UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

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

For the quarterly period ended ~~June~~September 30, 2021

☐

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, New York		10178
(Address of principal executive offices)		(Zip Code)

(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 ⌧☒ 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 ⌧☒ 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 ⌧☒		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 ⌧☒

The number of shares outstanding of issuer’s Class B capital stock as of ~~July~~October 31, 2021 was ~~47,712,368.~~45,108,609.

Table of Contents

FEDERAL HOME LOAN BANK OF NEW YORK

FORM 10-Q FOR THE QUARTERLY PERIOD ENDED ~~JUNE~~SEPTEMBER 30, 2021

Table of Contents

	Page

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements (Unaudited):
Statements of Condition (Unaudited) as of ~~June~~September 30, 2021 and December 31, 2020	3
Statements of Income (Unaudited) for the Three and ~~Six~~Nine Months Ended ~~June~~September 30, 2021 and 2020	4
Statements of Comprehensive Income (Unaudited) for the Three and ~~Six~~Nine Months Ended ~~June~~September 30, 2021 and 2020	5
Statements of Capital (Unaudited) for the Three and ~~Six~~Nine Months Ended ~~June~~September 30, 2021 and 2020	6
Statements of Cash Flows (Unaudited) for the ~~Six~~Nine Months Ended ~~June~~September 30, 2021 and 2020	7
Notes to Financial Statements (Unaudited)	9

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations	63

Item 3. Quantitative and Qualitative Disclosures about Market Risk	~~118~~120

Item 4. Controls and Procedures	~~123~~125

PART II. ~~Other Information~~OTHER INFORMATION	~~124~~126

Item 1. Legal Proceedings	~~124~~126

Item 1A. Risk Factors	~~124~~126

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds	~~124~~126

Item 3. Defaults Upon Senior Securities	~~124~~126

Item 4. Mine Safety Disclosures	~~124~~126

Item 5. Other Information	~~124~~126

Item 6. Exhibits	~~125~~127

Signatures	128

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~~September 30, 2021 and December 31, 2020

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


	September 30, 2021		December 31, 2020
Assets
Cash and due from banks (Note 3)	$	118,754	$	1,896,155
Interest-bearing deposits (Note 4)		675,000		685,000
Securities purchased under agreements to resell (Note 4)		—		4,650,000
Federal funds sold (Note 4)		8,628,000		6,280,000
Trading securities (Note 5) (Includes $368,864 pledged as collateral at September 30, 2021 and $630,372 at December 31, 2020)		4,377,199		11,742,965
Equity Investments (Note 6)		91,813		80,369
Available-for-sale securities, net of unrealized gains (losses) of $176,495 at September 30, 2021 and $280,626 at December 31, 2020 (Note 7)		5,458,612		3,435,945
Held-to-maturity securities, net of allowance for credit losses of $350 at September 30, 2021 and $980 at December 31, 2020 (Note 8) (Includes $2,729 pledged as collateral at September 30, 2021 and $2,680 at December 31, 2020)		9,844,952		12,873,646
Advances (Note 9) (Includes $0 at September 30, 2021 and December 31, 2020 at fair value under the fair value option)		70,547,573		92,067,104
Mortgage loans held-for-portfolio, net of allowance for credit losses of $3,044 at September 30, 2021 and $7,073 at December 31, 2020 (Note 10)		2,417,656		2,899,712
Accrued interest receivable		120,562		189,454
Premises, software, and equipment		81,758		77,628
Operating lease right-of-use assets (Note 19)		66,917		70,733
Derivative assets (Note 17)		241,365		36,669
Other assets		6,726		11,003
Total assets	$	102,676,887	$	136,996,383

Liabilities and capital

Liabilities
Deposits (Note 11)
Interest-bearing demand	$	1,421,802	$	1,677,526
Non-interest-bearing demand		44,113		70,437
Term		—		5,000
Total deposits		1,465,915		1,752,963

Consolidated obligations, net (Note 12)
Bonds (Includes $10,811,362 at September 30, 2021 and $16,580,464 at December 31, 2020 at fair value under the fair value option)		61,454,356		69,716,298
Discount notes (Includes $0 at September 30, 2021 and $7,133,755 at December 31, 2020 at fair value under the fair value option)		32,768,402		57,658,838
Total consolidated obligations		94,222,758		127,375,136

Mandatorily redeemable capital stock (Note 14)		2,170		2,991

Accrued interest payable		125,260		117,982
Affordable Housing Program (Note 13)		144,803		148,827
Derivative liabilities (Note 17)		40,831		70,760
Other liabilities		183,391		186,550
Operating lease liabilities (Note 19)		80,405		84,475
Total liabilities		96,265,533		129,739,684

Commitments and Contingencies (Notes 14, 17 and 19)

Capital (Note 14)
Capital stock ($100 par value), putable, issued and outstanding shares: 44,471 at September 30, 2021 and 53,669 at December 31, 2020		4,447,124		5,366,830
Retained earnings
Unrestricted		1,113,113		1,135,341
Restricted (Note 14)		816,820		774,275
Total retained earnings		1,929,933		1,909,616
Total accumulated other comprehensive income (loss)		34,297		(19,747)
Total capital		6,411,354		7,256,699
Total liabilities and capital	$	102,676,887	$	136,996,383

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

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~~Nine Months Ended ~~June~~September 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


	Three months ended				Nine months ended
	September 30,				September 30,
	2021		2020		2021		2020
Interest income
Advances, net (Note 9)	$	116,229	$	193,003	$	379,624	$	983,798
Interest-bearing deposits (Note 4)		311		581		908		3,190
Securities purchased under agreements to resell (Note 4)		9		957		485		27,657
Federal funds sold (Note 4)		2,825		2,082		6,989		32,743
Trading securities (Note 5)		16,871		48,708		85,249		174,589
Available-for-sale securities (Note 7)		18,346		14,742		50,511		46,459
Held-to-maturity securities (Note 8)		55,606		73,303		179,479		256,906
Mortgage loans held-for-portfolio (Note 10)		17,206		21,336		53,966		71,694
Loans to other FHLBanks (Note 20)		—		—		1		33

Total interest income		227,403		354,712		757,212		1,597,069

Interest expense
Consolidated obligation bonds (Note 12)		84,488		110,066		267,323		643,549
Consolidated obligation discount notes (Note 12)		14,593		63,582		59,590		386,392
Deposits (Note 11)		116		208		291		3,582
Mandatorily redeemable capital stock (Note 14)		25		65		87		200
Cash collateral held and other borrowings		4		28		41		102

Total interest expense		99,226		173,949		327,332		1,033,825

Net interest income before provision for credit losses		128,177		180,763		429,880		563,244

Provision (Reversal) for credit losses		(1,652)		2,536		(4,609)		5,702

Net interest income after provision for credit losses		129,829		178,227		434,489		557,542

Other income (loss)
Service fees and other		4,334		4,133		12,893		13,373
Instruments held under the fair value option gains (losses) (Note 18)		315		7,107		4,248		(4,283)
Derivative gains (losses) (Note 17)		3,263		10,849		2,872		(157,242)
Trading securities gains (losses) (Note 5)		(16,115)		(39,693)		(77,298)		116,182
Equity investments gains (losses) (Note 6)		(482)		3,096		6,357		2,374
Litigation settlement		33		225		33		225

Total other income (loss)		(8,652)		(14,283)		(50,895)		(29,371)

Other expenses
Operating		16,943		17,037		49,361		48,602
Compensation and benefits		23,275		22,957		70,755		68,599
Finance Agency and Office of Finance		5,514		4,850		16,520		13,894
Other expenses		2,323		6,654		10,591		15,024

Total other expenses		48,055		51,498		147,227		146,119

Income before assessments		73,122		112,446		236,367		382,052

Affordable Housing Program Assessments (Note 13)		7,314		11,251		23,645		38,225

Net income	$	65,808	$	101,195	$	212,722	$	343,827

Basic earnings per share (Note 15)	$	1.41	$	1.64	$	4.21	$	5.46

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

Table of Contents

Federal Home Loan Bank of New York

Statements of Comprehensive Income — Unaudited (In Thousands)

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


	Three months ended June 30,				Six months ended June 30,				Three months ended September 30,				Nine months ended September 30,
	2021		2020		2021		2020		2021		2020		2021		2020
Net Income	$	74,705	$	137,525	$	146,914	$	242,632	$	65,808	$	101,195	$	212,722	$	343,827
Other Comprehensive income (loss)
Net change in unrealized gains (losses) on available-for-sale securities		64,454		52,711		(65,311)		181,112		(38,820)		6,216		(104,131)		187,328
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		355		478		2,874		1,535
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		355		478		2,874		1,535
Net change due to hedging activities
Cash flow hedges ^(a)		(16,792)		(5,780)		66,069		(158,612)		16,309		18,070		82,378		(140,542)
Fair value hedges ^(b)		(34,583)		(3,853)		42,810		(58,838)		22,022		7,520		64,832		(51,318)
Total net change due to hedging activities		(51,375)		(9,633)		108,879		(217,450)		38,331		25,590		147,210		(191,860)
Net change in pension and postretirement benefits		1,651		1,277		3,303		2,553		4,788		1,277		8,091		3,830
Total other comprehensive income (loss)		16,792		44,861		49,390		(32,728)		4,654		33,561		54,044		833
Total comprehensive income (loss)	$	91,497	$	182,386	$	196,304	$	209,904	$	70,462	$	134,756	$	266,766	$	344,660

(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. Amounts represent change in the benchmark 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.

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

Table of Contents

Federal Home Loan Bank of New York

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

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


										Accumulated
	Capital Stock ^(a)									Other
	Class B			Retained Earnings						Comprehensive		Total
	Shares	Par Value		Unrestricted		Restricted		Total		Income (Loss)		Capital
Balance, June 30, 2020	63,342	$	6,334,135	$	1,150,181	$	734,325	$	1,884,506	$	(80,533)	$	8,138,108

Proceeds from issuance of capital stock	6,721		672,165		—		—		—		—		672,165
Repurchase/redemption of capital stock	(10,079)		(1,007,894)		—		—		—		—		(1,007,894)
Shares reclassified to mandatorily redeemable capital stock	(27)		(2,743)		—		—		—		—		(2,743)
Cash dividends ($1.39 per share) on capital stock	—		—		(95,433)		—		(95,433)		—		(95,433)
Comprehensive income (loss)	—		—		80,956		20,239		101,195		33,561		134,756

Balance, September 30, 2020	59,957	$	5,995,663	$	1,135,704	$	754,564	$	1,890,268	$	(46,972)	$	7,838,959

Balance, June 30, 2021	48,673	$	4,867,291	$	1,119,935	$	803,658	$	1,923,593	$	29,643	$	6,820,527

Proceeds from issuance of capital stock	5,327		532,698		—		—		—		—		532,698
Repurchase/redemption of capital stock	(9,529)		(952,865)		—		—		—		—		(952,865)
Cash dividends ($1.14 per share) on capital stock	—		—		(59,468)		—		(59,468)		—		(59,468)
Comprehensive income (loss)	—		—		52,646		13,162		65,808		4,654		70,462

Balance, September 30, 2021	44,471	$	4,447,124	$	1,113,113	$	816,820	$	1,929,933	$	34,297	$	6,411,354

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													Accumulated
	Capital Stock ^(a)									Other				Capital Stock ^(a)									Other
	Class B			Retained Earnings						Comprehensive		Total		Class B			Retained Earnings						Comprehensive		Total
	Shares	Par Value		Unrestricted		Restricted		Total		Income (Loss)		Capital		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	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	—		—		14,431		—		14,431		—		14,431
Proceeds from issuance of capital stock	43,309		4,330,884		—		—		—		—		4,330,884	50,030		5,003,049		—		—		—		—		5,003,049
Repurchase/redemption of capital stock	(37,754)		(3,775,415)		—		—		—		—		(3,775,415)	(47,833)		(4,783,309)		—		—		—		—		(4,783,309)
Cash dividends ($3.07 per share) on capital stock	—		—		(173,591)		—		(173,591)		—		(173,591)
Shares reclassified to mandatorily redeemable capital stock														(27)		(2,743)		—		—		—		—		(2,743)
Cash dividends ($4.46 per share) on capital stock														—		—		(269,024)		—		(269,024)		—		(269,024)
Comprehensive income (loss)	—		—		194,105		48,527		242,632		(32,728)		209,904	—		—		275,061		68,766		343,827		833		344,660

Balance, June 30, 2020	63,342	$	6,334,135	$	1,150,181	$	734,325	$	1,884,506	$	(80,533)	$	8,138,108
Balance, September 30, 2020														59,957	$	5,995,663	$	1,135,704	$	754,564	$	1,890,268	$	(46,972)	$	7,838,959

Balance, December 31, 2020	53,669	$	5,366,830	$	1,135,341	$	774,275	$	1,909,616	$	(19,747)	$	7,256,699	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	19,430		1,943,031		—		—		—		—		1,943,031
Repurchase/redemption of capital stock	(19,098)		(1,909,787)		—		—		—		—		(1,909,787)	(28,627)		(2,862,652)		—		—		—		—		(2,862,652)
Shares reclassified to mandatorily redeemable capital stock	(1)		(85)		—		—		—		—		(85)	(1)		(85)		—		—		—		—		(85)
Cash dividends ($2.43 per share) on capital stock	—		—		(132,937)		—		(132,937)		—		(132,937)
Cash dividends ($3.57 per share) on capital stock														—		—		(192,405)		—		(192,405)		—		(192,405)
Comprehensive income (loss)	—		—		117,531		29,383		146,914		49,390		196,304	—		—		170,177		42,545		212,722		54,044		266,766
Balance, June 30, 2021	48,673	$	4,867,291	$	1,119,935	$	803,658	$	1,923,593	$	29,643	$	6,820,527
Balance, September 30, 2021														44,471	$	4,447,124	$	1,113,113	$	816,820	$	1,929,933	$	34,297	$	6,411,354

(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.

Table of Contents

Federal Home Loan Bank of New York

Statements of Cash Flows — Unaudited (In Thousands)

For the ~~Six~~Nine Months Ended ~~June~~September 30, 2021 and 2020


	Six months ended June 30,				Nine months ended September 30,
	2021		2020		2021		2020
Operating activities

Net Income	$	146,914	$	242,632	$	212,722	$	343,827

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)		2,764		(243,626)
Concessions on consolidated obligations		1,601		2,192		2,457		3,500
Premises, software, and equipment		6,069		5,277		9,285		7,946
Provision (Reversal) for credit losses		(2,957)		3,166		(4,609)		5,702
Change in net fair value adjustments on derivatives and hedging activities ^(b)		281,500		(649,667)		391,552		(603,475)
Net realized and unrealized (gains) losses on trading securities		61,183		(155,875)		77,298		(116,182)
Change in fair value on Equity Investments		(5,366)		1,172		(3,821)		(1,716)
Change in fair value adjustments on financial instruments held at fair value		(3,933)		11,390		(4,248)		4,283
Net change in:
Accrued interest receivable		44,275		86,933		68,909		116,976
Derivative assets due to accrued interest		10,372		184,331		30,507		240,239
Derivative liabilities due to accrued interest		(59,990)		(113,722)		(92,877)		(125,660)
Other assets		(118)		(1,729)		4,573		1,773
Affordable Housing Program liability		3,696		5,570		(4,024)		4,458
Accrued interest payable		15,227		(25,457)		7,278		(39,609)
Other liabilities		8,375		(7,335)		43		2,557
Total adjustments		360,265		(911,879)		485,087		(742,834)
Net cash provided by (used in) operating activities	$	507,179	$	(669,247)	$	697,809	$	(399,007)
Investing activities
Net change in:
Interest-bearing deposits	$	177,260	$	(1,519,009)	$	77,474	$	(1,237,918)
Securities purchased under agreements to resell		(4,050,000)		10,035,000		4,650,000		11,585,000
Federal funds sold		774,000		3,285,000		(2,348,000)		966,000
Deposits with other FHLBanks		(50)		(150)		11		(72)
Premises, software, and equipment		(7,562)		(10,830)		(13,415)		(16,245)
Trading securities:
Purchased		(1,940,624)		(3,108,539)		(2,412,758)		(3,333,433)
Repayments		6,530,020		1,350,723		9,682,153		1,850,738
Proceeds from sales		—		4,292,913		—		4,292,913
Equity Investments:
Purchased		(7,398)		(6,048)		(10,090)		(10,024)
Proceeds from sales		1,731		1,071		2,466		1,825
Available-for-sale securities:
Purchased		(330,616)		(74,156)		(889,263)		(489,130)
Repayments		68,117		31,534		131,431		49,363
Held-to-maturity securities:
Long-term securities
Purchased		(173,733)		(246,116)		(194,332)		(286,053)
Repayments		1,166,529		1,124,103		1,839,345		1,693,437
Advances:
Principal collected		214,920,661		345,370,203		293,707,453		450,650,767
Made		(203,391,144)		(356,975,684)		(272,889,999)		(454,872,494)
Mortgage loans held-for-portfolio:
Principal collected		465,935		286,776		627,228		515,139
Purchased		(96,966)		(288,479)		(152,000)		(411,852)
Proceeds from sales of REO		102		—		102		442
Net cash provided by (used in) investing activities	$	14,106,262	$	3,548,312	$	31,807,806	$	10,948,403

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

Table of Contents

Federal Home Loan Bank of New York

Statements of Cash Flows — Unaudited (In Thousands)

For the ~~Six~~Nine Months Ended ~~June~~September 30, 2021 and 2020


	Six months ended June 30,				Nine months ended September 30,
	2021		2020		2021		2020
Financing activities
Net change in:
Deposits and other borrowings	$	(223,654)	$	481,265	$	(388,243)	$	690,210
Partial recovery of prior capital distribution to Financing Corporation		—		18,204		—		18,204
Derivative contracts with financing element		(1,788)		(4,065)		(2,320)		(5,049)
Consolidated obligation bonds:
Proceeds from issuance		33,828,355		37,393,814		44,016,429		59,823,060
Payments for maturing and early retirement		(34,169,646)		(57,286,952)		(52,134,214)		(66,949,288)
Payments on bonds (transferred to) or assumed from other FHLBanks ^(c)		173,984		—		173,984		—
Consolidated obligation discount notes:
Proceeds from issuance		296,370,345		501,373,428		467,348,752		734,342,359
Payments for maturing		(311,801,520)		(485,794,282)		(492,184,472)		(738,530,592)
Capital stock:
Proceeds from issuance of capital stock		1,410,333		4,330,884		1,943,031		5,003,049
Payments for repurchase/redemption of capital stock		(1,909,787)		(3,775,415)		(2,862,652)		(4,783,309)
Redemption of mandatorily redeemable capital stock		(716)		(1,288)		(906)		(4,538)
Cash dividends paid ^(d)		(132,937)		(173,591)		(192,405)		(269,024)
Net cash provided by (used in) financing activities	$	(16,457,031)	$	(3,437,998)	$	(34,283,016)	$	(10,664,918)
Net increase (decrease) in cash and due from banks		(1,843,590)		(558,933)		(1,777,401)		(115,522)
Cash and due from banks at beginning of the period ^(e)		1,896,155		603,241		1,896,155		603,241
Cash and due from banks at end of the period ^(e)	$	52,565	$	44,308	$	118,754	$	487,719

Supplemental disclosures:
Interest paid	$	301,317	$	698,687	$	463,257	$	858,482
Interest paid for Discount Notes ^(f)	$	59,793	$	390,456	$	62,406	$	445,801
Affordable Housing Program payments ^(g)	$	12,635	$	21,404	$	27,669	$	33,767
Transfers of mortgage loans to real estate owned	$	—	$	135	$	315	$	135
Capital stock subject to mandatory redemption reclassified from equity	$	85	$	—	$	85	$	2,743
Transfers of HTM securities to AFS that are not other-than-temporarily impaired ^(h)	$	1,376,212	$	—	$	1,376,212	$	—
AFS HFA bonds were tendered and re-issued from Libor to SOFR index ⁽ⁱ⁾	$	686,340	$	—	$	686,340	$	—

Notes to Supplemental Disclosure:

(a)

In the Statements of Cash Flows, we adjust discount note accretion expense within operating cash flows and an offset to financing activities in the period discount notes mature. The net adjustment to accretion expense was larger in the ~~six~~nine months ended ~~June~~September 30, 2020, compared to the same period of 2021 in parallel with greater usage of discount notes in the ~~six~~nine months ended ~~June~~September 30, 2020. As a result, the impact on operating cash flows was also larger in the ~~six~~nine months ended ~~June~~September 30, 2020.

(b)

Net cash provided by (used in) operating activities were also impacted by derivatives and hedging activities. In the ~~six~~nine months ended ~~June~~September 30, 2021, derivatives and hedging activities provided $~~281.5~~391.6 million in cash flows; in the ~~six~~nine months ended ~~June~~September 30, 2020, derivatives and hedging activities used $~~649.7~~603.5 million in cash flows. The changes were consistent with the significant decline in benchmark interest rates in the current year period; additionally, lower amounts of margins were posted to derivative counterparties in the current year period.

(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.

(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.

(f)	Interest paid for Discount Notes, is the portion of the cash payments at settlement of zero-coupon Consolidated obligation discount notes.

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

(h)

As a one-time election in accordance with ASC 848 Reference Rate Reform, we reclassified $1.4 billion of 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 of $7.6 million.

(i)	During the second quarter of 2021, amortized cost of $686.3 million (market value of $686.7 million) in available-for-sale debt securities were tendered and re-issued from the Libor to ~~SOFR~~SOFR-OIS index.

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

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Background

The Federal Home Loan Bank of New York (FHLBNY or the Bank) is a federally chartered corporation, and is 1 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. 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.

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Fair Value Measurements

The accounting standards on fair value measurements discuss how entities should measure fair value based on whether the inputs to those valuation techniques are observable or unobservable. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction in the principal or most advantageous market for the asset or liability between market participants at the measurement date. This definition is based on an exit price rather than transaction or entry price.

The FHLBNY complied with the accounting guidance on fair value measurements and has established a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are inputs that market participants would use in pricing the asset or liability, and would be based on market data obtained from independent sources. Unobservable inputs are inputs that reflect our assumptions about the parameters market participants would use in pricing the asset or liability, and would be based on the best information available in the circumstances. Our pricing models are subject to periodic validations, and we periodically review and refine, as appropriate, our assumptions and valuation methodologies to reflect market indications as closely as possible. We have the appropriate personnel, technology, and policies and procedures in place to value financial instruments in a reasonable and consistent manner and in accordance with established accounting policies.

For more information about methodologies used by the FHLBNY to validate vendor pricing, and fair value “Levels” associated with assets and liabilities recorded on the FHLBNY’s Statements of Condition, see financial statements, Note 18. Fair Values of Financial Instruments in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2020 filed on March 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~~SOFR-OIS and have successfully made the transition to ~~SOFR~~SOFR-OIS for a significant number of bilaterally executed derivatives. We will continue to review opportunities to execute the transition, the timing would be determined by the economic feasibility of transitioning to SOFR. In October 2020, we elected to adopt SOFR as the appropriate index to discount interest rate swaps cleared by the two major central swap clearing organizations as a start to an orderly transition to SOFR.

Generally, we enter into derivatives primarily to manage our exposure to changes in interest rates. Through the use of derivatives, we may adjust the effective maturity, repricing frequency, or option characteristics of financial instruments to achieve our risk management objectives. The accounting guidance related to derivatives and hedging activities is complex and contains prescriptive documentation requirements. At the inception of each hedge transaction, we formally document the hedge relationship, its risk management objective, and strategy for undertaking the hedge.

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 (i) assess whether the hedging relationship qualifies for hedge accounting, (ii) assess whether an embedded derivative should be bifurcated, (iii) calculate the effectiveness of the hedging relationship, (iv) evaluate exposure associated with counterparty credit risk, and (v) estimate the fair value of the derivatives. Our assumptions and judgments include subjective estimates based on information available as of the date of the financial statements and could be materially different based on different assumptions, calculations, and estimates.

To qualify as an accounting hedge under the hedge accounting rules (versus an economic hedge where hedge accounting is not sought), a derivative must be highly effective in offsetting the risk designated as being hedged. The hedge relationship must be formally documented at inception, detailing the particular risk management objective and strategy for the hedge, which includes the item and risk that is being hedged and the derivative that is being used, as well as how effectiveness will be assessed and measured. The effectiveness of these hedging relationships is evaluated on a retrospective and prospective basis, typically using quantitative measures of correlation. For hedges that are highly effective, changes in the fair values of the hedging instrument and the offsetting changes in the fair values of the hedged item are recorded in current earnings. If a hedge relationship is found to be not highly effective, it will no longer qualify as an accounting hedge and hedge accounting would be prospectively withdrawn. When hedge accounting is discontinued, the offsetting changes of fair values of the hedged item are also discontinued.

For more information about the FHLBNY’s hedging activities, see financial statements, Note 17. Derivatives and Hedging Activities in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2020 filed on March 19, 2021.

Credit Losses under ASU 2016-13

The FASB issued ASU 2016-13, Financial Instruments — Credit Losses (Topic 326), which became effective for the Bank as of January 1, 2020. The adoption of this guidance established a single allowance framework for all financial assets carried at amortized cost, including advances, loans, held-to-maturity securities, other receivables and certain off-balance sheet credit exposures. We have elected to evaluate expected credit losses on interest receivable separately. For available-for-sale securities where fair value is less than cost, credit-related impairment, if any, will be recognized in an allowance for credit losses and adjusted each period for changes in expected credit risk. This framework requires that management’s estimate reflects credit losses over the full remaining expected life and considers expected future changes in macroeconomic conditions.

Summarized information of expected losses are provided in notes to financial statements:

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

Note 7.Available-for-Sale Securities.

Note 8.Held-to-Maturity Securities.

Note 9.Advances.

Note 10.Mortgage Loans Held-for-Portfolio.

Note 19.Commitments and Contingencies (for off-balance sheet).

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 2. Financial Accounting Standards Board (“FASB”) Standards Issued.

Recently Adopted Accounting Standards

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 0 restrictions on the withdrawal of funds in this arrangement. There were 0 compensating balances at ~~June~~September 30, 2021 and December 31, 2020. There were 0 restricted cash balances at ~~June~~September 30, 2021 and December 31, 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 ~~$30.5~~$30.4 million at ~~June~~September 30, 2021 and $32.4 million at December 31, 2020. The liabilities offsetting the pass-through reserves were due to member institutions and were recorded in Other liabilities in the Statements of Condition.

~~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.

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.

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Interest-bearing deposits — Investments are typically short-term deposits placed with highly-rated large financial institutions and are recorded at amortized cost. Deposits placed were uncollateralized. Deposits placed were $0.7 billion at ~~June~~September 30, 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, 0 allowance for credit losses was recorded at ~~June~~September 30, 2021 and December 31, 2020. Accrued interest receivable was de minimis, and 0 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. Federal funds sold were ~~$5.5~~$8.6 billion at ~~June~~September 30, 2021 and $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. Based on analysis, 0 allowance for credit losses was recorded for Federal funds sold at ~~June~~September 30, 2021 and December 31, 2020. Accrued interest receivable was de minimis, and 0 allowance for credit losses was recorded as interest due was collected.

Securities purchased under agreements to resell — ~~The~~There were 0 outstanding ~~balances of~~Securities purchased under agreements to resell at September 30, 2021. At December 31, 2020, Securities purchased under agreements to resell were recorded at amortized cost basis of ~~$8.7 billion at June 30, 2021 and~~ $4.7 ~~billion at December 31, 2020.~~billion. 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 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. NaN adjustments for instrument-specific credit risk were deemed necessary as market values of collateral were in excess of principal amounts loaned. There were 0 outstanding accrued interest receivables for Securities purchased under agreement to resell at September 30, 2021. Accrued interest ~~receivable~~receivables for Securities purchased under agreements to resell was ~~$12.1 thousand at June 30, 2021 and~~ $10.0 thousand at December 31, 2020. NaN allowance for credit losses was recorded for accrued interest ~~receivable~~receivables of Securities purchased under agreements to resell as interest due was collected.

U.S. Treasury securities at market values of ~~$8.7 billion at June 30, 2021 and~~ $4.7 billion at December 31, 2020 were received at BONY to collateralize the overnight investments. Securities purchased under agreements to resell averaged ~~$95.6~~$61.4 million and ~~$1.2 billion~~$824.5 million for the three and ~~six~~nine months ended ~~June~~September 30, 2021, respectively. For the twelve months ended December 31, 2020, transaction balances averaged $4.4 billion. Interest income from securities purchased under agreements to resell was ~~$12.0~~$9 thousand and $0.5 million for the three and ~~six~~nine months ended ~~June~~September 30, 2021 compared to ~~$0.4~~$1.0 million and ~~$26.7~~$27.7 million for the same periods in the prior year. NaN overnight investments had been executed bilaterally with counterparties at ~~June~~September 30, 2021 and December 31, 2020. Transactions recorded as Securities purchased under agreements to resell ~~(reverse repos)~~ were accounted as collateralized financing transactions.

~~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. Repurchase agreements are short-term and generally overnight, and counterparties are highly rated. Based on analysis performed, 0 allowance for credit losses was recorded for these assets at ~~June~~September 30, 2021 and December 31, 2020.

Table of Contents

Federal Home Loan Bank of New York

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~~September 30, 2021 and December 31, 2020 (in thousands):


Fair value	June 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Corporate notes	$	2,132	$	2,164	$	—	$	2,164
U.S. Treasury notes		7,073,274		11,240,915		4,377,199		11,240,915
U.S. Treasury bills		—		499,886		—		499,886
Total trading securities	$	7,075,406	$	11,742,965	$	4,377,199	$	11,742,965

The carrying values of trading securities included net unrealized fair value gains of ~~$26.4~~$10.3 million at ~~June~~September 30, 2021 and $87.6 million at December 31, 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 ~~$624.7~~$368.9 million at ~~June~~September 30, 2021 and $630.4 million at December 31, 2020 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, 2021											September 30, 2021
	Due in one year or			Due after one year			Due after five years					Due in one year or			Due after one year			Due after five years
	less			through five years			through ten years			Total Fair Value		less			through five years			through ten years			Total Fair Value
Corporate notes	$	—		$	2,132		$	—		$	2,132	$	—		$	—		$	—		$	—
U.S. Treasury notes		4,632,270		��	2,197,703			243,301			7,073,274		1,965,716			1,698,555			712,928			4,377,199
U.S. Treasury bills		—			—			—			—		—			—			—			—
Total trading securities	$	4,632,270		$	2,199,835		$	243,301		$	7,075,406	$	1,965,716		$	1,698,555		$	712,928		$	4,377,199
Yield on trading securities		1.42	%		1.49	%		1.49	%				1.34	%		1.40	%		1.40	%


	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	$	—		$	2,164		$	—		$	2,164
U.S. Treasury notes		9,563,920			1,676,995			—			11,240,915
U.S. Treasury bills		499,886			—			—			499,886
Total trading securities	$	10,063,806		$	1,679,159		$	—		$	11,742,965
Yield on trading securities		1.66	%		1.79	%		—	%

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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, 2021								September 30, 2021
			Gross		Gross						Gross		Gross
	Amortized		Unrealized		Unrealized		Fair		Amortized		Unrealized		Unrealized		Fair
	Cost		Gains ^(b)		Losses ^(b)		Value ^(c)		Cost		Gains ^(b)		Losses ^(b)		Value ^(c)

Cash equivalents	$	2,907	$	—	$	—	$	2,907	$	4,816	$	—	$	—	$	4,816
Equity funds		39,435		21,134		(1,791)		58,778		36,738		20,148		(2,220)		54,666
Fixed income funds		29,241		727		(252)		29,716		31,987		638		(294)		32,331
Total Equity Investments ^(a)	$	71,583	$	21,861	$	(2,043)	$	91,401	$	73,541	$	20,786	$	(2,514)	$	91,813


	December 31, 2020
			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
	Cost		Gains ^(b)		Losses ^(b)		Value ^(c)

Cash equivalents	$	4,164	$	—	$	—	$	4,164
Equity funds		36,833		15,325		(1,909)		50,249
Fixed income funds		24,920		1,146		(110)		25,956
Total Equity Investments ^(a)	$	65,917	$	16,471	$	(2,019)	$	80,369

(a)	The intent of the grantor trust is to set aside cash to meet current and future payments for supplemental unfunded pension plans. Neither the pension plans nor employees of the FHLBNY own the trust.

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

(c)	The grantor trust invests in money market, equity and fixed income and bond funds. Daily net asset values (NAVs) are readily available and investments are redeemable at short notice. NAVs are the fair values of the funds in the grantor trust. The grantor trust is owned by the FHLBNY.

In the Statements of Income, gains and losses related to outstanding Equity Investments were as follows (in thousands):


	Three Months Ended June 30,				Six Months Ended June 30,				Three Months Ended September 30,				Nine Months Ended September 30,
	2021		2020		2021		2020		2021		2020		2021		2020
Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date	$	3,327	$	7,111	$	5,366	$	(1,172)	$	(1,545)	$	2,888	$	3,821	$	1,716
Net gains (losses) recognized during the period on equity investments sold during the period		721		—		721		—		713		—		1,434		—
Net dividend and other		491		217		752		450		350		208		1,102		658
Net gains (losses) recognized during the period	$	4,539	$	7,328	$	6,839	$	(722)	$	(482)	$	3,096	$	6,357	$	2,374

~~Note 7. Available-for-Sale Securities.~~

~~NaN AFS security was impaired in any periods in this report, and a credit loss allowance of $0.6 million and $0 was taken at June 30, 2021 and December 31, 2020, respectively.~~

As a one-time election in accordance with ASC 848 Reference Rate Reform, we reclassified $1.4 billion of 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.

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

~~During the second quarter of~~Note 7. Available-for-Sale Securities.

NaN AFS security was impaired in any periods in this report and 0 credit loss allowance was necessary at September 30, 2021 ~~$686.3 million in available-for-sale debt securities were tendered~~ and ~~re-issued from the Libor to SOFR index.~~December 31, 2020, respectively.

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


	June 30, 2021												September 30, 2021
			Allowance		Gross			Gross							Gross			Gross
	Amortized		for Credit		Unrealized			Unrealized			Fair		Amortized		Unrealized			Unrealized			Fair
	Cost		Losses		Gains			Losses			Value		Cost		Gains			Losses			Value
GSE and U.S. Obligations
State and local housing finance agency obligations^(c)	$	901,305	$	(586)	$	18		$	(76)		$	900,661	$	901,305	$	11		$	(124)		$	901,192
Mortgage-backed securities^(c)
Floating
CMO		662,526		—		10,808			—			673,334		617,841		9,643			—			627,484
CMBS		17,388		—		4			—			17,392		1,137		—			—			1,137
PASS THRU		5,954		—		288			—			6,242		5,483		250			—			5,733
Total Floating		685,868		—		11,100			—			696,968		624,461		9,893			—			634,354
Fixed
CMBS		3,202,210		—		226,378			(22,105)			3,406,483		3,756,351		205,556			(38,841)			3,923,066
Total Fixed		3,202,210		—		226,378			(22,105)			3,406,483		3,756,351		205,556			(38,841)			3,923,066
MBS AFS Before Hedging Adjustments		3,888,078		—		237,478	^(a)		(22,105)	^(a)		4,103,451		4,380,812		215,449	^(a)		(38,841)	^(a)		4,557,420
Hedging Basis Adjustments in AOCI		1,242		—		(1,242)	^(b)		—			—		(20,780)		20,780	^(b)		—			—
Total Available-for-sale securities (MBS)		3,889,320		—		236,236			(22,105)			4,103,451		4,360,032		236,229			(38,841)			4,557,420
Total Available-for-sale securities	$	4,790,625	$	(586)	$	236,254		$	(22,181)		$	5,004,112	$	5,261,337	$	236,240		$	(38,965)		$	5,458,612


	December 31, 2020
			Gross			Gross
	Amortized		Unrealized			Unrealized			Fair
	Cost		Gains			Losses			Value

GSE and U.S. Obligations
Mortgage-backed securities
Floating
CMO	$	277,372	$	3,960		$	—		$	281,332
Total Floating		277,372		3,960			—			281,332
Fixed
CMBS		2,877,947		282,913			(6,247)			3,154,613
Total Fixed		2,877,947		282,913			(6,247)			3,154,613
AFS Before Hedging Adjustments		3,155,319		286,873	^(a)		(6,247)	^(a)		3,435,945
Hedging Basis Adjustments in AOCI		44,052		(44,052)	^(b)		—			—
Total Available-for-sale securities	$	3,199,371	$	242,821		$	(6,247)		$	3,435,945

(a)

Amounts represent specialized third party pricing vendors’ estimates of gains/losses of AFS securities; market pricing is based on historical amortized cost adjusted for pay downs and amortization of premiums and discounts; fair value unrealized gains and losses are before adjusting book values for hedge basis adjustments and will equal market values of AFS securities recorded in AOCI. Fair value hedges were executed to mitigate the interest rate risk of the hedged fixed-rate securities due to changes in the designated benchmark ~~rate.~~rate

~~(b)~~

Amounts represent fair value hedging basis due to changes in the benchmark rate and were recorded as an adjustment to the carrying values of hedged securities; the adjustments impacted the unrealized market value gains and losses. Securities in a fair value hedging relationship at June 30, 2021 recorded $1.2 million of hedge basis losses; at December 31, 2020, hedge basis gains of $44.1 million were recorded. In the table above, the benchmark hedging basis adjustments were reported separately from the market based 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..

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

(b)

Amounts represent fair value hedging basis due to changes in the benchmark rate and were recorded as an adjustment to the carrying values of hedged securities; the adjustments impacted the unrealized market value gains and losses. Securities in a fair value hedging relationship at September 30, 2021 recorded $20.8 million of hedge basis losses; at December 31, 2020, hedge basis gains of $44.1 million were recorded. In the table above, the benchmark hedging basis adjustments were reported separately from the market based prices of ASC 815 qualifying hedges to provide greater clarity to market based pricing of the securities.

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~~September 30, 2021 and December 31, 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 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). ~~NaN losses for 12 months or longer were identified based on 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, 0 allowance for credit losses was recorded on these ~~MBS~~AFS securities at ~~June~~September 30, 2021. ~~The portfolio of State and local housing finance agency obligations was transferred from HTM with an allowance for credit losses of $0.6 million.~~

The following table summarizes available-for-sale securities with estimated fair values below their amortized cost basis (in thousands):


	June 30, 2021												September 30, 2021
	Less than 12 months				12 months or more				Total				Less than 12 months				12 months or more				Total
	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses		Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
MBS Investment Securities and State and Local Housing Finance Agency Obligations
MBS Investment Securities and State and local housing finance agency obligations
MBS-GSE
Freddie Mac-CMBS	$	699,288	$	(22,105)	$	—	$	—	$	699,288	$	(22,105)	$	888,205	$	(18,684)	$	459,454	$	(20,157)	$	1,347,659	$	(38,841)
State and local housing finance agency obligations		—		—		23,829		(76)		23,829		(76)		686,280		(61)		23,902		(63)		710,182		(124)
Total Temporarily Impaired	$	699,288	$	(22,105)	$	23,829	$	(76)	$	723,117	$	(22,181)	$	1,574,485	$	(18,745)	$	483,356	$	(20,220)	$	2,057,841	$	(38,965)


	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
Freddie Mac-CMBS	$	526,365	$	(6,247)	$	—	$	—	$	526,365	$	(6,247)
Total Temporarily Impaired	$	526,365	$	(6,247)	$	—	$	—	$	526,365	$	(6,247)

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, 2021				December 31, 2020				September 30, 2021				December 31, 2020
	Amortized		Estimated		Amortized		Estimated		Amortized		Estimated		Amortized		Estimated
	Cost ^(b)		Fair Value		Cost ^(b)		Fair Value		Cost ^(a)		Fair Value		Cost ^(a)		Fair Value
State and local housing finance agency obligations
Due after one year through five years	$	23,965	$	23,829	$	—	$	—	$	23,965	$	23,902	$	—	$	—
Due after ten years		877,340		876,832		—		—		877,340		877,290		—		—
State and local housing finance agency obligations		901,305		900,661		—		—	$	901,305	$	901,192	$	—	$	—

Mortgage-backed securities
Due in one year or less		17,389		17,393		—		—	$	1,138	$	1,138	$	—	$	—
Due after one year through five years		331,339		355,714		332,752		364,081		842,896		898,259		332,752		364,081
Due after five year through ten years		2,834,947		3,012,486		2,550,443		2,750,824		2,744,575		2,876,410		2,550,443		2,750,824
Due after ten years		705,645		717,858		316,176		321,040		771,423		781,613		316,176		321,040
Mortgage-backed securities		3,889,320		4,103,451		3,199,371		3,435,945	$	4,360,032	$	4,557,420	$	3,199,371	$	3,435,945
Total Available-for-Sale securities	$	4,790,625	$	5,004,112	$	3,199,371	$	3,435,945	$	5,261,337	$	5,458,612	$	3,199,371	$	3,435,945

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

(b)	Amortized cost is UPB after adjusting for net unamortized premiums of ~~$45.6~~$56.3 million and $41.1 million at ~~June~~September 30, 2021 and December 31, 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 Securities and State and local housing finance agency obligations classified as AFS securities (in thousands):


	June 30, 2021				December 31, 2020				September 30, 2021				December 31, 2020
	Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value		Amortized Cost		Fair Value
Mortgage-backed securities
Floating
CMO - LIBOR	$	662,526	$	673,334	$	277,372	$	281,332	$	617,841	$	627,484	$	277,372	$	281,332
CMBS - LIBOR		17,388		17,392		—		—		1,137		1,137		—		—
PASS THRU		5,954		6,242		—		—		5,483		5,733		—		—
Total Floating		685,868		696,968		277,372		281,332		624,461		634,354		277,372		281,332
Fixed
CMBS - LIBOR		3,203,452		3,406,483		2,921,999		3,154,613		3,735,571		3,923,066		2,921,999		3,154,613
Total Fixed		3,203,452		3,406,483		2,921,999		3,154,613		3,735,571		3,923,066		2,921,999		3,154,613
Total Mortgage-backed securities		3,889,320		4,103,451		3,199,371		3,435,945		4,360,032		4,557,420		3,199,371		3,435,945
State and local housing finance agency obligations
Floating		901,305		900,661		—		—		901,305		901,192		—		—
Total Available-for-Sale securities	$	4,790,625	$	5,004,112	$	3,199,371	$	3,435,945	$	5,261,337	$	5,458,612	$	3,199,371	$	3,435,945

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, 2021														September 30, 2021
			Allowance		OTTI				Gross		Gross						Allowance		OTTI				Gross		Gross
	Amortized		for Credit		Recognized		Carrying		Unrecognized		Unrecognized		Fair		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	$	38,218	$	—	$	—	$	38,218	$	5,194	$	—	$	43,412	$	35,442	$	—	$	—	$	35,442	$	4,596	$	—	$	40,038
Freddie Mac		6,131		—		—		6,131		945		—		7,076		5,744		—		—		5,744		859		—		6,603
Total pools of mortgages		44,349		—		—		44,349		6,139		—		50,488		41,186		—		—		41,186		5,455		—		46,641

Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits
Fannie Mae		399,416		—		—		399,416		4,048		(109)		403,355		343,345		—		—		343,345		2,554		(188)		345,711
Freddie Mac		392,194		—		—		392,194		4,092		(40)		396,246		352,509		—		—		352,509		3,343		(37)		355,815
Ginnie Mae		—		—		—		—		—		—		—		—		—		—		—		—		—		—
Total CMOs/REMICs		791,610		—		—		791,610		8,140		(149)		799,601		695,854		—		—		695,854		5,897		(225)		701,526

Commercial Mortgage-Backed Securities ^(b)
Fannie Mae		1,415,638		—		—		1,415,638		38,051		(1,454)		1,452,235		1,371,160		—		—		1,371,160		32,214		(742)		1,402,632
Freddie Mac		7,983,503		—		—		7,983,503		471,312		(2,928)		8,451,887		7,477,722		—		—		7,477,722		416,307		(3,982)		7,890,047
Total commercial mortgage-backed securities		9,399,141		—		—		9,399,141		509,363		(4,382)		9,904,122		8,848,882		—		—		8,848,882		448,521		(4,724)		9,292,679

Non-GSE MBS ^(c)
CMOs/REMICs		3,460		(240)		(276)		2,944		183		(54)		3,073		3,270		(234)		(269)		2,767		236		(53)		2,950

Asset-Backed Securities ^(c)
Manufactured housing (insured)		20,909		—		—		20,909		621		—		21,530		19,525		—		—		19,525		551		—		20,076
Home equity loans (insured)		39,738		—		(1,318)		38,420		8,353		—		46,773		38,307		—		(1,239)		37,068		7,766		—		44,834
Home equity loans (uninsured)		14,257		—		(1,475)		12,782		1,960		(111)		14,631		12,718		—		(1,207)		11,511		1,615		(98)		13,028
Total asset-backed securities		74,904		—		(2,793)		72,111		10,934		(111)		82,934		70,550		—		(2,446)		68,104		9,932		(98)		77,938

Total MBS ^(f)		10,313,464		(240)		(3,069)		10,310,155		534,759		(4,696)		10,840,218		9,659,742		(234)		(2,715)		9,656,793		470,041		(5,100)		10,121,734

Other
State and local housing finance agency obligations^(f)		190,634		(117)		—		190,517		26		(18,573)		171,970		188,275		(116)		—		188,159		23		(17,904)		170,278

Total Held-to-maturity securities	$	10,504,098	$	(357)	$	(3,069)	$	10,500,672	$	534,785	$	(23,269)	$	11,012,188	$	9,848,017	$	(350)	$	(2,715)	$	9,844,952	$	470,064	$	(23,004)	$	10,292,012

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

(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)~~

Securities Pledged

The FHLBNY had pledged MBS, with an amortized cost basis of ~~$2.2~~$2.7 million at ~~June~~September 30, 2021 and $2.7 million at December 31, 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

~~Table of Contents~~

~~Federal Home Loan Bank of New York~~

~~Notes to Financial Statements — Unaudited~~

GSE-issued securities - The FHLBNY evaluates its individual securities issued by Fannie Mae, Freddie Mac and U.S. government agency, (collectively GSE-issued securities), by considering the creditworthiness and performance of the debt securities and the strength of the GSEs’ guarantees of the securities. Based on analysis, GSE-issued securities are performing in accordance with their contractual agreements, and we will recover our investments in GSE-issued securities given the current levels of collateral, credit enhancements and guarantees that exist to protect the investments. Number of investment positions that were in an unrealized loss position was 2726 and 42 at ~~June~~September 30, 2021 and December 31, 2020, respectively.

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Housing finance agency bonds - The FHLBNY’s investments in Housing finance agency bonds reported gross unrealized losses of ~~$18.6~~$17.9 million and $21.6 million at ~~June~~September 30, 2021 and December 31, 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 if the FHLBNY believes 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. The number of investment positions that were in an unrealized loss position were 5 and 18 at ~~June~~September 30, 2021 and December 31, 2020. Probability default analysis at ~~June~~September 30, 2021 and December 31, 2020 recorded cumulative credit losses of $0.1 million and $0.7 million respectively.

Accrued interest receivable for HTM housing finance agency bonds was $0.2 million and $1.3 million at ~~June~~September 30, 2021 and December 31, 2020, 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,~~monoline insurance companies, reserve and investment funds allocated to the securities that may be used to make principal and interest payments in the event that the underlying loans pledged for these securities are not sufficient to make the necessary payments and the general obligation of the State issuing the bond.

Private-label mortgage-backed securities - Management evaluates its investments in private-label MBS (PLMBS) for credit losses on a quarterly basis by performing cash flow tests on its entire portfolio of PLMBS. Allowance for credit loss of $0.2 million and $0.3 million were recognized at ~~June~~September 30, 2021 and December 31, 2020. 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~~September 30, 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~~The number of investment positions that were in an unrealized loss position was 98 at ~~June~~September 30, 2021 and 10 at December 31, 2020.

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, 2021				December 31, 2020				September 30, 2021				December 31, 2020
	Amortized		Estimated		Amortized		Estimated		Amortized		Estimated		Amortized		Estimated
	Cost ^(a)		Fair Value		Cost ^(a)		Fair Value		Cost ^(a)		Fair Value		Cost ^(a)		Fair Value
State and local housing finance agency obligations
Due after one year through five years	$	3,340	$	3,346	$	30,867	$	30,758	$	3,340	$	3,349	$	30,867	$	30,758
Due after five years through ten years		100		100		100		100		100		100		100		100
Due after ten years		187,194		168,524		1,066,785		1,045,408		184,835		166,829		1,066,785		1,045,408
State and local housing finance agency obligations		190,634		171,970		1,097,752		1,076,266	$	188,275	$	170,278	$	1,097,752	$	1,076,266

Mortgage-backed securities
Due in one year or less		650,888		654,211		690,206		694,962	$	416,786	$	417,694	$	690,206	$	694,962
Due after one year through five years		2,804,151		2,905,891		2,991,105		3,114,446		2,787,162		2,881,881		2,991,105		3,114,446
Due after five years through ten years		5,808,149		6,204,330		6,137,440		6,629,839		5,506,875		5,854,138		6,137,440		6,629,839
Due after ten years		1,050,276		1,075,786		1,962,988		2,013,668		948,919		968,021		1,962,988		2,013,668
Mortgage-backed securities		10,313,464		10,840,218		11,781,739		12,452,915	$	9,659,742	$	10,121,734	$	11,781,739	$	12,452,915

Total Held-to-Maturity Securities	$	10,504,098	$	11,012,188	$	12,879,491	$	13,529,181	$	9,848,017	$	10,292,012	$	12,879,491	$	13,529,181

(a)	Amortized cost is UPB after adjusting for net unamortized premiums of ~~$53.4~~$49.6 million at ~~June~~September 30, 2021 and $57.4 million at December 31, 2020 (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, 2021						December 31, 2020						September 30, 2021						December 31, 2020
			Weighted ^(a)						Weighted ^(a)						Weighted ^(a)						Weighted ^(a)
			Average		Percentage				Average		Percentage				Average		Percentage				Average		Percentage
	Amount		Yield		of Total		Amount		Yield		of Total		Amount		Yield		of Total		Amount		Yield		of Total
Overdrawn demand deposit accounts	$	2,777	1.10	%	—	%	$	—	—	%	—	%	$	6,034	1.09	%	—	%	$	—	—	%	—	%
Due in one year or less		48,233,300	0.67		60.89			51,202,647	0.65		56.42			38,710,313	0.68		55.36			51,202,647	0.65		56.42
Due after one year through two years		7,058,342	1.75		8.91			11,520,983	1.52		12.70			7,297,548	1.57		10.44			11,520,983	1.52		12.70
Due after two years through three years		4,809,927	1.53		6.07			7,734,061	1.65		8.52			5,744,511	1.46		8.22			7,734,061	1.65		8.52
Due after three years through four years		5,686,033	1.44		7.18			4,400,913	1.55		4.85			4,406,435	1.55		6.30			4,400,913	1.55		4.85
Due after four years through five years		1,819,642	1.86		2.30			3,770,927	1.50		4.16			2,158,153	1.43		3.09			3,770,927	1.50		4.16
Thereafter		11,601,620	1.84		14.65			12,111,628	1.87		13.35			11,600,711	1.84		16.59			12,111,628	1.87		13.35
Total par value		79,211,641	1.07	%	100.00	%		90,741,159	1.09	%	100.00	%		69,923,705	1.10	%	100.00	%		90,741,159	1.09	%	100.00	%
Hedge valuation basis adjustments ^(b)		772,889						1,325,945						623,868						1,325,945
Total	$	79,984,530					$	92,067,104					$	70,547,573					$	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.

~~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 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~~Federal Funds-OIS index and ~~OIS/SOFR~~SOFR-OIS index.

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Monitoring and Evaluating Credit Losses on Advances

Our credit and collateral practices have not identified allowance for credit losses at ~~June~~September 30, 2021 and December 31, 2020 or in the periods in 2020. Accrued interest receivable was ~~$76.1~~$70.0 million and $89.6 million at ~~June~~September 30, 2021 and December 31, 2020, and 0 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’s financial condition, in conjunction with the Bank’s collateral and lending policies to limit risk of loss, while balancing borrowers’ needs for a reliable source of funding.

In addition, the Bank lends to eligible borrowers in accordance with federal law and FHFA regulations. Specifically, the Bank is required to obtain sufficient collateral to fully secure credit products up to the counterparty’s total credit limit. Collateral eligible to secure new or renewed advances includes:

●

one-to-four family and multifamily mortgage loans (delinquent for no more than 90 days) and securities representing such mortgages;

●

securities issued, insured, or guaranteed by the U.S. government or any U.S. government agency (for example, mortgage-backed securities issued or guaranteed by Fannie Mae, Freddie Mac, or Ginnie Mae);

●

cash or deposits in the Bank;

●

certain other collateral that is real estate-related, provided that the collateral has a readily ascertainable value and that the Bank can perfect a security interest in it; and

●

qualifying securities.

Residential mortgage loans are the principal form of collateral for advances. The estimated value of the collateral required to secure each member’s credit products is calculated by applying collateral discounts, or haircuts, to the market value or unpaid principal balance of the collateral, as applicable. In addition, community financial institutions are eligible to use expanded statutory collateral provisions for small business, agriculture loans, and community development loans. The Bank’s capital stock owned by each borrower is also pledged as collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition, and performance; borrowing capacity; and overall credit exposure to the borrower. The Bank can also require additional or substitute collateral to protect its security interest. The Bank also has policies and procedures for validating the reasonableness of our collateral valuations.

Summarized below are the FHLBNY’s credit loss allowance methodologies:

Adoption of the guidance under ASU 2016-13, resulted in formalizing the governance stipulated under the new guidance. Our pre-existing processes - collateral monitoring, valuation of collateral and haircuts in addition to borrower credit analysis - are extensive and remain key to our operations. We devote considerable resources towards these procedures and processes.

~~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.

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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. NaN of the FHLBNY’s advances were past due, on non-accrual status, or considered impaired as of ~~June~~September 30, 2021. In addition, there were 0 troubled debt restructurings related to advances at the FHLBNY at any time in this report.

As of ~~June~~September 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’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 2021 and through the filing date on this report; therefore, 0 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 as of ~~June~~September 30, 2021.

Concentration of Advances Outstanding. Advances to the FHLBNY’s top 10 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 ~~37.4%~~41.9% and 35.6% of total advances at ~~June~~September 30, 2021 and December 31, 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 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 onsite 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 as of ~~June~~September 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.

~~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 2 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.

2524

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®~~(MAP^®). Legacy loans under the MPF programs will continue to be supported and serviced under the MPF loan agreements. At ~~June~~September 30, 2021, mortgage loans under the MAP program were ~~$57.7~~at carrying value of $111.8 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, 2021				December 31, 2020				September 30, 2021				December 31, 2020

	Carrying Amount		Percentage of Total		Carrying Amount		Percentage of Total		Carrying Amount		Percentage of Total		Carrying Amount		Percentage of Total
Real Estate ^(a):
Fixed medium-term single-family mortgages	$	158,614	6.52	%	$	178,968	6.25	%	$	148,894	6.55	%	$	178,968	6.25	%
Fixed long-term single-family mortgages		2,275,889	93.48			2,682,955	93.75			2,124,871	93.45			2,682,955	93.75
Total unpaid principal balance	$	2,434,503	100.00	%	$	2,861,923	100.00	%	$	2,273,765	100.00	%	$	2,861,923	100.00	%

Unamortized premiums		36,552				43,103				33,829				43,103
Unamortized discounts		(977)				(1,246)				(916)				(1,246)
Basis adjustment ^(b)		2,250				2,691				2,099				2,691

Total MPF loans amortized cost	$	2,472,328			$	2,906,471			$	2,308,777			$	2,906,471
MPF allowance for credit losses		(4,033)				(7,073)				(2,921)				(7,073)
MPF loans held-for-portfolio	$	2,468,295			$	2,899,398			$	2,305,856			$	2,899,398
MAP loans held-for-portfolio	$	57,672			$	314			$	111,800			$	314
Total mortgage loans held-for-portfolio at carrying value	$	2,525,967			$	2,899,712			$	2,417,656			$	2,899,712

(a)	Conventional ~~mortgages~~mortgage loans represent the majority of mortgage loans held-for-portfolio, with the remainder invested in FHA and VA insured loans (also referred to as government loans).

(b)

Balances represent unamortized fair value basis of closed delivery commitments. A basis adjustment is recorded at the settlement of the loan and it represents the difference in trade price paid for acquiring the loan and the price at the settlement date for a similar loan. The basis adjustment is amortized as a yield adjustment to Interest income.

The FHLBNY and its members share the credit risk of MPF loans by structuring potential credit losses into layers. The first layer is typically 100 bps, but this varies with the particular MPF product. The amount of the first layer, or First Loss Account (FLA), was estimated at $44.2 million and $43.9 million at ~~June~~September 30, 2021 and December 31, 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 ~~$0.6~~$0.5 million and ~~$1.2~~$1.7 million for the three and ~~six~~nine months ended ~~June~~September 30, 2021 and $0.7 million and ~~$1.4~~$2.0 million for the same periods in the prior year. These fees were reported as a reduction to mortgage loan interest income.

2625

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~~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~~was $1.6 million at ~~June~~September 30, 2021 and $4.5 thousand at December 31, 2020.

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

Effective January 1, 2020, the FHLBNY adopted ASU 2016-13, Financial Instruments — Credit Losses (Topic 326). With the adoption of the CECL guidance, the estimate of expected credit losses for MPF is forward-looking. CECL requires the use of forecasts about future economic conditions to estimate the expected credit loss over the remaining life of an instrument. The estimated credit loss is recorded upon initial recognition of the asset, even if the asset is performing at the time of purchase, in anticipation of a future event that will lead to a loss being realized (including consideration of remote scenarios as required under ASC 326-20-30-10). The objective of the estimate is to record the net amount expected to be collected for the asset, while considering available relevant information about the collectability of cash flows.

Mortgage loans are evaluated for credit losses on an individual basis. The following table presents the cumulative loan loss allowances at each of the dates (in thousands):


			Reserves/(Recoveries)							Reserves/(Recoveries)
	December 31, 2020		Recorded in 2021		June 30, 2021		December 31, 2020		Recorded in 2021		September 30, 2021

Allowance for Credit Losses	$	7,073	$	(2,970)	$	4,103	$	7,073	$	(4,029)	$	3,044

Our allowance for credit loss of ~~$4.1~~$3.0 million at ~~June~~September 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 $5 million in life-time losses. Second, loss sharing and insurance would largely offset actual losses. Lastly, forbearance processes under COVID-19 are likely to be temporary for the MPF loans; amounts under forbearance agreements are not material. Loan deferrals under COVID-19 relief are not material.

2726

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Evaluation of Credit Losses under CECL - ~~MPF~~ Mortgage loans are evaluated for credit losses using the practical expedient for collateral dependent assets. We consider a conventional mortgage loan as a collateral dependent loan because we expect repayment to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. We may estimate the applicable fair value of this collateral by applying an appropriate loss severity rate or using third party estimates or property valuation model. The expected credit loss of a collateral dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. We will either reserve for these estimated losses or record a direct charge-off of the loan balance, if certain triggering criteria are exceeded. Expected recoveries of prior charge-offs would be included in the allowance for credit loss.

The Bank’s credit risk model (“Model”) estimates the probabilities of prepayments and defaults concurrently. Prepayments represent the probability that an individual loan will voluntarily prepay while defaults represent the probability that an individual loan will transition to involuntary payoffs. Defaults transition from one delinquency status to another (e.g., current to 30 days, 30 days to 60 days, etc.) until the loan is involuntarily paid off. The transition probabilities are a function of collateral types, borrower characteristics, and economic factors. The model utilizes economic data files that provide interest rates, the applicable house price index, and applicable foreclosure timeline, which are used in simulating transition probabilities. The Bank’s third party credit loss model provides the ability to update assumptions and calculate the probability of default of each individual mortgage loan. The model also uses loan and borrower information along with economic assumptions about applicable housing prices and interest rates as inputs to generate a distribution of projected cash flows over the life of the mortgage. The model estimates the loss given default (LGD) for each loan during the simulation based on assumptions adopted in the model by projecting loan status probabilities and aggregating projected cash flows for each loan in the portfolio. A loan in foreclosure or REO sale is considered to be a default.

Accrued interest receivable was ~~$12.3~~$11.5 million at ~~June~~September 30, 2021 and $14.2 million at December 31, 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 present a minimal risk of loss. Additionally, as part of the service agreement between FHLBNY and the members that sold us government loans, those members will buy back delinquent government loans.

Credit enhancements under the MPF Program may include primary mortgage insurance, supplemental mortgage insurance, in addition to recoverable performance-based credit enhancement fees. Potential recoveries from credit enhancements for conventional loans are evaluated at the individual master commitment level to determine the credit enhancements available to recover losses on loans under 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.

No MAP loans were in a delinquent status at ~~June~~September 30, 2021 or December 31, 2020.

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,					Three months ended September 30,				Nine months ended September 30,
	2021		2020		2021			2020		2021		2020		2021		2020
Allowance for credit losses:							��
Beginning balance	$	5,747	$	3,504	$	7,073		$	653	$	4,103	$	6,534	$	7,073	$	653
Adjustment for cumulative effect of accounting change		—		—		—			2,972		—		—		—		2,972
Charge-offs		—		—		(50)			—		—		—		(50)		—
Recoveries		—		—		—			—		—		—		—		—
Provision (Reversal) for credit losses on mortgage loans		(1,644)		3,030		(2,920)			2,909		(1,059)		2,566		(3,979)		5,475
Balance, at end of period	$	4,103	$	6,534	$	4,103		$	6,534	$	3,044	$	9,100	$	3,044	$	9,100

2827

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, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Total MPF Mortgage loans, carrying values net ^(a)	$	2,468,295	$	2,899,398	$	2,305,856	$	2,899,398
Non-performing MPF mortgage loans - Conventional ^(a)(b)	$	37,310	$	58,498	$	31,008	$	58,498
Insured MPF loans past due 90 days or more and still accruing interest ^(a)(b)	$	9,910	$	14,760	$	8,933	$	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”.

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

FHA and VA loans are considered as insured MPF loans, and while the loans are evaluated on an individual basis, we have deemed that FHA and VA loans as collectively insured. Additionally, based on the Bank’s assessment of its servicers and the collateral 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 2021 or 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 tables present unpaid principal balances with and without related loan loss allowances for conventional loans (excluding insured FHA/VA MPF loans ) in the MPF program (in thousands):


							Three months ended		Six months ended								Three months ended		Nine months ended
	June 30, 2021						June 30, 2021		June 30, 2021		September 30, 2021						September 30, 2021		September 30, 2021

	Unpaid						Average				Unpaid						Average
	Principal		Related		Amortized Cost		Recorded				Principal		Related		Amortized Cost		Recorded
	Balance		Allowance		After Allowance		Investment ^(d)				Balance		Allowance		After Allowance		Investment ^(d)
Conventional Loans - MPF ^(a)(c)
No related allowance ^(b)	$	1,428,890	$	—	$	1,449,688	$	1,503,576	$	1,615,057	$	1,421,654	$	—	$	1,442,290	$	1,423,570	$	1,551,227
With a related allowance		830,474		(4,033)		840,408		844,305		843,359		685,312		(2,921)		693,858		760,232		815,650
Total measured for impairment	$	2,259,364	$	(4,033)	$	2,290,096	$	2,347,881	$	2,458,416	$	2,106,966	$	(2,921)	$	2,136,148	$	2,183,802	$	2,366,877


	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

(a)	Based on analysis of the nature of risks of the FHLBNY’s investments in MPF loans, including its methodologies for identifying and measuring impairment, management has determined that presenting such loans as a single class is appropriate.

(b)	Collateral values, net of estimated costs to sell, exceeded the amortized cost in impaired loans and no allowances were deemed necessary.

(c)	Interest received is not recorded as Interest income if an uninsured loan is past due 90-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.

(d)	Represents the average amortized cost after allowance for the three and nine months ended September 30, 2021 and for the twelve months ended December 31, 2020.

2928

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, 2021 and for the twelve months ended December 31, 2020.~~

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


	June 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Mortgage Loans Held for Portfolio by Collateral/Guarantee Type:
Conventional mortgage loans - MPF	$	2,259,364	$	2,666,605	$	2,106,966	$	2,666,605
MPF Government-guaranteed or -insured mortgage loans		175,139		195,318		166,799		195,318
Total MPF loans - unpaid principal balance	$	2,434,503	$	2,861,923	$	2,273,765	$	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~~September 30, 2021 and December 31, 2020, respectively.

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


	June 30, 2021						September 30, 2021
	Conventional Loans						Conventional Loans
	Origination Year						Origination Year
	Prior to 2017		2017 to 2021		Total		Prior to 2017		2017 to 2021		Total
Payment Status, at Amortized Cost:

Conventional MPF/MAP
Past due 30 - 59 days	$	7,335	$	6,621	$	13,956	$	5,720	$	3,792	$	9,512
Past due 60 - 89 days		2,167		959		3,126		1,573		514		2,087
Past due 90 days or more		23,197		14,398		37,595		18,697		12,528		31,225
Total past due MPF mortgage loans		32,699		21,978		54,677		25,990		16,834		42,824
Current MPF mortgage loans		1,113,032		1,126,420		2,239,452		1,032,532		1,063,713		2,096,245
Current MAP Mortgage Loans		—		57,742		57,742		—		111,923		111,923
Total conventional Mortgage Loans	$	1,145,731	$	1,206,140	$	2,351,871	$	1,058,522	$	1,192,470	$	2,250,992


	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

3029

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Other Delinquency Statistics (dollars in thousands):


	June 30, 2021									September 30, 2021
	Conventional			MPF Government-Guaranteed						Conventional			MPF Government-Guaranteed
	MPF Loans			or -Insured Loans			Total MPF Loans			MPF Loans			or -Insured Loans			Total MPF Loans
Amortized Cost:
In process of foreclosure ^(a)	$	8,482		$	7,391		$	15,873		$	13,047		$	5,927		$	18,974
Serious delinquency rate ^(b)		1.78	%		5.94	%		2.08	%		1.52	%		5.37	%		1.80	%
Past due 90 days or more and still accruing interest	$	—		$	10,034		$	10,034		$	—		$	9,046		$	9,046
Loans on non-accrual status	$	37,595		$	—		$	37,595		$	31,225		$	—		$	31,225
Troubled debt restructurings:
Loans discharged from bankruptcy^(c)	$	5,438		$	962		$	6,400		$	4,848		$	995		$	5,843
Modified loans under MPF^®program	$	432		$	—		$	432		$	426		$	—		$	426
Real estate owned ^(d)	$	62		$	—		$	62		$	367		$	—		$	367


	December 31, 2020
	Conventional			MPF Government-Guaranteed
	MPF Loans			or -Insured Loans			Total MPF Loans
Amortized Cost:
In process of foreclosure ^(a)	$	23,645		$	9,266		$	32,911
Serious delinquency rate ^(b)		2.44	%		8.05	%		2.82	%
Past due 90 days or more and still accruing interest	$	—		$	14,986		$	14,986
Loans on non-accrual status	$	59,159		$	—		$	59,159
Troubled debt restructurings:
Loans discharged from bankruptcy^(c)	$	6,802		$	1,219		$	8,021
Modified loans under MPF^® program	$	926		$	—		$	926
Real estate owned ^(d)	$	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.

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, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Interest-bearing deposits
Interest-bearing demand	$	1,484,249	$	1,677,526	$	1,421,802	$	1,677,526
Term ^(a)		—		5,000		—		5,000
Total interest-bearing deposits		1,484,249		1,682,526		1,421,802		1,682,526
Non-interest-bearing demand		46,361		70,437		44,113		70,437
Total deposits ^(b)	$	1,530,610	$	1,752,963	$	1,465,915	$	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.

3130

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, 2021				December 31, 2020				September 30, 2021				December 31, 2020
	Amount		Average Interest		Amount		Average Interest		Amount		Average Interest		Amount		Average Interest
	Outstanding		Rate ^(b)		Outstanding		Rate ^(b)		Outstanding		Rate ^(b)		Outstanding		Rate ^(b)
Due in one year or less
Interest-bearing deposits ^(a)	$	1,484,249	0.02	%	$	1,682,526	0.26	%	$	1,421,802	0.03	%	$	1,682,526	0.26	%
Non-interest-bearing deposits		46,361				70,437				44,113				70,437
Total deposits	$	1,530,610			$	1,752,963			$	1,465,915			$	1,752,963

(a)	Primarily adjustable rate.

(b)

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

Note 12. Consolidated Obligations.

The FHLBanks have joint and several liability for all the Consolidated obligations issued on their behalf (for more information, see Note 19. Commitments and Contingencies). Consolidated obligations consist of bonds and discount notes. The FHLBanks issue Consolidated obligations through the Office of Finance as their fiscal agent. In connection with each debt issuance, a FHLBank specifies the amount of debt it wants issued on its behalf. The Office of Finance tracks the amount of debt issued on behalf of each FHLBank. Each FHLBank separately tracks and records as a liability for its specific portion of Consolidated obligations for which it is the primary obligor. Consolidated obligation bonds (CO bonds or Consolidated bonds) are issued primarily to raise intermediate- and long-term funds for the FHLBanks and are not subject to any statutory or regulatory limits on maturity.

Consolidated obligation discount notes (CO discount notes, Discount notes, or Consolidated discount notes) are issued primarily to raise short-term funds. Discount notes sell at less than their face amount and are redeemed at par value when they mature.

The following table summarizes carrying amounts of Consolidated obligations outstanding at ~~June~~September 30, 2021 and December 31, 2020 (in thousands):


	June 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020

Consolidated obligation bonds-amortized cost	$	68,850,177	$	69,063,948	$	61,049,484	$	69,063,948
Hedge valuation basis adjustments		332,091		514,436		277,624		514,436
Hedge basis adjustments on de-designated hedges		128,448		132,450		126,811		132,450
FVO - valuation adjustments and accrued interest		1,834		5,464		437		5,464
Total Consolidated obligation bonds	$	69,312,550	$	69,716,298	$	61,454,356	$	69,716,298

Discount notes-amortized cost	$	42,172,501	$	57,642,972	$	32,768,402	$	57,642,972
Hedge value basis adjustments		—		321		—		321
FVO - valuation adjustments and remaining accretion		572		15,545		—		15,545
Total Consolidated obligation discount notes	$	42,173,073	$	57,658,838	$	32,768,402	$	57,658,838

3231

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, 2021						December 31, 2020						September 30, 2021						December 31, 2020
			Weighted						Weighted						Weighted						Weighted
			Average		Percentage				Average		Percentage				Average		Percentage				Average		Percentage
Maturity	Amount		Rate ^(a)		of Total		Amount		Rate ^(a)		of Total		Amount		Rate ^(a)		of Total		Amount		Rate ^(a)		of Total

One year or less	$	37,712,490	0.41	%	54.88	%	$	45,481,150	0.34	%	66.00	%	$	26,957,790	0.48	%	44.24	%	$	45,481,150	0.34	%	66.00	%
Over one year through two years		7,267,550	1.40		10.58			10,367,545	1.01		15.05			7,249,465	1.42		11.90			10,367,545	1.01		15.05
Over two years through three years		3,878,865	1.07		5.64			4,324,660	1.72		6.28			4,837,080	0.94		7.94			4,324,660	1.72		6.28
Over three years through four years		3,120,360	1.08		4.54			1,581,355	1.94		2.29			3,994,860	0.83		6.56			1,581,355	1.94		2.29
Over four years through five years		7,646,150	0.76		11.13			822,620	1.62		1.19			9,401,920	0.87		15.43			822,620	1.62		1.19
Thereafter		9,093,700	2.42		13.23			6,329,200	3.14		9.19			8,485,700	2.39		13.93			6,329,200	3.14		9.19

Total par value		68,719,115	0.89	%	100.00	%		68,906,530	0.84	%	100.00	%		60,926,815	0.98	%	100.00	%		68,906,530	0.84	%	100.00	%

Bond premiums ^(b)		155,680						184,084						146,700						184,084
Bond discounts^(b)		(24,618)						(26,666)						(24,031)						(26,666)
Hedge valuation basis adjustments ^(c)		332,091						514,436						277,624						514,436
Hedge basis adjustments on de-designated hedges ^(d)		128,448						132,450						126,811						132,450
FVO ^(e) - valuation adjustments and accrued interest		1,834						5,464						437						5,464
Total Consolidated obligation-bonds	$	69,312,550					$	69,716,298					$	61,454,356					$	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 interest rate, remaining terms to maturity or next call, and the notional amounts of CO bonds designated in hedge relationship. Our interest rate benchmarks are LIBOR, the ~~FF/OIS~~Federal Funds-OIS index and the ~~FF/SOFR~~SOFR-OIS index.

(d)

Hedge basis adjustments on de-designated hedges represent the unamortized balances of valuation basis of fixed-rate CO bonds that were previously in a fair value hedging relationship. Generally, when a hedging relationship is de-designated, the valuation basis is no longer adjusted for changes in the valuation of the debt for changes in the benchmark rate; instead, the basis is amortized over the debt’s remaining life, so that at maturity of the debt the unamortized basis is reversed to 0.

(e)

Valuation adjustments on FVO designated bonds represent changes in the entire fair values of CO bonds elected under the FVO plus accrued unpaid interest. Changes in the timing of coupon payments impact outstanding accrued interest. Changes in benchmark interest rates, notional amounts of CO bonds elected under FVO and remaining terms to maturity or next call will impact hedge valuation adjustments.

3332

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, 2021				December 31, 2020				September 30, 2021				December 31, 2020
			Percentage				Percentage				Percentage				Percentage
	Amount		of Total		Amount		of Total		Amount		of Total		Amount		of Total

Fixed-rate, non-callable	$	50,425,985	73.38	%	$	49,275,530	71.51	%	$	39,862,685	65.43	%	$	49,275,530	71.51	%
Fixed-rate, callable		10,521,130	15.31			1,434,000	2.08			12,893,130	21.16			1,434,000	2.08
Step Up, callable		3,856,000	5.61			—	—			4,871,000	7.99			—	—
Floating rate, callable		250,000	0.36			—	—			250,000	0.41			—	—
Single-index floating rate		3,666,000	5.34			18,197,000	26.41			3,050,000	5.01			18,197,000	26.41

Total par value	$	68,719,115	100.00	%	$	68,906,530	100.00	%	$	60,926,815	100.00	%	$	68,906,530	100.00	%

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, 2021			December 31, 2020			September 30, 2021			December 31, 2020

Par value	$	42,174,015		$	57,668,646		$	32,769,938		$	57,668,646
Amortized cost	$	42,172,501		$	57,642,972		$	32,768,402		$	57,642,972
Hedge value basis adjustments ^(a)		—			321			—			321
FVO ^(b)- valuation adjustments and remaining accretion		572			15,545			—			15,545
Total discount notes	$	42,173,073		$	57,658,838		$	32,768,402		$	57,658,838
Weighted average interest rate		0.02	%		0.15	%		0.04	%		0.15	%

(a)

(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. Changes in benchmark interest rates, notional amounts of CO discount notes elected under FVO and remaining terms to maturity are factors that impact hedge valuation adjustments.

3433

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,				Three months ended September 30,				Nine months ended September 30,
	2021		2020		2021		2020		2021		2020		2021		2020

Beginning balance	$	152,176	$	155,611	$	148,827	$	153,894	$	152,523	$	159,464	$	148,827	$	153,894
Additions from current period’s assessments		8,304		15,287		16,331		26,974		7,314		11,251		23,645		38,225
Net disbursements for grants and programs		(7,957)		(11,434)		(12,635)		(21,404)		(15,034)		(12,363)		(27,669)		(33,767)
Ending balance	$	152,523	$	159,464	$	152,523	$	159,464	$	144,803	$	158,352	$	144,803	$	158,352

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 2 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 ~~$4.9~~$4.4 billion at ~~June~~September 30, 2021 and $5.4 billion at December 31, 2020.

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

●

Membership stock is issued to meet membership stock purchase requirements. The FHLBNY requires member institutions to maintain membership stock based on a percentage of the member’s mortgage-related assets. The current capital stock purchase requirement for membership is 12.5 basis points. In addition, notwithstanding this requirement, the FHLBNY has a $100 million cap on membership stock per member.

●

Activity based stock is issued on a percentage of outstanding balances of advances, MPF loans and financial letters of credit. The FHLBNY’s current capital plan requires a stock purchase of 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 3 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 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.

3534

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.

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


	June 30, 2021						December 31, 2020						September 30, 2021						December 31, 2020
	Required ^(d)			Actual			Required ^(d)			Actual			Required ^(d)			Actual			Required ^(d)			Actual
Regulatory capital requirements:
Risk-based capital ^(a)(e)	$	1,151,962		$	6,793,245		$	1,067,518		$	7,279,437		$	822,751		$	6,379,228		$	1,067,518		$	7,279,437
Total capital-to-asset ratio		4.00	%		5.64	%		4.00	%		5.31	%		4.00	%		6.21	%		4.00	%		5.31	%
Total capital ^(b)	$	4,817,946		$	6,793,245		$	5,479,855		$	7,279,437		$	4,107,075		$	6,379,228		$	5,479,855		$	7,279,437
Leverage ratio		5.00	%		8.46	%		5.00	%		7.97	%		5.00	%		9.32	%		5.00	%		7.97	%
Leverage capital ^(c)	$	6,022,433		$	10,189,867		$	6,849,819		$	10,919,156		$	5,133,844		$	9,568,841		$	6,849,819		$	10,919,156

(a)	Actual “Risk-based capital” is capital stock and retained earnings plus mandatorily redeemable capital stock. Section 1277.3 of the Finance Agency’s regulations (superseding section 932.2 effective January 1, 2020) also refers to this amount as “Permanent Capital.”

(b)	Required “Total capital” is 4.0% of total assets.

(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)	Required minimum.

(e)

Under regulatory guidelines issued by the Finance Agency in August 2011 that was consistent with guidance provided by other federal banking agencies with respect to capital rules, risk weights are maintained at AAA for U.S. Treasury securities and other securities issued or guaranteed by the U.S. Government, government agencies, and government-sponsored entities for purposes of calculating risk-based capital.

Mandatorily Redeemable Capital Stock

Generally, the FHLBNY’s capital stock is redeemable at the option of either the member or the FHLBNY subject to certain conditions, including the provisions under the accounting guidance for certain financial instruments with characteristics of both liabilities and equity. In accordance with the accounting guidance, the FHLBNY generally reclassifies the stock subject to redemption from equity to a liability once a member irrevocably exercises a written redemption right, gives notice of intent to withdraw from membership, or attains non-member status by merger or acquisition, charter termination, or involuntary termination from membership. Under such circumstances, the member shares will then meet the definition of a mandatorily redeemable financial instrument.

Estimated redemption periods were as follows (in thousands):


	June 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020

Redemption less than one year	$	109	$	127	$	104	$	127
Redemption from one year to less than three years		253		293		240		293
Redemption from three years to less than five years		275		317		260		317
Redemption from five years or greater		1,723		2,254		1,566		2,254

Total	$	2,360	$	2,991	$	2,170	$	2,991

3635

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,					Three months ended September 30,				Nine months ended September 30,
	2021		2020		2021		2020			2021	2020			2021	2020

Beginning balance	$	2,651	$	4,924	$	2,991	$	5,129	$	2,360	$	3,841	$	2,991	$	5,129
Capital stock subject to mandatory redemption reclassified from equity		41		—		85		—		—		2,743		85		2,743
Redemption of mandatorily redeemable capital stock ^(a)		(332)		(1,083)		(716)		(1,288)		(190)		(3,250)		(906)		(4,538)
Ending balance	$	2,360	$	3,841	$	2,360	$	3,841	$	2,170	$	3,334	$	2,170	$	3,334
Accrued interest payable ^(b)	$	30	$	61	$	30	$	61	$	26	$	69	$	26	$	69

(a)	Redemption includes repayment of excess stock.

(b)	The annualized accrual rate was ~~4.75%~~4.60% for the three months ended ~~June~~September 30, 2021 and ~~5.90%~~5.60% for the three months ended ~~June~~September 30, 2020. Accrual rates are based on estimated dividend rates.

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 1 percent of that FHLBank’s average balance of outstanding Consolidated obligations as calculated as of the last ~~date~~day of the current 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 ~~$803.7~~$816.8 million and $774.3 million as restricted retained earnings in the FHLBNY’s Total Capital at ~~June~~September 30, 2021 and December 31, ~~2020.~~2020, respectively.

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 0 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,				Three months ended September 30,				Nine months ended September 30,
	2021		2020		2021		2020		2021		2020		2021		2020

Net income	$	74,705	$	137,525	$	146,914	$	242,632	$	65,808	$	101,195	$	212,722	$	343,827

Net income available to stockholders	$	74,705	$	137,525	$	146,914	$	242,632	$	65,808	$	101,195	$	212,722	$	343,827

Weighted average shares of capital		51,878		68,083		52,470		63,587		46,700		61,837		50,525		62,999
Less: Mandatorily redeemable capital stock		(25)		(42)		(27)		(46)		(22)		(49)		(25)		(47)
Average number of shares of capital used to calculate earnings per share		51,853		68,041		52,443		63,541		46,678		61,788		50,500		62,952

Basic earnings per share	$	1.44	$	2.02	$	2.80	$	3.82	$	1.41	$	1.64	$	4.21	$	5.46

3736

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 2 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.

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,				Three months ended September 30,				Nine months ended September 30,
	2021		2020		2021		2020		2021		2020		2021		2020

Defined Benefit Plan	$	2,500	$	2,500	$	5,000	$	5,000	$	2,500	$	2,500	$	7,500	$	7,500
Benefit Equalization Plans (defined benefit and defined contribution)		3,281		3,105		6,266		4,661		2,847		2,753		9,113		7,414
Defined Contribution Plans		721		658		1,490		1,394		700		664		2,190		2,058
Postretirement Health Benefit Plan		77		61		153		122		76		62		229		184

Total retirement plan expenses	$	6,579	$	6,324	$	12,909	$	11,177	$	6,123	$	5,979	$	19,032	$	17,156

Benefit Equalization Plan (BEP)

The BEP restores defined benefits for those employees who have had their qualified defined benefits limited by IRS regulations. The method for determining the accrual expense and liabilities of the plan is the Projected Unit Credit Accrual Method. Under this method, the liability of the plan is composed mainly of two components, Projected Benefit Obligation (PBO) and Service Cost accruals. The total liability is determined by projecting each person’s expected plan benefits. These projected benefits are then discounted to the measurement date. Finally, the liability is allocated to service already worked (PBO) and service to be worked (Service Cost). There were no plan assets (this is an unfunded plan) that have been designated for the BEP plan.

Components of the net periodic pension cost for the defined benefit component of the BEP were as follows (in thousands):


	Three months ended June 30,				Six months ended June 30,				Three months ended September 30,				Nine months ended September 30,
	2021		2020		2021		2020		2021		2020		2021		2020
Service cost	$	496	$	392	$	992	$	784	$	495	$	391	$	1,487	$	1,175
Interest cost		529		587		1,059		1,174		529		587		1,588		1,761
Amortization of unrecognized net loss		1,477		1,140		2,954		2,280		1,478		1,141		4,432		3,421
Amortization of unrecognized past service cost		174		174		348		348		175		175		523		523

Net periodic benefit cost -Defined Benefit BEP		2,676		2,293		5,353		4,586		2,677		2,294		8,030		6,880

Benefit Equalization plans - Thrift and Deferred incentive compensation plans		605		812		913		75		170		459		1,083		534
Total	$	3,281	$	3,105	$	6,266	$	4,661	$	2,847	$	2,753	$	9,113	$	7,414

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.

3837

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,				Three months ended September 30,				Nine months ended September 30,
	2021		2020		2021		2020		2021		2020		2021		2020
Service cost (benefits attributed to service during the period)	$	16	$	21	$	32	$	42	$	16	$	21	$	48	$	63
Interest cost on accumulated postretirement health benefit obligation		61		78		121		156		60		79		181		235
Amortization of (gain)/loss		—		(38)		—		(76)		—		(38)		—		(114)
Net periodic postretirement health benefit expense/(income)	$	77	$	61	$	153	$	122	$	76	$	62	$	229	$	184

Note 17. Derivatives and Hedging Activities.

The FHLBNY, consistent with the Finance Agency’s regulations, may enter into interest-rate swaps, swaptions, and interest-rate cap and floor agreements to manage its interest rate exposure inherent in otherwise unhedged assets and funding positions. We are not a derivatives dealer and do not trade derivatives for short-term profit.

The contractual or notional amount of derivatives reflects the involvement of the FHLBNY in the various classes of financial instruments, and serve as a basis for calculating periodic interest payments or cash flows. Notional amount of a derivative does not measure the credit risk exposure, and the maximum credit exposure is substantially less than the notional amount. The maximum credit risk is the estimated cost of replacing interest-rate swaps, forward agreements, mandatory delivery contracts for mortgage loans and purchased caps and floors (derivatives) in a gain position if the counterparty defaults and the related collateral, if any, is of insufficient value to the FHLBNY.

Derivatives are instruments that derive their value from underlying asset prices, indices, reference rates and other inputs, or a combination of these factors. The FHLBNY executes derivatives with swap dealers and financial institution swap counterparties as negotiated contracts, which are usually referred to as over-the-counter (OTC) derivatives.

The following table presents the FHLBNY’s derivative activities based on notional amounts (in thousands):


	Hedging Instruments Under ASC 815				Hedging Instruments Under ASC 815
	June 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Interest rate contracts
Interest rate swaps	$	108,658,726	$	127,077,867	$	94,406,359	$	127,077,867
Interest rate caps		800,000		800,000		800,000		800,000
Mortgage delivery commitments		10,875		9,777		21,868		9,777
Total interest rate contracts notionals	$	109,469,601	$	127,887,644	$	95,228,227	$	127,887,644

3938

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, 2021				December 31, 2020				September 30, 2021				December 31, 2020
	Derivative		Derivative		Derivative		Derivative		Derivative		Derivative		Derivative		Derivative
	Assets		Liabilities		Assets		Liabilities		Assets		Liabilities		Assets		Liabilities
Derivative instruments - nettable
Gross recognized amount
Uncleared derivatives	$	207,952	$	719,040	$	232,355	$	913,215	$	189,239	$	674,347	$	232,355	$	913,215
Cleared derivatives		224,831		218,130		205,505		211,259		243,747		242,192		205,505		211,259
Total gross recognized amount		432,783		937,170		437,860		1,124,474		432,986		916,539		437,860		1,124,474
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives		(185,403)		(670,038)		(197,385)		(849,880)		(71,529)		(633,639)		(197,385)		(849,880)
Cleared derivatives		(218,130)		(218,130)		(203,835)		(203,835)		(120,096)		(242,192)		(203,835)		(203,835)
Total gross amounts of netting adjustments and cash collateral		(403,533)		(888,168)		(401,220)		(1,053,715)		(191,625)		(875,831)		(401,220)		(1,053,715)
Net amounts after offsetting adjustments and cash collateral	$	29,250	$	49,002	$	36,640	$	70,759	$	241,361	$	40,708	$	36,640	$	70,759

Uncleared derivatives	$	22,549	$	49,002	$	34,970	$	63,335	$	117,710	$	40,708	$	34,970	$	63,335
Cleared derivatives		6,701		—		1,670		7,424		123,651		—		1,670		7,424
Total net amounts after offsetting adjustments and cash collateral	$	29,250	$	49,002	$	36,640	$	70,759	$	241,361	$	40,708	$	36,640	$	70,759

Derivative instruments - not nettable
Uncleared derivatives ^(a)	$	32	$	1	$	29	$	1	$	4	$	123	$	29	$	1
Total derivative assets and total derivative liabilities
Uncleared derivatives	$	22,581	$	49,003	$	34,999	$	63,336	$	117,714	$	40,831	$	34,999	$	63,336
Cleared derivatives		6,701		—		1,670		7,424		123,651		—		1,670		7,424

Total derivative assets and total derivative liabilities presented in the Statements of Condition ^(b)	$	29,282	$	49,003	$	36,669	$	70,760	$	241,365	$	40,831	$	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)	$	624,717	$	—	$	630,372	$	—	$	368,864	$	—	$	630,372	$	—
Cannot be sold or repledged
Uncleared derivatives securities received		(4,672)		—		(20,687)		—		(100,163)		—		(20,687)		—
Total net amount of non-cash collateral received or repledged	$	620,045	$	—	$	609,685	$	—	$	268,701	$	—	$	609,685	$	—
Total net exposure cash and non-cash ^(e)	$	649,327	$	49,003	$	646,354	$	70,760	$	510,066	$	40,831	$	646,354	$	70,760
Net unsecured amount - Represented by:
Uncleared derivatives	$	17,909	$	49,003	$	14,312	$	63,336	$	17,551	$	40,831	$	14,312	$	63,336
Cleared derivatives		631,418		—		632,042		7,424		492,515		—		632,042		7,424
Total net exposure cash and non-cash ^(e)	$	649,327	$	49,003	$	646,354	$	70,760	$	510,066	$	40,831	$	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. NaN 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.

4039

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 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~~September 30, 2021, the FHLBNY posted $~~305.8~~155.9 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.

Fair Value of Derivative Instruments

The following tables represent outstanding notional balances and estimated fair values of the derivatives outstanding at ~~June~~September 30, 2021 and December 31, 2020 (in thousands):


	June 30, 2021						September 30, 2021
	Notional Amount		Derivative		Derivative		Notional Amount		Derivative		Derivative
	of Derivatives		Assets		Liabilities		of Derivatives		Assets		Liabilities
Fair value of derivative instruments ^(a)
Derivatives designated as hedging instruments under ASC 815 interest rate swaps	$	73,758,274	$	416,613	$	935,556	$	71,697,637	$	418,525	$	911,870
Total derivatives in hedging relationships under ASC 815		73,758,274		416,613		935,556		71,697,637		418,525		911,870

Derivatives not designated as hedging instruments
Interest rate swaps		34,742,452		10,784		884		22,550,722		9,741		4,050
Interest rate caps		800,000		69		—		800,000		34		—
Mortgage delivery commitments		10,875		32		1		21,868		4		123
Other ^(b)		158,000		5,317		730		158,000		4,686		619
Total derivatives not designated as hedging instruments		35,711,327		16,202		1,615		23,530,590		14,465		4,792

Total derivatives before netting and collateral adjustments	$	109,469,601		432,815		937,171	$	95,228,227		432,990		916,662
Netting adjustments				(292,848)		(292,848)				(180,725)		(180,725)
Cash collateral and related accrued interest				(110,685)		(595,320)				(10,900)		(695,106)
Total netting adjustments and cash collateral				(403,533)		(888,168)				(191,625)		(875,831)
Total derivative assets and total derivative liabilities			$	29,282	$	49,003			$	241,365	$	40,831
Security collateral pledged as initial margin to Derivative Clearing Organization ^(c)			$	624,717					$	368,864
Security collateral received from counterparty^(c)				(4,672)						(100,163)
Net security				620,045						268,701
Net exposure			$	649,327					$	510,066

4140

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited


	December 31, 2020						December 31, 2020
	Notional Amount		Derivative		Derivative		Notional Amount		Derivative		Derivative
	of Derivatives		Assets		Liabilities		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	$	69,885,821	$	380,504	$	1,088,253
Total derivatives in hedging relationships under ASC 815		69,885,821		380,504		1,088,253		69,885,821		380,504		1,088,253

Derivatives not designated as hedging instruments
Interest rate swaps		56,304,046		35,555		34,989		56,304,046		35,555		34,989
Interest rate caps		800,000		44		—		800,000		44		—
Mortgage delivery commitments		9,777		29		1		9,777		29		1
Other ^(b)		888,000		21,757		1,232		888,000		21,757		1,232
Total derivatives not designated as hedging instruments		58,001,823		57,385		36,222		58,001,823		57,385		36,222

Total derivatives before netting and collateral adjustments	$	127,887,644		437,889		1,124,475	$	127,887,644		437,889		1,124,475
Netting adjustments				(291,135)		(291,135)				(291,135)		(291,135)
Cash collateral and related accrued interest				(110,085)		(762,580)				(110,085)		(762,580)
Total netting adjustments and cash collateral				(401,220)		(1,053,715)				(401,220)		(1,053,715)
Total derivative assets and total derivative liabilities			$	36,669	$	70,760			$	36,669	$	70,760
Security collateral pledged as initial margin to Derivative Clearing Organization ^(c)			$	630,372					$	630,372
Security collateral received from counterparty^(c)				(20,687)						(20,687)
Net security				609,685						609,685
Net exposure			$	646,354					$	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~~September 30, 2021 and December 31, 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.

~~Table of Contents~~

~~Federal Home Loan Bank of New York~~

~~Notes to Financial Statements — Unaudited~~

~~Fair value hedge gains and losses~~

~~Gains and Losses on Fair value hedges under ASC 815 are summarized below (in thousands):~~

Gains (Losses) on Fair Value Hedges

Recorded in Interest Income/Expense

Three months ended 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

$
838

$
(80,987)

$
401,791

$
(1,313,783)
Gains (losses) on hedged item in designated
and qualifying fair value hedges:




Interest rate hedges

$
(1,289)

$
87,549

$
(397,591)

$
1,311,857

Gains (losses) represent changes in fair values of derivatives and hedged items due to changes in the designated benchmark interest rates, the risk being hedged. Gains and losses on ASC 815 hedges are recorded in the same line in the Statements of income as the hedged assets and hedged liabilities.

~~Cumulative Basis Adjustment~~

Upon electing to apply ASC 815 fair value hedge accounting, the carrying value of the hedged item is adjusted to reflect the cumulative impact of changes in the hedged risk. The hedge basis adjustment, whether arising from an active or de-designated hedge relationship, remains with the hedged item until the hedged item is derecognized from the balance sheet.

4341

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Fair value hedge gains and losses

Gains and Losses on Fair value hedges under ASC 815 are summarized below (in thousands):


	Gains (Losses) on Fair Value Hedges
	Recorded in Interest Income/Expense
	Three months ended September 30,				Nine months ended September 30,
	2021		2020		2021		2020
Gains (losses) on derivatives in designated and qualifying fair value hedges:
Interest rate hedges	$	108,070	$	133,360	$	509,861	$	(1,180,423)
Gains (losses) on hedged item in designated and qualifying fair value hedges:
Interest rate hedges	$	(107,046)	$	(133,685)	$	(504,637)	$	1,178,172

Gains (losses) represent changes in fair values of derivatives and hedged items due to changes in the designated benchmark interest rates, the risk being hedged. Gains and losses on ASC 815 hedges are recorded in the same line in the Statements of Income as the hedged assets and hedged liabilities.

Cumulative Basis Adjustment

The tables below present the carrying amount of FHLBNY’s assets and liabilities under active ASC 815 qualifying fair value hedges at ~~June~~September 30, 2021 and December 31, 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 Condition (in thousands):

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

$
34,963,038

$
772,436

$
—
Hedged AFS debt securities ^(a)

1,467,321

1,242

—
De-designated advances ^(b)

—

—

453

$
36,430,359

$
773,678

$
453
Liabilities:




Hedged consolidated obligation bonds

$
36,045,500

$
(332,091)

$
—
Hedged consolidated obligation discount notes

—

—

—
De-designated consolidated obligation bonds ^(b)

—

—

(128,448)

$
36,045,500

$
(332,091)

$
(128,448)

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

$
38,275,533

$
1,324,615

$
—
Hedged AFS debt securities ^(a)

1,162,366

44,052

��
De-designated advances ^(b)

—

—

1,331

$
39,437,899

$
1,368,667

$
1,331
Liabilities:




Hedged consolidated obligation bonds

$
20,639,825

$
(514,436)

$
—
Hedged consolidated obligation discount notes

7,583,549

(321)

—
De-designated consolidated obligation bonds ^(b)

—

—

(132,450)

$
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)~~

~~At June 30, 2021, par amounts of de-designated advances were~~ ~~$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~~ ~~$1.5~~ ~~billion; par amounts of de-designated CO discount notes were approximately~~ ~~$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.~~


	September 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	$	35,295,857	$	622,889	$	—
Hedged AFS debt securities ^(a)		1,915,522		(20,780)		—
De-designated advances ^(b)		—		—		979
	$	37,211,379	$	602,109	$	979
Liabilities:
Hedged consolidated obligation bonds	$	33,577,984	$	(277,624)	$	—
De-designated consolidated obligation bonds ^(b)		—		—		(126,811)
	$	33,577,984	$	(277,624)	$	(126,811)

4442

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited


	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	$	38,275,533	$	1,324,615	$	—
Hedged AFS debt securities ^(a)		1,162,366		44,052		—
De-designated advances ^(b)		—		—		1,331
	$	39,437,899	$	1,368,667	$	1,331
Liabilities:
Hedged consolidated obligation bonds	$	20,639,825	$	(514,436)	$	—
Hedged consolidated obligation discount notes		7,583,549		(321)		—
De-designated consolidated obligation bonds ^(b)		—		—		(132,450)
	$	28,223,374	$	(514,757)	$	(132,450)

(a)

(b)

At September 30, 2021, par amounts of de-designated advances were $0.1 billion, and par amount of de-designated CO bonds were $2.6 billion. At December 31, 2020, par amounts of de-designated advances were $1.2 billion; par amounts of de-designated CO bonds were approximately $1.5 billion; par amounts of de-designated CO discount notes were approximately $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.

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,

Three months ended September 30,

2021

2020

2021

2020

Amounts

Total

Amounts

Amounts Reclassified

Reclassified from

Amounts

Total Change

Reclassified from

Amounts

Change in

Reclassified from

Amounts

Total Change

Reclassified from

Amounts

Total Change in

from AOCI to

AOCI to Other

Recorded in

in OCI for

AOCI to

AOCI to Other

Recorded in

OCI for

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 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)

(387)

—

15,922

16,309

(363)

—

17,707

18,070

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

Six months ended June 30,

Nine months ended September 30,

2021

2020

2021

2020

Amounts

Total

Amounts

Amounts Reclassified

Reclassified from

Amounts

Total Change

Reclassified from

Amounts

Change in

Reclassified from

Amounts

Total Change

Reclassified from

Amounts

Total Change in

from AOCI to

AOCI to Other

Recorded in

in OCI for

AOCI to

AOCI to Other

Recorded in

OCI for

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 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)

(1,128)

—

81,250

82,378

(984)

—

(141,526)

(140,542)

(a)

Amounts represent cash flow hedges of CO debt hedged with benchmark interest rate swaps indexed to a benchmark rate. Under guidance provided by ASU 2017-12, the FHLBNY includes the gain and loss on the hedging derivatives in the same line in the Statements of Income as the change in cash flows on the hedged item.

(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

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

amortization. It is expected that over the next 12 months, ~~$1.5~~$1.4 million of the unrecognized losses in AOCI will be recognized as yield adjustments to debt interest expense.

(c)

Under guidance provided by ASU 2017-12, hedge ineffectiveness (as defined under ASC 815) is reclassified only if the original transaction would not occur by the end of the specified time period or within a two-month period thereafter. There were 0 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.

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


	Gains (Losses) on Economic Hedges
	Recorded in Other Income (Loss)
	Three months ended September 30,				Nine months ended September 30,
	2021		2020		2021		2020
Gains (losses) on derivatives designated in economic hedges
Interest rate hedges	$	3,397	$	10,352	$	3,197	$	(158,863)
Caps		(34)		(38)		(9)		(33)
Mortgage delivery commitments		(100)		535		(316)		1,654
Total gains (losses) on derivatives in economic hedges	$	3,263	$	10,849	$	2,872	$	(157,242)

4544

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,


2021

2020

2021

2020
Gains (losses) on derivatives designated in economic hedges

Interest rate hedges

$
3,723

$
(5,081)

$
(200)

$
(169,215)
Caps

(2)

(84)

25

5
Mortgage delivery commitments

197

1,244

(216)

1,119
Total gains (losses) on derivatives in economic hedges

$
3,918

$
(3,921)

$
(391)

$
(168,091)

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, 2021												September 30, 2021
			Estimated Fair Value												Estimated Fair Value
											Netting												Netting
	Carrying										Adjustment and		Carrying										Adjustment and
Financial Instruments	Value		Total		Level 1		Level 2		Level 3 ^(a)		Cash Collateral		Value		Total		Level 1		Level 2		Level 3 ^(a)		Cash Collateral
Assets
Cash and due from banks	$	52,565	$	52,565	$	52,565	$	—	$	—	$	—	$	118,754	$	118,754	$	118,754	$	—	$	—	$	—
Interest-bearing deposits		675,000		675,001		—		675,001		—		—		675,000		675,001		—		675,001		—		—
Securities purchased under agreements to resell		8,700,000		8,700,000		—		8,700,000		—		—
Federal funds sold		5,506,000		5,506,007		—		5,506,007		—		—		8,628,000		8,628,004		—		8,628,004		—		—
Trading securities		7,075,406		7,075,406		7,073,274		2,132		—		—		4,377,199		4,377,199		4,377,199		—		—		—
Equity Investments		91,401		91,401		91,401		—		—		—		91,813		91,813		91,813		—		—		—
Available-for-sale securities		5,004,112		5,004,112		—		4,103,451		900,661		—		5,458,612		5,458,612		—		4,557,420		901,192		—
Held-to-maturity securities		10,500,672		11,012,188		—		10,754,211		257,977		—		9,844,952		10,292,012		—		10,040,846		251,166		—
Advances		79,984,530		80,132,966		—		80,132,966		—		—		70,547,573		70,690,728		—		70,690,728		—		—
Mortgage loans held-for-portfolio, net		2,525,967		2,592,567		—		2,592,567		—		—		2,417,656		2,480,799		—		2,480,799		—		—
Accrued interest receivable		145,257		145,257		—		145,257		—		—		120,562		120,562		—		120,562		—		—
Derivative assets		29,282		29,282		—		432,815		—		(403,533)		241,365		241,365		—		432,990		—		(191,625)
Other financial assets		62		62		—		—		62		—		367		367		—		—		367		—
Liabilities
Deposits		1,530,610		1,530,611		—		1,530,611		—		—		1,465,915		1,465,916		—		1,465,916		—		—
Consolidated obligations
Bonds		69,312,550		69,842,422		—		69,842,422		—		—		61,454,356		61,888,241		—		61,888,241		—		—
Discount notes		42,173,073		42,171,876		—		42,171,876		—		—		32,768,402		32,768,861		—		32,768,861		—		—
Mandatorily redeemable capital stock		2,360		2,360		2,360		—		—		—		2,170		2,170		2,170		—		—		—
Accrued interest payable		133,209		133,209		—		133,209		—		—		125,260		125,260		—		125,260		—		—
Derivative liabilities		49,003		49,003		—		937,171		—		(888,168)		40,831		40,831		—		916,662		—		(875,831)
Other financial liabilities		30,477		30,477		30,477		—		—		—		30,368		30,368		30,368		—		—		—

4645

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		—		—		—

The fair value amounts recorded on the Statements of Condition or presented in the table above have been determined by the FHLBNY using available market information and our reasonable judgment of appropriate valuation methods.

(a)

Level 3 Instruments — The fair values of non-Agency private-label MBS and housing finance agency bonds were estimated by management based on pricing services. Valuations may have required pricing services to use significant inputs that were subjective because of the current lack of significant market activity; the inputs may not be market based and observable.

Fair Value Hierarchy

The FHLBNY records trading securities, equity investments, available-for-sale securities, derivative instruments, and Consolidated obligations and advances elected under the FVO at fair values on a recurring basis. On a non-recurring basis for the FHLBNY, when mortgage loans held-for-portfolio are written down or are foreclosed as Other Real Estate Owned (REO or OREO), they are recorded at the fair values of the real estate collateral supporting the mortgage loans.

The accounting standards under Fair Value Measurement defines fair value, establishes a consistent framework for measuring fair value and requires disclosures about fair value measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Among other things, the standard requires the FHLBNY to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. The standard specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect the FHLBNY’s market assumptions.

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.

4746

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 0 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 were based on observable market prices or parameters or derived from such prices or parameters. Where observable prices are not available, valuation models and inputs are utilized. These valuation techniques involve some level of management estimation and judgment, the degree of which is dependent on the price transparency for the instruments or markets and the instruments’ complexity. Because an active secondary market does not exist for a portion of the FHLBNY’s financial instruments, in certain cases, fair values are not subject to precise quantification or verification and may change as economic and market factors and evaluation of those factors change.

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 3 designated third-party pricing services at ~~June~~September 30, 2021 and December 31, 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 3 prices are received, the middle price is used; if 2 prices are received, the average of the 2 prices is used; and if 1 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 0 third-party vendor price or only 1 third-party vendor price is available in order to arrive at an estimated fair value.

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.

4847

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 invests in money market, equity and fixed income and bond funds. Daily net asset values (NAVs) are readily available and investments are redeemable at short notice. NAVs are the fair values of the funds in the grantor trust. Because of the highly liquid nature of the investments at their NAVs, they are categorized as Level 1 financial instruments under the valuation hierarchy.

Advances elected under the FVO - When the FHLBNY elects the FVO designation for certain advances, the advances are recorded at their fair values in the Statements of Condition. The fair values are computed using standard option valuation models. The most significant inputs to the valuation model are (1) Consolidated obligation debt curve (CO Curve), published by the Office of Finance and available to the public, and (2) 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.

●

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.

4948

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. The FHLBNY’s internal valuation models use 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~~September 30, 2021 and December 31, 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:

●

LIBOR Swap Curve.

●

Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options.

●

Prepayment assumption (if applicable).

●

Federal funds curve (FF/OIS curve).

●

SOFR curve (SOFR/OIS)

5049

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. SOFR and the FF/OIS curves are inputs to the valuation model and are obtained from industry standard pricing vendors; the inputs are available and observable over the entire terms of the interest rate swaps.

Management considers the SOFR and the federal funds curve to be Level 2 inputs. The FHLBNY’s valuation model utilizes industry standard OIS methodology. The model generates forecasted cash flows using the contractual cash flows, then discounts the cash flows by SOFR and FF/OIS curve to generate fair values.

Credit risk and credit valuation adjustments

The FHLBNY is subject to credit risk in derivatives transactions due to the potential non-performance of its derivatives counterparties or a 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 0 credit adjustments were deemed necessary to the recorded fair value of Derivative assets and Derivative liabilities in the Statements of Condition at ~~June~~September 30, 2021 and December 31, 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~~September 30, 2021 and December 31, 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. OREO is measured at fair value when the asset’s fair value less costs to sell is lower than its carrying amount.

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):


	September 30, 2021
									Netting
									Adjustment and
	Total		Level 1		Level 2		Level 3		Cash Collateral
Assets
Trading securities
U.S. Treasury securities	$	4,377,199	$	4,377,199	$	—	$	—	$	—
Equity Investments		91,813		91,813		—		—		—
Available-for-sale securities
GSE/U.S. agency issued MBS		4,557,420		—		4,557,420		—		—
State and local housing finance agency obligations		901,192		—		—		901,192		—
Derivative assets ^(a)
Interest-rate derivatives		241,361		—		432,986		—		(191,625)
Mortgage delivery commitments		4		—		4		—		—

Total recurring fair value measurement - Assets	$	10,168,989	$	4,469,012	$	4,990,410	$	901,192	$	(191,625)

Liabilities
Consolidated obligation:
Bonds (to the extent FVO is elected) ^(b)	$	(10,811,362)	$	—	$	(10,811,362)	$	—	$	—
Derivative liabilities ^(a)
Interest-rate derivatives		(40,708)		—		(916,539)		—		875,831
Mortgage delivery commitments		(123)		—		(123)		—		—

Total recurring fair value measurement - Liabilities	$	(10,852,193)	$	—	$	(11,728,024)	$	—	$	875,831

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, 2021

Netting

Adjustment and


Total

Level 1

Level 2

Level 3

Cash Collateral
Assets

Trading securities

Corporate notes

$
2,132

$
—

$
2,132

$
—

$
—
U.S. Treasury securities

7,073,274

7,073,274

—

—

—
Equity Investments

91,401

91,401

—

—

—
Available-for-sale securities

GSE/U.S. agency issued MBS

4,103,451

—

4,103,451

—

—
State and local housing finance agency obligations

900,661

—

—

900,661

—
Derivative assets ^(a)

Interest-rate derivatives

29,250

—

432,783

—

(403,533)
Mortgage delivery commitments

32

—

32

—

—

Total recurring fair value measurement - Assets

$
12,200,201

$
7,164,675

$
4,538,398

$
900,661

$
(403,533)

Liabilities

Consolidated obligation:

Discount notes (to the extent FVO is elected)

$
(1,249,963)

$
—

$
(1,249,963)

$
—

$
—
Bonds (to the extent FVO is elected) ^(b)

(13,347,759)

—

(13,347,759)

—

—
Derivative liabilities ^(a)

Interest-rate derivatives

(49,002)

—

(937,170)

—

888,168
Mortgage delivery commitments

(1)

—

(1)

—

—

Total recurring fair value measurement - Liabilities

$
(14,646,725)

$
—

$
(15,534,893)

$
—

$
888,168


	December 31, 2020
									Netting
									Adjustment and
	Total		Level 1		Level 2		Level 3		Cash Collateral
Assets
Trading securities
Corporate notes	$	2,164	$	—	$	2,164	$	—	$	—
U.S. Treasury securities		11,740,801		11,740,801		—		—		—
Equity Investments		80,369		80,369		—		—		—
Available-for-sale securities
GSE/U.S. agency issued MBS		3,435,945		—		3,435,945		—		—
Derivative assets^(a)
Interest-rate derivatives		36,640		—		437,860		—		(401,220)
Mortgage delivery commitments		29		—		29		—		—

Total recurring fair value measurement - Assets	$	15,295,948	$	11,821,170	$	3,875,998	$	—	$	(401,220)

Liabilities
Consolidated obligation:
Discount notes (to the extent FVO is elected)	$	(7,133,755)	$	—	$	(7,133,755)	$	—	$	—
Bonds (to the extent FVO is elected) ^(b)		(16,580,464)		—		(16,580,464)		—		—
Derivative liabilities ^(a)
Interest-rate derivatives		(70,759)		—		(1,124,474)		—		1,053,715
Mortgage delivery commitments		(1)		—		(1)		—		—

Total recurring fair value measurement - Liabilities	$	(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.

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				State and Local Housing Finance Agency Obligations
	Three months ended June 30,		Six months ended June 30,		Three months ended September 30,		Nine months ended September 30,
	2021		2021		2021		2021
Balance, beginning of the period	$	0	$	0	$	0	$	0
Transfer of securities from held-to-maturity to available-for-sale		900,719		900,719		900,719		900,719
Provision for credit losses						586		586
Net unrealized gains (losses) in other comprehensive income		(58)		(58)		(113)		(113)
Balance, end of the period	$	900,661	$	900,661	$	901,192	$	901,192

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


	During the period ended June 30, 2021								During the period ended September 30, 2021
	Fair Value		Level 1		Level 2		Level 3		Fair Value		Level 1		Level 2		Level 3
Mortgage loans held-for-portfolio	$	657	$	—	$	657	$	—	$	657	$	—	$	657	$	—
Real estate owned										315		—		—		315
Total non-recurring assets at fair value	$	657	$	—	$	657	$	—	$	972	$	—	$	657	$	315


	During the period ended December 31, 2020
	Fair Value		Level 1		Level 2		Level 3
Mortgage loans held-for-portfolio	$	1,671	$	—	$	1,671	$	—
Total non-recurring assets at fair value	$	1,671	$	—	$	1,671	$	—

Mortgage loans and REO — The FHLBNY measured and recorded certain impaired mortgage loans and REO (foreclosed properties) on a non-recurring basis. These assets were subject to fair value adjustments in certain circumstances at the occurrence of the events during the periods in this report. Impaired loans were primarily loans that were delinquent for 180 days or more, partially charged-off, with the remaining loans recorded at their collateral values at the dates the loans were charged off. Fair value adjustments on the impaired loans and real estate owned assets were based primarily on broker price opinions.

In accordance with disclosure provisions, we have reported changes in fair values of such assets as of the date the fair value adjustments were recorded during the period ended ~~June~~September 30, 2021 and December 31, 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 consolidated obligation discount notes and the premium/discount amortization on fair value option consolidated obligation bonds are recorded as part of net interest income in the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains (losses) on financial instruments held under fair value option in the Statements of Income. The change in fair value does not include changes in instrument-specific credit risk. The FHLBNY has determined that 0 adjustments to the fair values of its instruments recorded under the fair value option for instrument-specific credit risk were necessary at ~~June~~September 30, 2021 and December 31, 2020.

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 rated instruments, and changes in fair values are generally related to changes in interest rates and investor preference, including investor asset allocation strategies. The FHLBNY believes the credit-quality of Consolidated obligation debt has remained stable, and changes in fair value attributable to instrument-specific credit risk, if any, were not material given that the debt elected under the FVO had been issued within the recent past periods, and no adverse changes have been observed in their credit characteristics.

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


	Three months ended June 30,								Three months ended September 30,
	2021		2020		2021		2020		2021		2020		2021		2020

	Bonds				Discount Notes				Bonds				Discount Notes
Balance, beginning of the period	$	(15,857,603)	$	(4,606,885)	$	(2,449,831)	$	(18,068,215)	$	(13,347,759)	$	(1,302,385)	$	(1,249,963)	$	(20,159,341)
New transactions elected for fair value option		(6,395,925)		(500,000)		—		(4,271,624)		(4,415,000)		(14,275,000)		—		(2,498,439)
Maturities and terminations		8,900,000		3,775,000		1,199,319		2,182,845		6,950,000		800,000		1,249,392		9,793,052
Net gains (losses) on financial instruments held under fair value option		3,536		6,190		335		4,374		282		770		33		6,337
Change in accrued interest/unaccreted balance		2,233		23,310		214		(6,721)		1,115		(358)		538		5,322
Balance, end of the period	$	(13,347,759)	$	(1,302,385)	$	(1,249,963)	$	(20,159,341)	$	(10,811,362)	$	(14,776,973)	$	—	$	(12,853,069)


	Six months ended June 30,								Nine months ended September 30,
	2021		2020		2021		2020		2021		2020		2021		2020

	Bonds				Discount Notes				Bonds				Discount Notes
Balance, beginning of the period	$	(16,580,464)	$	(12,134,043)	$	(7,133,755)	$	(2,186,603)	$	(16,580,464)	$	(12,134,043)	$	(7,133,755)	$	(2,186,603)
New transactions elected for fair value option		(11,345,925)		(1,300,000)		(1,249,392)		(20,120,994)		(15,760,925)		(15,575,000)		(1,249,391)		(22,619,434)
Maturities and terminations		14,575,000		12,067,000		7,118,211		2,182,845		21,525,000		12,867,000		8,367,602		11,975,897
Net gains (losses) on financial instruments held under fair value option		1,939		2,132		1,994		(13,522)		2,221		2,902		2,027		(7,185)
Change in accrued interest/unaccreted balance		1,691		62,526		12,979		(21,067)		2,806		62,168		13,517		(15,744)
Balance, end of the period	$	(13,347,759)	$	(1,302,385)	$	(1,249,963)	$	(20,159,341)	$	(10,811,362)	$	(14,776,973)	$	—	$	(12,853,069)

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 September 30,
	2021						2020
			Net Gains		Total Change in Fair				Net Gains		Total Change in Fair
			(Losses) Due to		Value Included in				(Losses) Due to		Value Included in
	Interest		Changes in Fair		Current Period		Interest		Changes in Fair		Current Period
	Expense		Value		Earnings		Expense		Value		Earnings
Consolidated obligation bonds	$	(2,938)	$	282	$	(2,656)	$	(3,643)	$	770	$	(2,873)
Consolidated obligation discount notes		(71)		33		(38)		(15,654)		6,337		(9,317)
	$	(3,009)	$	315	$	(2,694)	$	(19,297)	$	7,107	$	(12,190)

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,

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

$
(4,353)

$
3,536

$
(817)

$
(8,312)

$
6,190

$
(2,122)
Consolidated obligation discount notes

(465)

335

(130)

(21,808)

4,374

(17,434)

$
(4,818)

$
3,871

$
(947)

$
(30,120)

$
10,564

$
(19,556)


	Six months ended June 30,												Nine months ended September 30,
	2021						2020						2021						2020
			Net Gains						Net Gains		Total Change in Fair				Net Gains		Total Change in Fair				Net Gains		Total Change in Fair
			(Losses) Due to		Total Change in Fair				(Losses) Due to		Value Included in				(Losses) Due to		Value Included in				(Losses) Due to		Value Included in
	Interest		Changes in Fair		Value Included in Current		Interest		Changes in Fair		Current Period		Interest		Changes in Fair		Current Period		Interest		Changes in Fair		Current Period
	Expense		Value		Period Earnings		Expense		Value		Earnings		Expense		Value		Earnings		Expense		Value		Earnings
Consolidated obligation bonds	$	(9,906)	$	1,939	$	(7,967)	$	(45,402)	$	2,132	$	(43,270)	$	(12,844)	$	2,221	$	(10,623)	$	(49,045)	$	2,902	$	(46,143)
Consolidated obligation discount notes		(3,768)		1,994		(1,774)		(36,134)		(13,522)		(49,656)		(3,839)		2,027		(1,812)		(51,788)		(7,185)		(58,973)
	$	(13,674)	$	3,933	$	(9,741)	$	(81,536)	$	(11,390)	$	(92,926)	$	(16,683)	$	4,248	$	(12,435)	$	(100,833)	$	(4,283)	$	(105,116)

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, 2021						September 30, 2021
					Fair Value Over/(Under)						Fair Value Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid		Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance		Principal Balance		Value		Principal Balance
Consolidated obligation bonds ^(b)	$	13,345,925	$	13,347,759	$	1,834	$	10,810,925	$	10,811,362	$	437
Consolidated obligation discount notes ^(c)		1,249,392		1,249,963		571
	$	14,595,317	$	14,597,722	$	2,405


	December 31, 2020
					Fair Value Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance
Consolidated obligation bonds ^(b)	$	16,575,000	$	16,580,464	$	5,464
Consolidated obligation discount notes ^(c)		7,118,211		7,133,755		15,544
	$	23,693,211	$	23,714,219	$	21,008


	June 30, 2020						September 30, 2020
					Fair Value Over/(Under)						Fair Value Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid		Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance		Principal Balance		Value		Principal Balance
Consolidated obligation bonds ^(b)	$	1,300,000	$	1,302,385	$	2,385	$	14,775,000	$	14,776,973	$	1,973
Consolidated obligation discount notes ^(c)		20,120,995		20,159,341		38,346		12,826,382		12,853,069		26,687
	$	21,420,995	$	21,461,726	$	40,731	$	27,601,382	$	27,630,042	$	28,660

(a)

Advances – NaN advances elected under the FVO were outstanding at ~~June~~September 30, 2021, December 31, 2020 and ~~June~~September 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)

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)	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.

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 1 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 $0.6 trillion as of September 30, 2021 and $0.7 trillion as of ~~June 30, 2021 and~~ December 31, 2020.

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 0 shortfalls in any periods in this report.

The following table summarizes contractual obligations and contingencies as of ~~June~~September 30, 2021 (in thousands):


	June 30, 2021										September 30, 2021
	Payments Due or Expiration Terms by Period										Payments Due or Expiration Terms by Period
			Greater Than		Greater Than								Greater Than		Greater Than
	Less Than		One Year		Three Years		Greater Than				Less Than		One Year		Three Years		Greater Than
	One Year		to Three Years		to Five Years		Five Years		Total		One Year		to Three Years		to Five Years		Five Years		Total
Contractual Obligations
Consolidated obligation bonds at par^(a)	$	37,712,490	$	11,146,415	$	10,766,510	$	9,093,700	$	68,719,115	$	26,957,790	$	12,086,545	$	13,396,780	$	8,485,700	$	60,926,815
Consolidated obligation discount notes at par		42,174,015		—		—		—		42,174,015		32,769,938		—		—		—		32,769,938
Mandatorily redeemable capital stock ^(a)		109		253		275		1,723		2,360		104		240		260		1,566		2,170
Premises (lease obligations) ^(b)		6,951		15,910		16,255		58,005		97,121		7,160		16,028		16,282		55,959		95,429
Remote backup site		686		1,278		—		—		1,964		804		1,100		—		—		1,904
Other liabilities ^(c)		86,409		11,926		9,502		85,191		193,028		79,822		11,925		9,502		82,142		183,391

Total contractual obligations		79,980,660		11,175,782		10,792,542		9,238,619		111,187,603		59,815,618		12,115,838		13,422,824		8,625,367		93,979,647

Other commitments
Standby letters of credit ^(d)		20,427,581		39,478		—		—		20,467,059		21,295,948		40,188		—		—		21,336,136
Consolidated obligation bonds/discount notes traded not settled		4,980,000		—		—		—		4,980,000		2,213,000		—		—		—		2,213,000
Commitments to fund pension		10,000		—		—		—		10,000		10,000		—		—		—		10,000
Open delivery commitments ( MAP)		10,875		—		—		—		10,875
Open delivery commitments (MAP)												21,868		—		—		—		21,868

Total other commitments		25,428,456		39,478		—		—		25,467,934		23,540,816		40,188		—		—		23,581,004

Total obligations and commitments	$	105,409,116	$	11,215,260	$	10,792,542	$	9,238,619	$	136,655,537	$	83,356,434	$	12,156,026	$	13,422,824	$	8,625,367	$	117,560,651

(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

~~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.

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

(b)	Amounts represent undiscounted obligations. Lease obligations are recorded in the Statements of Condition as a Right-of-use (ROU) asset and a corresponding lease liability. Immaterial amounts of equipment and other leases have been excluded in the table above.

(c)

Includes accounts payable and accrued expenses, liabilities recorded for future settlements of investments, Pass-through reserves due to member institutions held at the FRB, and projected payment obligations for pension plans. Where it was not possible to estimate the exact timing of payment obligations, they were assumed to be due within one year; amounts were not material. For more information about employee retirement plans in general, see Note 16. Employee Retirement Plans.

(d)

Financial letters of credit - Standby letters of credit are executed for a fee on behalf of members to facilitate residential housing, community lending, and members’ asset/liability management or to provide liquidity. A standby letter of credit is a financing arrangement between the FHLBNY and its member. Members assume an unconditional obligation to reimburse the FHLBNY for value given by the FHLBNY to the beneficiary under the terms of the standby letter of credit. The FHLBNY may, in its discretion, permit the member to finance repayment of their obligation by receiving a collateralized advance.

Effective January 1, 2020, we adopted the framework for credit losses under ASU 2016-13 (Topic 326); adoption did not result in a recognition of credit losses on off-balance sheet arrangements as of January 1, 2020 or periods in this report.

Operating Lease Commitments

In compliance with the guidance under ASU 2016-02, Leases (Topic 842), we recognize in our ~~Statement~~Statements of Condition all leases with lease terms greater than twelve months as a lease liability with a corresponding right-of-use (ROU) asset.

At ~~June~~September 30, 2021 and December 31, 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.~~Income. ROU and lease liabilities are reported in the Statements of ~~condition.~~Condition.

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, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Operating Leases ^(a)
Right-of-use assets	$	68,200	$	70,733	$	66,917	$	70,733
Lease Liabilities	$	81,773	$	84,475	$	80,405	$	84,475


	Three months ended June 30,						Six months ended June 30,				Three months ended September 30,						Nine months ended September 30,
	2021			2020			2021		2020		2021			2020			2021		2020
Operating Lease Expense	$	1,952		$	1,940		$	3,904	$	3,880	$	1,952		$	1,944		$	5,856	$	5,823
Operating cash flows - Cash Paid	$	2,037		$	1,982		$	4,073	$	3,878	$	2,037		$	1,997		$	6,111	$	5,874

	June 30, 2021			December 31, 2020							September 30, 2021			December 31, 2020
Weighted Average Discount Rate		3.30	%		3.29	%						3.30	%		3.29	%
Weighted Average Remaining Lease Term		11.53	Years		12.01	Years						11.30	Years		12.01	Years


	Remaining maturities through				Remaining maturities through
Operating lease liabilities	June 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Remainder of 2021	$	4,075	$	8,148	$	2,037	$	8,148
2022		8,246		8,246		8,246		8,246
2023		8,615		8,615		8,615		8,615
2024		8,297		8,297		8,298		8,297
2025		8,088		8,088		8,088		8,088
Thereafter		61,798		61,798		61,798		61,798
Total undiscounted lease payments		99,119		103,192		97,082		103,192
Imputed interest		(17,346)		(18,717)		(16,677)		(18,717)
Total operating lease liabilities	$	81,773	$	84,475	$	80,405	$	84,475

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

~~Table of Contents~~

~~Federal Home Loan Bank of New York~~

~~Notes to Financial Statements — Unaudited~~

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 — In 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~~nine months ended ~~June~~September 30, 2020.

Debt transfers — NaN debt was transferred to another FHLBank in the ~~six~~nine months ended ~~June~~September 30, 2021 and in the same period in the prior year.

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Advances Sold or Transferred

NaN 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 ~~$5.3~~$5.0 million at ~~June~~September 30, 2021 and $6.0 million at December 31, 2020.

Fees paid to the FHLBank of Chicago for providing MPF program services were approximately $0.4 million and ~~$1.0~~$1.4 million for the three and ~~six~~nine months ended ~~June~~September 30, 2021, compared to $0.7 million and ~~$1.3~~$2.0 million for the same periods in the prior year.

Mortgage-backed Securities

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

Intermediation

From time to time, the FHLBNY acts as an intermediary to purchase derivatives to accommodate its smaller members. At ~~June~~September 30, 2021 and December 31, 2020, outstanding notional amounts were $79.0 million and $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.

~~Table of Contents~~

~~Federal Home Loan Bank of New York~~

~~Notes to Financial Statements — Unaudited~~

Loans to Other Federal Home Loan Banks

There were ~~$0.3 billion~~0 overnight loans extended to other FHLBanks in the three months ended ~~June~~September 30, ~~2021.~~2021 and September 30, 2020. In the ~~three and six~~nine months ended ~~June~~September 30, 2021 and September 30, 2020, overnight loans extended to other FHLBanks averaged ~~$3.3~~$1.1 million and ~~$1.7~~$2.7 million, ~~compared to $0 million and $4.1 million in the same periods in the prior year.~~respectively. 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 0 borrowings from other FHLBanks in the ~~six~~nine months ended ~~June~~September 30, 2021 and ~~June~~September 30, 2020.

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

The FHLBNY is a lessor of shared office space to another FHLBank for a term through August 2028 at an estimated $0.1 million in annual lease receipts.

Cash and Due from Banks

At ~~June~~September 30, 2021 and December 31, 2020, there was no0 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, 2021 and December 31, 2020, and transactions for the three and six months ended June 30, 2021 and June 30, 2020 (in thousands):

~~Related Party: Outstanding Assets, Liabilities and Capital~~

June 30, 2021

December 31, 2020

Related

Related
Assets

Advances

$
79,984,530

$
92,067,104
Accrued interest receivable

76,114

89,604

Liabilities and capital

Deposits

$
1,530,610

$
1,752,963
Mandatorily redeemable capital stock

2,360

2,991
Accrued interest payable

30

45
Affordable Housing Program ^(a)

152,523

148,827
Other liabilities ^(b)

30,477

32,378

Capital

$
6,820,527

$
7,256,699

~~(a)~~

~~Represents funds not yet allocated or disbursed to AHP programs.~~

~~(b)~~

~~Includes member pass-through reserves at the Federal Reserve Bank of New York.~~

6059

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

The following tables summarize significant balances and transactions with related parties at September 30, 2021 and December 31, 2020, and transactions for the three and nine months ended September 30, 2021 and September 30, 2020 (in thousands):

Related Party: Outstanding Assets, Liabilities and Capital


	September 30, 2021		December 31, 2020
	Related		Related
Assets
Advances	$	70,547,573	$	92,067,104
Accrued interest receivable		70,011		89,604

Liabilities and capital
Deposits	$	1,465,915	$	1,752,963
Mandatorily redeemable capital stock		2,170		2,991
Accrued interest payable		26		45
Affordable Housing Program ^(a)		144,803		148,827
Other liabilities ^(b)		30,368		32,378

Capital	$	6,411,354	$	7,256,699

(a)	Represents funds not yet allocated or disbursed to AHP programs.

(b)	Includes member pass-through reserves at the Federal Reserve Bank of New York.

Related Party: Income and Expense Transactions


	Three months ended June 30,				Six months ended June 30,				Three months ended September 30,				Nine months ended September 30,
	2021		2020		2021		2020		2021		2020		2021		2020
	Related		Related		Related		Related		Related		Related		Related		Related
Interest income
Advances	$	123,567	$	326,230	$	263,395	$	790,795	$	116,229	$	193,003	$	379,624	$	983,798
Interest-bearing deposits		—		—		—		1		—		—		—		1
Loans to other FHLBanks		1		—		1		33		—		—		1		33

Interest expense
Deposits	$	69	$	146	$	175	$	3,374	$	116	$	208	$	291	$	3,582
Mandatorily redeemable capital stock		28		56		62		135		25		65		87		200

Service fees and other	$	4,539	$	4,622	$	8,737	$	9,322	$	4,354	$	4,459	$	13,091	$	13,781

Table of Contents

Federal Home Loan Bank of New York

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 1 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~~September 30, 2021, December 31, 2020 and ~~June~~September 30, 2020 and associated interest income for the years then ended are summarized as follows (dollars in thousands):


	June 30, 2021															September 30, 2021
					Percentage of															Percentage of
			Par		Total Par Value		Three Months					Six Months						Par		Total Par Value		Three Months					Nine Months
	City	State	Advances		of Advances		Interest Income		Percentage ^(a)			Interest Income		Percentage ^(a)		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	19.25	%	$	38,698		22.45	%	$	77,950	22.11	%	New York	NY	$	15,245,000	21.80	%	$	40,303		25.42	%	$	118,253	23.48	%
Metropolitan Tower Life Insurance Company	New York	NY		955,000	1.21			1,214		0.70			2,452	0.70		New York	NY		1,005,000	1.44			1,368		0.86			3,820	0.76
Subtotal MetLife,Inc.				16,200,000	20.46			39,912		23.15			80,402	22.81					16,250,000	23.24			41,671		26.28			122,073	24.24
New York Community Bank	Westbury	NY		14,002,661	17.68			51,949		30.13			104,744	29.71		Westbury	NY		13,977,661	19.99			51,921		32.74			156,665	31.11
Equitable Financial Life Insurance Company																New York	NY		6,802,175	9.73			14,091		8.89			46,337	9.20
Citibank, N.A.	New York	NY		11,500,000	14.52			21,147		12.27			45,313	12.86		New York	NY		5,751,000	8.23			16,296		10.28			61,609	12.23
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		3,575,000	4.51			8,631		5.01			16,789	4.76		Short Hills	NJ		3,075,000	4.40			7,589		4.79			24,378	4.84
New York Life Insurance Company																New York	NY		2,725,000	3.90			13,155		8.30			40,700	8.08
Signature Bank	New York	NY		2,764,245	3.49			7,316		4.24			14,878	4.22		New York	NY		2,664,245	3.81			6,820		4.30			21,698	4.31
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
ESL Federal Credit Union																Rochester	NY		1,683,937	2.41			1,865		1.18			5,717	1.14
Valley National Bank ^(b)	Wayne	NJ		1,645,870	2.08			7,563		4.39			16,376	4.65		Wayne	NJ		1,388,000	1.98			4,475		2.82			20,851	4.14
Goldman Sachs Bank USA	New York	NY		1,600,000	2.02			1,321		0.77			1,839	0.52
Teachers Ins. & Annuity Assoc of America																New York	NY		1,126,634	1.61			674		0.42			3,552	0.71
Total			$	63,830,891	80.59	%	$	172,400		100.00	%	$	352,520	100.00	%			$	55,443,652	79.30	%	$	158,557		100.00	%	$	503,580	100.00	%

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

(b)	At September 30, 2021, an officer of this member bank also served on the Board of Directors of the FHLBNY.

Table of Contents

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

~~(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 the second quarter of 2020.


	June 30, 2020																September 30, 2020
					Percentage of																Percentage of
			Par		Total Par Value		Three Months					Six Months							Par		Total Par Value		Three Months					Nine Months
	City	State	Advances		of Advances		Interest Income		Percentage ^(a)			Interest Income		Percentage ^(a)			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	%	New York	NY	$	23,950,000	22.89	%	$	42,786		18.45	%	$	249,319		27.41	%
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	14.57			44,351		19.12			171,063		18.81
Metropolitan Tower Life Insurance Company	New York	NY		955,000	0.85			633		0.21			633		0.10		New York	NY		955,000	0.91			1,281		0.55			1,914		0.21
Subtotal MetLife, Inc.				16,200,000	14.46			53,374		17.72			127,345		19.59					16,200,000	15.48			45,632		19.67			172,977		19.02
New York Community Bank ^(b)	Westbury	NY		13,552,661	12.10			58,381		19.38			123,458		18.99		Westbury	NY		14,227,661	13.60			55,981		24.14			179,439		19.73
Equitable Financial Life Insurance Company ^(c)	New York	NY		6,692,475	5.98			18,184		6.04			47,371		7.29		New York	NY		6,840,415	6.54			15,290		6.59			62,661		6.89
HSBC Bank USA, National Association	New York	NY		5,750,000	5.13			14,001		4.65			19,856		3.05		New York	NY		5,250,000	5.02			11,690		5.04			31,546		3.47
Investors Bank ^(b)	Short Hills	NJ		4,175,319	3.73			16,056		5.33			40,036		6.16		Short Hills	NJ		3,850,279	3.68			12,477		5.38			52,513		5.77
Valley National Bank ^(b)																	Wayne	NJ		3,397,352	3.25			12,018		5.18			38,626		4.24
Prudential Insurance Company of America																	Newark	NJ		3,040,725	2.91			9,056		3.90			22,139		2.43
Signature Bank	New York	NY		3,884,245	3.47			14,643		4.86			36,450		5.61		New York	NY		2,839,245	2.71			10,640		4.59			47,090		5.18
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
New York Life Insurance Company																	New York	NY		2,825,000	2.70			16,369		7.06			53,284		5.86
Total			$	87,018,977	77.69	%	$	301,227		100.00	%	$	650,024		100.00	%			$	82,420,677	78.78	%	$	231,939		100.00	%	$	909,594		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~~September 30, 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 the second quarter of 2020.

Table of Contents

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

Forward-Looking Statements

Statements contained in this Quarterly Report on Form 10-Q, including statements describing the objectives, projections, estimates, or predictions of the Federal Home Loan Bank of New York (“~~we”~~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, 2020, filed with the SEC on March 19, 2021 (the “2020 Annual Report”), and the risks set forth below, and that actual results could differ materially from those expressed or implied in these forward-looking statements. As a result, you are cautioned not to place undue reliance on such statements. These forward-looking statements speak only as of the date they were made, and the Bank does not undertake to update any forward-looking statement herein. Forward-looking statements include, among others, the following:

●	the Bank’s projections regarding income, retained earnings, dividend payouts, and the repurchase of excess capital stock;

●	the Bank’s statements related to gains and losses on derivatives, future credit and impairment charges, and future classification of securities;

●	the Bank’s expectations relating to future balance sheet growth;

●	the LIBOR interest rate transition to other alternatives;

●	the Bank’s targets under the Bank’s retained earnings plan;

●	the Bank’s expectations regarding the size of its mortgage loan portfolio, particularly as compared to prior periods; and

●	the Bank’s statements related to reform legislation, including without limitation, housing, government-sponsored enterprise or COVID-19 pandemic legislation.

Actual results may differ from forward-looking statements for many reasons, including, but not limited to, the risk factors set forth in Part I, Item 1A – Risk Factors of our 2020 Annual Report, and the risks set forth below:

●	changes in economic and market conditions, including the evolving risks relating to the current coronavirus pandemic;

●	changes in demand for Bank advances and other products resulting from changes in members’ deposit flows and credit demands or otherwise;

●	an increase in advance prepayments as a result of changes in interest rates (including negative interest rates) or other factors;

●	the volatility of market prices, rates, and indices that could affect the value of collateral held by the Bank as security for obligations of Bank members and counterparties to interest rate exchange agreements and similar agreements;

●	political events, including legislative developments that affect the Bank, its members, counterparties, and/or investors in the Consolidated obligations (“COs”) of the FHLBanks;

●	competitive forces including, without limitation, other sources of funding available to Bank members, other entities borrowing funds in the capital markets, and the ability to attract and retain skilled employees;

●	the pace of technological change and the ability of the Bank to develop and support technology and information systems, including the internet, sufficient to manage the risks of the Bank’s business effectively;

●	changes in investor demand for COs and/or the terms of interest rate exchange agreements and similar agreements;

●	timing and volume of market activity;

●	ability to introduce new or adequately adapt current Bank products and services and successfully manage the risks associated with those products and services, including new types of collateral used to secure advances;

●	risk of loss arising from litigation filed against one or more of the FHLBanks;

●	realization of losses arising from the Bank’s joint and several liability on COs;

●	risk of loss due to fluctuations in the housing market;

●	inflation or deflation;

●	issues and events within the FHLBank System and in the political arena that may lead to legislative, regulatory, judicial, or other developments that may affect the marketability of the COs, the Bank’s financial obligations with respect to COs, and the Bank’s ability to access the capital markets;

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.

Table of Contents

Organization of Management’s Discussion and Analysis (MD&A).

This MD&A is designed to provide information that will assist the readers in better understanding the FHLBNY’s financial statements, the changes in key items in the Bank’s financial statements from period to period and the primary factors driving those changes as well as how accounting principles affect the FHLBNY’s financial statements. The MD&A is organized as follows:


	Page
Executive Overview	66
~~Second~~Third Quarter 2021 Financial Results	66
Financial Condition	67
Other Developments	69
Financial Condition	7273
Advances	7576
Investments	8081
Mortgage Loans Held-for-Portfolio, Net	8687
Debt Financing Activity and Consolidated Obligations	8788
Stockholders’ Capital	9395
Derivative Instruments and Hedging Activities	9597
Liquidity, Cash Flows, Short-Term Borrowings and Short-Term Debt	9799
Results of Operations	~~101~~103
Net Income	~~101~~103
Net Interest Income, Interest Rate Margin and Interest Rate Spreads	~~103~~105
Interest Income	~~109~~111
Interest Expense	~~110~~112
Analysis of Non-Interest Income (Loss)	~~112~~114
Operating Expenses, Compensation and Benefits, and Other Expenses	~~115~~116
Assessments	~~116~~117
Legislative and Regulatory Developments	~~116~~118


MD&A TABLE REFERENCE	MD&A TABLE REFERENCE			MD&A TABLE REFERENCE

Table(s)		Description	Page(s)		Description	Page(s)
		Selected Financial Data	70-71		Selected Financial Data	70-72
1.1		Financial Condition	72		Financial Condition	73
1.2		Overview of LIBOR-indexed Instruments Outstanding	75		Overview of LIBOR-indexed Instruments Outstanding	76
2.1 - 2.8		Advances	76-80		Advances	77-81
3.1 - 3.8		Investments	81-85		Investments	82-86
4.1 - 4.3		Mortgage Loans	86-87		Mortgage Loans	87-88
5.1 - 5.11		Consolidated Obligations	88-93		Consolidated Obligations	89-95
6.1 - 6.4		Capital	93-95		Capital	95-97
7.1		Derivatives	96		Derivatives	98-99
8.1 - 8.3		Liquidity	98-99		Liquidity	100-101
8.4		Short Term Debt	100		Short Term Debt	102
9.1 - 9.11		Results of Operations	101-115		Results of Operations	103-116
10.1		Assessments	116		Assessments	117

Table of Contents

Executive Overview

This overview of management’s discussion and analysis highlights selected information and may not contain all of the information that is important to readers of this Form 10-Q. For a more complete understanding of events, trends and uncertainties, as well as the liquidity, capital, credit and market risks, and critical accounting estimates, affecting the Federal Home Loan Bank of New York (FHLBNY or Bank), this Form 10-Q should be read in its entirety and in conjunction with the Bank’s most recent 2020 Form 10-K filed on March 19, 2021.

Cooperative business model. As a cooperative, we seek to maintain a balance between our public policy mission and our ability to provide adequate returns on the capital supplied by our members. We achieve this balance by delivering low-cost financing to members to help them meet the credit needs of their communities and by paying a dividend on members’ capital stock. Our financial strategies are designed to enable us to expand and contract in response to member credit needs. By investing capital in high-quality, short- and medium-term financial instruments, we maintain sufficient liquidity to satisfy member demand for short- and long-term funds, repay maturing Consolidated obligations (CO bonds and CO discount notes), and meet other obligations. The dividends we pay are largely the result of earnings on invested member capital, net earnings on advances to members, mortgage loans and investments, offset in part by operating expenses and assessments. Our Board of Directors and Management determine the pricing of member credit and dividend policies based on the needs of our members and the cooperative as well as current and forecasted conditions in the marketplace.

Business segment. We manage our operations as a single business segment. Advances to members are our primary focus and the principal factor that impacts our operating results.

COVID-19 and Business Continuity. We continue to operate our business and serve our members ~~remotely. We are monitoring conditions and are developing~~remotely as we implement a phased approach to reopening our offices based on regional indicators of infection positivity rates and ~~will continue to operate~~ in compliance with all applicable laws and regulations. ~~For more information about our business continuity plans and posture~~The first phase went into effect on November 1, 2021 where approximately 50% of employees returned to the office with ~~respect~~almost all of the remaining employees expected to ~~COVID-19, see our most recent Form 10-K filed on March 19,~~return throughout November 2021.

~~Second~~Third Quarter 2021 Financial Results

Net income — Net income for the 2021 ~~second~~third quarter was ~~$74.7~~$65.8 million, a decrease of ~~$62.8~~$35.4 million, or ~~45.7~~35.0 percent compared to the same period in the prior year. Our Net income is primarily driven by Net interest income, which is the spread between costing yields on debt, and the yields earned on advances, mortgage-backed securities, and other investments. Advance balances have decreased compared with the same period as members’ funding needs remain lower driven by the significant amount of liquidity made available through government stimulus and interest rates remain very low, adversely impacting Net interest income. Non-interest income increased by ~~$13.2~~$5.6 million and expenses decreased by $3.4 million compared with the ~~second~~third quarter of ~~2020, driven primarily by an increase on the fair values of derivatives and interest accruals on economic hedges.~~2020.

Net Interest Income — Our 2021 ~~second~~third quarter Net interest income was ~~$143.2~~$128.2 million compared to ~~$229.7~~$180.8 million, a decrease of ~~37.7~~29.1 percent from the same period in the prior year. This decrease was driven by a decline of ~~$38.3~~$34.8 billion, or 31.5 percent in average ~~advance~~advances balances to ~~$87.0~~$75.6 billion at ~~June~~September 30, 2021 from ~~$125.3~~$110.4 billion at ~~June~~September 30, 2020. Net interest margin in the current year ~~second~~third quarter benefitted from prepayment fees on advances. Net interest income was potentially constrained 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 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 declining spread environment and declining requirements for liquidity by targeting lower inventories of overnight investments, while continuing to meet our liquidity metrics.~~

Other income (loss) — Other income (loss) reported a loss of ~~$9.6~~$8.7 million in the ~~second~~third quarter of 2021 compared to a loss of ~~$22.8~~$14.3 million in the ~~second~~third quarter of 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~~$0.3 million. In the prior year period, FVO instruments reported fair value gains of ~~$10.6~~$7.1 million.

Table of Contents

●

Derivative activities reported a net income in Other income of ~~$3.9~~$3.3 million in the 2021 ~~second~~third quarter, compared to net ~~expense~~income of ~~$3.9~~$10.8 million in the same period last year. Interest rate swaps in economic hedges (standalone derivatives) recorded net fair value gains of ~~$22.9~~$12.5 million in the ~~second~~third quarter of 2021, compared to net fair value gains of ~~$19.2~~$40.7 million in the ~~second~~third quarter of 2020. These fair value gains in the ~~second~~third 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~~$8.3 million in the ~~second~~third quarter of 2021 and ~~$39.2~~$16.6 million in the ~~second~~third quarter of 2020.

●

U.S. Treasury Securities held for liquidity (classified as trading) reported marked-to-market losses of ~~$26.4~~$16.1 million in the ~~second~~third quarter of 2021 and ~~$41.4~~$39.7 million in the ~~second~~third 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~~losses of ~~$4.5~~$0.5 million in current year period, compared to a gain of ~~$7.3~~$3.1 million in the prior year period.

Other expenses were ~~$52.2~~$48.1 million in the ~~second~~third quarter of 2021, compared to ~~$51.0~~$51.5 million in the ~~second~~third 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.

Affordable Housing Program Assessments (AHP) allocated from Net income were ~~$8.3~~$7.3 million in the ~~second~~third quarter of 2021, compared to ~~$15.3~~$11.3 million in the ~~second~~third 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 ~~$1.17~~$1.14 per share ~~(4.75%~~(4.60% annualized) was paid in the ~~second~~third quarter of 2021, compared to ~~$1.47~~$1.39 per share ~~(5.90%~~(5.60% annualized) in the same period in 2020.

Financial Condition — ~~June~~September 30, 2021 compared to December 31, 2020

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

Total assets declined to ~~$120.4~~$102.7 billion at ~~June~~September 30, 2021 from $137.0 billion at December 31, 2020, a decrease of ~~$16.6~~$34.3 billion, or ~~12.1%~~25.1%.

Cash at banks was ~~$52.6~~$118.8 million at ~~June~~September 30, 2021, compared to $1.9 billion at December 31, 2020.

Liquidity investments — Money market investments at ~~June~~September 30, 2021 were ~~$5.5~~$8.6 billion in federal funds sold and ~~$8.7~~$0 billion in overnight resale agreements. At December 31, 2020, money market investments were $6.3 billion in federal funds sold and $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~~September 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~~$4.4 billion and $11.7 billion at ~~June~~September 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~~September 30, 2021 and December 31, 2020 included ~~$4.1~~$4.6 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.

Table of Contents

Advances — Par balances decreased at ~~June~~September 30, 2021 to ~~$79.2~~$69.9 billion, compared to $90.7 billion at December 31, 2020. Short-term fixed-rate advances decreased by ~~10.0%~~15.6% to ~~$11.6~~$10.9 billion at ~~June~~September 30, 2021, down from $12.9 billion at December 31, 2020. ARC advances, which are adjustable-rate borrowings, decreased by ~~12.0%~~53.8% to ~~$15.0~~$7.9 billion at ~~June~~September 30, 2021, compared to $17.1 billion at December 31, 2020. Given that advances are always well collateralized, a provision for credit loss was not necessary. We have no history of credit losses on advances.

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

In the AFS portfolio, long-term investments of floating-rate GSE-issued mortgage-backed securities were carried on the balance sheet at fair values of ~~$697.0~~$634.4 million and $281.3 million at ~~June~~September 30, 2021 and December 31, 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 ~~$3.4~~$3.9 billion and $3.2 billion at ~~June~~September 30, 2021 and December 31, 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~~$901.2 million at ~~June~~September 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 ~~$10.3~~$9.7 billion and $11.8 billion at ~~June~~September 30, 2021 and December 31, 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~~September 30, 2021 and December 31, 2020, respectively.

In the HTM portfolio, State and local housing finance agency obligations were ~~$190.5~~$188.2 million at ~~June~~September 30, 2021 and $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~~September 30, 2021 and December 31, 2020, respectively.

Equity Investments — We own a grantor trust that invests in highly-liquid registered mutual funds. Funds are classified as Equity Investments and were carried on the balance sheet at fair values of ~~$91.4~~$91.8 million and $80.4 million at ~~June~~September 30, 2021 and December 31, 2020, respectively.

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 ~~$2.4~~$2.3 billion at ~~June~~September 30, 2021, a decrease of ~~$0.4~~$0.6 billion from the balance at December 31, 2020. Unpaid principal balance of MAP loans stood at ~~$56.0~~$108.2 million at ~~June~~September 30, 2021.

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~~September 30, 2021 were lower than December 31, 2020. Allowance for credit losses decreased to ~~$4.1~~$3.0 million at ~~June~~September 30, 2021, compared to $7.1 million at December 31, 2020.

Capital ratios — Our capital position remains strong. At ~~June~~September 30, 2021, actual risk-based capital was ~~$6.8~~$6.4 billion, compared to required risk-based capital of ~~$1.2 billion.~~$822.8 million. To support ~~$120.4~~$102.7 billion of total assets at ~~June~~September 30, 2021, the minimum required total capital was ~~$4.8~~$4.1 billion or 4.0% of assets. Our actual regulatory risk-based capital was ~~$6.8~~$6.4 billion, exceeding required total capital by ~~$2.0~~$2.3 billion. These ratios have remained consistently above the required regulatory ratios through all periods in this report.

Table of Contents

Other Developments

Replacement of London Interbank Offered Rates (LIBOR) — Central banks and regulators in a number of major jurisdictions have convened working groups to build consensus as to the timing and operational processes for implementing “Risk Free Rates” 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.

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 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.

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

For a discussion of recently issued accounting standards and interpretations, see financial statements, Note 2. Financial Accounting Standards Board (“FASB”) Standards Issued.

Critical Accounting Policies and Estimates

We have identified certain accounting policies that we believe are critical because they require management to make subjective judgments about matters that are inherently uncertain and because of the likelihood that materially different amounts would be reported under different conditions or by using different assumptions. These policies include estimating fair values of certain assets and liabilities, evaluating the impairment of our securities portfolios, estimating the allowance for credit losses on the advance and mortgage loan portfolios, and accounting for derivatives and hedging activities. We have discussed each of these critical accounting policies, the related estimates, and its judgment with the Audit Committee of the Board of Directors. Refer to Note 1. Critical Accounting Policies and Estimates in this Form 10-Q and in the 2020 Form 10-K filed on March 19, 2021.

Table of Contents

Selected Financial Data (Unaudited).


Statements of Condition	June 30,			March 31,			December 31,			September 30,			June 30,			September 30,			June 30,			March 31,			December 31,			September 30,
(dollars in millions)	2021			2021			2020			2020			2020			2021			2021			2021			2020			2020

Investments ^(a)	$	37,553		$	34,839		$	39,748		$	41,518		$	41,440		$	29,076		$	37,553		$	34,839		$	39,748		$	41,518
Advances		79,985			90,072			92,067			106,216			113,789			70,548			79,985			90,072			92,067			106,216
Mortgage loans held-for-portfolio, net ^(b)		2,526			2,711			2,900			3,054			3,165			2,418			2,526			2,711			2,900			3,054
Total assets		120,449			130,276			136,996			151,694			158,872			102,677			120,449			130,276			136,996			151,694
Deposits and borrowings		1,531			1,912			1,753			1,810			1,590			1,466			1,531			1,912			1,753			1,810
Consolidated obligations, net
Bonds		69,313			71,906			69,716			71,742			59,032			61,454			69,313			71,906			69,716			71,742
Discount notes		42,173			48,617			57,659			69,710			89,500			32,769			42,173			48,617			57,659			69,710
Total consolidated obligations		111,486			120,523			127,375			141,452			148,532			94,223			111,486			120,523			127,375			141,452
Mandatorily redeemable capital stock		2			3			3			3			4			2			2			3			3			3
AHP liability		153			152			149			158			159			145			153			152			149			158
Capital
Capital stock		4,867			5,314			5,367			5,996			6,334			4,447			4,867			5,314			5,367			5,996
Retained earnings
Unrestricted		1,120			1,123			1,135			1,136			1,150			1,113			1,120			1,123			1,135			1,136
Restricted		803			788			774			754			734			817			803			788			774			754
Total retained earnings		1,923			1,911			1,909			1,890			1,884			1,930			1,923			1,911			1,909			1,890
Accumulated other comprehensive income (loss)		30			13			(20)			(47)			(80)			34			30			13			(20)			(47)
Total capital		6,820			7,238			7,256			7,839			8,138			6,411			6,820			7,238			7,256			7,839
Equity to asset ratio ^(c)(j)		5.66	%		5.56	%		5.30	%		5.17	%		5.12	%		6.24	%		5.66	%		5.56	%		5.30	%		5.17	%

Three months ended

Six months ended
Statements of Condition

June 30,

March 31,

December 31,

September 30,

June 30,

June 30,

June 30,
Averages (See note below; dollars in millions)

2021

2021

2020

2020

2020

2021

2020

Investments ^(a)

$
34,952

$
42,043

$
42,586

$
43,571

$
44,504

$
38,478

$
47,244
Advances

87,031

90,458

98,086

110,391

125,320

88,735

114,048
Mortgage loans held-for-portfolio, net

2,608

2,806

2,986

3,105

3,201

2,707

3,201
Total assets

125,605

136,463

144,908

158,471

174,578

131,004

166,010
Interest-bearing deposits and other borrowings

1,461

1,604

1,619

1,485

1,471

1,532

1,332
Consolidated obligations, net














Bonds

68,927

68,601

71,740

63,601

73,182

68,765

78,583
Discount notes

46,796

57,621

62,464

83,653

89,559

52,179

76,479
Total consolidated obligations

115,723

126,222

134,204

147,254

162,741

120,944

155,062
Mandatorily redeemable capital stock

3

3

3

5

4

3

5
AHP liability

152

149

154

156

157

151

155
Capital














Capital stock

5,185

5,304

5,635

6,179

6,854

5,244

6,354
Retained earnings














Unrestricted

1,120

1,122

1,128

1,135

1,114

1,121

1,106
Restricted

794

779

762

741

717

787

705
Total retained earnings

1,914

1,901

1,890

1,876

1,831

1,908

1,811
Accumulated other comprehensive income (loss)

25

(1)

(33)

(67)

(114)

12

(85)
Total capital

7,124

7,204

7,492

7,988

8,571

7,164

8,080

Table of Contents


	Three months ended										Nine months ended
Statements of Condition	September 30,		June 30,		March 31,		December 31,		September 30,		September 30,		September 30,
Averages (See note below; dollars in millions)	2021		2021		2021		2020		2020		2021		2020

Investments ^(a)	$	34,733	$	34,952	$	42,043	$	42,586	$	43,571	$	37,216	$	46,011
Advances		75,642		87,031		90,458		98,086		110,391		84,323		112,821
Mortgage loans held-for-portfolio, net		2,468		2,608		2,806		2,986		3,105		2,626		3,169
Total assets		114,074		125,605		136,463		144,908		158,471		125,299		163,479
Interest-bearing deposits and other borrowings		1,391		1,461		1,604		1,619		1,485		1,484		1,383
Consolidated obligations, net
Bonds		65,335		68,927		68,601		71,740		63,601		67,609		73,553
Discount notes		39,375		46,796		57,621		62,464		83,653		47,864		78,888
Total consolidated obligations		104,710		115,723		126,222		134,204		147,254		115,473		152,441
Mandatorily redeemable capital stock		2		3		3		3		5		3		5
AHP liability		147		152		149		154		156		150		156
Capital
Capital stock		4,668		5,185		5,304		5,635		6,179		5,050		6,295
Retained earnings
Unrestricted		1,112		1,120		1,122		1,128		1,135		1,118		1,116
Restricted		808		794		779		762		741		794		717
Total retained earnings		1,920		1,914		1,901		1,890		1,876		1,912		1,833
Accumulated other comprehensive income (loss)		29		25		(1)		(33)		(67)		18		(79)
Total capital		6,617		7,124		7,204		7,492		7,988		6,980		8,049

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.

7071

Table of Contents

Operating Results and Other Data


Operating Results and Other Data	Three months ended															Six months ended
																						Three months ended															Nine months ended
(dollars in millions)	June 30,			March 31,			December 31,			September 30,			June 30,			June 30,			June 30,			September 30,			June 30,			March 31,			December 31,			September 30,			September 30,			September 30,
(except earnings and dividends per share, and headcount)	2021			2021			2020			2020			2020			2021			2020			2021			2021			2021			2020			2020			2021			2020
Net income	$	75		$	72		$	98		$	101		$	138		$	147		$	243		$	66		$	75		$	72		$	98		$	101		$	213		$	344
Net interest income ^(d)		143			159			190			180			230			302			383			128			143			159			190			180			430			563
Dividends paid in cash ^(e)		63			70			79			95			86			133			174			59			63			70			79			95			192			269
AHP expense		8			8			11			11			15			16			27			7			8			8			11			11			23			38
Return on average equity ^(f)(g)(j)		4.21	%		4.06	%		5.23	%		5.04	%		6.45	%		4.14	%		6.04	%		3.95	%		4.21	%		4.06	%		5.23	%		5.04	%		4.07	%		5.71	%
Return on average assets ^(g)(j)		0.24	%		0.21	%		0.27	%		0.25	%		0.32	%		0.23	%		0.29	%		0.23	%		0.24	%		0.21	%		0.27	%		0.25	%		0.23	%		0.28	%
Other non-interest income (loss)		(10)			(33)			(22)			(14)			(23)			(43)			(15)			(8)			(10)			(33)			(22)			(14)			(51)			(29)
Operating expenses ^(h)		41			38			53			40			40			79			77			41			41			38			53			40			120			117
Finance Agency and
Office of Finance expenses		5			6			5			5			4			11			9			6			5			6			5			5			17			14
Total other expenses ^(k)		52			47			61			51			51			99			95			49			52			47			61			51			148			146
Operating expenses ratio ^(g)(i)(j)		0.13	%		0.11	%		0.14	%		0.10	%		0.09	%		0.12	%		0.09	%		0.14	%		0.13	%		0.11	%		0.14	%		0.10	%		0.13	%		0.10	%
Earnings per share	$	1.44		$	1.36		$	1.76		$	1.64		$	2.02		$	2.80		$	3.82		$	1.41		$	1.44		$	1.36		$	1.76		$	1.64		$	4.21		$	5.46
Dividends per share	$	1.17		$	1.26		$	1.28		$	1.39		$	1.47		$	2.43		$	3.07		$	1.14		$	1.17		$	1.26		$	1.28		$	1.39		$	3.57		$	4.46
Headcount (Full/part time) ^(l)		353			353			354			351			346			353			346			344			353			353			354			351			344			351

(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 $3.0 million, $4.1 million, $5.7 million, $7.1 million ~~$9.1 million~~ and ~~$6.5~~$9.1 million for the periods ended September 30, 2021, June 30, 2021, March 31, 2021, December 31, 2020 ~~September 30, 2020~~ and ~~June~~September 30, 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~~September 30, 2021 has ~~increased~~decreased slightly compared to the same period in the prior year ~~for strategizing and executing the implementation of multiple, multi-year projects designed~~due to ~~modernize and streamline our technology systems and technology infrastructures.~~a tight labor market.

7172

Table of Contents

Financial Condition

Table 1.1 Statements of Condition — Period-Over-Period Comparison


					Net change in		Net change in						Net change in		Net change in
(Dollars in thousands)	June 30, 2021		December 31, 2020		dollar amount		percentage		September 30, 2021		December 31, 2020		dollar amount		percentage
Assets
Cash and due from banks	$	52,565	$	1,896,155	$	(1,843,590)	(97.23)	%	$	118,754	$	1,896,155	$	(1,777,401)	(93.74)	%
Interest-bearing deposits		675,000		685,000		(10,000)	(1.46)			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			—		4,650,000		(4,650,000)	(100.00)
Federal funds sold		5,506,000		6,280,000		(774,000)	(12.32)			8,628,000		6,280,000		2,348,000	37.39
Trading securities		7,075,406		11,742,965		(4,667,559)	(39.75)			4,377,199		11,742,965		(7,365,766)	(62.72)
Equity Investments		91,401		80,369		11,032	13.73			91,813		80,369		11,444	14.24
Available-for-sale securities		5,004,112		3,435,945		1,568,167	45.64			5,458,612		3,435,945		2,022,667	58.87
Held-to-maturity securities		10,500,672		12,873,646		(2,372,974)	(18.43)			9,844,952		12,873,646		(3,028,694)	(23.53)
Advances		79,984,530		92,067,104		(12,082,574)	(13.12)			70,547,573		92,067,104		(21,519,531)	(23.37)
Mortgage loans held-for-portfolio		2,525,967		2,899,712		(373,745)	(12.89)			2,417,656		2,899,712		(482,056)	(16.62)
Loans to other FHLBanks		—		—		—	NM			—		—		—	NM
Accrued interest receivable		145,257		189,454		(44,197)	(23.33)			120,562		189,454		(68,892)	(36.36)
Premises, software, and equipment		79,120		77,628		1,492	1.92			81,758		77,628		4,130	5.32
Operating lease right-of-use assets		68,200		70,733		(2,533)	(3.58)			66,917		70,733		(3,816)	(5.39)
Derivative assets		29,282		36,669		(7,387)	(20.15)			241,365		36,669		204,696	558.23
Other assets		11,144		11,003		141	1.28			6,726		11,003		(4,277)	(38.87)
Total assets	$	120,448,656	$	136,996,383	$	(16,547,727)	(12.08)	%	$	102,676,887	$	136,996,383	$	(34,319,496)	(25.05)	%

Liabilities
Deposits
Interest-bearing demand	$	1,484,249	$	1,677,526	$	(193,277)	(11.52)	%	$	1,421,802	$	1,677,526	$	(255,724)	(15.24)	%
Non-interest-bearing demand		46,361		70,437		(24,076)	(34.18)			44,113		70,437		(26,324)	(37.37)
Term		—		5,000		(5,000)	(100.00)			—		5,000		(5,000)	(100.00)
Total deposits		1,530,610		1,752,963		(222,353)	(12.68)			1,465,915		1,752,963		(287,048)	(16.38)
Consolidated obligations
Bonds		69,312,550		69,716,298		(403,748)	(0.58)			61,454,356		69,716,298		(8,261,942)	(11.85)
Discount notes		42,173,073		57,658,838		(15,485,765)	(26.86)			32,768,402		57,658,838		(24,890,436)	(43.17)
Total consolidated obligations		111,485,623		127,375,136		(15,889,513)	(12.47)			94,222,758		127,375,136		(33,152,378)	(26.03)
Mandatorily redeemable capital stock		2,360		2,991		(631)	(21.10)			2,170		2,991		(821)	(27.45)

Accrued interest payable		133,209		117,982		15,227	12.91			125,260		117,982		7,278	6.17
Affordable Housing Program		152,523		148,827		3,696	2.48			144,803		148,827		(4,024)	(2.70)
Derivative liabilities		49,003		70,760		(21,757)	(30.75)			40,831		70,760		(29,929)	(42.30)
Other liabilities		193,028		186,550		6,478	3.47			183,391		186,550		(3,159)	(1.69)
Operating lease liabilities		81,773		84,475		(2,702)	(3.20)			80,405		84,475		(4,070)	(4.82)
Total liabilities		113,628,129		129,739,684		(16,111,556)	(12.42)			96,265,533		129,739,684		(33,474,151)	(25.80)
Capital		6,820,527		7,256,699		(436,172)	(6.01)			6,411,354		7,256,699		(845,345)	(11.65)
Total liabilities and capital	$	120,448,656	$	136,996,383	$	(16,547,727)	(12.08)	%	$	102,676,887	$	136,996,383	$	(34,319,496)	(25.05)	%

NM — Not meaningful.

Balance Sheet ~~overview June~~Overview September 30, 2021 and December 31, 2020

Total assets declined to ~~$120.4~~$102.7 billion at ~~June~~September 30, 2021 from $137.0 billion at December 31, 2020, a decrease of ~~$16.6~~$34.3 billion, or ~~12.1%~~25.0%.

Cash at banks was ~~$52.6~~$118.8 million at ~~June~~September 30, 2021, compared to $1.9 billion at December 31, 2020.

Table of Contents

Money market investments at ~~June~~September 30, 2021 were ~~$5.5~~$8.6 billion in federal funds sold and ~~$8.7~~$0 billion in overnight resale agreements. At December 31, 2020, money market investments were $6.3 billion in federal funds sold and $4.7 billion in overnight resale agreements. Federal funds sold averaged ~~$10.1~~$12.5 billion, $8.8 billion and ~~$10.7~~$8.6 billion in the ~~second~~third quarter of 2021, fourth quarter of 2020 and ~~second~~third quarter of 2020, respectively. Resale agreements averaged ~~$95.6~~$61.4 million, $4.1 billion and ~~$2.2~~$4.0 billion in the ~~second~~third quarter of 2021, fourth quarter of 2020 and ~~second~~third quarter 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~~September 30, 2021 and December 31, 2020, respectively.

~~Table of Contents~~

As a one-time election in accordance with ASC 848 Reference Rate Reform, we reclassified $1.4 billion of 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. 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 the Libor to 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 ~~$10.3~~$9.7 billion and $11.8 billion at ~~June~~September 30, 2021 and December 31, 2020. ~~Investments in PLMBS were less than 1% of the HTM portfolio.~~ We acquired ~~$169.0~~$189.0 million (par) of fixed-rate GSE-issued MBS in the first ~~half~~three quarters of 2021.

State and local housing finance agency obligations, primarily New York and New Jersey, were carried as HTM securities at $0.2 billion and $1.1 billion at ~~June~~September 30, 2021 and December 31, 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~~September 30, 2021, trading investments were ~~$7.1~~$4.4 billion in U.S. Treasury ~~securities and $2.1 million in Ambac corporate notes.~~securities. We acquired ~~$1.9~~$2.4 billion of U.S. Treasury securities in the ~~six~~nine months ended ~~June~~September 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 $11.7 billion in U.S. Treasury securities and $2.2 million in Ambac corporate notes. We acquired $3.8 billion of U.S. Treasury securities in 2020. During the same period in 2020, proceeds from sales were $4.3 billion at a net gain of $38.3 million.

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.

7374

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 ~~$2.4~~$2.3 billion at ~~June~~September 30, 2021, a decrease of ~~$0.4~~$0.6 billion from the balance at December 31, 2020. Loans are primarily fixed-rate, single-family mortgages acquired through the MPF Program. Unpaid principal balance of MAP loans stood at ~~$56.0~~$108.2 million at ~~June~~September 30, 2021, an increase of ~~$55.7~~$107.9 million from the balance at December 31, 2020. Paydowns in the ~~six~~nine months ended ~~June~~September 30, 2021 were ~~$465.9~~$627.2 million, compared to ~~$286.8~~$515.1 million in the prior year same period. Acquisitions in the ~~six~~nine months ended ~~June~~September 30, 2021 were ~~$97.0~~$152.0 million, compared to ~~$288.5~~$411.9 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~~September 30, 2021 were lower than December 31, 2020. Allowance for credit losses decreased to ~~$4.1~~$3.0 million at ~~June~~September 30, 2021, compared to $7.1 million at December 31, 2020.

Leverage — At ~~June~~September 30, 2021 balance sheet leverage (based on U.S. GAAP) was ~~17.7~~16.0 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~~September 30, 2021 included ~~$51.6~~$116.6 million as demand cash balances at the FRBNY, ~~$14.2~~$8.6 billion in short-term and overnight investments in the federal funds, and ~~the repo markets, and $4.1~~$4.6 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.

Table of Contents

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 reach consensus on the timing and operational adoption processes to implement the elected 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. 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 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, see the Bank’s most recent Form 10-K for the year ended December 31, 2020 filed on March 19, 2021.

~~Table of Contents~~

The following data provides an overview of LIBOR-indexed instruments outstanding at ~~June~~September 30, 2021 with maturities beyond June 30, 2023, which is the relevant LIBOR cessation date for the FHLBNY (in thousands):

Table 1.2Overview of LIBOR-indexed Instruments Outstanding


	Outstanding at		Outstanding at
Maturing after June 30, 2023	June 30, 2021		September 30, 2021
LIBOR indexed Derivatives (notionals)	$	10,718,110	$	10,114,499
LIBOR indexed Variable-rate mortgage-backed securities (UPB)	$	3,331,755	$	3,085,126
LIBOR indexed Variable-rate housing finance agency bonds (UPB)	$	212,100	$	212,100
LIBOR indexed Variable-rate Other securities (UPB)	$	—	$	—
Variable-rate Advances	$	1,165,000	$	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 may have an impact on business volume.

Interest rate hedging and basis adjustments — A significant percentage of fixed-rate, longer-term advances and all putable advances were designated under an ASC 815 fair value accounting hedge. Also, certain advances were hedged by interest rate swaps in economic hedges. From time to time, we have also elected the fair value option (FVO) on an instrument by instrument basis for advances.

Carrying values of advances outstanding at ~~June~~September 30, 2021 and December 31, 2020 were ~~$80.0~~$70.5 billion and $92.1 billion, respectively. Carrying values included cumulative hedging basis adjustment gains of ~~$772.9~~$623.9 million and $1.3 billion at ~~June~~September 30, 2021 and December 31, 2020, respectively. For more information about basis adjustments, see Table 2.6 Advances by Maturity and Yield Type in this MD&A.

7576

Table of Contents

Table 2.1 Advance Trends

Member demand for advance products

Par amount of advances outstanding was $69.9 billion at September 30, 2021, down from $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, $134.4 billion at March 31, 2020 and $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. In the 2020 fourth quarter, the same larger member banks that had borrowed short-term advances in March 2020 were prepaying advances or not rolling over certain short-term borrowings 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 I, Item 1A. Risk Factors in our Form 10-K filed on March 19, 2020.

7677

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, 2021					December 31, 2020				September 30, 2021					December 31, 2020
			Percentage					Percentage				Percentage					Percentage
	Amounts		of Total			Amounts		of Total		Amounts		of Total			Amounts		of Total
Adjustable Rate Credit - ARCs	$	15,010,667		18.95	%	$	17,050,467	18.79	%	$	7,874,167		11.26	%	$	17,050,467	18.79	%
Fixed Rate Advances		47,624,512		60.12			54,632,262	60.21			46,230,395		66.12			54,632,262	60.21
Short-Term Advances		11,589,654		14.63			12,883,629	14.20			10,875,133		15.55			12,883,629	14.20
Mortgage Matched Advances		138,888		0.18			176,373	0.19			129,851		0.19			176,373	0.19
Overnight & Line of Credit (OLOC) Advances		373,279		0.47			678,438	0.75			629,792		0.90			678,438	0.75
All other categories		4,474,641		5.65			5,319,990	5.86			4,184,367		5.98			5,319,990	5.86

Total par value		79,211,641		100.00	%		90,741,159	100.00	%		69,923,705		100.00	%		90,741,159	100.00	%
Hedge valuation basis adjustments		772,889					1,325,945				623,868					1,325,945

Total	$	79,984,530				$	92,067,104			$	70,547,573				$	92,067,104

Collateral Security

Member 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 mortgages; (2) multi-family & commercial real estate mortgages; (3) Treasury and U.S. government agency securities; (4) private label commercial mortgage-backed securities; and (5) certain other collateral that is real estate-related, provided that such collateral has a readily ascertainable value and the Bank has the ability to perfect its security interest. 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 the Bank security interest in assets held by borrowers that is sufficient to cover their obligations to the FHLBNY. FHLBNY may supplement this security interest by imposing additional collateral delivery requirements on our member borrowers based on the overall financial strength of the member.

To ensure that the FHLBNY has sufficient collateral to cover credit extensions, the FHLBNY has established a Collateral Lendable Value methodology. This methodology ensures that the FHLBNY remains fully collateralized by establishing risk based lendable values for each pledged collateral type. These lendable values are periodically reassessed to ensure that they are reflective of current market conditions. As a result of the COVID-19 pandemic, the Bank has decreased collateral values on certain commercial real estate collateral types. The FHLBNY will continue to monitor credit and collateral conditions related to the pandemic to ensure the Bank remains sufficiently protected.

The following table summarizes pledged collateral at ~~June~~September 30, 2021 and December 31, 2020 (in thousands):

Table 2.3 Collateral Supporting Indebtedness to Members


	Indebtedness						Collateral ^(a)						Indebtedness						Collateral ^(a)
			Other		Total				Securities and						Other		Total				Securities and
	Advances^(b)		Obligations ^(c)		Indebtedness		Loans ^(d)		Deposits ^(d)		Total^(d)		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
September 30, 2021													$	69,923,705	$	21,460,602	$	91,384,307	$	322,752,104	$	60,447,394	$	383,199,498
December 31, 2020	$	90,741,159	$	20,247,993	$	110,989,152	$	324,273,676	$	56,685,358	$	380,959,034	$	90,741,159	$	20,247,993	$	110,989,152	$	324,273,676	$	56,685,358	$	380,959,034

(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.

7778

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 Location of Collateral Held


	Estimated Market Values						Estimated Market Values
	Collateral in				Total		Collateral in				Total
	Physical		Collateral		Collateral		Physical		Collateral		Collateral
	Possession		Specifically Listed		Received		Possession		Specifically Listed		Received
June 30, 2021	$	60,288,204	$	322,933,750	$	383,221,954
September 30, 2021							$	61,217,451	$	321,982,047	$	383,199,498
December 31, 2020	$	57,601,060	$	323,357,974	$	380,959,034	$	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):

Table 2.5 Advances by Interest-Rate Payment Terms


	June 30, 2021					December 31, 2020				September 30, 2021					December 31, 2020
			Percentage					Percentage				Percentage					Percentage
	Amount		of Total			Amount		of Total		Amount		of Total			Amount		of Total
Fixed-rate ^(a)	$	64,195,697		81.05	%	$	73,687,192	81.21	%	$	62,041,004		88.74	%	$	73,687,192	81.21	%
Variable-rate ^(b)		15,013,167		18.95			17,053,967	18.79			7,876,667		11.26			17,053,967	18.79
Variable-rate capped or floored ^(c)		—		—			—	—			—		—			—	—
Overdrawn demand deposit accounts		2,777		—			—	—			6,034		—			—	—

Total par value		79,211,641		100.00	%		90,741,159	100.00	%		69,923,705		100.00	%		90,741,159	100.00	%

Hedge valuation basis adjustments		772,889					1,325,945				623,868					1,325,945

Total	$	79,984,530	$				92,067,104			$	70,547,573				$	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~~September 30, 2021, with only ~~14.7%~~16.6% 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).

7879

Table of Contents

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

Table 2.6 Advances by Maturity and Yield Type


	June 30, 2021					December 31, 2020				September 30, 2021					December 31, 2020
			Percentage					Percentage				Percentage					Percentage
	Amount		of Total			Amount		of Total		Amount		of Total			Amount		of Total
Fixed-rate
Due in one year or less	$	34,586,134		43.66	%	$	40,885,180	45.06	%	$	32,199,647		46.05	%	$	40,885,180	45.06	%
Due after one year		29,609,563		37.38			32,802,012	36.15			29,841,358		42.68			32,802,012	36.15
Total Fixed-rate		64,195,697		81.04			73,687,192	81.21			62,041,005		88.73			73,687,192	81.21
Variable-rate
Due in one year or less		13,649,944		17.23			10,317,467	11.37			6,516,700		9.32			10,317,467	11.37
Due after one year		1,366,000		1.73			6,736,500	7.42			1,366,000		1.95			6,736,500	7.42
Total Variable-rate		15,015,944		18.96			17,053,967	18.79			7,882,700		11.27			17,053,967	18.79
Total par value		79,211,641		100.00	%		90,741,159	100.00	%		69,923,705		100.00	%		90,741,159	100.00	%
Hedge valuation basis adjustments ^(a)		772,889					1,325,945				623,868					1,325,945
Total	$	79,984,530				$	92,067,104			$	70,547,573				$	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~~SOFR-OIS and LIBOR are our primary benchmarks in addition to ~~OIS-Fed Funds.~~Federal Funds-OIS. We are actively engaged in transitioning away from LIBOR. When an advance is hedged under ASC 815, the elected 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 ~~$0.8~~$0.6 billion and $1.3 billion at ~~June~~September 30, 2021 and December 31, 2020, respectively. The forward benchmark yield curves shifted higher at ~~June~~September 30, 2021 relative to December 31, 2020. As hedge valuation basis of fixed-rate advances move inversely with the rise and fall of the forward interest rates, fair value gains declined as the forward swap discounting curve shifted up. Generally, hedge valuation basis gains and losses are unrealized and are 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):

Table 2.7 Hedged Advances by Type


Par Amount	June 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Qualifying hedges
Fixed-rate bullets ^(a)	$	25,899,760	$	29,969,694	$	26,527,122	$	29,969,694
Fixed-rate putable ^(b)		7,930,750		7,945,750		7,785,750		7,945,750
Fixed-rate with embedded cap		360,000		360,000		360,000		360,000
Total qualifying hedges	$	34,190,510	$	38,275,444	$	34,672,872	$	38,275,444

Aggregate par amount of advances hedged ^(c)	$	41,740,510	$	47,962,396	$	38,345,534	$	47,962,396
Fair value basis (hedging adjustments)	$	772,889	$	1,325,945	$	623,868	$	1,325,945

(a)

Generally, fixed-rate medium- and longer-term advances are hedged to mitigate the risk in fixed-rate lending.

(b)

Putable advances are hedged by cancellable swaps, and the paired long put option mitigate the put option risks; in the hedge, fixed-rate cash flows are also synthetically converted to benchmark floating-rate. In a rising rate environment, swap dealers

Table of Contents

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 hedges but have since been de-designated or advances that are in economic hedges (not qualifying as ASC 815 accounting hedge).

~~Table of Contents~~

Economic hedges of floating-rate advances — We issue floating-rate advances indexed to one or more benchmark rates (LIBOR, ~~OIS/FF~~Federal Funds-OIS and ~~OIS/SOFR)~~SOFR-OIS) and may then execute interest rate basis swaps that would synthetically convert the cash flows to the desired floating-rate cash flows indexed to another benchmark to meet our asset/liability funding strategies. At ~~June~~September 30, 2021 and December 31, 2020, notional amounts of basis swaps were ~~$7.1~~$3.6 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):

Table 2.8 Putable and Callable Advances


	Advances				Advances
Par Amount	June 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Putable ^(a)	$	7,930,750	$	7,945,750	$	7,785,750	$	7,945,750
No-longer putable/callable	$	455,000	$	460,000	$	145,000	$	460,000

(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

We maintain long-term investment portfolios of debt securities, which are principally mortgage-backed securities issued by GSEs and U.S. Agency (GSE-issued). Investments include a small portfolio of MBS issued by private enterprises, and bonds issued by state or local housing finance agencies. We also maintain short-term investments for our liquidity resources, for funding daily stock repurchases and redemptions, for ensuring the availability of funds to meet the credit needs of our members, and to provide additional earnings. We also invest in a liquidity trading portfolio, the purpose of which is to augment our liquidity needs. Investments in the trading portfolio are typically U.S. Treasury securities, and from time to time we have also invested in GSE-issued securities, all carried at their fair values. The Finance Agency prohibits speculative investments but allows the designation of a trading portfolio for liquidity purposes. We may dispose such investments if liquidity needs are met and market conditions deem the sale as advantageous.

~~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.

Table of Contents

The following table summarizes changes in investments by categories: Interest-bearing deposits, Money market investments, Trading securities, Equity investments in Grantor trust, Available-for-sale securities, and Held-to-maturity securities (Carrying values, dollars in thousands):

Table 3.1 Investments by Categories


	June 30,		December 31,		Dollar		Percentage		September 30,		December 31,		Dollar		Percentage
	2021		2020		Variance		Variance		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	%	$	901,192	$	—	$	901,192	NM	%
Held-to-maturity securities, at carrying value, net		190,517		1,097,752		(907,235)	(82.64)			188,159		1,097,752		(909,593)	(82.86)
Total HFA securities		1,091,178		1,097,752		(6,574)	(0.60)			1,089,351		1,097,752		(8,401)	(0.77)

Trading securities ^(b)		7,075,406		11,742,965		(4,667,559)	(39.75)			4,377,199		11,742,965		(7,365,766)	(62.72)
Mortgage-backed securities
Available-for-sale securities, at fair value ^(c)		4,103,451		3,435,945		667,506	19.43			4,557,420		3,435,945		1,121,475	32.64
Held-to-maturity securities, at carrying value, net ^(c)		10,310,155		11,775,894		(1,465,739)	(12.45)			9,656,793		11,775,894		(2,119,101)	(18.00)
Total MBS securities		14,413,606		15,211,839		(798,233)	(5.25)			14,214,213		15,211,839		(997,626)	(6.56)

Equity investments in Grantor trust ^(d)		91,401		80,369		11,032	13.73			91,813		80,369		11,444	14.24
Interest-bearing deposits		675,000		685,000		(10,000)	(1.46)			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			—		4,650,000		(4,650,000)	(100.00)
Federal funds sold		5,506,000		6,280,000		(774,000)	(12.32)			8,628,000		6,280,000		2,348,000	37.39

Total Investments	$	37,552,591	$	39,747,925	$	(2,195,334)	(5.52)	%	$	29,075,576	$	39,747,925	$	(10,672,349)	(26.85)	%

(a)

State and local housing finance agency bonds are designated as both AFS, carried at fair values and HTM, carried at carrying value. There were no acquisitions in the ~~six~~nine months ending ~~June~~September 30, 2021 and paydowns were ~~$6.5~~$8.9 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~~September 30, 2021 and are carried at fair value. Trading portfolio is for liquidity and not for speculative purposes. We acquired ~~$1.9~~$2.4 billion of U.S. Treasury notes in the ~~six~~nine months ended ~~June~~September 30, 2021.

(c)

AFS securities outstanding were GSE and U.S. Agency issued MBS and carried at fair values. MBS in the HTM portfolio were predominantly GSE-issued, 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.GSE-issued.

(d)

Funds in the grantor trust are designated as equity 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.

8182

Table of Contents

The following table summarizes our investment debt securities issuer concentration (dollars in thousands):

Table 3.2 Investment Debt Securities Issuer Concentration


	June 30, 2021							December 31, 2020						September 30, 2021							December 31, 2020
					Carrying value as							Carrying value as						Carrying value as							Carrying value as
	Carrying ^(a)				a Percentage			Carrying ^(a)				a Percentage		Carrying ^(a)				a Percentage			Carrying ^(a)				a Percentage
Long Term Investment ^(c)	Value		Fair Value		of Capital			Value		Fair Value		of Capital		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	%	$	2,723,262	$	2,761,696		42.48	%	$	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			11,410,063		11,826,553		177.97			11,836,507		12,429,508	163.11
Ginnie Mae		10,808		10,808		0.16			12,871		12,979	0.18			10,017		10,017		0.16			12,871		12,979	0.18
All Others - PLMBS		75,055		86,007		1.10			91,454		107,889	1.26			70,871		80,888		1.11			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			1,089,351		1,071,470		16.99			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	%	$	15,303,564	$	15,750,624		238.69	%	$	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			$	5,458,612	$	5,458,612				$	3,435,945	$	3,435,945

Held-to-Maturity Securities, net	$	10,500,672	$	11,012,188				$	12,873,646	$	13,529,181			$	9,844,952	$	10,292,012				$	12,873,646	$	13,529,181

(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


	June 30, 2021												September 30, 2021
									Below												Below
									Investment												Investment
	AAA-rated ^(a)		AA-rated ^(b)		A-rated		BBB-rated		Grade		Total		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	$	251	$	9,588,400	$	50,635	$	896	$	16,611	$	9,656,793
State and local housing finance agency obligations		—		188,766		1,751		—		—		190,517		—		186,408		1,751		—		—		188,159

Total Long-term securities	$	285	$	10,423,865	$	58,750	$	979	$	16,793	$	10,500,672	$	251	$	9,774,808	$	52,386	$	896	$	16,611	$	9,844,952


	December 31, 2020
									Below
									Investment
	AAA-rated ^(a)		AA-rated^(b)		A-rated		BBB-rated		Grade		Total
Mortgage-backed securities	$	363	$	11,684,817	$	58,130	$	7,486	$	25,098	$	11,775,894
State and local housing finance agency obligations		23,100		1,069,068		1,946		3,638		—		1,097,752

Total Long-term securities	$	23,463	$	12,753,885	$	60,076	$	11,124	$	25,098	$	12,873,646

See footnotes (a) and (b) under Table 3.4.

8283

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


	June 30, 2021												September 30, 2021
									Below												Below
									Investment												Investment
	AAA-rated^(a)		AA-rated^(b)		A-rated		BBB-rated		Grade		Total		AAA-rated^(a)		AA-rated^(b)		A-rated		BBB-rated		Grade		Total
Mortgage- backed securities	$	—	$	4,103,451	$	—	$	—	$	—	$	4,103,451	$	—	$	4,557,420	$	—	$	—	$	—	$	4,557,420
State and local housing finance agency obligations		21,025		876,832		—		2,804		—		900,661		21,038		877,290		—		2,864		—		901,192
Total Long-term securities	$	21,025	$	4,980,283	$	—	$	2,804	$	—	$	5,004,112	$	21,038	$	5,434,710	$	—	$	2,864	$	—	$	5,458,612


	December 31, 2020												December 31, 2020
									Below												Below
									Investment												Investment
	AAA-rated^(a)		AA-rated^(b)		A-rated		BBB-rated		Grade		Total		AAA-rated		AA-rated^(b)		A-rated		BBB-rated		Grade		Total
Mortgage-backed securities	$	—	$	3,435,945	$	—	$	—	$	—	$	3,435,945	$	—	$	3,435,945	$	—	$	—	$	—	$	3,435,945
Total Long-term securities	$	—	$	3,435,945	$	—	$	—	$	—	$	3,435,945	$	—	$	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 hedges.

8384

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


	June 30, 2021				December 31, 2020				September 30, 2021				December 31, 2020
			Weighted				Weighted				Weighted				Weighted
	Amortized		Average		Amortized		Average		Amortized		Average		Amortized		Average
	Cost		Rate		Cost		Rate		Cost		Rate		Cost		Rate
Mortgage-backed securities
Due in one year or less	$	668,277	2.62	%	$	690,206	3.10	%	$	417,924	2.67	%	$	690,206	3.10	%
Due after one year through five years		3,135,490	2.39			3,323,857	2.39			3,630,058	2.55			3,323,857	2.39
Due after five years through ten years		8,643,096	2.52			8,687,883	2.50			8,251,450	2.48			8,687,883	2.50
Due after ten years		1,755,921	1.30			2,279,164	1.47			1,720,342	1.35			2,279,164	1.47

Total Mortgage-backed securities	$	14,202,784	2.34	%	$	14,981,110	2.35	%	$	14,019,774	2.37	%	$	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):

Table 3.6 Fair Value Hedges of Fixed-Rate Prepayable CMBS


	Fair Value Hedges of Fixed-Rate Prepayable CMBS				Fair Value Hedges of Fixed-Rate Prepayable CMBS
	June 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Current face value of hedged CMBS	$	1,580,000	$	1,259,000	$	2,125,361	$	1,259,000
Partial-term hedge face value of hedged CMBS	$	1,432,000	$	1,134,000	$	1,893,000	$	1,134,000
Cumulative basis adjustment gains (losses)	$	1,242	$	44,052	$	(20,780)	$	44,052
Interest rate swap contracts (par)	$	1,432,000	$	1,134,000	$	1,893,000	$	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, including unsecured overnight and term deposits and federal funds sold to highly-rated financial institutions who also satisfy other credit quality factors. These investments provide the liquidity necessary to meet members’ credit needs. Short-term investments also provide a flexible means of implementing the asset/liability management decisions to adjust liquidity. We also invest in a liquidity trading portfolio, consisting of U.S. treasury securities, with the objective of satisfying our liquidity requirements and expanding our choice of investing for liquidity.

Monitoring — We actively monitor our credit exposures and the credit quality of our counterparties, including an assessment of each counterparty’s financial performance, capital adequacy, and sovereign support as well as related market signals, and actively limit or suspend existing exposures, as appropriate. In addition, we are required to manage our unsecured portfolio subject to regulatory limits prescribed by our regulator, the Finance Agency. The Finance Agency regulations include limits on the amount of unsecured credit that may be extended to a counterparty or a group of affiliated counterparties, based upon a percentage of eligible regulatory capital and the counterparty’s overall credit rating. Under these regulations, the level of eligible regulatory capital is determined as the lesser of our regulatory capital or the eligible amount of regulatory capital of the counterparty determined in accordance with Finance Agency regulations.

8485

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.

In September 2020 and August 2021, the Bank breached an overnight unsecured regulatory credit limit with one counterparty. These limit breaches were inadvertent, immaterial and have been addressed.

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~~There were no outstanding balances ~~outstanding under such agreements were $8.7 billion~~ at ~~June~~September 30, ~~2021 and $4.7 billion at~~2021. At December 31, ~~2020.~~2020, the balances were $4.7 billion. Resale agreements averaged ~~$0.1 billion,~~$61.4 million, $4.1 billion and ~~$2.2~~$4.0 billion in the ~~second~~third quarter of 2021, fourth quarter of 2020 and ~~second~~third quarter of 2020, respectively. For more information, see financial statements, Note 4. Interest-bearing Deposits, Federal Funds Sold and Securities Purchased under Agreements to Resell.

Federal funds sold — Federal funds sold was ~~$5.5~~$8.6 billion at ~~June~~September 30, 2021, and $6.3 billion at December 31, 2020, and averaged ~~$10.1~~$12.5 billion, $8.8 billion and ~~$10.7~~$8.6 billion in the ~~second~~third quarter of 2021, fourth quarter of 2020 and ~~second~~third quarter 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				Trading Securities
	June 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Par value	$	7,053,057	$	11,637,153	$	4,375,925	$	11,637,153
Amortized cost	$	7,048,998	$	11,655,374	$	4,366,906	$	11,655,374
Carrying/Fair value	$	7,075,406	$	11,742,965	$	4,377,199	$	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):

Table 3.8 Economic Hedges of Fixed-rate Liquidity Trading Securities


	Economic Hedges of Fixed-Rate Trading				Economic Hedges of Fixed-Rate Trading
	Securities				Securities
	June 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Par/Face amounts of portfolio of U.S. Treasury fixed-rate securities ^(a)	$	7,050,925	$	11,635,000	$	4,375,925	$	11,635,000
Par amounts of interest rate swaps	$	7,050,925	$	11,634,166	$	4,375,925	$	11,634,166

(a)

Balances represent outstanding amounts of U.S. Treasury notes and bills.

8586

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 ~~$2.5~~$2.4 billion at ~~June~~September 30, 2021, a decrease of ~~$0.4~~$0.5 billion (net of acquisitions and paydowns) from the balance at December 31, 2020. Mortgage loans were investments in Mortgage Partnership Finance loans (MPF or MPF Program) and Mortgage Asset Program (MAP). Serious delinquencies at ~~June~~September 30, 2021 were lower than December 31, 2020. Allowance for credit losses was $3.0 million at September 30, 2021, compared to $4.1 million at June 30, 2021, ~~compared to~~ $5.7 million at March 31, 2021, $7.1 million at December 31, 2020, and $9.1 million at September ~~30, 2020 and $6.5 million at June~~ 30, 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 ~~PFI.~~Participating Financial Institution (PFI). We may also acquire MPF loans through participations with other FHLBanks, although our current acquisition strategy is to limit acquisitions through our PFIs. MPF loans are conforming conventional and Government i.e., insured or guaranteed by the Federal Housing Administration (FHA), the Department of Veterans Affairs (VA) or the Rural Housing Service of the Department of Agriculture (RHS), fixed-rate mortgage loans secured primarily by single-family residential properties with maturities ranging from five to 30 years or participations in such mortgage loans. The FHLBank of Chicago (MPF Provider) developed the MPF Program in order to help fulfill the housing mission and to provide an additional source of liquidity to FHLBank members that choose to sell mortgage loans into the secondary market rather than holding them in their own portfolios. Finance Agency regulations define the acquisition of Acquired Member Assets (AMA) as a core mission activity of the FHLBanks. In order for MPF loans to meet the AMA requirements, the purchase and funding are structured so that the credit risk associated with MPF loans is shared with PFIs.

Mortgage Asset Program — The MAP program is a residential housing finance program in which the FHLBNY funds or purchases loans originated by members or affiliates. The FHLBNY offers the Mortgage Asset Program (MAP®) as a secondary market outlet for ~~Participating Financial Institution (PFI)~~PFI members to fund mortgages and be competitive in offering fixed-rate mortgage loan products.

In response to the COVID-19 pandemic, the Federal Government and various states have taken certain actions to allow the Federal Home Loans Banks to provide various forms of relief in response to the effects of the pandemic. These measures include forbearance and modification for MPF program loans. Loans under these agreements were not material at ~~June~~September 30, 2021. We are continuing to apply our policies, and not delaying the recognition of charge-offs, delinquencies, and nonaccruals status for the borrowers who would have otherwise moved into past due or nonaccruals status.

For more information, see Mortgage Loans Held-for-Portfolio, in MD&A included in the 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):

Table 4.1 MPF by Conventional and Insured Loans


	June 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Federal Housing Administration and Veteran Administration insured loans	$	178,199	$	198,795	$	169,708	$	198,795
Conventional loans		2,294,129		2,707,676		2,139,069		2,707,676
Allowance for credit losses on mortgage loans		(4,033)		(7,073)		(2,921)		(7,073)
MPF loans held-for-portfolio, net ^(a)	$	2,468,295	$	2,899,398	$	2,305,856	$	2,899,398

(a)	Balances represent MPF portfolio; MAP portfolio balance of ~~$57.7~~$111.8 million as of ~~June~~September 30, 2021 and $0.3 million as of December 31, 2020 were not included.

Table of Contents

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.

~~Table of Contents~~

Loan and PFI Concentration — Loan concentration was in New York State, which is to be expected since many of the largest PFIs are located in New York. The tables below summarize concentrations — Geographic and PFI:

Table 4.2 Geographic Concentration of MPF Loans


	June 30, 2021				December 31, 2020				September 30, 2021				December 31, 2020
	Number of loans %		Amounts outstanding %		Number of loans %		Amounts outstanding %		Number of loans %		Amounts outstanding %		Number of loans %		Amounts outstanding %
New York State^(a)	72.1	%	66.5	%	70.8	%	64.7	%	72.6	%	67.2	%	70.8	%	64.7	%

(a)	MAP loans were not included in the above calculation.

Table4.3 Top Five Participating Financial Institutions — Concentration (par value, dollars in thousands)


	June 30, 2021				September 30, 2021
	Mortgage		Percent of Total			Mortgage	Percent of Total
	Loans		Mortgage Loans			Loans	Mortgage Loans
Teachers Federal Credit Union	$	214,425	8.81	%	$	203,801	8.96	%
Bethpage Federal Credit Union		194,787	8.00			175,796	7.73
Investors Bank		188,845	7.76			174,823	7.69
Sterling National Bank		162,800	6.69			153,099	6.73
Manasquan Bank		135,411	5.56			125,509	5.52
All Others		1,538,235	63.18			1,440,737	63.37

Total^(a)	$	2,434,503	100.00	%	$	2,273,765	100.00	%


	December 31, 2020
	Mortgage		Percent of Total
	Loans		Mortgage Loans
Bethpage Federal Credit Union	$	264,322	9.24	%
Teachers Federal Credit Union		243,599	8.51
Investors Bank		239,069	8.35
Sterling National Bank		186,289	6.51
Manasquan Bank		163,396	5.71
All Others		1,765,248	61.68

Total ^(a)	$	2,861,923	100.00	%

(a)	MAP unpaid principal balance of ~~$56.0~~$108.2 million as of ~~June~~September 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 ~~$111.5~~$94.2 billion and $127.4 billion at ~~June~~September 30, 2021 and December 31, 2020.

CO bonds and CO discount notes — The carrying value of Consolidated obligation bonds (CO bonds or Consolidated obligation bonds) was ~~$69.3~~$61.5 billion (par, ~~$68.7~~$60.9 billion) at ~~June~~September 30, 2021, compared to $69.7 billion (par, $68.9 billion) at December 31, 2020. The carrying value of Consolidated obligation discount notes outstanding was ~~$42.2~~$32.8 billion at ~~June~~September 30, 2021 and $57.7 billion at December 31, 2020.

Table of Contents

Interest rate hedging — Significant amounts of CO bonds have been designated under an ASC 815 fair value accounting hedge. Also, certain CO bonds were hedged by interest rate swaps in economic hedges. From time to time, we have also hedged the anticipatory issuance of fixed-rate CO bonds in a cash flow hedge under ASC 815. Certain CO bonds were elected under the FVO. As a result of hedging elections under ASC 815 and the elections under the FVO, carrying values of CO bonds included valuation basis adjustments. For more information about valuation basis adjustments on CO bonds, see Table 5.1 CO Bonds by Type.

~~Table of Contents~~

From time to time, we hedge discount notes under ASC 815 fair value accounting; additionally, certain discount notes are also hedged under ASC 815 cash flow accounting hedge. Certain discount notes were elected under the FVO. As a result of accounting elections, carrying values of discount notes may include valuation basis adjustments. For more information about valuation basis adjustments on discount notes, see Table 5.7 Discount Notes Outstanding. Also, see financial statements, Note 17. Derivatives and Hedging Activities.

Debt Ratings — A FHLBank’s ability to access the capital markets to issue debt, as well as our cost of funds, is dependent on credit ratings from Nationally Recognized Statistical Rating Organizations. Consolidated obligations of FHLBanks are rated Aaa/P-1 by Moody’s, and AA+/A-1+ by S&P. Any rating actions on the U.S. Government would likely result in all individual FHLBanks’ long-term deposit ratings and the FHLBank System long-term bond rating moving in lock step with any U.S. sovereign rating action.

Joint and Several Liability — Although we are primarily liable for our portion of Consolidated obligations (i.e. those issued on our behalf), we are also jointly and severally liable with the other FHLBanks for the payment of principal and interest on the Consolidated obligations of all the FHLBanks. For more information, see financial statements, Note 19. Commitments and Contingencies.

SOFR CO Bonds —The SOFR market continues to develop, and successful issuances of FHLBank System SOFR-linked floaters (Floating-rate notes or FRNs) have been an important development for the FHLBank debt and its support for SOFR.

The FHLBNY is an active participant in the issuance of SOFR-linked CO bonds. Outstanding balances were ~~$3.4~~$3.3 billion at ~~June~~September 30, 2021 and $8.6 billion at December 31, 2020.

Consolidated obligation bonds

The following table summarizes types of Consolidated obligation bonds (CO Bonds) issued and outstanding (dollars in thousands):

Table 5.1 CO Bonds by Type


	June 30, 2021				December 31, 2020				September 30, 2021				December 31, 2020
			Percentage				Percentage				Percentage				Percentage
	Amount		of Total		Amount		of Total		Amount		of Total		Amount		of Total
Fixed-rate, non-callable	$	50,425,985	73.38	%	$	49,275,530	71.51	%	$	39,862,685	65.43	%	$	49,275,530	71.51	%
Fixed-rate, callable		10,521,130	15.31			1,434,000	2.08			12,893,130	21.16			1,434,000	2.08
Step Up, callable		3,856,000	5.61			—	—			4,871,000	7.99			—	—
Floating rate, callable		250,000	0.36			—	—			250,000	0.41			—	—
Single-index floating rate		3,666,000	5.34			18,197,000	26.41			3,050,000	5.01			18,197,000	26.41

Total par value		68,719,115	100.00	%		68,906,530	100.00	%		60,926,815	100.00	%		68,906,530	100.00	%


Bond premiums		155,680				184,084				146,700				184,084
Bond discounts		(24,618)				(26,666)				(24,031)				(26,666)
Hedge valuation basis adjustments ^(a)		332,091				514,436				277,624				514,436
Hedge basis adjustments on de-designated hedges ^(b)		128,448				132,450				126,811				132,450
FVO ^(c) - valuation adjustments and accrued interest		1,834				5,464				437				5,464
Total Consolidated obligation-bonds	$	69,312,550			$	69,716,298			$	61,454,356			$	69,716,298

Table of Contents

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.

~~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, ~~SOFR~~SOFR-OIS and ~~OIS/FedFunds,~~Federal Funds-OIS, although we are actively transitioning away from LIBOR. In the hedging relationships, a benchmark is elected on an instrument-by-instrument basis and becomes the discounting basis under ASC 815 for computing changes in fair values for hedged CO bonds. Table 5.2 CO Bonds Hedged under Qualifying Fair Value Hedges discloses notional amounts of CO bonds hedged. The application of ASC 815 accounting methodology resulted in the recognition of net cumulative hedge valuation basis losses of ~~$332.1~~$277.6 million and $514.4 million at ~~June~~September 30, 2021 and December 31, 2020, respectively. The benchmark curves, specifically the forward LIBOR yield curve, shifted up at ~~June~~September 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 up-shift in the forward curves caused valuation losses to decline. Generally, hedge valuation basis gains and losses are unrealized and are expected to reverse to zero if the CO bonds are held to maturity or are called on the early option exercise dates.

(b)

Valuation basis of terminated hedges — Represents unamortized cumulative valuation basis of certain CO bonds that were no longer in fair value hedge relationships. When hedging relationships for the debt were de-designated, the net unrealized cumulative losses at the hedge termination dates were no longer adjusted for changes in the benchmark rate. Instead, the valuation basis is being amortized on a level yield method, and the net amortization is recorded as a reduction of Interest expense. If the CO bonds are held to maturity, the basis losses will be fully amortized as interest expense.

(c)

FVO valuation adjustments — Valuation basis adjustments and accrued interest payable are recorded to recognize changes in the entire fair value (the full fair value) of CO bonds elected under the FVO. Table 5.3 CO Bonds Elected under the Fair Value Option (FVO) discloses par amounts of CO bonds elected under the FVO. Valuation adjustments at ~~June~~September 30, 2021 and December 31, 2020 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.

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.

Table of Contents

The following table provides information on CO bonds in an ASC 815 qualifying hedge relationship (in thousands):

Table 5.2 CO Bonds Hedged under Qualifying Fair Value Hedges


	Consolidated Obligation Bonds				Consolidated Obligation Bonds
Par Amount	June 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Qualifying hedges
Fixed-rate bullet bonds	$	23,211,635	$	20,757,635	$	17,035,635	$	20,757,635
Fixed-rate callable bonds		13,118,130		15,000		16,290,130		15,000
	$	36,329,765	$	20,772,635	$	33,325,765	$	20,772,635

8991

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.

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				Consolidated Obligation Bonds
Par Amount	June 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Bonds designated under FVO	$	13,345,925	$	16,575,000	$	10,810,925	$	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.

Economic hedges of CO bonds — We issue floating-rate debt indexed to a benchmark rate (LIBOR, ~~OIS/FF and OIS/SOFR)~~Federal Funds-OIS or SOFR-OIS) and may then execute interest rate swaps that would synthetically convert the cash flows to the desired floating-rate funding indexed to another benchmark to meet our asset/liability funding strategies. The 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.

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				Consolidated Obligation Bonds
Par Amount	June 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Bonds designated as economically hedged
Floating-rate bonds ^(a)	$	2,800,000	$	10,875,000	$	2,250,000	$	10,875,000
Fixed-rate bonds ^(b)		2,746,210		265,000		1,441,210		265,000
	$	5,546,210	$	11,140,000	$	3,691,210	$	11,140,000

(a)

Floating-rate debt — Floating-rate bonds were typically indexed to 1-month LIBOR and ~~OIS-SOFR.~~SOFR-OIS. With the execution of basis hedges, certain floating-rate bonds were swapped in economic hedges to indices ~~(OIS-SOFR~~(SOFR-OIS and ~~OIS-FF)~~Federal Funds-OIS) that met our asset/liability interest rate risk management objectives, mitigating the basis risk between the index attached to the debt and the target benchmark.

(b)

Fixed-rate debt — Bonds that were previously hedged and have fallen out of effectiveness.

9092

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):

Table 5.5 CO Bonds — Maturity or Next Call Date


	June 30, 2021				December 31, 2020				September 30, 2021				December 31, 2020
			Percentage				Percentage				Percentage				Percentage
	Amount		of Total		Amount		of Total		Amount		of Total		Amount		of Total
Year of maturity or next call date
Due or callable in one year or less	$	50,996,490	74.21	%	$	46,411,150	67.36	%	$	43,770,920	71.84	%	$	46,411,150	67.36	%
Due or callable after one year through two years		8,229,680	11.98			10,750,545	15.60			7,969,465	13.08			10,750,545	15.60
Due or callable after two years through three years		2,385,865	3.47			4,334,660	6.29			2,279,080	3.74			4,334,660	6.29
Due or callable after three years through four years		1,415,360	2.06			1,477,355	2.14			1,231,730	2.02			1,477,355	2.14
Due or callable after four years through five years		731,020	1.06			772,620	1.12			1,247,920	2.05			772,620	1.12
Thereafter		4,960,700	7.22			5,160,200	7.49			4,427,700	7.27			5,160,200	7.49
Total par value	$	68,719,115	100.00	%	$	68,906,530	100.00	%	$	60,926,815	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):

Table 5.6 Outstanding Callable CO Bonds versus Non-callable CO bonds


	June 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Callable	$	14,627,130	$	1,434,000	$	18,014,130	$	1,434,000
Non-Callable	$	54,091,985	$	67,472,530	$	42,912,685	$	67,472,530

CO Discount Notes

The following table summarizes discount notes issued and outstanding (dollars in thousands):

Table 5.7 Discount Notes Outstanding


	June 30, 2021			December 31, 2020			September 30, 2021			December 31, 2020
Par value	$	42,174,015		$	57,668,646		$	32,769,938		$	57,668,646
Amortized cost	$	42,172,501		$	57,642,972		$	32,768,402		$	57,642,972
Hedge value basis adjustments ^(a)		—			321			—			321
FVO ^(b) - valuation adjustments and remaining accretion		572			15,545			—			15,545
Total discount notes	$	42,173,073		$	57,658,838		$	32,768,402		$	57,658,838
Weighted average interest rate		0.02	%		0.15	%		0.04	%		0.15	%

9193

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~~was hedged at ~~June~~September 30, 2021. Notional amounts of $7.6 billion were hedged under ASC 815 qualifying fair value hedges at December 31, 2020. The application of ASC 815 accounting methodology resulted in immaterial amounts of net cumulative hedge valuation adjustments as noted in the table above. Generally, hedge valuation basis gains and losses are unrealized and are expected to reverse to zero if the CO discount notes are held to maturity.

(b)

FVO valuation adjustments — Valuation basis adjustment losses are recorded to recognize changes in the entire or full fair values, including unaccreted discounts on CO discount notes elected under the FVO. No FVO discount note was hedged at September 30, 2021. Notional amounts elected under the FVO ~~were $1.2 billion and~~was $7.1 billion at ~~June 30, 2021 and~~ December 31, ~~2020, respectively.~~2020. 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):

Table 5.8 Fair Value Hedges of Discount Notes


	Consolidated Obligation Discount Notes
Principal Amount	December 31, 2020
Discount notes hedged under qualifying hedge	$	7,564,742

The following table summarizes economic hedges of discount notes (in thousands):

Table 5.9 Economic Hedges of Discount Notes


	Consolidated Obligation Discount Notes
Par Amount	December 31, 2020
Discount notes designated as economic hedges ^(a)	$	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):

Table 5.10 Discount Notes under the Fair Value Option (FVO)


	Consolidated Obligation Discount Notes				Consolidated Obligation Discount Notes
Par Amount	June 30, 2021		December 31, 2020		December 31, 2020
Discount notes designated under FVO ^(a)	$	1,249,392	$	7,118,211	$	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 discount notes elected under the FVO were generally in economic hedges with the execution of interest rate swaps that converted the fixed-rate notes to a variable-rate instrument. We elected to account for the discount notes under the FVO when we were generally unable to assert with confidence that the discount notes would remain effective hedges as required under hedge accounting rules. See financial statements, Fair Value Option Disclosures in Note 18. Fair Values of Financial Instruments.

9294

Table of Contents

The following table summarizes Cash flow hedges of discount notes (in thousands):

Table 5.11 Cash Flow Hedges of Discount Notes


	Consolidated Obligation Discount Notes				Consolidated Obligation Discount Notes
Principal Amount	June 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Discount notes hedged under qualifying hedge ^(a)	$	1,806,000	$	2,139,000	$	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 hedge gains and losses in Note 17. Derivatives and Hedging Activities.

Accrued interest payable

Accrued interest payable — Amounts outstanding were ~~$133.2~~$125.3 million at ~~June~~September 30, 2021 and $118.0 million at December 31, 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 ~~$193.0~~$183.4 million at ~~June~~September 30, 2021 and $186.6 million at December 31, 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 Stockholders’ Capital


	June 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Capital Stock ^(a)	$	4,867,291	$	5,366,830	$	4,447,124	$	5,366,830
Unrestricted retained earnings ^(b)		1,119,935		1,135,341		1,113,113		1,135,341
Restricted retained earnings ^(c)		803,658		774,275		816,820		774,275
Accumulated Other Comprehensive Income (Loss)		29,643		(19,747)		34,297		(19,747)
Total Capital	$	6,820,527	$	7,256,699	$	6,411,354	$	7,256,699

(a)

Stockholders’ Capital — Capital stock ~~increased~~decreased in line with the ~~increase~~decrease in advances borrowed. When an advance matures or is prepaid, the excess capital stock is repurchased by the FHLBNY. When an advance is borrowed or a member joins the FHLBNY’s membership, the member is required to purchase capital stock.

(b)

Unrestricted retained earnings — Net income is added to this balance. Dividends are paid out of this balance. Funds are transferred to Restricted retained earnings balances that are determined in line with the approved provisions of the conduct of restricted retained earnings account.

(c)

Restricted retained earnings — Restricted retained earnings balance at ~~June~~September 30, 2021 has grown to ~~$803.7~~$816.8 million from the time the provisions were implemented in 2011 when the FHLBanks, including the FHLBNY, agreed to set up a restricted retained earnings account. The FHLBNY will allocate at least 20% of its net income to the FHLBNY’s Restricted retained earnings account until the balance of the account equals at least 1% of FHLBNY’s average balance of outstanding Consolidated Obligations for the ~~previous~~current calendar quarter. By way of reference, if the Restricted retained earnings target was to be calculated at ~~June~~September 30, 2021, the target amount would be ~~$1.2~~$1.0 billion based on the FHLBNY’s average consolidated obligations outstanding during the current calendar quarter, as compared to actual Restricted retained earnings of ~~$803.7~~$816.8 million at ~~June~~September 30, 2021. Also see Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings.

9395

Table of Contents

The following table summarizes the components of AOCI (in thousands):

Table 6.2 Accumulated Other Comprehensive Income (Loss) (AOCI)


	June 30, 2021		December 31, 2020		September 30, 2021		December 31, 2020
Accumulated other comprehensive income (loss)
Non-credit portion on held-to-maturity securities, net ^(a)	$	(3,069)	$	(5,588)	$	(2,714)	$	(5,588)
Net market value unrealized gains (losses) on available-for-sale securities ^(b)		215,315		280,626		176,495		280,626
Net Fair value hedging gains (losses) on available-for-sale securities ^(b)		(1,242)		(44,052)		20,780		(44,052)
Net Cash flow hedging gains (losses) ^(c)		(141,135)		(207,204)		(124,826)		(207,204)
Employee supplemental retirement plans ^(d)		(40,226)		(43,529)		(35,438)		(43,529)
Total Accumulated other comprehensive income (loss)	$	29,643	$	(19,747)	$	34,297	$	(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)

~~Market~~Net market values of available-for-sale securities ~~— $215.3~~were $176.5 million and $280.6 million at ~~June~~September 30, 2021 and December 31, 2020, respectively, represent third-party pricing vendors’ market-based unrealized gains of securities designated as AFS. ~~Amounts~~Net unrealized gains of ~~$1.2~~$20.8 million and unrealized losses of $44.1 million at ~~June~~September 30, 2021 and December 31, 2020, respectively, represent changes in the benchmark rate (the risk being hedged) calculated by Bank’s internal models for AFS designated in ASC 815 hedging relationships. Hedging gains and losses are recorded through earnings with an offset to the carrying values of hedged AFS securities. Hedging basis will reverse to zero if hedges are allowed to mature.

(c)

Cash flow hedging losses recorded in AOCI were primarily the result of cash flow hedges of sequential issuance of discount notes; also included immaterial valuation basis of cash flow hedges of anticipatory issuance of CO bonds. See Table 6.3 AOCI Rollforward due to ASC 815 Hedging Programs.

(d)

Employee supplemental plans — Balances represent actuarially determined supplemental pension and postretirement health benefit liabilities that were not recognized through earnings.

~~Table~~~~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, 2021

Cash Flow Hedges

Fair Value Hedges

Rollover Hedge

Anticipatory Hedge


Program

Program

AFS Securities
Beginning balance

$
(198,494)

$
(8,710)

$
(44,052)
Changes in fair values ^(a)

65,328

—

42,810
Amount reclassified

—

741

—
Ending balance

$
(133,166)

$
(7,969)

$
(1,242)

Notional amount of swaps outstanding

$
1,806,000

$
—

$
1,432,000

Table6.3 AOCI Rollforward due to ASC 815 Hedging Programs


	September 30, 2021
	Cash Flow Hedges				Fair Value Hedges
	Rollover Hedge		Anticipatory Hedge
	Program		Program		AFS Securities
Beginning balance	$	(198,494)	$	(8,710)	$	(44,052)
Changes in fair values ^(a)		80,898		—		64,832
Amount reclassified		—		1,128		—
Fair Value - closed contract		—		352		—
Ending balance	$	(117,596)	$	(7,230)	$	20,780

Notional amount of swaps outstanding	$	1,806,000	$	—	$	1,893,000

9496

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						September 30, 2020
	Cash Flow Hedges				Fair Value Hedges		Cash Flow Hedges				Fair Value Hedges
	Rollover Hedge		Anticipatory Hedge				Rollover Hedge		Anticipatory Hedge
	Program		Program		AFS Securities		Program		Program		AFS Securities
Beginning balance	$	(89,083)	$	(5,433)	$	(11,593)	$	(89,083)	$	(5,433)	$	(11,593)
Changes in fair values ^(a)		(154,893)		(1,109)		(58,838)		(136,886)		(1,109)		(51,318)
Amount reclassified		—		621		—		—		984		—
Fair Value - closed contract		—		(3,231)		—		—		(3,531)		—
Ending balance	$	(243,976)	$	(9,152)	$	(70,431)	$	(225,969)	$	(9,089)	$	(62,911)

Notional amount of swaps outstanding	$	2,664,000	$	—	$	602,000	$	2,664,000	$	—	$	973,000

(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.

Dividends — By Finance Agency regulation, dividends may be paid out of current earnings or if certain conditions are met, may be paid out of previously retained earnings. We may be restricted from paying dividends if we do not comply with any of the Finance Agency’s minimum capital requirements or if payment would cause us to fail to meet any of the minimum capital requirements, including our Retained earnings target as established by the Board of Directors of the FHLBNY. In addition, we may not pay dividends if any principal or interest due on any Consolidated obligations has not been paid in full, or if we fail to satisfy certain liquidity requirements under applicable Finance Agency regulations. None of these restrictions applied for any period presented.

The following table summarizes dividends paid and payout ratios:

Table 6.4 Dividends Paid and Payout Ratios


	Six months ended						Nine months ended
	June 30, 2021			June 30, 2020			September 30, 2021			September 30, 2020
Cash dividends paid per share	$	2.43		$	3.07		$	3.57		$	4.46
Dividends paid ^{(a) (c)}	$	132,937		$	173,591		$	192,405		$	269,024
Pay-out ratio ^(b)		90.49	%		71.54	%		90.45	%		78.24	%

(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.

9597

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):

Table 7.1 Derivatives Counterparty Credit Ratings


	June 30, 2021												September 30, 2021
			Net Derivatives												Net Derivatives
			Fair Value		Cash Collateral				Non-Cash Collateral		Net Credit				Fair Value		Cash Collateral				Non-Cash Collateral		Net Credit
			Before		Pledged To (From)		Balance Sheet Net		Pledged To (From)		Exposure to				Before		Pledged To (From)		Balance Sheet Net		Pledged To (From)		Exposure to
Credit Rating	Notional Amount		Collateral		Counterparties ^(a)		Credit Exposure		Counterparties ^(b)		Counterparties		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	$	4,182,000	$	41,566	$	65,200	$	106,766	$	(96,062)	$	10,704
Cleared derivatives assets ^(d)		83,878,038		6,701		—		6,701		624,717		631,418		66,735,000		1,555		122,096		123,651		368,864		492,515
		88,065,038		51,204		(33,885)		17,319		624,717		642,036		70,917,000		43,121		187,296		230,417		272,802		503,219
Liability positions with credit exposure
Uncleared derivatives
Single A liability ^(c)		6,618,772		(30,827)		32,511		1,684		—		1,684		9,299,466		(51,227)		52,880		1,653		—		1,653
Triple B liability ^(c)		3,188,000		(220,643)		226,250		5,607		—		5,607		5,791,000		(206,236)		211,430		5,194		—		5,194
		9,806,772		(251,470)		258,761		7,291		—		7,291		15,090,466		(257,463)		264,310		6,847		—		6,847
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
Total derivative positions with non-member
counterparties to which the Bank had credit exposure														86,007,466		(214,342)		451,606		237,264		272,802		510,066
Member institutions
Derivative positions with member counterparties to which the Bank had credit exposure		79,000		4,641		—		4,641		(4,641)		—
Derivative positions with member counterparties
to which the Bank had credit exposure														79,000		4,101		—		4,101		(4,101)		—
Delivery commitments
Derivative position with delivery commitments		10,875		31		—		31		(31)		—		21,868		—		—		—		—		—
Total derivative position with members		89,875		4,672		—		4,672		(4,672)		—		100,868		4,101		—		4,101		(4,101)		—
Total	$	97,961,685	$	(195,594)	$	224,876	$	29,282	$	620,045	$	649,327	$	86,108,334	$	(210,241)	$	451,606	$	241,365	$	268,701	$	510,066
Derivative positions without credit exposure		11,507,916												9,119,893
Total notional	$	109,469,601											$	95,228,227

9698

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

(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~~We had pledged $368.9 million and $630.4 million, in marketable securities as collateral at September 30, 2021 and December 31, ~~2020,~~2020. At September 30, 2021, we had pledged ~~$624.7~~$122.1 million ~~and $630.4 million, respectively,~~ in ~~marketable securities.~~cash as collateral.

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

Our primary source of liquidity is the issuance of Consolidated Obligation bonds and discount notes. To refinance maturing Consolidated obligations, we rely on the willingness of our investors to purchase new issuances. We have access to the discount note market, and the efficiency of issuing discount notes is an important source of liquidity, since discount notes can be issued any time and in a variety of amounts and maturities. Member deposits and capital stock purchased by members are also sources of funds. Short-term unsecured borrowings from other FHLBanks and in the federal funds market, as well as secured borrowings in the repo market provide additional sources of liquidity. In addition, the Secretary of the Treasury is authorized to purchase up to $4.0 billion of Consolidated obligations from the FHLBanks. Our liquidity position remains in compliance with all regulatory requirements and management does not foresee any changes to that position.

9799

Table of Contents

Finance Agency Regulations — Liquidity

Regulatory requirements are specified in Parts 1239, 1270 and 1277 of the Finance Agency regulations and Advisory Bulletin 2018-07. Each FHLBank shall at all times have at least an amount of liquidity equal to the current deposits received from its members that may be invested in: (1) Obligations of the United States; (2) Deposits in banks or trust companies; and (3) Advances with a remaining maturity not to exceed five years that are made to members in conformity with part 1266. We are required to hold positive cash flow assuming no access to capital markets and assuming renewal of all maturing advances for a period of between ten to thirty calendar days and to maintain liquidity limits to reduce the risks associated with a mismatch in asset and liability maturities, including an undue reliance on short-term debt funding.

In addition, the Bank provides for Contingency Liquidity, which is defined as the sources of cash the Bank may use to meet its operational requirements when its access to the capital markets is impeded. We met our Contingency Liquidity requirements during all periods in this report. Liquidity in excess of requirements is summarized in the table titled Contingency Liquidity. Advisory Bulletin 2018-07 concerning liquidity was by policy 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 ready liquidity to our members. In managing liquidity risk, we are required to maintain certain liquidity measures in accordance with the FHLBank Act, an Advisory Bulletin and policies developed by management and approved by our Board of Directors. The applicable liquidity requirements are described in the next four sections.

Deposit Liquidity. We are required to invest an aggregate amount at least equal to the amount of current deposits received from members in: (1) Obligations of the United States; (2) Deposits in banks or trust companies; or (3) Advances with a remaining maturity not to exceed five years that are made to members in conformity with 12 CFR part 1266. In addition to accepting deposits from our members, we may accept deposits from other FHLBanks or from any other governmental instrumentality. We met these requirements at all times. Quarterly average reserves and actual reserves are summarized below (in millions):

Table 8.1 Deposit Liquidity


	Average Deposit		Average Actual				Average Deposit		Average Actual
For the Quarters Ended	Reserve Required		Deposit Liquidity		Excess		Reserve Required		Deposit Liquidity		Excess
September 30, 2021							$	1,436	$	63,116	$	61,680
June 30, 2021	$	1,521	$	74,467	$	72,946		1,521		74,467		72,946
March 31, 2021		1,677		77,183		75,506		1,677		77,183		75,506
December 31, 2020		1,698		84,479		82,781		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


	Average Balance Sheet		Average Actual				Average Balance Sheet		Average Actual
For the Quarters Ended	Liquidity Requirement		Operational Liquidity		Excess		Liquidity Requirement		Operational Liquidity		Excess
September 30, 2021							$	6,437	$	24,822	$	18,385
June 30, 2021	$	10,163	$	24,722	$	14,559		10,163		24,722		14,559
March 31, 2021		10,643		28,880		18,237		10,643		28,880		18,237
December 31, 2020		9,367		27,629		18,262		9,367		27,629		18,262

98100

Table of Contents

Contingency Liquidity. The Bank holds “contingency liquidity” in an amount sufficient to meet our liquidity needs if we are unable to access the Consolidated obligation debt markets for at least five business days. Contingency liquidity includes (1) marketable assets with a maturity of one year or less; (2) self-liquidating assets with a maturity of one year or less; (3) assets that are generally acceptable as collateral in the repurchase market; and (4) irrevocable lines of credit from financial institutions receiving not less than the second-highest credit rating from a NRSRO. We consistently exceed the minimum requirements for contingency liquidity. Contingency liquidity is measured daily. We met these requirements at all times.

The following table summarizes excess contingency liquidity (in millions):

Table 8.3 Contingency Liquidity


	Average Five Day		Average Actual				Average Five Day		Average Actual
For the Quarters Ended	Requirement		Contingency Liquidity		Excess		Requirement		Contingency Liquidity		Excess
September 30, 2021							$	1,789	$	23,245	$	21,456
June 30, 2021	$	1,740	$	22,711	$	20,971		1,740		22,711		20,971
March 31, 2021		2,725		26,128		23,403		2,725		26,128		23,403
December 31, 2020		3,448		24,494		21,046		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 ~~$52.6~~$118.8 million at ~~June~~September 30, 2021 and $1.9 billion at December 31, 2020. Cash and cash equivalents exclude short-term interest-bearing deposits, federal funds sold, and securities purchased under agreements to resell. The following discussion highlights the major activities and transactions that affected our cash flows.

99101

Table of Contents

Cash flows provided by/ (used in) operating activities — Operating assets and liabilities support our lending activities to members, and can vary significantly in the normal course of business due to the amount and timing of cash flows, which are affected by member-driven borrowing, our investment strategies, and market conditions. Management believes cash flows from operations, available cash balances and our ability to generate cash through the issuance of Consolidated obligation bonds and discount notes are sufficient to fund our operating liquidity needs.

Operating activities resulted in ~~$507.2~~$697.8 million in net cash inflows in the ~~six~~nine months ended ~~June~~September 30, 2021, compared to outflows of ~~$669.2~~$399.0 million in the same period in 2020. Period changes in cash flows provided by or used in operating activities were largely driven by: (a) Net income was ~~$146.9~~$212.7 million in the ~~six~~nine months ended ~~June~~September 30, 2021 and ~~$242.6~~$343.8 million in the same period in the prior year; (b) Derivatives and hedging activities provided ~~$281.5~~$391.6 million in cash flows in the ~~six~~nine months ended ~~June~~September 30, 2021, compared to the use of ~~$649.7~~$603.5 million in cash flows in the same period in 2020. The change was consistent with the significant decline in benchmark interest rates in the current year period; additionally, we posted lower amounts of variation margins to derivative counterparties; and (c) we reported positive adjustments to operating cash flows of ~~$61.2~~$77.3 million to recognize unrealized valuation losses on U.S. Treasury securities at ~~June~~September 30, 2021, compared to a negative adjustment of ~~$155.9~~$116.2 million at ~~June~~September 30, 2020.

Cash flows provided by/ (used in) investing activities — Investing activities resulted in ~~$14.1~~$31.8 billion in net cash inflows in the ~~six~~nine months ended ~~June~~September 30, 2021, compared to ~~$3.5~~$10.9 billion in net cash inflows in the same period in 2020. In current period, Securities purchased under agreements to resell decreased and federal funds sold increased; investments in U.S. Treasury securities declined.

Cash flows provided by/ (used in) financing activities — Our primary source of funding is the issuance of Consolidated obligation debt. Issuance of capital stock is another source. Financing activities reported net cash outflows of ~~$16.5~~$34.3 billion in the ~~six~~nine months ended ~~June~~September 30, 2021 compared to net outflows of ~~$3.4~~$10.7 billion in the same period in the prior year.

For more information, see Statements of Cash Flows in the financial statements.

Short-term Borrowings and Short-term Debt

Our primary source of funds is the issuance of FHLBank debt. Consolidated obligation discount notes are issued with maturities up to one year and provide us with short-term funds. Discount notes are principally used in funding short-term advances, some long-term advances, as well as money market instruments. We also issue short-term Consolidated obligation bonds as part of our asset-liability management strategy. We may also borrow from another FHLBank, generally for a period of one day. Such borrowings have been historically insignificant.

The following table summarizes short-term debt and their key characteristics (dollars in thousands):

Table 8.4 Short-term Debt


							Consolidated Obligations-Bonds With												Consolidated Obligations-Bonds With
	Consolidated Obligations-Discount Notes						Original Maturities of One Year or Less						Consolidated Obligations-Discount Notes						Original Maturities of One Year or Less
	June 30, 2021			December 31, 2020			June 30, 2021			December 31, 2020			September 30, 2021			December 31, 2020			September 30, 2021			December 31, 2020
Outstanding at end of the period ^(a)	$	42,173,073		$	57,658,838		$	26,907,800		$	30,772,940		$	32,768,402		$	57,658,838		$	16,169,400		$	30,772,940
Weighted-average rate at end of the period ^(b)		0.02	%		0.15	%		0.07	%		0.12	%		0.04	%		0.15	%		0.05	%		0.12	%
Average outstanding for the period ^(a)	$	52,178,842		$	74,759,309		$	30,219,056		$	35,920,800		$	47,864,031		$	74,759,309		$	27,249,032		$	35,920,800
Weighted-average rate for the period		0.08	%		0.51	%		0.10	%		0.84	%		0.06	%		0.51	%		0.09	%		0.84	%
Highest outstanding at any month-end ^(a)	$	58,583,114		$	90,249,660		$	33,017,940		$	52,277,550		$	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.

~~100~~102

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 regulations authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on Consolidated obligations for which another FHLBank is the primary obligor.

In addition, in the ordinary course of business, the FHLBNY engages in financial transactions that, in accordance with U.S. GAAP, are not recorded on the FHLBNY’s balance sheet or may be recorded on the FHLBNY’s balance sheet in amounts that are different from the full contract or notional amount of the transactions. For example, the Bank routinely enters into commitments to purchase 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.

Results of Operations

The following section provides a comparative discussion of the FHLBNY’s results of operations for the three and ~~six~~nine months ended ~~June~~September 30, 2021 and ~~June~~September 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 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):

Table 9.1 Principal Components of Net Income


	Three months ended June 30,				Six months ended June 30,				Three months ended September 30,				Nine months ended September 30,
	2021		2020		2021		2020		2021		2020		2021		2020
Total interest income	$	247,534	$	502,305	$	529,809	$	1,242,357	$	227,403	$	354,712	$	757,212	$	1,597,069
Total interest expense		104,369		272,617		228,106		859,876		99,226		173,949		327,332		1,033,825
Net interest income before provision for credit losses		143,165		229,688		301,703		382,481		128,177		180,763		429,880		563,244
Provision (Reversal) for credit losses		(1,672)		3,030		(2,957)		3,166		(1,652)		2,536		(4,609)		5,702
Net interest income after provision for credit losses		144,837		226,658		304,660		379,315		129,829		178,227		434,489		557,542
Total other income (loss)		(9,625)		(22,817)		(42,243)		(15,088)		(8,652)		(14,283)		(50,895)		(29,371)
Total other expenses		52,203		51,029		99,172		94,621		48,055		51,498		147,227		146,119
Income before assessments		83,009		152,812		163,245		269,606		73,122		112,446		236,367		382,052
Affordable Housing Program Assessments		8,304		15,287		16,331		26,974		7,314		11,251		23,645		38,225
Net income	$	74,705	$	137,525	$	146,914	$	242,632	$	65,808	$	101,195	$	212,722	$	343,827

~~101~~103

Table of Contents

Net Income —2021 ~~Second~~Third Quarter Compared to 2020 ~~Second~~Third Quarter

Net income — For the FHLBNY, Net income is Net interest income, minus Provision (Reversal) for credit losses, plus Other income (loss), less Other expenses and Assessments set aside for the FHLBNY’s Affordable Housing Program.

Net income for the 2021 ~~second~~third quarter was ~~$74.7~~$65.8 million, a decrease of ~~$62.8~~$35.4 million, or ~~45.7%~~35.0% compared to the same period in the prior year. Summarized below are the primary components of our Net income:

Net interest income — The 2021 ~~second~~third quarter Net interest income was ~~$143.2~~$128.2 million, a decrease of ~~$86.5~~$52.6 million, or ~~37.7%~~29.1% compared to the same period in the prior year. Net interest spread was 4443 basis points in the 2021 ~~second~~third quarter, ~~compared to 49 basis points in~~no change from the same period in the prior year. For more information, see Table 9.2 Net Interest Income and accompanying discussions in this MD&A.

Other income (loss) — Other income (loss) reported a loss of ~~$9.6~~$8.7 million in the 2021 ~~second~~third quarter compared to a loss of ~~$22.8~~$14.3 million in the same period in the prior year.

●

Service fees and other were ~~$4.4~~$4.3 million in the 2021 ~~second~~third quarter compared to ~~$4.6~~$4.1 million in the same period in the prior year. Service fees and other are primarily fee revenues from financial letters of credit.

●

Financial instruments carried at fair values reported a net valuation gain of ~~$3.9~~$0.3 million in the 2021 ~~second~~third quarter compared to a net gain of ~~$10.6~~$7.1 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 9.8 Other Income (Loss) and accompanying discussions in this MD&A.

●

Derivative activities reported a gain of ~~$3.9~~$3.3 million in Other income in the 2021 ~~second~~third quarter, compared to a ~~charge~~gain of ~~$3.9~~$10.8 million in the same period in the prior year. For more information, see Table 9.10 Other Income (Loss) — Impact of Derivative Gains and Losses and accompanying discussions in this MD&A.

●

U.S. Treasury Securities held for liquidity (classified as trading) reported net ~~marked-to-market~~ losses of ~~$26.4~~$16.1 million in the 2021 ~~second~~third quarter, compared to net losses of ~~$41.4~~$39.7 million in the same period in the prior year.

●

Equity Investments, held to finance payments to retirees in non-qualified pension plans, reported net ~~gains~~losses of ~~$4.5~~$0.5 million in the 2021 ~~second~~third quarter compared to net gains of ~~$7.3~~$3.1 million in the same period in the prior year.

Other expenses were ~~$52.2~~$48.1 million in the 2021 ~~second~~third quarter, compared to ~~$51.0~~$51.5 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 ~~$18.2~~$16.9 million in the 2021 ~~second~~third quarter, slightly ~~higher~~lower than the same period in the prior year.

●

Compensation and benefits expenses were ~~$23.2~~$23.3 million in the 2021 ~~second~~third quarter, ~~up from $22.3 million in~~slightly higher than the same period in the prior year.

●

The expenses allocated for our share of the costs to operate the Office of Finance and the Federal Housing Finance Agency were ~~$5.4~~$5.5 million in the 2021 ~~second~~third quarter, compared to ~~$4.6~~$4.9 million in the same period in the prior year.

●

Other expenses were ~~$5.5~~$2.3 million in the 2021 ~~second~~third quarter, compared to ~~$6.0~~$6.7 million in the same period in the prior year.

Affordable Housing Program Assessments (AHP) allocated from Net income were ~~$8.3~~$7.3 million in the 2021 ~~second~~third quarter, compared to ~~$15.3~~$11.3 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.

~~102~~104

Table of Contents

Net Income —Year-to-Date Period Ended ~~June~~September 30, 2021 Compared to ~~June~~September 30, 2020

Net income in the year-to-date period in the current year was ~~$146.9~~$212.7 million, a decrease of ~~$95.7~~$131.1 million, or ~~39.4%~~38.1% compared to the same period in the prior year.

Net interest income in the year-to-date period in the current year was ~~$301.7~~$429.9 million, a decrease of ~~$80.8~~$133.4 million, or ~~21.1%~~23.7%. Net interest spread was 44 basis points in the current year, compared to 4041 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~~September 30, the aggregate impact was a loss of ~~$42.2~~$50.9 million in the 2021 period compared to a loss of ~~$15.1~~$29.4 million in the same period in the prior year.

Other expenses were ~~$99.2~~$147.2 million in the year-to-date period in the current year, compared to ~~$94.6~~$146.1 million in the same period in the prior year. Operating expenses were ~~$32.4~~$49.4 million in the year-to-date period in the current year, up from ~~$31.6~~$48.6 million in the prior year ~~period due to consulting expenses incurred in the period to implement several multi-year technology enhancement initiatives.~~period. Compensation and benefits were ~~$47.5~~$70.8 million in the year-to-date period in the current year, up from ~~$45.6~~$68.6 million in the prior year ~~period due to increase in head count.~~period. The expenses allocated for our share of the costs to operate the Office of Finance and the Federal Housing Finance Agency were ~~$11.0~~$16.5 million in the year-to-date period in the current year, compared to ~~$9.0~~$13.9 million in the prior year period. Other expenses were ~~$8.3~~$10.6 million in the year-to-date period in the current year and ~~$8.4~~$15.0 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.

AHP assessments allocated from Net income were ~~$16.3~~$23.6 million in the year-to-date period in the current year, compared to ~~$27.0~~$38.2 million in the same period in the prior year.

Net Interest Income, Interest Rate Margins and Interest Rate Spreads

Net interest income is our principal source of Net income. It represents the difference between income on interest-earning assets and expense on interest-bearing liabilities.

Changes in Net interest income are typically driven by changes in the volume of earning assets, as measured by average balances of earning assets, and the impact of market interest rates on earnings assets and funding costs. Interest income and expense accruals on interest rate swaps that qualified under the ASC 815 hedge accounting rules may impact year-over-year changes. Shareholders’ capital stock and retained earnings are also factors that impact net interest income as they provide interest free funding. Earnings on capital typically move directly with changes in short-term market interest rates. In a period when members prepay advances, the prepayment fees, which we receive may cause fluctuations in net interest income. For more information about factors that impact Interest income and Interest expense, see Table 9.3 Net Interest Adjustments from Hedge Qualifying Interest Rate Swaps and discussions thereto. Also, see Table 9.4 Spread and Yield Analysis, and Table 9.5 Rate and Volume Analysis.

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,						Three months ended September 30,						Nine months ended September 30,
					Percentage						Percentage						Percentage						Percentage
	2021		2020		Change		2021		2020		Change		2021		2020		Change		2021		2020		Change
Total interest income ^(a)	$	247,534	$	502,305	(50.72)	%	$	529,809	$	1,242,357	(57.35)	%	$	227,403	$	354,712	(35.89)	%	$	757,212	$	1,597,069	(52.59)	%
Total interest expense ^(a)		104,369		272,617	(61.72)			228,106		859,876	(73.47)			99,226		173,949	(42.96)			327,332		1,033,825	(68.34)
Net interest income before provision for credit losses	$	143,165	$	229,688	(37.67)	%	$	301,703	$	382,481	(21.12)	%	$	128,177	$	180,763	(29.09)	%	$	429,880	$	563,244	(23.68)	%

(a)Total Interest Income and Total Interest Expense — See Tables 9.6 and 9.7 and accompanying discussions

~~103~~105

Table of Contents

Our 2021 ~~second~~third quarter net interest income decreased from prior year ~~second~~third quarter by ~~$86.5~~$52.6 million resulting from decreases in both the average yields on, and the average balances of, interest earning assets, principally advances. Additionally, ~~$4.0~~$7.5 million and ~~$4.6~~$8.2 million of prepayment fees were recorded in Net interest income in the ~~second~~third quarter of 2021 and 2020, respectively.

Financial markets in the ~~second~~third quarter continued to ~~be under stress. The Fed has continued with its wide-ranging stimulus plans and~~exhibit historically low levels of interest rates ~~remain low,~~and high levels of liquidity, impacting our interest revenues and opportunities for acquiring investments. Net interest income decreased from prior year ~~second~~third quarter by ~~37.7%~~29.1% and in the year-to-date period ended ~~June~~September 30, 2021 net interest income decreased by ~~21.1%~~23.7%.

The U.S. and various state governments have continued to provide wide-ranging fiscal support programs, creating high levels of market liquidity and high levels of deposits at US banks, reducing members’ need for advances. Interest margin also 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~~third quarter, margins tightened between yields on assets, specifically short-term and floating-rate investments and short-term and floating-rate advances, and the corresponding yields paid on funding those assets. Net interest margin, a measure of margin efficiency, which is calculated as Net interest income divided by average earning assets, was 4645 basis points, compared to 5346 basis points in the prior year ~~second~~third quarter. Net interest spread in the 2021 ~~second~~third quarter was 4443 basis points, representing the yield from earning assets minus interest paid on costing liabilities. In the prior year ~~second~~third quarter, the net interest spread was 4943 basis points.

Stockholders’ capital, ~~stock,~~ which is typically deployed to fund short-term interest-earning assets, decreased to ~~$7.1~~$6.6 billion in 2021 ~~second~~third quarter from ~~$8.7~~$8.1 billion in the prior year quarter (as measured by average outstanding balance in the period). Decrease in Capital stock was in line with decrease in advances in the 2021 ~~second~~third quarter as borrowing members are required to purchase capital stock in proportion to amounts borrowed.

In 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 4746 basis points, unchanged from the same period in the 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 in the prior year, the net interest spread was 4041 basis points.

Stockholders’ capital, ~~stock,~~ which is typically deployed to fund short-term interest-earning assets, decreased to ~~$7.2~~$7.0 billion in 2021 year-to-date period from ~~$8.2~~$8.1 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~~$72.8 million to interest margin, in the ~~second~~third quarter of the current year compared to an expense of ~~$68.5~~$117.4 million in the same period in the prior year. In the year-to-date period ended ~~June~~September 30, 2021 we recorded a net expense of ~~$176.1~~$248.9 million compared to a net expense of ~~$68.7~~$186.1 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 benchmark interest rate indices have driven down the benchmark-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 benchmarks had a favorable impact on benchmark-indexed cash flows paid on swaps hedging debt, the favorable impact was not as significant. Net interest settlements on swaps hedging assets and liabilities under ASC 815 fluctuated as expected in line with changes in the benchmark rates; the hedging transactions achieved our interest rate risk management objectives. The impact of hedge ineffectiveness in the comparable quarters were immaterial.

~~104~~106

Table of 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):

Table 9.3 Net Interest Adjustments from Hedge Qualifying Interest Rate Swaps


	Three months ended June 30,				Six months ended June 30,				Three months ended September 30,				Nine months ended September 30,
	2021		2020		2021		2020		2021		2020		2021		2020
Interest income	$	358,368	$	596,652	$	750,392	$	1,364,719	$	332,052	$	482,540	$	1,082,444	$	1,847,259
Fair value hedging effects		(543)		8,970		1,451		(2,515)		213		814		1,664		(1,701)
Amortization of basis		(78)		(208)		(26)		(222)		(666)		(180)		(692)		(402)
Interest rate swap accruals		(110,213)		(103,109)		(222,008)		(119,625)		(104,196)		(128,462)		(326,204)		(248,087)
Reported interest income		247,534		502,305		529,809		1,242,357		227,403		354,712		757,212		1,597,069

Interest expense		134,902		306,246		279,483		914,385		132,722		185,215		412,205		1,099,600
Fair value hedging effects		(93)		2,408		(2,750)		(589)		(810)		1,139		(3,560)		550
Amortization of basis		(1,322)		(1,438)		(2,703)		(2,985)		(1,310)		(1,315)		(4,013)		(4,300)
Interest rate swap accruals		(29,118)		(34,599)		(45,924)		(50,935)		(31,376)		(11,090)		(77,300)		(62,025)
Reported interest expense		104,369		272,617		228,106		859,876		99,226		173,949		327,332		1,033,825
Net interest income	$	143,165	$	229,688	$	301,703	$	382,481	$	128,177	$	180,763	$	429,880	$	563,244
Net interest adjustment - interest rate swaps	$	(80,301)	$	(60,718)	$	(169,206)	$	(67,853)	$	(71,153)	$	(116,562)	$	(240,359)	$	(184,415)

~~105~~107

Table of Contents

Spread and Yield Analysis — 2021 Periods Vs. 2020 Periods

Table 9.4 Spread and Yield Analysis


	Three months ended June 30,													Three months ended September 30,
	2021						2020							2021					2020
			Interest						Interest							Interest					Interest
	Average		Income/				Average		Income/					Average		Income/			Average		Income/
(Dollars in thousands)	Balance		Expense		Rate ^(a)		Balance		Expense		Rate ^(a)			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	%	$	75,642,110	$	116,229	0.61	%	$	110,391,489	$	193,003	0.70	%
Interest bearing deposits and others		1,272,720		264	0.08			1,826,910		482	0.11			1,321,580		311	0.09			1,661,515		581	0.14
Federal funds sold and other overnight funds		10,150,451		1,864	0.07			12,909,396		2,076	0.06			12,558,891		2,834	0.09			12,672,913		3,039	0.10
Investments
Trading securities		8,222,005		27,748	1.35			13,136,997		50,884	1.56			5,924,376		16,871	1.13			12,793,851		48,708	1.51
Mortgage-backed securities
Fixed		10,772,154		69,203	2.58			11,259,275		80,515	2.88			10,696,765		67,049	2.49			11,270,182		78,177	2.76
Floating		3,724,474		5,405	0.58			4,897,842		13,629	1.12			3,448,295		4,889	0.56			4,613,316		7,449	0.64
State and local housing finance agency obligations		1,083,402		1,862	0.69			1,115,834		4,157	1.50			1,067,356		2,014	0.75			1,107,617		2,419	0.87
Mortgage loans held-for-portfolio		2,608,026		17,620	2.71			3,200,637		24,332	3.06			2,468,091		17,206	2.77			3,105,313		21,336	2.73
Loans to other FHLBanks		3,297		1	0.12			—		—	NM			—		—	NM			—		—	NM

Total interest-earning assets	$	124,867,558	$	247,534	0.80	%	$	173,666,710	$	502,305	1.16	%	$	113,127,464	$	227,403	0.80	%	$	157,616,196	$	354,712	0.90	%

Funded By:
Consolidated obligation bonds
Fixed	$	63,984,182	$	87,171	0.55	%	$	27,665,246	$	108,074	1.57	%	$	61,471,367	$	82,761	0.53	%	$	31,949,748	$	94,992	1.18	%
Floating		4,943,158		1,698	0.14			45,516,966		68,852	0.61			3,863,050		1,727	0.18			31,651,519		15,074	0.19
Consolidated obligation discount notes		46,796,019		15,385	0.13			89,558,982		95,477	0.43			39,375,108		14,593	0.15			83,652,419		63,582	0.30
Interest-bearing deposits and other borrowings		1,458,449		87	0.02			1,455,363		158	0.04			1,394,120		120	0.03			1,486,782		236	0.06
Mandatorily redeemable capital stock		2,518		28	4.46			4,176		56	5.39			2,245		25	4.42			4,874		65	5.31

Total interest-bearing liabilities		117,184,326		104,369	0.36	%		164,200,733		272,617	0.67	%		106,105,890		99,226	0.37	%		148,745,342		173,949	0.47	%

Other non-interest-bearing funds		584,272		—				780,958		—				433,339		—				815,709		—
Capital		7,098,960		—				8,685,019		—				6,588,235		—				8,055,145		—

Total Funding	$	124,867,558	$	104,369			$	173,666,710	$	272,617			$	113,127,464	$	99,226			$	157,616,196	$	173,949

Net Interest Income/Spread			$	143,165	0.44	%			$	229,688	0.49	%			$	128,177	0.43	%			$	180,763	0.43	%

Net Interest Margin
(Net interest income/Earning Assets)					0.46	%					0.53	%					0.45	%					0.46	%

~~106~~108

Table of Contents


	Six months ended June 30,													Nine months ended September 30,
	2021						2020							2021					2020
			Interest						Interest							Interest					Interest
	Average		Income/				Average		Income/					Average		Income/			Average		Income/
(Dollars in thousands)	Balance		Expense		Rate ^(a)		Balance		Expense		Rate ^(a)			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	%	$	84,322,865	$	379,624	0.60	%	$	112,820,573	$	983,798	1.16	%
Interest bearing deposits and others		1,386,159		597	0.09			1,411,904		2,609	0.37			1,364,396		908	0.09			1,495,715		3,190	0.28
Federal funds sold and other overnight funds		12,033,878		4,640	0.08			14,659,484		57,361	0.79			12,210,806		7,474	0.08			13,992,460		60,400	0.58
Investments
Trading securities		9,605,690		68,378	1.44			14,268,203		125,881	1.77			8,365,101		85,249	1.36			13,773,165		174,589	1.69
Mortgage-backed securities
Fixed		10,774,155		140,802	2.64			11,251,073		163,404	2.92			10,748,075		207,851	2.59			11,257,490		241,581	2.87
Floating		3,876,105		11,462	0.60			5,079,637		41,294	1.63			3,731,934		16,351	0.59			4,923,062		48,743	1.32
State and local housing finance agency obligations		1,090,407		3,774	0.70			1,118,686		10,622	1.91			1,082,639		5,788	0.71			1,114,970		13,041	1.56
Mortgage loans held-for-portfolio		2,706,708		36,760	2.74			3,200,589		50,358	3.16			2,626,295		53,966	2.75			3,168,599		71,694	3.02
Loans to other FHLBanks		1,657		1	0.12			4,121		33	1.61			1,099		1	0.12			2,737		33	1.61

Total interest-earning assets	$	130,209,942	$	529,809	0.82	%	$	165,042,159	$	1,242,357	1.51	%	$	124,453,210	$	757,212	0.81	%	$	162,548,771	$	1,597,069	1.31	%

Funded By:
Consolidated obligation bonds
Fixed	$	60,017,354	$	176,468	0.59	%	$	31,410,233	$	277,062	1.77	%	$	60,507,351	$	259,229	0.57	%	$	31,591,384	$	372,054	1.57	%
Floating		8,747,586		6,367	0.15			47,173,149		256,421	1.09			7,101,515		8,094	0.15			41,961,507		271,495	0.86
Consolidated obligation discount notes		52,178,842		44,997	0.17			76,479,028		322,810	0.85			47,864,031		59,590	0.17			78,887,611		386,392	0.65
Interest-bearing deposits and other borrowings		1,531,577		212	0.03			1,325,081		3,448	0.52			1,485,254		332	0.03			1,379,374		3,684	0.36
Mandatorily redeemable capital stock		2,667		62	4.69			4,598		135	5.90			2,525		87	4.61			4,691		200	5.70

Total interest-bearing liabilities		122,478,026		228,106	0.38	%		156,392,089		859,876	1.11	%		116,960,676		327,332	0.37	%		153,824,567		1,033,825	0.90	%

Other non-interest-bearing funds		579,881		—				484,915		—				530,497		—				595,986		—
Capital		7,152,035		—				8,165,155		—				6,962,037		—				8,128,218		—

Total Funding	$	130,209,942	$	228,106			$	165,042,159	$	859,876			$	124,453,210	$	327,332			$	162,548,771	$	1,033,825

Net Interest Income/Spread			$	301,703	0.44	%			$	382,481	0.40	%			$	429,880	0.44	%			$	563,244	0.41	%

Net Interest Margin
(Net interest income/Earning Assets)					0.47	%					0.47	%					0.46	%					0.46	%

(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~~Federal Funds-OIS or ~~OIS/SOFR)~~SOFR-OIS) in the hedging relationship. Average balance sheet information is presented, as it is more representative of activity throughout the periods presented. For most components of the average balances, a daily weighted average balance is calculated for the period. When daily weighted average balance information is not available, a simple monthly average balance is calculated. Average yields are derived by dividing income by the average balances of the related assets, and average costs are derived by dividing expenses by the average balances of the related liabilities. Yields and spreads are annualized.

NM — Not meaningful.

~~107~~109

Table of Contents

Rate and Volume Analysis — 2021 Periods Vs. 2020 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						For the three months ended
	June 30, 2021 vs. June 30, 2020						September 30, 2021 vs. September 30, 2020
	Increase (Decrease)						Increase (Decrease)
	Volume		Rate		Total		Volume		Rate		Total
Interest Income
Advances	$	(81,460)	$	(121,203)	$	(202,663)	$	(55,440)	$	(21,334)	$	(76,774)
Interest bearing deposits and others		(128)		(90)		(218)		(104)		(166)		(270)
Federal funds sold and other overnight funds		(482)		270		(212)		(26)		(179)		(205)
Investments
Trading securities		(17,214)		(5,922)		(23,136)		(21,668)		(10,169)		(31,837)
Mortgage-backed securities
Fixed		(3,378)		(7,934)		(11,312)		(3,845)		(7,283)		(11,128)
Floating		(2,744)		(5,480)		(8,224)		(1,727)		(833)		(2,560)
State and local housing finance agency obligations		(117)		(2,178)		(2,295)		(85)		(320)		(405)
Mortgage loans held-for-portfolio		(4,191)		(2,521)		(6,712)		(4,438)		308		(4,130)
Loans to other FHLBanks		—		1		1		—		—		NM

Total interest income		(109,714)		(145,057)		(254,771)		(87,333)		(39,976)		(127,309)

Interest Expense
Consolidated obligation bonds
Fixed		80,118		(101,021)		(20,903)		57,609		(69,840)		(12,231)
Floating		(35,967)		(31,187)		(67,154)		(12,476)		(871)		(13,347)
Consolidated obligation discount notes		(32,711)		(47,381)		(80,092)		(24,893)		(24,096)		(48,989)
Deposits and borrowings		—		(71)		(71)		(14)		(102)		(116)
Mandatorily redeemable capital stock		(20)		(8)		(28)		(31)		(9)		(40)

Total interest expense		11,420		(179,668)		(168,248)		20,195		(94,918)		(74,723)

Changes in Net Interest Income	$	(121,134)	$	34,611	$	(86,523)	$	(107,528)	$	54,942	$	(52,586)

~~108~~110

Table of Contents


	For the six months ended						For the nine months ended
	June 30, 2021 vs. June 30, 2020						September 30, 2021 vs. September 30, 2020
	Increase (Decrease)						Increase (Decrease)
	Volume		Rate		Total		Volume		Rate		Total
Interest Income
Advances	$	(147,454)	$	(379,946)	$	(527,400)	$	(207,266)	$	(396,908)	$	(604,174)
Interest bearing deposits and others		(47)		(1,965)		(2,012)		(258)		(2,024)		(2,282)
Federal funds sold and other overnight funds		(8,739)		(43,982)		(52,721)		(6,838)		(46,088)		(52,926)
Investments
Trading securities		(36,141)		(21,362)		(57,503)		(59,589)		(29,751)		(89,340)
Mortgage-backed securities
Fixed		(6,720)		(15,882)		(22,602)		(10,593)		(23,137)		(33,730)
Floating		(8,095)		(21,737)		(29,832)		(9,803)		(22,589)		(32,392)
State and local housing finance agency obligations		(262)		(6,586)		(6,848)		(368)		(6,885)		(7,253)
Mortgage loans held-for-portfolio		(7,207)		(6,391)		(13,598)		(11,537)		(6,191)		(17,728)
Loans to other FHLBanks		(13)		(19)		(32)		(13)		(19)		(32)

Total interest income		(214,678)		(497,870)		(712,548)		(306,265)		(533,592)		(839,857)

Interest Expense
Consolidated obligation bonds
Fixed		155,209		(255,803)		(100,594)		212,728		(325,553)		(112,825)
Floating		(121,193)		(128,861)		(250,054)		(132,251)		(131,150)		(263,401)
Consolidated obligation discount notes		(79,279)		(198,534)		(277,813)		(112,827)		(213,975)		(326,802)
Deposits and borrowings		465		(3,701)		(3,236)		263		(3,615)		(3,352)
Mandatorily redeemable capital stock		(49)		(24)		(73)		(80)		(33)		(113)

Total interest expense		(44,847)		(586,923)		(631,770)		(32,167)		(674,326)		(706,493)

Changes in Net Interest Income	$	(169,831)	$	89,053	$	(80,778)	$	(274,098)	$	140,734	$	(133,364)

NM — Not meaningful.

Interest Income — 2021 Periods Vs. 2020 Periods

Our interest revenues are generated from an asset mix of long-term assets, such as fixed-rate advances, long-term fixed- and floating-rate investments, long-term 15-year and 30-year mortgage loans, and revenues generated from portfolios of overnight and short-term assets and U.S. Treasury securities held for liquidity.

~~109~~111

Table of Contents

The principal categories of Interest Income are summarized below (dollars in thousands):

Table 9.6 Interest Income — Principal Sources


	Three months ended June 30,						Six months ended June 30,						Three months ended September 30,						Nine months ended September 30,
					Percentage						Percentage						Percentage						Percentage
	2021		2020		Change		2021		2020		Change		2021		2020		Change		2021		2020		Change
Interest Income
Advances	$	123,567	$	326,230	(62.12)	%	$	263,395	$	790,795	(66.69)	%	$	116,229	$	193,003	(39.78)	%	$	379,624	$	983,798	(61.41)	%
Interest-bearing deposits		264		482	(45.23)			597		2,609	(77.12)			311		581	(46.47)			908		3,190	(71.54)
Securities purchased under agreements to resell		12		350	(96.57)			476		26,700	(98.22)			9		957	(99.06)			485		27,657	(98.25)
Federal funds sold		1,852		1,726	7.30			4,164		30,661	(86.42)			2,825		2,082	35.69			6,989		32,743	(78.65)
Trading securities		27,748		50,884	(45.47)			68,378		125,881	(45.68)			16,871		48,708	(65.36)			85,249		174,589	(51.17)
Mortgage-backed securities
Fixed		69,203		80,515	(14.05)			140,802		163,404	(13.83)			67,049		78,177	(14.23)			207,851		241,581	(13.96)
Floating		5,405		13,629	(60.34)			11,462		41,294	(72.24)			4,889		7,449	(34.37)			16,351		48,743	(66.45)
State and local housing finance agency obligations		1,862		4,157	(55.21)			3,774		10,622	(64.47)			2,014		2,419	(16.74)			5,788		13,041	(55.62)
Mortgage loans held-for-portfolio		17,620		24,332	(27.59)			36,760		50,358	(27.00)			17,206		21,336	(19.36)			53,966		71,694	(24.73)
Loans to other FHLBanks		1		—	NM			1		33	(96.97)			—		—	NM			1		33	(96.97)

Total interest income	$	247,534	$	502,305	(50.72)	%	$	529,809	$	1,242,357	(57.35)	%	$	227,403	$	354,712	(35.89)	%	$	757,212	$	1,597,069	(52.59)	%

NM - Not meaningful.

Interest income in the 2021 ~~second~~third quarter was ~~$247.5~~$227.4 million, a decline of ~~50.7%~~35.9% compared to the prior year ~~second~~third quarter. To provide context, interest expense declined by ~~61.7%~~43.0% compared to the prior year ~~second~~third quarter.

Changes in interest income in the current year ~~second~~third 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~~$34.8 billion from the prior year period.

Interest income in the 2021 year-to-date period was ~~$529.8~~$757.2 million, a decline of ~~57.4%~~52.6% compared to the same period in the prior year. To provide context, interest expense declined by ~~73.5%~~68.3% compared to the year-to-date period in the prior year.

Yields earned on assets declined sharply in the periods after FOMC rate actions in March 2020. Aggregate yield earned on earning assets in 2021 year-to-date period was 8281 basis points, compared to ~~151~~131 basis points in the same period in the prior year.

Interest Expense

Our primary source of funding is the issuance of Consolidated obligation bonds and discount notes to investors in the global debt markets issued through the Office of Finance, the FHLBank’s fiscal agent. Consolidated obligation bonds are generally medium- and long-term bonds, while Consolidated obligation discount notes are short-term instruments. To fund our assets, our management considers our interest rate risk and liquidity requirements in conjunction with consolidated obligation buyers’ preferences and capital market conditions when determining the characteristics of debt to be issued. Typically, we have used fixed-rate callable and non-callable CO bonds to fund mortgage-related assets and advances. CO discount notes are generally issued to fund advances and investments with shorter interest rate reset characteristics.

Changes in bond market rates, changes in intermediation volume (average interest-costing liabilities and interest-earning assets), the mix of debt issuances between CO bonds and CO discount notes, and the impact of hedging strategies are the primary factors that drive period-over-period changes in interest expense.

Derivative strategies are used to manage the interest rate risk inherent in fixed-rate debt. We execute our strategies by converting the fixed-rate funding to floating-rate debt using swap contracts indexed to a risk-free benchmark interest rate. Our adopted hedging benchmarks are ~~OIS/SOFR,~~SOFR-OIS, LIBOR and ~~OIS/FF.~~Federal Funds-OIS. We are transitioning away from LIBOR to ~~OIS/SOFR~~SOFR-OIS benchmark in line with an industry-wide transition effort. For ASC 815 qualifying hedges of debt, swap interest settlements and fair value gains and losses are recorded in interest expense together with the interest expense accrued on the hedged CO debt.

~~110~~112

Table of Contents

The principal categories of Interest expense are summarized below (dollars in thousands):

Table 9.7 Interest Expenses — Principal Categories


	Three months ended June 30,						Six months ended June 30,						Three months ended September 30,						Nine months ended September 30,
					Percentage						Percentage						Percentage						Percentage
	2021		2020		Change		2021		2020		Change		2021		2020		Change		2021		2020		Change
Interest Expense
Consolidated obligations bonds
Fixed	$	87,171	$	108,074	(19.34)	%	$	176,468	$	277,062	(36.31)	%	$	82,761	$	94,992	(12.88)	%	$	259,229	$	372,054	(30.32)	%
Floating		1,698		68,852	(97.53)			6,367		256,421	(97.52)			1,727		15,074	(88.54)			8,094		271,495	(97.02)
Consolidated obligations discount notes		15,385		95,477	(83.89)			44,997		322,810	(86.06)			14,593		63,582	(77.05)			59,590		386,392	(84.58)
Deposits		69		146	(52.74)			175		3,374	(94.81)			116		208	(44.23)			291		3,582	(91.88)
Mandatorily redeemable capital stock		28		56	(50.00)			62		135	(54.07)			25		65	(61.54)			87		200	(56.50)
Cash collateral held and other borrowings		18		12	50.00			37		74	(50.00)			4		28	(85.71)			41		102	(59.80)

Total interest expense	$	104,369	$	272,617	(61.72)	%	$	228,106	$	859,876	(73.47)	%	$	99,226	$	173,949	(42.96)	%	$	327,332	$	1,033,825	(68.34)	%

Interest Expense — 2021 Periods Vs. 2020 Periods

Interest expense in the 2021 ~~second~~third quarter was ~~$104.4~~$99.2 million, a decline of ~~61.7%~~43.0% compared to the prior year ~~second quarter. To provide context,~~third quarter (As noted elsewhere in this document, interest income declined by ~~50.7%~~35.9% compared to the prior year ~~second quarter.~~third quarter).

The decline in interest expense was in parallel with the significant decline in bond yields in the financial markets almost immediately after the Federal Reserve’s rate actions in mid-March 2020. Interest rates have declined further, and debt costing yields remain very low.

Rate-related decline in funding expense was ~~$179.7~~$94.9 million, in line with the dramatic decline in rates in the bond markets; volume-related increase in funding expense was ~~$11.4~~$20.2 million in the 2021 ~~second~~third quarter compared to the ~~second~~third quarter in 2020.

We have made tactical changes to our liability mix when compared to the prior year ~~second~~third quarter. In the 2021 ~~second~~third quarter, ~~51.2%~~54.3% of average earning assets were funded by fixed-rate CO bonds and ~~4.0%~~3.4% were funded by floating-rate CO bonds. In the prior year ~~second~~third quarter, fixed-rate CO bonds funded ~~15.9%~~20.3% of earning assets and floating-rate CO bonds funded ~~26.2%~~20.1% 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~~third quarter was 3637 basis points, compared to 6747 basis points in the prior year ~~second~~third quarter.

Interest expense in the 2021 year-to-date period was ~~$228.1~~$327.3 million, a decline of ~~73.5%~~68.3% compared to the same period in the prior year. To provide context, interest income declined by ~~57.4%~~52.6% compared to the year-to-date period in the prior year.

Rate-related decline in funding expense was ~~$586.9~~$674.3 million in line with the dramatic decline in rates in the bond markets; volume-related decline in funding expense was ~~$44.8~~$32.2 million in parallel with the funding of a lower balance sheet in the 2021 year-to-date period compared to the same period 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%~~48.6% of average earning assets were funded by fixed-rate CO bonds and ~~6.7%~~5.7% were funded by floating-rate CO bonds. In the same period in the prior year, fixed-rate CO bonds funded ~~19.0%~~19.4% of earning assets and floating-rate CO bonds funded ~~28.6%~~25.8% of earning assets. The usage of CO discount notes has ~~not changed materially.~~declined to 38.5% in the year-to-date period in the current year from 48.5% in the same period in the prior year.

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 year-to-date period was 3837 basis points, compared to ~~111~~90 basis points in the same period in the prior year.

~~111~~113

Table of Contents

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/SOFR~~SOFR-OIS as the alternative hedging benchmarks. Changes to interest expense in the 2021 ~~second~~third quarter due to net interest settlement on swaps and hedge ineffectiveness in ASC 815 qualifying hedges were ~~materially unchanged.~~not material. For more information, see Table 9.3 Net Interest Adjustments from Hedge Qualifying Interest Rate Swaps.

Allowance for Credit Losses — 2021 Periods Vs. 2020 Periods

The FASB issued ASU 2016-13, Financial Instruments—Credit Losses (Topic 326) and became effective for the Bank as of January 1, 2020. For a description of how expected losses are developed including interest receivable, see our most recent Form 10-K filed on March 19, 2021. Allowance for credit losses recorded on mortgage-loans in the Statements of Condition was ~~$4.1~~$3.0 million at ~~June~~September 30, 2021 and $7.1 million at December 31, 2020. Allowance for credit losses recorded on investments was ~~$0.9~~$0.4 million at ~~June~~September 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-interest income (loss) are summarized below (in thousands):

Table 9.8 Other Income (Loss)


	Three months ended June 30,				Six months ended June 30,				Three months ended September 30,				Nine months ended September 30,
	2021		2020		2021		2020		2021		2020		2021		2020
Other income (loss):
Service fees and other ^(a)	$	4,427	$	4,589	$	8,559	$	9,240	$	4,334	$	4,133	$	12,893	$	13,373
Instruments held under the fair value option gains (losses) ^(b)		3,871		10,564		3,933		(11,390)		315		7,107		4,248		(4,283)
Derivative gains (losses) ^(c)		3,918		(3,921)		(391)		(168,091)		3,263		10,849		2,872		(157,242)
Trading securities gains (losses) ^(d)		(26,380)		(41,377)		(61,183)		155,875		(16,115)		(39,693)		(77,298)		116,182
Equity investments gains (losses) ^(e)		4,539		7,328		6,839		(722)		(482)		3,096		6,357		2,374
Litigation settlement										33		225		33		225
Total other income (loss)	$	(9,625)	$	(22,817)	$	(42,243)	$	(15,088)	$	(8,652)	$	(14,283)	$	(50,895)	$	(29,371)

(a)

Service fees and other, net — Service fees are from providing corresponding 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 ~~$4.6~~$4.3 million in the ~~second~~third quarter of the current year compared to ~~$4.8~~$4.6 million in the same period in the prior year. On a year-to-date basis through ~~June~~September 30, Service fees earned on financial letters of credit were ~~$9.0~~$13.3 million in the current year, compared to ~~$9.7~~$14.4 million in the same period in the prior year. Immaterial amounts of fees paid, and other expenses were included in reported revenues.

(b)

FVO Instruments — Net fair value gains and losses represented changes in fair values of CO bonds and discount notes elected under the FVO. Fluctuations in fair value gains and losses were reflective of the short-term nature of instruments elected under the FVO that fluctuated with declining market yields. Bonds elected under the FVO 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 Financial Instruments in this Form 10-Q.

(c)

See Table 9.10 Other Income (Loss) — Impact of Derivative Gains and Losses.

(d)

See Table 9.9 Net Gains ~~(losses)~~(Losses) on Trading Securities Recorded in the Statements of Income.

(e)

Fair value gains (losses) on Equity investments — The grantor trust invests in money market, equity and fixed income and bond funds, and funds are classified as equity investments. Daily net asset values (NAVs) are readily available and investments are redeemable at short notice. NAVs are the fair values of the funds in the grantor trust. Gains and losses are typically unrealized, and primarily represent changes in portfolio valuations. The grantor trust is owned by the FHLBNY with the objective of providing liquidity to pay for pension benefits to retirees vested in retirement plans. Marked-to-market gains in the 2021 year-to-date period was in parallel with the increase in the equity markets in 2021.

~~112~~114

Table of Contents

The following table summarizes unrealized and realized gains (losses) in the trading portfolio (in thousands):

Table 9.9 Net Gains (Losses) on Trading Securities Recorded in the Statements of Income


	Three months ended June 30,				Six months ended June 30,				Three months ended September 30,				Nine months ended September 30,
	2021		2020		2021		2020		2021		2020		2021		2020
Net unrealized gains (losses) on trading securities held at period-end	$	(26,380)	$	(39,614)	$	(61,183)	$	140,981	$	(16,115)	$	(39,693)	$	(77,298)	$	77,883
Net realized gains (losses) on trading securities sold/matured during the period		—		(1,763)		—		14,894		—		—		—		38,299
Net gains (losses) on trading securities	$	(26,380)	$	(41,377)	$	(61,183)	$	155,875	$	(16,115)	$	(39,693)	$	(77,298)	$	116,182

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~~third quarter of the current year and the same period in the prior 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~~September 30, 2021, recorded losses were unrealized marked-to-market losses. In the year-to-date period ended ~~June~~September 30, 2020, gains ~~include~~included both unrealized and realized gains. Valuations declined at ~~June~~September 30, 2021 as the remaining duration to maturity ~~shortened, securities giving up previously recorded marked-to-market gains.~~shortened. 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~~$4.4 billion at ~~June~~September 30, 2021, $11.6 billion at December 31, 2020, and ~~$12.7~~$12.4 billion at ~~June~~September 30, 2020.

~~113~~

~~Table of Contents~~

Other income (loss) — Derivatives and Hedging Activities — 2021 Periods Vs. 2020 Periods

For derivatives that are not designated in hedge qualifying relationship (i.e. in an economic hedge), the derivatives are considered as a “standalone” instrument and fair value changes are recorded in Other income (loss), without the offset of valuation of a hedged item. Gains and losses recorded in Other income (loss) on standalone derivatives include net interest accruals.

The table presents fair value changes of derivatives in economic hedges (i.e. not in an ASC 815 qualifying hedge) in Other income (loss):

Table 9.10 Other Income (Loss) — Impact of Derivative Gains and Losses (in thousands)


	Impact on Other Income (Loss)								Impact on Other Income (Loss)
	Three months ended June 30,				Six months ended June 30,				Three months ended September 30,				Nine months ended September 30,
	2021		2020		2021		2020		2021		2020		2021		2020
Derivatives not designated as hedging instruments
Interest rate swaps ^(a)	$	22,876	$	19,184	$	50,286	$	(144,074)	$	12,469	$	40,746	$	62,755	$	(103,328)
Caps or floors		(2)		(84)		25		5		(34)		(38)		(9)		(33)
Mortgage delivery commitments		197		1,244		(216)		1,119		(100)		535		(316)		1,654
Swaps economically hedging instruments designated under FVO ^(b)		(237)		14,862		(2,975)		24,090		(745)		(13,861)		(3,720)		10,229
Accrued interest on derivatives in economic hedging relationships ^(c)		(18,919)		(39,154)		(47,529)		(49,522)		(8,333)		(16,572)		(55,862)		(66,094)
Net gains (losses) related to derivatives not designated as hedging instruments	$	3,915	$	(3,948)	$	(409)	$	(168,382)	$	3,257	$	10,810	$	2,848	$	(157,572)
Price alignment interest paid on variation margin		3		27		18		291		6		39		24		330
Net gains (losses) on derivatives and hedging activities	$	3,918	$	(3,921)	$	(391)	$	(168,091)	$	3,263	$	10,849	$	2,872	$	(157,242)

Derivative ~~losses~~gains and ~~gains~~losses in the table above include both realized and unrealized fair value net gains and losses. Also includes swap interest settlements on derivatives designated as standalone hedging instruments.

(a)

Represents fair value changes recorded in Other income, primarily: (1) interest rate swaps in economic hedges of U.S. Treasury fixed-rate securities that recorded fair value gains of ~~$23.5~~$16.1 million in the ~~second~~third quarter of the current year compared to fair value ~~gains of $34.8~~

115

Table of Contents

gains of $43.4 million in the same period in the prior year. In the year-to-date period ended September 30, 2021 fair value gains of $72.9 million were recorded compared to fair value losses of $120.4 million in the same period in 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 $16.1 million in the third quarter of the current year compared to marked-to-market losses of $39.7 million in the same period in the prior year. In the year-to-date period ended September 30, 2021 the portfolio of securities reported marked-to-market losses of $77.3 million compared to marked-to-market gains of $116.2 million in the same period in the prior year. (2) Interest rate swaps in economic hedges of advances and debt, primarily basis swaps, that generated net fair value losses of $3.6 million in the third quarter of the current year compared to fair value losses of $2.6 million in the same period in the prior year. In the year-to-date period ended September 30, 2021 net fair value losses of $10.1 million was recorded compared to fair value gains of $17.2 million in the same 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 fair value losses of $163.8 million in the same period in 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, that generated net fair value losses of $1.0 million in the second quarter of the current year compared to fair value losses of $15.6 million in the same period of the prior year. In the year-to-date period ended June 30, 2021 net 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 CO debt elected under the FVO.

(c)

Represents impact to Other income due to net interest settlements on standalone swap contracts. Net interest settlements are the interest accruals on swaps in economic hedges of U.S. Treasury securities, debt and advances, and economic hedges of instruments elected under the FVO. Our interest settlement payments to swap counterparties exceeded amounts we received in the interest rate swap contracts, although the exchanges met our interest rate risk mitigation strategies.

~~114~~

~~Table of Contents~~

Operating Expenses, Compensation and Benefits, and Other Expenses — 2021 Periods Vs. 2020 Periods

The following table sets forth the major categories of operating expenses (dollars in thousands):

Table 9.11 Operating Expenses, and Compensation and Benefits


	Three months ended June 30,								Three months ended September 30,
			Percentage of				Percentage of				Percentage of				Percentage of
	2021		Total		2020		Total		2021		Total		2020		Total
Operating Expenses ^(a)
Occupancy	$	2,290	12.60	%	$	2,351	12.97	%	$	2,112	12.47	%	$	2,345	13.76	%
Depreciation and leasehold amortization		3,035	16.70			2,678	14.77			3,216	18.98			2,669	15.67
All others ^(b)		12,846	70.70			13,103	72.26			11,615	68.55			12,023	70.57
Total Operating Expenses	$	18,171	100.00	%	$	18,132	100.00	%	$	16,943	100.00	%	$	17,037	100.00	%

Total Compensation and Benefits ^(c)	$	23,153			$	22,265			$	23,275			$	22,957
Finance Agency and Office of Finance ^(d)(c)	$	5,386			$	4,593			$	5,514			$	4,850
Other expenses ^(e)(d)	$	5,493			$	6,039			$	2,323			$	6,654


	Six months ended June 30,								Nine months ended September 30,
			Percentage of				Percentage of				Percentage of				Percentage of
	2021		Total		2020		Total		2021		Total		2020		Total
Operating Expenses ^(a)
Occupancy	$	4,492	13.86	%	$	4,432	14.04	%	$	6,604	13.38	%	$	6,777	13.94	%
Depreciation and leasehold amortization		6,069	18.72			5,277	16.72			9,285	18.81			7,946	16.35
All others ^(b)		21,857	67.42			21,856	69.24			33,472	67.81			33,879	69.71
Total Operating Expenses	$	32,418	100.00	%	$	31,565	100.00	%	$	49,361	100.00	%	$	48,602	100.00	%

Total Compensation and Benefits ^(c)	$	47,480			$	45,642			$	70,755			$	68,599
Finance Agency and Office of Finance ^(d)(c)	$	11,006			$	9,044			$	16,520			$	13,894
Other expenses ^(e)(d)	$	8,268			$	8,370			$	10,591			$	15,024

(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 in 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.

116

Table of Contents

~~(e)~~(d)

The category Other expenses included $3.2 million in the year-to-date period ended ~~June~~September 30, 2021 that were disbursed to assist small businesses impacted by the COVID-19 pandemic; also included the non-service elements of Net periodic pension benefit costs, and derivative clearing fees.

~~115~~

~~Table of Contents~~

Assessments — 2021 Periods Vs. 2020 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 19, 2021.

The following table provides rollforward information with respect to changes in Affordable Housing Program liabilities (in thousands):

Table 10.1 Affordable Housing Program Liabilities


	Three months ended June 30,				Six months ended June 30,					Three months ended September 30,				Nine months ended September 30,
	2021		2020		2021		2020			2021	2020			2021	2020
Beginning balance	$	152,176	$	155,611	$	148,827	$	153,894	$	152,523	$	159,464	$	148,827	$	153,894
Additions from current period’s assessments		8,304		15,287		16,331		26,974		7,314		11,251		23,645		38,225
Net disbursements for grants and programs		(7,957)		(11,434)		(12,635)		(21,404)		(15,034)		(12,363)		(27,669)		(33,767)
Ending balance	$	152,523	$	159,464	$	152,523	$	159,464	$	144,803	$	158,352	$	144,803	$	158,352

AHP assessments allocated from net income totaled ~~$8.3~~$7.3 million in the ~~second~~third quarter of the current year, compared to ~~$15.3~~$11.3 million for the same period in the prior year. On a year-to-date basis, AHP assessments allocated from net income totaled ~~$16.3~~$23.6 million for the current period and ~~$27.0~~$38.2 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.

~~116~~117

Table of Contents

Legislative and Regulatory Developments

~~LIBOR Transition~~FHLBank Membership

~~LIBOR Transition – 2021 ISDA Interest Rate Derivatives Definitions~~

On ~~June 11,~~September 9, 2021, ~~ISDA~~the FHFA published ~~2021 ISDA Interest Rate Derivatives Definitions (2021 ISDA Definitions), which will update~~a Supervisory Letter on FHLBank Membership Issues covering five issues, including (1) Requirements for De Novo Community Development Financial Institutions, (2) Automatic Transfer of Membership, (3) Large Non-Member Institution Merging with a Small Member, (4) Applicant’s Compliance with “Financial Condition” Requirement, and ~~consolidate the frequently supplemented 2006 ISDA Definitions as the standard definitions for cleared and uncleared interest rate derivatives.~~(5) Definition of Insurance Company. The ~~2021 ISDA Definitions incorporate prior supplements~~Supervisory Letter is intended to provide uniform guidance to the ~~2006 ISDA Definitions~~FHLBanks in ~~addition~~the event they encounter similar circumstances. The Bank continues to evaluate the Supervisory Letter and its effect on Bank membership.

Regulatory Interpretation on Eligibility of Mortgage Participations as Collateral for FHLBank Advances

On October 4, 2021, the FHFA published a Regulatory Interpretation on Eligibility of Mortgage Loan Participations as Collateral for Federal Home Loan Bank Advances. The Regulatory Interpretation addresses whether an FHLBank can accept as collateral to secure advances mortgage loan participations that cannot be readily liquidated in the form in which they are to be pledged. The Regulatory Interpretation concludes that mortgage loan participations must meet the requirements of FHFA regulation 12 CFR 1266.7(a)(4), including the requirement that the collateral can be “liquidated in due course” in order to be eligible to secure FHLBank advances. It further concludes that participations for which there would be a known impediment to liquidation do not meet such requirement and therefore are not eligible collateral for advances. Finally, the Regulatory Interpretation rescinds prior guidance from FHLBank System regulators that provide mortgage loan participations may be eligible as collateral under regulatory provisions other ~~changes made~~than 12 CFR 1266.7(a)(4). The Regulatory Interpretation becomes effective on December 13, 2021.

Although we do not currently expect the Regulatory Interpretation to ~~conform~~have a material impact on our financial condition or results of operations, this restriction on collateral may negatively impact future borrowing by certain members.

Fair Housing and Fair Lending Enforcement

On July 9, 2021, the FHFA published a Policy Statement on Fair Lending to ~~updates in market practice~~communicate the FHFA’s general position on monitoring and ~~regulation. Both~~information gathering, supervisory examinations, and administrative enforcement related to the ~~2006 ISDA Definitions as supplemented effective January 25, 2021,~~Equal Credit Opportunity Act, the Fair Housing Act, and the Federal Housing Enterprises Financial Safety and Soundness Act. The Policy Statement became effective on the date of publication.

On August 12, 2021, ~~ISDA Definitions contain ISDA-recommended fallbacks for interest rate derivatives referencing an Interbank Offered Rate, including~~the FHFA and the U.S. ~~Dollar LIBOR. ISDA has~~Department of Housing and Urban Development announced ~~that implementation~~they had entered into a Memorandum of Understanding regarding fair housing and fair lending enforcement. Under the Memorandum of Understanding, the two agencies will focus on enhancing their enforcement of the ~~2021 ISDA Definitions is expected to take place for clearing houses, trading venues~~Fair Housing Act, and ~~other market infrastructures between October 1-4, 2021. While~~their oversight of Fannie Mae, Freddie Mac, and the ~~FHLBanks may continue to use the current 2006 ISDA Definitions, ISDA will not incorporate any further supplements following implementation of the 2021 ISDA Definitions.~~Federal Home Loan Banks.

The Bank ~~is considering using~~continues to monitor these actions and guidance as they evolve and to evaluate their potential impact on the ~~2021 ISDA Definitions for future derivatives transactions.~~Bank and its members.

COVID-19 Developments

~~Federal Reserve Board (“FRB”) Extends Paycheck Protection Program Liquidity Facility~~

On June 25, 2021, the FRB announced a final extension of its Paycheck Protection Program Liquidity Facility (“PPPLF”) by an additional month to July 30, 2021. The PPPLF 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 facility any PPP loans approved by the SBA through the June 30, 2021 expiration of the PPP program.

~~Additional COVID-19 Presidential, Legislative and Regulatory Developments~~

In light of the COVID-19 pandemic, the ~~former and current Presidents~~President of the United States, through executive orders, governmental agencies, including the SEC, OCC, Federal Reserve, FDIC, National Credit Union Administration, CFTC and the ~~Finance Agency,~~FHFA, 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 enacted, 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.

118

Table of Contents

Other Legislative Matters

Affordable Housing and Community Investment

~~Legislation~~As previously disclosed, 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. As part of the subsequent Congressional budget reconciliation process, a legislative proposal is under consideration that would, if enacted, require the FHLBanks to increase their respective contributions under their affordable housing programs, in each year from 2022 to 2027, from 10% to 15% of their net income for the preceding year starting with 2021 (with the aggregate annual contributions from the FHLBanks remaining at no less than $100 million). The FHLBanks ~~are actively monitoring~~continue to closely monitor these ~~proposals.~~

proposals and developments.

~~117~~119

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 2020 based on an anticipated market condition for 2021. Management believes that the reported metrics below (except for income simulation) in the near term are limited because the model establishes a hard floor for the rate at near zero, and the model therefore does not fully capture the resulting downward shocks in rates. The Bank is including these metrics as of ~~June~~September 30, 2021 for completeness and comparative purposes. The Bank has updated income simulation modeling and implemented scenario changes to take account of the existing low rate environment and potential for negative 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 -25 percent change under the -50bps shock compared to the rates in the unchanged case. This metric gauges the Bank’s sensitivity of earnings to changes in the level of rates along the yield curve and allows for negative rates. The model results will reflect the impact of net interest income compression when the Bank’s floating rate advances and related debt both decline towards zero.

●

The potential decline in the market value of equity (MVE) is limited to a 10 percent change under the +/-200bps shocks.

●

KRD exposure at any of nine term points (3-month, 1-year, 2-year, 3-year, 5-year, 7-year, 10-year, 15-year, and 30-year) is limited to between +/-20 months through the 3-year term point and a cumulative limit of +/-30 months from the 5-year through 30-year term points specific to the investment portfolio. Both of these quarterly observations are well within their limits.

120

Table of Contents

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, 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

~~118~~

~~Table of Contents~~


	Base Case DOE	-200bps DOE	-100bps DOE	+200bps DOE
September 30, 2021	-1.33	1.84	-0.70	0.34
June 30, 2021	-1.69	1.36	-0.91	-0.22
March 31, 2021	-0.72	0.10	-0.57	0.06
December 31, 2020	-0.47	1.12	0.31	0.24
September 30, 2020	-0.64	1.03	0.49	0.03

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. Duration of Equity (DOE) is the Market Value of Equity’s (MVE) sensitivity to a change in the level of interest rates expressed in years. MVE is calculated as market value of assets minus market value of liabilities. A positive DOE indicates ~~that, on average, the liabilities will re-price or mature sooner than the assets, while~~a decrease to MVE if interest rates go higher, a negative DOE indicates ~~that, on average, the assets will re-price or mature earlier than the liabilities. DOE captures sensitivity of MVE.~~a decrease to MVE if interest rates go lower. We measure DOE using software that generates a full revaluation incorporating optionality within our portfolio using well-known and tested financial pricing theoretical models. The DOE calculation also incorporates non-interest bearing financial ~~asset~~assets and liabilities.

We do not solely rely on the DOE measure as a mismatch measure between assets and liabilities. We analyze open key rate duration exposure across maturity buckets while also performing a more traditional gap measure that subtracts re-pricing/maturing liabilities from re-pricing/maturing assets over time. We observe the differences over various horizons, and have set a 10 percent limit on asset on cumulative re-pricings at the one-year point. This quarterly observation of the one-year cumulative re-pricing gap is provided in the table below and all values are below 10 percent of assets, well within the limit:

One Year

Re-pricing Gap

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


	One Year
	Re-pricing Gap
September 30,2021	$	4.812 Billion
June 30, 2021	$	5.128 Billion
March 31, 2021	$	5.572 Billion
December 31, 2020	$	5.792 Billion
September 30, 2020	$	5.826 Billion

121

Table of Contents

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 -25 percent change under the -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 and a floored model assumption. The sensitivity analysis assumed that rates/spreads as of the end of March 2020 were held unchanged for the remainder of the year, and, as a consequence, the model generated significantly higher net interest income for the Bank. When spread relationships were normalized in subsequent quarters the limit was within threshold. The Bank has updated its 2021 modelling framework to account for the existing low rate environment and potential negative rates. Having modeled for negative rates, the Bank no 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 table below.


	Sensitivity in	Sensitivity in		Sensitivity in		Sensitivity in	Sensitivity in		Sensitivity in
	the -200bps	the -100bps		the +200bps		the -200bps	the -100bps		the +200bps
	Shock	Shock		Shock		Shock	Shock		Shock
September 30, 2021						N/A	N/A		5.39	%
June 30, 2021	N/A	N/A		14.80	%	N/A	N/A		14.80	%
March 31, 2021	N/A	N/A		7.32	%	N/A	N/A		7.32	%
December 31, 2020	N/A	-5.52	%	7.65	%	N/A	-5.52	%	7.65	%
September 30, 2020	N/A	-4.36	%	3.27	%	N/A	-4.36	%	3.27	%
June 30, 2020	N/A	-23.83	%	-1.62	%

~~119~~

~~Table of Contents~~

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~~September 30, 2021 for completeness and comparative purposes. The quarterly potential maximum decline in the MVE under these 200bps shocks is provided below:


	-200bps Change		-100bps Change		+200bps Change		-200bps Change		-100bps Change		+200bps Change
	in MVE		in MVE		in MVE		in MVE		in MVE		in MVE
September 30, 2021							0.34	%	-1.04	%	0.75	%
June 30, 2021	0.15	%	-0.99	%	1.88	%	0.15	%	-0.99	%	1.88	%
March 31, 2021	-1.57	%	-0.85	%	0.79	%	-1.57	%	-0.85	%	0.79	%
December 31, 2020	0.78	%	0.21	%	1.00	%	0.78	%	0.21	%	1.00	%
September 30, 2020	1.95	%	1.27	%	1.24	%	1.95	%	1.27	%	1.24	%
June 30, 2020	2.47	%	1.76	%	2.05	%

As noted, the potential declines under these shocks are within our limits of a maximum 10 percent.

~~120~~122

Table of Contents

The following tables display the portfolio’s maturity/re-pricing gaps as of ~~June~~September 30, 2021 and December 31, 2020 (in millions):


	Interest Rate Sensitivity										Interest Rate Sensitivity
	June 30, 2021										September 30, 2021
			More Than		More Than		More Than						More Than		More Than		More Than
	Six Months		Six Months to		One Year to		Three Years to		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		or Less		One Year		Three Years		Five Years		Five Years
Interest-earning assets:
Non-MBS investments	$	16,342	$	233	$	529	$	341	$	1,107	$	10,794	$	230	$	520	$	335	$	1,049
MBS investments		4,076		394		1,604		1,790		6,347		3,549		543		1,646		1,397		6,914
Swaps hedging MBS		1,432		—		—		(50)		(1,382)		1,893		—		—		(50)		(1,843)
Adjustable-rate loans and advances		11,963		3,050		—		—		—		7,877		—		—		—		—
Net investments, adjustable rate loans and advances		33,813		3,677		2,133		2,081		6,072		24,113		773		2,166		1,682		6,120

Liquidity trading portfolio		3,454		1,153		2,200		—		243		580		1,374		1,698		—		715
Swaps hedging investments		3,601		(1,155)		(2,200)		—		(246)		3,796		(1,375)		(1,700)		—		(721)
Net liquidity trading portfolio		7,055		(2)		—		—		(3)		4,376		(1)		(2)		—		(6)

Fixed-rate loans and advances		30,617		3,957		11,618		7,354		10,653		28,522		3,668		12,646		6,558		10,653
Swaps hedging fixed-rate advances		30,748		(3,399)		(10,081)		(6,643)		(10,625)		30,727		(3,034)		(10,826)		(6,235)		(10,632)
Net fixed-rate loans and advances		61,365		558		1,537		711		28		59,249		634		1,820		323		21

Total interest-earning assets	$	102,233	$	4,233	$	3,670	$	2,792	$	6,097	$	87,738	$	1,406	$	3,984	$	2,005	$	6,135

Interest-bearing liabilities:
Deposits	$	1,484	$	—	$	—	$	—	$	—	$	1,422	$	—	$	—	$	—	$	—

Discount notes		42,143		30		—		—		—		32,635		133		—		—		—
Swapped hedging discount notes		(1,693)		85		—		241		1,367
Swaps hedging discount notes												(1,608)		—		—		536		1,072
Net discount notes		40,450		115		—		241		1,367		31,027		133		—		536		1,072

Consolidated Obligation Bonds
FHLBank bonds		31,383		7,462		11,502		10,740		7,898		23,219		5,030		12,186		13,359		7,387
Swaps hedging bonds		26,289		(5,845)		(7,708)		(9,169)		(3,567)		27,319		(3,818)		(8,314)		(11,590)		(3,597)
Net FHLBank bonds		57,672		1,617		3,794		1,571		4,331		50,538		1,212		3,872		1,769		3,790

Total interest-bearing liabilities	$	99,606	$	1,732	$	3,794	$	1,812	$	5,698	$	82,987	$	1,345	$	3,872	$	2,305	$	4,862
Post hedge gaps ^(a):
Periodic gap	$	2,627	$	2,501	$	(124)	$	980	$	399	$	4,751	$	61	$	112	$	(300)	$	1,273
Cumulative gaps	$	2,627	$	5,128	$	5,004	$	5,984	$	6,383	$	4,751	$	4,812	$	4,924	$	4,624	$	5,897

~~121~~123

Table of Contents


	Interest Rate Sensitivity										Interest Rate Sensitivity
	December 31, 2020										December 31, 2020
			More Than		More Than		More Than						More Than		More Than		More Than
	Six Months		Six Months to		One Year to		Three Years to		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		or Less		One Year		Three Years		Five Years		Five Years
Interest-earning assets:
Non-MBS investments	$	15,119	$	447	$	733	$	309	$	905	$	15,119	$	447	$	733	$	309	$	905
MBS investments		4,854		608		1,749		1,670		6,068		4,854		608		1,749		1,670		6,068
Swaps hedging MBS		1,134		—		—		—		(1,134)		1,134		—		—		—		(1,134)
Adjustable-rate loans and advances		17,054		—		—		—		—		17,054		—		—		—		—
Net investments, adjustable rate loans and advances		38,161		1,055		2,482		1,979		5,839		38,161		1,055		2,482		1,979		5,839

Liquidity trading portfolio		6,538		3,464		1,653		—		—		6,538		3,464		1,653		—		—
Swaps hedging investments		5,105		(3,450)		(1,655)		—		—		5,105		(3,450)		(1,655)		—		—
Net liquidity trading portfolio		11,643		14		(2)		—		—		11,643		14		(2)		—		—

Fixed-rate loans and advances		36,333		4,537		13,634		8,019		11,163		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)		34,252		(4,140)		(11,505)		(7,477)		(11,130)
Net fixed-rate loans and advances		70,585		397		2,129		542		33		70,585		397		2,129		542		33

Total interest-earning assets	$	120,389	$	1,466	$	4,609	$	2,521	$	5,872	$	120,389	$	1,466	$	4,609	$	2,521	$	5,872

Interest-bearing liabilities:
Deposits	$	1,683	$	—	$	—	$	—	$	—	$	1,683	$	—	$	—	$	—	$	—

Discount notes		57,656		—		—		—		—		57,656		—		—		—		—
Swapped hedging discount notes		(1,806)		113		85		241		1,367
Swaps hedging discount notes												(1,806)		113		85		241		1,367
Net discount notes		55,850		113		85		241		1,367		55,850		113		85		241		1,367

Consolidated Obligation Bonds
FHLBank bonds		37,400		11,964		12,361		2,265		5,212		37,400		11,964		12,361		2,265		5,212
Swaps hedging bonds		19,719		(10,666)		(7,775)		(603)		(675)		19,719		(10,666)		(7,775)		(603)		(675)
Net FHLBank bonds		57,119		1,298		4,586		1,662		4,537		57,119		1,298		4,586		1,662		4,537

Total interest-bearing liabilities	$	114,652	$	1,411	$	4,671	$	1,903	$	5,904	$	114,652	$	1,411	$	4,671	$	1,903	$	5,904
Post hedge gaps ^(a):
Periodic gap	$	5,737	$	55	$	(62)	$	618	$	(32)	$	5,737	$	55	$	(62)	$	618	$	(32)
Cumulative gaps	$	5,737	$	5,792	$	5,730	$	6,348	$	6,316	$	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~~124

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~~September 30, 2021. Based on this evaluation, they concluded that as of ~~June~~September 30, 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.

~~123~~125

Table of Contents

~~Part~~PART II. ~~Other Information.~~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, 2020.

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.

~~124~~126

Table of Contents

Item 6. Exhibits


No.	Exhibit Description	Filed with this Form 10-Q	Form*	Date Filed
3.01	Restated Organization Certificate of the Federal Home Loan Bank of New York (“Bank”)		8-K	12/1/2005
3.02	Amended and Restated Bylaws of the Bank		8-K	3/21/2019
4.01	Amended and Restated Capital Plan of the Bank		8-K/A	2/10/2021
10.01	~~Retention Agreement between the~~Federal Home Loan Bank of New York Amended and ~~Philip Scott~~Restated Supplemental Executive Retirement Defined Benefit & Defined Contribution Benefit Equalization Plan, effective as of September 24, 2021 ^(a)	X		8-K	11/3/2021
31.01	Certification of Registrant’s Chief Executive Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002	X
31.02	Certification of the Registrant’s Chief Financial Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002	X
32.01	Certification of Registrant’s Chief Executive Officer, as required by Section 906 of the Sarbanes-Oxley Act of 2002	X
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.DEF	Inline XBRL Taxonomy Extension Definition Linkbase Document	X
101.LAB	Inline XBRL Taxonomy Extension Label Linkbase Document	X
101.PRE	Inline XBRL Taxonomy Extension Presentation Linkbase Document	X
104	Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101)	X

Notes:

* Means that this exhibit is incorporated by reference from the named Form; the filing date of such named Form is listed in the next column.

~~(a) This exhibit includes a management contract, compensatory plan or arrangement required to be noted herein.~~

(a)	Indicates a management contract or compensatory plan or arrangement.

~~125~~127

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 11,~~November 12, 2021

~~126~~128

Standard

Summary of Guidance

Effective Date

Effects on the Financial Statements

Facilitation of the Effects of Reference Rate Reform on Financial Reporting

ASU 2020-04, Reference Rate Reform (Topic 848) Issued in March 2020, as amended in January 2021

This guidance provides temporary optional guidance to ease the potential burden in accounting for reference rate reform. The new guidance provides optional expedients and exceptions for applying generally accepted accounting principles to transactions affected by reference rate reform if certain criteria are met. These transactions include:

●    contract modifications,
●    hedging relationship, and
●    sale or transfer of debt securities classified as HTM.

This guidance is effective for the FHLBNY beginning on March 12, 2020, and we may elect to apply the amendments prospectively through December 31, 2022.

The FASB has issued two Accounting Standards Updates to Reference Rate Reform (Topic 848), Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which have outlined permissible expedients offered under Topic 848, including a one-time election to transfer/sell LIBOR-indexed securities in our held-to-maturity portfolio. In the second quarter of 2021, we reclassified $1.4 billion of LIBOR-indexed securities from held-to-maturity ~~securities~~ to available-for-sale as a one-time election. ~~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.~~