e10vq

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q


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

For the quarterly period ended September 30, 2011


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

Commission file number: 000-51397

Federal Home Loan Bank of New York

(Exact name of registrant as specified in its charter)


Federal		13-6400946
(State or other jurisdiction of		(I.R.S. Employer
incorporation or organization)		Identification No.)

101 Park Avenue, New York, N.Y.		10178
(Address of principal executive offices)		(Zip Code)

(212) 681-6000
(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes þ No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes þ No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.


Large accelerated filer o	Accelerated filer o	Non-accelerated filer þ	Smaller reporting company o
		(Do not check if a smaller reporting company)

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes o No þ

The number of shares outstanding of the issuer’s common stock as of October 31, 2011 was 46,106,480.

Federal Home Loan Bank of New York

Statements of Condition — Unaudited (in thousands, except par value of capital stock)

As of September 30, 2011 and December 31, 2010


	September 30, 2011			December 31, 2010
Assets
Cash and due from banks (Note 3)	$	4,744,196		$	660,873
Federal funds sold		4,964,000			4,988,000
Available-for-sale securities, net of unrealized gains (losses) of $16,141 at September 30, 2011 and $22,965 at December 31, 2010 (Note 5)		3,345,090			3,990,082
Held-to-maturity securities (Note 4)
Long-term securities		8,821,023			7,761,192
Advances (Note 6)		73,779,170			81,200,336
Mortgage loans held-for-portfolio, net of allowance for credit losses of $6,728 at September 30, 2011 and $5,760 at December 31, 2010 (Note 7)		1,356,912			1,265,804
Accrued interest receivable		243,347			287,335
Premises, software, and equipment		14,115			14,932
Derivative assets (Note 15)		53,373			22,010
Other assets		12,567			21,506


Total assets	$	97,333,793		$	100,212,070


Liabilities and capital

Liabilities
Deposits (Note 8)
Interest-bearing demand	$	2,485,575		$	2,401,882
Non-interest bearing demand		6,362			9,898
Term		29,000			42,700


Total deposits		2,520,937			2,454,480


Consolidated obligations, net (Note 10)
Bonds (Includes $14,341,126 at September 30, 2011 and $14,281,463 at December 31, 2010 at fair value under the fair value option)		66,280,849			71,742,627
Discount notes (Includes $4,125,354 at September 30, 2011 and $956,338 at December 31, 2010 at fair value under the fair value option)		22,538,777			19,391,452


Total consolidated obligations		88,819,626			91,134,079


Mandatorily redeemable capital stock (Note 11)		58,322			63,219

Accrued interest payable		190,748			197,266
Affordable Housing Program		129,779			138,365
Payable to REFCORP		—			21,617
Derivative liabilities (Note 15)		399,394			954,898
Other liabilities		119,020			103,777


Total liabilities		92,237,826			95,067,701

Commitments and Contingencies (Notes 11, 15 and 17)

Capital (Note 11)
Capital stock ($100 par value), putable, issued and outstanding shares: 45,717 at September 30, 2011 and 45,290 at December 31, 2010		4,571,693			4,528,962
Retained earnings
Unrestricted		700,504			712,091
Restricted (Note 11)		7,820			—

Total retained earnings		708,324			712,091
Accumulated other comprehensive income (loss) (Note 12)
Net unrealized gains on available-for-sale securities		16,141			22,965
Non-credit portion of OTTI on held-to-maturity securities, net of accretion		(82,270	)		(92,926	)
Net unrealized losses on hedging activities		(106,394	)		(15,196	)
Employee supplemental retirement plans (Note 14)		(11,527	)		(11,527	)


Total capital		5,095,967			5,144,369


Total liabilities and capital	$	97,333,793		$	100,212,070

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

Federal Home Loan Bank of New York
Statements of Income — Unaudited (in thousands, except per share data)
For the three and nine months ended September 30, 2011 and 2010


	Three months ended						Nine months ended
	September 30,						September 30,
	2011			2010			2011			2010
Interest income
Advances (Note 6)	$	85,440		$	173,459		$	359,640		$	477,303
Interest-bearing deposits		700			1,699			2,221			3,766
Federal funds sold		1,547			2,253			5,694			6,600
Available-for-sale securities (Note 5)		7,045			7,580			23,205			23,128
Held-to-maturity securities (Note 4)
Long-term securities		70,021			84,242			210,352			274,686
Mortgage loans held-for-portfolio (Note 7)		15,832			16,333			47,160			49,689
Loans to other FHLBanks and other (Note 18)		1			—			1			—

Total interest income		180,586			285,566			648,273			835,172


Interest expense
Consolidated obligations-bonds (Note 10)		93,292			147,097			310,784			448,669
Consolidated obligations-discount notes (Note 10)		10,286			11,456			24,695			33,069
Deposits (Note 8)		240			959			1,068			2,813
Mandatorily redeemable capital stock (Note 11)		660			879			1,873			3,051
Cash collateral held and other borrowings (Note 18)		25			14			56			14

Total interest expense		104,503			160,405			338,476			487,616

Net interest income before provision for credit losses		76,083			125,161			309,797			347,556

Provision for credit losses on mortgage loans		765			231			2,967			1,137

Net interest income after provision for credit losses		75,318			124,930			306,830			346,419


Other income (loss)
Service fees and other		1,579			1,297			4,314			3,472
Instruments held at fair value — Unrealized gains (losses)(Note 16)		(5,173	)		55			(10,574	)		(12,612	)
Total OTTI losses		(142	)		(498	)		(308	)		(4,573	)
Net amount of impairment losses reclassified (from) to
Accumulated other comprehensive loss		(918	)		(2,569	)		(1,262	)		(3,164	)

Net impairment losses recognized in earnings		(1,060	)		(3,067	)		(1,570	)		(7,737	)

Net realized and unrealized gains (losses) on derivatives and hedging activities (Note 15)		(8,608	)		8,444			62,606			(3,344	)
Net realized gains from sale of available-for-sale securities and redemption of held-to-maturity securities (Note 4 and 5)		—			—			17			708
Losses from extinguishment of debt and other		(441	)		(624	)		(55,981	)		(1,493	)

Total other income (loss)		(13,703	)		6,105			(1,188	)		(21,006	)


Other expenses
Operating		6,815			6,009			21,995			19,787
Compensation and Benefits		12,239			15,648			65,267			41,458
Finance Agency and Office of Finance		3,220			2,036			9,730			6,447

Total other expenses		22,274			23,693			96,992			67,692

Income before assessments		39,341			107,342			208,650			257,721


Affordable Housing Program		4,036			8,852			17,981			21,350
REFCORP		(365	)		19,698			30,708			47,274

Total assessments		3,671			28,550			48,689			68,624


Net income	$	35,670		$	78,792		$	159,961		$	189,097


Basic earnings per share (Note 13)	$	0.77		$	1.71		$	3.60		$	3.98


Cash dividends paid per share	$	1.12		$	1.15		$	3.69		$	3.60

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

Federal Home Loan Bank of New York

Statements of Capital — Unaudited (in thousands, except per share data)

For the nine months ended September 30, 2011 and 2010


															Accumulated
	Capital Stock^(a)														Other						Total
	Class B						Retained Earnings								Comprehensive			Total			Comprehensive
	Shares			Par Value			Unrestricted			Restricted		Total			Income (Loss)			Capital			Income (Loss)
Balance, December 31, 2009		50,590		$	5,058,956		$	688,874		$	—	$	688,874		$	(144,539	)	$	5,603,291

Proceeds from sale of capital stock		13,902			1,390,257			—			—		—			—			1,390,257
Redemption of capital stock		(17,553	)		(1,755,299	)		—			—		—			—			(1,755,299	)
Shares reclassified to mandatorily redeemable capital stock		(303	)		(30,308	)		—			—		—			—			(30,308	)
Cash dividends ($3.60 per share) on capital stock		—			—			(176,756	)		—		(176,756	)		—			(176,756	)
Net Income		—			—			189,097			—		189,097			—			189,097		$	189,097
Net change in Accumulated other comprehensive income (loss):
Non-credit portion of OTTI on held-to-maturity securities, net of accretion		—			—			—			—		—			9,293			9,293			9,293
Reclassification of non-credit OTTI to net income		—			—			—			—		—			5,234			5,234			5,234
Net unrealized gains on available-for-sale securities		—			—			—			—		—			27,224			27,224			27,224
Hedging activities		—			—			—			—		—			4,951			4,951			4,951

																					$	235,799

Balance, September 30, 2010		46,636		$	4,663,606		$	701,215		$	—	$	701,215		$	(97,837	)	$	5,266,984


Balance, December 31, 2010		45,290		$	4,528,962		$	712,091		$	—	$	712,091		$	(96,684	)	$	5,144,369

Proceeds from sale of capital stock		17,489			1,748,910			—			—		—			—			1,748,910
Redemption of capital stock		(17,028	)		(1,702,830	)		—			—		—			—			(1,702,830	)
Shares reclassified to mandatorily redeemable capital stock		(34	)		(3,349	)		—			—		—			—			(3,349	)
Cash dividends ($3.69 per share) on capital stock		—			—			(163,728	)		—		(163,728	)		—			(163,728	)
Net Income		—			—			152,141			7,820		159,961			—			159,961		$	159,961
Net change in Accumulated other comprehensive income (loss):
Non-credit portion of OTTI on held-to-maturity securities, net of accretion		—			—			—			—		—			9,192			9,192			9,192
Reclassification of non-credit OTTI to net income		—			—			—			—		—			1,464			1,464			1,464
Net unrealized losses on available-for-sale securities		—			—			—			—		—			(6,824	)		(6,824	)		(6,824	)
Hedging activities		—			—			—			—		—			(91,198	)		(91,198	)		(91,198	)

																					$	72,595

Balance, September 30, 2011		45,717		$	4,571,693		$	700,504		$	7,820	$	708,324		$	(184,050	)	$	5,095,967


(a)		Putable stock

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

Federal Home Loan Bank of New York

Statements of Cash Flows — Unaudited (in thousands)

For the nine months ended September 30, 2011 and 2010


	Nine months ended
	September 30,
	2011			2010
Operating activities

Net Income	$	159,961		$	189,097


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		(141,359	)		(45,715	)
Concessions on consolidated obligations		6,841			9,666
Premises, software, and equipment		4,085			4,201
Provision for credit losses on mortgage loans		2,967			1,137
Net realized (gains) from redemption of held-to-maturity securities		(17	)		—
Net realized (gains) from sale of available-for-sale securities		—			(708	)
Credit impairment losses on held-to-maturity securities		1,570			7,737
Change in net fair value adjustments on derivatives and hedging activities		430,203			406,975
Change in fair value adjustments on financial instruments held at fair value		10,574			12,612
Losses from extinguishment of debt		55,175			—
Net change in:
Accrued interest receivable		43,988			34,747
Derivative assets due to accrued interest		28,120			23,230
Derivative liabilities due to accrued interest		(38,102	)		(21,895	)
Other assets		5,112			2,856
Affordable Housing Program liability		(8,586	)		(6,494	)
Accrued interest payable		(10,608	)		3,235
REFCORP liability		(21,617	)		(3,674	)
Other liabilities		719			7,933

Total adjustments		369,065			435,843

Net cash provided by operating activities		529,026			624,940

Investing activities
Net change in:
Interest-bearing deposits		(890,153	)		(1,607,030	)
Federal funds sold		24,000			(645,000	)
Deposits with other FHLBanks		(100	)		(29	)
Premises, software, and equipment		(3,268	)		(3,959	)
Held-to-maturity securities:
Long-term securities
Purchased		(2,815,122	)		(174,048	)
Repayments		1,765,520			2,482,959
In-substance maturities		3,935			—
Available-for-sale securities:
Purchased		(1,094,954	)		(1,957,867	)
Repayments		1,734,926			838,129
Proceeds from sales		486			33,398
Advances:
Principal collected		203,976,117			165,792,738
Made		(196,097,860	)		(155,157,849	)
Mortgage loans held-for-portfolio:
Principal collected		174,324			155,621
Purchased		(268,842	)		(106,769	)
Proceeds from sales of REO		1,140			—

Net cash provided by investing activities		6,510,149			9,650,294

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

Federal Home Loan Bank of New York

Statements of Cash Flows — Unaudited (in thousands)

For the nine months ended September 30, 2011 and 2010


	Nine months ended
	September 30,
	2011			2010
Financing activities
Net change in:
Deposits and other borrowings	$	227,631		$	1,174,550
Derivative contracts with financing element ^(a)		(287,280	)		(330,004	)
Consolidated obligation bonds:
Proceeds from issuance		46,999,903			52,284,617
Payments for maturing and early retirement		(52,752,087	)		(52,088,457	)
Net payments on bonds transferred to other FHLBanks ^(b)		(167,381	)		224,664
Consolidated obligation discount notes:
Proceeds from issuance		126,916,123			89,819,657
Payments for maturing		(123,766,867	)		(102,848,990	)
Capital stock:
Proceeds from issuance		1,748,910			1,390,257
Payments for redemption / repurchase		(1,702,830	)		(1,755,299	)
Redemption of Mandatorily redeemable capital stock		(8,246	)		(89,254	)
Cash dividends paid ^(c)		(163,728	)		(176,756	)

Net cash used by financing activities		(2,955,852	)		(12,395,015	)

Net increase (decrease) in cash and due from banks		4,083,323			(2,119,781	)
Cash and due from banks at beginning of the period		660,873			2,189,252

Cash and due from banks at end of the period	$	4,744,196		$	69,471

Supplemental disclosures:
Interest paid	$	399,920		$	492,994
Affordable Housing Program payments ^(d)	$	26,567		$	27,844
REFCORP payments	$	52,325		$	50,948
Transfers of mortgage loans to real estate owned	$	1,138		$	970
Portion of non-credit OTTI (gains) losses on held-to-maturity securities	$	(1,262	)	$	(3,164	)


(a)		Cash flows from derivatives containing financing elements were considered as a financing activity and were included in borrowing activity. Cash outflows were $287,280 and $330,004 for the nine months ended 2011 and 2010.

(b)		For information about bonds transferred to FHLBanks and other related party transactions, see Note 18.

(c)		Does not include payments to holders of mandatorily redeemable capital stock. Such payments are reported as interest expense.

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

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

Background

The Federal Home Loan Bank of New York (“FHLBNY” or “the Bank”) is a federally chartered corporation exempt from federal, state and local taxes except local real estate taxes. It is one of twelve 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.

Assessments

Resolution Funding Corporation (“REFCORP”) Assessments. Up until June 30, 2011, the FHLBanks, including the FHLBNY, were required to make payments to REFCORP based on a percentage of Net Income. Each FHLBank was required to make payments to REFCORP until the total amount of payment actually made by all 12 FHLBanks was equivalent to a $300 million annual annuity, whose final maturity date was April 15, 2030. Based on payments made by the 12 FHLBanks through the second quarter of 2011, the FHLBanks have satisfied their obligation to REFCORP by the end of that period and no further payments will be necessary. In the third quarter of 2011, the FHLBNY recovered $365 thousand from a prior quarter in 2011.

Affordable Housing Program (“AHP”) Assessments. Each FHLBank 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 12 FHLBanks must set aside the greater of $100 million or 10 percent of their regulatory defined net income for the Affordable Housing Program.

Basis of Presentation

The preparation of financial statements in accordance with generally accepted accounting principles in the U.S. requires management to make a number of judgments, estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities (if applicable), and the reported amounts of income and expense during the reported periods. Although management believes these judgments, estimates and assumptions to be appropriate, actual results may differ. The information contained in these financial statements is unaudited. In the opinion of management, normal recurring adjustments necessary for a fair presentation of the interim period results have been made.

These unaudited financial statements should be read in conjunction with the FHLBNY’s audited financial statements for the year ended December 31, 2010, included in Form 10-K filed on March 25, 2011.

Note 1. Significant Accounting Policies and Estimates.

Significant Accounting Policies and Estimates

The FHLBNY has identified certain accounting policies that it believes are significant because they require management to make subjective judgments about matters that are inherently uncertain and because of the likelihood that materially different amounts would be reported under different conditions or by using different assumptions. These policies include estimating the allowance for credit losses on the advance (none) and mortgage loan portfolios, evaluating the impairment of the Bank’s securities portfolios, estimating the liabilities for employee benefit programs and estimating fair values of certain assets and liabilities. See Note 1 — Significant Accounting Policies and Estimates in Notes to the Financial Statements of the Federal Home Loan Bank of New York filed on Form 10-K on March 25, 2011, which contains a summary of the Bank’s significant accounting policies and estimates.

Starting in the third quarter of 2011, the FHLBNY allocates 20% of its net income to a separate restricted retained earnings account in accordance with the Joint Capital Enhancement Agreement among the 12 FHLBanks; for more information, see Note 11. Except for this change, there have been no significant changes to accounting policies from those identified in the Bank’s most recent Form 10-K.

Note 2. Recently Issued Accounting Standards and Interpretations.

A Creditor’s Determination of Whether a Restructuring Is a Troubled Debt Restructuring. On April 5, 2011, the Financial Accounting Standards Board (“FASB”) issued guidance that will require creditors to evaluate modifications and restructurings of receivables using a more principles-based approach, which may result in certain modifications and restructurings being considered troubled debt restructurings. The required disclosures are effective for interim and annual reporting periods beginning on or after June 15, 2011 (July 1, 2011 for the FHLBNY). The FHLBNY adopted this guidance as of June 30, 2011, and the adoption resulted in increased financial statement disclosures, but did not have a material effect on the FHLBNY’s financial condition, results of operations or cash flows.

Fair Value Measurement and Disclosure Convergence. On May 12, 2011, the FASB and the International Accounting Standards Board (“IASB”) issued substantially converged guidance on fair value measurement and disclosure requirements. This guidance clarifies how fair value accounting should be applied where its use is already required or permitted by other standards within GAAP or IASB Standards; these amendments do not require

additional fair value measurements. This guidance generally represents clarifications to the application of existing fair value measurement and disclosure requirements, as well as some instances where a particular principle or requirement for measuring fair value or disclosing information about fair value measurements has changed. This guidance is effective for interim and annual periods beginning on or after December 15, 2011 (January 1, 2012 for the FHLBNY) and should be applied prospectively. The adoption of this guidance may result in increased financial statement disclosures, but is not expected to have a material effect on the FHLBNY’s financial condition, results of operations, or cash flows.

Presentation of Comprehensive Income. On June 16, 2011, the FASB issued guidance to increase the prominence of other comprehensive income in financial statements. This guidance requires an entity that reports items of other comprehensive income to present comprehensive income in either a single statement or in two consecutive statements. This guidance eliminates the option to present other comprehensive income in a statement of capital. This guidance is effective for interim and annual periods beginning after December 15, 2011 (January 1, 2012 for the FHLBNY) and should be applied retrospectively for all periods presented. Early adoption is permitted. On October 21, 2011, the FASB voted to propose a deferral of the new requirement to present reclassifications of other comprehensive income in the income statement. Entities would still be required to adopt the other guidance contained in the new accounting standard for the presentation of comprehensive income. The FHLBNY plans to elect the two-statement approach beginning on January 1, 2012. The adoption of this guidance is expected to be limited to the presentation of its financial statements.

Disclosures about an Employer’s Participation in a Multiemployer Plan. On September 21, 2011, the FASB issued guidance to enhance disclosures about an employer’s participation in a multiemployer pension plan. These disclosures will provide users with the following: (1) additional administrative information about an employer’s participation in significant multiemployer plans; (2) an employer’s participation level in these plans, including contributions made and whether contributions exceed five percent of total contributions made to a plan; (3) the financial health of these plans, including information about funded status and funding improvement plans, as applicable; and (4) the nature of employer commitments to the plan, including expiration dates of collective bargaining agreements and whether such agreements require minimum plan contributions. Previously, disclosures were limited primarily to the historical contributions made to all multiemployer pension plans. This guidance is effective for the FHLBNY beginning with annual periods ending on December 31, 2011 and should be applied retrospectively for all prior periods presented. The adoption of this guidance will result in increased annual financial statement disclosures, but will not affect the FHLBNY’s financial condition, results of operations or cash flows.

Note 3. Cash and Due from Banks.

Cash on hand, cash items in the process of collection and amounts due from correspondent banks and the Federal Reserve Banks are included in cash and due from banks.

Compensating balances — The FHLBNY maintained average required clearing balances with the Federal Reserve Banks of approximately $1.0 million as of September 30, 2011 and December 31, 2010. The FHLBNY uses earnings credits on these balances to pay for services received from the Federal Reserve Banks.

Pass-through deposit reserves — The FHLBNY acts as a pass-through correspondent for certain member institutions required to deposit reserves with the Federal Reserve Banks. Pass-through reserves deposited with Federal Reserve Banks were $64.0 million and $49.5 million as of September 30, 2011 and December 31, 2010. The FHLBNY includes member reserve balances in Other liabilities in the Statements of Condition.

Note 4. Held-to-Maturity Securities.

Major Security Types

The amortized cost basis, the gross unrecognized holding gains and losses ^(a), the fair values of held-to-maturity securities, and OTTI recognized in AOCI were as follows (in thousands):


	September 30, 2011
			OTTI					Gross		Gross
	Amortized		Recognized			Carrying		Unrecognized		Unrecognized			Fair
Issued, guaranteed or insured:	Cost		in AOCI			Value		Holding Gains		Holding Losses			Value
Pools of Mortgages
Fannie Mae	$	703,367	$	—		$	703,367	$	52,786	$	—		$	756,153
Freddie Mac		201,134		—			201,134		13,846		—			214,980

Total pools of mortgages		904,501		—			904,501		66,632		—			971,133


Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits
Fannie Mae		2,018,369		—			2,018,369		36,136		(419	)		2,054,086
Freddie Mac		2,543,314		—			2,543,314		59,384		(260	)		2,602,438
Ginnie Mae		95,721		—			95,721		730		—			96,451

Total CMOs/REMICs		4,657,404		—			4,657,404		96,250		(679	)		4,752,975


Commercial Mortgage-Backed Securities
Fannie Mae		100,457		—			100,457		6,782		—			107,239
Freddie Mac		1,628,836		—			1,628,836		113,763		—			1,742,599
Ginnie Mae		35,685		—			35,685		1,148		—			36,833

Total commercial mortgage-backed securities		1,764,978		—			1,764,978		121,693		—			1,886,671


Non-GSE MBS ^(b)
CMOs/REMICs		211,515		(1,731	)		209,784		3,321		(1,466	)		211,639
Commercial MBS		—		—			—		—		—			—

Total non-federal-agency MBS		211,515		(1,731	)		209,784		3,321		(1,466	)		211,639


Asset-Backed Securities ^(b)
Manufactured housing (insured)		159,465		—			159,465		—		(8,818	)		150,647
Home equity loans (insured)		237,095		(59,090	)		178,005		34,165		(5,674	)		206,496
Home equity loans (uninsured)		163,582		(21,449	)		142,133		13,296		(19,120	)		136,309

Total asset-backed securities		560,142		(80,539	)		479,603		47,461		(33,612	)		493,452


Total MBS	$	8,098,540	$	(82,270	)	$	8,016,270	$	335,357	$	(35,757	)	$	8,315,870


Other
State and local housing finance agency obligations	$	804,753	$	—		$	804,753	$	2,596	$	(75,411	)	$	731,938

Total other	$	804,753	$	—		$	804,753	$	2,596	$	(75,411	)	$	731,938


Total Held-to-maturity securities	$	8,903,293	$	(82,270	)	$	8,821,023	$	337,953	$	(111,168	)	$	9,047,808


						December 31, 2010
			OTTI					Gross		Gross
	Amortized		Recognized			Carrying		Unrecognized		Unrecognized			Fair
Issued, guaranteed or insured:	Cost		in AOCI			Value		Holding Gains		Holding Losses			Value
Pools of Mortgages
Fannie Mae	$	857,387	$	—		$	857,387	$	48,712	$	—		$	906,099
Freddie Mac		244,041		—			244,041		13,316		—			257,357

Total pools of mortgages		1,101,428		—			1,101,428		62,028		—			1,163,456

Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits
Fannie Mae		1,637,261		—			1,637,261		52,935		—			1,690,196
Freddie Mac		2,790,103		—			2,790,103		92,746		—			2,882,849
Ginnie Mae		116,126		—			116,126		936		—			117,062

Total CMOs/REMICs		4,543,490		—			4,543,490		146,617		—			4,690,107

Commercial Mortgage-Backed Securities
Fannie Mae		100,492		—			100,492		—		(2,516	)		97,976
Freddie Mac		375,901		—			375,901		1,031		(5,315	)		371,617
Ginnie Mae		48,747		—			48,747		1,857		—			50,604

Total commercial mortgage-backed securities		525,140		—			525,140		2,888		(7,831	)		520,197

Non-GSE MBS ^(b)
CMOs/REMICs		294,686		(2,209	)		292,477		6,228		(916	)		297,789
Commercial MBS		—		—			—		—		—			—

Total non-federal-agency MBS		294,686		(2,209	)		292,477		6,228		(916	)		297,789

Asset-Backed Securities ^(b)
Manufactured housing (insured)		176,592		—			176,592		—		(21,437	)		155,155
Home equity loans (insured)		257,889		(66,252	)		191,637		35,550		(4,316	)		222,871
Home equity loans (uninsured)		184,284		(24,465	)		159,819		17,780		(21,478	)		156,121

Total asset-backed securities		618,765		(90,717	)		528,048		53,330		(47,231	)		534,147

Total MBS	$	7,083,509	$	(92,926	)	$	6,990,583	$	271,091	$	(55,978	)	$	7,205,696

Other
State and local housing finance agency obligations	$	770,609	$	—		$	770,609	$	1,434	$	(79,439	)	$	692,604

Total other	$	770,609	$	—		$	770,609	$	1,434	$	(79,439	)	$	692,604

Total Held-to-maturity securities	$	7,854,118	$	(92,926	)	$	7,761,192	$	272,525	$	(135,417	)	$	7,898,300


(a)		Unrecognized gross holding gains and losses represent the difference between carrying value and fair value of a held-to-maturity security. At September 30, 2011 and December 31, 2010, the FHLBNY had pledged MBS with an amortized cost basis of $2.2 million and $2.7 million to the FDIC in connection with deposits maintained by the FDIC at the FHLBNY.

(b)		Private-label MBS.

Unrealized losses

The following tables summarize held-to-maturity securities with fair values below their amortized cost basis. The fair values and gross unrealized holding losses ^(a) are aggregated by major security type and by the length of time individual securities have been in a continuous unrealized loss position as follows (in thousands):


	September 30, 2011
	Less than 12 months					12 months or more					Total
	Estimated		Unrealized			Estimated		Unrealized			Estimated		Unrealized
	Fair Value		Losses			Fair Value		Losses			Fair Value		Losses
Non-MBS Investment Securities
State and local housing finance agency obligations	$	—	$	—		$	313,329	$	(75,411	)	$	313,329	$	(75,411	)

Total Non-MBS		—		—			313,329		(75,411	)		313,329		(75,411	)

MBS Investment Securities MBS-GSE
Fannie Mae-CMBS		86,015		(419	)		—		—			86,015		(419	)

Freddie Mac-CMBS		148,751		(260	)		—		—			148,751		(260	)

Total MBS-GSE		234,766		(679	)		—		—			234,766		(679	)

MBS-Private-Label-CMOs		21,883		(435	)		539,502		(69,956	)		561,385		(70,391	)

Total MBS		256,649		(1,114	)		539,502		(69,956	)		796,151		(71,070	)

Total	$	256,649	$	(1,114	)	$	852,831	$	(145,367	)	$	1,109,480	$	(146,481	)


						December 31, 2010
	Less than 12 months					12 months or more					Total
	Estimated		Unrealized			Estimated		Unrealized			Estimated		Unrealized
	Fair Value		Losses			Fair Value		Losses			Fair Value		Losses
Non-MBS Investment Securities
State and local housing finance agency obligations	$	20,945	$	(1,270	)	$	309,476	$	(78,169	)	$	330,421	$	(79,439	)

Total Non-MBS		20,945		(1,270	)		309,476		(78,169	)		330,421		(79,439	)

MBS Investment Securities MBS-GSE
Fannie Mae-CMBS		97,976		(2,516	)		—		—			97,976		(2,516	)

Freddie Mac-CMBS		196,658		(5,315	)		—		—			196,658		(5,315	)

Total MBS-GSE		294,634		(7,831	)		—		—			294,634		(7,831	)

MBS-Private-Label-CMOs		5,017		(19	)		593,667		(87,302	)		598,684		(87,321	)

Total MBS		299,651		(7,850	)		593,667		(87,302	)		893,318		(95,152	)

Total	$	320,596	$	(9,120	)	$	903,143	$	(165,471	)	$	1,223,739	$	(174,591	)


(a)		Unrealized holding losses represent the difference between amortized cost and fair value of a security. The baseline measure of unrealized holding losses is amortized cost, which is not adjusted for non-credit OTTI. Unrealized holding losses will not equal gross unrecognized losses, which are adjusted for non-credit OTTI.

Redemption terms

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


	September 30, 2011				December 31, 2010
	Amortized		Estimated		Amortized		Estimated
	Cost		Fair Value		Cost		Fair Value
State and local housing finance agency obligations
Due in one year or less	$	—	$	—	$	—	$	—
Due after one year through five years		4,915		4,966		6,415		6,467
Due after five years through ten years		60,505		60,001		61,945		60,667
Due after ten years		739,333		666,971		702,249		625,470

State and local housing finance agency obligations		804,753		731,938		770,609		692,604


Mortgage-backed securities
Due in one year or less		—		—		—		—
Due after one year through five years		1,154		1,169		1,730		1,768
Due after five years through ten years		2,345,927		2,492,412		1,324,480		1,351,936
Due after ten years		5,751,459		5,822,289		5,757,299		5,851,992

Mortgage-backed securities		8,098,540		8,315,870		7,083,509		7,205,696

Total Held-to-maturity securities	$	8,903,293	$	9,047,808	$	7,854,118	$	7,898,300

Interest rate payment terms

The following table summarizes interest rate payment terms of securities classified as held-to-maturity (in thousands):


	September 30, 2011				December 31, 2010
	Amortized		Carrying		Amortized		Carrying
	Cost		Value		Cost		Value
Mortgage-backed securities
CMO
Fixed	$	3,429,072	$	3,426,071	$	3,064,470	$	3,060,797
Floating		3,069,829		3,069,829		2,105,272		2,105,272

CMO Total		6,498,901		6,495,900		5,169,742		5,166,069
Pass Thru ^(a)
Fixed		1,469,102		1,390,965		1,830,665		1,742,633
Floating		130,537		129,405		83,102		81,881

Pass Thru Total		1,599,639		1,520,370		1,913,767		1,824,514

Total MBS		8,098,540		8,016,270		7,083,509		6,990,583

State and local housing finance agency obligations
Fixed		113,183		113,183		135,344		135,344
Floating		691,570		691,570		635,265		635,265

		804,753		804,753		770,609		770,609

Total Held-to-maturity securities	$	8,903,293	$	8,821,023	$	7,854,118	$	7,761,192


(a)		Includes MBS supported by pools of mortgages.

Impairment analysis of GSE-issued and private label mortgage-backed securities

The FHLBNY evaluates its individual securities issued by Fannie Mae, Freddie Mac and government agencies by considering the creditworthiness and performance of the debt securities and the strength of the GSE’s guarantees of the securities. Based on the Bank’s analysis, GSE- and agency-issued securities are performing in accordance with their contractual agreements. The FHLBNY believes that it will recover its investments in GSE- and agency-issued securities given the current levels of collateral, credit enhancements and guarantees that exist to protect the investments. Management evaluates its investments in private-label MBS (“PLMBS”) for OTTI on a quarterly basis by performing cash flow tests on 100 percent of securities. The credit-related OTTI is recognized in earnings. The non-credit portion of OTTI, which represents fair value losses of OTTI securities, is recognized in AOCI. These methodologies have not changed from those reported and discussed in the audited financial statements included in the FHLBNY’s most recent Form 10-K filed on March 25, 2011.

OTTI —. Certain securities had been previously determined to be OTTI, and the additional impairment, or re-impairment was due to further deterioration in the credit performance metrics of the securities. Cash flow assessments identified credit impairment as summarized below (in thousands):


													Three months ended						Nine months ended
	Three months ended September 30, 2011												September 30, 2011						September 30, 2011
	Insurer MBIA				Insurer Ambac				Uninsured				OTTI^(a)						OTTI^(a)
Security			Fair				Fair				Fair		Credit			Non-credit			Credit			Non-credit
Classification	UPB		Value		UPB		Value		UPB		Value		Loss			Loss			Loss			Loss
RMBS-Prime	$	—	$	—	$	—	$	—	$	11,874	$	11,215	$	(81	)	$	(61	)	$	(81	)	$	(61	)
HEL Subprime ^(b)		18,999		10,461		17,701		11,129		—		—		(979	)		979			(1,489	)		1,323

Total	$	18,999	$	10,461	$	17,701	$	11,129	$	11,874	$	11,215	$	(1,060	)	$	918		$	(1,570	)	$	1,262


													Twelve months ended
	Year ended December 31, 2010												December 31, 2010
	Insurer MBIA				Insurer Ambac				Uninsured				OTTI^(a)
Security			Fair				Fair				Fair		Credit			Non-credit
Classification	UPB		Value		UPB		Value		UPB		Value		Loss			Loss
RMBS-Prime	$	—	$	—	$	—	$	—	$	58,269	$	55,631	$	(176	)	$	(303	)
HEL Subprime ^(b)		31,256		17,090		173,220		129,804		70,747		62,300		(8,146	)		3,573

Total	$	31,256	$	17,090	$	173,220	$	129,804	$	129,016	$	117,931	$	(8,322	)	$	3,270


									Three months ended						Nine months ended
	Three months ended September 30, 2010								September 30, 2010						September 30, 2010
	Insurer MBIA				Insurer Ambac				OTTI^(a)						OTTI^(a)
Security			Fair				Fair		Credit			Non-credit			Credit			Non-credit
Classification	UPB		Value		UPB		Value		Loss			Loss			Loss			Loss
HEL Subprime ^(b)	$	31,876	$	15,050	$	16,341	$	8,233	$	(3,067	)	$	(2,569	)	$	(7,737	)	$	3,164

Total	$	31,876	$	15,050	$	16,341	$	8,233	$	(3,067	)	$	(2,569	)	$	(7,737	)	$	3,164


(a)		If the present value of cash flows expected to be collected (discounted at the security’s initial effective yield) is less than the amortized cost basis of the security, an OTTI is considered to have occurred because the entire amortized cost basis of the security will not be recovered. The credit-related OTTI is recognized in earnings. The non-credit portion of OTTI, which represents fair value losses of OTTI securities (excluding the amount of credit loss), is recognized in AOCI. Positive non-credit loss represents the net amount of non-credit loss reclassified from AOCI to increase the carrying value of securities previously deemed OTTI.

(b)		HEL Subprime securities are supported by home equity loans.

Based on cash flow testing, the Bank believes no OTTI exists for the remaining investments at September 30, 2011. The Bank’s conclusion is also based upon multiple factors: bond issuers’ continued satisfaction of their obligations under the contractual terms of the securities; the estimated 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 September 30, 2011, and has also concluded that it will not be required to sell such securities before recovery of the amortized cost basis of the securities.

The following table provides rollforward information about the credit component of OTTI recognized as a charge to earnings related to held-to-maturity securities (in thousands):


	Three months ended September 30,				Nine months ended September 30,
	2011		2010		2011		2010
Beginning balance	$	29,648	$	25,486	$	29,138	$	20,816
Additions to the credit component for OTTI loss not previously recognized		—		—		25		—
Additional credit losses for which an OTTI charge was previously recognized		1,060		3,067		1,545		7,737
Increases in cash flows expected to be collected, recognized over the remaining life of the securities		—		—		—		—

Ending balance	$	30,708	$	28,553	$	30,708	$	28,553

Key Base Assumptions

The table below summarizes the weighted average and range of Key Base Assumptions for all private-label MBS at September 30, 2011, including those deemed OTTI:


	Key Base Assumption - All PLMBS at September 30, 2011
	CDR^(a)				CPR^(b)				Loss Severity %^(c)
Security Classification	Range		Average		Range		Average		Range		Average
RMBS Prime		1.0-2.8		1.4		8.7-40.7		21.8		30.0-73.7		35.5
Alt-A		1.0-3.2		1.8		2.0-13.0		4.3		30.0-42.1		34.6
HEL Subprime		1.0-9.5		3.9		2.0-17.6		3.6		30.0-100.0		73.0


(a)		*Conditional Default Rate (CDR)*: 1— ((1-MDR)^12) where, MDR is defined as the “Monthly Default Rate (MDR)” = (Beginning Principal Balance of Liquidated Loans)/(Total Beginning Principal Balance).

(b)		*Conditional Prepayment Rate (CPR)*: 1— ((1-SMM)^12) where, SMM is defined as the “Single Monthly Mortality (SMM)” = (Voluntary partial and full prepayments + repurchases + Liquidated Balances)/(Beginning Principal Balance — Scheduled Principal). Voluntary prepayment excludes the liquidated balances mentioned above.

(c)		*Loss Severity* (Principal and interest in the current period) = Sum (Total Realized Loss Amount)/Sum (Beginning Principal and Interest Balance of Liquidated Loans).

Note 5. Available-for-Sale Securities.

Major Security types — The amortized cost, gross unrealized gains, losses and fair value ^(a) of investments ^(b) classified as available-for-sale were as follows (in thousands):


	September 30, 2011
			OTTI		Gross		Gross
	Amortized		Recognized		Unrealized		Unrealized			Fair
	Cost		in AOCI		Gains		Losses			Value
Cash equivalents	$	130	$	—	$	—	$	—		$	130
Equity funds		5,995		—		—		(841	)		5,154
Fixed income funds		3,271		—		267		—			3,538
GSE and U.S. Obligations
Mortgage-backed securities
CMO-Floating		3,269,793		—		18,571		(1,668	)		3,286,696
CMBS-Floating		49,760		—		—		(188	)		49,572

Total	$	3,328,949	$	—	$	18,838	$	(2,697	)	$	3,345,090


	December 31, 2010
			OTTI		Gross		Gross
	Amortized		Recognized		Unrealized		Unrealized			Fair
	Cost		in AOCI		Gains		Losses			Value
Cash equivalents	$	120	$	—	$	—	$	—		$	120
Equity funds		6,715		—		182		(651	)		6,246
Fixed income funds		3,374		—		207		—			3,581
GSE and U.S. Obligations
Mortgage-backed securities
CMO-Floating		3,906,932		—		26,588		(3,157	)		3,930,363
CMBS-Floating		49,976		—		—		(204	)		49,772

Total	$	3,967,117	$	—	$	26,977	$	(4,012	)	$	3,990,082


(a)		The carrying value of available-for-sale securities equals fair value. No available-for-sale securities had been pledged at September 30, 2011 and December 31, 2010.

(b)		The Bank has a grantor trust to fund current and future payments for its employee supplemental pension plans and investments in the trust are classified as available-for-sale. The grantor trust invests in money market, equity and fixed-income and bond funds. Daily net asset values are readily available and investments are redeemable at short notice. Realized gains and losses from investments in the funds were not significant.

Unrealized Losses — MBS classified as available-for-sale securities (in thousands):


	September 30, 2011
	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-Other US Obligations
Ginnie Mae-CMOs	$	68,250	$	(38	)	$	—	$	—		$	68,250	$	(38	)
MBS-GSE
Fannie Mae-CMOs		418,165		(684	)		14,096		(33	)		432,261		(718	)
Fannie Mae-CMBS		49,572		(188	)		—		—			49,572		(188	)
Freddie Mac-CMOs		395,650		(895	)		8,682		(17	)		404,332		(912	)

Total MBS-GSE		863,387		(1,767	)		22,778		(50	)		886,165		(1,818	)

Total Temporarily Impaired	$	931,637	$	(1,805	)	$	22,778	$	(50	)	$	954,415	$	(1,856	)


	December 31, 2010
	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-Other US Obligations
Ginnie Mae-CMOs	$	71,922	$	(192	)	$	—	$	—	$	71,922	$	(192	)
MBS-GSE
Fannie Mae-CMOs		374,535		(1,267	)		—		—		374,535		(1,267	)
Fannie Mae-CMBS		49,772		(204	)		—		—		49,772		(204	)
Freddie Mac-CMOs		368,652		(1,698	)		—		—		368,652		(1,698	)

Total MBS-GSE		792,959		(3,169	)		—		—		792,959		(3,169	)

Total Temporarily Impaired	$	864,881	$	(3,361	)	$	—	$	—	$	864,881	$	(3,361	)

Management of the FHLBNY has concluded that gross unrealized losses at September 30, 2011 and December 31, 2010, as summarized in the tables above, were caused by interest rate changes, credit spreads widening and reduced liquidity in the applicable markets. The FHLBNY has reviewed the investment security holdings and determined, based on creditworthiness of the securities and including any underlying collateral and/or insurance provisions of the security, that unrealized losses in the analysis above represent temporary impairment.

Impairment analysis on Available-for-sale securities — The Bank’s portfolio of mortgage-backed securities classified as available-for-sale or “AFS,” is comprised primarily of GSE-issued collateralized mortgage obligations, which are “pass through” securities. The FHLBNY evaluates its individual securities issued by Fannie Mae and Freddie Mac by considering the creditworthiness and performance of the debt securities and the strength of the government-sponsored enterprises’ guarantees of the securities. Based on the Bank’s 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. Management has not made a decision to sell such securities at September 30, 2011 or subsequently. Management also concluded that it will likely not be required to sell such securities before recovery of the amortized cost basis of the security. The FHLBNY believes that these securities were not other-than-temporarily impaired as of September 30, 2011 or at December 31, 2010.

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 available-for-sale, by contractual maturity, were as follows (in thousands):


	September 30, 2011				December 31, 2010
	Amortized		Fair		Amortized		Fair
	Cost		Value		Cost		Value
Mortgage-backed securities
GSE/U.S. agency issued CMO
Due after ten years	$	3,269,793	$	3,286,696	$	3,906,932	$	3,930,363
GSE/U.S. agency issued CMBS
Due after five years through ten years		49,760		49,572		49,976		49,772
Fixed income funds, equity funds and cash equivalents ^(b)		9,396		8,822		10,209		9,947

Total	$	3,328,949	$	3,345,090	$	3,967,117	$	3,990,082


(a)		The carrying value of available-for-sale securities equals fair value.

(b)		Determined to be redeemable at anytime.

Interest rate payment terms

The following table summarizes interest rate payment terms of investments in mortgage-backed securities classified as available-for-sale securities (in thousands):


	September 30, 2011				December 31, 2010
	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Mortgage-backed securities
Mortgage pass-throughs-GSE/U.S. agency issued
Variable-rate — LIBOR indexed	$	3,269,793	$	3,286,696	$	3,906,932	$	3,930,363
Variable-rate CMBS — LIBOR indexed		49,760		49,572		49,976		49,772

Total ^(a)	$	3,319,553	$	3,336,268	$	3,956,908	$	3,980,135


(a)		Total will not agree to total AFS portfolio because bond and equity funds in a grantor trust have been excluded.

Note 6. Advances.

Redemption terms

Contractual redemption terms and yields of advances were as follows (dollars in thousands):


	September 30, 2011									December 31, 2010
				Weighted^(b)									Weighted^(b)
				Average			Percentage						Average			Percentage
	Amount			Yield			of Total			Amount			Yield			of Total
Overdrawn demand deposit accounts	$	—			—	%		—	%	$	196			1.15	%		—	%
Due in one year or less		16,903,303			1.65			24.48			16,872,651			1.77			21.94
Due after one year through two years		7,584,982			2.50			10.98			9,488,116			2.81			12.33
Due after two years through three years		6,547,132			2.34			9.48			7,221,496			2.94			9.39
Due after three years through four years		4,772,269			2.49			6.91			5,004,502			2.69			6.50
Due after four years through five years		12,583,873			3.70			18.22			6,832,709			2.93			8.88
Due after five years through six years		13,686,116			4.08			19.82			9,590,448			4.32			12.46
Thereafter		6,983,607			2.97			10.11			21,929,421			3.68			28.50


Total par value		69,061,282			2.86	%		100.00	%		76,939,539			3.03	%		100.00	%


Discount on AHP advances ^(a)		(22	)								(42	)
Hedging adjustments		4,717,910									4,260,839


Total	$	73,779,170								$	81,200,336


(a)		Discounts on AHP advances were amortized to interest income using the level-yield method and were not significant for all periods reported. Interest rates on AHP advances ranged from 1.25% to 3.50% at September 30, 2011 and at December 31, 2010

(b)		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.

Monitoring and evaluating credit losses — Advances Summarized below are the FHLBNY’s assessment methodologies for evaluating credit losses on advances. These methodologies have not changed from those reported and discussed in the audited financial statements included in the FHLBNY’s most recent Form 10-K, filed on March 25, 2011.

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). The FHLBNY also has a statutory lien under the FHLBank Act on the capital stock of its members, which serves as further collateral for members’ indebtedness to the FHLBNY.

Credit Risk. The management of the Bank has policies and procedures in place to appropriately manage credit risk. There were no past due advances and all advances were current for all periods in this report. Management does not anticipate any credit losses, and accordingly, the Bank has not provided an allowance for credit losses on advances. The Bank’s potential credit risk from advances is concentrated in commercial banks, savings institutions, and insurance companies.

Concentration of advances outstanding. Advances to the FHLBNY’s top ten borrowing member institutions are reported in Note 19, Segment Information and Concentration. The FHLBNY held sufficient collateral to cover the advances to all of these institutions and it does not expect to incur any credit losses.

Collateral Coverage of Advances

Security Terms. The FHLBNY lends to financial institutions involved in housing finance within its district. Borrowing members pledge their capital stock of the FHLBNY as additional collateral for advances. As of September 30, 2011 and December 31, 2010, the FHLBNY had rights to collateral with an estimated value greater than outstanding advances ^(a). Based upon the financial condition of the member, the FHLBNY:

	(1)		Allows a member to retain possession of the mortgage collateral assigned 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 safekeeping agent.

Beyond these provisions, Section 10(e) of the FHLBank Act affords any security interest granted by a member to the FHLBNY priority over the claims or rights of any other party. The two exceptions are claims that would be entitled to priority under otherwise applicable law and perfected security interests. All member obligations with the Bank were fully collateralized throughout their entire term. The total of collateral pledged to the Bank includes excess collateral pledged above the Bank’s minimum collateral requirements. However, a “Maximum Lendable Value” is established to ensure that the Bank has sufficient eligible collateral securing credit extensions. The Maximum Lendable Value ranges from 70 percent to 90 percent for mortgage collateral, and is applied to the lesser of book or market value. For securities, it ranges from 67 percent to 97 percent, and is applied to the market value. There are no Maximum Lendable Value ranges for deposit collateral pledged. It is common for members to maintain excess collateral positions with the Bank for future liquidity needs. Based on several factors (e.g. advance type, collateral type or member financial condition), members are required to comply with specified collateral requirements, including but not limited to a detailed listing of pledged mortgage collateral and/or delivery of pledged collateral to the Bank or its designated collateral custodian(s). All pledged securities collateral must be delivered to Citibank, N.A., the Bank’s securities safekeeping custodian. Mortgage collateral that is required to be in the Bank’s possession is typically delivered to the Bank’s Jersey City, New Jersey facility. However, in certain instances, delivery to a Bank approved custodian may be allowed. In both instances, the members provide periodic listings updating the information of the mortgage collateral in possession.

The following table summarizes pledged collateral at September 30, 2011 and December 31, 2010 (in thousands):

Collateral Supporting Indebtedness to Members


	Indebtedness						Collateral
			Other		Total		Mortgage		Securities and
	Advances^(b)		Obligations^(c)		Indebtedness		Loans^(d)		Deposits^(d)		Total^(d,e)
September 30, 2011	$	69,061,282	$	2,370,341	$	71,431,623	$	150,137,716	$	41,164,472	$	191,302,188

December 31, 2010	$	76,939,539	$	2,057,501	$	78,997,040	$	105,121,327	$	42,675,062	$	147,796,389


(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.

(e)		The increase in total collateral is attributable to one new member that is currently only utilizing other obligations.

The following table shows the breakdown of collateral pledged by members between those that were specifically listed and those in the physical possession of the FHLBNY or that of its safekeeping agent (in thousands):

Location of Collateral Held


	Estimated Market Values
	Collateral in		Collateral		Collateral
	Physical		Specifically		Pledged for			Total Collateral
	Possession		Listed		AHP^(a)			Received
September 30, 2011	$	46,560,706	$	144,868,505	$	(127,023	)	$	191,302,188

December 31, 2010	$	48,604,470	$	99,289,202	$	(97,283	)	$	147,796,389


(a)		Primarily pledged by non-members to cover potential recovery of AHP Subsidy in the event of non-compliance. This amount is included in the total collateral pledged, and the FHLBNY allocates to its AHP exposure.

Note 7. Mortgage Loans Held-for-Portfolio.

Mortgage Partnership Finance^® program loans, or (MPF^®), constitute the majority of the mortgage loans held-for-portfolio. The MPF program involves investment by the FHLBNY in mortgage loans that are purchased from its participating financial institutions (“PFIs”). The members retain servicing rights and may credit-enhance the portion of the loans participated to the FHLBNY. No intermediary trust is involved.

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


	September 30, 2011						December 31, 2010
				Percentage						Percentage
	Amount			of Total			Amount			of Total
Real Estate ^(a):
Fixed medium-term single-family mortgages	$	332,368			24.59	%	$	342,081			27.05	%
Fixed long-term single-family mortgages		1,018,814			75.39			918,741			72.65
Multi-family mortgages		258			0.02			3,799			0.30

Total par value		1,351,440			100.00	%		1,264,621			100.00	%

Unamortized premiums		14,478						11,333
Unamortized discounts		(3,868	)					(4,357	)
Basis adjustment ^(b)		1,590						(33	)

Total mortgage loans held-for-portfolio		1,363,640						1,271,564
Allowance for credit losses		(6,728	)					(5,760	)

Total mortgage loans held-for-portfolio after allowance for credit losses	$	1,356,912					$	1,265,804


(a)		Conventional mortgages constituted the majority of mortgage loans held-for-portfolio.

(b)		Represents fair value basis of open and closed delivery commitments.

No loans were transferred to the “loan-for-sale” category. From time to time, the Bank may request a PFI to repurchase loans if the loan failed to comply with the MPF loan standards. These have been insignificant in all periods in this report.

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 basis points, but this varies with the particular MPF product. The amount of the first layer, or First Loss Account (“FLA”), was estimated as $12.9 million and $12.0 million at September 30, 2011 and December 31, 2010. 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 taken on which will equate the loan to a double-A rating. 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 $0.4 million and $1.2 million for the three and nine months ended September 30, 2011 and, $0.4 million and $1.1 million in the same periods in 2010. These fees were reported as a reduction to mortgage loan interest income. The amount of charge-offs and recoveries from PFIs in each period reported was not significant.

Allowance methodology for loan losses.

Summarized below are the FHLBNY’s assessment methodologies for evaluating credit losses on mortgage loans. These methodologies have not changed from those reported and discussed in the audited financial statements included in the FHLBNY’s most recent Form 10-K filed on March 25, 2011.

Mortgage loans are considered impaired when, based on current information and events, it is probable that the FHLBNY will be unable to collect all principal and interest amounts due according to the contractual terms of the mortgage loan agreements. The Bank performs periodic reviews of individual impaired mortgage loans within the MPF loan portfolio to identify the potential for losses inherent in the portfolio and to determine the likelihood of collection of the principal and interest. Mortgage loans that are past due 90 days or more or classified under regulatory criteria (Sub-standard, Doubtful or Loss) are evaluated separately on a loan level basis for impairment. The FHLBNY bases its provision for credit losses on its estimate of probable credit losses inherent in the impaired MPF loan. The FHLBNY computes the provision for credit losses without considering the private mortgage insurance and other accompanying credit enhancement features (except the “First Loss Account”) to provide credit assurance to the FHLBNY. If adversely classified, or past due 90 days or more, reserves for conventional mortgage loans, except FHA- and VA-insured loans, are analyzed under liquidation scenarios on a loan level basis, and identified losses are fully reserved. Only FHA- and VA-insured MPF loans are evaluated collectively.

When a loan is foreclosed and the Bank takes possession of real estate, the Bank will charge any excess carrying value over the net realizable value of the foreclosed loan to the allowance for credit losses.

FHA- and VA-insured mortgage loans have minimal inherent credit risk, and are therefore not considered impaired. Risk of such loans generally arises from servicers defaulting on their obligations. If adversely classified, the FHLBNY will have reserves established only in the event of a default of a PFI, and reserves would be based on the estimated costs to recover any uninsured portion of the MPF loan. Classes of the MPF loan portfolio would be subject to disaggregation to the extent that it is needed to understand the exposure to credit risk arising from these loans. The FHLBNY has determined that no further disaggregation of portfolio segments is needed, other than the methodology discussed above.

Allowances for credit losses have been recorded against the uninsured MPF loans. All other types of mortgage loans were insignificant and no allowances were necessary.

Allowance for credit losses

The following provides a rollforward analysis of the allowance for credit losses ^(a) (in thousands):


	Three months ended September 30,						Nine months ended September 30,
	2011			2010			2011			2010
Allowance for credit losses:
Beginning balance	$	6,349		$	5,392		$	5,760		$	4,498
Charge-offs		(584	)		(97	)		(2,421	)		(131	)
Recoveries		198			11			422			33
Provision for credit losses on mortgage loans		765			231			2,967			1,137

Ending balance	$	6,728		$	5,537		$	6,728		$	5,537

Ending balance, individually evaluated for impairment ^(b)	$	6,728					$	6,728

Recorded investment, end of period:
Individually evaluated for impairment — Total impaired loans	$	25,732					$	25,732

Collectively evaluated for impairment ^(c)	$	16,363					$	16,363


(a)		The Bank assesses impairment on a loan level basis for conventional loans.

(b)		Allowance for loan losses associated with loans individually evaluated for impairment.

(c)		All government-guaranteed loans are collectively evaluated for impairment.

Non-performing loans

Non-accrual loans are reported in the table below. As of September 30, 2011 and December 31, 2010, the FHLBNY had no investment in impaired mortgage loans, other than the non-accrual loans.

The following table compares Non-performing loans and 90 day past due loans ^(a) to total mortgage (in thousands):


	September 30, 2011		December 31, 2010
Mortgage loans, net of provisions for credit losses	$	1,356,912	$	1,265,804

Non-performing mortgage loans — Conventional	$	25,351	$	26,781

Insured MPF loans past due 90 days or more and still accruing interest	$	304	$	574


(a)		Includes loans classified as sub-standard, doubtful or loss under regulatory criteria.

The following table summarizes the recorded investment, the unpaid principal balance and related allowance for impaired loans (individually assessed for impairment), and the average recorded investment of impaired loans (in thousands):


							Three months ended				Nine months ended
	September 30, 2011						September 30, 2011				September 30, 2011
			Unpaid				Average		Interest		Average		Interest
	Recorded		Principal		Related		Recorded		Income		Recorded		Income
Impaired Loans	Investment		Balance		Allowance		Investment		Recognized^(b)		Investment		Recognized^(b)
With no related allowance:
Conventional MPF Loans ^(a)	$	4,434	$	4,432	$	—	$	4,424	$	—	$	4,377	$	—
With an allowance:
Conventional MPF Loans ^(a)		21,298		21,302		6,728		21,254		—		21,658		—

Total Conventional MPF Loans ^(a)	$	25,732	$	25,734	$	6,728	$	25,678	$	—	$	26,035	$	—


	Year ended December 31, 2010
			Unpaid				Average		Interest
	Recorded		Principal		Related		Recorded		Income
Impaired Loans	Investment		Balance		Allowance		Investment		Recognized^(b)
With no related allowance:
Conventional MPF Loans ^(a)	$	5,876	$	5,856	$	—	$	4,867	$	—
With an allowance:
Conventional MPF Loans ^(a)		20,909		20,925		5,760		18,402		—

Total Conventional MPF Loans ^(a)	$	26,785	$	26,781	$	5,760	$	23,269	$	—


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

(b)		Insured loans were not considered impaired. The Bank does not record interest received to income from uninsured loans past due 90-days or greater.

Mortgage loans — Interest on Non-performing loans

The FHLBNY’s interest contractually due and actually received for non-performing loans were as follows (in thousands):


	Three months ended September 30,				Nine months ended September 30,
	2011		2010		2011		2010
Interest contractually due ^(a)	$	378	$	373	$	1,045	$	973
Interest actually received		347		344		967		898

Shortfall	$	31	$	29	$	78	$	75


(a)		The Bank does not recognize interest received as income from uninsured loans past due 90-days or greater.

Recorded investments ^(a) in MPF loans that were past due loans and real-estate owned are summarized below (in thousands):


	September 30, 2011									December 31, 2010
	Conventional			Insured			Other			Conventional			Insured			Other
	MPF Loans			Loans			Loans			MPF Loans			Loans			Loans
Mortgage loans:
Past due 30 - 59 days	$	20,535		$	514		$	—		$	19,651		$	768		$	—
Past due 60 - 89 days		6,844			58			—			6,437			207			—
Past due 90 days or more		25,351			307			—			26,785			577			—

Total past due		52,730			879			—			52,873			1,552			—

Total current loans		1,299,725			15,484			259			1,214,725			4,119			3,799

Total mortgage loans	$	1,352,455		$	16,363		$	259		$	1,267,598		$	5,671		$	3,799

Other delinquency statistics:
Loans in process of foreclosure, included above	$	18,147		$	193		$	—		$	14,615		$	284		$	—

Serious delinquency rate^(b)		1.89	%		1.88	%		—	%		2.14	%		10.11	%		—	%

Serious delinquent loans total used in calculation of serious delinquency rate	$	25,569		$	307		$	—		$	27,112		$	573		$	—

Past due 90 days or more and still accruing interest	$	—		$	307		$	—		$	—		$	573		$	—

Loans on non-accrual status	$	25,351		$	—		$	—		$	26,785		$	—		$	—

Troubled debt restructurings ^(c)	$	382		$	—		$	—		$	—		$	—		$	—

Real estate owned	$	785								$	600


(a)		Recorded investments include accrued interest receivable and would not equal reported carrying values.

(b)		Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of total loan portfolio class recorded investment.

(c)		A troubled debt restructuring is considered to have occurred when a concession is granted to a borrower for economic or legal reasons related to the borrower’s financial difficulties and that concession would not have been considered otherwise. The FHLBNY’s MPF Loan troubled debt restructurings primarily involve modifying the borrower’s monthly payment for a period of up to 36 months, with a cap based on a ratio of the borrower’s housing expense to monthly income. The outstanding principal balance is re-amortized to reflect a principal and interest payment for a term not to exceed 40 years. This would result in a balloon payment at the original maturity date of the loan as the maturity date and number of remaining monthly payments is unchanged. If the housing expense ratio is still not met, the interest rate is reduced for up to 36 months in 0.125% increments below the original note rate, to a floor rate of 3.00%, resulting in reduced principal and interest payments until the target housing expense ratio is met.

Certain comparative data were reclassified to conform to the presentation adopted as of September 30, 2011.

Note 8. Deposits.

The FHLBNY accepts demand, overnight and term deposits from its members. A member that services mortgage loans may deposit funds collected in connection with the mortgage loans, pending disbursement of such funds to the owners of the mortgage loans.

The following table summarizes term deposits (in thousands):


	September 30, 2011		December 31, 2010
Due in one year or less	$	29,000	$	42,700

Total term deposits	$	29,000	$	42,700

Note 9. Borrowings.

Securities sold under agreements to repurchase

The FHLBNY had no securities sold under agreement to repurchase as of September 30, 2011 and December 31, 2010. Terms, amounts and outstanding balances of borrowings from other FHLBanks are described under Note 18 — Related Party Transactions.

Note 10. Consolidated Obligations.

Consolidated obligations are jointly issued by the FHLBanks through the Office of Finance, which serves as the FHLBanks’ fiscal agent. As provided by the FHLBank Act or by regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations. In connection with each debt issuance, each FHLBank specifies the type, term and amount of debt it requests to have issued on its behalf. The Office of Finance tracks the amount of debt issued on behalf of each FHLBank. In addition, the FHLBNY separately tracks and records as a liability its specific portion of the consolidated obligations issued and is the primary obligor for that portion of the consolidated obligations issued. The Federal Housing Finance Agency (“Finance Agency”) and the U.S. Secretary of the Treasury have oversight over the issuance of FHLBank debt through the Office of Finance.

Finance Agency regulations require the FHLBanks to maintain, in the aggregate, unpledged qualifying assets equal to the consolidated obligations outstanding. The FHLBNY met the qualifying unpledged asset requirements as follows:


	September 30, 2011			December 31, 2010
Percentage of unpledged qualifying assets to consolidated obligations		109	%		110	%

The following summarizes consolidated obligations (bonds and discount notes) issued by the FHLBNY and outstanding at September 30, 2011 and December 31, 2010 (in thousands):


	September 30, 2011			December 31, 2010
Consolidated obligation bonds-amortized cost	$	65,215,869		$	71,114,070
Fair value basis adjustments		1,053,501			622,593
Fair value basis on terminated hedges		353			501
FVO ^(a)-valuation adjustments and accrued interest		11,126			5,463

Total Consolidated obligation-bonds	$	66,280,849		$	71,742,627


Discount notes-amortized cost	$	22,536,191		$	19,388,317
Fair value basis adjustments		(404	)		—
FVO ^(a)-valuation adjustments and remaining accretion		2,990			3,135


Total Consolidated obligation-discount notes	$	22,538,777		$	19,391,452


(a)		Accounted under the Fair Value Option rules.

Redemption Terms of consolidated obligation bonds

The following is a summary of consolidated bonds outstanding by year of maturity (dollars in thousands):


	September 30, 2011									December 31, 2010
				Weighted									Weighted
				Average			Percentage						Average			Percentage
Maturity	Amount			Rate^(b)			of Total			Amount			Rate^(b)			of Total
One year or less	$	34,940,695			0.57	%		53.68	%	$	33,302,200			0.91	%		46.91	%
Over one year through two years		15,532,480			1.33			23.87			17,037,375			1.12			24.00
Over two years through three years		5,084,635			2.51			7.81			9,529,950			2.21			13.43
Over three years through four years		4,032,980			2.72			6.20			3,689,355			2.82			5.20
Over four years through five years		1,913,200			2.21			2.94			4,001,400			2.36			5.64
Over five years through six years		195,700			1.98			0.30			462,500			3.34			0.65
Thereafter		3,382,965			3.85			5.20			2,959,200			4.04			4.17

		65,082,655			1.26	%		100.00	%		70,981,980			1.46	%		100.00	%

Bond premiums ^(c)		162,572									163,830
Bond discounts ^(c)		(29,358	)								(31,740	)
Fair value basis adjustments		1,053,501									622,593
Fair value basis adjustments on terminated hedges		353									501
FVO ^(a)-valuation adjustments and accrued interest		11,126									5,463

	$	66,280,849								$	71,742,627


(a)		Accounted under the Fair Value Option rules.

(b)		Weighted average rate represents the weighted average contractual coupons of bonds, unadjusted for swaps.

(c)		Amortization of bond premiums and discounts resulted in net reduction of interest expense of $14.6 million and $40.8 million for the three and nine months ended September 30, 2011, and $8.3 million and $22.6 million for the same periods in 2010. Amortization of basis adjustments from terminated hedges were $1.0 million and $3.0 million, and were recorded as an expense for the three and nine months ended September 30, 2011, and $1.7 million and $4.9 million for the same periods in 2010.

In the three months ended September 30, 2011, the Bank did not transfer or retire any consolidated obligation bonds. In the nine months ended September 30, 2011, the Bank transferred and retired $504.7 million of consolidated obligation bonds (including $150.0 million transferred to one or more FHLBanks), resulting in a charge to Net income of $55.2 million. For more information, see Note 18—Related Party transactions. In the three months ended September 30, 2010, the Bank assumed $193.9 million (par amounts) of debt from one or more FHLBanks. All transfers, retirements and debt assumption were at negotiated market rates.

From time to time, the Bank transfers certain bonds at negotiated market rates to other FHLBanks or to unrelated financial institutions to meet the FHLBNY’s asset and liability management objectives. Generally, when debt is transferred in exchange for a cash price that price represents the fair market values of the debt.

Discount Notes

Consolidated 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 discount notes were as follows (dollars in thousands):


	September 30, 2011			December 31, 2010
Par value	$	22,543,278		$	19,394,503

Amortized cost	$	22,536,191		$	19,388,317
Fair value basis adjustments		(404	)		—
Fair value option valuation adjustments		2,990			3,135

Total	$	22,538,777		$	19,391,452

Weighted average interest rate		0.07	%		0.16	%

Note 11. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted retained earnings.

The FHLBanks, including the FHLBNY, have a cooperative structure. To access FHLBNY’s products and services, a financial institution must be approved for membership and purchase capital stock in 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 two sub-classes of Class B capital stock, Class B1 and Class B2. Class B1 stock is issued to meet membership stock purchase requirements. Class B2 stock is issued to meet activity-based requirements. The FHLBNY requires member institutions to maintain Class B1 stock based on a percentage of the member’s mortgage-related assets and Class B2 stock-based on a percentage of advances and acquired member assets, mainly MPF loans, outstanding with the FHLBank and certain commitments outstanding with the FHLBank. Class B1 and Class B2 stockholders have the same voting rights and dividend rates. Members can redeem Class B stock by giving five years notice. The Bank’s capital plan does not provide for the issuance of Class A capital stock.

The FHLBNY is subject to risk-based capital rules. Specifically, the FHLBNY is subject to three 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, 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 Finance Agency may require the FHLBNY to maintain an amount of permanent capital greater than what is required by the risk-based capital requirements. In addition, the FHLBNY is required to maintain at least a 4.0% total capital-to-asset ratio and at least a 5.0% leverage ratio at all times. The leverage ratio is defined as the sum of permanent capital weighted 1.5 times and nonpermanent capital weighted 1.0 time divided by total assets. The FHLBNY was in compliance with the aforementioned capital rules and requirements for all periods presented. The FHLBNY met the “adequately capitalized” classification, which is the highest rating, under the capital rule. However, the Finance Agency has discretion to reclassify an FHLBank and to modify or add to the corrective action requirements for a particular capital classification.

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


	September 30, 2011						December 31, 2010
	Required^(d)			Actual			Required^(d)			Actual
Regulatory capital requirements:
Risk-based capital ^{(a), (e)}	$	521,254		$	5,338,339		$	538,917		$	5,304,272
Total capital-to-asset ratio		4.00	%		5.48	%		4.00	%		5.29	%
Total capital ^(b)	$	3,893,352		$	5,338,339		$	4,008,483		$	5,304,272
Leverage ratio		5.00	%		8.23	%		5.00	%		7.94	%
Leverage capital ^(c)	$	4,866,690		$	8,007,508		$	5,010,604		$	7,956,408


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

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

(c)		Actual “Leverage capital” is Actual “Risk-based capital” times 1.5.

(d)		Required minimum.

(e)		Under regulatory guidelines issued by the Federal Housing finance Agency (“FHFA”), the Bank’s regulator, concurrently with the rating action on August 8, 2011 by S&P lowered the rating of long-term securities issued by the U.S. government, federal agencies, and other entities, including Fannie Mae, Freddie Mac, and the Federal Home Loan Banks, from AAA to AA+. With regard to this action, consistent with guidance provided by the banking regulators with respect to capital rules, the FHFA provides the following guidance for the Federal Home Loan Banks: the risk weights for Treasury securities and other securities issued or guaranteed by the U.S. Government, government agencies, and government-sponsored entities do not change 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 for certain financial instruments with characteristics of both liabilities and equity, 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 and are reclassified to a liability at fair value.

Anticipated redemptions of mandatorily redeemable capital stock in the following table assume the FHLBNY will follow its current practice of daily redemption of capital in excess of the amount required to support advances (in thousands):


	September 30, 2011		December 31, 2010
Redemption less than one year	$	36,162	$	27,875
Redemption from one year to less than three years		4,565		17,019
Redemption from three years to less than five years		69		2,035
Redemption after five years or greater		17,526		16,290

Total	$	58,322	$	63,219

Voluntary and involuntary withdrawal and changes in membership — Changes in membership due to mergers were not significant in any periods in this report. When a member is acquired by a non-member, the FHLBNY reclassifies stock of the member to a liability on the day the member’s charter is dissolved. Under existing practice, the FHLBNY repurchases Class B2 capital stock held by former members if such stock is considered “excess” and is no longer required to support outstanding advances. Class B2 membership stock held by former members is reviewed and repurchased annually.

The following table provides withdrawals and terminations in membership:


	Three months ended September 30,				Nine months ended September 30,
	2011		2010		2011		2010
Voluntary Termination/Notices Received and Pending		—		—		—		1
Involuntary Termination ^(a)		—		—		1		5
Non-member due to merger		—		1		1		1


(a)		The Board of Directors of FHLBank may terminate the membership of any institution that: (1) fails to comply with any requirement of the FHLBank Act, any regulation adopted by the Finance Agency, or any requirement of the Bank’s capital plan; (2) becomes insolvent or otherwise subject to the appointment of a conservator, receiver, or other legal custodian under federal or state law; or (3) would jeopardize the safety or soundness of the FHLBank if it was to remain a member.

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


	Three months ended September 30,					Nine months ended September 30,
	2011		2010			2011			2010
Beginning balance	$	58,221	$	69,569		$	63,219		$	126,294
Capital stock subject to mandatory redemption reclassified from equity		—		42			3,349			30,308
Redemption of mandatorily redeemable capital stock ^(a)		101		(2,263	)		(8,246	)		(89,254	)


Ending balance	$	58,322	$	67,348		$	58,322		$	67,348


Accrued interest payable ^(b)	$	660	$	794		$	660		$	794


(a)		Redemption includes repayment of excess stock.

(b)		The annualized accrual rates were 4.50% for September 30, 2011 and 4.60% for September 30, 2010.

Restricted Retained Earnings — The Joint Capital Enhancement Agreement (Capital Agreement), as amended, is intended to enhance the capital position of each FHLBank. The intent of the Capital Agreement is to allocate that portion of each FHLBank’s earnings historically paid to satisfy its REFCORP obligation to a separate retained earnings account at that FHLBank. Because each FHLBank had been required to contribute 20% of its earnings toward payment of the interest on REFCORP bonds until the REFCORP obligation was satisfied, the Capital Agreement provides that, with full satisfaction of the REFCORP obligation, each FHLBank will contribute 20% of its net income each quarter to a restricted retained earnings account until the balance of that account equals at least one percent of that FHLBank’s average balance of outstanding consolidated obligations for the previous quarter. These restricted retained earnings will not be available to pay dividends. Each FHLBank subsequently amended its capital plan or capital plan submission, as applicable, to implement the provisions of the Capital Agreement, and the Finance Agency approved the capital plan amendments on August 5, 2011. On August 5, 2011, the Finance Agency certified that the FHLBanks have fully satisfied their REFCORP obligation. In accordance with the Capital Agreement, starting in the third quarter of 2011, the FHLBNY allocates 20% of its net income to a separate restricted retained earnings account.

Note 12. Total Comprehensive Income.

Total comprehensive income is comprised of Net income and AOCI, which includes unrealized gains and losses on available-for-sale securities, cash flow hedging activities, employee supplemental retirement plans and the non-credit portion of OTTI on HTM securities.

Changes in AOCI and total comprehensive income were as follows for the three and nine months ended September 30, 2011 and the same periods in 2010 (in thousands):


				Non-credit			Reclassification								Accumulated
	Available-			OTTI on HTM			of Non-credit		Cash			Supplemental			Other					Total
	for-sale			Securities,			OTTI to		Flow			Retirement			Comprehensive			Net		Comprehensive
	Securities			Net of accretion			Net Income		Hedges			Plans			Income (Loss)			Income		Income (loss)
Balance, June 30, 2010	$	20,182		$	(107,534	)	$	5,657	$	(19,614	)	$	(7,877	)	$	(109,186	)
Net change		3,633			3,265			2,569		1,882			—			11,349		$	78,792	$	90,141

Balance, September 30, 2010	$	23,815		$	(104,269	)	$	8,226	$	(17,732	)	$	(7,877	)	$	(97,837	)

Balance, June 30, 2011	$	18,613		$	(95,319	)	$	9,119	$	(20,823	)	$	(11,527	)	$	(99,937	)
Net change		(2,472	)		2,951			979		(85,571	)		—			(84,113	)	$	35,670	$	(48,443	)

Balance, September 30, 2011	$	16,141		$	(92,368	)	$	10,098	$	(106,394	)	$	(11,527	)	$	(184,050	)


				Non-credit			Reclassification								Accumulated
	Available-			OTTI on HTM			of Non-credit		Cash			Supplemental			Other					Total
	for-sale			Securities,			OTTI to		Flow			Retirement			Comprehensive			Net		Comprehensive
	Securities			Net of accretion			Net Income		Hedges			Plans			Income (Loss)			Income		Income (loss)
Balance, December 31, 2009	$	(3,409	)	$	(113,562	)	$	2,992	$	(22,683	)	$	(7,877	)	$	(144,539	)
Net change		27,224			9,293			5,234		4,951			—			46,702		$	189,097	$	235,799

Balance, September 30, 2010	$	23,815		$	(104,269	)	$	8,226	$	(17,732	)	$	(7,877	)	$	(97,837	)

Balance, December 31, 2010	$	22,965		$	(101,560	)	$	8,634	$	(15,196	)	$	(11,527	)	$	(96,684	)
Net change		(6,824	)		9,192			1,464		(91,198	)		—			(87,366	)	$	159,961	$	72,595

Balance, September 30, 2011	$	16,141		$	(92,368	)	$	10,098	$	(106,394	)	$	(11,527	)	$	(184,050	)

Note 13. Earnings Per Share of Capital.

The following table sets forth the computation of earnings per share (dollars in thousands except per share amounts):


	Three months ended September 30,						Nine months ended September 30,
	2011			2010			2011			2010
Net income	$	35,670		$	78,792		$	159,961		$	189,097


Net income available to stockholders	$	35,670		$	78,792		$	159,961		$	189,097

Weighted average shares of capital		46,813			46,800			45,077			48,429
Less: Mandatorily redeemable capital stock		(582	)		(685	)		(587	)		(910	)

Average number of shares of capital used to calculate earnings per share		46,231			46,115			44,490			47,519


Basic earnings per share	$	0.77		$	1.71		$	3.60		$	3.98

Basic and diluted earnings per share of capital are the same. The FHLBNY has no dilutive potential common shares or other common stock equivalents.

Note 14. Employee Retirement Plans.

The Bank participates in the Pentegra Defined Benefit Plan for Financial Institutions (“DB Plan”). The DB Plan is a tax-qualified multiple-employer plan. For accounting purposes, the DB plan is a multi-employer plan that does not segregate its assets, liabilities, or costs by participating employer. The Bank also offers a Benefit Equalization Plan (“BEP”) that restores defined benefits and contribution benefits to those employees who have had their qualified defined benefit and defined contribution benefits limited by IRS regulations. In addition, the Bank offers a Retiree Medical Benefit Plan, which is a postretirement health benefit plan. There are no funded plan assets that have been designated to provide postretirement health benefits.

Retirement Plan Expenses — Summary

The following table presents employee retirement plan expenses ^(a) for the three and nine months ended September 30, 2011 and the same periods in 2010 (in thousands):


	Three months ended September 30,				Nine months ended September 30,
	2011		2010		2011		2010
Defined Benefit Plan	$	492	$	4,000	$	29,484	$	6,623
Benefit Equalization Plan (defined benefit)		695		570		2,085		1,710
Defined Contribution Plan		363		528		1,067		1,137
Postretirement Health Benefit Plan		285		281		854		843


Total retirement plan expenses	$	1,835	$	5,379	$	33,490	$	10,313


(a)		In March 2011, the FHLBNY contributed $24.0 million to its Defined Benefit Plan to eliminate a funding shortfall. Prior to the contribution the DB Plan’s adjusted funding target attainment percentage (“AFTAP”) was 79.9% (80%) based on the actuarial valuation for the DB Plan. The AFTAP equals DB Plan assets divided by plan liabilities. Under the Pension Protection Act of 2006 (“PPA”), if the AFTAP in any future year is less than 80%, then the DB Plan will be restricted in its ability to provided increased benefits and /or lump sum distributions. If the AFTAP in any future year is less than 60%, then benefit accruals will be frozen. The contribution to the DB Plan was charged to Compensation and Benefits for the three months ended March 31, 2011.

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


	Three months ended September 30,						Nine months ended September 30,
	2011			2010			2011			2010
Service cost	$	165		$	163		$	495		$	489
Interest cost		324			279			970			837
Amortization of unrecognized prior service cost		(14	)		(17	)		(40	)		(50	)
Amortization of unrecognized net loss		220			145			660			434


Net periodic benefit cost	$	695		$	570		$	2,085		$	1,710

Key assumptions and other information for the actuarial calculations to determine current period’s benefit obligations for the BEP plan were as follows (dollars in thousands):


	September 30, 2011			December 31, 2010
Discount rate ^(a)		5.35	%		5.35	%
Salary increases		5.50	%		5.50	%
Amortization period (years)		8			8
Benefits paid during the period	$	(1,006	) ^(b)	$	(515	)


(a)		The discount rate was based on the Citigroup Pension Liability Index at December 31, 2010 and adjusted for duration.

(b)		Forecast for the entire year.

Postretirement Health Benefit Plan

The FHLBNY has a postretirement health benefit plan for retirees called the Retiree Medical Benefit Plan. Employees over the age of 55 are eligible provided they have completed ten years of service after age 45. Components of the net periodic benefit cost for the postretirement health benefit plan were (in thousands):


	Three months ended September 30,						Nine months ended September 30,
	2011			2010			2011			2010
Service cost (benefits attributed to service during the period)	$	180		$	157		$	541		$	470
Interest cost on accumulated postretirement health benefit obligation		221			229			662			687
Amortization of loss		66			78			199			235
Amortization of prior service cost/(credit)		(182	)		(183	)		(548	)		(549	)

Net periodic postretirement health benefit cost	$	285		$	281		$	854		$	843

The measurement date used to determine current period’s benefit obligation was December 31, 2010. Key assumptions ^(a) and other information to determine current period’s obligation for the postretirement health benefit plan were as follows:


	September 30, 2011	December 31, 2010
Weighted average discount rate	5.35%	5.35%

Health care cost trend rates:
Assumed for next year	9.00%	9.00%
Pre 65 Ultimate rate	5.00%	5.00%
Pre 65 Year that ultimate rate is reached	2016	2016
Post 65 Ultimate rate	6.00%	6.00%
Post 65 Year that ultimate rate is reached	2016	2016
Alternative amortization methods used to amortize
Prior service cost	Straight - line	Straight - line
Unrecognized net (gain) or loss	Straight - line	Straight - line


(a)		The discount rate was based on the Citigroup Pension Liability Index at December 31, 2010 and adjusted for duration.

Note 15. Derivatives and Hedging Activities.

General — The FHLBNY may enter into interest-rate swaps, swaptions and interest-rate cap and floor agreements to manage its exposure to changes in interest rates. The FHLBNY may also use callable swaps to potentially adjust the effective maturity, repricing frequency or option characteristics of financial instruments to achieve risk management objectives. The FHLBNY uses derivatives in three ways: by designating them as a fair value or cash flow hedge of an underlying financial instrument or a forecasted transaction that qualifies for hedge accounting treatment; by acting as an intermediary; or by designating the derivative as an asset-liability management hedge (i.e. an “economic hedge”). A new cash flow hedging strategy was implemented in the first quarter of 2011 as described below-(See Recently adopted cash flow hedging strategy), and aside from the adoption of the new strategy, there were no significant changes to hedging activities from those described in detail in the audited financial statements included in the FHLBNY’s most recent Form 10-K, filed on March 25, 2011. The following is a summary of the more significant elements of the FHLBNY’s derivative and hedging activities.

Hedging Activities — The Bank documents all relationships between derivative hedging instruments and hedged items, its risk management objectives and strategies for undertaking various hedge transactions, and its method of assessing effectiveness. This process includes linking all derivatives that are designated as fair value or cash flow hedges to: (i) assets and liabilities on the balance sheet, (ii) firm commitments, or (iii) forecasted transactions. The Bank also formally assesses (both at the hedge’s inception and at least quarterly on an ongoing basis) whether the derivatives that are used in hedging transactions have been effective in offsetting changes in the fair value or cash flows of hedged items and whether those derivatives may be expected to remain effective in future periods. The Bank typically uses regression analyses or other statistical analyses to assess the effectiveness of its hedges. When it is determined that a derivative has not been or is not expected to be effective as a hedge, the Bank discontinues hedge accounting prospectively when: (i) it determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item (including hedged items such as firm commitments or forecasted transactions); (ii) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (iii) it is no longer probable that the forecasted transaction will occur in the originally expected period; (iv) a hedged firm commitment no longer meets the definition of a firm commitment; (v) it determines that designating the derivative as a hedging instrument is no longer appropriate; or (vi) it decides to use the derivative to offset changes in the fair value of other derivatives or instruments carried at fair value.

Intermediation — As an additional service to its members, the Bank enters into offsetting interest rate exchange agreements, acting as an intermediary between exactly offsetting derivatives transactions with members and other counterparties. The offsetting derivatives used in intermediary activities do not receive hedge accounting treatment and are separately marked to market through earnings. The net result of the accounting for these derivatives does not significantly affect the operating results of the Bank.

Recently adopted cash flow hedging strategy — Beginning in the first quarter of 2011, the Bank hedges the rolling issuance of discount notes as a cash flow hedge. In these hedges, the Bank enters into interest rate swap agreements with unrelated swap dealers and designates the swaps as hedges of the variable quarterly interest payments on the discount note borrowing program. In this program, the Bank issues a series of discount notes with 91-day terms over periods, generally about 10 years. The FHLBNY will continue issuing new 91-day discount notes over the terms of the swaps as each outstanding discount note matures. The interest rate swaps require a settlement every 91 days, and the variable rate, which is based on the 3-month LIBOR, is reset immediately following each payment. The swaps are expected to eliminate the risk of variability of cash flows for each forecasted discount note issuances every 91 days. The FHLBNY performs prospective hedge effectiveness analysis at inception of the hedges. The FHLBNY also performs an on-going retrospective hedge effectiveness analysis at least every quarter to provide assurance that the hedges will remain highly effective. The fair values of the interest rate swaps are recorded in AOCI and ineffectiveness, if any, is measured using the “hypothetical derivative method” and recorded in earnings. The effective portion remains in AOCI. The Bank monitors the credit standing of the derivative counterparty each quarter.

Hedged Items

Consolidated Obligations — The FHLBNY manages the risk arising from changing market prices and volatility of a consolidated obligation by matching the cash inflows on the derivative with the cash outflow on the consolidated obligation. The hedge transactions may be executed upon or after the issuance of consolidated obligations. When such transactions qualify for hedge accounting, they are treated as fair value hedges under the accounting standards for derivatives and hedging. The FHLBNY has also elected to use the FVO for certain consolidated obligation bonds and discount notes, and these liabilities were measured under the accounting standards for FVO at fair value. To mitigate the volatility resulting from changes in fair values of bonds and notes designated under the FVO, the Bank has also executed interest rate swaps as economic hedges of the bonds and notes.

Anticipated Debt Issuance — The Bank may enter into interest rate swaps for the anticipated issuances of fixed rate bonds to hedge the cost of funding. These hedges are designated and accounted for as cash flow hedges. The interest rate swap is terminated upon issuance of the fixed rate bond, with the effective portion of the realized gain or loss on the interest rate swap recorded in other comprehensive income. Realized gains and losses reported in AOCI are recognized as earnings in the periods in which earnings are affected by the cash flows of the fixed rate bonds.

Advances — The Bank offers a wide array of advance structures to meet members’ funding needs. These advances may have maturities up to 30 years, with fixed or adjustable rates and may include early termination features or options. The Bank may use derivatives to adjust the repricing and/or options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a fixed rate advance or a variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and embedded options, if any, in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset. With a putable fixed-rate advance borrowed by a member, the FHLBNY may purchase from the member a put option that enables the FHLBNY to effectively convert an advance from fixed-rate to floating-rate by exercising the put option and terminating the advance at par on the pre-determined put exercise dates. Typically, the FHLBNY will exercise the option in a rising interest rate environment. The FHLBNY may hedge a putable advance by entering into a cancelable interest rate swap in which the FHLBNY pays to the swap counterparty fixed-rate cash flows and receives variable-rate cash flows. The swap counterparty can cancel the swap on the put date, which would normally occur in a rising rate environment, and the FHLBNY can terminate the advance and extend additional credit to the member on new terms. When such transactions qualify for hedge accounting, they are treated as fair value hedges under the accounting standards for derivatives and hedging. The Bank has not elected the FVO for any advances. The FHLBNY also offers callable advance to members, which is a fixed-rate advance borrowed by a member. With the advance, the FHLBNY sells to the member a call option that enables the member to terminate the advance at pre-determined exercise dates. The FHLBNY hedges such advances by executing interest rate swaps with cancellable option features that would allow the FHLBNY to terminate the swaps also at pre-determined option exercise dates.

Firm Commitment Strategies — Mortgage delivery commitments are considered derivatives under the accounting standards for derivatives and hedging, and the FHLBNY accounts for them as freestanding derivatives, recording the fair values of mortgage loan delivery commitments on the balance sheet with an offset to current period earnings. Fair values were insignificant for all periods reported. The FHLBNY may also hedge a firm commitment for a forward starting advance through the use of an interest-rate swap. If a hedged firm commitment no longer qualifies as a fair value hedge, the hedge would be terminated and net gains and losses would be recognized in current period earnings.

Credit Risk

The contractual or notional amount of derivatives reflects the involvement of the FHLBNY in the various classes of financial instruments, but it does not measure the credit risk exposure of the FHLBNY, and the maximum credit exposure of the FHLBNY is substantially less than the notional amount. The maximum credit risk is the estimated cost of replacing favorable interest-rate swaps, forward agreements, mandatory delivery contracts for mortgage

loans and purchased caps and floors (“derivatives”) if the counterparty defaults and the related collateral, if any, is of insufficient value to the FHLBNY.

The FHLBNY uses collateral agreements to mitigate counterparty credit risk in derivatives. When the FHLBNY has more than one derivative transaction outstanding with a counterparty, and a legally enforceable master netting agreement exists with the counterparty, the exposure (less collateral held) represents the appropriate measure of credit risk. Substantially all derivative contracts are subject to master netting agreements or other right of offset arrangements. At September 30, 2011 and December 31, 2010, the Bank’s credit exposure, representing derivatives in a fair value net gain position, was approximately $53.4 million and $22.0 million after the recognition of any cash collateral held by the FHLBNY. The credit exposures at September 30, 2011 and December 31, 2010 included $16.9 million and $6.1 million in net interest receivable.

Derivative counterparties are also exposed to credit losses resulting from potential nonperformance risk of the FHLBNY with respect to derivative contracts. Derivative counterparties’ exposure to the FHLBNY is measured by derivatives in a fair value loss position from the FHLBNY’s perspective, which from the counterparties’ perspective is a gain. At September 30, 2011 and December 31, 2010, derivatives in a net unrealized loss position, which represented the counterparties’ exposure to the potential non-performance risk of the FHLBNY, were $399.4 million and $954.9 million after deducting $3.6 billion and $2.7 billion of cash collateral pledged by the FHLBNY at those dates to the exposed counterparties. However, the FHLBNY is also exposed to the risk of derivative counterparties defaulting on the terms of the derivative contracts and failing to return cash deposited with counterparties. If such an event were to occur, the FHLBNY would be forced to replace derivatives by executing similar derivative contracts with other counterparties. To the extent that the FHLBNY receives cash from the replacement trades that is less than the amount of cash deposited with the defaulting counterparty, the FHLBNY’s cash pledged as a deposit is exposed to credit risk of the defaulting counterparty. Derivative counterparties holding the FHLBNY’s cash as pledged collateral were rated Single-A or better at September 30, 2011, and based on credit analyses and collateral requirements, the management of the FHLBNY does not anticipate any credit losses on its derivative agreements.

Many of the Credit Support Amount (“CSA”) agreements with swap dealers stipulate that so long as the FHLBNY retains its GSE status, ratings downgrades would not result in the posting of additional collateral. Other CSA agreements would require the FHLBNY to post additional collateral based solely on an adverse change in the credit rating of the FHLBNY by Standard & Poor’s (“S&P”) and Moody’s. In the event of a split rating, the lower rating will apply. On August 8, 2011, S&P downgraded the credit rating of the FHLBank long-term debt from AAA to AA+/Negative and lowered one notch the credit ratings of those FHLBanks rated AAA (including the Federal Home Loan Bank of New York) to AA+/Negative. On August 2, 2011, Moody’s affirmed the AAA status of the FHLBank’s long-term debt and the AAA credit rating of the FHLBNY.

On the assumption that the FHLBNY will retain its status as a GSE, the FHLBNY estimates that the one notch downgrade of FHLBNY’s credit rating by S&P would have permitted swap dealers and counterparties to make additional collateral calls of up to $94.4 million at September 30, 2011. Additional collateral postings upon downgrade were estimated based on the factors in the individual collateral posting provisions of the CSA with each counterparty and the exposures as of September 30, 2011. The aggregate fair value of the FHLBNY’s derivative instruments that were in a net liability position at September 30, 2011 was approximately $399.4 million.

The following table summarizes outstanding notional balances and estimated fair values of the derivatives outstanding (in thousands):


	September 30, 2011
	Notional Amount of
	Derivatives		Derivative Assets			Derivative Liabilities
Fair value of derivative instruments
Derivatives designated in hedging relationships
Interest rate swaps-fair value hedges	$	85,694,024	$	1,191,621		$	4,919,416
Interest rate swaps-cash flow hedges		858,000		—			92,119

Total derivatives in hedging instruments		86,552,024		1,191,621			5,011,535


Derivatives not designated as hedging instruments
Interest rate swaps		33,076,237		12,500			26,461
Interest rate caps or floors		1,900,000		13,510			21
Mortgage delivery commitments		28,327		232			18
Other*		550,000		10,637			10,091

Total derivatives not designated as hedging instruments		35,554,564		36,879			36,591


Total derivatives before netting and collateral adjustments	$	122,106,588		1,228,500			5,048,126

Netting adjustments				(1,019,177	)		(1,019,177	)
Cash collateral and related accrued interest				(155,950	)		(3,629,555	)

Total collateral and netting adjustments				(1,175,127	)		(4,648,732	)


Total reported on the Statements of Condition			$	53,373		$	399,394


	December 31, 2010
	Notional Amount of
	Derivatives		Derivative Assets			Derivative Liabilities
Fair value of derivative instruments
Derivatives designated in hedging relationships
Interest rate swaps-fair value hedges	$	93,840,813	$	944,807		$	4,661,102
Interest rate swaps-cash flow hedges		—		—			—

Total derivatives in hedging instruments		93,840,813		944,807			4,661,102


Derivatives not designated as hedging instruments
Interest rate swaps		24,400,547		23,911			12,543
Interest rate caps or floors		1,900,000		41,881			107
Mortgage delivery commitments		29,993		9			523
Other*		550,000		6,069			5,392

Total derivatives not designated as hedging instruments		26,880,540		71,870			18,565


Total derivatives before netting and collateral adjustments	$	120,721,353		1,016,677			4,679,667

Netting adjustments				(994,667	)		(994,667	)
Cash collateral and related accrued interest				—			(2,730,102	)

Total collateral and netting adjustments				(994,667	)		(3,724,769	)


Total reported on the Statements of Condition			$	22,010		$	954,898


*		Other: Comprised of swaps intermediated for members.

The categories — “Fair value”, “Mortgage delivery commitment”, and “Cash Flow” hedges — represent derivative transactions in hedging relationships. If any such hedges do not qualify for hedge accounting under the accounting standards for derivatives and hedging, they are classified as “Economic” hedges.

Earnings impact of derivatives and hedging activities

The FHLBNY carries all derivative instruments on the Statements of Condition at fair value as Derivative Assets and Derivative Liabilities. If derivatives meet the hedging criteria under hedge accounting rules, including effectiveness measures, changes in fair value of the associated hedged financial instrument attributable to the risk being hedged (benchmark interest-rate risk, which is LIBOR for the FHLBNY) may also be recorded so that some or all of the unrealized fair value gains or losses recognized on the derivatives are offset by corresponding unrealized gains or losses on the associated hedged financial assets and liabilities. The net differential between fair value changes of the derivatives and the hedged items represents hedge ineffectiveness. Hedge ineffectiveness represents the amounts by which the changes in the fair value of the derivatives differ from the changes in the fair values of the hedged items or the variability in the cash flows of forecasted transactions. The net ineffectiveness from hedges that qualify under hedge accounting rules are recorded as a Net realized and unrealized gain (loss) on derivatives and hedging activities in Other income (loss) in the Statements of Income. If derivatives do not qualify for the hedging criteria under hedge accounting rules, but are executed as economic hedges of financial assets or liabilities under a FHLBNY-approved hedge strategy, only the fair value changes of the derivatives are recorded as a Net realized and unrealized gain (loss) on derivatives and hedging activities in Other income (loss) in the Statements of Income.

When the FHLBNY elects to measure certain debt under the accounting designation for FVO, the Bank will typically execute a derivative as an economic hedge of the debt. Fair value changes of the derivatives are recorded as a Net realized and unrealized gain (loss) on derivatives and hedging activities in Other income. Fair value changes of the debt designated under the FVO are also recorded in Other income (loss) as an unrealized (loss) or gain from Instruments held at fair value.

Components of hedging gains and losses from derivatives and hedging activities for the three and nine months ended September 30, 2011 are summarized below (in thousands):


	Three months ended September 30,
	2011												2010
										Effect of													Effect of
										Derivatives on													Derivatives on
	Gain (Loss) on			Gain (Loss) on			Earnings			Net Interest				Gain (Loss) on			Gain (Loss) on			Earnings			Net Interest
	Derivative			Hedged Item			Impact			Income ^(a)				Derivative			Hedged Item			Impact			Income ^(a)
Derivatives designated as hedging instruments
Interest rate swaps
Advances	$	(1,050,548	)	$	1,073,284		$	22,736		$	(430,967	)		$	(880,233	)	$	881,448		$	1,215		$	(478,422	)
Consolidated obligations-bonds		375,271			(381,479	)		(6,208	)		113,714				206,540			(208,047	)		(1,507	)		137,824
Consolidated obligations-discount notes		239			404			643			324				—			—			—			—

Net gain (loss) related to fair value hedges		(675,038	)		692,209			17,171			(316,929	)			(673,693	)		673,401			(292	)		(340,598	)

Cash flow hedges		(119	)		—			(119	)		(4,828	)			—			—			—			—

Derivatives not designated as hedging instruments
Interest rate swaps
Advances		(489	)		—			(489	)		—				(1,203	)		—			(1,203	)		—
Consolidated obligations-bonds		(14,456	)		—			(14,456	)		—				6,753			—			6,753			—
Consolidated obligations-discount notes		30			—			30			—				(231	)		—			(231	)		—
Member intermediation		(43	)		—			(43	)		—				202			—			202			—
Balance sheet-macro hedges swaps		—			—			—							—			—			—			—
Accrued interest-swaps		2,624			—			2,624			—				2,381			—			2,381			—
Accrued interest-intermediation		47			—			47			—				42			—			42			—
Caps and floors
Advances		(19	)		—			(19	)		—				(19	)		—			(19	)		—
Balance sheet		(15,184	)		—			(15,184	)		—				(14,618	)		—			(14,618	)		—
Accrued interest-options		—			—			—			—				—			—			—			—
Mortgage delivery commitments		1,788			—			1,788			—				257			—			257			—
Swaps economically hedging instruments designated under FVO
Consolidated obligations-bonds		(5,732	)		—			(5,732	)		—				8,025			—			8,025			—
Consolidated obligations-discount notes		(418	)		—			(418	)		—				1,674			—			1,674			—
Accrued interest on swaps		6,192			—			6,192			—				5,473			—			5,473			—

Net gain (loss) related to derivatives not designated as hedging instruments		(25,660	)		—			(25,660	)		—				8,736			—			8,736			—

Total	$	(700,817	)	$	692,209		$	(8,608	)	$	(321,757	)		$	(664,957	)	$	673,401		$	8,444		$	(340,598	)


	Nine months ended September 30,
	2011													2010
										Effect of													Effect of
										Derivatives on													Derivatives on
	Gain (Loss) on			Gain (Loss) on			Earnings			Net Interest				Gain (Loss) on			Gain (Loss) on			Earnings			Net Interest
	Derivative			Hedged Item			Impact			Income ^(a)				Derivative			Hedged Item			Impact			Income ^(a)
Derivatives designated as hedging instruments
Interest rate swaps
Advances	$	(1,034,404	)	$	1,113,710		$	79,306		$	(1,281,665	)		$	(2,020,332	)	$	2,020,771		$	439		$	(1,519,392	)
Consolidated obligations-bonds		428,266			(431,173	)		(2,907	)		381,400				492,043			(489,735	)		2,308			483,049
Consolidated obligations-discount notes		239			404			643			324				—			—			—			—

Net gain (loss) related to fair value hedges		(605,899	)		682,941			77,042			(899,941	)			(1,528,289	)		1,531,036			2,747			(1,036,343	)

Cash flow hedges		(119	)		—			(119	)		(6,222	)			—			—			—			—

Derivatives not designated as hedging instruments
Interest rate swaps
Advances		(319	)		—			(319	)		—				(3,164	)		—			(3,164	)		—
Consolidated obligations-bonds		(13,226	)		—			(13,226	)		—				(29,762	)		—			(29,762	)		—
Consolidated obligations-discount notes		30			—			30			—				(4,331	)		—			(4,331	)		—
Member intermediation		(130	)		—			(130	)		—				357			—			357			—
Balance sheet-macro hedges swaps		—			—			—			—				173			—			173			—
Accrued interest-swaps		7,751			—			7,751			—				46,900			—			46,900			—
Accrued interest-intermediation		140			—			140			—				91			—			91			—
Caps and floors
Advances		(56	)		—			(56	)		—				(418	)		—			(418	)		—
Balance sheet		(28,284	)		—			(28,284	)		—				(47,901	)		—			(47,901	)		—
Accrued interest-options		—			—			—			—				(2,598	)		—			(2,598	)		—
Mortgage delivery commitments		2,327			—			2,327			—				811			—			811			—
Swaps economically hedging instruments designated under FVO
Consolidated obligations-bonds		(3,754	)		—			(3,754	)		—				10,381			—			10,381			—
Consolidated obligations-discount notes		(1,476	)		—			(1,476	)		—				2,448			—			2,448			—
Accrued interest on swaps		22,680			—			22,680			—				20,922			—			20,922			—

Net gain (loss) related to derivatives not designated as hedging instruments		(14,317	)		—			(14,317	)		—				(6,091	)		—			(6,091	)		—

Total	$	(620,335	)	$	682,941		$	62,606		$	(906,163	)		$	(1,534,380	)	$	1,531,036		$	(3,344	)	$	(1,036,343	)


(a)		Represents interest expense and income generated from hedge qualifying interest-rate swaps that were recorded with interest income and expense of the hedged — bonds, discount notes, and advances.

Cash Flow Hedges

The effect of cash flow hedge related derivative instruments were as follows (in thousands):


	Three months ended September 30,
	2011									2010
	AOCI									AOCI
	Gains/(Losses)									Gains/(Losses)
				Location:	Amount		Ineffectiveness						Location:	Amount		Ineffectiveness
	Recognized in			Reclassified to	Reclassified to		Recognized in			Recognized in			Reclassified to	Reclassified to		Recognized in
	AOCI ^{(c), (d)}			Earnings ^(c)	Earnings ^(c)		Earnings			AOCI^{(c), (d)}			Earnings ^(c)	Earnings ^(c)		Earnings
The effect of cash flow hedge related to Interest rate swaps
Advances	$	—		Interest Income	$	—	$	—		$	—		Interest Income	$	—	$	—
Consolidated obligations-bonds ^(a)		(5,767	)	Interest Expense		986		(119	)		—		Interest Expense		1,882		—
Consolidated obligations-discount notes ^(b)		(80,790	)	Interest Expense		—		—			—		Interest Expense		—		—

Total	$	(86,557	)		$	986	$	(119	)	$	—			$	1,882	$	—


	Nine months ended September 30,
	2011									2010
	AOCI									AOCI
	Gains/(Losses)									Gains/(Losses)
				Location:	Amount		Ineffectiveness						Location:	Amount		Ineffectiveness
	Recognized in			Reclassified to	Reclassified to		Recognized in			Recognized in			Reclassified to	Reclassified to		Recognized in
	AOCI ^{(c), (d)}			Earnings ^(c)	Earnings ^(c)		Earnings			AOCI^{(c), (d)}			Earnings ^(c)	Earnings ^(c)		Earnings
The effect of cash flow hedge related to Interest rate swaps
Advances	$	—		Interest Income	$	—	$	—		$	—		Interest Income	$	—	$	—
Consolidated obligations-bonds ^(a)		(2,063	)	Interest Expense		2,984		(119	)		(472	)	Interest Expense		5,423		—
Consolidated obligations-discount notes ^(b)		(92,119	)	Interest Expense		—		—			—		Interest Expense		—		—

Total	$	(94,182	)		$	2,984	$	(119	)	$	(472	)		$	5,423	$	—


(a)		Hedges of anticipated issuance of debt — The maximum period of time that the Bank typically hedges its exposure to the variability in future cash flows for forecasted transactions is between three and nine months. There were no open contracts at September 30, 2011 and December 31, 2010. The amounts in AOCI from terminated and open cash flow hedges representing net unrecognized losses were $14.3 million and $15.2 million at September 30, 2011 and December 31, 2010. At September 30, 2011, it is expected that over the next 12 months about $3.8 million of net losses recorded in AOCI will be recognized as a yield adjustment to consolidated bond interest expense and a charge to earnings.

(b)		Hedges of discount note in rolling issuances — The notional amount of the interest rate swap outstanding under this program was $858.0 million at September 30, 2011 and the fair value recorded in AOCI was an unrealized loss of $92.1 million. The program commenced in the first quarter of 2011. The maximum period of time that the Bank typically hedges its exposure to the variability in future cash flows under this strategy is 10 years.

(c)		Effective portion.

(d)		Represents basis adjustments from cash flow hedging transactions recorded in AOCI.

There were no material amounts that were reclassified into earnings as a result of the discontinuance of cash flow hedges because 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.

Note 16. Fair Values of Financial Instruments.

Items Measured at Fair Value on a Recurring Basis

The following table presents for each hierarchy level (see note below) the FHLBNY’s assets and liabilities that were measured at fair value on its Statements of Condition (in thousands):


	September 30, 2011
											Netting
	Total			Level 1		Level 2			Level 3		Adjustments
Assets
Available-for-sale securities
GSE/U.S. agency issued MBS	$	3,336,268		$	—	$	3,336,268		$	—	$	—
Equity and bond funds		8,822			—		8,822			—		—
Derivative assets^(a)
Interest-rate derivatives		53,141			—		1,228,268			—		(1,175,127	)
Mortgage delivery commitments		232			—		232			—		—

Total assets at fair value	$	3,398,463		$	—	$	4,573,590		$	—	$	(1,175,127	)


Liabilities
Consolidated obligations:
Discount notes (to the extent FVO is elected)	$	(4,125,354	)	$	—	$	(4,125,354	)	$	—	$	—
Bonds (to the extent FVO is elected) ^(b)		(14,341,126	)		—		(14,341,126	)		—		—
Derivative liabilities^(a)
Interest-rate derivatives		(399,376	)		—		(5,048,108	)		—		4,648,732
Mortgage delivery commitments		(18	)		—		(18	)		—		—


Total liabilities at fair value	$	(18,865,874	)	$	—	$	(23,514,606	)	$	—	$	4,648,732


	December 31, 2010
											Netting
	Total			Level 1		Level 2			Level 3		Adjustments
Assets
Available-for-sale securities
GSE/U.S. agency issued MBS	$	3,980,135		$	—	$	3,980,135		$	—	$	—
Equity and bond funds		9,947			—		9,947			—		—
Derivative assets^(a)
Interest-rate derivatives		22,001			—		1,016,668			—		(994,667	)
Mortgage delivery commitments		9			—		9			—		—

Total assets at fair value	$	4,012,092		$	—	$	5,006,759		$	—	$	(994,667	)


Liabilities
Consolidated obligations:
Discount notes (to the extent FVO is elected)	$	(956,338	)	$	—	$	(956,338	)	$	—	$	—
Bonds (to the extent FVO is elected) ^(b)		(14,281,463	)		—		(14,281,463	)		—		—
Derivative liabilities^(a)
Interest-rate derivatives		(954,375	)		—		(4,679,144	)		—		3,724,769
Mortgage delivery commitments		(523	)		—		(523	)		—		—


Total liabilities at fair value	$	(16,192,699	)	$	—	$	(19,917,468	)	$	—	$	3,724,769


		Level 1 — Quoted prices in active markets for identical assets.

		Level 2 — Significant other observable inputs.

		Level 3 — Significant unobservable inputs.

(a)		Derivative assets and liabilities were interest-rate contracts, including de minimis amount of mortgage delivery contracts. Based on an analysis of the nature of the risk, the presentation of derivatives as a single class is appropriate.

(b)		Based on its analysis of the nature of risks of the FHLBNY’s debt measured at fair value, the FHLBNY has determined that presenting the debt as a single class is appropriate.

Items Measured at Fair Value on a Nonrecurring Basis

Certain assets and liabilities would be measured at fair value on a nonrecurring basis. For the FHLBNY, such items may include mortgage loans in foreclosure, mortgage loans and held-to-maturity securities written down to fair value and real estate owned. At September 30, 2011 and December 31, 2010, the Bank measured and recorded the fair values of HTM securities deemed to be OTTI on a nonrecurring basis; that is, they were not measured at fair value on an ongoing basis but are subject to fair value adjustments in certain circumstances (e.g. when there is evidence of OTTI). For held-to-maturity securities that were previously credit impaired but no additional credit impairment were deemed necessary, the securities were recorded at their carrying values and not re-adjusted to their fair values.

The following table summarizes the fair values of MBS for which a non-recurring change in fair value was recorded (in thousands):


	September 30, 2011
	Fair Value		Level 1		Level 2		Level 3
Held-to-maturity securities
Private-label residential mortgage-backed securities	$	11,215	$	—	$	—	$	11,215

Total	$	11,215	$	—	$	—	$	11,215


	December 31, 2010
	Fair Value		Level 1		Level 2		Level 3
Held-to-maturity securities
Private-label residential mortgage-backed securities	$	15,827	$	—	$	—	$	15,827

Total	$	15,827	$	—	$	—	$	15,827

Estimated fair values — Summary Tables

The carrying values and estimated fair values of the FHLBNY’s financial instruments were as follows (in thousands):


	September 30, 2011				December 31, 2010
	Carrying		Estimated		Carrying		Estimated
Financial Instruments	Value		Fair Value		Value		Fair Value
Assets
Cash and due from banks	$	4,744,196	$	4,744,196	$	660,873	$	660,873
Federal funds sold		4,964,000		4,964,005		4,988,000		4,987,976
Available-for-sale securities		3,345,090		3,345,090		3,990,082		3,990,082
Held-to-maturity securities
Long-term securities		8,821,023		9,047,808		7,761,192		7,898,300
Advances		73,779,170		73,809,259		81,200,336		81,292,598
Mortgage loans held-for-portfolio, net		1,356,912		1,440,251		1,265,804		1,328,787
Accrued interest receivable		243,347		243,347		287,335		287,335
Derivative assets		53,373		53,373		22,010		22,010
Other financial assets		2,336		2,336		3,981		3,981
Liabilities
Deposits		2,520,937		2,520,948		2,454,480		2,454,488
Consolidated obligations
Bonds		66,280,849		66,465,235		71,742,627		71,926,039
Discount notes		22,538,777		22,540,144		19,391,452		19,391,743
Mandatorily redeemable capital stock		58,322		58,322		63,219		63,219
Accrued interest payable		190,748		190,748		197,266		197,266
Derivative liabilities		399,394		399,394		954,898		954,898
Other financial liabilities		70,230		70,230		58,818		58,818

Fair Value Option Disclosures

The following table summarizes the activity related to consolidated obligation bonds and discount notes for which the Bank elected the Fair Value Option (in thousands):


	Three months ended September 30,												Nine months ended September 30,
	2011			2010			2011			2010			2011			2010			2011			2010
	Bonds						Discount notes						Bonds						Discount notes
Balance, beginning of the period	$	(9,452,247	)	$	(9,763,246	)	$	(736,746	)	$	(1,753,688	)	$	(14,281,463	)	$	(6,035,741	)	$	(956,338	)	$	—
New transactions elected for fair value option		(8,450,000	)		(6,601,000	)		(3,386,076	)		—			(25,095,000	)		(17,771,000	)		(4,022,558	)		(1,752,185	)
Maturities and terminations		3,565,000			5,600,000			—			—			25,041,000			13,060,000			853,397			—
Changes in fair value		(3,800	)		576			(1,373	)		(521	)		(9,753	)		(11,118	)		(821	)		(1,494	)
Changes in accrued interest/unaccreted balance		(79	)		2,434			(1,159	)		(1,692	)		4,090			(3,377	)		966			(2,222	)

Balance, end of the period	$	(14,341,126	)	$	(10,761,236	)	$	(4,125,354	)	$	(1,755,901	)	$	(14,341,126	)	$	(10,761,236	)	$	(4,125,354	)	$	(1,755,901	)

The following table presents the change in fair value included in the Statements of Income for the consolidated obligation bonds and discount notes designated in accordance with the accounting standards on the Fair Value Option for financial assets and liabilities (in thousands):


	Three months ended September 30,
	2011									2010
				Net Gain(Loss)			Total Change in Fair						Net Gain(Loss)			Total Change in Fair
	Interest			Due to Changes in			Value Included in Current			Interest			Due to Changes in			Value Included in Current
	Expense			Fair Value			Period Earnings			Expense			Fair Value			Period Earnings
Consolidated obligations-bonds	$	(8,093	)	$	(3,800	)	$	(11,893	)	$	(10,926	)	$	576		$	(10,350	)
Consolidated obligations-discount notes		(1,159	)		(1,373	)		(2,532	)		(1,692	)		(521	)		(2,213	)

	$	(9,252	)	$	(5,173	)	$	(14,425	)	$	(12,618	)	$	55		$	(12,563	)


	Nine months ended September 30,
	2011									2010
				Net Gain(Loss)			Total Change in Fair						Net Gain(Loss)			Total Change in Fair
	Interest			Due to Changes in			Value Included in Current			Interest			Due to Changes in			Value Included in Current
	Expense			Fair Value			Period Earnings			Expense			Fair Value			Period Earnings
Consolidated obligations-bonds	$	(30,732	)	$	(9,753	)	$	(40,485	)	$	(30,011	)	$	(11,118	)	$	(41,129	)
Consolidated obligations-discount notes		(2,577	)		(821	)		(3,398	)		(2,222	)		(1,494	)		(3,716	)

	$	(33,309	)	$	(10,574	)	$	(43,883	)	$	(32,233	)	$	(12,612	)	$	(44,845	)

The following table compares the aggregate fair value, the aggregate remaining contractual fair value and aggregate remaining contractual principal balance outstanding of consolidated obligation bonds and discount notes for which the Fair Value Option has been elected (in thousands):


	September 30, 2011
	Principal Balance		Fair Value		Fair Value Over/(Under)
Consolidated obligations-bonds ^(a)	$	14,330,000	$	14,341,126	$	11,126
Consolidated obligations-discount notes ^(b)		4,122,363		4,125,354		2,991

	$	18,452,363	$	18,466,480	$	14,117


	December 31, 2010
	Principal Balance		Fair Value		Fair Value Over/(Under)
Consolidated obligations-bonds ^(a)	$	14,276,000	$	14,281,463	$	5,463
Consolidated obligations-discount notes ^(b)		953,203		956,338		3,135

	$	15,229,203	$	15,237,801	$	8,598


	September 30, 2010
	Principal Balance		Fair Value		Fair Value Over/(Under)
Consolidated obligations-bonds	$	10,751,000	$	10,761,236	$	10,236
Consolidated obligations-discount notes		1,752,185		1,755,901		3,716

	$	12,503,185	$	12,517,137	$	13,952


(a)		Relative to December 31, 2010, fair values of fixed-rate bonds at September 30, 2011 were in greater unrealized loss positions due to decline in observed market yields relative to contractual yields of the bonds. Fair values of fixed-rate liabilities will move inversely as market yields decline.

(b)		Compared to December 31, 2010, the FHLBNY designated greater amounts of discount notes under the FVO designation at September 30, 2011 because in a relatively volatile interest rate environment in 2011, it was not possible to predict with a high-degree of certainty that the hedges of short-term discount notes would remain highly effective hedges through their term to maturity. Absent that assurance, the discount notes could not qualify for hedge accounting.

Notes to Estimated Fair Values of Financial Instruments

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 are 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.

There were no significant changes to fair value measurement processes from those described in the audited financial statements included in the FHLBNY’s most recent Form 10-K, filed on March 25, 2011.

Note 17. Commitments and Contingencies.

Consolidated obligations — Joint and several liability. Although the FHLBNY is primarily liable only for its portion of consolidated obligations (i.e. those consolidated obligations issued on its behalf and those that have been transferred/assumed from other FHLBanks), it is also jointly and severally liable with the other FHLBanks for the payment of principal and interest on all of the consolidated obligations issued by the FHLBanks. The par amounts of the outstanding consolidated obligations of all 12 FHLBanks were $0.7 trillion and $0.8 trillion at September 30, 2011 and December 31, 2010.

As discussed more fully in Note 20 to the audited financial statements in the Bank’s most recent Form 10-K filed on March 25, 2011, the FHLBNY does not believe that it will be called upon to pay the consolidated obligations of another FHLBank in the future. Accordingly, the FHLBNY has not recognized a liability for its joint and several obligations related to other FHLBanks’ consolidated obligations at September 30, 2011 and December 31, 2010.

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. Outstanding standby letters of credit were approximately $3.3 billion and $2.3 billion as of September 30, 2011 and December 31, 2010, and had original terms of up to 15 years, with a final expiration in 2019. Standby letters of credit are fully collateralized. Unearned fees on standby letters of credit are recorded in Other liabilities, and were not significant as of September 30, 2011 and December 31, 2010.

MPF Program - Under the MPF program, the Bank was unconditionally obligated to purchase $28.3 million and $30.0 million of mortgage loans at September 30, 2011 and December 31, 2010. Commitments are generally for periods not to exceed 45 business days. Such commitments were recorded as derivatives at their fair value under the accounting standards for derivatives and hedging. In addition, the FHLBNY had entered into conditional agreements under “Master Commitments” with its members in the MPF program to purchase mortgage loans in aggregate of $898.8 million and $630.6 million as of September 30, 2011 and December 31, 2010.

Future benefit payments for the BEP and the postretirement health benefit plan are not considered significant. The Bank expects to fund $7.8 million over the next 12 months towards the Defined Benefit Plan, a non-contributory pension plan.

The following table summarizes contractual obligations and contingencies as of September 30, 2011 (in thousands):


	September 30, 2011
	Payments Due or Expiration Terms by Period
			Greater Than		Greater Than
	Less Than		One Year		Three Years		Greater Than
	One Year		to Three Years		to Five Years		Five Years		Total
Contractual Obligations
Consolidated obligations-bonds at par ^(a)	$	34,940,695	$	20,617,115	$	5,946,180	$	3,578,665	$	65,082,655
Mandatorily redeemable capital stock ^(a)		36,162		4,565		69		17,526		58,322
Premises (lease obligations) ^(b)		3,060		5,635		4,674		2,337		15,706

Total contractual obligations		34,979,917		20,627,315		5,950,923		3,598,528		65,156,683

Other commitments
Standby letters of credit		3,190,869		20,666		38,157		3,861		3,253,553
Consolidated obligations-bonds/ discount notes traded not settled		500,000		—		—		—		500,000
Open delivery commitments (MPF)		28,327		—		—		—		28,327

Total other commitments		3,719,196		20,666		38,157		3,861		3,781,880

Total obligations and commitments	$	38,699,113	$	20,647,981	$	5,989,080	$	3,602,389	$	68,938,563


(a)		Callable bonds contain exercise date or a series of exercise dates that may result in a shorter redemption period. Mandatorily redeemable capital stock is categorized by the dates at which the corresponding member obligations mature. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock, under which stock may not be redeemed until the later of five years from the date the member becomes a nonmember or the related advance matures.

(b)		Immaterial amount of commitments for equipment leases are not included.

The FHLBNY does not anticipate any credit losses from its off-balance sheet commitments and accordingly no provision for losses is required.

Impact of the bankruptcy of Lehman Brothers

On September 15, 2008, Lehman Brothers Holdings, Inc. (“LBHI”), the parent company of Lehman Brothers Special Financing, Inc. (“LBSF”) and a guarantor of LBSF’s obligations, filed for protection under Chapter 11 of the United States Bankruptcy Code in the United States Bankruptcy Court in the Southern District of New York. LBSF filed for protection under Chapter 11 in the same court on October 3, 2008. LBSF was a counterparty to FHLBNY on multiple derivative transactions under an International Swap Dealers Association, Inc. master agreement with a total notional amount of $16.5 billion at the time of termination of the Bank’s derivative transactions with LBSF. The net amount that was due to the Bank after giving effect to obligations that were due to LBSF was approximately $65 million. The FHLBNY filed proofs of claim in the amount of approximately $65 million as creditors of LBSF and LBHI in connection with the bankruptcy proceedings. The Bank fully reserved the LBSF receivables as the bankruptcies of LBHI and LBSF make the timing and the amount of any recovery uncertain.

As previously reported, the Bank received a Derivatives ADR Notice from LBSF dated July 23, 2010, making a Demand as of the date of the Notice of approximately $268 million owed to LBSF by the Bank. Subsequently, in accordance with the Alternative Dispute Resolution Procedure Order entered by the Bankruptcy Court dated September 17, 2009 (“Order”), the Bank responded to LBSF on August 23, 2010, denying LBSF’s Demand. LBSF served a reply on September 7, 2010, effectively reiterating its position. The mediation conducted pursuant to the Order commenced on December 8, 2010 and concluded without settlement on March 17, 2011. Pursuant to the Order, positions taken by the parties in the ADR process are confidential.

While the Bank believes that LBSF’s position is without merit, the amount the Bank actually recovers or pays will ultimately be decided in the course of the bankruptcy proceedings.

Note 18. Related Party Transactions.

The FHLBNY is a cooperative and its members own almost all of the stock of the Bank. Any stock 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. The Bank considers its transactions with its members and former member stockholders as related party transactions in addition to transactions with other FHLBanks, the Office of Finance and the Finance Agency. All transactions with all members, including those whose officers may serve as directors of the FHLBNY, are at terms no more favorable than comparable transactions with other members.

Debt Transfers

For the three and nine months ended September 30, 2011, the Bank did not assume debt from another FHLBank. During the 2010 third quarter, the bank assumed debt from another FHLB totaling $193.9 million (par amounts). There was no transfer of consolidated obligation bonds to other FHLBanks or assumption of debt in the prior two quarters of 2010. The Bank did not transfer debt to another FHLBank for the three months ended September 30, 2011 and the same period in 2010. For the nine months ended September 30, 2011, the Bank transferred $150.0 million of its consolidated bonds to another FHLBank. No bonds were transferred by the FHLBNY to another FHLBank in the same period in 2010.

Advances sold or transferred

No advances were transferred/sold to the FHLBNY or from the FHLBNY to another FHLBank in any periods in this report.

MPF Program

In the MPF program, the FHLBNY may participate out certain portions of its purchases of mortgage loans from its members. Transactions are at market rates. Loans outstanding at September 30, 2011 that had been participated by the FHLBNY to the FHLBank of Chicago on a cumulative basis were $71.7 million and $81.2 million at December 31, 2010. Since 2004, the FHLBNY has not shared its purchases with the FHLBank of Chicago. Fees paid to the FHLBank of Chicago for program services were $0.1 million and $0.4 million for the three and nine months ended September 30, 2011 and $0.1 million and $0.4 million in the same periods in 2010.

Mortgage-backed Securities

No mortgage-backed securities were acquired from other FHLBanks during the periods in this report.

Intermediation

Notional amounts of $550.0 million were outstanding at September 30, 2011 and December 31, 2010 in which the FHLBNY acted as an intermediary to sell derivatives to members, and also include offsetting identical transactions with unrelated derivatives counterparties. Net fair value exposures of these transactions at September 30, 2011 and December 31, 2010 were not material. The intermediated derivative transactions were fully collateralized.

Loans to other Federal Home Loan Banks

In the nine months ended September 30, 2011 and 2010, FHLBNY extended $300.0 million and $27.0 million to another FHLBank. In the three months ended September 30, 2011, the FHLBNY extended a loan for a total of $200.0 million to another FHLBank. There was no loan made in the three months ended September 30, 2010 to another FHLBank. Generally, loans made to other FHLBanks are uncollateralized. All loans are at market rates. The impact to Net interest income from such loans was not significant in any period in this report.

The following tables summarize outstanding balances with related parties at September 30, 2011 and December 31, 2010, and transactions for the three and nine months ended September 30, 2011 and the same periods in 2010 (in thousands):

Related Party: Outstanding Assets, Liabilities and Capital


	September 30, 2011				December 31, 2010
	Related		Unrelated		Related		Unrelated
Assets
Cash and due from banks	$	—	$	4,744,196	$	—	$	660,873
Interest-bearing deposits		—		—		—		—
Federal funds sold		—		4,964,000		—		4,988,000
Available-for-sale securities		—		3,345,090		—		3,990,082
Held-to-maturity securities
Long-term securities		—		8,821,023		—		7,761,192
Advances		73,779,170		—		81,200,336		—
Mortgage loans ^(a)		—		1,356,912		—		1,265,804
Accrued interest receivable		213,005		30,342		256,617		30,718
Premises, software, and equipment		—		14,115		—		14,932
Derivative assets ^(b)		—		53,373		—		22,010
Other assets ^(c)		213		12,354		113		21,393


Total assets	$	73,992,388	$	23,341,405	$	81,457,066	$	18,755,004


Liabilities and capital
Deposits	$	2,520,937	$	—	$	2,454,480	$	—
Consolidated obligations		—		88,819,626		—		91,134,079
Mandatorily redeemable capital stock		58,322		—		63,219		—
Accrued interest payable		7		190,741		10		197,256
Affordable Housing Program ^(d)		129,779		—		138,365		—
Payable to REFCORP		—		—		—		21,617
Derivative liabilities ^(b)		—		399,394		—		954,898
Other liabilities ^(e)		64,008		55,012		49,484		54,293


Total liabilities	$	2,773,053	$	89,464,773	$	2,705,558	$	92,362,143


Capital		5,095,967		—		5,144,369		—


Total liabilities and capital	$	7,869,020	$	89,464,773	$	7,849,927	$	92,362,143


(a)		Includes insignificant amounts of mortgage loans purchased from members of another FHLBank.

(b)		Derivative assets and liabilities include insignificant fair values due to intermediation activities on behalf of members.

(c)		Includes insignificant amounts of miscellaneous assets that are considered related party.

(d)		Represents funds not yet disbursed to eligible programs.

(e)		Related column includes member pass-through reserves at the Federal Reserve Bank.

Related Party: Income and Expense transactions


	Three months ended
	September 30, 2011				September 30, 2010
	Related		Unrelated		Related		Unrelated
Interest income
Advances	$	85,440	$	—	$	173,459	$	—
Interest-bearing deposits ^(a)		—		700		—		1,699
Federal funds sold		—		1,547		—		2,253
Available-for-sale securities		—		7,045		—		7,580
Held-to-maturity securities
Long-term securities		—		70,021		—		84,242
Mortgage loans ^(b)		—		15,832		—		16,333
Loans to other FHLBanks and other		1		—		—		—


Total interest income	$	85,441	$	95,145	$	173,459	$	112,107


Interest expense
Consolidated obligations	$	—	$	103,578	$	—	$	158,553
Deposits		240		—		959		—
Mandatorily redeemable capital stock		660		—		879		—
Cash collateral held and other borrowings		—		25		—		14


Total interest expense	$	900	$	103,603	$	1,838	$	158,567


Service fees and other	$	1,579	$	—	$	1,297	$	—


	Nine months ended
	September 30, 2011				September 30, 2010
	Related		Unrelated		Related		Unrelated
Interest income
Advances	$	359,640	$	—	$	477,303	$	—
Interest-bearing deposits ^(a)		—		2,221		—		3,766
Federal funds sold		—		5,694		—		6,600
Available-for-sale securities		—		23,205		—		23,128
Held-to-maturity securities
Long-term securities		—		210,352		—		274,686
Mortgage loans ^(b)		—		47,160		—		49,689
Loans to other FHLBanks and other		1		—		—		—


Total interest income	$	359,641	$	288,632	$	477,303	$	357,869


Interest expense
Consolidated obligations	$	—	$	335,479	$	—	$	481,738
Deposits		1,068		—		2,813		—
Mandatorily redeemable capital stock		1,873		—		3,051		—
Cash collateral held and other borrowings		—		56		—		14


Total interest expense	$	2,941	$	335,535	$	5,864	$	481,752


Service fees and other	$	4,314	$	—	$	3,472	$	—


(a)		Includes de minimis amounts of interest income from MPF service provider.

(b)		Includes de minimis amounts of mortgage interest income from loans purchased from members of another FHLBank.

Note 19. 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 FHLBNY’s advance portfolio and its source of revenues.

The top ten advance holders at September 30, 2011, December 31, 2010 and September 30, 2010 and associated interest income for the periods then ended are summarized as follows (dollars in thousands):


	September 30, 2011
					Percentage of
			Par		Total Par Value			Interest Income
	City	State	Advances		of Advances			Three months		Nine months
Hudson City Savings Bank, FSB*	Paramus	NJ	$	13,725,000		19.9	%	$	124,938	$	405,413
Metropolitan Life Insurance Company	New York	NY		11,780,000		17.1			66,990		201,027
New York Community Bank*	Westbury	NY		7,693,157		11.1			76,937		228,261
MetLife Bank, N.A.	Convent Station	NJ		4,589,500		6.6			25,911		70,173
The Prudential Insurance Co. of America	Newark	NJ		2,500,000		3.6			14,088		43,064
Valley National Bank	Wayne	NJ		2,104,500		3.0			22,187		68,373
Investors Bank	Short Hills	NJ		2,101,993		3.0			14,861		39,500
Astoria Federal Savings and Loan Assn.	Lake Success	NY		1,944,000		2.8			17,803		55,313
New York Life Insurance Company	New York	NY		1,500,000		2.2			3,800		10,701
Doral Bank	San Juan	PR		1,391,420		2.0			6,464		24,479

Total			$	49,329,570		71.3	%	$	373,979	$	1,146,304


*		At September 30, 2011, officer of member bank also served on the Board of Directors of the FHLBNY.


	December 31, 2010
					Percentage of
			Par		Total Par Value			Twelve months
	City	State	Advances		of Advances			Interest Income
Hudson City Savings Bank, FSB*	Paramus	NJ	$	17,025,000		22.1	%	$	705,743
Metropolitan Life Insurance Company	New York	NY		12,555,000		16.3			294,526
New York Community Bank*	Westbury	NY		7,793,165		10.1			307,102
MetLife Bank, N.A.	Convent Station	NJ		3,789,500		4.9			61,036
Manufacturers and Traders Trust Company	Buffalo	NY		2,758,000		3.6			42,979
The Prudential Insurance Co. of America	Newark	NJ		2,500,000		3.3			77,544
Astoria Federal Savings and Loan Assn.	Lake Success	NY


	Page
PART I. FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS (Unaudited):
Statements of Condition (Unaudited) as of September 30, 2011 and December 31, 2010		3
Statements of Income (Unaudited) for the Three and Nine Months ended September 30, 2011 and 2010		4
Statements of Capital (Unaudited) for the Nine Months ended September 30, 2011 and 2010		5
Statements of Cash Flows (Unaudited) for the Nine Months ended September 30, 2011 and 2010		6
Notes to Financial Statements (Unaudited)		8

ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS		40

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK		88

ITEM 4T. CONTROLS AND PROCEDURES		91

PART II. OTHER INFORMATION		92

Item 1. LEGAL PROCEEDINGS		92

Item 1A. RISK FACTORS		92

Item 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS		92

Item 3. DEFAULTS UPON SENIOR SECURITIES		92

Item 4. (REMOVED AND RESERVED)		92

Item 5. OTHER INFORMATION		92

Item 6. EXHIBITS		93
EX-31.01
EX-31.02
EX-32.01
EX-32.02
EX-101 INSTANCE DOCUMENT
EX-101 SCHEMA DOCUMENT
EX-101 CALCULATION LINKBASE DOCUMENT
EX-101 LABELS LINKBASE DOCUMENT
EX-101 PRESENTATION LINKBASE DOCUMENT
EX-101 DEFINITION LINKBASE DOCUMENT

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