

​

FHFAFHA and VA loans are considered as insured MPF loans, and while the loans are evaluated on an individual basis, we have deemed that FHFAFHA and VA loans as collectively insured. Additionally, based on the Bank'sBank’s assessment of its servicers and the collateral 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 20202021 or December 31, 2019.2020. 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 table summarizes thetables present unpaid principal balance, thebalances with and without related allowance, the amortized cost after allowanceloan loss allowances for conventional loans (excluding insured FHA/VA loans), andMPF loans ) in the average amortized cost after allowances of loans at June 30, 2020MPF program (in thousands):

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended

​

Six months ended

​

​

June 30, 2021

​

June 30, 2021

   

June 30, 2021

       Three months ended Six months ended 
 June 30, 2020 June 30, 2020 June 30, 2020 
 Unpaid      Average 
 Principal Related Amortized Cost Amortized Cost 
 Balance Allowance After Allowance After Allowance (d) 
Conventional MPF Loans (a)(c)                  

​

    

Unpaid

    

​

​

    

​

​

​

Average

​

​

Principal

​

Related

​

Amortized Cost

​

Recorded

​

   

Balance

​

Allowance

    

After Allowance

    

Investment (d)

Conventional Loans - MPF (a)(c)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

No related allowance (b) $1,904,813  $-  $1,932,105 $1,941,883 $1,942,423 

​

$

1,428,890

​

$

—

​

$

1,449,688

​

$

1,503,576

​

$

1,615,057

With a related allowance  1,009,042   6,534   1,018,161  1,030,808  1,036,166 

​

​

830,474

​

​

(4,033)

​

​

840,408

​

​

844,305

​

​

843,359

Total measured for impairment $2,913,855  $6,534  $2,950,266 $2,972,691 $2,978,589 

​

$

2,259,364

​

$

(4,033)

​

$

2,290,096

​

$

2,347,881

​

$

2,458,416

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2020

​

    

Unpaid

    

​

​

    

    

    

Average

​

​

Principal

​

Related

​

Amortized Cost

​

Amortized Cost

​

​

Balance

​

Allowance

​

After Allowance

​

After Allowance (d)

Conventional Loans - MPF (a)(c)

​

​

​

​

​

​

​

​

​

​

​

​

No related allowance (b)

​

$

1,792,650

​

$

—

​

$

1,818,942

​

$

1,903,273

With a related allowance

​

 

873,955

​

 

(7,073)

​

 

881,661

​

 

994,262

Total measured for impairment

​

$

2,666,605

​

$

(7,073)

​

$

2,700,603

​

$

2,897,535

The following table summarizes the unpaid principal balance, the related allowance, recorded investment (excluding insured FHA/VA loans) and the average recorded investment of loans at December 31, 2019 (in thousands):

  December 31, 2019 
  Unpaid        Average 
  Principal  Related  Recorded  Recorded 
  Balance  Allowance  Investment  Investment (d) 
Conventional MPF Loans (a)(c)                
No related allowance  (b) $9,025  $-  $9,061  $10,169 
With a related allowance  2,901,719   653   2,958,205   2,795,017 
Total measured for impairment $2,910,744  $653  $2,967,266  $2,805,186 

​

(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/recorded investmentscost 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 90 days90-days or more. Cash received is recorded as a liability on the assumption that cash was remitted by the servicer to the FHLBNY that could potentially be recouped by the borrower in a foreclosure.

29

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

(d)Represents the average amortized cost after allowance for the three and six months ended June 30, 20202021 and average recorded investment for the twelve months ended December 31, 2019.2020.


Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

​

The following table summarizes MPF mortgage loans held-for-portfolio by collateral/guarantee type (in thousands):

​

  June 30, 2020  December 31, 2019 
Mortgage Loans Held for Portfolio by Collateral/Guarantee Type:        
Conventional MPF mortgage loans $2,913,855  $2,910,744 
Government-guaranteed or -insured mortgage loans  210,631   217,000 
Total unpaid principal balance $3,124,486  $3,127,744 

​

​

​

​

​

​

​

​

    

June 30, 2021

    

December 31, 2020

Mortgage Loans Held for Portfolio by Collateral/Guarantee Type:

​

​

​

​

​

​

Conventional mortgage loans - MPF

​

$

2,259,364

​

$

2,666,605

MPF Government-guaranteed or -insured mortgage loans

​

​

175,139

​

​

195,318

Total MPF loans - unpaid principal balance

​

$

2,434,503

​

$

2,861,923

​

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. The following tables present the payment status for conventional mortgage loans and other delinquency statistics for the Bank’s mortgage loans at June 30, 20202021 and December 31, 2019.2020, respectively.

​

Credit Quality Indicator for Conventional Mortgage Loans(in (in thousands):

​

 June 30, 2020 
 Conventional MPF Loans 
 Origination Year    
 Prior to 2016 2016 to 2020 Total 

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

​

Conventional Loans

​

​

Origination Year

​

​

​

​

    

Prior to 2017

    

2017 to 2021

    

Total

Payment Status, at Amortized Cost:            

​

​

​

​

​

​

​

​

​

Conventional MPF Loans            

​

​

​

​

​

​

​

​

​

​

Conventional MPF/MAP

​

​

​

​

​

​

​

​

​

Past due 30 - 59 days $33,238  $28,250  $61,488 

​

$

7,335

​

$

6,621

​

$

13,956

Past due 60 - 89 days  25,876   33,366   59,242 

​

 

2,167

​

​

959

​

​

3,126

Past due 90 days or more  7,745   2,893   10,638 

​

 

23,197

​

​

14,398

​

​

37,595

Total past due mortgage loans  66,859   64,509   131,368 
Current mortgage loans  1,233,966   1,591,466   2,825,432 
Total Conventional MPF Loans $1,300,825  $1,655,975  $2,956,800 

Total past due MPF mortgage loans

​

 

32,699

​

​

21,978

​

​

54,677

Current MPF mortgage loans

​

​

1,113,032

​

​

1,126,420

​

​

2,239,452

Current MAP Mortgage Loans

​

 

—

​

​

57,742

​

​

57,742

Total conventional Mortgage Loans

​

$

1,145,731

​

$

1,206,140

​

$

2,351,871

​

  December 31, 2019 
  Conventional 
  MPF Loans 
Payment Status, at Recorded Investment:    
Conventional MPF Loans    
Past due 30 - 59 days $15,775 
Past due 60 - 89 days  3,424 
Past due 90 days or more  6,919 
Total past due mortgage loans  26,118 
Current mortgage loans  2,941,148 
Total Conventional MPF Loans $2,967,266 

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2020

​

​

Conventional Loans

​

​

Origination Year

​

​

​

​

    

Prior to 2016

    

2016 to 2020

    

Total

Payment Status, at Amortized Cost:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Conventional Loans

​

​

​

​

​

​

​

​

​

Past due 30 - 59 days

​

$

10,088

​

$

9,768

​

$

19,856

Past due 60 - 89 days

​

​

4,267

​

​

7,682

​

​

11,949

Past due 90 days or more

​

​

28,157

​

​

31,002

​

​

59,159

Total past due MPF mortgage loans

​

​

42,512

​

​

48,452

​

​

90,964

Current MPF mortgage loans

​

​

1,038,404

​

​

1,578,308

​

​

2,616,712

Current MAP mortgage loans

​

​

—

​

​

314

​

​

314

Total conventional loans

​

$

1,080,916

​

$

1,627,074

​

$

2,707,990

​

30

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Other Delinquency Statistics (dollars in thousands):

​

 June 30, 2020 
 Conventional
MPF Loans		 Government-Guaranteed
or -Insured Loans		 Total 

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

​

​

Conventional

​

MPF Government-Guaranteed

​

​

​

​

​

    

MPF Loans

    

or -Insured Loans

    

Total MPF Loans

​

Amortized Cost:            

​

​

​

​

​

​

​

​

​

​

In process of foreclosure (a) $49,431  $11,133  $60,564 

​

$

8,482

​

$

7,391

​

$

15,873

​

Serious delinquency rate (b)  1.80%  6.93%  2.14%

​

​

1.78

%

​

5.94

%

​

2.08

%

Past due 90 days or more and still accruing interest $-  $7,079  $7,079 

​

$

—

​

$

10,034

​

$

10,034

​

Loans on non-accrual status $10,638  $-  $10,638 

​

$

37,595

​

$

—

​

$

37,595

​

Troubled debt restructurings:            

​

​

​

​

​

​

​

​

​

​

Loans discharged from bankruptcy (c) $7,398  $935  $8,333 

​

$

5,438

​

$

962

​

$

6,400

​

Modified loans under MPF® program $1,115  $-  $1,115 

Modified loans under MPF® program

​

$

432

​

$

—

​

$

432

​

Real estate owned (d) $358  $-  $358 

​

$

62

​

$

—

​

$

62

​

​

 December 31, 2019 
 Conventional
MPF Loans		 Government-Guaranteed
or -Insured Loans		 Total 
Recorded Investment:            

​

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2020

​

​

​

Conventional

​

MPF Government-Guaranteed

​

​

​

​

​

    

MPF Loans

    

or -Insured Loans

    

Total MPF Loans

​

Amortized Cost:

​

​

​

​

​

​

​

​

​

​

In process of foreclosure (a) $4,198  $2,408  $6,606 

​

$

23,645

​

$

9,266

​

$

32,911

​

Serious delinquency rate (b)  0.24%  1.87%  0.36%

​

​

2.44

%

​

8.05

%

​

2.82

%

Past due 90 days or more and still accruing interest $-  $4,147  $4,147 

​

$

—

​

$

14,986

​

$

14,986

​

Loans on non-accrual status $6,919  $-  $6,919 

​

$

59,159

​

$

—

​

$

59,159

​

Troubled debt restructurings:            

​

​

​

​

​

​

​

​

​

​

Loans discharged from bankruptcy (c) $7,711  $1,028  $8,739 

​

$

6,802

​

$

1,219

​

$

8,021

​

Modified loans under MPF® program $1,138  $-  $1,138 

Modified loans under MPF® program

​

$

926

​

$

—

​

$

926

​

Real estate owned (d) $293  $-  $293 

​

$

133

​

$

—

​

$

133

​

​

(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. Seriously delinquent loans are comprised of all loans past due 90 days or more delinquent or loans that are in the process of foreclosure.
(c)Loans discharged from Chapter 7 bankruptcies are considered as TDRs.
(d)REO is reported at lower of cost or market value.

​

(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. Seriously delinquent loans are comprised of all loans past due 90 days or more delinquent or loans that are in the process of foreclosure.

(c) Loans discharged from Chapter 7 bankruptcies are considered as TDRs.

(d) REO is reported at carrying 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.

​

The following table summarizes deposits (in thousands):

​

 June 30, 2020 December 31, 2019 

​

​

​

​

​

​

​

​

    

June 30, 2021

    

December 31, 2020

Interest-bearing deposits        

​

​

​

​

​

​

Interest-bearing demand $1,497,431  $1,144,519 

​

$

1,484,249

​

$

1,677,526

Term (a)  33,000   15,000 

​

 

—

​

 

5,000

Total interest-bearing deposits  1,530,431   1,159,519 

​

 

1,484,249

​

 

1,682,526

Non-interest-bearing demand  59,926   34,890 

​

​

46,361

​

 

70,437

Total deposits (b) $1,590,357  $1,194,409 

​

$

1,530,610

​

$

1,752,963

​

(a)Term deposits were for periods of one year or less.
(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.

31


Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

​

Interest rate payment terms for deposits are summarized below (dollars in thousands):

​

 June 30, 2020  December 31, 2019 
 

Amount Outstanding

  Average Interest Rate (b)  

Amount Outstanding

 

Average Interest Rate (b)

 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

December 31, 2020

​

​

​

Amount

​

Average Interest

​

Amount

​

Average Interest

​

​

    

Outstanding

    

Rate (b)

    

Outstanding

    

Rate (b)

​

Due in one year or less           

​

​

​

​

​

​

​

​

​

​

​

Interest-bearing deposits (a) $1,530,431   0.51% $1,159,519   2.03%

​

$

1,484,249

 

0.02

%  

$

1,682,526

 

0.26

%

Non-interest-bearing deposits  59,926       34,890     

​

​

46,361

​

​

​

 

70,437

​

​

​

Total deposits $1,590,357      $1,194,409     

​

$

1,530,610

​

​

​

$

1,752,963

​

​

​

​

(a)

Primarily adjustable rate.

(b)

The weighted average interest rate is calculated based on the average balance.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.

​

The following table summarizes carrying amounts of Consolidated obligations issued by the FHLBNY and outstanding at June 30, 20202021 and December 31, 20192020 (in thousands):

​

 June 30, 2020 December 31, 2019 

​

​

​

​

​

​

​

​

    

June 30, 2021

    

December 31, 2020

​

​

​

​

​

​

​

Consolidated obligation bonds-amortized cost $58,273,828  $78,179,661 

​

$

68,850,177

​

$

69,063,948

Hedge valuation basis adjustments  620,391   377,000 

​

 

332,091

​

 

514,436

Hedge basis adjustments on de-designated hedges  135,883   139,605 

​

 

128,448

​

 

132,450

FVO - valuation adjustments and accrued interest  2,385   67,043 

​

 

1,834

​

 

5,464

Total Consolidated obligation bonds $59,032,487  $78,763,309 

​

$

69,312,550

​

$

69,716,298

        

​

​

​

​

​

​

​

Discount notes-amortized cost $89,457,724  $73,955,552 

​

$

42,172,501

​

$

57,642,972

Hedge value basis adjustments  3,822   (105)

​

​

—

​

​

321

FVO - valuation adjustments and remaining accretion  38,347   3,758 

​

 

572

​

 

15,545

Total Consolidated obligation discount notes $89,499,893  $73,959,205 

​

$

42,173,073

​

$

57,658,838

​


32

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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):

​

 June 30, 2020 December 31, 2019 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

December 31, 2020

​

​

​

​

​

​

Weighted

​

    

​

​

​

​

Weighted

​

    

​

​

​

​

​

​

Average

​

Percentage

​

​

​

​

Average

​

Percentage

​

Maturity Amount 

Weighted Average

Rate (a)

 

Percentage

of Total

 Amount 

Weighted Average

Rate (a)

 

Percentage

of Total

 

    

Amount

    

Rate (a)

    

of Total

    

Amount

    

Rate (a)

    

of Total

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

One year or less $37,081,435   0.53%  63.75% $62,319,595   1.77%  79.79%

​

$

37,712,490

 

0.41

%  

54.88

%  

$

45,481,150

 

0.34

%  

66.00

%

Over one year through two years  8,287,550   1.11   14.24   4,061,125   2.10   5.20 

​

 

7,267,550

 

1.40

​

10.58

​

 

10,367,545

 

1.01

​

15.05

​

Over two years through three years  3,786,425   1.99   6.51   2,817,715   2.22   3.61 

​

 

3,878,865

 

1.07

​

5.64

​

 

4,324,660

 

1.72

​

6.28

​

Over three years through four years  1,680,440   2.22   2.89   1,538,835   2.69   1.97 

​

 

3,120,360

 

1.08

​

4.54

​

 

1,581,355

 

1.94

​

2.29

​

Over four years through five years  1,186,585   2.26   2.04   1,240,735   2.60   1.58 

​

 

7,646,150

 

0.76

​

11.13

​

 

822,620

 

1.62

​

1.19

​

Thereafter  6,148,500   3.28   10.57   6,130,800   3.34   7.85 

​

 

9,093,700

 

2.42

​

13.23

​

 

6,329,200

 

3.14

​

9.19

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total par value  58,170,935   1.08%  100.00%  78,108,805   1.96%  100.00%

​

 

68,719,115

 

0.89

%  

100.00

%  

 

68,906,530

 

0.84

%  

100.00

%

                        

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Bond premiums (b)  128,950           95,560         

​

 

155,680

​

​

​

​

​

 

184,084

​

​

​

​

​

Bond discounts (b)  (26,057)          (24,704)        

​

 

(24,618)

​

​

​

​

​

 

(26,666)

​

​

​

​

​

Hedge valuation basis adjustments (c)  620,391           377,000         

​

 

332,091

​

​

​

​

​

 

514,436

​

​

​

​

​

Hedge basis adjustments on de-designated hedges (d)  135,883           139,605         

​

 

128,448

​

​

​

​

​

 

132,450

​

​

​

​

​

FVO (e) - valuation adjustments and accrued interest  2,385           67,043         

​

 

1,834

​

​

​

​

​

 

5,464

​

​

​

​

​

Total Consolidated obligation-bonds $59,032,487          $78,763,309         

​

$

69,312,550

​

​

​

​

​

$

69,716,298

​

​

​

​

​

​

(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 rate.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, is the primary benchmark index; the FHLBNY also hedges to the FF/OIS index and the FF/SOFR 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 zero.0.

(e)

Valuation adjustments on FVO designated bonds represent changes in the entire fair values of CO bonds elected under the FVO.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.

33

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Interest Rate Payment Terms

​

The following table summarizes par amounts of major types of Consolidated obligation bonds issued and outstanding (dollars in thousands):

​

 June 30, 2020 December 31, 2019 
 Amount 

Percentage

of Total

 Amount 

Percentage

of Total

 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

December 31, 2020

​

​

​

​

​

​

Percentage

​

​

​

​

Percentage

​

​

    

Amount

    

of Total

    

Amount

    

of Total

​

​

​

​

​

​

​

​

​

​

​

​

​

Fixed-rate, non-callable $21,932,435   37.70% $32,588,805   41.72%

​

$

50,425,985

 

73.38

%  

$

49,275,530

 

71.51

%

Fixed-rate, callable  1,424,000   2.45   4,803,000   6.15 

​

 

10,521,130

​

15.31

​

 

1,434,000

​

2.08

​

Step Up, callable   -   -   15,000   0.02 

​

 

3,856,000

​

5.61

​

 

—

​

—

​

Floating rate, callable

​

​

250,000

​

0.36

​

​

—

​

—

​

Single-index floating rate  34,814,500   59.85   40,702,000   52.11 

​

 

3,666,000

 

5.34

​

 

18,197,000

 

26.41

​

​

​

​

​

​

​

​

​

​

​

​

​

Total par value $58,170,935   100.00% $78,108,805  100.00%

​

$

68,719,115

 

100.00

%  

$

68,906,530

 

100.00

%


Federal Home Loan Bank of New York​

Notes to Financial Statements — Unaudited

Discount Notes

​

Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are Consolidated obligations with original maturities of up to one year. These notes are issued at less than their face amount and redeemed at par when they mature.

The FHLBNY’s outstanding Consolidated obligation discount notes were as follows (dollars in thousands):

​

 June 30, 2020 December 31, 2019 

​

​

​

​

​

​

​

​

​

    

June 30, 2021

    

December 31, 2020

​

​

​

​

​

​

​

​

​

Par value $89,545,947  $74,094,586 

​

$

42,174,015

​

$

57,668,646

​

Amortized cost $89,457,724  $73,955,552 

​

$

42,172,501

​

$

57,642,972

​

Hedge value basis adjustments (a)  3,822   (105)

​

​

—

​

​

321

​

FVO (b) - valuation adjustments and remaining accretion  38,347   3,758 

​

 

572

​

 

15,545

​

Total discount notes $89,499,893  $73,959,205 

​

$

42,173,073

​

$

57,658,838

​

Weighted average interest rate  0.26%  1.60%

​

 

0.02

%  

 

0.15

%

​

(a)(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. InChanges in the hedging relationships, a specificdesignated 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. Notionalinterest rate, notional amounts of $16.1 billion of CO discount notes were hedged under ASC 815 qualifying fair value hedges at June 30, 2020. The application of ASC 815 accounting methodology resulted in the recognition of net cumulativehedging relationships and remaining terms to maturity or next call are factors that impact hedge valuation basis losses of $3.9 million at June 30, 2020; hedge basis adjustments on de-designated hedges were a de minimis gain of $0.1 million. Comparative balances at December 31, 2019 were immaterial. Cumulative basis adjustments have increased in line with the increase in the volume of hedged CO discount notes. Additionally, the benchmark curves, specifically OIS/FF and OIS/SOFR declined at the measurement date. As hedge valuation basis of fixed-rate CO liabilities move with the rise and fall of the forward benchmark curves, the decline in forward curves caused valuation losses to increase. Generally, hedge valuation basis gains and losses are unrealized and will reverse to zero if the CO discount notes are held to maturity.adjustments.

​

(b)FVO valuation adjustments— Valuation basis adjustment losses are recorded to recognize changes in the entire or full fair values (includingincluding unaccreted discounts on CO discount notes elected under the FVO. The discounting basis for computing changesChanges in fair valuesbenchmark interest rates, notional amounts of CO discount notes elected under the FVO is the observable FHLBank discount note yield curve. Valuation losses were largely unaccreted discounts. Other than unaccreted discount, changes in the valuation adjustments (clean prices) were not material. Clean prices represent fair value changes due to changes in the term structure of interest rates, the shape of the yield curve at the measurement dates, and the growth or decline in volume of hedged CO discount notes. When heldremaining terms 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.are factors that impact hedge valuation adjustments.

​

​

​

34

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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 June 30, Six months ended June 30, 
 2020 2019 2020 2019 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended June 30, 

​

Six months ended June 30, 

​

    

2021

    

2020

    

2021

    

2020

​

​

​

​

​

​

​

​

​

​

​

​

​

Beginning balance $155,611  $161,129  $153,894  $161,718 

​

$

152,176

​

$

155,611

​

$

148,827

​

$

153,894

Additions from current period's assessments  15,287   12,021   26,974   27,014 

Additions from current period’s assessments

​

 

8,304

​

 

15,287

​

 

16,331

​

 

26,974

Net disbursements for grants and programs  (11,434)  (8,888)  (21,404)  (24,470)

​

 

(7,957)

​

 

(11,434)

​

 

(12,635)

​

 

(21,404)

Ending balance $159,464  $164,262  $159,464  $164,262 

​

$

152,523

​

$

159,464

​

$

152,523

​

$

159,464


Federal Home Loan Bank of New York​

Notes to Financial Statements — Unaudited​

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 $100 per share. It is not publicly traded. An option to redeem capital stock that is greater than a member’s minimum requirement is held by both the member and the FHLBNY. The FHLBNY’s Capital Plan offers two2 sub-classes of Class B capital stock, membership and activity-based capital stock, and members can redeem Class B stock by giving five years notice. The FHLBNY’s Class B capital stock issued and outstanding was $6.3$4.9 billion at June 30, 20202021 and $5.8$5.4 billion at December 31, 2019.2020.

​

Membership and Activity-based Class B capital stocks have the same voting rights and dividend rates. (See Statements of Capital):

​

Ÿ●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 12.5 basis points. In addition, notwithstanding this requirement, the FHLBNY has a $100 million cap on membership stock per member.

Ÿ●Activity based stock is issued on a percentage of outstanding balances of advances, MPF loans and certain commitments.financial letters of credit. The FHLBNY’s current capital plan requires a stock purchase of 4.5% of the member’s borrowed amount. Excess activity-based capital stock is repurchased daily.

​

The FHLBNY is subject to risk-based capital rules of the Finance Agency, the regulator of the FHLBanks. Specifically, the FHLBNY is subject to three3 capital requirements under its capital plan. First, the FHLBNY must maintain at all times permanent capital in an amount at least equal to the sum of its credit risk, market risk, and operations risk capital requirements as calculated in accordance with the FHLBNY policy, and rules and regulations of the Finance Agency. Only permanent capital, defined as Class B stock and retained earnings, satisfies this risk-based capital requirement. The capital plan does not provide for the issuance of Class A capital stock. The Finance Agency may require the FHLBNY to maintain an amount of permanent capital greater than what is required by the risk-based capital requirements. Second, the FHLBNY is required to maintain at least a 4.0% total capital-to-asset ratio; and third, the FHLBNY will maintain at least a 5.0% leverage ratio at all times. The FHFA’s regulatory leverage ratio is defined as the sum of permanent capital weighted 1.5 times and non-permanent capital weighted 1.0 times divided by total assets.

​

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

35

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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.


​

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Risk-based Capital — The following table summarizes the FHLBNY’s risk-based capital ratios (dollars in thousands):

​

 June 30, 2020 December 31, 2019 
 Required (d) Actual Required (d) Actual 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

December 31, 2020

​

​

    

Required (d)

    

Actual

    

Required (d)

    

Actual

​

Regulatory capital requirements:                

​

​

​

​

​

​

​

​

​

​

​

​

​

Risk-based capital (a)(e) $1,061,863  $8,222,482  $1,107,356  $7,584,829 

​

$

1,151,962

​

$

6,793,245

​

$

1,067,518

​

$

7,279,437

​

Total capital-to-asset ratio  4.00%  5.18%  4.00%  4.68%

​

 

4.00

%  

 

5.64

%  

 

4.00

%  

 

5.31

%

Total capital (b) $6,354,882  $8,222,482  $6,482,481  $7,584,829 

​

$

4,817,946

​

$

6,793,245

​

$

5,479,855

​

$

7,279,437

​

Leverage ratio  5.00%  7.76%  5.00%  7.02%

​

 

5.00

%  

 

8.46

%  

 

5.00

%  

 

7.97

%

Leverage capital (c ) $7,943,602  $12,333,723  $8,103,101  $11,377,244 

Leverage capital (c)

​

$

6,022,433

​

$

10,189,867

​

$

6,849,819

​

$

10,919,156

​

​

(a)(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)(b)Required “Total capital” is 4.0% of total assets.
(c)(c)The required leverage ratio of total capital to total assets should be at least 5.0%. For the purposes of determining the leverage ratio, total capital shall be computed by multiplying the Bank’s Permanent Capital by 1.5.
(d)(d)Required minimum.
(e)(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):

​

 June 30, 2020 December 31, 2019 

​

​

​

​

​

​

​

​

    

June 30, 2021

    

December 31, 2020

​

​

​

​

​

​

​

Redemption less than one year $146  $835 

​

$

109

​

$

127

Redemption from one year to less than three years  338   371 

​

 

253

​

 

293

Redemption from three years to less than five years  366   402 

​

 

275

​

 

317

Redemption from five years or greater  2,991   3,521 

​

 

1,723

​

 

2,254

​

​

​

​

​

​

​

Total $3,841  $5,129 

​

$

2,360

​

$

2,991

​

36

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

The following table provides rollforward information with respect to changes in mandatorily redeemable capital stock liabilities (in thousands):

​

 Three months ended June 30, Six months ended June 30, 
 2020 2019 2020 2019 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended June 30,

​

Six months ended June 30, 

​

    

2021

    

2020

    

2021

    

2020

​

​

​

​

​

​

​

​

​

​

​

​

​

Beginning balance $4,924  $5,755  $5,129  $5,845 

​

$

2,651

​

$

4,924

​

$

2,991

​

$

5,129

Capital stock subject to mandatory redemption reclassified from equity  -   3,937   -   4,049 

​

 

41

​

 

—

​

 

85

​

 

—

Redemption of mandatorily redeemable capital stock (a)  (1,083)  (4,178)  (1,288)  (4,380)

​

 

(332)

​

 

(1,083)

​

 

(716)

​

 

(1,288)

Ending balance $3,841  $5,514  $3,841  $5,514 

​

$

2,360

​

$

3,841

​

$

2,360

​

$

3,841

Accrued interest payable (b) $61  $117  $61  $117 

​

$

30

​

$

61

​

$

30

​

$

61

​

(a)(a)Redemption includes repayment of excess stock.
(b)(b)The annualized accrual rate was 4.75% for the three months ended June 30, 2021 and 5.90% for the three months ended June 30, 2020 and 6.35% for the three months ended June 30, 2019.2020. Accrual rates are based on estimated dividend rates.

​

36

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Distribution received from Financing Corporation (FICO) — FICO was established by Congress in 1987 as a vehicle for recapitalizing the Federal Savings and Loan Insurance Corporation. FICO issued $8.2 billion of 30-year bonds (Obligations) with maturity dates between 2017 and 2019, the principal of which was to be repaid with the proceeds from zero-coupon U.S. Treasury bonds that FICO purchased with $680 million contributed by the Federal Home Loan Banks (FHLBanks), as FICO’s only stockholders, in exchange for nonvoting FICO stock. FICO was dissolved in 2019 in accordance with statute following payment in full of the Obligations and all creditor claims. Funds remaining were distributed in June 2020 to the FHLBanks in proportion to the amounts of FICO stock owned by each FHLBank. The FHLBNY’s share was $18.2 million, which was credited to Unrestricted retained earnings. The initial purchase of FICO capital stock in 1987 was charged-off to retained earnings; the subsequent recovery of the cost of the capital stock is also viewed as a capital transaction. In accordance with ASC 505-10-25-2 Equity, capital transactions are excluded from the determination of net income or the results of operations.

Restricted Retained Earnings

​

Under the FHLBank Joint Capital Enhancement Agreement (Capital Agreement), each FHLBank is required to set aside 20% of its Net income each quarter to a restricted retained earnings account until the balance of that account equals at least one1 percent of that FHLBank’s average balance of outstanding Consolidated obligations.obligations as calculated as of the last date of the calendar quarter. The Capital Agreement is intended to enhance the capital position of each FHLBank. These restricted retained earnings will not be available to pay dividends. Retained earnings included $734.3$803.7 million and $685.8$774.3 million as restricted retained earnings in the FHLBNY’s Total Capital at June 30, 20202021 and December 31, 2019.2020.

​

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. The FHLBNY has no0 dilutive potential common shares or other common stock equivalents (dollars in thousands except per share amounts):

​

 Three months ended June 30, Six months ended June 30, 
 2020 2019 2020 2019 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended June 30, 

​

Six months ended June 30, 

​

    

2021

    

2020

    

2021

    

2020

​

​

​

​

​

​

​

​

​

​

​

​

​

Net income $137,525  $108,082  $242,632  $242,920 

​

$

74,705

​

$

137,525

​

$

146,914

​

$

242,632

                

​

​

​

​

​

​

​

​

​

​

​

​

​

Net income available to stockholders $137,525  $108,082  $242,632  $242,920 

​

$

74,705

​

$

137,525

​

$

146,914

​

$

242,632

                

​

​

​

​

​

​

​

​

​

​

​

​

​

Weighted average shares of capital  68,083   58,232   63,587   56,998 

​

 

51,878

​

 

68,083

​

 

52,470

​

 

63,587

Less: Mandatorily redeemable capital stock  (42)  (74)  (46)  (66)

​

 

(25)

​

 

(42)

​

 

(27)

​

 

(46)

Average number of shares of capital used to calculate earnings per share  68,041   58,158   63,541   56,932 

​

 

51,853

​

 

68,041

​

 

52,443

​

 

63,541

                

​

​

​

​

​

​

​

​

​

​

​

​

​

Basic earnings per share $2.02  $1.86  $3.82  $4.27 

​

$

1.44

​

$

2.02

​

$

2.80

​

$

3.82

​

​

37

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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 two2 non-qualified Benefit Equalization Plans, which are retirement plans. The two plans restore and enhance defined benefits for those employees who have had their qualified Defined Benefit Plan and their Defined Contribution Plan limited by IRS regulations. The two non-qualified Benefit Equalization Plans (BEP) are unfunded.

​

37

Federal Home Loan Bank of New York
Notes to Financial Statements — Unaudited

Retirement Plan Expenses —Summary

​

The following table presents employee retirement plan expenses for the periods ended (in thousands):

​

 Three months ended June 30, Six months ended June 30, 
 2020 2019 2020 2019 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended June 30, 

​

Six months ended June 30, 

​

    

2021

    

2020

    

2021

    

2020

​

​

​

​

​

​

​

​

​

​

​

​

​

Defined Benefit Plan $2,500  $2,494  $5,000  $4,988 

​

$

2,500

​

$

2,500

​

$

5,000

​

$

5,000

Benefit Equalization Plans (defined benefit and defined contribution)  3,105   1,838   4,661   3,770 

​

 

3,281

​

 

3,105

​

 

6,266

​

 

4,661

Defined Contribution Plans  658   616   1,394   1,277 

​

 

721

​

 

658

​

 

1,490

​

 

1,394

Postretirement Health Benefit Plan  61   84   122   167 

​

 

77

​

 

61

​

 

153

​

 

122

              

​

​

​

​

​

​

​

​

​

​

​

​

​

Total retirement plan expenses $6,324  $5,032  $11,177  $10,202 

​

$

6,579

​

$

6,324

​

$

12,909

​

$

11,177

​

Benefit Equalization Plan (BEP)

​

The BEP restores and enhances certain 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 June 30, Six months ended June 30, 
 2020 2019 2020 2019 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended June 30, 

​

Six months ended June 30, 

​

    

2021

    

2020

    

2021

    

2020

Service cost $392  $316  $784  $632 

​

$

496

​

$

392

​

$

992

​

$

784

Interest cost  587   636   1,174   1,272 

​

 

529

​

 

587

​

 

1,059

​

 

1,174

Amortization of unrecognized net loss  1,140   720   2,280   1,440 

​

 

1,477

​

 

1,140

​

 

2,954

​

 

2,280

Amortization of unrecognized past service (credit)/cost  174   -   348   - 
                

Amortization of unrecognized past service cost

​

​

174

​

​

174

​

​

348

​

​

348

​

​

​

​

​

​

​

​

​

​

​

​

​

Net periodic benefit cost -Defined Benefit BEP  2,293   1,672   4,586   3,344 

​

​

2,676

​

​

2,293

​

​

5,353

​

​

4,586

                

​

​

​

​

​

​

​

​

​

​

​

​

​

Benefit Equalization plans - Thrift and Deferred
incentive compensation plans		  812   166   75   426 

​

​

605

​

​

812

​

​

913

​

​

75

Total $3,105  $1,838  $4,661  $3,770 

​

$

3,281

​

$

3,105

​

$

6,266

​

$

4,661

​

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 10 years of employment service at the FHLBNY and attained age 55 as of January 1, 2015.

38

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Components of the net periodic benefit cost for the postretirement health benefit plan were as follows (in thousands):

​

 Three months ended June 30, Six months ended June 30, 
 2020 2019 2020 2019 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended June 30, 

​

Six months ended June 30, 

​

    

2021

    

2020

    

2021

    

2020

Service cost (benefits attributed to service during the period) $21  $21  $42  $42 

​

$

16

​

$

21

​

$

32

​

$

42

Interest cost on accumulated postretirement health benefit obligation  78   127   156   254 

​

 

61

​

 

78

​

 

121

​

 

156

Amortization of (gain)/loss  (38)  -   (76)  - 

​

 

—

​

 

(38)

​

 

—

​

 

(76)

Amortization of prior service (credit)/cost  -   (64)  -   (129)
Net periodic postretirement health benefit (income) $61  $84  $122  $167 

Net periodic postretirement health benefit expense/(income)

​

$

77

​

$

61

​

$

153

​

$

122

​


​

Federal Home Loan Bank of New York
Notes to Financial Statements — Unaudited

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.Refer to Note 17. Derivatives and Hedging Activities in the 2019 Form 10-K for a further discussion of the FHLBNY’s use of and accounting policies regarding derivative instruments.

​

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

​

    

June 30, 2021

    

December 31, 2020

Interest rate contracts

​

​

​

​

​

​

Interest rate swaps

​

$

108,658,726

​

$

127,077,867

Interest rate caps

​

 

800,000

​

 

800,000

Mortgage delivery commitments

​

 

10,875

​

 

9,777

Total interest rate contracts notionals

​

$

109,469,601

​

$

127,887,644

Derivative Notionals​

39

  Hedging Instruments Under ASC 815 
  June 30, 2020  December 31, 2019 
Interest rate contracts        
   Interest rate swaps $153,806,725  $107,837,925 
   Interest rate caps  800,000   800,000 
   Mortgage delivery commitments  49,196   44,768 
Total interest rate contracts notionals $154,655,921  $108,682,693 

Table of Contents


Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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):

​

 June 30, 2020 December 31, 2019 
 Derivative
Assets		 Derivative
Liabilities		 Derivative
Assets		 Derivative
Liabilities		 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

December 31, 2020

​

​

Derivative

​

Derivative

​

Derivative

​

Derivative

​

    

Assets

    

Liabilities

    

Assets

    

Liabilities

Derivative instruments - nettable                

​

​

​

​

​

​

​

​

​

​

​

​

Gross recognized amount                

​

​

​

​

​

​

​

​

​

​

​

​

Uncleared derivatives $279,113  $1,115,931  $241,501  $365,397 

​

$

207,952

​

$

719,040

​

$

232,355

​

$

913,215

Cleared derivatives  305,417   297,175   367,202   352,576 

​

 

224,831

​

 

218,130

​

 

205,505

​

 

211,259

Total gross recognized amount  584,530   1,413,106   608,703   717,973 

​

 

432,783

​

 

937,170

​

 

437,860

​

 

1,124,474

Gross amounts of netting adjustments and cash collateral                

​

​

​

​

​

​

​

​

​

​

​

​

Uncleared derivatives  (232,381)  (1,045,786)  (104,011)  (333,471)

​

 

(185,403)

​

 

(670,038)

​

 

(197,385)

​

 

(849,880)

Cleared derivatives  (296,594)  (296,594)  (266,850)  (352,092)

​

 

(218,130)

​

 

(218,130)

​

 

(203,835)

​

 

(203,835)

Total gross amounts of netting adjustments and cash collateral  (528,975)  (1,342,380)  (370,861)  (685,563)

​

​

(403,533)

​

​

(888,168)

​

​

(401,220)

​

​

(1,053,715)

Net amounts after offsetting adjustments and cash collateral $55,555  $70,726  $237,842  $32,410 

​

$

29,250

​

$

49,002

​

$

36,640

​

$

70,759

                

​

​

​

​

​

​

​

​

​

​

​

​

​

Uncleared derivatives $46,732  $70,145  $137,490  $31,926 

​

$

22,549

​

$

49,002

​

$

34,970

​

$

63,335

Cleared derivatives  8,823   581   100,352   484 

​

 

6,701

​

 

—

​

 

1,670

​

 

7,424

Total net amounts after offsetting adjustments and cash collateral $55,555  $70,726  $237,842  $32,410 

​

$

29,250

​

$

49,002

​

$

36,640

​

$

70,759

                

​

​

​

​

​

​

​

​

​

​

​

​

​

Derivative instruments - not nettable                

​

​

​

​

​

​

​

​

​

​

​

​

Uncleared derivatives (a) $274  $-  $105  $1 

​

$

32

​

$

1

​

$

29

​

$

1

Total derivative assets and total derivative liabilities                

​

​

​

​

​

​

​

​

​

​

​

​

Uncleared derivatives $47,006  $70,145  $137,595  $31,927 

​

$

22,581

​

$

49,003

​

$

34,999

​

$

63,336

Cleared derivatives  8,823   581   100,352   484 

​

 

6,701

​

 

—

​

 

1,670

​

 

7,424

​

​

​

​

​

​

​

​

​

​

​

​

​

Total derivative assets and total derivative liabilities presented
in the Statements of Condition (b)		 $55,829  $70,726  $237,947  $32,411 

​

$

29,282

​

$

49,003

​

$

36,669

​

$

70,760

                

​

​

​

​

​

​

​

​

​

​

​

​

​

Non-cash collateral received or pledged (c)                

​

​

​

​

​

​

​

​

​

​

​

​

Can be sold or repledged                

​

​

​

​

​

​

​

​

​

​

​

​

Security pledged as initial margin to Derivative Clearing Organization (d) $635,775  $-  $251,177  $- 

​

$

624,717

​

$

—

​

$

630,372

​

$

—

Cannot be sold or repledged                

​

​

​

​

​

​

​

​

​

​

​

​

Uncleared derivatives securities received  (32,871)  -   (115,238)  - 

​

​

(4,672)

​

​

—

​

​

(20,687)

​

​

—

                
Total net amount of non-cash collateral received or repledged $602,904  $-  $135,939  $- 

​

$

620,045

​

$

—

​

$

609,685

​

$

—

                
Total net exposure cash and non-cash (e) $658,733  $70,726  $373,886  $32,411 

​

$

649,327

​

$

49,003

​

$

646,354

​

$

70,760

                
Net unsecured amount - Represented by:                

​

​

​

​

​

​

​

​

​

​

​

​

Uncleared derivatives $14,135  $70,145  $22,357  $31,927 

​

$

17,909

​

$

49,003

​

$

14,312

​

$

63,336

Cleared derivatives  644,598   581   351,529   484 

​

 

631,418

​

 

—

​

 

632,042

​

 

7,424

Total net exposure cash and non-cash (e) $658,733  $70,726  $373,886  $32,411 

​

$

649,327

​

$

49,003

​

$

646,354

​

$

70,760

​

(a)Not nettable derivative instruments are without legal right of offset, and were synthetic derivatives representing forward mortgage delivery commitments of 45 business days or less. Amounts were not material, and it was operationally not practical to separate receivables from payables; net presentation was adopted. NoNaN cash collateral was involved with the mortgage delivery commitments.
(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.

40

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

(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 Future 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 June 30, 2020, the FHLBNY posted $1.0 billion in cash as settlement variation margin to FCMs. At December 31, 2019, the FHLBNY posted $100.1 million in cash as settlement variation margin to FCMs. As noted, variation margin is not considered as collateral, rather as the daily settlement amounts of outstanding derivative contracts.

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 June 30, 2021, the FHLBNY posted $305.8 million in cash as settlement variation margin to FCMs. At December 31, 2020, the FHLBNY posted $732.9 million in cash as settlement variation margin to FCMs. As noted, variation margin is not considered as collateral, rather as the daily settlement amounts of outstanding derivative contracts.


​

Federal Home Loan Bank of New York
Notes to Financial Statements — Unaudited 

Fair Value of Derivative Instruments

​

The following tables represent outstanding notional balances and estimated fair values of the derivatives outstanding at June 30, 20202021 and December 31, 20192020 (in thousands):

​

 June 30, 2020 
 Notional Amount
of Derivatives		 Derivative
Assets		 Derivative
Liabilities		 

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 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 $74,017,512  $461,048  $1,325,470 

Derivatives designated as hedging instruments under ASC 815 interest rate swaps

​

$

73,758,274

​

$

416,613

​

$

935,556

Total derivatives in hedging relationships under ASC 815  74,017,512   461,048   1,325,470 

​

 

73,758,274

​

​

416,613

​

 

935,556

            

​

​

​

​

​

​

​

​

​

​

Derivatives not designated as hedging instruments            

​

​

​

​

​

​

​

​

​

Interest rate swaps  78,711,213   89,001   85,819 

​

 

34,742,452

​

 

10,784

​

 

884

Interest rate caps  800,000   54   - 

​

 

800,000

​

 

69

​

 

—

Mortgage delivery commitments  49,196   274   - 

​

 

10,875

​

 

32

​

 

1

Other (b)  1,078,000   34,427   1,817 

​

 

158,000

​

 

5,317

​

 

730

Total derivatives not designated as hedging instruments  80,638,409   123,756   87,636 

​

 

35,711,327

​

 

16,202

​

 

1,615

            

​

​

​

​

​

​

​

​

​

​

Total derivatives before netting and collateral adjustments $154,655,921   584,804   1,413,106 

​

$

109,469,601

​

 

432,815

​

 

937,171

Netting adjustments      (405,720)  (405,720)

​

​

​

​

​

(292,848)

​

​

(292,848)

Cash collateral and related accrued interest      (123,255)  (936,660)

​

​

​

​

​

(110,685)

​

​

(595,320)

Total netting adjustments and cash collateral      (528,975)  (1,342,380)

​

​

​

​

 

(403,533)

​

 

(888,168)

Total derivative assets and total derivative liabilities     $55,829  $70,726 

​

​

​

​

$

29,282

​

$

49,003

Security collateral pledged as initial margin to Derivative Clearing Organization (c)     $635,775     

​

​

​

​

$

624,717

​

​

​

Security collateral received from counterparty (c)      (32,871)    

​

​

​

​

​

(4,672)

​

​

​

Net security      602,904     

​

​

​

​

​

620,045

​

​

​

Net exposure     $658,733     

​

​

​

​

$

649,327

​

​

​

​

  December 31, 2019 
  Notional Amount
of Derivatives		  Derivative
Assets		  Derivative
Liabilities		 
Fair value of derivative instruments (a)            
Derivatives designated as hedging instruments under ASC 815            
  interest rate swaps $59,361,080  $414,480  $550,758 
Total derivatives in hedging relationships under ASC 815  59,361,080   414,480   550,758 
             
Derivatives not designated as hedging instruments            
  Interest rate swaps  47,404,845   179,784   162,702 
  Interest rate caps  800,000   50   - 
  Mortgage delivery commitments  44,768   105   1 
  Other (b)  1,072,000   14,389   4,513 
Total derivatives not designated as hedging instruments  49,321,613   194,328   167,216 
             
Total derivatives before netting and collateral adjustments $108,682,693   608,808   717,974 
Netting adjustments      (342,911)  (342,911)
Cash collateral and related accrued interest      (27,950)  (342,652)
Total netting adjustments and cash collateral      (370,861)  (685,563)
Total derivative assets and total derivative liabilities     $237,947  $32,411 
  Security collateral pledged as initial margin to Derivative Clearing Organization (c)     $251,177     
  Security collateral received from counterparty (c)      (115,238)    
Net security      135,939     
Net exposure     $373,886     

41

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2020

​

​

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

​

$

69,885,821

​

$

380,504

​

$

1,088,253

Total derivatives in hedging relationships under ASC 815

​

 

69,885,821

​

​

380,504

​

 

1,088,253

​

​

​

​

​

​

​

​

​

​

Derivatives not designated as hedging instruments

​

​

​

​

​

​

​

​

​

Interest rate swaps

​

 

56,304,046

​

 

35,555

​

 

34,989

Interest rate caps

​

 

800,000

​

 

44

​

 

—

Mortgage delivery commitments

​

 

9,777

​

 

29

​

 

1

Other (b)

​

 

888,000

​

 

21,757

​

 

1,232

Total derivatives not designated as hedging instruments

​

 

58,001,823

​

 

57,385

​

 

36,222

​

​

​

​

​

​

​

​

​

​

Total derivatives before netting and collateral adjustments

​

$

127,887,644

​

 

437,889

​

 

1,124,475

Netting adjustments

​

​

​

​

​

(291,135)

​

​

(291,135)

Cash collateral and related accrued interest

​

​

​

​

​

(110,085)

​

​

(762,580)

Total netting adjustments and cash collateral

​

​

​

​

 

(401,220)

​

 

(1,053,715)

Total derivative assets and total derivative liabilities

​

​

​

​

$

36,669

​

$

70,760

Security collateral pledged as initial margin to Derivative Clearing Organization (c)

​

​

​

​

$

630,372

​

​

​

Security collateral received from counterparty(c)

​

​

​

​

​

(20,687)

​

​

​

Net security

​

​

​

​

​

609,685

​

​

​

Net exposure

​

​

​

​

$

646,354

​

​

​

​

(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 member, 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 June 30, 20202021 and December 31, 2019.2020.

​

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, 2020 filed on March 19, 2021.

41​

42

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

In 2017, the FASB issued ASU 2017-12, Targeted Improvements to Accounting for Hedging Activities (Topic 815). We adopted the guidance prospectively effective January 1, 2019, and adoption primarily impacted the FHLBNY’s accounting for derivatives designated as cash flow hedges and fair value hedges. Other than to elect the amendments under ASU 2017-12, which expanded the strategies that qualify for hedge accounting and simplified the application of hedge accounting, no other changes were made to hedge accounting strategies.

The FASB issued ASU 2018-16, Inclusion of the Secured Overnight Financing Rate (SOFR) Overnight Index Swap (OIS) Rate as a Benchmark Interest Rate for Hedge Accounting Purposes (Topic 815), which adds the OIS rate based on SOFR as an approved U.S. benchmark rate to facilitate the LIBOR to SOFR transition. The other interest rates in the United States that are eligible benchmarks under Topic 815 are interest rates on direct Treasury obligations of the U.S. government (UST), the London Interbank Offered Rate (LIBOR) swap rate, the Overnight Index Swap (OIS) Rate based on the Fed Funds Effective Rate, and the Securities Industry and Financial Markets Association (SIFMA) Municipal Swap Rate. The FHLBNY’s primary benchmark is LIBOR, and the Fed funds indexed rate is an alternative benchmark. The FHLBNY implemented the SOFR rate as another benchmark rate for interest rate hedging in the third quarter of 2019.

Refer to Note 17. Derivatives and Hedging Activities in the 2019 Form 10-K for a further discussion of the accounting policies regarding derivative instruments.

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 
 Three months ended June 30, 
 2020 2019 
 Recorded in
Interest
Income/Expense		 Recorded in
Interest
Income/Expense		 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Gains (Losses) on Fair Value Hedges

​

​

Recorded in Interest Income/Expense

​

​

Three months ended June 30,

​

Six months ended June 30,

​

    

2021

    

2020

    

2021

    

2020

Gains (losses) on derivatives in designated and qualifying fair value hedges:        

​

​

​

​

​

​

​

​

​

​

​

​

Interest rate hedges $(80,987) $(360,128)

​

$

838

​

$

(80,987)

​

$

401,791

​

$

(1,313,783)

        
Gains (losses) on hedged item in designated and qualifying fair value hedges:        

​

 

  

​

​

​

​

​

​

​

​

  

Interest rate hedges $87,549  $359,340 

​

$

(1,289)

​

$

87,549

​

$

(397,591)

​

$

1,311,857

  Gains (Losses) on Fair Value Hedges 
  Six months ended June 30, 
  2020  2019 
  Recorded in
Interest
Income/Expense		  Recorded in
Interest
Income/Expense		 
Gains (losses) on derivatives in designated and qualifying fair value hedges:        
     Interest rate hedges $(1,313,783) $(521,712)
         
Gains (losses) on hedged item in designated and qualifying fair value hedges:        
     Interest rate hedges $1,311,857  $519,612 

​

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. Beginning in 2019, gainsGains and losses on ASC 815 hedges are recorded in the same line in the Statements of income as the hedged assets and hedged liabilities. Prior to the adoption of ASU 2017-12 (on January 1, 2019), gains and losses on derivatives and hedged items were recorded in Other income (loss).


Federal Home Loan Bank of New York​

Notes to Financial Statements — Unaudited

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.

​

43

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

The tables below present the carrying amount of FHLBNY’s assets and liabilities under active ASC 815 qualifying fair value hedges at June 30, 20202021 and December 31, 2019,2020, 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 conditionCondition (in thousands):

​

 June 30, 2020 
    Cumulative Fair Value Hedging
Adjustment Included in the Carrying
Amount of Hedged Items Gains (Losses)		 
 Carrying Amount of
Hedged
Assets/Liabilities (a)		 Active Hedging
Relationship		 Discontinued
Hedging
Relationship		 

​

​

​

​

​

​

​

​

​

​

​

 

June 30, 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 $45,363,596  $1,786,414  $- 

​

$

34,963,038

​

$

772,436

​

$

—

Hedged AFS debt securities(a)  618,434   70,431   - 

​

​

1,467,321

​

​

1,242

​

​

—

De-designated advances(b)  -   -   583 

​

​

—

​

​

—

​

​

453

 $45,982,030  $1,856,845  $583 
            

​

​

$

36,430,359

​

$

773,678

​

$

453

Liabilities:            

​

 

  

​

 

​

​

 

  

Hedged consolidated obligation bonds $8,557,856  $(620,391) $- 

​

$

36,045,500

​

$

(332,091)

​

$

—

Hedged consolidated obligation discount notes  16,162,993   (3,911)  - 

​

​

—

​

​

—

​

​

—

De-designated consolidated obligation bonds(b)  -   -   (135,883)

​

​

—

​

​

—

​

​

(128,448)

De-designated consolidated obligation discount notes(b)  -   -   89 
 $24,720,849  $(624,302) $(135,794)

​

​

$

36,045,500

​

$

(332,091)

​

$

(128,448)

​

 December 31, 2019 
    Cumulative Fair Value Hedging
Adjustment Included in the Carrying
Amount of Hedged Items Gains (Losses)		 
 Carrying Amount of
Hedged
Assets/Liabilities (a)		 Active Hedging
Relationship		 Discontinued
Hedging
Relationship		 

​

​

​

​

​

​

​

​

​

​

​

 

December 31, 2020

​

 

​

​

    

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 $40,722,558  $298,818  $- 

​

$

38,275,533

​

$

1,324,615

​

$

—

Hedged AFS debt securities(a)  547,807   11,593   - 

​

​

1,162,366

​

​

44,052

​

​

��

De-designated advances(b)  -   -   345 

​

​

—

​

​

—

​

​

1,331

 $41,270,365  $310,411  $345 

​

​

$

39,437,899

​

$

1,368,667

​

$

1,331

Liabilities:            

​

 

  

​

 

​

​

 

  

Hedged consolidated obligation bonds $11,366,044  $(377,000) $- 

​

$

20,639,825

​

$

(514,436)

​

$

—

Hedged consolidated obligation discount notes  3,493,297   105   - 

​

​

7,583,549

​

​

(321)

​

​

—

De-designated consolidated obligation bonds(b)  -   -   (139,605)

​

​

—

​

​

—

​

​

(132,450)

 $14,859,341  $(376,895) $(139,605)

​

​

$

28,223,374

​

$

(514,757)

​

$

(132,450)

​

(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)

Basis valuation adjustments of de-designated (discontinued hedging relationships) on advances and debt were reported in the same line as the carrying amounts of hedged assets/liabilities. ParAt June 30, 2021, par amounts of de-designated advances were $1.0$0.5 billion, and par amount of de-designated CO bonds were $4.0 billion. At December 31, 2020, par amounts of de-designated advances were $1.2 billion; par amounts of de-designated CO bonds were approximately $1.2$1.5 billion; par amounts of de-designated CO discount notes were approximately $1.7$0.1 billion. Cumulative fair value hedging adjustments for active and discontinued hedging relationships will remain on the balance sheet until the items are derecognized.

​


44

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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 June 30, 
  2020  2019 
  Amounts
Reclassified from
AOCI to
Interest Expense (b)		  Amounts
Reclassified from
AOCI to Other
Income (Loss) (c)		  Amounts
Recorded in
OCI (d)		  Total Change
in OCI for
Period		  Amounts
Reclassified from
AOCI to
Interest Expense (b)		  Amounts
Reclassified from
AOCI to Other
Income (Loss) (c)		  Amounts
Recorded in
OCI (d)		  Total Change
in OCI for
Period		 
Interest rate contracts (a) $(348) $-  $(6,128) $(5,780) $(116) $-  $(69,786) $(69,670)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Derivative Gains (Losses) Recorded in Income and Other Comprehensive Income/Loss

​

​

Three months ended June 30, 

​

​

2021

​

2020

​

​

​

​

​

Amounts

​

​

​

​

​

Amounts

​

Amounts

​

​

​

Total

​

​

Amounts Reclassified

​

Reclassified from

​

Amounts

​

Total Change

​

Reclassified from

​

Reclassified from

​

Amounts

​

Change in

​

​

 from AOCI to

​

AOCI to Other

    

Recorded in

​

in OCI for

​

AOCI to

​

AOCI to Other

​

Recorded in

​

OCI for

​

    

Interest Expense (b)

    

Income (Loss) (c)

​

OCI (d)

    

Period

    

Interest Expense (b)

    

Income (Loss) (c)

    

OCI (d)

    

Period

Interest rate contracts (a)

​

$

(374)

​

$

—

​

$

(17,166)

​

$

(16,792)

​

$

(348)

​

$

—

​

$

(6,128)

​

$

(5,780)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Derivative Gains (Losses) Recorded in Income and Other Comprehensive Income/Loss

​

​

Six months ended June 30, 

​

​

2021

​

2020

​

​

​

​

​

Amounts

​

​

​

​

​

Amounts

​

Amounts

​

​

​

Total

​

​

Amounts Reclassified

​

Reclassified from

​

Amounts

​

Total Change

​

Reclassified from

​

Reclassified from

​

Amounts

​

Change in

​

​

 from AOCI to

​

AOCI to Other

​

Recorded in

​

in OCI for

​

AOCI to

​

AOCI to Other

​

Recorded in

​

OCI for

​

    

Interest Expense (b)

    

Income (Loss) (c)

    

OCI (d)

    

Period

    

Interest Expense (b)

    

Income (Loss) (c)

    

OCI (d)

    

Period

Interest rate contracts (a)

​

$

(741)

​

$

—

​

$

65,328

​

$

66,069

​

$

(621)

​

$

—

​

$

(159,233)

​

$

(158,612)

  Derivative Gains (Losses) Recorded in Income and Other Comprehensive Income/Loss 
  Six months ended June 30, 
  2020  2019 
   Amounts Reclassified from AOCI to
Interest Expense (b)		   Amounts Reclassified from AOCI to Other Income (Loss) (c)   Amounts Recorded in OCI (d)   Total Change in OCI for Period   Amounts Reclassified from AOCI to
Interest Expense (b)		   Amounts Reclassified from AOCI to Other Income (Loss) (c)   Amounts Recorded in OCI (d)   Total Change in OCI for Period 
Interest rate contracts (a) $(621) $-  $(159,233) $(158,612) $(139) $-  $(112,500) $(112,361)

​

(a)Amounts represent cash flow hedges of CO debt hedged with benchmark interest rate swaps indexed to LIBOR. Beginning January 1, 2019 post implementation ofa 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 incomeIncome as the change in cash flows on the hedged item.
(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, $1.4$1.5 million of the unrecognized losses in AOCI will be recognized as yield adjustments to debt interest expense.
(c)Subsequent to the adoption ofUnder 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 no0 amounts that were reclassified into earnings due to discontinuation of cash flow hedges. Reclassification would occur if it became probable that the original forecasted transactions would not occur by the end of the originally specified time period or within a two-month period thereafter.
(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.

​


45

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Gains and losses on economic hedges are presented below (in thousands):

​

 Gains (Losses) on Economic Hedges 
 Recorded in Other Income (Loss) 
 Three months ended June 30, Six months ended June 30, 
 2020 2019 2020 2019 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

 

Gains (Losses) on Economic Hedges

​

 

Recorded in Other Income (Loss)

​

 

Three months ended June 30, 

​

Six months ended June 30, 

​

    

2021

    

2020

    

2021

    

2020

Gains (losses) on derivatives designated in economic hedges                

​

​

​

​

​

​

​

​

​

​

​

​

Interest rate hedges $(5,081) $(39,497) $(169,215) $(51,632)

​

$

3,723

​

$

(5,081)

​

$

(200)

​

$

(169,215)

Caps  (84)  125   5   (217)

​

​

(2)

​

​

(84)

​

​

25

​

​

5

Mortgage delivery commitments  1,244   303   1,119   500 

​

​

197

​

​

1,244

​

​

(216)

​

​

1,119

Total gains (losses) on derivatives in economic hedges (a) $(3,921) $(39,069) $(168,091) $(51,349)

Total gains (losses) on derivatives in economic hedges

​

$

3,918

​

$

(3,921)

​

$

(391)

​

$

(168,091)

(a)Valuation changes and accrued interest on the swaps (also referred to as swap interest settlement) on derivatives not eligible for hedge accounting under ASC 815 continue to be reported in Other income (loss) in the Statements of income, and total derivative gains (losses) in the table above will reconcile to the line item – “Derivative gains (losses)” in Other income in the Statements of income.

​

​

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):

​

 June 30, 2020 
    Estimated Fair Value    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

​

​

​

​

Estimated Fair Value

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Netting

​

​

Carrying

​

​

​

Adjustment and

Financial Instruments Carrying
Value		 Total Level 1 Level 2 Level 3 (a) Netting
Adjustment and
Cash Collateral		 

    

Value

    

Total

    

Level 1

    

Level 2

    

Level 3 (a)

    

Cash Collateral

Assets             

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Cash and due from banks $44,308  $44,308  $44,308  $-  $-  $- 

​

$

52,565

​

$

52,565

​

$

52,565

​

$

—

​

$

—

​

$

—

Interest-bearing deposits  925,000   925,001   -   925,001   -   - 

​

​

675,000

​

​

675,001

​

​

—

​

​

675,001

​

​

—

​

​

—

Securities purchased under agreements to resell  4,950,000   4,949,997   -   4,949,997   -   - 

​

 

8,700,000

​

 

8,700,000

​

 

—

​

 

8,700,000

​

 

—

​

 

—

Federal funds sold  5,355,000   5,354,999   -   5,354,999   -   - 

​

 

5,506,000

​

 

5,506,007

​

 

—

​

 

5,506,007

​

 

—

​

 

—

Trading securities  12,923,831   12,923,831   12,921,673   2,158   -   - 

​

​

7,075,406

​

​

7,075,406

​

​

7,073,274

​

​

2,132

​

​

—

​

​

—

Equity Investments  63,852   63,852   63,852   -   -   - 

​

​

91,401

​

​

91,401

​

​

91,401

​

​

—

​

​

—

​

​

—

Available-for-sale securities  2,874,107   2,874,107   -   2,874,107   -   - 

​

 

5,004,112

​

 

5,004,112

​

 

—

​

 

4,103,451

​

 

900,661

​

 

—

Held-to-maturity securities  14,348,334   15,034,177   -   13,828,987   1,205,190   - 

​

 

10,500,672

​

 

11,012,188

​

 

—

​

 

10,754,211

​

 

257,977

​

 

—

Advances  113,788,556   113,792,086   -   113,792,086   -   - 

​

 

79,984,530

​

 

80,132,966

​

 

—

​

 

80,132,966

​

 

—

​

 

—

Mortgage loans held-for-portfolio, net  3,164,709   3,278,261   -   3,278,261   -   - 

​

 

2,525,967

​

 

2,592,567

​

 

—

​

 

2,592,567

​

 

—

​

 

—

Accrued interest receivable  225,556   225,556   -   225,556   -   - 

​

 

145,257

​

 

145,257

​

 

—

​

 

145,257

​

 

—

​

 

—

Derivative assets  55,829   55,829   -   584,804   -   (528,975)

​

 

29,282

​

 

29,282

​

 

—

​

 

432,815

​

 

—

​

 

(403,533)

Other financial assets  358   358   -   -   358   - 

​

 

62

​

 

62

​

 

—

​

 

—

​

 

62

​

 

—

                        
Liabilities                        

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Deposits  1,590,357   1,590,364   -   1,590,364   -   - 

​

 

1,530,610

​

 

1,530,611

​

 

—

​

 

1,530,611

​

 

—

​

 

—

Consolidated obligations                        

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Bonds  59,032,487   59,934,238   -   59,934,238   -   - 

​

 

69,312,550

​

 

69,842,422

​

 

—

​

 

69,842,422

​

 

—

​

 

—

Discount notes  89,499,893   89,514,606   -   89,514,606   -   - 

​

 

42,173,073

​

 

42,171,876

​

 

—

​

 

42,171,876

​

 

—

​

 

—

Mandatorily redeemable capital stock  3,841   3,841   3,841   -   -   - 

​

 

2,360

​

 

2,360

​

 

2,360

​

 

—

​

 

—

​

 

—

Accrued interest payable  131,432   131,432   -   131,432   -   - 

​

 

133,209

​

 

133,209

​

 

—

​

 

133,209

​

 

—

​

 

—

Derivative liabilities  70,726   70,726   -   1,413,106   -   (1,342,380)

​

 

49,003

​

 

49,003

​

 

—

​

 

937,171

​

 

—

​

 

(888,168)

Other financial liabilities  35,400   35,400   35,400   -   -   - 

​

 

30,477

​

 

30,477

​

 

30,477

​

 

—

​

 

—

​

 

—

​


46

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2020

​

​

​

​

​

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

​

$

1,896,155

​

$

1,896,155

​

$

1,896,155

​

$

—

​

$

—

​

$

—

Interest-bearing deposits

​

​

685,000

​

​

685,002

​

​

—

​

​

685,002

​

​

—

​

​

—

Securities purchased under agreements to resell

​

 

4,650,000

​

 

4,649,989

​

 

—

​

 

4,649,989

​

 

—

​

 

—

Federal funds sold

​

 

6,280,000

​

 

6,279,989

​

 

—

​

 

6,279,989

​

 

—

​

 

—

Trading securities

​

​

11,742,965

​

​

11,742,965

​

​

11,740,801

​

​

2,164

​

​

—

​

​

—

Equity Investments

​

 

80,369

​

​

80,369

​

​

80,369

​

​

—

​

​

—

​

​

—

Available-for-sale securities

​

 

3,435,945

​

 

3,435,945

​

 

—

​

 

3,435,945

​

 

—

​

 

—

Held-to-maturity securities

​

​

12,873,646

​

 

13,529,181

​

 

—

​

 

12,345,026

​

 

1,184,155

​

 

—

Advances

​

​

92,067,104

​

 

92,315,784

​

 

—

​

 

92,315,784

​

 

—

​

 

—

Mortgage loans held-for-portfolio, net

​

​

2,899,712

​

 

3,002,883

​

 

—

​

 

3,002,883

​

 

—

​

 

—

Accrued interest receivable

​

 

189,454

​

 

189,454

​

 

—

​

 

189,454

​

 

—

​

 

—

Derivative assets

​

 

36,669

​

 

36,669

​

 

—

​

 

437,889

​

 

—

​

 

(401,220)

Other financial assets

​

 

133

​

 

133

​

 

—

​

 

—

​

 

133

​

 

—

Liabilities

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Deposits

​

 

1,752,963

​

 

1,752,974

​

 

—

​

 

1,752,974

​

 

—

​

 

—

Consolidated obligations

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Bonds

​

 

69,716,298

​

 

70,610,339

​

 

—

​

 

70,610,339

​

 

—

​

 

—

Discount notes

​

 

57,658,838

​

 

57,663,523

​

 

—

​

 

57,663,523

​

 

—

​

 

—

Mandatorily redeemable capital stock

​

 

2,991

​

 

2,991

​

 

2,991

​

 

—

​

 

—

​

 

—

Accrued interest payable

​

 

117,982

​

 

117,982

​

 

—

​

 

117,982

​

 

—

​

 

—

Derivative liabilities

​

 

70,760

​

 

70,760

​

 

—

​

 

1,124,475

​

 

—

​

 

(1,053,715)

Other financial liabilities

​

 

32,378

​

 

32,378

​

 

32,378

​

 

—

​

 

—

​

 

—

  December 31, 2019 
     Estimated Fair Value       
Financial Instruments Carrying
Value		  Total  Level 1  Level 2  Level 3 (a)  Netting
Adjustment and
Cash Collateral		 
Assets                  
Cash and due from banks $603,241  $603,241  $603,241  $-  $-  $- 
Securities purchased under agreements to resell  14,985,000   14,984,909   -   14,984,909   -   - 
Federal funds sold  8,640,000   8,639,966   -   8,639,966   -   - 
Trading securities  15,318,809   15,318,809   15,315,592   3,217   -   - 
Equity Investments  60,047   60,047   60,047   -   -   - 
Available-for-sale securities  2,653,418   2,653,418   -   2,653,418   -   - 
Held-to-maturity securities  15,234,482   15,456,606   -   14,223,919   1,232,687   - 
Advances  100,695,241   100,738,675   -   100,738,675   -   - 
Mortgage loans held-for-portfolio, net  3,173,352   3,190,109   -   3,190,109   -   - 
Accrued interest receivable  312,559   312,559   -   312,559   -   - 
Derivative assets  237,947   237,947   -   608,808   -   (370,861)
Other financial assets  293   293   -   -   293   - 
                         
Liabilities                        
Deposits  1,194,409   1,194,419   -   1,194,419   -   - 
Consolidated obligations                        
Bonds  78,763,309   78,980,672   -   78,980,672   -   - 
Discount notes  73,959,205   73,961,316   -   73,961,316   -   - 
Mandatorily redeemable capital stock  5,129   5,129   5,129   -   -   - 
Accrued interest payable  156,889   156,889   -   156,889   -   - 
Derivative liabilities  32,411   32,411   -   717,974   -   (685,563)
Other financial liabilities  45,388   45,388   45,388   -   -   - 

​

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)(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 ownedReal 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.


Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

​

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.

47

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

·●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 no0 such transfers in any periods in this report.

​

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 arewere 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.

​

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 three3 designated third-party pricing services at June 30, 20202021 and December 31, 2019.2020. The FHLBNY’s base investment pricing methodology establishes a median price for each security using a formula that is based on the number of prices received. If three3 prices are received, the middle price is used; if two2 prices are received, the average of the two2 prices is used; and if one1 price is received, it is used, typically subject to further validation. Vendor prices that are outside of a defined tolerance threshold of the median price are identified as outliers and subject to additional review, including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates, or use of internal model prices, which are deemed to be reflective of all relevant facts and circumstances that a market participant would consider. Such analysis is also applied in those limited instances where no0 third-party vendor price or only one1 third-party vendor price is available in order to arrive at an estimated fair value.


Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

​

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.

​

48

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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 investinvests 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) LIBOR 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.

​

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 six months requires a prepayment fee sufficient to make a FHLBank financially indifferent to the borrower’s decision to prepay the advance. Therefore, the fair value of an advance does not assume prepayment risk.

​

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.


Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

·●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.

49

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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. Inputs are based on the cost of comparable term debt. The FHLBNY’s internal valuation models use standard valuation techniques and estimate fair values based on the following inputs:

​

·●CO Curve and LIBOR Swap Curve. 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 June 30, 20202021 and December 31, 2019.2020.

​

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.

​

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:

​

¨●LIBORSwap 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)

​

50

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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 SOFR the FF/OIS 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. TheSOFR and the FF/OIS curve is an inputcurves are inputs to the valuation model. The input for the federal funds curve ismodel and are obtained from industry standard pricing vendors andvendors; the input isinputs are available and observable over itsthe entire term structure.terms of the interest rate swaps.


Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

​

Management considers the SOFR and the federal funds curve to be a Level 2 input.inputs. The FHLBNY’s valuation model utilizes industry standard OIS methodology. The model generates forecasted cash flows using the FF/OIS calibrated 3-month LIBOR curve. The modelcontractual cash flows, then discounts the cash flows by theSOFR 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 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 no0 credit adjustments were deemed necessary to the recorded fair value of Derivative assets and Derivative liabilities in the Statements of Condition at June 30, 20202021 and December 31, 2019.2020.

​

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 June 30, 20202021 and December 31, 2019,2020, 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. Other real estate owned (OREO)OREO is measured at fair value when the asset’s fair value less costs to sell is lower than its carrying amount.

50​

51

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Items Measured at Fair Value on a Recurring Basis (in thousands):

​

 June 30, 2020 
 Total Level 1 Level 2 Level 3 Netting
Adjustment and
Cash Collateral		 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Netting

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Adjustment and

​

    

Total

    

Level 1

    

Level 2

    

Level 3

    

Cash Collateral

Assets                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Trading securities                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Corporate notes $2,158  $-  $2,158  $           -  $           - 

​

$

2,132

​

$

—

​

$

2,132

​

$

—

​

$

—

U.S. Treasury securities  12,921,673   12,921,673   -   -   - 

​

​

7,073,274

​

​

7,073,274

​

​

—

​

​

—

​

​

—

Equity Investments  63,852   63,852   -   -   - 

​

​

91,401

​

​

91,401

​

​

—

​

​

—

​

​

—

Available-for-sale securities                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

GSE/U.S. agency issued MBS  2,874,107   -   2,874,107   -   - 

​

​

4,103,451

​

​

—

​

​

4,103,451

​

​

—

​

​

—

State and local housing finance agency obligations

​

​

900,661

​

​

—

​

​

—

​

​

900,661

​

​

—

Derivative assets (a)                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest-rate derivatives  55,555   -   584,530   -   (528,975)

​

​

29,250

​

​

—

​

​

432,783

​

​

—

​

​

(403,533)

Mortgage delivery commitments  274   -   274   -   - 

​

​

32

​

​

—

​

​

32

​

​

—

​

​

—

                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total recurring fair value measurement - Assets $15,917,619  $12,985,525  $3,461,069  $-  $(528,975)

​

$

12,200,201

​

$

7,164,675

​

$

4,538,398

​

$

900,661

​

$

(403,533)

                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Liabilities                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Consolidated obligation:                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Discount notes (to the extent FVO is elected) $(20,159,341) $-  $(20,159,341) $-  $- 

​

$

(1,249,963)

​

$

—

​

$

(1,249,963)

​

$

—

​

$

—

Bonds (to the extent FVO is elected) (b)  (1,302,385)  -   (1,302,385)  -   - 

​

​

(13,347,759)

​

​

—

​

​

(13,347,759)

​

​

—

​

​

—

Derivative liabilities (a)                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest-rate derivatives  (70,726)  -   (1,413,106)  -   1,342,380 

​

​

(49,002)

​

​

—

​

​

(937,170)

​

​

—

​

​

888,168

                    

Mortgage delivery commitments

​

​

(1)

​

​

—

​

​

(1)

​

​

—

​

​

—

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total recurring fair value measurement - Liabilities $(21,532,452) $-  $(22,874,832) $-  $1,342,380 

​

$

(14,646,725)

​

$

—

​

$

(15,534,893)

​

$

—

​

$

888,168

​

 December 31, 2019 
 Total Level 1 Level 2 Level 3 Netting
Adjustment and
Cash Collateral		 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2020

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Netting

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Adjustment and

​

    

Total

    

Level 1

    

Level 2

    

Level 3

    

Cash Collateral

Assets                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Trading securities                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Corporate notes $3,217  $-  $3,217  $             -  $             - 

​

$

2,164

​

$

—

​

$

2,164

​

$

—

​

$

—

U.S. Treasury securities  15,315,592   15,315,592   -   -   - 

​

​

11,740,801

​

​

11,740,801

​

​

—

​

​

—

​

​

—

Equity Investments  60,047   60,047   -   -   - 

​

​

80,369

​

​

80,369

​

​

—

​

​

—

​

​

—

Available-for-sale securities                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

GSE/U.S. agency issued MBS  2,653,418   -   2,653,418   -   - 

​

​

3,435,945

​

​

—

​

​

3,435,945

​

​

—

​

​

—

Derivative assets (a)                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest-rate derivatives  237,842   -   608,703   -   (370,861)

​

​

36,640

​

​

—

​

​

437,860

​

​

—

​

​

(401,220)

Mortgage delivery commitments  105   -   105   -   - 

​

​

29

​

​

—

​

​

29

​

​

—

​

​

—

                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total recurring fair value measurement - Assets $18,270,221  $15,375,639  $3,265,443  $-  $(370,861)

​

$

15,295,948

​

$

11,821,170

​

$

3,875,998

​

$

—

​

$

(401,220)

                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Liabilities                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Consolidated obligation:                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Discount notes (to the extent FVO is elected) $(2,186,603) $-  $(2,186,603) $-  $- 

​

$

(7,133,755)

​

$

—

​

$

(7,133,755)

​

$

—

​

$

—

Bonds (to the extent FVO is elected) (b)  (12,134,043)  -   (12,134,043)  -   - 

​

​

(16,580,464)

​

​

—

​

​

(16,580,464)

​

​

—

​

​

—

Derivative liabilities (a)                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest-rate derivatives  (32,410)  -   (717,973)  -   685,563 

​

​

(70,759)

​

​

—

​

​

(1,124,474)

​

​

—

​

​

1,053,715

Mortgage delivery commitments  (1)  -   (1)  -   - 

​

​

(1)

​

​

—

​

​

(1)

​

​

—

​

​

—

                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total recurring fair value measurement - Liabilities $(14,353,057) $-  $(15,038,620) $-  $685,563 

​

$

(23,784,979)

​

$

—

​

$

(24,838,694)

​

$

—

​

$

1,053,715

​

(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.

51​

52

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Roll Forward of Level 3 Available-for-Sale Securities (in thousands):

​

​

​

​

​

​

​

​

​

​

State and Local Housing Finance Agency Obligations

​

​

Three months ended June 30,

​

Six months ended June 30,

​

    

2021

    

2021

Balance, beginning of the period

​

$

0

​

$

0

Transfer of securities from held-to-maturity to available-for-sale

​

 

900,719

​

 

900,719

Net unrealized gains (losses) in other comprehensive income

​

 

(58)

​

 

(58)

Balance, end of the period

​

$

900,661

​

$

900,661

​

Items Measured at Fair Value on a Non-recurring Basis (in thousands):

​

 During the period ended June 30, 2020 
 Fair Value Level 1 Level 2 Level 3 
Real estate owned $           135  $           -  $           -  $           135 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

During the period ended June 30, 2021

​

    

Fair Value

    

Level 1

    

Level 2

    

Level 3

Mortgage loans held-for-portfolio

​

$

657

​

$

—

​

$

657

​

$

—

Total non-recurring assets at fair value $135  $-  $-  $135 

 

$

657

 

$

—

 

$

657

 

$

—

​

 During the period ended December 31, 2019 
 Fair Value Level 1 Level 2 Level 3 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

During the period ended December 31, 2020

​

    

Fair Value

    

Level 1

    

Level 2

    

Level 3

Mortgage loans held-for-portfolio $           80  $           -  $           80  $           - 

​

$

1,671

​

$

—

​

$

1,671

​

$

—

Real estate owned  306   -   -   306 
Total non-recurring assets at fair value $386  $-  $80  $306 

​

$

1,671

​

$

—

​

$

1,671

​

$

—

​

Mortgage loans and real estate owned (OREO or REO)REO — The FHLBNY measured and recorded certain impaired mortgage loans and Real estate ownedREO (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 June 30, 20202021 and December 31, 2019,2020, 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. 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 and the discount amortization on fair value option discount notes 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 no0 adjustments to the fair values of its instruments recorded under the fair value option for instrument-specific credit risk were necessary at June 30, 20202021 and December 31, 2019.2020.

​

53

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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-ratedhighly 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.


Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

​

The following tables summarize the activity related to financial instruments for which the FHLBNY elected the fair value option (in thousands):

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended June 30,

​

    

2021

    

2020

    

2021

    

2020

 Three months ended June 30, 
 2020 2019 2020 2019 
 Bonds Discount Notes 

​

​

Bonds

​

Discount Notes

Balance, beginning of the period $(4,606,885) $(7,367,064) $(18,068,215) $(994,773)

​

$

(15,857,603)

​

$

(4,606,885)

​

$

(2,449,831)

​

$

(18,068,215)

New transactions elected for fair value option  (500,000)  4,110,000   (4,271,624)  987,355 

​

 

(6,395,925)

​

​

(500,000)

​

 

—

​

 

(4,271,624)

Maturities and terminations  3,775,000   -   2,182,845   - 

​

 

8,900,000

​

​

3,775,000

​

 

1,199,319

​

 

2,182,845

Net gains (losses) on financial instruments held
under fair value option		  6,190   (2,653)  4,374   293 

​

 

3,536

​

​

6,190

​

 

335

​

 

4,374

Change in accrued interest/unaccreted balance  23,310   20,860   (6,721)  7,125 

​

 

2,233

​

​

23,310

​

 

214

​

 

(6,721)

                
Balance, end of the period $(1,302,385) $(3,238,857) $(20,159,341) $- 

​

$

(13,347,759)

​

$

(1,302,385)

​

$

(1,249,963)

​

$

(20,159,341)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Six months ended June 30,

​

​

2021

    

2020

​

2021

    

2020

 Six months ended June 30, 
 2020 2019 2020 2019 
 Bonds Discount Notes 

​

    

Bonds

    

Discount Notes

Balance, beginning of the period $(12,134,043) $(5,159,792) $(2,186,603) $(3,180,086)

​

$

(16,580,464)

​

$

(12,134,043)

​

$

(7,133,755)

​

$

(2,186,603)

New transactions elected for fair value option  (1,300,000)  (3,220,000)  (20,120,994)  - 

​

 

(11,345,925)

​

 

(1,300,000)

​

 

(1,249,392)

​

 

(20,120,994)

Maturities and terminations  12,067,000   5,145,000   2,182,845   3,170,915 

​

 

14,575,000

​

 

12,067,000

​

 

7,118,211

​

 

2,182,845

Net gains (losses) on financial instruments held
under fair value option		  2,132   (2,711)  (13,522)  (113)

​

 

1,939

​

 

2,132

​

 

1,994

​

 

(13,522)

Change in accrued interest/unaccreted balance  62,526   (1,354)  (21,067)  9,284 

​

 

1,691

​

 

62,526

​

 

12,979

​

 

(21,067)

Balance, end of the period $(1,302,385) $(3,238,857) $(20,159,341) $- 

​

$

(13,347,759)

​

$

(1,302,385)

​

$

(1,249,963)

​

$

(20,159,341)

​

54

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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 (in thousands):

​

 Three months ended June 30, 
 2020 2019 
 Interest
Expense		 Net Gains
(Losses) Due to
Changes in
Fair Value		 Fair Value
Included in
Current Period
Earnings		 Interest
Expense		 Net Gains
(Losses) Due to Changes in
Fair Value		 Fair Value
Included in
Current Period
Earnings		 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended June 30, 

​

​

2021

​

2020

​

​

​

​

​

Net Gains

​

​

​

​

​

​

​

Net Gains

​

Total Change in Fair

​

​

​

​

​

(Losses) Due to

​

Total Change in Fair

​

​

​

(Losses) Due to

​

Value Included in

​

​

Interest

​

Changes in Fair

​

Value Included in Current

​

Interest

​

Changes in Fair

​

Current Period

​

    

Expense

  �� 

Value

    

Period Earnings

    

Expense

    

Value

    

Earnings

Consolidated obligation bonds $(8,312) $6,190  $(2,122) $(33,398) $(2,653) $(36,051)

​

$

(4,353)

​

$

3,536

​

$

(817)

​

$

(8,312)

​

$

6,190

​

$

(2,122)

Consolidated obligation discount notes  (21,808)  4,374   (17,434)  (5,519)  293   (5,226)

​

​

(465)

​

​

335

​

​

(130)

​

​

(21,808)

​

​

4,374

​

​

(17,434)

                        
 $(30,120) $10,564  $(19,556) $(38,917) $(2,360) $(41,277)

​

​

$

(4,818)

​

$

3,871

​

$

(947)

​

$

(30,120)

​

$

10,564

​

$

(19,556)

​

 Six months ended June 30, 
 2020 2019 
 Interest
Expense		 Net Gains
(Losses) Due to
Changes in
Fair Value		 Fair Value
Included in
Current Period
Earnings		 Interest
Expense		 Net Gains
(Losses) Due to
Changes in
Fair Value		 Fair Value
Included in
Current Period
Earnings		 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Six months ended June 30, 

​

​

2021

​

2020

​

​

​

​

​

Net Gains

​

​

​

​

​

​

​

Net Gains

​

Total Change in Fair

​

​

​

​

​

(Losses) Due to

​

Total Change in Fair

​

​

​

(Losses) Due to

​

Value Included in

​

​

Interest

​

Changes in Fair

​

Value Included in Current

​

Interest

​

Changes in Fair

​

Current Period

​

    

Expense

    

Value

    

Period Earnings

    

Expense

    

Value

    

Earnings

Consolidated obligation bonds $(45,402) $2,132  $(43,270) $(66,879) $(2,711) $(69,590)

​

$

(9,906)

​

$

1,939

​

$

(7,967)

​

$

(45,402)

​

$

2,132

​

$

(43,270)

Consolidated obligation discount notes  (36,134)  (13,522)  (49,656)  (22,800)  (113)  (22,913)

​

​

(3,768)

​

​

1,994

​

​

(1,774)

​

​

(36,134)

​

​

(13,522)

​

​

(49,656)

                        
 $(81,536) $(11,390) $(92,926) $(89,679) $(2,824) $(92,503)

​

​

$

(13,674)

​

$

3,933

​

$

(9,741)

​

$

(81,536)

​

$

(11,390)

​

$

(92,926)


Federal Home Loan Bank of New York​

Notes to Financial Statements — Unaudited

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):

​

 June 30, 2020 
 Aggregate Unpaid
Principal Balance		 Aggregate Fair
Value		 Fair Value Over/(Under)
Aggregate Unpaid
Principal Balance		 

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

​

​

​

​

​

​

​

Fair Value Over/(Under)

​

​

Aggregate Unpaid

​

Aggregate Fair

​

Aggregate Unpaid

​

    

Principal Balance

    

Value

    

Principal Balance

Consolidated obligation bonds (b) $1,300,000  $1,302,385  $2,385 

​

$

13,345,925

​

$

13,347,759

​

$

1,834

Consolidated obligation discount notes (c)  20,120,995   20,159,341   38,346 

​

​

1,249,392

​

​

1,249,963

​

​

571

 $21,420,995  $21,461,726  $40,731 

​

​

$

14,595,317

​

$

14,597,722

​

$

2,405

​

 December 31, 2019 
 Aggregate Unpaid
Principal Balance		 Aggregate Fair
Value		 Fair Value Over/(Under)
Aggregate Unpaid
Principal Balance		 

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2020

​

    

​

​

    

​

​

    

Fair Value Over/(Under)

​

​

Aggregate Unpaid

​

Aggregate Fair

​

Aggregate Unpaid

​

​

Principal Balance

​

Value

​

Principal Balance

Consolidated obligation bonds (b) $12,067,000  $12,134,043  $67,043 

​

$

16,575,000

​

$

16,580,464

​

$

5,464

Consolidated obligation discount notes (c)  2,182,845   2,186,603   3,758 

​

 

7,118,211

​

 

7,133,755

​

 

15,544

 $14,249,845  $14,320,646  $70,801 

​

​

$

23,693,211

​

$

23,714,219

​

$

21,008

​

  June 30, 2019 
  Aggregate Unpaid
Principal Balance		  Aggregate Fair
Value		  Fair Value Over/(Under)
Aggregate Unpaid
Principal Balance		 
Consolidated obligation bonds (b) $3,215,000  $3,238,857  $23,857 

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2020

​

    

​

​

    

​

​

    

Fair Value Over/(Under)

​

​

Aggregate Unpaid

​

Aggregate Fair

​

Aggregate Unpaid

​

​

Principal Balance

​

Value

​

Principal Balance

Consolidated obligation bonds (b)

​

$

1,300,000

​

$

1,302,385

​

$

2,385

Consolidated obligation discount notes (c)

​

 

20,120,995

​

 

20,159,341

​

 

38,346

​

​

$

21,420,995

​

$

21,461,726

​

$

40,731

​

(a)(a)Advances – NoNaN advances elected under the FVO were outstanding at June 30, 2021, December 31, 2020 and December 31, 2019.June 30, 2020. From time to time, the FHLBNY has elected the FVO for advances on an instrument by instrument basis with terms that were primarily short-and intermediate-term.
(b)(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, because management was 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.
(c)(c)Discount notes were elected under the FVO because management was not able to assert with confidence that the debt would qualify for hedge accounting as the short-term discount note debt may not remain highly effective hedges through maturity.maturity.

55

Note 19.Commitments and Contingencies.

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

​

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 one1 or more of the FHLBanks be unable to repay their participation in the Consolidated obligations, each of the other FHLBanks could be called upon to repay all or part of such obligations, as determined or approved by the Finance Agency. Neither the FHLBNY nor any other FHLBank has ever had to assume or pay the Consolidated obligations of another FHLBank. The FHLBNY does not believe that it will be called upon to pay the Consolidated obligations of another FHLBank in the future. Under the provisions of accounting standards for guarantees, the FHLBNY would have been required to recognize the fair value of the FHLBNY’s joint and several liability for all the Consolidated obligations, as discussed above. However, the FHLBNY considers the joint and several liabilities as similar to a related party guarantee, which meets the scope exception under the accounting standard for guarantees. Accordingly, the FHLBNY has not recognized the fair value of a liability for its joint and several obligations related to other FHLBanks’ Consolidated obligations, which in aggregate were par amounts of $0.9 trillion and $1.0$0.7 trillion as of June 30, 20202021 and December 31, 2019.2020.


Federal Home Loan Bank of New York​

Notes to Financial Statements — Unaudited

Affordable Housing Program — The 11 FHLBanks are expected to contribute $100 million in aggregate annually to the AHP. If the aggregate assessment is less than $100 million for all the FHLBanks, each FHLBank would be required to assure that the aggregate contributions of the FHLBanks equal $100 million. The proration would be made on the basis of the FHLBank’s income in relation to the income of all FHLBanks for the previous year. There have been no0 shortfalls in any periods in this report.

​

The following table summarizes contractual obligations and contingencies as of June 30, 20202021 (in thousands):

​

 June 30, 2020 
 Payments Due or Expiration Terms by Period 
    Greater Than Greater Than      
 Less Than One Year Three Years Greater Than    
 One Year to Three Years to Five Years Five Years Total 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

​

Payments Due or Expiration Terms by Period

​

​

    

​

Greater Than

​

Greater Than

​

    

​

​

​

​

​

Less Than

​

One Year

​

Three Years

​

Greater Than

​

​

​

​

    

One Year

    

to Three Years

    

to Five Years

    

Five Years

    

Total

Contractual Obligations                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Consolidated obligation bonds at par (a) $37,081,435  $12,073,975  $2,867,025  $6,148,500  $58,170,935 

​

$

37,712,490

​

$

11,146,415

​

$

10,766,510

​

$

9,093,700

​

$

68,719,115

Consolidated obligation discount notes at par  89,545,947   -   -   -   89,545,947 

​

​

42,174,015

​

​

—

​

​

—

​

​

—

​

​

42,174,015

Mandatorily redeemable capital stock (a)  146   338   366   2,991   3,841 

​

 

109

​

 

253

​

 

275

​

 

1,723

​

 

2,360

Premises (lease obligations) (b)  6,904   15,442   16,150   66,159   104,655 

​

​

6,951

​

​

15,910

​

​

16,255

​

​

58,005

​

​

97,121

Remote backup site  670   1,224   542   -   2,436 

​

​

686

​

​

1,278

​

​

—

​

​

—

​

​

1,964

Other liabilities (c)  69,524   10,594   8,563   70,114   158,795 

​

 

86,409

​

 

11,926

​

 

9,502

​

 

85,191

​

 

193,028

                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total contractual obligations  126,704,626   12,101,573   2,892,646   6,287,764   147,986,609 

​

 

79,980,660

​

​

11,175,782

​

 

10,792,542

​

 

9,238,619

​

 

111,187,603

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Other commitments                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Standby letters of credit (d)  20,728,398   169,001   6,598   -   20,903,997 

​

 

20,427,581

​

 

39,478

​

 

—

​

 

—

​

 

20,467,059

Consolidated obligation bonds/discount notes traded not settled   6,189,000      -      -   -   6,189,000 

​

 

4,980,000

​

​

—

​

​

—

​

​

—

​

​

4,980,000

Commitments to fund additional advances  200,000   -   -   -   200,000 
Commitments to fund pension  10,000   -   -   -   10,000 

​

​

10,000

​

​

—

​

​

—

​

​

—

​

​

10,000

Open delivery commitments (MPF)  49,196   -   -   -   49,196 
                    

Open delivery commitments ( MAP)

​

 

10,875

​

 

—

​

 

—

​

 

—

​

 

10,875

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total other commitments  27,176,594   169,001   6,598   -   27,352,193 

​

 

25,428,456

​

 

39,478

​

 

—

​

 

—

​

 

25,467,934

                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total obligations and commitments $153,881,220  $12,270,574  $2,899,244  $6,287,764  $175,338,802 

​

$

105,409,116

​

$

11,215,260

​

$

10,792,542

​

$

9,238,619

​

$

136,655,537

​

(a)(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

56

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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)(b)Amounts represent undiscounted obligations. The Bank adopted ASU 2016-02, Leases (Topic 842) on January 1, 2019. Upon adoption, all leaseLease obligations including legacy leases wereare recorded in the Statements of Condition as a Right-of-use (ROU) asset and a corresponding lease liability. Under legacy pre-ASU GAAP, lease obligations were reported as off-balance sheet commitments. Immaterial amounts of equipment and other leases have been excluded in the table above.
(c)(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)(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), which; 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.

​

55

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Operating Lease Commitments

​

Effective January 1, 2019,In compliance with the FHLBNY adopted new guidance under ASU 2016-02, Leases (Topic 842) that requires lessees to, we recognize on the balance sheetin our Statement of Condition all leases with lease terms greater than twelve months as a lease liability with a corresponding right-of-use (ROU) asset.

​

At June 30, 20202021 and December 31, 2019,2020, the FHLBNY was obligated under a number of noncancelable leases, predominantly operating leases for premises. These leases generally have terms of 15 years or less that contain escalation clauses that will increase rental payments. Operating leases also include backup datacenters and certain office equipment. Operating lease liabilities and ROU are recognized at the lease commencement date based on the present value of the future minimum lease payments over the lease term. The future lease payments are discounted at a rate that represents the FHLBNY’s borrowing rate for its own debt (Consolidated obligation bonds) of a similar term. ROU includes any lease prepayments made, plus any initial direct costs incurred, less any lease incentives received. Rental expense associated with operating leases is recognized on a straight-line basis over the lease term. Premise rental expense is included in occupancy expense, and datacenter and other lease expenses are included in other operating expense in the Statements of income. ROU and lease liabilities are reported in the Statements of condition.

​

57

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

The following tables provide summarized information on our leases (dollars in thousands):

​

 June 30, 2020 December 31, 2019 

​

​

​

​

​

​

​

​

    

June 30, 2021

    

December 31, 2020

Operating Leases (a)        

​

​

​

​

​

​

Right-of-use assets $73,036  $75,464 

​

$

68,200

​

$

70,733

Lease Liabilities $86,939  $89,365 

​

$

81,773

​

$

84,475

​

 Three months ended June 30, Six months ended June 30, 
 2020 2019 2020 2019 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

    

Three months ended June 30,

​

Six months ended June 30, 

​

    

2021

​

2020

    

2021

    

2020

Operating Lease Expense $1,940  $1,899  $3,880  $3,716 

​

$

1,952

    

$

1,940

​

$

3,904

​

$

3,880

Operating cash flows - Cash Paid $1,982  $1,658  $3,878  $3,191 

​

$

2,037

​

$

1,982

​

$

4,073

​

$

3,878

​

​

​

​

​

​

​

​

​

​

​

​

​

​

    

June 30, 2021

    

December 31, 2020

​

 

​

​

 

​

Weighted Average Discount Rate

​

​

3.30

%

​

3.29

%

 

​

​

 

​

Weighted Average Remaining Lease Term

​

​

11.53

Years

​

12.01

Years

 

​

​

 

​

​

  June 30, 2020   December 31, 2019  
Weighted Average Discount Rate  3.29%   3.29% 
Weighted Average Remaining Lease Term  12.50Years   12.98Years 

​

​

​

​

​

​

​

​

​

Remaining maturities through

Operating lease liabilities

    

June 30, 2021

    

December 31, 2020

Remainder of 2021

​

$

4,075

​

$

8,148

2022

​

​

8,246

​

​

8,246

2023

​

​

8,615

​

​

8,615

2024

​

​

8,297

​

​

8,297

2025

​

​

8,088

​

​

8,088

Thereafter

​

​

61,798

​

​

61,798

Total undiscounted lease payments

​

​

99,119

​

​

103,192

Imputed interest

​

​

(17,346)

​

​

(18,717)

Total operating lease liabilities

​

$

81,773

​

$

84,475

  Remaining maturities through 
Operating lease liabilities June 30, 2020  December 31, 2019 
Remainder of 2020 $4,008  $7,886 
2021  8,107   8,107 
2022  8,205   8,205 
2023  8,575   8,575 
2024  8,282   8,282 
Thereafter  69,886   69,886 
Total undiscounted lease payments  107,063   110,941 
Imputed interest  (20,124)  (21,576)
Total operating lease liabilities $86,939  $89,365 

​

(a)(a)We have elected to exclude immaterial amounts of short-term operating lease liabilities in the Right-of-use assets and lease liabilities.liabilities.

​


58

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 20.         Related Party Transactions.

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 — NoIn February 2021, the FHLBNY assumed $171.2 million of debt (par amounts) from another FHLBank. NaN debt was assumed from another FHLBank in the six months ended June 30, 2020 and in the same period in the prior year.2020.

​

Debt transfers — NoNaN debt was transferred to another FHLBank in the six months ended June 30, 20202021 and in the same period in the prior year.

​

Advances Sold or Transferred

​

NoNaN advances were transferred or sold to the FHLBNY or from the FHLBNY to another FHLBank in any periods in this report. When an advance is transferred or assumed, the transactions would be executed in the ordinary course of the FHLBNY’s business and at negotiated market pricing.

​

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 $6.7 million and $7.3$5.3 million at June 30, 20202021 and $6.0 million at December 31, 2019.2020.

​

Fees paid to the FHLBank of Chicago for providing MPF program services were approximately $0.7$0.4 million and $1.3$1.0 million for the three and six months ended June 30, 2020,2021, compared to $0.6$0.7 million and $1.2$1.3 million for the same periods in the prior year.

​

Mortgage-backed Securities

​

NoNaN mortgage-backed securities were acquired from other FHLBanks during the periods in this report.

​

We pay an annual fee of $6.0 thousand to the FHLBank of Chicago for the use of MBS cash flow models in connection with impairment analysis performed by the FHLBNY for certain of our private-label MBS.Intermediation

Intermediation

​

From time to time, the FHLBNY acts as an intermediary to purchase derivatives to accommodate its smaller members. At June 30, 20202021 and December 31, 2019,2020, outstanding notional amounts were $539.0$79.0 million and $536.0$444.0 million, representing derivative contracts in which the FHLBNY acted as an intermediary to execute derivative contracts with members. Separately, the contracts were offset with contracts purchased from unrelated derivatives dealers. Net fair value exposures of these transactions were not significant. The intermediated derivative transactions with members and derivative counterparties were collateralized.

57​

59

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Loans to Other Federal Home Loan Banks

​

There were no$0.3 billion overnight loans extended to other FHLBanks in the three months ended June 30, 2020.2021. In the six months ended June 30, 2020, overnight loans extended to other FHLBanks averaged $4.1 million compared to loans that averaged $17.0 million and $12.7 million in the three and six months ended June 30, 2019.2021, overnight loans extended to other FHLBanks averaged $3.3 million and $1.7 million compared to $0 million and $4.1 million in the same periods in the prior year. Generally, loans made to other FHLBanks are uncollateralized. Interest income from such loans was immaterial in the periods in this report.

​

Borrowings from Other Federal Home Loan Banks

​

The FHLBNY borrows from other FHLBanks, generally for a period of one day. There were no0 borrowings from other FHLBanks in the six months ended June 30, 2020. In the six months ended2021 and June 30, 2019, the2020.

​

Sub-lease of Office Space to Another Federal Home Loan Bank

​

The FHLBNY borrowedis a totallessor of $750.0shared office space to another FHLBank for a term through August 2028 at an estimated $0.1 million in overnight loans from other FHLBanks. The borrowings averaged $2.8 million for the six months ended June 30, 2019. Interest expense was immaterial.annual lease receipts.

​

Cash and Due from Banks

​

At June 30, 20202021 and December 31, 2019,2020, there was no compensating cash balances held at Citibank. Citibank is a member and stockholder of the FHLBNY. For more information, see Note 3. Cash and Due from Banks.

​

The following tables summarize significant balances and transactions with related parties at June 30, 20202021 and December 31, 20192020, and transactions for the three and six months ended June 30, 20202021 and June 30, 20192020 (in thousands):

​

Related Party: Outstanding Assets, Liabilities and Capital

​

 June 30, 2020 December 31, 2019 
 Related Related 

​

​

​

​

​

​

​

​

​

June 30, 2021

​

December 31, 2020

​

    

Related

    

Related

Assets        

​

​

​

​

​

​

Advances $113,788,556  $100,695,241 

​

$

79,984,530

​

$

92,067,104

Accrued interest receivable  119,801   181,792 

​

 

76,114

​

 

89,604

        

​

​

​

​

​

​

​

Liabilities and capital        

​

​

​

​

​

​

Deposits $1,590,357  $1,194,409 

​

$

1,530,610

​

$

1,752,963

Mandatorily redeemable capital stock  3,841   5,129 

​

 

2,360

​

 

2,991

Accrued interest payable  170   140 

​

 

30

​

 

45

Affordable Housing Program (a)  159,464   153,894 

​

​

152,523

​

​

148,827

Other liabilities (b)  35,400   45,388 

​

 

30,477

​

 

32,378

        

​

​

​

​

​

​

​

Capital $8,138,108  $7,531,895 

​

$

6,820,527

​

$

7,256,699

​

(a)(a)Represents funds not yet allocated or disbursed to AHP programs.
(b)(b)Includes member pass-through reserves at the Federal Reserve Bank of New York.

​

60

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Related Party: Income and Expense Transactions

​

 Three months ended June 30, Six months ended June 30, 
 2020 2019 2020 2019 
 Related Related Related Related 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended June 30, 

​

Six months ended June 30, 

​

​

2021

​

2020

​

2021

​

2020

​

    

Related

    

Related

    

Related

    

Related

Interest income                

​

​

​

​

​

​

​

​

​

​

​

​

Advances $326,230  $704,936  $790,795  $1,396,832 

​

$

123,567

​

$

326,230

​

$

263,395

​

$

790,795

Interest-bearing deposits  -   2   1   3 

​

​

—

​

​

—

​

​

—

​

​

1

Loans to other FHLBanks  -   104   33   154 

​

​

1

​

​

—

​

​

1

​

 

33

                

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest expense                

​

​

​

​

​

​

​

​

​

​

​

​

Deposits $146  $5,976  $3,374  $11,941 

​

$

69

​

$

146

​

$

175

​

$

3,374

Mandatorily redeemable capital stock  56   108   135   208 

​

​

28

​

​

56

​

​

62

​

 

135

Cash collateral held and other borrowings  -   -   -   50 
                

​

​

​

​

​

​

​

​

​

​

​

​

​

Service fees and other $4,622  $4,117  $9,322  $8,248 

​

$

4,539

​

$

4,622

​

$

8,737

​

$

9,322


​

Federal Home Loan Bank of New York​

Note21.         Segment Information and Concentration.

Notes to Financial Statements — Unaudited

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 one1 or more large members were to withdraw from membership or decrease business with the FHLBNY. Members might withdraw or reduce their business as a result of consolidating with an institution that was a member of another FHLBank, or for other reasons. The FHLBNY has considered the impact of losing one or more large members. In general, a withdrawing member would be required to repay all indebtedness prior to the redemption of its capital stock. Under current conditions, the FHLBNY does not expect the loss of a large member to impair its operations, since the FHLBank Act, as amended, does not allow the FHLBNY to redeem the capital of an existing member if the redemption would cause the FHLBNY to fall below its capital requirements. Consequently, the loss of a large member should not result in an inadequate capital position for the FHLBNY. However, such an event could reduce the amount of capital that the FHLBNY has available for continued growth. This could have various ramifications for the FHLBNY, including a possible reduction in net income and dividends, and a lower return on capital stock for remaining members.

​

The top ten advance holders at June 30, 2020,2021, December 31, 20192020 and June 30, 20192020 and associated interest income for the periodsyears then ended are summarized as follows (dollars in thousands):

​

 June 30, 2020 
       Percentage of Three Months Six Months 
 City State Par
Advances		 Total Par Value
of Advances		 Interest
Income		 Percentage (a) Interest
Income		 Percentage (a) 
Citibank, N.A.  New York   NY  $26,450,000   23.62% $99,454   33.02% $206,533   31.78%

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

​

​

​

​

​

​

​

​

Percentage of

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Par

​

Total Par Value

​

Three Months

​

Six Months

​

​

    

City

    

State

    

Advances

    

of Advances

    

Interest Income

    

Percentage (a)

    

Interest Income

    

Percentage (a)

​

MetLife, Inc.:                                

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Metropolitan Life Insurance Company  New York   NY   15,245,000   13.61   52,741   17.51   126,712   19.49 

 

New York

 

NY

​

$

15,245,000

​

19.25

%  

$

38,698

​

​

22.45

%

 $

77,950

​

22.11

%

Metropolitan Tower Life Insurance Company  New York   NY   955,000   0.85   633   0.21   633   0.10 

​

New York

​

NY

​

​

955,000

​

1.21

​

​

1,214

​

​

0.70

​

​

2,452

​

0.70

​

Subtotal MetLife, Inc.          16,200,000   14.46   53,374   17.72   127,345   19.59 
New York Community Bank (b)  Westbury   NY   13,552,661   12.10   58,381   19.38   123,458   18.99 
Equitable Financial Life Insurance Company (c)  New York   NY   6,692,475   5.98   18,184   6.04   47,371   7.29 
HSBC Bank USA, National Association  New York   NY   5,750,000   5.13   14,001   4.65   19,856   3.05 

Subtotal MetLife,Inc.

​

​

​

​

​

​

16,200,000

​

20.46

​

​

39,912

​

​

23.15

​

​

80,402

​

22.81

​

New York Community Bank

 

Westbury

 

NY

​

​

14,002,661

​

17.68

​

​

51,949

​

​

30.13

​

​

104,744

​

29.71

​

Citibank, N.A.

​

New York

​

NY

​

​

11,500,000

​

14.52

​

​

21,147

​

​

12.27

​

​

45,313

​

12.86

​

Equitable Financial Life Insurance Company

​

New York

​

NY

​

​

8,218,115

​

10.37

​

​

16,455

​

​

9.54

​

​

32,246

​

9.15

​

Investors Bank (b)  Short Hills   NJ   4,175,319   3.73   16,056   5.33   40,036   6.16 

 

Short Hills

 

NJ

​

 

3,575,000

​

4.51

​

​

8,631

​

​

5.01

​

 

16,789

​

4.76

​

Signature Bank  New York   NY   3,884,245   3.47   14,643   4.86   36,450   5.61 

​

New York

​

NY

​

​

2,764,245

​

3.49

​

​

7,316

​

​

4.24

​

​

14,878

​

4.22

​

Prudential Insurance Company of America  Newark   NJ   3,564,325   3.18   9,343   3.10   13,083   2.01 
Teachers Ins. & Annuity Assoc of America  New York   NY   3,387,600   3.02   4,614   1.53   9,284   1.43 

New York Life Insurance Company

​

New York

​

NY

​

​

2,325,000

​

2.94

​

​

13,464

​

​

7.81

​

​

27,545

​

7.81

​

HSBC Bank USA, National Association

 

New York

 

NY

​

 

2,000,000

​

2.52

​

 

4,642

​

​

2.69

​

 

12,388

​

3.51

​

Valley National Bank (b)  Wayne   NJ   3,362,352   3.00   13,177   4.37   26,608   4.09 

​

Wayne

​

NJ

​

​

1,645,870

​

2.08

​

​

7,563

​

​

4.39

​

​

16,376

​

4.65

​

Goldman Sachs Bank USA

​

New York

​

NY

​

​

1,600,000

​

2.02

​

​

1,321

​

​

0.77

​

​

1,839

​

0.52

​

Total         $87,018,977   77.69% $301,227   100.00% $650,024   100.00%

​

​

​

​

​

$

63,830,891

 

80.59

%  

$

172,400

​

​

100.00

%

$

352,520

​

100.00

%

​

61

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

(a)(a)Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members.
(b)At June 30, 2021, an officer of this member bank also served on the Board of Directors of the FHLBNY.

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2020

​

​

​

​

​

​

​

​

​

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

​

$

15,245,000

​

16.80

%  

$

211,797

​

​

19.03

%

Metropolitan Tower Life Insurance Company

​

New York

​

NY

​

​

955,000

​

1.05

​

​

3,176

​

​

0.28

​

Subtotal MetLife, Inc.

​

​

​

​

​

​

16,200,000

​

17.85

​

​

214,973

​

​

19.31

​

Citibank, N.A.

 

New York

 

NY

​

​

14,900,000

​

16.42

​

​

280,084

​

​

25.16

​

New York Community Bank (b)

 

Westbury

 

NY

​

 

14,627,661

​

16.12

​

​

233,915

​

 

21.01

​

Equitable Financial Life Insurance Company (c)

​

New York

​

NY

​

​

6,890,415

​

7.60

​

​

77,739

​

​

6.98

​

HSBC Bank USA, National Association

​

New York

​

NY

​

​

4,250,000

​

4.69

​

​

41,663

​

​

3.74

​

New York Life Insurance Company

 

New York

 

NY

​

 

3,250,000

​

3.58

​

​

68,611

​

 

6.16

​

Signature Bank

 

New York

 

NY

​

 

2,839,245

​

3.13

​

​

54,832

​

 

4.93

​

Investors Bank (b)

​

Short Hills

​

NJ

​

​

2,668,000

​

2.94

​

​

61,501

​

​

5.53

​

Valley National Bank (b)

 

Wayne

 

NJ

​

 

2,588,059

​

2.85

​

​

49,770

​

 

4.47

​

Prudential Insurance Company of America

​

Newark

​

NJ

​

​

2,517,125

​

2.77

​

​

30,158

​

​

2.71

​

Total

​

​

​

​

​

$

70,730,505

 

77.95

%  

$

1,113,246

​

 

100.00

%

​

(a)

Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members.

(b)

At December 31, 2020, an officer of this member bank also served on the Board of Directors of the FHLBNY.

(c)

AXA Equitable Life Insurance Company changed name to Equitable Financial Life Insurance Company in second quarter of 2020.

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2020

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Percentage of

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Par

​

Total Par Value

​

Three Months

​

Six Months

​

​

    

City

    

State

    

Advances

    

of Advances

    

Interest Income

    

Percentage (a)

    

Interest Income

    

Percentage (a)

​

Citibank, N.A.

 

New York

 

NY

​

$

26,450,000

​

23.62

%  

$

99,454

​

​

33.02

%

$

206,533

​

​

31.78

%

MetLife, Inc.:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Metropolitan Life Insurance Company

 

New York

 

NY

​

​

15,245,000

​

13.61

​

​

52,741

​

​

17.51

​

​

126,712

​

​

19.49

​

Metropolitan Tower Life Insurance Company

​

New York

​

NY

​

​

955,000

​

0.85

​

​

633

​

​

0.21

​

​

633

​

​

0.10

​

Subtotal MetLife, Inc.

​

​

​

​

​

​

16,200,000

​

14.46

​

​

53,374

​

​

17.72

​

​

127,345

​

​

19.59

​

New York Community Bank (b)

​

Westbury

​

NY

​

​

13,552,661

​

12.10

​

​

58,381

​

​

19.38

​

​

123,458

​

​

18.99

​

Equitable Financial Life Insurance Company (c)

​

New York

​

NY

​

​

6,692,475

​

5.98

​

​

18,184

​

​

6.04

​

​

47,371

​

​

7.29

​

HSBC Bank USA, National Association

​

New York

​

NY

​

​

5,750,000

​

5.13

​

​

14,001

​

​

4.65

​

​

19,856

​

​

3.05

​

Investors Bank (b)

​

Short Hills

​

NJ

​

​

4,175,319

​

3.73

​

​

16,056

​

​

5.33

​

​

40,036

​

​

6.16

​

Signature Bank

 

New York

 

NY

​

 

3,884,245

​

3.47

​

 

14,643

​

​

4.86

​

 

36,450

​

​

5.61

​

Prudential Insurance Company of America

​

Newark

​

NJ

​

​

3,564,325

​

3.18

​

​

9,343

​

​

3.10

​

​

13,083

​

​

2.01

​

Teachers Ins. & Annuity Assoc of America

 

New York

 

NY

​

 

3,387,600

​

3.02

​

 

4,614

​

​

1.53

​

 

9,284

​

​

1.43

​

Valley National Bank (b)

​

Wayne

​

NJ

​

​

3,362,352

​

3.00

​

​

13,177

​

​

4.37

​

​

26,608

​

​

4.09

​

Total

​

​

​

​

​

$

87,018,977

 

77.69

%  

$

301,227

​

​

100.00

%

$

650,024

​

​

100.00

%

​

(a)Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members.
(b)At June 30, 2020, an officer of this member bank also served on the Board of Directors of the FHLBNY.
(c)
(c)AXA Equitable Life Insurance Company changed name to Equitable Financial Life Insurance Company in the second quarter of 2020.


Federal Home Loan Bank of New York​

Notes to Financial Statements — Unaudited​

​

  December 31, 2019 
           Percentage of    
           Total  Twelve Months 
  City  State  Par
Advances		  Par Value
of Advances		  Interest
Income		  Percentage (a) 
Citibank, N.A.  New York   NY  $23,045,000   22.95% $486,275   27.71%
Metropolitan Life Insurance Company  New York   NY   14,445,000   14.39   367,507   20.94 
New York Community Bank (b)  Westbury   NY   13,102,661   13.05   259,207   14.77 
AXA Equitable Life Insurance Company  New York   NY   6,900,415   6.87   111,997   6.38 
Investors Bank (b)  Short Hills   NJ   4,986,397   4.97   115,789   6.60 
Signature Bank  New York   NY   4,142,144   4.13   127,299   7.26 
New York Life Insurance Company  New York   NY   2,825,000   2.81   81,348   4.64 
Valley National Bank (b)  Wayne   NJ   2,397,769   2.39   88,389   5.04 
Sterling National Bank  Montebello   NY   2,245,000   2.24   76,029   4.33 
ESL Federal Credit Union  Rochester   NY   1,739,823   1.73   40,937   2.33 
Total         $75,829,209   75.53% $1,754,777   100.00%

(a)Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members.
(b)At December 31, 2019, an officer of this member bank also served on the Board of Directors of the FHLBNY.

  June 30, 2019 
          Percentage of  Three Months  Six Months 
  City  State  Par
Advances		  Total ParValue
of Advances		  Interest
Income		  Percentage (a)  Interest
Income		  Percentage (a) 
Citibank, N.A.
  New York   NY  $23,150,000   22.69% $172,617   34.49% $306,535   31.77%
Metropolitan Life Insurance Company  New York   NY   14,245,000   13.96   97,123   19.41   192,359   19.94 
New York Community Bank (b)  Westbury   NY   11,627,661   11.40   64,027   12.79   128,552   13.33 
Investors Bank (b)  Short Hills   NJ   5,635,474   5.52   31,527   6.30   59,733   6.19 
Signature Bank  New York   NY   5,362,364   5.26   35,219   7.04   68,317   7.08 
AXA Equitable Life Insurance Company  New York   NY   3,990,415   3.91   25,004   5.00   49,947   5.18 
Sterling National Bank  Montebello   NY   3,765,000   3.69   18,677   3.73   42,937   4.45 
Valley National Bank (b)  Wayne   NJ   3,530,000   3.46   21,846   4.36   41,705   4.32 
New York Life Insurance Company  New York   NY   3,000,000   2.94   20,974   4.19   42,967   4.45 
HSBC Bank USA, National Association (c)  New York   NY   2,000,000   1.96   13,478   2.69   31,776   3.29 

Total 

         $76,305,914   74.79% $500,492   100.00% $964,828   100.00%

(a)Interest income percentage is the member’s interest income from advances as a percentage of the top 10 members.
(b)At June 30, 2019, an officer of this member bank also served on the Board of Directors of the FHLBNY.
(c)Effective second quarter 2019, location changed from McLean, VA to New York, NY.

60​

62

Table of Contents

​

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

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, 2019,2020, filed with the SEC on March 20, 202019, 2021 (the “2019“2020 Annual Report”), Part II, Item 1A of this quarterly report on Form 10-Q, 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 the 2019our 2020 Annual Report, Part II, Item 1A – Risk Factors of this Quarterly Report on Form 10-Q 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;

63

Table of Contents

​

●•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 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.

​

​


64

Table of Contents

​

Organization of Management’s Discussion and Analysis (“MD&A”)(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
Executive Overview

64

Page

Recent Developments

Executive Overview

64

66

2020

Second Quarter 2021 Financial Results

65

66

Financial Condition

72

67

Advances

Other Developments

76

69

Investments

Financial Condition

81

72

Advances

75

Investments

80

Mortgage Loans Held-for-Portfolio, Net

85

86

Debt Financing Activity and Consolidated Obligations

87

Stockholders’ Capital

93

Derivative Counterparty Credit RatingsInstruments and Hedging Activities

95

Liquidity, Cash Flows, Short-Term Borrowings and Short-Term Debt

97

Results of Operations

100

101

Net Income

100

101

Net Interest Income, Interest Rate Margin and Interest Rate Spreads

102

103

Interest Income

108

109

Interest Expense

110

Analysis of Non-Interest Income (Loss)

114

112

Operating Expenses, Compensation and Benefits, and Other Expenses

116

115

Assessments

117

116

Legislative and Regulatory Developments

118

116

​

MD&A TABLE REFERENCEMD&A TABLE REFERENCE

MD&A TABLE REFERENCE

Table(s) Description Page(s) 

 

Description

 

Page(s)

 Selected Financial Data  70-71 

 

Selected Financial Data

 

70-71

 Replacement of London Interbank Offered Rates (LIBOR)  75-76 
1.1 Financial Condition  72 

 

Financial Condition

 

72

1.2

​

Overview of LIBOR-indexed Instruments Outstanding

​

75

2.1 - 2.8 Advances  77-80 

 

Advances

 

76-80

3.1 - 3.8 Investments  81-85 

 

Investments

 

81-85

4.1 - 4.3 Mortgage Loans  86-87 

 

Mortgage Loans

 

86-87

5.1 - 5.11 Consolidated Obligations  88-92 

 

Consolidated Obligations

 

88-93

6.1 - 6.4 Capital  93-95 

 

Capital

 

93-95

7.1 Derivatives  96 

 

Derivatives

 

96

8.1 - 8.3 Liquidity  97-98 

 

Liquidity

 

98-99

8.4 Short Term Debt  99 

 

Short Term Debt

 

100

9.1 - 9.13 Results of Operations  100-116 

9.1 - 9.11

 

Results of Operations

 

101-115

10.1 Assessments  117 

 

Assessments

 

116

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63​

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Executive Overview

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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 20192020 Form 10-K filed on March 20, 2020.19, 2021.

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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 also 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.

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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.

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Recent Developments

Primarily dueCOVID-19 and Business Continuity. We continue to the COVID-19 pandemic (or, coronavirus, Coronavirus-19), conditions in the financial markets deteriorated significantly beginning in late Februaryoperate our business and into March 2020, creating substantial uncertainty about future economic activity and the global and national economic environment. The Federal Reserve undertook a number of emergency actions starting in March 2020 to, among other things, help facilitate liquidity and support stability in the fixed income markets while volatility across global capital markets dramatically increased. Notably, the Federal Reserve increased substantially its provision of liquidity to the repurchase agreement and U.S. Treasury markets via open market operations while also providing liquidity to related markets, such as the commercial paper market, via an array of new programs, as part of its commitment to using its full range of tools to support households, businesses, and the U.S. economy overall in this challenging time. Governmental and public actions taken in response to the effects of the coronavirus pandemic seemed to have helped steady the markets and the global and U.S. economy. However, the situation continues to evolve, and the full duration and impact of the pandemic remains uncertain.

Advance demand increased notably in March 2020 as members increased their liquidity and responded to their customers’ needs for cash. Subsequently, advances demand has declined as members received an influx of deposits and had other governmental support mechanisms available to them. Future demand fromserve our members for advances is difficultremotely. We are monitoring conditions and are developing a phased approach to forecast as it is uncertain what the impact will be onreopening our members’ businesses from factors such as lower market interest rates, unusual relationships among market rate curves, credit market conditions, uncertainties on valuation of assets, demand for loans from members’ customers, supply of deposits and other funding to members’ businesses, risk of credit losses, and other potential disruptions to our members’ businesses.

The Bank continued to manage its operations in the second quarter of 2020 in response to the COVID-19 pandemic. In connection with the Bank’s Business Continuity Program (“BCP”), the Bank’s staff successfully worked and conducted operations fully remotely throughout the second quarter and beyond, without any significant operational problems to date. The BCP is intended to help ensure the safety and welfare of our employees, to safeguard the Bank’s assets, including physical property and information, and to permit the continued operations of the Bank in the event of a short-term disruption or long-term catastrophic event. The BCP contains operating procedures for critical processes and identifies resources and staff necessary to continue operationsoffices based on business defined recovery time objectives and communication requirements for internal and external stakeholders.


The Bank continued to meet its funding needs throughout recent events. The disruptions in the funding markets during March largely subsided during the second quarter, as spreads between the Bank’s consolidated obligations and U.S. Treasury securities returned to more normalized levels and market access for required funding stabilized. The FHLBanks continued to coordinate and cooperate to ensure orderly access for the FHLBanks to the funding markets in the issuanceregional indicators of System consolidated obligations. As a consequence of the Federal Reserve’s Open Market Operations in response to market disruptions, unusual relationships among interest rate curves largely normalized and funding markets stability improved during the second quarter. However, as the future path of the pandemic is unpredictable, so is its potential impact on the capital markets and the FHLBanks’ funding conditions.

The impact of the Covid-19 pandemic on the Bank’s future earnings and dividends continues to be difficult to forecast given the uncertainties about the health crisis, the actions of national and local policymakers, the impact on the economy, markets, and the business climate, and the potential impact of changes in consumer and business behavior on our members’ business. These and other factors may reduce the volume of assets on the Bank’s balance sheet and the spreads we earn on those assets. Low market interestinfection positivity rates will reduce the income we earn from capital. Changes in market conditions affecting CO issuance spreads have been volatile.  Uncertainty with regard to future investor appetite for increased Treasury and GSE issuance may indicate higher future debt costs and reduce the Bank’s margins as issuance amounts rise.

The market disruption caused by the pandemic has negatively affected mortgage collateral valuations, and the Bank has responded by applying updated mortgage valuations to pledged mortgage collateral. Where necessary, members have pledged additional qualifying collateral to reflect current market conditions and/or to address increased advance demand in order to comply with their collateral maintenance requirements. The Bank remained adequately collateralized throughout the second quarter, and will continue to monitor creditoperate in compliance with all applicable laws and collateral conditions and endeavor to make adjustments as needed. In addition, the Bank has implemented certain relief measures to help members serve their customers affected by the COVID-19 pandemic. These measures include forbearance and modification for MPF program loans, forbearance and modifications for pledged loan collateral, and allowing electronic signatures on loan documentation in certain circumstances.

In May 2020, the Bank began offering a variety of loan and grant programs to help assist members in responding to the challenges brought about by the COVID-19 pandemic. Also in response to the COVID-19 pandemic, the Finance Agency took certain actions to allow the Federal Home Loans Banks to provide various forms of relief in response to the effects of the pandemic.

See “Legislative and Regulatory Developments” in this section for more information.

Credit Losses under ASU 2016-13 (CECL) — Effective January 1, 2020, we adopted the new accounting standard on current expected credit losses (CECL), under which the allowance is measured based on management’s best estimate of lifetime expected credit losses. Prior to adoption of this framework, allowance was based on management’s estimate of probable incurred credit losses. Adoption of the new framework did not have a material impact on our financial results of operations and cash flows.regulations. For more information about our business continuity plans and posture with respect to COVID-19, see Note 1. Critical Accounting Policies and Estimates in notes to Financial Statements.our most recent Form 10-K filed on March 19, 2021.

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2020 Second Quarter 2021 Financial Results

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Net income —Net income for 2020the 2021 second quarter was $137.5$74.7 million, an increasea decrease of $29.4$62.8 million, or 27.2%45.7 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 costing yields on debt, and the yields earned on advances, mortgage-backed securities, other investments, and other investments. Advance balances have decreased and interest earning assets.

rates remain very low, adversely impacting Net interest income. Non-interest income increased by $13.2 million compared with the second quarter of 2020, driven primarily by an increase on the fair values of derivatives and interest accruals on economic hedges.

​

Net Interest Income — 2020Our 2021 second quarter Net interest income was $143.2 million compared to $229.7 million, an increasea decrease of $66.1 million, or 40.4%, driven primarily by increase in advance volume, as measured by average outstanding balances; and, by favorable funding spreads, specifically costing yields on CO discount notes, which benefited37.7 percent from investor demand for high-quality liquid FHLBank discount notes.


Period-over-period changes in Net interest income are largely a factor of the prevailing interest rates and their impact on interest income and interest expense, as well as the volume of interest-earning assets. Volume-related increases in earning assets and changes in funding mix made a favorable impact of $51.6 million in the 2020 second quarter. Average interest-earning assets totaled $173.7 billion in the 2020 second quarter, compared to $147.7 billion in the same period lastin the prior year. HigherThis decrease was driven by a decline of $38.3 billion in average advance volume was a key contributor. Yield related changes made a small, but a positive contribution of $14.5 million, duebalances to better funding utilizing favorably priced CO discount notes.$87.0 billion at June 30, 2021 from $125.3 billion at June 30, 2020. Net interest spread, which is the yield from earning assets minus interest paid to fund earning assets, was 49 basis pointsmargin in the 2020current year second quarter compared to 32 basis points in the same period last year.

Stockholders’ capital, which is typically employed to fund short-term interest-earning assets, increased to $8.7 billion in the 2020 second quarter, upbenefitted from $7.5 billion in the same period last year, a positive change for interest margin. Increase in Capital stock was in line with increase in advances as borrowing members are required to purchase capital stock in proportion to amounts borrowed.

2020 second quarterprepayment fees on advances. Net interest income was adversely impactedpotentially constrained by interest rate hedging, primarily duethe Fed’s acquisition program in the agency-issued mortgage-backed securities market that has driven up pricing and limited the opportunities for acquiring investments that met our risk/reward targets. Spreads remained very low on our investments in overnight Federal funds markets and repurchase programs, two principal investment vehicles for our balance sheet liquidity programs. We adapted to the effectsdeclining spread environment and declining requirements for liquidity by targeting lower inventories of interest settlements. Interest settlements and fair values in aggregate recorded a loss of $60.7 million. In contrast, in the same period last year, a net favorable contribution of $51.2 million was recorded. The impact of fair values was not material in either period. Net interest settlements (interest accruals) on swaps hedging assets and liabilities under ASC 815 fluctuate with changes in the benchmark rates as designed and achieveovernight investments, while continuing to meet our interest rate risk management objectives.liquidity metrics.

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Other income (loss) — 2020 second quarter Other income (loss) reported a loss of $22.8 million, compared to a loss of $1.3 million in the same period last year. The more significant components are noted below:

Liquidity “trading” securities — Portfolio of U.S. Treasury securities held for liquidity reported a net loss in the 2020 second quarter of $41.4 million, which comprised of realized gains of $29.5 million on securities sold and unrealized valuation losses of $70.9 million on inventories outstanding at June 30, 2020. Fed’s intention to continue open market purchasing U.S. Treasury securities and recovery prospects pushed market yields higher at June 30, 2020, causing valuation losses on our fixed-rate Treasury securities. In contrast, the portfolio recorded net gains of $33.9 million in the same period last year.

Derivative gains and losses (Standalone derivative instruments) — Standalone derivatives recorded net losses of $3.9 million in the 2020 second quarter, compared to a net loss of $39.1 million in the same period last year. Recorded losses were the aggregate effects of changes in fair values and the impact of interest settlements (accruals) on derivatives in economic hedges. 2020 second quarter net loss was primarily due to unfavorable interest settlements (accruals), which reported an expense of $39.2 million, partly offset by net fair value gains on swaps in economic hedges of assets and liabilities. More information is presented in Table 9.12: Other Income (Loss) – Impact of Derivatives Gains and Losses.

Market value gains and losses on grantor trust — Equity and bond mutual funds held in grantor trust to fund certain payments to retirees participating in non-qualified retirement plans reported net gains of $7.3 million and $1.9$9.6 million in the second quarter of 2020 and 2019.

Other expenses were $51.0 million and $42.42021 compared to a loss of $22.8 million in the second quarter of 2020 and 2019.2020. Primary drivers are summarized below:

​

●Financial instruments carried at fair values — In the current year period, FVO instruments reported valuation gains of $3.9 million. In the prior year period, FVO instruments reported fair value gains of $10.6 million.

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●Derivative activities reported a net income in Other income of $3.9 million in the 2021 second quarter, compared to net expense of $3.9 million in the same period last year. Interest rate swaps in economic hedges (standalone derivatives) recorded net fair value gains of $22.9 million in the second quarter of 2021, compared to net fair value gains of $19.2 million in the second quarter of 2020. These fair value gains in the second quarter current year and gains in the prior year period largely offset the marked-to-market valuation volatility of the portfolio of U.S Treasury securities held for liquidity. Swap interest accruals on standalone swaps were charges to Other income of $18.9 million in the second quarter of 2021 and $39.2 million in the second quarter of 2020.
●U.S. Treasury Securities held for liquidity (classified as trading) reported marked-to-market losses of $26.4 million in the second quarter of 2021 and $41.4 million in the second quarter of 2020. 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 net marked-to-market gains of $4.5 million in current year period, compared to a gain of $7.3 million in the prior year period.

​

Other expenses were $52.2 million in the second quarter of 2021, compared to $51.0 million in the second quarter of 2020. 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. Compensation and benefit expense were higher. Also, includes $3.6 million in grants paid in the second quarter of 2020 to a Small Business Relief Grant program, which was established by us to provide funding for businesses and communities affected by COVID-19.

​

Affordable Housing Program Assessments (AHP) allocated from Net income were $15.3 million and $12.0$8.3 million in the second quarter of 2020 and 2019.2021, compared to $15.3 million in the second quarter of 2020. Assessments are calculated as a percentage of Net income, and changes in allocations were in parallel with changes in Net income.

​

Dividend payments — A quarterly cash dividend of $1.47$1.17 per share (5.90%(4.75% annualized) was paid in the second quarter of 2020,2021, compared to $1.57$1.47 per share (6.35%(5.90% annualized) in the same period in 2019.2020.

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66

Financial ConditionCondition — June 30, 20202021 compared to December 31, 20192020

​

Our financial condition is characterized by a solid balance sheet and ample liquidity readily available for our member institutions.

​

Total assets declined to $158.9$120.4 billion at June 30, 20202021 from $162.1$137.0 billion at December 31, 2019,2020, a decrease of $3.2$16.6 billion, or 2.0%12.1%.

​

Cash at banks was $44.3$52.6 million at June 30, 2020,2021, compared to $603.2 million$1.9 billion at December 31, 2019.2020.

Interest-bearing deposits are generally overnight​

Liquidity investments at highly-rated financial institutions. Balances were $925.0 million and $0 at June 30, 2020 and December 31, 2019.

—Money market investments at June 30, 20202021 were $5.4$5.5 billion in federal funds sold and $5.0$8.7 billion in overnight resale agreements. At December 31, 2019,2020, money market investments were $8.6$6.3 billion in federal funds sold and $15.0$4.7 billion in overnight resale agreements. Money market investments also included interest-bearing deposits at highly rated financial institutions. Balances were $675.0 million and $685.0 million at June 30, 2021 and December 31, 2020, respectively.

​

For liquidity, we maintain a portfolio of U.S. Treasury securities designated as trading to meet short-term contingency liquidity needs. Balances were $7.1 billion and $11.7 billion at June 30, 2021 and December 31, 2020, 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 June 30, 2021 and December 31, 2020 included $4.1 billion and $3.4 billion of high credit quality GSE-issued available-for-sale securities that are investment quality and readily marketable. The Finance Agency’s Liquidity Advisory Bulletin 2018-07 has specific initial liquidity levels to be maintained within certain ranges defined in an accompanying supervisory letter. 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.

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Advances — Par balances increaseddecreased at June 30, 20202021 to $112.0$79.2 billion, compared to $100.4$90.7 billion at December 31, 2019.2020. Short-term fixed-rate advances decreased by 24.4%10.0% to $18.4$11.6 billion at June 30, 2020,2021, down from $24.4$12.9 billion at December 31, 2019.2020. ARC advances, which are adjustable-rate borrowings, increaseddecreased by 77.9%12.0% to $29.1$15.0 billion at June 30, 2020,2021, compared to $16.4$17.1 billion at December 31, 2019. While demand2020. Given that advances are always well collateralized, a provision for advances in the immediate months following the onsetcredit loss was not necessary. We have no history of COVID-19 pandemic was unprecedented and stood at $134.4 billion at March 31, 2020, member borrowings have since declined and was $112.0 billion as of June 30, 2020, specifically driven by large members who have prepaid certain advances or have not rolled-over maturingcredit 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). The heavy concentration of GSE and Agency issued (GSE-issued) securities, and a declining balance of private-label MBS, less than 1%, is our investment profile.

​

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 $313.8$697.0 million and $344.0$281.3 million at June 30, 20202021 and December 31, 2019.2020, 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 $2.6$3.4 billion and $2.3$3.2 billion at June 30, 20202021 and December 31, 2019.2020, 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 $900.7 million at June 30, 2021 that were transferred from the HTM portfolio in the second quarter of 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 $13.2$10.3 billion and $14.1$11.8 billion at June 30, 20202021 and December 31, 2019.2020, respectively. Investments in PLMBS were less than 1% of the HTM portfolio. No allowance for credit losses were deemed necessary for GSE-issued investments. Allowance for credit losses was $0.2 million and $0.3 million on private-label MBS at June 30, 2021 and December 31, 2020, respectively.

​

HousingIn the HTM portfolio, State and local housing finance agency bonds, primarily New Yorkobligations were $190.5 million at June 30, 2021 and New Jersey, were carried at an amortized cost basis of $1.1 billion at December 31, 2020. Allowance for credit losses on State and local housing finance agency obligations in HTM portfolio was $0.1 million and $0.7 million at June 30, 20202021 and at December 31, 2019.2020, respectively.

​

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 June 30, 2020, trading investments were $12.9 billion in U.S. Treasury securities and $2.2 million in Ambac corporate notes. At December 31, 2019, trading investments were $15.3 billion in U.S. Treasury securities and $3.2 million in Ambac corporate notes.

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 $63.9$91.4 million and $60.0$80.4 million at June 30, 20202021 and December 31, 2019.2020, respectively.

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67

Mortgage loans held-for-portfolio — Mortgage loans were investments in Mortgage Partnership Finance loans (MPF or MPF Program). and Mortgage Asset Program (MAP®) loans. As of March 2021, the new MAP mortgage loan program became our only mortgage loan purchase program as we ceased to acquire mortgage loans through MPF.

​

Unpaid principal balance of MPF loans stood at $3.1$2.4 billion at June 30, 2020,2021, a decrease of $3.3 million$0.4 billion from the balance at December 31, 2019. Loans are primarily fixed-rate, single-family mortgages acquired through the MPF Program. Serious delinquencies2020. Unpaid principal balance of MAP loans stood at $56.0 million at June 30, 20202021.

​

Historically, credit performance has been strong in the MPF 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 portfolio, and historical loss experience remains very low. Serious delinquencies (typically 90 days or more) at June 30, 2021 were not materially different from prior periods, although we are seeing a rise in delinquencies. Rising delinquencies have resulted in increase in credit losses under the CECL methodology.lower than December 31, 2020. Allowance for credit losses increaseddecreased to $6.5$4.1 million at June 30, 2020,2021, compared to $0.7$7.1 million at December 31, 2019.2020.

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Capital ratios — Our capital position remains strong. At June 30, 2020,2021, actual risk-based capital was $8.2$6.8 billion, compared to required risk-based capital of $1.1$1.2 billion. To support $158.9$120.4 billion of total assets at June 30, 2020,2021, the minimum required total capital was $6.4$4.8 billion or 4.0% of assets. Our actual regulatory risk-based capital was $8.2$6.8 billion, exceeding required total capital by $1.8$2.0 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.

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Leverage — At June 30, 20202021 balance sheet leverage (based on U.S. GAAP) was 19.517.7 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.

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Other Developments

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 June 30, 2020 included $42.5 million as demand cash balances at the Federal Reserve Bank of New York (FRBNY), $10.3 billion in short-term and overnight investments in the federal funds and the repo markets, and​

$2.9 billion of high credit quality GSE-issued available-for-sale securities that are investment quality and readily marketable. For more information about the Advisory Bulletin and our liquidity measures, see section Liquidity, Cash Flows, Short-Term Borrowings and Short-Term Debt, and Tables 8.1 through Table 8.3 in this MD&A.

Other Developments

Replacement of London Interbank Offered Rates (LIBOR) — Central banks and regulators in a number of major jurisdictions have convened working groups to findbuild consensus as to the timing and to implement the transition to suitable replacementsoperational processes for implementing “Risk Free Rates” that will replace LIBOR. More information is provided in the Balance Sheet Overview in this MD&A.

Rating — The U.S. Government's credit is rated by Moody's as Aaa with outlook as stable, and AA+ and stable by Standard & Poor's (S&P). Consolidated obligations of the FHLBanks are rated Aaa/P-1 by Moody's and AA+/A- 1+ by S&P. Fitch Ratings has rated the U.S. sovereign debt as AAA, but recently revised the outlook on its U.S. sovereign rating to “negative” from “stable” to reflect what Fitch described as “the ongoing deteriorationAlternative Reference Rates Committee (ARRC) in the U.S. public finances and the absence of a credible fiscal consolidation plan.” Any negative rating actionshas settled on the establishment of the Secured Overnight Financing Rate (SOFR) as its recommended alternative to U.S. Government could potentially 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.

New Mortgage Program

In the fourth quarterdollar LIBOR. As noted throughout this report, much of 2020, the FHLBNY will offer to our members a new mortgage participation program.  The new program, Mortgage Asset Programsm (MAP), was created based on feedback from members and will better serve the needs of our district. MAP will replace the MPF Program® beginning in 2021.  Legacy MPF loans will continue to be supported by the FHLBNY and the FHLBank of Chicago as MPF Provider. In the MAP program, we will purchase investment grade, conventional one-to-four family or government-insured loans from participating members. Due to the unique credit enhancement structure and MAP program requirements of acquiring loans with strong credit quality indicators, we expect loan performance to remain within its credit quality indicators. To capitalize this activity, member sellers will also be required to purchase stock, as mandated by the FHLBNY’s capitalassets, liabilities and derivatives are indexed to LIBOR.

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On March 5, 2021, the ICE Benchmark Administration’s announcement to extend the cessation date for certain critical U.S. dollar LIBOR indexes have provided us with additional time to plan equalthe transition and we have updated our plans. The IBA had previously released a consultation on its intent to 4.5%cease the publication of the outstanding principal balance of the MAP assets sold by the member to the FHLBNY.  At this point, we cannot forecast with certainty the volume of loans or the income from this program. We do not expect the new program to have a significant impactU.S. dollar settings following their publication on our earnings, cash flows or our operations.  MAP will help fulfill our mission by providing an off-balance sheet option of providing liquidity in all operating environments.December 31, 2021.

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Distribution received from Financing Corporation (FICO) — FICO was established by Congress in 1987 as a vehicle for recapitalizing the Federal Savings and Loan Insurance Corporation. FICO was dissolved in 2019 in accordance with statute following payment in full of its obligations and all creditor claims. Funds remaining were distributed in June 2020 to the FHLBanks in proportion to the amounts of FICO stock owned by each FHLBank. The FHLBNY’s share was $18.2 million and was credited to Unrestricted retained earnings. More information is provided in financial statements Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings.

Recently Issued Accounting Standards and Interpretations and Critical Accounting Policies and Estimates &

Recently issued Accounting Standards and Interpretations. ​

For a discussion of recently issued accounting standards and interpretations, see financial statements, Note 2. FASBFinancial Accounting Standards Issued But Not Yet Adopted.Board (“FASB”) Standards Issued.

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Critical Accounting Policies and Estimates

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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 20192020 Form 10-K filed on March 20, 2020.19, 2021.

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Selected Financial Data (Unaudited).

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Statements of Condition June 30, March 31, December 31, September 30, June 30, 

    

June 30, 

    

March 31, 

    

December 31, 

    

September 30, 

    

June 30, 

 

(dollars in millions) 2020 2020 2019 2019 2019 

 

2021

 

2021

 

2020

 

2020

 

2020

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Investments (a) $41,440  $42,385  $56,892  $43,025  $44,474 

​

$

37,553

​

$

34,839

​

$

39,748

​

$

41,518

​

$

41,440

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Advances  113,789   136,151   100,695   94,301   102,429 

​

 

79,985

​

 

90,072

​

 

92,067

​

 

106,216

​

 

113,789

​

Mortgage loans held-for-portfolio, net (b)  3,165   3,210   3,173   3,055   2,986 

​

 

2,526

​

 

2,711

​

 

2,900

​

 

3,054

​

 

3,165

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Total assets  158,872   182,733   162,062   141,062   150,574 

​

 

120,449

​

 

130,276

​

 

136,996

​

 

151,694

​

 

158,872

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Deposits and borrowings  1,590   1,703   1,194   1,537   1,256 

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1,531

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1,912

​

 

1,753

​

 

1,810

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1,590

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Consolidated obligations, net                    

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​

 

  

​

 

  

​

 

  

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Bonds  59,032   81,089   78,764   76,044   78,729 

​

 

69,313

​

 

71,906

​

 

69,716

​

 

71,742

​

 

59,032

​

Discount notes  89,500   90,250   73,959   55,534   62,380 

​

 

42,173

​

 

48,617

​

 

57,659

​

 

69,710

​

 

89,500

​

Total consolidated obligations  148,532   171,339   152,723   131,578   141,109 

​

 

111,486

​

 

120,523

​

 

127,375

​

 

141,452

​

 

148,532

​

Mandatorily redeemable capital stock  4   5   5   5   6 

​

 

2

​

 

3

​

 

3

​

 

3

​

 

4

​

AHP liability  159   156   154   161   164 

​

 

153

​

 

152

​

 

149

​

 

158

​

 

159

​

Capital                    

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

​

Capital stock  6,334   7,313   5,779   5,474   5,841 

​

 

4,867

​

 

5,314

​

 

5,367

​

 

5,996

​

 

6,334

​

Retained earnings                    

​

 

  

​

 

  

​

 

  

​

 

​

​

 

  

​

Unrestricted  1,150   1,108   1,116   1,097   1,108 

​

 

1,120

​

 

1,123

​

 

1,135

​

 

1,136

​

 

1,150

​

Restricted  734   706   685   660   640 

​

 

803

​

 

788

​

 

774

​

 

754

​

 

734

​

Total retained earnings  1,884   1,814   1,801   1,757   1,748 

​

 

1,923

​

 

1,911

​

 

1,909

​

 

1,890

​

 

1,884

​

Accumulated other comprehensive income (loss)  (80)  (125)  (48)  (51)  (42)

​

 

30

​

 

13

​

 

(20)

​

 

(47)

​

 

(80)

​

Total capital  8,138   9,002   7,532   7,180   7,547 

​

 

6,820

​

 

7,238

​

 

7,256

​

 

7,839

​

 

8,138

​

Equity to asset ratio (c)(j)  5.12%  4.93%  4.65%  5.09%  5.01%

​

 

5.66

%  

 

5.56

%  

 

5.30

%  

 

5.17

%  

 

5.12

%

​

 Three months ended Six months ended 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended

​

Six months ended

Statements of Condition June 30, March 31, December 31, September 30, June 30, June 30, June 30, 

 

June 30, 

 

March 31, 

 

December 31, 

 

September 30, 

 

June 30, 

 

June 30, 

 

June 30,

Averages (See note below; dollars in millions) 2020 2020 2019 2019 2019 2020 2019 

    

2021

    

2021

    

2020

    

2020

    

2020

    

2021

    

2020

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Investments (a) $44,504  $49,984  $49,857  $48,091  $43,253  $47,244  $42,422 

​

$

34,952

​

$

42,043

​

$

42,586

​

$

43,571

​

$

44,504

​

$

38,478

​

$

47,244

Advances  125,320   102,777   94,352   90,402   101,562   114,048   99,357 

​

 

87,031

​

 

90,458

​

 

98,086

​

 

110,391

​

 

125,320

​

 

88,735

​

 

114,048

Mortgage loans held-for-portfolio, net  3,201   3,201   3,117   3,017   2,963   3,201   2,948 

​

 

2,608

​

 

2,806

​

 

2,986

​

 

3,105

​

 

3,201

​

 

2,707

​

 

3,201

Total assets  174,578   157,442   148,434   142,552   148,615   166,010   145,518 

​

 

125,605

​

 

136,463

​

 

144,908

​

 

158,471

​

 

174,578

​

 

131,004

​

 

166,010

Interest-bearing deposits and other borrowings  1,471   1,193   1,230   1,187   1,050   1,332   1,051 

​

 

1,461

​

 

1,604

​

 

1,619

​

 

1,485

​

 

1,471

​

 

1,532

​

 

1,332

Consolidated obligations, net                            

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

Bonds  73,182   83,985   75,249   74,310   80,528   78,583   80,611 

​

 

68,927

​

 

68,601

​

 

71,740

​

 

63,601

​

 

73,182

​

 

68,765

​

 

78,583

Discount notes  89,559   63,399   63,372   58,832   58,537   76,479   55,487 

​

 

46,796

​

 

57,621

​

 

62,464

​

 

83,653

​

 

89,559

​

 

52,179

​

 

76,479

Total consolidated obligations  162,741   147,384   138,621   133,142   139,065   155,062   136,098 

​

 

115,723

​

 

126,222

​

 

134,204

​

 

147,254

​

 

162,741

​

 

120,944

​

 

155,062

Mandatorily redeemable capital stock  4   5   5   5   7   5   7 

​

 

3

​

 

3

​

 

3

​

 

5

​

 

4

​

 

3

​

 

5

AHP liability  157   154   154   163   161   155   160 

​

 

152

​

 

149

​

 

154

​

 

156

​

 

157

​

 

151

​

 

155

Capital                            

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

Capital stock  6,854   5,854   5,480   5,299   5,816   6,354   5,703 

​

 

5,185

​

 

5,304

​

 

5,635

​

 

6,179

​

 

6,854

​

 

5,244

​

 

6,354

Retained earnings                            

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

Unrestricted  1,114   1,099   1,090   1,093   1,095   1,106   1,092 

​

 

1,120

​

 

1,122

​

 

1,128

​

 

1,135

​

 

1,114

​

 

1,121

​

 

1,106

Restricted  717   692   668   648   626   705   613 

​

 

794

​

 

779

​

 

762

​

 

741

​

 

717

​

 

787

​

 

705

Total retained earnings  1,831   1,791   1,758   1,741   1,721   1,811   1,705 

​

 

1,914

​

 

1,901

​

 

1,890

​

 

1,876

​

 

1,831

​

 

1,908

​

 

1,811

Accumulated other comprehensive income (loss)  (114)  (56)  (49)  (47)  (30)  (85)  (24)

​

 

25

​

 

(1)

​

 

(33)

​

 

(67)

​

 

(114)

​

 

12

​

 

(85)

Total capital  8,571   7,589   7,189   6,993   7,507   8,080   7,384 

​

 

7,124

​

 

7,204

​

 

7,492

​

 

7,988

​

 

8,571

​

 

7,164

​

 

8,080

​

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.

70


Operating Results and Other Data
(dollars in millions) Three months ended  Six months ended 
(except earnings and dividends per June 30,  March 31,  December 31,  September 30,  June 30,  June 30,  June 30, 
share, and headcount) 2020  2020  2019  2019  2019  2020  2019 
Net income $138  $105  $129  $101  $108  $243  $243 
Net interest income (d)  230   153   164   162   164   383   341 
Dividends paid in cash (e)  86   88   85   92   88   174   189 
AHP expense  15   12   14   11   12   27   27 
Return on average equity (f)(g)(j)  6.45%  5.57%  7.08%  5.75%  5.77%  6.04%  6.63%
Return on average assets (g)(j)  0.32%  0.27%  0.34%  0.28%  0.29%  0.29%  0.34%
Net OTTI impairment losses  -   -   (1)  -   -   -   - 
Other non-interest income (loss)  (23)  8   27   (4)  (1)  (15)  12 
Total other income (loss)  (23)  8   26   (4)  (1)  (15)  12 
Operating expenses (h)  40   37   42   39   36   77   70 
Finance Agency and                            
Office of Finance expenses  4   5   5   4   4   9   8 
Total other expenses (k)  51   44   48   45   43   95   83 
Operating expenses ratio (g)(i)(j)  0.09%  0.09%  0.11%  0.11%  0.10%  0.09%  0.10%
Earnings per share $2.02  $1.80  $2.34  $1.91  $1.86  $3.82  $4.27 
Dividends per share $1.47  $1.60  $1.60  $1.58  $1.57  $3.07  $3.31 
Headcount (Full/part time)  346   344   342   334   337   346   337 

Table of Contents

​

​

Operating Results and Other Data

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Operating Results and Other Data

​

Three months ended

​

Six months ended

​

(dollars in millions)

 

June 30, 

 

March 31, 

 

December 31, 

 

September 30, 

 

June 30, 

 

June 30, 

 

June 30, 

 

(except earnings and dividends per share, and headcount)

    

2021

    

2021

    

2020

    

2020

    

2020

    

2021

    

2020

​

Net income

​

$

75

​

$

72

​

$

98

​

$

101

​

$

138

​

$

147

​

$

243

​

Net interest income (d)

​

​

143

​

 

159

​

 

190

​

 

180

​

 

230

​

 

302

​

 

383

​

Dividends paid in cash (e)

​

​

63

​

 

70

​

 

79

​

 

95

​

 

86

​

 

133

​

 

174

​

AHP expense

​

​

8

​

 

8

​

 

11

​

 

11

​

 

15

​

 

16

​

 

27

​

Return on average equity (f)(g)(j)

​

​

4.21

%  

 

4.06

%

 

5.23

%  

 

5.04

%  

 

6.45

%  

 

4.14

%  

 

6.04

%

Return on average assets (g)(j)

​

​

0.24

%  

 

0.21

%

 

0.27

%  

 

0.25

%  

 

0.32

%  

 

0.23

%  

 

0.29

%

Other non-interest income (loss)

​

​

(10)

​

 

(33)

​

 

(22)

​

 

(14)

​

 

(23)

​

 

(43)

​

 

(15)

​

Operating expenses (h)

​

​

41

​

 

38

​

 

53

​

 

40

​

 

40

​

 

79

​

 

77

​

Finance Agency and

​

​

​

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

​

Office of Finance expenses

​

​

5

​

 

6

​

 

5

​

 

5

​

 

4

​

 

11

​

 

9

​

Total other expenses (k)

​

​

52

​

 

47

​

 

61

​

 

51

​

 

51

​

 

99

​

 

95

​

Operating expenses ratio (g)(i)(j)

​

​

0.13

%  

 

0.11

%  

 

0.14

%  

 

0.10

%  

 

0.09

%  

 

0.12

%  

 

0.09

%

Earnings per share

​

$

1.44

​

$

1.36

​

$

1.76

​

$

1.64

​

$

2.02

​

$

2.80

​

$

3.82

​

Dividends per share

​

$

1.17

​

$

1.26

​

$

1.28

​

$

1.39

​

$

1.47

​

$

2.43

​

$

3.07

​

Headcount (Full/part time) (l)

​

​

353

​

 

353

​

 

354

​

 

351

​

 

346

​

 

353

​

 

346

​

​

(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 $6.5$4.1 million, $3.5$5.7 million, $0.7$7.1 million, $0.6$9.1 million and $0.5$6.5 million for the periods ended June 30, 2020,2021, March 31, 2020,2021, December 31, 2019,2020, September 30, 20192020 and June 30, 2019.  2020, 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.

(l)

Head count at June 30, 2021 has increased compared to the same period in the prior year for strategizing and executing the implementation of multiple, multi-year projects designed to modernize and streamline our technology systems and technology infrastructures.

​

​


71

Table of Contents

​

Financial Condition

​

Table1.1:      1.1   Statements of Condition — Period-Over-Period Comparison

​

           

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

 

Net change in

 

Net change in

​

(Dollars in thousands)(Dollars in thousands) June 30, 2020 December 31, 2019 Net change in
dollar amount		 Net change in
percentage		 

    

June 30, 2021

    

December 31, 2020

    

dollar amount

    

percentage

​

Assets                

​

​

​

​

​

​

​

​

​

​

​

​

Cash and due from banks $44,308  $603,241  $(558,933)  (92.66)%

​

$

52,565

​

$

1,896,155

​

$

(1,843,590)

 

(97.23)

%

Interest-bearing deposits  925,000   -   925,000   NM   

​

 

675,000

​

 

685,000

​

 

(10,000)

 

(1.46)

​

Securities purchased under agreements to resell  4,950,000   14,985,000   (10,035,000)  (66.97)

​

 

8,700,000

​

 

4,650,000

​

 

4,050,000

 

87.10

​

Federal funds sold  5,355,000   8,640,000   (3,285,000)  (38.02)

​

 

5,506,000

​

 

6,280,000

​

 

(774,000)

 

(12.32)

​

Trading securities  12,923,831   15,318,809   (2,394,978)  (15.63)

​

 

7,075,406

​

 

11,742,965

​

 

(4,667,559)

 

(39.75)

​

Equity Investments  63,852   60,047   3,805   6.34 

​

 

91,401

​

 

80,369

​

 

11,032

 

13.73

​

Available-for-sale securities  2,874,107   2,653,418   220,689   8.32 

​

 

5,004,112

​

 

3,435,945

​

 

1,568,167

 

45.64

​

Held-to-maturity securities  14,348,334   15,234,482   (886,148)  (5.82)

​

 

10,500,672

​

 

12,873,646

​

 

(2,372,974)

 

(18.43)

​

Advances  113,788,556   100,695,241   13,093,315   13.00 

​

 

79,984,530

​

 

92,067,104

​

 

(12,082,574)

 

(13.12)

​

Mortgage loans held-for-portfolio  3,164,709   3,173,352   (8,643)  (0.27)

​

 

2,525,967

​

 

2,899,712

​

 

(373,745)

 

(12.89)

​

Loans to other FHLBanks  -   -   -   NM   

​

 

—

​

 

—

​

 

—

 

NM

​

Accrued interest receivable  225,556   312,559   (87,003)  (27.84)

​

 

145,257

​

 

189,454

​

 

(44,197)

 

(23.33)

​

Premises, software, and equipment  68,979   63,426   5,553   8.76 

​

 

79,120

​

 

77,628

​

 

1,492

 

1.92

​

Operating lease right-of-use assets  73,036   75,464   (2,428)  (3.22)

​

 

68,200

​

 

70,733

​

 

(2,533)

 

(3.58)

​

Derivative assets  55,829   237,947   (182,118)  (76.54)

​

 

29,282

​

 

36,669

​

 

(7,387)

 

(20.15)

​

Other assets  10,945   9,036   1,909   21.13 

​

 

11,144

​

 

11,003

​

 

141

 

1.28

​

                
Total assets $158,872,042  $162,062,022  $(3,189,980)  (1.97)%

​

$

120,448,656

​

$

136,996,383

​

$

(16,547,727)

 

(12.08)

%

                

​

​

​

​

​

​

​

​

​

​

​

​

​

Liabilities                

​

 

  

​

 

  

​

 

  

 

  

​

Deposits                

​

 

  

​

 

  

​

 

  

 

  

​

Interest-bearing demand $1,497,431  $1,144,519  $352,912   30.83%

​

$

1,484,249

​

$

1,677,526

​

$

(193,277)

 

(11.52)

%

Non-interest-bearing demand  59,926   34,890   25,036   71.76 

​

 

46,361

​

 

70,437

​

 

(24,076)

 

(34.18)

​

Term  33,000   15,000   18,000   120.00 

​

 

—

​

 

5,000

​

 

(5,000)

 

(100.00)

​

                
Total deposits  1,590,357   1,194,409   395,948   33.15 

​

 

1,530,610

​

 

1,752,963

​

 

(222,353)

 

(12.68)

​

                
Consolidated obligations                

​

 

  

​

 

  

​

 

  

 

  

​

Bonds  59,032,487   78,763,309   (19,730,822)  (25.05)

​

 

69,312,550

​

 

69,716,298

​

 

(403,748)

 

(0.58)

​

Discount notes  89,499,893   73,959,205   15,540,688   21.01 

​

 

42,173,073

​

 

57,658,838

​

 

(15,485,765)

 

(26.86)

​

Total consolidated obligations  148,532,380   152,722,514   (4,190,134)  (2.74)

​

 

111,485,623

​

 

127,375,136

​

 

(15,889,513)

 

(12.47)

​

                
Mandatorily redeemable capital stock  3,841   5,129   (1,288)  (25.11)

​

 

2,360

​

 

2,991

​

 

(631)

 

(21.10)

​

                

​

​

​

​

​

​

​

​

​

​

​

​

​

Accrued interest payable  131,432   156,889   (25,457)  (16.23)

​

 

133,209

​

 

117,982

​

 

15,227

 

12.91

​

Affordable Housing Program  159,464   153,894   5,570   3.62 

​

 

152,523

​

 

148,827

​

 

3,696

 

2.48

​

Derivative liabilities  70,726   32,411   38,315   118.22 

​

 

49,003

​

 

70,760

​

 

(21,757)

 

(30.75)

​

Other liabilities  158,795   175,516   (16,721)  (9.53)

​

 

193,028

​

 

186,550

​

 

6,478

 

3.47

​

Operating lease liabilities  86,939   89,365   (2,426)  (2.71)

​

 

81,773

​

 

84,475

​

 

(2,702)

 

(3.20)

​

                
Total liabilities  150,733,934   154,530,127   (3,796,193)  (2.46)

​

 

113,628,129

​

 

129,739,684

​

 

(16,111,556)

 

(12.42)

​

                
Capital  8,138,108   7,531,895   606,213   8.05 

​

 

6,820,527

​

 

7,256,699

​

 

(436,172)

 

(6.01)

​

                
Total liabilities and capital $158,872,042  $162,062,022  $(3,189,980)  (1.97)%

​

$

120,448,656

​

$

136,996,383

​

$

(16,547,727)

 

(12.08)

%

​

NM — Not meaningful.

​

72

Balance Sheet overview June 30, 20202021 and December 31, 20192020

​

Total assets declined to $158.9$120.4 billion at June 30, 20202021 from $162.1$137.0 billion at December 31, 2019,2020, a decrease of $3.2$16.6 billion, or 2.0%12.1%.

​

Cash at banks was $44.3$52.6 million at June 30, 2020,2021, compared to $603.2 million$1.9 billion at December 31, 2019. Interest-bearing deposits are generally overnight investments at highly-rated financial institutions. Balances were $925.0 million and $0 at June 30, 2020 and December 31, 2019.2020.

​

Money market investments at June 30, 20202021 were $5.4$5.5 billion in federal funds sold and $5.0$8.7 billion in overnight resale agreements. At December 31, 2019,2020, money market investments were $8.6$6.3 billion in federal funds sold and $15.0$4.7 billion in overnight resale agreements. Federal funds sold averaged $10.7$10.1 billion, $9.0$8.8 billion and $9.3$10.7 billion in the second quarter of 2020,2021, fourth quarter of 20192020 and second quarter of 2019,2020, respectively. Resale agreements averaged $2.2 billion, $9.9$95.6 million, $4.1 billion and $8.6$2.2 billion in the second quarter of 2020,2021, fourth quarter of 20192020 and second quarter 2019,of 2020, respectively. Money market investments also included interest-bearing deposits at highly rated financial institutions. Balances were $675.0 million and $685.0 million at June 30, 2021 and December 31, 2020, respectively.

72

Table of Contents

​

​

Advances — Par balances increaseddecreased at June 30, 20202021 to $112.0$79.2 billion, compared to $100.4$90.7 billion at December 31, 2019.2020. Short-term fixed-rate advances decreased by 24.4%10.0% to $18.4$11.6 billion at June 30, 2020,2021, down from $24.4$12.9 billion at December 31, 2019.2020. ARC advances, which are adjustable-rate borrowings, increaseddecreased by 77.9%12.0% to $29.1$15.0 billion at June 30, 2020,2021, compared to $16.4$17.1 billion at December 31, 2019.2020.

​

Long-term investment debt securities — Long-term investment debt securities are designated as available-for-sale (AFS) or held-to-maturity (HTM). The heavy concentration of GSE and Agency issued (GSE-issued) securities, and a declining balance of private-label MBS, less than 1%, is our investment profile.

​

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 $313.8$697.0 million and $344.0$281.3 million at June 30, 20202021 and December 31, 2019.2020, 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 $2.6$3.4 billion and $2.3$3.2 billion at June 30, 20202021 and December 31, 2019.2020, respectively. We acquired $72.0$321.0 million (par) of fixed-rate GSE-issued MBS in the first half of 2020. 2021.

​

As permitted under the new hedging guidance, effective January 1, 2019 we made a one-time transfer of $1.6election in accordance with ASC 848 Reference Rate Reform, we reclassified $1.4 billion of fixed-rateLIBOR-indexed held-to-maturity securities to available-for-sale during the second quarter of 2021 without tainting our intent to hold other debt securities to maturity. The reclassification composed of $0.5 billion of MBS and $0.9 billion of State and local housing finance agency obligations. During the second quarter of 2021, $686.3 million in available-for-sale debt securities were tendered and re-issued from HTMthe Libor to AFS. The transfer enhanced balance sheet management.SOFR index.

​

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 $13.2$10.3 billion and $14.1$11.8 billion at June 30, 20202021 and December 31, 2019.2020. Investments in PLMBS were less than 1% of the HTM portfolio. We acquired $243.0$169.0 million (par) of fixed-rate GSE-issued MBS in the first half of 2020.2021.

​

HousingState and local housing finance agency bonds,obligations, primarily New York and New Jersey, were carried as HTM securities at an amortized cost basis of$0.2 billion and $1.1 billion at June 30, 20202021 and at December 31, 2019. There were no new acquisitions in the 2020, and 2019 quarterly periods.respectively.

​

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 June 30, 2021, trading investments were $7.1 billion in U.S. Treasury securities and $2.1 million in Ambac corporate notes. We acquired $1.9 billion of U.S. Treasury securities in the six months ended June 30, 2021. In the 2020 period, we acquired $3.1 billion of U.S. Treasury securities; proceeds from sales were $4.3 billion at a gain of $38.3 million. At December 31, 2020, trading investments were $12.9$11.7 billion in U.S. Treasury securities and $2.2 million in Ambac corporate notes. We acquired $3.1 billion of U.S. Treasury securities in the six months ended June 30, 2020. During the same period in 2020, we sold $4.3 billion of the securities at a net gain of $38.3 million. In the 2019 period, we sold $750.0 million of U.S. Treasury securities at an immaterial gain. At December 31, 2019, trading investments were $15.3 billion in U.S. Treasury securities and $3.2 million in Ambac corporate notes.

​


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 $63.9$91.4 million and $60.0$80.4 million at June 30, 20202021 and December 31, 2019.2020, respectively.

​

73

Table of Contents

​

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 $3.1$2.4 billion at June 30, 2020,2021, a decrease of $3.3 million$0.4 billion from the balance at December 31, 2019.2020. Loans are primarily fixed-rate, single-family mortgages acquired through the MPF Program. Unpaid principal balance of MAP loans stood at $56.0 million at June 30, 2021, an increase of $55.7 million from the balance at December 31, 2020. Paydowns in the six months of 2020ended June 30, 2021 were $286.8$465.9 million, compared to $119.5$286.8 million in the prior year same period. Acquisitions in the six months of 2020ended June 30, 2021 were $288.5$97.0 million, compared to $180.3$288.5 million in the prior year same period. 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 June 30, 20202021 were not materially different from prior periods, although we are seeing a rise in delinquencies. Rising delinquencies have resulted in increase in credit losses under the CECL methodology.lower than December 31, 2020. Allowance for credit losses increaseddecreased to $6.5$4.1 million at June 30, 2020,2021, compared to $0.7$7.1 million at December 31, 2019.2020.

​

Capital ratios — Our capital position remains strong. At June 30, 2020,2021, actual risk-based capital was $8.2$6.8 billion, compared to required risk-based capital of $1.1$1.2 billion. To support $158.9$120.4 billion of total assets at June 30, 2020,2021, the minimum required total capital was $6.4$4.8 billion or 4.0% of assets. Our actual regulatory risk-based capital was $8.2$6.8 billion, exceeding required total capital by $1.8$2.0 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 June 30, 20202021 balance sheet leverage (based on U.S. GAAP) was 19.517.7 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 June 30, 20202021 included $42.5$51.6 million as demand cash balances at the FRBNY, $10.3$14.2 billion in short-term and overnight investments in the federal funds and the repo markets, and $2.9$4.1 billion of high credit quality GSE-issued available-for-sale securities that are investment quality and readily marketable.

​

The Finance Agency’s Liquidity Advisory Bulletin 2018-07 has specific initial liquidity levels to be maintained within certain ranges defined in an accompanying supervisory letter. 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 TablesTable 8.1 through Table 8.3 in this MD&A.

74

​

Replacement of London Interbank Offered Rates (LIBOR) — We are actively engaged in transitioning our LIBOR-indexed swaps and cash instruments to SOFR in a planned and thoughtful manner and are confident our approach will ensure an efficient transition.

​

Central banks and regulators in a number of major jurisdictions have convened working groups to findreach consensus on the timing and operational adoption processes to implement the transition to suitable replacements forelected risk free rates (RFR) that will replace 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. MoreOn March 5, 2021 the ICE Benchmark Administration’s announcement to extend the cessation date for certain critical U.S. dollar LIBOR indexes have provided us with additional time to plan the transition and we have updated our plans. The IBA had previously released a consultation on its intent to cease the publication of U.S. dollar settings following their publication on December 31, 2021. For more information, is provided under Market and Economic Risks in Item 1A. Risk Factors insee the Bank’s most recent Form 10-K for 2019the year ended December 31, 2020 filed on March 20, 2020.19, 2021.

​

74

Table of Contents

On March 12, 2020, the FASB issued Accounting Standards Update 2020-04, Reference Rate Reform (Topic 848), Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The ASU provides temporary optional expedients and exceptions to the U.S. GAAP guidance on contract modifications and hedge accounting in light of the expected market transition from LIBOR and other reference interest rates to alternatives, such as SOFR. The relief in the amendments are effective as of March 12, 2020 through December 31, 2022. We are continuing to review optional expedients and elections under the relief.​

Under the proposal, an entity could choose not to apply certain modification accounting requirements in U.S. GAAP to contracts affected by what the proposal calls reference rate reform, if certain criteria are met. An entity that made this election would present and account for a modified contract as a continuation of the existing contract.

The proposal would also provide optional expedients that would enable entities to continue to apply hedge accounting for hedging relationships in which the critical terms change due to reference rate reform, if certain criteria are met.

On September 27, 2019, the FHFA, our regulator issued a supervisory letter that directed the Federal Home Loan Banks to cease, by March 31, 2020 entering into new LIBOR – referenced instruments with maturities beyond December 31, 2021 (other than for investments and option embedded products, the date was extended to June 30, 2020). See Legislative and Regulatory Developments in our most recent Form 10-K for 2019 filed on March 20, 2020. The following data provides an overview of LIBOR-indexed assets, liabilities and derivativesinstruments outstanding at June 30, 2021 with remaining maturities beyond June 30, 2023, which is the expectedrelevant LIBOR transition date:cessation date for the FHLBNY (in thousands):

​

  June 30, 2020 
In thousands Variable-rate
LIBOR-indexed
Advances		 
Total Par $29,013,967 
Maturing in 2022 and thereafter $6,906,500 

  June 30, 2020 
  Variable-rate
LIBOR-indexed Debt		 
In thousands CO Bonds 
Total Par $22,207,500 
Maturing in 2022 and thereafter $- 

  June 30, 2020 
  Interest rate swaps 
In thousands LIBOR-indexed 
Total Par $93,409,418 
Maturing in 2022 and thereafter $22,640,190 

  June 30, 2020 
  Variable-rate LIBOR-indexed Securities 
  Liquidity trading portfolio       
In thousands Corporate bonds and HFA  MBS/AFS  MBS/HTM 
Total UPB $913,132  $312,265  $4,408,004 
Maturing in 2022 and thereafter $913,132  $311,954  $4,297,959 

Table 1.2Overview of LIBOR-indexed Instruments Outstanding

​

​

​

​

​

​

    

Outstanding at

Maturing after June 30, 2023

​

June 30, 2021

LIBOR indexed Derivatives (notionals)

​

$

10,718,110

LIBOR indexed Variable-rate mortgage-backed securities (UPB)

​

$

3,331,755

LIBOR indexed Variable-rate housing finance agency bonds (UPB)

​

$

212,100

LIBOR indexed Variable-rate Other securities (UPB)

​

$

—

Variable-rate Advances

​

$

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 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 willmay 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 valuevalues of advances outstanding at June 30, 20202021 and December 31, 20192020 were $113.8$80.0 billion and $100.7 billion.$92.1 billion, respectively. Carrying values included cumulative hedging basis adjustment gains of $1.8$772.9 million and $1.3 billion and $299.2 million at June 30, 20202021 and December 31, 2019.2020, respectively. For more information about basis adjustments, see Table 2.6 Advances by Maturity and Yield Type in this MD&A.

​


75

Table 2.1:Advance Trends

Table of Contents

 ​

Table 2.1    Advance Trends

​

Graphic

Member demand for advance products

​

Par amount of advances outstanding was $79.2 billion at June 30, 2021, down from $89.3 billion at March 31, 2021, $90.7 billion at December 31, 2020, $104.6 billion at September 30, 2020, $112.0 billion at June 30, 2020, down from $134.4 billion at March 31, 2020 and up from $100.4 billion at December 31, 2019. Advance demand had increased notably in March 2020 as the larger members borrowed in anticipation of their customers’ needs for cash in the face of deterioration in the financial markets caused by the COVID-19 pandemic 2020.pandemic. In Junethe 2020 fourth quarter, the same larger member banks that had borrowed short-term advances in March 2020 are now allowing thewere prepaying advances or not rolling over certain short-term borrowings to roll-off at maturity.

​

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 II,I, Item 1A. Risk Factors.Factors in our Form 10-K filed on March 19, 2020.

​

76

Table of Contents

​

Advances — Product Types

​

The following table summarizes par values of advances by product type (dollars in thousands):

Table 2.2:Advances by Product Type

  June 30, 2020  December 31, 2019 
     Percentage     Percentage 
  Amounts  of Total  Amounts  of Total 
Adjustable Rate Credit - ARCs $29,110,467   25.99% $16,364,967   16.30%
Fixed Rate Advances  57,011,408   50.90   49,548,877   49.35 
Short-Term Advances  18,437,077   16.46   24,401,935   24.31 
Mortgage Matched Advances  212,351   0.19   240,182   0.24 
Overnight & Line of Credit (OLOC) Advances  457,650   0.41   3,407,551   3.39 
All other categories  6,772,606   6.05   6,432,566   6.41 
                 
Total par value  112,001,559   100.00%  100,396,078   100.00%
                 
Hedge valuation basis adjustments  1,786,997       299,163     
                 
Total $113,788,556      $100,695,241     

​

Table 2.2    Advances by Product Type

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

December 31, 2020

 

​

​

​

​

 

Percentage

​

​

​

 

Percentage

​

​

    

Amounts

    

of Total

    

Amounts

    

of Total

​

Adjustable Rate Credit - ARCs

​

$

15,010,667

 

​

18.95

%  

$

17,050,467

 

18.79

%

Fixed Rate Advances

​

 

47,624,512

 

​

60.12

​

 

54,632,262

 

60.21

​

Short-Term Advances

​

 

11,589,654

 

​

14.63

​

 

12,883,629

 

14.20

​

Mortgage Matched Advances

​

 

138,888

 

​

0.18

​

 

176,373

 

0.19

​

Overnight & Line of Credit (OLOC) Advances

​

 

373,279

 

​

0.47

​

 

678,438

 

0.75

​

All other categories

​

 

4,474,641

 

​

5.65

​

 

5,319,990

 

5.86

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total par value

​

 

79,211,641

 

​

100.00

%  

 

90,741,159

 

100.00

%

Hedge valuation basis adjustments

​

 

772,889

 

​

​

​

 

1,325,945

 

  

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total

​

$

79,984,530

​

​

​

​

$

92,067,104

 

  

​

​

Collateral Security

​

Our memberMember borrowers are required to maintain an amount of eligible collateral that adequately secures their outstanding obligations with the FHLBNY. Eligible collateral includes: (1) one-to-four-family andmortgages; (2) multi-family & commercial real estate mortgages; (2)(3) Treasury and U.S. government agency securities; (3)(4) private label commercial mortgage-backed securities; and (4)(5) certain other collateral that is real estate-related, provided that such collateral has a readily ascertainable value and the Bank canhas the ability to perfect aits security interest in that collateral. Weinterest. The FHLBNY also have a statutory lien priority with respect to certain member assets under the FHLBank Act as well as a claim on FHLBNY capital stock held by our members.

The FHLBNY’s loan and collateral agreements give us athe Bank security interest in assets held by borrowers that is sufficient to cover their obligations to the FHLBNY. WeFHLBNY may supplement this security interest by imposing additional reporting, segregation orcollateral delivery requirements on the borrower.  We assign specific collateral requirements to a borrower,our member borrowers based on a number of factors.  These include, but are not limited to: (1) the borrower’s overall financial condition; (2)strength of the degree of complexity involved in the pledging, verifying, and reporting of collateral between the borrower and the FHLBNY, especially when third-party pledges, custodians, outside service providers and pledges to other entities are involved; and (3) the type of collateral pledged.member.

​

In order toTo ensure that the FHLBNY has sufficient collateral to cover credit extensions, the FHLBNY has established a Collateral Lendable Value methodology. This methodology determinesensures that the FHLBNY remains fully collateralized by establishing risk based lendable value or amountvalues for each pledged collateral type. These lendable values are periodically reassessed to ensure that they are reflective of borrowing capacity assigned to each specific type of collateral.  Key componentscurrent market conditions. As a result of the Lendable Value include measures of Market, Credit, Price Volatility and Operational Risk associated with the unique collateral types pledged to the FHLBNY.  Lendable Values are periodically adjusted to reflect current market and business conditions.


COVID-19 pandemic, related market disruptionthe Bank has negatively affected mortgagedecreased collateral valuations, and the FHLBNY has responded by applying updated mortgage valuations to pledged mortgage collateral. Where necessary, members have pledged additional qualifyingvalues on certain commercial real estate collateral to reflect current market conditions and/or to address increased advance demand in order to comply with their collateral maintenance requirements.types. The FHLBNY will continue to monitor credit and collateral conditions and endeavorrelated to make adjustments as needed.the pandemic to ensure the Bank remains sufficiently protected.

The FHLBNY has or will be implementing certain relief measures to help members serve their customers affected by the COVID-19 pandemic. These measures include forbearance and modifications for pledged loan collateral.

​

The following table summarizes pledged collateral at June 30, 20202021 and December 31, 20192020 (in thousands):

​

Table2.3    Collateral Supporting Indebtedness to Members

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Indebtedness

​

Collateral (a)

​

​

​

​

 

Other

 

Total

​

​

​

 

Securities and

​

​

​

​

    

Advances (b)

    

Obligations (c)

    

Indebtedness

    

Loans (d)

    

Deposits (d)

    

Total (d)

June 30, 2021

​

$

79,211,641

​

$

20,592,359

​

$

99,804,000

​

$

323,672,807

​

$

59,549,147

​

$

383,221,954

December 31, 2020

​

$

90,741,159

​

$

20,247,993

​

$

110,989,152

​

$

324,273,676

​

$

56,685,358

​

$

380,959,034

​

Table 2.3:Collateral Supporting Indebtedness to Members

  Indebtedness  Collateral (a) 
  Advances (b)  Other
Obligations (c)		  Total
Indebtedness		  
Loans (d)		  Securities and
Deposits (d)		  Total (d) 
June 30, 2020 $112,001,559  $21,056,993  $133,058,552  $314,346,340  $57,292,586  $371,638,926 
December 31, 2019 $100,396,078  $22,108,414  $122,504,492  $308,663,555  $45,016,365  $353,679,920 

(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.

77

Table of Contents

​

​

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:

Table2.4    Location of Collateral Held

  Estimated Market Values 
  Collateral in
Physical
Possession		  Collateral
Specifically
Listed		  Total
Collateral
Received		 
June 30, 2020 $58,219,215  $313,419,711  $371,638,926 
December 31, 2019 $45,876,619  $307,803,301  $353,679,920 

78

​

​

​

​

​

​

​

​

​

​

​

​

​

Estimated Market Values

​

    

Collateral in

    

​

    

Total

​

 

Physical

 

Collateral

 

Collateral

​

 

Possession

 

Specifically Listed

 

Received

June 30, 2021

​

$

60,288,204

​

$

322,933,750

​

$

383,221,954

December 31, 2020

​

$

57,601,060

​

$

323,357,974

​

$

380,959,034

​

Advances — Interest Rate Terms

​

The following table summarizes interest-rate payment terms for advances (dollars in thousands):

​

Table2.5:        Advances by Interest-Rate Payment Terms

Table 2.5    Advances by Interest-Rate Payment Terms

  June 30, 2020  December 31, 2019 
     Percentage     Percentage 
  Amount  of Total  Amount  of Total 
Fixed-rate (a) $82,887,592   74.01% $84,027,611   83.70%
Variable-rate (b)  29,113,967   25.99   16,368,467   16.30 
Variable-rate capped or floored (c)  -   -   -   - 
Overdrawn demand deposit accounts  -   -   -   - 
                 
Total par value  112,001,559   100.00%  100,396,078   100.00%
                 
Hedge valuation basis adjustments  1,786,997       299,163     
                 
Total $113,788,556      $100,695,241     

​

(a)Fixed-rate borrowings remained the largest category of advances borrowed by members, and includes long-term and short-term fixed-rate advances. Long-term advances remain a small segment of the portfolio at June 30, 2020, with only 11.1% of advances in the remaining maturity bucket of greater than 5 years (10.5% at December 31, 2019). For more information, see financial statements Note 9. Advances.
(b)Variable-rate advances are ARC advances, which are typically indexed to LIBOR. 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).

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

December 31, 2020

 

​

​

​

​

 

Percentage

​

​

​

 

Percentage

​

​

    

Amount

    

of Total

    

Amount

    

of Total

​

Fixed-rate (a)

​

$

64,195,697

 

​

81.05

%  

$

73,687,192

 

81.21

%

Variable-rate (b)

​

 

15,013,167

 

​

18.95

​

 

17,053,967

 

18.79

​

Variable-rate capped or floored (c)

​

 

—

 

​

—

​

 

—

 

—

​

Overdrawn demand deposit accounts

​

 

2,777

 

​

—

​

 

—

 

—

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total par value

​

 

79,211,641

 

​

100.00

%  

 

90,741,159

 

100.00

%

​

​

​

​

​

​

​

​

​

​

​

​

​

Hedge valuation basis adjustments

​

 

772,889

 

​

​

​

 

1,325,945

 

  

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total

​

$

79,984,530

​

$

​

​

 

92,067,104

 

  

​

​

(a)Fixed-rate borrowings remained the largest category of advances borrowed by members and includes long-term and short-term fixed-rate advances. Long-term advances remain a small segment of the portfolio at June 30, 2021, with only 14.7% of advances in the remaining maturity bucket of greater than 5 years (13.4% at December 31, 2020). For more information, see financial statements Note 9. Advances.

(b)Variable-rate advances are ARC advances, which are typically indexed to LIBOR. 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

Table of Contents

​

The following table summarizes maturity and yield characteristics of advances (dollars in thousands):

Table2.6:        Advances by Maturity and Yield Type

  June 30, 2020  December 31, 2019 
     Percentage     Percentage 
  Amount  of Total  Amount  of Total 
Fixed-rate                
Due in one year or less $46,490,555   41.51% $54,411,782   54.20%
Due after one year  36,397,037   32.50   29,615,829   29.50 
Total Fixed-rate  82,887,592   74.01   84,027,611   83.70 
Variable-rate                
Due in one year or less  18,210,800   16.26   14,794,500   14.74 
Due after one year  10,903,167   9.73   1,573,967   1.56 
Total Variable-rate  29,113,967   25.99   16,368,467   16.30 
Total par value  112,001,559   100.00%  100,396,078   100.00%
Hedge valuation basis adjustments (a)  1,786,997       299,163     
Total $113,788,556      $100,695,241     

​

Table 2.6    Advances by Maturity and Yield Type

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

December 31, 2020

 

​

​

​

​

​

Percentage

​

​

​

 

Percentage

​

​

    

Amount

    

of Total

    

Amount

    

of Total

​

Fixed-rate

​

​

​

​

​

​

​

​

​

​

​

​

Due in one year or less

​

$

34,586,134

 

​

43.66

%  

$

40,885,180

 

45.06

%

Due after one year

​

 

29,609,563

 

​

37.38

​

 

32,802,012

 

36.15

​

Total Fixed-rate

​

 

64,195,697

 

​

81.04

​

 

73,687,192

 

81.21

​

Variable-rate

​

 

  

 

​

  

​

 

  

 

  

​

Due in one year or less

​

 

13,649,944

 

​

17.23

​

 

10,317,467

 

11.37

​

Due after one year

​

 

1,366,000

 

​

1.73

​

 

6,736,500

 

7.42

​

Total Variable-rate

​

 

15,015,944

 

​

18.96

​

 

17,053,967

 

18.79

​

Total par value

​

 

79,211,641

 

​

100.00

%  

 

90,741,159

 

100.00

%

Hedge valuation basis adjustments (a)

​

 

772,889

 

​

​

​

 

1,325,945

 

  

​

Total

​

$

79,984,530

​

​

​

​

$

92,067,104

 

  

​

​

Fair value basis and valuation adjustments — Key determinants of valuation adjustments are factors such as advance run offs and new transactions designated in hedging relationships.relationships

​

(a)

Hedging valuation basis adjustments— The reported carrying values of hedged advances 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. SOFR and LIBOR isare our primary benchmark.benchmarks in addition to OIS-Fed Funds. We have also adopted OIS-Fed funds and OIS-SOFR as additional benchmarks.are actively engaged in transitioning away from LIBOR. When an advance is hedged under ASC 815, the selectedelected benchmark becomes the discounting basis for computing changes in the fair values of the hedged advance. Table 2.7 Hedged Advances by Type discloses notional amounts of advances hedged. The application of ASC 815 accounting methodology resulted in the recognition of net unrealized hedge valuation basis gains of $1.8$0.8 billion and $299.2 million$1.3 billion at June 30, 20202021 and December 31, 2019.2020, respectively. The forward benchmark yield curves primarily LIBOR, declined sharplyshifted higher at June 30, 20202021 relative to December 31, 2019.2020. As hedge valuation basis of fixed-rate advances move inversely with the rise and fall of the forward interest rates, fair value gains increaseddeclined as the forward swap discounting curve declined.shifted up. Generally, hedge valuation basis gains and losses are unrealized and willare expected to reverse to zero if the advance is held to maturity or is put or called on the early option exercise dates.

​


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 the hedge accounting provisions are operationally difficult to establish or a high degree of hedge effectiveness cannot be asserted.

​

The following table summarizes advances hedged under ASC 815 qualifying hedge by type of structure (in thousands):

​

Table2.7    Hedged Advances by Type

​

​

​

​

​

​

​

​

Par Amount

    

June 30, 2021

    

December 31, 2020

Qualifying hedges

​

​

​

​

​

​

Fixed-rate bullets (a)

​

$

25,899,760

​

$

29,969,694

Fixed-rate putable (b)

​

 

7,930,750

​

 

7,945,750

Fixed-rate with embedded cap

​

 

360,000

​

 

360,000

Total qualifying hedges

​

$

34,190,510

​

$

38,275,444

​

​

​

​

​

​

​

Aggregate par amount of advances hedged (c)

​

$

41,740,510

​

$

47,962,396

Fair value basis (hedging adjustments)

​

$

772,889

​

$

1,325,945

​

Table2.7:        Hedged Advances by Type

Par Amount June 30, 2020  December 31, 2019 
Qualifying hedges        
Fixed-rate bullets (a) $36,592,760  $32,335,675 
Fixed-rate putable (b)  8,400,750   8,365,750 
Fixed-rate with embedded cap  370,000   20,000 
Total qualifying hedges $45,363,510  $40,721,425 
         
Aggregate par amount of advances hedged (c) $61,868,511  $40,721,425 
Fair value basis (hedging adjustments) $1,786,997  $299,163 

(a)

Generally, fixed-rate medium- and longer termlonger-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. In a rising rate environment, swap dealers would likely exercise their call option, and the FHLBNY will exercise its put option with the member and both instruments terminate at par. Members may borrow new advances at the then prevailing rate.

(c)

Represents par values of advances in ASC 815 hedge relationships. Amounts do not include advances that were in ASC 815 hedgehedges but have since been de-designated or advances that are in economic hedges (not qualifying as ASC 815 accounting hedge).

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​

​

Economic hedges of floating-rate advances— We issue floating-rate advances indexed to one or more benchmark rates (LIBOR, OIS/FF and OIS/SOFR) 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 June 30, 2021 and December 31, 2020, notional amounts of basis swaps were $15.5$7.1 billion and $8.5 billion, with maturities generally within two years. The carrying value of the advances in the economic hedge would not include fair value basis since the advance is recorded at amortized cost. The operational cost of designating the advances in an ASC 815 qualifying hedge outweighed the accounting benefits of marking the debt and the swap to fair values. We opted instead to designate the hedging basis swaps as standalone derivatives, and recorded changes in their fair values through earnings.

​

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):

​

Table2.8    Putable and Callable Advances

​

​

​

​

​

​

​

​

​

​

Advances

Par Amount

    

June 30, 2021

    

December 31, 2020

Putable (a)

​

$

7,930,750

​

$

7,945,750

No-longer putable/callable

​

$

455,000

​

$

460,000

​

Table2.8:        Putable and Callable Advances

  Advances 
Par Amount June 30, 2020  December 31, 2019 
Putable (a) $8,400,750  $8,365,750 
No-longer putable/callable $5,000  $5,000 

(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.

​

Investments

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.SU.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.

80

Table of Contents

​

​

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):

​

Table3.1    Investments by Categories

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

    

 June 30,

    

December 31,

    

Dollar

    

Percentage

 

​

​

2021

​

2020

​

Variance

​

Variance

 

State and local housing finance agency obligations, net (a)

​

​

​

​

​

​

​

​

​

​

​

​

Available-for-sale securities, at fair value

​

$

900,661

​

$

—

​

$

900,661

 

100.00

%

Held-to-maturity securities, at carrying value, net

​

​

190,517

​

​

1,097,752

​

​

(907,235)

​

(82.64)

​

Total HFA securities

​

​

1,091,178

​

​

1,097,752

​

​

(6,574)

​

(0.60)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Trading securities (b)

​

 

7,075,406

​

 

11,742,965

​

 

(4,667,559)

 

(39.75)

​

Mortgage-backed securities

​

 

​

​

 

​

​

 

  

 

  

​

Available-for-sale securities, at fair value (c)

​

 

4,103,451

​

 

3,435,945

​

 

667,506

 

19.43

​

Held-to-maturity securities, at carrying value, net (c)

​

 

10,310,155

​

 

11,775,894

​

 

(1,465,739)

 

(12.45)

​

Total MBS securities

​

 

14,413,606

​

 

15,211,839

​

 

(798,233)

 

(5.25)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Equity investments in Grantor trust (d)

​

 

91,401

​

 

80,369

​

 

11,032

 

13.73

​

Interest-bearing deposits

​

 

675,000

​

 

685,000

​

 

(10,000)

 

(1.46)

​

Securities purchased under agreements to resell

​

 

8,700,000

​

 

4,650,000

​

 

4,050,000

 

87.10

​

Federal funds sold

​

 

5,506,000

​

 

6,280,000

​

 

(774,000)

 

(12.32)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total Investments

​

$

37,552,591

​

$

39,747,925

​

$

(2,195,334)

 

(5.52)

%

​

Table3.1:        Investments by Categories

  June 30,  December 31,  Dollar  Percentage 
  2020  2019  Variance  Variance 
State and local housing finance agency obligations, net (a) $1,108,044  $1,122,315  $(14,271)  (1.27)%
Trading securities (b)  12,923,831   15,318,809   (2,394,978)  (15.63)
Mortgage-backed securities                
Available-for-sale securities, at fair value (c)  2,874,107   2,653,418   220,689   8.32 
Held-to-maturity securities, at carrying value, net (c)  13,240,290   14,112,167   (871,877)  (6.18)
Total securities  30,146,272   33,206,709   (3,060,437)  (9.22)
                 
Equity investments in Grantor trust (d)  63,852   60,047   3,805   6.34 
Interest-bearing deposits  925,000   -   925,000   NM 
Securities purchased under agreements to resell  4,950,000   14,985,000   (10,035,000)  (66.97)
Federal funds sold  5,355,000   8,640,000   (3,285,000)  (38.02)
                 
Total Investments $41,440,124  $56,891,756  $(15,451,632)  (27.16)%

(a)

State and local housing finance agency bonds wereare designated as HTM and wereboth AFS, carried at amortized cost.fair values and HTM, carried at carrying value. There were no acquisitions in the six months ending June 30, 20202021 and paydowns were $13.5$6.5 million. 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 and corporate notes at June 30, 2020.2021 and are carried at fair value. Trading portfolio is for liquidity and not for speculative purposes. We acquired $3.1$1.9 billion of U.S. Treasury notes in the six months ended June 30, 2020.  2021.

(c)

Mortgage-backed securities classified as AFS includes $1.6 billion of Fixed-rate CMBS transferred at January 1, 2019 from the HTM category. 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, and less than 1% are PLMBS (private-label MBS). During the second quarter of 2021, we reclassified $0.5 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.

(d)

Funds in the grantor trust are designated as equity investments.investments and are carried at fair value. Trust fund balances represent investments in registered mutual funds and other fixed-income and equity 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.

​

NM — Not meaningful.

81

Table of Contents

​

Mortgage-Backed Securities — By Issuer

The following table summarizes our investment debt securities issuer concentration (dollars in thousands):

​

Table3.2    Investment Debt Securities Issuer Concentration

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

December 31, 2020

 

​

​

​

​

​

​

​

​

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

​

$

2,882,584

​

$

2,928,314

 

​

42.26

%  

$

3,271,007

​

$

3,338,484

 

45.08

%

Freddie Mac

​

 

11,445,159

​

 

11,918,540

 

​

167.80

​

 

11,836,507

​

 

12,429,508

 

163.11

​

Ginnie Mae

​

 

10,808

​

 

10,808

 

​

0.16

​

 

12,871

​

 

12,979

 

0.18

​

All Others - PLMBS

​

 

75,055

​

 

86,007

 

​

1.10

​

 

91,454

​

 

107,889

 

1.26

​

Non-MBS, net (b)

​

 

1,091,178

​

 

1,072,631

 

​

16.00

​

 

1,097,752

​

 

1,076,266

 

15.13

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total Investment Debt Securities

​

$

15,504,784

​

$

16,016,300

 

​

227.33

%  

$

16,309,591

​

$

16,965,126

 

224.75

%

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Categorized as:

​

 

  

​

 

  

 

​

  

​

 

  

​

 

  

 

  

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Available-for-Sale Securities

​

$

5,004,112

​

$

5,004,112

​

​

​

​

$

3,435,945

​

$

3,435,945

 

  

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Held-to-Maturity Securities, net

​

$

10,500,672

​

$

11,012,188

​

​

​

​

$

12,873,646

​

$

13,529,181

 

  

​

​

Table3.2:        Investment Debt Securities Issuer Concentration

  June 30, 2020  December 31, 2019 
        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 $3,676,424  $3,740,648   45.18% $4,008,977  $4,031,807   53.23%
Freddie Mac  12,321,157   12,946,034   151.40   12,628,143   12,826,958   167.66 
Ginnie Mae  16,295   16,412   0.20   18,459   18,572   0.25 
All Others - PLMBS  100,521   119,564   1.24   110,006   133,182   1.46 
Non-MBS, net (b)  1,108,044   1,085,626   13.62   1,122,315   1,099,505   14.90 
                         
Total Investment Debt Securities $17,222,441  $17,908,284   211.63% $17,887,900  $18,110,024   237.50%
                         
Categorized as:                        
                         
Available-for-Sale Securities $2,874,107  $2,874,107      $2,653,418  $2,653,418     
                         
Held-to-Maturity Securities, net $14,348,334  $15,034,177      $15,234,482  $15,456,606     

(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

​

Table3.3:        External Rating of the Held-to-Maturity Portfolio

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Below 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Investment 

​

​

​

​

    

AAA-rated (a)

    

AA-rated (b)

    

A-rated

    

BBB-rated

    

Grade

    

Total

Mortgage-backed securities

​

$

285

​

$

10,235,099

​

$

56,999

​

$

979

​

$

16,793

​

$

10,310,155

State and local housing finance agency obligations

​

 

—

​

 

188,766

​

 

1,751

​

 

—

​

 

—

​

 

190,517

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total Long-term securities

​

$

285

​

$

10,423,865

​

$

58,750

​

$

979

​

$

16,793

​

$

10,500,672

​

 June 30, 2020 
             Below    
             Investment    
 AAA-rated (a) AA-rated (b) A-rated BBB-rated  Grade  Total 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2020

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Below 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Investment 

​

​

​

​

    

AAA-rated (a)

    

AA-rated (b)

    

A-rated

    

BBB-rated

    

Grade

    

Total

Mortgage-backed securities $427  $13,140,422  $64,017  $8,357  $27,067  $13,240,290 

​

$

363

​

$

11,684,817

​

$

58,130

​

$

7,486

​

$

25,098

​

$

11,775,894

State and local housing finance agency obligations  25,000   1,072,451   4,858   5,735   -   1,108,044 

​

 

23,100

​

 

1,069,068

​

 

1,946

​

 

3,638

​

 

—

​

 

1,097,752

                        

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total Long-term securities $25,427  $14,212,873  $68,875  $14,092  $27,067  $14,348,334 

​

$

23,463

​

$

12,753,885

​

$

60,076

​

$

11,124

​

$

25,098

​

$

12,873,646

  December 31, 2019 
              Below    
              Investment    
  AAA-rated (a)  AA-rated (b)  A-rated  BBB-rated  Grade  Total 
Mortgage-backed securities $520  $14,003,384  $69,701  $9,049  $29,513  $14,112,167 
State and local housing finance agency obligations  25,000   1,085,875   5,055   6,385   -   1,122,315 
                         
Total Long-term securities $25,520  $15,089,259  $74,756  $15,434  $29,513  $15,234,482 

​

See footnotes (a) and (b) under Table 3.4.

​


82

Table of Contents

​

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

Table3.4:        External Rating of the Available-for-Sale Portfolio

​

  June 30, 2020  December 31, 2019 
  AA-rated (b)  Unrated  Total  AA-rated (b)  Unrated  Total 
Available-for-sale securities                        
Mortgage-backed securities $2,874,107  $-  $2,874,107  $2,653,418  $-  $2,653,418 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

    

    June 30, 2021

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Below 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Investment

​

​

​

​

    

AAA-rated(a)

    

AA-rated(b)

    

A-rated

    

BBB-rated

    

Grade

    

Total

Mortgage- backed securities

​

$

—

​

$

4,103,451

​

$

—

​

$

—

​

$

—

​

$

4,103,451

State and local housing finance agency obligations

 

​

21,025

 

​

876,832

 

​

—

 

​

2,804

 

​

—

 

​

900,661

Total Long-term securities

​

$

21,025

​

$

4,980,283

​

$

—

​

$

2,804

​

$

—

​

$

5,004,112

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2020

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Below

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Investment

​

​

​

​

    

AAA-rated(a)

    

AA-rated(b)

    

A-rated

    

BBB-rated

    

Grade

    

Total

Mortgage-backed securities

​

$

—

​

$

3,435,945

​

$

—

​

$

—

​

$

—

​

$

3,435,945

Total Long-term securities

​

$

—

​

$

3,435,945

​

$

—

​

$

—

​

$

—

​

$

3,435,945

​

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. 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 hedge.hedges.

​

83

Table of Contents

​

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

Table 3.5:        Mortgage-Backed Securities Weighted Average Rates by Contractual Maturities

​

 June 30, 2020 December 31, 2019 
 Amortized Weighted Amortized Weighted 
 Cost Average Rate Cost Average Rate 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

December 31, 2020

 

​

​

​

​

​

Weighted

​

​

​

​

Weighted

 

​

​

Amortized

​

Average

​

Amortized

​

Average

 

​

    

Cost

    

Rate

    

Cost

    

Rate

 

Mortgage-backed securities                

​

​

  

​

  

​

​

  

​

  

​

Due in one year or less $1,051,000   3.75% $616,402   3.93%

​

$

668,277

 

2.62

%  

$

690,206

 

3.10

%

Due after one year through five years  3,658,580   2.32   4,102,650   2.79 

​

 

3,135,490

 

2.39

​

 

3,323,857

 

2.39

​

Due after five years through ten years  8,466,106   2.60   8,838,096   2.97 

​

 

8,643,096

 

2.52

​

 

8,687,883

 

2.50

​

Due after ten years  2,736,933   1.48   3,129,733   2.59 

​

 

1,755,921

 

1.30

​

 

2,279,164

 

1.47

​

                
Total mortgage-backed securities $15,912,619   2.42% $16,686,881   2.89%

​

​

​

​

​

​

​

​

​

​

​

​

Total Mortgage-backed securities

​

$

14,202,784

 

2.34

%  

$

14,981,110

 

2.35

%

​

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):

​

Table3.6:        3.6    Fair Value Hedges of Fixed-Rate Prepayable CMBS

​

 Fair Value Hedges of Fixed-Rate Prepayable CMBS 
 June 30, 2020 December 31, 2019 

​

​

​

​

​

​

​

​

​

Fair Value Hedges of Fixed-Rate Prepayable CMBS

​

    

June 30, 2021

    

December 31, 2020

Current face value of hedged CMBS $674,000  $602,000 

​

$

1,580,000

​

$

1,259,000

Partial-term hedge face value of hedged CMBS $602,000  $532,000 

​

$

1,432,000

​

$

1,134,000

Cumulative basis adjustment Gains (losses) $70,431  $11,593 

Cumulative basis adjustment gains (losses)

​

$

1,242

​

$

44,052

Interest rate swap contracts (par) $602,000  $532,000 

​

$

1,432,000

​

$

1,134,000

​

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, andincluding 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 USU.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 of our regulatory capital or the eligible amount of regulatory capital of the counterparty determined in accordance with Finance Agency regulations.

​

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Table of Contents

​

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 $5.0$8.7 billion at June 30, 20202021 and $15.0$4.7 billion at December 31, 2019.2020. Resale agreements averaged $2.2$0.1 billion, $9.9$4.1 billion and $8.6$2.2 billion in the second quarter of 2020,2021, fourth quarter of 20192020 and second quarter 2019,of 2020, respectively. For more information, see financial statements, Note 4. Interest-bearing Deposits, Federal Funds Sold and Securities Purchased under Agreements to Resell.

​

84

Federal funds sold — Federal funds sold was $5.4$5.5 billion at June 30, 2020,2021, and $8.6$6.3 billion at December 31, 2019,2020, and averaged $10.7$10.1 billion, $9.0$8.8 billion and $9.3$10.7 billion in the second quarter of 2020,2021, fourth quarter of 20192020 and second quarter 2019,of 2020, 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 
  June 30, 2020  December 31, 2019 
Par value $12,712,177  $15,232,900 
Amortized cost $12,753,191  $15,265,745 
Carrying/Fair value $12,923,831  $15,318,809 

​

Table 3.7    Trading Securities

​

​

​

​

​

​

​

​

​

​

Trading Securities

​

    

June 30, 2021

    

December 31, 2020

Par value

​

$

7,053,057

    

$

11,637,153

Amortized cost

​

$

7,048,998

​

$

11,655,374

Carrying/Fair value

​

$

7,075,406

​

$

11,742,965

​

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):

​

Table3.8:        3.8    Economic Hedges of Fixed-rate Liquidity Trading Securities

​

  Economic Hedges of Fixed-Rate Trading Securities 
  June 30, 2020  December 31, 2019 
Par amount of Trading securities hedged (a) $12,710,000  $15,230,000 
Par amount of interest rate swaps $12,707,650  $15,230,000 

​

​

​

​

​

​

​

​

​

Economic Hedges of Fixed-Rate Trading

​

​

Securities

​

    

June 30, 2021

    

December 31, 2020

Par/Face amounts of portfolio of U.S. Treasury fixed-rate securities (a)

​

$

7,050,925

​

$

11,635,000

Par amounts of interest rate swaps

​

$

7,050,925

​

$

11,634,166

​

(a)

Balances represent outstanding amounts of U.S. Treasury securities.  notes and bills.

​

85

Table of Contents

​

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 $3.1$2.5 billion at June 30, 2020,2021, a decrease of $3.3 million$0.4 billion (net of acquisitions and paydowns) from the balance at December 31, 2019.2020. Mortgage loans were investments in Mortgage Partnership Finance loans (MPF or MPF Program) and Mortgage Asset Program (MAP). Serious delinquencies at June 30, 20202021 were not materially different from prior periods, although we are seeing a rise in delinquencies. Rising delinquencies have resulted in increase in credit losses under the CECL methodology.lower than December 31, 2020. Allowance for credit losses increasedwas $4.1 million at June 30, 2021, compared to $5.7 million at March 31, 2021, $7.1 million at December 31, 2020, $9.1 million at September 30, 2020 and $6.5 million at June 30, 2020, compared to $3.5 million at March 31, 2020 and $0.7 million at December 31, 2019.2020.

​


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 Institutions (PFI).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.

​

We provide this product to members as another alternative for them to sell their mortgage production. Loan originationMortgage 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 (MAP®) as a secondary market outlet for Participating Financial Institution (PFI) members to fund mortgages and acceptable pricing are key factors that drive growth.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. Serious delinquenciesLoans under these agreements were not material at June 30, 2020 were2021. We are continuing to apply our policies, and not materially different from prior periods, although we are seeing a risedelaying the recognition of charge-offs, delinquencies, and nonaccruals status for the borrowers who would have otherwise moved into past due or nonaccruals status.

​

For more information, see Mortgage Loans Held-for-Portfolio, in delinquencies. The collection of forbearance information is ongoing and we cannot say with certaintyMD&A included in the aggregate amounts that are likely to be approved, other than to report that we do not expect its impact to be material since the MPF program has certain restrictions.most recent Form 10-K filed on March 19, 2021.

​

Mortgage loans — Conventional and Insured Loans — The following table classifies mortgage loans between conventional loans and loans insured by FHA/VA (in thousands):

​

Table4.1:        4.1    MPF by Conventional and Insured Loans

​

 June 30, 2020 December 31, 2019 

​

​

​

​

​

​

​

​

    

June 30, 2021

    

December 31, 2020

Federal Housing Administration and Veteran Administration insured loans $214,443  $220,990 

​

$

178,199

​

$

198,795

Conventional loans  2,956,800   2,953,015 

​

​

2,294,129

​

 

2,707,676

Allowance for credit losses on mortgage loans (a)  (6,534)  (653)
Mortgage loans held for portfolio, net $3,164,709  $3,173,352 

Allowance for credit losses on mortgage loans

​

​

(4,033)

​

 

(7,073)

MPF loans held-for-portfolio, net (a)

​

$

2,468,295

​

$

2,899,398

​

(a)Balances represent MPF portfolio; MAP portfolio balance of $57.7 million as of June 30, 2021 and $0.3 million as of December 31, 2020 were not included.

​

(a) The FHLBanks’ methodology for determining the allowance for credit losses on mortgage loans changed on January 1, 2020 with the adoption of new accounting guidance on measurement of credit losses on financial instruments. Consistent with the modified retrospective method of adoption, the prior period has not been revised to conform to the new basis of accounting.

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.

​

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Table of Contents

​

Loan and PFI Concentration— Loan concentration was in New York State, which is to be expected since the largest PFIs are located in New York. The tables below summarize concentrations — Geographic and PFI:

​

Table 4.2:        4.2    Geographic Concentration of MPF Loans

​

  June 30, 2020  December 31, 2019 
    Number of loans %      Amounts outstanding %      Number of loans %      Amounts outstanding %   
New York State  68.9%  62.0%  68.6%  61.1%

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

December 31, 2020

 

​

    

Number of loans %

    

Amounts outstanding %

    

Number of loans %

    

Amounts outstanding %

 

New York State(a)

    

72.1

%  

66.5

%  

70.8

%  

64.7

%

​


(a)MAP loans were not included in the above calculation.

​

Table4.3:        4.3    Top Five Participating Financial Institutions — Concentration (par value, dollars in thousands)

​

 June 30, 2020 
 Mortgage Percent of Total 
 Loans Mortgage Loans 

​

​

​

​

​

​

​

​

​

June 30, 2021

 

​

​

Mortgage

​

Percent of Total

 

​

    

Loans

    

Mortgage Loans

 

Teachers Federal Credit Union

​

$

214,425

​

8.81

%

Bethpage Federal Credit Union $320,320   10.25%

​

​

194,787

​

8.00

​

Investors Bank  287,356   9.20 

​

 

188,845

 

7.76

​

Teachers Federal Credit Union  270,536   8.65 
Sterling National Bank  206,075   6.60 

​

 

162,800

 

6.69

​

New York Community Bank  178,591   5.72 

Manasquan Bank

​

 

135,411

 

5.56

​

All Others  1,861,608   59.58 

​

 

1,538,235

 

63.18

​

        
Total $3,124,486   100.00%

​

​

​

​

​

​

​

Total(a)

​

$

2,434,503

 

100.00

%

​

 December 31, 2019 
 Mortgage Percent of Total 
 Loans Mortgage Loans 

​

​

​

​

​

​

​

​

​

December 31, 2020

 

​

​

Mortgage

​

Percent of Total

 

​

    

Loans

    

Mortgage Loans

 

Bethpage Federal Credit Union $331,970   10.61%

​

$

264,322

​

9.24

%

Teachers Federal Credit Union

​

 

243,599

 

8.51

​

Investors Bank  296,289   9.47 

​

 

239,069

 

8.35

​

Teachers Federal Credit Union  240,850   7.70 
Sterling National Bank  219,814   7.03 

​

 

186,289

 

6.51

​

New York Community Bank  219,729   7.03 

Manasquan Bank

​

 

163,396

 

5.71

​

All Others  1,819,092   58.16 

​

 

1,765,248

 

61.68

​

        
Total $3,127,744   100.00%

​

​

​

​

​

​

​

Total (a)

​

$

2,861,923

 

100.00

%

​

(a)MAP unpaid principal balance of $56.0 million as of June 30, 2021 and $0.3 million as of December 31, 2020 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 $148.5$111.5 billion and $152.7$127.4 billion at June 30, 20202021 and December 31, 2019.2020.

​

CO bonds and CO discount notes —The carrying value of Consolidated obligation bonds (CO bonds or Consolidated obligation bonds) was $59.0$69.3 billion (par, $58.2$68.7 billion) at June 30, 2020,2021, compared to $78.8$69.7 billion (par, $78.1$68.9 billion) at December 31, 2019.2020. The carrying value of Consolidated obligation discount notes outstanding was $89.5$42.2 billion at June 30, 20202021 and $74.0$57.7 billion at December 31, 2019.2020.

​

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 5.1.5.1 CO Bonds by Type.

​

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Table of Contents

​

From time to time, we hedge discount notes under an ASC 815 fair value accounting; additionally, certain discount notes are also hedged under an 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.

​

87

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 USU.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 USU.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’s shareFHLBNY is an active participant in the issuance of SOFR-linked CO bonds has increased; outstandingbonds. Outstanding balances were $12.6$3.4 billion at June 30, 2020, up from $8.22021 and $8.6 billion at December 31, 2019 and $950.0 million at December 31, 2018.2020.

​

Consolidated obligation bonds

​

The following table summarizes types of Consolidated obligation bonds (CO Bonds) issued and outstanding (dollars in thousands):

​

Table5.1:        5.1    CO Bonds by Type

​

 June 30, 2020  December 31, 2019 
 Amount Percentage
of Total		 Amount Percentage
of Total		 
         

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

December 31, 2020

 

​

​

​

​

​

Percentage

​

​

​

​

Percentage

​

​

    

Amount

    

 of Total

    

Amount

    

 of Total

    

Fixed-rate, non-callable $21,932,435   37.70% $32,588,805   41.72%

​

$

50,425,985

​

73.38

%  

$

49,275,530

​

71.51

%

Fixed-rate, callable  1,424,000   2.45   4,803,000   6.15 

 

​

10,521,130

 

15.31

 

 

1,434,000

 

2.08

​

Step Up, callable  -   -   15,000   0.02 

 

​

3,856,000

 

5.61

 

 

—

 

—

​

Floating rate, callable

​

​

250,000

​

0.36

​

​

—

​

—

​

Single-index floating rate  34,814,500   59.85   40,702,000   52.11 

 

​

3,666,000

 

5.34

 

 

18,197,000

 

26.41

​

                

​

​

​

​

​

​

​

​

​

​

​

​

Total par value  58,170,935   100.00%  78,108,805   100.00%

 

​

68,719,115

 

100.00

%  

 

68,906,530

 

100.00

%

                

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Bond premiums  128,950       95,560     

 

​

155,680

 

​

 

​

184,084

 

​

​

Bond discounts  (26,057)      (24,704)    

 

​

(24,618)

 

​

 

​

(26,666)

 

​

​

Hedge valuation basis adjustments (a)  620,391       377,000     

 

​

332,091

 

​

 

​

514,436

 

​

​

Hedge basis adjustments on de-designated hedges (b)  135,883       139,605     

 

​

128,448

 

​

 

​

132,450

 

​

​

FVO (c) - valuation adjustments and accrued interest  2,385       67,043     

 

​

1,834

 

​

 

​

5,464

 

​

​

                
Total Consolidated obligation-bonds $59,032,487      $78,763,309     

​

$

69,312,550

​

​

 

$

69,716,298

​

​

​

​

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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Table of Contents

​

(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, is our primary benchmark. We have also adopted OIS/FFSOFR and OIS/SOFR as other benchmarks.FedFunds, 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 losses of $620.4$332.1 million and $377.0$514.4 million at June 30, 20202021 and December 31, 2019.2020, respectively. The benchmark curves, specifically the forward LIBOR yield curve, declined sharplyshifted up at June 30, 2021 relative to December 31, 2020. As hedge valuation basis of fixed-rate liabilities move with the rise and fall of the forward benchmark curves, the declineup-shift in the forward curves caused valuation losses to increase.decline. Generally, hedge valuation basis gains and losses are unrealized and willare 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 areis 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. Valuation adjustments at June 30, 20202021 and December 31, 20192020 were largely the accumulation of semi-annual accrued unpaid interest included in the full fair value of the debt. Cumulative basis adjustments and unpaid interest have declined in line with the decline in the volume of CO bonds elected under FVO.

​

The discounting basis for computing the change in fair value basis of bonds elected under the FVO is the observable (FHLBank) CO bond yield curve. All FVO bonds were short- and intermediate-term, and fluctuations in their “clean prices” (without accumulated unpaid interest) valuations were not significant as the bonds re-priced relatively frequently to market indices, keeping valuations near to par, although inter-period valuation volatility is likely.

​

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 (in thousands):hedge.

​

The following table provides information on CO bonds in an ASC 815 qualifying hedge relationship (in thousands):

Table5.2:        CO Bonds Hedged under Qualifying Fair Value Hedges

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.

  Consolidated Obligation Bonds 
Par Amount June 30, 2020  December 31, 2019 
Qualifying hedges        
Fixed-rate bullet bonds $9,244,090  $11,802,950 
Fixed-rate callable bonds  -   70,000 
  $9,244,090  $11,872,950 

​

The following table provides information on CO bonds elected under the fair value optionin an ASC 815 qualifying hedge relationship (in thousands):

​

Table5.3:        5.2    CO Bonds ElectedHedged under theQualifying Fair Value Option (FVO)Hedges

​

​

​

​

​

​

​

​

​

​

Consolidated Obligation Bonds

Par Amount

    

June 30, 2021

    

December 31, 2020

Qualifying hedges

​

​

  

​

​

  

Fixed-rate bullet bonds

​

$

23,211,635

​

$

20,757,635

Fixed-rate callable bonds

​

 

13,118,130

​

 

15,000

​

​

$

36,329,765

​

$

20,772,635

​

​

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Table of Contents

​

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 if operationally practical. 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 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.

​

  Consolidated Obligation Bonds 
Par Amount June 30, 2020  December 31, 2019 
Bonds designated under FVO $1,300,000  $12,067,000 

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

    

June 30, 2021

    

December 31, 2020

Bonds designated under FVO

​

$

13,345,925

​

$

16,575,000

​

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. 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.


The following table provides information on CO bonds in an economic hedge relationship (in thousands):​

Table5.4:     Economic Hedges of CO Bonds (data in table excludes CO bonds elected under the FVO)

Economic hedges of CO bonds— We issue floating-rate debt indexed to a benchmark rate (LIBOR, OIS/FF and OIS/SOFR) 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 operational cost of designating the debt instruments in an ASC 815 qualifying hedge outweighed the accounting benefits of marking the debt and the swap to fair values. We opted instead to designate the hedging basis swaps as standalone derivatives, and recorded changes in their fair values through earnings. The carrying value of the debt would not include fair value basis since the debt is recorded at amortized cost.

​

  Consolidated Obligation Bonds 
Par Amount June 30, 2020  December 31, 2019 
Bonds designated as economically hedged        
Floating-rate bonds (a) $26,375,000  $17,875,000 
Fixed-rate bonds (b)  -   50,000 
  $26,375,000  $17,925,000 

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

    

June 30, 2021

    

December 31, 2020

Bonds designated as economically hedged

​

​

  

​

​

  

Floating-rate bonds (a)

​

$

2,800,000

​

$

10,875,000

Fixed-rate bonds (b)

​

 

2,746,210

​

 

265,000

​

​

$

5,546,210

​

$

11,140,000

​

(a)

Floating-rate debt — Floating-rate bonds were typically indexed to 1-month LIBOR.LIBOR and OIS-SOFR. With the execution of basis hedges, certain floating-rate bonds were swapped in economic hedges to 3-month LIBOR, to OIS/FFindices (OIS-SOFR and OIS/SOFR to meetOIS-FF) that met our asset/liability interest rate risk management objectives, mitigating the basis risk between the 1-month LIBORindex 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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Table of Contents

​

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):

​

Table5.5:        5.5    CO Bonds — Maturity or Next Call Date

​

 June 30, 2020  December 31, 2019 
 Amount Percentage
of Total		  Amount  Percentage
of Total		 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

December 31, 2020

 

​

​

​

​

​

Percentage 

​

​

​

​

Percentage  

 

​

    

Amount

    

of Total

    

Amount

    

of Total

 

Year of maturity or next call date         

​

​

  

    

  

    

​

  

    

  

​

Due or callable in one year or less $37,891,435   65.14% $63,261,595   80.99%

​

$

50,996,490

 

74.21

%  

$

46,411,150

 

67.36

%

Due or callable after one year through two years  8,550,550   14.70   4,266,125   5.46 

​

 

8,229,680

 

11.98

​

 

10,750,545

 

15.60

​

Due or callable after two years through three years  4,021,425   6.91   2,970,715   3.80 

​

 

2,385,865

 

3.47

​

 

4,334,660

 

6.29

​

Due or callable after three years through four years  1,306,440   2.25   1,388,835   1.78 

​

 

1,415,360

 

2.06

​

 

1,477,355

 

2.14

​

Due or callable after four years through five years  1,083,585   1.86   1,001,735   1.28 

​

 

731,020

 

1.06

​

 

772,620

 

1.12

​

Thereafter  5,317,500   9.14   5,219,800   6.69 

​

 

4,960,700

 

7.22

​

 

5,160,200

 

7.49

​

                
Total par value $58,170,935   100.00% $78,108,805   100.00%

​

$

68,719,115

 

100.00

%  

$

68,906,530

 

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):

​

Table5.6:        5.6    Outstanding Callable CO Bonds versus Non-callable CO bonds

​

 June 30, 2020 December 31, 2019 

​

​

​

​

​

​

​

​

    

June 30, 2021

    

December 31, 2020

Callable $1,424,000  $4,818,000 

​

$

14,627,130

​

$

1,434,000

Non-Callable $56,746,935  $73,290,805 

​

$

54,091,985

​

$

67,472,530

​

CO Discount Notes

​

The following table summarizes discount notes issued and outstanding (dollars in thousands):

​

Table5.7:        5.7    Discount Notes Outstanding

​

 June 30, 2020 December 31, 2019 

​

​

​

​

​

​

​

​

​

    

June 30, 2021

    

December 31, 2020

 

Par value $89,545,947  $74,094,586 

​

$

42,174,015

​

$

57,668,646

​

Amortized cost $89,457,724  $73,955,552 

​

$

42,172,501

​

$

57,642,972

​

Hedge value basis adjustments (a)  3,822   (105)

​

 

—

​

​

321

​

FVO (b) - valuation adjustments and remaining accretion  38,347   3,758 

​

 

572

​

 

15,545

​

Total discount notes $89,499,893  $73,959,205 

​

$

42,173,073

​

$

57,658,838

​

Weighted average interest rate  0.26%  1.60%

​

 

0.02

%  

 

0.15

%

​

91

Table of Contents

​

(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. No CO discount notes were hedged at June 30, 2021. Notional amounts of $16.1$7.6 billion of CO discount notes were hedged under ASC 815 qualifying fair value hedges at June 30,December 31, 2020. The application of ASC 815 accounting methodology resulted in the recognitionimmaterial amounts of net cumulative hedge valuation basis losses of $3.9 million at June 30, 2020; hedge basis adjustments on de-designated hedges were a de minimis gain of $0.1 million. Comparative period balances were immaterial. Cumulative basis adjustments have increased in line with the increaseas noted in the volume of hedged CO discount notes. Additionally, the benchmark curves, specifically OIS/FF and OIS/SOFR declined at the measurement date. As hedge valuation basis of fixed-rate CO liabilities move with the rise and fall of the forward benchmark curves, the decline in forward curves caused valuation losses to increase.table above. Generally, hedge valuation basis gains and losses are unrealized and willare expected to reverse to zero if the CO bondsdiscount notes are held to maturity or are called on the early option exercise dates.maturity.

​

(b)

FVO valuation adjustments — Valuation basis adjustment losses are recorded to recognize changes in the entire or full fair values, including unaccreted discounts on CO discount notes elected under the FVO. Notional amounts elected under the FVO were $1.2 billion and $7.1 billion at June 30, 2021 and December 31, 2020, respectively. The discounting basis for computing changes in fair values of discount notes elected under the FVO is the observable FHLBank discount note yield curve. Valuation losses were largely liability balances representing unaccreted discounts. Other than unaccreted discount, changes in the valuation adjustments (clean prices) were not material. Clean prices represent fair value changes due to changes in the term structure of interest rates, the shape of the yield curve at the measurement dates, and the growth or decline in volume of hedged discount notes. 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):

​

Table5.8:        5.8    Fair Value Hedges of Discount Notes

​

 Consolidated Obligation Discount Notes 

​

​

​

​

​

​

Consolidated Obligation Discount Notes

Principal Amount June 30, 2020  December 31, 2019 

    

December 31, 2020

Discount notes hedged under qualifying hedge $16,143,912  $3,481,705 

​

$

7,564,742

​


The following table summarizes Economiceconomic hedges of discount notes (in thousands):

​

Table5.9:        5.9    Economic Hedges of Discount Notes

​

 Consolidated Obligation
Discount Notes		 

​

​

​

​

​

​

Consolidated Obligation Discount Notes

Par Amount June 30, 2020 

    

December 31, 2020

Discount notes designated as economic hedges (a) $1,702,572 

​

$

149,718

​

​

(a)

Represents CO discount notes that were de-designated; unamortized hedge basis adjustments were not material.

​

The following table summarizes discount notes elected and outstanding under the FVO (in thousands):

​

Table5.10:    5.10    Discount Notes under the Fair Value Option (FVO)

​

 Consolidated Obligation Discount Notes 

​

​

​

​

​

​

​

​

​

Consolidated Obligation Discount Notes

Par Amount June 30, 2020 December 31, 2019 

    

June 30, 2021

    

December 31, 2020

Discount notes designated under FVO (a) $20,120,995  $2,182,845 

​

$

1,249,392

    

$

7,118,211

​

(a)

For CO discount notes elected under the FVO, it has not been necessary to estimate changes attributable to instrument-specific credit risk, as we consider the credit worthiness of the FHLBank debt to be secured and credit related adjustments unnecessary.

​

CO Discountdiscount 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 financial statements, Fair Value Option Disclosures in Note 18. Fair Values of Financial Instruments.

​

92

Table of Contents

​

The following table summarizes Cash flow hedges of discount notes (in thousands):

​

Table5.11:    5.11    Cash Flow Hedges of Discount Notes

​

 Consolidated Obligation Discount Notes 

​

​

​

​

​

​

​

​

​

Consolidated Obligation Discount Notes

Principal Amount June 30, 2020 December 31, 2019 

    

June 30, 2021

    

December 31, 2020

Discount notes hedged under qualifying hedge (a) $2,664,000  $2,664,000 

​

$

1,806,000

    

$

2,139,000

​

(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 Hedgesflow hedge gains and losses in Note 17. Derivatives and Hedging Activities.

​

Accrued interest payable

​

Accrued interest payable— Amounts outstanding were $131.4$133.2 million at June 30, 20202021 and $156.9$118.0 million at December 31, 2019.2020. 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 $158.8$193.0 million at June 30, 20202021 and $175.5$186.6 million at December 31, 2019.2020. 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:        6.1    Stockholders’ Capital

​

 June 30, 2020 December 31, 2019 

​

​

​

​

​

​

​

​

    

June 30, 2021

    

December 31, 2020

Capital Stock (a) $6,334,135  $5,778,666 

​

$

4,867,291

​

$

5,366,830

Unrestricted retained earnings (b)  1,150,181   1,115,236 

​

 

1,119,935

​

 

1,135,341

Restricted retained earnings (c)  734,325   685,798 

​

 

803,658

​

 

774,275

Accumulated Other Comprehensive Income (Loss)  (80,533)  (47,805)

​

 

29,643

​

 

(19,747)

Total Capital $8,138,108  $7,531,895 

​

$

6,820,527

​

$

7,256,699

​

(a)

Stockholders’ Capital — Capital stock increased in line with the increase 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 June 30, 20202021 has grown to $734.3$803.7 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 previous quarter. By way of reference, if the Restricted retained earnings target was to be calculated at June 30, 2021, the target amount would be $1.2 billion based on the FHLBNY’s average consolidated obligations outstanding during the current quarter, as compared to actual Restricted retained earnings of $803.7 million at June 30, 2021. Also see Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings.

93

Table of Contents

​

​

The following table summarizes the components of AOCI (in thousands):

​

Table6.2:        6.2    Accumulated Other Comprehensive Income (Loss) (AOCI)

​

 June 30, 2020 December 31, 2019 

​

​

​

​

​

​

​

​

    

June 30, 2021

    

December 31, 2020

Accumulated other comprehensive income (loss)        

 

​

  

 

​

  

Non-credit portion on held-to-maturity securities, net (a) $(6,514) $(7,571)

​

$

(3,069)

​

$

(5,588)

Net market value unrealized gains (losses) on available-for-sale securities (b)  278,980   97,868 

​

 

215,315

​

 

280,626

Net Fair value hedging gains (losses) on available-for-sale securities (b)  (70,431)  (11,593)

​

 

(1,242)

​

 

(44,052)

Net Cash flow hedging gains (losses) (c)  (253,128)  (94,516)

​

 

(141,135)

​

 

(207,204)

Employee supplemental retirement plans (d)  (29,440)  (31,993)

​

 

(40,226)

​

 

(43,529)

Total Accumulated other comprehensive income (loss) $(80,533) $(47,805)

​

$

29,643

​

$

(19,747)

​

(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)

FairMarket values of available-for-sale securities — Fair value amounts of $279.0$215.3 million and $97.9$280.6 million at June 30, 20202021 and December 31, 20192020, respectively, represent market value netthird-party pricing vendors’ market-based unrealized gains of securities designated as AFS. Amounts of $70.4$1.2 million and $11.6$44.1 million at June 30, 20202021 and December 31, 20192020, respectively, represent hedging valuation basis losses ofchanges in the benchmark rate (the risk being hedged) calculated by Bank’s internal models for AFS securities designated in ASC 815 fair value hedges. The hedge valuationhedging relationships. Hedging gains and losses were dueare recorded through earnings with an offset to changes in the benchmark rates, representing the risks being hedged.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.

​

93

Table6.3:        6.3    AOCI Rollforward due to ASC 815 Hedging Programs

​

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.

​

 June 30, 2020 
 Cash Flow Hedges Fair Value Hedges 
 Rollover Hedge
Program		 Anticipatory Hedge
Program		 AFS Securities 

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2021

​

​

Cash Flow Hedges

​

Fair Value Hedges

​

​

Rollover Hedge

​

Anticipatory Hedge

​

​

​

​

    

Program

    

Program

    

AFS Securities

Beginning balance $(89,083) $(5,433) $(11,593)

​

$

(198,494)

​

$

(8,710)

​

$

(44,052)

Changes in fair values (a)  (154,893)  (1,109)  (58,838)

​

 

65,328

​

 

—

​

 

42,810

Amount reclassified  -   621   - 

​

 

—

​

 

741

​

 

—

Fair Value - closed contract  -   (3,231)  - 
Ending balance $(243,976) $(9,152) $(70,431)

​

$

(133,166)

​

$

(7,969)

​

$

(1,242)

            

​

​

​

​

​

​

​

​

​

​

Notional amount of swaps outstanding $2,664,000  $-  $602,000 

​

$

1,806,000

​

$

—

​

$

1,432,000

​

  December 31, 2019 
  Cash Flow Hedges  Fair Value Hedges 
  Rollover Hedge
Program		  Anticipatory Hedge
Program		  AFS Securities 
Beginning balance $17,412  $(653) $- 
Changes in fair values (a)  (106,495)  5,478   (11,593)
Amount reclassified  -   613   - 
Fair Value - closed contract  -   (10,871)  - 
Ending balance $(89,083) $(5,433) $(11,593)
             
Notional amount of  swaps outstanding $2,664,000  $89,000  $532,000 

94

  June 30, 2019 
  Cash Flow Hedges  Fair Value Hedges 
  Rollover Hedge
Program		  Anticipatory Hedge
Program		  AFS Securities 
Beginning balance $17,412  $(653) $- 
Changes in fair values (a)  (108,101)  2,937   (13,362)
Amount reclassified  -   139   - 
Fair Value - closed contract  -   (7,336)  - 
Ending balance $(90,689) $(4,913) $(13,362)
             
Notional amount of  swaps outstanding $2,664,000  $190,000  $377,000 

Table of Contents

​

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2020

​

​

Cash Flow Hedges

​

Fair Value Hedges

​

​

Rollover Hedge

​

Anticipatory Hedge

​

​

​

​

    

Program

    

Program

    

AFS Securities

Beginning balance

​

$

(89,083)

​

$

(5,433)

​

$

(11,593)

Changes in fair values (a)

​

 

(109,411)

​

 

(1,109)

​

 

(32,459)

Amount reclassified

​

 

—

​

 

1,352

​

 

—

Fair Value - closed contract

​

 

—

​

 

(3,520)

​

 

—

Ending balance

​

$

(198,494)

​

$

(8,710)

​

$

(44,052)

​

​

​

​

​

​

​

​

​

​

Notional amount of swaps outstanding

​

$

2,139,000

​

$

—

​

$

1,134,000

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2020

​

​

Cash Flow Hedges

​

Fair Value Hedges

​

​

Rollover Hedge

​

Anticipatory Hedge

​

​

​

​

    

Program

    

Program

    

AFS Securities

Beginning balance

​

$

(89,083)

​

$

(5,433)

​

$

(11,593)

Changes in fair values (a)

​

 

(154,893)

​

 

(1,109)

​

 

(58,838)

Amount reclassified

​

 

—

​

 

621

​

 

—

Fair Value - closed contract

​

 

—

​

 

(3,231)

​

 

—

Ending balance

​

$

(243,976)

​

$

(9,152)

​

$

(70,431)

​

​

​

​

​

​

​

​

​

​

Notional amount of swaps outstanding

​

$

2,664,000

​

$

—

​

$

602,000

​

(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.

​

94

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:

​

Table6.4    Dividends Paid and Payout Ratios

​

​

​

​

​

​

​

​

​

​

​

Six months ended

 

​

    

June 30, 2021

    

June 30, 2020

 

Cash dividends paid per share

​

$

2.43

​

$

3.07

​

Dividends paid (a) (c)

​

$

132,937

​

$

173,591

​

Pay-out ratio (b)

​

 

90.49

%  

 

71.54

%

​

Table 6.4:Dividends Paid and Payout Ratios

  Six months ended 
  June 30, 2020  June 30, 2019 
Cash dividends paid per share $3.07  $3.31 
Dividends paid (a) (c) $173,591  $188,750 
Pay-out ratio (b)  71.54%  77.70%

(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.

95

Table of Contents

​

​

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.


​

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):

​

Table7.1    Derivatives Counterparty Credit Ratings

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 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)

​

$

4,187,000

​

$

44,503

​

$

(33,885)

​

$

10,618

​

$

—

​

$

10,618

Cleared derivatives assets (d)

​

 

83,878,038

​

 

6,701

​

 

—

​

 

6,701

​

 

624,717

​

 

631,418

​

​

 

88,065,038

​

 

51,204

​

 

(33,885)

​

 

17,319

​

 

624,717

​

 

642,036

Liability positions with credit exposure

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

Uncleared derivatives

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

Single A liability (c)

​

 

6,618,772

​

 

(30,827)

​

 

32,511

​

 

1,684

​

 

—

​

 

1,684

Triple B liability (c)

​

 

3,188,000

​

 

(220,643)

​

 

226,250

​

 

5,607

​

 

—

​

 

5,607

​

​

 

9,806,772

​

 

(251,470)

​

 

258,761

​

 

7,291

​

 

—

​

 

7,291

Total derivative positions with non-member counterparties to which the Bank had credit exposure

​

 

97,871,810

​

 

(200,266)

​

 

224,876

​

 

24,610

​

 

624,717

​

 

649,327

Member institutions

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

Derivative positions with member counterparties to which the Bank had credit exposure

​

 

79,000

​

 

4,641

​

 

—

​

 

4,641

​

 

(4,641)

​

 

—

Delivery commitments

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

Derivative position with delivery commitments

​

 

10,875

​

 

31

​

 

—

​

 

31

​

 

(31)

​

 

—

Total derivative position with members

​

 

89,875

​

 

4,672

​

 

—

​

 

4,672

​

 

(4,672)

​

 

—

Total

​

$

97,961,685

​

$

(195,594)

​

$

224,876

​

$

29,282

​

$

620,045

​

$

649,327

Derivative positions without credit exposure

​

 

11,507,916

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

Total notional

​

$

109,469,601

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

​

96

Table of Contents

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2020

​

​

​

​

​

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)

​

$

2,515,000

​

$

28,880

​

$

(18,385)

​

$

10,495

​

$

—

​

$

10,495

Cleared derivatives assets (d)

​

 

20,297,279

​

 

1,670

​

 

—

​

 

1,670

​

 

43,519

​

 

45,189

​

​

 

22,812,279

​

 

30,550

​

 

(18,385)

​

 

12,165

​

 

43,519

​

 

55,684

Liability positions with credit exposure

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

Uncleared derivatives

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

Single A liability (c)

​

 

10,000

​

 

(300)

​

 

300

​

 

—

​

 

—

​

 

—

Triple B liability (c)

​

​

2,833,000

​

​

(305,483)

​

​

309,300

​

​

3,817

​

​

—

​

​

3,817

Cleared derivatives liability (d)

​

 

94,431,914

​

 

—

​

 

—

​

 

—

​

 

586,853

​

 

586,853

​

​

 

97,274,914

​

 

(305,783)

​

 

309,600

​

 

3,817

​

 

586,853

​

 

590,670

Total derivative positions with non-member counterparties to which the Bank had credit exposure

​

 

120,087,193

​

 

(275,233)

​

 

291,215

​

 

15,982

​

 

630,372

​

 

646,354

Member institutions

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

Derivative positions with member counterparties to which the Bank had credit exposure

​

 

444,000

​

 

20,659

​

 

—

​

 

20,659

​

 

(20,659)

​

 

—

Delivery commitments

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

Derivative position with delivery commitments

​

 

9,777

​

 

28

​

 

—

​

 

28

​

 

(28)

​

 

—

Total derivative position with members

​

 

453,777

​

 

20,687

​

 

—

​

 

20,687

​

 

(20,687)

​

 

—

Total

​

$

120,540,970

​

$

(254,546)

​

$

291,215

​

$

36,669

​

$

609,685

​

$

646,354

Derivative positions without credit exposure

​

 

7,346,674

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

Total notional

​

$

127,887,644

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

​

Table 7.1:Derivatives Counterparty Credit Ratings

  June 30, 2020 
Credit Rating Notional Amount  Net Derivatives Fair Value Before Collateral  Cash Collateral Pledged To (From) Counterparties (a)  Balance Sheet Net Credit Exposure  Non-Cash Collateral Pledged To (From) Counterparties (b)  Net Credit Exposure to Counterparties 
Non-member counterparties                        
Asset positions with credit exposure                        
Uncleared derivatives                        
Single A asset (c) $2,515,000  $22,010  $(9,985) $12,025  $-  $12,025 
Cleared derivatives assets (d)  98,453,355   8,823   -   8,823   571,929   580,752 
   100,968,355   30,833   (9,985)  20,848   571,929   592,777 
Liability positions with credit exposure                        
Uncleared derivatives                        
Single A liability (c)  63,725   (1,232)  1,310   78   -   78 
Triple B liability (c)  2,853,000   (364,268)  366,300   2,032   -   2,032 
Cleared derivatives liability (d)  42,248,376   -   -   -   63,846   63,846 
   45,165,101   (365,500)  367,610   2,110   63,846   65,956 
Total derivative positions with non-member counterparties to which the Bank had credit exposure146,133,456  (334,667) 357,62522,958  635,775 658,733 
Member institutions                        
Derivative positions with member counterparties to which the Bank had credit exposure  539,000   32,597   -   32,597   (32,597)  - 
Delivery commitments                        
Derivative position with delivery commitments  49,196   274   -   274   (274)  - 
Total derivative position with members  588,196   32,871   -   32,871   (32,871)  - 
Total $146,721,652  $(301,796) $357,625  $55,829  $602,904  $658,733 
Derivative positions without credit exposure  7,934,269                     
Total notional $154,655,921                     

  December 31, 2019 
Credit Rating Notional Amount  Net Derivatives Fair Value Before Collateral  Cash Collateral Pledged To (From) Counterparties (a)  Balance Sheet Net Credit Exposure  Non-Cash Collateral Pledged To (From) Counterparties (b)  Net Credit Exposure to Counterparties 
Non-member counterparties                        
Asset positions with credit exposure                        
Uncleared derivatives                        
Double A asset (c) $25,000  $6  $-  $6  $-  $6 
Single A asset (c)  4,415,000   122,157   (4,400)  117,757   (105,667)  12,090 
Cleared derivatives assets (d)  80,839,066   15,111   85,241   100,352   251,177   351,529 
   85,279,066   137,274   80,841   218,115   145,510   363,625 
Liability positions with credit exposure                        
Uncleared derivatives                        
Single A liability (c)  4,270,446   (43,240)  47,310   4,070   -   4,070 
Triple B liability (c)  2,893,000   (128,059)  134,250   6,191   -   6,191 
   7,163,446   (171,299)  181,560   10,261   -   10,261 
Total derivative positions with non-member counterparties to which the Bank had credit exposure  92,442,512   (34,025)  262,401   228,376   145,510   373,886 
Member institutions                        
Derivative positions with member counterparties to which the Bank had credit exposure  536,000   9,467   -   9,467   (9,467)  - 
Delivery commitments                        
Derivative position with delivery commitments  44,768   104   -   104   (104)  - 
Total derivative position with members  580,768   9,571   -   9,571   (9,571)  - 
Total $93,023,280  $(24,454) $262,401  $237,947  $135,939  $373,886 
Derivative positions without credit exposure  15,659,413                     
Total notional $108,682,693                     

(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. At June 30, 20202021 and December 31, 20192020, we had pledged $635.8$624.7 million and $251.2$630.4 million, respectively, in marketable securities.�� No cash was posted on cleared swaps at June 30, 2020; $85.2 million was posted at December 31, 2019.

​

96

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 another sourcealso 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.

​

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​

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, each FHLBank shall providethe Bank provides for Contingency Liquidity, which is defined as the sources of cash a FHLBankthe 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. Violations of the liquidity requirements would result in non-compliance penalties under discretionary powers given to the Finance Agency under applicable regulations, which include other corrective actions. Advisory Bulletin 2018-07 concerning liquidity was by policy implemented in phases and was 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 fundingready 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. See Liquidity Management in the MD&A in the Bank’s most recent Form 10-K for 2019 filed on March 20, 2020.

​

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:       

Table 8.1    Deposit Liquidity

For the Quarters Ended Average Deposit
Reserve Required		  Average Actual
Deposit Liquidity		  Excess 
June 30, 2020 $1,532  $111,263  $109,731 
March 31, 2020  1,229   90,508   89,279 
December 31, 2019  1,271   84,245   82,974 

​

​

​

​

​

​

​

​

​

​

​

​

    

Average Deposit

    

Average Actual

    

​

​

For the Quarters Ended

​

Reserve Required

​

Deposit Liquidity

​

Excess

June 30, 2021

​

$

1,521

​

$

74,467

​

$

72,946

March 31, 2021

​

​

1,677

​

​

77,183

​

​

75,506

December 31, 2020

​

 

1,698

​

 

84,479

​

 

82,781

​

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

For the Quarters Ended Average Balance Sheet
Liquidity Requirement		  Average Actual
Operational Liquidity		  Excess 
June 30, 2020 $21,874  $29,604  $7,730 
March 31, 2020  17,786   33,910   16,124 
December 31, 2019  17,138   35,360   18,222 

​

Table8.2    Operational Liquidity

​

​

​

​

​

​

​

​

​

​

​

​

    

Average Balance Sheet

    

Average Actual

    

​

​

For the Quarters Ended

​

Liquidity Requirement

​

Operational Liquidity

​

Excess

June 30, 2021

​

$

10,163

​

$

24,722

​

$

14,559

March 31, 2021

​

​

10,643

​

​

28,880

​

​

18,237

December 31, 2020

​

 

9,367

​

 

27,629

​

 

18,262

​

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​

Contingency Liquidity. We are required by Finance Agency regulations to holdThe 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 exceededexceed the regulatory 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):

​

Table8.3:       

Table8.3    Contingency Liquidity

For the Quarters Ended Average Five Day
Requirement		  Average Actual
Contingency Liquidity		  Excess 
June 30, 2020 $4,149  $25,978  $21,829 
March 31, 2020  4,568   29,883   25,315 
December 31, 2019  4,764   30,966   26,202 

​

​

​

​

​

​

​

​

​

​

​

​

    

Average Five Day

    

Average Actual

    

​

​

For the Quarters Ended

​

Requirement

​

Contingency Liquidity

​

Excess

June 30, 2021

​

$

1,740

​

$

22,711

​

$

20,971

March 31, 2021

​

​

2,725

​

​

26,128

​

​

23,403

December 31, 2020

​

 

3,448

​

 

24,494

​

 

21,046

​

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 range between 1% and 20% of the notional of our outstanding standby financial letters of credit. In addition, the Advisory Bulletin provides guidance on maintaining appropriate funding gaps for three-month (-10% to -20% of total assets) and one-year (-25% to -35% of total assets) maturity horizons. The FHFA has communicated specific initial liquidity levels to be maintained within these ranges in an accompanying supervisory letter and may provide updated guidance in future 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 $44.3$52.6 million at June 30, 20202021 and $603.2 million$1.9 billion at December 31, 2019; balances2020. Cash and cash equivalents exclude short-term interest-bearing deposits, at unrelated financial institutions that we considerfederal funds sold, and securities purchased under agreements to be investments.resell. The following discussion highlights the major activities and transactions that affected our cash flows.

​

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Table of Contents

​

Cash flows fromprovided 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.

​

NetOperating activities resulted in $507.2 million in net cash used in operating activitiesinflows in the six months ended June 30, 2020 were2021, compared to outflows of ($669.2 million) and ($238.7 million)$669.2 million in the same period in 2019. By way of comparison,2020. Period changes in cash flows provided by or used in operating activities were largely driven by: (a) Net income was $242.6$146.9 million in the six months ended June 30, 20202021 and $242.9$242.6 million in the same period in the prior year. Outflows in operating cash flows were driven by two primary factors. First, changes in fair values on derivativesyear; (b) Derivatives and hedging activities provided $281.5 million in the Statements of Cash Flows reported negative adjustments to operating cash flow of ($649.7 million) and ($324.3 million)flows in the six months ended June 30, 2020 and 2019, primarily due2021, compared to the increaseuse of $649.7 million in variation margin posted; variation margin increasedcash flows in the same period in 2020. The change was consistent with the increasesignificant decline in benchmark interest rates in the notionalcurrent year period; additionally, we posted lower amounts of derivatives utilized at June 30, 2020. Second,variation margins to derivative counterparties; and (c) we reported negativepositive adjustments to operating cash flows of ($155.9 million) and ($51.0 million)$61.2 million to recognize unrealized valuation gainslosses on U.S. Treasury securities at June 30, 2020 and 2019.2021, compared to a negative adjustment of $155.9 million at June 30, 2020.

​


Cash flows provided by/(used (used in) investing activities — Investing activities resulted in $3.5$14.1 billion in net cash inflows in the six months ended June 30, 2020,2021, compared to $5.6$3.5 billion in net cash outflowsinflows in the same period in 2019.2020. In the 2020current period, Securities purchased under agreements to resell and federal funds sold declined;increased; investments in U.S. Treasury securities declined. Investing activities was driven largely by new advances exceeding maturing advances.

​

Cash flows provided by/(used (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 outflows of $3.4$16.5 billion used in Financing activities, representing decline in use of our primary funding sources in the six months ended June 30, 2020,2021 compared to net cashoutflows of $5.8$3.4 billion provided by Financing activities 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.

​

The following table summarizes short-term debt and their key characteristics (dollars in thousands):

​

Table8.4:       

Table8.4     Short-term Debt

  Consolidated Obligations-Discount Notes  Consolidated Obligations-Bonds With
Original Maturities of One Year or Less		 
  June 30, 2020  December 31, 2019  June 30, 2020  December 31, 2019 
Outstanding at end of the period (a) $89,499,893  $73,959,205  $17,657,500  $48,087,050 
Weighted-average rate at end of the period (b)  0.26%  1.60%  0.40%  1.74%
Average outstanding for the period (a) $76,479,028  $58,317,547  $38,879,057  $46,409,731 
Weighted-average rate for the period  0.81%  2.15%  1.33%  2.25%
Highest outstanding at any month-end (a) $90,249,660  $73,959,205  $52,277,550  $51,728,000 

(a)Outstanding balances represent the carrying value of discount notes and par value of bonds (one year or less) issued and outstanding at the reported dates.

(b)Weighted-average rate is calculated on outstanding balances at period-end.

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Consolidated Obligations-Bonds With

 

​

​

Consolidated Obligations-Discount Notes

​

Original Maturities of One Year or Less

 

​

    

June 30, 2021

    

December 31, 2020

    

June 30, 2021

    

December 31, 2020

 

Outstanding at end of the period (a)

​

$

42,173,073

​

$

57,658,838

​

$

26,907,800

​

$

30,772,940

​

Weighted-average rate at end of the period (b)

​

 

0.02

%  

 

0.15

%  

 

0.07

%  

 

0.12

%

Average outstanding for the period (a)

​

$

52,178,842

​

$

74,759,309

​

$

30,219,056

​

$

35,920,800

​

Weighted-average rate for the period

​

 

0.08

%  

 

0.51

%  

 

0.10

%  

 

0.84

%

Highest outstanding at any month-end (a)

​

$

58,583,114

​

$

90,249,660

​

$

33,017,940

​

$

52,277,550

​

​

(a)Outstanding balances represent the carrying value of discount notes and par value of bonds (one year or less) issued and outstanding at the reported dates.

(b)Weighted-average rate is calculated on outstanding balances at period-end.

​

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Table of Contents

​

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 regulationregulations 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 MPF 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.

​

99

Results of Operations

​

The following section provides a comparative discussion of the FHLBNY’s results of operations for the 2020 second quarterthree and the 2019 second quarter.six months ended June 30, 2021 and June 30, 2020. 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.Estimates in the Bank’s most recent Form 10-K filed on March 19, 2021.

​

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):

​

Table9.1:       

Table9.1    Principal Components of Net Income

  Three months ended
June 30,		  Six months ended
June 30,		 
  2020  2019  2020  2019 
Total interest income $502,305  $1,022,556  $1,242,357  $2,020,090 
Total interest expense  272,617   858,980   859,876   1,679,298 
Net interest income before provision for credit losses  229,688   163,576   382,481   340,792 
Provision (Reversal) for credit losses  3,030   (275)  3,166   (292)
Net interest income after provision for credit losses  226,658   163,851   379,315   341,084 
Total other income (loss)  (22,817)  (1,303)  (15,088)  11,875 
Total other expenses  51,029   42,445   94,621   83,025 
Income before assessments  152,812   120,103   269,606   269,934 
Affordable Housing Program Assessments  15,287   12,021   26,974   27,014 
Net income $137,525  $108,082  $242,632  $242,920 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended June 30, 

​

Six months ended June 30, 

​

    

2021

    

2020

    

2021

    

2020

Total interest income

​

$

247,534

​

$

502,305

​

$

529,809

​

$

1,242,357

Total interest expense

​

 

104,369

​

 

272,617

​

 

228,106

​

 

859,876

Net interest income before provision for credit losses

​

 

143,165

​

 

229,688

​

 

301,703

​

 

382,481

Provision (Reversal) for credit losses

​

 

(1,672)

​

 

3,030

​

 

(2,957)

​

 

3,166

Net interest income after provision for credit losses

​

 

144,837

​

 

226,658

​

 

304,660

​

 

379,315

Total other income (loss)

​

 

(9,625)

​

 

(22,817)

​

 

(42,243)

​

 

(15,088)

Total other expenses

​

 

52,203

​

 

51,029

​

 

99,172

​

 

94,621

Income before assessments

​

 

83,009

​

 

152,812

​

 

163,245

​

 

269,606

Affordable Housing Program Assessments

​

 

8,304

​

 

15,287

​

 

16,331

​

 

26,974

Net income

​

$

74,705

​

$

137,525

​

$

146,914

​

$

242,632

​

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​

Net Income — 20202021 Second Quarter Compared to 20192020 Second 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.

​

InNet income for the 2021 second quarter was $74.7 million, a decrease of the current year, Net income was $137.5 million, an increase of $29.4$62.8 million, or 27.2%45.7% compared to the same period in the prior year. Summarized below are the primary components of our Net income:

​

In theNet interest income — The 2021 second quarter of the current year, Net interest income was $229.7$143.2 million, an increasea decrease of $66.1$86.5 million, or 40.4%.37.7% compared to the same period in the prior year. Net interest spread was 4944 basis points in the 2021 second quarter of the current year, compared to 3249 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) — In the second quarter of the current year, Other income (loss) reported a loss of $22.8$9.6 million in the 2021 second quarter compared to a loss of $1.3$22.8 million in the same period in the prior year.

​


¨●Service fees and otherare primarily correspondent banking fees and fee revenues from financial letters of credit.  Such revenues were $4.6$4.4 million in the 2021 second quarter of the current year, compared to $4.7$4.6 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 valuesreported a net valuation gain of $10.6$3.9 million in the 2021 second quarter of the current year, compared to a net lossgain of $2.4$10.6 million 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 9.109.8 Other Income (Loss) and accompanying discussions in this MD&A.

¨●Derivative activities reported a net lossgain of $3.9 million in Other income in the 2021 second quarter, compared to a charge of $3.9 million in the second quarter of the current year, compared to a net loss of $39.1 million in the same period ofin the prior year. For more information, see financial statements, Note 17. Derivatives and Hedging Activities.  Also see Table 9.129.10 Other Income (Loss) — Impact of Derivative Gains and Losses and accompanying discussions in this MD&A.

¨●U.S. Treasury Securities held for liquidity(classified (classified as trading) reported net marked-to-market losses of $41.4$26.4 million in the 2021 second quarter, of the current year, compared to net gainslosses of $33.9$41.4 million in the same period in the prior year.

¨●Equity Investments, held to fundfinance payments to retirees in non-qualified pension plans, reported net gains of $7.3$4.5 million in the 2021 second quarter of the current year, compared to net gains of $1.9$7.3 million in the same period in the prior year.

Other expenses were $51.0$52.2 million in the 2021 second quarter, of the current year, compared to $42.4$51.0 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. Increases were driven by initiatives to support our long-term technology efforts.

​

¨●Operating expenses were $18.1$18.2 million in the 2021 second quarter, ofslightly higher than the current year,same period in the prior year.
●Compensation and benefits expenses were $23.2 million in the 2021 second quarter, up from $15.5$22.3 million in the same period in the prior year.

¨●Compensation and benefits expenses were $22.3 million in the second quarter of the current year, up from $20.5 million in the same period in the prior year.This was driven by additions of staff to continue support of our long-term technology enhancement effort.
¨The expenses allocated for our share of the costs to operate the Office of Finance and the Federal Housing Finance Agency were $4.6$5.4 million in the 2021 second quarter, of the current year, compared to $4.2$4.6 million in the same period in the prior year.

¨●Other expenses were $6.0$5.5 million in the 2021 second quarter, of the current year, compared to $2.3$6.0 million in the same period in the prior year.

​

AHP assessmentsAffordable Housing Program Assessments (AHP) allocated from Net income were $15.3$8.3 million in the 2021 second quarter, of the current year, compared to $12.0$15.3 million in the same period in the prior year. Assessments are calculated as a percentage of Net income, and changes in allocations were in parallel with changes in Net income.

​

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Table of Contents

​

Net Income — Year-to-Date Period Ended June 30, 20202021 Compared to June 30, 20192020

 

Net income in the year-to-date period in the current year was $242.6$146.9 million, a decrease of $0.3$95.7 million, or 0.1%39.4% compared to the same period in the prior year.

 

Net interest income in the year-to-date period in the current year was $382.5$301.7 million, an increasea decrease of $41.7$80.8 million, or 12.2%21.1%. Net interest spread was 4044 basis points in the current year, compared to 3540 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) in the year-to-date period ended June 30, the aggregate impact was a loss of $15.1$42.2 million in the 20202021 period compared to a gainloss of $11.9$15.1 million in the same period in the prior year.

 

The primary changes year-over-yearOther expenses were — standalone derivatives in economic hedges of balance sheet assets and liabilities, primarily fixed rate U.S. Treasury securities, recorded fair value losses of $168.1 million and $51.3 million in the 2020 and 2019 period; and, gains on trading securities (held for liquidity) were $155.9 million and $51.0 million in the 2020 and 2019 period.

Other expenses were $94.6$99.2 million in the year-to-date period in the current year, compared to $83.0$94.6 million in the same period in the prior year. Operating expenses were $31.6$32.4 million in the year-to-date period in the current year, up from $28.3$31.6 million in the prior year period due to consulting expenses incurred in the period to implement several multi-year technology enhancement initiatives. Compensation and benefits were $45.6$47.5 million in the year-to-date period in the current period,year, up from $41.9$45.6 million in the prior year period due to increase in head count. The expenses allocated for our share of the costs to operate the Office of Finance and the Federal Housing Finance Agency were $11.0 million in the year-to-date period in the current year, compared to $9.0 million in the prior year period. Other expenses were $8.4 million and $4.7$8.3 million in the 2020year-to-date period in the current year and 2019$8.4 million in the prior year period. Other expenses included contributions to homeowners and small businesses, the non-service elements of Net periodic pension benefit costs, and derivative clearing fees. The increase was primarily due to relief grants to small businesses.

AHP assessments allocated from Net income were $27.0$16.3 million in the year-to-date period in the current year, slightly lower than the assessmentscompared to $27.0 million in the same period in the prior year.

​

Net Interest Income, MarginInterest Rate Margins and Interest Rate Spreads. 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.

​

The following table summarizes Net interest income (dollars in thousands):

Table 9.2:        Net Interest Income

  Three months ended June 30,  Six months ended June 30, 
        Percentage        Percentage 
  2020  2019  Change  2020  2019  Change 
Total interest income (a) $502,305  $1,022,556   (50.88)% $1,242,357  $2,020,090   (38.50)%
Total interest expense (a)  272,617   858,980   (68.26)  859,876   1,679,298   (48.80)
Net interest income before provision for credit losses $229,688  $163,576   40.42% $382,481  $340,792   12.23%

(a)Total Interest Income and Total Interest Expense — See Tables 9.6 and 9.8 and accompanying discussions

​

Table9.2    Net Interest Income— 2020 Second Quarter Vs. 2019 Second Quarter

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended June 30, 

​

Six months ended June 30, 

 

​

​

​

​

​

​

​

​

Percentage

​

​

​

​

​

​

​

Percentage

 

​

    

2021

    

2020

    

Change

    

2021

    

2020

    

Change

 

Total interest income (a)

​

$

247,534

​

$

502,305

​

(50.72)

%  

$

529,809

​

$

1,242,357

​

(57.35)

%

Total interest expense (a)

​

 

104,369

​

 

272,617

 

(61.72)

​

 

228,106

​

 

859,876

 

(73.47)

​

Net interest income before provision for credit losses

​

$

143,165

​

$

229,688

 

(37.67)

%  

$

301,703

​

$

382,481

 

(21.12)

%

​

(a)Total Interest Income and Total Interest Expense — See Tables 9.6 and 9.7 and accompanying discussions

​

103

Table of Contents

​

Our 2021 second quarter net interest income decreased from prior year second quarter by $86.5 million resulting from decreases in both the average yields on, and the average balances of, interest earning assets, principally advances. Additionally, $4.0 million and $4.6 million of prepayment fees were recorded in Net interest income in the second quarter of 2021 and 2020, respectively.

​

Financial markets in the second quarter continued to be under stress, although exhibiting less volatility.stress. The Fed has continued with its wide-ranging stimulus plans and interest rates remain low, impacting our interest revenues and opportunities for acquiring investments.


Net interest income increased by 40.4%decreased from the prior year quarter. Primary drivers were higher earning-assets,second quarter by 37.7% and in the year-to-date period ended June 30, 2021 net interest income decreased by 21.1%.

​

Interest margin continues to be adversely impacted by the Fed’s acquisition program in the agency-issued mortgage-backed securities market that has driven up pricing and limited the opportunities for acquiring investments that would meet our risk/reward targets. Spreads remained very low on our investments in overnight Federal funds markets and repurchase programs, two principal investment vehicles for our balance sheet liquidity programs. Reacting to adverse changes in declining spreads and declining requirements for liquidity, we have reduced our balance sheet inventory of U.S. Treasury securities held for liquidity.

​

In the 2021 second quarter, margins tightened between yields on assets, specifically short-term and floating-rate investments and short-term and floating-rate advances, and lower cost of funding.

Period-over-period changes in Net interest income are largely a factor of the prevailing interest rates and their impactcorresponding yields paid on interest income and interest expense, as well as changes in the volume of interest-earningfunding those assets. In the 2020 second quarter, volume-related increases in earning assets and changes in funding mix made a favorable impact of $51.6 million to margin. Average interest-earning assets was $173.7 billion in the 2020 second quarter, compared to $147.7 billion in the same period last year, benefiting from higher advance volume. Average advance balances increased to $125.3 billion in the current year quarter, up from $101.6 billion in the prior year quarter. Yield related changes made a small positive contribution of $14.5 million. Net interest spread, which is the yield from earning assets minus interest paid to fund earning assets, was 49 basis points in the 2020 second quarter, compared to 32 basis points in the same period last year. Net interest margin, a measure of margin efficiency, which is calculated as Net interest income divided by average earning assets, was 46 basis points, compared to 53 basis points in the 2020prior year second quarter. Net interest spread in the 2021 second quarter compared towas 44 basis points, inrepresenting the same period last year.

Increased volume aside, pro-active tactical change in funding mix to a greater utilization of CO discount notes was an important shift in funding that benefited our spread.yield from earning assets minus interest paid on costing liabilities. In the 2020prior year second quarter, CO discount notes funded 51.6% of earning-assets, up from 40.5% in the first quarter and 39.6% in the 2019 second quarter (calculations are based on average balances). In the current volatile market caused by COVID-19, investor demand for FHLBank issued high-quality CO discount notes pushed yields down, resulting in favorable spreads and favorable funding in the current year period. Margins widened between yields on assets, specifically overnight, short-term and floating-rate investments and short- and floating-rate advances, and the corresponding yields paid on funding those assets.net interest spread was 49 basis points.

​

Stockholders’ capital stock, which is typically employeddeployed to fund short-term interest-earning assets, increaseddecreased to $7.1 billion in 2021 second quarter from $8.7 billion in the 2020 secondprior year quarter up from $7.5 billion(as measured by average outstanding balance in the same period last year, a positive change for interest margin. Increaseperiod). Decrease in Capital stock was in line with increasedecrease in advances in the 2021 second quarter as borrowing members are required to purchase capital stock in proportion to amounts borrowed.

​

2020 second quarterIn the 2021 year-to-date period, 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 relatively unchanged. Net interest margin, a measure of margin efficiency, which is calculated as Net interest income divided by average earning assets, was adversely impacted by interest rate hedging, primarily due to47 basis points, unchanged from the effects of interest settlements (also referred to as interest accruals). Interest settlements and fair values in aggregate recorded a loss of $60.7 millionsame period in the current year period.prior year. Net interest spread in the 2021 year-to-date period was 44 basis points, representing the yield from earning assets minus interest paid on costing liabilities. In the same period lastin the prior year, the net interest spread was 40 basis points.

​

Stockholders’ capital stock, which is typically deployed to fund short-term interest-earning assets, decreased to $7.2 billion in 2021 year-to-date period from $8.2 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 2021 year-to-date period 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 $81.1 million to interest margin, in the second quarter of the current year compared to an expense of $68.5 million in the same period in the prior year. In the year-to-date period ended June 30, 2021 we recorded a net favorable contributionexpense of $51.2$176.1 million was recorded.compared to a net expense of $68.7 million in the same period in the prior year. 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. The declining LIBOR hasbenchmark interest rate indices have driven down the LIBOR-indexedbenchmark-indexed cash flows received on fair value hedges of advances, such that the net cash flows we received were less than the fixed-rate cash flows paid on the swap contracts. While the declining LIBORbenchmarks had a favorable impact on LIBOR-indexedbenchmark-indexed cash flows paid on swaps hedging debt, the favorable impact was not as significant. Although netNet interest settlements on swaps hedging assets and liabilities under ASC 815 fluctuated as expected in line with changes in the benchmark rates,rates; the hedging transactions achieved our interest rate risk management objectives.

Net Interest Income — 2020 Year-to-Date Period Vs. 2019 Year-to-Date Period

Net interest income The impact of hedge ineffectiveness in the current year-to-date period increased by 12.2 % from the same period in the prior year, driven primarily by results in the second quartercomparable quarters were immaterial.

​

104

Table of 2020. Net interest spread earned in the year-to-date period was higher, 40 basis points in the current year period, compared to 35 basis points in the prior year period. The effects of hedging actives under ASC 815, primarily interest rate settlements on interest rate swaps, recorded a loss of $67.9 million and a gain of $113.9 million in the year-to-date period in 2020 and 2019. Fluctuations in the benchmark rates were the primary drivers.Contents

​


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):

​

Table9.3:       

Table9.3    Net Interest Adjustments from Hedge Qualifying Interest Rate Swaps

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended June 30, 

​

Six months ended June 30, 

​

    

2021

    

2020

    

2021

    

2020

Interest income

​

$

358,368

    

$

596,652

    

$

750,392

    

$

1,364,719

Fair value hedging effects

​

 

(543)

​

 

8,970

​

 

1,451

​

 

(2,515)

Amortization of basis

​

 

(78)

​

 

(208)

​

 

(26)

​

 

(222)

Interest rate swap accruals

​

 

(110,213)

​

 

(103,109)

​

 

(222,008)

​

 

(119,625)

Reported interest income

​

 

247,534

​

 

502,305

​

 

529,809

​

 

1,242,357

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest expense

​

 

134,902

​

 

306,246

​

 

279,483

​

 

914,385

Fair value hedging effects

​

 

(93)

​

 

2,408

​

 

(2,750)

​

 

(589)

Amortization of basis

​

 

(1,322)

​

 

(1,438)

​

 

(2,703)

​

 

(2,985)

Interest rate swap accruals

​

 

(29,118)

​

 

(34,599)

​

 

(45,924)

​

 

(50,935)

Reported interest expense

​

 

104,369

​

 

272,617

​

 

228,106

​

 

859,876

Net interest income

​

$

143,165

​

$

229,688

​

$

301,703

​

$

382,481

Net interest adjustment - interest rate swaps

​

$

(80,301)

​

$

(60,718)

​

$

(169,206)

​

$

(67,853)

​

105

Table of Contents

​

Net Interest Adjustments from Hedge Qualifying Interest Rate Swaps

  Three months ended June 30,  Six months ended June 30, 
  2020  2019  2020  2019 
Interest income $596,652  $967,781  $1,364,719  $1,893,997 
Fair value hedging effects  8,970   (36)  (2,515)  723 
Amortization of basis  (208)  (14)  (222)  (28)
Interest rate swap accruals  (103,109)  54,825   (119,625)  125,398 
Reported interest income  502,305   1,022,556   1,242,357   2,020,090 
                 
Interest expense  306,246   855,452   914,385   1,667,104 
Fair value hedging effects  2,408   751   (589)  2,822 
Amortization of basis  (1,438)  (1,455)  (2,985)  (2,899)
Interest rate swap accruals  (34,599)  4,232   (50,935)  12,271 
Reported interest expense  272,617   858,980   859,876   1,679,298 
Net interest income $229,688  $163,576  $382,481  $340,792 
                 
Net interest adjustment - interest rate swaps $(60,718) $51,247  $(67,853) $113,899 

Spread and Yield Analysis — 20202021 Periods Vs. 20192020 Periods

​

Table 9.4    Spread and Yield Analysis

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended June 30, 

 

​

​

2021

​

2020

 

​

​

​

​

​

Interest

​

​

​

​

​

​

Interest

​

​

 

​

​

Average

​

Income/

​

​

​

Average

​

Income/

​

​

 

(Dollars in thousands)

    

Balance

    

Expense

    

Rate (a)

    

Balance

    

Expense

    

Rate (a)

 

Earning Assets:

​

​

  

​

​

  

​

  

​

​

  

​

​

  

​

  

​

Advances

​

$

87,031,029

​

$

123,567

 

0.57

%  

$

125,319,819

​

$

326,230

 

1.05

%

Interest bearing deposits and others

​

 

1,272,720

​

 

264

 

0.08

​

 

1,826,910

​

 

482

 

0.11

​

Federal funds sold and other overnight funds

​

 

10,150,451

​

 

1,864

 

0.07

​

 

12,909,396

​

 

2,076

 

0.06

​

Investments

​

 

  

​

 

  

 

  

​

 

  

​

 

  

 

  

​

Trading securities

​

 

8,222,005

​

 

27,748

 

1.35

​

 

13,136,997

​

 

50,884

 

1.56

​

Mortgage-backed securities

​

 

  

​

 

  

 

  

​

 

  

​

 

  

 

  

​

Fixed

​

 

10,772,154

​

 

69,203

 

2.58

​

 

11,259,275

​

 

80,515

 

2.88

​

Floating

​

 

3,724,474

​

 

5,405

 

0.58

​

 

4,897,842

​

 

13,629

 

1.12

​

State and local housing finance agency obligations

​

 

1,083,402

​

 

1,862

 

0.69

​

 

1,115,834

​

 

4,157

 

1.50

​

Mortgage loans held-for-portfolio

​

 

2,608,026

​

 

17,620

 

2.71

​

 

3,200,637

​

 

24,332

 

3.06

​

Loans to other FHLBanks

​

 

3,297

​

 

1

 

0.12

​

 

—

​

 

—

 

NM

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total interest-earning assets

​

$

124,867,558

​

$

247,534

 

0.80

%  

$

173,666,710

​

$

502,305

 

1.16

%

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Funded By:

​

 

  

​

 

  

 

  

​

 

  

​

 

  

 

  

​

Consolidated obligation bonds

​

 

  

​

 

  

 

  

​

 

  

​

 

  

 

  

​

Fixed

​

$

63,984,182

​

$

87,171

 

0.55

%  

$

27,665,246

​

$

108,074

 

1.57

%

Floating

​

 

4,943,158

​

 

1,698

 

0.14

​

 

45,516,966

​

 

68,852

 

0.61

​

Consolidated obligation discount notes

​

 

46,796,019

​

 

15,385

 

0.13

​

 

89,558,982

​

 

95,477

 

0.43

​

Interest-bearing deposits and other borrowings

​

 

1,458,449

​

 

87

 

0.02

​

 

1,455,363

​

 

158

 

0.04

​

Mandatorily redeemable capital stock

​

 

2,518

​

 

28

 

4.46

​

 

4,176

​

 

56

 

5.39

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total interest-bearing liabilities

​

 

117,184,326

​

 

104,369

 

0.36

%  

 

164,200,733

​

 

272,617

 

0.67

%

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Other non-interest-bearing funds

​

 

584,272

​

 

—

 

​

​

​

780,958

​

 

—

 

  

​

Capital

​

 

7,098,960

​

 

—

 

​

​

​

8,685,019

​

 

—

 

  

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total Funding

​

$

124,867,558

​

$

104,369

​

​

​

$

173,666,710

​

$

272,617

 

  

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Net Interest Income/Spread

​

​

​

​

$

143,165

​

0.44

%  

 

​

​

$

229,688

 

0.49

%

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Net Interest Margin

​

 

  

​

 

  

​

  

​

 

  

​

 

  

 

  

​

(Net interest income/Earning Assets)

​

 

​

​

 

​

​

0.46

%  

 

  

​

 

  

 

0.53

%

​

106

Table of Contents

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Six months ended June 30, 

 

​

​

2021

​

2020

 

​

​

​

​

​

Interest

​

​

​

​

​

​

Interest

​

​

 

​

​

Average

​

Income/

​

​

​

Average

​

Income/

​

​

 

(Dollars in thousands)

    

Balance

    

Expense

    

Rate (a)

    

Balance

    

Expense

    

Rate (a)

​

Earning Assets:

​

​

  

​

​

  

​

  

​

​

  

​

​

  

​

  

​

Advances

​

$

88,735,183

​

$

263,395

 

0.60

%  

$

114,048,462

​

$

790,795

 

1.39

%

Interest bearing deposits and others

​

 

1,386,159

​

 

597

 

0.09

​

 

1,411,904

​

 

2,609

 

0.37

​

Federal funds sold and other overnight funds

​

 

12,033,878

​

 

4,640

 

0.08

​

 

14,659,484

​

 

57,361

 

0.79

​

Investments

​

 

  

​

 

  

 

  

​

 

  

​

 

  

 

  

​

Trading securities

​

 

9,605,690

​

 

68,378

 

1.44

​

 

14,268,203

​

 

125,881

 

1.77

​

Mortgage-backed securities

​

 

  

​

 

​

 

  

​

 

  

​

 

  

 

  

​

Fixed

​

 

10,774,155

​

 

140,802

 

2.64

​

 

11,251,073

​

 

163,404

 

2.92

​

Floating

​

 

3,876,105

​

 

11,462

 

0.60

​

 

5,079,637

​

 

41,294

 

1.63

​

State and local housing finance agency obligations

​

 

1,090,407

​

 

3,774

 

0.70

​

 

1,118,686

​

 

10,622

 

1.91

​

Mortgage loans held-for-portfolio

​

 

2,706,708

​

 

36,760

 

2.74

​

 

3,200,589

​

 

50,358

 

3.16

​

Loans to other FHLBanks

​

 

1,657

​

 

1

 

0.12

​

 

4,121

​

 

33

 

1.61

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total interest-earning assets

​

$

130,209,942

​

$

529,809

 

0.82

%  

$

165,042,159

​

$

1,242,357

 

1.51

%

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Funded By:

​

 

  

​

 

  

 

  

​

 

  

​

 

  

 

  

​

Consolidated obligation bonds

​

 

  

​

 

  

 

  

​

 

  

​

 

  

 

  

​

Fixed

​

$

60,017,354

​

$

176,468

 

0.59

%  

$

31,410,233

​

$

277,062

 

1.77

%

Floating

​

 

8,747,586

​

 

6,367

 

0.15

​

 

47,173,149

​

 

256,421

 

1.09

​

Consolidated obligation discount notes

​

 

52,178,842

​

 

44,997

 

0.17

​

 

76,479,028

​

 

322,810

 

0.85

​

Interest-bearing deposits and other borrowings

​

 

1,531,577

​

 

212

 

0.03

​

 

1,325,081

​

 

3,448

 

0.52

​

Mandatorily redeemable capital stock

​

 

2,667

​

 

62

 

4.69

​

 

4,598

​

 

135

 

5.90

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total interest-bearing liabilities

​

 

122,478,026

​

 

228,106

 

0.38

%  

 

156,392,089

​

 

859,876

 

1.11

%

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Other non-interest-bearing funds

​

 

579,881

​

 

—

 

  

​

 

484,915

​

 

—

 

  

​

Capital

​

 

7,152,035

​

 

—

 

  

​

 

8,165,155

​

 

—

 

  

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total Funding

​

$

130,209,942

​

$

228,106

 

  

​

$

165,042,159

​

$

859,876

 

  

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Net Interest Income/Spread

​

 

  

​

$

301,703

 

0.44

%  

 

  

​

$

382,481

 

0.40

%

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Net Interest Margin

​

 

  

​

 

  

 

  

​

 

  

​

 

  

 

​

​

(Net interest income/Earning Assets)

​

 

  

​

 

  

 

0.47

%  

 

  

​

 

  

 

0.47

%

​

Table9.4:        Spread and Yield Analysis

  Three months ended June 30, 
  2020  2019 
     Interest        Interest    
  Average  Income/     Average  Income/    
(Dollars in thousands) Balance  Expense  Rate (a)  Balance  Expense  Rate (a) 
Earning Assets:                        
Advances $125,319,819  $326,230   1.05% $101,561,849  $704,936   2.78%
Interest bearing deposits and others  1,826,910   482   0.11   150,551   935   2.49 
Federal funds sold and other overnight funds  12,909,396   2,076   0.06   17,926,538   109,087   2.44 
Investments                        
Trading securities  13,136,997   50,884   1.56   7,366,065   46,929   2.56 
Mortgage-backed securities                        
Fixed  11,259,275   80,515   2.88   9,770,120   75,874   3.11 
Floating  4,897,842   13,629   1.12   6,832,714   50,340   2.96 
State and local housing finance agency obligations  1,115,834   4,157   1.50   1,160,744   9,077   3.14 
Mortgage loans held-for-portfolio  3,200,637   24,332   3.06   2,963,463   25,274   3.42 
Loans to other FHLBanks  -   -   NM   17,033   104   2.45 
                         
Total interest-earning assets $173,666,710  $502,305   1.16% $147,749,077  $1,022,556   2.78%
                         
Funded By:                        
Consolidated obligation bonds                        
Fixed $27,665,246  $108,074   1.57% $27,306,121  $171,933   2.53%
Floating  45,516,966   68,852   0.61   53,221,666   324,054   2.44 
Consolidated obligation discount notes  89,558,982   95,477   0.43   58,537,131   356,705   2.44 
Interest-bearing deposits and                        
other borrowings  1,455,363   158   0.04   1,051,782   6,180   2.36 
Mandatorily redeemable capital stock  4,176   56   5.39   7,361   108   5.86 
                         
Total interest-bearing liabilities  164,200,733   272,617   0.67%  140,124,061   858,980   2.46%
                         
Other non-interest-bearing funds  780,958   -       87,762   -     
Capital  8,685,019   -       7,537,254   -     
                         
Total Funding $173,666,710  $272,617      $147,749,077  $858,980     
                         
Net Interest Income/Spread     $229,688   0.49%     $163,576   0.32%
                         
Net Interest Margin                        
(Net interest income/Earning Assets)          0.53%          0.44%


  Six months ended June 30, 
  2020  2019 
     Interest        Interest    
  Average  Income/     Average  Income/    
(Dollars in thousands) Balance  Expense  Rate (a)  Balance  Expense  Rate (a) 
Earning Assets:                        
Advances $114,048,462  $790,795   1.39% $99,356,503  $1,396,832   2.84%
Interest bearing deposits and others  1,411,904   2,609   0.37   106,697   1,318   2.49 
Federal funds sold and other overnight funds  14,659,484   57,361   0.79   17,533,873   212,898   2.45 
Investments                        
Trading securities  14,268,203   125,881   1.77   6,949,993   87,802   2.55 
Mortgage-backed securities                        
Fixed  11,251,073   163,404   2.92   9,537,115   148,462   3.14 
Floating  5,079,637   41,294   1.63   7,058,227   103,978   2.97 
State and local housing finance agency obligations  1,118,686   10,622   1.91   1,164,414   18,192   3.15 
Mortgage loans held-for-portfolio  3,200,589   50,358   3.16   2,948,288   50,454   3.45 
Loans to other FHLBanks  4,121   33   1.61   12,707   154   2.45 
                         
Total interest-earning assets $165,042,159  $1,242,357   1.51% $144,667,817  $2,020,090   2.82%
                         
Funded By:                        
Consolidated obligation bonds                        
Fixed $31,410,233  $277,062   1.77% $27,997,753  $353,998   2.55%
Floating  47,173,149   256,421   1.09   52,612,979   640,584   2.46 
Consolidated obligation discount notes  76,479,028   322,810   0.85   55,487,338   672,021   2.44 
Interest-bearing deposits and                        
other borrowings  1,325,081   3,448   0.52   1,054,359   12,487   2.39 
Mandatorily redeemable capital stock  4,598   135   5.90   6,608   208   6.35 
                         
Total interest-bearing liabilities  156,392,089   859,876   1.11%  137,159,037   1,679,298   2.47%
                         
Other non-interest-bearing funds  484,915   -       100,161   -     
Capital  8,165,155   -       7,408,619   -     
                         
Total Funding $165,042,159  $859,876      $144,667,817  $1,679,298     
                         
Net Interest Income/Spread     $382,481   0.40%     $340,792   0.35%
                         
Net Interest Margin                        
(Net interest income/Earning Assets)          0.47%          0.48%

(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, OIS/FF or OIS/SOFR) 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.

106​

107

Table of Contents

​

Rate and Volume Analysis — 20202021 Periods Vs. 20192020 Periods

​

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 
  June 30, 2020 vs. June 30, 2019 
  Increase (Decrease) 
  Volume  Rate  Total 
Interest Income            
Advances $136,834  $(515,540) $(378,706)
Interest bearing deposits and others  1,232   (1,685)  (453)
Federal funds sold and other overnight funds  (23,894)  (83,117)  (107,011)
Investments            
Trading securities  27,160   (23,205)  3,955 
Mortgage-backed securities            
Fixed  10,962   (6,321)  4,641 
Floating  (11,481)  (25,230)  (36,711)
State and local housing finance agency obligations  (339)  (4,581)  (4,920)
Mortgage loans held-for-portfolio  1,930   (2,872)  (942)
Loans to other FHLBanks  (52)  (52)  (104)
             
Total interest income  142,352   (662,603)  (520,251)
             
Interest Expense            
Consolidated obligation bonds            
Fixed  2,232   (66,091)  (63,859)
Floating  (41,218)  (213,984)  (255,202)
Consolidated obligation discount notes  128,037   (389,265)  (261,228)
Deposits and borrowings  1,717   (7,739)  (6,022)
Mandatorily redeemable capital stock  (43)  (9)  (52)
             
Total interest expense  90,725   (677,088)  (586,363)
             
Changes in Net Interest Income $51,627  $14,485  $66,112 

  For the six months ended 
  June 30, 2020 vs. June 30, 2019 
  Increase (Decrease) 
  Volume  Rate  Total 
Interest Income            
Advances $182,907  $(788,944) $(606,037)
Interest bearing deposits and others  3,303   (2,012)  1,291 
Federal funds sold and other overnight funds  (30,294)  (125,243)  (155,537)
Investments            
Trading securities  70,775   (32,696)  38,079 
Mortgage-backed securities            
Fixed  25,378   (10,436)  14,942 
Floating  (24,121)  (38,563)  (62,684)
State and local housing finance agency obligations  (689)  (6,881)  (7,570)
Mortgage loans held-for-portfolio  4,138   (4,234)  (96)
Loans to other FHLBanks  (81)  (40)  (121)
             
Total interest income  231,316   (1,009,049)  (777,733)
             
Interest Expense            
Consolidated obligation bonds            
Fixed  39,399   (116,335)  (76,936)
Floating  (60,462)  (323,701)  (384,163)
Consolidated obligation discount notes  193,388   (542,599)  (349,211)
Deposits and borrowings  2,587   (11,626)  (9,039)
Mandatorily redeemable capital stock  (60)  (13)  (73)
             
Total interest expense  174,852   (994,274)  (819,422)
             
Changes in Net Interest Income $56,464  $(14,775) $41,689 

​

Table 9.5Rate and Volume Analysis

107​

​

​

​

​

​

​

​

​

​

​

​

​

For the three months ended

​

​

June 30, 2021 vs. June 30, 2020

​

​

Increase (Decrease)

​

    

Volume

    

Rate

    

Total

Interest Income

​

​

  

​

​

  

​

​

  

Advances

​

$

(81,460)

​

$

(121,203)

​

$

(202,663)

Interest bearing deposits and others

​

 

(128)

​

 

(90)

​

 

(218)

Federal funds sold and other overnight funds

​

 

(482)

​

 

270

​

 

(212)

Investments

​

 

​

​

 

​

​

 

​

Trading securities

​

 

(17,214)

​

 

(5,922)

​

 

(23,136)

Mortgage-backed securities

​

 

​

​

 

​

​

 

​

Fixed

​

 

(3,378)

​

 

(7,934)

​

 

(11,312)

Floating

​

 

(2,744)

​

 

(5,480)

​

 

(8,224)

State and local housing finance agency obligations

​

 

(117)

​

 

(2,178)

​

 

(2,295)

Mortgage loans held-for-portfolio

​

 

(4,191)

​

 

(2,521)

​

 

(6,712)

Loans to other FHLBanks

​

 

—

​

 

1

​

 

1

​

​

​

​

​

​

​

​

​

​

Total interest income

​

 

(109,714)

​

 

(145,057)

​

 

(254,771)

​

​

​

​

​

​

​

​

​

​

Interest Expense

​

 

​

​

 

​

​

 

​

Consolidated obligation bonds

​

 

​

​

 

​

​

 

​

Fixed

​

 

80,118

​

 

(101,021)

​

 

(20,903)

Floating

​

 

(35,967)

​

 

(31,187)

​

 

(67,154)

Consolidated obligation discount notes

​

 

(32,711)

​

 

(47,381)

​

 

(80,092)

Deposits and borrowings

​

 

—

​

 

(71)

​

 

(71)

Mandatorily redeemable capital stock

​

 

(20)

​

 

(8)

​

 

(28)

​

​

​

​

​

​

​

​

​

​

Total interest expense

​

 

11,420

​

 

(179,668)

​

 

(168,248)

​

​

​

​

​

​

​

​

​

​

Changes in Net Interest Income

​

$

(121,134)

​

$

34,611

​

$

(86,523)

​

108

Table of Contents

Interest Income​

​

​

​

​

​

​

​

​

​

​

​

​

For the six months ended

​

​

June 30, 2021 vs. June 30, 2020

​

​

Increase (Decrease)

​

    

Volume

    

Rate

    

Total

Interest Income

​

​

  

​

​

  

​

​

  

Advances

​

$

(147,454)

​

$

(379,946)

​

$

(527,400)

Interest bearing deposits and others

​

 

(47)

​

 

(1,965)

​

 

(2,012)

Federal funds sold and other overnight funds

​

 

(8,739)

​

 

(43,982)

​

 

(52,721)

Investments

​

 

  

​

 

​

​

 

  

Trading securities

​

 

(36,141)

​

 

(21,362)

​

 

(57,503)

Mortgage-backed securities

​

 

  

​

 

​

​

 

  

Fixed

​

 

(6,720)

​

 

(15,882)

​

 

(22,602)

Floating

​

 

(8,095)

​

 

(21,737)

​

 

(29,832)

State and local housing finance agency obligations

​

 

(262)

​

 

(6,586)

​

 

(6,848)

Mortgage loans held-for-portfolio

​

 

(7,207)

​

 

(6,391)

​

 

(13,598)

Loans to other FHLBanks

​

 

(13)

​

 

(19)

​

 

(32)

​

​

​

​

​

​

​

​

​

​

Total interest income

​

 

(214,678)

​

 

(497,870)

​

 

(712,548)

​

​

​

​

​

​

​

​

​

​

Interest Expense

​

 

  

​

 

  

​

 

  

Consolidated obligation bonds

​

 

  

​

 

  

​

 

  

Fixed

​

 

155,209

​

 

(255,803)

​

 

(100,594)

Floating

​

 

(121,193)

​

 

(128,861)

​

 

(250,054)

Consolidated obligation discount notes

​

 

(79,279)

​

 

(198,534)

​

 

(277,813)

Deposits and borrowings

​

 

465

​

 

(3,701)

​

 

(3,236)

Mandatorily redeemable capital stock

​

 

(49)

​

 

(24)

​

 

(73)

​

​

​

​

​

​

​

​

​

​

Total interest expense

​

 

(44,847)

​

 

(586,923)

​

 

(631,770)

​

​

​

​

​

​

​

​

​

​

Changes in Net Interest Income

​

$

(169,831)

​

$

89,053

​

$

(80,778)

​

Interest income from advances is our principal source of interest income. We also earn interest income from investments in mortgage-backed securities and mortgage loans (“MPF”), liquidity portfolios of U.S. Treasury securities, federal funds and repurchase agreements. Changes in both rate and intermediation volume (average interest-yielding assets) explain the change in the current year compared to the prior year.

Reported interest income includes the impact of ASC 815 qualifying hedges. In the periods in this report, the fair value impact of hedging (fair value of hedged items minus the fair value of hedging derivatives) has not been significant, a reflection of a highly-effective hedging relationships. Swap interest settlements have fluctuated in the volatile interest rate environment. Certain fixed-rate advances and certain fixed-rate MBS have been elected as the hedged items under ASC 815 fair value hedges. The hedging relationships have synthetically converted the fixed-rate cash flows to floating-rate, indexed primarily to short-term LIBOR or the overnight benchmark indices, SOFR and Fed funds. The interest settlements (swap accruals) are included in reported Interest income.

The principal categories of Interest Income are summarized below (dollars in thousands):

Table9.6:        Interest Income — Principal Sources

  Three months ended June 30,   Six months ended June 30, 
        Percentage         Percentage 
  2020  2019  Change  2020  2019   Change 
Interest Income                        
Advances $326,230  $704,936   (53.72)% $790,795  $1,396,832   (43.39)%
Interest-bearing deposits  482   935   (48.45)  2,609   1,318   97.95 
Securities purchased under agreements to resell  350   52,320   (99.33)  26,700   82,242   (67.53)
Federal funds sold  1,726   56,767   (96.96)  30,661   130,656   (76.53)
Trading securities  50,884   46,929   8.43   125,881   87,802   43.37 
Mortgage-backed securities                        
Fixed  80,515   75,874   6.12   163,404   148,462   10.06 
Floating  13,629   50,340   (72.93)  41,294   103,978   (60.29)
State and local housing finance agency obligations  4,157   9,077   (54.20)  10,622   18,192   (41.61)
Mortgage loans held-for-portfolio  24,332   25,274   (3.73)  50,358   50,454   (0.19)
Loans to other FHLBanks  -   104   (100.00)  33   154   (78.57)
                         
Total interest income $502,305  $1,022,556   (50.88)% $1,242,357  $2,020,090   (38.50)%

Interest Income — 20202021 Periods Vs. 20192020 Periods

​

During the second quarter of 2020, conditions in the financial markets remained stressed, albeit not as volatile as was the case in the March 2020. The Federal Open Market Committee (FOMC) acted twice in March to lower the target range for the federal funds rate from 1.50% to 1.75%, to a target range of 0.0% to 0.25%, noting that the COVID-19 pandemic had harmed communities and disrupted economic activity. In subsequent meetings through the second quarter of 2020, the FOMC has maintained its target rates as unchanged.

Interest income in the current year second quarter declined by 50.9% compared to the same period last year. On a year-to-date basis, interest income in the current year period declined by 38.5% compared to the same period prior year, impacted mainly by second quarter revenues. Our interest revenues are generated from an asset mix of longer termlong-term assets, such as fixed-rate advances, long-term fixed-ratefixed- and floating-rate investments, long-term 15-year and 30-year mortgage loans, and revenues generated from portfolios of overnight and short-term assets. These overnightassets and short-term assetsU.S. Treasury securities held for liquidity.

​

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Table of Contents

​

The principal categories of Interest Income are sensitive to changessummarized below (dollars in market yields, and such assets have rapidly repriced to lower market yieldsthousands):

​

Table 9.6Interest Income — Principal Sources

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended June 30, 

​

Six months ended June 30, 

 

​

​

​

​

​

​

​

​

Percentage

​

​

​

​

​

​

​

Percentage

 

​

    

2021

    

2020

    

Change

    

2021

    

2020

    

Change

 

Interest Income

​

​

  

​

​

  

​

  

​

​

  

​

​

  

​

  

​

Advances

​

$

123,567

​

$

326,230

 

(62.12)

%  

$

263,395

​

$

790,795

 

(66.69)

%

Interest-bearing deposits

​

 

264

​

 

482

 

(45.23)

​

 

597

​

 

2,609

 

(77.12)

​

Securities purchased under agreements to resell

​

 

12

​

 

350

 

(96.57)

​

 

476

​

 

26,700

 

(98.22)

​

Federal funds sold

​

 

1,852

​

 

1,726

 

7.30

​

 

4,164

​

 

30,661

 

(86.42)

​

Trading securities

​

 

27,748

​

 

50,884

 

(45.47)

​

 

68,378

​

 

125,881

 

(45.68)

​

Mortgage-backed securities

​

 

  

​

 

  

 

​

​

 

  

​

 

  

 

​

​

Fixed

​

 

69,203

​

 

80,515

 

(14.05)

​

 

140,802

​

 

163,404

 

(13.83)

​

Floating

​

 

5,405

​

 

13,629

 

(60.34)

​

 

11,462

​

 

41,294

 

(72.24)

​

State and local housing finance agency obligations

​

 

1,862

​

 

4,157

 

(55.21)

​

 

3,774

​

 

10,622

 

(64.47)

​

Mortgage loans held-for-portfolio

​

 

17,620

​

 

24,332

 

(27.59)

​

 

36,760

​

 

50,358

 

(27.00)

​

Loans to other FHLBanks

​

 

1

​

 

—

 

NM

​

 

1

​

 

33

 

(96.97)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total interest income

​

$

247,534

​

$

502,305

 

(50.72)

%  

$

529,809

​

$

1,242,357

 

(57.35)

%

​

Interest income in the 20202021 second quarter was $247.5 million, a decline of 50.7% compared to the prior year second quarter. To provide context, interest expense declined by 61.7% compared to the prior year second quarter.

​

Advance — Changes in interest income in the current year second quarter compared to same quarter in the prior year were largely impacted by declining average balances and lower yields earned on assets. Average advances balances declined $38.3 billion from the prior year period.

​

Interest income from advances declined by 53.7% in the 2020 second quarter,2021 year-to-date period was $529.8 million, a decline of 57.4% compared to the same period in the prior year. Transaction volume of advances as measuredTo provide context, interest expense declined by quarterly average balances was $125.3 billion73.5% compared to the year-to-date period in the 2020 second quarter, up from $102.8 billionprior year.

​

Yields earned on assets declined sharply in the 2020 first quarter and $101.6 billionperiods after FOMC rate actions in the 2019 second quarter. The favorable impact of higher transaction volume was offset by the significant decline in interest income due to very low market yields in the 2020 second quarter.


Declining market yields impacted earnings from overnight advances, short-term advances and variable-rate advances that reset to lower rates.March 2020. Aggregate yield earned on earning assets in 2021 year-to-date period was 10582 basis points, in the 2020 second quarter, down from 182compared to 151 basis points in the first quarter, and 278 basis points in the 2019 second quarter. Declining benchmark rates caused swap interest settlement cash flows to become negative and to reduce interest income from advances. Swap interest settlements on swaps hedging fixed-rate advances recorded a net loss of $100.6 million in the 2020 second quarter compared to a gain of $54.7 million in the 2019 second quarter. In a fair value hedge of advances, we pay to swap counterparties fixed-rate coupons and in exchange we receive declining floating-rate cash flows. The fair value impact of ASC 815 hedges was a net gain of $8.8 million in the 2020 second quarter, compared to a de minimis loss amount in the same period in the prior year.

​

On a year-to-date basis, interest income from advances declined by 43.4%. Volume, as measured by average balances, was up in the current year period. Volume related increases in interest revenues were offset by rate related decline in interest revenues. Average transaction volume of advance business was $114.0 billion at an aggregate yield of 139 basis points in the 2020 period, compared to an average transaction volume of $99.4 billion at an aggregate yield of 284 basis points in the 2019 period.

Interest Expense

Liquidity investments — Interest income from federal funds and repurchase agreements declined due to lower invested balances and sharp declines in market yields. Interest income from fixed-rate U. S. Treasury securities was higher in the 2020 periods compared to same periods in 2019 in parallel with increase in investments. The portfolio is comprised primarily of shorter-term, highly liquid fixed-rate U.S. Treasury securities that are available to enhance and meet our liquidity objectives; securities were not acquired for speculative purpose. Market value gains and losses and realized gains and losses on sale are recorded in Other income (below the margin).

Mortgage-backed-securities — Interest income from fixed-rate MBS has increased in the periods in this report due to steady acquisitions. Transaction volume as measured by average outstanding balance was $11.3 billion in the 2020 second quarter, up from $11.2 billion in the 2020 first quarter and $9.8 billion in the 2019 second quarter. The hedging impact of fixed-rate prepayable CMBS elected under ASC 815 was not material. Investment opportunities remain limited given our price/return targets. Interest income from floating-rate MBS has declined as we have ceased acquiring LIBOR-indexed floating-rate MBS, a policy decision to restrain growth of LIBOR assets.

Mortgage-loans held-for-portfolio — Interest income from mortgage loans held-for-portfolio declined a little in the current year second quarter from the 2020 first quarter and 2019 second quarter. Investment volume has remained flat, with acquisitions replacing paydowns. The small decline in interest revenues was due to lower market yields on new loans acquired to replace paydowns. On a year-to-date basis, interest revenues has remained flat in 2020 compared to 2019.

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.

Impact of hedging on Interest income from advances — 2020 periods Vs. 2019 periods

Declining interest rates unfavorably impacted hedging effects of ASC 815 hedges in the 2020 periods, primarily due to unfavorable interest settlements in the periods. The fair value hedging impact was not material. Our interest-rate hedging strategies have generally remained unchanged, although in the volatile environment we have increased the execution of interest-rate basis swaps to protect our spreads and margins.

We execute interest rate swaps to modify the effective interest rate terms of many of our fixed-rate advance products and typically all of our putable advances, effectively converting a fixed-rate stream of cash flows from fixed-rate advances to a floating-rate stream of cash flows, indexed primarily to LIBOR, or OIS Fed funds and OIS SOFR. In the periods in this report, hedging relationships, including those in economic hedges, achieved desired cash flow patterns and met our interest rate risk management practice of synthetically converting much of our fixed-rate interest exposures to the adopted benchmark.


The table below summarizes interest income earned from advances and the impact of interest rate derivatives (in thousands):

Table9.7:        Impact of Interest Rate Swaps on Interest Income Earned from Advances

  Three months ended June 30,  Six months ended June 30, 
  2020  2019  2020  2019 
Advance interest income                
Advance interest income before adjustment for interest rate swaps $418,074  $650,278  $909,929  $1,270,851 
Fair value hedging effects  8,972   (7)  (2,551)  770 
Amortization of basis  (208)  (14)  (222)  (28)
Interest rate swap accruals  (100,608)  54,679   (116,361)  125,239 
Total advance interest income reported $326,230  $704,936  $790,795  $1,396,832 

Interest Expense

​

Our primary source of funding is through 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 earninginterest-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.

​

WhileDerivative 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 OIS/SOFR, LIBOR is currently our primary benchmark rate for hedging under ASC 815, weand OIS/FF. We are transitioning away from LIBOR to the OIS/SOFR benchmark in line with an industry-wide transition effort. As part of the transition away from LIBOR, in 2019 we adopted OIS/FF and OIS/SOFR as additional benchmarks.

For ASC 815 qualifying hedges of debt, swap interest settlements and fair value gains and losses are recorded in interest incomeexpense together with the interest expense accrued on the hedged CO debt.

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​

​

The principal categories of Interest expense are summarized below (dollars in thousands):

Table9.8:        Interest Expenses — Principal Categories

  Three months ended June 30,   Six months ended June 30, 
       Percentage       Percentage 
  2020 2019 Change  2020 2019  Change 
Interest Expense              
Consolidated obligations bonds              
Fixed $108,074 $171,933  (37.14)% $277,062 $353,998  (21.73)%
Floating  68,852  324,054  (78.75)  256,421  640,584  (59.97)
Consolidated obligations discount notes  95,477  356,705  (73.23)  322,810  672,021  (51.96)
Deposits  146  5,976  (97.56)  3,374  11,941  (71.74)
Mandatorily redeemable capital stock  56  108  (48.15)  135  208  (35.10)
Cash collateral held and other borrowings  12  204  (94.12)  74  546  (86.45)
                     
Total interest expense $272,617 $858,980  (68.26)% $859,876 $1,679,298  (48.80)%

​

Table 9.7Interest Expenses — Principal Categories

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended June 30, 

​

Six months ended June 30, 

 

​

​

​

​

​

​

​

​

Percentage

​

​

​

​

​

​

​

Percentage

 

​

    

2021

    

2020

    

Change

    

2021

    

2020

    

Change

 

Interest Expense

​

​

  

​

​

  

​

  

​

​

  

​

​

  

​

  

​

Consolidated obligations bonds

 

​

  

 

​

  

 

  

 

​

  

 

​

  

 

  

​

Fixed

​

$

87,171

​

$

108,074

 

(19.34)

%  

$

176,468

​

$

277,062

 

(36.31)

%

Floating

​

 

1,698

​

 

68,852

 

(97.53)

​

 

6,367

​

 

256,421

 

(97.52)

​

Consolidated obligations discount notes

​

 

15,385

​

 

95,477

 

(83.89)

​

 

44,997

​

 

322,810

 

(86.06)

​

Deposits

​

 

69

​

 

146

 

(52.74)

​

 

175

​

 

3,374

 

(94.81)

​

Mandatorily redeemable capital stock

​

 

28

​

 

56

 

(50.00)

​

 

62

​

 

135

 

(54.07)

​

Cash collateral held and other borrowings

​

 

18

​

 

12

 

50.00

​

 

37

​

 

74

 

(50.00)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total interest expense

​

$

104,369

​

$

272,617

 

(61.72)

%  

$

228,106

​

$

859,876

 

(73.47)

%

110

​

Interest Expense — 20202021 Periods Vs. 20192020 Periods

​

Interest expense in the current year2021 second quarter declined by 68.3%was $104.4 million, a decline of 61.7% compared to the prior year periodsecond quarter. To provide context, interest income declined by 50.7% compared to the prior year second quarter.

​

The decline in interest expense was in parallel with the significant decline in marketbond yields in the financial markets almost immediately after Federal Reserve’s rate actions in mid-March 2020. Interest rates have declined further, and debt yields. On a year-to-datecosting yields remain very low.

​

Rate-related decline in funding expense was $179.7 million, in line with the dramatic decline in rates in the bond markets; volume-related increase in funding expense was $11.4 million in the 2021 second quarter compared to the second quarter in 2020.

​

We have made tactical changes to our liability mix when compared to the prior year second quarter. In the 2021 second quarter, 51.2% of average earning assets were funded by fixed-rate CO bonds and 4.0% were funded by floating-rate CO bonds. In the prior year second quarter, fixed-rate CO bonds funded 15.9% of earning assets and floating-rate CO bonds funded 26.2% of earning assets.

​

Costing yields paid on aggregate funding declined sharply in the periods after FOMC rate actions in March 2020. Aggregate yield paid on total funding in the 2021 second quarter was 36 basis interestpoints, compared to 67 basis points in the prior year second quarter.

​

Interest expense in the current year2021 year-to-date period declined by 48.8%was $228.1 million, a decline of 73.5% compared to the same period in the prior year.

Funding To provide context, interest income declined by 57.4% compared to the substantial increase in member borrowings was largely accommodated by the issuances of short tenor CO discount notes. We have also continued to effectively deploy our CO bond portfolios of fixed-rate bullet CO bonds, fixed-rate callable CO bonds and floating-rate CO bonds.

In March 2020 the Federal Open Market Committee acted twice to lower the target range for the federal funds rate from 1.50% to 1.75%, to a target range of 0.0% to 0.25%, noting that the COVID-19 outbreak had harmed communities and disrupted economic activity. In the weeks before and after the Federal Reserve's cutsyear-to-date period in the federal funds target rate, interest rates declined significantly, widening the spreads of the FHLBank CO bonds relative to U.S. Treasury securities, adversely impacting the cost of FHLBank CO bonds. In subsequent meetings through the second quarter of 2020, the FOMC has maintained its target rates as unchanged. For the FHLBNY the full impact is likely to filter throughprior year.

​

Rate-related decline in future periods as CO bonds mature and replaced by new issuance at higher spreads to U.S. Treasury securities.

In the 2020 second quarter, we made several tactical changes in funding. One key decisionfunding expense was to change the funding mix to a greater utilization of CO discount notes as we sensed a shift in investor appetite for FHLBank discount notes. In the 2020 second quarter, CO discount notes funded 51.6% of earning-assets, up from 40.5% in the first quarter and 39.6% in the 2019 second quarter (calculations are based on average balances). In the current volatile market caused by COVID-19, investor demand for FHLBank issued high-quality CO discount notes pushed yields down, resulting in favorable spreads and favorable funding. Investors appear to have excess cash and in need of high-quality liquid assets, such as CO discount notes. Costing yields on CO discount notes declined to 43 basis points in 2020 second quarter, down from 144 basis points in the 2020 first quarter and 244 basis points in the 2019 second quarter. CO discount note spreads to equivalent maturity LIBOR have fluctuated in the second quarter, although at levels and ranges that were attractive. We cannot predict if the attractive CO discount levels will remain at these levels. We have made other tactical changes to our asset/liability postures to stay nimble, including increased execution of interest-rate swaps to protect our spreads and margins through the use of basis swaps and vanilla short-term swaps. As the spreads in the various indices, SOFR, OIS and LIBOR were constantly moving in relationship to one another as did our assets and liabilities that were also indexed to those indices, we employed basis swaps to optimize the management of such changes. While current market conditions have stabilized somewhat at the tail-end of the second quarter, longer-term funding remains limited in term and size and remain prohibitively expensive. In the 2020 second quarter, costing yields on floating-rate CO bonds and short-maturity CO bonds declined$586.9 million in line with the very low market yields on short-maturity, high-quality debt.

Funding volume was higherdramatic decline in rates in the 2020 second quarter andbond markets; volume-related decline in funding expense was $44.8 million in parallel with the funding of a lower balance sheet in the 2021 year-to-date period compared to the same periodsperiod in 2020.

​

We have made tactical changes to our liability mix when compared to the year-to-date period in the prior year. In the 2021 year-to-date period, 46.1% of average earning assets were funded by fixed-rate CO bonds and 6.7% were funded by floating-rate CO bonds. In the same period in the prior year, as advance demand grewfixed-rate CO bonds funded 19.0% of earning assets and floating-rate CO bonds funded 28.6% of earning assets. The usage of CO discount notes has not changed materially.

​

Costing yields paid on aggregate funding declined sharply in the 2020 periods requiring increased funding. The impactafter FOMC rate actions in March 2020. Aggregate yield paid on interest expense from higher volumetotal funding in the 2021 year-to-date period was offset by deep decline38 basis points, compared to 111 basis points in funding ratesthe same period in line with very low market rates for CO debt.the prior year.

​

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Table of Contents

Our debt hedging​

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 OIS/FF OIS/SOFR as the alternative hedging benchmarks. Generally,Changes to interest expense in the longer-term fixed-rate CO bonds2021 second quarter due to net interest settlement on swaps and bonds with call options are hedged underhedge ineffectiveness in ASC 815 fair value hedge, i.e. cash flows are swappedqualifying hedges were materially unchanged. For more information, see Table 9.3 Net Interest Adjustments from fixed-rate to benchmark indexed variable-rate cash flows, synthetically converting fixed debt expense to a sub-LIBOR level. Cash flow hedges have also been executed to hedge rolling-issuances of discount notes to long-term fixed predictable interest expense. The aggregate hedging impact, fair value gains and losses and interest settlements, recorded a net gain of $33.6 million (reduction of debt expense) in the 2020 second quarter compared to a net loss of $3.5 million (increase in debt expense) in the same period in the prior year.Hedge Qualifying Interest settlements were the primary components of gains and losses. The hedging impact due to fair values of the hedged debt minus the fair values of derivatives were not material, an indication of the highly-effective nature of the hedge relationships. On a year-to-date basis, ASC 815 hedging recorded a net gain of $54.5 million in the 2020 period, compared to a loss of $12.2 million in the prior year period, primarily resulting from swap interest settlements.


Rate Swaps.

ASC 815 fair value hedging impact on CO debt expense due to changes in fair values of hedged CO bonds and CO discount notes minus hedging instruments was immaterial.​

Impact of Hedging on Interest Expense on Debt — 2020 Periods Vs. 2019 Periods

Declining interest rates favorably impacted hedging effects of ASC 815 hedges. Swap interest settlements and fair value effects recorded in interest expense was a gain of $33.6 million in the current year second quarter, in contrast to a loss of $3.5 million in the prior year period. On a year-to-date basis, the impact was a gain of $54.5 million in the 2020 period compared to a loss of $12.2 million in the 2019 period. Gains and losses were primarily impacted by net interest settlements and the impact of changes in fair values were not material. In the fair value hedges of debt, we paid to swap counterparties the declining floating-rate coupons and in exchange we received fixed-rate cash flows.

Derivative strategies are primarily used to manage the interest rate risk inherent in fixed-rate debt by converting the fixed-rate funding to floating-rate debt that is indexed to 3-month LIBOR, which has historically been our preferred funding base. The strategies are designed to protect future interest margins. A significant percentage of non-callable fixed-rate debt is swapped primarily to plain vanilla 3-month LIBOR indexed cash flows and to OIS/FF and OIS/SOFR benchmark indices. We also issue fixed-rate callable debt that is typically issued with the simultaneous execution of cancellable interest rate swaps to modify the effective interest rate terms and the effective durations of our fixed-rate callable debt.

We achieve our cash flow objectives by utilizing the fair value hedging strategy under ASC 815, which benefits us in two principal ways. First, the issuance of fixed-rate debt and the simultaneous execution of interest rate swap converts the debt to an adjustable-rate instrument tied to the designated benchmark rate, primarily LIBOR. Second, fixed-rate callable bond issued in conjunction with the execution of interest rate swap containing a call feature (that mirrors the option embedded in the callable bond), enables us to meet our funding needs at yields not otherwise directly attainable through the issuance of callable debt. We may also issue floating rate debt indexed to other than the 3-month LIBOR (SOFR, Federal funds rate and 1-month LIBOR) and may then execute interest rate swaps that would synthetically convert the cash flows to the desired floating-rate funding index, and designate the hedge as an economic hedge.

We also create synthetic long-term fixed-rate funding to fund long-term investments, utilizing a Cash Flow hedging strategy under ASC 815 that converts forecasted long-term discount note variable-rate funding to fixed-rate funding by the use of long-term swaps. For such discount notes, the recorded interest expense is equivalent to long-term fixed rate coupons. Cash Flow hedging strategies are also discussed in Financial Statements Note 17. Derivatives and Hedging Activities.

The table below summarizes interest expense paid on Consolidated obligation bonds and discount notes and the impact of interest rate swaps (in thousands):

Table9.9:        Impact of Interest Rate Swaps on Consolidated Obligations Interest Expense

  Three months ended June 30,  Six months ended June 30, 
  2020  2019  2020  2019 
Bonds and discount notes - interest expense                
Bonds - interest expense before adjustment for swaps $213,523  $492,564  $590,403  $982,010 
Discount notes - interest expense before adjustment for swaps  92,509   356,600   320,399   672,399 
Fair value hedging effect on CO bonds  2,382   973   (29)  3,044 
Fair value hedging effect on discount notes  26   (222)  (560)  (222)
Amortization of basis adjustments on CO bonds  (1,455)  (1,455)  (3,167)  (2,899)
Amortization of basis adjustments on discount notes  17   -   182   - 
Net interest adjustment for swaps hedging CO bonds  (37,522)  3,905   (53,723)  12,428 
Net interest adjustment for swaps hedging discount notes  2,923   327   2,788   (157)
Total bonds and discount notes - interest expense $272,403  $852,692  $856,293  $1,666,603 


Allowance for Credit Losses — 20202021 Periods Vs. 20192020 Periods

​

The FASB issued ASU 2016-13, Financial Instruments —Credit Losses (Topic 326), which and 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, purchased mortgage 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 as 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.

For a description of how expected losses are developed including interest receivable, refer to notes to financial statements:

Note 1. Critical Accounting Policies and Estimates – Credit Losses under ASU 2016-13.

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.

Notesee our most recent Form 10-K filed on March 19, Commitments and Contingencies (for off-balance sheet).

Adoption of ASU 2016-13 did not have a material impact2021. Allowance for credit losses recorded on our financial condition or cash flows. In the 2020 second quarter, we recorded a total provision of $3.0 million under the CECL guidance, primarily against our mortgage-loan portfolio. In the prior year second quarter, a de minimis recovery of $0.3 million was recorded based on pre-CECL policies. On a year-to-date basis, we recorded a net provision of $3.2 million in 2020, compared to a net reversal of $0.3 millionmortgage-loans in the same period in the prior year.Statements of Condition was $4.1 million at June 30, 2021 and $7.1 million at December 31, 2020. Allowance for credit losses recorded on investments was $0.9 million at June 30, 2021 and $1.0 million at December 31, 2020. No allowance was necessary on advances, other assets, and commitments.

​


Analysis of Non-Interest Income (Loss) — 2021 Periods Vs. 2020 Periods

​

The principal components of non-interestNon-interest income (loss) are summarized below (in thousands):

​

Table9.10:        9.8Other Income (Loss)

​

 Three months ended June 30, Six months ended June 30, 
 2020 2019 2020 2019 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended June 30, 

​

Six months ended June 30, 

​

    

2021

    

2020

    

2021

    

2020

Other income (loss):                

​

​

  

    

​

  

    

​

  

    

​

  

Service fees and other (a) $4,589  $4,660  $9,240  $9,074 

​

$

4,427

​

$

4,589

​

$

8,559

​

$

9,240

Instruments held under the fair value option gains (losses) (b)  10,564   (2,360)  (11,390)  (2,824)

​

 

3,871

​

 

10,564

​

 

3,933

​

 

(11,390)

Net amount of impairment losses reclassified to (from)                
Accumulated other comprehensive income (loss)  -   (384)  -   (384)
Derivative gains (losses) (c)  (3,921)  (39,069)  (168,091)  (51,349)

​

 

3,918

​

 

(3,921)

​

 

(391)

​

 

(168,091)

Trading securities gains (losses) (d)  (41,377)  33,924   155,875   50,994 

​

 

(26,380)

​

 

(41,377)

​

 

(61,183)

​

 

155,875

Equity investments gains (losses) (e)  7,328   1,926   (722)  6,364 

​

 

4,539

​

 

7,328

​

 

6,839

​

 

(722)

Total other income (loss) $(22,817) $(1,303) $(15,088) $11,875 

​

$

(9,625)

​

$

(22,817)

​

$

(42,243)

​

$

(15,088)

​

(a)

Service fees and other, net — Service fees are from providing correspondentcorresponding 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 were $4.8$4.6 million in the second quarter of the current year compared to $4.3$4.8 million in the same period in the prior year. On a year-to-date basis through June 30, Service fees earned on financial letters of credit were $9.7$9.0 million in the current year, compared to $8.7$9.7 million in the same period in the prior year. Letters of credit are primarily issued on behalf of members to units of state and local governments to collateralize their deposits at member banks. De minimisImmaterial amounts of associated feefees paid, and other expenses were adjusted toincluded in reported revenues.

(b)

RepresentsFVO Instruments — Net fair value gains and losses represented changes in fair values of CO bonds and CO discount notes elected under the FVO;FVO. Fluctuations in fair value gains and losses are a factorwere reflective of the CO discounting curve at period-end dates and the volumeshort-term nature of instruments outstanding. Fair values of debt instruments record losses whenelected under the forward discounting yield curve declines. Fair values areFVO that fluctuated with declining market yields. Bonds elected under the fullFVO were recently issued and fair values were close to par; discount notes elected under the FVO were close to maturity and fair value gains and losses will typically approach zero as the instruments near their maturity dates. For more information, see Fair Value Option Disclosures in Note 18. Fair Values of the debt instruments, including unpaid interest.Financial Instruments in this Form 10-Q.

(c)

See Table 9.129.10 Other Income (Loss) — Impact of Derivative Gains and Losses.

(d)

See Table 9.9 Net gainsGains (losses) on Trading securities — We have investedSecurities Recorded in short- and medium-term fixed-rate U.S. Treasury securities. Gains/(losses) are valuation gains/(losses) netStatements of realized gains on sales. The securities are not held for speculative trading, rather held for liquidity in compliance with FHFA regulatory requirements. The portfolio of securities has grown in line with our expanded liquidity objectives. Fluctuations in valuations are a factor of market demand and market yields of fixed-rate U.S. Treasury securities.Income.

(e)

Fair value gains (losses) on Equity Investmentsinvestments — 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. Marked-to-market gains in the 2021 year-to-date period was in parallel with the increase in the equity markets in 2021.

​

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​

The following table summarizes unrealized and realized gains (losses) in the trading portfolio (in thousands):

​

Table9.11:        9.9Net Gains (Losses) on Trading Securities Recorded in the Statements of Income(a)

​

 Three months ended
June 30,		 Six months ended
June 30,		 
 2020 2019 2020 2019 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended June 30, 

​

Six months ended June 30, 

​

    

2021

    

2020

    

2021

    

2020

Net unrealized gains (losses) on trading securities held at period-end $(39,614) $33,669  $140,981  $48,975 

​

$

(26,380)

​

$

(39,614)

​

$

(61,183)

​

$

140,981

Net unrealized and realized gains (losses) on trading securities sold/matured during the period  (1,763)  255   14,894   2,019 

Net realized gains (losses) on trading securities sold/matured during the period

​

 

—

​

 

(1,763)

​

 

—

​

 

14,894

Net gains (losses) on trading securities $(41,377) $33,924  $155,875  $50,994 

​

$

(26,380)

​

$

(41,377)

​

$

(61,183)

​

$

155,875

(a)Securities classified as trading are held for liquidity objectives and carried at fair values. We record changes in fair values of the securities together with realized gains (losses) in the Statements of Income as Other income. FHFA regulations prohibit trading in or the speculative use of financial instruments.

​

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 and 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. In the second quarter of the current year, recorded losses were unrealized marked-to-market losses. In the same period in prior year, losses include both unrealized and realized losses. In the year-to-date period ended June 30, 2021, recorded losses were unrealized marked-to-market losses. In the year-to-date period ended June 30, 2020, gains include both unrealized and realized gains. Valuations declined at June 30, 2021 as the remaining duration to maturity shortened, securities giving up previously recorded marked-to-market gains. The COVID-19 pandemic caused interest rates to decline precipitously in 2020, driving up market valuations of our fixed-rate U.S. Treasury securities. Notional amounts of securities were also lower in the current year period, $7.1 billion at June 30, 2021, $11.6 billion at December 31, 2020, and $12.7 billion at June 30, 2020.

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​

Other income (loss) — Derivatives and Hedging Activities — 20202021 Periods Vs. 20192020 Periods

​

For derivatives that are not designated in a hedginghedge 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):

​

Table9.12:        9.10    Other Income (Loss) — Impact of Derivative Gains and Losses (in thousands)

​

 Impact on Other Income (Loss) 
 Three months ended June 30, Six months ended June 30, 
 2020 2019 2020 2019 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Impact on Other Income (Loss)

​

​

Three months ended June 30, 

​

Six months ended June 30, 

​

    

2021

    

2020

    

2021

    

2020

Derivatives not designated as hedging instruments                

​

​

  

​

​

  

​

​

  

​

​

  

Interest rate swaps (a) $19,184  $(42,516) $(144,074) $(53,406)

​

$

22,876

​

$

19,184

​

$

50,286

​

$

(144,074)

Caps or floors  (84)  125   5   (220)

​

 

(2)

​

 

(84)

​

 

25

​

 

5

Mortgage delivery commitments  1,244   303   1,119   500 

​

 

197

​

 

1,244

​

 

(216)

​

 

1,119

Swaps economically hedging instruments designated under FVO (b)  14,862   1,940   24,090   2,687 

​

 

(237)

​

 

14,862

​

 

(2,975)

​

 

24,090

Accrued interest on derivatives in economic hedging relationships (c)  (39,154)  1,079   (49,522)  (910)

​

 

(18,919)

​

 

(39,154)

​

 

(47,529)

​

 

(49,522)

Net gains (losses) related to derivatives not designated as                
hedging instruments $(3,948) $(39,069) $(168,382) $(51,349)

Net gains (losses) related to derivatives not designated as hedging instruments

​

$

3,915

​

$

(3,948)

​

$

(409)

​

$

(168,382)

Price alignment interest paid on variation margin  27   -   291   - 

​

 

3

​

 

27

​

 

18

​

 

291

Net gains (losses) on derivatives and hedging activities $(3,921) $(39,069) $(168,091) $(51,349)

​

$

3,918

​

$

(3,921)

​

$

(391)

​

$

(168,091)

​

LossesDerivative losses and gains in the table above wereinclude both realized and unrealized fair value net gains and losses andlosses. Also includes swap interest settlements on derivatives designated as standalone hedging instruments. The derivatives, typically interest-rate swaps, were designated in economic hedges, not eligible under ASC 815 hedge accounting. Such derivatives are marked-to-market and changes in fair values are recorded in Other income (loss) as reported in the table above.

​

(a)

Primary driversRepresents fair value changes recorded in the 2020 second quarter were:Other income, primarily: (1) interest rate swaps in economic hedges of U.S. Treasury fixed-rate securities that recorded derivativefair value gains of $23.5 million in the second quarter of the current year compared to fair value gains of $34.8 million in the current yearsame period in the prior year. In the year-to-date period ended June 30, 2021 fair value gains of $56.8 million were recorded compared to derivative fair value losses of $39.4$163.8 million in the same period last year; interestin the prior year. The swaps are structured to mitigate the volatility of price changes of the liquidity portfolio of fixed-rate U.S. Treasury notes. To provide context, the portfolio of securities reported marked-to-market losses of $26.4 million in the second quarter of the current year compared to marked-to-market losses of $41.4 million in the same period in the prior year. In the year-to-date period ended June 30, 2021 the portfolio of securities reported marked-to-market losses of $61.2 million compared to marked-to-market gains of $155.9 million in the same period in the prior year. (2) Interest rate swaps in economic hedges of advances and debt, primarily basis swaps, recordedthat generated net fair value losses $15.6of $1.0 million in the 2020 period,second quarter of the current year compared to netfair value losses of $3.2$15.6 million in the same period lastof the prior year.

In the year-to-date period ended June 30, derivatives fair values in economic hedges of U.S. Treasury securities recorded In the year-to-date period ended June 30, 2021 net losses $163.8 million and $53.3 million in the 2020 and 2019 periods. Derivative fair values of swaps hedging advances and debt, primarily basis swaps, recorded a net gain of $19.7 million in the 2020 period and a de minimis loss in the 2019 period.

For context also see fair value gains of fixed-rate U.S. Treasury securities in the Bank’s liquidity trading portfolio in Table 9.11 above and Note 5. Trading Securities.

(b)Represents derivative fair value losses of $6.5 million was recorded compared to fair value gains of $19.8 million in the same period of the prior year.

(b)

Represents fair value changes recorded in Other income on interest rate swaps hedging fixed-rateCO debt elected under the FVO.

(c)

Represents impact to earnings ofOther income due to net interest settlements recorded in Other Income (Loss).on standalone swap contracts. Net interest settlements are the interest accruals;accruals on swaps in economic hedges are recordedof U.S. Treasury securities, debt and advances, and economic hedges of instruments elected under the FVO. Our interest settlement payments to swap counterparties exceeded amounts we received in Other Income (Loss).the interest rate swap contracts, although the exchanges met our interest rate risk mitigation strategies.

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​

Operating Expenses, Compensation and Benefits, and Other Expenses — 20202021 Periods Vs. 20192020 Periods

​

The following table sets forth the major categories of operating expenses (dollars in thousands):

​

Table9.13:        9.11    Operating Expenses, and Compensation and Benefits

​

 Three months ended June 30, 
 2020 Percentage
of Total		 2019 Percentage
of Total		 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended June 30, 

 

​

​

​

​

​

Percentage of

​

​

​

​

Percentage of

 

​

    

2021

    

Total

    

2020

    

Total

​

Operating Expenses (a)                

​

​

  

​

  

​

​

  

​

  

​

Occupancy $2,351   12.97% $2,102   13.60%

​

$

2,290

 

12.60

%  

$

2,351

 

12.97

%

Depreciation and leasehold amortization  2,678   14.77   2,153   13.93 

​

 

3,035

 

16.70

​

 

2,678

 

14.77

​

All others (b)  13,103   72.26   11,196   72.47 

​

 

12,846

 

70.70

​

 

13,103

 

72.26

​

Total Operating Expenses $18,132   100.00% $15,451   100.00%

​

$

18,171

 

100.00

%  

$

18,132

 

100.00

%

                

​

​

​

​

​

​

​

​

​

​

​

​

Total Compensation and Benefits (c) $22,265      $20,462     

​

$

23,153

 

  

​

$

22,265

 

  

​

Finance Agency and Office of Finance (d) $4,593      $4,199     

​

$

5,386

 

  

​

$

4,593

 

  

​

Other expenses (e) $6,039      $2,333     

​

$

5,493

 

  

​

$

6,039

 

  

​

                

​

  Six months ended June 30, 
  2020  Percentage
of Total		  2019  Percentage
of Total		 
Operating Expenses (a)                
Occupancy $4,432   14.04% $3,945   13.94%
Depreciation and leasehold amortization  5,277   16.72   4,114   14.54 
All others (b)  21,856   69.24   20,242   71.52 
Total Operating Expenses $31,565   100.00% $28,301   100.00%
                 
Total Compensation and Benefits (c) $45,642      $41,900     
Finance Agency and Office of Finance (d) $9,044      $8,141     
Other expenses (e) $8,370      $4,683     

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Six months ended June 30, 

 

​

​

​

​

​

Percentage of

​

​

​

​

Percentage of

 

​

    

2021

    

Total

    

2020

    

Total

​

Operating Expenses (a)

​

​

  

​

  

​

​

  

​

  

​

Occupancy

​

$

4,492

 

13.86

%  

$

4,432

 

14.04

%

Depreciation and leasehold amortization

​

 

6,069

 

18.72

​

 

5,277

 

16.72

​

All others (b)

​

 

21,857

 

67.42

​

 

21,856

 

69.24

​

Total Operating Expenses

​

$

32,418

 

100.00

%  

$

31,565

 

100.00

%

​

​

​

​

​

​

​

​

​

​

​

​

Total Compensation and Benefits (c)

​

$

47,480

 

  

​

$

45,642

 

  

​

Finance Agency and Office of Finance (d)

​

$

11,006

 

  

​

$

9,044

 

  

​

Other expenses (e)

​

$

8,268

 

  

​

$

8,370

 

  

​

​

(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.

(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)

Compensation expense increased driven by staff additions toin support of our long-term technology enhancement effort.

(d)

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.

(e)

The category Other expenses included COVID-19 charitable contributions and contributions$3.2 million in the year-to-date period ended June 30, 2021 that were disbursed to homeowners andassist small businesses under a newly established multi-year disaster relief grant program;impacted by COVID-19 pandemic; also included the non-service elements of Net periodic pension benefit costs, and derivative clearing fees.

​

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​

Assessments — 20202021 Periods Vs. 20192020 Periods

​

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, 2020 filed on March 20, 2020.19, 2021.

​

The following table provides rollforward information with respect to changes in Affordable Housing Program liabilities (in thousands):

​

Table10.1:    10.1Affordable Housing Program Liabilities

​

 Three months ended June 30, Six months ended June 30, 
 2020 2019 2020 2019 

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three months ended June 30, 

​

Six months ended June 30, 

​

    

2021

    

2020

    

2021

    

2020

Beginning balance $155,611  $161,129  $153,894  $161,718 

​

$

152,176

​

$

155,611

​

$

148,827

​

$

153,894

Additions from current period's assessments  15,287   12,021   26,974   27,014 

Additions from current period’s assessments

​

 

8,304

​

 

15,287

​

 

16,331

​

 

26,974

Net disbursements for grants and programs  (11,434)  (8,888)  (21,404)  (24,470)

​

 

(7,957)

​

 

(11,434)

​

 

(12,635)

​

 

(21,404)

Ending balance $159,464  $164,262  $159,464  $164,262 

​

$

152,523

​

$

159,464

​

$

152,523

​

$

159,464

​

AHP assessments allocated from net income totaled $15.3$8.3 million in the second quarter of the current year, compared to $12.0$15.3 million for the same period in the prior year. On a year-to-date basis, AHP assessments allocated from net income totaled $27.0$16.3 million for both the current period and $27.0 million for the prior year period. Assessments are calculated as a percentage of Net income, and the changes in allocations were in parallel with changes in Net income.

​


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​

Legislative and Regulatory Developments

​

LIBOR Transition

​

MarginLIBOR Transition – 2021 ISDA Interest Rate Derivatives Definitions

​

On June 11, 2021, ISDA published 2021 ISDA Interest Rate Derivatives Definitions (2021 ISDA Definitions), which will update and Capital Requirementsconsolidate the frequently supplemented 2006 ISDA Definitions as the standard definitions for Covered Swap Entities. On July 1, 2020,cleared and uncleared interest rate derivatives. The 2021 ISDA Definitions incorporate prior supplements to the Office of the Comptroller of the Currency (OCC), the Federal Reserve Board (Federal Reserve), the Federal Deposit Insurance Corporation (FDIC), the Farm Credit Administration, and the Federal Housing Finance Agency (Finance Agency) (collectively, Prudential Banking Regulators) jointly published a final rule, effective August 31, 2020, amending regulations that established minimum margin and capital requirements for uncleared swaps for covered swap entities under the jurisdiction of the Prudential Banking Regulators (Prudential Margin Rules). In2006 ISDA Definitions in addition to other changes made to conform to updates in market practice and regulation. Both the final rule: (1) allows swaps entered into by a covered swap entity prior to an applicable compliance date to retain their legacy status and not become subject to the Prudential Margin Rules in the event that the legacy swaps are amended to replace an interbank offered rate (such2006 ISDA Definitions as LIBOR) or other discontinued rate, or due to other technical amendments such as notional reductions or portfolio compression exercises; (2) introduces a new Phase 6 compliance date for initial margin requirements for covered swap entities and their counterparties with an average daily aggregate notional amount (AANA) of uncleared swaps from $8 billion to $50 billion, and limits Phase 5 to counterparties with an AANA of uncleared swaps from $50 billion to $750 billion; and (3) clarifies that initial margin trading documentation does not need to be executed prior to a counterparty reaching the initial margin threshold.

On the same date, the Prudential Banking Regulators issued an interim final rule,supplemented effective September 1, 2020, extending the initial margin compliance date for Phase 5 counterparties to September 1,January 25, 2021, and extending the initial margin compliance date2021 ISDA Definitions contain ISDA-recommended fallbacks for Phase 6 counterparties to September 1, 2022. On July 10, 2020, the Commodity Futures Trading Commission (CFTC) issued a final rule and a proposed rule which collectively, among other things, extend the initial margin compliance date for Phase 5 counterparties to September 1, 2021 and extend the initial margin compliance date for Phase 6 counterparties to September 1, 2022, thereby aligning with the Prudential Banking Regulators.

The Bank does not expect these final rules or the proposed rule, if adopted as proposed, to have a material effect on its financial condition or results of operations.

Finance Agency Final Rule on FHLBank Housing Goals Amendments.  On June 3, 2020, the Finance Agency issued a final rule, effective August 24, 2020, amending the FHLBank housing goals regulation.  Enforcementinterest rate derivatives referencing an Interbank Offered Rate, including U.S. Dollar LIBOR. ISDA has announced that implementation of the final rule2021 ISDA Definitions is expected to take place for clearing houses, trading venues and other market infrastructures between October 1-4, 2021. While the FHLBanks may continue to use the current 2006 ISDA Definitions, ISDA will phase in over three years.  The final rule replaces the four existing retrospective housing goals with a single prospective mortgage purchase housing goal target in which 20% of Acquired Member Asset (AMA) mortgages purchased in a year must be comprised of loans to low-income or very low-income families, or to families in low-income areas. The final rule also establishes a separate small member participation housing goal with a target level in which 50%not incorporate any further supplements following implementation of the members selling AMA loans in a calendar year must be small members.  The final rule provides that an FHLBank may request Finance Agency approval of alternative target levels for either or both of the goals. The final rule also establishes that housing goals apply to each FHLBank that acquires any AMA mortgages during a year, eliminating the existing $2.5 billion volume threshold that previously triggered the application of housing goals for each FHLBank. 2021 ISDA Definitions.

​

The Bank is continuing to analyzeconsidering using the impact of the final rule.2021 ISDA Definitions for future derivatives transactions.

​

Legislative and RegulatoryCOVID-19 Developments Related to COVID-19 Pandemic

​

Finance Agency Supervisory Letter -Federal Reserve Board (“FRB”) Extends Paycheck Protection Program (PPP) Loans as Collateral for FHLBank AdvancesLiquidity Facility.

​

On July 1, 2020, Congress approved anJune 25, 2021, the FRB announced a final extension of theits Paycheck Protection Program until August 8, 2020.Liquidity Facility (“PPPLF”) by an additional month to July 30, 2021. The April 23, 2020 Supervisory Letter fromPPPLF provides collateralized Paycheck Protection Program (“PPP”) loan liquidity to eligible Federal Reserve member financial institutions in order to facilitate PPP loan originations at such financial institutions. The extension would allow additional processing time for banks, community development financial institutions, and other financial institutions to pledge to the Finance Agency allowing FHLBanks to acceptfacility any PPP loans as collateral remains in effect;approved by the Bank has been accepting such loans as collateral.

Federal Reserve Lending Facilities. The Federal Reserve announced on July 28, 2020 that its lending facilities scheduled to expire on or around SeptemberSBA through the June 30, 2020 would be extended through December 31, 2020.

Coronavirus Aid, Relief, and Economic Security Act. The CARES Act provisions began to expire in July 2020, but some have been extended by regulatory action:

-Additional federal unemployment funds expired July 31, 2020.
-Statutory eviction freeze for federally-backed properties expired July 25, 2020.
-Foreclosure moratorium on federally-backed properties and evictions was extended by the Finance Agency on June 17, 2020 to until “at least” August 31, 2020.


Additional phases2021 expiration of the CARES Act or other COVID-19 pandemic relief legislation may be enacted by Congress. The Bank continues to evaluate the potential impact of the CARES Act on its business, including its continued impact to the U.S. economy; impacts to mortgages held or serviced by the Bank’s members and that the Bank accepts as collateral; and the impacts on the Bank’s MPFPPP program.

​

Additional COVID-19 Presidential, Legislative and Regulatory Developments.

​

In light of the COVID-19 pandemic, the President,former and current Presidents of the United States, through executive orders, governmental agencies, including the Securities and Exchange Commission,SEC, OCC, Federal Reserve, FDIC, National Credit Union Administration, CFTC and the Finance Agency, as well as state governments and agencies, have taken, and may continue to take, actions to provide various forms of relief from, and guidance regarding, the financial, operational, credit, market, and other effects of the pandemic, and the Congress has and may continue to enact pandemic relief legislation, some of which may have a direct or indirect impact on the Bank or its members. Many of these actions are temporary in nature. The Bank continues to monitor these actions and guidance as they evolve and to evaluate their potential impact on the Bank.


Item 3.Quantitative and Qualitative Disclosures about Market Risk.

​

Other Legislative Matters

​

Affordable Housing and Community Investment

​

Legislation has been introduced in the U.S. Senate and House of Representatives that, if enacted in its proposed form, would require that the FHLBanks set aside higher percentages of their earnings for their affordable housing and community investment programs than is currently required under law. The FHLBanks are actively monitoring these proposals.

​

​

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Table of Contents

​

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, the SOFR and OIS indices are increasingly being utilized. 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 20192020 based on an anticipated market condition for 2020 which did not take into account the COVID-19 pandemic and the resulting low interest rates.2021. Management believes that the reported metrics below (except for income simulation) in the near term are less meaningfullimited 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 June 30, 20202021 for completeness and comparative purposes,purposes. The Bank has updated income simulation modeling and currently investigating model andimplemented scenario changes to take account of the existing low rate environment and potential for negative rates.rates in 2021. The current risk limits are as follows:

​

·●The option-adjusted DOE is limited to a range of +3.0 years to -5 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 -15 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 -40-25 percent change under the -100bps-50bps shock compared to the rates in the unchanged case. This limit was revised in late 2019 for 2020 and made consistent with expected market conditions for the year.  This metric modelsgauges the Bank’s sensitivity of earnings to changes in the level of rates along the yield curve.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.

120

​

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 
June 30, 2020   -1.86   0.24   -0.08   0.49 
March 31, 2020   -3.18   -0.12   -0.91   -0.17 
December 31, 2019   -0.87   0.12   -2.11   0.37 
September 30, 2019   0.06   1.64   0.88   0.72 
June 30, 2019   -0.28   0.82   -1.09   0.44 

​

​

​

​

​

​

​

​

​

​

    

Base Case DOE

    

-200bps DOE

    

-100bps DOE

    

+200bps DOE

June 30, 2021

​

-1.69

​

1.36

​

-0.91 

​

-0.22 

March 31, 2021

 

-0.72

 

0.10

 

-0.57 

 

0.06

December 31, 2020

 

-0.47

 

1.12

 

0.31

 

0.24

September 30, 2020

 

-0.64

 

1.03

 

0.49

 

0.03

June 30, 2020

​

-1.86

​

0.24

​

-0.08 

​

0.49

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Table of Contents

​

​

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.

​

Duration indicates any cumulative re-pricing/maturity imbalance in the portfolio’s financial assets and liabilities. A positive DOE indicates that, on average, the liabilities will re-price or mature sooner than the assets, while a negative DOE indicates that, on average, the assets will re-price or mature earlier than the liabilities. DOE captures sensitivity of MVE. 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 asset 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, butand have set a 10 percent of assets 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
June 30, 2020$5.589 Billion
March 31, 2020$6.299 Billion
December 31, 2019$5.936 Billion
September 30, 2019$5.632 Billion
June 30, 2019$5.818 Billion

​

​

​

​

​

​

​

One Year 

​

​

    

Re-pricing Gap

 

June 30, 2021

​

$

5.128

Billion

March 31, 2021

​

$

5.572

Billion

December 31, 2020

​

$

5.792

Billion

September 30, 2020

​

$

5.826

Billion

June 30, 2020

​

$

5.589

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 base case and subjected to a -15 percent limit. The sensitivity of expected net interest income over a one-year period is limited to a -40-25 percent change under the -100bps-50bps shock compared to the rates in the unchanged case. This limit was technically breached at March 31, 2020 due to significant dislocation of rates and spreads as of the end of March 2020.2020 and a floored model assumption. The sensitivity analysis assumesassumed that rates/spreads as of the end of March 2020 arewere held unchanged for the remainder of the year, and, as a consequence, the model generatesgenerated significantly higher net interest income for the Bank. When spread relationships were normalized in subsequent quarters the current low rate environment and for June 30, 2020, this limit was within threshold. The existing measure is subjectBank has updated its 2021 modelling framework to significant model limitations due toaccount for the assumption of floored rate levels against an alreadyexisting low rate environment. Theenvironment and potential negative rates. Having modeled for negative rates, the Bank is further refiningno longer conducts a -100bps rate shock as it produces a hypothetical scenario with limited application. Prior to 2021, there had been a near zero floor assumption provided in the model in future periods to be more meaningful in lighttable below.

​

​

​

​

​

​

​

​

​

​

    

Sensitivity in 

    

Sensitivity in 

    

Sensitivity in 

 

​

​

the -200bps 

​

the -100bps 

​

the +200bps 

 

​

​

Shock

​

Shock

​

Shock

 

June 30, 2021

​

N/A

​

N/A

​

14.80

%  

March 31, 2021

 

N/A

 

N/A

​

7.32

%

December 31, 2020

 

N/A

 

-5.52

%  

7.65

%

September 30, 2020

 

N/A

 

-4.36

%  

3.27

%

June 30, 2020

 

N/A

​

-23.83

%  

-1.62 

%

​

119

Table of current market conditions. Contents

​

   Sensitivity in
the -200bps
Shock		  Sensitivity in
the -100bps
Shock		  Sensitivity in
the +200bps
Shock		 
June 30, 2020   N/A   -23.83%  -1.62%
March 31, 2020   N/A   -47.79%  12.14%
December 31, 2019   -32.91%  -5.55%  6.96%
September 30, 2019   -31.16%  -3.05%  2.72%
June 30, 2019   -14.30%  -7.37%  11.10%

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 June 30, 20202021 for completeness and comparative purposes, and currently investigating model and scenario changes to take account of the existing low rate environment and potential for negative rates.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

 

June 30, 2021

​

0.15

%  

-0.99 

%  

1.88

%  

March 31, 2021

​

-1.57 

%  

-0.85 

%  

0.79

%

December 31, 2020

 

0.78

%  

0.21

%  

1.00

%

September 30, 2020

 

1.95

%  

1.27

%  

1.24

%

June 30, 2020

 

2.47

%  

1.76

%  

2.05

%

   -200bps Change
in MVE		  -100bps Change
in MVE		  +200bps Change
in MVE		 
June 30, 2020   2.47%  1.76%  2.05%
March 31, 2020   2.89%  1.32%  3.60%
December 31, 2019   -1.93%  -1.60%  0.19%
September 30, 2019   -0.55%  -0.63%  -0.95%
June 30, 2019   -1.51%  -0.81%  -0.34%

​

As noted, the potential declines under these shocks are within our limits of a maximum 10 percent.

​


120

Table of Contents

​

The following tables display the portfolio’s maturity/re-pricing gaps as of June 30, 20202021 and December 31, 20192020 (in millions):

​

 Interest Rate Sensitivity 
 June 30, 2020 
    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 Rate Sensitivity

​

​

June 30, 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 $12,829  $406  $793  $388  $1,136 

​

$

16,342

​

$

233

​

$

529

​

$

341

​

$

1,107

MBS investments  5,662   733   1,911   1,564   5,985 

​

 

4,076

​

 

394

​

 

1,604

​

 

1,790

​

 

6,347

Swaps hedging MBS  602   -   -   -   (602)

​

 

1,432

​

 

—

​

 

—

​

 

(50)

​

 

(1,382)

Adjustable-rate loans and advances  29,114   -   -   -   - 

​

 

11,963

​

 

3,050

​

 

—

​

 

—

​

 

—

Net investments, adjustable rate loans and advances  48,207   1,139   2,704   1,952   6,519 

​

 

33,813

​

 

3,677

​

 

2,133

​

 

2,081

​

 

6,072

                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Liquidity trading portfolio  1,801   6,550   4,402   -   - 

​

 

3,454

​

 

1,153

​

 

2,200

​

 

—

​

 

243

Swaps hedging investments  10,909   (6,529)  (4,380)  -   - 

​

 

3,601

​

 

(1,155)

​

 

(2,200)

​

 

—

​

 

(246)

Net liquidity trading portfolio  12,710   21   22   -   - 

​

 

7,055

​

 

(2)

​

 

—

​

 

—

​

 

(3)

                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Fixed-rate loans and advances  37,896   8,580   16,695   8,205   11,511 

​

 

30,617

​

 

3,957

​

 

11,618

​

 

7,354

​

 

10,653

Swaps hedging fixed-rate advances  40,091   (6,486)  (14,859)  (7,281)  (11,465)

​

 

30,748

​

 

(3,399)

​

 

(10,081)

​

 

(6,643)

​

 

(10,625)

Net fixed-rate loans and advances  77,987   2,094   1,836   924   46 

​

 

61,365

​

 

558

​

 

1,537

​

 

711

​

 

28

                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total interest-earning assets $138,904  $3,254  $4,562  $2,876  $6,565 

​

$

102,233

​

$

4,233

​

$

3,670

​

$

2,792

​

$

6,097

                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest-bearing liabilities:                    

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

Deposits $1,530  $-  $-  $-  $- 

​

$

1,484

​

$

—

​

$

—

​

$

—

​

$

—

                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Discount notes  78,169   11,314   -   -   - 

​

 

42,143

​

 

30

​

 

—

​

 

—

​

 

—

Swapped hedging discount notes  7,417   (9,223)  198   209   1,399 

​

 

(1,693)

​

 

85

​

 

—

​

 

241

​

​

1,367

Net discount notes  85,586   2,091   198   209   1,399 

​

 

40,450

​

 

115

​

 

—

​

 

241

​

 

1,367

                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Consolidated Obligation Bonds                    

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

FHLBank bonds  29,933   10,960   9,741   2,410   5,372 

​

 

31,383

​

 

7,462

​

 

11,502

​

 

10,740

​

 

7,898

Swaps hedging bonds  16,253   (9,784)  (5,381)  (413)  (675)

​

 

26,289

​

 

(5,845)

​

 

(7,708)

​

 

(9,169)

​

 

(3,567)

Net FHLBank bonds  46,186   1,176   4,360   1,997   4,697 

​

 

57,672

​

 

1,617

​

 

3,794

​

 

1,571

​

 

4,331

                    

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total interest-bearing liabilities $133,302  $3,267  $4,558  $2,206  $6,096 

​

$

99,606

​

$

1,732

​

$

3,794

​

$

1,812

​

$

5,698

Post hedge gaps (a):                    

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

Periodic gap $5,602  $(13) $4  $670  $469 

​

$

2,627

​

$

2,501

​

$

(124)

​

$

980

​

$

399

Cumulative gaps $5,602  $5,589  $5,593  $6,263  $6,732 

​

$

2,627

​

$

5,128

​

$

5,004

​

$

5,984

​

$

6,383

​


121

  Interest Rate Sensitivity 
  December 31, 2019 
     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 $25,527  $234  $646  $472  $1,639 
MBS investments  5,781   943   2,167   1,657   6,142 
Swaps hedging MBS  532   -   -   -   (532)
Adjustable-rate loans and advances  16,368   -   -   -   - 
Net investments, adjustable rate loans and advances  48,208   1,177   2,813   2,129   7,249 
                     
Liquidity trading portfolio  2,446   3,708   9,109   2   - 
Swaps hedging investments  12,780   (3,710)  (9,070)  -   - 
Net liquidity trading portfolio  15,226   (2)  39   2   - 
                     
Fixed-rate loans and advances  49,892   4,502   14,493   5,557   9,584 
Swaps hedging fixed-rate advances  31,083   (4,008)  (12,966)  (4,566)  (9,543)
Net fixed-rate loans and advances  80,975   494   1,527   991   41 
                     
Total interest-earning assets $144,409  $1,669  $4,379  $3,122  $7,290 
                     
Interest-bearing liabilities:                    
Deposits $1,155  $5  $-  $-  $- 
                     
Discount notes  73,942   -   -   -   - 
Swapped hedging discount notes  (2,664)  525   531   90   1,518 
Net discount notes  71,278   525   531   90   1,518 
                     
Consolidated Obligation Bonds                    
FHLBank bonds  57,598   6,463   6,518   2,424   5,320 
Swaps hedging bonds  8,601   (5,483)  (2,305)  (88)  (725)
Net FHLBank bonds  66,199   980   4,213   2,336   4,595 
                     
Total interest-bearing liabilities $138,632  $1,510  $4,744  $2,426  $6,113 
Post hedge gaps (a):                    
Periodic gap $5,777  $159  $(365) $696  $1,177 
Cumulative gaps $5,777  $5,936  $5,571  $6,267  $7,444 

Table of Contents

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest Rate Sensitivity

​

​

December 31, 2020

​

​

​

​

​

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

​

$

15,119

​

$

447

​

$

733

​

$

309

​

$

905

MBS investments

​

 

4,854

​

 

608

​

 

1,749

​

 

1,670

​

 

6,068

Swaps hedging MBS

​

 

1,134

​

 

—

​

 

—

​

 

—

​

 

(1,134)

Adjustable-rate loans and advances

​

 

17,054

​

 

—

​

 

—

​

 

—

​

 

—

Net investments, adjustable rate loans and advances

​

 

38,161

​

 

1,055

​

 

2,482

​

 

1,979

​

 

5,839

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Liquidity trading portfolio

​

 

6,538

​

 

3,464

​

 

1,653

​

 

—

​

 

—

Swaps hedging investments

​

 

5,105

​

 

(3,450)

​

 

(1,655)

​

 

—

​

 

—

Net liquidity trading portfolio

​

 

11,643

​

 

14

​

 

(2)

​

 

—

​

 

—

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Fixed-rate loans and advances

​

 

36,333

​

 

4,537

​

 

13,634

​

 

8,019

​

 

11,163

Swaps hedging fixed-rate advances

​

 

34,252

​

 

(4,140)

​

 

(11,505)

​

 

(7,477)

​

 

(11,130)

Net fixed-rate loans and advances

​

 

70,585

​

 

397

​

 

2,129

​

 

542

​

 

33

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total interest-earning assets

​

$

120,389

​

$

1,466

​

$

4,609

​

$

2,521

​

$

5,872

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest-bearing liabilities:

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

Deposits

​

$

1,683

​

$

—

​

$

—

​

$

—

​

$

—

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Discount notes

​

 

57,656

​

 

—

​

 

—

​

 

—

​

 

—

Swapped hedging discount notes

​

 

(1,806)

​

 

113

​

 

85

​

 

241

​

 

1,367

Net discount notes

​

 

55,850

​

 

113

​

 

85

​

 

241

​

 

1,367

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Consolidated Obligation Bonds

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

FHLBank bonds

​

 

37,400

​

 

11,964

​

 

12,361

​

 

2,265

​

 

5,212

Swaps hedging bonds

​

 

19,719

​

 

(10,666)

​

 

(7,775)

​

 

(603)

​

 

(675)

Net FHLBank bonds

​

 

57,119

​

 

1,298

​

 

4,586

​

 

1,662

​

 

4,537

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total interest-bearing liabilities

​

$

114,652

​

$

1,411

​

$

4,671

​

$

1,903

​

$

5,904

Post hedge gaps (a):

​

 

  

​

 

  

​

 

  

​

 

  

​

 

  

Periodic gap

​

$

5,737

​

$

55

​

$

(62)

​

$

618

​

$

(32)

Cumulative gaps

​

$

5,737

​

$

5,792

​

$

5,730

​

$

6,348

​

$

6,316

​

(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.

​


122

Item 4.Controls and Procedures.

Table of Contents

​

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 June 30, 2020.2021. Based on this evaluation, they concluded that as of June 30, 2020,2021, 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. Separately, in light of the Bank’s filing of its Form 10-K/A on July 28, 2021, the Bank has enhanced its procedures with respect to executive compensation disclosures that are included in Item 11 of its Form 10-K.

​

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.

125​

123

Table of ContentsPart II.Other Information.

​

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, 2019 other than as set forth below:2020.

​

The COVID-19 crisis has adversely affected the economy and the markets, and could adversely affect the Bank’s operations, business activities, results of operations and financial condition.

The COVID-19 crisis has created economic and financial disruptions and uncertainties, which may lead to reduced demand for advances and an increased risk of credit losses for the Bank and may adversely affect its cost of funding or access to funding. These events may also lead to operational difficulties that could adversely affect the ability of the Bank and the Office of Finance to conduct and manage their businesses. Any of these factors could adversely affect the Bank’s business activities and results of operations.

In particular, the current COVID-19 pandemic has disrupted the credit markets in which the Bank operates, and the volatility in interest rates has affected the fair values of the Bank’s assets, the Bank’s net income and capital and the valuation of collateral. A prolonged COVID-19 outbreak may continue to have adverse effects on the Bank’s profitability and financial condition. Market volatility and economic stress during a prolonged COVID-19 outbreak may adversely affect the Bank’s access to the debt markets, and possibly affect the Bank’s liquidity.

The Bank’s decision in accordance with its Business Continuity Plan to have all employees work remotely may, despite the inclusion of risk mitigants in the Plan, create additional cybersecurity risks and operational challenges that could affect the Bank’s ability to conduct business or increase the risk of operational incidents and errors.

In addition, the Bank relies on vendors and other third parties to perform certain critical services, and if one of our critical vendors or third parties experiences a failure or any interruption to their business due to the COVID-19 pandemic, the Bank may be unable to conduct and manage its business effectively.

The outlook for the remainder of 2020 is uncertain, and there is a possibility that if the Federal Reserve keeps interest rates low, or if negative interest rates are realized in the market, this could significantly affect the Bank’s business and profitability.

Impact of COVID-19 Crisis on Financial Models and Accounting Estimates.

The valuation methodology for our fair value and loan loss reserve determinations are sensitive to, among other things, management's estimates and forecasts of future economic and market conditions. The Bank uses its best judgement when estimating fair values and loan losses using its models and quantitative and qualitative factors. There is currently great uncertainty in the financial markets since the COVID-19 crisis has had an unforeseeable negative impact on the global and national economies. Some models and their inputs are inherently less reliable during times of market disruptions such as we are currently experiencing. Our actual results could be materially different from the estimates and assumptions in our models.


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.

127​

124

Table of Contents

​

Item 6.Exhibits

​

Item 6.
Exhibit

No. 

    

No. 

Exhibit Description

Filed with

this Form 

10-Q

Form*

Date Filed

3.01

3.01

Restated Organization Certificate of the Federal Home Loan Bank of New York (“Bank”)

8-K

12/1/2005

3.02

Amended and Restated Bylaws of the Bank

8-K

3/21/2019

4.01

Amended and Restated Capital Plan of the Bank

8-K

8-K/A

1/8/2018

2/10/2021

31.1

10.01

​

Retention Agreement between the Bank and Philip Scott(a)

​

X

​

​

​

​

31.01

Certification of Registrant’s Chief Executive Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002

X

31.2

31.02

Certification of the Registrant’s Chief Financial Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002

X

32.1

32.01

Certification of Registrant’s Chief Executive Officer, as required by Section 906 of the Sarbanes-Oxley Act of 2002

X

32.2

32.02

Certification of Registrant’s Chief Financial Officer, as required by Section 906 of the Sarbanes-Oxley Act of 2002

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.LAB

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

101.DEF

104

Cover Page Interactive Data File (formatted as Inline XBRL Taxonomy Extension Definition Linkbase Documentand 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.

​

​


125

Table of Contents

​

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: August 10, 202011, 2021

​

​

​


126