10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

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

For the quarterly period ended September 30, 2022

or

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

For the transition period from               to              

Commission file number: 000-51397

FEDERAL HOME LOAN BANK OF NEW YORK

(Exact name of registrant as specified in its charter)

Federally chartered corporation	13-6400946
(State or other jurisdiction of	(I.R.S. Employer
incorporation or organization)	Identification No.)
101 Park Avenue, New York, New York	10178
(Address of principal executive offices)	(Zip Code)

(212) 681-6000

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:

Title of each class	Trading Symbol(s)	Name of each exchange on which registered
None	N/A	N/A

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

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐

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

Large accelerated filer ☐	Accelerated filer ☐
Non-accelerated filer ☒	Smaller reporting company ☐
	Emerging growth company ☐

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

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

The number of shares outstanding of issuer’s Class B capital stock as of October 31, 2022 was 55,695,326.

FEDERAL HOME LOAN BANK OF NEW YORK

FORM 10-Q FOR THE QUARTERLY PERIOD ENDED SEPTEMBER 30, 2022

Table of Contents

	Page
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements (Unaudited):
Statements of Condition (Unaudited) as of September 30, 2022 and December 31, 2021	3
Statements of Income (Unaudited) for the Three and Nine Months Ended September 30, 2022 and 2021	4
Statements of Comprehensive Income (Unaudited) for the Three and Nine Months Ended September 30, 2022 and 2021	5
Statements of Capital (Unaudited) for the Three and Nine Months Ended September 30, 2022 and 2021	6
Statements of Cash Flows (Unaudited) for the Nine Months Ended September 30, 2022 and 2021	7
Notes to Financial Statements (Unaudited)	9
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations	61
Item 3. Quantitative and Qualitative Disclosures about Market Risk	114
Item 4. Controls and Procedures	118
PART II. OTHER INFORMATION	119
Item 1. Legal Proceedings	119
Item 1A. Risk Factors	119
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds	119
Item 3. Defaults Upon Senior Securities	119
Item 4. Mine Safety Disclosures	119
Item 5. Other Information	119
Item 6. Exhibits	120
Signatures	121

2

Federal Home Loan Bank of New York

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

As of September 30, 2022 and December 31, 2021

	September 30, 2022		December 31, 2021
Assets
Cash and due from banks (Note 3)	$	21,331	$	21,653
Interest-bearing deposits (Note 4)		825,000		675,000
Securities purchased under agreements to resell (Note 4)		—		1,200,000
Federal funds sold (Note 4)		10,400,000		7,230,000
Trading securities (Note 5) (Includes $571,641 pledged as collateral at September 30, 2022 and $367,110 at December 31, 2021)		7,831,926		5,821,380
Equity Investments (Note 6)		75,767		96,124
Available-for-sale securities, amortized cost of $7,070,604 at September 30, 2022 and $6,391,584 at December 31, 2021 (Note 7)		6,823,561		6,547,421
Held-to-maturity securities, net of allowance for credit losses of $316 at September 30, 2022 and $340 at December 31, 2021 (Note 8) (Includes $2,202 pledged as collateral at September 30, 2022 and $2,453 at December 31, 2021)		9,557,304		9,328,665
Advances (Note 9) (Includes $0 at September 30, 2022 and December 31, 2021 at fair value under the fair value option)		91,870,505		71,536,402
Mortgage loans held-for-portfolio, net of allowance for credit losses of $1,711 at September 30, 2022 and $2,135 at December 31, 2021 (Note 10)		2,136,432		2,319,864
Accrued interest receivable		270,063		123,258
Premises, software, and equipment		77,433		83,815
Operating lease right-of-use assets (Note 19)		61,676		65,624
Derivative assets (Note 17)		172,706		297,504
Other assets		6,479		11,632
Total assets	$	130,130,183	$	105,358,342
Liabilities and capital
Liabilities
Deposits (Note 11)
Interest-bearing demand	$	1,102,215	$	1,283,072
Non-interest-bearing demand		12,474		38,166
Total deposits		1,114,689		1,321,238
Consolidated obligations, net (Note 12)
Bonds (Includes $3,943,103 at September 30, 2022 and $7,386,074 at December 31, 2021 at fair value under the fair value option)		72,174,319		54,829,401
Discount notes (Includes $0 at September 30, 2022 and December 31, 2021 at fair value under the fair value option)		49,029,855		42,197,259
Total consolidated obligations		121,204,174		97,026,660
Mandatorily redeemable capital stock (Note 14)		10,753		1,959
Accrued interest payable		251,102		126,990
Affordable Housing Program (Note 13)		124,609		137,638
Derivative liabilities (Note 17)		26,459		36,512
Other liabilities		141,148		182,466
Operating lease liabilities (Note 19)		74,788		79,026
Total liabilities		122,947,722		98,912,489
Commitments and Contingencies (Notes 14, 17 and 19)
Capital (Note 14)
Capital stock ($100 par value), putable, issued and outstanding shares: 53,306 at September 30, 2022 and 45,008 at December 31, 2021		5,330,611		4,500,785
Retained earnings
Unrestricted		1,148,628		1,103,585
Restricted (Note 14)		879,963		827,380
Total retained earnings		2,028,591		1,930,965
Total accumulated other comprehensive income (loss)		(176,741)		14,103
Total capital		7,182,461		6,445,853
Total liabilities and capital	$	130,130,183	$	105,358,342

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

3

Federal Home Loan Bank of New York

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

For the Three and Nine Months Ended September 30, 2022 and 2021

	Three months ended				Nine months ended
	September 30,				September 30,
	2022		2021		2022		2021
Interest income
Advances, net (Note 9)	$	565,508	$	116,229	$	914,365	$	379,624
Interest-bearing deposits (Note 4)		12,348		311		16,705		908
Securities purchased under agreements to resell (Note 4)		135		9		156		485
Federal funds sold (Note 4)		69,375		2,825		93,454		6,989
Trading securities (Note 5)		25,581		16,871		63,334		85,249
Available-for-sale securities (Note 7)		49,631		18,346		100,821		50,511
Held-to-maturity securities (Note 8)		67,167		55,606		176,475		179,479
Mortgage loans held-for-portfolio (Note 10)		16,461		17,206		49,499		53,966
Loans to other FHLBanks (Note 20)		156		—		228		1
Total interest income		806,362		227,403		1,415,037		757,212
Interest expense
Consolidated obligation bonds (Note 12)		379,553		84,488		619,568		267,323
Consolidated obligation discount notes (Note 12)		253,400		14,593		350,424		59,590
Deposits (Note 11)		4,538		116		6,364		291
Mandatorily redeemable capital stock (Note 14)		271		25		1,162		87
Cash collateral held and other borrowings		47		4		165		41
Total interest expense		637,809		99,226		977,683		327,332
Net interest income before provision for credit losses		168,553		128,177		437,354		429,880
Provision (Reversal) for credit losses		(271)		(1,652)		(417)		(4,609)
Net interest income after provision for credit losses		168,824		129,829		437,771		434,489
Other income (loss)
Service fees and other		4,271		4,334		12,630		12,893
Instruments held under the fair value option gains (losses) (Note 18)		96,734		315		214,163		4,248
Derivative gains (losses) (Note 17)		78,161		3,263		195,406		2,872
Trading securities gains (losses) (Note 5)		(151,188)		(16,115)		(408,218)		(77,298)
Equity investments gains (losses) (Note 6)		(4,015)		(482)		(20,204)		6,357
Litigation settlement		—		33		2,202		33
Losses from extinguishment of debt		—		—		(99)		—
Total other income (loss)		23,963		(8,652)		(4,120)		(50,895)
Other expenses
Operating		19,185		16,943		51,176		49,361
Compensation and benefits		21,963		23,275		66,868		70,755
Finance Agency and Office of Finance		5,259		5,514		16,081		16,520
Other expenses		2,406		2,323		7,270		10,591
Total other expenses		48,813		48,055		141,395		147,227
Income before assessments		143,974		73,122		292,256		236,367
Affordable Housing Program Assessments (Note 13)		14,425		7,314		29,342		23,645
Net income	$	129,549	$	65,808	$	262,914	$	212,722
Basic earnings per share (Note 15)	$	2.61	$	1.41	$	5.52	$	4.21

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

4

Federal Home Loan Bank of New York

Statements of Comprehensive Income — Unaudited (In Thousands)

For the Three and Nine Months Ended September 30, 2022 and 2021

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Net Income	$	129,549	$	65,808	$	262,914	$	212,722
Other Comprehensive income (loss)
Net change in unrealized gains (losses) on available-for-sale securities		(322,694)		(38,820)		(968,702)		(104,131)
Net change in non-credit accretion portion of held-to-maturity securities
Non-credit portion of other-than-temporary impairment gains (losses)		—		—		—		—
Reclassification of non-credit portion included in net income		—		—		—		—
Accretion of non-credit portion		115		355		506		2,874
Total net change in non-credit portion of other-than-temporary impairment losses on held-to-maturity securities		115		355		506		2,874
Net change due to hedging activities
Cash flow hedges (a)		74,571		16,309		210,192		82,378
Fair value hedges (b)		210,016		22,022		565,822		64,832
Total net change due to hedging activities		284,587		38,331		776,014		147,210
Net change in pension and postretirement benefits		446		4,788		1,338		8,091
Total other comprehensive income (loss)		(37,546)		4,654		(190,844)		54,044
Total comprehensive income (loss)	$	92,003	$	70,462	$	72,070	$	266,766

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

(b) Represents cumulative hedge valuation basis adjustments on fair value hedges of Available-for-Sale (AFS) securities under the partial-term hedging provisions of ASU 2017-12. Amounts represent change in the benchmark rate of the hedged securities. Changes in the benchmark rate on ASC 815 qualifying fair value hedges are recorded through earnings with an offset to the carrying values of the hedged AFS securities. Changes in marked-to-market values of AFS securities are recorded to adjust the amortized cost of AFS securities with an offset in AOCI. In AOCI, the marked-to-market gains and losses are reported separately from ASC 815 valuation changes due to changes in the benchmark rate.

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

5

Federal Home Loan Bank of New York

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

For the Three and Nine Months Ended September 30, 2022 and 2021

										Accumulated
	Capital Stock (a)									Other
	Class B			Retained Earnings						Comprehensive		Total
	Shares	Par Value		Unrestricted		Restricted		Total		Income (Loss)		Capital
Balance, June 30, 2021	48,673	$	4,867,291	$	1,119,935	$	803,658	$	1,923,593	$	29,643	$	6,820,527
Proceeds from issuance of capital stock	5,327		532,698		—		—		—		—		532,698
Repurchase/redemption of capital stock	(9,529)		(952,865)		—		—		—		—		(952,865)
Cash dividends ($1.14 per share) on capital stock	—		—		(59,468)		—		(59,468)		—		(59,468)
Comprehensive income (loss)	—		—		52,646		13,162		65,808		4,654		70,462
Balance, September 30, 2021	44,471	$	4,447,124	$	1,113,113	$	816,820	$	1,929,933	$	34,297	$	6,411,354
Balance, June 30, 2022	49,392	$	4,939,244	$	1,108,765	$	854,053	$	1,962,818	$	(139,195)	$	6,762,867
Proceeds from issuance of capital stock	20,379		2,037,959		—		—		—		—		2,037,959
Repurchase/redemption of capital stock	(16,434)		(1,643,430)		—		—		—		—		(1,643,430)
Shares reclassified to mandatorily redeemable capital stock	(31)		(3,162)		—		—		—		—		(3,162)
Cash dividends ($1.37 per share) on capital stock	—		—		(63,776)		—		(63,776)		—		(63,776)
Comprehensive income (loss)	—		—		103,639		25,910		129,549		(37,546)		92,003
Balance, September 30, 2022	53,306	$	5,330,611	$	1,148,628	$	879,963	$	2,028,591	$	(176,741)	$	7,182,461

										Accumulated
	Capital Stock (a)									Other
	Class B			Retained Earnings						Comprehensive		Total
	Shares	Par Value		Unrestricted		Restricted		Total		Income (Loss)		Capital
Balance, December 31, 2020	53,669	$	5,366,830	$	1,135,341	$	774,275	$	1,909,616	$	(19,747)	$	7,256,699
Proceeds from issuance of capital stock	19,430		1,943,031		—		—		—		—		1,943,031
Repurchase/redemption of capital stock	(28,627)		(2,862,652)		—		—		—		—		(2,862,652)
Shares reclassified to mandatorily redeemable capital stock	(1)		(85)		—		—		—		—		(85)
Cash dividends ($3.57 per share) on capital stock	—		—		(192,405)		—		(192,405)		—		(192,405)
Comprehensive income (loss)	—		—		170,177		42,545		212,722		54,044		266,766
Balance, September 30, 2021	44,471	$	4,447,124	$	1,113,113	$	816,820	$	1,929,933	$	34,297	$	6,411,354
Balance, December 31, 2021	45,008	$	4,500,785	$	1,103,585	$	827,380	$	1,930,965	$	14,103	$	6,445,853
Proceeds from issuance of capital stock	50,507		5,050,740		—		—		—		—		5,050,740
Repurchase/redemption of capital stock	(39,593)		(3,959,285)		—		—		—		—		(3,959,285)
Shares reclassified to mandatorily redeemable capital stock	(2,616)		(261,629)		—		—		—		—		(261,629)
Cash dividends ($3.64 per share) on capital stock	—		—		(165,288)		—		(165,288)		—		(165,288)
Comprehensive income (loss)	—		—		210,331		52,583		262,914		(190,844)		72,070
Balance, September 30, 2022	53,306	$	5,330,611	$	1,148,628	$	879,963	$	2,028,591	$	(176,741)	$	7,182,461

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

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

6

Federal Home Loan Bank of New York

Statements of Cash Flows — Unaudited (In Thousands)

For the Nine Months Ended September 30, 2022 and 2021

	Nine months ended September 30,
	2022		2021
Operating activities
Net Income	$	262,914	$	212,722
Adjustments to reconcile net income to net cash provided by operating activities:
Depreciation and amortization:
Net premiums and discounts on consolidated obligations, investments, mortgage loans and other adjustments (a)		352,456		2,764
Concessions on consolidated obligations		1,851		2,457
Premises, software, and equipment		12,987		9,285
Provision (Reversal) for credit losses		(417)		(4,609)
Change in net fair value adjustments on derivatives and hedging activities (b)		1,345,213		391,552
Net realized and unrealized (gains) losses on trading securities		408,218		77,298
Change in fair value on Equity Investments		20,904		(3,821)
Change in fair value adjustments on financial instruments held at fair value		(214,163)		(4,248)
Losses from extinguishment of debt		99		—
Net change in:
Accrued interest receivable		(147,161)		68,909
Derivative assets due to accrued interest		(413,161)		30,507
Derivative liabilities due to accrued interest		393,114		(92,877)
Other assets		5,067		4,573
Affordable Housing Program liability		(13,029)		(4,024)
Accrued interest payable		124,112		7,278
Other liabilities		(13,403)		43
Total adjustments		1,862,687		485,087
Net cash provided by (used in) operating activities	$	2,125,601	$	697,809
Investing activities
Net change in:
Interest-bearing deposits	$	(1,016,074)	$	77,474
Securities purchased under agreements to resell		1,200,000		4,650,000
Federal funds sold		(3,170,000)		(2,348,000)
Deposits with other FHLBanks		(80)		11
Premises, software, and equipment		(6,605)		(13,415)
Trading securities:
Purchased		(4,617,549)		(2,412,758)
Repayments		1,405,000		9,682,153
Proceeds from sales		794,624		—
Equity Investments:
Purchased		(5,094)		(10,090)
Proceeds from sales		4,546		2,466
Available-for-sale securities:
Purchased		(1,574,267)		(889,263)
Repayments		319,270		131,431
Held-to-maturity securities:
Long-term securities
Purchased		(1,366,544)		(194,332)
Repayments		1,131,732		1,839,345
Advances:
Principal collected		624,025,008		293,707,453
Made		(646,401,490)		(272,889,999)
Mortgage loans held-for-portfolio:
Principal collected		235,420		627,228
Purchased		(57,198)		(152,000)
Proceeds from sales of REO		668		102
Net cash provided by (used in) investing activities	$	(29,098,633)	$	31,807,806

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

7

Federal Home Loan Bank of New York

Statements of Cash Flows — Unaudited (In Thousands)

For the Nine Months Ended September 30, 2022 and 2021

	Nine months ended September 30,
	2022		2021
Financing activities
Net change in:
Deposits and other borrowings	$	(230,697)	$	(388,243)
Derivative contracts with financing element		(496)		(2,320)
Consolidated obligation bonds:
Proceeds from issuance		42,859,039		44,016,429
Payments for maturing and early retirement		(23,043,771)		(52,134,214)
Payments on bonds (transferred to) or assumed from other FHLBanks (c)		—		173,984
Consolidated obligation discount notes:
Proceeds from issuance		583,949,985		467,348,752
Payments for maturing		(577,234,682)		(492,184,472)
Capital stock:
Proceeds from issuance of capital stock		5,050,740		1,943,031
Payments for repurchase/redemption of capital stock		(3,959,285)		(2,862,652)
Redemption of mandatorily redeemable capital stock		(252,835)		(906)
Cash dividends paid (d)		(165,288)		(192,405)
Net cash provided by (used in) financing activities	$	26,972,710	$	(34,283,016)
Net increase (decrease) in cash and due from banks		(322)		(1,777,401)
Cash and due from banks at beginning of the period (e)		21,653		1,896,155
Cash and due from banks at end of the period (e)	$	21,331	$	118,754
Supplemental disclosures:
Interest paid	$	208,628	$	463,257
Interest paid for Discount Notes (f)	$	151,259	$	62,406
Affordable Housing Program payments (g)	$	42,371	$	27,669
Transfers of mortgage loans to real estate owned	$	232	$	315
Capital stock subject to mandatory redemption reclassified from equity	$	261,629	$	85
Transfers of HTM securities to AFS that are not other-than-temporarily impaired (h)	$	—	$	1,376,212
AFS HFA bonds were tendered and re-issued from LIBOR to SOFR index (i)	$	—	$	686,340

Notes to Supplemental Disclosure:

(a) In the Statements of Cash Flows, we adjust discount note accretion expense within operating cash flows and an offset to financing activities in the period discount notes mature. The net adjustment to accretion expense was larger in the nine months ended September 30, 2022, compared to the same period of 2021 in parallel with greater usage of discount notes in the nine months ended September 30, 2022. As a result, the impact on operating cash flows was also larger in the nine months ended September 30, 2022.

(b) Net cash provided by (used in) operating activities were also impacted by derivatives and hedging activities. In the nine months ended September 30, 2022, derivatives and hedging activities provided $1.3 billion in cash flows; in the nine months ended September 30, 2021, derivatives and hedging activities provided $391.6 million in cash flows.

(c) For information about bonds (transferred to) or assumed from FHLBanks and other related party transactions, see Note 20. Related Party Transactions.

(d) Does not include payments to holders of mandatorily redeemable capital stock. Such payments are considered as interest expense and reported within operating cash flows.

(e) Cash and due from Banks includes pass-thru reserves at the Federal Reserve Bank of New York. See Note 3. Cash and Due from Banks for further information. Interest-bearing deposits are considered investments and are not included in cash or cash equivalent.

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

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

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

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

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

8

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Background

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

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

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

Note 1.          Critical Accounting Policies and Estimates.

Basis of Presentation

The accompanying financial statements of the FHLBNY have been prepared in accordance with Generally Accepted Accounting Principles in the United States (GAAP) and with the instructions provided by the Securities and Exchange Commission (SEC).

The FHLBNY has identified certain accounting policies that it believes are critical because they require management to make subjective judgments about matters that are inherently uncertain and because of the likelihood that materially different amounts would be reported under different conditions or by using different assumptions. The most significant of these critical policies include derivatives and hedging relationships, estimating the fair values of assets and liabilities, estimating the allowance for credit losses on the advance, mortgage loan portfolios and our portfolios of investment securities.

Financial Instruments with Legal Right of Offset

The FHLBNY has derivative instruments, and securities purchased under agreements to resell that are subject to enforceable master netting arrangements. The FHLBNY has elected to offset its derivative asset and liability positions, as well as cash collateral received or pledged, when it has the legal right of offset under these master agreements. The FHLBNY did not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented.

The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments, any excess cash collateral received or pledged is recognized as a derivative liability or as a derivative asset based on the terms of the individual master agreement between the FHLBNY and its derivative counterparty. For securities purchased under agreements to resell, the FHLBNY did not have any unsecured amounts based on the fair value of the related collateral held at the end of the periods presented. Additional information about the FHLBNY’s investments in securities purchased under agreements to resell is disclosed in Note 4. Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell.

Fair Value Measurements

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

9

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

For more information about methodologies used by the FHLBNY to validate vendor pricing, and fair value “Levels” associated with assets and liabilities recorded on the FHLBNY’s Statements of Condition, see financial statements, Note 18. Fair Values of Financial Instruments in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2021 filed on March 22, 2022.

Derivatives and Hedging Activities

The FHLBNY hedges the risk of changes in benchmark interest rates under the provisions of ASC 815. In years prior to 2021, the benchmark rate has been primarily LIBOR; LIBOR rates are derived from an average of submissions by panel banks. The underlying market that LIBOR seeks to reflect has become increasingly less active. The Alternative Reference Rates Committee (ARRC) in the U.S. has settled on the establishment of the Secured Overnight Financing Rate (SOFR) as its recommended alternative to U.S. dollar LIBOR. The United Kingdom’s Financial Conduct Authority (FCA), which oversees LIBOR, has announced that the FCA would no longer persuade or compel member panel banks to make LIBOR quote submissions for U.S. dollar LIBOR setting of 1-month and 3-month, two key LIBOR settings, so that submissions will permanently cease after June 30, 2023.

The FASB has issued two Accounting Standards Updates to Reference Rate Reform (Topic 848), Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which have outlined permissible expedients offered under Topic 848, including a one-time election to transfer/sell LIBOR-indexed securities in our held-to-maturity portfolio. In the first quarter of 2021, we began to negotiate with derivative counterparties to transform LIBOR-indexed interest rate swaps to SOFR-OIS and have now made the transition to SOFR-OIS for a significant number of bilaterally executed derivatives. We will continue to review opportunities to execute the transition, the timing would be determined by the economic feasibility of transitioning to SOFR. In October 2020, we elected to adopt SOFR as the appropriate index to discount interest rate swaps cleared by the two major central swap clearing organizations as a start to an orderly transition to SOFR.

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

In compliance with accounting standards, primarily ASC 815, the accounting for derivatives requires us to: (i) assess whether the hedging relationship qualifies for hedge accounting; (ii) assess whether an embedded derivative should be bifurcated; (iii) calculate the effectiveness of the hedging relationship; (iv) evaluate exposure associated with counterparty credit risk; and (v) estimate the fair value of the derivatives. Our assumptions and judgments include subjective estimates based on information available as of the date of the financial statements and could be materially different based on different assumptions, calculations, and estimates.

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

10

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

For more information about the FHLBNY’s hedging activities, see financial statements, Note 17. Derivatives and Hedging Activities in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2021 filed on March 22, 2022.

Credit Losses under ASU 2016-13

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

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

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

Note 7.Available-for-Sale Securities.

Note 8.Held-to-Maturity Securities.

Note 9.Advances.

Note 10.Mortgage Loans Held-for-Portfolio.

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

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

Recently Adopted Accounting Standards

Standard	Summary of Guidance	Effective Date	Effects on the Financial Statements
Facilitation of the Effects of Reference Rate Reform on Financial Reporting ASU 2020-04, Reference Rate Reform (Topic 848) Issued in March 2020, as amended in January 2021	This guidance provides temporary optional guidance to ease the potential burden in accounting for reference rate reform. The new guidance provides optional expedients and exceptions for applying generally accepted accounting principles to transactions affected by reference rate reform if certain criteria are met. These transactions include: ● contract modifications, ● hedging relationship, and ● sale or transfer of debt securities classified as HTM.	This guidance is effective for the FHLBNY beginning on March 12, 2020, and we may elect to apply the amendments prospectively through December 31, 2022.	The Bank is in the process of converting longer dated LIBOR-indexed swaps to SOFR and working with our counterparties. We don’t expect this guidance to have a material effect on the Bank’s financial position or results of operations.
Fair Value Hedging - Portfolio Layer Method ASU 2022-01, Issued March 2022	This guidance expands the current last-of-layer method to apply fair value hedging by allowing multiple hedged layers of a single closed portfolio under the method. To reflect that expansion, the last-of-layer method is renamed the portfolio layer method. Additionally, among other things, this guidance: ● expands the scope of the portfolio layer method to include nonprepayable assets ● specifies eligible hedging instruments in a single-layer hedge	This guidance is effective for annual periods, and interim periods within those annual periods, beginning after December 15, 2022. Early adoption is permitted.	We are in the process of evaluating the guidance and its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined.
Troubled Debt Restructurings and Vintage Disclosures ASU 2022-02, Issued March 2022	This guidance eliminates the accounting guidance for troubled debt restructurings by creditors that have adopted the current expected credit losses methodology while enhancing disclosure requirements for certain loan refinancing and restructuring by creditors made to borrowers experiencing financial difficulty. Additionally, this guidance requires disclosure of current period gross write-offs by year of origination for financing receivables and net investment in leases.	This guidance is effective for annual periods, and interim periods within those annual periods, beginning after December 15, 2022. Early adoption is permitted.	We are in the process of evaluating the guidance and its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined.

11

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 3.          Cash and Due from Banks.

Cash on hand, cash items in the process of collection, and amounts due from correspondent banks and the Federal Reserve Banks are recorded as cash and cash equivalent in the Statements of Cash Flows. The FHLBNY is exempt from maintaining any required clearing balance at the Federal Reserve Bank of New York.

Compensating Balances

The FHLBNY has arrangements with Citibank (a member/stockholder of the FHLBNY) to maintain compensating collected cash balances in return for certain fee-based safekeeping and back office operational services that the counterparty provides to the FHLBNY. There are no restrictions on the withdrawal of funds in this arrangement. There were no compensating balances at September 30, 2022 and December 31, 2021. There were no restricted cash balances at September 30, 2022 and December 31, 2021.

Pass-through Deposit Reserves

The FHLBNY acts as a pass-through correspondent for member institutions who are required by banking regulations to deposit reserves with the Federal Reserve Banks. There were no pass-through reserves deposited with Federal Reserve Banks on behalf of the members by the FHLBNY at September 30, 2022 and deposits of $30.4 million at December 31, 2021. The liabilities offsetting the pass-through reserves were due to member institutions and were recorded in Other liabilities in the Statements of Condition.

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

The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that have received a credit rating of triple-B or higher (investment grade) by a nationally recognized statistical rating organization.

Interest-bearing deposits — Investments are typically short-term deposits placed with highly-rated large financial institutions and are recorded at amortized cost. Deposits placed were uncollateralized. Deposits placed were $0.8 billion at September 30, 2022 and $0.7 billion at December 31, 2021. Deposits are evaluated quarterly for expected credit losses based on the probability of default of the borrowing counterparty and the terms to maturity of the outstanding investments at the measurement dates. Based on analysis performed, no allowance for credit losses was recorded at September 30, 2022 and December 31, 2021. Accrued interest receivables were de minimis, and no allowance for credit losses was recorded as interest due was collected.

Federal funds sold — Federal funds sold are unsecured advances to highly-rated large financial institutions. Federal funds sold are unsecured loans that are generally transacted on an overnight term and recorded at amortized cost basis. FHFA regulations include a limit on the amount of unsecured credit an individual Bank may extend to a counterparty. Federal funds sold were $10.4 billion at September 30, 2022 and $7.2 billion at December 31, 2021 and were repaid according to their contractual terms. Investments are evaluated quarterly for expected credit losses based on the probability of default of the borrowing counterparty and the terms to maturity of the outstanding investments at the measurement dates. Generally, Federal funds are short-term and typically overnight. Counterparties are highly rated. Based on analysis, no allowance for credit losses was recorded for Federal funds sold at September 30, 2022 and December 31, 2021. Accrued interest receivables were de minimis, and no allowance for credit losses was recorded as interest due was collected.

12

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Securities purchased under agreements to resell — There were no outstanding Securities purchased under agreements to resell at September 30, 2022. At December 31, 2021, Securities purchased under agreements to resell were recorded at amortized cost basis of $1.2 billion. The investments typically matured overnight, and were executed through a tri-party arrangement that involved transfer of overnight funds to a segregated safekeeping account at the Bank of New York (BONY). BONY, acting as an independent agent on behalf of the FHLBNY and the counterparty to the transactions, assumes the responsibility of receiving eligible securities as collateral and releasing funds to the counterparty. The amount of cash loaned against the collateral is a function of the liquidity and quality of the collateral. The collateral is typically in the form of securities that meet the FHLBNY’s credit quality standards, are highly rated and readily marketable. The FHLBNY has the ability to call for additional collateral if the value of the securities falls below a pre-defined haircut. The FHLBNY can terminate the transaction and liquidate the collateral if the counterparty fails to post the additional margin. Agreements generally allow the FHLBNY to repledge securities under certain conditions. No adjustments for instrument-specific credit risk were deemed necessary as market values of collateral were in excess of principal amounts loaned. Accrued interest receivables were de minimis and no allowance for credit losses was recorded as interest due was collected.

Securities purchased under agreements to resell averaged $28.3 million and $23.1 million for the three and nine months ended September 30, 2022, respectively. For the twelve months ended December 31, 2021, transaction balances averaged $0.6 billion. Transactions recorded as Securities purchased under agreements to resell were accounted as collateralized financing transactions.

Investments are evaluated quarterly for expected credit losses based on the probability of default of the borrowing counterparty and the terms to maturity of the outstanding investments at the measurement dates. A credit loss would also be recognized if there is a collateral shortfall which the FHLBNY does not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost. Repurchase agreements are short-term and generally overnight, and counterparties are highly rated. Based on analysis performed, no allowance for credit losses was recorded for these assets at September 30, 2022 and December 31, 2021.

Note 5.          Trading Securities.

The carrying value of a trading security equals its fair value. The following table provides major security types at September 30, 2022 and December 31, 2021 (in thousands):

Fair value	September 30, 2022		December 31, 2021
U.S. Treasury notes	$	7,831,926	$	5,821,380
Total trading securities	$	7,831,926	$	5,821,380

The carrying values of trading securities included net unrealized fair value loss of $417.2 million at September 30, 2022 and loss of $13.8 million at December 31, 2021. We have classified investments acquired for purposes of meeting short-term contingency and other liquidity needs as trading securities. In accordance with Finance Agency guidance, we do not participate in speculative trading practices.

Trading Securities Pledged

The FHLBNY had pledged marketable securities at fair values of $571.6 million at September 30, 2022 and $367.1 million at December 31, 2021 to derivative clearing organizations to fulfill the FHLBNY’s initial margin requirements as mandated under margin rules of the Commodity Futures Trading Commission (CFTC). The clearing organizations have rights to sell or repledge the collateral securities under certain conditions.

13

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

Redemption Terms

	September 30, 2022
	Due in one year or			Due after one year			Due after five years
	less			through five years			through ten years			Total Fair Value
U.S. Treasury notes	$	3,876,332		$	2,260,858		$	1,694,736		$	7,831,926
Total trading securities	$	3,876,332		$	2,260,858		$	1,694,736		$	7,831,926
Yield on trading securities		1.13	%		1.36	%		1.15	%

	December 31, 2021
	Due in one year or			Due after one year			Due after five years
	less			through five years			through ten years			Total Fair Value
U.S. Treasury notes	$	2,516,659		$	1,491,893		$	1,812,828		$	5,821,380
Total trading securities	$	2,516,659		$	1,491,893		$	1,812,828		$	5,821,380
Yield on trading securities		1.27	%		1.32	%		1.32	%

Note 6.          Equity Investments.

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

	September 30, 2022
			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
	Cost		Gains (b)		Losses (b)		Value (c)
Cash equivalents	$	3,365	$	—	$	—	$	3,365
Equity funds		41,328		11,020		(7,821)		44,527
Fixed income funds		33,046		142		(5,313)		27,875
Total Equity Investments (a)	$	77,739	$	11,162	$	(13,134)	$	75,767

	December 31, 2021
			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
	Cost		Gains (b)		Losses (b)		Value (c)
Cash equivalents	$	3,261	$	—	$	—	$	3,261
Equity funds		41,228		21,342		(2,425)		60,145
Fixed income funds		32,703		415		(400)		32,718
Total Equity Investments (a)	$	77,192	$	21,757	$	(2,825)	$	96,124

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

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

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

14

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

	Three Months Ended September 30,				Nine Months Ended September 30,
	2022		2021		2022		2021
Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date	$	(4,395)	$	(1,545)	$	(20,904)	$	3,821
Net gains (losses) recognized during the period on equity investments sold during the period		—		713		(265)		1,434
Net dividend and other		380		350		965		1,102
Net gains (losses) recognized during the period	$	(4,015)	$	(482)	$	(20,204)	$	6,357

Note 7.          Available-for-Sale Securities.

No AFS security was impaired in any periods in this report and no credit loss allowance was necessary at September 30, 2022 and December 31, 2021.

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

	September 30, 2022
			Gross			Gross
	Amortized		Unrealized			Unrealized			Fair
	Cost		Gains			Losses			Value
GSE and U.S. Obligations
State and local housing finance agency obligations	$	1,112,715	$	1,239		$	(26)		$	1,113,928
Mortgage-backed securities
Floating
CMO		482,801		1,606			(968)			483,439
PASS THRU		4,243		61			(1)			4,303
Total Floating		487,044		1,667			(969)			487,742
Fixed
CMBS		6,067,334		—			(845,443)			5,221,891
Total Fixed		6,067,334		—			(845,443)			5,221,891
MBS AFS Before Hedging Adjustments		6,554,378		1,667	(a)		(846,412)	(a)		5,709,633
Hedging Basis Adjustments in AOCI		(596,489)		596,489	(b)		—			—
Total Available-for-sale securities (MBS)		5,957,889		598,156			(846,412)			5,709,633
Total Available-for-sale securities	$	7,070,604	$	599,395		$	(846,438)		$	6,823,561

15

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

	December 31, 2021
			Gross			Gross
	Amortized		Unrealized			Unrealized			Fair
	Cost		Gains			Losses			Value
GSE and U.S. Obligations
State and local housing finance agency obligations	$	998,520	$	167		$	(50)		$	998,637
Mortgage-backed securities
Floating
CMO		575,441		8,982			—			584,423
PASS THRU		4,896		215			—			5,111
Total Floating		580,337		9,197			—			589,534
Fixed
CMBS		4,843,394		171,731			(55,875)			4,959,250
Total Fixed		4,843,394		171,731			(55,875)			4,959,250
MBS AFS Before Hedging Adjustments		5,423,731		180,928	(a)		(55,875)	(a)		5,548,784
Hedging Basis Adjustments in AOCI		(30,667)		30,667	(b)		—			—
Total Available-for-sale securities (MBS)		5,393,064		211,595			(55,875)			5,548,784
Total Available-for-sale securities	$	6,391,584	$	211,762		$	(55,925)		$	6,547,421

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

(b) Amounts represent fair value hedging basis due to changes in the benchmark rate and were recorded as an adjustment to the carrying values of hedged securities; the adjustments impacted the unrealized market value gains and losses. Securities in a fair value hedging relationship at September 30, 2022 recorded $596.5 million of hedge basis gains; at December 31, 2021, hedge basis gains of $30.7 million were recorded. In the table above, the benchmark hedging basis adjustments were reported separately from the market based prices of ASC 815 qualifying hedges to provide greater clarity to market based pricing of the securities.

Credit Loss Analysis of AFS Securities

The FHLBNY’s portfolio of MBS classified as AFS is comprised primarily of GSE-issued collateralized mortgage obligations and CMBS. A portfolio of State and local housing finance agency obligations is also classified as AFS. The FHLBNY evaluates its GSE-issued securities by considering the creditworthiness and performance of the debt securities and the strength of the government-sponsored enterprises’ guarantees of the securities.

Based on credit and performance analysis, GSE-issued securities are performing in accordance with their contractual agreements. The FHLBNY believes that it will recover its investments in GSE-issued securities given the current levels of collateral, credit enhancements and guarantees that exist to protect the investments. At September 30, 2022 and December 31, 2021, unrealized fair value losses have been aggregated in the table below by the length of time a security was in a continuous unrealized loss position based on market-based pricing and excluding the effects of hedge basis adjustments.

The Bank evaluates its individual AFS securities for impairment by comparing the security’s fair value to its amortized cost. Impairment may exist when the fair value of the investment is less than its amortized cost (i.e. in an unrealized loss position). We have not experienced any payment defaults on the instruments. As noted previously, substantially all of these securities are GSE-issued and carry an implicit or explicit U.S. government guarantee. Based on the analysis, no allowance for credit losses was recorded on these AFS securities at September 30, 2022 and December 31, 2021.

16

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

	September 30, 2022
	Less than 12 months				12 months or more				Total
	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
MBS Investment Securities and State and local housing finance agency obligations
MBS-Other US Obligations
Ginnie Mae-CMO	$	3,614	$	(18)	$	—	$	—	$	3,614	$	(18)
MBS-GSE
Fannie Mae-CMO		254,937		(791)		—		—		254,937		(791)
Fannie Mae-CMBS		435,347		(28,405)		—		—		435,347		(28,405)
Freddie Mac-CMO		45,751		(159)		—		—		45,751		(159)
Freddie Mac-CMBS		3,588,526		(492,568)		1,198,017		(324,470)		4,786,543		(817,038)
Fannie Mae-Pass Thru		375		(1)		—		—		375		(1)
Total MBS-GSE		4,324,936		(521,924)		1,198,017		(324,470)		5,522,953		(846,394)
Total MBS Temporarily Impaired	$	4,328,550	$	(521,942)	$	1,198,017	$	(324,470)	$	5,526,567	$	(846,412)
State and local housing finance agency obligations		1,474		(1)		16,874		(25)		18,348		(26)
Total Temporarily Impaired	$	4,330,024	$	(521,943)	$	1,214,891	$	(324,495)	$	5,544,915	$	(846,438)

	December 31, 2021
	Less than 12 months				12 months or more				Total
	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
MBS Investment Securities and State and local housing finance agency obligations
MBS-GSE
Freddie Mac-CMBS	$	1,476,219	$	(23,442)	$	641,268	$	(32,433)	$	2,117,487	$	(55,875)
Total MBS-GSE		1,476,219		(23,442)		641,268		(32,433)		2,117,487		(55,875)
Total MBS Temporarily Impaired	$	1,476,219	$	(23,442)	$	641,268	$	(32,433)	$	2,117,487	$	(55,875)
State and local housing finance agency obligations		—		—		21,130		(50)		21,130		(50)
Total Temporarily Impaired	$	1,476,219	$	(23,442)	$	662,398	$	(32,483)	$	2,138,617	$	(55,925)

17

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Redemption Terms

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

	September 30, 2022				December 31, 2021
	Amortized		Estimated		Amortized		Estimated
	Cost (b)		Fair Value		Cost (b)		Fair Value
State and local housing finance agency obligations
Due in one year or less	$	1,475	$	1,474	$	—	$	—
Due after one year through five years		16,900		16,875		21,180		21,130
Due after ten years		1,094,340		1,095,579		977,340		977,507
State and local housing finance agency obligations	$	1,112,715	$	1,113,928	$	998,520	$	998,637
Mortgage-backed securities
Due in one year or less	$	33	$	33	$	—	$	—
Due after one year through five years		1,059,065		999,846		875,385		917,150
Due after five year through ten years		3,937,025		3,788,338		3,591,533		3,696,985
Due after ten years		961,766		921,416		926,146		934,649
Mortgage-backed securities	$	5,957,889	$	5,709,633	$	5,393,064	$	5,548,784
Total Available-for-Sale securities	$	7,070,604	$	6,823,561	$	6,391,584	$	6,547,421

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

(b) Amortized cost is UPB after adjusting for net unamortized premiums of $28.6 million and $79.9 million at September 30, 2022 and December 31, 2021, respectively. Additionally, historical amortized cost in the table above is after adjustment for hedging basis.

Interest Rate Payment Terms

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

	September 30, 2022				December 31, 2021
	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Mortgage-backed securities
Floating
CMO	$	482,801	$	483,439	$	575,441	$	584,423
PASS THRU		4,243		4,303		4,896		5,111
Total Floating		487,044		487,742		580,337		589,534
Fixed
CMBS		5,470,845		5,221,891		4,812,727		4,959,250
Total Fixed		5,470,845		5,221,891		4,812,727		4,959,250
Total Mortgage-backed securities		5,957,889		5,709,633		5,393,064		5,548,784
State and local housing finance agency obligations
Floating		1,112,715		1,113,928		998,520		998,637
Total Available-for-Sale securities	$	7,070,604	$	6,823,561	$	6,391,584	$	6,547,421

18

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 8.          Held-to-Maturity Securities.

Major Security Types (in thousands)

	September 30, 2022
			Allowance		OTTI				Gross		Gross
	Amortized		for Credit		Recognized		Carrying		Unrecognized		Unrecognized		Fair
Issued, guaranteed or insured:	Cost (d)		Loss (ACL)		in AOCI		Value		Holding Gains (a)		Holding Losses (a)		Value
Pools of Mortgages
Fannie Mae	$	27,537	$	—	$	—	$	27,537	$	206	$	(34)	$	27,709
Freddie Mac		4,707		—		—		4,707		100		—		4,807
Total pools of mortgages		32,244		—		—		32,244		306		(34)		32,516
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits
Fannie Mae		224,242		—		—		224,242		—		(4,588)		219,654
Freddie Mac		258,989		—		—		258,989		51		(2,821)		256,219
Ginnie Mae		—		—		—		—		—		—		—
Total CMOs/REMICs		483,231		—		—		483,231		51		(7,409)		475,873
Commercial Mortgage-Backed Securities (b)
Fannie Mae		1,141,173		—		—		1,141,173		—		(21,916)		1,119,257
Freddie Mac		7,668,365		—		—		7,668,365		—		(419,304)		7,249,061
Total commercial mortgage-backed securities		8,809,538		—		—		8,809,538		—		(441,220)		8,368,318
Non-GSE MBS (c)
CMOs/REMICs		2,748		(205)		(239)		2,304		—		(340)		1,964
Asset-Backed Securities (c)
Manufactured housing (insured)		14,830		—		—		14,830		334		—		15,164
Home equity loans (insured)		28,133		—		(325)		27,808		4,031		(419)		31,420
Home equity loans (uninsured)		7,181		—		(516)		6,665		689		(75)		7,279
Total asset-backed securities		50,144		—		(841)		49,303		5,054		(494)		53,863
Total MBS		9,377,905		(205)		(1,080)		9,376,620		5,411		(449,497)		8,932,534
Other
State and local housing finance agency obligations		180,795		(111)		—		180,684		2		(14,169)		166,517
Total Held-to-maturity securities	$	9,558,700	$	(316)	$	(1,080)	$	9,557,304	$	5,413	$	(463,666)	$	9,099,051

	December 31, 2021
			Allowance		OTTI				Gross		Gross
	Amortized		for Credit		Recognized		Carrying		Unrecognized		Unrecognized		Fair
Issued, guaranteed or insured:	Cost (d)		Loss (ACL)		in AOCI		Value		Holding Gains (a)		Holding Losses (a)		Value
Pools of Mortgages
Fannie Mae	$	33,128	$	—	$	—	$	33,128	$	4,086	$	—	$	37,214
Freddie Mac		5,478		—		—		5,478		712		—		6,190
Total pools of mortgages		38,606		—		—		38,606		4,798		—		43,404
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits
Fannie Mae		300,442		—		—		300,442		2,338		(144)		302,636
Freddie Mac		322,186		—		—		322,186		3,066		(22)		325,230
Ginnie Mae		—		—		—		—		—		—		—
Total CMOs/REMICs		622,628		—		—		622,628		5,404		(166)		627,866
Commercial Mortgage-Backed Securities (b)
Fannie Mae		1,301,041		—		—		1,301,041		22,166		(159)		1,323,048
Freddie Mac		7,117,953		—		—		7,117,953		339,409		(6,461)		7,450,901
Total commercial mortgage-backed securities		8,418,994		—		—		8,418,994		361,575		(6,620)		8,773,949
Non-GSE MBS(c)
CMOs/REMICs		2,978		(226)		(261)		2,491		35		(51)		2,475
Asset-Backed Securities(c)
Manufactured housing (insured)		18,484		—		—		18,484		498		—		18,982
Home equity loans (insured)		32,519		—		(374)		32,145		6,187		—		38,332
Home equity loans (uninsured)		11,382		—		(951)		10,431		1,286		(84)		11,633
Total asset-backed securities		62,385		—		(1,325)		61,060		7,971		(84)		68,947
Total MBS		9,145,591		(226)		(1,586)		9,143,779		379,783		(6,921)		9,516,641
Other
State and local housing finance agency obligations		185,000		(114)		—		184,886		16		(17,269)		167,633
Total Held-to-maturity securities	$	9,330,591	$	(340)	$	(1,586)	$	9,328,665	$	379,799	$	(24,190)	$	9,684,274

(a) Unrecognized gross holding gains and losses represent the difference between fair value and carrying value.

19

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

(b) Commercial mortgage-backed securities (CMBS) are Agency issued securities, collateralized by income-producing “multi-family properties”. Eligible property types include standard conventional multifamily apartments, affordable multi-family housing, seniors housing, student housing, military housing, and rural rent housing.

(c) The amounts represent non-agency private-label mortgage- and asset-backed securities.

(d) Amortized cost — For securities that were deemed impaired, amortized cost represents unamortized cost less credit losses, net of credit recoveries (reversals) due to improvements in cash flows.

Securities Pledged

The FHLBNY had pledged MBS, with an amortized cost basis of $2.2 million at September 30, 2022 and $2.5 million at December 31, 2021, to the FDIC in connection with deposits maintained by the FDIC at the FHLBNY. The FDIC does not have rights to sell or repledge the collateral unless the FHLBNY defaults under the terms of its deposit arrangements with the FDIC.

Credit Loss Allowances on Held-to-Maturity Securities

GSE-issued securities — The FHLBNY evaluates its individual securities issued by Fannie Mae, Freddie Mac and U.S. government agency, (collectively GSE-issued securities), by considering the creditworthiness and performance of the debt securities and the strength of the GSEs’ guarantees of the securities. Based on analysis, GSE-issued securities are performing in accordance with their contractual agreements, and we will recover our investments in GSE-issued securities given the current levels of collateral, credit enhancements and guarantees that exist to protect the investments. The number of investment positions that were in an unrealized loss position was 200 and 24 at September 30, 2022 and December 31, 2021, respectively.

Housing finance agency bonds — The FHLBNY’s investments in Held-to-Maturity (HTM) Housing finance agency bonds reported gross unrecognized losses of $14.2 million at September 30, 2022 and $17.3 million at December 31, 2021. Investments are evaluated quarterly for expected credit losses based on the probability of default of the borrowing counterparty and the terms to maturity of the outstanding investments at the measurement dates. A credit loss would also be recognized if there is a collateral shortfall if the FHLBNY believes the counterparty will not replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost. Our analysis identified no collateral shortfall. The number of investment positions that were in an unrealized loss position were six in HTM portfolio and two in AFS portfolio at September 30, 2022, compared to five in HTM portfolio and two in AFS portfolio at December 31, 2021. Probability default analysis at September 30, 2022 recorded allowance of credit losses of $0.1 million, unchanged from December 31, 2021. No allowance for credit losses was recorded for accrued interest receivable as interest due is expected to be collected.

Our investments are performing to their contractual terms, and management has concluded that the gross unrealized losses on its housing finance agency bonds are temporary because the underlying collateral and credit enhancements are sufficient to protect the FHLBNY from losses based on current expectations. The credit enhancements may include additional support from monoline insurance companies, reserve and investment funds allocated to the securities that may be used to make principal and interest payments in the event that the underlying loans pledged for these securities are not sufficient to make the necessary payments and the general obligation of the State issuing the bond.

Private-label mortgage-backed securities — Management evaluates its investments in private-label MBS (PLMBS) for credit losses on a quarterly basis by performing cash flow tests on its entire portfolio of PLMBS. Allowance for credit loss of $0.2 million were recorded at September 30, 2022, slightly lower than December 31, 2021. Certain securities are insured by monoline insurers, and our credit specialists have analyzed associated guarantees with appropriate haircuts. The Bank’s conclusions are also based upon multiple factors, but not limited to the expected performance of the underlying collateral, and the evaluation of the fundamentals of the issuers’ financial condition. Management has not made a decision to sell such securities at September 30, 2022, and has concluded that it will not be required to sell such securities before recovery of the amortized cost basis of the securities. The number of investment positions that were in an unrealized loss position was 13 at September 30, 2022 and 8 at December 31, 2021.

20

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Redemption Terms

Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment features. The amortized cost and estimated fair value of held-to-maturity securities, arranged by contractual maturity, were as follows (in thousands):

	September 30, 2022				December 31, 2021
	Amortized		Estimated		Amortized		Estimated
	Cost (a)		Fair Value		Cost (a)		Fair Value
State and local housing finance agency obligations
Due in one year or less	$	585	$	585	$	1,085	$	1,100
Due after one year through five years		1,355		1,353		1,560		1,550
Due after five years through ten years		3,670		3,537		100		100
Due after ten years		175,185		161,042		182,255		164,883
State and local housing finance agency obligations	$	180,795	$	166,517	$	185,000	$	167,633
Mortgage-backed securities
Due in one year or less	$	519,762	$	517,378	$	622,150	$	627,027
Due after one year through five years		4,181,252		4,032,033		3,244,996		3,338,703
Due after five years through ten years		3,948,758		3,679,158		4,411,317		4,670,692
Due after ten years		728,133		703,965		867,128		880,219
Mortgage-backed securities	$	9,377,905	$	8,932,534	$	9,145,591	$	9,516,641
Total Held-to-Maturity Securities	$	9,558,700	$	9,099,051	$	9,330,591	$	9,684,274

(a) Amortized cost is UPB after adjusting for net unamortized discounts of $15.1 million at September 30, 2022 and net unamortized premiums of $45.7 million at December 31, 2021 and before adjustments for allowance for credit losses.

Note 9.          Advances.

The FHLBNY offers to its members a wide range of fixed- and adjustable-rate advance loan products with different maturities, interest rates, payment characteristics, and optionality.

Redemption Terms

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

	September 30, 2022							December 31, 2021
			Weighted (a)						Weighted (a)
			Average		Percentage				Average		Percentage
	Amount		Yield		of Total		Amount		Yield		of Total
Overdrawn demand deposit accounts	$	15	—	%	—	%	$	—	—	%	—	%
Due in one year or less		58,871,583	1.89		62.90			39,102,862	0.64		54.91
Due after one year through two years		13,908,804	1.35		14.86			8,417,861	1.52		11.82
Due after two years through three years		5,715,659	1.60		6.11			5,986,412	1.35		8.41
Due after three years through four years		2,314,096	1.54		2.47			3,847,497	1.49		5.40
Due after four years through five years		3,542,863	2.61		3.79			2,366,939	1.41		3.32
Thereafter		9,238,629	2.66		9.87			11,493,595	1.82		16.14
Total par value		93,591,649	1.89	%	100.00	%		71,215,166	1.07	%	100.00	%
Advance discounts		(111)						(160)
Hedge valuation basis adjustments (b)		(1,721,033)						321,396
Total	$	91,870,505					$	71,536,402

(a) The weighted average yield is the weighted average coupon rates for advances, unadjusted for swaps. For floating-rate advances, the weighted average rate is the rate outstanding at the reporting dates.

(b) Hedge valuation basis adjustments under ASC 815 hedges represent changes in the fair values of fixed-rate advances due to changes in designated benchmark interest rates, the remaining terms to maturity or to next call and the notional amounts of advances in a hedging relationship. The FHLBNY’s benchmark rates are LIBOR, Federal Funds-OIS index and SOFR-OIS index.

21

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Monitoring and Evaluating Credit Losses on Advances

The Bank manages its credit exposure to advances through an integrated approach that includes establishing a credit limit for each borrower. This approach includes an ongoing review of each borrower’s financial condition, in conjunction with the Bank’s collateral and lending policies to limit risk of loss, while balancing borrowers’ needs for a reliable source of funding.

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

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

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

● cash or deposits in the Bank;

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

● qualifying securities.

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

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

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

The FHLBNY closely monitors the creditworthiness of the institutions to which it lends. The FHLBNY also closely monitors the quality and value of the assets that are pledged as collateral by its members. The FHLBNY’s members are required to pledge collateral to secure advances. Eligible collateral includes: (1) one-to-four-family and multi-family mortgages; (2) U.S. Treasury and government-agency securities; (3) mortgage-backed securities; and (4) certain other collateral which is real estate-related and has a readily ascertainable value, and in which the FHLBNY can perfect a security interest. The FHLBNY has the right to take such steps, as it deems necessary to protect its secured position on outstanding advances, including requiring additional collateral (whether or not such additional collateral would otherwise be eligible to secure a loan; and the provision would benefit the FHLBNY in a scenario when a member defaults). The FHLBNY also has a statutory lien under the FHLBank Act on members’ capital stock, which serves as further collateral for members’ indebtedness to the FHLBNY.

Allowance for Credit Risk. The FHLBNY has policies and procedures in place to manage credit risk. The FHLBNY has a continuous process of evaluating collateral supporting advances and to make changes to its collateral guidelines, as necessary, based on current market conditions. None of the FHLBNY’s advances were past due, on non-accrual status, or considered impaired as of September 30, 2022. In addition, there were no troubled debt restructurings related to advances at the FHLBNY at any time in this report.

As of September 30, 2022, the FHLBNY had collateral on a borrower-by-borrower basis with a value equal to, or greater than, its outstanding advances. Based on the collateral held as security, the FHLBNY’s management’s credit extension and collateral policies, and repayment history on advances, the FHLBNY did not expect any losses on its advances at any time in the periods in 2022 and through the filing date on this report; therefore, no allowance for credit losses on advances was recorded. For the same reasons, the FHLBNY did not record any allowance for credit losses on interest receivable on advances as of September 30, 2022.

22

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

Advances borrowed by insurance companies accounted for 39.7% and 41.4% of total advances at September 30, 2022 and December 31, 2021, respectively. Lending to insurance companies poses a number of unique risks not present in lending to federally insured depository institutions. For example, there is no single federal regulator for insurance companies. They are supervised by state regulators and subject to state insurance codes and regulations. There is uncertainty about whether a state insurance commissioner would try to void the FHLBNY’s claims on collateral in the event of an insurance company failure. As with all members, insurance companies are also required to purchase the FHLBNY’s capital stock as a prerequisite to membership and borrowing activity. The FHLBNY’s management takes a number of steps to mitigate the unique risk of lending to insurance companies. At the time of membership, the FHLBNY requires an insurance company to be highly rated and to meet the FHLBNY’s credit quality standards. The FHLBNY performs quarterly credit analysis of the insurance borrower. Insurance companies are required to successfully complete an onsite review prior to pledging collateral. Additionally, in order to ensure its position as a first priority secured creditor, FHLBNY typically requires insurance companies to place physical possession of all pledged eligible collateral with FHLBNY or deposit it with a third party custodian or control agent. Such collateral must meet the FHLBNY’s credit quality standards, with appropriate minimum margins applied.

Security Terms. The FHLBNY lends to financial institutions involved in housing finance within its district. Borrowing members are required to purchase capital stock of the FHLBNY and pledge collateral for advances. During all periods in this report and as of September 30, 2022, the FHLBNY had rights to collateral with an estimated value greater than outstanding advances. Based upon the financial condition of the member, the FHLBNY:

(1) Allows a member to retain possession of the mortgage collateral pledged to the FHLBNY if the member executes a written security agreement, provides periodic listings and agrees to hold such collateral for the benefit of the FHLBNY; however, securities and cash collateral are always in physical possession; or

(2) Requires the member specifically to assign or place physical possession of such mortgage collateral with the FHLBNY or its custodial agent.

Beyond these provisions, Section 10(e) of the FHLBank Act affords any security interest granted by a member to the FHLBNY’s priority over the claims or rights of any other party. The two exceptions are claims that would be entitled to priority under otherwise applicable law or perfected security interests. All member obligations with the FHLBNY were fully collateralized throughout their entire term. The total of collateral pledged to the FHLBNY includes excess collateral pledged above the minimum collateral requirements. However, a “Maximum Lendable Value” is established to ensure that the FHLBNY has sufficient eligible collateral securing credit extensions.

Note 10.         Mortgage Loans Held-for-Portfolio.

Mortgage Partnership Finance program loans (MPF) are the mortgage loans held-for-portfolio. The FHLBNY participates in the MPF program by purchasing and originating conventional mortgage loans from its participating members, hereafter referred to as Participating Financial Institutions (PFI). The FHLBNY manages the liquidity, interest rate and prepayment option risk of the MPF loans, while the PFIs retain servicing activities, and may credit-enhance the portion of the loans participated to the FHLBNY. No intermediary trust is involved.

In March 2021, the FHLBNY ceased to acquire loans under the MPF program. Future mortgage loan purchases will be made only through our new mortgage loan program — the Mortgage Asset Program (MAP). Legacy loans under the MPF programs will continue to be supported and serviced under the MPF loan agreements. At September 30, 2022, mortgage loans under the MAP program were at carrying value of $208.0 million compared to $161.6 million at December 31, 2021.

The FHLBNY classifies mortgage loans as held for investment, and accordingly reports them at their principal amount outstanding net of unamortized premiums, discounts, and unrealized gains and losses from loans initially classified as mortgage loan commitments.

23

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

	September 30, 2022				December 31, 2021
	Carrying Amount		Percentage of Total		Carrying Amount		Percentage of Total
Real Estate (a):
Fixed medium-term single-family mortgages	$	115,430	6.07	%	$	138,831	6.52	%
Fixed long-term single-family mortgages		1,786,190	93.93			1,988,968	93.48
Total unpaid principal balance	$	1,901,620	100.00	%	$	2,127,799	100.00	%
Unamortized premiums		27,351				31,351
Unamortized discounts		(735)				(857)
Basis adjustment (b)		1,767				1,966
Total MPF loans amortized cost	$	1,930,003			$	2,160,259
MPF allowance for credit losses		(1,528)				(1,956)
MPF loans held-for-portfolio	$	1,928,475			$	2,158,303
MAP loans held-for-portfolio		207,957				161,561
Total mortgage loans held-for-portfolio at carrying value	$	2,136,432			$	2,319,864

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

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

The FHLBNY and its members share the credit risk of MPF loans by structuring potential credit losses into layers. The first layer is typically 100 bps, but this varies with the particular MPF product. The amount of the first layer, or First Loss Account (FLA), was estimated at $44.2 million at September 30, 2022 and December 31, 2021. The FLA is not recorded or reported as a reserve for loan losses, as it serves as a memorandum or information account. The FHLBNY is responsible for absorbing the first layer. The second layer is that amount of credit obligations that the PFI has agreed to assume at the “Master Commitment” level. The FHLBNY pays a credit enhancement fee to the PFI for taking on this obligation. The FHLBNY assumes all residual risk. Credit enhancement fees accrued were $0.4 million and $1.3 million for the three months and nine months ended September 30, 2022 and $0.5 million and $1.7 million for the same periods in the prior year. These fees were reported as a reduction to mortgage loan interest income.

In terms of the credit enhancement waterfall, the MPF program structures potential credit losses on conventional MPF loans into layers on each loan pool as follows:

(1) The first layer of protection against loss is the liquidation value of the real property securing the loan.

(2) The next layer of protection comes from the primary mortgage insurance (PMI) that is required for loans with a loan-to-value ratio greater than 80% at origination.

(3) Losses that exceed the liquidation value of the real property and any PMI will be absorbed by the FHLBNY, limited to the amount of the FLA available under the Master Commitment. For certain MPF products, the FHLBNY could recover previously absorbed losses by withholding future credit enhancement fees (CE Fees) otherwise payable to the PFI, and applying the amounts to recover losses previously absorbed. In effect, the FHLBNY may recover losses allocated to the FLA from CE Fees. The amount of CE Fees depends on the MPF product and the outstanding balances of loans funded in the Master Commitment. CE Fees payable (potentially available for loss recovery) will decline as the outstanding loan balances in the Master Commitment declines.

(4) The second layer or portion of credit losses is incurred by the PFI and/or the Supplemental Mortgage Insurance (SMI) provider as follows: The PFI absorbs losses in excess of any FLA up to the amount of the PFI’s credit obligation amount and/or to the SMI provider for MPF 125 Plus products if the PFI has selected SMI coverage.

(5) The third layer of losses is absorbed by the FHLBNY.

24

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

The MAP program operates on the Simplified Risk-Sharing Structure. MAP credit risk sharing structure rewards PFIs for originating high quality, well-performing loans. At the time of purchase, FHLBNY will set aside a standard credit enhancement of 1.5% for every loan funded, to be retained in a Member Performance Account (MPA) for each PFI. Loans are pooled into single or aggregate (multi-member) Master Commitments. Loan losses over the life of the pool are absorbed in order by borrower’s equity, mortgage insurance (if applicable), MPA, and finally by FHLBNY. If pooled losses are low, MPA funds are returned to the seller over time, based on a contractual release schedule. This liability account was $3.2 million at September 30, 2022 and $2.4 million at December 31, 2021.

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

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

Our allowance for credit loss of $1.7 million at September 30, 2022 took into consideration several factors. First, the Bank’s mortgage loan portfolio has a history of incurred losses that have not been significant. Second, loss sharing and insurance would largely offset actual losses. Lastly, forbearance processes under COVID-19 are likely to be temporary for the MPF loans; amounts under forbearance agreements are not material. Loan deferrals under COVID-19 relief are not material.

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

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

Accrued interest receivable was $10.1 million at September 30, 2022 and $11.1 million at December 31, 2021. Delinquency and non-accruals are factors that are applied in estimating expected credit losses. Refer to discussions on non-accrual and delinquent loans.

Government mortgages, which carry FHA, VA or USDA guarantees present a minimal risk of loss. Additionally, as part of the service agreement between FHLBNY and the members that sold us government loans, those members will buy back delinquent government loans.

25

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Credit enhancements under the MPF Program may include primary mortgage insurance, supplemental mortgage insurance, in addition to recoverable performance-based credit enhancement fees. Potential recoveries from credit enhancements for conventional loans are evaluated at the individual master commitment level to determine the credit enhancements available to recover losses on loans under each individual master commitment. However, expected recoveries from credit enhancements are not factored into the calculation of expected credit losses. The MPF program’s actual loss experience has been immaterial and inclusion of recoveries in the allowance calculations would result in an immaterial change.

There were no MAP loans in serious delinquent status (90 days or more) at September 30, 2022 and December 31, 2021.

Roll forward Analysis of Allowance for Credit Losses

The following table provides a roll forward analysis of the allowance for credit losses (in thousands):

		Three months ended September 30,				Nine months ended September 30,
		2022	2021			2022	2021
Allowance for credit losses:
Beginning balance	$	1,975	$	4,103	$	2,135	$	7,073
Adjustment for cumulative effect of accounting change		—		—		—		—
Charge-offs		—		—		(31)		(50)
Recoveries		—		—		—		—
Provision (Reversal) for credit losses on mortgage loans		(264)		(1,059)		(393)		(3,979)
Balance, at end of period	$	1,711	$	3,044	$	1,711	$	3,044

The following table presents risk elements and credit losses (dollars in thousands):

	September 30, 2022			December 31, 2021
Average loans outstanding during the period (a)	$	2,177,291		$	2,501,735
Mortgage loans held for portfolio (a)		2,104,560			2,284,541
Non-accrual loans (a)		8,498			12,294
Allowance for credit losses on mortgage loans held for portfolio		1,711			2,135
Net charge-offs		31			50
Ratio of net charge-offs to average loans outstanding during the period		0.001	%		0.002	%
Ratio of allowance for credit losses to mortgage loans held for portfolio		0.081	%		0.093	%
Ratio of non-accrual loans to mortgage loans held for portfolio		0.404	%		0.538	%
Ratio of allowance for credit losses to non-accrual loans		20.134	%		17.369	%

(a) Balances represent unpaid principal balance.

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

	September 30, 2022		December 31, 2021
Total MPF Mortgage loans, carrying values net (a)	$	1,928,475	$	2,158,303
Non-performing MPF mortgage loans - Conventional (a)(b)	$	8,498	$	12,294
Insured MPF loans past due 90 days or more and still accruing interest (a)(b)	$	5,164	$	6,612

(a) Includes loans classified as special mention, sub-standard, doubtful or loss under regulatory criteria, net of amounts charged-off if delinquent for 180 days or more.

(b) Data in this table represents unpaid principal balance and would not agree to data reported in other tables at “amortized cost”.

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

26

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

FHA and VA loans are considered as insured MPF loans, and while the loans are evaluated on an individual basis, we have deemed that FHA and VA loans as collectively insured. Additionally, based on the Bank’s assessment of its servicers and the collateral backing the insured loans, the risk of loss was deemed immaterial. The Bank has not recorded an allowance for credit losses for government-guaranteed or -insured mortgage loans in any periods in 2022 or 2021. Furthermore, none of these mortgage loans has been placed on non-accrual status because of the U.S. government guarantee or insurance on these loans and the contractual obligation of the loan servicer to repurchase the loans when certain criteria are met.

The following tables present unpaid principal balances with and without related loan loss allowances for conventional loans (excluding insured FHA/VA MPF loans) in the MPF program (in thousands):

							Three months ended		Nine months ended
	September 30, 2022						September 30, 2022		September 30, 2022
	Unpaid						Average
	Principal		Related		Amortized Cost		Amortized Cost
	Balance		Allowance		After Allowance		After Allowance (d)
Conventional Loans - MPF (a)(c)
No related allowance (b)	$	1,120,101	$	—	$	1,135,704	$	1,135,299	$	1,194,172
With a related allowance		641,360		(1,528)		650,245		667,876		668,314
Total measured for impairment	$	1,761,461	$	(1,528)	$	1,785,949	$	1,803,175	$	1,862,486

	December 31, 2021
	Unpaid						Average
	Principal		Related		Amortized Cost		Amortized Cost
	Balance		Allowance		After Allowance		After Allowance (d)
Conventional Loans - MPF (a)(c)
No related allowance (b)	$	1,329,019	$	—	$	1,348,056	$	1,506,305
With a related allowance		640,788		(1,956)		649,531		779,346
Total measured for impairment	$	1,969,807	$	(1,956)	$	1,997,587	$	2,285,651

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

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

(c) Interest received is not recorded as Interest income if an uninsured loan is past due 90 days or more. Cash received is recorded as a liability on the assumption that cash was remitted by the servicer to the FHLBNY that could potentially be recouped by the borrower in a foreclosure.

(d) Represents the average amortized cost after allowance for the three and nine months ended September 30, 2022 and for the twelve months ended December 31, 2021.

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

	September 30, 2022		December 31, 2021
Mortgage Loans Held for Portfolio by Collateral/Guarantee Type:
Conventional mortgage loans - MPF	$	1,761,461	$	1,969,807
MPF Government-guaranteed or -insured mortgage loans		140,159		157,992
Total MPF loans - unpaid principal balance	$	1,901,620	$	2,127,799

Payment Status of Mortgage Loans

Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include non-accrual loans and loans in process of foreclosure.

27

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

The following tables present the payment status for conventional mortgage loans and other delinquency statistics for the Bank’s mortgage loans at September 30, 2022 and December 31, 2021.

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

	September 30, 2022
	Conventional Loans
	Origination Year
	Prior to 2018		2018 to 2022		Total
Payment Status, at Amortized Cost:
Conventional MPF/MAP
Past due 30 - 59 days	$	6,717	$	2,527	$	9,244
Past due 60 - 89 days		1,559		—		1,559
Past due 90 days or more		7,375		1,162		8,537
Total past due mortgage loans		15,651		3,689		19,340
Current MPF mortgage loans		971,711		796,667		1,768,378
Current MAP mortgage loans		—		207,665		207,665
Total conventional mortgage loans	$	987,362	$	1,008,021	$	1,995,383

	December 31, 2021
	Conventional Loans
	Origination Year
	Prior to 2017		2017 to 2021		Total
Payment Status, at Amortized Cost:
Conventional MPF/MAP
Past due 30 - 59 days	$	6,458	$	6,614	$	13,072
Past due 60 - 89 days		1,386		1,100		2,486
Past due 90 days or more		11,066		1,288		12,354
Total past due mortgage loans		18,910		9,002		27,912
Current MPF mortgage loans		964,314		1,007,317		1,971,631
Current MAP mortgage loans		—		161,740		161,740
Total conventional mortgage loans	$	983,224	$	1,178,059	$	2,161,283

Other Delinquency Statistics (dollars in thousands):

	September 30, 2022
	Conventional			MPF Government-Guaranteed
	MPF Loans			or -Insured Loans			Total MPF Loans
Amortized Cost:
In process of foreclosure (a)	$	3,897		$	3,416		$	7,313
Serious delinquency rate (b)		0.50	%		3.84	%		0.75	%
Past due 90 days or more and still accruing interest	$	—		$	5,249		$	5,249
Loans on non-accrual status	$	8,537		$	—		$	8,537
Troubled debt restructurings:
Loans discharged from bankruptcy (c)	$	4,883		$	1,518		$	6,401
Modified loans under MPF program	$	—		$	—		$	—
Real estate owned (d)	$	104		$	—		$	104

28

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

	December 31, 2021
	Conventional			MPF Government-Guaranteed
	MPF Loans			or -Insured Loans			Total MPF Loans
Amortized Cost:
In process of foreclosure (a)	$	11,190		$	4,053		$	15,243
Serious delinquency rate (b)		0.95	%		4.26	%		1.19	%
Past due 90 days or more and still accruing interest	$	—		$	6,684		$	6,684
Loans on non-accrual status	$	12,354		$	—		$	12,354
Troubled debt restructurings:
Loans discharged from bankruptcy (c)	$	4,849		$	778		$	5,627
Modified loans under MPF program	$	421		$	—		$	421
Real estate owned (d)	$	357		$	—		$	357

(a) Includes loans where the decision of foreclosure or a similar alternative, such as pursuit of deed-in-lieu, has been reported.

(b) Represents seriously delinquent loans as a percentage of total mortgage loans in MPF program. Seriously delinquent loans are comprised of all loans past due 90 days or more delinquent or loans that are in the process of foreclosure.

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

(d) REO is reported at lower of cost or market value.

Note 11.         Deposits.

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

Deposits represent a relatively small portion of the FHLBNY’s funding, totaling $1.1 billion at September 30, 2022 and $1.3 billion at December 31, 2021, a decrease of $206.5 million, or 15.6%, from December 31, 2021. All FHLBNY deposits are uninsured and the balance of deposits vary depending on market factors, such as the attractiveness of the FHLBNY’s deposit pricing relative to the rates available on alternative money market instruments, FHLBNY members’ investment preferences with respect to the maturity of their investments, and FHLBNY members’ liquidity. Interest-bearing demand and overnight deposits represented 98.9% and 97.1% of deposits at September 30, 2022 and December 31, 2021, with the remaining deposits primarily being term deposits and non-interest-bearing deposits.

Interest-bearing demand and overnight deposits pay interest based on a daily interest rate. The year-to-date average balances of demand and overnight deposits were $1.1 billion for the period ended September 30, 2022 and $1.4 billion for the twelve months ended December 31, 2021. The annualized weighted-average interest rates paid on demand and overnight deposits were 0.80% for the nine months ended September 30, 2022 and 0.03% during the year ended December 31, 2021. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit. There were no term deposits in the first nine months of 2022. The average balances of term deposits were $0.2 million and the weighted-average interest rates paid on term deposits were 0.17% during the year ended December 31, 2021.

The following table summarizes deposits (in thousands):

	September 30, 2022		December 31, 2021
Interest-bearing deposits
Interest-bearing demand	$	1,102,215	$	1,283,072
Term (a)		—		—
Total interest-bearing deposits		1,102,215		1,283,072
Non-interest-bearing demand		12,474		38,166
Total deposits (b)	$	1,114,689	$	1,321,238

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

29

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

(b) Specific disclosures about deposits that exceed FDIC limits have been omitted as deposits are not insured by the FDIC. Deposits are received in the ordinary course of the FHLBNY’s business. The FHLBNY has pledged securities to the FDIC to collateralize deposits maintained at the FHLBNY by the FDIC; for more information, see Securities Pledged in Note 8. Held-to-Maturity Securities.

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

			Average				Average
Deposits	September 30, 2022		Interest Rate (b)		December 31, 2021		Interest Rate (b)
Term deposits	$	—	—	%	$	—	0.17	%
Interest-bearing demand (a)		1,102,215	0.80			1,283,072	0.03
Total interest-bearing deposits	$	1,102,215	0.80	%	$	1,283,072	0.03	%
Non-interest-bearing demand		12,474				38,166
Total deposits	$	1,114,689			$	1,321,238

(a) Primarily adjustable rate.

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

Note 12.         Consolidated Obligations.

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

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

The following table summarizes carrying amounts of Consolidated obligations outstanding (in thousands):

	September 30, 2022		December 31, 2021
Consolidated obligation bonds-amortized cost	$	74,400,686	$	54,643,748
Hedge valuation basis adjustments		(2,125,652)		77,048
Hedge basis adjustments on de-designated hedges		117,677		125,091
FVO - valuation adjustments and accrued interest		(218,392)		(16,486)
Total Consolidated obligation bonds	$	72,174,319	$	54,829,401
Discount notes-amortized cost	$	49,087,388	$	42,197,683
Hedge value basis adjustments		(57,533)		(424)
Hedge basis adjustments on de-designated hedges		—		—
FVO - valuation adjustments and remaining accretion		—		—
Total Consolidated obligation discount notes	$	49,029,855	$	42,197,259

30

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Redemption Terms of Consolidated Obligation Bonds

The following table is a summary of carrying amounts of Consolidated obligation bonds outstanding by year of maturity (dollars in thousands):

	September 30, 2022						December 31, 2021
			Weighted						Weighted
			Average		Percentage				Average		Percentage
Maturity	Amount		Rate (a)		of Total		Amount		Rate (a)		of Total
One year or less	$	26,692,465	2.49	%	35.93	%	$	19,254,345	0.59	%	35.32	%
Over one year through two years		15,887,945	2.19		21.39			7,317,160	1.20		13.42
Over two years through three years		8,627,280	1.58		11.61			5,881,385	0.85		10.79
Over three years through four years		10,594,990	1.02		14.26			4,149,215	0.97		7.61
Over four years through five years		5,431,615	2.16		7.31			10,072,905	0.95		18.48
Thereafter		7,055,890	2.80		9.50			7,839,700	2.44		14.38
Total par value		74,290,185	2.12	%	100.00	%		54,514,710	1.06	%	100.00	%
Bond premiums (b)		136,193						152,601
Bond discounts (b)		(25,692)						(23,563)
Hedge valuation basis adjustments (c)		(2,125,652)						77,048
Hedge basis adjustments on de-designated hedges (d)		117,677						125,091
FVO (e) - valuation adjustments and accrued interest		(218,392)						(16,486)
Total Consolidated obligation-bonds	$	72,174,319					$	54,829,401

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

(b) Amortization of CO bond premiums and discounts are recorded in interest expense as yield adjustments.

(c) Hedge valuation basis adjustments under ASC 815 fair value hedges represent changes in the fair values of fixed-rate CO bonds due to changes in the designated benchmark interest rate, remaining terms to maturity or next call, and the notional amounts of CO bonds designated in hedge relationship. Our interest rate benchmarks are LIBOR, the Federal Funds-OIS index and the SOFR-OIS index.

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

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

31

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Interest Rate Payment Terms

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

	September 30, 2022				December 31, 2021
			Percentage				Percentage
	Amount		of Total		Amount		of Total
Fixed-rate, non-callable	$	30,324,055	40.82	%	$	31,907,580	58.53	%
Fixed-rate, callable		18,241,130	24.55			12,993,130	23.84
Step Up, callable		6,197,000	8.35			4,799,000	8.80
Floating rate, callable		1,265,000	1.70			1,265,000	2.32
Single-index floating rate		18,263,000	24.58			3,550,000	6.51
Total par value	$	74,290,185	100.00	%	$	54,514,710	100.00	%

Discount Notes

Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are Consolidated obligations with original maturities of up to one year. These notes are issued at less than their face amount and redeemed at par when they mature. The FHLBNY’s outstanding Consolidated obligation discount notes were as follows (dollars in thousands):

	September 30, 2022			December 31, 2021
Par value	$	49,333,280		$	42,204,430
Amortized cost	$	49,087,388		$	42,197,683
Hedge value basis adjustments (a)		(57,533)			(424)
Hedge basis adjustments on de-designated hedges (b)		—			—
FVO (c) - valuation adjustments and remaining accretion		—			—
Total discount notes	$	49,029,855		$	42,197,259
Weighted average interest rate		2.39	%		0.06	%

(a) Hedging valuation basis adjustments — The reported carrying values of hedged CO discount notes are adjusted for changes in their fair values (fair value basis adjustments or fair value) that are attributable to changes in the benchmark risk being hedged. Changes in the designated benchmark interest rate, notional amounts of CO discount notes in hedging relationships and remaining terms to maturity are factors that impact hedge valuation adjustments.

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

(c) FVO valuation adjustments — Valuation basis adjustments are recorded to recognize changes in the entire or full fair values including unaccreted discounts on CO discount notes elected under the FVO. Changes in benchmark interest rates, notional amounts of CO discount notes elected under FVO and remaining terms to maturity are factors that impact hedge valuation adjustments. No CO discount notes were elected under the FVO at September 30, 2022 and December 31, 2021.

32

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 13.         Affordable Housing Program.

The FHLBNY charges the amount allocated for the Affordable Housing Program (AHP) to expense and recognizes it as a liability. The FHLBNY relieves the AHP liability as members use the subsidies.

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

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Beginning balance	$	131,783	$	152,523	$	137,638	$	148,827
Additions from current period’s assessments		14,425		7,314		29,342		23,645
Net disbursements for grants and programs		(21,599)		(15,034)		(42,371)		(27,669)
Ending balance	$	124,609	$	144,803	$	124,609	$	144,803

Note 14.         Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings.

The FHLBanks, including the FHLBNY, have a cooperative structure. To access the FHLBNY’s products and services, a financial institution must be approved for membership and purchase capital stock in the FHLBNY. A member’s stock requirement is generally based on its use of FHLBNY products, subject to a minimum membership requirement as prescribed by the FHLBank Act and the FHLBNY’s Capital Plan. FHLBNY stock can be issued, exchanged, redeemed and repurchased only at its stated par value of $100 per share. It is not publicly traded. An option to redeem capital stock that is greater than a member’s minimum requirement is held by both the member and the FHLBNY. The FHLBNY’s Capital Plan offers two sub-classes of Class B capital stock, membership and activity-based capital stock, and members can redeem Class B stock by giving five years notice. The FHLBNY’s Class B capital stock issued and outstanding were $5.3 billion at September 30, 2022 and $4.5 billion at December 31, 2021.

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

● Membership stock is issued to meet membership stock purchase requirements. The FHLBNY requires member institutions to maintain membership stock based on a percentage of the member’s mortgage-related assets. The current capital stock purchase requirement for membership is 12.5 basis points. In addition, notwithstanding this requirement, the FHLBNY previously had a $100 million cap on membership stock per member. However, effective August 1, 2022, the maximum amount of membership capital stock purchase per member was reduced from $100 million to $50 million. As a result of this change, the Bank repurchased approximately $166 million in membership stock.

● Activity based stock is issued on a percentage of outstanding balances of advances, MPF and MAP loans and financial letters of credit. The FHLBNY’s current capital plan requires a stock purchase of 4.5% of the member’s borrowed amount for advances and mortgage loans, and 12.5 bps for letter of credits. Excess activity-based capital stock is repurchased daily.

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

33

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

The FHLBNY was in compliance with the aforementioned capital rules and requirements for all periods presented, and met the “adequately capitalized” classification, which is the highest rating, under the capital rule. The Director of the Finance Agency has discretion to add to or modify the corrective action requirements for each capital classification other than adequately capitalized if the Director of the Finance Agency determines that such action is necessary to ensure the safe and sound operation of the FHLBank and the FHLBank’s compliance with its risk-based and minimum capital requirements.

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

	September 30, 2022						December 31, 2021
	Required (d)			Actual			Required (d)			Actual
Regulatory capital requirements:
Risk-based capital (a)(e)	$	879,367		$	7,369,955		$	844,115		$	6,433,709
Total capital-to-asset ratio		4.00	%		5.66	%		4.00	%		6.11	%
Total capital (b)	$	5,205,207		$	7,369,955		$	4,214,334		$	6,433,709
Leverage ratio		5.00	%		8.50	%		5.00	%		9.16	%
Leverage capital (c)	$	6,506,509		$	11,054,933		$	5,267,917		$	9,650,563

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

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

(c) The required leverage ratio of total capital to total assets should be at least 5.0%. For the purposes of determining the leverage ratio, total capital shall be computed by multiplying the Bank’s Permanent Capital by 1.5.

(d) Required minimum.

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

Mandatorily Redeemable Capital Stock

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

Estimated redemption periods were as follows (in thousands):

	September 30, 2022		December 31, 2021
Redemption less than one year	$	6,225	$	97
Redemption from one year to less than three years		2,386		226
Redemption from three years to less than five years		952		244
Redemption from five years or greater		1,190		1,392
Total	$	10,753	$	1,959

34

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

	Three months ended September 30,					Nine months ended September 30,
	2022		2021			2022	2021
Beginning balance	$	8,117	$	2,360	$	1,959	$	2,991
Capital stock subject to mandatory redemption reclassified from equity		3,162		—		261,629		85
Redemption of mandatorily redeemable capital stock (a)		(526)		(190)		(252,835)		(906)
Ending balance	$	10,753	$	2,170	$	10,753	$	2,170
Accrued interest payable (b)	$	152	$	26	$	152	$	26

(a) Redemption includes repayment of excess stock.

(b) The annualized accrual rates was 5.50% for the three months ended September 30, 2022 and 4.60% in the same period in 2021. Accrual rates are based on estimated dividend rates.

Restricted Retained Earnings

Under the FHLBank Joint Capital Enhancement Agreement (Capital Agreement), each FHLBank is required to set aside 20% of its Net income each quarter to a restricted retained earnings account until the balance of that account equals at least one percent of that FHLBank’s average balance of outstanding Consolidated obligations as calculated as of the last day of the current calendar quarter. The Capital Agreement is intended to enhance the capital position of each FHLBank. These restricted retained earnings will not be available to pay dividends. Retained earnings included $880.0 million and $827.4 million as restricted retained earnings in the FHLBNY’s Total Capital at September 30, 2022 and December 31, 2021, respectively.

Note 15.         Earnings Per Share of Capital.

The FHLBNY has a single class of capital stock, and earnings per share computation is for the Class B capital stock.

The following table sets forth the computation of earnings per share. Basic and diluted earnings per share of capital are the same. The FHLBNY has no dilutive potential common shares or other common stock equivalents (dollars in thousands except per share amounts):

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Net income	$	129,549	$	65,808	$	262,914	$	212,722
Net income available to stockholders	$	129,549	$	65,808	$	262,914	$	212,722
Weighted average shares of capital		49,795		46,700		47,879		50,525
Less: Mandatorily redeemable capital stock		(110)		(22)		(288)		(25)
Average number of shares of capital used to calculate earnings per share		49,685		46,678		47,591		50,500
Basic earnings per share	$	2.61	$	1.41	$	5.52	$	4.21

Note 16.         Employee Retirement Plans.

The FHLBNY participates in the Pentegra Defined Benefit Plan for Financial Institutions (Pentegra DB Plan), a tax-qualified, defined-benefit multi-employer pension plan that covers all FHLBNY officers and employees. The FHLBNY also participates in the Pentegra Defined Contribution Plan for Financial Institutions, a tax-qualified defined contribution plan. The FHLBNY offers two non-qualified Benefit Equalization Plans, which are retirement plans. The two plans restore and enhance defined benefits for those employees who have had their qualified Defined Benefit Plan and their Defined Contribution Plan limited by IRS regulations. The two non-qualified Benefit Equalization Plans (BEP) are unfunded.

35

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Retirement Plan Expenses — Summary

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

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Defined Benefit Plan	$	2,350	$	2,500	$	7,050	$	7,500
Benefit Equalization Plans (defined benefit and defined contribution)		2,318		2,847		5,800		9,113
Defined Contribution Plans		681		700		2,173		2,190
Postretirement Health Benefit Plan		78		76		233		229
Total retirement plan expenses	$	5,427	$	6,123	$	15,256	$	19,032

Benefit Equalization Plan (BEP)

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

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

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Service cost	$	619	$	495	$	1,858	$	1,487
Interest cost		644		529		1,933		1,588
Amortization of unrecognized net loss		1,221		1,478		3,662		4,432
Amortization of unrecognized past service cost		52		175		156		523
Net periodic benefit cost - Defined Benefit BEP		2,536		2,677		7,609		8,030
Benefit Equalization plans - Thrift and Deferred incentive compensation plans		(218)		170		(1,809)		1,083
Total	$	2,318	$	2,847	$	5,800	$	9,113

Postretirement Health Benefit Plan

The Retiree Medical Benefit Plan (the Plan) is for retired employees and for employees who are eligible for retirement benefits. The Plan is unfunded. The Plan, as amended, is offered to active employees who have completed 10 years of employment service at the FHLBNY and attained age 55 as of January 1, 2015.

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

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Service cost (benefits attributed to service during the period)	$	11	$	16	$	34	$	48
Interest cost on accumulated postretirement health benefit obligation		67		60		199		181
Net periodic postretirement health benefit expense/(income)	$	78	$	76	$	233	$	229

36

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 17.         Derivatives and Hedging Activities.

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

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

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

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

Derivative Notionals

	Hedging Instruments Under ASC 815
	September 30, 2022		December 31, 2021
Interest rate contracts
Interest rate swaps	$	165,638,057	$	94,190,603
Interest rate caps		800,000		800,000
Mortgage delivery commitments		10,466		8,573
Total interest rate contracts notionals	$	166,448,523	$	94,999,176

37

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Offsetting of Derivative Assets and Derivative Liabilities — Net Presentation

The table below presents the gross and net derivatives receivables by contract type and amount for those derivatives contracts for which netting is permissible under U.S. GAAP as Derivative instruments — nettable. Derivatives receivables have been netted with respect to those receivables as to which the netting requirements have been met, including obtaining a legal analysis with respect to the enforceability of the netting (in thousands):

	September 30, 2022				December 31, 2021
	Derivative		Derivative		Derivative		Derivative
	Assets		Liabilities		Assets		Liabilities
Derivative instruments - nettable
Gross recognized amount
Uncleared derivatives	$	530,688	$	2,062,803	$	203,797	$	719,892
Cleared derivatives		1,237,267		1,198,802		293,323		296,531
Total gross recognized amount		1,767,955		3,261,605		497,120		1,016,423
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives		(399,374)		(2,039,514)		(77,045)		(683,385)
Cleared derivatives		(1,195,877)		(1,195,877)		(122,585)		(296,531)
Total gross amounts of netting adjustments and cash collateral		(1,595,251)		(3,235,391)		(199,630)		(979,916)
Net amounts after offsetting adjustments and cash collateral	$	172,704	$	26,214	$	297,490	$	36,507
Uncleared derivatives	$	131,314	$	23,289	$	126,752	$	36,507
Cleared derivatives		41,390		2,925		170,738		—
Total net amounts after offsetting adjustments and cash collateral	$	172,704	$	26,214	$	297,490	$	36,507
Derivative instruments - not nettable
Uncleared derivatives (a)	$	2	$	245	$	14	$	5
Total derivative assets and total derivative liabilities
Uncleared derivatives	$	131,316	$	23,534	$	126,766	$	36,512
Cleared derivatives		41,390		2,925		170,738		—
Total derivative assets and total derivative liabilities presented in the Statements of Condition (b)	$	172,706	$	26,459	$	297,504	$	36,512
Non-cash collateral received or pledged (c)
Can be sold or repledged
Security pledged as initial margin to Derivative Clearing Organization (d)	$	571,641	$	—	$	367,110	$	—
Cannot be sold or repledged
Uncleared derivatives securities received		(109,300)		—		(115,833)		—
Total net amount of non-cash collateral received or repledged	$	462,341	$	—	$	251,277	$	—
Total net exposure cash and non-cash (e)	$	635,047	$	26,459	$	548,781	$	36,512
Net unsecured amount - Represented by:
Uncleared derivatives	$	22,016	$	23,534	$	10,933	$	36,512
Cleared derivatives		613,031		2,925		537,848		—
Total net exposure cash and non-cash (e)	$	635,047	$	26,459	$	548,781	$	36,512

(a) Not nettable derivative instruments are without legal right of offset, and were synthetic derivatives representing forward mortgage delivery commitments of 45 business days or less. Amounts were not material, and it was operationally not practical to separate receivables from payables; net presentation was adopted. No cash collateral was involved with the mortgage delivery commitments.

(b) Amounts represented Derivative assets and liabilities that were recorded in the Statements of Condition. Derivative cash balances were not netted with non-cash collateral received or pledged, since legal ownership of the non-cash collateral remains with the pledging counterparty (see footnote (c) below).

38

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

(c) Non-cash collateral received or pledged – For certain uncleared derivatives, from time to time counterparties have pledged U.S. Treasury securities to the FHLBNY as collateral. Amounts also included non-cash mortgage collateral on derivative positions with member counterparties where we acted as an intermediary. For certain cleared derivatives, we have pledged marketable securities to satisfy initial margin or collateral requirements.

(d) Amounts represented securities pledged to Derivative Clearing Organization (DCO) to fulfill our initial margin obligations on cleared derivatives. Securities pledged may be sold or repledged if the FHLBNY defaults on its obligations under rules established by the CFTC.

(e) Amounts represented net exposure after applying non-cash collateral pledged to and by the FHLBNY. Since legal ownership and control over the securities are not transferred, the net exposure represented in the table above is for information only and is not reported as such in the Statements of Condition.

Note on variation margin — For all cleared derivative contracts that have not matured, “Variation margin” is exchanged between the FHLBNY and the Futures Commission Merchant (FCM), acting as agents on behalf of DCOs. Variation margin is determined by the DCO and fluctuates with the fair values of the open contracts. When the aggregate contract value of open derivatives is “in-the-money” for the FHLBNY (gain position), the FHLBNY would receive variation margin from the DCO. If the value of the open contracts is “out-of-the-money” (liability position), the FHLBNY would post variation margin to the DCO. At September 30, 2022, no net of cash as settlement variation margin was posted to FCMs. At December 31, 2021, the FHLBNY posted $7.8 million in cash as settlement variation margin to FCMs. As noted, variation margin is not considered as collateral, rather as the daily settlement amounts of outstanding derivative contracts.

Fair Value of Derivative Instruments

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

	September 30, 2022
	Notional Amount		Derivative		Derivative
	of Derivatives		Assets		Liabilities
Fair value of derivative instruments (a)
Derivatives designated as hedging instruments under ASC 815 interest rate swaps	$	121,071,503	$	892,361	$	2,610,339
Total derivatives in hedging relationships under ASC 815		121,071,503		892,361		2,610,339
Derivatives not designated as hedging instruments
Interest rate swaps		44,443,554		873,995		647,484
Interest rate caps		800,000		1,074		—
Mortgage delivery commitments		10,466		2		245
Other (b)		123,000		525		3,782
Total derivatives not designated as hedging instruments		45,377,020		875,596		651,511
Total derivatives before netting and collateral adjustments	$	166,448,523	$	1,767,957	$	3,261,850
Netting adjustments			$	(1,581,731)	$	(1,581,731)
Cash collateral and related accrued interest				(13,520)		(1,653,660)
Total netting adjustments and cash collateral				(1,595,251)		(3,235,391)
Total derivative assets and total derivative liabilities			$	172,706	$	26,459
Security collateral pledged as initial margin to Derivative Clearing Organization (c)			$	571,641
Security collateral received from counterparty (c)				(109,300)
Net security				462,341
Net exposure			$	635,047

39

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

	December 31, 2021
	Notional Amount		Derivative		Derivative
	of Derivatives		Assets		Liabilities
Fair value of derivative instruments (a)
Derivatives designated as hedging instruments under ASC 815 interest rate swaps	$	77,159,117	$	469,953	$	990,925
Total derivatives in hedging relationships under ASC 815		77,159,117		469,953		990,925
Derivatives not designated as hedging instruments
Interest rate swaps		16,873,486		23,014		24,627
Interest rate caps		800,000		136		—
Mortgage delivery commitments		8,573		14		5
Other (b)		158,000		4,017		871
Total derivatives not designated as hedging instruments		17,840,059		27,181		25,503
Total derivatives before netting and collateral adjustments	$	94,999,176	$	497,134	$	1,016,428
Netting adjustments			$	(192,330)	$	(192,330)
Cash collateral and related accrued interest				(7,300)		(787,586)
Total netting adjustments and cash collateral				(199,630)		(979,916)
Total derivative assets and total derivative liabilities			$	297,504	$	36,512
Security collateral pledged as initial margin to Derivative Clearing Organization (c)			$	367,110
Security collateral received from counterparty (c)				(115,833)
Net security				251,277
Net exposure			$	548,781

(a) All derivative assets and liabilities with swap dealers and counterparties are executed under collateral agreements; derivative instruments executed bilaterally are subject to legal right of offset under master netting agreements.

(b) The Other category comprised of interest rate swaps intermediated for members, and notional amounts represent purchases by the FHLBNY from dealers and an offsetting purchase from us by the members.

(c) Non-cash security collateral is not permitted to be offset on the balance sheet but would be eligible for offsetting in an event of default. Amounts represent non-cash collateral and or U.S. Treasury securities pledged to and received from counterparties as collateral at September 30, 2022 and December 31, 2021.

Accounting for Derivative Hedging

The FHLBNY accounts for its hedging activities in accordance with ASC 815, Derivatives and Hedging. As a general rule, hedge accounting is permitted where the FHLBNY is exposed to a particular risk, typically interest-rate risk that causes changes in the fair value of an asset or liability or variability in the expected future cash flows of an existing asset, liability or a forecasted transaction that may affect earnings. Derivative contracts hedging the risks associated with the changes in fair value are referred to as Fair value hedges, while contracts hedging the risks affecting the expected future cash flows are called Cash flow hedges. Derivatives not designated under a qualifying ASC 815 hedge relationship and designated as an asset/liability management hedge are classified as an economic hedge. For more information, see financial statements, Note 1. Critical Accounting Policies and Estimates in the most recent Form 10-K for the year ended December 31, 2021 filed on March 22, 2022.

Fair value hedge gains and losses

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

	Gains (Losses) on Fair Value Hedges
	Recorded in Interest Income/Expense
	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Gains (losses) on derivatives in designated and qualifying fair value hedges:
Interest rate hedges	$	105,794	$	108,070	$	381,058	$	509,861
Gains (losses) on hedged item in designated and qualifying fair value hedges:
Interest rate hedges	$	(96,924)	$	(107,046)	$	(347,090)	$	(504,637)

40

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

Cumulative Basis Adjustment

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

The tables below present the carrying amount of FHLBNY’s assets and liabilities under active ASC 815 qualifying fair value hedges at September 30, 2022 and December 31, 2021, as well as the hedged item’s cumulative hedge basis adjustments, which were included in the carrying value of assets and liabilities in active hedges. The tables also present unamortized cumulative basis adjustments from discontinued hedges where the previously hedged item remains on the FHLBNY’s Statements of Condition (in thousands):

	September 30, 2022
			Cumulative Fair Value Hedging Adjustment
			Included in the Carrying Amount of Hedged
			Items Gains (Losses)
	Carrying Amount of				Discontinued
	Hedged		Active Hedging		Hedging
	Assets/Liabilities (a)		Relationship		Relationship
Assets:
Hedged advances	$	44,978,980	$	(1,721,263)	$	—
Hedged AFS debt securities (a)		3,430,810		(596,489)		—
De-designated advances (b)		—		—		230
	$	48,409,790	$	(2,317,752)	$	230
Liabilities:
Hedged consolidated obligation bonds	$	37,037,837	$	2,125,652	$	—
Hedged consolidated obligation discount notes		29,393,410		57,533		—
De-designated consolidated obligation bonds (b)		—		—		(117,677)
	$	66,431,247	$	2,183,185	$	(117,677)

	December 31, 2021
			Cumulative Fair Value Hedging Adjustment
			Included in the Carrying Amount of Hedged
			Items Gains (Losses)
	Carrying Amount of				Discontinued
	Hedged		Active Hedging		Hedging
	Assets/Liabilities (a)		Relationship		Relationship
Assets:
Hedged advances	$	37,731,410	$	321,057	$	—
Hedged AFS debt securities (a)		2,892,784		(30,667)		—
De-designated advances (b)		—		—		339
	$	40,624,194	$	290,390	$	339
Liabilities:
Hedged consolidated obligation bonds	$	30,158,015	$	(77,048)	$	—
Hedged consolidated obligation discount notes		3,325,017		424		—
De-designated consolidated obligation bonds (b)		—		—		(125,091)
	$	33,483,032	$	(76,624)	$	(125,091)

(a) Carrying amounts represent amortized cost adjusted for cumulative fair value hedging basis. For AFS securities in a fair value partial-term hedge, changes in the fair values due to changes in the benchmark rate were recorded as an adjustment to amortized cost and an offset to interest income from the hedged AFS securities.

41

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

(b) At September 30, 2022, par amounts of de-designated advances were $375.0 million; par amounts of de-designation CO bonds were $1.5 billion; par amounts of de-designated CO discount notes were $8.7 billion. At December 31, 2021, par amounts of de-designated advances were $0.1 billion, and par amount of de-designated CO bonds were $1.4 billion. Cumulative fair value hedging adjustments for active and discontinued hedging relationships will remain on the balance sheet until the items are derecognized.

Cash flow hedge gains and losses

The following tables present derivative instruments used in cash flow hedge accounting relationships and the gains and losses recorded on such derivatives (in thousands):

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

Three months ended September 30,

2022

2021

Amounts

Amounts

Total

Amounts

Amounts

Total

Reclassified from

Reclassified from

Amounts

Change in

Reclassified from

Reclassified from

Amounts

Change in

AOCI to

AOCI to Other

Recorded

OCI for

AOCI to

AOCI to Other

Recorded

OCI for

Interest Expense (b)

Income (Loss) (c)

in OCI (d)

Period

Interest Expense (b)

Income (Loss) (c)

in OCI (d)

Period

Interest rate contracts (a)

$

(324)

$

—

$

74,247

$

74,571

$

(387)

$

—

$

15,922

$

16,309

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

Nine months ended September 30,

2022

2021

Amounts

Amounts

Total

Amounts

Amounts

Total

Reclassified from

Reclassified from

Amounts

Change in

Reclassified from

Reclassified from

Amounts

Change in

AOCI to

AOCI to Other

Recorded

OCI for

AOCI to

AOCI to Other

Recorded

OCI for

Interest Expense (b)

Income (Loss) (c)

in OCI (d)

Period

Interest Expense (b)

Income (Loss) (c)

in OCI (d)

Period

Interest rate contracts (a)

$

(1,010)

$

—

$

209,182

$

210,192

$

(1,128)

$

—

$

81,250

$

82,378

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

(b) Amounts represent amortization of gains (losses) related to closed cash flow hedges of anticipated issuance of CO bonds that were reclassified during the period to interest expense as a yield adjustment. Losses reclassified represent losses in AOCI that were amortized as an expense to debt interest expense. If debt is held to maturity, losses in AOCI will be relieved through amortization. It is expected that over the next 12 months, $1.0 million of the unrecognized losses in AOCI will be recognized as yield adjustments to debt interest expense.

(c) Under guidance provided by ASU 2017-12, hedge ineffectiveness (as defined under ASC 815) is reclassified only if the original transaction would not occur by the end of the specified time period or within a two-month period thereafter. There were no amounts that were reclassified into earnings due to discontinuation of cash flow hedges. Reclassification would occur if it became probable that the original forecasted transactions would not occur by the end of the originally specified time period or within a two-month period thereafter.

(d) Amounts represent changes in the fair values of open interest rate swap contracts in cash flow hedges of CO debt, primarily those hedging the rolling issuance of CO discount notes.

42

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Economic Hedges

FHLBNY often uses economic hedges when hedge accounting would be too complex or operationally burdensome. Derivatives that are economic hedges are carried at fair value, with changes in value included in Other income (loss), a line item, which is below Net interest income. For hedges that either do not meet the ASC 815 hedging criteria or for which management decides not to apply ASC 815 hedge accounting, the derivative is recorded at fair value on the balance sheet with the associated changes in fair value recorded in earnings, while the “hedged” instrument continues to be carried at amortized cost. Therefore, current earnings are affected by the interest rate shifts and other factors that cause a change in the swap’s value, but for which no offsetting change in value is recorded on the hedged instrument. Economic hedges are an acceptable hedging strategy under the FHLBNY’s risk management program, and the strategies comply with the Finance Agency’s regulatory requirements prohibiting speculative use of derivatives.

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

	Gains (Losses) on Economic Hedges
	Recorded in Other Income (Loss)
	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Gains (losses) on derivatives designated in economic hedges
Interest rate hedges	$	78,232	$	3,397	$	195,698	$	3,197
Caps		489		(34)		937		(9)
Mortgage delivery commitments		(560)		(100)		(1,229)		(316)
Total gains (losses) on derivatives in economic hedges	$	78,161	$	3,263	$	195,406	$	2,872

43

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 18.         Fair Values of Financial Instruments.

Estimated Fair Values — Summary Tables – Carrying values, the estimated fair values and the levels within the fair value hierarchy were as follows (in thousands):

	September 30, 2022
			Estimated Fair Value
											Netting
	Carrying										Adjustment and
Financial Instruments	Value		Total		Level 1		Level 2		Level 3 (a)		Cash Collateral
Assets
Cash and due from banks	$	21,331	$	21,331	$	21,331	$	—	$	—	$	—
Interest-bearing deposits		825,000		825,003		—		825,003		—		—
Securities purchased under agreements to resell		—		—		—		—		—		—
Federal funds sold		10,400,000		10,400,034		—		10,400,034		—		—
Trading securities		7,831,926		7,831,926		7,831,926		—		—		—
Equity Investments		75,767		75,767		75,767		—		—		—
Available-for-sale securities		6,823,561		6,823,561		—		5,709,633		1,113,928		—
Held-to-maturity securities		9,557,304		9,099,051		—		8,876,707		222,344		—
Advances		91,870,505		91,794,951		—		91,794,951		—		—
Mortgage loans held-for-portfolio, net		2,136,432		1,837,835		—		1,837,835		—		—
Accrued interest receivable		270,063		270,063		—		270,063		—		—
Derivative assets		172,706		172,706		—		1,767,957		—		(1,595,251)
Other financial assets		104		104		—		—		104		—
Liabilities
Deposits		1,114,689		1,114,637		—		1,114,637		—		—
Consolidated obligations
Bonds		72,174,319		71,061,058		—		71,061,058		—		—
Discount notes		49,029,855		49,013,370		—		49,013,370		—		—
Mandatorily redeemable capital stock		10,753		10,753		10,753		—		—		—
Accrued interest payable		251,102		251,102		—		251,102		—		—
Derivative liabilities		26,459		26,459		—		3,261,850		—		(3,235,391)
Other financial liabilities		—		—		—		—		—		—

44

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

	December 31, 2021
			Estimated Fair Value
											Netting
	Carrying										Adjustment and
Financial Instruments	Value		Total		Level 1		Level 2		Level 3 (a)		Cash Collateral
Assets
Cash and due from banks	$	21,653	$	21,653	$	21,653	$	—	$	—	$	—
Interest-bearing deposits		675,000		675,003		—		675,003		—		—
Securities purchased under agreements to resell		1,200,000		1,200,000		—		1,200,000		—		—
Federal funds sold		7,230,000		7,230,014		—		7,230,014		—		—
Trading securities		5,821,380		5,821,380		5,821,380		—		—		—
Equity Investments		96,124		96,124		96,124		—		—		—
Available-for-sale securities		6,547,421		6,547,421		—		5,548,784		998,637		—
Held-to-maturity securities		9,328,665		9,684,274		—		9,445,219		239,055		—
Advances		71,536,402		71,595,785		—		71,595,785		—		—
Mortgage loans held-for-portfolio, net		2,319,864		2,369,769		—		2,369,769		—		—
Accrued interest receivable		123,258		123,258		—		123,258		—		—
Derivative assets		297,504		297,504		—		497,134		—		(199,630)
Other financial assets		357		357		—		—		357		—
Liabilities
Deposits		1,321,238		1,321,241		—		1,321,241		—		—
Consolidated obligations
Bonds		54,829,401		55,104,747		—		55,104,747		—		—
Discount notes		42,197,259		42,196,648		—		42,196,648		—		—
Mandatorily redeemable capital stock		1,959		1,959		1,959		—		—		—
Accrued interest payable		126,990		126,990		—		126,990		—		—
Derivative liabilities		36,512		36,512		—		1,016,428		—		(979,916)
Other financial liabilities		30,368		30,368		30,368		—		—		—

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

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

Fair Value Hierarchy

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

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

45

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

These two types of inputs have created the following fair value hierarchy, and an entity must disclose the level within the fair value hierarchy in which the measurements are classified for all assets and liabilities measured on a recurring or non-recurring basis:

● Level 1 Inputs — Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date.

● Level 2 Inputs — Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and volatilities).

● Level 3 Inputs — Inputs that are unobservable and significant to the valuation of the asset or liability.

The inputs are evaluated on an overall level for the fair value measurement to be determined. This overall level is an indication of market observability of the fair value measurement for the asset or liability. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. These reclassifications are reported as transfers in/out as of the beginning of the quarter in which the changes occur. There were no such transfers in any periods in this report.

The availability of observable inputs can vary from product to product and is affected by a wide variety of factors including, for example, the characteristics peculiar to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised by the FHLBNY in determining fair value is greatest for instruments categorized as Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Summary of Valuation Techniques and Primary Inputs

The fair value of a financial instrument that is an asset is defined as the price the FHLBNY would receive to sell the asset in an orderly transaction with market participants. A financial liability’s fair value is defined as the amount that would be paid to transfer the liability to a new obligor, not the amount that would be paid to settle the liability with the creditor. Where available, fair values were based on observable market prices or parameters or derived from such prices or parameters. Where observable prices are not available, valuation models and inputs are utilized. These valuation techniques involve some level of management estimation and judgment, the degree of which is dependent on the price transparency for the instruments or markets and the instruments’ complexity. Because an active secondary market does not exist for a portion of the FHLBNY’s financial instruments, in certain cases, fair values are not subject to precise quantification or verification and may change as economic and market factors and evaluation of those factors change.

For assets and liabilities carried at fair value, the FHLBNY measures fair value using the procedures set out below:

Mortgage-backed securities, including housing finance obligations, classified as available-for-sale — The fair value of such securities is estimated by the FHLBNY using pricing primarily from specialized pricing services. The pricing vendors typically use market multiples derived from a set of comparables, including matrix pricing, and other techniques. The FHLBNY’s valuation technique incorporates prices from up to three designated third-party pricing services at September 30, 2022 and December 31, 2021. The FHLBNY’s base investment pricing methodology establishes a median price for each security using a formula that is based on the number of prices received. If three prices are received, the middle price is used; if two prices are received, the average of the two prices is used; and if one price is received, it is used, typically subject to further validation. Vendor prices that are outside of a defined tolerance threshold of the median price are identified as outliers and subject to additional review, including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates, which are deemed to be reflective of all relevant facts and circumstances that a market participant would consider. Such analysis is also applied in those limited instances where no third-party vendor price or only one third-party vendor price is available in order to arrive at an estimated fair value.

46

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

The FHLBNY has also concluded that the pricing vendors use methods that generally employ, but are not limited to benchmark yields, recent trades, dealer estimates, valuation models, benchmarking of like securities, sector groupings, and/or matrix pricing.

Based on the FHLBNY’s review processes, management has concluded that inputs into the pricing models employed by pricing services for the FHLBNY’s investments in GSE securities classified as available-for-sale are market based and observable and are considered to be within Level 2 of the fair value hierarchy.

Housing finance agency bonds —The fair value of housing finance agency bonds is estimated by management using information primarily from pricing services. Because of the current lack of significant market activity, their fair values were categorized within Level 3 of the fair value hierarchy as inputs into vendor pricing models may not be market based and observable.

Fair values of Mortgage-backed securities deemed impaired — When a PLMBS is deemed to be impaired, it is recorded at fair value. The valuation of PLMBS may require pricing services to use significant inputs that are subjective and are considered by management to be within Level 3 of the fair value hierarchy. This determination was made based on management’s view that the private-label instruments may not have an active market because of the specific vintage of the securities as well as inherent conditions surrounding the trading of private-label MBS, so that the inputs may not be market based and observable. Historically, impairments have been de minimis. The portfolio of PLMBS has declined as the FHLBNY has ceased acquiring PLMBS.

Trading Securities — The FHLBNY classifies trading securities as Level 1 of the fair value hierarchy when we use quoted market prices in active markets to determine the fair value of trading securities, such as U.S. government securities. We classify trading securities as Level 2 of the fair value hierarchy when we use quoted market prices in less active markets to determine the fair value of trading securities.

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

Advances elected under the FVO — When the FHLBNY elects the FVO designation for certain advances, the advances are recorded at their fair values in the Statements of Condition. The fair values are computed using standard option valuation models. The most significant inputs to the valuation model are (1) Consolidated obligation debt curve (CO Curve), published by the Office of Finance and available to the public, and (2) Benchmark swap curves and volatilities. Both these inputs are considered to be market based and observable as they can be directly corroborated by market participants.

The CO Curve is the primary input, which is market based and observable. Inputs to apply spreads, which are FHLBNY specific, were not material. Fair values were classified within Level 2 of the valuation hierarchy.

The FHLBNY determines the fair values of advances elected under the FVO by calculating the present value of expected future cash flows from the advances, a methodology also referred to as the Income approach under the Fair Value Measurement standards. The discount rates used in these calculations are equivalent to the replacement advance rates for advances with similar terms. In accordance with the Finance Agency’s “Advances” regulations, an advance with a maturity or repricing period greater than six months requires a prepayment fee sufficient to make a FHLBank financially indifferent to the borrower’s decision to prepay the advance. Therefore, the fair value of an advance does not assume prepayment risk.

The inputs used to determine fair value of advances elected under the FVO are as follows:

● CO Curve. The FHLBNY uses the CO Curve, which represents its cost of funds, as an input to estimate the fair value of advances, and to determine current advance rates. This input is considered market observable and therefore a Level 2 input.

● Volatility assumption. To estimate the fair value of advances with optionality, the FHLBNY uses market-based expectations of future interest rate volatility implied from current market prices for similar options. This input is considered a Level 2 input as it is market based and market observable.

● Spread adjustment. Adjustments represent the FHLBNY’s mark-up based on its pricing strategy. The input is considered as unobservable and is classified as a Level 3 input. The spread adjustment is not a significant input to the overall fair value of an advance.

47

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Consolidated Obligations elected under the FVO — The FHLBNY estimates the fair values of Consolidated obligations elected under the FVO based on the present values of expected future cash flows due on the debt obligations. Calculations are performed by using the FHLBNY’s industry standard option adjusted valuation models. The FHLBNY’s internal valuation models use the following inputs:

● CO Curve and Benchmark Swap Curves. The Office of Finance constructs an internal curve, referred to as the CO Curve, using the U.S. Treasury Curve as a base curve that is then adjusted by adding indicative spreads obtained from market observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, recent GSE trades and secondary market activity. The FHLBNY considers the inputs as Level 2 inputs as they are market observable.

● Volatility assumptions. To estimate the fair values of Consolidated obligations with optionality, the FHLBNY uses market-based expectations of future interest rate volatility implied from current market prices for similar options. These inputs are also considered Level 2 as they are market based and observable. No CO debt elected under the FVO were structured with options in any periods in this report.

Derivative Assets and Liabilities — The FHLBNY’s derivatives (cleared derivatives and bilaterally executed derivatives) are executed in the over-the-counter market and are valued using internal valuation techniques as no quoted market prices exist for such instruments. Discounted cash flow analysis is the primary methodology employed by the FHLBNY’s valuation models to measure the fair values of interest rate swaps. The valuation technique is considered as an “Income approach”. Interest rate caps and floors are valued under the “Market approach”. Interest rate swaps and interest rate caps and floors, collectively “derivatives”, were valued in industry-standard option adjusted valuation models, which generated fair values. The valuation models employed multiple market inputs including interest rates, prices, and indices to create continuous yield or pricing curves and volatility factors. These multiple market inputs were corroborated by management to independent market data, and to relevant benchmark indices. In addition, derivative valuations were compared by management to counterparty valuations received as part of the collateral exchange process. These derivative positions were classified within Level 2 of the valuation hierarchy at September 30, 2022 and December 31, 2021.

Starting in mid-October 2020, interest rate swaps cleared by Central Clearing Houses, LCH and the CME, are valued by discounting forward cash flows by the SOFR index, consistent with the change to SOFR in the interest accrual calculation of margins.

The FHLBNY’s valuation model utilizes a modified Black-Karasinski methodology. Significant market based and observable inputs into the valuation model include volatilities and interest rates. The Bank’s valuation model employs industry standard market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative were as follows:

Interest-rate related:

● LIBOR Swap Curve.

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

● Prepayment assumption (if applicable).

● Federal funds curve (FF/OIS curve).

● SOFR curve (SOFR/OIS).

Mortgage delivery commitments (considered a derivative) — TBA security prices are adjusted for differences in coupon, average loan rate and seasoning. To be announced (TBA) is the term describing forward-settling MBS trades issued by Freddie Mac, Fannie Mae, and Ginnie Mae trade in the TBA market. The FHLBNY incorporates SOFR and the overnight indexed swap (FF/OIS) curves as fair value measurement inputs for the valuation of its derivatives as the curves reflect the interest rates paid on cash collateral provided against the fair value of these derivatives. The FHLBNY believes using relevant SOFR and the FF/OIS curves as inputs to determine fair value measurements provides a more representative reflection of the fair values of these collateralized interest-rate related derivatives. SOFR and the FF/OIS curves are inputs to the valuation model and are obtained from industry standard pricing vendors; the inputs are available and observable over the entire terms of the interest rate swaps.

48

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

Credit risk and credit valuation adjustments

The FHLBNY is subject to credit risk in derivatives transactions due to the potential non-performance of its derivatives counterparties or a Derivatives Clearing Organizations (DCO). To mitigate this risk, the FHLBNY has entered into master netting agreements and credit support agreements with its derivative counterparties for its bilaterally executed derivative contracts that provide for the delivery of collateral at specified levels at least weekly. The computed fair values of the derivatives took into consideration the effects of legally enforceable master netting agreements that allow the FHLBNY to settle positive and negative positions and offset cash collateral with the same counterparty on a net basis. For derivative transactions executed as a cleared derivative, the transactions are fully collateralized in cash and for the most part exchanged and settled daily with the DCO. The FHLBNY has also established the enforceability of offsetting rights incorporated in the agreements for the cleared derivative transactions.

As a result of these practices and agreements and the FHLBNY’s assessment of any change in its own credit spread, the FHLBNY has concluded that the impact of the credit differential between the FHLBNY and its derivative counterparties and DCO was sufficiently mitigated to an immaterial level that no credit adjustments were deemed necessary to the recorded fair value of Derivative assets and Derivative liabilities in the Statements of Condition at September 30, 2022 and December 31, 2021.

Fair Value Measurement

The tables below present the fair value of those assets and liabilities that are recorded at fair value on a recurring or non-recurring basis at September 30, 2022 and December 31, 2021, by level within the fair value hierarchy. Certain mortgage loans that were partially charged-off were recorded at their collateral values on a non-recurring basis. OREO is measured at fair value when the asset’s fair value less costs to sell is lower than its carrying amount.

49

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

	September 30, 2022
									Netting
									Adjustment and
	Total		Level 1		Level 2		Level 3		Cash Collateral
Assets
Trading securities
U.S. Treasury securities	$	7,831,926	$	7,831,926	$	—	$	—	$	—
Equity Investments		75,767		75,767		—		—		—
Available-for-sale securities
GSE/U.S. agency issued MBS		5,709,633		—		5,709,633		—		—
State and local housing finance agency obligations		1,113,928		—		—		1,113,928		—
Derivative assets (a)
Interest-rate derivatives		172,704		—		1,767,955		—		(1,595,251)
Mortgage delivery commitments		2		—		2		—		—
Total recurring fair value measurement - Assets	$	14,903,960	$	7,907,693	$	7,477,590	$	1,113,928	$	(1,595,251)
Liabilities
Consolidated obligation:
Bonds (to the extent FVO is elected) (b)	$	(3,943,103)	$	—	$	(3,943,103)	$	—	$	—
Derivative liabilities (a)
Interest-rate derivatives		(26,214)		—		(3,261,605)		—		3,235,391
Mortgage delivery commitments		(245)		—		(245)		—		—
Total recurring fair value measurement - Liabilities	$	(3,969,562)	$	—	$	(7,204,953)	$	—	$	3,235,391

	December 31, 2021
									Netting
									Adjustment and
	Total		Level 1		Level 2		Level 3		Cash Collateral
Assets
Trading securities
U.S. Treasury securities	$	5,821,380	$	5,821,380	$	—	$	—	$	—
Equity Investments		96,124		96,124		—		—		—
Available-for-sale securities
GSE/U.S. agency issued MBS		5,548,784		—		5,548,784		—		—
State and local housing finance agency obligations		998,637		—		—		998,637		—
Derivative assets(a)
Interest-rate derivatives		297,490		—		497,120		—		(199,630)
Mortgage delivery commitments		14		—		14		—		—
Total recurring fair value measurement - Assets	$	12,762,429	$	5,917,504	$	6,045,918	$	998,637	$	(199,630)
Liabilities
Consolidated obligation:
Bonds (to the extent FVO is elected) (b)	$	(7,386,074)	$	—	$	(7,386,074)	$	—	$	—
Derivative liabilities (a)
Interest-rate derivatives		(36,507)		—		(1,016,423)		—		979,916
Mortgage delivery commitments		(5)		—		(5)		—		—
Total recurring fair value measurement - Liabilities	$	(7,422,586)	$	—	$	(8,402,502)	$	—	$	979,916

(a) Based on analysis of the nature of the risk, the presentation of derivatives as a single class is appropriate.

(b) Based on analysis of the nature of risks of Consolidated obligation bonds measured at fair value, the FHLBNY has determined that presenting the bonds as a single class is appropriate.

50

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

	State and Local Housing Finance Agency Obligations
	Three Months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Balance, beginning of the period	$	1,112,414	$	—	$	998,637	$	—
Transfer of securities from held-to-maturity to available-for-sale		—		900,719		—		900,719
Provision for credit losses		—		586		—		586
Total gains (losses) included in other comprehensive income
Net unrealized gains (losses)		1,514		(113)		1,096		(113)
Purchases		—		—		308,000		—
Settlements		—		—		(193,805)		—
Balance, end of the period	$	1,113,928	$	901,192	$	1,113,928	$	901,192

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

	During the period ended September 30, 2022
	Fair Value		Level 1		Level 2		Level 3
Mortgage loans held-for-portfolio	$	189	$	—	$	189	$	—
Real estate owned		—		—		—		—
Total non-recurring assets at fair value	$	189	$	—	$	189	$	—

	During the period ended December 31, 2021
	Fair Value		Level 1		Level 2		Level 3
Mortgage loans held-for-portfolio	$	657	$	—	$	657	$	—
Real estate owned		315		—		—		315
Total non-recurring assets at fair value	$	972	$	—	$	657	$	315

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

In accordance with disclosure provisions, we have reported changes in fair values of such assets as of the date the fair value adjustments were recorded during the period ended September 30, 2022 and December 31, 2021, and reported fair values were not as of the period end dates.

Fair Value Option Disclosures

From time to time, the FHLBNY will elect the FVO for advances and Consolidated obligations on an instrument-by-instrument basis with changes in fair value reported in earnings. Customarily, the election is made when either the instruments do not qualify for hedge accounting or may be at risk for not meeting hedge effectiveness requirements; the objective is primarily to mitigate the potential income statement volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value. We may also elect advances under the FVO when analysis indicates that changes in the fair values of the advance would be an offset to fair value volatility of debt elected under the FVO. We may also elect CO bonds under the FVO to achieve asset liability objectives. The FVO election is made at inception of the contracts for advances and debt obligations.

51

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

For instruments for which the fair value option has been elected, the related contractual interest income, contractual interest expense, the discount amortization on fair value option consolidated obligation discount notes and the premium/discount amortization on fair value option consolidated obligation bonds are recorded as part of net interest income in the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains (losses) on financial instruments held under fair value option in the Statements of Income. The change in fair value does not include changes in instrument-specific credit risk. The FHLBNY has determined that no adjustments to the fair values of its instruments recorded under the fair value option for instrument-specific credit risk were necessary at September 30, 2022 and December 31, 2021.

As with all advances, when advances are elected under the FVO, they are also fully collateralized through their terms to maturity. We consider our Consolidated obligation debt as high credit-quality, highly rated instruments, and changes in fair values are generally related to changes in interest rates and investor preference, including investor asset allocation strategies. The FHLBNY believes the credit-quality of Consolidated obligation debt has remained stable, and changes in fair value attributable to instrument-specific credit risk, if any, were not material given that the debt elected under the FVO had been issued within the recent past periods, and no adverse changes have been observed in their credit characteristics.

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

	Three months ended September 30,
	2022		2021		2022		2021
	Bonds				Discount Notes
Balance, beginning of the period	$	(3,618,896)	$	(13,347,759)	$	—	$	(1,249,963)
New transactions elected for fair value option		(413,920)		(4,415,000)		—		—
Maturities and terminations		—		6,950,000		—		1,249,392
Net gains (losses) on financial instruments held under fair value option		96,734		282		—		33
Change in accrued interest/unaccreted balance		(7,021)		1,115		—		538
Balance, end of the period	$	(3,943,103)	$	(10,811,362)	$	—	$	—

	Nine months ended September 30,
	2022		2021		2022		2021
	Bonds				Discount Notes
Balance, beginning of the period	$	(7,386,074)	$	(16,580,464)	$	—	$	(7,133,755)
New transactions elected for fair value option		(2,423,935)		(15,760,925)		—		(1,249,391)
Maturities and terminations		5,665,000		21,525,000		—		8,367,602
Net gains (losses) on financial instruments held under fair value option		214,163		2,221		—		2,027
Change in accrued interest/unaccreted balance		(12,257)		2,806		—		13,517
Balance, end of the period	$	(3,943,103)	$	(10,811,362)	$	—	$	—

(a) No discount notes elected under the FVO was outstanding at September 30, 2022.

52

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

The following tables present the change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected ^(a) (in thousands):

	Three months ended September 30,
	2022						2021
			Net Gains		Total Change in Fair				Net Gains		Total Change in Fair
			(Losses) Due to		Value Included in				(Losses) Due to		Value Included in
	Interest		Changes in Fair		Current Period		Interest		Changes in Fair		Current Period
	Expense		Value		Earnings		Expense		Value		Earnings
Consolidated obligation bonds	$	(18,740)	$	96,734	$	77,994	$	(2,938)	$	282	$	(2,656)
Consolidated obligation discount notes		—		—		—		(71)		33		(38)
	$	(18,740)	$	96,734	$	77,994	$	(3,009)	$	315	$	(2,694)

	Nine months ended September 30,
	2022						2021
			Net Gains		Total Change in Fair				Net Gains		Total Change in Fair
			(Losses) Due to		Value Included in				(Losses) Due to		Value Included in
	Interest		Changes in Fair		Current Period		Interest		Changes in Fair		Current Period
	Expense		Value		Earnings		Expense		Value		Earnings
Consolidated obligation bonds	$	(34,865)	$	214,163	$	179,298	$	(12,844)	$	2,221	$	(10,623)
Consolidated obligation discount notes		—		—		—		(3,839)		2,027		(1,812)
	$	(34,865)	$	214,163	$	179,298	$	(16,683)	$	4,248	$	(12,435)

(a) No discount notes elected under the FVO was outstanding at September 30, 2022.

The following tables compare the aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected ^(a)(c) (in thousands):

	September 30, 2022
					Fair Value
					Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance
Consolidated obligation bonds (b)	$	4,161,495	$	3,943,103	$	(218,392)

	December 31, 2021
					Fair Value
					Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance
Consolidated obligation bonds (b)	$	7,402,560	$	7,386,074	$	(16,486)

	September 30, 2021
					Fair Value
					Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance
Consolidated obligation bonds (b)	$	10,810,925	$	10,811,362	$	437

(a) Advances – No advances elected under the FVO were outstanding at September 30, 2022, December 31, 2021 and September 30, 2021. From time to time, the FHLBNY has elected the FVO for advances on an instrument by instrument basis with terms that were primarily short-and intermediate-term.

53

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

(b) CO bonds – The FHLBNY has elected the FVO on an instrument-by-instrument basis for CO bonds, primarily fixed-rate, intermediate- and short-term debt; management elects the FVO for such CO bonds when management is not able to assert with confidence that the debt would qualify for hedge accounting as such short-term debt may not remain highly effective hedges through the maturity of the bonds. Management may also elect the FVO of certain other CO bonds to achieve asset liability objectives.

(c) Discount notes - No discount notes elected under the FVO were outstanding at September 30, 2022, December 31, 2021 and September 30, 2021. From time to time, discount notes were elected under the FVO because management was not able to assert with confidence that the debt would qualify for hedge accounting as the short-term discount note debt may not remain highly effective hedges through maturity.

Note 19.         Commitments and Contingencies.

Consolidated obligations — The FHLBanks have joint and several liability for all the Consolidated obligations issued on their behalf. Accordingly, should one or more of the FHLBanks be unable to repay their participation in the Consolidated obligations, each of the other FHLBanks could be called upon to repay all or part of such obligations, as determined or approved by the Finance Agency. Neither the FHLBNY nor any other FHLBank has ever had to assume or pay the Consolidated obligations of another FHLBank. The FHLBNY does not believe that it will be called upon to pay the Consolidated obligations of another FHLBank in the future. Under the provisions of accounting standards for guarantees, the FHLBNY would have been required to recognize the fair value of the FHLBNY’s joint and several liability for all the Consolidated obligations, as discussed above. However, the FHLBNY considers the joint and several liabilities as similar to a related party guarantee, which meets the scope exception under the accounting standard for guarantees. Accordingly, the FHLBNY has not recognized the fair value of a liability for its joint and several obligations related to other FHLBanks’ Consolidated obligations, which in aggregate were par amounts of $1.0 trillion as of September 30, 2022 and $0.7 trillion as of December 31, 2021.

Affordable Housing Program — The 11 FHLBanks are expected to contribute $100 million in aggregate annually to the AHP. If the aggregate assessment is less than $100 million for all the FHLBanks, each FHLBank would be required to assure that the aggregate contributions of the FHLBanks equal $100 million. The proration would be made on the basis of the FHLBank’s income in relation to the income of all FHLBanks for the previous year. There have been no shortfalls in any periods in this report.

54

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

The following table summarizes contractual obligations and contingencies (in thousands):

	September 30, 2022
Contractual Obligations
Consolidated obligation bonds at par (a)	$	74,290,185
Consolidated obligation discount notes at par		49,333,280
Mandatorily redeemable capital stock (a)		10,753
Premises (lease obligations) (b)		87,635
Remote backup site		1,076
Other liabilities (c)		141,148
Total contractual obligations	$	123,864,077
Other commitments
Standby letters of credit (d)	$	15,430,473
Consolidated obligation bonds/discount notes traded not settled		90,000
Commitments to fund additional advances		108,600
Commitments to fund pension		9,400
Open delivery commitments (MAP)		10,466
Total other commitments	$	15,648,939
Total obligations and commitments	$	139,513,016

(a) Callable bonds contain an exercise date or a series of exercise dates that may result in a shorter redemption period. Redemption dates of mandatorily redeemable capital stock are assumed to correspond to maturity dates of member advances. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock. While interest payments on CO bonds and discount notes are contractual obligations, they are deemed to be not material and, therefore, amounts were omitted from the table.

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

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

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

The Bank did not record credit losses on off-balance sheet arrangements for any periods in this report.

Operating Lease Commitments

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

55

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

At September 30, 2022 and December 31, 2021, the FHLBNY was obligated under a number of noncancelable leases, predominantly operating leases for premises. These leases generally have terms of 15 years or less that contain escalation clauses that will increase rental payments. Operating leases also include backup datacenters and certain office equipment. Operating lease liabilities and ROU are recognized at the lease commencement date based on the present value of the future minimum lease payments over the lease term. The future lease payments are discounted at a rate that represents the FHLBNY’s borrowing rate for its own debt (Consolidated obligation bonds) of a similar term. ROU includes any lease prepayments made, plus any initial direct costs incurred, less any lease incentives received. Rental expense associated with operating leases is recognized on a straight-line basis over the lease term. Premise rental expense is included in occupancy expense, and datacenter and other lease expenses are included in other operating expense in the Statements of Income. ROU and lease liabilities are reported in the Statements of Condition.

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

	September 30, 2022		December 31, 2021
Operating Leases (a)
Right-of-use assets	$	61,676	$	65,624
Lease Liabilities	$	74,788	$	79,026

	Three months ended September 30,						Nine months ended September 30,
	2022			2021			2022		2021
Operating Lease Expense	$	1,952		$	1,952		$	5,856	$	5,856
Operating cash flows - Cash Paid	$	2,050		$	2,037		$	6,148	$	6,111
	September 30, 2022			December 31, 2021
Weighted Average Discount Rate		3.31	%		3.30	%
Weighted Average Remaining Lease Term		10.36	Years		11.06	Years

	Remaining maturities through
Operating lease liabilities	September 30, 2022		December 31, 2021
Remainder of 2022	$	2,099	$	8,246
2023		8,615		8,615
2024		8,297		8,297
2025		8,088		8,088
2026		8,142		8,142
Thereafter		53,656		53,656
Total undiscounted lease payments		88,897		95,044
Imputed interest		(14,109)		(16,018)
Total operating lease liabilities	$	74,788	$	79,026

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

Note 20.         Related Party Transactions.

The FHLBNY is a cooperative and the members own almost all of the stock of the FHLBNY. Stock issued and outstanding that is not owned by members is held by former members. The majority of the members of the Board of Directors of the FHLBNY are elected by and from the membership. The FHLBNY conducts its advances business almost exclusively with members, and considers its transactions with its members and non-member stockholders as related party transactions in addition to transactions with other FHLBanks, the Office of Finance, and the Finance Agency. The FHLBNY conducts all transactions with members and non-members in the ordinary course of business. All transactions with all members, including those whose officers may serve as directors of the FHLBNY, are at terms that are no more favorable than comparable transactions with other members. The FHLBNY may from time to time borrow or sell overnight and term federal funds at market rates to members.

Debt Assumptions and Transfers. When debt is transferred or assumed, the transactions would be executed in the ordinary course of the FHLBNY’s business and at negotiated market pricing.

56

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Debt assumptions — No debt was assumed from another FHLBank in the nine months ended September 30, 2022. In February 2021, the FHLBNY assumed $171.2 million of debt (par amounts) from another FHLBank.

Debt transfers — No debt was transferred to another FHLBank in the nine months ended September 30, 2022 and in the same period in 2021.

Advances Sold or Transferred

No advances were transferred or sold to the FHLBNY or from the FHLBNY to another FHLBank in any periods in this report. When an advance is transferred or assumed, the transactions would be executed in the ordinary course of the FHLBNY’s business and at negotiated market pricing.

MPF Program

In the MPF program, the FHLBNY may participate to the FHLBank of Chicago portions of its purchases of mortgage loans from its members. Transactions are participated at market rates. Since 2004, the FHLBNY has not shared its purchases with the FHLBank of Chicago. From the inception of the program through 2004, the cumulative share of MPF Chicago’s participation in the FHLBNY’s MPF loans that has remained outstanding was $4.0 million at September 30, 2022 and $4.6 million at December 31, 2021.

Fees paid to the FHLBank of Chicago for providing MPF program services were approximately $0.3 million and $1.0 million for the three and nine months ended September 30, 2022, compared to $0.4 million and $1.4 million for the same periods in the prior year.

Mortgage-backed Securities

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

Intermediation

From time to time, the FHLBNY acts as an intermediary to purchase derivatives to accommodate its smaller members. At September 30, 2022 and December 31, 2021, outstanding notional amounts were $61.5 million and $79.0 million, representing derivative contracts in which the FHLBNY acted as an intermediary to execute derivative contracts with members. Separately, the contracts were offset with contracts purchased from unrelated derivatives dealers. Net fair value exposures of these transactions were not significant. The intermediated derivative transactions with members and derivative counterparties were collateralized.

Loans to Other Federal Home Loan Banks

There were $2.3 billion and $4.3 billion overnight loans extended to other FHLBanks in the three and nine months ended September 30, 2022. There were no overnight loans extended to other FHLBanks in the three months ended September 30, 2021. For the nine months ended September 30, 2021, we extended $0.3 billion overnight loans to other FHLBanks with the average balance of $1.1 million for the period. In the three and nine months ended September 30, 2022, overnight loans extended to other FHLBanks averaged $24.5 million and $18.3 million. Generally, loans made to other FHLBanks are uncollateralized. Interest income from such loans was immaterial in the periods in this report.

Borrowings from Other Federal Home Loan Banks

The FHLBNY borrows from other FHLBanks, generally for a period of one day. There were no borrowings from other FHLBanks in the three and nine months ended September 30, 2022 and September 30, 2021.

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

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

57

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Cash and Due from Banks

At September 30, 2022 and December 31, 2021, there was no compensating cash balances held at Citibank. Citibank is a member and stockholder of the FHLBNY. For more information, see Note 3. Cash and Due from Banks.

The following tables summarize significant balances and transactions with related parties and transactions (in thousands):

Related Party: Outstanding Assets, Liabilities and Capital

	September 30, 2022		December 31, 2021
	Related		Related
Assets
Advances	$	91,870,505	$	71,536,402
Accrued interest receivable		194,824		69,852
Liabilities and capital
Deposits	$	1,114,689	$	1,321,238
Mandatorily redeemable capital stock		10,753		1,959
Accrued interest payable		152		23
Affordable Housing Program (a)		124,609		137,638
Other liabilities (b)		—		30,368
Capital	$	7,182,461	$	6,445,853

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

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

Related Party: Income and Expense Transactions

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
	Related		Related		Related		Related
Interest income
Advances	$	565,508	$	116,229	$	914,365	$	379,624
Interest-bearing deposits		1		—		2		—
Loans to other FHLBanks		156		—		228		1
Interest expense
Deposits	$	4,538	$	116	$	6,364	$	291
Mandatorily redeemable capital stock		271		25		1,162		87
Service fees and other	$	4,114	$	4,354	$	12,254	$	13,091

Note 21.         Segment Information and Concentration.

The FHLBNY manages its operations as a single business segment. Management and the FHLBNY’s Board of Directors review enterprise-wide financial information in order to make operating decisions and assess performance. Advances to large members constitute a significant percentage of the FHLBNY’s advance portfolio and its source of revenues.

58

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

The top ten advance holders and associated interest income for the periods then ended are summarized as follows (dollars in thousands):

	September 30, 2022
					Percentage of
			Par		Total Par Value		Three Months					Nine Months
	City	State	Advances		of Advances		Interest Income		Percentage (a)			Interest Income		Percentage (a)
Citibank, N.A.	New York	NY	$	19,250,000	20.57	%	$	110,114		28.11	%	$	135,749	18.17	%
MetLife, Inc.:
Metropolitan Life Insurance Company	New York	NY		14,395,000	15.38			71,786		18.33			158,470	21.21
Metropolitan Tower Life Insurance Company	New York	NY		1,405,000	1.50			6,321		1.62			12,778	1.71
Subtotal MetLife, Inc.				15,800,000	16.88			78,107		19.95			171,248	22.92
New York Community Bank (b)	Hicksville	NY		12,840,000	13.72			58,363		14.90			161,171	21.57
Equitable Financial Life Insurance Company	New York	NY		7,826,263	8.36			46,828		11.95			82,206	11.00
Teachers Ins. & Annuity Assoc. of America	New York	NY		7,175,400	7.67			42,211		10.78			76,947	10.30
ESL Federal Credit Union	Rochester	NY		2,651,098	2.83			13,763		3.51			21,134	2.83
New York Life Insurance Company	New York	NY		2,405,000	2.57			16,090		4.11			43,654	5.85
Prudential Insurance Company of America	Newark	NJ		2,094,250	2.24			8,595		2.19			18,730	2.51
Valley National Bank	Wayne	NJ		1,573,767	1.68			6,317		1.61			17,019	2.28
Goldman Sachs Bank USA	New York	NY		1,500,000	1.60			11,325		2.89			19,201	2.57
Total			$	73,115,778	78.12	%	$	391,713		100.00	%	$	747,059	100.00	%

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

(b) An officer of this member bank joined the Board of Directors of the FHLBNY as a Member Director on January 1, 2022.

	December 31, 2021
					Percentage of
			Par		Total Par Value		Twelve Months
	City	State	Advances		of Advances		Interest Income		Percentage (a)
MetLife, Inc.:
Metropolitan Life Insurance Company	New York	NY	$	14,745,000	20.70	%	$	156,632		24.03	%
Metropolitan Tower Life Insurance Company	New York	NY		1,005,000	1.41			5,374		0.83
Subtotal MetLife, Inc.				15,750,000	22.11			162,006		24.86
New York Community Bank	Hicksville	NY		15,105,000	21.21			207,738		31.87
Equitable Financial Life Insurance Company	New York	NY		6,642,717	9.33			59,209		9.08
Citibank, N.A.	New York	NY		5,250,000	7.37			71,312		10.94
Investors Bank (b)	Short Hills	NJ		3,075,000	4.32			30,135		4.62
Signature Bank	New York	NY		2,639,245	3.71			28,419		4.36
New York Life Insurance Company	New York	NY		2,455,000	3.45			54,063		8.30
ESL Federal Credit Union	Rochester	NY		2,189,398	3.07			7,890		1.21
Teachers Ins. & Annuity Assoc. of America	New York	NY		2,155,300	3.03			5,973		0.92
Valley National Bank (b)	Wayne	NJ		1,288,000	1.81			25,028		3.84
Total			$	56,549,660	79.41	%	$	651,773		100.00	%

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

(b) At December 31, 2021, an officer of this member bank also served on the Board of Directors of the FHLBNY.

59

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

	September 30, 2021
					Percentage of
			Par		Total Par Value		Three Months					Nine Months
	City	State	Advances		of Advances		Interest Income		Percentage (a)			Interest Income		Percentage (a)
MetLife, Inc.:
Metropolitan Life Insurance Company	New York	NY	$	15,245,000	21.80	%	$	40,303		25.42	%	$	118,253		23.48	%
Metropolitan Tower Life Insurance Company	New York	NY		1,005,000	1.44			1,368		0.86			3,820		0.76
Subtotal MetLife, Inc.				16,250,000	23.24			41,671		26.28			122,073		24.24
New York Community Bank	Westbury	NY		13,977,661	19.99			51,921		32.74			156,665		31.11
Equitable Financial Life Insurance Company	New York	NY		6,802,175	9.73			14,091		8.89			46,337		9.20
Citibank, N.A.	New York	NY		5,751,000	8.23			16,296		10.28			61,609		12.23
Investors Bank (b)	Short Hills	NJ		3,075,000	4.40			7,589		4.79			24,378		4.84
New York Life Insurance Company	New York	NY		2,725,000	3.90			13,155		8.30			40,700		8.08
Signature Bank	New York	NY		2,664,245	3.81			6,820		4.30			21,698		4.31
ESL Federal Credit Union	Rochester	NY		1,683,937	2.41			1,865		1.18			5,717		1.14
Valley National Bank (b)	Wayne	NJ		1,388,000	1.98			4,475		2.82			20,851		4.14
Teachers Ins. & Annuity Assoc. of America	New York	NY		1,126,634	1.61			674		0.42			3,552		0.71
Total			$	55,443,652	79.30	%	$	158,557		100.00	%	$	503,580		100.00	%

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

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

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

Forward-Looking Statements

Statements contained in this Quarterly Report on Form 10-Q, including statements describing the objectives, projections, estimates, or predictions of the Federal Home Loan Bank of New York (“we” “us,” “our,” “the Bank” or the “FHLBNY”) may be “forward-looking statements” within the meaning of Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934. These statements may use forward-looking terminology, such as “anticipates,” “believes,” “could,” “estimates,” “may,” “should,” “will,” or other variations on these terms or their negatives. The Bank cautions that, by their nature, forward-looking statements are subject to a number of risks or uncertainties, including the Risk Factors set forth in Part 1, Item 1A of our Annual Report on Form 10-K for the fiscal year ended December 31, 2021, filed with the SEC on March 22, 2022 (the “2021 Annual Report”), and the risks set forth below, and that actual results could differ materially from those expressed or implied in these forward-looking statements. As a result, you are cautioned not to place undue reliance on such statements. These forward-looking statements speak only as of the date they were made, and the Bank does not undertake to update any forward-looking statement herein. Forward-looking statements include, among others, the following:

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

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

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

● the LIBOR interest rate transition to other alternatives;

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

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

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

Actual results may differ from forward-looking statements for many reasons, including, but not limited to, the risk factors set forth in Part I, Item 1A – Risk Factors of our 2021 Annual Report, and the risks set forth below:

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

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

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

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

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

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

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

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

● timing and volume of market activity;

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

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

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

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

● inflation or deflation;

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

● the availability of derivative financial instruments of the types and in the quantities needed for risk management purposes from acceptable counterparties;

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● significant business disruptions resulting from natural or other disasters (including, but not limited to, health emergencies such as pandemics or epidemics, including the current coronavirus pandemic), acts of war (including, but not limited to, the war between Ukraine and Russia) or terrorism;

● the effect of new accounting standards, including the development of supporting systems;

● membership changes, including changes resulting from mergers or changes in the principal place of business of Bank members;

● the soundness of other financial institutions, including Bank members, nonmember borrowers, other counterparties, and the other FHLBanks; and

● the willingness of the Bank’s members to do business with the Bank whether or not the Bank is paying dividends or repurchasing excess capital stock.

Risks and other factors could cause actual results of the Bank to differ materially from those implied by any forward-looking statements. These risk factors are not exhaustive. The Bank operates in changing economic, legislative and regulatory environments, and new risk factors will emerge from time to time. Management cannot predict such new risk factors nor can it assess the impact, if any, of such new risk factors on the business of the Bank or the extent to which any factor, or combination of factors, may cause actual results to differ materially from those implied by any forward-looking statements.

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

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

	Page
Executive Overview	64
Third Quarter 2022 Financial Results	64
Financial Condition	65
Financial Condition	70
Advances	73
Investments	78
Mortgage Loans Held-for-Portfolio, Net	83
Debt Financing Activity and Consolidated Obligations	85
Stockholders’ Capital	90
Derivative Instruments and Hedging Activities	92
Liquidity, Cash Flows, Short-Term Borrowings and Short-Term Debt	94
Results of Operations	98
Net Income	98
Net Interest Income, Interest Rate Margin and Interest Rate Spreads	100
Interest Income	105
Interest Expense	108
Analysis of Non-Interest Income (Loss)	109
Operating Expenses, Compensation and Benefits, and Other Expenses	111
Assessments	112
Legislative and Regulatory Developments	113

MD&A TABLE REFERENCE
Table(s)	Description	Page(s)
	Selected Financial Data	68-69
1.1	Financial Condition	70
1.2	Overview of LIBOR-indexed Instruments Outstanding	72
2.1 - 2.8	Advances	73-78
3.1 - 3.8	Investments	79-83
4.1 - 4.3	Mortgage Loans	84-85
5.1 - 5.10	Consolidated Obligations	86-90
6.1 - 6.4	Capital	90-92
7.1	Derivatives	93-94
8.1 - 8.3	Liquidity	95-96
9.1 - 9.11	Results of Operations	98-111
10.1	Assessments	112

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Executive Overview

This overview of management’s discussion and analysis highlights selected information and may not contain all of the information that is important to readers of this Form 10-Q. For a more complete understanding of events, trends and uncertainties, as well as the liquidity, capital, credit and market risks, and critical accounting estimates, affecting the Federal Home Loan Bank of New York (FHLBNY or Bank), this Form 10-Q should be read in its entirety and in conjunction with the Bank’s most recent 2021 Form 10-K filed on March 22, 2022.

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

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

Demand for Advances continued to grow in the third quarter of 2022 driven by the current economic environment, as members experience heightened deposit volatility and strong loan growth, and are enhancing liquidity positions.

During the third quarter of 2022, the Federal Reserve continued to raise interest rates in an effort to combat inflation. In addition, markets are experiencing increased volatility due to the war between Ukraine and Russia, which has resulted in increased energy prices, and the level and volatility of interest rates and credit spreads may continue to be affected by the geopolitical conflict, government actions (including sanctions) taken in response to the war, and resulting economic and market uncertainties.

COVID-19 and Business Continuity. We have continually monitored the key metrics with regards to the ongoing COVID-19 pandemic. These metrics, which include positive test percentages, overall new case numbers and hospital capacity, have helped guide our decision-making since the onset of the pandemic in March 2020. The trend continues to move in a positive direction, and we returned to the office on February 28, 2022 on a hybrid basis.

FHFA Review of the FHLBank System. On July 20, 2022, FHFA Director Sandra Thompson testified to the House Financial Services Committee that the FHFA would conduct a review of the FHLBank System. On September 29, 2022, the FHFA commenced this review with a three-day listening session featuring oral comments from interested persons on the following six key areas identified by the FHFA: the FHLBanks’ general mission and purpose in a changing marketplace; FHLBank organization, operational efficiency, and effectiveness; the FHLBanks’ role in promoting affordable, sustainable, equitable, and resilient housing and community investment; addressing the unique needs of rural and financially vulnerable communities; member products, services, and collateral requirements; and membership eligibility and requirements. These sessions were followed by a request for written comments through October 31, 2022. The FHFA has also announced, as part of this review, that a series of regional roundtable discussions would be conducted; the first such session was held on November 2, 2022. At this time, it is not possible to determine the future events that may occur, whether any actions will result from these events or comments, and the extent to which those actions may impact the Bank or the FHLBank System as a whole.

Third Quarter 2022 Financial Results

Net income — Net income for 2022 third quarter was $129.5 million, an increase of $63.7 million, or 96.9 percent, compared to the same period in the prior year. Our Net income is primarily driven by Net interest income, which is the spread between yields earned on advances, mortgage-backed securities, and other investments and the costing yields on debt. Advance balances have increased steadily during the second quarter despite the increase in volatility. Members’ demand for advances have increased driven by members demand for more liquidity. Non-interest income increased by $32.6 million compared with same period in 2021, driven primarily by an increase in value of derivatives and instruments held under the fair value option. These gains were largely offset by declines in fair values of U.S. Treasury securities held for liquidity purposes as interest rates increased. Other expenses were higher by $0.8 million, at $48.8 million.

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Net Interest Income — Our 2022 third quarter net interest income was $168.6 million compared to $128.2 million in prior year third quarter. The increase was due to an increase of $14.4 billion in average earning assets balances for the third quarter of 2022 compared with third quarter of 2021 and an increase of net interest margin spread to 52 basis points in the third quarter of 2022 compared to 45 basis points in the same period in the prior year. Average advances balances increased by $11.0 billion to $86.6 billion for the third quarter 2022 from $75.6 billion for the third quarter 2021. Net interest income also increased as yield on assets was 171 basis points higher in the current year quarter to 251 basis points, as compared to 80 basis points in the prior year quarter.

Return on average equity (ROE) for 2022 third quarter was 7.39%, compared to ROE of 3.95% for the third quarter of 2021.

Other income (loss) — Other income (loss) reported a gain of $24.0 million in the third quarter of 2022 compared to a loss of $8.7 million in the third quarter of 2021. Primary drivers were changes in fair value of instruments and are summarized below:

● Financial instruments carried at fair values — In 2022 third quarter, FVO instruments reported valuation gains of $96.7 million. In 2021 third quarter, FVO instruments reported valuation gains of $0.3 million.

● Derivative activities reported overall income in Other income of $78.2 million in the third quarter of 2022, compared to a net income of $3.3 million in the third quarter of 2021. Interest rate swaps in economic hedges (standalone derivatives) recorded net fair value gains of $155.3 million in the third quarter of 2022, compared to net fair value gains of $12.5 million in the third quarter of 2021. These fair value gains largely offset the marked-to-market valuation of the portfolio of U.S. Treasury securities held for liquidity and classified as trading. In 2022 third quarter, swap interest accruals on standalone swaps reported net income of $13.4 million compared to a net charge of $8.3 million in the third quarter of 2021.

● U.S. Treasury Securities held for liquidity (classified as trading) reported marked-to-market losses of $151.2 million and $16.1 million in the third quarter of 2022 and 2021, respectively. The marked-to-market volatility was largely offset by fair value changes on the standalone interest rate swaps in economic hedges of the fixed-rate treasury securities.

● Equity Investments, held to finance payments to retirees in non-qualified pension plans, reported net losses of $4.0 million in current year period, compared to net losses of $0.5 million in the prior year period commensurate with declines in the investment markets.

Other expenses were $48.8 million in the third quarter of the current year, compared to $48.1 million in the same period in the prior year. Other expenses are primarily Operating expenses, Compensation and benefits, and our share of expenses of the Office of Finance and the Federal Housing Finance Agency.

Affordable Housing Program Assessments (AHP) allocated from Net income were $14.4 million in the third quarter of the current year, compared to $7.3 million in the same period in the prior year. Assessments are calculated as a percentage of Net income, and changes in allocations were parallel with changes in Net income.

Dividend payments — A quarterly cash dividend of $1.37 per share (5.50% annualized) was paid in the third quarter of the current year, compared to $1.14 per share (4.60% annualized) in the same period of the prior year.

Financial Condition — September 30, 2022 compared to December 31, 2021

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

Total assets increased to $130.1 billion at September 30, 2022 from $105.4 billion at December 31, 2021, an increase of $24.8 billion, or 23.5%. As of September 30, 2022, advances were $91.9 billion, an increase of $20.3 billion, or 28.4%, from $71.5 billion at December 31, 2021.

Cash at banks was $21.3 million at September 30, 2022, compared to $21.7 million at December 31, 2021.

Liquidity investments — Money market investments at September 30, 2022 were $10.4 billion in federal funds sold. At December 31, 2021, money market investments were $7.2 billion in federal funds sold and $1.2 billion in overnight resale agreements. Money market investments also included interest-bearing deposits at highly rated financial institutions. Balances were $825.0 million and $675.0 million at September 30, 2022 and December 31, 2021, respectively.

For liquidity, we maintain a portfolio of U.S. Treasury securities designated as trading to meet short-term contingency liquidity needs. Balances were $7.8 billion and $5.8 billion at September 30, 2022 and December 31, 2021, respectively.

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Our liquidity position remains strong, and in compliance with all regulatory requirements, and we do not foresee any changes to that position. In addition to the liquidity trading portfolio and assets discussed above, liquid assets included $5.7 billion at September 30, 2022 and $5.5 billion at December 31, 2021 of high credit quality GSE-issued available-for-sale securities that are investment quality and readily marketable. The Finance Agency issued a Liquidity Advisory Bulletin in 2018 that defined liquidity levels to be maintained within certain ranges. We also have other liquidity measures in place, deposit liquidity and operational liquidity, and other liquidity buffers. We remain in compliance with the Advisory Bulletin and all liquidity regulations.

For more information about the Advisory Bulletin and our liquidity measures, see section Liquidity, Cash Flows, Short-Term Borrowings and Short-Term Debt, and Table 8.1 through Table 8.3 in this MD&A.

Advances — Par balances increased steadily during the year to $93.6 billion at September 30, 2022, compared to $71.2 billion at December 31, 2021. Short-term fixed-rate advances increased by 10.5% to $12.7 billion at September 30, 2022, up from $11.5 billion at December 31, 2021. ARC advances, which are adjustable-rate borrowings, increased by 235.5% to $25.1 billion at September 30, 2022, compared to $7.5 billion at December 31, 2021. Given that advances are always well collateralized, a provision for credit loss was not necessary. We have no history of credit losses on advances.

Long-term investment debt securities — Long-term investment debt securities are designated as available-for-sale (AFS) or held-to-maturity (HTM). Our investment profile consists almost exclusively of GSE and Agency-issued (GSE-issued) securities.

In the AFS portfolio, long-term investments of floating-rate GSE-issued mortgage-backed securities were carried on the balance sheet at fair values of $487.7 million and $589.5 million at September 30, 2022 and December 31, 2021, respectively. Fixed-rate long-term investments in the AFS portfolio, comprised of fixed-rate GSE-issued mortgage-backed securities, were carried on the balance sheet at fair values of $5.2 billion and $5.0 billion at September 30, 2022 and December 31, 2021, respectively.

State and local housing finance agency obligations, primarily New York and New Jersey, were carried as AFS securities at $1.1 billion at September 30, 2022 and $1.0 billion at December 31, 2021.

In the HTM portfolio, long-term investments were predominantly GSE-issued fixed- and floating-rate mortgage-backed securities and a portfolio of housing finance agency bonds. Securities in the HTM portfolio are recorded at amortized cost, adjusted for credit and non-credit losses from the application of pre-ASU 2016-13 credit loss standards (formerly referred to as OTTI), and, beginning January 1, 2020, adjusted for allowances for credit losses under the new framework. Fixed- and floating-rate mortgage-backed securities in the HTM portfolio were $9.4 billion and $9.1 billion at September 30, 2022 and December 31, 2021, respectively. No allowance for credit losses were deemed necessary for GSE-issued investments. Allowance for credit losses was $0.2 million on private-label MBS at September 30, 2022, slightly lower than the balance at December 31, 2021.

In the HTM portfolio, State and local housing finance agency obligations were $0.2 billion at September 30, 2022 and December 31, 2021. Allowance for credit losses on State and local housing finance agency obligations in HTM portfolio was $0.1 million at September 30, 2022, slightly lower than the balance at December 31, 2021.

Equity Investments — We own a grantor trust that invests in highly-liquid registered mutual funds. Funds are classified as Equity Investments and were carried on the balance sheet at fair values of $75.8 million and $96.1 million at September 30, 2022 and December 31, 2021, respectively.

Mortgage loans held-for-portfolio — Mortgage loans were investments in Mortgage Partnership Finance (MPF) loans and Mortgage Asset Program (MAP) loans. As of March 31, 2021, the MAP mortgage loan program became our only active mortgage loan purchase program as we ceased to acquire mortgage loans through MPF.

Unpaid principal balance of MPF loans stood at $1.9 billion at September 30, 2022, a decrease of $0.2 billion from the balance at December 31, 2021. Unpaid principal balance of MAP loans stood at $202.9 million at September 30, 2022 compared to $156.7 million at December 31, 2021.

Historically, credit performance has been strong in the MPF and MAP portfolio and delinquency low. Residential collateral values have remained stable in the New York and New Jersey sectors, the primary geographic concentration for our MPF and MAP portfolio, and historical loss experience remains very low. Serious delinquencies (typically 90 days or more) at September 30, 2022, were lower than December 31, 2021. Allowance for credit losses decreased to $1.7 million at September 30, 2022 compared to $2.1 million at December 31, 2021.

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Capital ratios — Our capital position remains strong. At September 30, 2022, actual risk-based capital was $7.4 billion, compared to required risk-based capital of $879.4 million. To support $130.1 billion of total assets at September 30, 2022, the minimum required total capital was $5.2 billion or 4.0% of assets. Our actual regulatory risk-based capital was $7.4 billion, exceeding required total capital by $2.2 billion. These ratios have remained consistently above the required regulatory ratios through all periods in this report.

Leverage — At September 30, 2022 balance sheet leverage (based on U.S. GAAP) was 18.1 times shareholders’ equity. Balance sheet leverage has generally remained steady over the last several years, although from time to time we have maintained excess liquidity in highly liquid investments, or cash balances at the Federal Reserve Bank of New York (FRBNY) to meet unexpected member demand for funds.

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

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

Critical Accounting Policies and Estimates

We have identified certain accounting policies that we believe are critical because they require management to make subjective judgments about matters that are inherently uncertain and because of the likelihood that materially different amounts would be reported under different conditions or by using different assumptions. These policies include estimating fair values of certain assets and liabilities, evaluating the impairment of our securities portfolios, estimating the allowance for credit losses on the advance and mortgage loan portfolios, and accounting for derivatives and hedging activities. We have discussed each of these critical accounting policies, the related estimates, and its judgment with the Audit Committee of the Board of Directors. Refer to Note 1. Critical Accounting Policies and Estimates in this Form 10-Q and in the 2021 Form 10-K filed on March 22, 2022.

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Selected Financial Data (Unaudited).

Statements of Condition	September 30,			June 30,			March 31,			December 31,			September 30,
(dollars in millions)	2022			2022			2022			2021			2021
Investments (a)	$	35,514		$	33,001		$	35,088		$	30,898		$	29,076
Advances		91,871			80,062			70,629			71,536			70,548
Mortgage loans held-for-portfolio, net (b)		2,136			2,175			2,233			2,320			2,418
Total assets		130,130			115,963			108,598			105,358			102,677
Deposits and borrowings		1,115			1,492			1,181			1,321			1,466
Consolidated obligations, net
Bonds		72,174			57,551			57,376			54,829			61,454
Discount notes		49,030			49,519			43,177			42,197			32,769
Total consolidated obligations		121,204			107,070			100,553			97,026			94,223
Mandatorily redeemable capital stock		11			8			8			2			2
AHP liability		125			132			137			138			145
Capital
Capital stock		5,331			4,939			4,480			4,501			4,447
Retained earnings
Unrestricted		1,149			1,109			1,100			1,104			1,113
Restricted		880			854			839			827			817
Total retained earnings		2,029			1,963			1,939			1,931			1,930
Accumulated other comprehensive income (loss)		(177)			(139)			(89)			14			34
Total capital		7,183			6,763			6,330			6,446			6,411
Equity to asset ratio (c)(j)		5.52	%		5.83	%		5.83	%		6.12	%		6.24	%

	Three months ended										Nine months ended
Statements of Condition	September 30,		June 30,		March 31,		December 31,		September 30,		September 30,		September 30,
Averages (See note below; dollars in millions)	2022		2022		2022		2021		2021		2022		2021
Investments (a)	$	37,433	$	35,426	$	35,609	$	32,227	$	34,733	$	36,163	$	37,216
Advances		86,597		74,823		71,636		70,326		75,642		77,740		84,323
Mortgage loans held-for-portfolio, net		2,154		2,204		2,275		2,372		2,468		2,211		2,626
Total assets		127,737		114,109		110,951		106,215		114,074		117,661		125,299
Interest-bearing deposits and other borrowings		920		1,102		1,166		1,256		1,391		1,062		1,484
Consolidated obligations, net
Bonds		67,336		58,906		56,449		58,852		65,335		60,937		67,609
Discount notes		50,766		45,733		45,323		38,188		39,375		47,294		47,864
Total consolidated obligations		118,102		104,639		101,772		97,040		104,710		108,231		115,473
Mandatorily redeemable capital stock		11		64		12		2		2		29		3
AHP liability		125		136		137		142		147		133		150
Capital
Capital stock		5,119		4,651		4,501		4,440		4,668		4,759		5,050
Retained earnings
Unrestricted		1,111		1,098		1,094		1,103		1,112		1,101		1,118
Restricted		862		846		830		820		808		846		794
Total retained earnings		1,973		1,944		1,924		1,923		1,920		1,947		1,912
Accumulated other comprehensive income (loss)		(141)		(101)		(21)		28		29		(88)		18
Total capital		6,951		6,494		6,404		6,391		6,617		6,618		6,980

Note — Average balance calculation. For most components of the average balances, a daily weighted average balance is calculated for the period. When daily weighted average balance information is not available, a simple monthly average balance is calculated.

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Operating Results and Other Data

	Three months ended															Nine months ended
(dollars in millions)	September 30,			June 30,			March 31,			December 31,			September 30,			September 30,			September 30,
(except earnings and dividends per share, and headcount)	2022			2022			2022			2021			2021			2022			2021
Net income	$	130		$	76		$	57		$	53		$	66		$	263		$	213
Net interest income (d)		169			147			122			111			128			438			430
Dividends paid in cash (e)		64			52			49			52			59			165			192
AHP expense		14			9			6			6			7			29			23
Return on average equity (f)(g)(j)		7.39	%		4.71	%		3.61	%		3.28	%		3.95	%		5.31	%		4.07	%
Return on average assets (g)(j)		0.40	%		0.27	%		0.21	%		0.20	%		0.23	%		0.30	%		0.23	%
Other non-interest income (loss)		24			(15)			(13)			3			(8)			(4)			(51)
Operating expenses (h)		42			39			38			46			41			119			120
Finance Agency and
Office of Finance expenses		5			5			6			5			6			16			17
Total other expenses (k)		49			47			46			56			49			142			148
Operating expenses ratio (g)(i)(j)		0.13	%		0.14	%		0.14	%		0.17	%		0.14	%		0.13	%		0.13	%
Earnings per share	$	2.61		$	1.64		$	1.27		$	1.21		$	1.41		$	5.52		$	4.21
Dividends per share	$	1.37		$	1.17		$	1.10		$	1.12		$	1.14		$	3.64		$	3.57
Headcount (Full/part time)		333			333			338			340			344			333			344

(a) Investments include trading securities, available-for-sale securities, held-to-maturity securities, equity investments in grantor trusts owned by the FHLBNY, securities purchased under agreements to resell, federal funds, loans to other FHLBanks, and other interest-bearing deposits.

(b) Allowances for credit losses on mortgage loans were $1.7 million, $2.0 million, $2.0 million, $2.1 million and $3.0 million for the periods ended September 30, 2022, June 30, 2022, March 31, 2022, December 31, 2021 and September 30, 2021 respectively.

(c) Equity to asset ratio is Capital stock plus Retained earnings and Accumulated other comprehensive income (loss) as a percentage of Total assets.

(d) Net interest income is net interest income before the provision for credit losses on mortgage loans.

(e) Excludes dividends accrued to non-members classified as interest expense under the accounting standards for certain financial instruments with characteristics of both liabilities and equity.

(f) Return on average equity is Net income as a percentage of average Capital Stock plus average retained earnings and average Accumulated other comprehensive income (loss).

(g) Annualized.

(h) Operating expenses include Compensation and Benefits.

(i) Operating expenses as a percentage of Total average assets.

(j) All percentage calculations are performed using amounts in thousands and may not agree if calculations are performed using amounts in millions.

(k) Includes Operating expenses, Compensation and benefits, Finance Agency and Office of Finance expenses and Other expenses.

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Financial Condition

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

					Net change in		Net change in
(Dollars in thousands)	September 30, 2022		December 31, 2021		dollar amount		percentage
Assets
Cash and due from banks	$	21,331	$	21,653	$	(322)	(1.49)	%
Interest-bearing deposits		825,000		675,000		150,000	22.22
Securities purchased under agreements to resell		—		1,200,000		(1,200,000)	(100.00)
Federal funds sold		10,400,000		7,230,000		3,170,000	43.85
Trading securities		7,831,926		5,821,380		2,010,546	34.54
Equity Investments		75,767		96,124		(20,357)	(21.18)
Available-for-sale securities		6,823,561		6,547,421		276,140	4.22
Held-to-maturity securities		9,557,304		9,328,665		228,639	2.45
Advances		91,870,505		71,536,402		20,334,103	28.42
Mortgage loans held-for-portfolio		2,136,432		2,319,864		(183,432)	(7.91)
Accrued interest receivable		270,063		123,258		146,805	NM
Premises, software, and equipment		77,433		83,815		(6,382)	(7.61)
Operating lease right-of-use assets		61,676		65,624		(3,948)	(6.02)
Derivative assets		172,706		297,504		(124,798)	(41.95)
Other assets		6,479		11,632		(5,153)	(44.30)
Total assets	$	130,130,183	$	105,358,342	$	24,771,841	23.51	%
Liabilities
Deposits
Interest-bearing demand	$	1,102,215	$	1,283,072	$	(180,857)	(14.10)	%
Non-interest-bearing demand		12,474		38,166		(25,692)	(67.32)
Total deposits		1,114,689		1,321,238		(206,549)	(15.63)
Consolidated obligations
Bonds		72,174,319		54,829,401		17,344,918	31.63
Discount notes		49,029,855		42,197,259		6,832,596	16.19
Total consolidated obligations		121,204,174		97,026,660		24,177,514	24.92
Mandatorily redeemable capital stock		10,753		1,959		8,794	NM
Accrued interest payable		251,102		126,990		124,112	97.73
Affordable Housing Program		124,609		137,638		(13,029)	(9.47)
Derivative liabilities		26,459		36,512		(10,053)	(27.53)
Other liabilities		141,148		182,466		(41,318)	(22.64)
Operating lease liabilities		74,788		79,026		(4,238)	(5.36)
Total liabilities		122,947,722		98,912,489		24,035,233	24.30
Capital		7,182,461		6,445,853		736,608	11.43
Total liabilities and capital	$	130,130,183	$	105,358,342	$	24,771,841	23.51	%

NM —Not meaningful.

Balance Sheet overview September 30, 2022 and December 31, 2021

Total assets increased to $130.1 billion at September 30, 2022 from $105.4 billion at December 31, 2021, an increase of $24.8 billion, or 23.5%.

Cash at banks was $21.3 million at September 30, 2022, compared to $21.7 million at December 31, 2021.

Money market investments at September 30, 2022 were $10.4 billion in federal funds sold. At December 31, 2021, money market investments were $7.2 billion in federal funds sold and $1.2 billion in overnight resale agreements. Federal funds sold averaged $12.3 billion for the third quarter of 2022 and $12.5 billion for the third quarter of 2021. Resale agreements averaged $28.3 million for the third quarter of 2022 and $61.4 million for the third quarter of 2021. Money market investments also included interest-bearing deposits at highly rated financial institutions. Balances were $825.0 million and $675.0 million at September 30, 2022 and December 31, 2021, respectively.

Advances — Par balances increased steadily during the year to $93.6 billion at September 30, 2022, compared to $71.2 billion at December 31, 2021. Short-term fixed-rate advances increased by 10.5% to $12.7 billion at September 30, 2022, up from $11.5 billion at December 31, 2021. ARC advances, which are adjustable-rate borrowings, increased by 235.5% to $25.1 billion at September 30, 2022, compared to $7.5 billion at December 31, 2021.

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Long-term investment debt securities — Long-term investment debt securities are designated as available-for-sale (AFS) or held-to-maturity (HTM). Our investment profile consists almost exclusively of GSE and Agency issued (GSE-issued) securities.

In the AFS portfolio, long-term investments of floating-rate GSE-issued mortgage-backed securities were carried on the balance sheet at fair values of $487.7 million at September 30, 2022 and $589.5 million at December 31, 2021. Fixed-rate long-term investments in the AFS portfolio, comprised of fixed-rate GSE-issued mortgage-backed securities, were carried on the balance sheet at fair values of $5.2 billion at September 30, 2022 and $5.0 billion at December 31, 2021. We acquired $1.3 billion (par) of fixed-rate GSE-issued MBS in the first three quarters of 2022.

State and local housing finance agency obligations, primarily New York and New Jersey, were carried as AFS securities at $1.1 billion at September 30, 2022 and $1.0 billion at December 31, 2021.

In the HTM portfolio, long-term investments were predominantly GSE-issued fixed- and floating-rate mortgage-backed securities and a small portfolio of housing finance agency bonds. Securities in the HTM portfolio are recorded at amortized cost, adjusted for credit and non-credit losses from the application of pre-ASU 2016-13 credit loss standards (formerly referred to as OTTI), and, beginning January 1, 2020, adjusted for allowances for credit losses under the new framework. Fixed- and floating-rate mortgage-backed securities in the HTM portfolio were $9.4 billion at September 30, 2022 and $9.1 billion at December 31, 2021. We acquired $1.4 billion (par) of fixed-rate GSE-issued MBS in the first three quarters of 2022.

State and local housing finance agency obligations, primarily New York and New Jersey, were carried as HTM securities at $0.2 billion at September 30, 2022 and December 31, 2021.

Trading securities (liquidity portfolio) — The objective of the trading portfolio is to meet short-term contingency liquidity needs. During the current year period, we continued to invest in highly liquid U.S. Treasury securities. Trading investments are carried at fair value, with changes recorded through earnings. At September 30, 2022, trading investments were $7.8 billion in U.S. Treasury securities. At September 30, 2021, trading investments were $4.4 billion in U.S. Treasury securities. At December 31, 2021, trading investments were $5.8 billion in U.S. Treasury securities.

We will periodically evaluate our liquidity needs and may add to or dispose these liquidity investments as deemed prudent based on liquidity and market conditions. The Finance Agency prohibits speculative trading practices but allows permitted securities to be deemed held for liquidity if invested in a trading portfolio.

Equity Investments — We own a grantor trust that invests in highly-liquid registered mutual funds. Funds are classified as Equity Investments and were carried on the balance sheet at fair values of $75.8 million and $96.1 million at September 30, 2022 and December 31, 2021, respectively.

Mortgage loans held-for-portfolio — Mortgage loans were investments in Mortgage Partnership Finance loans (MPF or MPF Program) and Mortgage Asset Program (MAP). Unpaid principal balance of MPF loans stood at $1.9 billion at September 30, 2022, a decrease of $0.2 billion from the balance at December 31, 2021. Loans are primarily fixed-rate, single-family mortgages acquired through the MPF Program. Unpaid principal balance of MAP loans stood at $202.9 million at September 30, 2022, an increase of $46.2 million from the balance at December 31, 2021. Paydowns for the total portfolio for nine months ended September 30, 2022 were $235.4 million compared to $627.2 million for the same period in 2021. Acquisitions for the nine months ended September 30, 2022 were $57.2 million compared to $152.0 million for the same period in 2021. Historically, credit performance has been strong and delinquency low. Loan origination by members and acceptable pricing are key factors that drive acquisitions. With increasing interest rates, refinancing and home sales are slowing, fewer MAP eligible loans are available for purchases from the members. Residential collateral values have remained stable in the New York and New Jersey sectors, the primary geographic concentration for our MPF portfolio, and historical loss experience remains very low. Serious delinquencies (typically 90 days or more) at September 30, 2022 were lower than December 31, 2021. Allowance for credit losses decreased to $1.7 million at September 30, 2022 compared to $2.1 million at December 31, 2021.

Capital ratios — Our capital position remains strong. At September 30, 2022, actual risk-based capital was $7.4 billion, compared to required risk-based capital of $879.4 million. To support $130.1 billion of total assets at September 30, 2022, the minimum required total capital was $5.2 billion or 4.0% of assets. Our actual regulatory risk-based capital was $7.4 billion, exceeding required total capital by $2.2 billion. These ratios have remained consistently above the required regulatory ratios through all periods in this report. For more information, see financial statements, Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings.

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Leverage — At September 30, 2022, balance sheet leverage (based on U.S. GAAP) was 18.1 times shareholders’ equity. Balance sheet leverage has generally remained steady over the last several years, although from time to time we have maintained excess liquidity in highly liquid investments, or cash balances at the Federal Reserve Bank of New York (FRBNY) to meet unexpected member demand for funds. Increases or decreases in investments have a direct impact on leverage, but generally growth in or shrinkage of advances does not significantly impact balance sheet leverage under existing capital stock management practices. Members are required to purchase activity-based capital stock to support their borrowings from us, and when activity-based capital stock is in excess of the amount that is required to support advance borrowings, we redeem the excess capital stock immediately. Therefore, stockholders’ capital increases and decreases with members’ advance borrowings, and the capital to asset ratio remains relatively unchanged.

Liquidity — Our liquidity position remains strong, and in compliance with all regulatory requirements, and we do not foresee any changes to that position. In addition to the liquidity trading portfolio discussed previously, liquid assets at September 30, 2022 included $19.3 million as demand cash balances at the FRBNY, $10.4 billion in short-term and overnight investments in the federal funds and resale agreements, and $5.7 billion of high credit quality GSE-issued available-for-sale securities that are investment quality and readily marketable.

We also have other regulatory liquidity measures in place, deposit liquidity and operational liquidity, and other liquidity buffers. We remain in compliance with the Advisory Bulletin and all liquidity regulations.

For more information about the Advisory Bulletin and our liquidity measures, see section Liquidity, Cash Flows, Short-Term Borrowings and Short-Term Debt, and Table 8.1 through Table 8.3 in this MD&A.

Replacement of London Interbank Offered Rates (LIBOR) — The Alternative Reference Rates Committee (ARRC) in the U.S. has settled on the establishment of the Secured Overnight Financing Rate (SOFR) as its recommended alternative to U.S. dollar LIBOR. Some of the FHLBNY’s assets, liabilities and derivatives are still indexed to LIBOR. On March 5, 2021, the U.K. Financial Conduct Authority (FCA) confirmed that the publication of the principal tenors of U.S. dollar LIBOR (i.e., overnight, one-month, three-month, six-month and 12-month LIBOR) will cease immediately following a final publication on June 30, 2023.

We are actively engaged in transitioning our LIBOR-indexed swaps and cash instruments to SOFR. We have successfully transitioned $9.3 billion of advance derivative hedges from 2020 to September 30, 2022. We have successfully transitioned $0.9 billion of securities from LIBOR to SOFR in 2021 and 2022.

The following data provides an overview of LIBOR-indexed instruments outstanding at September 30, 2022 with maturities beyond June 30, 2023, which is the relevant LIBOR cessation date for the FHLBNY (in thousands):

Table 1.2Overview of LIBOR-indexed Instruments Outstanding

	Outstanding at
Maturing after June 30, 2023	September 30, 2022
LIBOR indexed Derivatives (notionals)	$	3,855,477
LIBOR indexed Variable-rate mortgage-backed securities (UPB)	$	2,413,396
LIBOR indexed Variable-rate housing finance agency bonds (UPB)	$	16,900
LIBOR indexed Variable-rate Other securities (UPB)	$	—
LIBOR indexed Variable-rate Advances (UPB)	$	1,155,000
LIBOR indexed Variable-rate CO bonds (UPB)	$	—

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Advances

Our primary business is making collateralized loans to members, referred to as advances. Generally, the growth or decline in advances is reflective of demand by members for both short-term liquidity and term funding. This demand is driven by economic factors such as availability of alternative funding sources that are more attractive, or by the interest rate environment and the outlook for the economy. Members may choose to prepay advances (which may generate prepayment penalty fees) based on their expectations of interest rate changes and demand for liquidity.

Advance volume is also influenced by merger activity, where members are either acquired by non-members or acquired by members of another FHLBank. When our members are acquired by members of another FHLBank or by non-members, these former members no longer qualify for membership and we may not offer renewals or additional advances to the former members. If maturing advances are not replaced, it may have an impact on business volume.

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

Carrying values of advances outstanding were $91.9 billion at September 30, 2022 and $71.5 billion at December 31, 2021. Carrying values included cumulative hedging basis adjustment losses of $1.7 billion at September 30, 2022 and gains of $0.3 billion at December 31, 2021.

Table 2.1    Advance Trends

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Member demand for advance products

Future demand from our members for advances is difficult to forecast as it is uncertain what the impact will be on our members’ businesses from multiple uncertainties, including supply of deposits and other funding to members’ businesses, risk of credit losses, and other potential disruptions to our members’ businesses. For more information on how the risks related to COVID-19 may adversely affect our business, results of operations and financial condition, see Part I, Item 1A. Risk Factors in the most recent 10-K filed on March 22, 2022.

Our regulator, the Federal Housing Finance Agency (FHFA), has a tangible capital requirement on member commercial banks and credit unions that differs from their primary regulators’ definition. The FHFA also has a tangible capital requirement for insurance company members and uses the same definition as the applicable state insurance company regulators. If a member has negative tangible capital, primarily as a result of negative fair value marks on investment securities held as ‘Available for Sale’ due to a rise in interest rates, the Bank is not permitted to extend a new advance, unless the member’s appropriate federal banking agency or state insurance regulator requests in writing that the Bank make such advance. Further, advance renewals to this member would be limited to a maximum term of 30 days; the 30 day renewals may continue unless we are directed in writing by the member’s primary regulator to stop. At this time, only a few of our members may not be meeting the FHFA’s tangible capital requirements. While this issue is not viewed as a material risk to the Bank, it is possible that the Bank may lose some advance business to other liquidity providers in cases where FHFA tangible capital violations occur or appear imminent. The Bank’s business reputation with its members and our reputation as a reliable provider of liquidity with our members’ primary regulators may also be harmed. The Bank continues to monitor this situation, including the impact of rising interest rates on our members’ tangible capital and any future actions that the regulators may take.

Advances — Product Types

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

Table 2.2    Advances by Product Type

	September 30, 2022					December 31, 2021
			Percentage					Percentage
	Amounts		of Total			Amounts		of Total
Adjustable Rate Credit - ARCs	$	25,053,390		26.77	%	$	7,468,000	10.49	%
Fixed Rate Advances		48,236,642		51.54			47,466,196	66.65
Short-Term Advances		12,676,032		13.54			11,468,580	16.10
Mortgage Matched Advances		80,330		0.09			112,215	0.16
Overnight & Line of Credit (OLOC) Advances		4,222,723		4.51			959,752	1.35
All other categories		3,322,532		3.55			3,740,423	5.25
Total par value		93,591,649		100.00	%		71,215,166	100.00	%
Advance discounts		(111)					(160)
Hedge valuation basis adjustments		(1,721,033)					321,396
Total	$	91,870,505				$	71,536,402

Member Pledged Collateral

Member borrowers are required to maintain an amount of eligible collateral that adequately secures their outstanding obligations with the FHLBNY. Eligible collateral includes: (1) one-to-four-family mortgages; (2) multi-family & commercial real estate mortgages; (3) Treasury and U.S. government agency securities; (4) private label commercial mortgage-backed securities; and (5) certain other collateral that is real estate-related, provided that such collateral has a readily ascertainable value and the Bank has the ability to perfect its security interest. The FHLBNY also have a statutory lien priority with respect to certain member assets under the FHLBank Act as well as a claim on FHLBNY capital stock held by our members. The FHLBNY’s loan and collateral agreements give the Bank security interest in assets held by borrowers that is sufficient to cover their obligations to the FHLBNY. FHLBNY may supplement this security interest by imposing additional collateral delivery requirements on our member borrowers based on the overall financial strength of the member.

74

To ensure that the FHLBNY has sufficient collateral to cover credit extensions, the FHLBNY has established a Collateral Lendable Value methodology. This methodology ensures that the FHLBNY remains fully collateralized by establishing risk based lendable values for each pledged collateral type. These lendable values are periodically reassessed to ensure that they are reflective of current market conditions.

The following table summarizes pledged collateral (in thousands):

Table 2.3    Collateral Supporting Indebtedness to Members

	Indebtedness						Collateral (a)
			Other		Total				Securities and
	Advances (b)		Obligations (c)		Indebtedness		Loans (d)		Deposits (d)		Total (d)
September 30, 2022	$	93,591,649	$	15,542,502	$	109,134,151	$	336,231,381	$	77,061,748	$	413,293,129
December 31, 2021	$	71,215,166	$	20,606,819	$	91,821,985	$	320,683,186	$	63,956,008	$	384,639,194

(a) The level of over-collateralization is on an aggregate basis and may not necessarily be indicative of a similar level of over-collateralization on an individual member basis. At a minimum, each member pledged sufficient collateral to adequately secure the member’s outstanding obligation with the FHLBNY. In addition, most members maintain an excess amount of pledged collateral with the FHLBNY to secure future liquidity needs.

(b) Par value.

(c) Standby financial letters of credit, derivatives, and members’ credit enhancement guarantee amount (MPFCE).

(d) Estimated market value.

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

Table 2.4    Location of Collateral Held

	Estimated Market Values
	Collateral in				Total
	Physical		Collateral		Collateral
	Possession		Specifically Listed		Received
September 30, 2022	$	77,758,329	$	335,534,800	$	413,293,129
December 31, 2021	$	64,690,246	$	319,948,948	$	384,639,194

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Advances — Interest Rate Terms

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

Table 2.5    Advances by Interest-Rate Payment Terms

	September 30, 2022					December 31, 2021
			Percentage					Percentage
	Amount		of Total			Amount		of Total
Fixed-rate (a)	$	68,259,244		72.93	%	$	63,744,666	89.51	%
Variable-rate (b)		25,332,390		27.07			7,470,500	10.49
Variable-rate capped or floored (c)		—		—			—	—
Overdrawn demand deposit accounts		15		—			—	—
Total par value		93,591,649		100.00	%		71,215,166	100.00	%
Advance discounts		(111)					(160)
Hedge valuation basis adjustments		(1,721,033)					321,396
Total	$	91,870,505				$	71,536,402

(a) Fixed-rate borrowings remained the largest category of advances borrowed by members and includes long-term and short-term fixed-rate advances. Long-term advances remain a small segment of the portfolio at September 30, 2022, with only 9.87% of advances in the remaining maturity bucket of greater than 5 years (16.1% at December 31, 2021). For more information, see financial statements Note 9. Advances.

(b) Variable-rate advances are ARC advances, which historically have been indexed to LIBOR and now are indexed to SOFR-OIS, Federal Funds-OIS or other benchmark indices. The FHLBNY’s larger members are generally borrowers of variable-rate advances.

(c) Category represents ARCs with options that “cap” increase or “floor” decrease in the benchmark index at predetermined strikes (We have also purchased cap/floor options that mirror the terms of the options embedded in the advances sold to members, offsetting our exposure on the advance).

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The following table summarizes Redemption Term of advances (dollars in thousands):

Table 2.6    Advances by Redemption Term

	September 30, 2022					December 31, 2021				Change
Redemption Term (dollars in thousands)	Amount		Percentage			Amount		Percentage		Amount		Percentage
Fixed-rate
Due in 1 year or less	$	39,372,686		42.07	%	$	33,315,184	46.78	%	$	6,057,502	18.18	%
Due after 1 year through 3 years		14,799,170		15.81			13,672,643	19.20			1,126,527	8.24
Due after 3 years through 5 years		5,292,232		5.65			5,981,524	8.40			(689,292)	(11.52)
Due after 5 years through 15 years		3,624,879		3.87			2,892,046	4.06			732,833	25.34
Thereafter		197		—			303	—			(106)	(35.12)
Total principal amount		63,089,164		67.40			55,861,700	78.44			7,227,464	12.94
Fixed-rate, putable
Due in 1 year or less		145,000		0.15			1,000	—			144,000	NM
Due after 1 year through 3 years		—		—			158,000	0.22			(158,000)	(100.00)
Due after 3 years through 5 years		334,250		0.36			14,250	0.02			320,000	2,245.61
Due after 5 years through 15 years		4,610,500		4.93			7,597,500	10.67			(2,987,000)	(39.32)
Thereafter		—		—			—	—			—	NM
Total principal amount		5,089,750		5.44			7,770,750	10.91			(2,681,000)	(34.50)
Variable-rate
Due in 1 year or less		19,320,000		20.64			5,639,500	7.92			13,680,500	242.58
Due after 1 year through 3 years		4,792,390		5.12			524,000	0.74			4,268,390	814.58
Due after 3 years through 5 years		220,000		0.24			207,000	0.29			13,000	6.28
Due after 5 years through 15 years		1,000,000		1.07			1,000,000	1.40			—	—
Thereafter		—		—			—	—			—	NM
Total principal amount		25,332,390		27.07			7,370,500	10.35			17,961,890	243.70
Variable-rate, callable or prepayable (a)
Due in 1 year or less		—		—			100,000	0.14			(100,000)	(100.00)
Due after 1 year through 3 years		—		—			—	—			—	NM
Due after 3 years through 5 years		—		—			—	—			—	NM
Due after 5 years through 15 years		—		—			—	—			—	NM
Thereafter		—		—			—	—			—	NM
Total principal amount		—		—			100,000	0.14			(100,000)	(100.00)
Other (b)
Due in 1 year or less		33,897		0.04			47,177	0.07			(13,280)	(28.15)
Due after 1 year through 3 years		32,904		0.04			49,630	0.07			(16,726)	(33.70)
Due after 3 years through 5 years		10,477		0.01			11,663	0.02			(1,186)	(10.17)
Due after 5 years through 15 years		2,510		—			3,014	—			(504)	(16.72)
Thereafter		542		—			732	—			(190)	(26.00)
Total principal amount		80,330		0.09			112,216	0.16			(31,886)	(28.41)
Overdrawn and overnight deposit accounts		15		—			—	—			15	NM
Total principal amount advances		93,591,649		100.00	%		71,215,166	100.00	%		22,376,483	31.42	%
Other adjustments, net (c)		(1,721,144)					321,236				(2,042,380)
Total advances	$	91,870,505				$	71,536,402			$	20,334,103

(a) Prepayable advances are those advances that may be contractually prepaid by the borrower on specified dates without incurring prepayment or termination fees.

(b) Includes hybrid, fixed-rate amortizing/mortgage matched, convertible, fixed-rate callable or prepayable, and other advances.

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(c) Consists of hedging and fair value option valuation adjustments and unamortized premiums, discounts, and commitment fees.

NM — Not meaningful.

Hedge volume — We hedge putable advances and certain “vanilla” fixed-rate advances under the hedge accounting provisions when they qualify under those standards and as economic hedges when hedge effectiveness accounting provisions cannot be established.

The following table summarizes advances hedged under ASC 815 qualifying hedge by type of structure (in thousands):

Table 2.7    Hedged Advances by Type

Par Amount	September 30, 2022		December 31, 2021
Qualifying hedges
Fixed-rate bullets (a)	$	41,260,391	$	29,279,507
Fixed-rate putable (b)		5,089,750		7,770,750
Fixed-rate with embedded cap		350,000		360,000
Total qualifying hedges	$	46,700,141	$	37,410,257
Aggregate par amount of advances hedged (c)	$	47,075,141	$	40,560,257
Fair value basis (hedging adjustments)	$	(1,721,033)	$	321,396

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

(b) Putable advances are hedged by cancellable swaps, and the paired long put option mitigate the put option risks; in the hedge, fixed-rate cash flows are also synthetically converted to benchmark floating-rate.

(c) Represents par values of advances in ASC 815 hedge relationships. Amounts do not include advances that were in ASC 815 hedges but have since been de-designated or advances that are in economic hedges (not qualifying as ASC 815 accounting hedge).

Economic hedges of floating-rate advances — We issue floating-rate advances indexed to one or more benchmark rates (historically LIBOR, and now Federal Funds-OIS and SOFR-OIS) and may then execute interest rate basis swaps that would synthetically convert the cash flows to the desired floating-rate cash flows indexed to another benchmark to meet our asset/liability funding strategies. At September 30, 2022 there was no basis swaps. At December 31, 2021, notional amounts of basis swaps was $3.1 billion. The carrying value of the advances in the economic hedge would not include fair value basis since the advance is recorded at amortized cost.

Putable Advances — The following table summarizes par amounts of advances that were still putable or callable, with one or more pre-determined option exercise dates remaining (in thousands):

Table 2.8    Putable and Callable Advances

	Advances
Par Amount	September 30, 2022		December 31, 2021
Putable (a)	$	5,089,750	$	7,770,750
No-longer putable/callable	$	1,000	$	—

(a) Putable advances were typically long-term advances with one or more put options exercisable by the FHLBNY. Putable advances are hedged in an ASC 815 qualifying fair value hedge with mirror image terms, including mirror image put option terms.

Investments

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

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We are subject to credit risk on our investments, generally transacted with GSEs and large financial institutions that are considered to be investment quality. The Finance Agency defines investment quality as a security with adequate financial backing so that full and timely payment of principal and interest on such security is expected and there is minimal risk that the timely payment of principal and interest would not occur because of adverse changes in economic and financial conditions during the projected life of the security.

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

Table 3.1    Investments by Categories

	September 30,		December 31,		Dollar		Percentage
	2022		2021		Variance		Variance
State and local housing finance agency obligations, net (a)
Available-for-sale securities, at fair value	$	1,113,928	$	998,637	$	115,291	11.54	%
Held-to-maturity securities, at carrying value, net		180,684		184,886		(4,202)	(2.27)
Total HFA securities		1,294,612		1,183,523		111,089	9.39
Trading securities (b)		7,831,926		5,821,380		2,010,546	34.54
Mortgage-backed securities
Available-for-sale securities, at fair value (c)		5,709,633		5,548,784		160,849	2.90
Held-to-maturity securities, at carrying value, net (c)		9,376,620		9,143,779		232,841	2.55
Total MBS securities		15,086,253		14,692,563		393,690	2.68
Equity investments in Grantor trust (d)		75,767		96,124		(20,357)	(21.18)
Interest-bearing deposits		825,000		675,000		150,000	22.22
Securities purchased under agreements to resell		—		1,200,000		(1,200,000)	(100.00)
Federal funds sold		10,400,000		7,230,000		3,170,000	43.85
Total Investments	$	35,513,558	$	30,898,590	$	4,614,968	14.94	%

(a) State and local housing finance agency bonds are designated as both AFS, carried at fair values and HTM, carried at carrying value. There were acquisitions of $308.0 million of AFS State and local housing finance agency bonds for the nine months ending September 30, 2022 and paydowns were $0.2 billion in the AFS portfolio and $4.2 million in the HTM portfolio for the same period. During the second quarter of 2021, we reclassified $0.9 billion of LIBOR-indexed held-to-maturity securities to available-for-sale as a one-time election in accordance with ASC 848 Reference Rate Reform.

(b) Trading securities comprised of U.S. Treasury securities at September 30, 2022 and are carried at fair value. Trading portfolio is for liquidity and not for speculative purposes. We acquired $4.8 billion par of U.S. Treasury notes in the first nine months of 2022.

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

(d) Funds in the grantor trust are designated as equity investments and are carried at fair value. Trust fund balances represent investments in registered fixed-income and equity mutual funds and money market funds. Funds are highly liquid and readily redeemable at their NAVs, which are the fair values of the investments. The funds are owned by the FHLBNY, and the intent is to utilize investments to fund current and potential future payment obligations of the non-qualified employee retirement plans.

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

Table 3.2    Investment Debt Securities Issuer Concentration

	September 30, 2022						December 31, 2021
					Carrying value as						Carrying value as
	Carrying (a)				a Percentage		Carrying (a)				a Percentage
Long Term Investment (c)	Value		Fair Value		of Capital		Value		Fair Value		of Capital
MBS
Fannie Mae	$	2,176,482	$	2,150,150	30.30	%	$	2,565,768	$	2,594,055	39.80	%
Freddie Mac		12,850,353		12,428,379	178.91			12,053,895		12,390,599	187.00
Ginnie Mae		7,811		7,811	0.11			9,349		9,349	0.15
All Others - PLMBS		51,607		55,827	0.72			63,551		71,422	0.99
Non-MBS, net (b)		1,294,612		1,280,445	18.02			1,183,523		1,166,270	18.36
Total Investment Debt Securities	$	16,380,865	$	15,922,612	228.07	%	$	15,876,086	$	16,231,695	246.30	%
Categorized as:
Available-for-Sale Securities	$	6,823,561	$	6,823,561			$	6,547,421	$	6,547,421
Held-to-Maturity Securities, net	$	9,557,304	$	9,099,051			$	9,328,665	$	9,684,274

(a) Carrying values include fair values for AFS securities.

(b) Non-MBS — Includes Housing finance agency bonds.

(c) Excludes Trading portfolio.

The following tables summarize external rating information of the held-to-maturity portfolio (carrying values in thousands):

Table 3.3    External Rating of the Held-to-Maturity Portfolio

	September 30, 2022
									Below
									Investment
	AAA-rated (a)		AA-rated (b)		A-rated		BBB-rated		Grade		Total
Mortgage-backed securities	$	151	$	9,325,573	$	38,804	$	436	$	11,656	$	9,376,620
State and local housing finance agency obligations		—		179,332		1,352		—		—		180,684
Total Long-term securities	$	151	$	9,504,905	$	40,156	$	436	$	11,656	$	9,557,304

	December 31, 2021
									Below
									Investment
	AAA-rated (a)		AA-rated (b)		A-rated		BBB-rated		Grade		Total
Mortgage-backed securities	$	229	$	9,082,287	$	48,055	$	616	$	12,592	$	9,143,779
State and local housing finance agency obligations		—		183,330		1,556		—		—		184,886
Total Long-term securities	$	229	$	9,265,617	$	49,611	$	616	$	12,592	$	9,328,665

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

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The following tables summarize external rating information of the AFS portfolio (the carrying values of AFS investments are at fair values; in thousands):

Table 3.4    External Rating of the Available-for-Sale Portfolio

	September 30, 2022
									Below
									Investment
	AAA-rated(a)		AA-rated(b)		A-rated		BBB-rated		Grade		Total
Mortgage-backed securities	$	—	$	5,709,633	$	—	$	—	$	—	$	5,709,633
State and local housing finance agency obligations		16,875		1,095,579		—		1,474		—		1,113,928
Total Long-term securities	$	16,875	$	6,805,212	$	—	$	1,474	$	—	$	6,823,561

	December 31, 2021
									Below
									Investment
	AAA-rated(a)		AA-rated(b)		A-rated		BBB-rated		Grade		Total
Mortgage-backed securities	$	—	$	5,548,784	$	—	$	—	$	—	$	5,548,784
State and local housing finance agency obligations		18,951		977,507		—		2,179		—		998,637
Total Long-term securities	$	18,951	$	6,526,291	$	—	$	2,179	$	—	$	6,547,421

Footnotes to Table 3.3 and Table 3.4.

(a) Certain PLMBS and housing finance bonds have been assigned AAA, based on the ratings by S&P and Moody’s.

(b) We have assigned GSE-issued MBS a rating of AA+ based on the credit rating assigned to long-term senior debt issued by Fannie Mae, Freddie Mac, and U.S. Agency. The debt ratings are based on S&P’s rating of AA+ for the GSE Senior long-term debt and AA+ for the debt issued by the U.S. government; Moody’s debt rating is Aaa for the GSE Senior long-term debt and the U.S. government.

External credit rating information has been provided in Table 3.3 and Table 3.4 as the information is used as another data point to supplement our credit quality indicators, and they serve as a useful indicator when analyzing the degree of credit risk to which we are exposed. Significant changes in credit ratings classifications of our investment debt securities portfolio could indicate increased credit risk for us that could be accompanied by a reduction in the fair values of our investment debt securities portfolio.

Fair Value Levels of Investment Debt Securities

To compute fair values, multiple vendor prices were received for substantially all of our MBS holdings, and substantially all of those prices fell within specified thresholds. The relative proximity of the prices received from the multiple vendors supported our conclusion that the final computed prices were reasonable estimates of fair values. GSE securities priced under such a valuation technique using the market approach are typically classified within Level 2 of the valuation hierarchy.

The fair value of State and local housing finance agency obligations is estimated by management using information primarily from pricing services. Due to the current lack of significant market activity, their fair values were categorized as Level 3 of the valuation hierarchy. For a comparison of carrying values and fair values of investment debt securities, see financial statements, Note 5. Trading securities, Note 7. Available-for-Sale Securities and Note 8. Held-to-Maturity Securities. For more information about the corroboration and other analytical procedures performed, see Note 18. Fair Values of Financial Instruments. Also see Note 7. Available-for-sale securities for an explanation of amortized cost for securities hedged under ASC 815 fair value hedges.

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Weighted average rates — Mortgage-backed securities (HTM and AFS) — The following table summarizes weighted average rates (yields) and amortized cost by contractual maturities (dollars in thousands):

Table 3.5 Mortgage-Backed Securities Weighted Average Rates by Contractual Maturities

	September 30, 2022				December 31, 2021
	Amortized		Weighted		Amortized		Weighted
	Cost		Average Rate		Cost		Average Rate
Mortgage-backed securities
Due in one year or less	$	519,795	2.86	%	$	622,150	2.63	%
Due after one year through five years		5,240,317	2.97			4,120,381	2.47
Due after five years through ten years		7,885,783	2.81			8,002,850	2.51
Due after ten years		1,689,899	3.10			1,793,274	1.46
Total Mortgage-backed securities	$	15,335,794	2.90	%	$	14,538,655	2.37	%

A significant portion of the MBS portfolio consists of floating-rate securities and the weighted average rates will change in parallel with changes in the LIBOR or now other benchmarked rates where applicable.

Fair Value Hedges of Fixed-rate Available-for-sale Mortgage-backed Securities

The adoption of ASU 2017-12 provided an alternative guidance in the application of partial-term hedging. The ASU also provided a new approach that allows entities to hedge only the benchmark rate instead of the entire coupon of a fixed-rate instrument in a fair value hedge. We have adopted the guidance in the ASU to hedge designated available-for-sale fixed-rate CMBS. The following table summarizes key data (in thousands):

Table 3.6    Fair Value Hedges of Fixed-Rate Prepayable CMBS

	Fair Value Hedges of Fixed-Rate Prepayable CMBS
	September 30, 2022		December 31, 2021
Current face value of hedged CMBS	$	4,497,741	$	3,190,361
Partial-term hedge face value of hedged CMBS	$	4,003,000	$	2,859,000
Cumulative basis adjustment gains (losses)	$	(596,489)	$	(30,667)
Interest rate swap contracts (par)	$	4,003,000	$	2,859,000

Short-term investments

We typically maintain substantial investments in high quality short- and intermediate-term financial instruments such as secured overnight transactions collateralized by securities, including unsecured overnight and term deposits and federal funds sold to highly-rated financial institutions who also satisfy other credit quality factors. These investments provide the liquidity necessary to meet members’ credit needs. Short-term investments also provide a flexible means of implementing the asset/liability management decisions to adjust liquidity. We also invest in a liquidity trading portfolio, consisting of U.S. treasury securities, with the objective of satisfying our liquidity requirements and expanding our choice of investing for liquidity.

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

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The Finance Agency regulations also permit us to extend additional unsecured credit, which could be comprised of overnight extensions and sales of federal funds subject to continuing contract. Our total unsecured overnight exposure to a single counterparty may not exceed twice the regulatory limit for term exposures. We are prohibited by Finance Agency regulation from investing in financial instruments issued by non-U.S. entities other than those issued by U.S. branches and agency offices of foreign commercial banks, and we did not own any financial instruments issued by foreign sovereign governments, including those countries that are members of the European Union in any periods in this report.

Securities purchased under agreements to resell — As part of our banking activities with counterparties, we have entered into secured financing transactions that mature overnight and can be extended only at our discretion. These transactions involve the lending of cash against securities, which are accepted as collateral. There was no outstanding balance at September 30, 2022. At December 31, 2021, outstanding balance was $1.2 billion. Resale agreements averaged $28.3 million in the third quarter of 2022 and $13.0 million in the fourth quarter of 2021. For more information, see financial statements, Note 4. Interest-bearing Deposits, Federal Funds Sold and Securities Purchased under Agreements to Resell.

Federal funds sold — Federal funds sold was $10.4 billion at September 30, 2022, and $7.2 billion at December 31, 2021, and averaged $12.3 billion in the third quarter of 2022 and $10.8 billion in the fourth quarter of 2021. Investments represent unsecured lending to major banks and financial institutions. We are a major lender in this market, particularly in the overnight market. The amount of unsecured credit risk that may be extended to individual counterparties is commensurate with the counterparty’s credit quality as assessed by our management, and the assessment would include reviews of credit ratings of counterparty’s debt securities or deposits as reported by NRSROs. Overnight and short-term federal funds allow us to warehouse funds and provide balance sheet liquidity to meet unexpected member borrowing demands.

The following table summarizes par value, amortized cost and the carrying value (fair value) of the trading portfolio (in thousands):

Table 3.7    Trading Securities

	Trading Securities
	September 30, 2022		December 31, 2021
Par value	$	8,425,925	$	5,850,925
Amortized cost	$	8,249,150	$	5,835,212
Carrying/Fair value	$	7,831,926	$	5,821,380

The Finance Agency prohibits speculative investments but allows permitted securities to be deemed held for liquidity if invested in a trading portfolio. We may dispose such investments if liquidity needs are met and market conditions deem the sale as advantageous. For more information about fair values of securities in the trading portfolio, see Note 5. Trading Securities in the Notes to the Financial Statements.

The following table summarizes economic hedges of fixed-rate trading securities held for liquidity (in thousands):

Table 3.8    Economic Hedges of Fixed-rate Liquidity Trading Securities

	Economic Hedges of Fixed-Rate Trading
	Securities
	September 30, 2022		December 31, 2021
Par/Face amounts of portfolio of U.S. Treasury fixed-rate securities (a)	$	8,425,925	$	5,850,925
Par amounts of interest rate swaps	$	8,425,925	$	5,850,925

(a) Balances represent outstanding amounts of U.S. Treasury securities.

Mortgage Loans Held-for-Portfolio, Net

Mortgage loans are carried in the Statements of Condition at amortized cost, less allowance for credit losses. The outstanding unpaid principal balance was $2.1 billion at September 30, 2022, a decrease of $0.2 billion (net of acquisitions and paydowns) from the balance at December 31, 2021. Mortgage loan balances declined due to loan prepayments as a result of the low interest rate environment. Mortgage loans were investments in Mortgage Partnership Finance loans (MPF or MPF Program) and Mortgage Asset Program (MAP). Serious delinquencies at September 30, 2022 were lower than December 31, 2021. Allowance for credit losses was $1.7 million at September 30, 2022, compared to $2.1 million at December 31, 2021.

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Mortgage Partnership Finance Program — We invest in mortgage loans through the MPF Program, which is a secondary mortgage market structure under which eligible mortgage loans are purchased or funded from or through members who are Participating Financial Institution (PFI). We may also acquire MPF loans through participations with other FHLBanks, although our current acquisition strategy is to limit acquisitions through our PFIs. MPF loans are conforming conventional and Government i.e., insured or guaranteed by the Federal Housing Administration (FHA), the Department of Veterans Affairs (VA) or the Rural Housing Service of the Department of Agriculture (RHS), fixed-rate mortgage loans secured primarily by single-family residential properties with maturities ranging from five to 30 years or participations in such mortgage loans. The FHLBank of Chicago (MPF Provider) developed the MPF Program in order to help fulfill the housing mission and to provide an additional source of liquidity to FHLBank members that choose to sell mortgage loans into the secondary market rather than holding them in their own portfolios. Finance Agency regulations define the acquisition of Acquired Member Assets (AMA) as a core mission activity of the FHLBanks. In order for MPF loans to meet the AMA requirements, the purchase and funding are structured so that the credit risk associated with MPF loans is shared with PFIs.

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

In response to the COVID-19 pandemic, the Federal Government and various states have taken certain actions to allow the Federal Home Loans Banks to provide various forms of relief in response to the effects of the pandemic. These measures include forbearance and modification for MPF program loans. Loans under these agreements were not material at September 30, 2022. We are continuing to apply our policies, and not delaying the recognition of charge-offs, delinquencies, and nonaccruals status for the borrowers who would have otherwise moved into past due or nonaccruals status.

Mortgage loans — Conventional and Insured Loans — The following table classifies mortgage loans between conventional loans and loans insured by FHA/VA (in thousands):

Table 4.1    MPF by Conventional and Insured Loans

	September 30, 2022		December 31, 2021
Federal Housing Administration and Veteran Administration insured loans	$	142,526	$	160,716
Conventional loans		1,787,477		1,999,543
Allowance for credit losses on mortgage loans		(1,528)		(1,956)
MPF loans held-for-portfolio, net (a)	$	1,928,475	$	2,158,303

(a) Balances represent MPF portfolio; MAP portfolio balance of $208.0 million as of September 30, 2022 and $161.6 million as of December 31, 2021 were not included.

Mortgage Loans — Loss Sharing and the Credit Enhancement Waterfall — For all loans acquired prior to June 1, 2017, the credit enhancement was computed as the amount that would bring an uninsured loan to “Double A” credit risk. For loans acquired after June 1, 2017, the credit enhancement is computed to a “Single A” credit risk. In the credit enhancement waterfall, we are responsible for the first loss layer. The second loss layer is the credit obligation of the PFI. We assume all residual risk. Also, see financial statements, Note 10. Mortgage Loans Held-for-Portfolio.

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

Table 4.2    Geographic Concentration of MPF Loans

	September 30, 2022				December 31, 2021
	Number of loans %		Amounts outstanding %		Number of loans %		Amounts outstanding %
New York State (a)	73.5	%	68.7	%	73.2	%	68.0	%

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

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

	September 30, 2022
		Mortgage	Percent of Total
		Loans	Mortgage Loans
Teachers Federal Credit Union	$	182,200	9.58	%
Bethpage Federal Credit Union		148,743	7.82
Citizens Bank, N.A. (a)		136,675	7.19
Webster Bank, N.A. (b)		128,035	6.73
Manasquan Bank		105,278	5.54
All Others		1,200,689	63.14
Total (c)	$	1,901,620	100.00	%

	December 31, 2021
	Mortgage		Percent of Total
	Loans		Mortgage Loans
Teachers Federal Credit Union	$	195,737	9.20	%
Bethpage Federal Credit Union		164,021	7.71
Investors Bank		157,304	7.39
Sterling National Bank		143,790	6.76
Manasquan Bank		116,256	5.46
All Others		1,350,691	63.48
Total (c)	$	2,127,799	100.00	%

(a) FHLBNY member Investors Bank merged into a non-member institution, Citizens Bank, N.A., on April 7, 2022. As a result, Investors Bank is no longer a member of the FHLBNY.

(b) FHLBNY member Sterling National Bank merged into a non-member institution, Webster Bank, N.A., on February 1, 2022. As a result, Sterling National Bank is no longer a member of the FHLBNY.

(c) MAP unpaid principal balances of $202.9 million as of September 30, 2022 and $156.7 million as of December 31, 2021 were not included.

Debt Financing Activity and Consolidated Obligations

Our primary source of funds continues to be the issuance of Consolidated obligation bonds and discount notes. In aggregate, carrying balances of CO bonds and CO discount notes were $121.2 billion and $97.0 billion at September 30, 2022 and December 31, 2021.

CO bonds and CO discount notes — The carrying value of Consolidated obligation bonds (CO bonds or Consolidated obligation bonds) was $72.2 billion (par, $74.3 billion) at September 30, 2022, compared to $54.8 billion (par, $54.5 billion) at December 31, 2021. The carrying value of Consolidated obligation discount notes outstanding was $49.0 billion at September 30, 2022 and $42.2 billion at December 31, 2021.

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

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

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

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

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

The FHLBNY is an active participant in the issuance of SOFR-linked CO bonds. Outstanding balances were $19.5 billion at September 30, 2022 and $4.8 billion at December 31, 2021.

Consolidated obligation bonds

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

Table 5.1    CO Bonds by Type

	September 30, 2022				December 31, 2021
			Percentage				Percentage
	Amount		of Total		Amount		of Total
Fixed-rate, non-callable	$	30,324,055	40.82	%	$	31,907,580	58.53	%
Fixed-rate, callable		18,241,130	24.55			12,993,130	23.84
Step Up, callable		6,197,000	8.35			4,799,000	8.80
Floating rate, callable		1,265,000	1.70			1,265,000	2.32
Single-index floating rate		18,263,000	24.58			3,550,000	6.51
Total par value		74,290,185	100.00	%		54,514,710	100.00	%
Bond premiums		136,193				152,601
Bond discounts		(25,692)				(23,563)
Hedge valuation basis adjustments (a)		(2,125,652)				77,048
Hedge basis adjustments on de-designated hedges (b)		117,677				125,091
FVO (c) - valuation adjustments and accrued interest		(218,392)				(16,486)
Total Consolidated obligation-bonds	$	72,174,319			$	54,829,401

Fair value basis and valuation adjustments — Key determinants are factors such as run-offs and new transactions designated under an ASC 815 hedge or elected under the FVO, the forward swap curve, the volatility of the swap rates, the remaining duration to maturity, and for bonds elected under the FVO, the changes in the spread between the swap rate and the Consolidated obligation debt yields, and changes in interest payable, which is a component of the entire fair value of FVO bonds.

(a) Hedging valuation basis adjustments — The reported carrying values of hedged CO bonds are adjusted for changes in their fair values (fair value basis adjustments or fair value) that are attributable to changes in the benchmark risk being hedged. Our benchmarks are LIBOR, SOFR-OIS and Federal Funds-OIS, although we are actively transitioning away from LIBOR. In the hedging relationships, a benchmark is elected on an instrument-by-instrument basis and becomes the discounting basis under ASC 815 for computing changes in fair values for hedged CO bonds. Table 5.2 CO Bonds Hedged under Qualifying Fair Value Hedges discloses notional amounts of CO bonds hedged. The application of ASC 815 accounting methodology resulted in the recognition of net cumulative hedge valuation basis gains of $2.1 billion at September 30, 2022 and losses of $77.0 million at December 31, 2021. Generally, hedge valuation basis gains and losses are unrealized and are expected to reverse to zero if the CO bonds are held to maturity or are called on the early option exercise dates.

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

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(c) FVO valuation adjustments — Valuation basis adjustments and accrued interest payable are recorded to recognize changes in the entire fair value (the full fair value) of CO bonds elected under the FVO. Table 5.3 CO Bonds Elected under the Fair Value Option (FVO) discloses par amounts of CO bonds elected under the FVO.

We have elected the FVO on an instrument-by-instrument basis. For bonds elected under the FVO, it was not necessary to estimate changes attributable to instrument-specific credit risk, as we consider the credit worthiness of the FHLBanks to be secure and credit related adjustments unnecessary. More information about debt elected under the FVO is provided in financial statements, Note 18. Fair Values of Financial Instruments (See Fair Value Option Disclosures).

Hedge volume — Tables 5.2 – 5.4 provide information with respect to par amounts of CO bonds based on accounting designation: (1) under hedge qualifying rules, (2) under the FVO, and (3) as an economic hedge.

Qualifying hedges — Generally, fixed-rate (bullet and callable) medium and long-term Consolidated obligation bonds are hedged in a Fair value ASC 815 qualifying hedge.

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

Table 5.2    CO Bonds Hedged under Qualifying Fair Value Hedges

	Consolidated Obligation Bonds
Par Amount	September 30, 2022		December 31, 2021
Qualifying hedges
Fixed-rate bullet bonds	$	15,998,400	$	15,333,890
Fixed-rate callable bonds		23,237,130		16,488,130
	$	39,235,530	$	31,822,020

CO bonds elected under the FVO — If at inception of a hedge we do not believe that a hedge would be highly effective in offsetting fair value changes between the derivative and the debt (hedged item), we may designate the debt under the FVO. We would record fair value changes of the FVO debt through earnings, and to the extent the debt is economically hedged, record changes in the fair values of the interest rate swap through earnings. The recorded balance sheet value of debt under the FVO would include the fair value basis adjustments, so that the debt’s balance sheet carrying values would be its full fair value.

The following table provides information on CO bonds elected under the fair value option (in thousands):

Table 5.3    CO Bonds Elected under the Fair Value Option (FVO)

	Consolidated Obligation Bonds
Par Amount	September 30, 2022		December 31, 2021
Bonds designated under FVO	$	4,161,495	$	7,402,560

CO bonds elected under the FVO were generally in economic hedges by the execution of interest rate swaps that converted the fixed-rate bonds to a variable-rate instrument. We elected to account for the bonds under the FVO when we were generally unable to assert with confidence that the short- and intermediate-term bonds, or callable bonds, with short lock-out periods to the exercise of call options, would remain effective hedges as required under hedge accounting rules. We may also elect the FVO to achieve asset liability objectives. Designation of CO bonds under the FVO is an asset-liability management decision. For more information, see financial statements, Fair Value Option Disclosures in Note 18. Fair Values of Financial Instruments.

Economic hedges of CO bonds — We issue floating-rate debt indexed to a benchmark rate (LIBOR, Federal Funds-OIS or SOFR-OIS) and may then execute interest rate swaps that would synthetically convert the cash flows to the desired floating-rate funding indexed to another benchmark to meet our asset/liability funding strategies. The carrying value of the debt would not include fair value basis since the debt is recorded at amortized cost.

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

Table 5.4    Economic Hedges of CO Bonds (data in table excludes CO bonds elected under the FVO)

	Consolidated Obligation Bonds
Par Amount	September 30, 2022		December 31, 2021
Bonds designated as economically hedged
Floating-rate bonds (a)	$	—	$	250,000
Fixed-rate bonds (b)		15,000		220,000
	$	15,000	$	470,000

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

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

CO Bonds — Maturity or Next Call Date ^(a)

Callable bonds contain an exercise date or a series of exercise dates that may result in a shorter redemption period. The following table summarizes par amounts of Consolidated bonds outstanding by years to maturity or next call date (dollars in thousands):

Table 5.5    CO Bonds — Maturity or Next Call Date

	September 30, 2022				December 31, 2021
			Percentage				Percentage
	Amount		of Total		Amount		of Total
Year of maturity or next call date
Due or callable in one year or less	$	49,264,595	66.32	%	$	37,107,475	68.07	%
Due or callable after one year through two years		12,371,945	16.65			6,990,160	12.82
Due or callable after two years through three years		3,279,150	4.41			2,331,385	4.28
Due or callable after three years through four years		3,238,990	4.36			2,013,085	3.69
Due or callable after four years through five years		1,602,615	2.16			1,825,905	3.35
Thereafter		4,532,890	6.10			4,246,700	7.79
Total par value	$	74,290,185	100.00	%	$	54,514,710	100.00	%

(a) Contrasting Consolidated obligation bonds by contractual maturity dates (see financial statements, Note 12. Consolidated Obligations — Redemption Terms of Consolidated Obligation Bonds) with potential call dates (as reported in table above) illustrates the impact of hedging on the effective duration of the bond. With a callable bond, we have purchased the option to terminate debt at agreed upon dates from investors. The call options are exercisable as either a one-time option or quarterly. Our current practice is to exercise our option to call a bond when the swap counterparty exercises its option to call the cancellable swap hedging the callable bond. Thus, issuance of a callable bond with an associated callable swap significantly alters the contractual maturity characteristics of the original bond and introduces the possibility of an exercise call date that is significantly shorter than the contractual maturity.

The following table summarizes callable bonds versus non-callable CO bonds outstanding (par amounts, in thousands):

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

	September 30, 2022		December 31, 2021
Callable	$	25,703,130	$	19,057,130
Non-Callable	$	48,587,055	$	35,457,580

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CO Discount Notes

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

Table 5.7    Discount Notes Outstanding

	September 30, 2022			December 31, 2021
Par value	$	49,333,280		$	42,204,430
Amortized cost	$	49,087,388		$	42,197,683
Hedge value basis adjustments (a)		(57,533)			(424)
Hedge basis adjustments on de-designated hedges (b)		—			—
FVO (c) - valuation adjustments and remaining accretion		—			—
Total discount notes	$	49,029,855		$	42,197,259
Weighted average interest rate		2.39	%		0.06	%

(a) Hedging valuation basis adjustments — The reported carrying values of hedged CO discount notes are adjusted for changes in their fair values (fair value basis adjustments or fair value) that are attributable to changes in the benchmark risk being hedged. In the hedging relationships, a specific benchmark is elected on an instrument-by-instrument basis and becomes the discounting basis under ASC 815 for computing changes in fair values for the hedged CO discount notes. Notional amounts of $29.3 billion and $3.4 billion were hedged under ASC 815 qualifying fair value hedges at September 30, 2022 and December 31, 2021, respectively. The application of ASC 815 accounting methodology resulted in immaterial amounts of net cumulative hedge valuation adjustments as noted in the table above. Generally, hedge valuation basis gains and losses are unrealized and are expected to reverse to zero if the CO discount notes are held to maturity.

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

(c) FVO valuation adjustments — Valuation basis adjustments are recorded to recognize changes in the entire or full fair values including unaccreted discounts on CO discount notes elected under the FVO. Changes in benchmark interest rates, notional amounts of CO discount notes elected under FVO and remaining terms to maturity are factors that impact hedge valuation adjustments. No CO discount notes were elected under the FVO at September 30, 2022 and December 31, 2021.

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

Table 5.8    Fair Value Hedges of Discount Notes

	Consolidated Obligation Discount Notes
Principal Amount	September 30, 2022		December 31, 2021
Discount notes hedged under qualifying hedge	$	29,329,832	$	3,374,841

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

Table 5.9    Economic Hedges of Discount Notes

	Consolidated Obligation Discount
	Notes
Par Amount	September 30, 2022
Discount notes designated as economic hedges (a)	$	8,636,134

(a) Represents CO discount notes that were de-designated; unamortized hedge basis adjustments. No CO discount notes were outstanding at December 31, 2021 for economic hedges.

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

Table 5.10    Cash Flow Hedges of Discount Notes

	Consolidated Obligation Discount Notes
Principal Amount	September 30, 2022		December 31, 2021
Discount notes hedged under qualifying hedge (a)	$	1,608,000	$	1,693,000

(a) Amounts represent discounts notes issued in cash flow “rollover” hedge strategies that hedged the variability of 91-day discount notes issued in sequence. The original maturities of the interest rate swaps typically ranged from 10-15 years. In this strategy, the discount note expense, which resets every 91 days, is synthetically converted to fixed cash flows over the hedge periods, thereby achieving hedge objectives. For more information, see financial statements, Cash flow hedge gains and losses in Note 17. Derivatives and Hedging Activities.

Discount Notes under the Fair Value Option (FVO)

CO discount notes elected under the FVO were generally in economic hedges with the execution of interest rate swaps that converted the fixed-rate notes to a variable-rate instrument. We elected to account for the discount notes under the FVO when we were generally unable to assert with confidence that the discount notes would remain effective hedges as required under hedge accounting rules. See Fair Value Option Disclosures in Note 18. Fair Values of Financial Instruments. No CO discount notes were elected under the FVO at September 30, 2022 and December 31, 2021.

Accrued interest payable

Accrued interest payable — Amounts outstanding were $251.1 million at September 30, 2022 and $127.0 million at December 31, 2021. Accrued interest payable was comprised primarily of interest due and unpaid on CO bonds, which are generally payable on a semi-annual basis. Fluctuations in unpaid interest balances on bonds are due to the timing of semi-annual coupon accruals and payments at the balance sheet dates.

Other Liabilities

Other liabilities — Amounts outstanding were $141.1 million at September 30, 2022 and $182.5 million at December 31, 2021. Other liabilities comprised of unfunded pension liabilities, Federal Reserve pass-through reserves held on behalf of members, and miscellaneous payables.

Stockholders’ Capital

The following table summarizes the components of Stockholders’ capital (in thousands):

Table6.1    Stockholders’ Capital

	September 30, 2022		December 31, 2021
Capital Stock (a)	$	5,330,611	$	4,500,785
Unrestricted retained earnings (b)		1,148,628		1,103,585
Restricted retained earnings (c)		879,963		827,380
Accumulated Other Comprehensive Income (Loss)		(176,741)		14,103
Total Capital	$	7,182,461	$	6,445,853

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

(b) Unrestricted retained earnings — Net income is added to this balance. Dividends are paid out of this balance. Funds are transferred to Restricted retained earnings balances as mandated by the FHLBank Joint Capital Enhancement Agreement (Capital Agreement).

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(c) Restricted retained earnings — Restricted retained earnings balance at September 30, 2022 has grown to $880.0 million from the time the provisions were implemented in 2011 when the FHLBanks, including the FHLBNY, agreed to set up a restricted retained earnings account. The FHLBNY will allocate at least 20% of its net income to the FHLBNY’s Restricted retained earnings account until the balance of the account equals at least 1% of FHLBNY’s average balance of outstanding Consolidated obligations for the current calendar quarter. By way of reference, the Restricted retained earnings target calculated at September 30, 2022 was $1.2 billion based on the FHLBNY’s average consolidated obligations outstanding during the current calendar quarter, as compared to actual Restricted retained earnings of $880.0 million at September 30, 2022. Also see Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings.

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

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

	September 30, 2022		December 31, 2021
Accumulated other comprehensive income (loss)
Non-credit portion on held-to-maturity securities, net (a)	$	(1,080)	$	(1,586)
Net market value unrealized gains (losses) on available-for-sale securities (b)		(843,532)		125,170
Net Fair value hedging gains (losses) on available-for-sale securities (b)		596,489		30,667
Net Cash flow hedging gains (losses) (c)		108,693		(101,499)
Employee supplemental retirement plans (d)		(37,311)		(38,649)
Total Accumulated other comprehensive income (loss)	$	(176,741)	$	14,103

(a) Represents cumulative unamortized non-credit losses (also referred to as non-credit OTTI) recorded prior to the application of the framework under ASU 2016-13. Balances in AOCI have declined due to accretion recorded as a reduction in AOCI and a corresponding increase in the balance sheet carrying values of the impaired securities.

(b) Net market values unrealized gains (losses) on available-for-sale securities were losses of $843.5 million and gains of $125.2 million at September 30, 2022 and December 31, 2021, respectively, represent third-party pricing vendors’ market-based unrealized gains/losses of securities designated as AFS. Net unrealized gains of $596.5 million and $30.7 million at September 30, 2022 and December 31, 2021, respectively, represent changes in the benchmark rate (the risk being hedged) calculated by the Bank’s internal models for AFS designated in ASC 815 hedging relationships. Hedging gains and losses are recorded through earnings with an offset to the carrying values of hedged AFS securities. Hedging basis will reverse to zero if hedges are allowed to mature.

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

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

The following table presents amounts recognized in and reclassified out of AOCI due to cash flow and fair value hedges (in thousands): Gains/(losses) are recorded in AOCI.

Table 6.3    AOCI Roll forward due to ASC 815 Hedging Programs

	September 30, 2022
	Cash Flow Hedges				Fair Value Hedges
	Rollover Hedge		Anticipatory
	Program		Hedge Program		AFS Securities
Beginning balance	$	(94,601)	$	(6,898)	$	30,667
Changes in fair values (a)		203,892		3,554		565,822
Amount reclassified		—		1,010		—
Fair Value - closed contract		—		1,736		—
Ending balance	$	109,291	$	(598)	$	596,489
Notional amount of swaps outstanding	$	1,608,000	$	195,000	$	4,003,000

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	December 31, 2021
	Cash Flow Hedges				Fair Value Hedges
	Rollover Hedge		Anticipatory
	Program		Hedge Program		AFS Securities
Beginning balance	$	(198,494)	$	(8,710)	$	(44,052)
Changes in fair values (a)		103,893		—		74,719
Amount reclassified		—		1,511		—
Fair Value - closed contract		—		301		—
Ending balance	$	(94,601)	$	(6,898)	$	30,667
Notional amount of swaps outstanding	$	1,693,000	$	—	$	2,859,000

	September 30, 2021
	Cash Flow Hedges				Fair Value Hedges
	Rollover Hedge		Anticipatory
	Program		Hedge Program		AFS Securities
Beginning balance	$	(198,494)	$	(8,710)	$	(44,052)
Changes in fair values (a)		80,898		—		64,832
Amount reclassified		—		1,128		—
Fair Value - closed contract		—		352		—
Ending balance	$	(117,596)	$	(7,230)	$	20,780
Notional amount of swaps outstanding	$	1,806,000	$	—	$	1,893,000

(a) Represents fair value changes of open swap contracts in cash flow hedges. For more information, see Financial Statements, Note 17. Derivatives and Hedging Activities.

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

The following table summarizes dividends paid and payout ratios:

Table 6.4    Dividends Paid and Payout Ratios

	Nine months ended
	September 30, 2022			September 30, 2021
Cash dividends paid per share	$	3.64		$	3.57
Dividends paid (a)(c)	$	165,288		$	192,405
Pay-out ratio (b)		62.87	%		90.45	%

(a) In thousands.

(b) Dividend paid during the period divided by net income for the period.

(c) Does not include dividends paid to non-members; for accounting purposes, such dividends are recorded as interest expense.

Derivative Instruments and Hedging Activities

Interest rate swaps, swaptions, cap and floor agreements (collectively, derivatives) enable us to manage our exposure to changes in interest rates by adjusting the effective maturity, repricing frequency, or option characteristics of financial instruments. To a limited extent, we also use interest rate swaps to hedge changes in interest rates prior to debt issuance and essentially lock in funding costs. Finance Agency regulations prohibit the speculative use of derivatives. For additional information about the methodologies adopted for the fair value measurement of derivatives, see financial statements, Note 18. Fair Values of Financial Instruments.

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Derivatives Counterparty Credit Ratings

For information, and an analysis of our exposure due to non-performance of swap counterparties, see Table “Offsetting of Derivative Assets and Derivative Liabilities — Net Presentation” in Note 17. Derivatives and Hedging Activities to financial statements. For information about the methodologies adopted for the fair value measurement of derivatives, see financial statements, Note 18. Fair Values of Financial Instruments.

The following tables summarize notional amounts and fair values for the FHLBNY’s derivative exposures as represented by derivatives in fair value gain positions (in thousands):

Table 7.1    Derivatives Counterparty Credit Ratings

	September 30, 2022
			Net Derivatives		Cash Collateral				Non-Cash Collateral		Net Credit
			Fair Value		Pledged To (From)		Balance Sheet Net		Pledged To (From)		Exposure to
Credit Rating	Notional Amount		Before Collateral		Counterparties (a)		Credit Exposure		Counterparties (b)		Counterparties
Non-member counterparties
Asset positions with credit exposure
Uncleared derivatives
Single A asset (c)	$	690,000	$	11,399	$	(10,320)	$	1,079	$	—	$	1,079
Cleared derivatives assets (d)		120,558,591		41,390		—		41,390		539,635		581,025
		121,248,591		52,789		(10,320)		42,469		539,635		582,104
Liability positions with credit exposure
Uncleared derivatives
Single A liability (c)		7,284,759		(180,103)		305,270		125,167		(109,300)		15,867
Triple B liability (c)		6,035,000		(204,640)		209,710		5,070		—		5,070
Cleared derivatives liability (d)		858,077		—		—		—		32,006		32,006
		14,177,836		(384,743)		514,980		130,237		(77,294)		52,943
Total derivative positions with non-member counterparties to which the Bank had credit exposure		135,426,427		(331,954)		504,660		172,706		462,341		635,047
Delivery commitments
Derivative position with delivery commitments		10,466		—		—		—		—		—
Total derivative position with members		10,466		—		—		—		—		—
Total	$	135,436,893	$	(331,954)	$	504,660	$	172,706	$	462,341	$	635,047
Derivative positions without credit exposure		31,011,630
Total notional	$	166,448,523

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	December 31, 2021
			Net Derivatives		Cash Collateral				Non-Cash Collateral		Net Credit
			Fair Value		Pledged To (From)		Balance Sheet Net		Pledged To (From)		Exposure to
Credit Rating	Notional Amount		Before Collateral		Counterparties (a)		Credit Exposure		Counterparties (b)		Counterparties
Non-member counterparties
Asset positions with credit exposure
Uncleared derivatives
Single A asset (c)	$	4,182,000	$	50,094	$	73,000	$	123,094	$	(112,659)	$	10,435
Cleared derivatives assets (d)		4,191,067		743		—		743		33,859		34,602
		8,373,067		50,837		73,000		123,837		(78,800)		45,037
Liability positions with credit exposure
Uncleared derivatives
Single A liability (c)		699,000		(6,478)		6,540		62		—		62
Triple B liability (c)		3,203,000		(167,564)		168,000		436		—		436
Cleared derivatives liability (d)		62,389,522		(3,951)		173,946		169,995		333,251		503,246
		66,291,522		(177,993)		348,486		170,493		333,251		503,744
Total derivative positions with non-member counterparties to which the Bank had credit exposure		74,664,589		(127,156)		421,486		294,330		254,451		548,781
Member institutions
Derivative positions with member counterparties to which the Bank had credit exposure		79,000		3,165		—		3,165		(3,165)		—
Delivery commitments
Derivative position with delivery commitments		8,573		9		—		9		(9)		—
Total derivative position with members		87,573		3,174		—		3,174		(3,174)		—
Total	$	74,752,162	$	(123,982)	$	421,486	$	297,504	$	251,277	$	548,781
Derivative positions without credit exposure		20,247,014
Total notional	$	94,999,176

(a) When collateral is posted to counterparties in excess of fair value liabilities that are due to counterparties, the excess collateral is classified as a component of derivative assets, as the excess represents a receivable and an exposure for the FHLBNY.

(b) Non-cash collateral securities. Non-cash collateral was not deducted from net derivative assets on the balance sheet as control over the securities was not transferred.

(c) NRSRO Ratings.

(d) On cleared derivatives, we are required to pledge initial margin (considered as collateral) to Derivative Clearing Organizations (DCOs) in cash or securities. We had pledged $571.6 million and $367.1 million in marketable securities as collateral at September 30, 2022 and December 31, 2021, respectively. At September 30, 2022 we did not pledge cash as collateral. At December 31, 2021, we had pledged $173.9 million in cash as collateral.

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

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

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Finance Agency Regulations — Liquidity

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

In addition, the Bank provides for Contingency Liquidity, which is defined as the sources of cash the Bank may use to meet its operational requirements when its access to the capital markets is impeded. We met our Contingency Liquidity requirements during all periods in this report. Liquidity in excess of requirements is summarized in the table titled Contingency Liquidity. Advisory Bulletin 2018-07 concerning liquidity was by policy fully implemented on December 31, 2019.

Liquidity Management

We actively manage our liquidity position to maintain stable, reliable, and cost-effective sources of funds while taking into account market conditions, member demand and the maturity profile of our assets and liabilities. We recognize that managing liquidity is critical to achieving our statutory mission of providing low-cost ready liquidity to our members. In managing liquidity risk, we are required to maintain certain liquidity measures in accordance with the FHLBank Act, an Advisory Bulletin and policies developed by management and approved by our Board of Directors. The applicable liquidity requirements are described in the next four sections.

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

Table 8.1    Deposit Liquidity

	Average Deposit		Average Actual
For the Quarters Ended	Reserve Required		Deposit Liquidity		Excess
September 30, 2022	$	942	$	77,479	$	76,537
June 30, 2022		1,125		65,038		63,913
March 31, 2022		1,199		60,522		59,323
December 31, 2021		1,301		58,192		56,891

Operational Liquidity. We must be able to fund our activities as our balance sheet changes from day-to-day. We maintain the capacity to fund balance sheet growth through regular money market and capital market funding and investment activities. We monitor our operational liquidity needs by regularly comparing our demonstrated funding capacity with potential balance sheet growth. We take such actions as may be necessary to maintain adequate sources of funding for such growth. Operational liquidity is measured daily. We met these requirements at all times.

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

Table 8.2    Operational Liquidity

	Average Balance Sheet		Average Actual
For the Quarters Ended	Liquidity Requirement		Operational Liquidity		Excess
September 30, 2022	$	5,373	$	29,470	$	24,097
June 30, 2022		3,711		27,171		23,460
March 31, 2022		2,944		27,048		24,104
December 31, 2021		4,174		23,534		19,360

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

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

Table 8.3    Contingency Liquidity

	Average Five Day		Average Actual
For the Quarters Ended	Requirement		Contingency Liquidity		Excess
September 30, 2022	$	2,265	$	26,522	$	24,257
June 30, 2022		2,309		24,717		22,408
March 31, 2022		1,881		24,382		22,501
December 31, 2021		1,115		21,023		19,908

The Liquidity standards in our risk management policy address our day-to-day operational and contingency liquidity needs. These standards enumerate the specific types of investments to be held to satisfy such liquidity needs and are outlined above. These standards also establish the methodology to be used in determining our operational and contingency needs. We continually monitor and project our cash needs, daily debt issuance capacity, and the amount and value of investments available for use in the market for repurchase agreements. We use this information to determine our liquidity needs and to develop appropriate liquidity plans.

The Finance Agency’s Liquidity Advisory Bulletin 2018-07 requires the Bank to maintain between 10 and 30 business days of positive cash flow assuming all advances renew. The Advisory Bulletin also requires us to hold liquidity in a specified range of the notional of our outstanding standby financial letters of credit and provides guidance on maintaining appropriate funding gaps for three-month and one-year maturity horizons. The FHFA has periodically issued updated guidance in supervisory letters. We remain in compliance with the Advisory Bulletin and all Liquidity regulations.

Other Liquidity Contingencies. As discussed more fully under the section Debt Financing Activity and Consolidated Obligations, we are primarily liable for Consolidated obligations issued on our behalf. We are also jointly and severally liable with the other FHLBanks for the payment of principal and interest on the Consolidated obligations of all the FHLBanks. If the principal or interest on any Consolidated obligation issued on our behalf is not paid in full when due, we may not pay dividends, redeem or repurchase shares of stock of any member or non-member stockholder until the Finance Agency approves our Consolidated obligation payment plan or other remedy and until we pay all the interest or principal currently due on all our Consolidated obligations. The Finance Agency, at its discretion, may require any FHLBank to make principal or interest payments due on any Consolidated obligations.

Finance Agency regulations also state that the FHLBanks must maintain, free from any lien or pledge, the following types of assets in an amount at least equal to the amount of Consolidated obligations outstanding: Cash; Obligations of, or fully guaranteed by, the United States; Secured advances; Mortgages that have any guaranty, insurance, or commitment from the United States or any agency of the United States; and investments described in section 16(a) of the FHLBank Act, including securities that a fiduciary or trust fund may purchase under the laws of the state in which the FHLBank is located.

Cash flows

Cash and due from Banks was $21.3 million at September 30, 2022 and $118.8 million at September 30, 2021. Cash and cash equivalents exclude short-term interest-bearing deposits, federal funds sold, and securities purchased under agreements to resell. The following discussion highlights the major activities and transactions that affected our cash flows.

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

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Operating activities resulted in $2.1 billion in net cash inflows in the nine months ended September 30, 2022, compared to inflows of $0.7 billion in the same period in the prior year. Period changes in cash flows provided by or used in operating activities were largely driven by: (a) Net income was $262.9 million in the nine months ended September 30, 2022 and $212.7 million in the same period in the prior year; (b) Derivatives and hedging activities provided $1.3 billion in cash flows in the nine months ended September 30, 2022, compared to $0.4 billion in cash flows in the same period in the prior year; and (c) Positive adjustments to operating cash flows of $408.2 million to recognize unrealized valuation losses on U.S. Treasury securities at September 30, 2022, compared to $77.3 million in the same period in the prior year.

Cash flows provided by/(used in) investing activities — Investing activities resulted in $29.1 billion in net cash outflows in the nine months ended September 30, 2022, compared to $31.8 billion in net cash inflows in the same period in the prior year. In the nine months ended September 30, 2022, we acquired $4.6 billion of Treasury securities compared to $2.4 billion in the same period of the prior year. Repayments from Treasury securities were $1.4 billion in the nine months ended September 30, 2022 compared to $9.7 billion in the same period in the prior year. Net cash inflows from Securities purchased under agreements to resell were $1.2 billion in the nine months ended September 30, 2022 compared to net cash inflows of $4.7 billion in the same period in the prior year.

Cash flows provided by/(used in) financing activities — Our primary source of funding is the issuance of Consolidated obligation debt. Issuance of capital stock is another source. Financing activities reported net cash inflows of $27.0 billion in the nine months ended September 30, 2022 compared to net outflows of $34.3 billion in the same period in the prior year.

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

Short-term Borrowings and Short-term Debt

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

Off-Balance Sheet Arrangements, Guarantees, and Other Commitments — In accordance with regulations governing the operations of the FHLBanks, each FHLBank, including the FHLBNY, is jointly and severally liable for the FHLBank System’s Consolidated obligations issued under sections 11(a) and 11(c) of the FHLBank Act. The joint and several liability regulations authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on Consolidated obligations for which another FHLBank is the primary obligor.

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

These commitments may represent future cash requirements of the Bank, although the standby letters of credit usually expire without being drawn upon. For more information about contractual obligations and commitments, see financial statements, Note 19. Commitments and Contingencies.

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Results of Operations

The following section provides a comparative discussion of the FHLBNY’s results of operations for the three and nine months ended September 30, 2022 and September 30, 2021. For a discussion of the critical accounting estimates used by the FHLBNY that affect the results of operations, see financial statements, Note 1. Critical Accounting Policies and Estimates in the Bank’s most recent Form 10-K filed on March 22, 2022.

Net Income

Interest income from advances is the principal source of revenue. Other sources of revenue are interest income from investment debt securities, liquidity trading securities, mortgage loans in the MPF and MAP portfolio, securities purchased under agreements to resell and federal funds sold. Fair value gains and losses on liquidity trading securities and equity investments also impact Net income. The primary expense is interest paid on Consolidated obligation debt. Other expenses are Compensation and benefits, Operating expenses, our share of operating expenses of the Office of Finance and the FHFA, and affordable housing program assessments on Net income. Other significant factors affecting our Net income include the volume and timing of investments in mortgage-backed securities, prepayments of advances, charges due to debt repurchased, gains and losses from derivatives and hedging activities, and earnings from investing our shareholders’ capital.

Summarized below are the principal components of Net income (in thousands):

Table 9.1    Principal Components of Net Income

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Total interest income	$	806,362	$	227,403	$	1,415,037	$	757,212
Total interest expense		637,809		99,226		977,683		327,332
Net interest income before provision for credit losses		168,553		128,177		437,354		429,880
Provision (Reversal) for credit losses		(271)		(1,652)		(417)		(4,609)
Net interest income after provision for credit losses		168,824		129,829		437,771		434,489
Total other income (loss)		23,963		(8,652)		(4,120)		(50,895)
Total other expenses		48,813		48,055		141,395		147,227
Income before assessments		143,974		73,122		292,256		236,367
Affordable Housing Program Assessments		14,425		7,314		29,342		23,645
Net income	$	129,549	$	65,808	$	262,914	$	212,722

Net Income — 2022 Third Quarter Compared to 2021 Third Quarter

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

Net income for the 2022 third quarter was $129.5 million, an increase of $63.7 million, or 96.9% compared to the same period in the prior year. Summarized below are the primary components of our Net income:

Net interest income — The 2022 third quarter Net interest income was $168.6 million, an increase of $40.4 million, or 31.5% compared to the same period in the prior year. Net interest spread was 38 basis points in the 2022 third quarter compared to 43 basis points in the same period in the prior year. For more information, see Table 9.2 Net Interest Income and accompanying discussions in this MD&A.

Other income (loss) — Other income (loss) reported a gain of $24.0 million in the 2022 third quarter compared to a loss of $8.7 million in the same period in the prior year.

● Service fees and other were $4.3 million in the 2022 third quarter, slightly lower than the same period in the prior year. Service fees and other are primarily fee revenues from financial letters of credit.

● Financial instruments carried at fair values reported net valuation gains of $96.7 million in the 2022 third quarter compared to net gains of $0.3 million in the same period in the prior year. For more information, see financial statements,

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Fair Value Option Disclosures in Note 18. Fair Values of Financial Instruments. Also see Table 9.8 Other Income (Loss) and accompanying discussions in this MD&A.

● Derivative activities reported net gains of $78.2 million in Other income in the 2022 third quarter compared to net gains of $3.3 million in the same period in the prior year. For more information, see Table 9.10 Other Income (Loss) — Impact of Derivative Gains and Losses and accompanying discussions in this MD&A.

● U.S. Treasury Securities held for liquidity (classified as trading) reported net fair value losses of $151.2 million in the 2022 third quarter compared to net fair value losses of $16.1 million in the same period in the prior year.

● Equity Investments, held to finance payments to retirees in non-qualified pension plans, reported net fair value losses of $4.0 million in the 2022 third quarter compared to net losses of $0.5 million in the same period in the prior year.

Other expenses were $48.8 million in the 2022 third quarter compared to $48.1 million in the same period in the prior year. Other expenses are primarily Operating expenses, Compensation and benefits, and our share of expenses of the Office of Finance and the Federal Housing Finance Agency.

● Operating expenses were $19.2 million in the 2022 third quarter, up from $16.9 million in the same period in the prior year.

● Compensation and benefits expenses were $22.0 million in the 2022 third quarter compared to $23.3 million in the same period in the prior year due to a decrease in headcount.

● The expenses allocated for our share of the costs to operate the Office of Finance and the Federal Housing Finance Agency were $5.3 million in the 2022 third quarter compared to $5.5 million in the same period in the prior year.

● Other expenses were $2.4 million in the 2022 third quarter compared to $2.3 million in the same period in the prior year.

Affordable Housing Program Assessments (AHP) allocated from Net income were $14.4 million in the 2022 third quarter compared to $7.3 million in the same period in the prior year. Assessments are calculated as a percentage of Net income, and changes in allocations were in tandem with changes in Net income.

Net Income — Year-to-Date Period Ended September 30, 2022 Compared to Year-to-Date Period Ended September 30, 2021

Net income in the year-to-date period in the current year was $262.9 million, an increase of $50.2 million, or 23.6% compared to the same period in the prior year.

Net interest income in the year-to-date period in the current year was $437.4 million, an increase of $7.5 million, or 1.7%. Net interest spread was 41 basis points in the current year-to-date period and 44 basis points in the same period in the prior year. For more information, see Table 9.2 Net Interest Income and accompanying discussions in this MD&A.

Other income (loss) — Other income (loss) in the year-to-date period ended September 30, the aggregate impact was a loss of $4.1 million in the 2022 period compared to a loss of $50.9 million in the same period in the prior year.

Other expenses were $141.4 million in the year-to-date period in the current year, compared to $147.2 million in the same period in the prior year. Operating expenses were $51.2 million in the year-to-date period in the current year, slightly higher than the prior year period. Compensation and benefits were $66.9 million in the year-to-date period in the current year, down from $70.8 million in the prior year period due to a decrease in headcount. The expenses allocated for our share of the costs to operate the Office of Finance and the Federal Housing Finance Agency were $16.1 million in the year-to-date period in the current year, compared to $16.5 million in the prior year period. Other expenses were $7.3 million in the year-to-date period in the current year and $10.6 million in the prior year period. Other expenses included non-service elements of Net periodic pension benefit costs, and derivative clearing fees.

AHP assessments allocated from Net income were $29.3 million in the year-to-date period in the current year, compared to $23.6 million in the same period in the prior year.

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Net Interest Income, Interest Rate Margins and Interest Rate Spreads

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

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

The following table summarizes Net interest income (dollars in thousands):

Table 9.2    Net Interest Income

	Three months ended September 30,						Nine months ended September 30,
					Percentage						Percentage
	2022		2021		Change		2022		2021		Change
Total interest income (a)	$	806,362	$	227,403	254.60	%	$	1,415,037	$	757,212	86.87	%
Total interest expense (a)		637,809		99,226	542.78			977,683		327,332	198.68
Net interest income before provision for credit losses	$	168,553	$	128,177	31.50	%	$	437,354	$	429,880	1.74	%

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

In the third quarter of the current year, net interest income, before loan loss provisions, was $168.6 million, an increase of $40.4 million, or 31.5% from the third quarter of 2021. The primary driver was an increase in the average balances of interest earning assets, principally advances. Additionally, $0.5 million of prepayment fees from Advances and Mortgage-backed securities were recorded in Net interest income in the third quarter of 2022 compared to $8.5 million in the third quarter of 2021. Financial markets during the quarter continued to exhibit rising levels of interest rates, but we have seen opportunities for acquiring investments as the Federal Reserve has reduced their activity during the quarter.

In the third quarter of current year, margins between yields on assets, specifically overnight, short-term, and floating-rate investments and short-term and floating-rate advances, and the corresponding yields paid on funding those assets were higher than the third quarter of the prior year. Net interest margin, a measure of margin efficiency, which is calculated as Net interest income divided by average earning assets, was 52 basis points in the third quarter of 2022, compared to 45 basis points in the prior year same period. Net interest spread in the third quarter of 2022 was 38 basis points, representing the yield from earning assets minus interest paid on costing liabilities, compared to 43 basis points in the prior year same period.

Stockholders’ capital, which is typically deployed to fund short-term interest-earning assets, increased to $7.1 billion in the third quarter of 2022, up from $6.6 billion in the same period in the prior year (as measured by average outstanding balance in the period). Increase in Capital stock was in line with increase in advances in the third quarter of 2022 as borrowing members are required to purchase capital stock in proportion to amounts borrowed.

In the 2022 year-to-date period, Net interest margin was 50 basis points compared to 46 basis points from the same period in the prior year. Net interest spread in the 2022 year-to-date period was 41 basis points compared to 44 basis points in the same period in the prior year.

Stockholders’ capital stock, which is typically deployed to fund short-term interest-earning assets, decreased to $6.7 billion in 2022 year-to-date period from $7.0 billion in the same period in the prior year.

Swap interest settlement on swaps designated in ASC 815 hedging of assets and liabilities recorded a net expense of $33.4 million to interest margin in the third quarter of 2022, compared to a net expense of $72.8 million in the third quarter of 2021. In the year-to-date period ended September 30, 2022, we recorded a net expense of $112.2 million to interest margin, compared to a net expense of

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$248.9 million in the same period in the prior year. Interest settlements are impacted by the net differential between fixed-rates associated with hedging swaps and the benchmark variable-rates associated with the swap’s floating-leg. Net interest settlements on swaps hedging assets and liabilities under ASC 815 fluctuated as expected in line with changes in the benchmark rates; the hedging transactions achieved our interest rate risk management objectives. The impact of hedge ineffectiveness in the comparable quarters were immaterial.

Impact of Qualifying Hedges on Net Interest Income

The following table summarizes the impact of net interest adjustments from hedge qualifying interest-rate swaps (in thousands):

Table 9.3    Net Interest Adjustments from Hedge Qualifying Interest Rate Swaps

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Interest income	$	723,287	$	332,052	$	1,460,846	$	1,082,444
Fair value hedging effects		3,107		213		19,916		1,664
Amortization of basis		(36)		(666)		(108)		(692)
Interest rate swap accruals		80,004		(104,196)		(65,617)		(326,204)
Reported interest income		806,362		227,403		1,415,037		757,212
Interest expense		531,527		132,722		950,686		412,205
Fair value hedging effects		(5,763)		(810)		(14,051)		(3,560)
Amortization of basis		(1,389)		(1,310)		(5,488)		(4,013)
Interest rate swap accruals		113,434		(31,376)		46,536		(77,300)
Reported interest expense		637,809		99,226		977,683		327,332
Net interest income	$	168,553	$	128,177	$	437,354	$	429,880
Net interest adjustment - interest rate swaps	$	(23,207)	$	(71,153)	$	(72,806)	$	(240,359)

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Spread and Yield Analysis — 2022 Periods Compared to 2021 Periods

Table 9.4    Spread and Yield Analysis

		Three months ended September 30,
		2022					2021
				Interest					Interest
		Average		Income/			Average		Income/
(Dollars in thousands)		Balance		Expense	Rate (a)		Balance		Expense		Rate (a)
Earning Assets:
Advances	$	86,597,197	$	565,508	2.59	%	$	75,642,110	$	116,229	0.61	%
Interest bearing deposits and others		2,165,360		12,348	2.26			1,321,580		311	0.09
Federal funds sold and other overnight funds		12,329,239		69,510	2.24			12,558,891		2,834	0.09
Investments
Trading securities		7,749,733		25,581	1.31			5,924,376		16,871	1.13
Mortgage-backed securities
Fixed		12,713,148		91,640	2.86			10,696,765		67,049	2.49
Floating		2,474,700		16,155	2.59			3,448,295		4,889	0.56
State and local housing finance agency obligations		1,293,542		9,003	2.76			1,067,356		2,014	0.75
Mortgage loans held-for-portfolio		2,154,498		16,461	3.03			2,468,091		17,206	2.77
Loans to other FHLBanks		24,511		156	2.53			—		—	NM
Total interest-earning assets	$	127,501,928	$	806,362	2.51	%	$	113,127,464	$	227,403	0.80	%
Funded By:
Consolidated obligation bonds
Fixed	$	51,758,297	$	289,185	2.22	%	$	61,471,367	$	82,761	0.53	%
Floating		15,577,658		90,368	2.30			3,863,050		1,727	0.18
Consolidated obligation discount notes		50,766,523		253,400	1.98			39,375,108		14,593	0.15
Interest-bearing deposits and other borrowings		919,373		4,585	1.98			1,394,120		120	0.03
Mandatorily redeemable capital stock		10,958		271	9.81			2,245		25	4.42
Total interest-bearing liabilities		119,032,809		637,809	2.13	%		106,105,890		99,226	0.37	%
Other non-interest-bearing funds		1,377,140		—				433,339		—
Capital		7,091,979		—				6,588,235		—
Total Funding	$	127,501,928	$	637,809			$	113,127,464	$	99,226
Net Interest Income/Spread			$	168,553	0.38	%			$	128,177	0.43	%
Net Interest Margin
(Net interest income/Earning Assets)					0.52	%					0.45	%

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		Nine months ended September 30,
		2022					2021
				Interest					Interest
		Average		Income/			Average		Income/
(Dollars in thousands)		Balance		Expense	Rate (a)		Balance		Expense		Rate (a)
Earning Assets:
Advances	$	77,740,022	$	914,365	1.57	%	$	84,322,865	$	379,624	0.60	%
Interest bearing deposits and others		1,923,534		16,705	1.16			1,364,396		908	0.09
Federal funds sold and other overnight funds		11,714,788		93,610	1.07			12,210,806		7,474	0.08
Investments
Trading securities		7,487,839		63,334	1.13			8,365,101		85,249	1.36
Mortgage-backed securities
Fixed		12,267,390		233,792	2.55			10,748,075		207,851	2.59
Floating		2,614,953		28,265	1.45			3,731,934		16,351	0.59
State and local housing finance agency obligations		1,217,186		15,239	1.67			1,082,639		5,788	0.71
Mortgage loans held-for-portfolio		2,210,510		49,499	2.99			2,626,295		53,966	2.75
Loans to other FHLBanks		18,333		228	1.66			1,099		1	0.12
Total interest-earning assets	$	117,194,555	$	1,415,037	1.61	%	$	124,453,210	$	757,212	0.81	%
Funded By:
Consolidated obligation bonds
Fixed	$	50,907,880	$	512,872	1.35	%	$	60,507,351	$	259,229	0.57	%
Floating		10,029,203		106,696	1.42			7,101,515		8,094	0.15
Consolidated obligation discount notes		47,294,194		350,424	0.99			47,864,031		59,590	0.17
Interest-bearing deposits and other borrowings		1,055,726		6,529	0.83			1,485,254		332	0.03
Mandatorily redeemable capital stock		28,783		1,162	5.40			2,525		87	4.61
Total interest-bearing liabilities		109,315,786		977,683	1.20	%		116,960,676		327,332	0.37	%
Other non-interest-bearing funds		1,172,137		—				530,497		—
Capital		6,706,632		—				6,962,037		—
Total Funding	$	117,194,555	$	977,683			$	124,453,210	$	327,332
Net Interest Income/Spread			$	437,354	0.41	%			$	429,880	0.44	%
Net Interest Margin
(Net interest income/Earning Assets)					0.50	%					0.46	%

(a) Reported yields with respect to advances and Consolidated obligations may not necessarily equal the coupons on the instruments as derivatives are extensively used to change the yield and optionality characteristics of the underlying hedged items. When we issue fixed-rate debt that is hedged with an interest rate swap, the hedge effectively converts the debt into a simple floating-rate bond. Similarly, we make fixed-rate advances to members and hedge the advances with a pay-fixed and receive-variable interest rate swap that effectively converts the fixed-rate asset to one that floats with the designated benchmark rate (LIBOR, Federal Funds-OIS or SOFR-OIS) in the hedging relationship. Average balance sheet information is presented, as it is more representative of activity throughout the periods presented. For most components of the average balances, a daily weighted average balance is calculated for the period. When daily weighted average balance information is not available, a simple monthly average balance is calculated. Average yields are derived by dividing income by the average balances of the related assets, and average costs are derived by dividing expenses by the average balances of the related liabilities. Yields and spreads are annualized.

NM - Not meaningful.

103

Rate and Volume Analysis — 2022 Periods Compared to 2021 Periods

The Rate and Volume Analysis presents changes in interest income, interest expense and net interest income that are due to changes in both interest rates and the volume of interest-earning assets and interest-bearing liabilities, and their impact on interest income and interest expense (in thousands):

Table 9.5    Rate and Volume Analysis

	For the three months ended
	September 30, 2022 vs. September 30, 2021
	Increase (Decrease)
	Volume		Rate		Total
Interest Income
Advances	$	19,167	$	430,112	$	449,279
Interest bearing deposits and others		322		11,715		12,037
Federal funds sold and other overnight funds		(53)		66,729		66,676
Investments
Trading securities		5,743		2,967		8,710
Mortgage-backed securities
Fixed		13,696		10,895		24,591
Floating		(1,742)		13,008		11,266
State and local housing finance agency obligations		509		6,480		6,989
Mortgage loans held-for-portfolio		(2,306)		1,561		(745)
Loans to other FHLBanks		—		156		156
Total interest income		35,336		543,623		578,959
Interest Expense
Consolidated obligation bonds
Fixed		(15,045)		221,469		206,424
Floating		17,910		70,731		88,641
Consolidated obligation discount notes		5,416		233,391		238,807
Deposits and borrowings		(54)		4,519		4,465
Mandatorily redeemable capital stock		187		59		246
Total interest expense		8,414		530,169		538,583
Changes in Net Interest Income	$	26,922	$	13,454	$	40,376

104

	For the nine months ended
	September 30, 2022 vs. September 30, 2021
	Increase (Decrease)
	Volume		Rate		Total
Interest Income
Advances	$	(31,843)	$	566,584	$	534,741
Interest bearing deposits and others		520		15,277		15,797
Federal funds sold and other overnight funds		(316)		86,452		86,136
Investments
Trading securities		(8,360)		(13,555)		(21,915)
Mortgage-backed securities
Fixed		28,996		(3,055)		25,941
Floating		(6,110)		18,024		11,914
State and local housing finance agency obligations		801		8,650		9,451
Mortgage loans held-for-portfolio		(9,033)		4,566		(4,467)
Loans to other FHLBanks		126		101		227
Total interest income		(25,219)		683,044		657,825
Interest Expense
Consolidated obligation bonds
Fixed		(46,966)		300,609		253,643
Floating		4,648		93,954		98,602
Consolidated obligation discount notes		(718)		291,552		290,834
Deposits and borrowings		(123)		6,320		6,197
Mandatorily redeemable capital stock		1,058		17		1,075
Total interest expense		(42,101)		692,452		650,351
Changes in Net Interest Income	$	16,882	$	(9,408)	$	7,474

Interest Income

Interest income from advances is our principal source of interest income. We also earn interest income from an asset mix of long-term assets, such as fixed-rate advances, long-term fixed- and floating-rate investments, long-term 15-year and 30-year mortgage loans, and revenues generated from portfolios of overnight and short-term assets and U.S. Treasury securities held for liquidity.

Reported interest income also includes prepayments fees, primarily fees recorded when advances are prepaid ahead of their contractual maturities.

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

Table 9.6    Interest Income — Principal Sources

	Three months ended September 30,						Nine months ended September 30,
					Percentage						Percentage
	2022		2021		Change		2022		2021		Change
Interest Income
Advances	$	565,508	$	116,229	386.55	%	$	914,365	$	379,624	140.86	%
Interest-bearing deposits		12,348		311	NM			16,705		908	NM
Securities purchased under agreements to resell		135		9	NM			156		485	(67.84)
Federal funds sold		69,375		2,825	NM			93,454		6,989	NM
Trading securities		25,581		16,871	51.63			63,334		85,249	(25.71)
Mortgage-backed securities
Fixed		91,640		67,049	36.68			233,792		207,851	12.48
Floating		16,155		4,889	230.44			28,265		16,351	72.86
State and local housing finance agency obligations		9,003		2,014	347.02			15,239		5,788	163.29
Mortgage loans held-for-portfolio		16,461		17,206	(4.33)			49,499		53,966	(8.28)
Loans to other FHLBanks		156		—	NM			228		1	NM
Total interest income	$	806,362	$	227,403	254.60	%	$	1,415,037	$	757,212	86.87	%

NM — Not meaningful.

Interest income for 2022 third quarter was $806.4 million, an increase of $579.0 million, or 254.6% compared to the same period in the prior year. To provide context, interest expense for 2022 third quarter increased by 542.8% compared to the same period in the prior year.

For 2022 third quarter compared to 2021 third quarter, increase in interest revenue was contributed by rate-related increase of $543.6 million and volume-related increase of $35.3 million (primarily the increase in volume of advance business).

Aggregate yield earned on earning assets in 2022 third quarter was 251 basis points, compared to 80 basis points in 2021 third quarter.

Interest income in the 2022 year-to-date period was $1.4 billion, an increase of $657.8 million, or 86.9% compared to the same period in the prior year. To provide context, interest expense increased by 198.7% compared to the year-to-date period in the prior year.

Aggregate yield earned on earning assets in 2022 year-to-date period was 161 basis points, compared to 81 basis points in the same period in the prior year.

The more significant revenue categories are discussed below. For information about the effects of changes in rates and business volume, see Table 9.4 Spread and Yield Analysis and Table 9.5 Rate and Volume analysis.

Advance — Interest income from advances increased by $449.3 million or 386.6% in 2022 third quarter, compared to the same period in the prior year.

Advances average balances were $86.6 billion in 2022 third quarter, compared to $75.6 billion in 2021 third quarter.

As compared to 2021 third quarter, higher market rates resulted in a favorable impact of $430.1 million and higher advances balances in 2022 third quarter resulted in a favorable impact of $19.2 million on interest income from advances, for a net increase of $449.3 million in advances interest income. Advances yielded 259 basis points in 2022 third quarter, increased from 61 basis points in 2021 third quarter. Prepayment fee recorded in Interest income from advances was $0.5 million in 2022 third quarter, down from $7.5 million in 2021 third quarter.

On a year-to-date basis, interest income from advances increased by $534.7 million or 140.9%. Volume, as measured by average balances, and interest rates both increased in the current year period. Average transaction volume of advance business was $77.7 billion at an aggregate yield of 157 basis points in the 2022 period, compared to an average transaction volume of $84.3 billion at an aggregate yield of 60 basis points in the 2021 period.

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Liquidity Investments — Money Market Investments and U.S. Treasury Securities — We derive interest income from investing in highly-liquid portfolios of investments to meet liquidity regulatory requirements. Interest income from overnight invested funds, specifically federal funds sold and repurchase agreements increased mainly due to higher average rates in the third quarter of 2022 compared to the same period in 2021. Investments in federal funds and repurchase agreements yielded 224 basis points in aggregate in the third quarter of 2022, compared to 9 basis points in the same period in 2021. Interest income from fixed-rate U.S. Treasury securities was $25.6 million in the third quarter of 2022, up from $16.9 million in the same period in 2021 due to higher average invested balances and increased interest rates; yields increased to 131 basis points, compared to 113 basis points in the third quarter of 2021. The liquidity trading portfolio is comprised primarily of medium-term, highly liquid fixed-rate U.S. Treasury securities that are available to enhance and meet our liquidity objectives. Securities are not acquired for speculative purposes.

On a year-to-date basis, interest income from overnight invested funds, specifically federal funds sold and repurchase agreements increased mainly due to higher interest rates. Investments in federal funds and repurchase agreements yielded 107 basis points in aggregate in the year-to-date period of 2022, compared to 8 basis points in the same period in 2021. Interest income from fixed-rate U.S. Treasury securities was $63.3 million in the year-to-date period of 2022, down from $85.2 million in the same period in 2021 due to lower average invested balances; yields declined to 113 basis points, compared to 136 basis points in the year-to-date period of 2021.

The earnings impact due to changes in market values of the securities outstanding (unrealized gains and losses) and realized gains and losses on securities sold are recorded in Other income (below the margin) and are noted in Table 9.9 Net Gains (Losses) on Trading Securities Recorded in the Statements of Income, and discussions thereto. Fixed-rate treasury securities are hedged under economic hedges utilizing swap contracts to synthetically convert fixed cash flows to variable cash flows. The interest settlements on the swaps and changes in the fair values of the swap contracts are recorded in Other income (below the margin); our accounting policies require us to record in Other income the cash flows and fair values on hedging that do not qualify under ASC 815 hedging (economic hedges).

Mortgage-backed-securities

Interest income from floating-rate MBS increased by $11.3 million or 230.4% in the third quarter of 2022 compared to the same period in prior year. By policy, no floating-rate LIBOR-indexed MBS were acquired, a decision driven by our goal to reduce our holdings of LIBOR-indexed instruments. Until GSE-issued floating-rate SOFR-indexed MBS become widely traded, we will likely continue to see declining balances of variable-rate MBS.

Interest income from fixed-rate MBS increased by $24.6 million or 36.7% in the third quarter of 2022 compared to the same period in the prior year due to an increase of average outstanding balance to $12.7 billion in the third quarter of 2022, compared to $10.7 billion in the same period in the prior year and higher aggregate yield, which was 286 basis points in the third quarter of 2022, up from 249 basis points in the same period in the prior year.

In the third quarter of 2022, our acquisitions were primarily fixed-rate commercial-mortgage backed securities (CMBS). We utilized the swap market to synthetically create variable-rate cash flows indexed to SOFR and Federal funds applying ASC 815 fair value accounting hedge treatment. The impact to interest income from changes in the ASC 815 hedging recorded a net gain of $5.3 million in the third quarter of 2022, compared to a net loss of $4.2 million in the same period in the prior year.

Mortgage loans held-for-portfolio — Interest income from mortgage loans was $16.5 million for the three months ended September 30, 2022, compared to $17.2 million in the same period in the prior year. Investment volume has declined, with paydowns exceeding acquisitions. MPF loans are primarily 15 and 30-year conventional loans. The portfolio averaged $2.2 billion, yielding 303 basis points in the three months ended September 30, 2022, compared to 277 basis points in the same period last year. In the rising interest rate environment, we are observing lower levels of prepayments, causing slower amortization of premiums, specifically on 20-year and 30-year high-balance mortgage loans. Net amortization expense was $1.2 million in the three months ended September 30, 2022, compared to net amortization of $2.7 million in the same period in the prior year. The Bank’s portfolio is largely at a premium price and amortization is sensitive to changes in prepayment speeds particularly in a volatile interest rate environment. The Bank does not hedge mortgage loans in an ASC 815 hedge or an economic hedge.

Interest income from mortgage loans was $49.5 million for the nine months ended September 30, 2022, compared to $54.0 million in the same period in the prior year. Investment volume has declined, with paydowns exceeding acquisitions. The portfolio averaged $2.2 billion, yielding 299 basis points in the nine months ended September 30, 2022, compared to 275 basis points in the same period last year. While we continue to observe mortgage loan prepayments, this trend is abating as interest rates are rising. Net amortization expense was $4.3 million in the nine months ended September 30, 2022, compared to net amortization of $9.8 million in the same period in the prior year.

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As noted in the audited financial statements under Note 1. Critical Accounting Policies and Estimates, we implemented a new mortgage program, the Mortgage Asset Program (MAP) in March 2021. At September 30, 2022, mortgage loans under MAP were $202.9 million (par amounts). Effective March 31, 2021, we ceased to accept mortgage commitments to purchase loans under the MPF program; the MAP became our alternative to MPF. The outstanding MPF portfolio will continue to be serviced and managed under its existing contractual agreements.

Interest Expense

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

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

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

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

Table 9.7    Interest Expenses — Principal Categories

	Three months ended September 30,						Nine months ended September 30,
					Percentage						Percentage
	2022		2021		Change		2022		2021		Change
Interest Expense
Consolidated obligations bonds
Fixed	$	289,185	$	82,761	249.42	%	$	512,872	$	259,229	97.85	%
Floating		90,368		1,727	NM			106,696		8,094	NM
Consolidated obligations discount notes		253,400		14,593	NM			350,424		59,590	488.06
Deposits		4,538		116	NM			6,364		291	NM
Mandatorily redeemable capital stock		271		25	984.00			1,162		87	NM
Cash collateral held and other borrowings		47		4	NM			165		41	302.44
Total interest expense	$	637,809	$	99,226	542.78	%	$	977,683	$	327,332	198.68	%

NM - Not meaningful.

Interest expense in 2022 third quarter was $637.8 million, an increase of $538.6 million or 542.8% from 2021 third quarter, comparatively, interest income in 2022 third quarter increased by $579.0 million or 254.6% from 2021 third quarter.

The increase in interest expense was primarily driven by higher yields. Rate-related increase in funding expense was $530.2 million, due to volatility in rates in the bond markets; volume-related increase in funding expense was $8.4 million in 2022 third quarter compared to 2021 third quarter. Aggregate yield paid on total funding in 2022 third quarter was 213 basis points, compared to 37 basis points in the same period of the prior year.

Interest expense in the 2022 year-to-date period was $977.7 million, an increase of $650.4 million or 198.7% compared to the same period in the prior year. To provide context, interest income increased by $657.8 million or 86.9% compared to the year-to-date period in the prior year.

108

Rate-related increase in funding expense was $692.5 million in line with the increase in interest rates in the bond markets; volume-related decline in funding expense was $42.1 million in parallel with the funding of a lower balance sheet in the 2022 year-to-date period compared to the same period in 2021.

We have maintained the same strategic approach to our liability mix when compared to the year-to-date period in the prior year. In the 2022 year-to-date period, 43.4% of average earning assets were funded by fixed-rate CO bonds and 8.6% were funded by floating-rate CO bonds. In the same period in the prior year, fixed-rate CO bonds funded 48.6% of earning assets and floating-rate CO bonds funded 5.7% of earning assets.

Hedging strategies under ASC 815 have remained effective and are operating as designed, although in preparation for the market transition away from LIBOR, we have increased the use of SOFR-OIS as the alternative hedging benchmarks. For more information, see Table 9.3 Net Interest Adjustments from Hedge Qualifying Interest Rate Swaps.

Allowance for Credit Losses — 2022 Periods Compared to 2021 Periods

We recorded net reversal of $264.1 thousand and $393.2 thousand in the three and nine months ended September 30, 2022 compared to net reversal of $1.1 million and $4.0 million in the same periods in the prior year against our mortgage loan portfolio. We also recorded de minimis amount of net reversal against our investment portfolio in the three and nine months ended September 30, 2022 compared to the same periods in the prior year.

Analysis of Non-Interest Income (Loss) — 2022 Periods Compared to 2021 Periods

The principal components of Non-interest income (loss) are summarized below (in thousands):

Table 9.8    Other Income (Loss)

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Other income (loss):
Service fees and other (a)	$	4,271	$	4,334	$	12,630	$	12,893
Instruments held under the fair value option gains (losses) (b)		96,734		315		214,163		4,248
Derivative gains (losses) (c)		78,161		3,263		195,406		2,872
Trading securities gains (losses) (d)		(151,188)		(16,115)		(408,218)		(77,298)
Equity investments gains (losses) (e)		(4,015)		(482)		(20,204)		6,357
Litigation settlement		—		33		2,202		33
Losses from extinguishment of debt		—		—		(99)		—
Total other income (loss)	$	23,963	$	(8,652)	$	(4,120)	$	(50,895)

(a) Service fees and other, net — Service fees are from providing correspondent banking services to members, primarily fees earned on standby financial letters of credit. Letters of credit are generally issued on behalf of members to units of state and local governments to collateralize their deposits at member banks. Fee income earned on financial letters of credit was $3.9 million in the third quarter of the current year compared to $4.3 million in the same period in the prior year. On a year-to-date basis through September 30, Service fees earned on financial letters of credit were $11.6 million in the current year, compared to $13.3 million in the same period in the prior year. Immaterial amounts of fees paid, and other expenses were included in reported revenues.

(b) FVO Instruments — Net fair value gains and losses represented changes in fair values of CO bonds and discount notes elected under the FVO. For more information, see Fair Value Option Disclosures in Note 18. Fair Values of Financial Instruments in this Form 10-Q.

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

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

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

109

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

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

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Net unrealized gains (losses) on trading securities held at period-end	$	(151,188)	$	(16,115)	$	(403,391)	$	(77,298)
Net realized gains (losses) on trading securities sold/matured during the period		—		—		(4,827)		—
Net gains (losses) on trading securities	$	(151,188)	$	(16,115)	$	(408,218)	$	(77,298)

We have invested in short- and medium-term fixed-rate U.S. Treasury securities. The securities are not held for speculative trading, rather held to satisfy liquidity requirements. Fluctuations in valuations are a factor of market demand and market yields of fixed-rate U.S. Treasury securities. Securities classified as trading are carried at fair values. Changes in unrealized fair values and realized gains (losses) are recorded in the Statements of Income as Other income. FHFA regulations prohibit trading in or the speculative use of financial instruments. Notional amounts of securities were higher in the current year period, $8.4 billion at September 30, 2022, compared to $5.9 billion at December 31, 2021.

Other income (loss) — Derivatives and Hedging Activities — 2022 Periods Compared to 2021 Periods

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

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

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

	Impact on Other Income (Loss)
	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Derivatives not designated as hedging instruments
Interest rate swaps (a)	$	155,294	$	12,469	$	390,524	$	62,755
Caps or floors		489		(34)		937		(9)
Mortgage delivery commitments		(560)		(100)		(1,229)		(316)
Swaps economically hedging instruments designated under FVO (b)		(90,001)		(745)		(202,787)		(3,720)
Accrued interest on derivatives in economic hedging relationships (c)		13,373		(8,333)		8,625		(55,862)
Net gains (losses) related to derivatives not designated as hedging instruments	$	78,595	$	3,257	$	196,070	$	2,848
Price alignment interest paid on variation margin		(434)		6		(664)		24
Net gains (losses) on derivatives and hedging activities	$	78,161	$	3,263	$	195,406	$	2,872

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

(a) Represents fair value changes recorded in Other income, primarily interest rate swaps in economic hedges of U.S. Treasury fixed-rate securities recorded fair value gains of $157.1 million in the third quarter of 2022, compared to fair value gains of $16.1 million in the third quarter of 2021. In the year-to-date period ended September 30, 2022 fair value gains of $405.0 million were recorded compared to fair value gains of $72.9 million in the same period in the prior year. The swaps are structured to mitigate the volatility of price changes of the liquidity portfolio of fixed-rate U.S. Treasury notes.

(b) Represents fair value changes recorded in Other income on interest rate swaps hedging CO debt elected under the FVO.

(c) Represents impact to Other income due to net interest settlements on standalone swap contracts. Net interest settlements are the interest accruals on swaps in economic hedges of U.S. Treasury securities, debt and advances, and economic hedges of instruments elected under the FVO.

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Operating Expenses, Compensation and Benefits, and Other Expenses — 2022 Periods Compared to 2021 Periods

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

Table 9.11    Operating Expenses, and Compensation and Benefits

	Three months ended September 30,
			Percentage of				Percentage
	2022		Total		2021		of Total
Operating Expenses (a)
Occupancy	$	2,163	11.27	%	$	2,112	12.47	%
Depreciation and leasehold amortization		4,511	23.52			3,216	18.98
All others (b)		12,511	65.21			11,615	68.55
Total Operating Expenses	$	19,185	100.00	%	$	16,943	100.00	%
Total Compensation and Benefits	$	21,963			$	23,275
Finance Agency and Office of Finance (c)	$	5,259			$	5,514
Other expenses (d)	$	2,406			$	2,323

	Nine months ended September 30,
			Percentage of				Percentage of
	2022		Total		2021		Total
Operating Expenses (a)
Occupancy	$	6,328	12.37	%	$	6,604	13.38	%
Depreciation and leasehold amortization		12,987	25.38			9,285	18.81
All others (b)		31,861	62.25			33,472	67.81
Total Operating Expenses	$	51,176	100.00	%	$	49,361	100.00	%
Total Compensation and Benefits	$	66,868			$	70,755
Finance Agency and Office of Finance (c)	$	16,081			$	16,520
Other expenses (d)	$	7,270			$	10,591

(a) Operating expenses included the administrative and overhead costs of operating the FHLBNY, as well as the operating costs of providing advances and managing collateral associated with the advances, managing the investment portfolios, and providing correspondent banking services to members.

(b) The category “All others” included temporary workers, computer service agreements, contractual services, professional and legal fees, audit fees, director fees and expenses, insurance, and telecommunications.

(c) We are also assessed for our share of the operating expenses for the Finance Agency and the Office of Finance. The FHLBanks and two other GSEs share the entire cost of the Finance Agency. Expenses are allocated by the Finance Agency and the Office of Finance.

(d) The category Other expenses included the non-service elements of Net periodic pension benefit costs, and derivative clearing fees.

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Assessments — 2022 Periods Compared to 2021 Periods

For more information about assessments, see Affordable Housing Program and Other Mission Related Programs and Assessments under Part I Item 1 Business in the most recent Form 10-K for the year ended December 31, 2021 filed on March 22, 2022. 

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

Table 10.1    Affordable Housing Program Liabilities

	Three months ended September 30,					Nine months ended September 30,
	2022		2021			2022	2021
Beginning balance	$	131,783	$	152,523	$	137,638	$	148,827
Additions from current period’s assessments		14,425		7,314		29,342		23,645
Net disbursements for grants and programs		(21,599)		(15,034)		(42,371)		(27,669)
Ending balance	$	124,609	$	144,803	$	124,609	$	144,803

AHP assessments allocated from net income totaled $14.4 million in the third quarter of the current year, compared to $7.3 million for same period in the prior year. On a year-to-date basis, AHP assessments allocated from net income totaled $29.3 million for the current period and $23.6 million for the prior year period. Assessments are calculated as a percentage of Net income, and the changes in allocations were in tandem with changes in Net income.

112

Legislative and Regulatory Developments

Amendments to FINRA Rule 4210: Margining of Covered Agency Transactions. On August 15, 2022, the SEC published amendments to Financial Industries Regulatory Authority (FINRA) Rule 4210 that delayed the effectiveness of margining requirements for covered agency transactions from October 26, 2022, until at least April 24, 2023. Once the margining requirements are effective, we may be required to collateralize our transactions that are covered agency transactions, which include to be announced transactions (TBAs). These collateralization requirements could have the effect of reducing the overall profitability of engaging in covered agency transactions, including TBAs. We do not expect this rule to have a material effect on our financial condition or results of operations.

113

Item 3.    Quantitative and Qualitative Disclosures about Market Risk.

Market Risk Management. Market risk or interest rate risk (IRR) is the risk of change to market value or future earnings due to a change in the interest rate environment. IRR arises from the Banks operation due to maturity mismatches between interest rate sensitive cash-flows of assets and liabilities. As the maturity mismatch increases so does the level of IRR. The Bank has opted to retain a modest level of IRR which allows for the preservation of capital value while generating steady and predictable income. Accordingly, the balance sheet consists of predominantly short-term instruments and assets and liabilities synthetically swapped to floating-rate indices. A conservative and limited maturity gap profile of asset and liability positions protect our capital from changes in value arising from a volatile interest rate environment.

The desired risk profile is primarily affected by the use of interest rate exchange agreements (Swaps) which the Bank uses to match asset and liability index exposure. Historically the index concentration was 1- or 3-month LIBOR driven; however, as the Bank strategizes to address LIBOR cessation, SOFR has become the dominant index utilized by the Bank. Index matching allows for a relatively steady income that changes in concert with prevailing interest rate changes to maintain a spread to short-term rates.

Although the Bank maintains a conservative IRR profile, income variability does arise from structural aspects in our portfolio including: embedded prepayment rights, basis risk on asset and liability positions, yield curve risk, liquidity risk and funding risk. These varied risks are controlled by monitoring IRR measures including re-pricing gaps, duration of equity (DOE), value at risk (VaR), net interest income (NII) at risk, key rate durations (KRD) and forecasted dividend rate sensitivities.

Risk Measurements. Our Risk Management Policy assigns comprehensive risk limits which we calculate on a regular basis. The below limits were established in 2021 based on an anticipated market condition for 2022. The current risk limits are as follows:

● The option-adjusted DOE is limited to a range of +4.0 years to -5.0 years in the rates unchanged case, and to a range of +/-5.0 years in the +/-200bps shock cases.

● The one-year cumulative re-pricing gap is limited to 10 percent of total assets.

● The sensitivity of expected net interest income over a one-year period is limited to a -17.5 percent change under the +200bps shock compared to the rates in the unchanged case. The sensitivity of expected net interest income over a one-year period is limited to a -30 percent change under the -50bps shock compared to the rates in the unchanged case. This metric measures the Bank’s sensitivity of earnings to changes in the level of rates along the yield curve and allowed for negative rates.

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

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

Our portfolio, including derivatives, is tracked and the overall mismatch net of derivatives between assets and liabilities is summarized by using a DOE measure. Our last five quarterly DOE results are shown in years in the table below:

	Base Case DOE	-200bps DOE	-100bps DOE	+200bps DOE
September 30, 2022	-0.04	-0.78	-0.45	0.56
June 30, 2022	-0.43	-1.18	-1.02	0.41
March 31, 2022	-0.62	-0.38	-1.31	0.52
December 31, 2021	-1.58	1.94	-1.50	0.09
September 30, 2021	-1.33	1.84	-0.70	0.34

The DOE has remained within policy limits. During the extreme low rate environment of 2020-2021, the -100/200bps scenarios imposed a near zero rate condition and produced results that Bank management did not consider meaningful.

Duration indicates any cumulative re-pricing/maturity imbalance in the portfolio’s financial assets and liabilities. Duration of Equity (DOE) is the Market Value of Equity’s (MVE) sensitivity to a change in the level of interest rates expressed in years. MVE is calculated as market value of assets minus market value of liabilities. A positive DOE indicates a decrease to MVE if interest rates go higher, a negative DOE indicates a decrease to MVE if interest rates go lower. We measure DOE using software that generates a full revaluation incorporating optionality within our portfolio using well-known and tested financial pricing theoretical models. The DOE calculation also incorporates non-interest-bearing financial assets and liabilities.

114

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

	One Year Re-pricing Gap
September 30, 2022	$	5.987 Billion
June 30, 2022	$	5.435 Billion
March 31, 2022	$	4.858 Billion
December 31, 2021	$	4.563 Billion
September 30, 2021	$	4.812 Billion

Our review of potential interest rate risk issues also includes the effect of changes in interest rates on expected net income. We project asset and liability volumes and spreads over a one-year horizon and then simulate expected income and expenses from those volumes and other inputs. The effects of changes in interest rates are generated to measure the Bank’s net interest income sensitivity over the coming 12-month period. To measure the effect, a parallel shift of +200bps is calculated and compared against the forward rate scenario and subjected to a -17.5 percent limit. The sensitivity of expected net interest income over a one-year period is limited to a -30 percent change under the -50bps shock compared to the rates in the forward rate scenario. Given the rising rate environment, the Bank will be generating income sensitivity to larger down rate scenarios in the future. Prior to the current quarter, interest rates were not high enough to generate shocks of -100bps and -200bps.

	Sensitivity in		Sensitivity in		Sensitivity in
	the -200bps Shock		the -100bps Shock		the +200bps Shock
September 30, 2022	-0.52	%	0.17	%	0.59	%
June 30, 2022	N/A		N/A		-3.96	%
March 31, 2022	N/A		N/A		-6.39	%
December 31, 2021	N/A		N/A		10.07	%
September 30, 2021	N/A		N/A		5.39	%

Aside from net interest income, the other significant impact on changes in the interest rate environment is the potential impact on the value of the portfolio. These calculated and quoted market values are estimated based upon their financial attributes (including optionality) and then re-estimated under the assumption that interest rates suddenly rise or fall by 200bps. The worst effect, whether it is the up or the down shock, is compared to the internal limit of 10 percent. In low rate environments, management believes that the reported metrics below are less meaningful because the model establishes a hard floor for the rate at near zero. The quarterly potential maximum decline in the MVE under these 200bps shocks is provided below:

	-200bps Change		-100bps Change		+200bps Change
	in MVE		in MVE		in MVE
September 30, 2022	-0.93	%	-0.26	%	-0.54	%
June 30, 2022	-1.85	%	-0.74	%	-0.12	%
March 31, 2022	-1.48	%	-0.84	%	0.03	%
December 31, 2021	1.48	%	-1.49	%	1.19	%
September 30, 2021	0.34	%	-1.04	%	0.75	%

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

115

The following tables display the portfolio’s maturity/re-pricing gaps (in millions):

	Interest Rate Sensitivity
	September 30, 2022
			More Than		More Than		More Than
	Six Months		Six Months to		One Year to		Three Years to		More Than
	or Less		One Year		Three Years		Five Years		Five Years
Interest-earning assets:
Non-MBS investments	$	12,638	$	108	$	387	$	313	$	1,230
MBS investments		3,005		199		1,691		2,595		8,449
Swaps hedging MBS		4,003		—		—		(50)		(3,953)
Adjustable-rate loans and advances		25,332		—		—		—		—
Net investments, adjustable rate loans and advances		44,978		307		2,078		2,858		5,726
Liquidity trading portfolio		2,679		1,249		162		2,189		1,969
Swaps hedging investments		5,751		(1,250)		(170)		(2,335)		(1,996)
Net liquidity trading portfolio		8,430		(1)		(8)		(146)		(27)
Fixed-rate loans and advances		34,141		5,396		14,816		5,668		8,239
Swaps hedging fixed-rate advances		32,592		(4,921)		(13,893)		(5,555)		(8,223)
Net fixed-rate loans and advances		66,733		475		923		113		16
Total interest-earning assets	$	120,141	$	781	$	2,993	$	2,825	$	5,715
Interest-bearing liabilities:
Deposits	$	1,102	$	—	$	—	$	—	$	—
Discount notes		46,589		2,499		—		—		—
Swaps hedging discount notes		193		(1,801)		209		763		636
Net discount notes		46,782		698		209		763		636
Consolidated Obligation Bonds
FHLBank bonds		26,882		3,769		21,874		15,798		6,200
Swaps hedging bonds		38,549		(2,847)		(19,369)		(13,898)		(2,435)
Net FHLBank bonds		65,431		922		2,505		1,900		3,765
Total interest-bearing liabilities	$	113,315	$	1,620	$	2,714	$	2,663	$	4,401
Post hedge gaps (a):
Periodic gap	$	6,826	$	(839)	$	279	$	162	$	1,314
Cumulative gaps	$	6,826	$	5,987	$	6,266	$	6,428	$	7,742

116

	Interest Rate Sensitivity
	December 31, 2021
			More Than		More Than		More Than
	Six Months		Six Months to		One Year to		Three Years to		More Than
	or Less		One Year		Three Years		Five Years		Five Years
Interest-earning assets:
Non-MBS investments	$	10,525	$	192	$	518	$	351	$	1,042
MBS investments		3,283		602		1,609		2,107		6,977
Swaps hedging MBS		2,859		—		—		(50)		(2,809)
Adjustable-rate loans and advances		7,470		—		—		—		—
Net investments, adjustable rate loans and advances		24,137		794		2,127		2,408		5,210
Liquidity trading portfolio		1,154		1,358		1,499		—		1,824
Swaps hedging investments		4,696		(1,350)		(1,500)		—		(1,846)
Net liquidity trading portfolio		5,850		8		(1)		—		(22)
Fixed-rate loans and advances		30,222		3,126		13,850		6,001		10,546
Swaps hedging fixed-rate advances		31,323		(2,732)		(12,333)		(5,733)		(10,525)
Net fixed-rate loans and advances		61,545		394		1,517		268		21
Total interest-earning assets	$	91,532	$	1,196	$	3,643	$	2,676	$	5,209
Interest-bearing liabilities:
Deposits	$	1,283	$	—	$	—	$	—	$	—
Discount notes		39,887		2,310		—		—		—
Swaps hedging discount notes		702		(2,310)		90		550		968
Net discount notes		40,589		—		90		550		968
Consolidated Obligation Bonds
FHLBank bonds		16,390		5,115		12,364		13,978		6,926
Swaps hedging bonds		28,360		(3,572)		(9,179)		(12,287)		(3,322)
Net FHLBank bonds		44,750		1,543		3,185		1,691		3,604
Total interest-bearing liabilities	$	86,622	$	1,543	$	3,275	$	2,241	$	4,572
Post hedge gaps (a):
Periodic gap	$	4,910	$	(347)	$	368	$	435	$	637
Cumulative gaps	$	4,910	$	4,563	$	4,931	$	5,366	$	6,003

(a) Re-pricing gaps are estimated at the scheduled rate reset dates for floating rate instruments, and at maturity for fixed rate instruments. For callable instruments, the re-pricing period is estimated by the earlier of the estimated call date under the current interest rate environment or the instrument’s contractual maturity.

117

Item 4.    Controls and Procedures.

Disclosure Controls and Procedures

Evaluation of Disclosure Controls and Procedures: An evaluation of the Bank’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “Act”)) was carried out under the supervision and with the participation of the Bank’s President and Chief Executive Officer, José R. González, and Senior Vice President and Chief Financial Officer, Kevin M. Neylan, as of September 30, 2022. Based on this evaluation, they concluded that as of September 30, 2022, the Bank’s disclosure controls and procedures were effective, at a reasonable level of assurance, in ensuring that the information required to be disclosed by the Bank in the reports it files or submits under the Act is (i) accumulated and communicated to the Bank’s management (including the President and Chief Executive Officer and Senior Vice President and Chief Financial Officer) in a timely manner, and (ii) recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

Changes in Internal Control Over Financial Reporting

Changes in Internal Control Over Financial Reporting: There were no changes in the Bank’s internal control over financial reporting (as defined in Rules 13a-15(f) and 15d-15(f) under the Act) during the Bank’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting.

118

PART II.    OTHER INFORMATION.

Item 1.    Legal Proceedings

The Bank is not aware of any legal proceedings that are expected to have a material effect on its financial condition or results of operations or that are otherwise material to the Bank.

Item 1A.    Risk Factors

There have been no material changes from the risk factors previously disclosed in Part I, Item 1A of the FHLBNY’s Annual Report on Form 10-K for the fiscal year ended December 31, 2021.

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

Not applicable.

Item 3.    Defaults upon Senior Securities

None.

Item 4.    Mine Safety Disclosures

Not applicable.

Item 5.    Other Information

None.

119

Item 6.    Exhibits

No.	Exhibit Description	Filed with this Form  10-Q	Form*	Date Filed
3.01	Restated Organization Certificate of the Federal Home Loan Bank of New York (“Bank”)		8-K	12/1/2005
3.02	Amended and Restated Bylaws of the Bank		8-K	3/21/2019
4.01	Amended and Restated Capital Plan of the Bank		8-K	6/24/2022
31.01	Certification of Registrant’s Chief Executive Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002	X
31.02	Certification of the Registrant’s Chief Financial Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002	X
32.01	Certification of Registrant’s Chief Executive Officer, as required by Section 906 of the Sarbanes-Oxley Act of 2002	X
32.02	Certification of Registrant’s Chief Financial Officer, as required by Section 906 of the Sarbanes-Oxley Act of 2002	X
101.INS	Inline XBRL Instance Document – The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document.	X
101.SCH	Inline XBRL Taxonomy Extension Schema Document	X
101.CAL	Inline XBRL Taxonomy Extension Calculation Linkbase Document	X
101.DEF	Inline XBRL Taxonomy Extension Definition Linkbase Document	X
101.LAB	Inline XBRL Taxonomy Extension Label Linkbase Document	X
101.PRE	Inline XBRL Taxonomy Extension Presentation Linkbase Document	X
104	Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101)	X

Notes:

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

120

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Federal Home Loan Bank of New York
	(Registrant)
	/s/ Kevin M. Neylan
	Kevin M. Neylan
	Senior Vice President and Chief Financial Officer
	Federal Home Loan Bank of New York (on behalf of the Registrant and as the Principal Financial Officer)
Date: November 10, 2022

121

EX-31.01

 Exhibit 31.01

Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

for the President and Chief Executive Officer

I, José R. González, certify that:

1. I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of New York;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 10, 2022

/s/ José R. González

José R. González

President and Chief Executive Officer

(Principal Executive Officer)

EX-31.02

Exhibit 31.02

Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

for the Senior Vice President and Chief Financial Officer

I, Kevin M. Neylan, certify that:

1. I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of New York;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 10, 2022

/s/ Kevin M. Neylan

Kevin M. Neylan

Senior Vice President and Chief Financial Officer

(Principal Financial Officer)

EX-32.01

Exhibit 32.01

Certification by the President and Chief Executive Officer

Pursuant to 18 U.S.C. Section 1350,

as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

In connection with the quarterly report of the Federal Home Loan Bank of New York ( the “Company”) on Form 10-Q for the period ended September 30, 2022, as filed with the Securities and Exchange Commission (the “Report”), I, José R. González, President and Chief Executive Officer of the Company, hereby certify as of the date hereof, solely for purposes of Title 18, Chapter 63, Section 1350 of the United States Code, that to the best of my knowledge:

(1) the Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, and

(2) the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: November 10, 2022
	/s/ José R. González
	José R. González
	President and Chief Executive Officer
	(Principal Executive Officer)

EX-32.02

Exhibit 32.02

Certification by the Senior Vice President and Chief Financial Officer

Pursuant to 18 U.S.C. Section 1350,

as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

In connection with the quarterly report of the Federal Home Loan Bank of New York (the “Company”) on Form 10-Q for the period ended September 30, 2022, as filed with the Securities and Exchange Commission (the “Report”), I, Kevin M. Neylan, Senior Vice President and Chief Financial Officer of the Company, hereby certify as of the date hereof, solely for purposes of Title 18, Chapter 63, Section 1350 of the United States Code, that to the best of my knowledge:

(1) the Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, and

(2) the information contained in the Report fairly presents, in all materials respects, the financial condition and results of operations of the Company.

Date: November 10, 2022
	/s/ Kevin M. Neylan
	Kevin M. Neylan
	Senior Vice President and Chief Financial Officer
	(Principal Financial Officer)

XML

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	Sep. 30, 2022	Oct. 31, 2022
Document and Entity Information
Document Type	10-Q
Document Quarterly Report	true
Document Transition Report	false
Document Period End Date	Sep. 30, 2022
Entity Registrant Name	Federal Home Loan Bank of New York
Entity File Number	000-51397
Entity Incorporation, State or Country Code	X1
Entity Tax Identification Number	13-6400946
Entity Address, Address Line One	101 Park Avenue
Entity Address, City or Town	New York
Entity Address, State or Province	NY
Entity Address, Postal Zip Code	10178
City Area Code	212
Local Phone Number	681-6000
Title of 12(b) Security	None
Trading Symbol	N/A
Security Exchange Name	NONE
Amendment Flag	false
Current Fiscal Year End Date	--12-31
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Non-accelerated Filer
Entity Small Business	false
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Entity Central Index Key	0001329842
Document Fiscal Year Focus	2022
Document Fiscal Period Focus	Q3

XML

Statements of Condition - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Assets
Cash and due from banks (Note 3)	$ 21,331	$ 21,653
Interest-bearing deposits (Note 4)	825,000	675,000
Securities purchased under agreements to resell (Note 4)		1,200,000
Federal funds sold (Note 4)	10,400,000	7,230,000
Trading securities (Note 5) (Includes $571,641 pledged as collateral at September 30, 2022 and $367,110 at December 31, 2021)	7,831,926	5,821,380
Equity Investments (Note 6)	75,767	96,124
Available-for-sale securities, amortized cost of $7,070,604 at September 30, 2022 and $6,391,584 at December 31, 2021 (Note 7)	6,823,561	6,547,421
Held-to-maturity securities, net of allowance for credit losses of $316 at September 30, 2022 and $340 at December 31, 2021 (Note 8) (Includes $2,202 pledged as collateral at September 30, 2022 and $2,453 at December 31, 2021)	9,557,304	9,328,665
Advances (Note 9) (Includes $0 at September 30, 2022 and December 31, 2021 at fair value under the fair value option)	91,870,505	71,536,402
Mortgage loans held-for-portfolio, net of allowance for credit losses of $1,711 at September 30, 2022 and $2,135 at December 31, 2021 (Note 10)	2,136,432	2,319,864
Accrued interest receivable	270,063	123,258
Premises, software, and equipment	77,433	83,815
Operating lease right-of-use assets (Note 19)	61,676	65,624
Derivative assets (Note 17)	172,706	297,504
Other assets	6,479	11,632
Total assets	130,130,183	105,358,342
Deposits (Note 11)
Interest-bearing demand	1,102,215	1,283,072
Non-interest-bearing demand	12,474	38,166
Total deposits	1,114,689	1,321,238
Consolidated obligations, net (Note 12)
Bonds (Includes $3,943,103 at September 30, 2022 and $7,386,074 at December 31, 2021 at fair value under the fair value option)	72,174,319	54,829,401
Discount notes (Includes $0 at September 30, 2022 and December 31, 2021 at fair value under the fair value option)	49,029,855	42,197,259
Total consolidated obligations	121,204,174	97,026,660
Mandatorily redeemable capital stock (Note 14)	10,753	1,959
Accrued interest payable	251,102	126,990
Affordable Housing Program (Note 13)	124,609	137,638
Derivative liabilities (Note 17)	26,459	36,512
Other liabilities	141,148	182,466
Operating lease liabilities (Note 19)	74,788	79,026
Total liabilities	122,947,722	98,912,489
Commitments and Contingencies (Notes 14, 17 and 19)
Capital (Note 14)
Capital stock ($100 par value), putable, issued and outstanding shares: 53,306 at September 30, 2022 and 45,008 at December 31, 2021	5,330,611	4,500,785
Retained earnings
Unrestricted	1,148,628	1,103,585
Restricted (Note 14)	879,963	827,380
Total retained earnings	2,028,591	1,930,965
Total accumulated other comprehensive income (loss)	(176,741)	14,103
Total capital	7,182,461	6,445,853
Total liabilities and capital	$ 130,130,183	$ 105,358,342

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Statements of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Trading securities pledged as collateral	$ 571,641	$ 367,110
Trading securities pledged as collateral	us-gaap:AssetPledgedAsCollateralMember	us-gaap:AssetPledgedAsCollateralMember
Available-for-sale securities, amortized cost	$ 7,070,604	$ 6,391,584
Held-to-maturity securities pledged as collateral	2,202	2,453
Held-to-maturity securities, allowance for credit losses	$ 316	$ 340
Held-to-maturity securities pledged as collateral	us-gaap:AssetPledgedAsCollateralMember	us-gaap:AssetPledgedAsCollateralMember
Advances, at fair value under the fair value option	$ 0	$ 0
Mortgage loans held-for-portfolio, allowance for credit losses	$ 1,711	$ 2,135
Capital stock, par value (in dollars per share)	$ 100	$ 100
Capital stock, putable (in shares)	53,306	45,008
Capital stock, issued (in shares)	53,306	45,008
Capital stock, outstanding (in shares)	53,306	45,008
Consolidated obligation - bonds, fair value option
Consolidated obligations	$ 3,943,103	$ 7,386,074
Consolidated obligation - discount notes, fair value option
Consolidated obligations	$ 0	$ 0

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Statements of Income - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Interest income
Advances, net (Note 9)	$ 565,508	$ 116,229	$ 914,365	$ 379,624
Interest-bearing deposits (Note 4)	12,348	311	16,705	908
Securities purchased under agreements to resell (Note 4)	135	9	156	485
Federal funds sold (Note 4)	69,375	2,825	93,454	6,989
Trading securities (Note 5)	25,581	16,871	63,334	85,249
Available-for-sale securities (Note 7)	49,631	18,346	100,821	50,511
Held-to-maturity securities (Note 8)	67,167	55,606	176,475	179,479
Mortgage loans held-for-portfolio (Note 10)	16,461	17,206	49,499	53,966
Loans to other FHLBanks (Note 20)	156		228	1
Total interest income	806,362	227,403	1,415,037	757,212
Interest expense
Consolidated obligation bonds (Note 12)	379,553	84,488	619,568	267,323
Consolidated obligation discount notes (Note 12)	253,400	14,593	350,424	59,590
Deposits (Note 11)	4,538	116	6,364	291
Mandatorily redeemable capital stock (Note 14)	271	25	1,162	87
Cash collateral held and other borrowings	47	4	165	41
Total interest expense	637,809	99,226	977,683	327,332
Net interest income before provision for credit losses	168,553	128,177	437,354	429,880
Provision (Reversal) for credit losses	(271)	(1,652)	(417)	(4,609)
Net interest income after provision for credit losses	168,824	129,829	437,771	434,489
Other income (loss)
Service fees and other	4,271	4,334	12,630	12,893
Instruments held under the fair value option gains (losses) (Note 18)	96,734	315	214,163	4,248
Derivative gains (losses) (Note 17)	78,161	3,263	195,406	2,872
Trading securities gains (losses) (Note 5)	(151,188)	(16,115)	(408,218)	(77,298)
Equity investments gains (losses) (Note 6)	(4,015)	(482)	(20,204)	6,357
Litigation settlement		33	2,202	33
Losses from extinguishment of debt			(99)
Total other income (loss)	23,963	(8,652)	(4,120)	(50,895)
Other expenses
Operating	19,185	16,943	51,176	49,361
Compensation and benefits	21,963	23,275	66,868	70,755
Finance Agency and Office of Finance	5,259	5,514	16,081	16,520
Other expenses	2,406	2,323	7,270	10,591
Total other expenses	48,813	48,055	141,395	147,227
Income before assessments	143,974	73,122	292,256	236,367
Affordable Housing Program Assessments (Note 13)	14,425	7,314	29,342	23,645
Net income	$ 129,549	$ 65,808	$ 262,914	$ 212,722
Basic earnings per share (Note 15) (in dollars per share)	$ 2.61	$ 1.41	$ 5.52	$ 4.21

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Statements of Comprehensive Income - USD ($) $ in Thousands		3 Months Ended		9 Months Ended
		Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Statements of Comprehensive Income
Net Income		$ 129,549	$ 65,808	$ 262,914	$ 212,722
Other Comprehensive income (loss)
Net change in unrealized gains (losses) on available-for-sale securities		(322,694)	(38,820)	(968,702)	(104,131)
Net change in non-credit accretion portion of held-to-maturity securities
Accretion of non-credit portion		115	355	506	2,874
Total net change in non-credit portion of other-than-temporary impairment losses on held-to-maturity securities		115	355	506	2,874
Net change due to hedging activities
Total net change due to hedging activities		284,587	38,331	776,014	147,210
Net change in pension and postretirement benefits		446	4,788	1,338	8,091
Total other comprehensive income (loss)		(37,546)	4,654	(190,844)	54,044
Total comprehensive income (loss)		92,003	70,462	72,070	266,766
Cash flow hedges
Net change due to hedging activities
Net change due to hedging activities	[1]	74,571	16,309	210,192	82,378
Fair value hedges
Net change due to hedging activities
Net change due to hedging activities	[2]	$ 210,016	$ 22,022	$ 565,822	$ 64,832

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

[2] Represents cumulative hedge valuation basis adjustments on fair value hedges of Available-for-Sale (AFS) securities under the partial-term hedging provisions of ASU 2017-12. Amounts represent change in the benchmark rate of the hedged securities. Changes in the benchmark rate on ASC 815 qualifying fair value hedges are recorded through earnings with an offset to the carrying values of the hedged AFS securities. Changes in marked-to-market values of AFS securities are recorded to adjust the amortized cost of AFS securities with an offset in AOCI. In AOCI, the marked-to-market gains and losses are reported separately from ASC 815 valuation changes due to changes in the benchmark rate.

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Statements of Capital - USD ($) shares in Thousands, $ in Thousands		3 Months Ended		9 Months Ended
		Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Increase (decrease) in shareholders' equity
Balance		$ 6,762,867	$ 6,820,527	$ 6,445,853	$ 7,256,699
Proceeds from issuance of capital stock		2,037,959	532,698	5,050,740	1,943,031
Repurchase/redemption of capital stock		(1,643,430)	(952,865)	(3,959,285)	(2,862,652)
Shares reclassified to mandatorily redeemable capital stock		(3,162)		(261,629)	(85)
Cash dividends on capital stock		(63,776)	(59,468)	(165,288)	(192,405)
Comprehensive income (loss)		92,003	70,462	72,070	266,766
Balance		7,182,461	6,411,354	7,182,461	6,411,354
Capital Stock | Capital Stock Class B
Increase (decrease) in shareholders' equity
Balance	[1]	$ 4,939,244	$ 4,867,291	$ 4,500,785	$ 5,366,830
Balance (in shares)	[1]	49,392	48,673	45,008	53,669
Proceeds from issuance of capital stock	[1]	$ 2,037,959	$ 532,698	$ 5,050,740	$ 1,943,031
Proceeds from issuance of capital stock (in shares)	[1]	20,379	5,327	50,507	19,430
Repurchase/redemption of capital stock	[1]	$ (1,643,430)	$ (952,865)	$ (3,959,285)	$ (2,862,652)
Repurchase/redemption of capital stock (in shares)	[1]	(16,434)	(9,529)	(39,593)	(28,627)
Shares reclassified to mandatorily redeemable capital stock	[1]	$ (3,162)		$ (261,629)	$ (85)
Shares reclassified to mandatorily redeemable capital stock (in shares)	[1]	(31)		(2,616)	(1)
Balance	[1]	$ 5,330,611	$ 4,447,124	$ 5,330,611	$ 4,447,124
Balance (in shares)	[1]	53,306	44,471	53,306	44,471
Total Retained Earnings
Increase (decrease) in shareholders' equity
Balance		$ 1,962,818	$ 1,923,593	$ 1,930,965	$ 1,909,616
Cash dividends on capital stock		(63,776)	(59,468)	(165,288)	(192,405)
Comprehensive income (loss)		129,549	65,808	262,914	212,722
Balance		2,028,591	1,929,933	2,028,591	1,929,933
Unrestricted Retained Earnings
Increase (decrease) in shareholders' equity
Balance		1,108,765	1,119,935	1,103,585	1,135,341
Cash dividends on capital stock		(63,776)	(59,468)	(165,288)	(192,405)
Comprehensive income (loss)		103,639	52,646	210,331	170,177
Balance		1,148,628	1,113,113	1,148,628	1,113,113
Restricted Retained Earnings
Increase (decrease) in shareholders' equity
Balance		854,053	803,658	827,380	774,275
Comprehensive income (loss)		25,910	13,162	52,583	42,545
Balance		879,963	816,820	879,963	816,820
Accumulated Other Comprehensive Income (Loss)
Increase (decrease) in shareholders' equity
Balance		(139,195)	29,643	14,103	(19,747)
Comprehensive income (loss)		(37,546)	4,654	(190,844)	54,044
Balance		$ (176,741)	$ 34,297	$ (176,741)	$ 34,297

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

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Statements of Capital (Parenthetical) - $ / shares	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Statements of Capital
Cash dividends on capital stock (in dollars per share)	$ 1.37	$ 1.14	$ 3.64	$ 3.57

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Statements of Cash Flows - USD ($) $ in Thousands		9 Months Ended
		Sep. 30, 2022	Sep. 30, 2021
Operating activities
Net Income		$ 262,914	$ 212,722
Depreciation and amortization:
Net premiums and discounts on consolidated obligations, investments, mortgage loans and other adjustments (a)	[1]	352,456	2,764
Concessions on consolidated obligations		1,851	2,457
Premises, software, and equipment		12,987	9,285
Provision (Reversal) for credit losses		(417)	(4,609)
Change in net fair value adjustments on derivatives and hedging activities (b)	[2]	1,345,213	391,552
Net realized and unrealized (gains) losses on trading securities		408,218	77,298
Change in fair value on Equity Investments		20,904	(3,821)
Change in fair value adjustments on financial instruments held at fair value		(214,163)	(4,248)
Losses from extinguishment of debt		99
Net change in:
Accrued interest receivable		(147,161)	68,909
Derivative assets due to accrued interest		(413,161)	30,507
Derivative liabilities due to accrued interest		393,114	(92,877)
Other assets		5,067	4,573
Affordable Housing Program liability		(13,029)	(4,024)
Accrued interest payable		124,112	7,278
Other liabilities		(13,403)	43
Total adjustments		1,862,687	485,087
Net cash provided by (used in) operating activities		2,125,601	697,809
Net change in:
Interest-bearing deposits		(1,016,074)	77,474
Securities purchased under agreements to resell		1,200,000	4,650,000
Federal funds sold		(3,170,000)	(2,348,000)
Deposits with other FHLBanks		(80)	11
Premises, software, and equipment		(6,605)	(13,415)
Trading securities:
Purchased		(4,617,549)	(2,412,758)
Repayments		1,405,000	9,682,153
Proceeds from sales		794,624
Equity Investments:
Purchased		(5,094)	(10,090)
Proceeds from sales		4,546	2,466
Available-for-sale securities:
Purchased		(1,574,267)	(889,263)
Repayments		319,270	131,431
Held-to-maturity securities:
Purchased		(1,366,544)	(194,332)
Repayments		1,131,732	1,839,345
Advances:
Principal collected		624,025,008	293,707,453
Made		(646,401,490)	(272,889,999)
Mortgage loans held-for-portfolio:
Principal collected		235,420	627,228
Purchased		(57,198)	(152,000)
Proceeds from sales of REO		668	102
Net cash provided by (used in) investing activities		(29,098,633)	31,807,806
Net change in:
Deposits and other borrowings		(230,697)	(388,243)
Derivative contracts with financing element		(496)	(2,320)
Consolidated obligation bonds:
Proceeds from issuance		42,859,039	44,016,429
Payments for maturing and early retirement		(23,043,771)	(52,134,214)
Payments on bonds (transferred to) or assumed from other FHLBanks (c)	[3]		173,984
Consolidated obligation discount notes:
Proceeds from issuance		583,949,985	467,348,752
Payments for maturing		(577,234,682)	(492,184,472)
Capital stock:
Proceeds from issuance of capital stock		5,050,740	1,943,031
Payments for repurchase/redemption of capital stock		(3,959,285)	(2,862,652)
Redemption of mandatorily redeemable capital stock		(252,835)	(906)
Cash dividends paid (d)	[4]	(165,288)	(192,405)
Net cash provided by (used in) financing activities		26,972,710	(34,283,016)
Net increase (decrease) in cash and due from banks		(322)	(1,777,401)
Cash and due from banks at beginning of the period (e)	[5]	21,653	1,896,155
Cash and due from banks at end of the period (e)	[5]	21,331	118,754
Supplemental disclosures:
Interest paid		208,628	463,257
Interest paid for Discount Notes (f)	[6]	151,259	62,406
Affordable Housing Program payments (g)	[7]	42,371	27,669
Transfers of mortgage loans to real estate owned		232	315
Capital stock subject to mandatory redemption reclassified from equity		$ 261,629	85
Transfers of HTM securities to AFS that are not other-than-temporarily impaired (h)	[8]		1,376,212
AFS HFA bonds were tendered and re-issued from LIBOR to SOFR index (i)	[9]		$ 686,340

[1] In the Statements of Cash Flows, we adjust discount note accretion expense within operating cash flows and an offset to financing activities in the period discount notes mature. The net adjustment to accretion expense was larger in the nine months ended September 30, 2022, compared to the same period of 2021 in parallel with greater usage of discount notes in the nine months ended September 30, 2022. As a result, the impact on operating cash flows was also larger in the nine months ended September 30, 2022.

[2] Net cash provided by (used in) operating activities were also impacted by derivatives and hedging activities. In the nine months ended September 30, 2022, derivatives and hedging activities provided $1.3 billion in cash flows; in the nine months ended September 30, 2021, derivatives and hedging activities provided $391.6 million in cash flows.

[3] For information about bonds (transferred to) or assumed from FHLBanks and other related party transactions, see Note 20. Related Party Transactions.

[4] Does not include payments to holders of mandatorily redeemable capital stock. Such payments are considered as interest expense and reported within operating cash flows.

[5] Cash and due from Banks includes pass-thru reserves at the Federal Reserve Bank of New York. See Note 3. Cash and Due from Banks for further information. Interest-bearing deposits are considered investments and are not included in cash or cash equivalent.

[6] Interest paid for Discount Notes, is the portion of the cash payments at settlement of zero-coupon Consolidated obligation discount notes.

[7] AHP payments equals (beginning accrual - ending accrual) plus AHP assessment for the period; payments represent funds released to the Affordable Housing Program.

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

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

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Statements of Cash Flows (Parenthetical) $ in Thousands	3 Months Ended
	Jun. 30, 2021 USD ($)
SOFR-OIS indexed securities
Supplemental disclosures:
Available-for-sale securities, amortized cost	$ 686,300
Available-for-sale securities	686,700
LIBOR-indexed securities
Supplemental disclosures:
Reclassification of debt securities from held to maturity to available for sale	1,400,000
Held to maturity securities amortized cost on date of transfer	1,400,000
Held-to-maturity Securities, Accumulated Unrecognized Holding Gain	$ 7,600

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Background, Tax Status. Assessments.

9 Months Ended

Sep. 30, 2022

Background, Tax Status. Assessments.

Background, Tax Status. Assessments.

Background

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

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

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

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Critical Accounting Policies and Estimates.

9 Months Ended

Sep. 30, 2022

Critical Accounting Policies and Estimates.

Critical Accounting Policies and Estimates.

Note 1.          Critical Accounting Policies and Estimates.

Basis of Presentation

The accompanying financial statements of the FHLBNY have been prepared in accordance with Generally Accepted Accounting Principles in the United States (GAAP) and with the instructions provided by the Securities and Exchange Commission (SEC).

The FHLBNY has identified certain accounting policies that it believes are critical because they require management to make subjective judgments about matters that are inherently uncertain and because of the likelihood that materially different amounts would be reported under different conditions or by using different assumptions. The most significant of these critical policies include derivatives and hedging relationships, estimating the fair values of assets and liabilities, estimating the allowance for credit losses on the advance, mortgage loan portfolios and our portfolios of investment securities.

Financial Instruments with Legal Right of Offset

The FHLBNY has derivative instruments, and securities purchased under agreements to resell that are subject to enforceable master netting arrangements. The FHLBNY has elected to offset its derivative asset and liability positions, as well as cash collateral received or pledged, when it has the legal right of offset under these master agreements. The FHLBNY did not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented.

The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments, any excess cash collateral received or pledged is recognized as a derivative liability or as a derivative asset based on the terms of the individual master agreement between the FHLBNY and its derivative counterparty. For securities purchased under agreements to resell, the FHLBNY did not have any unsecured amounts based on the fair value of the related collateral held at the end of the periods presented. Additional information about the FHLBNY’s investments in securities purchased under agreements to resell is disclosed in Note 4. Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell.

Fair Value Measurements

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

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

For more information about methodologies used by the FHLBNY to validate vendor pricing, and fair value “Levels” associated with assets and liabilities recorded on the FHLBNY’s Statements of Condition, see financial statements, Note 18. Fair Values of Financial Instruments in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2021 filed on March 22, 2022.

Derivatives and Hedging Activities

The FHLBNY hedges the risk of changes in benchmark interest rates under the provisions of ASC 815. In years prior to 2021, the benchmark rate has been primarily LIBOR; LIBOR rates are derived from an average of submissions by panel banks. The underlying market that LIBOR seeks to reflect has become increasingly less active. The Alternative Reference Rates Committee (ARRC) in the U.S. has settled on the establishment of the Secured Overnight Financing Rate (SOFR) as its recommended alternative to U.S. dollar LIBOR. The United Kingdom’s Financial Conduct Authority (FCA), which oversees LIBOR, has announced that the FCA would no longer persuade or compel member panel banks to make LIBOR quote submissions for U.S. dollar LIBOR setting of 1-month and 3-month, two key LIBOR settings, so that submissions will permanently cease after June 30, 2023.

The FASB has issued two Accounting Standards Updates to Reference Rate Reform (Topic 848), Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which have outlined permissible expedients offered under Topic 848, including a one-time election to transfer/sell LIBOR-indexed securities in our held-to-maturity portfolio. In the first quarter of 2021, we began to negotiate with derivative counterparties to transform LIBOR-indexed interest rate swaps to SOFR-OIS and have now made the transition to SOFR-OIS for a significant number of bilaterally executed derivatives. We will continue to review opportunities to execute the transition, the timing would be determined by the economic feasibility of transitioning to SOFR. In October 2020, we elected to adopt SOFR as the appropriate index to discount interest rate swaps cleared by the two major central swap clearing organizations as a start to an orderly transition to SOFR.

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

In compliance with accounting standards, primarily ASC 815, the accounting for derivatives requires us to: (i) assess whether the hedging relationship qualifies for hedge accounting; (ii) assess whether an embedded derivative should be bifurcated; (iii) calculate the effectiveness of the hedging relationship; (iv) evaluate exposure associated with counterparty credit risk; and (v) estimate the fair value of the derivatives. Our assumptions and judgments include subjective estimates based on information available as of the date of the financial statements and could be materially different based on different assumptions, calculations, and estimates.

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

For more information about the FHLBNY’s hedging activities, see financial statements, Note 17. Derivatives and Hedging Activities in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2021 filed on March 22, 2022.

Credit Losses under ASU 2016-13

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

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

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

Note 7.Available-for-Sale Securities.

Note 8.Held-to-Maturity Securities.

Note 9.Advances.

Note 10.Mortgage Loans Held-for-Portfolio.

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

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Financial Accounting Standards Board (FASB) Standards Issued.

9 Months Ended

Sep. 30, 2022

Financial Accounting Standards Board (FASB) Standards Issued.

Financial Accounting Standards Board (FASB) Standards Issued.

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

Recently Adopted Accounting Standards

Standard	Summary of Guidance	Effective Date	Effects on the Financial Statements
Facilitation of the Effects of Reference Rate Reform on Financial Reporting ASU 2020-04, Reference Rate Reform (Topic 848) Issued in March 2020, as amended in January 2021	This guidance provides temporary optional guidance to ease the potential burden in accounting for reference rate reform. The new guidance provides optional expedients and exceptions for applying generally accepted accounting principles to transactions affected by reference rate reform if certain criteria are met. These transactions include: ● contract modifications, ● hedging relationship, and ● sale or transfer of debt securities classified as HTM.	This guidance is effective for the FHLBNY beginning on March 12, 2020, and we may elect to apply the amendments prospectively through December 31, 2022.	The Bank is in the process of converting longer dated LIBOR-indexed swaps to SOFR and working with our counterparties. We don’t expect this guidance to have a material effect on the Bank’s financial position or results of operations.
Fair Value Hedging - Portfolio Layer Method ASU 2022-01, Issued March 2022	This guidance expands the current last-of-layer method to apply fair value hedging by allowing multiple hedged layers of a single closed portfolio under the method. To reflect that expansion, the last-of-layer method is renamed the portfolio layer method. Additionally, among other things, this guidance: ● expands the scope of the portfolio layer method to include nonprepayable assets ● specifies eligible hedging instruments in a single-layer hedge	This guidance is effective for annual periods, and interim periods within those annual periods, beginning after December 15, 2022. Early adoption is permitted.	We are in the process of evaluating the guidance and its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined.
Troubled Debt Restructurings and Vintage Disclosures ASU 2022-02, Issued March 2022	This guidance eliminates the accounting guidance for troubled debt restructurings by creditors that have adopted the current expected credit losses methodology while enhancing disclosure requirements for certain loan refinancing and restructuring by creditors made to borrowers experiencing financial difficulty. Additionally, this guidance requires disclosure of current period gross write-offs by year of origination for financing receivables and net investment in leases.	This guidance is effective for annual periods, and interim periods within those annual periods, beginning after December 15, 2022. Early adoption is permitted.	We are in the process of evaluating the guidance and its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined.

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Cash and Due from Banks.

9 Months Ended

Sep. 30, 2022

Cash and Due from Banks.

Cash and Due from Banks.

Note 3.          Cash and Due from Banks.

Cash on hand, cash items in the process of collection, and amounts due from correspondent banks and the Federal Reserve Banks are recorded as cash and cash equivalent in the Statements of Cash Flows. The FHLBNY is exempt from maintaining any required clearing balance at the Federal Reserve Bank of New York.

Compensating Balances

The FHLBNY has arrangements with Citibank (a member/stockholder of the FHLBNY) to maintain compensating collected cash balances in return for certain fee-based safekeeping and back office operational services that the counterparty provides to the FHLBNY. There are no restrictions on the withdrawal of funds in this arrangement. There were no compensating balances at September 30, 2022 and December 31, 2021. There were no restricted cash balances at September 30, 2022 and December 31, 2021.

Pass-through Deposit Reserves

The FHLBNY acts as a pass-through correspondent for member institutions who are required by banking regulations to deposit reserves with the Federal Reserve Banks. There were no pass-through reserves deposited with Federal Reserve Banks on behalf of the members by the FHLBNY at September 30, 2022 and deposits of $30.4 million at December 31, 2021. The liabilities offsetting the pass-through reserves were due to member institutions and were recorded in Other liabilities in the Statements of Condition.

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

9 Months Ended

Sep. 30, 2022

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

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

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

The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that have received a credit rating of triple-B or higher (investment grade) by a nationally recognized statistical rating organization.

Interest-bearing deposits — Investments are typically short-term deposits placed with highly-rated large financial institutions and are recorded at amortized cost. Deposits placed were uncollateralized. Deposits placed were $0.8 billion at September 30, 2022 and $0.7 billion at December 31, 2021. Deposits are evaluated quarterly for expected credit losses based on the probability of default of the borrowing counterparty and the terms to maturity of the outstanding investments at the measurement dates. Based on analysis performed, no allowance for credit losses was recorded at September 30, 2022 and December 31, 2021. Accrued interest receivables were de minimis, and no allowance for credit losses was recorded as interest due was collected.

Federal funds sold — Federal funds sold are unsecured advances to highly-rated large financial institutions. Federal funds sold are unsecured loans that are generally transacted on an overnight term and recorded at amortized cost basis. FHFA regulations include a limit on the amount of unsecured credit an individual Bank may extend to a counterparty. Federal funds sold were $10.4 billion at September 30, 2022 and $7.2 billion at December 31, 2021 and were repaid according to their contractual terms. Investments are evaluated quarterly for expected credit losses based on the probability of default of the borrowing counterparty and the terms to maturity of the outstanding investments at the measurement dates. Generally, Federal funds are short-term and typically overnight. Counterparties are highly rated. Based on analysis, no allowance for credit losses was recorded for Federal funds sold at September 30, 2022 and December 31, 2021. Accrued interest receivables were de minimis, and no allowance for credit losses was recorded as interest due was collected.

Securities purchased under agreements to resell — There were no outstanding Securities purchased under agreements to resell at September 30, 2022. At December 31, 2021, Securities purchased under agreements to resell were recorded at amortized cost basis of $1.2 billion. The investments typically matured overnight, and were executed through a tri-party arrangement that involved transfer of overnight funds to a segregated safekeeping account at the Bank of New York (BONY). BONY, acting as an independent agent on behalf of the FHLBNY and the counterparty to the transactions, assumes the responsibility of receiving eligible securities as collateral and releasing funds to the counterparty. The amount of cash loaned against the collateral is a function of the liquidity and quality of the collateral. The collateral is typically in the form of securities that meet the FHLBNY’s credit quality standards, are highly rated and readily marketable. The FHLBNY has the ability to call for additional collateral if the value of the securities falls below a pre-defined haircut. The FHLBNY can terminate the transaction and liquidate the collateral if the counterparty fails to post the additional margin. Agreements generally allow the FHLBNY to repledge securities under certain conditions. No adjustments for instrument-specific credit risk were deemed necessary as market values of collateral were in excess of principal amounts loaned. Accrued interest receivables were de minimis and no allowance for credit losses was recorded as interest due was collected.

Securities purchased under agreements to resell averaged $28.3 million and $23.1 million for the three and nine months ended September 30, 2022, respectively. For the twelve months ended December 31, 2021, transaction balances averaged $0.6 billion. Transactions recorded as Securities purchased under agreements to resell were accounted as collateralized financing transactions.

Investments are evaluated quarterly for expected credit losses based on the probability of default of the borrowing counterparty and the terms to maturity of the outstanding investments at the measurement dates. A credit loss would also be recognized if there is a collateral shortfall which the FHLBNY does not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost. Repurchase agreements are short-term and generally overnight, and counterparties are highly rated. Based on analysis performed, no allowance for credit losses was recorded for these assets at September 30, 2022 and December 31, 2021.

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Trading Securities.

9 Months Ended

Sep. 30, 2022

Trading Securities.

Securities.

Securities.

Note 5.          Trading Securities.

The carrying value of a trading security equals its fair value. The following table provides major security types at September 30, 2022 and December 31, 2021 (in thousands):

Fair value	September 30, 2022		December 31, 2021
U.S. Treasury notes	$	7,831,926	$	5,821,380
Total trading securities	$	7,831,926	$	5,821,380

The carrying values of trading securities included net unrealized fair value loss of $417.2 million at September 30, 2022 and loss of $13.8 million at December 31, 2021. We have classified investments acquired for purposes of meeting short-term contingency and other liquidity needs as trading securities. In accordance with Finance Agency guidance, we do not participate in speculative trading practices.

Trading Securities Pledged

The FHLBNY had pledged marketable securities at fair values of $571.6 million at September 30, 2022 and $367.1 million at December 31, 2021 to derivative clearing organizations to fulfill the FHLBNY’s initial margin requirements as mandated under margin rules of the Commodity Futures Trading Commission (CFTC). The clearing organizations have rights to sell or repledge the collateral securities under certain conditions.

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

Redemption Terms

	September 30, 2022
	Due in one year or			Due after one year			Due after five years
	less			through five years			through ten years			Total Fair Value
U.S. Treasury notes	$	3,876,332		$	2,260,858		$	1,694,736		$	7,831,926
Total trading securities	$	3,876,332		$	2,260,858		$	1,694,736		$	7,831,926
Yield on trading securities		1.13	%		1.36	%		1.15	%

	December 31, 2021
	Due in one year or			Due after one year			Due after five years
	less			through five years			through ten years			Total Fair Value
U.S. Treasury notes	$	2,516,659		$	1,491,893		$	1,812,828		$	5,821,380
Total trading securities	$	2,516,659		$	1,491,893		$	1,812,828		$	5,821,380
Yield on trading securities		1.27	%		1.32	%		1.32	%

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Equity Investments.

9 Months Ended

Sep. 30, 2022

Equity Investments.

Equity Investments.

Note 6.          Equity Investments.

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

	September 30, 2022
			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
	Cost		Gains (b)		Losses (b)		Value (c)
Cash equivalents	$	3,365	$	—	$	—	$	3,365
Equity funds		41,328		11,020		(7,821)		44,527
Fixed income funds		33,046		142		(5,313)		27,875
Total Equity Investments (a)	$	77,739	$	11,162	$	(13,134)	$	75,767

	December 31, 2021
			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
	Cost		Gains (b)		Losses (b)		Value (c)
Cash equivalents	$	3,261	$	—	$	—	$	3,261
Equity funds		41,228		21,342		(2,425)		60,145
Fixed income funds		32,703		415		(400)		32,718
Total Equity Investments (a)	$	77,192	$	21,757	$	(2,825)	$	96,124

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

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

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

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

	Three Months Ended September 30,				Nine Months Ended September 30,
	2022		2021		2022		2021
Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date	$	(4,395)	$	(1,545)	$	(20,904)	$	3,821
Net gains (losses) recognized during the period on equity investments sold during the period		—		713		(265)		1,434
Net dividend and other		380		350		965		1,102
Net gains (losses) recognized during the period	$	(4,015)	$	(482)	$	(20,204)	$	6,357

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Available-for-Sale Securities.

9 Months Ended

Sep. 30, 2022

Available-for-Sale Securities.

Securities.

Securities.

Note 7.          Available-for-Sale Securities.

No AFS security was impaired in any periods in this report and no credit loss allowance was necessary at September 30, 2022 and December 31, 2021.

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

	September 30, 2022
			Gross			Gross
	Amortized		Unrealized			Unrealized			Fair
	Cost		Gains			Losses			Value
GSE and U.S. Obligations
State and local housing finance agency obligations	$	1,112,715	$	1,239		$	(26)		$	1,113,928
Mortgage-backed securities
Floating
CMO		482,801		1,606			(968)			483,439
PASS THRU		4,243		61			(1)			4,303
Total Floating		487,044		1,667			(969)			487,742
Fixed
CMBS		6,067,334		—			(845,443)			5,221,891
Total Fixed		6,067,334		—			(845,443)			5,221,891
MBS AFS Before Hedging Adjustments		6,554,378		1,667	(a)		(846,412)	(a)		5,709,633
Hedging Basis Adjustments in AOCI		(596,489)		596,489	(b)		—			—
Total Available-for-sale securities (MBS)		5,957,889		598,156			(846,412)			5,709,633
Total Available-for-sale securities	$	7,070,604	$	599,395		$	(846,438)		$	6,823,561

	December 31, 2021
			Gross			Gross
	Amortized		Unrealized			Unrealized			Fair
	Cost		Gains			Losses			Value
GSE and U.S. Obligations
State and local housing finance agency obligations	$	998,520	$	167		$	(50)		$	998,637
Mortgage-backed securities
Floating
CMO		575,441		8,982			—			584,423
PASS THRU		4,896		215			—			5,111
Total Floating		580,337		9,197			—			589,534
Fixed
CMBS		4,843,394		171,731			(55,875)			4,959,250
Total Fixed		4,843,394		171,731			(55,875)			4,959,250
MBS AFS Before Hedging Adjustments		5,423,731		180,928	(a)		(55,875)	(a)		5,548,784
Hedging Basis Adjustments in AOCI		(30,667)		30,667	(b)		—			—
Total Available-for-sale securities (MBS)		5,393,064		211,595			(55,875)			5,548,784
Total Available-for-sale securities	$	6,391,584	$	211,762		$	(55,925)		$	6,547,421

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

(b) Amounts represent fair value hedging basis due to changes in the benchmark rate and were recorded as an adjustment to the carrying values of hedged securities; the adjustments impacted the unrealized market value gains and losses. Securities in a fair value hedging relationship at September 30, 2022 recorded $596.5 million of hedge basis gains; at December 31, 2021, hedge basis gains of $30.7 million were recorded. In the table above, the benchmark hedging basis adjustments were reported separately from the market based prices of ASC 815 qualifying hedges to provide greater clarity to market based pricing of the securities.

Credit Loss Analysis of AFS Securities

The FHLBNY’s portfolio of MBS classified as AFS is comprised primarily of GSE-issued collateralized mortgage obligations and CMBS. A portfolio of State and local housing finance agency obligations is also classified as AFS. The FHLBNY evaluates its GSE-issued securities by considering the creditworthiness and performance of the debt securities and the strength of the government-sponsored enterprises’ guarantees of the securities.

Based on credit and performance analysis, GSE-issued securities are performing in accordance with their contractual agreements. The FHLBNY believes that it will recover its investments in GSE-issued securities given the current levels of collateral, credit enhancements and guarantees that exist to protect the investments. At September 30, 2022 and December 31, 2021, unrealized fair value losses have been aggregated in the table below by the length of time a security was in a continuous unrealized loss position based on market-based pricing and excluding the effects of hedge basis adjustments.

The Bank evaluates its individual AFS securities for impairment by comparing the security’s fair value to its amortized cost. Impairment may exist when the fair value of the investment is less than its amortized cost (i.e. in an unrealized loss position). We have not experienced any payment defaults on the instruments. As noted previously, substantially all of these securities are GSE-issued and carry an implicit or explicit U.S. government guarantee. Based on the analysis, no allowance for credit losses was recorded on these AFS securities at September 30, 2022 and December 31, 2021.

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

	September 30, 2022
	Less than 12 months				12 months or more				Total
	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
MBS Investment Securities and State and local housing finance agency obligations
MBS-Other US Obligations
Ginnie Mae-CMO	$	3,614	$	(18)	$	—	$	—	$	3,614	$	(18)
MBS-GSE
Fannie Mae-CMO		254,937		(791)		—		—		254,937		(791)
Fannie Mae-CMBS		435,347		(28,405)		—		—		435,347		(28,405)
Freddie Mac-CMO		45,751		(159)		—		—		45,751		(159)
Freddie Mac-CMBS		3,588,526		(492,568)		1,198,017		(324,470)		4,786,543		(817,038)
Fannie Mae-Pass Thru		375		(1)		—		—		375		(1)
Total MBS-GSE		4,324,936		(521,924)		1,198,017		(324,470)		5,522,953		(846,394)
Total MBS Temporarily Impaired	$	4,328,550	$	(521,942)	$	1,198,017	$	(324,470)	$	5,526,567	$	(846,412)
State and local housing finance agency obligations		1,474		(1)		16,874		(25)		18,348		(26)
Total Temporarily Impaired	$	4,330,024	$	(521,943)	$	1,214,891	$	(324,495)	$	5,544,915	$	(846,438)

	December 31, 2021
	Less than 12 months				12 months or more				Total
	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
MBS Investment Securities and State and local housing finance agency obligations
MBS-GSE
Freddie Mac-CMBS	$	1,476,219	$	(23,442)	$	641,268	$	(32,433)	$	2,117,487	$	(55,875)
Total MBS-GSE		1,476,219		(23,442)		641,268		(32,433)		2,117,487		(55,875)
Total MBS Temporarily Impaired	$	1,476,219	$	(23,442)	$	641,268	$	(32,433)	$	2,117,487	$	(55,875)
State and local housing finance agency obligations		—		—		21,130		(50)		21,130		(50)
Total Temporarily Impaired	$	1,476,219	$	(23,442)	$	662,398	$	(32,483)	$	2,138,617	$	(55,925)

Redemption Terms

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

	September 30, 2022				December 31, 2021
	Amortized		Estimated		Amortized		Estimated
	Cost (b)		Fair Value		Cost (b)		Fair Value
State and local housing finance agency obligations
Due in one year or less	$	1,475	$	1,474	$	—	$	—
Due after one year through five years		16,900		16,875		21,180		21,130
Due after ten years		1,094,340		1,095,579		977,340		977,507
State and local housing finance agency obligations	$	1,112,715	$	1,113,928	$	998,520	$	998,637
Mortgage-backed securities
Due in one year or less	$	33	$	33	$	—	$	—
Due after one year through five years		1,059,065		999,846		875,385		917,150
Due after five year through ten years		3,937,025		3,788,338		3,591,533		3,696,985
Due after ten years		961,766		921,416		926,146		934,649
Mortgage-backed securities	$	5,957,889	$	5,709,633	$	5,393,064	$	5,548,784
Total Available-for-Sale securities	$	7,070,604	$	6,823,561	$	6,391,584	$	6,547,421

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

(b) Amortized cost is UPB after adjusting for net unamortized premiums of $28.6 million and $79.9 million at September 30, 2022 and December 31, 2021, respectively. Additionally, historical amortized cost in the table above is after adjustment for hedging basis.

Interest Rate Payment Terms

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

	September 30, 2022				December 31, 2021
	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Mortgage-backed securities
Floating
CMO	$	482,801	$	483,439	$	575,441	$	584,423
PASS THRU		4,243		4,303		4,896		5,111
Total Floating		487,044		487,742		580,337		589,534
Fixed
CMBS		5,470,845		5,221,891		4,812,727		4,959,250
Total Fixed		5,470,845		5,221,891		4,812,727		4,959,250
Total Mortgage-backed securities		5,957,889		5,709,633		5,393,064		5,548,784
State and local housing finance agency obligations
Floating		1,112,715		1,113,928		998,520		998,637
Total Available-for-Sale securities	$	7,070,604	$	6,823,561	$	6,391,584	$	6,547,421

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Held-to-Maturity Securities.

9 Months Ended

Sep. 30, 2022

Held-to-Maturity Securities.

Held-to-Maturity Securities.

Securities.

Note 8.          Held-to-Maturity Securities.

Major Security Types (in thousands)

	September 30, 2022
			Allowance		OTTI				Gross		Gross
	Amortized		for Credit		Recognized		Carrying		Unrecognized		Unrecognized		Fair
Issued, guaranteed or insured:	Cost (d)		Loss (ACL)		in AOCI		Value		Holding Gains (a)		Holding Losses (a)		Value
Pools of Mortgages
Fannie Mae	$	27,537	$	—	$	—	$	27,537	$	206	$	(34)	$	27,709
Freddie Mac		4,707		—		—		4,707		100		—		4,807
Total pools of mortgages		32,244		—		—		32,244		306		(34)		32,516
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits
Fannie Mae		224,242		—		—		224,242		—		(4,588)		219,654
Freddie Mac		258,989		—		—		258,989		51		(2,821)		256,219
Ginnie Mae		—		—		—		—		—		—		—
Total CMOs/REMICs		483,231		—		—		483,231		51		(7,409)		475,873
Commercial Mortgage-Backed Securities (b)
Fannie Mae		1,141,173		—		—		1,141,173		—		(21,916)		1,119,257
Freddie Mac		7,668,365		—		—		7,668,365		—		(419,304)		7,249,061
Total commercial mortgage-backed securities		8,809,538		—		—		8,809,538		—		(441,220)		8,368,318
Non-GSE MBS (c)
CMOs/REMICs		2,748		(205)		(239)		2,304		—		(340)		1,964
Asset-Backed Securities (c)
Manufactured housing (insured)		14,830		—		—		14,830		334		—		15,164
Home equity loans (insured)		28,133		—		(325)		27,808		4,031		(419)		31,420
Home equity loans (uninsured)		7,181		—		(516)		6,665		689		(75)		7,279
Total asset-backed securities		50,144		—		(841)		49,303		5,054		(494)		53,863
Total MBS		9,377,905		(205)		(1,080)		9,376,620		5,411		(449,497)		8,932,534
Other
State and local housing finance agency obligations		180,795		(111)		—		180,684		2		(14,169)		166,517
Total Held-to-maturity securities	$	9,558,700	$	(316)	$	(1,080)	$	9,557,304	$	5,413	$	(463,666)	$	9,099,051

	December 31, 2021
			Allowance		OTTI				Gross		Gross
	Amortized		for Credit		Recognized		Carrying		Unrecognized		Unrecognized		Fair
Issued, guaranteed or insured:	Cost (d)		Loss (ACL)		in AOCI		Value		Holding Gains (a)		Holding Losses (a)		Value
Pools of Mortgages
Fannie Mae	$	33,128	$	—	$	—	$	33,128	$	4,086	$	—	$	37,214
Freddie Mac		5,478		—		—		5,478		712		—		6,190
Total pools of mortgages		38,606		—		—		38,606		4,798		—		43,404
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits
Fannie Mae		300,442		—		—		300,442		2,338		(144)		302,636
Freddie Mac		322,186		—		—		322,186		3,066		(22)		325,230
Ginnie Mae		—		—		—		—		—		—		—
Total CMOs/REMICs		622,628		—		—		622,628		5,404		(166)		627,866
Commercial Mortgage-Backed Securities (b)
Fannie Mae		1,301,041		—		—		1,301,041		22,166		(159)		1,323,048
Freddie Mac		7,117,953		—		—		7,117,953		339,409		(6,461)		7,450,901
Total commercial mortgage-backed securities		8,418,994		—		—		8,418,994		361,575		(6,620)		8,773,949
Non-GSE MBS(c)
CMOs/REMICs		2,978		(226)		(261)		2,491		35		(51)		2,475
Asset-Backed Securities(c)
Manufactured housing (insured)		18,484		—		—		18,484		498		—		18,982
Home equity loans (insured)		32,519		—		(374)		32,145		6,187		—		38,332
Home equity loans (uninsured)		11,382		—		(951)		10,431		1,286		(84)		11,633
Total asset-backed securities		62,385		—		(1,325)		61,060		7,971		(84)		68,947
Total MBS		9,145,591		(226)		(1,586)		9,143,779		379,783		(6,921)		9,516,641
Other
State and local housing finance agency obligations		185,000		(114)		—		184,886		16		(17,269)		167,633
Total Held-to-maturity securities	$	9,330,591	$	(340)	$	(1,586)	$	9,328,665	$	379,799	$	(24,190)	$	9,684,274

(a) Unrecognized gross holding gains and losses represent the difference between fair value and carrying value.

(b) Commercial mortgage-backed securities (CMBS) are Agency issued securities, collateralized by income-producing “multi-family properties”. Eligible property types include standard conventional multifamily apartments, affordable multi-family housing, seniors housing, student housing, military housing, and rural rent housing.

(c) The amounts represent non-agency private-label mortgage- and asset-backed securities.

(d) Amortized cost — For securities that were deemed impaired, amortized cost represents unamortized cost less credit losses, net of credit recoveries (reversals) due to improvements in cash flows.

Securities Pledged

The FHLBNY had pledged MBS, with an amortized cost basis of $2.2 million at September 30, 2022 and $2.5 million at December 31, 2021, to the FDIC in connection with deposits maintained by the FDIC at the FHLBNY. The FDIC does not have rights to sell or repledge the collateral unless the FHLBNY defaults under the terms of its deposit arrangements with the FDIC.

Credit Loss Allowances on Held-to-Maturity Securities

GSE-issued securities — The FHLBNY evaluates its individual securities issued by Fannie Mae, Freddie Mac and U.S. government agency, (collectively GSE-issued securities), by considering the creditworthiness and performance of the debt securities and the strength of the GSEs’ guarantees of the securities. Based on analysis, GSE-issued securities are performing in accordance with their contractual agreements, and we will recover our investments in GSE-issued securities given the current levels of collateral, credit enhancements and guarantees that exist to protect the investments. The number of investment positions that were in an unrealized loss position was 200 and 24 at September 30, 2022 and December 31, 2021, respectively.

Housing finance agency bonds — The FHLBNY’s investments in Held-to-Maturity (HTM) Housing finance agency bonds reported gross unrecognized losses of $14.2 million at September 30, 2022 and $17.3 million at December 31, 2021. Investments are evaluated quarterly for expected credit losses based on the probability of default of the borrowing counterparty and the terms to maturity of the outstanding investments at the measurement dates. A credit loss would also be recognized if there is a collateral shortfall if the FHLBNY believes the counterparty will not replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost. Our analysis identified no collateral shortfall. The number of investment positions that were in an unrealized loss position were six in HTM portfolio and two in AFS portfolio at September 30, 2022, compared to five in HTM portfolio and two in AFS portfolio at December 31, 2021. Probability default analysis at September 30, 2022 recorded allowance of credit losses of $0.1 million, unchanged from December 31, 2021. No allowance for credit losses was recorded for accrued interest receivable as interest due is expected to be collected.

Our investments are performing to their contractual terms, and management has concluded that the gross unrealized losses on its housing finance agency bonds are temporary because the underlying collateral and credit enhancements are sufficient to protect the FHLBNY from losses based on current expectations. The credit enhancements may include additional support from monoline insurance companies, reserve and investment funds allocated to the securities that may be used to make principal and interest payments in the event that the underlying loans pledged for these securities are not sufficient to make the necessary payments and the general obligation of the State issuing the bond.

Private-label mortgage-backed securities — Management evaluates its investments in private-label MBS (PLMBS) for credit losses on a quarterly basis by performing cash flow tests on its entire portfolio of PLMBS. Allowance for credit loss of $0.2 million were recorded at September 30, 2022, slightly lower than December 31, 2021. Certain securities are insured by monoline insurers, and our credit specialists have analyzed associated guarantees with appropriate haircuts. The Bank’s conclusions are also based upon multiple factors, but not limited to the expected performance of the underlying collateral, and the evaluation of the fundamentals of the issuers’ financial condition. Management has not made a decision to sell such securities at September 30, 2022, and has concluded that it will not be required to sell such securities before recovery of the amortized cost basis of the securities. The number of investment positions that were in an unrealized loss position was 13 at September 30, 2022 and 8 at December 31, 2021.

Redemption Terms

Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment features. The amortized cost and estimated fair value of held-to-maturity securities, arranged by contractual maturity, were as follows (in thousands):

	September 30, 2022				December 31, 2021
	Amortized		Estimated		Amortized		Estimated
	Cost (a)		Fair Value		Cost (a)		Fair Value
State and local housing finance agency obligations
Due in one year or less	$	585	$	585	$	1,085	$	1,100
Due after one year through five years		1,355		1,353		1,560		1,550
Due after five years through ten years		3,670		3,537		100		100
Due after ten years		175,185		161,042		182,255		164,883
State and local housing finance agency obligations	$	180,795	$	166,517	$	185,000	$	167,633
Mortgage-backed securities
Due in one year or less	$	519,762	$	517,378	$	622,150	$	627,027
Due after one year through five years		4,181,252		4,032,033		3,244,996		3,338,703
Due after five years through ten years		3,948,758		3,679,158		4,411,317		4,670,692
Due after ten years		728,133		703,965		867,128		880,219
Mortgage-backed securities	$	9,377,905	$	8,932,534	$	9,145,591	$	9,516,641
Total Held-to-Maturity Securities	$	9,558,700	$	9,099,051	$	9,330,591	$	9,684,274

(a) Amortized cost is UPB after adjusting for net unamortized discounts of $15.1 million at September 30, 2022 and net unamortized premiums of $45.7 million at December 31, 2021 and before adjustments for allowance for credit losses.

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Advances.

9 Months Ended

Sep. 30, 2022

Advances.

Advances.

Note 9.          Advances.

The FHLBNY offers to its members a wide range of fixed- and adjustable-rate advance loan products with different maturities, interest rates, payment characteristics, and optionality.

Redemption Terms

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

	September 30, 2022							December 31, 2021
			Weighted (a)						Weighted (a)
			Average		Percentage				Average		Percentage
	Amount		Yield		of Total		Amount		Yield		of Total
Overdrawn demand deposit accounts	$	15	—	%	—	%	$	—	—	%	—	%
Due in one year or less		58,871,583	1.89		62.90			39,102,862	0.64		54.91
Due after one year through two years		13,908,804	1.35		14.86			8,417,861	1.52		11.82
Due after two years through three years		5,715,659	1.60		6.11			5,986,412	1.35		8.41
Due after three years through four years		2,314,096	1.54		2.47			3,847,497	1.49		5.40
Due after four years through five years		3,542,863	2.61		3.79			2,366,939	1.41		3.32
Thereafter		9,238,629	2.66		9.87			11,493,595	1.82		16.14
Total par value		93,591,649	1.89	%	100.00	%		71,215,166	1.07	%	100.00	%
Advance discounts		(111)						(160)
Hedge valuation basis adjustments (b)		(1,721,033)						321,396
Total	$	91,870,505					$	71,536,402

(a) The weighted average yield is the weighted average coupon rates for advances, unadjusted for swaps. For floating-rate advances, the weighted average rate is the rate outstanding at the reporting dates.

(b) Hedge valuation basis adjustments under ASC 815 hedges represent changes in the fair values of fixed-rate advances due to changes in designated benchmark interest rates, the remaining terms to maturity or to next call and the notional amounts of advances in a hedging relationship. The FHLBNY’s benchmark rates are LIBOR, Federal Funds-OIS index and SOFR-OIS index.

Monitoring and Evaluating Credit Losses on Advances

The Bank manages its credit exposure to advances through an integrated approach that includes establishing a credit limit for each borrower. This approach includes an ongoing review of each borrower’s financial condition, in conjunction with the Bank’s collateral and lending policies to limit risk of loss, while balancing borrowers’ needs for a reliable source of funding.

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

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

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

● cash or deposits in the Bank;

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

● qualifying securities.

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

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

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

The FHLBNY closely monitors the creditworthiness of the institutions to which it lends. The FHLBNY also closely monitors the quality and value of the assets that are pledged as collateral by its members. The FHLBNY’s members are required to pledge collateral to secure advances. Eligible collateral includes: (1) one-to-four-family and multi-family mortgages; (2) U.S. Treasury and government-agency securities; (3) mortgage-backed securities; and (4) certain other collateral which is real estate-related and has a readily ascertainable value, and in which the FHLBNY can perfect a security interest. The FHLBNY has the right to take such steps, as it deems necessary to protect its secured position on outstanding advances, including requiring additional collateral (whether or not such additional collateral would otherwise be eligible to secure a loan; and the provision would benefit the FHLBNY in a scenario when a member defaults). The FHLBNY also has a statutory lien under the FHLBank Act on members’ capital stock, which serves as further collateral for members’ indebtedness to the FHLBNY.

Allowance for Credit Risk. The FHLBNY has policies and procedures in place to manage credit risk. The FHLBNY has a continuous process of evaluating collateral supporting advances and to make changes to its collateral guidelines, as necessary, based on current market conditions. None of the FHLBNY’s advances were past due, on non-accrual status, or considered impaired as of September 30, 2022. In addition, there were no troubled debt restructurings related to advances at the FHLBNY at any time in this report.

As of September 30, 2022, the FHLBNY had collateral on a borrower-by-borrower basis with a value equal to, or greater than, its outstanding advances. Based on the collateral held as security, the FHLBNY’s management’s credit extension and collateral policies, and repayment history on advances, the FHLBNY did not expect any losses on its advances at any time in the periods in 2022 and through the filing date on this report; therefore, no allowance for credit losses on advances was recorded. For the same reasons, the FHLBNY did not record any allowance for credit losses on interest receivable on advances as of September 30, 2022.

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

Advances borrowed by insurance companies accounted for 39.7% and 41.4% of total advances at September 30, 2022 and December 31, 2021, respectively. Lending to insurance companies poses a number of unique risks not present in lending to federally insured depository institutions. For example, there is no single federal regulator for insurance companies. They are supervised by state regulators and subject to state insurance codes and regulations. There is uncertainty about whether a state insurance commissioner would try to void the FHLBNY’s claims on collateral in the event of an insurance company failure. As with all members, insurance companies are also required to purchase the FHLBNY’s capital stock as a prerequisite to membership and borrowing activity. The FHLBNY’s management takes a number of steps to mitigate the unique risk of lending to insurance companies. At the time of membership, the FHLBNY requires an insurance company to be highly rated and to meet the FHLBNY’s credit quality standards. The FHLBNY performs quarterly credit analysis of the insurance borrower. Insurance companies are required to successfully complete an onsite review prior to pledging collateral. Additionally, in order to ensure its position as a first priority secured creditor, FHLBNY typically requires insurance companies to place physical possession of all pledged eligible collateral with FHLBNY or deposit it with a third party custodian or control agent. Such collateral must meet the FHLBNY’s credit quality standards, with appropriate minimum margins applied.

Security Terms. The FHLBNY lends to financial institutions involved in housing finance within its district. Borrowing members are required to purchase capital stock of the FHLBNY and pledge collateral for advances. During all periods in this report and as of September 30, 2022, the FHLBNY had rights to collateral with an estimated value greater than outstanding advances. Based upon the financial condition of the member, the FHLBNY:

(1) Allows a member to retain possession of the mortgage collateral pledged to the FHLBNY if the member executes a written security agreement, provides periodic listings and agrees to hold such collateral for the benefit of the FHLBNY; however, securities and cash collateral are always in physical possession; or

(2) Requires the member specifically to assign or place physical possession of such mortgage collateral with the FHLBNY or its custodial agent.

Beyond these provisions, Section 10(e) of the FHLBank Act affords any security interest granted by a member to the FHLBNY’s priority over the claims or rights of any other party. The two exceptions are claims that would be entitled to priority under otherwise applicable law or perfected security interests. All member obligations with the FHLBNY were fully collateralized throughout their entire term. The total of collateral pledged to the FHLBNY includes excess collateral pledged above the minimum collateral requirements. However, a “Maximum Lendable Value” is established to ensure that the FHLBNY has sufficient eligible collateral securing credit extensions.

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Mortgage Loans Held-for-Portfolio.

9 Months Ended

Sep. 30, 2022

Mortgage Loans Held-for-Portfolio.

Mortgage Loans Held-for-Portfolio.

Note 10.         Mortgage Loans Held-for-Portfolio.

Mortgage Partnership Finance program loans (MPF) are the mortgage loans held-for-portfolio. The FHLBNY participates in the MPF program by purchasing and originating conventional mortgage loans from its participating members, hereafter referred to as Participating Financial Institutions (PFI). The FHLBNY manages the liquidity, interest rate and prepayment option risk of the MPF loans, while the PFIs retain servicing activities, and may credit-enhance the portion of the loans participated to the FHLBNY. No intermediary trust is involved.

In March 2021, the FHLBNY ceased to acquire loans under the MPF program. Future mortgage loan purchases will be made only through our new mortgage loan program — the Mortgage Asset Program (MAP). Legacy loans under the MPF programs will continue to be supported and serviced under the MPF loan agreements. At September 30, 2022, mortgage loans under the MAP program were at carrying value of $208.0 million compared to $161.6 million at December 31, 2021.

The FHLBNY classifies mortgage loans as held for investment, and accordingly reports them at their principal amount outstanding net of unamortized premiums, discounts, and unrealized gains and losses from loans initially classified as mortgage loan commitments.

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

	September 30, 2022				December 31, 2021
	Carrying Amount		Percentage of Total		Carrying Amount		Percentage of Total
Real Estate (a):
Fixed medium-term single-family mortgages	$	115,430	6.07	%	$	138,831	6.52	%
Fixed long-term single-family mortgages		1,786,190	93.93			1,988,968	93.48
Total unpaid principal balance	$	1,901,620	100.00	%	$	2,127,799	100.00	%
Unamortized premiums		27,351				31,351
Unamortized discounts		(735)				(857)
Basis adjustment (b)		1,767				1,966
Total MPF loans amortized cost	$	1,930,003			$	2,160,259
MPF allowance for credit losses		(1,528)				(1,956)
MPF loans held-for-portfolio	$	1,928,475			$	2,158,303
MAP loans held-for-portfolio		207,957				161,561
Total mortgage loans held-for-portfolio at carrying value	$	2,136,432			$	2,319,864

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

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

The FHLBNY and its members share the credit risk of MPF loans by structuring potential credit losses into layers. The first layer is typically 100 bps, but this varies with the particular MPF product. The amount of the first layer, or First Loss Account (FLA), was estimated at $44.2 million at September 30, 2022 and December 31, 2021. The FLA is not recorded or reported as a reserve for loan losses, as it serves as a memorandum or information account. The FHLBNY is responsible for absorbing the first layer. The second layer is that amount of credit obligations that the PFI has agreed to assume at the “Master Commitment” level. The FHLBNY pays a credit enhancement fee to the PFI for taking on this obligation. The FHLBNY assumes all residual risk. Credit enhancement fees accrued were $0.4 million and $1.3 million for the three months and nine months ended September 30, 2022 and $0.5 million and $1.7 million for the same periods in the prior year. These fees were reported as a reduction to mortgage loan interest income.

In terms of the credit enhancement waterfall, the MPF program structures potential credit losses on conventional MPF loans into layers on each loan pool as follows:

(1) The first layer of protection against loss is the liquidation value of the real property securing the loan.

(2) The next layer of protection comes from the primary mortgage insurance (PMI) that is required for loans with a loan-to-value ratio greater than 80% at origination.

(3) Losses that exceed the liquidation value of the real property and any PMI will be absorbed by the FHLBNY, limited to the amount of the FLA available under the Master Commitment. For certain MPF products, the FHLBNY could recover previously absorbed losses by withholding future credit enhancement fees (CE Fees) otherwise payable to the PFI, and applying the amounts to recover losses previously absorbed. In effect, the FHLBNY may recover losses allocated to the FLA from CE Fees. The amount of CE Fees depends on the MPF product and the outstanding balances of loans funded in the Master Commitment. CE Fees payable (potentially available for loss recovery) will decline as the outstanding loan balances in the Master Commitment declines.

(4) The second layer or portion of credit losses is incurred by the PFI and/or the Supplemental Mortgage Insurance (SMI) provider as follows: The PFI absorbs losses in excess of any FLA up to the amount of the PFI’s credit obligation amount and/or to the SMI provider for MPF 125 Plus products if the PFI has selected SMI coverage.

(5) The third layer of losses is absorbed by the FHLBNY.

The MAP program operates on the Simplified Risk-Sharing Structure. MAP credit risk sharing structure rewards PFIs for originating high quality, well-performing loans. At the time of purchase, FHLBNY will set aside a standard credit enhancement of 1.5% for every loan funded, to be retained in a Member Performance Account (MPA) for each PFI. Loans are pooled into single or aggregate (multi-member) Master Commitments. Loan losses over the life of the pool are absorbed in order by borrower’s equity, mortgage insurance (if applicable), MPA, and finally by FHLBNY. If pooled losses are low, MPA funds are returned to the seller over time, based on a contractual release schedule. This liability account was $3.2 million at September 30, 2022 and $2.4 million at December 31, 2021.

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

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

Our allowance for credit loss of $1.7 million at September 30, 2022 took into consideration several factors. First, the Bank’s mortgage loan portfolio has a history of incurred losses that have not been significant. Second, loss sharing and insurance would largely offset actual losses. Lastly, forbearance processes under COVID-19 are likely to be temporary for the MPF loans; amounts under forbearance agreements are not material. Loan deferrals under COVID-19 relief are not material.

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

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

Accrued interest receivable was $10.1 million at September 30, 2022 and $11.1 million at December 31, 2021. Delinquency and non-accruals are factors that are applied in estimating expected credit losses. Refer to discussions on non-accrual and delinquent loans.

Government mortgages, which carry FHA, VA or USDA guarantees present a minimal risk of loss. Additionally, as part of the service agreement between FHLBNY and the members that sold us government loans, those members will buy back delinquent government loans.

Credit enhancements under the MPF Program may include primary mortgage insurance, supplemental mortgage insurance, in addition to recoverable performance-based credit enhancement fees. Potential recoveries from credit enhancements for conventional loans are evaluated at the individual master commitment level to determine the credit enhancements available to recover losses on loans under each individual master commitment. However, expected recoveries from credit enhancements are not factored into the calculation of expected credit losses. The MPF program’s actual loss experience has been immaterial and inclusion of recoveries in the allowance calculations would result in an immaterial change.

There were no MAP loans in serious delinquent status (90 days or more) at September 30, 2022 and December 31, 2021.

Roll forward Analysis of Allowance for Credit Losses

The following table provides a roll forward analysis of the allowance for credit losses (in thousands):

		Three months ended September 30,				Nine months ended September 30,
		2022	2021			2022	2021
Allowance for credit losses:
Beginning balance	$	1,975	$	4,103	$	2,135	$	7,073
Adjustment for cumulative effect of accounting change		—		—		—		—
Charge-offs		—		—		(31)		(50)
Recoveries		—		—		—		—
Provision (Reversal) for credit losses on mortgage loans		(264)		(1,059)		(393)		(3,979)
Balance, at end of period	$	1,711	$	3,044	$	1,711	$	3,044

The following table presents risk elements and credit losses (dollars in thousands):

	September 30, 2022			December 31, 2021
Average loans outstanding during the period (a)	$	2,177,291		$	2,501,735
Mortgage loans held for portfolio (a)		2,104,560			2,284,541
Non-accrual loans (a)		8,498			12,294
Allowance for credit losses on mortgage loans held for portfolio		1,711			2,135
Net charge-offs		31			50
Ratio of net charge-offs to average loans outstanding during the period		0.001	%		0.002	%
Ratio of allowance for credit losses to mortgage loans held for portfolio		0.081	%		0.093	%
Ratio of non-accrual loans to mortgage loans held for portfolio		0.404	%		0.538	%
Ratio of allowance for credit losses to non-accrual loans		20.134	%		17.369	%

(a) Balances represent unpaid principal balance.

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

	September 30, 2022		December 31, 2021
Total MPF Mortgage loans, carrying values net (a)	$	1,928,475	$	2,158,303
Non-performing MPF mortgage loans - Conventional (a)(b)	$	8,498	$	12,294
Insured MPF loans past due 90 days or more and still accruing interest (a)(b)	$	5,164	$	6,612

(a) Includes loans classified as special mention, sub-standard, doubtful or loss under regulatory criteria, net of amounts charged-off if delinquent for 180 days or more.

(b) Data in this table represents unpaid principal balance and would not agree to data reported in other tables at “amortized cost”.

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

FHA and VA loans are considered as insured MPF loans, and while the loans are evaluated on an individual basis, we have deemed that FHA and VA loans as collectively insured. Additionally, based on the Bank’s assessment of its servicers and the collateral backing the insured loans, the risk of loss was deemed immaterial. The Bank has not recorded an allowance for credit losses for government-guaranteed or -insured mortgage loans in any periods in 2022 or 2021. Furthermore, none of these mortgage loans has been placed on non-accrual status because of the U.S. government guarantee or insurance on these loans and the contractual obligation of the loan servicer to repurchase the loans when certain criteria are met.

The following tables present unpaid principal balances with and without related loan loss allowances for conventional loans (excluding insured FHA/VA MPF loans) in the MPF program (in thousands):

							Three months ended		Nine months ended
	September 30, 2022						September 30, 2022		September 30, 2022
	Unpaid						Average
	Principal		Related		Amortized Cost		Amortized Cost
	Balance		Allowance		After Allowance		After Allowance (d)
Conventional Loans - MPF (a)(c)
No related allowance (b)	$	1,120,101	$	—	$	1,135,704	$	1,135,299	$	1,194,172
With a related allowance		641,360		(1,528)		650,245		667,876		668,314
Total measured for impairment	$	1,761,461	$	(1,528)	$	1,785,949	$	1,803,175	$	1,862,486

	December 31, 2021
	Unpaid						Average
	Principal		Related		Amortized Cost		Amortized Cost
	Balance		Allowance		After Allowance		After Allowance (d)
Conventional Loans - MPF (a)(c)
No related allowance (b)	$	1,329,019	$	—	$	1,348,056	$	1,506,305
With a related allowance		640,788		(1,956)		649,531		779,346
Total measured for impairment	$	1,969,807	$	(1,956)	$	1,997,587	$	2,285,651

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

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

(c) Interest received is not recorded as Interest income if an uninsured loan is past due 90 days or more. Cash received is recorded as a liability on the assumption that cash was remitted by the servicer to the FHLBNY that could potentially be recouped by the borrower in a foreclosure.

(d) Represents the average amortized cost after allowance for the three and nine months ended September 30, 2022 and for the twelve months ended December 31, 2021.

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

	September 30, 2022		December 31, 2021
Mortgage Loans Held for Portfolio by Collateral/Guarantee Type:
Conventional mortgage loans - MPF	$	1,761,461	$	1,969,807
MPF Government-guaranteed or -insured mortgage loans		140,159		157,992
Total MPF loans - unpaid principal balance	$	1,901,620	$	2,127,799

Payment Status of Mortgage Loans

Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include non-accrual loans and loans in process of foreclosure.

The following tables present the payment status for conventional mortgage loans and other delinquency statistics for the Bank’s mortgage loans at September 30, 2022 and December 31, 2021.

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

	September 30, 2022
	Conventional Loans
	Origination Year
	Prior to 2018		2018 to 2022		Total
Payment Status, at Amortized Cost:
Conventional MPF/MAP
Past due 30 - 59 days	$	6,717	$	2,527	$	9,244
Past due 60 - 89 days		1,559		—		1,559
Past due 90 days or more		7,375		1,162		8,537
Total past due mortgage loans		15,651		3,689		19,340
Current MPF mortgage loans		971,711		796,667		1,768,378
Current MAP mortgage loans		—		207,665		207,665
Total conventional mortgage loans	$	987,362	$	1,008,021	$	1,995,383

	December 31, 2021
	Conventional Loans
	Origination Year
	Prior to 2017		2017 to 2021		Total
Payment Status, at Amortized Cost:
Conventional MPF/MAP
Past due 30 - 59 days	$	6,458	$	6,614	$	13,072
Past due 60 - 89 days		1,386		1,100		2,486
Past due 90 days or more		11,066		1,288		12,354
Total past due mortgage loans		18,910		9,002		27,912
Current MPF mortgage loans		964,314		1,007,317		1,971,631
Current MAP mortgage loans		—		161,740		161,740
Total conventional mortgage loans	$	983,224	$	1,178,059	$	2,161,283

Other Delinquency Statistics (dollars in thousands):

	September 30, 2022
	Conventional			MPF Government-Guaranteed
	MPF Loans			or -Insured Loans			Total MPF Loans
Amortized Cost:
In process of foreclosure (a)	$	3,897		$	3,416		$	7,313
Serious delinquency rate (b)		0.50	%		3.84	%		0.75	%
Past due 90 days or more and still accruing interest	$	—		$	5,249		$	5,249
Loans on non-accrual status	$	8,537		$	—		$	8,537
Troubled debt restructurings:
Loans discharged from bankruptcy (c)	$	4,883		$	1,518		$	6,401
Modified loans under MPF program	$	—		$	—		$	—
Real estate owned (d)	$	104		$	—		$	104

	December 31, 2021
	Conventional			MPF Government-Guaranteed
	MPF Loans			or -Insured Loans			Total MPF Loans
Amortized Cost:
In process of foreclosure (a)	$	11,190		$	4,053		$	15,243
Serious delinquency rate (b)		0.95	%		4.26	%		1.19	%
Past due 90 days or more and still accruing interest	$	—		$	6,684		$	6,684
Loans on non-accrual status	$	12,354		$	—		$	12,354
Troubled debt restructurings:
Loans discharged from bankruptcy (c)	$	4,849		$	778		$	5,627
Modified loans under MPF program	$	421		$	—		$	421
Real estate owned (d)	$	357		$	—		$	357

(a) Includes loans where the decision of foreclosure or a similar alternative, such as pursuit of deed-in-lieu, has been reported.

(b) Represents seriously delinquent loans as a percentage of total mortgage loans in MPF program. Seriously delinquent loans are comprised of all loans past due 90 days or more delinquent or loans that are in the process of foreclosure.

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

(d) REO is reported at lower of cost or market value.

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Deposits.

9 Months Ended

Sep. 30, 2022

Deposits.

Deposits.

Note 11.         Deposits.

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

Deposits represent a relatively small portion of the FHLBNY’s funding, totaling $1.1 billion at September 30, 2022 and $1.3 billion at December 31, 2021, a decrease of $206.5 million, or 15.6%, from December 31, 2021. All FHLBNY deposits are uninsured and the balance of deposits vary depending on market factors, such as the attractiveness of the FHLBNY’s deposit pricing relative to the rates available on alternative money market instruments, FHLBNY members’ investment preferences with respect to the maturity of their investments, and FHLBNY members’ liquidity. Interest-bearing demand and overnight deposits represented 98.9% and 97.1% of deposits at September 30, 2022 and December 31, 2021, with the remaining deposits primarily being term deposits and non-interest-bearing deposits.

Interest-bearing demand and overnight deposits pay interest based on a daily interest rate. The year-to-date average balances of demand and overnight deposits were $1.1 billion for the period ended September 30, 2022 and $1.4 billion for the twelve months ended December 31, 2021. The annualized weighted-average interest rates paid on demand and overnight deposits were 0.80% for the nine months ended September 30, 2022 and 0.03% during the year ended December 31, 2021. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit. There were no term deposits in the first nine months of 2022. The average balances of term deposits were $0.2 million and the weighted-average interest rates paid on term deposits were 0.17% during the year ended December 31, 2021.

The following table summarizes deposits (in thousands):

	September 30, 2022		December 31, 2021
Interest-bearing deposits
Interest-bearing demand	$	1,102,215	$	1,283,072
Term (a)		—		—
Total interest-bearing deposits		1,102,215		1,283,072
Non-interest-bearing demand		12,474		38,166
Total deposits (b)	$	1,114,689	$	1,321,238

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

(b) Specific disclosures about deposits that exceed FDIC limits have been omitted as deposits are not insured by the FDIC. Deposits are received in the ordinary course of the FHLBNY’s business. The FHLBNY has pledged securities to the FDIC to collateralize deposits maintained at the FHLBNY by the FDIC; for more information, see Securities Pledged in Note 8. Held-to-Maturity Securities.

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

			Average				Average
Deposits	September 30, 2022		Interest Rate (b)		December 31, 2021		Interest Rate (b)
Term deposits	$	—	—	%	$	—	0.17	%
Interest-bearing demand (a)		1,102,215	0.80			1,283,072	0.03
Total interest-bearing deposits	$	1,102,215	0.80	%	$	1,283,072	0.03	%
Non-interest-bearing demand		12,474				38,166
Total deposits	$	1,114,689			$	1,321,238

(a) Primarily adjustable rate.

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

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Consolidated Obligations.

9 Months Ended

Sep. 30, 2022

Consolidated Obligations.

Consolidated Obligations.

Note 12.         Consolidated Obligations.

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

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

The following table summarizes carrying amounts of Consolidated obligations outstanding (in thousands):

	September 30, 2022		December 31, 2021
Consolidated obligation bonds-amortized cost	$	74,400,686	$	54,643,748
Hedge valuation basis adjustments		(2,125,652)		77,048
Hedge basis adjustments on de-designated hedges		117,677		125,091
FVO - valuation adjustments and accrued interest		(218,392)		(16,486)
Total Consolidated obligation bonds	$	72,174,319	$	54,829,401
Discount notes-amortized cost	$	49,087,388	$	42,197,683
Hedge value basis adjustments		(57,533)		(424)
Hedge basis adjustments on de-designated hedges		—		—
FVO - valuation adjustments and remaining accretion		—		—
Total Consolidated obligation discount notes	$	49,029,855	$	42,197,259

Redemption Terms of Consolidated Obligation Bonds

The following table is a summary of carrying amounts of Consolidated obligation bonds outstanding by year of maturity (dollars in thousands):

	September 30, 2022						December 31, 2021
			Weighted						Weighted
			Average		Percentage				Average		Percentage
Maturity	Amount		Rate (a)		of Total		Amount		Rate (a)		of Total
One year or less	$	26,692,465	2.49	%	35.93	%	$	19,254,345	0.59	%	35.32	%
Over one year through two years		15,887,945	2.19		21.39			7,317,160	1.20		13.42
Over two years through three years		8,627,280	1.58		11.61			5,881,385	0.85		10.79
Over three years through four years		10,594,990	1.02		14.26			4,149,215	0.97		7.61
Over four years through five years		5,431,615	2.16		7.31			10,072,905	0.95		18.48
Thereafter		7,055,890	2.80		9.50			7,839,700	2.44		14.38
Total par value		74,290,185	2.12	%	100.00	%		54,514,710	1.06	%	100.00	%
Bond premiums (b)		136,193						152,601
Bond discounts (b)		(25,692)						(23,563)
Hedge valuation basis adjustments (c)		(2,125,652)						77,048
Hedge basis adjustments on de-designated hedges (d)		117,677						125,091
FVO (e) - valuation adjustments and accrued interest		(218,392)						(16,486)
Total Consolidated obligation-bonds	$	72,174,319					$	54,829,401

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

(b) Amortization of CO bond premiums and discounts are recorded in interest expense as yield adjustments.

(c) Hedge valuation basis adjustments under ASC 815 fair value hedges represent changes in the fair values of fixed-rate CO bonds due to changes in the designated benchmark interest rate, remaining terms to maturity or next call, and the notional amounts of CO bonds designated in hedge relationship. Our interest rate benchmarks are LIBOR, the Federal Funds-OIS index and the SOFR-OIS index.

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

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

Interest Rate Payment Terms

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

	September 30, 2022				December 31, 2021
			Percentage				Percentage
	Amount		of Total		Amount		of Total
Fixed-rate, non-callable	$	30,324,055	40.82	%	$	31,907,580	58.53	%
Fixed-rate, callable		18,241,130	24.55			12,993,130	23.84
Step Up, callable		6,197,000	8.35			4,799,000	8.80
Floating rate, callable		1,265,000	1.70			1,265,000	2.32
Single-index floating rate		18,263,000	24.58			3,550,000	6.51
Total par value	$	74,290,185	100.00	%	$	54,514,710	100.00	%

Discount Notes

Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are Consolidated obligations with original maturities of up to one year. These notes are issued at less than their face amount and redeemed at par when they mature. The FHLBNY’s outstanding Consolidated obligation discount notes were as follows (dollars in thousands):

	September 30, 2022			December 31, 2021
Par value	$	49,333,280		$	42,204,430
Amortized cost	$	49,087,388		$	42,197,683
Hedge value basis adjustments (a)		(57,533)			(424)
Hedge basis adjustments on de-designated hedges (b)		—			—
FVO (c) - valuation adjustments and remaining accretion		—			—
Total discount notes	$	49,029,855		$	42,197,259
Weighted average interest rate		2.39	%		0.06	%

(a) Hedging valuation basis adjustments — The reported carrying values of hedged CO discount notes are adjusted for changes in their fair values (fair value basis adjustments or fair value) that are attributable to changes in the benchmark risk being hedged. Changes in the designated benchmark interest rate, notional amounts of CO discount notes in hedging relationships and remaining terms to maturity are factors that impact hedge valuation adjustments.

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

(c) FVO valuation adjustments — Valuation basis adjustments are recorded to recognize changes in the entire or full fair values including unaccreted discounts on CO discount notes elected under the FVO. Changes in benchmark interest rates, notional amounts of CO discount notes elected under FVO and remaining terms to maturity are factors that impact hedge valuation adjustments. No CO discount notes were elected under the FVO at September 30, 2022 and December 31, 2021.

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Affordable Housing Program.

9 Months Ended

Sep. 30, 2022

Affordable Housing Program.

Affordable Housing Program.

Note 13.         Affordable Housing Program.

The FHLBNY charges the amount allocated for the Affordable Housing Program (AHP) to expense and recognizes it as a liability. The FHLBNY relieves the AHP liability as members use the subsidies.

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

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Beginning balance	$	131,783	$	152,523	$	137,638	$	148,827
Additions from current period’s assessments		14,425		7,314		29,342		23,645
Net disbursements for grants and programs		(21,599)		(15,034)		(42,371)		(27,669)
Ending balance	$	124,609	$	144,803	$	124,609	$	144,803

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Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings.

9 Months Ended

Sep. 30, 2022

Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings.

Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings.

Note 14.         Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings.

The FHLBanks, including the FHLBNY, have a cooperative structure. To access the FHLBNY’s products and services, a financial institution must be approved for membership and purchase capital stock in the FHLBNY. A member’s stock requirement is generally based on its use of FHLBNY products, subject to a minimum membership requirement as prescribed by the FHLBank Act and the FHLBNY’s Capital Plan. FHLBNY stock can be issued, exchanged, redeemed and repurchased only at its stated par value of $100 per share. It is not publicly traded. An option to redeem capital stock that is greater than a member’s minimum requirement is held by both the member and the FHLBNY. The FHLBNY’s Capital Plan offers two sub-classes of Class B capital stock, membership and activity-based capital stock, and members can redeem Class B stock by giving five years notice. The FHLBNY’s Class B capital stock issued and outstanding were $5.3 billion at September 30, 2022 and $4.5 billion at December 31, 2021.

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

● Membership stock is issued to meet membership stock purchase requirements. The FHLBNY requires member institutions to maintain membership stock based on a percentage of the member’s mortgage-related assets. The current capital stock purchase requirement for membership is 12.5 basis points. In addition, notwithstanding this requirement, the FHLBNY previously had a $100 million cap on membership stock per member. However, effective August 1, 2022, the maximum amount of membership capital stock purchase per member was reduced from $100 million to $50 million. As a result of this change, the Bank repurchased approximately $166 million in membership stock.

● Activity based stock is issued on a percentage of outstanding balances of advances, MPF and MAP loans and financial letters of credit. The FHLBNY’s current capital plan requires a stock purchase of 4.5% of the member’s borrowed amount for advances and mortgage loans, and 12.5 bps for letter of credits. Excess activity-based capital stock is repurchased daily.

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

The FHLBNY was in compliance with the aforementioned capital rules and requirements for all periods presented, and met the “adequately capitalized” classification, which is the highest rating, under the capital rule. The Director of the Finance Agency has discretion to add to or modify the corrective action requirements for each capital classification other than adequately capitalized if the Director of the Finance Agency determines that such action is necessary to ensure the safe and sound operation of the FHLBank and the FHLBank’s compliance with its risk-based and minimum capital requirements.

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

	September 30, 2022						December 31, 2021
	Required (d)			Actual			Required (d)			Actual
Regulatory capital requirements:
Risk-based capital (a)(e)	$	879,367		$	7,369,955		$	844,115		$	6,433,709
Total capital-to-asset ratio		4.00	%		5.66	%		4.00	%		6.11	%
Total capital (b)	$	5,205,207		$	7,369,955		$	4,214,334		$	6,433,709
Leverage ratio		5.00	%		8.50	%		5.00	%		9.16	%
Leverage capital (c)	$	6,506,509		$	11,054,933		$	5,267,917		$	9,650,563

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

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

(c) The required leverage ratio of total capital to total assets should be at least 5.0%. For the purposes of determining the leverage ratio, total capital shall be computed by multiplying the Bank’s Permanent Capital by 1.5.

(d) Required minimum.

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

Mandatorily Redeemable Capital Stock

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

Estimated redemption periods were as follows (in thousands):

	September 30, 2022		December 31, 2021
Redemption less than one year	$	6,225	$	97
Redemption from one year to less than three years		2,386		226
Redemption from three years to less than five years		952		244
Redemption from five years or greater		1,190		1,392
Total	$	10,753	$	1,959

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

	Three months ended September 30,					Nine months ended September 30,
	2022		2021			2022	2021
Beginning balance	$	8,117	$	2,360	$	1,959	$	2,991
Capital stock subject to mandatory redemption reclassified from equity		3,162		—		261,629		85
Redemption of mandatorily redeemable capital stock (a)		(526)		(190)		(252,835)		(906)
Ending balance	$	10,753	$	2,170	$	10,753	$	2,170
Accrued interest payable (b)	$	152	$	26	$	152	$	26

(a) Redemption includes repayment of excess stock.

(b) The annualized accrual rates was 5.50% for the three months ended September 30, 2022 and 4.60% in the same period in 2021. Accrual rates are based on estimated dividend rates.

Restricted Retained Earnings

Under the FHLBank Joint Capital Enhancement Agreement (Capital Agreement), each FHLBank is required to set aside 20% of its Net income each quarter to a restricted retained earnings account until the balance of that account equals at least one percent of that FHLBank’s average balance of outstanding Consolidated obligations as calculated as of the last day of the current calendar quarter. The Capital Agreement is intended to enhance the capital position of each FHLBank. These restricted retained earnings will not be available to pay dividends. Retained earnings included $880.0 million and $827.4 million as restricted retained earnings in the FHLBNY’s Total Capital at September 30, 2022 and December 31, 2021, respectively.

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Earnings Per Share of Capital.

9 Months Ended

Sep. 30, 2022

Earnings Per Share of Capital.

Earnings Per Share of Capital.

Note 15.         Earnings Per Share of Capital.

The FHLBNY has a single class of capital stock, and earnings per share computation is for the Class B capital stock.

The following table sets forth the computation of earnings per share. Basic and diluted earnings per share of capital are the same. The FHLBNY has no dilutive potential common shares or other common stock equivalents (dollars in thousands except per share amounts):

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Net income	$	129,549	$	65,808	$	262,914	$	212,722
Net income available to stockholders	$	129,549	$	65,808	$	262,914	$	212,722
Weighted average shares of capital		49,795		46,700		47,879		50,525
Less: Mandatorily redeemable capital stock		(110)		(22)		(288)		(25)
Average number of shares of capital used to calculate earnings per share		49,685		46,678		47,591		50,500
Basic earnings per share	$	2.61	$	1.41	$	5.52	$	4.21

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Employee Retirement Plans.

9 Months Ended

Sep. 30, 2022

Employee Retirement Plans.

Employee Retirement Plans.

Note 16.         Employee Retirement Plans.

The FHLBNY participates in the Pentegra Defined Benefit Plan for Financial Institutions (Pentegra DB Plan), a tax-qualified, defined-benefit multi-employer pension plan that covers all FHLBNY officers and employees. The FHLBNY also participates in the Pentegra Defined Contribution Plan for Financial Institutions, a tax-qualified defined contribution plan. The FHLBNY offers two non-qualified Benefit Equalization Plans, which are retirement plans. The two plans restore and enhance defined benefits for those employees who have had their qualified Defined Benefit Plan and their Defined Contribution Plan limited by IRS regulations. The two non-qualified Benefit Equalization Plans (BEP) are unfunded.

Retirement Plan Expenses — Summary

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

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Defined Benefit Plan	$	2,350	$	2,500	$	7,050	$	7,500
Benefit Equalization Plans (defined benefit and defined contribution)		2,318		2,847		5,800		9,113
Defined Contribution Plans		681		700		2,173		2,190
Postretirement Health Benefit Plan		78		76		233		229
Total retirement plan expenses	$	5,427	$	6,123	$	15,256	$	19,032

Benefit Equalization Plan (BEP)

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

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

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Service cost	$	619	$	495	$	1,858	$	1,487
Interest cost		644		529		1,933		1,588
Amortization of unrecognized net loss		1,221		1,478		3,662		4,432
Amortization of unrecognized past service cost		52		175		156		523
Net periodic benefit cost - Defined Benefit BEP		2,536		2,677		7,609		8,030
Benefit Equalization plans - Thrift and Deferred incentive compensation plans		(218)		170		(1,809)		1,083
Total	$	2,318	$	2,847	$	5,800	$	9,113

Postretirement Health Benefit Plan

The Retiree Medical Benefit Plan (the Plan) is for retired employees and for employees who are eligible for retirement benefits. The Plan is unfunded. The Plan, as amended, is offered to active employees who have completed 10 years of employment service at the FHLBNY and attained age 55 as of January 1, 2015.

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

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Service cost (benefits attributed to service during the period)	$	11	$	16	$	34	$	48
Interest cost on accumulated postretirement health benefit obligation		67		60		199		181
Net periodic postretirement health benefit expense/(income)	$	78	$	76	$	233	$	229

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Derivatives and Hedging Activities.

9 Months Ended

Sep. 30, 2022

Derivatives and Hedging Activities.

Derivatives and Hedging Activities.

Note 17.         Derivatives and Hedging Activities.

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

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

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

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

Derivative Notionals

	Hedging Instruments Under ASC 815
	September 30, 2022		December 31, 2021
Interest rate contracts
Interest rate swaps	$	165,638,057	$	94,190,603
Interest rate caps		800,000		800,000
Mortgage delivery commitments		10,466		8,573
Total interest rate contracts notionals	$	166,448,523	$	94,999,176

Offsetting of Derivative Assets and Derivative Liabilities — Net Presentation

The table below presents the gross and net derivatives receivables by contract type and amount for those derivatives contracts for which netting is permissible under U.S. GAAP as Derivative instruments — nettable. Derivatives receivables have been netted with respect to those receivables as to which the netting requirements have been met, including obtaining a legal analysis with respect to the enforceability of the netting (in thousands):

	September 30, 2022				December 31, 2021
	Derivative		Derivative		Derivative		Derivative
	Assets		Liabilities		Assets		Liabilities
Derivative instruments - nettable
Gross recognized amount
Uncleared derivatives	$	530,688	$	2,062,803	$	203,797	$	719,892
Cleared derivatives		1,237,267		1,198,802		293,323		296,531
Total gross recognized amount		1,767,955		3,261,605		497,120		1,016,423
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives		(399,374)		(2,039,514)		(77,045)		(683,385)
Cleared derivatives		(1,195,877)		(1,195,877)		(122,585)		(296,531)
Total gross amounts of netting adjustments and cash collateral		(1,595,251)		(3,235,391)		(199,630)		(979,916)
Net amounts after offsetting adjustments and cash collateral	$	172,704	$	26,214	$	297,490	$	36,507
Uncleared derivatives	$	131,314	$	23,289	$	126,752	$	36,507
Cleared derivatives		41,390		2,925		170,738		—
Total net amounts after offsetting adjustments and cash collateral	$	172,704	$	26,214	$	297,490	$	36,507
Derivative instruments - not nettable
Uncleared derivatives (a)	$	2	$	245	$	14	$	5
Total derivative assets and total derivative liabilities
Uncleared derivatives	$	131,316	$	23,534	$	126,766	$	36,512
Cleared derivatives		41,390		2,925		170,738		—
Total derivative assets and total derivative liabilities presented in the Statements of Condition (b)	$	172,706	$	26,459	$	297,504	$	36,512
Non-cash collateral received or pledged (c)
Can be sold or repledged
Security pledged as initial margin to Derivative Clearing Organization (d)	$	571,641	$	—	$	367,110	$	—
Cannot be sold or repledged
Uncleared derivatives securities received		(109,300)		—		(115,833)		—
Total net amount of non-cash collateral received or repledged	$	462,341	$	—	$	251,277	$	—
Total net exposure cash and non-cash (e)	$	635,047	$	26,459	$	548,781	$	36,512
Net unsecured amount - Represented by:
Uncleared derivatives	$	22,016	$	23,534	$	10,933	$	36,512
Cleared derivatives		613,031		2,925		537,848		—
Total net exposure cash and non-cash (e)	$	635,047	$	26,459	$	548,781	$	36,512

(a) Not nettable derivative instruments are without legal right of offset, and were synthetic derivatives representing forward mortgage delivery commitments of 45 business days or less. Amounts were not material, and it was operationally not practical to separate receivables from payables; net presentation was adopted. No cash collateral was involved with the mortgage delivery commitments.

(b) Amounts represented Derivative assets and liabilities that were recorded in the Statements of Condition. Derivative cash balances were not netted with non-cash collateral received or pledged, since legal ownership of the non-cash collateral remains with the pledging counterparty (see footnote (c) below).

(c) Non-cash collateral received or pledged – For certain uncleared derivatives, from time to time counterparties have pledged U.S. Treasury securities to the FHLBNY as collateral. Amounts also included non-cash mortgage collateral on derivative positions with member counterparties where we acted as an intermediary. For certain cleared derivatives, we have pledged marketable securities to satisfy initial margin or collateral requirements.

(d) Amounts represented securities pledged to Derivative Clearing Organization (DCO) to fulfill our initial margin obligations on cleared derivatives. Securities pledged may be sold or repledged if the FHLBNY defaults on its obligations under rules established by the CFTC.

(e) Amounts represented net exposure after applying non-cash collateral pledged to and by the FHLBNY. Since legal ownership and control over the securities are not transferred, the net exposure represented in the table above is for information only and is not reported as such in the Statements of Condition.

Note on variation margin — For all cleared derivative contracts that have not matured, “Variation margin” is exchanged between the FHLBNY and the Futures Commission Merchant (FCM), acting as agents on behalf of DCOs. Variation margin is determined by the DCO and fluctuates with the fair values of the open contracts. When the aggregate contract value of open derivatives is “in-the-money” for the FHLBNY (gain position), the FHLBNY would receive variation margin from the DCO. If the value of the open contracts is “out-of-the-money” (liability position), the FHLBNY would post variation margin to the DCO. At September 30, 2022, no net of cash as settlement variation margin was posted to FCMs. At December 31, 2021, the FHLBNY posted $7.8 million in cash as settlement variation margin to FCMs. As noted, variation margin is not considered as collateral, rather as the daily settlement amounts of outstanding derivative contracts.

Fair Value of Derivative Instruments

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

	September 30, 2022
	Notional Amount		Derivative		Derivative
	of Derivatives		Assets		Liabilities
Fair value of derivative instruments (a)
Derivatives designated as hedging instruments under ASC 815 interest rate swaps	$	121,071,503	$	892,361	$	2,610,339
Total derivatives in hedging relationships under ASC 815		121,071,503		892,361		2,610,339
Derivatives not designated as hedging instruments
Interest rate swaps		44,443,554		873,995		647,484
Interest rate caps		800,000		1,074		—
Mortgage delivery commitments		10,466		2		245
Other (b)		123,000		525		3,782
Total derivatives not designated as hedging instruments		45,377,020		875,596		651,511
Total derivatives before netting and collateral adjustments	$	166,448,523	$	1,767,957	$	3,261,850
Netting adjustments			$	(1,581,731)	$	(1,581,731)
Cash collateral and related accrued interest				(13,520)		(1,653,660)
Total netting adjustments and cash collateral				(1,595,251)		(3,235,391)
Total derivative assets and total derivative liabilities			$	172,706	$	26,459
Security collateral pledged as initial margin to Derivative Clearing Organization (c)			$	571,641
Security collateral received from counterparty (c)				(109,300)
Net security				462,341
Net exposure			$	635,047

	December 31, 2021
	Notional Amount		Derivative		Derivative
	of Derivatives		Assets		Liabilities
Fair value of derivative instruments (a)
Derivatives designated as hedging instruments under ASC 815 interest rate swaps	$	77,159,117	$	469,953	$	990,925
Total derivatives in hedging relationships under ASC 815		77,159,117		469,953		990,925
Derivatives not designated as hedging instruments
Interest rate swaps		16,873,486		23,014		24,627
Interest rate caps		800,000		136		—
Mortgage delivery commitments		8,573		14		5
Other (b)		158,000		4,017		871
Total derivatives not designated as hedging instruments		17,840,059		27,181		25,503
Total derivatives before netting and collateral adjustments	$	94,999,176	$	497,134	$	1,016,428
Netting adjustments			$	(192,330)	$	(192,330)
Cash collateral and related accrued interest				(7,300)		(787,586)
Total netting adjustments and cash collateral				(199,630)		(979,916)
Total derivative assets and total derivative liabilities			$	297,504	$	36,512
Security collateral pledged as initial margin to Derivative Clearing Organization (c)			$	367,110
Security collateral received from counterparty (c)				(115,833)
Net security				251,277
Net exposure			$	548,781

(a) All derivative assets and liabilities with swap dealers and counterparties are executed under collateral agreements; derivative instruments executed bilaterally are subject to legal right of offset under master netting agreements.

(b) The Other category comprised of interest rate swaps intermediated for members, and notional amounts represent purchases by the FHLBNY from dealers and an offsetting purchase from us by the members.

(c) Non-cash security collateral is not permitted to be offset on the balance sheet but would be eligible for offsetting in an event of default. Amounts represent non-cash collateral and or U.S. Treasury securities pledged to and received from counterparties as collateral at September 30, 2022 and December 31, 2021.

Accounting for Derivative Hedging

The FHLBNY accounts for its hedging activities in accordance with ASC 815, Derivatives and Hedging. As a general rule, hedge accounting is permitted where the FHLBNY is exposed to a particular risk, typically interest-rate risk that causes changes in the fair value of an asset or liability or variability in the expected future cash flows of an existing asset, liability or a forecasted transaction that may affect earnings. Derivative contracts hedging the risks associated with the changes in fair value are referred to as Fair value hedges, while contracts hedging the risks affecting the expected future cash flows are called Cash flow hedges. Derivatives not designated under a qualifying ASC 815 hedge relationship and designated as an asset/liability management hedge are classified as an economic hedge. For more information, see financial statements, Note 1. Critical Accounting Policies and Estimates in the most recent Form 10-K for the year ended December 31, 2021 filed on March 22, 2022.

Fair value hedge gains and losses

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

	Gains (Losses) on Fair Value Hedges
	Recorded in Interest Income/Expense
	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Gains (losses) on derivatives in designated and qualifying fair value hedges:
Interest rate hedges	$	105,794	$	108,070	$	381,058	$	509,861
Gains (losses) on hedged item in designated and qualifying fair value hedges:
Interest rate hedges	$	(96,924)	$	(107,046)	$	(347,090)	$	(504,637)

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

Cumulative Basis Adjustment

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

The tables below present the carrying amount of FHLBNY’s assets and liabilities under active ASC 815 qualifying fair value hedges at September 30, 2022 and December 31, 2021, as well as the hedged item’s cumulative hedge basis adjustments, which were included in the carrying value of assets and liabilities in active hedges. The tables also present unamortized cumulative basis adjustments from discontinued hedges where the previously hedged item remains on the FHLBNY’s Statements of Condition (in thousands):

	September 30, 2022
			Cumulative Fair Value Hedging Adjustment
			Included in the Carrying Amount of Hedged
			Items Gains (Losses)
	Carrying Amount of				Discontinued
	Hedged		Active Hedging		Hedging
	Assets/Liabilities (a)		Relationship		Relationship
Assets:
Hedged advances	$	44,978,980	$	(1,721,263)	$	—
Hedged AFS debt securities (a)		3,430,810		(596,489)		—
De-designated advances (b)		—		—		230
	$	48,409,790	$	(2,317,752)	$	230
Liabilities:
Hedged consolidated obligation bonds	$	37,037,837	$	2,125,652	$	—
Hedged consolidated obligation discount notes		29,393,410		57,533		—
De-designated consolidated obligation bonds (b)		—		—		(117,677)
	$	66,431,247	$	2,183,185	$	(117,677)

	December 31, 2021
			Cumulative Fair Value Hedging Adjustment
			Included in the Carrying Amount of Hedged
			Items Gains (Losses)
	Carrying Amount of				Discontinued
	Hedged		Active Hedging		Hedging
	Assets/Liabilities (a)		Relationship		Relationship
Assets:
Hedged advances	$	37,731,410	$	321,057	$	—
Hedged AFS debt securities (a)		2,892,784		(30,667)		—
De-designated advances (b)		—		—		339
	$	40,624,194	$	290,390	$	339
Liabilities:
Hedged consolidated obligation bonds	$	30,158,015	$	(77,048)	$	—
Hedged consolidated obligation discount notes		3,325,017		424		—
De-designated consolidated obligation bonds (b)		—		—		(125,091)
	$	33,483,032	$	(76,624)	$	(125,091)

(a) Carrying amounts represent amortized cost adjusted for cumulative fair value hedging basis. For AFS securities in a fair value partial-term hedge, changes in the fair values due to changes in the benchmark rate were recorded as an adjustment to amortized cost and an offset to interest income from the hedged AFS securities.

(b) At September 30, 2022, par amounts of de-designated advances were $375.0 million; par amounts of de-designation CO bonds were $1.5 billion; par amounts of de-designated CO discount notes were $8.7 billion. At December 31, 2021, par amounts of de-designated advances were $0.1 billion, and par amount of de-designated CO bonds were $1.4 billion. Cumulative fair value hedging adjustments for active and discontinued hedging relationships will remain on the balance sheet until the items are derecognized.

Cash flow hedge gains and losses

The following tables present derivative instruments used in cash flow hedge accounting relationships and the gains and losses recorded on such derivatives (in thousands):

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

Three months ended September 30,

2022

2021

Amounts

Amounts

Total

Amounts

Amounts

Total

Reclassified from

Reclassified from

Amounts

Change in

Reclassified from

Reclassified from

Amounts

Change in

AOCI to

AOCI to Other

Recorded

OCI for

AOCI to

AOCI to Other

Recorded

OCI for

Interest Expense (b)

Income (Loss) (c)

in OCI (d)

Period

Interest Expense (b)

Income (Loss) (c)

in OCI (d)

Period

Interest rate contracts (a)

$

(324)

$

—

$

74,247

$

74,571

$

(387)

$

—

$

15,922

$

16,309

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

Nine months ended September 30,

2022

2021

Amounts

Amounts

Total

Amounts

Amounts

Total

Reclassified from

Reclassified from

Amounts

Change in

Reclassified from

Reclassified from

Amounts

Change in

AOCI to

AOCI to Other

Recorded

OCI for

AOCI to

AOCI to Other

Recorded

OCI for

Interest Expense (b)

Income (Loss) (c)

in OCI (d)

Period

Interest Expense (b)

Income (Loss) (c)

in OCI (d)

Period

Interest rate contracts (a)

$

(1,010)

$

—

$

209,182

$

210,192

$

(1,128)

$

—

$

81,250

$

82,378

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

(b) Amounts represent amortization of gains (losses) related to closed cash flow hedges of anticipated issuance of CO bonds that were reclassified during the period to interest expense as a yield adjustment. Losses reclassified represent losses in AOCI that were amortized as an expense to debt interest expense. If debt is held to maturity, losses in AOCI will be relieved through amortization. It is expected that over the next 12 months, $1.0 million of the unrecognized losses in AOCI will be recognized as yield adjustments to debt interest expense.

(c) Under guidance provided by ASU 2017-12, hedge ineffectiveness (as defined under ASC 815) is reclassified only if the original transaction would not occur by the end of the specified time period or within a two-month period thereafter. There were no amounts that were reclassified into earnings due to discontinuation of cash flow hedges. Reclassification would occur if it became probable that the original forecasted transactions would not occur by the end of the originally specified time period or within a two-month period thereafter.

(d) Amounts represent changes in the fair values of open interest rate swap contracts in cash flow hedges of CO debt, primarily those hedging the rolling issuance of CO discount notes.

Economic Hedges

FHLBNY often uses economic hedges when hedge accounting would be too complex or operationally burdensome. Derivatives that are economic hedges are carried at fair value, with changes in value included in Other income (loss), a line item, which is below Net interest income. For hedges that either do not meet the ASC 815 hedging criteria or for which management decides not to apply ASC 815 hedge accounting, the derivative is recorded at fair value on the balance sheet with the associated changes in fair value recorded in earnings, while the “hedged” instrument continues to be carried at amortized cost. Therefore, current earnings are affected by the interest rate shifts and other factors that cause a change in the swap’s value, but for which no offsetting change in value is recorded on the hedged instrument. Economic hedges are an acceptable hedging strategy under the FHLBNY’s risk management program, and the strategies comply with the Finance Agency’s regulatory requirements prohibiting speculative use of derivatives.

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

	Gains (Losses) on Economic Hedges
	Recorded in Other Income (Loss)
	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Gains (losses) on derivatives designated in economic hedges
Interest rate hedges	$	78,232	$	3,397	$	195,698	$	3,197
Caps		489		(34)		937		(9)
Mortgage delivery commitments		(560)		(100)		(1,229)		(316)
Total gains (losses) on derivatives in economic hedges	$	78,161	$	3,263	$	195,406	$	2,872

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Fair Values of Financial Instruments.

9 Months Ended

Sep. 30, 2022

Fair Values of Financial Instruments.

Fair Values of Financial Instruments.

Note 18.         Fair Values of Financial Instruments.

Estimated Fair Values — Summary Tables – Carrying values, the estimated fair values and the levels within the fair value hierarchy were as follows (in thousands):

	September 30, 2022
			Estimated Fair Value
											Netting
	Carrying										Adjustment and
Financial Instruments	Value		Total		Level 1		Level 2		Level 3 (a)		Cash Collateral
Assets
Cash and due from banks	$	21,331	$	21,331	$	21,331	$	—	$	—	$	—
Interest-bearing deposits		825,000		825,003		—		825,003		—		—
Securities purchased under agreements to resell		—		—		—		—		—		—
Federal funds sold		10,400,000		10,400,034		—		10,400,034		—		—
Trading securities		7,831,926		7,831,926		7,831,926		—		—		—
Equity Investments		75,767		75,767		75,767		—		—		—
Available-for-sale securities		6,823,561		6,823,561		—		5,709,633		1,113,928		—
Held-to-maturity securities		9,557,304		9,099,051		—		8,876,707		222,344		—
Advances		91,870,505		91,794,951		—		91,794,951		—		—
Mortgage loans held-for-portfolio, net		2,136,432		1,837,835		—		1,837,835		—		—
Accrued interest receivable		270,063		270,063		—		270,063		—		—
Derivative assets		172,706		172,706		—		1,767,957		—		(1,595,251)
Other financial assets		104		104		—		—		104		—
Liabilities
Deposits		1,114,689		1,114,637		—		1,114,637		—		—
Consolidated obligations
Bonds		72,174,319		71,061,058		—		71,061,058		—		—
Discount notes		49,029,855		49,013,370		—		49,013,370		—		—
Mandatorily redeemable capital stock		10,753		10,753		10,753		—		—		—
Accrued interest payable		251,102		251,102		—		251,102		—		—
Derivative liabilities		26,459		26,459		—		3,261,850		—		(3,235,391)
Other financial liabilities		—		—		—		—		—		—

	December 31, 2021
			Estimated Fair Value
											Netting
	Carrying										Adjustment and
Financial Instruments	Value		Total		Level 1		Level 2		Level 3 (a)		Cash Collateral
Assets
Cash and due from banks	$	21,653	$	21,653	$	21,653	$	—	$	—	$	—
Interest-bearing deposits		675,000		675,003		—		675,003		—		—
Securities purchased under agreements to resell		1,200,000		1,200,000		—		1,200,000		—		—
Federal funds sold		7,230,000		7,230,014		—		7,230,014		—		—
Trading securities		5,821,380		5,821,380		5,821,380		—		—		—
Equity Investments		96,124		96,124		96,124		—		—		—
Available-for-sale securities		6,547,421		6,547,421		—		5,548,784		998,637		—
Held-to-maturity securities		9,328,665		9,684,274		—		9,445,219		239,055		—
Advances		71,536,402		71,595,785		—		71,595,785		—		—
Mortgage loans held-for-portfolio, net		2,319,864		2,369,769		—		2,369,769		—		—
Accrued interest receivable		123,258		123,258		—		123,258		—		—
Derivative assets		297,504		297,504		—		497,134		—		(199,630)
Other financial assets		357		357		—		—		357		—
Liabilities
Deposits		1,321,238		1,321,241		—		1,321,241		—		—
Consolidated obligations
Bonds		54,829,401		55,104,747		—		55,104,747		—		—
Discount notes		42,197,259		42,196,648		—		42,196,648		—		—
Mandatorily redeemable capital stock		1,959		1,959		1,959		—		—		—
Accrued interest payable		126,990		126,990		—		126,990		—		—
Derivative liabilities		36,512		36,512		—		1,016,428		—		(979,916)
Other financial liabilities		30,368		30,368		30,368		—		—		—

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

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

Fair Value Hierarchy

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

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

These two types of inputs have created the following fair value hierarchy, and an entity must disclose the level within the fair value hierarchy in which the measurements are classified for all assets and liabilities measured on a recurring or non-recurring basis:

● Level 1 Inputs — Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date.

● Level 2 Inputs — Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and volatilities).

● Level 3 Inputs — Inputs that are unobservable and significant to the valuation of the asset or liability.

The inputs are evaluated on an overall level for the fair value measurement to be determined. This overall level is an indication of market observability of the fair value measurement for the asset or liability. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. These reclassifications are reported as transfers in/out as of the beginning of the quarter in which the changes occur. There were no such transfers in any periods in this report.

The availability of observable inputs can vary from product to product and is affected by a wide variety of factors including, for example, the characteristics peculiar to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised by the FHLBNY in determining fair value is greatest for instruments categorized as Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Summary of Valuation Techniques and Primary Inputs

The fair value of a financial instrument that is an asset is defined as the price the FHLBNY would receive to sell the asset in an orderly transaction with market participants. A financial liability’s fair value is defined as the amount that would be paid to transfer the liability to a new obligor, not the amount that would be paid to settle the liability with the creditor. Where available, fair values were based on observable market prices or parameters or derived from such prices or parameters. Where observable prices are not available, valuation models and inputs are utilized. These valuation techniques involve some level of management estimation and judgment, the degree of which is dependent on the price transparency for the instruments or markets and the instruments’ complexity. Because an active secondary market does not exist for a portion of the FHLBNY’s financial instruments, in certain cases, fair values are not subject to precise quantification or verification and may change as economic and market factors and evaluation of those factors change.

For assets and liabilities carried at fair value, the FHLBNY measures fair value using the procedures set out below:

Mortgage-backed securities, including housing finance obligations, classified as available-for-sale — The fair value of such securities is estimated by the FHLBNY using pricing primarily from specialized pricing services. The pricing vendors typically use market multiples derived from a set of comparables, including matrix pricing, and other techniques. The FHLBNY’s valuation technique incorporates prices from up to three designated third-party pricing services at September 30, 2022 and December 31, 2021. The FHLBNY’s base investment pricing methodology establishes a median price for each security using a formula that is based on the number of prices received. If three prices are received, the middle price is used; if two prices are received, the average of the two prices is used; and if one price is received, it is used, typically subject to further validation. Vendor prices that are outside of a defined tolerance threshold of the median price are identified as outliers and subject to additional review, including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates, which are deemed to be reflective of all relevant facts and circumstances that a market participant would consider. Such analysis is also applied in those limited instances where no third-party vendor price or only one third-party vendor price is available in order to arrive at an estimated fair value.

The FHLBNY has also concluded that the pricing vendors use methods that generally employ, but are not limited to benchmark yields, recent trades, dealer estimates, valuation models, benchmarking of like securities, sector groupings, and/or matrix pricing.

Based on the FHLBNY’s review processes, management has concluded that inputs into the pricing models employed by pricing services for the FHLBNY’s investments in GSE securities classified as available-for-sale are market based and observable and are considered to be within Level 2 of the fair value hierarchy.

Housing finance agency bonds —The fair value of housing finance agency bonds is estimated by management using information primarily from pricing services. Because of the current lack of significant market activity, their fair values were categorized within Level 3 of the fair value hierarchy as inputs into vendor pricing models may not be market based and observable.

Fair values of Mortgage-backed securities deemed impaired — When a PLMBS is deemed to be impaired, it is recorded at fair value. The valuation of PLMBS may require pricing services to use significant inputs that are subjective and are considered by management to be within Level 3 of the fair value hierarchy. This determination was made based on management’s view that the private-label instruments may not have an active market because of the specific vintage of the securities as well as inherent conditions surrounding the trading of private-label MBS, so that the inputs may not be market based and observable. Historically, impairments have been de minimis. The portfolio of PLMBS has declined as the FHLBNY has ceased acquiring PLMBS.

Trading Securities — The FHLBNY classifies trading securities as Level 1 of the fair value hierarchy when we use quoted market prices in active markets to determine the fair value of trading securities, such as U.S. government securities. We classify trading securities as Level 2 of the fair value hierarchy when we use quoted market prices in less active markets to determine the fair value of trading securities.

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

Advances elected under the FVO — When the FHLBNY elects the FVO designation for certain advances, the advances are recorded at their fair values in the Statements of Condition. The fair values are computed using standard option valuation models. The most significant inputs to the valuation model are (1) Consolidated obligation debt curve (CO Curve), published by the Office of Finance and available to the public, and (2) Benchmark swap curves and volatilities. Both these inputs are considered to be market based and observable as they can be directly corroborated by market participants.

The CO Curve is the primary input, which is market based and observable. Inputs to apply spreads, which are FHLBNY specific, were not material. Fair values were classified within Level 2 of the valuation hierarchy.

The FHLBNY determines the fair values of advances elected under the FVO by calculating the present value of expected future cash flows from the advances, a methodology also referred to as the Income approach under the Fair Value Measurement standards. The discount rates used in these calculations are equivalent to the replacement advance rates for advances with similar terms. In accordance with the Finance Agency’s “Advances” regulations, an advance with a maturity or repricing period greater than six months requires a prepayment fee sufficient to make a FHLBank financially indifferent to the borrower’s decision to prepay the advance. Therefore, the fair value of an advance does not assume prepayment risk.

The inputs used to determine fair value of advances elected under the FVO are as follows:

● CO Curve. The FHLBNY uses the CO Curve, which represents its cost of funds, as an input to estimate the fair value of advances, and to determine current advance rates. This input is considered market observable and therefore a Level 2 input.

● Volatility assumption. To estimate the fair value of advances with optionality, the FHLBNY uses market-based expectations of future interest rate volatility implied from current market prices for similar options. This input is considered a Level 2 input as it is market based and market observable.

● Spread adjustment. Adjustments represent the FHLBNY’s mark-up based on its pricing strategy. The input is considered as unobservable and is classified as a Level 3 input. The spread adjustment is not a significant input to the overall fair value of an advance.

Consolidated Obligations elected under the FVO — The FHLBNY estimates the fair values of Consolidated obligations elected under the FVO based on the present values of expected future cash flows due on the debt obligations. Calculations are performed by using the FHLBNY’s industry standard option adjusted valuation models. The FHLBNY’s internal valuation models use the following inputs:

● CO Curve and Benchmark Swap Curves. The Office of Finance constructs an internal curve, referred to as the CO Curve, using the U.S. Treasury Curve as a base curve that is then adjusted by adding indicative spreads obtained from market observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, recent GSE trades and secondary market activity. The FHLBNY considers the inputs as Level 2 inputs as they are market observable.

● Volatility assumptions. To estimate the fair values of Consolidated obligations with optionality, the FHLBNY uses market-based expectations of future interest rate volatility implied from current market prices for similar options. These inputs are also considered Level 2 as they are market based and observable. No CO debt elected under the FVO were structured with options in any periods in this report.

Derivative Assets and Liabilities — The FHLBNY’s derivatives (cleared derivatives and bilaterally executed derivatives) are executed in the over-the-counter market and are valued using internal valuation techniques as no quoted market prices exist for such instruments. Discounted cash flow analysis is the primary methodology employed by the FHLBNY’s valuation models to measure the fair values of interest rate swaps. The valuation technique is considered as an “Income approach”. Interest rate caps and floors are valued under the “Market approach”. Interest rate swaps and interest rate caps and floors, collectively “derivatives”, were valued in industry-standard option adjusted valuation models, which generated fair values. The valuation models employed multiple market inputs including interest rates, prices, and indices to create continuous yield or pricing curves and volatility factors. These multiple market inputs were corroborated by management to independent market data, and to relevant benchmark indices. In addition, derivative valuations were compared by management to counterparty valuations received as part of the collateral exchange process. These derivative positions were classified within Level 2 of the valuation hierarchy at September 30, 2022 and December 31, 2021.

Starting in mid-October 2020, interest rate swaps cleared by Central Clearing Houses, LCH and the CME, are valued by discounting forward cash flows by the SOFR index, consistent with the change to SOFR in the interest accrual calculation of margins.

The FHLBNY’s valuation model utilizes a modified Black-Karasinski methodology. Significant market based and observable inputs into the valuation model include volatilities and interest rates. The Bank’s valuation model employs industry standard market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative were as follows:

Interest-rate related:

● LIBOR Swap Curve.

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

● Prepayment assumption (if applicable).

● Federal funds curve (FF/OIS curve).

● SOFR curve (SOFR/OIS).

Mortgage delivery commitments (considered a derivative) — TBA security prices are adjusted for differences in coupon, average loan rate and seasoning. To be announced (TBA) is the term describing forward-settling MBS trades issued by Freddie Mac, Fannie Mae, and Ginnie Mae trade in the TBA market. The FHLBNY incorporates SOFR and the overnight indexed swap (FF/OIS) curves as fair value measurement inputs for the valuation of its derivatives as the curves reflect the interest rates paid on cash collateral provided against the fair value of these derivatives. The FHLBNY believes using relevant SOFR and the FF/OIS curves as inputs to determine fair value measurements provides a more representative reflection of the fair values of these collateralized interest-rate related derivatives. SOFR and the FF/OIS curves are inputs to the valuation model and are obtained from industry standard pricing vendors; the inputs are available and observable over the entire terms of the interest rate swaps.

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

Credit risk and credit valuation adjustments

The FHLBNY is subject to credit risk in derivatives transactions due to the potential non-performance of its derivatives counterparties or a Derivatives Clearing Organizations (DCO). To mitigate this risk, the FHLBNY has entered into master netting agreements and credit support agreements with its derivative counterparties for its bilaterally executed derivative contracts that provide for the delivery of collateral at specified levels at least weekly. The computed fair values of the derivatives took into consideration the effects of legally enforceable master netting agreements that allow the FHLBNY to settle positive and negative positions and offset cash collateral with the same counterparty on a net basis. For derivative transactions executed as a cleared derivative, the transactions are fully collateralized in cash and for the most part exchanged and settled daily with the DCO. The FHLBNY has also established the enforceability of offsetting rights incorporated in the agreements for the cleared derivative transactions.

As a result of these practices and agreements and the FHLBNY’s assessment of any change in its own credit spread, the FHLBNY has concluded that the impact of the credit differential between the FHLBNY and its derivative counterparties and DCO was sufficiently mitigated to an immaterial level that no credit adjustments were deemed necessary to the recorded fair value of Derivative assets and Derivative liabilities in the Statements of Condition at September 30, 2022 and December 31, 2021.

Fair Value Measurement

The tables below present the fair value of those assets and liabilities that are recorded at fair value on a recurring or non-recurring basis at September 30, 2022 and December 31, 2021, by level within the fair value hierarchy. Certain mortgage loans that were partially charged-off were recorded at their collateral values on a non-recurring basis. OREO is measured at fair value when the asset’s fair value less costs to sell is lower than its carrying amount.

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

	September 30, 2022
									Netting
									Adjustment and
	Total		Level 1		Level 2		Level 3		Cash Collateral
Assets
Trading securities
U.S. Treasury securities	$	7,831,926	$	7,831,926	$	—	$	—	$	—
Equity Investments		75,767		75,767		—		—		—
Available-for-sale securities
GSE/U.S. agency issued MBS		5,709,633		—		5,709,633		—		—
State and local housing finance agency obligations		1,113,928		—		—		1,113,928		—
Derivative assets (a)
Interest-rate derivatives		172,704		—		1,767,955		—		(1,595,251)
Mortgage delivery commitments		2		—		2		—		—
Total recurring fair value measurement - Assets	$	14,903,960	$	7,907,693	$	7,477,590	$	1,113,928	$	(1,595,251)
Liabilities
Consolidated obligation:
Bonds (to the extent FVO is elected) (b)	$	(3,943,103)	$	—	$	(3,943,103)	$	—	$	—
Derivative liabilities (a)
Interest-rate derivatives		(26,214)		—		(3,261,605)		—		3,235,391
Mortgage delivery commitments		(245)		—		(245)		—		—
Total recurring fair value measurement - Liabilities	$	(3,969,562)	$	—	$	(7,204,953)	$	—	$	3,235,391

	December 31, 2021
									Netting
									Adjustment and
	Total		Level 1		Level 2		Level 3		Cash Collateral
Assets
Trading securities
U.S. Treasury securities	$	5,821,380	$	5,821,380	$	—	$	—	$	—
Equity Investments		96,124		96,124		—		—		—
Available-for-sale securities
GSE/U.S. agency issued MBS		5,548,784		—		5,548,784		—		—
State and local housing finance agency obligations		998,637		—		—		998,637		—
Derivative assets(a)
Interest-rate derivatives		297,490		—		497,120		—		(199,630)
Mortgage delivery commitments		14		—		14		—		—
Total recurring fair value measurement - Assets	$	12,762,429	$	5,917,504	$	6,045,918	$	998,637	$	(199,630)
Liabilities
Consolidated obligation:
Bonds (to the extent FVO is elected) (b)	$	(7,386,074)	$	—	$	(7,386,074)	$	—	$	—
Derivative liabilities (a)
Interest-rate derivatives		(36,507)		—		(1,016,423)		—		979,916
Mortgage delivery commitments		(5)		—		(5)		—		—
Total recurring fair value measurement - Liabilities	$	(7,422,586)	$	—	$	(8,402,502)	$	—	$	979,916

(a) Based on analysis of the nature of the risk, the presentation of derivatives as a single class is appropriate.

(b) Based on analysis of the nature of risks of Consolidated obligation bonds measured at fair value, the FHLBNY has determined that presenting the bonds as a single class is appropriate.

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

	State and Local Housing Finance Agency Obligations
	Three Months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Balance, beginning of the period	$	1,112,414	$	—	$	998,637	$	—
Transfer of securities from held-to-maturity to available-for-sale		—		900,719		—		900,719
Provision for credit losses		—		586		—		586
Total gains (losses) included in other comprehensive income
Net unrealized gains (losses)		1,514		(113)		1,096		(113)
Purchases		—		—		308,000		—
Settlements		—		—		(193,805)		—
Balance, end of the period	$	1,113,928	$	901,192	$	1,113,928	$	901,192

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

	During the period ended September 30, 2022
	Fair Value		Level 1		Level 2		Level 3
Mortgage loans held-for-portfolio	$	189	$	—	$	189	$	—
Real estate owned		—		—		—		—
Total non-recurring assets at fair value	$	189	$	—	$	189	$	—

	During the period ended December 31, 2021
	Fair Value		Level 1		Level 2		Level 3
Mortgage loans held-for-portfolio	$	657	$	—	$	657	$	—
Real estate owned		315		—		—		315
Total non-recurring assets at fair value	$	972	$	—	$	657	$	315

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

In accordance with disclosure provisions, we have reported changes in fair values of such assets as of the date the fair value adjustments were recorded during the period ended September 30, 2022 and December 31, 2021, and reported fair values were not as of the period end dates.

Fair Value Option Disclosures

From time to time, the FHLBNY will elect the FVO for advances and Consolidated obligations on an instrument-by-instrument basis with changes in fair value reported in earnings. Customarily, the election is made when either the instruments do not qualify for hedge accounting or may be at risk for not meeting hedge effectiveness requirements; the objective is primarily to mitigate the potential income statement volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value. We may also elect advances under the FVO when analysis indicates that changes in the fair values of the advance would be an offset to fair value volatility of debt elected under the FVO. We may also elect CO bonds under the FVO to achieve asset liability objectives. The FVO election is made at inception of the contracts for advances and debt obligations.

For instruments for which the fair value option has been elected, the related contractual interest income, contractual interest expense, the discount amortization on fair value option consolidated obligation discount notes and the premium/discount amortization on fair value option consolidated obligation bonds are recorded as part of net interest income in the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains (losses) on financial instruments held under fair value option in the Statements of Income. The change in fair value does not include changes in instrument-specific credit risk. The FHLBNY has determined that no adjustments to the fair values of its instruments recorded under the fair value option for instrument-specific credit risk were necessary at September 30, 2022 and December 31, 2021.

As with all advances, when advances are elected under the FVO, they are also fully collateralized through their terms to maturity. We consider our Consolidated obligation debt as high credit-quality, highly rated instruments, and changes in fair values are generally related to changes in interest rates and investor preference, including investor asset allocation strategies. The FHLBNY believes the credit-quality of Consolidated obligation debt has remained stable, and changes in fair value attributable to instrument-specific credit risk, if any, were not material given that the debt elected under the FVO had been issued within the recent past periods, and no adverse changes have been observed in their credit characteristics.

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

	Three months ended September 30,
	2022		2021		2022		2021
	Bonds				Discount Notes
Balance, beginning of the period	$	(3,618,896)	$	(13,347,759)	$	—	$	(1,249,963)
New transactions elected for fair value option		(413,920)		(4,415,000)		—		—
Maturities and terminations		—		6,950,000		—		1,249,392
Net gains (losses) on financial instruments held under fair value option		96,734		282		—		33
Change in accrued interest/unaccreted balance		(7,021)		1,115		—		538
Balance, end of the period	$	(3,943,103)	$	(10,811,362)	$	—	$	—

	Nine months ended September 30,
	2022		2021		2022		2021
	Bonds				Discount Notes
Balance, beginning of the period	$	(7,386,074)	$	(16,580,464)	$	—	$	(7,133,755)
New transactions elected for fair value option		(2,423,935)		(15,760,925)		—		(1,249,391)
Maturities and terminations		5,665,000		21,525,000		—		8,367,602
Net gains (losses) on financial instruments held under fair value option		214,163		2,221		—		2,027
Change in accrued interest/unaccreted balance		(12,257)		2,806		—		13,517
Balance, end of the period	$	(3,943,103)	$	(10,811,362)	$	—	$	—

(a) No discount notes elected under the FVO was outstanding at September 30, 2022.

The following tables present the change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected ^(a) (in thousands):

	Three months ended September 30,
	2022						2021
			Net Gains		Total Change in Fair				Net Gains		Total Change in Fair
			(Losses) Due to		Value Included in				(Losses) Due to		Value Included in
	Interest		Changes in Fair		Current Period		Interest		Changes in Fair		Current Period
	Expense		Value		Earnings		Expense		Value		Earnings
Consolidated obligation bonds	$	(18,740)	$	96,734	$	77,994	$	(2,938)	$	282	$	(2,656)
Consolidated obligation discount notes		—		—		—		(71)		33		(38)
	$	(18,740)	$	96,734	$	77,994	$	(3,009)	$	315	$	(2,694)

	Nine months ended September 30,
	2022						2021
			Net Gains		Total Change in Fair				Net Gains		Total Change in Fair
			(Losses) Due to		Value Included in				(Losses) Due to		Value Included in
	Interest		Changes in Fair		Current Period		Interest		Changes in Fair		Current Period
	Expense		Value		Earnings		Expense		Value		Earnings
Consolidated obligation bonds	$	(34,865)	$	214,163	$	179,298	$	(12,844)	$	2,221	$	(10,623)
Consolidated obligation discount notes		—		—		—		(3,839)		2,027		(1,812)
	$	(34,865)	$	214,163	$	179,298	$	(16,683)	$	4,248	$	(12,435)

(a) No discount notes elected under the FVO was outstanding at September 30, 2022.

The following tables compare the aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected ^(a)(c) (in thousands):

	September 30, 2022
					Fair Value
					Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance
Consolidated obligation bonds (b)	$	4,161,495	$	3,943,103	$	(218,392)

	December 31, 2021
					Fair Value
					Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance
Consolidated obligation bonds (b)	$	7,402,560	$	7,386,074	$	(16,486)

	September 30, 2021
					Fair Value
					Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance
Consolidated obligation bonds (b)	$	10,810,925	$	10,811,362	$	437

(a) Advances – No advances elected under the FVO were outstanding at September 30, 2022, December 31, 2021 and September 30, 2021. From time to time, the FHLBNY has elected the FVO for advances on an instrument by instrument basis with terms that were primarily short-and intermediate-term.

(b) CO bonds – The FHLBNY has elected the FVO on an instrument-by-instrument basis for CO bonds, primarily fixed-rate, intermediate- and short-term debt; management elects the FVO for such CO bonds when management is not able to assert with confidence that the debt would qualify for hedge accounting as such short-term debt may not remain highly effective hedges through the maturity of the bonds. Management may also elect the FVO of certain other CO bonds to achieve asset liability objectives.

(c) Discount notes - No discount notes elected under the FVO were outstanding at September 30, 2022, December 31, 2021 and September 30, 2021. From time to time, discount notes were elected under the FVO because management was not able to assert with confidence that the debt would qualify for hedge accounting as the short-term discount note debt may not remain highly effective hedges through maturity.

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Commitments and Contingencies.

9 Months Ended

Sep. 30, 2022

Commitments and Contingencies.

Commitments and Contingencies.

Note 19.         Commitments and Contingencies.

Consolidated obligations — The FHLBanks have joint and several liability for all the Consolidated obligations issued on their behalf. Accordingly, should one or more of the FHLBanks be unable to repay their participation in the Consolidated obligations, each of the other FHLBanks could be called upon to repay all or part of such obligations, as determined or approved by the Finance Agency. Neither the FHLBNY nor any other FHLBank has ever had to assume or pay the Consolidated obligations of another FHLBank. The FHLBNY does not believe that it will be called upon to pay the Consolidated obligations of another FHLBank in the future. Under the provisions of accounting standards for guarantees, the FHLBNY would have been required to recognize the fair value of the FHLBNY’s joint and several liability for all the Consolidated obligations, as discussed above. However, the FHLBNY considers the joint and several liabilities as similar to a related party guarantee, which meets the scope exception under the accounting standard for guarantees. Accordingly, the FHLBNY has not recognized the fair value of a liability for its joint and several obligations related to other FHLBanks’ Consolidated obligations, which in aggregate were par amounts of $1.0 trillion as of September 30, 2022 and $0.7 trillion as of December 31, 2021.

Affordable Housing Program — The 11 FHLBanks are expected to contribute $100 million in aggregate annually to the AHP. If the aggregate assessment is less than $100 million for all the FHLBanks, each FHLBank would be required to assure that the aggregate contributions of the FHLBanks equal $100 million. The proration would be made on the basis of the FHLBank’s income in relation to the income of all FHLBanks for the previous year. There have been no shortfalls in any periods in this report.

The following table summarizes contractual obligations and contingencies (in thousands):

	September 30, 2022
Contractual Obligations
Consolidated obligation bonds at par (a)	$	74,290,185
Consolidated obligation discount notes at par		49,333,280
Mandatorily redeemable capital stock (a)		10,753
Premises (lease obligations) (b)		87,635
Remote backup site		1,076
Other liabilities (c)		141,148
Total contractual obligations	$	123,864,077
Other commitments
Standby letters of credit (d)	$	15,430,473
Consolidated obligation bonds/discount notes traded not settled		90,000
Commitments to fund additional advances		108,600
Commitments to fund pension		9,400
Open delivery commitments (MAP)		10,466
Total other commitments	$	15,648,939
Total obligations and commitments	$	139,513,016

(a) Callable bonds contain an exercise date or a series of exercise dates that may result in a shorter redemption period. Redemption dates of mandatorily redeemable capital stock are assumed to correspond to maturity dates of member advances. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock. While interest payments on CO bonds and discount notes are contractual obligations, they are deemed to be not material and, therefore, amounts were omitted from the table.

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

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

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

The Bank did not record credit losses on off-balance sheet arrangements for any periods in this report.

Operating Lease Commitments

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

At September 30, 2022 and December 31, 2021, the FHLBNY was obligated under a number of noncancelable leases, predominantly operating leases for premises. These leases generally have terms of 15 years or less that contain escalation clauses that will increase rental payments. Operating leases also include backup datacenters and certain office equipment. Operating lease liabilities and ROU are recognized at the lease commencement date based on the present value of the future minimum lease payments over the lease term. The future lease payments are discounted at a rate that represents the FHLBNY’s borrowing rate for its own debt (Consolidated obligation bonds) of a similar term. ROU includes any lease prepayments made, plus any initial direct costs incurred, less any lease incentives received. Rental expense associated with operating leases is recognized on a straight-line basis over the lease term. Premise rental expense is included in occupancy expense, and datacenter and other lease expenses are included in other operating expense in the Statements of Income. ROU and lease liabilities are reported in the Statements of Condition.

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

	September 30, 2022		December 31, 2021
Operating Leases (a)
Right-of-use assets	$	61,676	$	65,624
Lease Liabilities	$	74,788	$	79,026

	Three months ended September 30,						Nine months ended September 30,
	2022			2021			2022		2021
Operating Lease Expense	$	1,952		$	1,952		$	5,856	$	5,856
Operating cash flows - Cash Paid	$	2,050		$	2,037		$	6,148	$	6,111
	September 30, 2022			December 31, 2021
Weighted Average Discount Rate		3.31	%		3.30	%
Weighted Average Remaining Lease Term		10.36	Years		11.06	Years

	Remaining maturities through
Operating lease liabilities	September 30, 2022		December 31, 2021
Remainder of 2022	$	2,099	$	8,246
2023		8,615		8,615
2024		8,297		8,297
2025		8,088		8,088
2026		8,142		8,142
Thereafter		53,656		53,656
Total undiscounted lease payments		88,897		95,044
Imputed interest		(14,109)		(16,018)
Total operating lease liabilities	$	74,788	$	79,026

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

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Related Party Transactions.

9 Months Ended

Sep. 30, 2022

Related Party Transactions.

Related Party Transactions.

Note 20.         Related Party Transactions.

The FHLBNY is a cooperative and the members own almost all of the stock of the FHLBNY. Stock issued and outstanding that is not owned by members is held by former members. The majority of the members of the Board of Directors of the FHLBNY are elected by and from the membership. The FHLBNY conducts its advances business almost exclusively with members, and considers its transactions with its members and non-member stockholders as related party transactions in addition to transactions with other FHLBanks, the Office of Finance, and the Finance Agency. The FHLBNY conducts all transactions with members and non-members in the ordinary course of business. All transactions with all members, including those whose officers may serve as directors of the FHLBNY, are at terms that are no more favorable than comparable transactions with other members. The FHLBNY may from time to time borrow or sell overnight and term federal funds at market rates to members.

Debt Assumptions and Transfers. When debt is transferred or assumed, the transactions would be executed in the ordinary course of the FHLBNY’s business and at negotiated market pricing.

Debt assumptions — No debt was assumed from another FHLBank in the nine months ended September 30, 2022. In February 2021, the FHLBNY assumed $171.2 million of debt (par amounts) from another FHLBank.

Debt transfers — No debt was transferred to another FHLBank in the nine months ended September 30, 2022 and in the same period in 2021.

Advances Sold or Transferred

No advances were transferred or sold to the FHLBNY or from the FHLBNY to another FHLBank in any periods in this report. When an advance is transferred or assumed, the transactions would be executed in the ordinary course of the FHLBNY’s business and at negotiated market pricing.

MPF Program

In the MPF program, the FHLBNY may participate to the FHLBank of Chicago portions of its purchases of mortgage loans from its members. Transactions are participated at market rates. Since 2004, the FHLBNY has not shared its purchases with the FHLBank of Chicago. From the inception of the program through 2004, the cumulative share of MPF Chicago’s participation in the FHLBNY’s MPF loans that has remained outstanding was $4.0 million at September 30, 2022 and $4.6 million at December 31, 2021.

Fees paid to the FHLBank of Chicago for providing MPF program services were approximately $0.3 million and $1.0 million for the three and nine months ended September 30, 2022, compared to $0.4 million and $1.4 million for the same periods in the prior year.

Mortgage-backed Securities

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

Intermediation

From time to time, the FHLBNY acts as an intermediary to purchase derivatives to accommodate its smaller members. At September 30, 2022 and December 31, 2021, outstanding notional amounts were $61.5 million and $79.0 million, representing derivative contracts in which the FHLBNY acted as an intermediary to execute derivative contracts with members. Separately, the contracts were offset with contracts purchased from unrelated derivatives dealers. Net fair value exposures of these transactions were not significant. The intermediated derivative transactions with members and derivative counterparties were collateralized.

Loans to Other Federal Home Loan Banks

There were $2.3 billion and $4.3 billion overnight loans extended to other FHLBanks in the three and nine months ended September 30, 2022. There were no overnight loans extended to other FHLBanks in the three months ended September 30, 2021. For the nine months ended September 30, 2021, we extended $0.3 billion overnight loans to other FHLBanks with the average balance of $1.1 million for the period. In the three and nine months ended September 30, 2022, overnight loans extended to other FHLBanks averaged $24.5 million and $18.3 million. Generally, loans made to other FHLBanks are uncollateralized. Interest income from such loans was immaterial in the periods in this report.

Borrowings from Other Federal Home Loan Banks

The FHLBNY borrows from other FHLBanks, generally for a period of one day. There were no borrowings from other FHLBanks in the three and nine months ended September 30, 2022 and September 30, 2021.

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

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

Cash and Due from Banks

At September 30, 2022 and December 31, 2021, there was no compensating cash balances held at Citibank. Citibank is a member and stockholder of the FHLBNY. For more information, see Note 3. Cash and Due from Banks.

The following tables summarize significant balances and transactions with related parties and transactions (in thousands):

Related Party: Outstanding Assets, Liabilities and Capital

	September 30, 2022		December 31, 2021
	Related		Related
Assets
Advances	$	91,870,505	$	71,536,402
Accrued interest receivable		194,824		69,852
Liabilities and capital
Deposits	$	1,114,689	$	1,321,238
Mandatorily redeemable capital stock		10,753		1,959
Accrued interest payable		152		23
Affordable Housing Program (a)		124,609		137,638
Other liabilities (b)		—		30,368
Capital	$	7,182,461	$	6,445,853

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

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

Related Party: Income and Expense Transactions

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
	Related		Related		Related		Related
Interest income
Advances	$	565,508	$	116,229	$	914,365	$	379,624
Interest-bearing deposits		1		—		2		—
Loans to other FHLBanks		156		—		228		1
Interest expense
Deposits	$	4,538	$	116	$	6,364	$	291
Mandatorily redeemable capital stock		271		25		1,162		87
Service fees and other	$	4,114	$	4,354	$	12,254	$	13,091

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Segment Information and Concentration.

9 Months Ended

Sep. 30, 2022

Segment Information and Concentration.

Segment Information and Concentration.

Note 21.         Segment Information and Concentration.

The FHLBNY manages its operations as a single business segment. Management and the FHLBNY’s Board of Directors review enterprise-wide financial information in order to make operating decisions and assess performance. Advances to large members constitute a significant percentage of the FHLBNY’s advance portfolio and its source of revenues.

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

The top ten advance holders and associated interest income for the periods then ended are summarized as follows (dollars in thousands):

	September 30, 2022
					Percentage of
			Par		Total Par Value		Three Months					Nine Months
	City	State	Advances		of Advances		Interest Income		Percentage (a)			Interest Income		Percentage (a)
Citibank, N.A.	New York	NY	$	19,250,000	20.57	%	$	110,114		28.11	%	$	135,749	18.17	%
MetLife, Inc.:
Metropolitan Life Insurance Company	New York	NY		14,395,000	15.38			71,786		18.33			158,470	21.21
Metropolitan Tower Life Insurance Company	New York	NY		1,405,000	1.50			6,321		1.62			12,778	1.71
Subtotal MetLife, Inc.				15,800,000	16.88			78,107		19.95			171,248	22.92
New York Community Bank (b)	Hicksville	NY		12,840,000	13.72			58,363		14.90			161,171	21.57
Equitable Financial Life Insurance Company	New York	NY		7,826,263	8.36			46,828		11.95			82,206	11.00
Teachers Ins. & Annuity Assoc. of America	New York	NY		7,175,400	7.67			42,211		10.78			76,947	10.30
ESL Federal Credit Union	Rochester	NY		2,651,098	2.83			13,763		3.51			21,134	2.83
New York Life Insurance Company	New York	NY		2,405,000	2.57			16,090		4.11			43,654	5.85
Prudential Insurance Company of America	Newark	NJ		2,094,250	2.24			8,595		2.19			18,730	2.51
Valley National Bank	Wayne	NJ		1,573,767	1.68			6,317		1.61			17,019	2.28
Goldman Sachs Bank USA	New York	NY		1,500,000	1.60			11,325		2.89			19,201	2.57
Total			$	73,115,778	78.12	%	$	391,713		100.00	%	$	747,059	100.00	%

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

(b) An officer of this member bank joined the Board of Directors of the FHLBNY as a Member Director on January 1, 2022.

	December 31, 2021
					Percentage of
			Par		Total Par Value		Twelve Months
	City	State	Advances		of Advances		Interest Income		Percentage (a)
MetLife, Inc.:
Metropolitan Life Insurance Company	New York	NY	$	14,745,000	20.70	%	$	156,632		24.03	%
Metropolitan Tower Life Insurance Company	New York	NY		1,005,000	1.41			5,374		0.83
Subtotal MetLife, Inc.				15,750,000	22.11			162,006		24.86
New York Community Bank	Hicksville	NY		15,105,000	21.21			207,738		31.87
Equitable Financial Life Insurance Company	New York	NY		6,642,717	9.33			59,209		9.08
Citibank, N.A.	New York	NY		5,250,000	7.37			71,312		10.94
Investors Bank (b)	Short Hills	NJ		3,075,000	4.32			30,135		4.62
Signature Bank	New York	NY		2,639,245	3.71			28,419		4.36
New York Life Insurance Company	New York	NY		2,455,000	3.45			54,063		8.30
ESL Federal Credit Union	Rochester	NY		2,189,398	3.07			7,890		1.21
Teachers Ins. & Annuity Assoc. of America	New York	NY		2,155,300	3.03			5,973		0.92
Valley National Bank (b)	Wayne	NJ		1,288,000	1.81			25,028		3.84
Total			$	56,549,660	79.41	%	$	651,773		100.00	%

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

(b) At December 31, 2021, an officer of this member bank also served on the Board of Directors of the FHLBNY.

	September 30, 2021
					Percentage of
			Par		Total Par Value		Three Months					Nine Months
	City	State	Advances		of Advances		Interest Income		Percentage (a)			Interest Income		Percentage (a)
MetLife, Inc.:
Metropolitan Life Insurance Company	New York	NY	$	15,245,000	21.80	%	$	40,303		25.42	%	$	118,253		23.48	%
Metropolitan Tower Life Insurance Company	New York	NY		1,005,000	1.44			1,368		0.86			3,820		0.76
Subtotal MetLife, Inc.				16,250,000	23.24			41,671		26.28			122,073		24.24
New York Community Bank	Westbury	NY		13,977,661	19.99			51,921		32.74			156,665		31.11
Equitable Financial Life Insurance Company	New York	NY		6,802,175	9.73			14,091		8.89			46,337		9.20
Citibank, N.A.	New York	NY		5,751,000	8.23			16,296		10.28			61,609		12.23
Investors Bank (b)	Short Hills	NJ		3,075,000	4.40			7,589		4.79			24,378		4.84
New York Life Insurance Company	New York	NY		2,725,000	3.90			13,155		8.30			40,700		8.08
Signature Bank	New York	NY		2,664,245	3.81			6,820		4.30			21,698		4.31
ESL Federal Credit Union	Rochester	NY		1,683,937	2.41			1,865		1.18			5,717		1.14
Valley National Bank (b)	Wayne	NJ		1,388,000	1.98			4,475		2.82			20,851		4.14
Teachers Ins. & Annuity Assoc. of America	New York	NY		1,126,634	1.61			674		0.42			3,552		0.71
Total			$	55,443,652	79.30	%	$	158,557		100.00	%	$	503,580		100.00	%

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

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

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Critical Accounting Policies and Estimates. (Policies)

9 Months Ended

Sep. 30, 2022

Critical Accounting Policies and Estimates.

Basis of Presentation

Basis of Presentation

The accompanying financial statements of the FHLBNY have been prepared in accordance with Generally Accepted Accounting Principles in the United States (GAAP) and with the instructions provided by the Securities and Exchange Commission (SEC).

The FHLBNY has identified certain accounting policies that it believes are critical because they require management to make subjective judgments about matters that are inherently uncertain and because of the likelihood that materially different amounts would be reported under different conditions or by using different assumptions. The most significant of these critical policies include derivatives and hedging relationships, estimating the fair values of assets and liabilities, estimating the allowance for credit losses on the advance, mortgage loan portfolios and our portfolios of investment securities.

Financial Instruments with Legal Right of Offset

Financial Instruments with Legal Right of Offset

The FHLBNY has derivative instruments, and securities purchased under agreements to resell that are subject to enforceable master netting arrangements. The FHLBNY has elected to offset its derivative asset and liability positions, as well as cash collateral received or pledged, when it has the legal right of offset under these master agreements. The FHLBNY did not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented.

The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments, any excess cash collateral received or pledged is recognized as a derivative liability or as a derivative asset based on the terms of the individual master agreement between the FHLBNY and its derivative counterparty. For securities purchased under agreements to resell, the FHLBNY did not have any unsecured amounts based on the fair value of the related collateral held at the end of the periods presented. Additional information about the FHLBNY’s investments in securities purchased under agreements to resell is disclosed in Note 4. Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell.

Fair Value Measurements

Fair Value Measurements

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

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

For more information about methodologies used by the FHLBNY to validate vendor pricing, and fair value “Levels” associated with assets and liabilities recorded on the FHLBNY’s Statements of Condition, see financial statements, Note 18. Fair Values of Financial Instruments in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2021 filed on March 22, 2022.

Derivatives and Hedging Activities

Derivatives and Hedging Activities

The FHLBNY hedges the risk of changes in benchmark interest rates under the provisions of ASC 815. In years prior to 2021, the benchmark rate has been primarily LIBOR; LIBOR rates are derived from an average of submissions by panel banks. The underlying market that LIBOR seeks to reflect has become increasingly less active. The Alternative Reference Rates Committee (ARRC) in the U.S. has settled on the establishment of the Secured Overnight Financing Rate (SOFR) as its recommended alternative to U.S. dollar LIBOR. The United Kingdom’s Financial Conduct Authority (FCA), which oversees LIBOR, has announced that the FCA would no longer persuade or compel member panel banks to make LIBOR quote submissions for U.S. dollar LIBOR setting of 1-month and 3-month, two key LIBOR settings, so that submissions will permanently cease after June 30, 2023.

The FASB has issued two Accounting Standards Updates to Reference Rate Reform (Topic 848), Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which have outlined permissible expedients offered under Topic 848, including a one-time election to transfer/sell LIBOR-indexed securities in our held-to-maturity portfolio. In the first quarter of 2021, we began to negotiate with derivative counterparties to transform LIBOR-indexed interest rate swaps to SOFR-OIS and have now made the transition to SOFR-OIS for a significant number of bilaterally executed derivatives. We will continue to review opportunities to execute the transition, the timing would be determined by the economic feasibility of transitioning to SOFR. In October 2020, we elected to adopt SOFR as the appropriate index to discount interest rate swaps cleared by the two major central swap clearing organizations as a start to an orderly transition to SOFR.

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

In compliance with accounting standards, primarily ASC 815, the accounting for derivatives requires us to: (i) assess whether the hedging relationship qualifies for hedge accounting; (ii) assess whether an embedded derivative should be bifurcated; (iii) calculate the effectiveness of the hedging relationship; (iv) evaluate exposure associated with counterparty credit risk; and (v) estimate the fair value of the derivatives. Our assumptions and judgments include subjective estimates based on information available as of the date of the financial statements and could be materially different based on different assumptions, calculations, and estimates.

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

For more information about the FHLBNY’s hedging activities, see financial statements, Note 17. Derivatives and Hedging Activities in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2021 filed on March 22, 2022.

Credit Losses under ASU 2016-13

Credit Losses under ASU 2016-13

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

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

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

Note 7.Available-for-Sale Securities.

Note 8.Held-to-Maturity Securities.

Note 9.Advances.

Note 10.Mortgage Loans Held-for-Portfolio.

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

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Trading Securities. (Tables)

9 Months Ended

Sep. 30, 2022

Securities.

Schedule of major security types of trading securities

The carrying value of a trading security equals its fair value. The following table provides major security types at September 30, 2022 and December 31, 2021 (in thousands):

Fair value	September 30, 2022		December 31, 2021
U.S. Treasury notes	$	7,831,926	$	5,821,380
Total trading securities	$	7,831,926	$	5,821,380

Trading Securities.

Securities.

Schedule of redemption terms of the major types of trading securities

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

Redemption Terms

	September 30, 2022
	Due in one year or			Due after one year			Due after five years
	less			through five years			through ten years			Total Fair Value
U.S. Treasury notes	$	3,876,332		$	2,260,858		$	1,694,736		$	7,831,926
Total trading securities	$	3,876,332		$	2,260,858		$	1,694,736		$	7,831,926
Yield on trading securities		1.13	%		1.36	%		1.15	%

	December 31, 2021
	Due in one year or			Due after one year			Due after five years
	less			through five years			through ten years			Total Fair Value
U.S. Treasury notes	$	2,516,659		$	1,491,893		$	1,812,828		$	5,821,380
Total trading securities	$	2,516,659		$	1,491,893		$	1,812,828		$	5,821,380
Yield on trading securities		1.27	%		1.32	%		1.32	%

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Equity Investments. (Tables) - Equity Investment

9 Months Ended

Sep. 30, 2022

Equity Investments

Schedule of carrying value of equity investments

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

	September 30, 2022
			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
	Cost		Gains (b)		Losses (b)		Value (c)
Cash equivalents	$	3,365	$	—	$	—	$	3,365
Equity funds		41,328		11,020		(7,821)		44,527
Fixed income funds		33,046		142		(5,313)		27,875
Total Equity Investments (a)	$	77,739	$	11,162	$	(13,134)	$	75,767

	December 31, 2021
			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
	Cost		Gains (b)		Losses (b)		Value (c)
Cash equivalents	$	3,261	$	—	$	—	$	3,261
Equity funds		41,228		21,342		(2,425)		60,145
Fixed income funds		32,703		415		(400)		32,718
Total Equity Investments (a)	$	77,192	$	21,757	$	(2,825)	$	96,124

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

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

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

Schedule of calculation of gains and losses related to outstanding equity investments held

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

	Three Months Ended September 30,				Nine Months Ended September 30,
	2022		2021		2022		2021
Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date	$	(4,395)	$	(1,545)	$	(20,904)	$	3,821
Net gains (losses) recognized during the period on equity investments sold during the period		—		713		(265)		1,434
Net dividend and other		380		350		965		1,102
Net gains (losses) recognized during the period	$	(4,015)	$	(482)	$	(20,204)	$	6,357

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Available-for-Sale Securities. (Tables)

9 Months Ended

Sep. 30, 2022

Securities.

Summary of interest rate payment terms of investments in mortgage-backed securities and state and local housing finance agency obligations classified as AFS securities

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

	September 30, 2022				December 31, 2021
	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Mortgage-backed securities
Floating
CMO	$	482,801	$	483,439	$	575,441	$	584,423
PASS THRU		4,243		4,303		4,896		5,111
Total Floating		487,044		487,742		580,337		589,534
Fixed
CMBS		5,470,845		5,221,891		4,812,727		4,959,250
Total Fixed		5,470,845		5,221,891		4,812,727		4,959,250
Total Mortgage-backed securities		5,957,889		5,709,633		5,393,064		5,548,784
State and local housing finance agency obligations
Floating		1,112,715		1,113,928		998,520		998,637
Total Available-for-Sale securities	$	7,070,604	$	6,823,561	$	6,391,584	$	6,547,421

Available-for-Sale Securities.

Securities.

Schedule of major security types

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

	September 30, 2022
			Gross			Gross
	Amortized		Unrealized			Unrealized			Fair
	Cost		Gains			Losses			Value
GSE and U.S. Obligations
State and local housing finance agency obligations	$	1,112,715	$	1,239		$	(26)		$	1,113,928
Mortgage-backed securities
Floating
CMO		482,801		1,606			(968)			483,439
PASS THRU		4,243		61			(1)			4,303
Total Floating		487,044		1,667			(969)			487,742
Fixed
CMBS		6,067,334		—			(845,443)			5,221,891
Total Fixed		6,067,334		—			(845,443)			5,221,891
MBS AFS Before Hedging Adjustments		6,554,378		1,667	(a)		(846,412)	(a)		5,709,633
Hedging Basis Adjustments in AOCI		(596,489)		596,489	(b)		—			—
Total Available-for-sale securities (MBS)		5,957,889		598,156			(846,412)			5,709,633
Total Available-for-sale securities	$	7,070,604	$	599,395		$	(846,438)		$	6,823,561

	December 31, 2021
			Gross			Gross
	Amortized		Unrealized			Unrealized			Fair
	Cost		Gains			Losses			Value
GSE and U.S. Obligations
State and local housing finance agency obligations	$	998,520	$	167		$	(50)		$	998,637
Mortgage-backed securities
Floating
CMO		575,441		8,982			—			584,423
PASS THRU		4,896		215			—			5,111
Total Floating		580,337		9,197			—			589,534
Fixed
CMBS		4,843,394		171,731			(55,875)			4,959,250
Total Fixed		4,843,394		171,731			(55,875)			4,959,250
MBS AFS Before Hedging Adjustments		5,423,731		180,928	(a)		(55,875)	(a)		5,548,784
Hedging Basis Adjustments in AOCI		(30,667)		30,667	(b)		—			—
Total Available-for-sale securities (MBS)		5,393,064		211,595			(55,875)			5,548,784
Total Available-for-sale securities	$	6,391,584	$	211,762		$	(55,925)		$	6,547,421

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

(b) Amounts represent fair value hedging basis due to changes in the benchmark rate and were recorded as an adjustment to the carrying values of hedged securities; the adjustments impacted the unrealized market value gains and losses. Securities in a fair value hedging relationship at September 30, 2022 recorded $596.5 million of hedge basis gains; at December 31, 2021, hedge basis gains of $30.7 million were recorded. In the table above, the benchmark hedging basis adjustments were reported separately from the market based prices of ASC 815 qualifying hedges to provide greater clarity to market based pricing of the securities.

Schedule of available-for-sale securities with estimated fair values below their amortized cost basis

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

	September 30, 2022
	Less than 12 months				12 months or more				Total
	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
MBS Investment Securities and State and local housing finance agency obligations
MBS-Other US Obligations
Ginnie Mae-CMO	$	3,614	$	(18)	$	—	$	—	$	3,614	$	(18)
MBS-GSE
Fannie Mae-CMO		254,937		(791)		—		—		254,937		(791)
Fannie Mae-CMBS		435,347		(28,405)		—		—		435,347		(28,405)
Freddie Mac-CMO		45,751		(159)		—		—		45,751		(159)
Freddie Mac-CMBS		3,588,526		(492,568)		1,198,017		(324,470)		4,786,543		(817,038)
Fannie Mae-Pass Thru		375		(1)		—		—		375		(1)
Total MBS-GSE		4,324,936		(521,924)		1,198,017		(324,470)		5,522,953		(846,394)
Total MBS Temporarily Impaired	$	4,328,550	$	(521,942)	$	1,198,017	$	(324,470)	$	5,526,567	$	(846,412)
State and local housing finance agency obligations		1,474		(1)		16,874		(25)		18,348		(26)
Total Temporarily Impaired	$	4,330,024	$	(521,943)	$	1,214,891	$	(324,495)	$	5,544,915	$	(846,438)

	December 31, 2021
	Less than 12 months				12 months or more				Total
	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
MBS Investment Securities and State and local housing finance agency obligations
MBS-GSE
Freddie Mac-CMBS	$	1,476,219	$	(23,442)	$	641,268	$	(32,433)	$	2,117,487	$	(55,875)
Total MBS-GSE		1,476,219		(23,442)		641,268		(32,433)		2,117,487		(55,875)
Total MBS Temporarily Impaired	$	1,476,219	$	(23,442)	$	641,268	$	(32,433)	$	2,117,487	$	(55,875)
State and local housing finance agency obligations		—		—		21,130		(50)		21,130		(50)
Total Temporarily Impaired	$	1,476,219	$	(23,442)	$	662,398	$	(32,483)	$	2,138,617	$	(55,925)

Schedule of amortized cost and estimated fair value of investments by contractual maturity

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

	September 30, 2022				December 31, 2021
	Amortized		Estimated		Amortized		Estimated
	Cost (b)		Fair Value		Cost (b)		Fair Value
State and local housing finance agency obligations
Due in one year or less	$	1,475	$	1,474	$	—	$	—
Due after one year through five years		16,900		16,875		21,180		21,130
Due after ten years		1,094,340		1,095,579		977,340		977,507
State and local housing finance agency obligations	$	1,112,715	$	1,113,928	$	998,520	$	998,637
Mortgage-backed securities
Due in one year or less	$	33	$	33	$	—	$	—
Due after one year through five years		1,059,065		999,846		875,385		917,150
Due after five year through ten years		3,937,025		3,788,338		3,591,533		3,696,985
Due after ten years		961,766		921,416		926,146		934,649
Mortgage-backed securities	$	5,957,889	$	5,709,633	$	5,393,064	$	5,548,784
Total Available-for-Sale securities	$	7,070,604	$	6,823,561	$	6,391,584	$	6,547,421

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

(b) Amortized cost is UPB after adjusting for net unamortized premiums of $28.6 million and $79.9 million at September 30, 2022 and December 31, 2021, respectively. Additionally, historical amortized cost in the table above is after adjustment for hedging basis.

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Held-to-Maturity Securities. (Tables) - Held-to-Maturity Securities.

9 Months Ended

Sep. 30, 2022

Held-to-Maturity Securities.

Schedule of major security types

Major Security Types (in thousands)

	September 30, 2022
			Allowance		OTTI				Gross		Gross
	Amortized		for Credit		Recognized		Carrying		Unrecognized		Unrecognized		Fair
Issued, guaranteed or insured:	Cost (d)		Loss (ACL)		in AOCI		Value		Holding Gains (a)		Holding Losses (a)		Value
Pools of Mortgages
Fannie Mae	$	27,537	$	—	$	—	$	27,537	$	206	$	(34)	$	27,709
Freddie Mac		4,707		—		—		4,707		100		—		4,807
Total pools of mortgages		32,244		—		—		32,244		306		(34)		32,516
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits
Fannie Mae		224,242		—		—		224,242		—		(4,588)		219,654
Freddie Mac		258,989		—		—		258,989		51		(2,821)		256,219
Ginnie Mae		—		—		—		—		—		—		—
Total CMOs/REMICs		483,231		—		—		483,231		51		(7,409)		475,873
Commercial Mortgage-Backed Securities (b)
Fannie Mae		1,141,173		—		—		1,141,173		—		(21,916)		1,119,257
Freddie Mac		7,668,365		—		—		7,668,365		—		(419,304)		7,249,061
Total commercial mortgage-backed securities		8,809,538		—		—		8,809,538		—		(441,220)		8,368,318
Non-GSE MBS (c)
CMOs/REMICs		2,748		(205)		(239)		2,304		—		(340)		1,964
Asset-Backed Securities (c)
Manufactured housing (insured)		14,830		—		—		14,830		334		—		15,164
Home equity loans (insured)		28,133		—		(325)		27,808		4,031		(419)		31,420
Home equity loans (uninsured)		7,181		—		(516)		6,665		689		(75)		7,279
Total asset-backed securities		50,144		—		(841)		49,303		5,054		(494)		53,863
Total MBS		9,377,905		(205)		(1,080)		9,376,620		5,411		(449,497)		8,932,534
Other
State and local housing finance agency obligations		180,795		(111)		—		180,684		2		(14,169)		166,517
Total Held-to-maturity securities	$	9,558,700	$	(316)	$	(1,080)	$	9,557,304	$	5,413	$	(463,666)	$	9,099,051

	December 31, 2021
			Allowance		OTTI				Gross		Gross
	Amortized		for Credit		Recognized		Carrying		Unrecognized		Unrecognized		Fair
Issued, guaranteed or insured:	Cost (d)		Loss (ACL)		in AOCI		Value		Holding Gains (a)		Holding Losses (a)		Value
Pools of Mortgages
Fannie Mae	$	33,128	$	—	$	—	$	33,128	$	4,086	$	—	$	37,214
Freddie Mac		5,478		—		—		5,478		712		—		6,190
Total pools of mortgages		38,606		—		—		38,606		4,798		—		43,404
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits
Fannie Mae		300,442		—		—		300,442		2,338		(144)		302,636
Freddie Mac		322,186		—		—		322,186		3,066		(22)		325,230
Ginnie Mae		—		—		—		—		—		—		—
Total CMOs/REMICs		622,628		—		—		622,628		5,404		(166)		627,866
Commercial Mortgage-Backed Securities (b)
Fannie Mae		1,301,041		—		—		1,301,041		22,166		(159)		1,323,048
Freddie Mac		7,117,953		—		—		7,117,953		339,409		(6,461)		7,450,901
Total commercial mortgage-backed securities		8,418,994		—		—		8,418,994		361,575		(6,620)		8,773,949
Non-GSE MBS(c)
CMOs/REMICs		2,978		(226)		(261)		2,491		35		(51)		2,475
Asset-Backed Securities(c)
Manufactured housing (insured)		18,484		—		—		18,484		498		—		18,982
Home equity loans (insured)		32,519		—		(374)		32,145		6,187		—		38,332
Home equity loans (uninsured)		11,382		—		(951)		10,431		1,286		(84)		11,633
Total asset-backed securities		62,385		—		(1,325)		61,060		7,971		(84)		68,947
Total MBS		9,145,591		(226)		(1,586)		9,143,779		379,783		(6,921)		9,516,641
Other
State and local housing finance agency obligations		185,000		(114)		—		184,886		16		(17,269)		167,633
Total Held-to-maturity securities	$	9,330,591	$	(340)	$	(1,586)	$	9,328,665	$	379,799	$	(24,190)	$	9,684,274

(a) Unrecognized gross holding gains and losses represent the difference between fair value and carrying value.

(b) Commercial mortgage-backed securities (CMBS) are Agency issued securities, collateralized by income-producing “multi-family properties”. Eligible property types include standard conventional multifamily apartments, affordable multi-family housing, seniors housing, student housing, military housing, and rural rent housing.

(c) The amounts represent non-agency private-label mortgage- and asset-backed securities.

(d) Amortized cost — For securities that were deemed impaired, amortized cost represents unamortized cost less credit losses, net of credit recoveries (reversals) due to improvements in cash flows.

Schedule of amortized cost and estimated fair value of investments by contractual maturity

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

	September 30, 2022				December 31, 2021
	Amortized		Estimated		Amortized		Estimated
	Cost (a)		Fair Value		Cost (a)		Fair Value
State and local housing finance agency obligations
Due in one year or less	$	585	$	585	$	1,085	$	1,100
Due after one year through five years		1,355		1,353		1,560		1,550
Due after five years through ten years		3,670		3,537		100		100
Due after ten years		175,185		161,042		182,255		164,883
State and local housing finance agency obligations	$	180,795	$	166,517	$	185,000	$	167,633
Mortgage-backed securities
Due in one year or less	$	519,762	$	517,378	$	622,150	$	627,027
Due after one year through five years		4,181,252		4,032,033		3,244,996		3,338,703
Due after five years through ten years		3,948,758		3,679,158		4,411,317		4,670,692
Due after ten years		728,133		703,965		867,128		880,219
Mortgage-backed securities	$	9,377,905	$	8,932,534	$	9,145,591	$	9,516,641
Total Held-to-Maturity Securities	$	9,558,700	$	9,099,051	$	9,330,591	$	9,684,274

(a) Amortized cost is UPB after adjusting for net unamortized discounts of $15.1 million at September 30, 2022 and net unamortized premiums of $45.7 million at December 31, 2021 and before adjustments for allowance for credit losses.

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Advances. (Tables)

9 Months Ended

Sep. 30, 2022

Advances.

Schedule of contractual redemption terms and yields of advances

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

	September 30, 2022							December 31, 2021
			Weighted (a)						Weighted (a)
			Average		Percentage				Average		Percentage
	Amount		Yield		of Total		Amount		Yield		of Total
Overdrawn demand deposit accounts	$	15	—	%	—	%	$	—	—	%	—	%
Due in one year or less		58,871,583	1.89		62.90			39,102,862	0.64		54.91
Due after one year through two years		13,908,804	1.35		14.86			8,417,861	1.52		11.82
Due after two years through three years		5,715,659	1.60		6.11			5,986,412	1.35		8.41
Due after three years through four years		2,314,096	1.54		2.47			3,847,497	1.49		5.40
Due after four years through five years		3,542,863	2.61		3.79			2,366,939	1.41		3.32
Thereafter		9,238,629	2.66		9.87			11,493,595	1.82		16.14
Total par value		93,591,649	1.89	%	100.00	%		71,215,166	1.07	%	100.00	%
Advance discounts		(111)						(160)
Hedge valuation basis adjustments (b)		(1,721,033)						321,396
Total	$	91,870,505					$	71,536,402

(a) The weighted average yield is the weighted average coupon rates for advances, unadjusted for swaps. For floating-rate advances, the weighted average rate is the rate outstanding at the reporting dates.

(b) Hedge valuation basis adjustments under ASC 815 hedges represent changes in the fair values of fixed-rate advances due to changes in designated benchmark interest rates, the remaining terms to maturity or to next call and the notional amounts of advances in a hedging relationship. The FHLBNY’s benchmark rates are LIBOR, Federal Funds-OIS index and SOFR-OIS index.

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Mortgage Loans Held-for-Portfolio. (Tables)

9 Months Ended

Sep. 30, 2022

Mortgage Loans Held-for-Portfolio.

Schedule of information on mortgage loans held-for-portfolio

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

	September 30, 2022				December 31, 2021
	Carrying Amount		Percentage of Total		Carrying Amount		Percentage of Total
Real Estate (a):
Fixed medium-term single-family mortgages	$	115,430	6.07	%	$	138,831	6.52	%
Fixed long-term single-family mortgages		1,786,190	93.93			1,988,968	93.48
Total unpaid principal balance	$	1,901,620	100.00	%	$	2,127,799	100.00	%
Unamortized premiums		27,351				31,351
Unamortized discounts		(735)				(857)
Basis adjustment (b)		1,767				1,966
Total MPF loans amortized cost	$	1,930,003			$	2,160,259
MPF allowance for credit losses		(1,528)				(1,956)
MPF loans held-for-portfolio	$	1,928,475			$	2,158,303
MAP loans held-for-portfolio		207,957				161,561
Total mortgage loans held-for-portfolio at carrying value	$	2,136,432			$	2,319,864

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

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

Rollforward analysis of allowance for credit losses

The following table provides a roll forward analysis of the allowance for credit losses (in thousands):

		Three months ended September 30,				Nine months ended September 30,
		2022	2021			2022	2021
Allowance for credit losses:
Beginning balance	$	1,975	$	4,103	$	2,135	$	7,073
Adjustment for cumulative effect of accounting change		—		—		—		—
Charge-offs		—		—		(31)		(50)
Recoveries		—		—		—		—
Provision (Reversal) for credit losses on mortgage loans		(264)		(1,059)		(393)		(3,979)
Balance, at end of period	$	1,711	$	3,044	$	1,711	$	3,044

Summary of risk elements and credit losses

The following table presents risk elements and credit losses (dollars in thousands):

	September 30, 2022			December 31, 2021
Average loans outstanding during the period (a)	$	2,177,291		$	2,501,735
Mortgage loans held for portfolio (a)		2,104,560			2,284,541
Non-accrual loans (a)		8,498			12,294
Allowance for credit losses on mortgage loans held for portfolio		1,711			2,135
Net charge-offs		31			50
Ratio of net charge-offs to average loans outstanding during the period		0.001	%		0.002	%
Ratio of allowance for credit losses to mortgage loans held for portfolio		0.081	%		0.093	%
Ratio of non-accrual loans to mortgage loans held for portfolio		0.404	%		0.538	%
Ratio of allowance for credit losses to non-accrual loans		20.134	%		17.369	%

(a) Balances represent unpaid principal balance.

Schedule of non-performing mortgage loans

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

	September 30, 2022		December 31, 2021
Total MPF Mortgage loans, carrying values net (a)	$	1,928,475	$	2,158,303
Non-performing MPF mortgage loans - Conventional (a)(b)	$	8,498	$	12,294
Insured MPF loans past due 90 days or more and still accruing interest (a)(b)	$	5,164	$	6,612

(a) Includes loans classified as special mention, sub-standard, doubtful or loss under regulatory criteria, net of amounts charged-off if delinquent for 180 days or more.

(b) Data in this table represents unpaid principal balance and would not agree to data reported in other tables at “amortized cost”.

Summary of impaired loans for which related allowance was individually measured (excluding insured FHA/VA loans)

The following tables present unpaid principal balances with and without related loan loss allowances for conventional loans (excluding insured FHA/VA MPF loans) in the MPF program (in thousands):

							Three months ended		Nine months ended
	September 30, 2022						September 30, 2022		September 30, 2022
	Unpaid						Average
	Principal		Related		Amortized Cost		Amortized Cost
	Balance		Allowance		After Allowance		After Allowance (d)
Conventional Loans - MPF (a)(c)
No related allowance (b)	$	1,120,101	$	—	$	1,135,704	$	1,135,299	$	1,194,172
With a related allowance		641,360		(1,528)		650,245		667,876		668,314
Total measured for impairment	$	1,761,461	$	(1,528)	$	1,785,949	$	1,803,175	$	1,862,486

	December 31, 2021
	Unpaid						Average
	Principal		Related		Amortized Cost		Amortized Cost
	Balance		Allowance		After Allowance		After Allowance (d)
Conventional Loans - MPF (a)(c)
No related allowance (b)	$	1,329,019	$	—	$	1,348,056	$	1,506,305
With a related allowance		640,788		(1,956)		649,531		779,346
Total measured for impairment	$	1,969,807	$	(1,956)	$	1,997,587	$	2,285,651

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

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

(c) Interest received is not recorded as Interest income if an uninsured loan is past due 90 days or more. Cash received is recorded as a liability on the assumption that cash was remitted by the servicer to the FHLBNY that could potentially be recouped by the borrower in a foreclosure.

(d) Represents the average amortized cost after allowance for the three and nine months ended September 30, 2022 and for the twelve months ended December 31, 2021.

Schedule of mortgage loans hold for portfolio by collateral

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

	September 30, 2022		December 31, 2021
Mortgage Loans Held for Portfolio by Collateral/Guarantee Type:
Conventional mortgage loans - MPF	$	1,761,461	$	1,969,807
MPF Government-guaranteed or -insured mortgage loans		140,159		157,992
Total MPF loans - unpaid principal balance	$	1,901,620	$	2,127,799

Summary of credit quality indicator for conventional mortgage loans

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

	September 30, 2022
	Conventional Loans
	Origination Year
	Prior to 2018		2018 to 2022		Total
Payment Status, at Amortized Cost:
Conventional MPF/MAP
Past due 30 - 59 days	$	6,717	$	2,527	$	9,244
Past due 60 - 89 days		1,559		—		1,559
Past due 90 days or more		7,375		1,162		8,537
Total past due mortgage loans		15,651		3,689		19,340
Current MPF mortgage loans		971,711		796,667		1,768,378
Current MAP mortgage loans		—		207,665		207,665
Total conventional mortgage loans	$	987,362	$	1,008,021	$	1,995,383

	December 31, 2021
	Conventional Loans
	Origination Year
	Prior to 2017		2017 to 2021		Total
Payment Status, at Amortized Cost:
Conventional MPF/MAP
Past due 30 - 59 days	$	6,458	$	6,614	$	13,072
Past due 60 - 89 days		1,386		1,100		2,486
Past due 90 days or more		11,066		1,288		12,354
Total past due mortgage loans		18,910		9,002		27,912
Current MPF mortgage loans		964,314		1,007,317		1,971,631
Current MAP mortgage loans		—		161,740		161,740
Total conventional mortgage loans	$	983,224	$	1,178,059	$	2,161,283

Other Delinquency Statistics (dollars in thousands):

	September 30, 2022
	Conventional			MPF Government-Guaranteed
	MPF Loans			or -Insured Loans			Total MPF Loans
Amortized Cost:
In process of foreclosure (a)	$	3,897		$	3,416		$	7,313
Serious delinquency rate (b)		0.50	%		3.84	%		0.75	%
Past due 90 days or more and still accruing interest	$	—		$	5,249		$	5,249
Loans on non-accrual status	$	8,537		$	—		$	8,537
Troubled debt restructurings:
Loans discharged from bankruptcy (c)	$	4,883		$	1,518		$	6,401
Modified loans under MPF program	$	—		$	—		$	—
Real estate owned (d)	$	104		$	—		$	104

	December 31, 2021
	Conventional			MPF Government-Guaranteed
	MPF Loans			or -Insured Loans			Total MPF Loans
Amortized Cost:
In process of foreclosure (a)	$	11,190		$	4,053		$	15,243
Serious delinquency rate (b)		0.95	%		4.26	%		1.19	%
Past due 90 days or more and still accruing interest	$	—		$	6,684		$	6,684
Loans on non-accrual status	$	12,354		$	—		$	12,354
Troubled debt restructurings:
Loans discharged from bankruptcy (c)	$	4,849		$	778		$	5,627
Modified loans under MPF program	$	421		$	—		$	421
Real estate owned (d)	$	357		$	—		$	357

(a) Includes loans where the decision of foreclosure or a similar alternative, such as pursuit of deed-in-lieu, has been reported.

(b) Represents seriously delinquent loans as a percentage of total mortgage loans in MPF program. Seriously delinquent loans are comprised of all loans past due 90 days or more delinquent or loans that are in the process of foreclosure.

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

(d) REO is reported at lower of cost or market value.

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Deposits. (Tables)

9 Months Ended

Sep. 30, 2022

Deposits.

Summary of deposits and interest rate payment terms for deposits

The following table summarizes deposits (in thousands):

	September 30, 2022		December 31, 2021
Interest-bearing deposits
Interest-bearing demand	$	1,102,215	$	1,283,072
Term (a)		—		—
Total interest-bearing deposits		1,102,215		1,283,072
Non-interest-bearing demand		12,474		38,166
Total deposits (b)	$	1,114,689	$	1,321,238

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

(b) Specific disclosures about deposits that exceed FDIC limits have been omitted as deposits are not insured by the FDIC. Deposits are received in the ordinary course of the FHLBNY’s business. The FHLBNY has pledged securities to the FDIC to collateralize deposits maintained at the FHLBNY by the FDIC; for more information, see Securities Pledged in Note 8. Held-to-Maturity Securities.

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

			Average				Average
Deposits	September 30, 2022		Interest Rate (b)		December 31, 2021		Interest Rate (b)
Term deposits	$	—	—	%	$	—	0.17	%
Interest-bearing demand (a)		1,102,215	0.80			1,283,072	0.03
Total interest-bearing deposits	$	1,102,215	0.80	%	$	1,283,072	0.03	%
Non-interest-bearing demand		12,474				38,166
Total deposits	$	1,114,689			$	1,321,238

(a) Primarily adjustable rate.

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

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Consolidated Obligations. (Tables)

9 Months Ended

Sep. 30, 2022

Consolidated Obligations.

Summary of Consolidated obligations issued and outstanding

The following table summarizes carrying amounts of Consolidated obligations outstanding (in thousands):

	September 30, 2022		December 31, 2021
Consolidated obligation bonds-amortized cost	$	74,400,686	$	54,643,748
Hedge valuation basis adjustments		(2,125,652)		77,048
Hedge basis adjustments on de-designated hedges		117,677		125,091
FVO - valuation adjustments and accrued interest		(218,392)		(16,486)
Total Consolidated obligation bonds	$	72,174,319	$	54,829,401
Discount notes-amortized cost	$	49,087,388	$	42,197,683
Hedge value basis adjustments		(57,533)		(424)
Hedge basis adjustments on de-designated hedges		—		—
FVO - valuation adjustments and remaining accretion		—		—
Total Consolidated obligation discount notes	$	49,029,855	$	42,197,259

Summary of Consolidated obligation bonds outstanding by year of maturity

The following table is a summary of carrying amounts of Consolidated obligation bonds outstanding by year of maturity (dollars in thousands):

	September 30, 2022						December 31, 2021
			Weighted						Weighted
			Average		Percentage				Average		Percentage
Maturity	Amount		Rate (a)		of Total		Amount		Rate (a)		of Total
One year or less	$	26,692,465	2.49	%	35.93	%	$	19,254,345	0.59	%	35.32	%
Over one year through two years		15,887,945	2.19		21.39			7,317,160	1.20		13.42
Over two years through three years		8,627,280	1.58		11.61			5,881,385	0.85		10.79
Over three years through four years		10,594,990	1.02		14.26			4,149,215	0.97		7.61
Over four years through five years		5,431,615	2.16		7.31			10,072,905	0.95		18.48
Thereafter		7,055,890	2.80		9.50			7,839,700	2.44		14.38
Total par value		74,290,185	2.12	%	100.00	%		54,514,710	1.06	%	100.00	%
Bond premiums (b)		136,193						152,601
Bond discounts (b)		(25,692)						(23,563)
Hedge valuation basis adjustments (c)		(2,125,652)						77,048
Hedge basis adjustments on de-designated hedges (d)		117,677						125,091
FVO (e) - valuation adjustments and accrued interest		(218,392)						(16,486)
Total Consolidated obligation-bonds	$	72,174,319					$	54,829,401

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

(b) Amortization of CO bond premiums and discounts are recorded in interest expense as yield adjustments.

(c) Hedge valuation basis adjustments under ASC 815 fair value hedges represent changes in the fair values of fixed-rate CO bonds due to changes in the designated benchmark interest rate, remaining terms to maturity or next call, and the notional amounts of CO bonds designated in hedge relationship. Our interest rate benchmarks are LIBOR, the Federal Funds-OIS index and the SOFR-OIS index.

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

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

Summary of types of Consolidated obligation bonds issued and outstanding by Interest Rate Payment Terms

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

	September 30, 2022				December 31, 2021
			Percentage				Percentage
	Amount		of Total		Amount		of Total
Fixed-rate, non-callable	$	30,324,055	40.82	%	$	31,907,580	58.53	%
Fixed-rate, callable		18,241,130	24.55			12,993,130	23.84
Step Up, callable		6,197,000	8.35			4,799,000	8.80
Floating rate, callable		1,265,000	1.70			1,265,000	2.32
Single-index floating rate		18,263,000	24.58			3,550,000	6.51
Total par value	$	74,290,185	100.00	%	$	54,514,710	100.00	%

Schedule of outstanding Consolidated obligation discount notes

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

	September 30, 2022			December 31, 2021
Par value	$	49,333,280		$	42,204,430
Amortized cost	$	49,087,388		$	42,197,683
Hedge value basis adjustments (a)		(57,533)			(424)
Hedge basis adjustments on de-designated hedges (b)		—			—
FVO (c) - valuation adjustments and remaining accretion		—			—
Total discount notes	$	49,029,855		$	42,197,259
Weighted average interest rate		2.39	%		0.06	%

(a) Hedging valuation basis adjustments — The reported carrying values of hedged CO discount notes are adjusted for changes in their fair values (fair value basis adjustments or fair value) that are attributable to changes in the benchmark risk being hedged. Changes in the designated benchmark interest rate, notional amounts of CO discount notes in hedging relationships and remaining terms to maturity are factors that impact hedge valuation adjustments.

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

(c) FVO valuation adjustments — Valuation basis adjustments are recorded to recognize changes in the entire or full fair values including unaccreted discounts on CO discount notes elected under the FVO. Changes in benchmark interest rates, notional amounts of CO discount notes elected under FVO and remaining terms to maturity are factors that impact hedge valuation adjustments. No CO discount notes were elected under the FVO at September 30, 2022 and December 31, 2021.

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Affordable Housing Program. (Tables)

9 Months Ended

Sep. 30, 2022

Affordable Housing Program.

Schedule of Rollforward information with respect to changes in Affordable Housing Program liabilities

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

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Beginning balance	$	131,783	$	152,523	$	137,638	$	148,827
Additions from current period’s assessments		14,425		7,314		29,342		23,645
Net disbursements for grants and programs		(21,599)		(15,034)		(42,371)		(27,669)
Ending balance	$	124,609	$	144,803	$	124,609	$	144,803

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Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. (Tables)

9 Months Ended

Sep. 30, 2022

Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings.

Summary of risk-based capital ratios

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

	September 30, 2022						December 31, 2021
	Required (d)			Actual			Required (d)			Actual
Regulatory capital requirements:
Risk-based capital (a)(e)	$	879,367		$	7,369,955		$	844,115		$	6,433,709
Total capital-to-asset ratio		4.00	%		5.66	%		4.00	%		6.11	%
Total capital (b)	$	5,205,207		$	7,369,955		$	4,214,334		$	6,433,709
Leverage ratio		5.00	%		8.50	%		5.00	%		9.16	%
Leverage capital (c)	$	6,506,509		$	11,054,933		$	5,267,917		$	9,650,563

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

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

(c) The required leverage ratio of total capital to total assets should be at least 5.0%. For the purposes of determining the leverage ratio, total capital shall be computed by multiplying the Bank’s Permanent Capital by 1.5.

(d) Required minimum.

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

Schedule of anticipated redemptions of mandatorily redeemable capital stock

Estimated redemption periods were as follows (in thousands):

	September 30, 2022		December 31, 2021
Redemption less than one year	$	6,225	$	97
Redemption from one year to less than three years		2,386		226
Redemption from three years to less than five years		952		244
Redemption from five years or greater		1,190		1,392
Total	$	10,753	$	1,959

Rollforward information with respect to changes in mandatorily redeemable capital stock liabilities

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

	Three months ended September 30,					Nine months ended September 30,
	2022		2021			2022	2021
Beginning balance	$	8,117	$	2,360	$	1,959	$	2,991
Capital stock subject to mandatory redemption reclassified from equity		3,162		—		261,629		85
Redemption of mandatorily redeemable capital stock (a)		(526)		(190)		(252,835)		(906)
Ending balance	$	10,753	$	2,170	$	10,753	$	2,170
Accrued interest payable (b)	$	152	$	26	$	152	$	26

(a) Redemption includes repayment of excess stock.

(b) The annualized accrual rates was 5.50% for the three months ended September 30, 2022 and 4.60% in the same period in 2021. Accrual rates are based on estimated dividend rates.

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Earnings Per Share of Capital. (Tables)

9 Months Ended

Sep. 30, 2022

Earnings Per Share of Capital.

Schedule of computation of earnings per share

The FHLBNY has no dilutive potential common shares or other common stock equivalents (dollars in thousands except per share amounts):

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Net income	$	129,549	$	65,808	$	262,914	$	212,722
Net income available to stockholders	$	129,549	$	65,808	$	262,914	$	212,722
Weighted average shares of capital		49,795		46,700		47,879		50,525
Less: Mandatorily redeemable capital stock		(110)		(22)		(288)		(25)
Average number of shares of capital used to calculate earnings per share		49,685		46,678		47,591		50,500
Basic earnings per share	$	2.61	$	1.41	$	5.52	$	4.21

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Employee Retirement Plans. (Tables)

9 Months Ended

Sep. 30, 2022

Employee Retirement Plans

Schedule of employee retirement plan expenses

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

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Defined Benefit Plan	$	2,350	$	2,500	$	7,050	$	7,500
Benefit Equalization Plans (defined benefit and defined contribution)		2,318		2,847		5,800		9,113
Defined Contribution Plans		681		700		2,173		2,190
Postretirement Health Benefit Plan		78		76		233		229
Total retirement plan expenses	$	5,427	$	6,123	$	15,256	$	19,032

Benefit Equalization Plan (BEP)

Employee Retirement Plans

Schedule of components of net periodic cost

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

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Service cost	$	619	$	495	$	1,858	$	1,487
Interest cost		644		529		1,933		1,588
Amortization of unrecognized net loss		1,221		1,478		3,662		4,432
Amortization of unrecognized past service cost		52		175		156		523
Net periodic benefit cost - Defined Benefit BEP		2,536		2,677		7,609		8,030
Benefit Equalization plans - Thrift and Deferred incentive compensation plans		(218)		170		(1,809)		1,083
Total	$	2,318	$	2,847	$	5,800	$	9,113

Postretirement Health Benefit Plan

Employee Retirement Plans

Schedule of components of net periodic cost

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

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Service cost (benefits attributed to service during the period)	$	11	$	16	$	34	$	48
Interest cost on accumulated postretirement health benefit obligation		67		60		199		181
Net periodic postretirement health benefit expense/(income)	$	78	$	76	$	233	$	229

XML

Derivatives and Hedging Activities. (Tables)

9 Months Ended

Sep. 30, 2022

Derivatives and Hedging Activities.

Schedule of derivative notionals

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

Derivative Notionals

	Hedging Instruments Under ASC 815
	September 30, 2022		December 31, 2021
Interest rate contracts
Interest rate swaps	$	165,638,057	$	94,190,603
Interest rate caps		800,000		800,000
Mortgage delivery commitments		10,466		8,573
Total interest rate contracts notionals	$	166,448,523	$	94,999,176

Schedule of derivative assets nettable and not nettable

The table below presents the gross and net derivatives receivables by contract type and amount for those derivatives contracts for which netting is permissible under U.S. GAAP as Derivative instruments — nettable. Derivatives receivables have been netted with respect to those receivables as to which the netting requirements have been met, including obtaining a legal analysis with respect to the enforceability of the netting (in thousands):

	September 30, 2022				December 31, 2021
	Derivative		Derivative		Derivative		Derivative
	Assets		Liabilities		Assets		Liabilities
Derivative instruments - nettable
Gross recognized amount
Uncleared derivatives	$	530,688	$	2,062,803	$	203,797	$	719,892
Cleared derivatives		1,237,267		1,198,802		293,323		296,531
Total gross recognized amount		1,767,955		3,261,605		497,120		1,016,423
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives		(399,374)		(2,039,514)		(77,045)		(683,385)
Cleared derivatives		(1,195,877)		(1,195,877)		(122,585)		(296,531)
Total gross amounts of netting adjustments and cash collateral		(1,595,251)		(3,235,391)		(199,630)		(979,916)
Net amounts after offsetting adjustments and cash collateral	$	172,704	$	26,214	$	297,490	$	36,507
Uncleared derivatives	$	131,314	$	23,289	$	126,752	$	36,507
Cleared derivatives		41,390		2,925		170,738		—
Total net amounts after offsetting adjustments and cash collateral	$	172,704	$	26,214	$	297,490	$	36,507
Derivative instruments - not nettable
Uncleared derivatives (a)	$	2	$	245	$	14	$	5
Total derivative assets and total derivative liabilities
Uncleared derivatives	$	131,316	$	23,534	$	126,766	$	36,512
Cleared derivatives		41,390		2,925		170,738		—
Total derivative assets and total derivative liabilities presented in the Statements of Condition (b)	$	172,706	$	26,459	$	297,504	$	36,512
Non-cash collateral received or pledged (c)
Can be sold or repledged
Security pledged as initial margin to Derivative Clearing Organization (d)	$	571,641	$	—	$	367,110	$	—
Cannot be sold or repledged
Uncleared derivatives securities received		(109,300)		—		(115,833)		—
Total net amount of non-cash collateral received or repledged	$	462,341	$	—	$	251,277	$	—
Total net exposure cash and non-cash (e)	$	635,047	$	26,459	$	548,781	$	36,512
Net unsecured amount - Represented by:
Uncleared derivatives	$	22,016	$	23,534	$	10,933	$	36,512
Cleared derivatives		613,031		2,925		537,848		—
Total net exposure cash and non-cash (e)	$	635,047	$	26,459	$	548,781	$	36,512

(a) Not nettable derivative instruments are without legal right of offset, and were synthetic derivatives representing forward mortgage delivery commitments of 45 business days or less. Amounts were not material, and it was operationally not practical to separate receivables from payables; net presentation was adopted. No cash collateral was involved with the mortgage delivery commitments.

(b) Amounts represented Derivative assets and liabilities that were recorded in the Statements of Condition. Derivative cash balances were not netted with non-cash collateral received or pledged, since legal ownership of the non-cash collateral remains with the pledging counterparty (see footnote (c) below).

(c) Non-cash collateral received or pledged – For certain uncleared derivatives, from time to time counterparties have pledged U.S. Treasury securities to the FHLBNY as collateral. Amounts also included non-cash mortgage collateral on derivative positions with member counterparties where we acted as an intermediary. For certain cleared derivatives, we have pledged marketable securities to satisfy initial margin or collateral requirements.

(d) Amounts represented securities pledged to Derivative Clearing Organization (DCO) to fulfill our initial margin obligations on cleared derivatives. Securities pledged may be sold or repledged if the FHLBNY defaults on its obligations under rules established by the CFTC.

(e) Amounts represented net exposure after applying non-cash collateral pledged to and by the FHLBNY. Since legal ownership and control over the securities are not transferred, the net exposure represented in the table above is for information only and is not reported as such in the Statements of Condition.

Note on variation margin — For all cleared derivative contracts that have not matured, “Variation margin” is exchanged between the FHLBNY and the Futures Commission Merchant (FCM), acting as agents on behalf of DCOs. Variation margin is determined by the DCO and fluctuates with the fair values of the open contracts. When the aggregate contract value of open derivatives is “in-the-money” for the FHLBNY (gain position), the FHLBNY would receive variation margin from the DCO. If the value of the open contracts is “out-of-the-money” (liability position), the FHLBNY would post variation margin to the DCO. At September 30, 2022, no net of cash as settlement variation margin was posted to FCMs. At December 31, 2021, the FHLBNY posted $7.8 million in cash as settlement variation margin to FCMs. As noted, variation margin is not considered as collateral, rather as the daily settlement amounts of outstanding derivative contracts.

Schedule of derivative liabilities nettable and not nettable

The table below presents the gross and net derivatives receivables by contract type and amount for those derivatives contracts for which netting is permissible under U.S. GAAP as Derivative instruments — nettable. Derivatives receivables have been netted with respect to those receivables as to which the netting requirements have been met, including obtaining a legal analysis with respect to the enforceability of the netting (in thousands):

	September 30, 2022				December 31, 2021
	Derivative		Derivative		Derivative		Derivative
	Assets		Liabilities		Assets		Liabilities
Derivative instruments - nettable
Gross recognized amount
Uncleared derivatives	$	530,688	$	2,062,803	$	203,797	$	719,892
Cleared derivatives		1,237,267		1,198,802		293,323		296,531
Total gross recognized amount		1,767,955		3,261,605		497,120		1,016,423
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives		(399,374)		(2,039,514)		(77,045)		(683,385)
Cleared derivatives		(1,195,877)		(1,195,877)		(122,585)		(296,531)
Total gross amounts of netting adjustments and cash collateral		(1,595,251)		(3,235,391)		(199,630)		(979,916)
Net amounts after offsetting adjustments and cash collateral	$	172,704	$	26,214	$	297,490	$	36,507
Uncleared derivatives	$	131,314	$	23,289	$	126,752	$	36,507
Cleared derivatives		41,390		2,925		170,738		—
Total net amounts after offsetting adjustments and cash collateral	$	172,704	$	26,214	$	297,490	$	36,507
Derivative instruments - not nettable
Uncleared derivatives (a)	$	2	$	245	$	14	$	5
Total derivative assets and total derivative liabilities
Uncleared derivatives	$	131,316	$	23,534	$	126,766	$	36,512
Cleared derivatives		41,390		2,925		170,738		—
Total derivative assets and total derivative liabilities presented in the Statements of Condition (b)	$	172,706	$	26,459	$	297,504	$	36,512
Non-cash collateral received or pledged (c)
Can be sold or repledged
Security pledged as initial margin to Derivative Clearing Organization (d)	$	571,641	$	—	$	367,110	$	—
Cannot be sold or repledged
Uncleared derivatives securities received		(109,300)		—		(115,833)		—
Total net amount of non-cash collateral received or repledged	$	462,341	$	—	$	251,277	$	—
Total net exposure cash and non-cash (e)	$	635,047	$	26,459	$	548,781	$	36,512
Net unsecured amount - Represented by:
Uncleared derivatives	$	22,016	$	23,534	$	10,933	$	36,512
Cleared derivatives		613,031		2,925		537,848		—
Total net exposure cash and non-cash (e)	$	635,047	$	26,459	$	548,781	$	36,512

(a) Not nettable derivative instruments are without legal right of offset, and were synthetic derivatives representing forward mortgage delivery commitments of 45 business days or less. Amounts were not material, and it was operationally not practical to separate receivables from payables; net presentation was adopted. No cash collateral was involved with the mortgage delivery commitments.

(b) Amounts represented Derivative assets and liabilities that were recorded in the Statements of Condition. Derivative cash balances were not netted with non-cash collateral received or pledged, since legal ownership of the non-cash collateral remains with the pledging counterparty (see footnote (c) below).

(c) Non-cash collateral received or pledged – For certain uncleared derivatives, from time to time counterparties have pledged U.S. Treasury securities to the FHLBNY as collateral. Amounts also included non-cash mortgage collateral on derivative positions with member counterparties where we acted as an intermediary. For certain cleared derivatives, we have pledged marketable securities to satisfy initial margin or collateral requirements.

(d) Amounts represented securities pledged to Derivative Clearing Organization (DCO) to fulfill our initial margin obligations on cleared derivatives. Securities pledged may be sold or repledged if the FHLBNY defaults on its obligations under rules established by the CFTC.

(e) Amounts represented net exposure after applying non-cash collateral pledged to and by the FHLBNY. Since legal ownership and control over the securities are not transferred, the net exposure represented in the table above is for information only and is not reported as such in the Statements of Condition.

Note on variation margin — For all cleared derivative contracts that have not matured, “Variation margin” is exchanged between the FHLBNY and the Futures Commission Merchant (FCM), acting as agents on behalf of DCOs. Variation margin is determined by the DCO and fluctuates with the fair values of the open contracts. When the aggregate contract value of open derivatives is “in-the-money” for the FHLBNY (gain position), the FHLBNY would receive variation margin from the DCO. If the value of the open contracts is “out-of-the-money” (liability position), the FHLBNY would post variation margin to the DCO. At September 30, 2022, no net of cash as settlement variation margin was posted to FCMs. At December 31, 2021, the FHLBNY posted $7.8 million in cash as settlement variation margin to FCMs. As noted, variation margin is not considered as collateral, rather as the daily settlement amounts of outstanding derivative contracts.

Schedule of outstanding notional balances and estimated fair values of derivatives outstanding

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

	September 30, 2022
	Notional Amount		Derivative		Derivative
	of Derivatives		Assets		Liabilities
Fair value of derivative instruments (a)
Derivatives designated as hedging instruments under ASC 815 interest rate swaps	$	121,071,503	$	892,361	$	2,610,339
Total derivatives in hedging relationships under ASC 815		121,071,503		892,361		2,610,339
Derivatives not designated as hedging instruments
Interest rate swaps		44,443,554		873,995		647,484
Interest rate caps		800,000		1,074		—
Mortgage delivery commitments		10,466		2		245
Other (b)		123,000		525		3,782
Total derivatives not designated as hedging instruments		45,377,020		875,596		651,511
Total derivatives before netting and collateral adjustments	$	166,448,523	$	1,767,957	$	3,261,850
Netting adjustments			$	(1,581,731)	$	(1,581,731)
Cash collateral and related accrued interest				(13,520)		(1,653,660)
Total netting adjustments and cash collateral				(1,595,251)		(3,235,391)
Total derivative assets and total derivative liabilities			$	172,706	$	26,459
Security collateral pledged as initial margin to Derivative Clearing Organization (c)			$	571,641
Security collateral received from counterparty (c)				(109,300)
Net security				462,341
Net exposure			$	635,047

	December 31, 2021
	Notional Amount		Derivative		Derivative
	of Derivatives		Assets		Liabilities
Fair value of derivative instruments (a)
Derivatives designated as hedging instruments under ASC 815 interest rate swaps	$	77,159,117	$	469,953	$	990,925
Total derivatives in hedging relationships under ASC 815		77,159,117		469,953		990,925
Derivatives not designated as hedging instruments
Interest rate swaps		16,873,486		23,014		24,627
Interest rate caps		800,000		136		—
Mortgage delivery commitments		8,573		14		5
Other (b)		158,000		4,017		871
Total derivatives not designated as hedging instruments		17,840,059		27,181		25,503
Total derivatives before netting and collateral adjustments	$	94,999,176	$	497,134	$	1,016,428
Netting adjustments			$	(192,330)	$	(192,330)
Cash collateral and related accrued interest				(7,300)		(787,586)
Total netting adjustments and cash collateral				(199,630)		(979,916)
Total derivative assets and total derivative liabilities			$	297,504	$	36,512
Security collateral pledged as initial margin to Derivative Clearing Organization (c)			$	367,110
Security collateral received from counterparty (c)				(115,833)
Net security				251,277
Net exposure			$	548,781

(a) All derivative assets and liabilities with swap dealers and counterparties are executed under collateral agreements; derivative instruments executed bilaterally are subject to legal right of offset under master netting agreements.

(b) The Other category comprised of interest rate swaps intermediated for members, and notional amounts represent purchases by the FHLBNY from dealers and an offsetting purchase from us by the members.

(c) Non-cash security collateral is not permitted to be offset on the balance sheet but would be eligible for offsetting in an event of default. Amounts represent non-cash collateral and or U.S. Treasury securities pledged to and received from counterparties as collateral at September 30, 2022 and December 31, 2021.

Schedule of gains and losses on fair value hedges

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

	Gains (Losses) on Fair Value Hedges
	Recorded in Interest Income/Expense
	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Gains (losses) on derivatives in designated and qualifying fair value hedges:
Interest rate hedges	$	105,794	$	108,070	$	381,058	$	509,861
Gains (losses) on hedged item in designated and qualifying fair value hedges:
Interest rate hedges	$	(96,924)	$	(107,046)	$	(347,090)	$	(504,637)

Schedule of carrying amount of hedged assets and liabilities as well as hedged item's cumulative hedge basis adjustments and unamortized cumulative basis adjustments from discontinued hedges

The tables below present the carrying amount of FHLBNY’s assets and liabilities under active ASC 815 qualifying fair value hedges at September 30, 2022 and December 31, 2021, as well as the hedged item’s cumulative hedge basis adjustments, which were included in the carrying value of assets and liabilities in active hedges. The tables also present unamortized cumulative basis adjustments from discontinued hedges where the previously hedged item remains on the FHLBNY’s Statements of Condition (in thousands):

	September 30, 2022
			Cumulative Fair Value Hedging Adjustment
			Included in the Carrying Amount of Hedged
			Items Gains (Losses)
	Carrying Amount of				Discontinued
	Hedged		Active Hedging		Hedging
	Assets/Liabilities (a)		Relationship		Relationship
Assets:
Hedged advances	$	44,978,980	$	(1,721,263)	$	—
Hedged AFS debt securities (a)		3,430,810		(596,489)		—
De-designated advances (b)		—		—		230
	$	48,409,790	$	(2,317,752)	$	230
Liabilities:
Hedged consolidated obligation bonds	$	37,037,837	$	2,125,652	$	—
Hedged consolidated obligation discount notes		29,393,410		57,533		—
De-designated consolidated obligation bonds (b)		—		—		(117,677)
	$	66,431,247	$	2,183,185	$	(117,677)

	December 31, 2021
			Cumulative Fair Value Hedging Adjustment
			Included in the Carrying Amount of Hedged
			Items Gains (Losses)
	Carrying Amount of				Discontinued
	Hedged		Active Hedging		Hedging
	Assets/Liabilities (a)		Relationship		Relationship
Assets:
Hedged advances	$	37,731,410	$	321,057	$	—
Hedged AFS debt securities (a)		2,892,784		(30,667)		—
De-designated advances (b)		—		—		339
	$	40,624,194	$	290,390	$	339
Liabilities:
Hedged consolidated obligation bonds	$	30,158,015	$	(77,048)	$	—
Hedged consolidated obligation discount notes		3,325,017		424		—
De-designated consolidated obligation bonds (b)		—		—		(125,091)
	$	33,483,032	$	(76,624)	$	(125,091)

(a) Carrying amounts represent amortized cost adjusted for cumulative fair value hedging basis. For AFS securities in a fair value partial-term hedge, changes in the fair values due to changes in the benchmark rate were recorded as an adjustment to amortized cost and an offset to interest income from the hedged AFS securities.

(b) At September 30, 2022, par amounts of de-designated advances were $375.0 million; par amounts of de-designation CO bonds were $1.5 billion; par amounts of de-designated CO discount notes were $8.7 billion. At December 31, 2021, par amounts of de-designated advances were $0.1 billion, and par amount of de-designated CO bonds were $1.4 billion. Cumulative fair value hedging adjustments for active and discontinued hedging relationships will remain on the balance sheet until the items are derecognized.

Schedule of balances and changes in AOCI from cash flow hedges

The following tables present derivative instruments used in cash flow hedge accounting relationships and the gains and losses recorded on such derivatives (in thousands):

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

Three months ended September 30,

2022

2021

Amounts

Amounts

Total

Amounts

Amounts

Total

Reclassified from

Reclassified from

Amounts

Change in

Reclassified from

Reclassified from

Amounts

Change in

AOCI to

AOCI to Other

Recorded

OCI for

AOCI to

AOCI to Other

Recorded

OCI for

Interest Expense (b)

Income (Loss) (c)

in OCI (d)

Period

Interest Expense (b)

Income (Loss) (c)

in OCI (d)

Period

Interest rate contracts (a)

$

(324)

$

—

$

74,247

$

74,571

$

(387)

$

—

$

15,922

$

16,309

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

Nine months ended September 30,

2022

2021

Amounts

Amounts

Total

Amounts

Amounts

Total

Reclassified from

Reclassified from

Amounts

Change in

Reclassified from

Reclassified from

Amounts

Change in

AOCI to

AOCI to Other

Recorded

OCI for

AOCI to

AOCI to Other

Recorded

OCI for

Interest Expense (b)

Income (Loss) (c)

in OCI (d)

Period

Interest Expense (b)

Income (Loss) (c)

in OCI (d)

Period

Interest rate contracts (a)

$

(1,010)

$

—

$

209,182

$

210,192

$

(1,128)

$

—

$

81,250

$

82,378

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

(b) Amounts represent amortization of gains (losses) related to closed cash flow hedges of anticipated issuance of CO bonds that were reclassified during the period to interest expense as a yield adjustment. Losses reclassified represent losses in AOCI that were amortized as an expense to debt interest expense. If debt is held to maturity, losses in AOCI will be relieved through amortization. It is expected that over the next 12 months, $1.0 million of the unrecognized losses in AOCI will be recognized as yield adjustments to debt interest expense.

(c) Under guidance provided by ASU 2017-12, hedge ineffectiveness (as defined under ASC 815) is reclassified only if the original transaction would not occur by the end of the specified time period or within a two-month period thereafter. There were no amounts that were reclassified into earnings due to discontinuation of cash flow hedges. Reclassification would occur if it became probable that the original forecasted transactions would not occur by the end of the originally specified time period or within a two-month period thereafter.

(d) Amounts represent changes in the fair values of open interest rate swap contracts in cash flow hedges of CO debt, primarily those hedging the rolling issuance of CO discount notes.

Schedule of gains (losses) on derivatives in designated economic hedges

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

	Gains (Losses) on Economic Hedges
	Recorded in Other Income (Loss)
	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Gains (losses) on derivatives designated in economic hedges
Interest rate hedges	$	78,232	$	3,397	$	195,698	$	3,197
Caps		489		(34)		937		(9)
Mortgage delivery commitments		(560)		(100)		(1,229)		(316)
Total gains (losses) on derivatives in economic hedges	$	78,161	$	3,263	$	195,406	$	2,872

XML

Fair Values of Financial Instruments. (Tables)

9 Months Ended

Sep. 30, 2022

Fair Values of Financial Instruments.

Schedule of carrying values, estimated fair values and levels within fair value hierarchy of financial instruments

Estimated Fair Values — Summary Tables – Carrying values, the estimated fair values and the levels within the fair value hierarchy were as follows (in thousands):

	September 30, 2022
			Estimated Fair Value
											Netting
	Carrying										Adjustment and
Financial Instruments	Value		Total		Level 1		Level 2		Level 3 (a)		Cash Collateral
Assets
Cash and due from banks	$	21,331	$	21,331	$	21,331	$	—	$	—	$	—
Interest-bearing deposits		825,000		825,003		—		825,003		—		—
Securities purchased under agreements to resell		—		—		—		—		—		—
Federal funds sold		10,400,000		10,400,034		—		10,400,034		—		—
Trading securities		7,831,926		7,831,926		7,831,926		—		—		—
Equity Investments		75,767		75,767		75,767		—		—		—
Available-for-sale securities		6,823,561		6,823,561		—		5,709,633		1,113,928		—
Held-to-maturity securities		9,557,304		9,099,051		—		8,876,707		222,344		—
Advances		91,870,505		91,794,951		—		91,794,951		—		—
Mortgage loans held-for-portfolio, net		2,136,432		1,837,835		—		1,837,835		—		—
Accrued interest receivable		270,063		270,063		—		270,063		—		—
Derivative assets		172,706		172,706		—		1,767,957		—		(1,595,251)
Other financial assets		104		104		—		—		104		—
Liabilities
Deposits		1,114,689		1,114,637		—		1,114,637		—		—
Consolidated obligations
Bonds		72,174,319		71,061,058		—		71,061,058		—		—
Discount notes		49,029,855		49,013,370		—		49,013,370		—		—
Mandatorily redeemable capital stock		10,753		10,753		10,753		—		—		—
Accrued interest payable		251,102		251,102		—		251,102		—		—
Derivative liabilities		26,459		26,459		—		3,261,850		—		(3,235,391)
Other financial liabilities		—		—		—		—		—		—

	December 31, 2021
			Estimated Fair Value
											Netting
	Carrying										Adjustment and
Financial Instruments	Value		Total		Level 1		Level 2		Level 3 (a)		Cash Collateral
Assets
Cash and due from banks	$	21,653	$	21,653	$	21,653	$	—	$	—	$	—
Interest-bearing deposits		675,000		675,003		—		675,003		—		—
Securities purchased under agreements to resell		1,200,000		1,200,000		—		1,200,000		—		—
Federal funds sold		7,230,000		7,230,014		—		7,230,014		—		—
Trading securities		5,821,380		5,821,380		5,821,380		—		—		—
Equity Investments		96,124		96,124		96,124		—		—		—
Available-for-sale securities		6,547,421		6,547,421		—		5,548,784		998,637		—
Held-to-maturity securities		9,328,665		9,684,274		—		9,445,219		239,055		—
Advances		71,536,402		71,595,785		—		71,595,785		—		—
Mortgage loans held-for-portfolio, net		2,319,864		2,369,769		—		2,369,769		—		—
Accrued interest receivable		123,258		123,258		—		123,258		—		—
Derivative assets		297,504		297,504		—		497,134		—		(199,630)
Other financial assets		357		357		—		—		357		—
Liabilities
Deposits		1,321,238		1,321,241		—		1,321,241		—		—
Consolidated obligations
Bonds		54,829,401		55,104,747		—		55,104,747		—		—
Discount notes		42,197,259		42,196,648		—		42,196,648		—		—
Mandatorily redeemable capital stock		1,959		1,959		1,959		—		—		—
Accrued interest payable		126,990		126,990		—		126,990		—		—
Derivative liabilities		36,512		36,512		—		1,016,428		—		(979,916)
Other financial liabilities		30,368		30,368		30,368		—		—		—

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

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

Schedule of fair value of assets and liabilities recorded at fair value on a recurring basis, by level within fair value hierarchy

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

	September 30, 2022
									Netting
									Adjustment and
	Total		Level 1		Level 2		Level 3		Cash Collateral
Assets
Trading securities
U.S. Treasury securities	$	7,831,926	$	7,831,926	$	—	$	—	$	—
Equity Investments		75,767		75,767		—		—		—
Available-for-sale securities
GSE/U.S. agency issued MBS		5,709,633		—		5,709,633		—		—
State and local housing finance agency obligations		1,113,928		—		—		1,113,928		—
Derivative assets (a)
Interest-rate derivatives		172,704		—		1,767,955		—		(1,595,251)
Mortgage delivery commitments		2		—		2		—		—
Total recurring fair value measurement - Assets	$	14,903,960	$	7,907,693	$	7,477,590	$	1,113,928	$	(1,595,251)
Liabilities
Consolidated obligation:
Bonds (to the extent FVO is elected) (b)	$	(3,943,103)	$	—	$	(3,943,103)	$	—	$	—
Derivative liabilities (a)
Interest-rate derivatives		(26,214)		—		(3,261,605)		—		3,235,391
Mortgage delivery commitments		(245)		—		(245)		—		—
Total recurring fair value measurement - Liabilities	$	(3,969,562)	$	—	$	(7,204,953)	$	—	$	3,235,391

	December 31, 2021
									Netting
									Adjustment and
	Total		Level 1		Level 2		Level 3		Cash Collateral
Assets
Trading securities
U.S. Treasury securities	$	5,821,380	$	5,821,380	$	—	$	—	$	—
Equity Investments		96,124		96,124		—		—		—
Available-for-sale securities
GSE/U.S. agency issued MBS		5,548,784		—		5,548,784		—		—
State and local housing finance agency obligations		998,637		—		—		998,637		—
Derivative assets(a)
Interest-rate derivatives		297,490		—		497,120		—		(199,630)
Mortgage delivery commitments		14		—		14		—		—
Total recurring fair value measurement - Assets	$	12,762,429	$	5,917,504	$	6,045,918	$	998,637	$	(199,630)
Liabilities
Consolidated obligation:
Bonds (to the extent FVO is elected) (b)	$	(7,386,074)	$	—	$	(7,386,074)	$	—	$	—
Derivative liabilities (a)
Interest-rate derivatives		(36,507)		—		(1,016,423)		—		979,916
Mortgage delivery commitments		(5)		—		(5)		—		—
Total recurring fair value measurement - Liabilities	$	(7,422,586)	$	—	$	(8,402,502)	$	—	$	979,916

(a) Based on analysis of the nature of the risk, the presentation of derivatives as a single class is appropriate.

(b) Based on analysis of the nature of risks of Consolidated obligation bonds measured at fair value, the FHLBNY has determined that presenting the bonds as a single class is appropriate.

Schedule of roll forward of level 3 available-for-sale securities

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

	State and Local Housing Finance Agency Obligations
	Three Months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Balance, beginning of the period	$	1,112,414	$	—	$	998,637	$	—
Transfer of securities from held-to-maturity to available-for-sale		—		900,719		—		900,719
Provision for credit losses		—		586		—		586
Total gains (losses) included in other comprehensive income
Net unrealized gains (losses)		1,514		(113)		1,096		(113)
Purchases		—		—		308,000		—
Settlements		—		—		(193,805)		—
Balance, end of the period	$	1,113,928	$	901,192	$	1,113,928	$	901,192

Schedule of items measured at fair value on a nonrecurring basis, by level within fair value hierarchy

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

	During the period ended September 30, 2022
	Fair Value		Level 1		Level 2		Level 3
Mortgage loans held-for-portfolio	$	189	$	—	$	189	$	—
Real estate owned		—		—		—		—
Total non-recurring assets at fair value	$	189	$	—	$	189	$	—

	During the period ended December 31, 2021
	Fair Value		Level 1		Level 2		Level 3
Mortgage loans held-for-portfolio	$	657	$	—	$	657	$	—
Real estate owned		315		—		—		315
Total non-recurring assets at fair value	$	972	$	—	$	657	$	315

Schedule of activity, change in fair value and comparison of aggregate fair value and remaining contractual principal balance outstanding related to financial instruments for which fair value option elected

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

	Three months ended September 30,
	2022		2021		2022		2021
	Bonds				Discount Notes
Balance, beginning of the period	$	(3,618,896)	$	(13,347,759)	$	—	$	(1,249,963)
New transactions elected for fair value option		(413,920)		(4,415,000)		—		—
Maturities and terminations		—		6,950,000		—		1,249,392
Net gains (losses) on financial instruments held under fair value option		96,734		282		—		33
Change in accrued interest/unaccreted balance		(7,021)		1,115		—		538
Balance, end of the period	$	(3,943,103)	$	(10,811,362)	$	—	$	—

	Nine months ended September 30,
	2022		2021		2022		2021
	Bonds				Discount Notes
Balance, beginning of the period	$	(7,386,074)	$	(16,580,464)	$	—	$	(7,133,755)
New transactions elected for fair value option		(2,423,935)		(15,760,925)		—		(1,249,391)
Maturities and terminations		5,665,000		21,525,000		—		8,367,602
Net gains (losses) on financial instruments held under fair value option		214,163		2,221		—		2,027
Change in accrued interest/unaccreted balance		(12,257)		2,806		—		13,517
Balance, end of the period	$	(3,943,103)	$	(10,811,362)	$	—	$	—

(a) No discount notes elected under the FVO was outstanding at September 30, 2022.

The following tables present the change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected ^(a) (in thousands):

	Three months ended September 30,
	2022						2021
			Net Gains		Total Change in Fair				Net Gains		Total Change in Fair
			(Losses) Due to		Value Included in				(Losses) Due to		Value Included in
	Interest		Changes in Fair		Current Period		Interest		Changes in Fair		Current Period
	Expense		Value		Earnings		Expense		Value		Earnings
Consolidated obligation bonds	$	(18,740)	$	96,734	$	77,994	$	(2,938)	$	282	$	(2,656)
Consolidated obligation discount notes		—		—		—		(71)		33		(38)
	$	(18,740)	$	96,734	$	77,994	$	(3,009)	$	315	$	(2,694)

	Nine months ended September 30,
	2022						2021
			Net Gains		Total Change in Fair				Net Gains		Total Change in Fair
			(Losses) Due to		Value Included in				(Losses) Due to		Value Included in
	Interest		Changes in Fair		Current Period		Interest		Changes in Fair		Current Period
	Expense		Value		Earnings		Expense		Value		Earnings
Consolidated obligation bonds	$	(34,865)	$	214,163	$	179,298	$	(12,844)	$	2,221	$	(10,623)
Consolidated obligation discount notes		—		—		—		(3,839)		2,027		(1,812)
	$	(34,865)	$	214,163	$	179,298	$	(16,683)	$	4,248	$	(12,435)

(a) No discount notes elected under the FVO was outstanding at September 30, 2022.

The following tables compare the aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected ^(a)(c) (in thousands):

	September 30, 2022
					Fair Value
					Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance
Consolidated obligation bonds (b)	$	4,161,495	$	3,943,103	$	(218,392)

	December 31, 2021
					Fair Value
					Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance
Consolidated obligation bonds (b)	$	7,402,560	$	7,386,074	$	(16,486)

	September 30, 2021
					Fair Value
					Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance
Consolidated obligation bonds (b)	$	10,810,925	$	10,811,362	$	437

(a) Advances – No advances elected under the FVO were outstanding at September 30, 2022, December 31, 2021 and September 30, 2021. From time to time, the FHLBNY has elected the FVO for advances on an instrument by instrument basis with terms that were primarily short-and intermediate-term.

(b) CO bonds – The FHLBNY has elected the FVO on an instrument-by-instrument basis for CO bonds, primarily fixed-rate, intermediate- and short-term debt; management elects the FVO for such CO bonds when management is not able to assert with confidence that the debt would qualify for hedge accounting as such short-term debt may not remain highly effective hedges through the maturity of the bonds. Management may also elect the FVO of certain other CO bonds to achieve asset liability objectives.

(c) Discount notes - No discount notes elected under the FVO were outstanding at September 30, 2022, December 31, 2021 and September 30, 2021. From time to time, discount notes were elected under the FVO because management was not able to assert with confidence that the debt would qualify for hedge accounting as the short-term discount note debt may not remain highly effective hedges through maturity.

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Commitments and Contingencies. (Tables)

9 Months Ended

Sep. 30, 2022

Commitments and Contingencies.

Summary of significant contractual obligations and contingencies

The following table summarizes contractual obligations and contingencies (in thousands):

	September 30, 2022
Contractual Obligations
Consolidated obligation bonds at par (a)	$	74,290,185
Consolidated obligation discount notes at par		49,333,280
Mandatorily redeemable capital stock (a)		10,753
Premises (lease obligations) (b)		87,635
Remote backup site		1,076
Other liabilities (c)		141,148
Total contractual obligations	$	123,864,077
Other commitments
Standby letters of credit (d)	$	15,430,473
Consolidated obligation bonds/discount notes traded not settled		90,000
Commitments to fund additional advances		108,600
Commitments to fund pension		9,400
Open delivery commitments (MAP)		10,466
Total other commitments	$	15,648,939
Total obligations and commitments	$	139,513,016

(a) Callable bonds contain an exercise date or a series of exercise dates that may result in a shorter redemption period. Redemption dates of mandatorily redeemable capital stock are assumed to correspond to maturity dates of member advances. Excess capital stock is redeemed at that time, and hence, these dates better represent the related commitments than the put dates associated with capital stock. While interest payments on CO bonds and discount notes are contractual obligations, they are deemed to be not material and, therefore, amounts were omitted from the table.

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

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

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

Summarized information on our leases

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

	September 30, 2022		December 31, 2021
Operating Leases (a)
Right-of-use assets	$	61,676	$	65,624
Lease Liabilities	$	74,788	$	79,026

	Three months ended September 30,						Nine months ended September 30,
	2022			2021			2022		2021
Operating Lease Expense	$	1,952		$	1,952		$	5,856	$	5,856
Operating cash flows - Cash Paid	$	2,050		$	2,037		$	6,148	$	6,111
	September 30, 2022			December 31, 2021
Weighted Average Discount Rate		3.31	%		3.30	%
Weighted Average Remaining Lease Term		10.36	Years		11.06	Years

Schedule of remaining maturities of leases liabilities

	Remaining maturities through
Operating lease liabilities	September 30, 2022		December 31, 2021
Remainder of 2022	$	2,099	$	8,246
2023		8,615		8,615
2024		8,297		8,297
2025		8,088		8,088
2026		8,142		8,142
Thereafter		53,656		53,656
Total undiscounted lease payments		88,897		95,044
Imputed interest		(14,109)		(16,018)
Total operating lease liabilities	$	74,788	$	79,026

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

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Related Party Transactions. (Tables)

9 Months Ended

Sep. 30, 2022

Related Party Transactions.

Schedule of significant balances and transactions with related parties

Related Party: Outstanding Assets, Liabilities and Capital

	September 30, 2022		December 31, 2021
	Related		Related
Assets
Advances	$	91,870,505	$	71,536,402
Accrued interest receivable		194,824		69,852
Liabilities and capital
Deposits	$	1,114,689	$	1,321,238
Mandatorily redeemable capital stock		10,753		1,959
Accrued interest payable		152		23
Affordable Housing Program (a)		124,609		137,638
Other liabilities (b)		—		30,368
Capital	$	7,182,461	$	6,445,853

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

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

Related Party: Income and Expense Transactions

	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
	Related		Related		Related		Related
Interest income
Advances	$	565,508	$	116,229	$	914,365	$	379,624
Interest-bearing deposits		1		—		2		—
Loans to other FHLBanks		156		—		228		1
Interest expense
Deposits	$	4,538	$	116	$	6,364	$	291
Mandatorily redeemable capital stock		271		25		1,162		87
Service fees and other	$	4,114	$	4,354	$	12,254	$	13,091

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Segment Information and Concentration. (Tables)

9 Months Ended

Sep. 30, 2022

Par Value of Advances | Credit concentration risk

Segment Information and Concentration

Schedule of concentrations

The top ten advance holders and associated interest income for the periods then ended are summarized as follows (dollars in thousands):

	September 30, 2022
					Percentage of
			Par		Total Par Value		Three Months					Nine Months
	City	State	Advances		of Advances		Interest Income		Percentage (a)			Interest Income		Percentage (a)
Citibank, N.A.	New York	NY	$	19,250,000	20.57	%	$	110,114		28.11	%	$	135,749	18.17	%
MetLife, Inc.:
Metropolitan Life Insurance Company	New York	NY		14,395,000	15.38			71,786		18.33			158,470	21.21
Metropolitan Tower Life Insurance Company	New York	NY		1,405,000	1.50			6,321		1.62			12,778	1.71
Subtotal MetLife, Inc.				15,800,000	16.88			78,107		19.95			171,248	22.92
New York Community Bank (b)	Hicksville	NY		12,840,000	13.72			58,363		14.90			161,171	21.57
Equitable Financial Life Insurance Company	New York	NY		7,826,263	8.36			46,828		11.95			82,206	11.00
Teachers Ins. & Annuity Assoc. of America	New York	NY		7,175,400	7.67			42,211		10.78			76,947	10.30
ESL Federal Credit Union	Rochester	NY		2,651,098	2.83			13,763		3.51			21,134	2.83
New York Life Insurance Company	New York	NY		2,405,000	2.57			16,090		4.11			43,654	5.85
Prudential Insurance Company of America	Newark	NJ		2,094,250	2.24			8,595		2.19			18,730	2.51
Valley National Bank	Wayne	NJ		1,573,767	1.68			6,317		1.61			17,019	2.28
Goldman Sachs Bank USA	New York	NY		1,500,000	1.60			11,325		2.89			19,201	2.57
Total			$	73,115,778	78.12	%	$	391,713		100.00	%	$	747,059	100.00	%

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

(b) An officer of this member bank joined the Board of Directors of the FHLBNY as a Member Director on January 1, 2022.

	December 31, 2021
					Percentage of
			Par		Total Par Value		Twelve Months
	City	State	Advances		of Advances		Interest Income		Percentage (a)
MetLife, Inc.:
Metropolitan Life Insurance Company	New York	NY	$	14,745,000	20.70	%	$	156,632		24.03	%
Metropolitan Tower Life Insurance Company	New York	NY		1,005,000	1.41			5,374		0.83
Subtotal MetLife, Inc.				15,750,000	22.11			162,006		24.86
New York Community Bank	Hicksville	NY		15,105,000	21.21			207,738		31.87
Equitable Financial Life Insurance Company	New York	NY		6,642,717	9.33			59,209		9.08
Citibank, N.A.	New York	NY		5,250,000	7.37			71,312		10.94
Investors Bank (b)	Short Hills	NJ		3,075,000	4.32			30,135		4.62
Signature Bank	New York	NY		2,639,245	3.71			28,419		4.36
New York Life Insurance Company	New York	NY		2,455,000	3.45			54,063		8.30
ESL Federal Credit Union	Rochester	NY		2,189,398	3.07			7,890		1.21
Teachers Ins. & Annuity Assoc. of America	New York	NY		2,155,300	3.03			5,973		0.92
Valley National Bank (b)	Wayne	NJ		1,288,000	1.81			25,028		3.84
Total			$	56,549,660	79.41	%	$	651,773		100.00	%

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

(b) At December 31, 2021, an officer of this member bank also served on the Board of Directors of the FHLBNY.

	September 30, 2021
					Percentage of
			Par		Total Par Value		Three Months					Nine Months
	City	State	Advances		of Advances		Interest Income		Percentage (a)			Interest Income		Percentage (a)
MetLife, Inc.:
Metropolitan Life Insurance Company	New York	NY	$	15,245,000	21.80	%	$	40,303		25.42	%	$	118,253		23.48	%
Metropolitan Tower Life Insurance Company	New York	NY		1,005,000	1.44			1,368		0.86			3,820		0.76
Subtotal MetLife, Inc.				16,250,000	23.24			41,671		26.28			122,073		24.24
New York Community Bank	Westbury	NY		13,977,661	19.99			51,921		32.74			156,665		31.11
Equitable Financial Life Insurance Company	New York	NY		6,802,175	9.73			14,091		8.89			46,337		9.20
Citibank, N.A.	New York	NY		5,751,000	8.23			16,296		10.28			61,609		12.23
Investors Bank (b)	Short Hills	NJ		3,075,000	4.40			7,589		4.79			24,378		4.84
New York Life Insurance Company	New York	NY		2,725,000	3.90			13,155		8.30			40,700		8.08
Signature Bank	New York	NY		2,664,245	3.81			6,820		4.30			21,698		4.31
ESL Federal Credit Union	Rochester	NY		1,683,937	2.41			1,865		1.18			5,717		1.14
Valley National Bank (b)	Wayne	NJ		1,388,000	1.98			4,475		2.82			20,851		4.14
Teachers Ins. & Annuity Assoc. of America	New York	NY		1,126,634	1.61			674		0.42			3,552		0.71
Total			$	55,443,652	79.30	%	$	158,557		100.00	%	$	503,580		100.00	%

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

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

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Background, Tax Status. Assessments. (Details) $ in Millions	9 Months Ended
	Sep. 30, 2022 USD ($) Institution
Background, Tax Status. Assessments.
Number of FHLBanks | Institution	11
Minimum amount annually set aside for Affordable Housing Program | $	$ 100
Minimum amount annually set aside for Affordable Housing Program as a percentage of the regulatory defined net income (as a percent)	10.00%

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Cash and Due from Banks. (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Compensating Balances
Amount of compensating balance restricted as to withdrawal	$ 0
Compensating balance	0	$ 0
Restricted cash	0	0
Pass-through Deposit Reserves
Pass-through reserves of member institutions deposited with Federal Reserve Banks	$ 0	$ 30,400

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Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell. (Details) - USD ($) $ in Thousands	3 Months Ended	9 Months Ended	12 Months Ended
	Sep. 30, 2022	Sep. 30, 2022	Dec. 31, 2021
Securities purchased under agreements to resell
Federal funds sold	$ 10,400,000	$ 10,400,000	$ 7,230,000
Interest-bearing deposits	825,000	825,000	675,000
Accrued interest receivable	270,063	270,063	123,258
Securities purchased under agreements to resell balances outstanding			1,200,000
Average transaction balances of securities purchased under agreements to resell	28,300	23,100	600,000
Interest-bearing deposits
Securities purchased under agreements to resell
Allowance for credit losses for accrued interest receivable	0	0	0
Interest-bearing deposits	800,000	800,000	700,000
Allowance for credit losses	0	0	0
Federal funds sold
Securities purchased under agreements to resell
Federal funds sold	10,400,000	10,400,000	7,200,000
Allowance for credit losses for accrued interest receivable	0	0	0
Allowance for credit losses	0	0	0
Securities purchased under agreements to resell
Securities purchased under agreements to resell
Allowance for credit losses for accrued interest receivable	0	0	0
Allowance for credit losses	0	0	0
Adjustments for instrument-specific credit risk	0	0	0
Securities purchased under agreements to resell balances outstanding	$ 0	$ 0	$ 1,200,000

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Trading Securities. (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2022	Dec. 31, 2021
Trading Securities.
Trading securities	$ 7,831,926	$ 5,821,380
Net unrealized fair value gains (losses) included in carrying values of trading securities	(417,200)	(13,800)
Trading securities pledged as collateral	571,641	367,110
Estimated fair value of investments classified as trading securities, by remaining maturity
Due in one year or less	3,876,332	2,516,659
Due after one year through five years	2,260,858	1,491,893
Due after five years through ten years	1,694,736	1,812,828
Total trading securities	$ 7,831,926	$ 5,821,380
Yield on trading securities due in one year or less (as a percent)	1.13%	1.27%
Yield on trading securities due after one year through five years (as a percent)	1.36%	1.32%
Yield on trading securities due after five years through ten years (as a percent)	1.15%	1.32%
U.S. Treasury notes
Trading Securities.
Trading securities	$ 7,831,926	$ 5,821,380
Estimated fair value of investments classified as trading securities, by remaining maturity
Due in one year or less	3,876,332	2,516,659
Due after one year through five years	2,260,858	1,491,893
Due after five years through ten years	1,694,736	1,812,828
Total trading securities	$ 7,831,926	$ 5,821,380

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Equity Investments. (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021	Dec. 31, 2021
Equity Investments
Amortized Cost	$ 77,739		$ 77,739		$ 77,192
Gross Unrealized Gains			11,162		21,757
Gross Unrealized Losses			(13,134)		(2,825)
Fair Value	75,767		75,767		96,124
Gains and losses related to outstanding Equity Investments
Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date	(4,395)	$ (1,545)	(20,904)	$ 3,821
Net gains (losses) recognized during the period on equity investments sold during the period		713	(265)	1,434
Net dividend and other	380	350	965	1,102
Net gains (losses) recognized during the period	(4,015)	$ (482)	(20,204)	$ 6,357
Cash equivalents
Equity Investments
Amortized Cost	3,365		3,365		3,261
Fair Value	3,365		3,365		3,261
Equity funds
Equity Investments
Amortized Cost	41,328		41,328		41,228
Gross Unrealized Gains			11,020		21,342
Gross Unrealized Losses			(7,821)		(2,425)
Fair Value	44,527		44,527		60,145
Fixed income funds
Equity Investments
Amortized Cost	33,046		33,046		32,703
Gross Unrealized Gains			142		415
Gross Unrealized Losses			(5,313)		(400)
Fair Value	$ 27,875		$ 27,875		$ 32,718

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Available-for-Sale Securities. - Amortized Cost to Fair Value by Major Security Types and Other Income Activity from Grantor Trust (Details) - USD ($) $ in Thousands		9 Months Ended		12 Months Ended
		Sep. 30, 2022	Sep. 30, 2021	Dec. 31, 2021
Available-for-Sale Securities
Amortized Cost		$ 7,070,604		$ 6,391,584
Available-for-sale debt securities that were tendered and re-issued from the LIBOR to the SOFR index	[1]		$ 686,340
Gross Unrealized Gains		599,395		211,762
Gross Unrealized Losses		(846,438)		(55,925)
Fair Value		6,823,561		6,547,421
Fair value hedges
Available-for-Sale Securities
Gross Unrealized Gains		596,500		30,700
Floating
Available-for-Sale Securities
Amortized Cost		487,044		580,337
Fair Value		487,742		589,534
Fixed
Available-for-Sale Securities
Amortized Cost		5,470,845		4,812,727
Fair Value		5,221,891		4,959,250
Mortgage-backed securities (MBS)
Available-for-Sale Securities
Amortized Cost		5,957,889		5,393,064
Gross Unrealized Gains		598,156		211,595
Gross Unrealized Losses		(846,412)		(55,875)
Fair Value		5,709,633		5,548,784
Mortgage-backed securities (MBS) | Floating
Available-for-Sale Securities
Amortized Cost		487,044		580,337
Gross Unrealized Gains		1,667		9,197
Gross Unrealized Losses		(969)
Fair Value		487,742		589,534
Mortgage-backed securities (MBS) | Fixed
Available-for-Sale Securities
Amortized Cost		6,067,334		4,843,394
Gross Unrealized Gains				171,731
Gross Unrealized Losses		(845,443)		(55,875)
Fair Value		5,221,891		4,959,250
CMO | Floating
Available-for-Sale Securities
Amortized Cost		482,801		575,441
Gross Unrealized Gains		1,606		8,982
Gross Unrealized Losses		(968)
Fair Value		483,439		584,423
PASS THRU | Floating
Available-for-Sale Securities
Amortized Cost		4,243		4,896
Gross Unrealized Gains		61		215
Gross Unrealized Losses		(1)
Fair Value		4,303		5,111
CMBS | Fixed
Available-for-Sale Securities
Amortized Cost		6,067,334		4,843,394
Gross Unrealized Gains				171,731
Gross Unrealized Losses		(845,443)		(55,875)
Fair Value		5,221,891		4,959,250
State and local housing finance agency obligations.
Available-for-Sale Securities
Amortized Cost		1,112,715		998,520
Gross Unrealized Gains		1,239		167
Gross Unrealized Losses		(26)		(50)
Fair Value		1,113,928		998,637
State and local housing finance agency obligations. | Floating
Available-for-Sale Securities
Amortized Cost		1,112,715		998,520
Fair Value		1,113,928		998,637
Available-for-Sale Securities.
Available-for-Sale Securities
Impaired AFS securities		0		0
Allowance for credit loss		0		0
Before Hedging Adjustments | Mortgage-backed securities (MBS)
Available-for-Sale Securities
Amortized Cost		6,554,378		5,423,731
Gross Unrealized Gains		1,667		180,928
Gross Unrealized Losses		(846,412)		(55,875)
Fair Value		5,709,633		5,548,784
Hedging Basis Adjustment | Mortgage-backed securities (MBS) | Fair value hedges
Available-for-Sale Securities
Amortized Cost		(596,489)		(30,667)
Gross Unrealized Gains		$ 596,489		$ 30,667

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

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Available-for-Sale Securities. - Credit Loss Analysis of AFS Securities (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Estimated Fair Value
Less than 12 months, Estimated Fair Value	$ 4,330,024	$ 1,476,219
12 months or more, Estimated Fair Value	1,214,891	662,398
Total, Estimated Fair Value	5,544,915	2,138,617
Unrealized Losses
Less than 12 months, Unrealized Losses	(521,943)	(23,442)
12 months or more, Unrealized Losses	(324,495)	(32,483)
Total, Unrealized Losses	(846,438)	(55,925)
Available-for-Sale Securities.
Available-for-Sale Securities
Allowance for credit loss	0	0
Mortgage-backed securities (MBS)
Estimated Fair Value
Less than 12 months, Estimated Fair Value	4,328,550	1,476,219
12 months or more, Estimated Fair Value	1,198,017	641,268
Total, Estimated Fair Value	5,526,567	2,117,487
Unrealized Losses
Less than 12 months, Unrealized Losses	(521,942)	(23,442)
12 months or more, Unrealized Losses	(324,470)	(32,433)
Total, Unrealized Losses	(846,412)	(55,875)
Ginnie Mae-CMO
Estimated Fair Value
Less than 12 months, Estimated Fair Value	3,614
Total, Estimated Fair Value	3,614
Unrealized Losses
Less than 12 months, Unrealized Losses	(18)
Total, Unrealized Losses	(18)
MBS-GSE
Estimated Fair Value
Less than 12 months, Estimated Fair Value	4,324,936	1,476,219
12 months or more, Estimated Fair Value	1,198,017	641,268
Total, Estimated Fair Value	5,522,953	2,117,487
Unrealized Losses
Less than 12 months, Unrealized Losses	(521,924)	(23,442)
12 months or more, Unrealized Losses	(324,470)	(32,433)
Total, Unrealized Losses	(846,394)	(55,875)
Fannie Mae-CMO
Estimated Fair Value
Less than 12 months, Estimated Fair Value	254,937
Total, Estimated Fair Value	254,937
Unrealized Losses
Less than 12 months, Unrealized Losses	(791)
Total, Unrealized Losses	(791)
Fannie Mae-CMBS
Estimated Fair Value
Less than 12 months, Estimated Fair Value	435,347
Total, Estimated Fair Value	435,347
Unrealized Losses
Less than 12 months, Unrealized Losses	(28,405)
Total, Unrealized Losses	(28,405)
Freddie Mac-CMO
Estimated Fair Value
Less than 12 months, Estimated Fair Value	45,751
Total, Estimated Fair Value	45,751
Unrealized Losses
Less than 12 months, Unrealized Losses	(159)
Total, Unrealized Losses	(159)
Freddie Mac-CMBS
Estimated Fair Value
Less than 12 months, Estimated Fair Value	3,588,526	1,476,219
12 months or more, Estimated Fair Value	1,198,017	641,268
Total, Estimated Fair Value	4,786,543	2,117,487
Unrealized Losses
Less than 12 months, Unrealized Losses	(492,568)	(23,442)
12 months or more, Unrealized Losses	(324,470)	(32,433)
Total, Unrealized Losses	(817,038)	(55,875)
Fannie Mae-Pass Thru
Estimated Fair Value
Less than 12 months, Estimated Fair Value	375
Total, Estimated Fair Value	375
Unrealized Losses
Less than 12 months, Unrealized Losses	(1)
Total, Unrealized Losses	(1)
State and local housing finance agency obligations.
Estimated Fair Value
Less than 12 months, Estimated Fair Value	1,474
12 months or more, Estimated Fair Value	16,874	21,130
Total, Estimated Fair Value	18,348	21,130
Unrealized Losses
Less than 12 months, Unrealized Losses	(1)
12 months or more, Unrealized Losses	(25)	(50)
Total, Unrealized Losses	$ (26)	$ (50)

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Available-for-Sale Securities. - Redemption Terms (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Amortized Cost
Amortized Cost	$ 7,070,604	$ 6,391,584
Estimated Fair Value
Estimated Fair Value	6,823,561	6,547,421
Net unamortized premiums	28,600	79,900
Mortgage-backed securities (MBS)
Amortized Cost
Due in one year or less	33
Due after one year through five years	1,059,065	875,385
Due after five year through ten years	3,937,025	3,591,533
Due after ten years	961,766	926,146
Amortized Cost	5,957,889	5,393,064
Estimated Fair Value
Due in one year or less	33
Due after one year through five years	999,846	917,150
Due after five year through ten years	3,788,338	3,696,985
Due after ten years	921,416	934,649
Estimated Fair Value	5,709,633	5,548,784
State and local housing finance agency obligations.
Amortized Cost
Due in one year or less	1,475
Due after one year through five years	16,900	21,180
Due after ten years	1,094,340	977,340
Amortized Cost	1,112,715	998,520
Estimated Fair Value
Due in one year or less	1,474
Due after one year through five years	16,875	21,130
Due after ten years	1,095,579	977,507
Estimated Fair Value	$ 1,113,928	$ 998,637

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Available-for-Sale Securities. - Interest Rate Payment Terms (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	$ 7,070,604	$ 6,391,584
Fair Value	6,823,561	6,547,421
Floating
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	487,044	580,337
Fair Value	487,742	589,534
Fixed
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	5,470,845	4,812,727
Fair Value	5,221,891	4,959,250
CMO | Floating
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	482,801	575,441
Fair Value	483,439	584,423
Commercial Mortgage-Backed Securities (CMBS) | Fixed
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	5,470,845	4,812,727
Fair Value	5,221,891	4,959,250
PASS THRU | Floating
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	4,243	4,896
Fair Value	4,303	5,111
Mortgage-backed securities (MBS)
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	5,957,889	5,393,064
Fair Value	5,709,633	5,548,784
Mortgage-backed securities (MBS) | Floating
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	487,044	580,337
Fair Value	487,742	589,534
Mortgage-backed securities (MBS) | Fixed
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	6,067,334	4,843,394
Fair Value	5,221,891	4,959,250
State and local housing finance agency obligations.
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	1,112,715	998,520
Fair Value	1,113,928	998,637
State and local housing finance agency obligations. | Floating
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	1,112,715	998,520
Fair Value	$ 1,113,928	$ 998,637

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Held-to-Maturity Securities. - Amortized Cost to Fair Value by Major Security Types and Securities Pledged (Details) $ in Thousands	Sep. 30, 2022 USD ($)	Dec. 31, 2021 USD ($)
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized Cost	$ 9,558,700	$ 9,330,591
Held-to-maturity securities, allowance for credit losses	(316)	(340)
OTTI Recognized in AOCI	(1,080)	(1,586)
Carrying Value	9,557,304	9,328,665
Gross Unrecognized Holding Gains	5,413	379,799
Gross Unrecognized Holding Losses	(463,666)	(24,190)
Fair Value	9,099,051	9,684,274
Pools of Mortgages
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized Cost	32,244	38,606
Carrying Value	32,244	38,606
Gross Unrecognized Holding Gains	306	4,798
Gross Unrecognized Holding Losses	(34)
Fair Value	32,516	43,404
Asset-Backed Securities
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized Cost	50,144	62,385
OTTI Recognized in AOCI	(841)	(1,325)
Carrying Value	49,303	61,060
Gross Unrecognized Holding Gains	5,054	7,971
Gross Unrecognized Holding Losses	(494)	(84)
Fair Value	53,863	68,947
Mortgage-backed securities (MBS)
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized Cost	9,377,905	9,145,591
Held-to-maturity securities, allowance for credit losses	(205)	(226)
OTTI Recognized in AOCI	(1,080)	(1,586)
Carrying Value	9,376,620	9,143,779
Gross Unrecognized Holding Gains	5,411	379,783
Gross Unrecognized Holding Losses	(449,497)	(6,921)
Fair Value	8,932,534	9,516,641
Amortized cost of pledged MBS in connection with deposits maintained by the FDIC at the Bank	2,200	2,500
State and local housing finance agency obligations
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized Cost	180,795	185,000
Held-to-maturity securities, allowance for credit losses	(111)	(114)
Carrying Value	180,684	184,886
Gross Unrecognized Holding Gains	2	16
Gross Unrecognized Holding Losses	(14,169)	(17,269)
Fair Value	$ 166,517	$ 167,633
Number of investment positions in an unrealized loss position	6	5
Number of investment positions in an unrealized loss position, AFS portfolio	2	2
Unrealized Losses	$ 14,200	$ 17,300
Allowance of credit losses	100	$ 100
Allowance for credit losses for accrued interest receivable	$ 0
Private-label MBS
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Number of investment positions in an unrealized loss position	13	8
Allowance for credit losses	$ 200
Private-label MBS | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized Cost	2,748	$ 2,978
Held-to-maturity securities, allowance for credit losses	(205)	(226)
OTTI Recognized in AOCI	(239)	(261)
Carrying Value	2,304	2,491
Gross Unrecognized Holding Gains		35
Gross Unrecognized Holding Losses	(340)	(51)
Fair Value	$ 1,964	$ 2,475
GSE
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Number of investment positions in an unrealized loss position	200	24
GSE | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized Cost	$ 483,231	$ 622,628
Carrying Value	483,231	622,628
Gross Unrecognized Holding Gains	51	5,404
Gross Unrecognized Holding Losses	(7,409)	(166)
Fair Value	475,873	627,866
GSE | Commercial Mortgage-Backed Securities (CMBS)
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized Cost	8,809,538	8,418,994
Carrying Value	8,809,538	8,418,994
Gross Unrecognized Holding Gains		361,575
Gross Unrecognized Holding Losses	(441,220)	(6,620)
Fair Value	8,368,318	8,773,949
Fannie Mae | Pools of Mortgages
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized Cost	27,537	33,128
Carrying Value	27,537	33,128
Gross Unrecognized Holding Gains	206	4,086
Gross Unrecognized Holding Losses	(34)
Fair Value	27,709	37,214
Fannie Mae | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized Cost	224,242	300,442
Carrying Value	224,242	300,442
Gross Unrecognized Holding Gains		2,338
Gross Unrecognized Holding Losses	(4,588)	(144)
Fair Value	219,654	302,636
Fannie Mae | Commercial Mortgage-Backed Securities (CMBS)
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized Cost	1,141,173	1,301,041
Carrying Value	1,141,173	1,301,041
Gross Unrecognized Holding Gains		22,166
Gross Unrecognized Holding Losses	(21,916)	(159)
Fair Value	1,119,257	1,323,048
Freddie Mac | Pools of Mortgages
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized Cost	4,707	5,478
Carrying Value	4,707	5,478
Gross Unrecognized Holding Gains	100	712
Fair Value	4,807	6,190
Freddie Mac | Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized Cost	258,989	322,186
Carrying Value	258,989	322,186
Gross Unrecognized Holding Gains	51	3,066
Gross Unrecognized Holding Losses	(2,821)	(22)
Fair Value	256,219	325,230
Freddie Mac | Commercial Mortgage-Backed Securities (CMBS)
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized Cost	7,668,365	7,117,953
Carrying Value	7,668,365	7,117,953
Gross Unrecognized Holding Gains		339,409
Gross Unrecognized Holding Losses	(419,304)	(6,461)
Fair Value	7,249,061	7,450,901
Insured | Manufactured housing loans
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized Cost	14,830	18,484
Carrying Value	14,830	18,484
Gross Unrecognized Holding Gains	334	498
Fair Value	15,164	18,982
Insured | Home equity loans
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized Cost	28,133	32,519
OTTI Recognized in AOCI	(325)	(374)
Carrying Value	27,808	32,145
Gross Unrecognized Holding Gains	4,031	6,187
Gross Unrecognized Holding Losses	(419)
Fair Value	31,420	38,332
Uninsured | Home equity loans
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized Cost	7,181	11,382
OTTI Recognized in AOCI	(516)	(951)
Carrying Value	6,665	10,431
Gross Unrecognized Holding Gains	689	1,286
Gross Unrecognized Holding Losses	(75)	(84)
Fair Value	$ 7,279	$ 11,633

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Held-to-Maturity Securities. - Redemption Terms (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Amortized Cost
Amortized Cost	$ 9,558,700	$ 9,330,591
Estimated Fair Value
Fair Value	9,099,051	9,684,274
Net unamortized premiums	(15,100)	45,700
State and local housing finance agency obligations
Amortized Cost
Due in one year or less	585	1,085
Due after one year through five years	1,355	1,560
Due after five years through ten years	3,670	100
Due after ten years	175,185	182,255
Amortized Cost	180,795	185,000
Estimated Fair Value
Due in one year or less	585	1,100
Due after one year through five years	1,353	1,550
Due after five years through ten years	3,537	100
Due after ten years	161,042	164,883
Fair Value	166,517	167,633
Mortgage-backed securities (MBS)
Amortized Cost
Due in one year or less	519,762	622,150
Due after one year through five years	4,181,252	3,244,996
Due after five years through ten years	3,948,758	4,411,317
Due after ten years	728,133	867,128
Amortized Cost	9,377,905	9,145,591
Estimated Fair Value
Due in one year or less	517,378	627,027
Due after one year through five years	4,032,033	3,338,703
Due after five years through ten years	3,679,158	4,670,692
Due after ten years	703,965	880,219
Fair Value	$ 8,932,534	$ 9,516,641

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Advances. - Redemption Terms (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Amount
Overdrawn demand deposit accounts	$ 15
Due in one year or less	58,871,583	$ 39,102,862
Due after one year through two years	13,908,804	8,417,861
Due after two years through three years	5,715,659	5,986,412
Due after three years through four years	2,314,096	3,847,497
Due after four years through five years	3,542,863	2,366,939
Thereafter	9,238,629	11,493,595
Total par value	93,591,649	71,215,166
Advance discounts	(111)	(160)
Hedge valuation basis adjustments (b)	(1,721,033)	321,396
Total	$ 91,870,505	$ 71,536,402
Weighted Average Yield
Due in one year or less (as a percent)	1.89%	0.64%
Due after one year through two years (as a percent)	1.35%	1.52%
Due after two years through three years (as a percent)	1.60%	1.35%
Due after three years through four years (as a percent)	1.54%	1.49%
Due after four years through five years (as a percent)	2.61%	1.41%
Thereafter (as a percent)	2.66%	1.82%
Total par value (as a percent)	1.89%	1.07%
Percentage of Total
Due in one year or less (as a percent)	62.90%	54.91%
Due after one year through two years (as a percent)	14.86%	11.82%
Due after two years through three years (as a percent)	6.11%	8.41%
Due after three years through four years (as a percent)	2.47%	5.40%
Due after four years through five years (as a percent)	3.79%	3.32%
Thereafter (as a percent)	9.87%	16.14%
Total par value (as a percent)	100.00%	100.00%
Accrued interest receivable	$ 270,063	$ 123,258

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Advances. - Credit Risk, Concentration of Advances Outstanding and Security Terms (Details) $ in Thousands	9 Months Ended		12 Months Ended
	Sep. 30, 2022 USD ($) item Institution	Sep. 30, 2021	Dec. 31, 2021 USD ($)
Segment Information and Concentration
Past due advances	$ 0
Advances on non-accrual status	0
Impaired advances	0
Troubled debt restructurings related to advances	$ 0		$ 0
Security Terms
Number of exceptions | item	2
Par Value of Advances | Credit concentration risk | Top ten advance holders
Segment Information and Concentration
Number of borrowing member institutions | Institution	10
Concentration risk percentage	78.12%	79.30%	79.41%
Par Value of Advances | Credit concentration risk | Insurance companies
Segment Information and Concentration
Concentration risk percentage	39.70%		41.40%
Advances to member banks
Segment Information and Concentration
Credit loss allowance	$ 0

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Mortgage Loans Held-for-Portfolio. - Balance Information and Roll-Forward Analysis of Allowance for Credit Losses (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021	Dec. 31, 2021
Mortgage Loans Held-for-Portfolio, Net.
Allowance for credit losses	$ (1,711)		$ (1,711)		$ (2,135)
Mortgage loans held for portfolio, net	$ 2,136,432		$ 2,136,432		2,319,864
First layer of potential credit losses (as a percent)	1.00%		1.00%
First Loss Account	$ 44,200		$ 44,200		44,200
Credit enhancement fees accrued	400	$ 500	$ 1,300	$ 1,700
Percentage of standard credit enhancement, loan funded			1.50%
Liability in respect of member performance account for PFIs	3,200		$ 3,200		2,400
Accrued interest receivable	270,063		270,063		123,258
Allowance for credit losses:
Beginning balance			2,135
Provision (Reversal) for credit losses on mortgage loans	(271)	(1,652)	(417)	(4,609)
Ending balance	$ 1,711		$ 1,711
Minimum
Mortgage Loans Held-for-Portfolio, Net.
Loan-to-value ratio for next layer of protection from the primary mortgage insurance required for loans (as a percent)	80.00%		80.00%
Pools of Mortgages
Mortgage Loans Held-for-Portfolio, Net.
Credit loss allowance	$ 1,700		$ 1,700
Accrued interest receivable	10,100		10,100		11,100
Mortgage loans receivable
Mortgage Loans Held-for-Portfolio, Net.
Allowance for credit losses	(1,711)		(1,711)		(2,135)
Mortgage loans held for portfolio, net	2,136,432		2,136,432		2,319,864
Allowance for credit losses:
Beginning balance			2,135
Ending balance	1,711		1,711
Conventional Loans
Mortgage Loans Held-for-Portfolio, Net.
Allowance for credit losses	(1,711)	(3,044)	(1,711)	(3,044)	(2,135)
Allowance for credit losses:
Beginning balance	1,975	4,103	2,135	7,073
Charge-offs			(31)	(50)
Provision (Reversal) for credit losses on mortgage loans	(264)	(1,059)	(393)	(3,979)
Ending balance	1,711	$ 3,044	1,711	$ 3,044
Conventional Loans | Mortgage loans receivable
Mortgage Loans Held-for-Portfolio, Net.
Total par value	$ 1,901,620		$ 1,901,620		$ 2,127,799
Percentage of Total Par (as a percent)	100.00%		100.00%		100.00%
Unamortized premiums	$ 27,351		$ 27,351		$ 31,351
Unamortized discounts	(735)		(735)		(857)
Basis adjustment	1,767		1,767		1,966
Total MPF loans amortized cost	1,930,003		1,930,003		2,160,259
Allowance for credit losses	(1,528)		(1,528)		(1,956)
Mortgage loans held for portfolio, net	1,928,475		1,928,475		2,158,303
Allowance for credit losses:
Beginning balance			1,956
Ending balance	1,528		1,528
Conventional Loans | Fixed medium-term mortgages | Single-family
Mortgage Loans Held-for-Portfolio, Net.
Total par value	$ 115,430		$ 115,430		$ 138,831
Percentage of Total Par (as a percent)	6.07%		6.07%		6.52%
Conventional Loans | Fixed long-term mortgages | Single-family
Mortgage Loans Held-for-Portfolio, Net.
Total par value	$ 1,786,190		$ 1,786,190		$ 1,988,968
Percentage of Total Par (as a percent)	93.93%		93.93%		93.48%
MAP loans held-for-portfolio
Mortgage Loans Held-for-Portfolio, Net.
Mortgage loans held for portfolio, net	$ 208,000		$ 208,000		$ 161,600
MAP loans held-for-portfolio | Mortgage loans receivable
Mortgage Loans Held-for-Portfolio, Net.
Mortgage loans held for portfolio, net	$ 207,957		$ 207,957		$ 161,561

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Mortgage Loans Held-for-Portfolio. - Risk Elements and Credit Losses (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2022	Dec. 31, 2021
Financing Receivable, Credit Ratio [Line Items]
Non-accrual loans	$ 8,537	$ 12,354
Allowance for credit losses on mortgage loans held for portfolio	1,711	2,135
Mortgage loans receivable
Financing Receivable, Credit Ratio [Line Items]
Average loans outstanding during the period	2,177,291	2,501,735
Mortgage loans held for portfolio	2,104,560	2,284,541
Non-accrual loans	8,498	12,294
Allowance for credit losses on mortgage loans held for portfolio	1,711	2,135
Net charge-offs	$ 31	$ 50
Ratio of net charge-offs to average loans outstanding during the period	0.001%	0.002%
Ratio of allowance for credit losses to mortgage loans held for portfolio	0.081%	0.093%
Ratio of non-accrual loans to mortgage loans held for portfolio	0.404%	0.538%
Ratio of allowance for credit losses to non-accrual loans	20.134%	17.369%

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Mortgage Loans Held-for-Portfolio. - Non-performing Loans and Impaired Loans Individually Measured for Impairment (Details) - USD ($) $ in Thousands	3 Months Ended	9 Months Ended	12 Months Ended
	Sep. 30, 2022	Sep. 30, 2022	Dec. 31, 2021
Mortgage Loans - Non-performing loans
Total Mortgage loans, carrying values net	$ 2,136,432	$ 2,136,432	$ 2,319,864
MAP loans held-for-portfolio
Mortgage Loans - Non-performing loans
Total Mortgage loans, carrying values net	208,000	208,000	161,600
Mortgage loans receivable
Mortgage Loans - Non-performing loans
Total Mortgage loans, carrying values net	2,136,432	$ 2,136,432	$ 2,319,864
Delinquency period		180 days	180 days
Unpaid Principal Balance for Impaired Loans
Total unpaid principal balance for impaired loans	1,901,620	$ 1,901,620	$ 2,127,799
Mortgage loans receivable | Conventional Loans
Mortgage Loans - Non-performing loans
Total Mortgage loans, carrying values net	1,928,475	1,928,475	2,158,303
Unpaid Principal Balance for Impaired Loans
Total unpaid principal balance for impaired loans	1,761,461	1,761,461	1,969,807
Mortgage loans receivable | Conventional Loans | Non-performing
Mortgage Loans - Non-performing loans
Non-performing mortgage loans - Conventional	8,498	8,498	12,294
Mortgage loans receivable | Conventional Loans | Individually measured for impairment
Unpaid Principal Balance for Impaired Loans
Unpaid principal balance with no related allowance	1,120,101	1,120,101	1,329,019
Unpaid principal balance with a related allowance	641,360	641,360	640,788
Total unpaid principal balance for impaired loans	1,761,461	1,761,461	1,969,807
Related Allowance for Impaired Loans
Allowance for loan losses for impaired loans	(1,528)	(1,528)	(1,956)
Amortized cost after allowance for Impaired Loans
Amortized cost after allowance with no related allowance	1,135,704	1,135,704	1,348,056
Amortized cost after allowance with a related allowance	650,245	650,245	649,531
Total amortized cost after allowance for impaired loans	1,785,949	1,785,949	1,997,587
Average amortized cost after allowance for Impaired Loans
Average amortized cost after allowance with no related allowance	1,135,299	1,194,172	1,506,305
Average amortized cost after allowance with a related allowance	667,876	668,314	779,346
Total average amortized cost after allowance for impaired loans	1,803,175	1,862,486	2,285,651
Mortgage loans receivable | MAP loans held-for-portfolio
Mortgage Loans - Non-performing loans
Total Mortgage loans, carrying values net	207,957	207,957	161,561
Mortgage loans receivable | Government-guaranteed or -insured mortgage loans
Unpaid Principal Balance for Impaired Loans
Total unpaid principal balance for impaired loans	140,159	140,159	157,992
Mortgage loans receivable | Insured Loans | Past due 90 days or more
Mortgage Loans - Non-performing loans
Insured MPF loans past due 90 days or more and still accruing interest	$ 5,164	$ 5,164	$ 6,612
Mortgage loans receivable | Uninsured loans | Minimum
Average amortized cost after allowance for Impaired Loans
Period past due for interest received on loan to be recorded as a liability		90 days	90 days

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Mortgage Loans Held-for-Portfolio. - Credit Quality Indicator for Conventional Mortgage Loans (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Conventional Loans
Amortized Costs
Amount due	$ 1,995,383	$ 2,161,283
Conventional Loan Originated Prior To 2018
Amortized Costs
Amount due	987,362
Conventional Loan Originated 2018 To 2022
Amortized Costs
Amount due	1,008,021
Conventional Loan Originated Prior To 2017
Amortized Costs
Amount due		983,224
Conventional Loan Originated 2017 To 2021
Amortized Costs
Amount due		1,178,059
Conventional MPF Mortgage Loans | Past due 30 - 59 days
Amortized Costs
Amount due	9,244	13,072
Conventional MPF Mortgage Loans | Past due 60 - 89 days
Amortized Costs
Amount due	1,559	2,486
Conventional MPF Mortgage Loans | Past due 90 days or more
Amortized Costs
Amount due	8,537	12,354
Conventional MPF Mortgage Loans | Total past due
Amortized Costs
Amount due	19,340	27,912
Conventional MPF Mortgage Loans | Current
Amortized Costs
Amount due	1,768,378	1,971,631
Conventional MPF Mortgage Loans - Origination Year Prior to 2018 | Past due 30 - 59 days
Amortized Costs
Amount due	6,717
Conventional MPF Mortgage Loans - Origination Year Prior to 2018 | Past due 60 - 89 days
Amortized Costs
Amount due	1,559
Conventional MPF Mortgage Loans - Origination Year Prior to 2018 | Past due 90 days or more
Amortized Costs
Amount due	7,375
Conventional MPF Mortgage Loans - Origination Year Prior to 2018 | Total past due
Amortized Costs
Amount due	15,651
Conventional MPF Mortgage Loans - Origination Year Prior to 2018 | Current
Amortized Costs
Amount due	971,711
Conventional MPF Mortgage Loans - Origination Year Prior to 2017 | Past due 30 - 59 days
Amortized Costs
Amount due		6,458
Conventional MPF Mortgage Loans - Origination Year Prior to 2017 | Past due 60 - 89 days
Amortized Costs
Amount due		1,386
Conventional MPF Mortgage Loans - Origination Year Prior to 2017 | Past due 90 days or more
Amortized Costs
Amount due		11,066
Conventional MPF Mortgage Loans - Origination Year Prior to 2017 | Total past due
Amortized Costs
Amount due		18,910
Conventional MPF Mortgage Loans - Origination Year Prior to 2017 | Current
Amortized Costs
Amount due		964,314
Conventional MPF Mortgage Loans - Origination Year 2018 to 2022 | Past due 30 - 59 days
Amortized Costs
Amount due	2,527
Conventional MPF Mortgage Loans - Origination Year 2018 to 2022 | Past due 90 days or more
Amortized Costs
Amount due	1,162
Conventional MPF Mortgage Loans - Origination Year 2018 to 2022 | Total past due
Amortized Costs
Amount due	3,689
Conventional MPF Mortgage Loans - Origination Year 2018 to 2022 | Current
Amortized Costs
Amount due	796,667
Conventional MPF Mortgage Loans - Origination Year 2017 to 2021 | Past due 30 - 59 days
Amortized Costs
Amount due		6,614
Conventional MPF Mortgage Loans - Origination Year 2017 to 2021 | Past due 60 - 89 days
Amortized Costs
Amount due		1,100
Conventional MPF Mortgage Loans - Origination Year 2017 to 2021 | Past due 90 days or more
Amortized Costs
Amount due		1,288
Conventional MPF Mortgage Loans - Origination Year 2017 to 2021 | Total past due
Amortized Costs
Amount due		9,002
Conventional MPF Mortgage Loans - Origination Year 2017 to 2021 | Current
Amortized Costs
Amount due		1,007,317
Conventional MAP Mortgage Loans | Current
Amortized Costs
Amount due	207,665	161,740
Conventional MAP Mortgage Loans - Origination Year 2017 to 2021 | Current
Amortized Costs
Amount due		$ 161,740
Conventional Mortgage Asset Program sloan Originated 2018 to 2022 | Current
Amortized Costs
Amount due	$ 207,665

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Mortgage Loans Held-for-Portfolio. - Recorded Investments in Loans Past Due and Real Estate Owned (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2022	Dec. 31, 2021
Other delinquency statistics:
Loans in process of foreclosure	$ 7,313	$ 15,243
Serious delinquency rate (as a percent)	0.75%	1.19%
Past due 90 days or more and still accruing interest	$ 5,249	$ 6,684
Loans on non-accrual status	8,537	12,354
Real estate owned	$ 104	$ 357
Delinquency period	90 days	90 days
Loans discharged from bankruptcy
Other delinquency statistics:
Troubled debt restructurings	$ 6,401	$ 5,627
Modified Loans under MPF program
Other delinquency statistics:
Troubled debt restructurings		421
Conventional MPF Loans
Other delinquency statistics:
Loans in process of foreclosure	$ 3,897	$ 11,190
Serious delinquency rate (as a percent)	0.50%	0.95%
Loans on non-accrual status	$ 8,537	$ 12,354
Real estate owned	104	357
Conventional MPF Loans | Loans discharged from bankruptcy
Other delinquency statistics:
Troubled debt restructurings	4,883	4,849
Conventional MPF Loans | Modified Loans under MPF program
Other delinquency statistics:
Troubled debt restructurings		421
Insured Loans
Other delinquency statistics:
Loans in process of foreclosure	$ 3,416	$ 4,053
Serious delinquency rate (as a percent)	3.84%	4.26%
Past due 90 days or more and still accruing interest	$ 5,249	$ 6,684
Insured Loans | Loans discharged from bankruptcy
Other delinquency statistics:
Troubled debt restructurings	$ 1,518	$ 778

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Deposits. - Additional Information (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2022	Dec. 31, 2021
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items]
Deposits	$ 1,114,689	$ 1,321,238
Average balances of term deposits		$ 200
Weighted-average interest rates paid on term deposits		0.17%
FHLBNY
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items]
Deposits	1,100,000	$ 1,300,000
Decrease in deposits	$ (206,500)
Decrease in deposits (as a percent)	(15.60%)
Interest-bearing demand and overnight deposits as percentage of deposits	98.90%	97.10%
Average balances of demand and overnight deposits	$ 1,100,000	$ 1,400,000
Weighted-average interest rates paid on demand and overnight deposits	0.80%	0.03%

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Deposits - Summary and Interest rate payment terms. (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2022	Dec. 31, 2021
Interest-bearing deposits
Interest-bearing demand	$ 1,102,215	$ 1,283,072
Term	0
Total interest-bearing deposits	1,102,215	1,283,072
Non-interest-bearing demand	12,474	38,166
Total deposits	$ 1,114,689	$ 1,321,238
Maximum period of term deposits	1 year	1 year
Interest rate for term deposits		0.17%
Interest rate for interest-bearing demand	0.80%	0.03%
Interest rate, all interest-bearing deposits	0.80%	0.03%

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Consolidated Obligations. - Summary of Issued and Outstanding Consolidated Obligations (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Summary of Consolidated obligations issued by the Bank and outstanding
Total Consolidated obligation-bonds	$ 72,174,319	$ 54,829,401
Total discount notes	49,029,855	42,197,259
Consolidated obligation bonds
Summary of Consolidated obligations issued by the Bank and outstanding
Consolidated obligation bonds-amortized cost	74,400,686	54,643,748
Hedge valuation basis adjustments	(2,125,652)	77,048
FVO-valuation adjustments and accrued interest	(218,392)	(16,486)
Total Consolidated obligation-bonds	72,174,319	54,829,401
Hedge basis adjustments on de-designated hedges	117,677	125,091
Consolidated obligation discount notes
Summary of Consolidated obligations issued by the Bank and outstanding
Discount notes-amortized cost	49,087,388	42,197,683
Hedge value basis adjustments	(57,533)	(424)
FVO-valuation adjustments and remaining accretion	0	0
Total discount notes	$ 49,029,855	$ 42,197,259

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Consolidated Obligations. - Redemption Terms of Consolidated Obligation Bonds (Details) - USD ($)	Sep. 30, 2022	Dec. 31, 2021
Amount
Total Consolidated obligation-bonds	$ 72,174,319,000	$ 54,829,401,000
Consolidated obligation bonds
Amount
One year or less	26,692,465,000	19,254,345,000
Over one year through two years	15,887,945,000	7,317,160,000
Over two years through three years	8,627,280,000	5,881,385,000
Over three years through four years	10,594,990,000	4,149,215,000
Over four years through five years	5,431,615,000	10,072,905,000
Thereafter	7,055,890,000	7,839,700,000
Total par value	74,290,185,000	54,514,710,000
Bond premiums	136,193,000	152,601,000
Bond discounts	(25,692,000)	(23,563,000)
Hedge valuation basis adjustments	(2,125,652,000)	77,048,000
Hedge basis adjustments on de-designated hedges	117,677,000	125,091,000
FVO-valuation adjustments and accrued interest	(218,392,000)	(16,486,000)
Total Consolidated obligation-bonds	$ 72,174,319,000	$ 54,829,401,000
Weighted Average Rate
One year or less, Weighted Average Rate (as a percent)	2.49%	0.59%
Over one year through two years, Weighted Average Rate (as a percent)	2.19%	1.20%
Over two years through three years, Weighted Average Rate (as a percent)	1.58%	0.85%
Over three years through four years, Weighted Average Rate (as a percent)	1.02%	0.97%
Over four years through five years, Weighted Average Rate (as a percent)	2.16%	0.95%
Thereafter, Weighted Average Rate (as a percent)	2.80%	2.44%
Total par value, Weighted Average Rate (as a percent)	2.12%	1.06%
Percentage of Total
One year or less, Percentage of Total (as a percent)	35.93%	35.32%
Over one year through two years, Percentage of Total (as a percent)	21.39%	13.42%
Over two years through three years, Percentage of Total (as a percent)	11.61%	10.79%
Over three years through four years, Percentage of Total (as a percent)	14.26%	7.61%
Over four years through five years, Percentage of Total (as a percent)	7.31%	18.48%
Thereafter, Percentage of Total (as a percent)	9.50%	14.38%
Total par value, Percentage of Total (as a percent)	100.00%	100.00%
Debt maturity | Consolidated obligation bonds
Amount
Hedge basis adjustments on de-designated hedges	$ 0	$ 0

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Consolidated Obligations. - Interest Rate Payment Terms of Consolidated Obligation Bonds (Details) - Consolidated obligation bonds - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Interest rate payment terms
Total par value	$ 74,290,185	$ 54,514,710
Total par value, Percentage of Total (as a percent)	100.00%	100.00%
Fixed-rate, non-callable
Interest rate payment terms
Total par value	$ 30,324,055	$ 31,907,580
Total par value, Percentage of Total (as a percent)	40.82%	58.53%
Fixed-rate, callable
Interest rate payment terms
Total par value	$ 18,241,130	$ 12,993,130
Total par value, Percentage of Total (as a percent)	24.55%	23.84%
Step Up, callable
Interest rate payment terms
Total par value	$ 6,197,000	$ 4,799,000
Total par value, Percentage of Total (as a percent)	8.35%	8.80%
Floating rate, callable
Interest rate payment terms
Total par value	$ 1,265,000	$ 1,265,000
Total par value, Percentage of Total (as a percent)	1.70%	2.32%
Single-index floating rate
Interest rate payment terms
Total par value	$ 18,263,000	$ 3,550,000
Total par value, Percentage of Total (as a percent)	24.58%	6.51%

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Consolidated Obligations. - Outstanding Consolidated Obligation Discount Notes (Details) - USD ($)	9 Months Ended
	Sep. 30, 2022	Dec. 31, 2021
Discount Notes
Total discount notes	$ 49,029,855,000	$ 42,197,259,000
Consolidated obligation discount notes
Discount Notes
Par value	49,333,280,000	42,204,430,000
Amortized cost	49,087,388,000	42,197,683,000
Hedge value basis adjustments(a)	(57,533,000)	(424,000)
FVO(c) - valuation adjustments and remaining accretion	0	0
Total discount notes	$ 49,029,855,000	$ 42,197,259,000
Weighted average interest rate (as a percent)	2.39%	0.06%
Consolidated obligation discount notes | Debt maturity
Discount Notes
Hedge basis adjustments on de-designated hedges (b)	$ 0
Consolidated obligation discount notes | Maximum
Discount Notes
Original maturity	1 year

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Affordable Housing Program. - Changes in Liabilities (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022		Sep. 30, 2021
Changes in Affordable Housing Program liabilities
Beginning balance	$ 131,783	$ 152,523	$ 137,638		$ 148,827
Additions from current period's assessments	14,425	7,314	29,342		23,645
Net disbursements for grants and programs	(21,599)	(15,034)	(42,371)	[1]	(27,669)	[1]
Ending balance	$ 124,609	$ 144,803	$ 124,609		$ 144,803

[1] AHP payments equals (beginning accrual - ending accrual) plus AHP assessment for the period; payments represent funds released to the Affordable Housing Program.

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Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. - Capital Stock and Capital Rules (Details) $ / shares in Units, $ in Thousands			9 Months Ended
	Aug. 01, 2022 USD ($)	Jul. 31, 2022 USD ($)	Sep. 30, 2022 USD ($) item $ / shares	Dec. 31, 2021 USD ($) $ / shares
Details of capital stock
Stated par value of capital stock (in dollars per share) | $ / shares			$ 100	$ 100
Capital stock			$ 5,330,611	$ 4,500,785
Capital requirements that the Company is subject to | item			3
Required capital-to-asset ratio (as a percent)			4.00%	4.00%
Minimum leverage ratio (as a percent)			5.00%	5.00%
Weighting factor applicable to the permanent capital used in determining compliance with minimum leverage ratio			1.5
Weighting factor applicable to the non-permanent capital used in determining compliance with minimum leverage ratio			1.0
Capital Stock Class B
Details of capital stock
Sub-classes of class of capital stock | item			2
Notice period required for stock redemption			5 years
Capital stock			$ 5,300,000	$ 4,500,000
Capital Stock Class B | Maximum
Details of capital stock
Amount of membership capital stock purchase per member	$ 50,000
Common Class B Membership Capital Stock
Details of capital stock
Capital stock purchase requirement for membership as a percentage of members' Mortgage-related assets			0.125%
Membership stock repurchased by the bank	$ 166,000
Common Class B Membership Capital Stock | Maximum
Details of capital stock
Amount of membership capital stock purchase per member		$ 100,000	$ 100,000
Common Class B Activity Based Capital Stock
Details of capital stock
Capital stock purchase requirement for membership as a percentage of member's borrowed amount for advances and mortgage loans.			4.50%
Capital stock purchase requirement for membership as a percentage of member's borrowed amount on letters of credit			0.125%

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Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. - Risk-based Capital (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings.
Risk-based capital, Required	$ 879,367	$ 844,115
Risk-based capital, Actual	$ 7,369,955	$ 6,433,709
Total capital-to-asset ratio, Required (as a percent)	4.00%	4.00%
Total capital-to-asset ratio, Actual (as a percent)	5.66%	6.11%
Total capital, Required	$ 5,205,207	$ 4,214,334
Total capital, Actual	$ 7,369,955	$ 6,433,709
Leverage ratio, Required (as a percent)	5.00%	5.00%
Leverage ratio, Actual (as a percent)	8.50%	9.16%
Leverage capital, Required	$ 6,506,509	$ 5,267,917
Leverage capital, Actual	$ 11,054,933	$ 9,650,563
Multiplier applied to actual "Risk-based capital" to derive actual "Leverage capital"	1.5	1.5

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Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. - Anticipated Redemptions of Mandatorily Redeemable Capital Stock (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Jun. 30, 2022	Dec. 31, 2021	Sep. 30, 2021	Jun. 30, 2021	Dec. 31, 2020
Anticipated redemption of mandatorily redeemable capital stock
Redemption less than one year	$ 6,225		$ 97
Redemption from one year to less than three years	2,386		226
Redemption from three years to less than five years	952		244
Redemption from five years or greater	1,190		1,392
Total	$ 10,753	$ 8,117	$ 1,959	$ 2,170	$ 2,360	$ 2,991

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Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. - Changes in Mandatorily Redeemable Capital Stock Liabilities and Restricted Retained Earnings (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021	Dec. 31, 2021
Changes in mandatorily redeemable capital stock liabilities during the period
Beginning balance	$ 8,117	$ 2,360	$ 1,959	$ 2,991
Capital stock subject to mandatory redemption reclassified from equity	3,162		261,629	85
Redemption of mandatorily redeemable capital stock	(526)	(190)	(252,835)	(906)
Ending balance	10,753	2,170	10,753	2,170
Accrued interest payable	$ 152	$ 26	$ 152	$ 26
Annualized accrual rates for the period (as a percent)	5.50%	4.60%
Restricted Retained Earnings
Percentage of net income each FHLBank is required to contribute to a restricted retained earnings account until the balance of that account equals at least one percent of average balance of outstanding consolidated obligations			20.00%
Minimum percentage of FHLBank's average balance of outstanding consolidated obligations for restricted retained earnings			1.00%
Restricted retained earnings	$ 879,963		$ 879,963		$ 827,380

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Earnings Per Share of Capital. (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Earnings Per Share of Capital.
Number of dilutive potential common shares or other common stock equivalents	0	0	0	0
Net Income	$ 129,549	$ 65,808	$ 262,914	$ 212,722
Net income available to stockholders	$ 129,549	$ 65,808	$ 262,914	$ 212,722
Weighted average shares of capital (in shares)	49,795,000	46,700,000	47,879,000	50,525,000
Less: Mandatorily redeemable capital stock (in shares)	(110,000)	(22,000)	(288,000)	(25,000)
Average number of shares of capital used to calculate earnings per share (in shares)	49,685,000	46,678,000	47,591,000	50,500,000
Basic earnings per share (in dollars per share)	$ 2.61	$ 1.41	$ 5.52	$ 4.21

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Employee Retirement Plans. - Plan Information and Expenses Summary (Details) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022 USD ($)	Sep. 30, 2021 USD ($)	Sep. 30, 2022 USD ($) plan	Sep. 30, 2021 USD ($)
Employee retirement plan expenses
Total retirement plan expenses	$ 5,427	$ 6,123	$ 15,256	$ 19,032
Benefit Equalization Plans (BEP)
Employee retirement plans
Number of plans | plan			2
Pentegra Defined Benefit Plan
Employee retirement plan expenses
Total retirement plan expenses	2,350	2,500	$ 7,050	7,500
Benefit Equalization Plans (defined benefit and defined contribution (including deferred incentive compensation))
Employee retirement plan expenses
Total retirement plan expenses	2,318	2,847	5,800	9,113
Pentegra Defined Contribution Plans
Employee retirement plan expenses
Total retirement plan expenses	681	700	2,173	2,190
Postretirement Health Benefit Plan
Employee retirement plan expenses
Total retirement plan expenses	$ 78	$ 76	$ 233	$ 229

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Employee Retirement Plans. - Benefit Equalization Plan (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Components of the net periodic pension cost
Total retirement plan expenses	$ 5,427	$ 6,123	$ 15,256	$ 19,032
Benefit Equalization plans - Thrift and Deferred incentive compensation plans
Components of the net periodic pension cost
Total retirement plan expenses	(218)	170	(1,809)	1,083
Benefit Equalization Plan (BEP) | Defined Benefit BEP
Components of the net periodic pension cost
Service cost	619	495	1,858	1,487
Interest cost	644	529	1,933	1,588
Amortization of unrecognized net loss	1,221	1,478	3,662	4,432
Amortization of unrecognized past service cost	52	175	156	523
Total retirement plan expenses	2,536	2,677	7,609	8,030
Benefit Equalization Plans (defined benefit and defined contribution (including deferred incentive compensation))
Components of the net periodic pension cost
Total retirement plan expenses	$ 2,318	$ 2,847	$ 5,800	$ 9,113

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Employee Retirement Plans. - Postretirement Health Benefit Plan Amendment, Discount Rate and Effect of Increase or Decrease in Health Care Cost Trend Rates (Details) - Postretirement Health Benefit Plan	Jan. 01, 2015
Postretirement Health Benefit Plan, eligibility requirements
Threshold term of service to be eligible under plan	10 years
Threshold age to be eligible under plan	55 years

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Employee Retirement Plans. - Postretirement Health Benefit Plan (Details) - Postretirement Health Benefit Plan - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Components of the net periodic pension cost
Service cost (benefits attributed to service during the period)	$ 11	$ 16	$ 34	$ 48
Interest cost on accumulated postretirement health benefit obligation	67	60	199	181
Net periodic postretirement health benefit expense/(income)	$ 78	$ 76	$ 233	$ 229

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Derivatives and Hedging Activities. - Derivative Notionals (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Hedging activities
Notional Amount of Derivatives	$ 166,448,523	$ 94,999,176
Interest rate swaps
Hedging activities
Notional Amount of Derivatives	165,638,057	94,190,603
Interest rate caps
Hedging activities
Notional Amount of Derivatives	800,000	800,000
Mortgage delivery commitments
Hedging activities
Notional Amount of Derivatives	10,466	8,573
Interest rate contracts
Hedging activities
Notional Amount of Derivatives	$ 166,448,523	$ 94,999,176

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Derivatives and Hedging Activities. - Nettable Gross and Net and Not Nettable Assets and Liabilities by Contract Type and Amount (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2022	Dec. 31, 2021
Derivative instruments - Nettable
Derivative fair values	$ 1,767,955	$ 497,120
Gross amounts of netting adjustments and cash collateral	(1,595,251)	(199,630)
Net amounts after offsetting adjustments and cash collateral	172,704	297,490
Derivative assets
Total derivative assets after cash collateral presented in the Statements of Condition	172,706	297,504
Non-cash collateral received or pledged
Security pledged as initial margin to Derivative Clearing Organization	571,641	367,110
Uncleared derivatives securities received	(109,300)	(115,833)
Total net amount of non-cash collateral received or pledged	462,341	251,277
Net unsecured amount
Total net exposure cash and non-cash	635,047	548,781
Derivative instruments - Nettable
Derivative fair values	3,261,605	1,016,423
Gross amount of netting adjustments and cash collateral	(3,235,391)	(979,916)
Net amounts after offsetting adjustments and cash collateral	26,214	36,507
Derivative liabilities
Total derivative liabilities after cash collateral presented in the Statements of Condition	26,459	36,512
Net unsecured amount
Total net exposure cash and non-cash	26,459	36,512
Cash collateral received	13,520	7,300
Cash collateral posted	1,653,660	787,586
Cash paid (posted) as variation margin	0	7,800
Mortgage delivery commitments
Net unsecured amount
Cash collateral received	0	0
Cash collateral posted	$ 0	0
Mortgage delivery commitments | Maximum
Net unsecured amount
Period of forward mortgage delivery commitments	45 days
Uncleared derivatives
Derivative instruments - Nettable
Derivative fair values	$ 530,688	203,797
Gross amounts of netting adjustments and cash collateral	(399,374)	(77,045)
Net amounts after offsetting adjustments and cash collateral	131,314	126,752
Derivative instruments - Not Nettable
Derivative instruments - Not Nettable	2	14
Derivative assets
Total derivative assets after cash collateral presented in the Statements of Condition	131,316	126,766
Net unsecured amount
Total net exposure cash and non-cash	22,016	10,933
Derivative instruments - Nettable
Derivative fair values	2,062,803	719,892
Gross amount of netting adjustments and cash collateral	(2,039,514)	(683,385)
Net amounts after offsetting adjustments and cash collateral	23,289	36,507
Derivative instruments - Not Nettable
Derivative instruments - Not Nettable	245	5
Derivative liabilities
Total derivative liabilities after cash collateral presented in the Statements of Condition	23,534	36,512
Net unsecured amount
Total net exposure cash and non-cash	23,534	36,512
Uncleared - cannot be sold or repledged
Non-cash collateral received or pledged
Uncleared derivatives securities received	(109,300)	(115,833)
Intermediation / Cleared
Derivative instruments - Nettable
Derivative fair values	1,237,267	293,323
Gross amounts of netting adjustments and cash collateral	(1,195,877)	(122,585)
Net amounts after offsetting adjustments and cash collateral	41,390	170,738
Derivative assets
Total derivative assets after cash collateral presented in the Statements of Condition	41,390	170,738
Net unsecured amount
Total net exposure cash and non-cash	613,031	537,848
Derivative instruments - Nettable
Derivative fair values	1,198,802	296,531
Gross amount of netting adjustments and cash collateral	(1,195,877)	(296,531)
Net amounts after offsetting adjustments and cash collateral	2,925
Derivative liabilities
Total derivative liabilities after cash collateral presented in the Statements of Condition	2,925
Net unsecured amount
Total net exposure cash and non-cash	2,925
Cleared - can be sold or repledged
Non-cash collateral received or pledged
Security pledged as initial margin to Derivative Clearing Organization	$ 571,641	$ 367,110

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Derivatives and Hedging Activities. - Outstanding Notional Balances and Estimated Fair Values of Derivatives Outstanding (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Summary of outstanding notional balances and estimated fair values of derivatives outstanding
Notional Amount of Derivatives	$ 166,448,523	$ 94,999,176
Derivative Assets
Total derivatives before netting and collateral adjustment	1,767,957	497,134
Netting adjustments	(1,581,731)	(192,330)
Cash collateral and related accrued interest	(13,520)	(7,300)
Total netting adjustments and cash collateral	(1,595,251)	(199,630)
Total derivative assets after cash collateral presented in the Statements of Condition	172,706	297,504
Security collateral pledged as initial margin to Derivative Clearing Organization	571,641	367,110
Security collateral received from counterparty	(109,300)	(115,833)
Net security	462,341	251,277
Net exposure	635,047	548,781
Derivative Liabilities
Total derivatives before netting and collateral adjustment	3,261,850	1,016,428
Netting adjustments	(1,581,731)	(192,330)
Cash Collateral and related accrued interest	(1,653,660)	(787,586)
Total netting adjustments and cash collateral	(3,235,391)	(979,916)
Total derivative liabilities after cash collateral presented in the Statements of Condition	26,459	36,512
Interest rate swaps
Summary of outstanding notional balances and estimated fair values of derivatives outstanding
Notional Amount of Derivatives	165,638,057	94,190,603
Interest rate caps
Summary of outstanding notional balances and estimated fair values of derivatives outstanding
Notional Amount of Derivatives	800,000	800,000
Mortgage delivery commitments
Summary of outstanding notional balances and estimated fair values of derivatives outstanding
Notional Amount of Derivatives	10,466	8,573
Derivative Assets
Cash collateral and related accrued interest	0	0
Derivative Liabilities
Cash Collateral and related accrued interest	0	0
Derivatives designated as hedging instruments under ASC 815
Summary of outstanding notional balances and estimated fair values of derivatives outstanding
Notional Amount of Derivatives	121,071,503	77,159,117
Derivative Assets
Total derivatives before netting and collateral adjustment	892,361	469,953
Derivative Liabilities
Total derivatives before netting and collateral adjustment	2,610,339	990,925
Derivatives designated as hedging instruments under ASC 815 | Interest rate swaps
Summary of outstanding notional balances and estimated fair values of derivatives outstanding
Notional Amount of Derivatives	121,071,503	77,159,117
Derivative Assets
Total derivatives before netting and collateral adjustment	892,361	469,953
Derivative Liabilities
Total derivatives before netting and collateral adjustment	2,610,339	990,925
Derivatives not designated as hedging instruments.
Summary of outstanding notional balances and estimated fair values of derivatives outstanding
Notional Amount of Derivatives	45,377,020	17,840,059
Derivative Assets
Total derivatives before netting and collateral adjustment	875,596	27,181
Derivative Liabilities
Total derivatives before netting and collateral adjustment	651,511	25,503
Derivatives not designated as hedging instruments. | Interest rate swaps
Summary of outstanding notional balances and estimated fair values of derivatives outstanding
Notional Amount of Derivatives	44,443,554	16,873,486
Derivative Assets
Total derivatives before netting and collateral adjustment	873,995	23,014
Derivative Liabilities
Total derivatives before netting and collateral adjustment	647,484	24,627
Derivatives not designated as hedging instruments. | Interest rate caps
Summary of outstanding notional balances and estimated fair values of derivatives outstanding
Notional Amount of Derivatives	800,000	800,000
Derivative Assets
Total derivatives before netting and collateral adjustment	1,074	136
Derivatives not designated as hedging instruments. | Mortgage delivery commitments
Summary of outstanding notional balances and estimated fair values of derivatives outstanding
Notional Amount of Derivatives	10,466	8,573
Derivative Assets
Total derivatives before netting and collateral adjustment	2	14
Derivative Liabilities
Total derivatives before netting and collateral adjustment	245	5
Derivatives not designated as hedging instruments. | Member Swaps Intermediation
Summary of outstanding notional balances and estimated fair values of derivatives outstanding
Notional Amount of Derivatives	123,000	158,000
Derivative Assets
Total derivatives before netting and collateral adjustment	525	4,017
Derivative Liabilities
Total derivatives before netting and collateral adjustment	$ 3,782	$ 871

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Derivatives and Hedging Activities. - Summary of the gains (losses) on the FHLBNY's fair value hedges (Details) - Interest rate contracts - Fair value hedges - Interest Income - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Gains and losses from derivatives and hedging activities
Gains (losses) on derivatives in designated and qualifying fair value hedges:	$ 105,794	$ 108,070	$ 381,058	$ 509,861
Gains (losses) on hedged item in designated and qualifying fair value hedges:	$ (96,924)	$ (107,046)	$ (347,090)	$ (504,637)

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Derivatives and Hedging Activities. - Cumulative hedge basis adjustments (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Hedged Assets
Carrying Amount of Hedged Assets	$ 48,409,790	$ 40,624,194
Hedged Assets | Active Hedging Relationship
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Assets	(2,317,752)	290,390
Hedged Assets | Discontinued Hedging Relationship
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Assets	230	339
Hedged Advances
Carrying Amount of Hedged Assets	44,978,980	37,731,410
Hedged Advances | Active Hedging Relationship
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Assets	(1,721,263)	321,057
Hedged Advances | Discontinued Hedging Relationship
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Assets	230	339
Par amounts of de-designated advances	375,000	100,000
Hedged AFS debt securities
Carrying Amount of Hedged Assets	3,430,810	2,892,784
Hedged AFS debt securities | Active Hedging Relationship
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Assets	(596,489)	(30,667)
Hedged Liabilities
Carrying Amount of Hedged Liabilities	66,431,247	33,483,032
Hedged Liabilities | Active Hedging Relationship
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Liabilities	2,183,185	(76,624)
Hedged Liabilities | Discontinued Hedging Relationship
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Liabilities	(117,677)	(125,091)
Hedged Consolidated obligation bonds
Carrying Amount of Hedged Liabilities	37,037,837	30,158,015
Hedged Consolidated obligation bonds | Active Hedging Relationship
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Liabilities	2,125,652	(77,048)
Hedged Consolidated obligation bonds | Discontinued Hedging Relationship
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Liabilities	(117,677)	(125,091)
Par amounts of de-designated bonds	1,500,000	1,400,000
Hedged consolidated obligation discount notes
Carrying Amount of Hedged Liabilities	29,393,410	3,325,017
Hedged consolidated obligation discount notes | Active Hedging Relationship
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Liabilities	57,533	$ 424
Hedged consolidated obligation discount notes | Discontinued Hedging Relationship
Par amounts of de-designated CO discount notes	$ 8,700,000

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Derivatives and Hedging Activities. - Changes in AOCI from cash flow hedges (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Derivative instruments
Unrecognized losses in AOCI to be recognized over the next 12 months as a yield adjustment (expenses) to consolidated debt interest expense			$ (1,000)
Cash flow hedges | Interest rate contracts
Amount of gains (losses) reclassified from AOCI to earnings:
Amounts Recorded in OCI	$ 74,247	$ 15,922	209,182	$ 81,250
Total Change in OCI for Period	74,571	16,309	210,192	82,378
Cash flow hedges | Interest rate contracts | Interest Expense
Amount of gains (losses) reclassified from AOCI to earnings:
Amount Reclassified from AOCI to Earnings	$ (324)	$ (387)	(1,010)	(1,128)
Cash Flow Hedges
Interest rate cash flow hedges
Amounts reclassified into earnings due to discontinuation of cash flow hedges			$ 0	$ 0

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Derivatives and Hedging Activities. - Economic Hedges (Details) - Other Income (Loss) - Derivatives not designated as hedging instruments. - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Gains and losses from derivatives and hedging activities
Total gains (losses) on derivatives in designated economic hedges	$ 78,161	$ 3,263	$ 195,406	$ 2,872
Interest rate contracts
Gains and losses from derivatives and hedging activities
Total gains (losses) on derivatives in designated economic hedges	78,232	3,397	195,698	3,197
Interest rate caps
Gains and losses from derivatives and hedging activities
Total gains (losses) on derivatives in designated economic hedges	489	(34)	937	(9)
Mortgage delivery commitments
Gains and losses from derivatives and hedging activities
Total gains (losses) on derivatives in designated economic hedges	$ (560)	$ (100)	$ (1,229)	$ (316)

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Fair Values of Financial Instruments. - Carrying Values, Estimated Fair Values and Levels within Fair Value Hierarchy (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Jun. 30, 2022	Dec. 31, 2021	Sep. 30, 2021	Jun. 30, 2021	Dec. 31, 2020
Assets
Cash and due from banks	$ 21,331		$ 21,653
Interest-bearing deposits	825,000		675,000
Securities purchased under agreements to resell			1,200,000
Federal funds sold	10,400,000		7,230,000
Trading securities	7,831,926		5,821,380
Equity Investments	75,767		96,124
Available-for-sale securities	6,823,561		6,547,421
Held-to-maturity securities	9,099,051		9,684,274
Advances	91,870,505		71,536,402
Accrued interest receivable	270,063		123,258
Derivative assets	172,706		297,504
Derivative assets, before netting and cash collateral	1,767,957		497,134
Netting Adjustment and Cash Collateral	(1,595,251)		(199,630)
Liabilities
Consolidated obligations - Bonds	72,174,319		54,829,401
Consolidated obligations - Discount notes	49,029,855		42,197,259
Mandatorily redeemable capital stock	10,753	$ 8,117	1,959	$ 2,170	$ 2,360	$ 2,991
Accrued interest payable	251,102		126,990
Derivative liabilities	26,459		36,512
Derivative liabilities, before netting and cash collateral	3,261,850		1,016,428
Netting Adjustment and Cash Collateral	(3,235,391)		(979,916)
Carrying Value
Assets
Cash and due from banks	21,331		21,653
Interest-bearing deposits	825,000		675,000
Securities purchased under agreements to resell			1,200,000
Federal funds sold	10,400,000		7,230,000
Trading securities	7,831,926		5,821,380
Equity Investments	75,767		96,124
Available-for-sale securities	6,823,561		6,547,421
Held-to-maturity securities	9,557,304		9,328,665
Advances	91,870,505		71,536,402
Mortgage loans held-for-portfolio, net	2,136,432		2,319,864
Accrued interest receivable	270,063		123,258
Derivative assets	172,706		297,504
Other financial assets	104		357
Liabilities
Deposits	1,114,689		1,321,238
Consolidated obligations - Bonds	72,174,319		54,829,401
Consolidated obligations - Discount notes	49,029,855		42,197,259
Mandatorily redeemable capital stock	10,753		1,959
Accrued interest payable	251,102		126,990
Derivative liabilities	26,459		36,512
Other financial liabilities			30,368
Estimated Fair Value
Assets
Cash and due from banks	21,331		21,653
Interest-bearing deposits	825,003		675,003
Securities purchased under agreements to resell			1,200,000
Federal funds sold	10,400,034		7,230,014
Trading securities	7,831,926		5,821,380
Equity Investments	75,767		96,124
Available-for-sale securities	6,823,561		6,547,421
Held-to-maturity securities	9,099,051		9,684,274
Advances	91,794,951		71,595,785
Mortgage loans held-for-portfolio, net	1,837,835		2,369,769
Accrued interest receivable	270,063		123,258
Derivative assets	172,706		297,504
Other financial assets	104		357
Liabilities
Deposits	1,114,637		1,321,241
Consolidated obligations - Bonds	71,061,058		55,104,747
Consolidated obligations - Discount notes	49,013,370		42,196,648
Mandatorily redeemable capital stock	10,753		1,959
Accrued interest payable	251,102		126,990
Derivative liabilities	26,459		36,512
Other financial liabilities			30,368
Estimated Fair Value | Level 1
Assets
Cash and due from banks	21,331		21,653
Trading securities	7,831,926		5,821,380
Equity Investments	75,767		96,124
Liabilities
Mandatorily redeemable capital stock	10,753		1,959
Other financial liabilities			30,368
Estimated Fair Value | Level 2
Assets
Interest-bearing deposits	825,003		675,003
Securities purchased under agreements to resell			1,200,000
Federal funds sold	10,400,034		7,230,014
Available-for-sale securities	5,709,633		5,548,784
Held-to-maturity securities	8,876,707		9,445,219
Advances	91,794,951		71,595,785
Mortgage loans held-for-portfolio, net	1,837,835		2,369,769
Accrued interest receivable	270,063		123,258
Derivative assets, before netting and cash collateral	1,767,957		497,134
Liabilities
Deposits	1,114,637		1,321,241
Consolidated obligations - Bonds	71,061,058		55,104,747
Consolidated obligations - Discount notes	49,013,370		42,196,648
Accrued interest payable	251,102		126,990
Derivative liabilities, before netting and cash collateral	3,261,850		1,016,428
Estimated Fair Value | Level 3
Assets
Available-for-sale securities	1,113,928		998,637
Held-to-maturity securities	222,344		239,055
Other financial assets	$ 104		$ 357

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Fair Values of Financial Instruments. - Fair Value Hierarchy Transfers, Valuation Techniques and Primary Inputs (Details) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2022 USD ($) item	Dec. 31, 2021 USD ($) item
Summary of Valuation Techniques and Primary Inputs
Asset transfers in/out of Level 1, Level 2 or Level 3 | $	$ 0	$ 0
Liability transfers in/out of Level 1, Level 2 or Level 3 | $	0	0
Credit adjustment to recorded fair value of Derivative assets | $	0	0
Credit adjustment to recorded fair value of Derivative liabilities | $	$ 0	$ 0
Minimum
Summary of Valuation Techniques and Primary Inputs
Maturity or repricing period of advances which requires a prepayment fee	6 months
Mortgage-backed securities (MBS)
Summary of Valuation Techniques and Primary Inputs
Number of prices to be received for middle price to be used	3
Number of prices received when two prices used for average	2
Number of prices used for calculating average when two prices are received	2
Number of prices received that are subject to additional validation	1
Mortgage-backed securities (MBS) | Minimum
Summary of Valuation Techniques and Primary Inputs
Number of third-party vendors, price available subject to additional validation	0
Mortgage-backed securities (MBS) | Maximum
Summary of Valuation Techniques and Primary Inputs
Number of third-party vendors	3	3
Number of third-party vendors, price available subject to additional validation	1

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Fair Values of Financial Instruments. - Items Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Jun. 30, 2022	Dec. 31, 2021	Sep. 30, 2021	Jun. 30, 2021	Dec. 31, 2020
Assets
Trading securities	$ 7,831,926		$ 5,821,380
Equity Investments	75,767		96,124
Available-for-sale securities	6,823,561		6,547,421
Derivative assets	172,704		297,490
Netting Adjustment and Cash Collateral	(1,595,251)		(199,630)
Liabilities
Derivative liabilities	(26,214)		(36,507)
Netting Adjustment and Cash Collateral	3,235,391		979,916
State and local housing finance agency obligations.
Assets
Available-for-sale securities	1,113,928		998,637
U.S. Treasury notes
Assets
Trading securities	7,831,926		5,821,380
Mortgage-backed securities (MBS)
Assets
Available-for-sale securities	5,709,633		5,548,784
Consolidated obligation - discount notes, fair value option
Liabilities
Consolidated obligations	0		0		$ 1,249,963	$ 7,133,755
Consolidated obligation - bonds, fair value option
Liabilities
Consolidated obligations	3,943,103	$ 3,618,896	7,386,074	$ 10,811,362	$ 13,347,759	$ 16,580,464
Measured on a recurring basis
Assets
Equity Investments	75,767		96,124
Netting Adjustment and Cash Collateral	(1,595,251)		(199,630)
Total recurring fair value measurement - Assets	14,903,960		12,762,429
Liabilities
Netting Adjustment and Cash Collateral	3,235,391		979,916
Total recurring fair value measurement - Liabilities	(3,969,562)		(7,422,586)
Measured on a recurring basis | Interest rate contracts
Assets
Derivative assets	172,704		297,490
Netting Adjustment and Cash Collateral	(1,595,251)		(199,630)
Liabilities
Derivative liabilities	(26,214)		(36,507)
Netting Adjustment and Cash Collateral	3,235,391		979,916
Measured on a recurring basis | Mortgage delivery commitments
Assets
Derivative assets	2		14
Liabilities
Derivative liabilities	(245)		(5)
Measured on a recurring basis | MBS-GSE
Assets
Available-for-sale securities	5,709,633		5,548,784
Measured on a recurring basis | State and local housing finance agency obligations.
Assets
Available-for-sale securities	1,113,928		998,637
Measured on a recurring basis | U.S. Treasury notes
Assets
Trading securities	7,831,926		5,821,380
Measured on a recurring basis | Consolidated obligation - bonds, fair value option
Liabilities
Consolidated obligations	3,943,103		7,386,074
Measured on a recurring basis | Level 1
Assets
Equity Investments	75,767		96,124
Total recurring fair value measurement - Assets	7,907,693		5,917,504
Measured on a recurring basis | Level 1 | U.S. Treasury notes
Assets
Trading securities	7,831,926		5,821,380
Measured on a recurring basis | Level 2
Assets
Total recurring fair value measurement - Assets	7,477,590		6,045,918
Liabilities
Total recurring fair value measurement - Liabilities	(7,204,953)		(8,402,502)
Measured on a recurring basis | Level 2 | Interest rate contracts
Assets
Derivative assets	1,767,955		497,120
Liabilities
Derivative liabilities	(3,261,605)		(1,016,423)
Measured on a recurring basis | Level 2 | Mortgage delivery commitments
Assets
Derivative assets	2		14
Liabilities
Derivative liabilities	(245)		(5)
Measured on a recurring basis | Level 2 | MBS-GSE
Assets
Available-for-sale securities	5,709,633		5,548,784
Measured on a recurring basis | Level 2 | Consolidated obligation - bonds, fair value option
Liabilities
Consolidated obligations	3,943,103		7,386,074
Measured on a recurring basis | Level 3
Assets
Total recurring fair value measurement - Assets	1,113,928		998,637
Measured on a recurring basis | Level 3 | State and local housing finance agency obligations.
Assets
Available-for-sale securities	$ 1,113,928		$ 998,637

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Fair Values of Financial Instruments. - Roll Forward of Level 3 Available-for-Sale Securities (Details) - Measured on a recurring basis - Available-for-Sale Securities. - State and local housing finance agency obligations - Level 3 - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Schedule of Available-for-sale Securities [Line Items]
Balance, beginning of the period	$ 1,112,414	$ 0	$ 998,637	$ 0
Transfer of securities from held-to-maturity to available-for-sale		900,719		900,719
Provisions for credit losses		586		586
Total gains (losses) included in other comprehensive income Net unrealized gains (losses)	1,514	(113)	1,096	(113)
Purchases			308,000
Settlements			(193,805)
Balance, end of the period	$ 1,113,928	$ 901,192	$ 1,113,928	$ 901,192

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Fair Values of Financial Instruments. - Items Measured at Fair Value on a Non-recurring Basis (Details) - Measured on a non-recurring basis - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Assets recorded at fair value on a non-recurring basis
Real estate owned		$ 315
Total non-recurring assets at fair value	$ 189	972
Past due 180 days or more
Assets recorded at fair value on a non-recurring basis
Mortgage loans held-for-portfolio	189	657
Level 2
Assets recorded at fair value on a non-recurring basis
Total non-recurring assets at fair value	189	657
Level 2 | Past due 180 days or more
Assets recorded at fair value on a non-recurring basis
Mortgage loans held-for-portfolio	$ 189	657
Level 3
Assets recorded at fair value on a non-recurring basis
Real estate owned		315
Total non-recurring assets at fair value		$ 315

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Fair Values of Financial Instruments. - Fair Value Option (Details) - USD ($)	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021	Dec. 31, 2021
Activity related to financial instruments for which the Bank elected the fair value option
Net gains (losses) on financial instruments held under fair value option	$ 96,734,000	$ 315,000	$ 214,163,000	$ 4,248,000
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected
Net gains (losses) on financial instruments held under fair value option	96,734,000	315,000	214,163,000	4,248,000
Advances, fair value option
Fair Value Option Disclosures
Adjustments to fair values of assets recorded under fair value option for instrument-specific credit risk			0		$ 0
Comparison of aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected
Fair Value Over/(Under) Aggregate Unpaid Principal Balance	0	0	0	0	0
Consolidated obligations, fair value option
Fair Value Option Disclosures
Adjustments to fair values of liabilities recorded under fair value option for instrument-specific credit risk			0		0
Activity related to financial instruments for which the Bank elected the fair value option
Net gains (losses) on financial instruments held under fair value option	96,734,000	315,000	214,163,000	4,248,000
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected
Interest Expense	(18,740,000)	(3,009,000)	(34,865,000)	(16,683,000)
Net gains (losses) on financial instruments held under fair value option	96,734,000	315,000	214,163,000	4,248,000
Total Change in Fair Value Included in Current Period Earnings	77,994,000	(2,694,000)	179,298,000	(12,435,000)
Consolidated obligation - bonds, fair value option
Activity related to financial instruments for which the Bank elected the fair value option
Balance, beginning of the period	(3,618,896,000)	(13,347,759,000)	(7,386,074,000)	(16,580,464,000)	(16,580,464,000)
New transactions elected for fair value option	(413,920,000)	(4,415,000,000)	(2,423,935,000)	(15,760,925,000)
Maturities and terminations		6,950,000,000	5,665,000,000	21,525,000,000
Net gains (losses) on financial instruments held under fair value option	96,734,000	282,000	214,163,000	2,221,000
Change in accrued interest/ unaccreted balance	(7,021,000)	1,115,000	(12,257,000)	2,806,000
Balance, end of the period	(3,943,103,000)	(10,811,362,000)	(3,943,103,000)	(10,811,362,000)	(7,386,074,000)
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected
Interest Expense	(18,740,000)	(2,938,000)	(34,865,000)	(12,844,000)
Net gains (losses) on financial instruments held under fair value option	96,734,000	282,000	214,163,000	2,221,000
Total Change in Fair Value Included in Current Period Earnings	77,994,000	(2,656,000)	179,298,000	(10,623,000)
Comparison of aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected
Aggregate Unpaid Principal Balance	4,161,495,000	10,810,925,000	4,161,495,000	10,810,925,000	7,402,560,000
Aggregate Fair Value	3,943,103,000	10,811,362,000	3,943,103,000	10,811,362,000	7,386,074,000
Fair Value Over/(Under) Aggregate Unpaid Principal Balance	(218,392,000)	437,000	(218,392,000)	437,000	(16,486,000)
Consolidated obligation - discount notes, fair value option
Activity related to financial instruments for which the Bank elected the fair value option
Balance, beginning of the period		(1,249,963,000)	0	(7,133,755,000)	(7,133,755,000)
New transactions elected for fair value option				(1,249,391,000)
Maturities and terminations		1,249,392,000		8,367,602,000
Net gains (losses) on financial instruments held under fair value option		33,000		2,027,000
Change in accrued interest/ unaccreted balance		538,000		13,517,000
Balance, end of the period	0		0		0
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected
Interest Expense		(71,000)		(3,839,000)
Net gains (losses) on financial instruments held under fair value option		33,000		2,027,000
Total Change in Fair Value Included in Current Period Earnings		(38,000)		(1,812,000)
Comparison of aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected
Aggregate Fair Value	0		0		0
Fair Value Over/(Under) Aggregate Unpaid Principal Balance	$ 0	$ 0	$ 0	$ 0	$ 0

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Commitments and Contingencies. - Consolidated obligations (Details) - Obligations subject to joint and several liability - All other FHLBanks $ in Trillions	9 Months Ended
	Sep. 30, 2022 USD ($) Institution	Dec. 31, 2021 USD ($)
Commitments
Joint and several liability, number of Federal Home Loan Banks unable to repay their participation in consolidated obligations, minimum | Institution	1
Consolidated obligations
Commitments
Aggregate amount outstanding | $	$ 1.0	$ 0.7

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Commitments and Contingencies. - Affordable Housing Program (Details) $ in Millions	9 Months Ended	12 Months Ended
	Sep. 30, 2022 USD ($) Institution	Dec. 31, 2021 USD ($)
Affordable Housing Program
Number of FHLBanks | Institution	11
Expected annual aggregate FHLBank contribution to the Affordable Housing Program	$ 100
Shortfall of expected aggregate annual contribution to the Affordable Housing Program	$ 0	$ 0

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Commitments and Contingencies. - Summary of Contractual Obligations and Contingencies (Details) $ in Thousands	Sep. 30, 2022 USD ($)
Contractual obligations and commitments
Total	$ 139,513,016
Contractual Obligations
Contractual obligations and commitments
Total	123,864,077
Consolidated obligation bonds
Contractual obligations and commitments
Total	74,290,185
Consolidated obligation discount notes
Contractual obligations and commitments
Total	49,333,280
Mandatorily redeemable capital stock
Contractual obligations and commitments
Total	10,753
Lease obligations | Premises
Contractual obligations and commitments
Total	87,635
Lease obligations | Remote backup site
Contractual obligations and commitments
Total	1,076
Other liabilities
Contractual obligations and commitments
Total	141,148
Other commitments
Contractual obligations and commitments
Total	15,648,939
Standby letters of credit
Contractual obligations and commitments
Total	15,430,473
Consolidated obligation bonds/discount notes traded not settled
Contractual obligations and commitments
Total	90,000
Commitments to fund additional advances
Contractual obligations and commitments
Total	108,600
Pentegra Defined Benefit Plan
Contractual obligations and commitments
Total	9,400
Open delivery commitments (MAP)
Contractual obligations and commitments
Total	$ 10,466

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Commitments and Contingencies. - Operating Lease (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021	Dec. 31, 2021
Assets and Liabilities
Right-of-use assets	$ 61,676		$ 61,676		$ 65,624
Lease Liabilities	74,788		74,788		$ 79,026
Lease Expense and operating cash flows
Operating Lease Expense	1,952	$ 1,952	5,856	$ 5,856
Operating cash flows - Cash Paid	$ 2,050	$ 2,037	$ 6,148	$ 6,111
Weighted Average Discount Rate	3.31%		3.31%		3.30%
Weighted Average Remaining Lease Term	10 years 4 months 9 days		10 years 4 months 9 days		11 years 21 days
Operating lease liabilities
Remainder of Fiscal Year	$ 2,099		$ 2,099
Year 1	8,615		8,615		$ 8,246
Year 2	8,297		8,297		8,615
Year 3	8,088		8,088		8,297
Year 4	8,142		8,142		8,088
Year 5					8,142
After Year 5					53,656
Thereafter	53,656		53,656
Total undiscounted lease payments	88,897		88,897		95,044
Imputed interest	(14,109)		(14,109)		(16,018)
Lease Liabilities	$ 74,788		$ 74,788		$ 79,026
Maximum
Assets and Liabilities
Operating lease term of contract (in years)	15 years		15 years		15 years

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Related Party Transactions. - Summary of Activity and Outstanding Balances with Related Parties (Details) - USD ($) $ in Thousands	1 Months Ended	3 Months Ended		9 Months Ended		12 Months Ended
	Feb. 28, 2021	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021	Dec. 31, 2021	Jun. 30, 2022	Jun. 30, 2021	Dec. 31, 2020
Related Party Transactions
Debt assumed by FHLBNY from another FHLBank	$ 171,200			$ 0
Debt transferred to another FHLBNY				0	$ 0
Advances transferred or sold by FHLBNY to another FHLBank				0		$ 0
Mortgage-backed securities acquired by FHLBNY from another FHLBank				0		0
Notional amounts outstanding		$ 166,448,523		166,448,523		94,999,176
Overnight loans extended to other FHLBanks		2,300,000	$ 0	4,300,000	300,000
Average overnight loans extended to other FHLBanks		24,500		$ 18,300	1,100
Borrowing period from other FHLBanks				1 day
Borrowings from other FHLBanks		0	0	$ 0	0
Estimated annual lease receipts		100		100
Compensating cash balance		0		0		0
Assets
Advances		91,870,505		91,870,505		71,536,402
Accrued interest receivable		270,063		270,063		123,258
Liabilities and capital
Deposits		1,114,689		1,114,689		1,321,238
Mandatorily redeemable capital stock		10,753	2,170	10,753	2,170	1,959	$ 8,117	$ 2,360	$ 2,991
Accrued interest payable		251,102		251,102		126,990
Affordable Housing Program		124,609	144,803	124,609	144,803	137,638	131,783	152,523	148,827
Other liabilities		141,148		141,148		182,466
Total capital		7,182,461	6,411,354	7,182,461	6,411,354	6,445,853	$ 6,762,867	$ 6,820,527	$ 7,256,699
FHLBank of Chicago | MPF program services
Related Party Transactions
Purchases of mortgage loans, cumulative participations by other Federal Home Loan Banks		4,000		4,000		4,600
Fees paid		300	$ 400	1,000	$ 1,400
Smaller members | Member Swaps Intermediation
Related Party Transactions
Notional amounts outstanding		61,500		61,500		79,000
Related Party
Assets
Advances		91,870,505		91,870,505		71,536,402
Accrued interest receivable		194,824		194,824		69,852
Liabilities and capital
Deposits		1,114,689		1,114,689		1,321,238
Mandatorily redeemable capital stock		10,753		10,753		1,959
Accrued interest payable		152		152		23
Affordable Housing Program		124,609		124,609		137,638
Other liabilities						30,368
Total capital		7,182,461		7,182,461		6,445,853
Citibank, N.A.
Related Party Transactions
Compensating cash balance		$ 0		$ 0		$ 0

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Related Party Transactions. - Summary of Income and Expense Transactions with Related Parties (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Interest income
Advances	$ 565,508	$ 116,229	$ 914,365	$ 379,624
Interest-bearing deposits	12,348	311	16,705	908
Loans to other FHLBanks	156		228	1
Interest expense
Deposits	4,538	116	6,364	291
Mandatorily redeemable capital stock	271	25	1,162	87
Cash collateral held and other borrowings	47	4	165	41
Service fees and other	4,271	4,334	12,630	12,893
Related Party
Interest income
Advances	565,508	116,229	914,365	379,624
Interest-bearing deposits	1		2
Loans to other FHLBanks	156		228	1
Interest expense
Deposits	4,538	116	6,364	291
Mandatorily redeemable capital stock	271	25	1,162	87
Service fees and other	$ 4,114	$ 4,354	$ 12,254	$ 13,091

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Segment Information and Concentration. - Top Ten Advance Holders and Associated Interest Income (Details) $ in Thousands	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2022 USD ($) Institution	Sep. 30, 2021 USD ($)	Sep. 30, 2022 USD ($) Institution	Sep. 30, 2021 USD ($)	Dec. 31, 2021 USD ($)
Segment Information and Concentration
Large member withdrawals which could significantly decrease assets, capital or business, minimum number | Institution			1
Advances
Par Advances	$ 93,591,649		$ 93,591,649		$ 71,215,166
Interest Income	$ 565,508	$ 116,229	$ 914,365	$ 379,624
Par Value of Advances | Credit concentration risk | Top ten advance holders
Advances
Number of top advance holders reported for segment reporting | Institution	10		10
Par Advances	$ 73,115,778	55,443,652	$ 73,115,778	$ 55,443,652	$ 56,549,660
Percentage of Total			78.12%	79.30%	79.41%
Par Value of Advances | Credit concentration risk | MetLife, Inc
Advances
Par Advances	15,800,000	16,250,000	$ 15,800,000	$ 16,250,000	$ 15,750,000
Percentage of Total			16.88%	23.24%	22.11%
Par Value of Advances | Credit concentration risk | Metropolitan Life Insurance Company
Advances
Par Advances	14,395,000	15,245,000	$ 14,395,000	$ 15,245,000	$ 14,745,000
Percentage of Total			15.38%	21.80%	20.70%
Par Value of Advances | Credit concentration risk | Metropolitan Tower Life Insurance Company
Advances
Par Advances	1,405,000	1,005,000	$ 1,405,000	$ 1,005,000	$ 1,005,000
Percentage of Total			1.50%	1.44%	1.41%
Par Value of Advances | Credit concentration risk | New York Community Bank
Advances
Par Advances	12,840,000	13,977,661	$ 12,840,000	$ 13,977,661	$ 15,105,000
Percentage of Total			13.72%	19.99%	21.21%
Par Value of Advances | Credit concentration risk | Citibank, N.A.
Advances
Par Advances	19,250,000	5,751,000	$ 19,250,000	$ 5,751,000	$ 5,250,000
Percentage of Total			20.57%	8.23%	7.37%
Par Value of Advances | Credit concentration risk | Equitable Financial Life Insurance Company
Advances
Par Advances	7,826,263	6,802,175	$ 7,826,263	$ 6,802,175	$ 6,642,717
Percentage of Total			8.36%	9.73%	9.33%
Par Value of Advances | Credit concentration risk | New York Life Insurance Company
Advances
Par Advances	2,405,000	2,725,000	$ 2,405,000	$ 2,725,000	$ 2,455,000
Percentage of Total			2.57%	3.90%	3.45%
Par Value of Advances | Credit concentration risk | Investors Bank
Advances
Par Advances		3,075,000		$ 3,075,000	$ 3,075,000
Percentage of Total				4.40%	4.32%
Par Value of Advances | Credit concentration risk | Signature Bank
Advances
Par Advances		2,664,245		$ 2,664,245	$ 2,639,245
Percentage of Total				3.81%	3.71%
Par Value of Advances | Credit concentration risk | Teachers Ins. & Annuity Assoc of America
Advances
Par Advances	7,175,400	1,126,634	$ 7,175,400	$ 1,126,634	$ 2,155,300
Percentage of Total			7.67%	1.61%	3.03%
Par Value of Advances | Credit concentration risk | Goldman Sachs Bank USA
Advances
Par Advances	1,500,000		$ 1,500,000
Percentage of Total			1.60%
Par Value of Advances | Credit concentration risk | Valley National Bank
Advances
Par Advances	1,573,767	1,388,000	$ 1,573,767	$ 1,388,000	$ 1,288,000
Percentage of Total			1.68%	1.98%	1.81%
Par Value of Advances | Credit concentration risk | ESL Federal Credit Union
Advances
Par Advances	2,651,098	1,683,937	$ 2,651,098	$ 1,683,937	$ 2,189,398
Percentage of Total			2.83%	2.41%	3.07%
Par Value of Advances | Credit concentration risk | Prudential Insurance Company of America
Advances
Par Advances	2,094,250		$ 2,094,250
Percentage of Total			2.24%
Interest income, top ten advance holders | Member concentration | Top ten advance holders
Advances
Interest Income	$ 391,713	$ 158,557	$ 747,059	$ 503,580	$ 651,773
Percentage of Total	100.00%	100.00%	100.00%	100.00%	100.00%
Interest income, top ten advance holders | Member concentration | MetLife, Inc
Advances
Interest Income	$ 78,107	$ 41,671	$ 171,248	$ 122,073	$ 162,006
Percentage of Total	19.95%	26.28%	22.92%	24.24%	24.86%
Interest income, top ten advance holders | Member concentration | Metropolitan Life Insurance Company
Advances
Interest Income	$ 71,786	$ 40,303	$ 158,470	$ 118,253	$ 156,632
Percentage of Total	18.33%	25.42%	21.21%	23.48%	24.03%
Interest income, top ten advance holders | Member concentration | Metropolitan Tower Life Insurance Company
Advances
Interest Income	$ 6,321	$ 1,368	$ 12,778	$ 3,820	$ 5,374
Percentage of Total	1.62%	0.86%	1.71%	0.76%	0.83%
Interest income, top ten advance holders | Member concentration | New York Community Bank
Advances
Interest Income	$ 58,363	$ 51,921	$ 161,171	$ 156,665	$ 207,738
Percentage of Total	14.90%	32.74%	21.57%	31.11%	31.87%
Interest income, top ten advance holders | Member concentration | Citibank, N.A.
Advances
Interest Income	$ 110,114	$ 16,296	$ 135,749	$ 61,609	$ 71,312
Percentage of Total	28.11%	10.28%	18.17%	12.23%	10.94%
Interest income, top ten advance holders | Member concentration | Equitable Financial Life Insurance Company
Advances
Interest Income	$ 46,828	$ 14,091	$ 82,206	$ 46,337	$ 59,209
Percentage of Total	11.95%	8.89%	11.00%	9.20%	9.08%
Interest income, top ten advance holders | Member concentration | New York Life Insurance Company
Advances
Interest Income	$ 16,090	$ 13,155	$ 43,654	$ 40,700	$ 54,063
Percentage of Total	4.11%	8.30%	5.85%	8.08%	8.30%
Interest income, top ten advance holders | Member concentration | Investors Bank
Advances
Interest Income		$ 7,589		$ 24,378	$ 30,135
Percentage of Total		4.79%		4.84%	4.62%
Interest income, top ten advance holders | Member concentration | Signature Bank
Advances
Interest Income		$ 6,820		$ 21,698	$ 28,419
Percentage of Total		4.30%		4.31%	4.36%
Interest income, top ten advance holders | Member concentration | Teachers Ins. & Annuity Assoc of America
Advances
Interest Income	$ 42,211	$ 674	$ 76,947	$ 3,552	$ 5,973
Percentage of Total	10.78%	0.42%	10.30%	0.71%	0.92%
Interest income, top ten advance holders | Member concentration | Goldman Sachs Bank USA
Advances
Interest Income	$ 11,325		$ 19,201
Percentage of Total	2.89%		2.57%
Interest income, top ten advance holders | Member concentration | Valley National Bank
Advances
Interest Income	$ 6,317	$ 4,475	$ 17,019	$ 20,851	$ 25,028
Percentage of Total	1.61%	2.82%	2.28%	4.14%	3.84%
Interest income, top ten advance holders | Member concentration | ESL Federal Credit Union
Advances
Interest Income	$ 13,763	$ 1,865	$ 21,134	$ 5,717	$ 7,890
Percentage of Total	3.51%	1.18%	2.83%	1.14%	1.21%
Interest income, top ten advance holders | Member concentration | Prudential Insurance Company of America
Advances
Interest Income	$ 8,595		$ 18,730
Percentage of Total	2.19%		2.51%