Federal Home Loan Bank Of New York 10-Q 2023 Q3 Quarterly report

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, 2023

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, 2023 was 59,164,799.

FEDERAL HOME LOAN BANK OF NEW YORK

FORM 10-Q FOR THE QUARTERLY PERIOD ENDED SEPTEMBER 30, 2023

Table of Contents

	Page
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements (Unaudited):
Statements of Condition (Unaudited) as of September 30, 2023 and December 31, 2022	3
Statements of Income (Unaudited) for the Three and Nine Months Ended September 30, 2023 and 2022	4
Statements of Comprehensive Income (Unaudited) for the Three and Nine Months Ended September 30, 2023 and 2022	5
Statements of Capital (Unaudited) for the Three and Nine Months Ended September 30, 2023 and 2022	6
Statements of Cash Flows (Unaudited) for the Nine Months Ended September 30, 2023 and 2022	7
Notes to Financial Statements (Unaudited)	9
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations	58
Item 3. Quantitative and Qualitative Disclosures about Market Risk	111
Item 4. Controls and Procedures	115
PART II. OTHER INFORMATION	116
Item 1. Legal Proceedings	116
Item 1A. Risk Factors	116
Item 2. Unregistered Sales of Equity Securities, Use of Proceeds, and Issuer Purchases of Equity Securities	116
Item 3. Defaults Upon Senior Securities	116
Item 4. Mine Safety Disclosures	116
Item 5. Other Information	116
Item 6. Exhibits	117
Signatures	118

2

Federal Home Loan Bank of New York

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

As of September 30, 2023 and December 31, 2022

	September 30, 2023		December 31, 2022
Assets
Cash and due from banks (Note 3)	$	46,642	$	27,420
Interest-bearing deposits (Note 4)		2,545,000		1,750,000
Securities purchased under agreements to resell (Note 4)		995,000		4,245,000
Federal funds sold (Note 4)		11,020,000		9,470,000
Trading securities (Note 5) (Includes $741,084 pledged as collateral at September 30, 2023 and $576,756 at December 31, 2022)		4,848,969		7,113,419
Equity Investments (Note 6)		84,670		81,754
Available-for-sale securities, amortized cost of $8,801,573 at September 30, 2023 and $7,322,538 at December 31, 2022 (Note 7)		8,495,170		7,088,870
Held-to-maturity securities, net of allowance for credit losses of $604 at September 30, 2023 and $307 at December 31, 2022 (Note 8) (Includes $5,434 pledged as collateral at September 30, 2023 and $3,008 at December 31, 2022)		11,966,402		9,354,048
Advances (Note 9) (Includes $0 at September 30, 2023 and December 31, 2022 at fair value under the fair value option)		101,488,375		115,292,876
Mortgage loans held-for-portfolio, net of allowance for credit losses of $3,427 at September 30, 2023 and $1,911 at December 31, 2022 (Note 10)		2,164,526		2,106,969
Accrued interest receivable		514,567		437,823
Premises, software, and equipment		71,403		77,710
Operating lease right-of-use assets (Note 19)		56,250		60,338
Derivative assets (Note 17)		110,399		163,921
Other assets		13,757		121,341
Total assets	$	144,421,130	$	157,391,489
Liabilities and capital
Liabilities
Deposits (Note 11)
Interest-bearing demand	$	2,713,465	$	1,015,991
Non-interest-bearing demand		7,802		10,946
Total deposits		2,721,267		1,026,937
Consolidated obligations, net (Note 12)
Bonds (Includes $4,207,786 at September 30, 2023 and $4,159,862 at December 31, 2022 at fair value under the fair value option)		96,374,534		85,497,755
Discount notes (Includes $0 at September 30, 2023 and December 31, 2022 at fair value under the fair value option)		36,396,962		61,792,989
Total consolidated obligations		132,771,496		147,290,744
Mandatorily redeemable capital stock (Note 14)		7,273		4,578
Accrued interest payable		633,954		370,456
Affordable Housing Program (Note 13)		170,861		131,394
Derivative liabilities (Note 17)		33,811		15,333
Other liabilities		131,791		131,360
Operating lease liabilities (Note 19)		68,611		73,304
Total liabilities		136,539,064		149,044,106
Commitments and Contingencies (Notes 14, 17 and 19)
Capital (Note 14)
Capital stock ($100 par value), putable, issued and outstanding shares: 57,503 at September 30, 2023 and 63,877 at December 31, 2022		5,750,333		6,387,701
Retained earnings
Unrestricted		1,290,967		1,185,112
Restricted (Note 14)		1,030,098		910,855
Total retained earnings		2,321,065		2,095,967
Total accumulated other comprehensive income (loss)		(189,332)		(136,285)
Total capital		7,882,066		8,347,383
Total liabilities and capital	$	144,421,130	$	157,391,489

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, 2023 and 2022

	Three months ended				Nine months ended
	September 30,				September 30,
	2023		2022		2023		2022
Interest income
Advances, net (Note 9)	$	1,435,895	$	565,508	$	4,493,759	$	914,365
Interest-bearing deposits (Note 4)		52,599		12,348		151,909		16,705
Securities purchased under agreements to resell (Note 4)		32,518		135		203,435		156
Federal funds sold (Note 4)		220,781		69,375		651,539		93,454
Trading securities (Note 5)		34,529		25,581		95,234		63,334
Available-for-sale securities (Note 7)		118,285		49,631		313,669		100,821
Held-to-maturity securities (Note 8)		118,409		67,167		303,072		176,475
Mortgage loans held-for-portfolio (Note 10)		17,711		16,461		51,395		49,499
Loans to other FHLBanks (Note 20)		—		156		71		228
Total interest income		2,030,727		806,362		6,264,083		1,415,037
Interest expense
Consolidated obligation bonds (Note 12)		1,209,391		379,553		3,559,302		619,568
Consolidated obligation discount notes (Note 12)		538,808		253,400		1,870,646		350,424
Deposits (Note 11)		39,638		4,538		84,556		6,364
Mandatorily redeemable capital stock (Note 14)		216		271		459		1,162
Cash collateral held and other borrowings		213		47		2,200		165
Total interest expense		1,788,266		637,809		5,517,163		977,683
Net interest income before provision for credit losses		242,461		168,553		746,920		437,354
Provision (Reversal) for credit losses		(63)		(271)		1,813		(417)
Net interest income after provision for credit losses		242,524		168,824		745,107		437,771
Other income (loss)
Service fees and other		5,028		4,271		15,864		12,630
Instruments held under the fair value option gains (losses) (Note 18)		(18,107)		96,734		(40,809)		214,163
Derivative gains (losses) (Note 17)		79,318		78,161		127,409		195,406
Trading securities gains (losses) (Note 5)		(51,695)		(151,188)		(37,803)		(408,218)
Equity investments gains (losses) (Note 6)		(2,824)		(4,015)		4,399		(20,204)
Litigation settlement		—		—		1,620		2,202
Losses from extinguishment of debt		—		—		—		(99)
Total other income (loss)		11,720		23,963		70,680		(4,120)
Other expenses
Operating		20,688		19,185		57,413		51,176
Compensation and benefits		24,061		21,963		74,824		66,868
Finance Agency and Office of Finance		5,116		5,259		15,195		16,081
Other expenses		2,250		2,406		5,844		7,270
Total other expenses		52,115		48,813		153,276		141,395
Income before assessments		202,129		143,974		662,511		292,256
Affordable Housing Program Assessments (Note 13)		20,235		14,425		66,297		29,342
Net income	$	181,894	$	129,549	$	596,214	$	262,914
Basic earnings per share (Note 15)	$	3.15	$	2.61	$	9.45	$	5.52

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, 2023 and 2022

	Three months ended September 30,				Nine months ended September 30,
	2023		2022		2023		2022
Net Income	$	181,894	$	129,549	$	596,214	$	262,914
Other Comprehensive income (loss)
Net change in unrealized gains (losses) on available-for-sale securities		(288,515)		(322,694)		(308,361)		(968,702)
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		52		115		184		506
Total net change in non-credit portion of other-than-temporary impairment losses on held-to-maturity securities		52		115		184		506
Net change due to hedging activities
Cash flow hedges (a)		15,617		74,571		20,547		210,192
Fair value hedges (b)		210,311		210,016		235,626		565,822
Total net change due to hedging activities		225,928		284,587		256,173		776,014
Net change in pension and postretirement benefits		(347)		446		(1,043)		1,338
Total other comprehensive income (loss)		(62,882)		(37,546)		(53,047)		(190,844)
Total comprehensive income (loss)	$	119,012	$	92,003	$	543,167	$	72,070

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

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

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

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, 2023 and 2022

										Accumulated
	Capital Stock (a)									Other
	Class B			Retained Earnings						Comprehensive		Total
	Shares	Par Value		Unrestricted		Restricted		Total		Income (Loss)		Capital
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
Balance, June 30, 2023	63,616	$	6,361,603	$	1,288,745	$	993,719	$	2,282,464	$	(126,450)	$	8,517,617
Proceeds from issuance of capital stock	11,736		1,173,665		—		—		—		—		1,173,665
Repurchase/redemption of capital stock	(17,349)		(1,734,935)		—		—		—		—		(1,734,935)
Shares reclassified to mandatorily redeemable capital stock	(500)		(50,000)		—		—		—		—		(50,000)
Cash dividends ($2.12 per share) on capital stock	—		—		(143,293)		—		(143,293)		—		(143,293)
Comprehensive income (loss)	—		—		145,515		36,379		181,894		(62,882)		119,012
Balance, September 30, 2023	57,503	$	5,750,333	$	1,290,967	$	1,030,098	$	2,321,065	$	(189,332)	$	7,882,066

										Accumulated
	Capital Stock (a)									Other
	Class B			Retained Earnings						Comprehensive		Total
	Shares	Par Value		Unrestricted		Restricted		Total		Income (Loss)		Capital
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
Balance, December 31, 2022	63,877	$	6,387,701	$	1,185,112	$	910,855	$	2,095,967	$	(136,285)	$	8,347,383
Proceeds from issuance of capital stock	78,045		7,804,538		—		—		—		—		7,804,538
Repurchase/redemption of capital stock	(83,872)		(8,387,247)		—		—		—		—		(8,387,247)
Shares reclassified to mandatorily redeemable capital stock	(547)		(54,659)		—		—		—		—		(54,659)
Cash dividends ($5.92 per share) on capital stock	—		—		(371,116)		—		(371,116)		—		(371,116)
Comprehensive income (loss)	—		—		476,971		119,243		596,214		(53,047)		543,167
Balance, September 30, 2023	57,503	$	5,750,333	$	1,290,967	$	1,030,098	$	2,321,065	$	(189,332)	$	7,882,066

(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, 2023 and 2022

	Nine months ended September 30,
	2023		2022
Operating activities
Net Income	$	596,214	$	262,914
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)		12,791		352,456
Concessions on consolidated obligations		2,365		1,851
Premises, software, and equipment		13,908		12,987
Provision (Reversal) for credit losses		1,813		(417)
Change in net fair value adjustments on derivatives and hedging activities (b)		377,410		1,345,213
Net realized and unrealized (gains) losses on trading securities		37,803		408,218
Change in fair value on Equity Investments		(3,807)		20,904
Change in fair value adjustments on financial instruments held at fair value		40,809		(214,163)
Losses from extinguishment of debt		—		99
Net change in:
Accrued interest receivable		(73,696)		(147,161)
Derivative assets due to accrued interest		(251,674)		(413,161)
Derivative liabilities due to accrued interest		114,634		393,114
Other assets		4,492		5,067
Affordable Housing Program liability		39,467		(13,029)
Accrued interest payable		263,498		124,112
Other liabilities		(3,306)		(13,403)
Total adjustments		576,507		1,862,687
Net cash provided by (used in) operating activities	$	1,172,721	$	2,125,601
Investing activities
Net change in:
Interest-bearing deposits	$	(423,960)	$	(1,016,074)
Securities purchased under agreements to resell		3,250,000		1,200,000
Federal funds sold		(1,550,000)		(3,170,000)
Deposits with other FHLBanks		(12)		(80)
Premises, software, and equipment		(7,600)		(6,605)
Trading securities:
Purchased		(657,793)		(4,617,549)
Repayments		2,625,000		1,405,000
Proceeds from sales		399,516		794,624
Equity Investments:
Purchased		(1,910)		(5,094)
Proceeds from sales		2,801		4,546
Available-for-sale securities:
Purchased		(1,793,154)		(1,574,267)
Repayments		76,509		319,270
Held-to-maturity securities:
Purchased		(3,219,430)		(1,366,544)
Repayments		611,209		1,131,732
Advances:
Principal collected		1,277,295,031		624,025,008
Made		(1,263,587,660)		(646,401,490)
Mortgage loans held-for-portfolio:
Principal collected		125,024		235,420
Purchased		(188,861)		(57,198)
Proceeds from sales of REO		226		668
Net cash provided by (used in) investing activities	$	12,954,936	$	(29,098,633)

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, 2023 and 2022

	Nine months ended September 30,
	2023		2022
Financing activities
Net change in:
Deposits and other borrowings	$	1,694,230	$	(230,697)
Derivative contracts with financing element		(2,074)		(496)
Consolidated obligation bonds:
Proceeds from issuance		89,930,630		42,859,039
Payments for maturing and early retirement		(79,250,326)		(23,043,771)
Consolidated obligation discount notes:
Proceeds from issuance		206,273,571		583,949,985
Payments for maturing		(237,691,627)		(577,234,682)
Proceeds on Discount Notes assumed from other FHLBanks (c)		5,942,950		—
Capital stock:
Proceeds from issuance of capital stock		7,804,538		5,050,740
Payments for repurchase/redemption of capital stock		(8,387,247)		(3,959,285)
Redemption of mandatorily redeemable capital stock		(51,964)		(252,835)
Cash dividends paid (d)		(371,116)		(165,288)
Net cash provided by (used in) financing activities	$	(14,108,435)	$	26,972,710
Net increase (decrease) in cash and due from banks		19,222		(322)
Cash and due from banks at beginning of the period (e)		27,420		21,653
Cash and due from banks at end of the period (e)	$	46,642	$	21,331
Supplemental disclosures:
Interest paid	$	3,304,928	$	208,628
Interest paid for Discount Notes (f)	$	1,809,063	$	151,259
Affordable Housing Program payments (g)	$	26,830	$	42,371
Transfers of mortgage loans to real estate owned	$	268	$	232
Capital stock subject to mandatory redemption reclassified from equity	$	54,659	$	261,629

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 lower in the nine months ended September 30, 2023, compared to the same period of 2022 in conjunction with lower usage of discount notes in the nine months ended September 30, 2023. As a result, the impact on operating cash flows was also lower in the nine months ended September 30, 2023.

(b) Net cash provided by (used in) operating activities were also impacted by derivatives and hedging activities. In the nine months ended September 30, 2023, derivatives and hedging activities provided $377.4 million in cash flows; in the nine months ended September 30, 2022, derivatives and hedging activities provided $1.3 billion in cash flows.

(c) For information about discount notes assumed from other FHLBanks and 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 minus ending accrual plus AHP assessment for the period; payments represent funds released to the Affordable Housing Program.

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.          Summary of Significant Accounting Policies.

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 advances, 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 agreements. 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, 2022 filed on March 17, 2023.

Derivatives and Hedging Activities

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.

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 no longer recorded.

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, 2022 filed on March 17, 2023.

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

There were no recently adopted accounting standards which may have an impact on the Bank’s financial statements.

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. There are no restrictions on the withdrawal of funds in this arrangement. The compensating balances were $15.0 million at September 30, 2023. There were no compensating balances at December 31, 2022. There were no restricted cash balances at September 30, 2023 and December 31, 2022.

10

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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, 2023 and December 31, 2022. 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 $2.5 billion at September 30, 2023 and $1.8 billion at December 31, 2022 and were uncollateralized. 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, 2023 and December 31, 2022. Accrued interest receivables were $0.8 million at September 30, 2023 and $0.4 million at December 31, 2022, 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. FHFA regulations include a limit on the amount of unsecured credit an individual Bank may extend to a counterparty. Federal funds sold were $11.0 billion at September 30, 2023 and $9.5 billion at December 31, 2022 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, 2023 and December 31, 2022. Accrued interest receivables were $3.3 million at September 30, 2023 and $2.3 million at December 31, 2022, and no allowance for credit losses was recorded as interest due was collected.

Securities purchased under agreements to resell — The outstanding balances of Securities purchased under agreements to resell were recorded on an amortized cost basis of $995.0 million at September 30, 2023 and $4.2 billion at December 31, 2022. 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 $0.3 million at September 30, 2023 and $1.0 million at December 31, 2022, and no allowance for credit losses was recorded as interest due was collected.

U.S. Treasury securities at market values of $1.0 billion at September 30, 2023 and $4.3 billion at December 31, 2022 were received at BONY to collateralize the overnight investments. Interest income from securities purchased under agreements to resell was $32.5 million and $203.4 million for the three and nine months ended September 30, 2023 compared to $135 thousand and $156 thousand for the same periods in the prior year. Transactions recorded as Securities purchased under agreements to resell were accounted as collateralized financing transactions.

11

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 5.          Trading Securities.

The carrying value of a trading security equals its fair value. The following table provides major security types at September 30, 2023 and December 31, 2022 (in thousands):

Fair value	September 30, 2023		December 31, 2022
U.S. Treasury notes	$	4,848,969	$	7,113,419
Total trading securities	$	4,848,969	$	7,113,419

The carrying values of trading securities included net unrealized fair value losses of $410.3 million at September 30, 2023 and losses of $373.0 million at December 31, 2022. 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 $741.1 million at September 30, 2023 and $576.8 million at December 31, 2022 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, 2023
	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	$	245,039		$	4,377,739		$	226,191		$	4,848,969
Total trading securities	$	245,039		$	4,377,739		$	226,191		$	4,848,969
Yield on trading securities		3.31	%		1.29	%		2.74	%

	December 31, 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	$	2,894,964		$	2,589,829		$	1,628,626		$	7,113,419
Total trading securities	$	2,894,964		$	2,589,829		$	1,628,626		$	7,113,419
Yield on trading securities		0.96	%		1.39	%		1.18	%

12

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 6.          Equity Investments.

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

	September 30, 2023
			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
	Cost		Gains (b)		Losses (b)		Value (c)
Cash equivalents	$	5,228	$	—	$	—	$	5,228
Equity funds		39,378		17,520		(6,729)		50,169
Fixed income funds		35,202		209		(6,138)		29,273
Total Equity Investments (a)	$	79,808	$	17,729	$	(12,867)	$	84,670

	December 31, 2022
			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
	Cost		Gains (b)		Losses (b)		Value (c)
Cash equivalents	$	4,308	$	—	$	—	$	4,308
Equity funds		43,038		12,772		(6,760)		49,050
Fixed income funds		33,353		167		(5,124)		28,396
Total Equity Investments (a)	$	80,699	$	12,939	$	(11,884)	$	81,754

(a) The intent of the grantor trusts are to set aside cash to meet current and future payments for a supplemental unfunded pension plan. 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 trusts invest 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 trusts. The grantor trusts are 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,
	2023		2022		2023		2022
Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date	$	(3,080)	$	(4,395)	$	3,807	$	(20,904)
Net gains (losses) recognized during the period on equity investments sold during the period		(205)		—		(704)		(265)
Net dividend and other		461		380		1,296		965
Net gains (losses) recognized during the period	$	(2,824)	$	(4,015)	$	4,399	$	(20,204)

13

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 7.          Available-for-Sale Securities.

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

	September 30, 2023
			Gross			Gross
	Amortized		Unrealized			Unrealized			Fair
	Cost		Gains			Losses			Value
GSE and U.S. Obligations
State and local housing finance agency obligations	$	1,106,740	$	—		$	(1,492)		$	1,105,248
Mortgage-backed securities
Floating
CMO		412,008		333			(5,821)			406,520
Pass Thru		3,637		42			—			3,679
Total Floating		415,645		375			(5,821)			410,199
Fixed
CMBS		8,089,918		—			(1,110,195)			6,979,723
Total Fixed		8,089,918		—			(1,110,195)			6,979,723
MBS AFS Before Hedging Adjustments		8,505,563		375	(a)		(1,116,016)	(a)		7,389,922
Hedging Basis Adjustments in AOCI (b)		(810,730)		810,730			—			—
Total Available-for-sale securities (MBS)		7,694,833		811,105			(1,116,016)			7,389,922
Total Available-for-sale securities	$	8,801,573	$	811,105		$	(1,117,508)		$	8,495,170

	December 31, 2022
			Gross			Gross
	Amortized		Unrealized			Unrealized			Fair
	Cost		Gains			Losses			Value
GSE and U.S. Obligations
State and local housing finance agency obligations	$	1,109,790	$	1		$	(762)		$	1,109,029
Mortgage-backed securities
Floating
CMO		462,796		557			(5,403)			457,950
Pass Thru		4,080		24			(2)			4,102
Total Floating		466,876		581			(5,405)			462,052
Fixed
CMBS		6,320,976		3,875			(807,062)			5,517,789
Total Fixed		6,320,976		3,875			(807,062)			5,517,789
MBS AFS Before Hedging Adjustments		6,787,852		4,456	(a)		(812,467)	(a)		5,979,841
Hedging Basis Adjustments in AOCI (b)		(575,104)		575,104			—			—
Total Available-for-sale securities (MBS)		6,212,748		579,560			(812,467)			5,979,841
Total Available-for-sale securities	$	7,322,538	$	579,561		$	(813,229)		$	7,088,870

(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, 2023 recorded $810.7 million of hedge basis losses; at December 31, 2022, hedge basis losses of $575.1 million were recorded. In the table above, the benchmark hedging basis adjustments were reported separately from the market-based prices of ASC 815 qualifying hedges to provide greater clarity to market-based pricing of the securities.

14

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Credit Loss Analysis of AFS Securities

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

Based on credit and performance analysis, GSE-issued securities are performing in accordance with their contractual agreements. The FHLBNY believes that it will recover its investments in GSE-issued securities given the current levels of collateral, credit enhancements and guarantees that exist to protect the investments. At September 30, 2023 and December 31, 2022, 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, 2023 and December 31, 2022.

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

	September 30, 2023
	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	$	975	$	(8)	$	3,148	$	(70)	$	4,123	$	(78)
MBS-GSE		2,147,907		(159,557)		5,170,242		(956,381)		7,318,149		(1,115,938)
Total MBS Temporarily Impaired	$	2,148,882	$	(159,565)	$	5,173,390	$	(956,451)	$	7,322,272	$	(1,116,016)
State and local housing finance agency obligations		1,092,883		(1,457)		12,365		(35)		1,105,248		(1,492)
Total Temporarily Impaired	$	3,241,765	$	(161,022)	$	5,185,755	$	(956,486)	$	8,427,520	$	(1,117,508)

	December 31, 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	$	4,521	$	(51)	$	—	$	—	$	4,521	$	(51)
MBS-GSE		3,442,837		(234,395)		2,302,235		(578,021)		5,745,072		(812,416)
Total MBS Temporarily Impaired	$	3,447,358	$	(234,446)	$	2,302,235	$	(578,021)	$	5,749,593	$	(812,467)
State and local housing finance agency obligations		944,406		(684)		14,622		(78)		959,028		(762)
Total Temporarily Impaired	$	4,391,764	$	(235,130)	$	2,316,857	$	(578,099)	$	6,708,621	$	(813,229)

15

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, 2023				December 31, 2022
	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	$	—	$	—	$	750	$	750
Due after one year through five years		12,400		12,365		14,700		14,622
Due after ten years		1,094,340		1,092,883		1,094,340		1,093,657
State and local housing finance agency obligations	$	1,106,740	$	1,105,248	$	1,109,790	$	1,109,029
Mortgage-backed securities
Due in one year or less	$	3	$	3	$	34	$	34
Due after one year through five years		1,291,363		1,217,886		1,046,588		991,319
Due after five year through ten years		5,477,650		5,300,750		4,169,456		4,035,246
Due after ten years		925,817		871,283		996,670		953,242
Mortgage-backed securities	$	7,694,833	$	7,389,922	$	6,212,748	$	5,979,841
Total Available-for-Sale securities	$	8,801,573	$	8,495,170	$	7,322,538	$	7,088,870

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

(b) Amortized cost is UPB after adjusting for net unamortized discounts of $29.1 million at September 30, 2023 and net unamortized premiums of $4.6 million at December 31, 2022. 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, 2023				December 31, 2022
	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Mortgage-backed securities
Floating
CMO	$	412,008	$	406,520	$	462,796	$	457,950
Pass Thru		3,637		3,679		4,080		4,102
Total Floating		415,645		410,199		466,876		462,052
Fixed
CMBS		7,279,188		6,979,723		5,745,872		5,517,789
Total Fixed		7,279,188		6,979,723		5,745,872		5,517,789
Total Mortgage-backed securities		7,694,833		7,389,922		6,212,748		5,979,841
State and local housing finance agency obligations
Floating		1,106,740		1,105,248		1,109,790		1,109,029
Total Available-for-Sale securities	$	8,801,573	$	8,495,170	$	7,322,538	$	7,088,870

16

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 8.          Held-to-Maturity Securities.

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

	September 30, 2023
			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	$	27,301	$	—	$	—	$	27,301	$	16	$	(442)	$	26,875
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits		2,136,622		—		—		2,136,622		100		(36,992)		2,099,730
Commercial Mortgage-Backed Securities (b)		9,593,882		—		—		9,593,882		587		(531,125)		9,063,344
Non-GSE MBS (c)		41,021		(520)		(814)		39,687		3,677		(1,137)		42,227
Total MBS		11,798,826		(520)		(814)		11,797,492		4,380		(569,696)		11,232,176
Other
State and local housing finance agency obligations		168,994		(84)		—		168,910		—		(12,339)		156,571
Total Held-to-Maturity securities	$	11,967,820	$	(604)	$	(814)	$	11,966,402	$	4,380	$	(582,035)	$	11,388,747

	December 31, 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	$	30,821	$	—	$	—	$	30,821	$	447	$	(6)	$	31,262
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits		459,140		—		—		459,140		—		(13,234)		445,906
Commercial Mortgage-Backed Securities (b)		8,638,800		—		—		8,638,800		3,629		(415,656)		8,226,773
Non-GSE MBS (c)		49,367		(199)		(998)		48,170		4,708		(862)		52,016
Total MBS		9,178,128		(199)		(998)		9,176,931		8,784		(429,758)		8,755,957
Other
State and local housing finance agency obligations		177,225		(108)		—		177,117		—		(13,869)		163,248
Total Held-to-Maturity securities	$	9,355,353	$	(307)	$	(998)	$	9,354,048	$	8,784	$	(443,627)	$	8,919,205

(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 multi-family 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 $5.4 million at September 30, 2023 and $3.0 million at December 31, 2022, 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 235 and 192 at September 30, 2023 and December 31, 2022, respectively.

17

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Housing finance agency bonds — The FHLBNY’s investments in Held-to-Maturity (HTM) Housing finance agency (HFA) bonds reported gross unrecognized losses of $12.3 million at September 30, 2023 and $13.9 million at December 31, 2022. 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. There were three investment positions that were in an unrealized loss position in the HTM portfolio at September 30, 2023, compared to five at December 31, 2022. Probability default analysis at September 30, 2023 recorded allowance of credit losses of $0.1 million, slightly lower than the balance at December 31, 2022. 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 $0.5 million were recorded at September 30, 2023 and $0.2 million were recorded at December 31, 2022. 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, 2023 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, 2023 and 11 at December 31, 2022.

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, 2023				December 31, 2022
	Amortized		Estimated		Amortized		Estimated
	Cost (a)		Fair Value		Cost (a)		Fair Value
State and local housing finance agency obligations
Due after one year through five years	$	—	$	—	$	1,145	$	1,137
Due after five years through ten years		100		100		3,545		3,415
Due after ten years		168,894		156,471		172,535		158,696
State and local housing finance agency obligations	$	168,994	$	156,571	$	177,225	$	163,248
Mortgage-backed securities
Due in one year or less	$	484,431	$	475,499	$	375,677	$	372,953
Due after one year through five years		5,092,776		4,850,027		4,564,091		4,397,702
Due after five years through ten years		3,881,243		3,625,136		3,484,910		3,258,306
Due after ten years		2,340,376		2,281,514		753,450		726,996
Mortgage-backed securities	$	11,798,826	$	11,232,176	$	9,178,128	$	8,755,957
Total Held-to-Maturity Securities	$	11,967,820	$	11,388,747	$	9,355,353	$	8,919,205

(a) Amortized cost is UPB after adjusting for net unamortized discounts of $28.9 million at September 30, 2023 and $32.3 million at December 31, 2022 and before adjustments for allowance for credit losses.

18

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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, 2023							December 31, 2022
			Weighted (a)						Weighted (a)
			Average		Percentage				Average		Percentage
	Amount		Yield		of Total		Amount		Yield		of Total
Overdrawn demand deposit accounts	$	5,757	6.32	%	0.01	%	$	4	5.36	%	—	%
Due in one year or less		66,570,295	2.97		64.48			82,971,070	3.00		70.96
Due after one year through two years		13,025,189	2.10		12.62			13,739,663	1.82		11.75
Due after two years through three years		5,862,674	2.59		5.68			4,480,758	1.79		3.83
Due after three years through four years		5,543,576	3.35		5.37			2,552,886	1.55		2.18
Due after four years through five years		4,787,463	3.95		4.64			5,588,876	3.27		4.78
Thereafter		7,427,529	2.71		7.20			7,596,597	3.15		6.50
Total par value		103,222,483	2.88	%	100.00	%		116,929,854	2.80	%	100.00	%
Advance discounts		(4,417)						(2,083)
Hedge valuation basis adjustments (b)		(1,729,691)						(1,634,895)
Total	$	101,488,375					$	115,292,876

(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 primary benchmark rates are 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, Ginnie Mae, and FHLBanks Consolidated Obligations);

● cash or deposits in the Bank;

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

● qualifying securities.

19

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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:

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, can be liquidated in due course, 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, 2023. In addition, there were no troubled debt restructurings related to advances at the FHLBNY at any time in this report.

As of September 30, 2023, 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 point in 2023 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, 2023.

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 35.8% and 32.9% of total advances at September 30, 2023 and December 31, 2022, 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.

20

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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, 2023, 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 asset loan program — MAP. Legacy loans under the MPF programs will continue to be supported and serviced under the MPF loan agreements. At September 30, 2023, mortgage loans under the MAP program were at carrying value of $399.2 million compared to $226.0 million at December 31, 2022.

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.

21

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, 2023				December 31, 2022
	Carrying Amount		Percentage of Total		Carrying Amount		Percentage of Total
Real Estate (a):
Fixed medium-term single-family mortgages	$	94,360	5.41	%	$	109,429	5.90	%
Fixed long-term single-family mortgages		1,648,213	94.59			1,745,699	94.10
Total unpaid principal balance	$	1,742,573	100.00	%	$	1,855,128	100.00	%
Unamortized premiums		24,189				26,448
Unamortized discounts		(619)				(693)
Basis adjustment (b)		1,556				1,703
Total MPF loans amortized cost	$	1,767,699			$	1,882,586
MPF allowance for credit losses		(2,351)				(1,665)
MPF loans held-for-portfolio	$	1,765,348			$	1,880,921
MAP loans held-for-portfolio		399,178				226,048
Total mortgage loans held-for-portfolio at carrying value	$	2,164,526			$	2,106,969

(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 $43.1 million at September 30, 2023 and $44.3 million at December 31, 2022. 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 $1.2 million for the three and nine months ended September 30, 2023 compared to $0.4 million and $1.3 million for the three and nine months ended September 30, 2022. 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.

22

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 $6.4 million at September 30, 2023 and $3.5 million at December 31, 2022.

Allowance Methodology for Mortgage Loan Losses.

Our allowance for credit losses of $3.4 million at September 30, 2023 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.

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 real estate owned (REO) sale is considered to be a default.

Accrued interest receivable was $11.1 million at September 30, 2023 and $10.2 million at December 31, 2022. 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, 2023 and December 31, 2022.

23

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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,
	2023		2022		2023		2022
Allowance for credit losses:
Beginning balance	$	3,488	$	1,975	$	1,911	$	2,135
Adjustment for cumulative effect of accounting change		—		—		—		—
Charge-offs		—		—		—		(31)
Recoveries		—		—		—		—
Provision (Reversal) for credit losses on mortgage loans		(61)		(264)		1,516		(393)
Balance, at end of period	$	3,427	$	1,711	$	3,427	$	1,711

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

	September 30, 2023			December 31, 2022
Average loans outstanding during the period (a)	$	2,093,829		$	2,155,287
Mortgage loans held for portfolio (b)		2,135,636			2,076,211
Non-accrual loans (b)		5,613			7,795
Allowance for credit losses on mortgage loans held for portfolio		3,427			1,911
Net charge-offs		—			31
Ratio of net charge-offs to average loans outstanding during the period		—	%		0.001	%
Ratio of allowance for credit losses to mortgage loans held for portfolio		0.160	%		0.092	%
Ratio of non-accrual loans to mortgage loans held for portfolio		0.263	%		0.375	%
Ratio of allowance for credit losses to non-accrual loans		61.046	%		24.511	%

(a) Represents the average unpaid principal balance for the nine months ended September 30, 2023 and for the twelve months ended December 31, 2022.

(b) Balances represent unpaid principal balance.

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

	September 30, 2023		December 31, 2022
Total MPF Mortgage loans, carrying values net (a)	$	1,765,348	$	1,880,921
Non-performing MPF mortgage loans - Conventional (a)(b)	$	5,613	$	7,795
Insured MPF loans past due 90 days or more and still accruing interest (a)(b)	$	4,352	$	4,632

(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 2023 or 2022. 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.

24

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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, 2023						September 30, 2023		September 30, 2023
	Unpaid						Average
	Principal		Related		Amortized Cost		Amortized Cost
	Balance		Allowance		After Allowance		After Allowance (d)
Conventional Loans - MPF (a)(c)
No related allowance (b)	$	303,934	$	—	$	307,666	$	299,583	$	714,286
With a related allowance		1,311,379		(2,351)		1,328,360		1,348,924		969,721
Total measured for impairment	$	1,615,313	$	(2,351)	$	1,636,026	$	1,648,507	$	1,684,007

	December 31, 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)	$	1,053,813	$	—	$	1,068,388	$	1,167,490
With a related allowance		664,581		(1,665)		673,518		668,124
Total measured for impairment	$	1,718,394	$	(1,665)	$	1,741,906	$	1,835,614

(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, 2023 and for the twelve months ended December 31, 2022.

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

	September 30, 2023		December 31, 2022
Mortgage Loans Held for Portfolio by Collateral/Guarantee Type:
Conventional mortgage loans - MPF	$	1,615,313	$	1,718,394
MPF Government-guaranteed or - insured mortgage loans		127,260		136,734
Total MPF loans - unpaid principal balance	$	1,742,573	$	1,855,128

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.

25

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, 2023 and December 31, 2022.

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

	September 30, 2023
	Conventional Loans
	Origination Year
	Prior to 2019		2019 to 2023		Total
Payment Status, at Amortized Cost:
Conventional MPF/MAP
Past due 30 - 59 days	$	5,549	$	6,326	$	11,875
Past due 60 - 89 days		1,255		292		1,547
Past due 90 days or more		5,038		583		5,621
Total past due mortgage loans		11,842		7,201		19,043
Current MPF mortgage loans		948,388		673,478		1,621,866
Current MAP mortgage loans		—		397,178		397,178
Total conventional mortgage loans	$	960,230	$	1,077,857	$	2,038,087

	December 31, 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	$	8,399	$	4,104	$	12,503
Past due 60 - 89 days		2,707		653		3,360
Past due 90 days or more		6,676		1,162		7,838
Total past due mortgage loans		17,782		5,919		23,701
Current MPF mortgage loans		941,098		778,871		1,719,969
Current MAP mortgage loans		—		225,961		225,961
Total conventional mortgage loans	$	958,880	$	1,010,751	$	1,969,631

Other Delinquency Statistics (dollars in thousands):

	September 30, 2023
	Conventional			MPF Government-Guaranteed
	MPF Loans			or -Insured Loans			Total MPF Loans
Amortized Cost:
In process of foreclosure (a)	$	2,391		$	2,878		$	5,269
Serious delinquency rate (b)		0.36	%		3.47	%		0.59	%
Past due 90 days or more and still accruing interest	$	—		$	4,429		$	4,429
Loans on non-accrual status	$	5,621		$	—		$	5,621

26

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

	December 31, 2022
	Conventional			MPF Government-Guaranteed
	MPF Loans			or -Insured Loans			Total MPF Loans
Amortized Cost:
In process of foreclosure (a)	$	3,940		$	2,865		$	6,805
Serious delinquency rate (b)		0.45	%		3.45	%		0.68	%
Past due 90 days or more and still accruing interest	$	—		$	4,702		$	4,702
Loans on non-accrual status	$	7,838		$	—		$	7,838

(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.

Note 11.         Deposits.

The FHLBNY accepts demand, overnight and term deposits from its members and government instrumentalities, including the FDIC. 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 $2.7 billion at September 30, 2023 and $1.0 billion at December 31, 2022, an increase of $1.7 billion, or 165.0%, from December 31, 2022. 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 99.7% and 98.9% of deposits at September 30, 2023 and December 31, 2022, respectively, 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 $2.9 billion for period ended September 30, 2023 and $1.0 billion for the twelve months ended December 31, 2022. The annualized weighted-average interest rates paid on demand and overnight deposits were 3.85% for the nine months ended September 30, 2023 and 1.36% for the year ended December 31, 2022. 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 2023. The average balances of term deposits were $0.4 million and the weighted-average interest rates paid on term deposits were 3.51% for the year ended December 31, 2022.

The following table summarizes deposits (in thousands):

	September 30, 2023		December 31, 2022
Interest-bearing deposits
Interest-bearing demand	$	2,713,465	$	1,015,991
Term (a)		—		—
Total interest-bearing deposits		2,713,465		1,015,991
Non-interest-bearing demand		7,802		10,946
Total deposits (b)	$	2,721,267	$	1,026,937

(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.

27

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

			Average				Average
Deposits	September 30, 2023		Interest Rate (b)		December 31, 2022		Interest Rate (b)
Term deposits	$	—	—	%	$	—	3.51	%
Interest-bearing demand (a)		2,713,465	3.85			1,015,991	1.36
Total interest-bearing deposits	$	2,713,465	3.85	%	$	1,015,991	1.36	%
Non-interest-bearing demand		7,802				10,946
Total deposits	$	2,721,267			$	1,026,937

(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, 2023		December 31, 2022
Consolidated obligation bonds-amortized cost	$	98,253,003	$	87,612,556
Hedge valuation basis adjustments		(1,820,714)		(2,015,128)
Hedge basis adjustments on de-designated hedges		108,424		114,430
FVO - valuation adjustments and accrued interest		(166,179)		(214,103)
Total Consolidated obligation bonds	$	96,374,534	$	85,497,755
Discount notes-amortized cost	$	36,421,493	$	61,832,418
Hedge value basis adjustments		(24,530)		(39,088)
Hedge basis adjustments on de-designated hedges		(1)		(341)
FVO - valuation adjustments and remaining accretion		—		—
Total Consolidated obligation discount notes	$	36,396,962	$	61,792,989

28

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, 2023						December 31, 2022
			Weighted						Weighted
			Average		Percentage				Average		Percentage
Maturity	Amount		Rate (a)		of Total		Amount		Rate (a)		of Total
One year or less	$	55,100,925	4.56	%	56.11	%	$	40,943,160	3.69	%	46.79	%
Over one year through two years		16,914,885	3.47		17.23			16,499,805	2.56		18.85
Over two years through three years		12,214,690	1.58		12.44			7,808,115	1.65		8.92
Over three years through four years		5,760,065	2.42		5.87			10,533,905	1.09		12.04
Over four years through five years		2,702,130	3.23		2.75			4,638,435	2.35		5.30
Thereafter		5,494,360	3.07		5.60			7,092,000	2.88		8.10
Total par value		98,187,055	3.76	%	100.00	%		87,515,420	2.85	%	100.00	%
Bond premiums (b)		91,730						123,477
Bond discounts (b)		(25,782)						(26,341)
Hedge valuation basis adjustments (c)		(1,820,714)						(2,015,128)
Hedge basis adjustments on de-designated hedges (d)		108,424						114,430
FVO (e) - valuation adjustments and accrued interest		(166,179)						(214,103)
Total Consolidated obligation bonds	$	96,374,534					$	85,497,755

(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 primary interest rate benchmarks are Federal Funds-OIS index and 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 the unamortized basis is reversed to zero at maturity of the debt.

(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.

29

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, 2023				December 31, 2022
			Percentage				Percentage
	Amount		of Total		Amount		of Total
Fixed-rate, non-callable	$	33,425,575	34.04	%	$	30,482,290	34.83	%
Fixed-rate, callable		32,355,130	32.95			18,676,130	21.34
Step Up, callable		3,511,000	3.58			5,374,000	6.14
Step Down, callable		52,000	0.05			—	—
Floating rate, callable		—	—			250,000	0.29
Single-index floating rate		28,843,350	29.38			32,733,000	37.40
Total par value	$	98,187,055	100.00	%	$	87,515,420	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, 2023			December 31, 2022
Par value	$	37,028,613		$	62,295,735
Amortized cost	$	36,421,493		$	61,832,418
Hedge value basis adjustments (a)		(24,530)			(39,088)
Hedge basis adjustments on de-designated hedges (b)		(1)			(341)
FVO (c) - valuation adjustments and remaining accretion		—			—
Total Consolidated obligation discount notes	$	36,396,962		$	61,792,989
Weighted average interest rate		5.15	%		3.97	%

(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 the unamortized basis is reversed to zero at maturity of the debt.

(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, 2023 and December 31, 2022.

30

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,
	2023		2022		2023		2022
Beginning balance	$	158,749	$	131,783	$	131,394	$	137,638
Additions from current period’s assessments		20,235		14,425		66,297		29,342
Net disbursements for grants and programs		(8,123)		(21,599)		(26,830)		(42,371)
Ending balance	$	170,861	$	124,609	$	170,861	$	124,609

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 $5.8 billion at September 30, 2023 and $6.4 billion at December 31, 2022.

Shares of both Membership and Activity-based Class B capital stock have the same voting rights and receive the same dividend (See Statements of Capital):

● Membership capital 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 (such percentage is currently set at 0.125)%. In addition, notwithstanding this requirement, the FHLBNY has a $50 million cap on membership stock per member.

● Activity-based capital stock is issued based 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 equal to (i) 4.5% of the member’s borrowed amount for advances and mortgage loans, and (ii) 0.125% of the outstanding balance of letters of credit issued on behalf of the member. In the normal course of business, 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.

31

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

	September 30, 2023						December 31, 2022
	Required (d)			Actual			Required (d)			Actual
Regulatory capital requirements:
Risk-based capital (a)(e)	$	989,925		$	8,078,671		$	749,451		$	8,488,246
Total capital-to-asset ratio		4.00	%		5.59	%		4.00	%		5.39	%
Total capital (b)	$	5,776,845		$	8,078,671		$	6,295,660		$	8,488,246
Leverage ratio		5.00	%		8.39	%		5.00	%		8.09	%
Leverage capital (c)	$	7,221,056		$	12,118,006		$	7,869,574		$	12,732,369

(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, 2023		December 31, 2022
Redemption less than one year	$	1,494	$	93
Redemption from one year to less than three years		4,001		2,387
Redemption from three years to less than five years		755		952
Redemption from five years or greater		1,023		1,146
Total	$	7,273	$	4,578

32

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,
	2023		2022		2023		2022
Beginning balance	$	7,329	$	8,117	$	4,578	$	1,959
Capital stock subject to mandatory redemption reclassified from equity		50,000		3,162		54,659		261,629
Redemption of mandatorily redeemable capital stock (a)		(50,056)		(526)		(51,964)		(252,835)
Ending balance	$	7,273	$	10,753	$	7,273	$	10,753
Accrued interest payable (b)	$	203	$	152	$	203	$	152

(a) Redemption includes repayment of excess stock.

(b) The annualized accrual rates was 8.50% for the three months ended September 30, 2023 and 5.50% in the same period in 2022. 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 $1.0 billion and $910.9 million as restricted retained earnings in the FHLBNY’s Total Capital at September 30, 2023 and December 31, 2022, 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,
	2023		2022		2023		2022
Net income	$	181,894	$	129,549	$	596,214	$	262,914
Net income available to stockholders	$	181,894	$	129,549	$	596,214	$	262,914
Weighted average shares of capital		57,859		49,795		63,143		47,879
Less: Mandatorily redeemable capital stock		(95)		(110)		(72)		(288)
Average number of shares of capital used to calculate earnings per share		57,764		49,685		63,071		47,591
Basic earnings per share	$	3.15	$	2.61	$	9.45	$	5.52

Note 16.         Employee Retirement Plans.

The FHLBNY participates in the Pentegra Defined Benefit Plan for Financial Institutions (Pentegra DB Plan), a tax-qualified, defined-benefit multiemployer pension plan that covers all FHLBNY officers and employees. The FHLBNY also participates in the Pentegra Defined Contribution Plan for Financial Institutions, a tax-qualified defined contribution plan. The FHLBNY offers two non-qualified Benefit Equalization Plans, which are retirement plans. In July 2023, the Pentegra Defined Contribution Plan was transitioned to Vanguard. 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.

33

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,
	2023		2022		2023		2022
Defined Benefit Plan	$	3,100	$	2,350	$	9,300	$	7,050
Benefit Equalization Plans (defined benefit and defined contribution)		1,152		2,318		4,934		5,800
Defined Contribution Plans		713		681		2,266		2,173
Postretirement Health Benefit Plan		(252)		78		(758)		233
Total retirement plan expenses	$	4,713	$	5,427	$	15,742	$	15,256

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,
	2023		2022		2023		2022
Service cost	$	412	$	619	$	1,235	$	1,858
Interest cost		860		644		2,579		1,933
Amortization of unrecognized net loss		—		1,221		—		3,662
Amortization of unrecognized past service cost		14		52		41		156
Net periodic benefit cost - Defined Benefit BEP		1,286		2,536		3,855		7,609
Benefit Equalization plans - Thrift and Deferred incentive compensation plans		(134)		(218)		1,079		(1,809)
Total	$	1,152	$	2,318	$	4,934	$	5,800

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,
	2023		2022		2023		2022
Service cost (benefits attributed to service during the period)	$	6	$	11	$	19	$	34
Interest cost on accumulated postretirement health benefit obligation		103		67		307		199
Amortization of (gain)/loss		(361)		—		(1,084)		—
Net periodic postretirement health benefit expense/(income)	$	(252)	$	78	$	(758)	$	233

34

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, 2023		December 31, 2022
Interest rate contracts
Interest rate swaps	$	179,219,696	$	173,232,721
Interest rate caps		80,000		800,000
Mortgage delivery commitments		7,177		9,837
Total interest rate contracts notionals	$	179,306,873	$	174,042,558

35

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, 2023				December 31, 2022
	Derivative		Derivative		Derivative		Derivative
	Assets		Liabilities		Assets		Liabilities
Derivative instruments - nettable
Gross recognized amount
Uncleared derivatives	$	860,843	$	1,927,828	$	683,389	$	2,110,074
Cleared derivatives		1,499,101		1,529,520		1,534,274		1,504,012
Total gross recognized amount		2,359,944		3,457,348		2,217,663		3,614,086
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives		(751,244)		(1,925,314)		(550,878)		(2,095,888)
Cleared derivatives		(1,498,301)		(1,498,301)		(1,502,901)		(1,502,901)
Total gross amounts of netting adjustments and cash collateral		(2,249,545)		(3,423,615)		(2,053,779)		(3,598,789)
Net amounts after offsetting adjustments and cash collateral	$	110,399	$	33,733	$	163,884	$	15,297
Uncleared derivatives	$	109,599	$	2,514	$	132,511	$	14,186
Cleared derivatives		800		31,219		31,373		1,111
Total net amounts after offsetting adjustments and cash collateral	$	110,399	$	33,733	$	163,884	$	15,297
Derivative instruments - not nettable
Uncleared derivatives (a)	$	—	$	78	$	37	$	36
Total derivative assets and total derivative liabilities
Uncleared derivatives	$	109,599	$	2,592	$	132,548	$	14,222
Cleared derivatives		800		31,219		31,373		1,111
Total derivative assets and total derivative liabilities presented in the Statements of Condition (b)	$	110,399	$	33,811	$	163,921	$	15,333
Non-cash collateral received or pledged (c)
Can be sold or repledged
Security collateral pledged as initial margin to Derivative Clearing Organization (d)	$	741,084	$	—	$	576,756	$	—
Cannot be sold or repledged
Uncleared derivatives securities received as Variation Margin		(87,765)		—		(108,761)		—
Total net amount of non-cash collateral received or repledged	$	653,319	$	—	$	467,995	$	—
Total net exposure cash and non-cash (e)	$	763,718	$	33,811	$	631,916	$	15,333
Net unsecured amount - Represented by:
Uncleared derivatives	$	21,834	$	2,592	$	23,787	$	14,222
Cleared derivatives		741,884		31,219		608,129		1,111
Total net exposure cash and non-cash (e)	$	763,718	$	33,811	$	631,916	$	15,333

(a) Not nettable derivative instruments are without legal right of offset, and were synthetic derivatives representing forward mortgage delivery commitments of 60 calendar 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).

36

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 collateral 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, 2023 and December 31, 2022, no net of cash as settlement variation margin was posted 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, 2023
	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	$	148,048,237	$	1,316,307	$	2,758,475
Total derivatives in hedging relationships under ASC 815		148,048,237		1,316,307		2,758,475
Derivatives not designated as hedging instruments
Interest rate swaps (b)		31,171,459		1,043,154		698,873
Interest rate caps		80,000		483		—
Mortgage delivery commitments		7,177		—		78
Other		—		—		—
Total derivatives not designated as hedging instruments		31,258,636		1,043,637		698,951
Total derivatives before netting and collateral adjustments	$	179,306,873	$	2,359,944	$	3,457,426
Netting adjustments			$	(2,235,625)	$	(2,235,625)
Cash collateral and related accrued interest				(13,920)		(1,187,990)
Total netting adjustments and cash collateral				(2,249,545)		(3,423,615)
Total derivative assets and total derivative liabilities			$	110,399	$	33,811
Security collateral pledged as initial margin to Derivative Clearing Organization (c)			$	741,084
Security collateral received from counterparty (c)				(87,765)
Net security				653,319
Net exposure			$	763,718

37

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

	December 31, 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	$	123,913,433	$	1,090,359	$	2,745,983
Total derivatives in hedging relationships under ASC 815		123,913,433		1,090,359		2,745,983
Derivatives not designated as hedging instruments
Interest rate swaps (b)		49,319,288		1,126,873		868,103
Interest rate caps		800,000		431		—
Mortgage delivery commitments		9,837		37		36
Other		—		—		—
Total derivatives not designated as hedging instruments		50,129,125		1,127,341		868,139
Total derivatives before netting and collateral adjustments	$	174,042,558	$	2,217,700	$	3,614,122
Netting adjustments			$	(2,039,759)	$	(2,039,759)
Cash collateral and related accrued interest				(14,020)		(1,559,030)
Total netting adjustments and cash collateral				(2,053,779)		(3,598,789)
Total derivative assets and total derivative liabilities			$	163,921	$	15,333
Security collateral pledged as initial margin to Derivative Clearing Organization (c)			$	576,756
Security collateral received from counterparty (c)				(108,761)
Net security				467,995
Net exposure			$	631,916

(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) Interest rate swaps also includes 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, 2023 and December 31, 2022.

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. Summary of Significant Accounting Policies in the most recent Form 10-K for the year ended December 31, 2022 filed on March 17, 2023.

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,
	2023		2022		2023		2022
Gains (losses) on derivatives in designated and qualifying fair value hedges:
Interest rate hedges	$	355,366	$	105,794	$	544,651	$	381,058
Gains (losses) on hedged item in designated and qualifying fair value hedges:
Interest rate hedges	$	(356,672)	$	(96,924)	$	(538,980)	$	(347,090)

38

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Gains (losses) represent changes in fair values of derivatives and changes in the fair value of 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, 2023 and December 31, 2022, 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, 2023
			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	$	52,210,993	$	(1,729,691)	$	—
Hedged AFS debt securities (a)		5,106,787		(810,730)		—
De-designated advances (b)		—		—		—
	$	57,317,780	$	(2,540,421)	$	—
Liabilities:
Hedged consolidated obligation bonds	$	51,476,736	$	1,820,714	$	—
Hedged consolidated obligation discount notes		33,530,812		24,530		—
De-designated consolidated obligation bonds (b)		—		—		(108,424)
De-designated consolidated obligation discount notes (b)		—		—		1
	$	85,007,548	$	1,845,244	$	(108,423)

39

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

	December 31, 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	$	42,378,681	$	(1,634,913)	$	—
Hedged AFS debt securities (a)		3,691,391		(575,104)		—
De-designated advances (b)		—		—		18
	$	46,070,072	$	(2,210,017)	$	18
Liabilities:
Hedged consolidated obligation bonds	$	36,962,293	$	2,015,128	$	—
Hedged consolidated obligation discount notes		47,594,103		39,088		—
De-designated consolidated obligation bonds (b)		—		—		(114,430)
De-designated consolidated obligation discount notes (b)		—		—		341
	$	84,556,396	$	2,054,216	$	(114,089)

(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, 2023, par amounts of de-designated CO bonds were $2.8 billion and par amount of de-designation CO discount notes were $0.1 billion. At December 31, 2022, par amounts of de-designated advances were $0.5 billion; par amounts of de-designation CO bonds were $1.7 billion; par amounts of de-designated CO discount notes were $1.5 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,

2023

2022

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)

$

(333)

$

—

$

15,284

$

15,617

$

(324)

$

—

$

74,247

$

74,571

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

Nine months ended September 30,

2023

2022

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)

$

(931)

$

—

$

19,616

$

20,547

$

(1,010)

$

—

$

209,182

$

210,192

(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.

40

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

(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, $1.2 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,
	2023		2022		2023		2022
Gains (losses) on derivatives designated in economic hedges
Interest rate hedges	$	78,173	$	78,232	$	129,581	$	195,698
Caps		86		489		(344)		937
Mortgage delivery commitments		1,059		(560)		(1,828)		(1,229)
Total gains (losses) on derivatives in economic hedges	$	79,318	$	78,161	$	127,409	$	195,406

41

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, 2023
			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	$	46,642	$	46,642	$	46,642	$	—	$	—	$	—
Interest-bearing deposits		2,545,000		2,545,028		—		2,545,028		—		—
Securities purchased under agreements to resell		995,000		995,008		—		995,008		—		—
Federal funds sold		11,020,000		11,020,105		—		11,020,105		—		—
Trading securities		4,848,969		4,848,969		4,848,969		—		—		—
Equity Investments		84,670		84,670		84,670		—		—		—
Available-for-sale securities		8,495,170		8,495,170		—		7,389,922		1,105,248		—
Held-to-maturity securities		11,966,402		11,388,747		—		11,189,949		198,798		—
Advances		101,488,375		101,538,634		—		101,538,634		—		—
Mortgage loans held-for-portfolio, net		2,164,526		1,805,434		—		1,805,434		—		—
Accrued interest receivable		514,567		514,567		—		514,567		—		—
Derivative assets		110,399		110,399		—		2,359,944		—		(2,249,545)
Other financial assets		263		263		—		—		263		—
Liabilities
Deposits		2,721,267		2,721,328		—		2,721,328		—		—
Consolidated obligations
Bonds		96,374,534		95,355,069		—		95,355,069		—		—
Discount notes		36,396,962		36,413,031		—		36,413,031		—		—
Mandatorily redeemable capital stock		7,273		7,273		7,273		—		—		—
Accrued interest payable		633,954		633,954		—		633,954		—		—
Derivative liabilities		33,811		33,811		—		3,457,426		—		(3,423,615)
Other financial liabilities		—		—		—		—		—		—

42

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

	December 31, 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	$	27,420	$	27,420	$	27,420	$	—	$	—	$	—
Interest-bearing deposits		1,750,000		1,750,017		—		1,750,017		—		—
Securities purchased under agreements to resell		4,245,000		4,245,019		—		4,245,019		—		—
Federal funds sold		9,470,000		9,470,068		—		9,470,068		—		—
Trading securities		7,113,419		7,113,419		7,113,419		—		—		—
Equity Investments		81,754		81,754		81,754		—		—		—
Available-for-sale securities		7,088,870		7,088,870		—		5,979,841		1,109,029		—
Held-to-maturity securities		9,354,048		8,919,205		—		8,703,941		215,264		—
Advances		115,292,876		115,195,748		—		115,195,748		—		—
Mortgage loans held-for-portfolio, net		2,106,969		1,836,785		—		1,836,785		—		—
Accrued interest receivable		437,823		437,823		—		437,823		—		—
Derivative assets		163,921		163,921		—		2,217,700		—		(2,053,779)
Other financial assets		—		—		—		—		—		—
Liabilities
Deposits		1,026,937		1,026,925		—		1,026,925		—		—
Consolidated obligations
Bonds		85,497,755		84,409,975		—		84,409,975		—		—
Discount notes		61,792,989		61,799,962		—		61,799,962		—		—
Mandatorily redeemable capital stock		4,578		4,578		4,578		—		—		—
Accrued interest payable		370,456		370,456		—		370,456		—		—
Derivative liabilities		15,333		15,333		—		3,614,122		—		(3,598,789)
Other financial liabilities		—		—		—		—		—		—

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.

43

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

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

The inputs are evaluated on an overall level for the fair value measurement to be determined. This overall level is an indication of market observability of the fair value measurement for the asset or liability. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. These reclassifications are reported as transfers in/out as of the beginning of the quarter in which the changes occur. There were 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, 2023 and December 31, 2022. 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.

44

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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 grantor trusts, which invest 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 trusts. 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.

45

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, 2023 and December 31, 2022.

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:

● SOFR curve (SOFR/OIS).

● Federal funds curve (FF/OIS curve).

● 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).

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.

46

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, 2023 and December 31, 2022.

For uncleared derivatives transactions executed on or after September 1, 2022, we are subject to two-way initial margin obligations as required by the Wall Street Reform and Consumer Protection Act. For such uncleared derivatives transactions, a party whose initial margin requirement exceeds the $50 million threshold would be required to deliver collateral in the amount by which the initial margin requirement exceeds such specified threshold. Initial margin is required to be held at a third-party custodian for the benefit of the secured party, which can only assert ownership of such collateral upon the occurrence of certain events, which may include an event of default due to bankruptcy, insolvency, or similar proceeding. As of September 30, 2023, the Bank did not exceed the threshold with any of the uncleared derivatives counterparty and did not have to post initial margin or have the counterparty post initial margin to the Bank.

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, 2023 and December 31, 2022, 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. REO is measured at fair value when the asset’s fair value less costs to sell is lower than its carrying amount.

47

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, 2023
									Netting
									Adjustment and
	Total		Level 1		Level 2		Level 3		Cash Collateral
Assets
Trading securities
U.S. Treasury securities	$	4,848,969	$	4,848,969	$	—	$	—	$	—
Equity Investments		84,670		84,670		—		—		—
Available-for-sale securities
GSE/U.S. agency issued MBS		7,389,922		—		7,389,922		—		—
State and local housing finance agency obligations		1,105,248		—		—		1,105,248		—
Derivative assets (a)
Interest-rate derivatives		110,399		—		2,359,944		—		(2,249,545)
Mortgage delivery commitments		—		—		—		—		—
Total recurring fair value measurement - Assets	$	13,539,208	$	4,933,639	$	9,749,866	$	1,105,248	$	(2,249,545)
Liabilities
Consolidated obligation:
Bonds (to the extent FVO is elected) (b)	$	(4,207,786)	$	—	$	(4,207,786)	$	—	$	—
Derivative liabilities (a)
Interest-rate derivatives		(33,733)		—		(3,457,348)		—		3,423,615
Mortgage delivery commitments		(78)		—		(78)		—		—
Total recurring fair value measurement - Liabilities	$	(4,241,597)	$	—	$	(7,665,212)	$	—	$	3,423,615

	December 31, 2022
									Netting
									Adjustment and
	Total		Level 1		Level 2		Level 3		Cash Collateral
Assets
Trading securities
U.S. Treasury securities	$	7,113,419	$	7,113,419	$	—	$	—	$	—
Equity Investments		81,754		81,754		—		—		—
Available-for-sale securities
GSE/U.S. agency issued MBS		5,979,841		—		5,979,841		—		—
State and local housing finance agency obligations		1,109,029		—		—		1,109,029		—
Derivative assets(a)
Interest-rate derivatives		163,884		—		2,217,663		—		(2,053,779)
Mortgage delivery commitments		37		—		37		—		—
Total recurring fair value measurement - Assets	$	14,447,964	$	7,195,173	$	8,197,541	$	1,109,029	$	(2,053,779)
Liabilities
Consolidated obligation:
Bonds (to the extent FVO is elected) (b)	$	(4,159,862)	$	—	$	(4,159,862)	$	—	$	—
Derivative liabilities (a)
Interest-rate derivatives		(15,297)		—		(3,614,086)		—		3,598,789
Mortgage delivery commitments		(36)		—		(36)		—		—
Total recurring fair value measurement - Liabilities	$	(4,175,195)	$	—	$	(7,773,984)	$	—	$	3,598,789

(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.

48

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,
	2023		2022		2023		2022
Balance, beginning of the period	$	1,105,746	$	1,112,414	$	1,109,029	$	998,637
Transfer of securities from held-to-maturity to available-for-sale		—		—		—		—
Provision for credit losses		—		—		—		—
Total gains (losses) included in other comprehensive income
Net unrealized gains (losses)		(498)		1,514		(731)		1,096
Purchases		—		—		—		308,000
Settlements		—		—		(3,050)		(193,805)
Balance, end of the period	$	1,105,248	$	1,113,928	$	1,105,248	$	1,113,928

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

	During the period ended September 30, 2023
	Fair Value		Level 1		Level 2		Level 3
Mortgage loans held-for-portfolio	$	—	$	—	$	—	$	—
Real estate owned		268		—		—		268
Total non-recurring assets at fair value	$	268	$	—	$	—	$	268

(a) No items at fair value on a non-recurring basis was outstanding during the period ended December 31, 2022.

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

In accordance with disclosure provisions, changes in fair value are reported the date the fair value adjustments are recorded, which is during the period and not as of the period end date. There were no non-recurring basis at fair value recorded during the period ended December 31, 2022.

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, 2023 and December 31, 2022.

49

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

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

	Three months ended September 30,
	2023		2022
	Bonds
Balance, beginning of the period	$	(4,182,576)	$	(3,618,896)
New transactions elected for fair value option		—		(413,920)
Maturities and terminations		—		—
Net gains (losses) on financial instruments held under fair value option		(18,107)		96,734
Change in accrued interest/unaccreted balance		(7,103)		(7,021)
Balance, end of the period	$	(4,207,786)	$	(3,943,103)

	Nine months ended September 30,
	2023		2022
	Bonds
Balance, beginning of the period	$	(4,159,862)	$	(7,386,074)
New transactions elected for fair value option		—		(2,423,935)
Maturities and terminations		—		5,665,000
Net gains (losses) on financial instruments held under fair value option		(40,809)		214,163
Change in accrued interest/unaccreted balance		(7,115)		(12,257)
Balance, end of the period	$	(4,207,786)	$	(3,943,103)

(a) No advances elected under the FVO were outstanding at September 30, 2023 and September 30, 2022.

(b) No discount notes elected under the FVO were outstanding at September 30, 2023 and 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)(b) (in thousands):

Three months ended September 30,

2023

2022

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

$

(22,671)

$

(18,107)

$

(40,778)

$

(18,740)

$

96,734

$

77,994

Nine months ended September 30,

2023

2022

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

$

(68,014)

$

(40,809)

$

(108,823)

$

(34,865)

$

214,163

$

179,298

(a) No advances elected under the FVO were outstanding at September 30, 2023 and September 30, 2022.

(b) No discount notes elected under the FVO were outstanding at September 30, 2023 and September 30, 2022.

50

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

	September 30, 2023
					Fair Value
					Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance
Consolidated obligation bonds (b)	$	4,373,965	$	4,207,786	$	(166,179)

	December 31, 2022
					Fair Value
					Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance
Consolidated obligation bonds (b)	$	4,373,965	$	4,159,862	$	(214,103)

	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)

(a) Advances – No advances elected under the FVO were outstanding at September 30, 2023, December 31, 2022 and September 30, 2022. 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, 2023, December 31, 2022 and September 30, 2022. 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 $1.2 trillion as of September 30, 2023 and December 31, 2022.

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.

51

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

	September 30, 2023
Contractual Obligations
Consolidated obligation bonds at par (a)	$	98,187,055
Consolidated obligation discount notes at par		37,028,613
Mandatorily redeemable capital stock (a)		7,273
Premises (lease obligations) (b)		79,641
Remote backup site		392
Other liabilities (c)		131,791
Total contractual obligations	$	135,434,765
Other commitments
Standby letters of credit (d)	$	19,329,680
Consolidated obligation bonds/discount notes traded not settled		169,500
Commitments to fund additional advances		—
Commitments to fund pension		12,400
Open delivery commitments (MAP)		7,177
Total other commitments	$	19,518,757
Total obligations and commitments	$	154,953,522

(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.

(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, 2023 and December 31, 2022, 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.

52

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

	September 30, 2023		December 31, 2022
Operating Leases (a)
Right-of-use assets	$	56,250	$	60,338
Lease Liabilities	$	68,611	$	73,304

	Three months ended September 30,						Nine months ended September 30,
	2023			2022			2023		2022
Operating Lease Expense	$	1,952		$	1,952		$	5,856	$	5,856
Operating cash flows - Cash Paid	$	2,154		$	2,050		$	6,461	$	6,148
	September 30, 2023			December 31, 2022
Weighted Average Discount Rate		3.32	%		3.31	%
Weighted Average Remaining Lease Term		9.44	Years		10.13	Years

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

	Remaining maturities through
Operating lease liabilities	September 30, 2023		December 31, 2022
Remainder of 2023	$	2,155	$	8,615
2024		8,297		8,297
2025		8,088		8,088
2026		8,142		8,142
2027		8,246		8,246
Thereafter		45,410		45,410
Total undiscounted lease payments		80,338		86,798
Imputed interest		(11,727)		(13,494)
Total operating lease liabilities	$	68,611	$	73,304

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 — The FHLBNY assumed CO discount notes in par amount of $6.1 billion from another FHLBank in the nine months ended September 30, 2023. No discount notes were assumed from another FHLBank in the same period in the prior year. No CO bonds were assumed from another FHLBank in the nine month ended September 30, 2023 and in the same period in the prior year.

Debt transfers — No debt was transferred to another FHLBank in the nine months ended September 30, 2023 and September 30, 2022.

53

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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 $3.3 million at September 30, 2023 and $3.8 million at December 31, 2022.

Fees paid to the FHLBank of Chicago for providing MPF program services were approximately $0.3 million and $0.9 million for the three and nine months ended September 30, 2023, compared to $0.3 million and $1.0 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, 2023 and December 31, 2022, outstanding notional amounts were $20.5 million and $33.0 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

For the nine months ended September 30, 2023, we extended $0.5 billion overnight loans to other FHLBanks compared to $4.3 billion for the same period in the prior year. Generally, loans made to other FHLBanks are uncollateralized. Interest income from such loans was immaterial in the periods in this report.

Borrowings from Other Federal Home Loan Banks

The FHLBNY borrows from other FHLBanks, generally for a period of one day. In the nine months ended September 30, 2023, the FHLBNY borrowed a total of $5.3 billion in overnight loans from other FHLBanks. There were no borrowings from other FHLBanks in the nine months ended September 30, 2022. Interest expense was immaterial.

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

The compensating cash balances held at Citibank was $15.0 million at September 30, 2023. There was no compensating cash balances at December 31, 2022. Citibank is a member and stockholder of the FHLBNY. For more information, see Note 3. Cash and Due from Banks.

54

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

Related Party: Outstanding Assets, Liabilities and Capital

	September 30, 2023		December 31, 2022
	Related		Related
Assets
Advances	$	101,488,375	$	115,292,876
Accrued interest receivable		423,089		352,578
Liabilities and capital
Deposits	$	2,721,267	$	1,026,937
Mandatorily redeemable capital stock		7,273		4,578
Accrued interest payable		203		82
Affordable Housing Program (a)		170,861		131,394
Capital	$	7,882,066	$	8,347,383

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

Related Party: Income and Expense Transactions

	Three months ended September 30,				Nine months ended September 30,
	2023		2022		2023		2022
	Related		Related		Related		Related
Interest income
Advances	$	1,435,895	$	565,508	$	4,493,759	$	914,365
Interest-bearing deposits		3		1		10		2
Loans to other FHLBanks		—		156		71		228
Interest expense
Deposits	$	39,638	$	4,538	$	84,556	$	6,364
Mandatorily redeemable capital stock		216		271		459		1,162
Cash collateral held and other borrowings		—		—		1,521		—
Service fees and other	$	5,086	$	4,114	$	15,530	$	12,254

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.

55

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

	September 30, 2023
					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	$	17,500,000	16.95	%	$	250,112		30.73	%	$	695,143	28.58	%
MetLife, Inc.:
Metropolitan Life Insurance Company	New York	NY		13,535,000	13.11			125,555		15.43			346,539	14.25
Metropolitan Tower Life Insurance Company	New York	NY		1,555,000	1.51			15,426		1.90			40,730	1.67
Subtotal MetLife, Inc.				15,090,000	14.62			140,981		17.33			387,269	15.92
Flagstar Bank, N.A. (b)	Hicksville	NY		11,623,000	11.26			119,922		14.73			402,560	16.56
Equitable Financial Life Insurance Company	New York	NY		8,180,519	7.93			111,060		13.65			305,879	12.58
Manufacturers and Traders Trust Company	Buffalo	NY		6,200,162	6.01			64,823		7.96			213,575	8.78
Teachers Ins. & Annuity Assoc of America	New York	NY		6,009,600	5.82			59,281		7.28			179,952	7.41
Prudential Insurance Company of America	Newark	NJ		2,619,250	2.54			21,020		2.58			62,376	2.56
New York Life Insurance Company	New York	NY		2,593,200	2.51			22,580		2.77			72,445	2.98
Goldman Sachs Bank USA	New York	NY		2,000,000	1.94			3,068		0.38			63,552	2.61
Provident Bank (b)	Jersey City	NJ		1,942,231	1.88			21,092		2.59			49,152	2.02
Total			$	73,757,962	71.46	%	$	813,939		100.00	%	$	2,431,903	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 these members served on the Board of Directors of the FHLBNY as a Member Director.

	December 31, 2022
					Percentage of
			Par		Total Par Value		Twelve Months
	City	State	Advances		of Advances		Interest Income		Percentage (a)
Citibank, N.A.	New York	NY	$	19,250,000	16.46	%	$	332,309		24.51	%
Flagstar Bank, N.A. (b)(c)	Hicksville	NY		15,775,000	13.49			244,568		18.04
MetLife, Inc.:
Metropolitan Life Insurance Company	New York	NY		13,535,000	11.58			253,973		18.73
Metropolitan Tower Life Insurance Company	New York	NY		1,405,000	1.20			21,673		1.60
Subtotal MetLife, Inc.				14,940,000	12.78			275,646		20.33
Signature Bank	New York	NY		11,283,738	9.65			61,762		4.56
Equitable Financial Life Insurance Company	New York	NY		8,501,263	7.27			155,524		11.47
Teachers Ins. & Annuity Assoc. of America	New York	NY		7,084,800	6.06			127,885		9.43
New York Life Insurance Company	New York	NY		3,638,000	3.11			64,737		4.78
Manufacturers and Traders Trust Company	Buffalo	NY		3,200,169	2.74			12,657		0.93
Prudential Insurance Company of America	Newark	NJ		2,619,250	2.24			36,766		2.71
ESL Federal Credit Union	Rochester	NY		2,561,931	2.19			43,941		3.24
Total			$	88,854,151	75.99	%	$	1,355,795		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 served on the Board of Directors of the FHLBNY as a Member Director.

(c) Non-Member institution Flagstar Bank, FSB merged into FHLBNY member New York Community Bank, on December 1, 2022. Surviving entity renamed Flagstar Bank, N.A. as a member of the FHLBNY.

56

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

	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.

57

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, 2022, filed with the SEC on March 17, 2023 (the “2022 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 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 or government-sponsored enterprise 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 2022 Annual Report, and the risks set forth below:

● changes in economic and market conditions, including the evolving risks relating to the March 2023 U.S. banking sector liquidity crisis;

● changes in demand for Bank advances and other products resulting from changes in members’ and FDIC deposit flows and members’ 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;

58

● significant business disruptions resulting from natural or other disasters (including, but not limited to, health emergencies such as pandemics or epidemics), 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.

59

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	61
Third Quarter 2023 Financial Results	61
Financial Condition	62
Financial Condition	67
Advances	69
Investments	75
Mortgage Loans Held-for-Portfolio, Net	80
Debt Financing Activity and Consolidated Obligations	81
Stockholders’ Capital	87
Derivative Instruments and Hedging Activities	89
Liquidity, Cash Flows, Short-Term Borrowings and Short-Term Debt	91
Results of Operations	95
Net Income	95
Net Interest Income, Interest Rate Margin and Interest Rate Spreads	96
Interest Income	102
Interest Expense	105
Analysis of Non-Interest Income (Loss)	106
Operating Expenses, Compensation and Benefits, and Other Expenses	108
Assessments	109
Legislative and Regulatory Developments	110

MD&A TABLE REFERENCE
Table(s)	Description	Page(s)
	Selected Financial Data	65-66
1.1	Financial Condition	67
2.1 - 2.8	Advances	69-74
3.1 - 3.8	Investments	75-79
4.1 - 4.3	Mortgage Loans	80-81
5.1 - 5.10	Consolidated Obligations	82-86
6.1 - 6.4	Capital	87-89
7.1	Derivatives	90-91
8.1 - 8.3	Liquidity	92-93
9.1 - 9.11	Results of Operations	95-108
10.1	Assessments	109

60

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 2022 Form 10-K filed on March 17, 2023.

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.

The third quarter of 2023 featured continued support of liquidity to our members as their liquidity positions stabilized from the temporary but widespread liquidity crisis within the U.S. banking sector that occurred in the first quarter of 2023. There was reduced advances demand and the Bank’s par advances position decreased to $103.2 billion at September 30, 2023 from $110.2 billion at June 30, 2023. Through the third quarter of 2023, the Bank has met the liquidity demands of our members through reliable and uninterrupted funding.

FHLBank System at 100: Focusing on the Future Report. The Federal Housing Finance Agency (FHFA) has released its FHLBank System at 100: Focusing on the Future Report. The Bank is reviewing the recommendations and will engage with the FHFA, Congress, our Board, our members, and employees in the weeks and months ahead to continue delivering on our mission. We are unable to determine at this time the impact that the report’s recommendations will have on our financial condition and results of operations. We will be engaging with the FHFA and other stakeholders over the coming weeks and months to ensure that the FHLB System remains well positioned to serve our members and their communities.

On March 12, 2023, Bank member Signature Bank was closed by the New York State Department of Financial Services, which appointed the Federal Deposit Insurance Corporation (“FDIC”) as receiver. The FDIC transferred all the deposits and substantially all of the assets of Signature Bank to Signature Bridge Bank, N.A., an entity that was operated and managed by the FDIC. As of June 30, 2023 Signature Bridge Bank, N.A had $4.7 billion in advances outstanding and no letters of credit outstanding. As of July 20, 2023, all remaining advances balances were fully paid.

Third Quarter 2023 Financial Results

Net income — Net income for the third quarter of 2023 was $181.9 million, an increase of $52.4 million, or 40.4%, from net income of $129.5 million for the same period in 2022. 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 cost of debt.

Net Interest Income — Net interest income for the third quarter of 2023 was $242.5 million, an increase of $73.9 million, or 43.9%, from $168.6 million for the same period in 2022. This increase was primarily attributed to an increase in interest rate yields of 285 basis points and in average earning assets balances by $22.9 billion in the third quarter of 2023 compared with the same period in 2022. Average advances balances increased $13.4 billion to $100.0 billion in the third quarter of 2023, up from $86.6 billion in the same period in 2022. In the third quarter of 2023, overnight and short-term investments in federal funds and overnight repurchase agreements benefited from rising yields for money market investments. While funding costs were also higher in line with the rising rate environment, cost of funding continued to benefit from favorable investor demand for Consolidated obligation short-term and floating-rate bonds. Net interest spread decreased to 32 basis points in the third quarter of 2023 compared to 38 basis points in the same period in 2022.

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Return on average equity (ROE) for the third quarter of 2023 was 9.13%, compared to ROE of 7.39% for the same period in 2022.

Other income (loss) — Other income (loss) decreased by $12.3 million, resulting from a smaller gain of $11.7 million in the third quarter of 2023 compared to a gain of $24.0 million in the same period in 2022. Primary components are summarized below:

● Financial instruments carried at fair values — In 2023 third quarter, FVO instruments reported valuation losses of $18.1 million. In 2022 third quarter, FVO instruments reported fair value gains of $96.7 million.

● Derivative activities reported gains in Other income of $79.3 million in the third quarter of 2023, compared to gains of $78.2 million in the third quarter of 2022. These gains were primarily from Interest rate swaps designated as economic hedges of fixed-rate treasury securities. The fair value gains on Interest rate swaps in economic hedges largely offset the marked-to-market valuation of the portfolio of U.S. Treasury securities held for liquidity.

● U.S. Treasury Securities held for liquidity (classified as trading) reported marked-to-market losses of $51.7 million and $151.2 million in the third quarter of 2023 and 2022, 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 a non-qualified pension plan, reported net losses of $2.8 million in the third quarter of 2023, compared to net losses of $4.0 million in the prior year period.

Other expenses were $52.1 million for the third quarter of the current year, compared to $48.8 million for 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 $20.2 million for the third quarter of the current year, compared to $14.4 million for the same period in the prior year. Assessments are calculated as a percentage of Net income, and changes in allocations were relative with changes in Net income.

Dividend payments — A quarterly cash dividend of $2.12 per share (8.50% annualized) was paid in the third quarter of the current year, compared to $1.37 per share (5.50% annualized) in the same period of the prior year.

Financial Condition — September 30, 2023 compared to December 31, 2022

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

Total assets decreased to $144.4 billion at September 30, 2023 from $157.4 billion at December 31, 2022, a decrease of $13.0 billion, or 8.2%. As of September 30, 2023, advances were $101.5 billion, a decrease of $13.8 billion, or 12.0%, from $115.3 billion at December 31, 2022.

Cash at banks was $46.6 million at September 30, 2023, compared to $27.4 million at December 31, 2022.

Liquidity investments — Money market investments at September 30, 2023 were $11.0 billion in federal funds sold and $1.0 billion in overnight resale agreements. At December 31, 2022, money market investments were $9.5 billion in federal funds sold and $4.2 billion in overnight resale agreements. Balances decreased slightly as we continue to ensure an ample supply of funds to meet potential liquidity demands from members in the aftermath of the banking crisis in mid-March. Money market investments also included interest-bearing deposits at highly-rated financial institutions. Balances were $2.5 billion and $1.8 billion at September 30, 2023 and December 31, 2022, respectively.

For liquidity, we maintain a portfolio of U.S. Treasury securities designated as trading to meet short-term contingency liquidity needs. Balances were $4.8 billion and $7.1 billion at September 30, 2023 and December 31, 2022, respectively.

Our liquidity position remains strong, and in compliance with all regulatory requirements, and we do not foresee any changes to that position. In addition to the liquidity trading portfolio and assets discussed above, liquid assets included $7.4 billion at September 30, 2023 and $6.0 billion at December 31, 2022 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 such as deposit liquidity and operational liquidity, and other liquidity buffers.

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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 decreased at September 30, 2023 to $103.2 billion, compared to $116.9 billion at December 31, 2022. Short-term fixed-rate advances decreased by 49.1% to $12.6 billion at September 30, 2023, down from $24.7 billion at December 31, 2022. ARC advances, which are adjustable-rate borrowings, increased by 15.4% to $28.9 billion at September 30, 2023, compared to $25.1 billion at December 31, 2022. Given that advances are always well collateralized, a provision for credit losses 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 $410.2 million and $462.1 million at September 30, 2023 and December 31, 2022, 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 $7.0 billion and $5.5 billion at September 30, 2023 and December 31, 2022, 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, 2023, slightly lower than the balance at December 31, 2022.

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. Fixed- and floating-rate mortgage-backed securities in the HTM portfolio were $11.8 billion and $9.2 billion at September 30, 2023 and December 31, 2022, respectively. No allowance for credit losses were deemed necessary for GSE-issued investments. Allowance for credit losses was $0.5 million on private-label MBS at September 30, 2023 versus $0.2 million at December 31, 2022.

In the HTM portfolio, State and local housing finance agency obligations were $0.2 billion at September 30, 2023 and December 31, 2022. Allowance for credit losses on State and local housing finance agency obligations in HTM portfolio was $0.1 million at September 30, 2023, slightly lower than the balance at December 31, 2022.

Equity Investments — We own grantor trusts that invest in highly-liquid registered mutual funds. Funds are classified as Equity Investments and were carried on the balance sheet at fair values of $84.7 million at September 30, 2023 and $81.8 million at December 31, 2022.

Mortgage loans held-for-portfolio — Mortgage loans are 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 $1.7 billion at September 30, 2023, a decrease of $112.6 million from the balance at December 31, 2022. Unpaid principal balance of MAP loans stood at $393.1 million at September 30, 2023 compared to $221.1 million at December 31, 2022.

Historically, credit performance has been strong in the MPF and MAP portfolio and delinquencies have been 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, 2023, were lower than December 31, 2022. Allowance for credit losses increased to $3.4 million at September 30, 2023 compared to $1.9 million at December 31, 2022. The Bank transitioned models in June of 2023 and the newly adopted model assumptions are different than the prior model.

Capital ratios — Our capital position remains strong. At September 30, 2023, actual risk-based capital was $8.1 billion compared to $8.5 billion at December 31, 2022. Required risk-based capital was $989.9 million at September 30, 2023 compared to $749.5 million at December 31, 2022. To support $144.4 billion of total assets at September 30, 2023, the minimum required total capital was $5.8 billion or 4.0% of assets. Our actual regulatory risk-based capital was $8.1 billion, exceeding required total capital by $2.3 billion. These ratios have remained consistently above the required regulatory ratios through all periods in this report.

Leverage — At September 30, 2023 balance sheet leverage (based on U.S. GAAP) was 18.3 times shareholders’ equity compared to 18.9 times at December 31, 2022. Balance sheet leverage has generally remained steady over the last several years, although from

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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. Summary of Significant Accounting Policies in this Form 10-Q and in the 2022 Form 10-K filed on March 17, 2023.

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Selected Financial Data (Unaudited).

Statements of Condition	September 30,			June 30,			March 31,			December 31,			September 30,
(dollars in millions)	2023			2023			2023			2022			2022
Investments (a)	$	39,955		$	59,806		$	56,765		$	39,103		$	35,514
Advances		101,488			108,573			126,251			115,293			91,871
Mortgage loans held-for-portfolio, net (b)		2,165			2,139			2,094			2,107			2,136
Total assets		144,421			171,408			185,937			157,391			130,130
Deposits and borrowings		2,721			2,927			3,782			1,027			1,115
Consolidated obligations, net
Bonds		96,374			101,049			112,475			85,498			72,174
Discount notes		36,397			57,912			59,922			61,793			49,030
Total consolidated obligations		132,771			158,961			172,397			147,291			121,204
Mandatorily redeemable capital stock		7			7			6			5			11
AHP liability		171			159			144			131			125
Capital
Capital stock		5,750			6,362			6,860			6,387			5,331
Retained earnings
Unrestricted		1,291			1,288			1,238			1,185			1,149
Restricted		1,030			994			951			911			880
Total retained earnings		2,321			2,282			2,189			2,096			2,029
Accumulated other comprehensive income (loss)		(189)			(126)			(182)			(136)			(177)
Total capital		7,882			8,518			8,867			8,347			7,183
Equity to asset ratio (c)(j)		5.46	%		4.97	%		4.77	%		5.30	%		5.52	%

	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)	2023		2023		2023		2022			2022	2023		2022
Investments (a)	$	47,125	$	57,880	$	44,793	$	37,624	$	37,433	$	49,941	$	36,163
Advances		100,026		122,518		115,452		97,606		86,597		112,609		77,740
Mortgage loans held-for-portfolio, net		2,150		2,122		2,099		2,121		2,154		2,124		2,211
Total assets		151,570		184,653		166,562		139,664		127,737		167,540		117,661
Interest-bearing deposits and other borrowings		3,044		2,825		3,060		966		920		2,976		1,062
Consolidated obligations, net
Bonds		96,223		108,638		98,634		76,116		67,336		101,156		60,937
Discount notes		41,562		62,001		53,910		52,814		50,766		52,446		47,294
Total consolidated obligations		137,785		170,639		152,544		128,930		118,102		153,602		108,231
Mandatorily redeemable capital stock		9		7		6		5		11		7		29
AHP liability		162		146		136		126		125		148		133
Capital
Capital stock		5,777		6,762		6,390		5,592		5,119		6,307		4,759
Retained earnings
Unrestricted		1,270		1,235		1,185		1,149		1,111		1,231		1,101
Restricted		1,007		965		924		891		862		966		846
Total retained earnings		2,277		2,200		2,109		2,040		1,973		2,197		1,947
Accumulated other comprehensive income (loss)		(147)		(167)		(119)		(204)		(141)		(145)		(88)
Total capital		7,907		8,795		8,380		7,428		6,951		8,359		6,618

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
Operating Results and Other Data	September 30,			June 30,			March 31,			December 31,			September 30,			September 30,			September 30,
(dollars in millions, except earnings and dividends per share, and headcount)	2023			2023			2023			2022			2022			2023			2022
Net income	$	182		$	215		$	199		$	154		$	130		$	596		$	263
Net interest income (d)		242			275			230			196			169			747			438
Dividends paid in cash (e)		143			122			106			87			64			371			165
AHP expense		20			24			22			17			14			66			29
Return on average equity (f)(g)(j)		9.13	%		9.84	%		9.61	%		8.25	%		7.39	%		9.54	%		5.31	%
Return on average assets (g)(j)		0.48	%		0.47	%		0.48	%		0.44	%		0.40	%		0.48	%		0.30	%
Other non-interest income (loss)		12			18			41			33			24			71			(4)
Operating expenses (h)		45			44			44			50			42			133			119
Finance Agency and Office of Finance expenses		5			5			5			5			5			15			16
Total other expenses (k)		52			52			50			58			49			154			142
Operating expenses ratio (g)(i)(j)		0.12	%		0.10	%		0.11	%		0.14	%		0.13	%		0.11	%		0.13	%
Earnings per share	$	3.15		$	3.19		$	3.11		$	2.88		$	2.61		$	9.45		$	5.52
Dividends per share	$	2.12		$	1.91		$	1.89		$	1.70		$	1.37		$	5.92		$	3.64
Headcount (Full/part time)		341			335			333			327			333			341			333

(a) Investments include trading securities, available-for-sale securities, held-to-maturity securities, 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 were $3.4 million, $3.5 million, $1.8 million, $1.9 million and $1.7 million for the periods ended September 30, 2023, June 30, 2023, March 31, 2023, December 31, 2022 and September 30, 2022, 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 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, 2023		December 31, 2022		dollar amount		percentage
Assets
Cash and due from banks	$	46,642	$	27,420	$	19,222	70.10	%
Interest-bearing deposits		2,545,000		1,750,000		795,000	45.43
Securities purchased under agreements to resell		995,000		4,245,000		(3,250,000)	(76.56)
Federal funds sold		11,020,000		9,470,000		1,550,000	16.37
Trading securities		4,848,969		7,113,419		(2,264,450)	(31.83)
Equity Investments		84,670		81,754		2,916	3.57
Available-for-sale securities		8,495,170		7,088,870		1,406,300	19.84
Held-to-maturity securities		11,966,402		9,354,048		2,612,354	27.93
Advances		101,488,375		115,292,876		(13,804,501)	(11.97)
Mortgage loans held-for-portfolio		2,164,526		2,106,969		57,557	2.73
Accrued interest receivable		514,567		437,823		76,744	17.53
Premises, software, and equipment		71,403		77,710		(6,307)	(8.12)
Operating lease right-of-use assets		56,250		60,338		(4,088)	(6.78)
Derivative assets		110,399		163,921		(53,522)	(32.65)
Other assets		13,757		121,341		(107,584)	(88.66)
Total assets	$	144,421,130	$	157,391,489	$	(12,970,359)	(8.24)	%
Liabilities
Deposits
Interest-bearing demand	$	2,713,465	$	1,015,991	$	1,697,474	167.08	%
Non-interest-bearing demand		7,802		10,946		(3,144)	(28.72)
Total deposits		2,721,267		1,026,937		1,694,330	164.99
Consolidated obligations
Bonds		96,374,534		85,497,755		10,876,779	12.72
Discount notes		36,396,962		61,792,989		(25,396,027)	(41.10)
Total consolidated obligations		132,771,496		147,290,744		(14,519,248)	(9.86)
Mandatorily redeemable capital stock		7,273		4,578		2,695	58.87
Accrued interest payable		633,954		370,456		263,498	71.13
Affordable Housing Program		170,861		131,394		39,467	30.04
Derivative liabilities		33,811		15,333		18,478	120.51
Other liabilities		131,791		131,360		431	0.33
Operating lease liabilities		68,611		73,304		(4,693)	(6.40)
Total liabilities		136,539,064		149,044,106		(12,505,042)	(8.39)
Capital		7,882,066		8,347,383		(465,317)	(5.57)
Total liabilities and capital	$	144,421,130	$	157,391,489	$	(12,970,359)	(8.24)	%

Balance Sheet overview September 30, 2023 and December 31, 2022

Total assets decreased to $144.4 billion at September 30, 2023 from $157.4 billion at December 31, 2022, a decrease of $13.0 billion, or 8.2%.

Cash at banks was $46.6 million at September 30, 2023, compared to $27.4 million at December 31, 2022.

Money market investments at September 30, 2023 were $11.0 billion in federal funds sold and $1.0 billion in overnight resale agreements. At December 31, 2022, money market investments were $9.5 billion in federal funds sold and $4.2 billion in overnight resale agreements. Balances decreased slightly as we continue to ensure an ample supply of funds to meet liquidity demands. Federal funds sold averaged $16.5 billion, $11.5 billion and $12.3 billion in the third quarter of 2023, the fourth quarter of 2022 and the third quarter of 2022, respectively. Resale agreements averaged $2.5 billion, $225.2 million and $28.3 million in the third quarter of 2023, the fourth quarter of 2022 and the third quarter of 2022, respectively. Money market investments also included interest-bearing deposits at highly-rated financial institutions. Balances were $2.5 billion and $1.8 billion at September 30, 2023 and December 31, 2022, respectively.

Advances — Par balances decreased at September 30, 2023 to $103.2 billion, compared to $116.9 billion at December 31, 2022. Short-term fixed-rate advances decreased by 49.1% to $12.6 billion at September 30, 2023, down from $24.7 billion at December 31, 2022. ARC advances, which are adjustable-rate borrowings, increased by 15.4% to $28.9 billion at September 30, 2023, compared to $25.1 billion at December 31, 2022.

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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 $410.2 million at September 30, 2023 and $462.1 million at December 31, 2022. 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 $7.0 billion at September 30, 2023 and $5.5 billion at December 31, 2022. We acquired $1.8 billion (par) of fixed-rate GSE-issued MBS in the first three quarters of 2023.

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, 2023, slightly lower than the balance at December 31, 2022.

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. Fixed- and floating-rate mortgage-backed securities in the HTM portfolio were $11.8 billion at September 30, 2023 and $9.2 billion at December 31, 2022. We acquired $3.1 billion (par) of floating-rate and $0.1 billion (par) of fixed-rate GSE-issued MBS in the first three quarters of 2023.

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, 2023 and December 31, 2022.

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, 2023, trading investments were $4.8 billion in U.S. Treasury securities. At December 31, 2022, trading investments were $7.1 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 grantor trusts that invest in highly-liquid registered mutual funds. Funds are classified as Equity Investments and were carried on the balance sheet at fair values of $84.7 million at September 30, 2023 and $81.8 million at December 31, 2022.

Mortgage loans held-for-portfolio — Mortgage loans are investments in Mortgage Partnership Finance loans (MPF or MPF Program) and Mortgage Asset Program (MAP). Unpaid principal balance of MPF loans stood at $1.7 billion at September 30, 2023, a decrease of $112.6 million from the balance at December 31, 2022. Loans are primarily fixed-rate, single-family mortgages acquired through the MPF Program. Unpaid principal balance of MAP loans stood at $393.1 million at September 30, 2023, an increase of $172.0 million from the balance at December 31, 2022. Paydowns for the total portfolio for nine months ended September 30, 2023 were $125.0 million compared to $235.4 million for the same period in 2022. Acquisitions for the nine months ended September 30, 2023 were $188.9 million compared to $57.2 million for the same period in 2022. 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 declining, 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, 2023 were lower than December 31, 2022. Allowance for credit losses increased to $3.4 million at September 30, 2023 compared to $1.9 million at December 31, 2022.

Capital ratios — Our capital position remains strong. At September 30, 2023, actual risk-based capital was $8.1 billion compared to $8.5 billion at December 31, 2022. Required risk-based capital was $989.9 million at September 30, 2023 compared to $749.5 million at December 31, 2022. To support $144.4 billion of total assets at September 30, 2023, the minimum required total capital was $5.8 billion or 4.0% of assets. Our actual regulatory risk-based capital was $8.1 billion, exceeding required total capital by $2.3 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, 2023 balance sheet leverage (based on U.S. GAAP) was 18.3 times shareholders’ equity compared to 18.9 times at December 31, 2022. 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, 2023 included $31.2 million as demand cash balances at the FRBNY, $12.0 billion in short-term and overnight investments in the federal funds and resale agreements, and $7.4 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, including deposit liquidity and operational liquidity, and other liquidity buffers.

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 FHLBNY has transitioned all LIBOR-indexed instruments, and has no LIBOR exposure at September 30, 2023.

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 $101.5 billion at September 30, 2023 and $115.3 billion at December 31, 2022. Carrying values included cumulative hedging basis adjustment losses of $1.7 billion at September 30, 2023 and $1.6 billion at December 31, 2022.

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Table 2.1    Advance Trends

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.

Our regulator, the Federal Housing Finance Agency (FHFA), has a tangible capital requirement for members that differs from their primary regulators’ definition. 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.

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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, 2023					December 31, 2022
			Percentage					Percentage
	Amounts		of Total			Amounts		of Total
Adjustable Rate Credit - ARCs	$	28,913,390		28.01	%	$	25,063,390	21.43	%
Fixed Rate Advances		54,581,116		52.88			54,523,869	46.64
Short-Term Advances		12,552,624		12.16			24,674,722	21.10
Mortgage Matched Advances		372,709		0.36			78,639	0.07
Overnight & Line of Credit (OLOC) Advances		3,685,922		3.57			9,231,475	7.89
All other categories		3,116,722		3.02			3,357,759	2.87
Total par value		103,222,483		100.00	%		116,929,854	100.00	%
Advance discounts		(4,417)					(2,083)
Hedge valuation basis adjustments		(1,729,691)					(1,634,895)
Total	$	101,488,375				$	115,292,876

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, can be liquidated in due course, and the Bank has the ability to perfect its security interest. The FHLBNY also has a statutory lien priority with respect to certain member assets under the FHLBank Act as well as a claim on FHLBNY capital stock held by our members. The FHLBNY’s loan and collateral agreements give the Bank security interest in assets held by borrowers that is sufficient to cover their obligations to the FHLBNY. FHLBNY may supplement this security interest by imposing additional collateral delivery requirements on our member borrowers based on the overall financial strength of the member. To ensure that the FHLBNY has sufficient collateral to cover credit extensions, the FHLBNY has established a Collateral Lendable Value methodology. This methodology ensures that the FHLBNY remains fully collateralized by establishing risk-based lendable values for each pledged collateral type. These lendable values are periodically reassessed to ensure that they are reflective of current market conditions.

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, 2023	$	103,222,483	$	19,429,670	$	122,652,153	$	360,325,485	$	67,025,205	$	427,350,690
December 31, 2022	$	116,929,854	$	22,790,754	$	139,720,608	$	338,641,587	$	81,962,704	$	420,604,291

(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.

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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, 2023	$	68,203,805	$	359,146,885	$	427,350,690
December 31, 2022	$	82,658,830	$	337,945,461	$	420,604,291

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, 2023					December 31, 2022
			Percentage					Percentage
	Amount		of Total			Amount		of Total
Fixed-rate (a)	$	72,631,336		70.36	%	$	90,424,460	77.33	%
Variable-rate (b)		30,585,390		29.63			26,505,390	22.67
Variable-rate capped or floored (c)		—		—			—	—
Overdrawn demand deposit accounts		5,757		0.01			4	—
Total par value		103,222,483		100.00	%		116,929,854	100.00	%
Advance discounts		(4,417)					(2,083)
Hedge valuation basis adjustments		(1,729,691)					(1,634,895)
Total	$	101,488,375				$	115,292,876

(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, 2023, with only 7.2% of advances in the remaining maturity bucket of greater than 5 years (6.5% at December 31, 2022). 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, 2023					December 31, 2022				Change
Redemption Term (dollars in thousands)	Amount		Percentage			Amount		Percentage		Amount		Percentage
Fixed-rate
Due in 1 year or less	$	41,814,027		40.51	%	$	61,444,708	52.55	%	$	(19,630,681)	(31.95)	%
Due after 1 year through 3 years		13,973,305		13.54			14,399,676	12.31			(426,371)	(2.96)
Due after 3 years through 5 years		8,567,640		8.30			6,405,303	5.48			2,162,337	33.76
Due after 5 years through 15 years		4,355,654		4.22			4,085,973	3.49			269,681	6.60
Thereafter		51		—			161	—			(110)	(68.32)
Total principal amount		68,710,677		66.57			86,335,821	73.83			(17,625,144)	(20.41)
Fixed-rate, putable
Due in 1 year or less		—		—			—	—			—	NM
Due after 1 year through 3 years		112,450		0.11			—	—			112,450	NM
Due after 3 years through 5 years		1,368,000		1.33			1,505,000	1.29			(137,000)	(9.10)
Due after 5 years through 15 years		2,067,500		2.00			2,505,000	2.14			(437,500)	(17.47)
Thereafter		—		—			—	—			—	NM
Total principal amount		3,547,950		3.44			4,010,000	3.43			(462,050)	(11.52)
Variable-rate
Due in 1 year or less		24,686,390		23.92			21,493,000	18.38			3,193,390	14.86
Due after 1 year through 3 years		4,679,000		4.53			3,792,390	3.24			886,610	23.38
Due after 3 years through 5 years		220,000		0.21			220,000	0.19			—	—
Due after 5 years through 15 years		1,000,000		0.97			1,000,000	0.86			—	—
Thereafter		—		—			—	—			—	NM
Total principal amount		30,585,390		29.63			26,505,390	22.67			4,080,000	15.39
Variable-rate, callable or prepayable (a)
Due in 1 year or less		—		—			—	—			—	NM
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		—		—			—	—			—	NM
Other (b)
Due in 1 year or less		69,878		0.07			33,362	0.03			36,516	NM
Due after 1 year through 3 years		123,108		0.11			28,356	0.02			94,752	NM
Due after 3 years through 5 years		175,399		0.16			11,459	0.01			163,940	NM
Due after 5 years through 15 years		4,048		0.01			4,985	0.01			(937)	(18.80)
Thereafter		276		—			477	—			(201)	(42.14)
Total principal amount		372,709		0.35			78,639	0.07			294,070	NM
Overdrawn and overnight deposit accounts		5,757		0.01			4	—			5,753	NM
Total principal amount advances		103,222,483		100.00	%		116,929,854	100.00	%		(13,707,371)	(11.72)	%
Other adjustments, net (c)		(1,734,108)					(1,636,978)				(97,130)
Total advances	$	101,488,375				$	115,292,876			$	(13,804,501)

(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, 2023		December 31, 2022
Qualifying hedges
Fixed-rate bullets (a)	$	50,223,424	$	39,392,241
Fixed-rate putable (b)		3,547,950		4,010,000
Fixed-rate with embedded cap		—		350,000
Total qualifying hedges	$	53,771,374	$	43,752,241
Aggregate par amount of advances hedged (c)	$	53,940,574	$	44,070,441
Fair value basis (hedging adjustments)	$	(1,729,691)	$	(1,634,895)

(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 benchmark rates (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, 2023 and December 31, 2022, there was no basis swaps outstanding. 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, 2023		December 31, 2022
Putable (a)	$	3,547,950	$	4,010,000
No-longer putable/callable	$	—	$	—

(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.

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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 of such investments if liquidity needs are met and market conditions deem the sale as advantageous.

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 trusts, 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
	2023		2022		Variance		Variance
State and local housing finance agency obligations, net (a)
Available-for-sale securities, at fair value	$	1,105,248	$	1,109,029	$	(3,781)	(0.34)	%
Held-to-maturity securities, at carrying value, net		168,910		177,117		(8,207)	(4.63)
Total HFA securities		1,274,158		1,286,146		(11,988)	(0.93)
Trading securities (b)		4,848,969		7,113,419		(2,264,450)	(31.83)
Mortgage-backed securities
Available-for-sale securities, at fair value (c)		7,389,922		5,979,841		1,410,081	23.58
Held-to-maturity securities, at carrying value, net (c)		11,797,492		9,176,931		2,620,561	28.56
Total MBS securities		19,187,414		15,156,772		4,030,642	26.59
Equity investments in Grantor trust (d)		84,670		81,754		2,916	3.57
Interest-bearing deposits		2,545,000		1,750,000		795,000	45.43
Securities purchased under agreements to resell		995,000		4,245,000		(3,250,000)	(76.56)
Federal funds sold		11,020,000		9,470,000		1,550,000	16.37
Total Investments	$	39,955,211	$	39,103,091	$	852,120	2.18	%

(a) State and local housing finance agency bonds are designated as both AFS, carried at fair values and HTM, carried at carrying value. There were no acquisitions of State and local housing finance agency bonds for the nine months ended September 30, 2023. Payments from HTM portfolio were $8.2 million and payments from the AFS portfolio were $3.1 million.

(b) Trading securities comprised of U.S. Treasury securities at September 30, 2023 and are carried at fair value. Trading portfolio is for liquidity and not for speculative purposes. We acquired $700.0 million par of U.S. Treasury notes during the three quarters of 2023.

(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 trusts 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, 2023						December 31, 2022
					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	$	2,342,517	$	2,308,715	29.72	%	$	2,099,507	$	2,071,390	25.15	%
Freddie Mac		16,798,485		16,264,431	213.12			13,001,618		12,604,915	155.76
Ginnie Mae		6,725		6,725	0.09			7,477		7,477	0.09
All Others - PLMBS		39,687		42,227	0.50			48,170		52,016	0.58
Non-MBS, net (b)		1,274,158		1,261,819	16.17			1,286,146		1,272,277	15.41
Total Investment Debt Securities	$	20,461,572	$	19,883,917	259.60	%	$	16,442,918	$	16,008,075	196.98	%
Categorized as:
Available-for-Sale Securities	$	8,495,170	$	8,495,170			$	7,088,870	$	7,088,870
Held-to-Maturity Securities, net	$	11,966,402	$	11,388,747			$	9,354,048	$	8,919,205

(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, 2023
									Below
									Investment
	AAA-rated (a)		AA-rated (b)		A-rated		BBB-rated		Grade		Total
Mortgage-backed securities	$	116	$	11,757,995	$	28,957	$	236	$	10,188	$	11,797,492
State and local housing finance agency obligations		—		168,910		—		—		—		168,910
Total Long-term securities	$	116	$	11,926,905	$	28,957	$	236	$	10,188	$	11,966,402

	December 31, 2022
									Below
									Investment
	AAA-rated (a)		AA-rated (b)		A-rated		BBB-rated		Grade		Total
Mortgage-backed securities	$	140	$	9,128,951	$	35,898	$	382	$	11,560	$	9,176,931
State and local housing finance agency obligations		—		175,974		1,143		—		—		177,117
Total Long-term securities	$	140	$	9,304,925	$	37,041	$	382	$	11,560	$	9,354,048

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, 2023
									Below
									Investment
	AAA-rated (a)		AA-rated (b)		A-rated		BBB-rated		Grade		Total
Mortgage-backed securities	$	—	$	7,389,922	$	—	$	—	$	—	$	7,389,922
State and local housing finance agency obligations		12,365		1,092,883		—		—		—		1,105,248
Total Long-term securities	$	12,365	$	8,482,805	$	—	$	—	$	—	$	8,495,170

	December 31, 2022
									Below
									Investment
	AAA-rated (a)		AA-rated (b)		A-rated		BBB-rated		Grade		Total
Mortgage-backed securities	$	—	$	5,979,841	$	—	$	—	$	—	$	5,979,841
State and local housing finance agency obligations		14,622		1,093,657		—		750		—		1,109,029
Total Long-term securities	$	14,622	$	7,073,498	$	—	$	750	$	—	$	7,088,870

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, 2023				December 31, 2022
	Amortized		Weighted		Amortized		Weighted
	Cost		Average Rate (a)		Cost		Average Rate (a)
Mortgage-backed securities
Due in one year or less	$	484,434	3.29	%	$	375,711	3.04	%
Due after one year through five years		6,384,139	3.69			5,610,679	3.36
Due after five years through ten years		9,358,893	3.41			7,654,366	2.83
Due after ten years		3,266,193	5.34			1,750,120	3.80
Total Mortgage-backed securities	$	19,493,659	3.82	%	$	15,390,876	3.14	%

(a) Average yields are derived by dividing interest income by the average amortized cost balances of the related maturity bucket.

A significant portion of the MBS portfolio consists of floating-rate securities and the weighted average rates will change in tandem with changes in the SOFR-OIS.

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, 2023		December 31, 2022
Current face value of hedged CMBS	$	6,612,604	$	4,787,741
Partial-term hedge face value of hedged CMBS	$	5,944,000	$	4,263,000
Cumulative basis adjustment gains (losses)	$	(810,730)	$	(575,104)
Interest rate swap contracts (par)	$	5,944,000	$	4,263,000

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. The balance outstanding under such agreements were $1.0 billion at September 30, 2023 and $4.2 billion at December 31, 2022. Resale agreements averaged $2.5 billion and $225.2 million in the third quarter of 2023 and the fourth quarter of 2022, respectively. For more information, see financial statements, Note 4. Interest-bearing Deposits, Federal Funds Sold and Securities Purchased under Agreements to Resell.

Federal funds sold — Federal funds sold was $11.0 billion at September 30, 2023, and $9.5 billion at December 31, 2022, and averaged $16.5 billion and $11.5 billion in the third quarter of 2023 and the fourth quarter of 2022, respectively. Investments represent unsecured lending to major banks and financial institutions. We are a major lender in this market, particularly in the overnight market. The amount of unsecured credit risk that may be extended to individual counterparties is commensurate with the counterparty’s credit quality as assessed by our management, and the assessment would include reviews of credit ratings of counterparty’s debt securities or deposits as reported by NRSROs. Overnight and short-term federal funds allow us to warehouse funds and provide balance sheet liquidity to meet unexpected member borrowing demands.

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

Table 3.7    Trading Securities

	Trading Securities
	September 30, 2023		December 31, 2022
Par value	$	5,450,925	$	7,675,925
Amortized cost	$	5,259,278	$	7,486,397
Carrying/Fair value	$	4,848,969	$	7,113,419

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 of 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, 2023		December 31, 2022
Par/Face amounts of portfolio of U.S. Treasury fixed-rate securities (a)	$	5,450,925	$	7,675,925
Par amounts of interest rate swaps	$	5,450,925	$	7,775,925

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

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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, 2023, an increase of $59.4 million (net of acquisitions and paydowns) from the balance at December 31, 2022. Mortgage loan balances increased due to an increase in acquisitions. During 2023, the Bank purchased $188.9 million of mortgage loans from members and paydowns were $125.0 million. Mortgage loans were investments in Mortgage Partnership Finance loans (MPF or MPF Program) and Mortgage Asset Program (MAP). Serious delinquencies at September 30, 2023 were lower than December 31, 2022. Allowance for credit losses was $3.4 million at September 30, 2023, and $1.9 million at December 31, 2022. This increase was primarily due to the implementation of a new vendor model as our existing vendor exited this service.

Mortgage Partnership Finance Program — We invested 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. 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 MAP as a secondary market outlet for PFI members to fund mortgages and be competitive in offering fixed-rate mortgage loan products.

The FHLBNY was notified on November 3, 2023 by our MAP Master Servicer, Mr. Cooper, that it experienced a cyber incident involving an unauthorized third party accessing certain internal systems of Mr. Cooper. At this time, we do not believe any FHLBNY accounting data or MAP consumer privacy data has been affected. However, as part of its response protocols, Mr. Cooper has deployed containment measures to protect its systems and data, including locking down certain systems as a precautionary measure. As a result of these protocols, Participating Financial Institutions (PFI) may be delayed in uploading their monthly MAP servicing remittance reports to the Mr. Cooper website, until the situation is resolved, or other alternative reporting protocols are established. We do not believe that this incident will be material to our operations, and we will continue to work with Mr. Cooper and our MAP PFIs to obtain these accounting reports using alternative data transmission methods.

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, 2023		December 31, 2022
Federal Housing Administration and Veteran Administration insured loans	$	129,322	$	139,015
Conventional loans		1,638,377		1,743,571
Allowance for credit losses on mortgage loans		(2,351)		(1,665)
MPF loans held-for-portfolio, net (a)	$	1,765,348	$	1,880,921

(a) Balances represent MPF portfolio; MAP portfolio balance of $399.2 million as of September 30, 2023 and $226.0 million as of December 31, 2022 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.

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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, 2023				December 31, 2022
	Number of loans %		Amounts outstanding %		Number of loans %		Amounts outstanding %
New York State (a)	73.6	%	69.0	%	73.6	%	68.9	%

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

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

	September 30, 2023
		Mortgage	Percent of Total
		Loans	Mortgage Loans
Teachers Federal Credit Union	$	170,988	9.81	%
Bethpage Federal Credit Union		139,903	8.03
Citizens Bank, N.A. (a)		123,252	7.07
Webster Bank, N.A. (b)		116,467	6.69
Manasquan Bank		97,445	5.59
All Others		1,094,518	62.81
Total (c)	$	1,742,573	100.00	%

	December 31, 2022
	Mortgage		Percent of Total
	Loans		Mortgage Loans
Teachers Federal Credit Union	$	179,424	9.67	%
Bethpage Federal Credit Union		146,068	7.87
Citizens Bank, N.A. (a)		132,105	7.12
Webster Bank, N.A. (b)		124,915	6.73
Manasquan Bank		102,641	5.54
All Others		1,169,975	63.07
Total (c)	$	1,855,128	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 $393.1 million as of September 30, 2023 and $221.1 million as of December 31, 2022 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 $132.8 billion and $147.3 billion at September 30, 2023 and December 31, 2022, respectively.

CO bonds and CO discount notes — The carrying value of Consolidated obligation bonds (CO bonds or Consolidated obligation bonds) was $96.4 billion (par, $98.2 billion) at September 30, 2023, compared to $85.5 billion (par, $87.5 billion) at December 31, 2022. The carrying value of Consolidated obligation discount notes outstanding was $36.4 billion at September 30, 2023 and $61.8 billion at December 31, 2022.

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

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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.

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 $28.8 billion at September 30, 2023 and $33.0 billion at December 31, 2022.

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, 2023				December 31, 2022
			Percentage				Percentage
	Amount		of Total		Amount		of Total
Fixed-rate, non-callable	$	33,425,575	34.04	%	$	30,482,290	34.83	%
Fixed-rate, callable		32,355,130	32.95			18,676,130	21.34
Step Up, callable		3,511,000	3.58			5,374,000	6.14
Step Down, callable		52,000	0.05			—	—
Floating rate, callable		—	—			250,000	0.29
Single-index floating rate		28,843,350	29.38			32,733,000	37.40
Total par value		98,187,055	100.00	%		87,515,420	100.00	%
Bond premiums		91,730				123,477
Bond discounts		(25,782)				(26,341)
Hedge valuation basis adjustments (a)		(1,820,714)				(2,015,128)
Hedge basis adjustments on de-designated hedges (b)		108,424				114,430
FVO (c) - valuation adjustments and accrued interest		(166,179)				(214,103)
Total Consolidated obligation bonds	$	96,374,534			$	85,497,755

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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 primary benchmarks are SOFR-OIS and Federal Funds-OIS. 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 $1.8 billion at September 30, 2023 and $2.0 billion at December 31, 2022. Generally, hedge valuation basis gains and losses are unrealized and are expected to reverse to zero if the CO bonds are held to maturity or are called on the early option exercise dates.

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

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

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, 2023		December 31, 2022
Qualifying hedges
Fixed-rate bullet bonds	$	19,864,020	$	16,995,505
Fixed-rate callable bonds		33,726,130		22,614,130
	$	53,590,150	$	39,609,635

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.

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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, 2023		December 31, 2022
Bonds designated under FVO	$	4,373,965	$	4,373,965

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 (Federal Funds-OIS or SOFR-OIS and LIBOR previously) 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.

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, 2023		December 31, 2022
Bonds designated as economically hedged
Fixed-rate bonds (a)		1,495,000		15,000
	$	1,495,000	$	15,000

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

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 ^(a)

	September 30, 2023				December 31, 2022
			Percentage				Percentage
	Amount		of Total		Amount		of Total
Year of maturity or next call date
Due or callable in one year or less	$	75,016,055	76.41	%	$	63,600,290	72.67	%
Due or callable after one year through two years		10,966,755	11.17			11,586,805	13.24
Due or callable after two years through three years		5,242,690	5.34			3,061,985	3.50
Due or callable after three years through four years		1,876,065	1.91			3,164,905	3.62
Due or callable after four years through five years		1,595,130	1.62			1,487,435	1.70
Thereafter		3,490,360	3.55			4,614,000	5.27
Total par value	$	98,187,055	100.00	%	$	87,515,420	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.

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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, 2023		December 31, 2022
Callable	$	35,918,130	$	24,300,130
Non-Callable	$	62,268,925	$	63,215,290

CO Discount Notes

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

Table 5.7    Discount Notes Outstanding

	September 30, 2023			December 31, 2022
Par value	$	37,028,613		$	62,295,735
Amortized cost	$	36,421,493		$	61,832,418
Hedge value basis adjustments (a)		(24,530)			(39,088)
Hedge basis adjustments on de-designated hedges (b)		(1)			(341)
FVO (c) - valuation adjustments and remaining accretion		—			—
Total Consolidated obligation discount notes	$	36,396,962		$	61,792,989
Weighted average interest rate		5.15	%		3.97	%

(a) Hedge value 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 $33.1 billion and $34.6 billion were hedged under ASC 815 qualifying fair value hedges at September 30, 2023 and December 31, 2022, 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, 2023 and December 31, 2022.

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, 2023		December 31, 2022
Discount notes hedged under qualifying hedge	$	33,109,712	$	34,626,552

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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, 2023		December 31, 2022
Discount notes designated as economic hedges (a)	$	121,369	$	13,940,198

(a) Represents CO discount notes that were de-designated; unamortized hedge basis adjustments.

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, 2023		December 31, 2022
Discount notes hedged under qualifying hedge (a)	$	1,608,000	$	1,608,000

(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 maximum length of time over which we are hedging this exposure is 9 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 variable-rate instruments. 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, 2023 and December 31, 2022.

Accrued interest payable

Accrued interest payable — Amounts outstanding were $634.0 million at September 30, 2023 and $370.5 million at December 31, 2022. 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 $131.8 million at September 30, 2023 and $131.4 million at December 31, 2022. Other liabilities comprised of unfunded pension liabilities, Federal Reserve pass-through reserves held on behalf of members, and miscellaneous payables.

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Stockholders’ Capital

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

Table6.1    Stockholders’ Capital

	September 30, 2023		December 31, 2022
Capital Stock (a)	$	5,750,333	$	6,387,701
Unrestricted retained earnings (b)		1,290,967		1,185,112
Restricted retained earnings (c)		1,030,098		910,855
Accumulated Other Comprehensive Income (Loss)		(189,332)		(136,285)
Total Capital	$	7,882,066	$	8,347,383

(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).

(c) Restricted retained earnings — Restricted retained earnings balance at September 30, 2023 has grown to $1.0 billion 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, 2023 was $1.4 billion based on the FHLBNY’s average consolidated obligations outstanding during the current calendar quarter, as compared to actual Restricted retained earnings of $1.0 billion at September 30, 2023. 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, 2023		December 31, 2022
Accumulated other comprehensive income (loss)
Non-credit portion on held-to-maturity securities, net (a)	$	(814)	$	(998)
Net market value unrealized gains (losses) on available-for-sale securities (b)		(1,117,133)		(808,772)
Net Fair value hedging gains (losses) on available-for-sale securities (b)		810,730		575,104
Net Cash flow hedging gains (losses) (c)		122,747		102,200
Employee supplemental retirement plans (d)		(4,862)		(3,819)
Total Accumulated other comprehensive income (loss)	$	(189,332)	$	(136,285)

(a) Represents cumulative unamortized non-credit losses. 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 unrealized losses of $1.1 billion at September 30, 2023 and net unrealized losses of $808.8 million at December 31, 2022, represented third-party pricing vendors’ market-based unrealized gains/losses of securities designated as AFS. Net unrealized gains of $810.7 million and $575.1 million at September 30, 2023 and December 31, 2022, 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 as hedges 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.

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The following table presents amounts recognized in and reclassified out of AOCI due to cash flow and fair value hedges (in thousands):

Table 6.3    AOCI Roll forward due to ASC 815 Hedging Programs

	September 30, 2023
	Cash Flow Hedges				Fair Value Hedges
	Rollover Hedge		Anticipatory
	Program		Hedge Program		AFS Securities
Beginning balance	$	103,468	$	(1,268)	$	575,104
Changes in fair values (a)		20,958		799		235,626
Amount reclassified		—		931		—
Fair Value - closed contract		—		(2,141)		—
Ending balance	$	124,426	$	(1,679)	$	810,730
Notional amount of swaps outstanding	$	1,608,000	$	25,000	$	5,944,000

	December 31, 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)		198,069		(805)		544,437
Amount reclassified		—		1,190		—
Fair Value - closed contract		—		5,245		—
Ending balance	$	103,468	$	(1,268)	$	575,104
Notional amount of swaps outstanding	$	1,608,000	$	54,005	$	4,263,000

	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

(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 previous 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.

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The following table summarizes dividends paid and payout ratios:

Table 6.4    Dividends Paid and Payout Ratios

	Nine months ended
	September 30, 2023			September 30, 2022
Cash dividends paid per share	$	5.92		$	3.64
Dividends paid (a)(c)	$	371,116		$	165,288
Pay-out ratio (b)		62.25	%		62.87	%

(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.

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.

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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, 2023
			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)	$	6,802	$	57	$	—	$	57	$	—	$	57
Cleared derivatives assets (d)		822,441		800		—		800		21,606		22,406
		829,243		857		—		857		21,606		22,463
Liability positions with credit exposure
Uncleared derivatives
Single A liability (c)		45,046,830		(807,372)		915,740		108,368		(87,765)		20,603
Triple B liability (c)		5,685,000		(144,326)		145,500		1,174		—		1,174
Cleared derivatives liability (d)		123,274,363		—		—		—		719,478		719,478
		174,006,193		(951,698)		1,061,240		109,542		631,713		741,255
Total derivative positions with non-member counterparties to which the Bank had credit exposure		174,835,436		(950,841)		1,061,240		110,399		653,319		763,718
Delivery commitments
Derivative position with delivery commitments		7,177		—		—		—		—		—
Total derivative position with members		7,177		—		—		—		—		—
Total	$	174,842,613	$	(950,841)	$	1,061,240	$	110,399	$	653,319	$	763,718
Derivative positions without credit exposure		4,464,260
Total notional	$	179,306,873

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	December 31, 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)	$	699,583	$	10,718	$	(10,120)	$	598	$	—	$	598
Cleared derivatives assets (d)		129,067,443		31,373		—		31,373		549,089		580,462
		129,767,026		42,091		(10,120)		31,971		549,089		581,060
Liability positions with credit exposure
Uncleared derivatives
Single A liability (c)		9,654,020		(246,420)		376,180		129,760		(108,760)		21,000
Triple B liability (c)		6,035,000		(187,781)		189,970		2,189		—		2,189
Cleared derivatives liability (d)		839,545		—		—		—		27,667		27,667
		16,528,565		(434,201)		566,150		131,949		(81,093)		50,856
Total derivative positions with non-member counterparties to which the Bank had credit exposure		146,295,591		(392,110)		556,030		163,920		467,996		631,916
Delivery commitments
Derivative position with delivery commitments		9,837		1		—		1		(1)		—
Total derivative position with members		9,837		1		—		1		(1)		—
Total	$	146,305,428	$	(392,109)	$	556,030	$	163,921	$	467,995	$	631,916
Derivative positions without credit exposure		27,737,130
Total notional	$	174,042,558

(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 $741.1 million and $576.8 million in marketable securities as collateral at September 30, 2023 and December 31, 2022, respectively. At September 30, 2023 and December 31, 2022 we did not pledge 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.

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.

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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.

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, 2023	$	3,058	$	93,912	$	90,854
June 30, 2023		2,821		115,971		113,150
March 31, 2023		2,899		109,181		106,282
December 31, 2022		887		90,794		89,907

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, 2023	$	34,167	$	41,218	$	7,051
June 30, 2023		31,863		53,127		21,264
March 31, 2023		19,411		44,351		24,940
December 31, 2022		6,990		32,666		25,676

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.

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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, 2023	$	2,749	$	40,528	$	37,779
June 30, 2023		4,127		51,590		47,463
March 31, 2023		3,137		42,038		38,901
December 31, 2022		2,269		29,280		27,011

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 calendar days (“the Range”) of positive cash flow assuming all advances renew and to hold liquidity in a specified range of the notional of our outstanding standby financial letters of credit. The FHFA has periodically issued non-public supervisory letters that establish base case guidance within the Range. For three days during March 2023, we were in the lower part of the Range, temporarily below the FHFA’s base case guidance, in order to meet significant member demand for advances resulting from the banking crisis, as permitted by the Advisory Bulletin. The Advisory Bulletin also provides guidance on maintaining appropriate funding gaps for three-month and one-year maturity horizons. We remained in compliance with the funding gaps provision 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 $46.6 million at September 30, 2023 and $21.3 million at September 30, 2022. 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 $1.2 billion in net cash inflows in the nine months ended September 30, 2023, compared to net cash inflows of $2.1 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 $596.2 million in the nine months ended September 30, 2023 and $262.9 million in the same period in the prior year; (b) Net cash inflows from Derivatives and hedging activities were $377.4 million in the nine months ended September 30, 2023, compared to net cash inflows of $1.3 billion in the same period in the prior year; and (c) Positive adjustments to operating cash flows of $37.8 million to recognize unrealized valuation losses on U.S. Treasury securities at September 30, 2023, compared to positive adjustments of $408.2 million to recognize unrealized valuation losses on U.S. Treasury securities in the same period in the prior year.

Cash flows provided by/(used in) investing activities — Investing activities resulted in $13.0 billion in net cash inflows in the nine months ended September 30, 2023 compared to $29.1 billion in net cash outflows in the same period in the prior year. In the nine months ended September 30, 2023, we acquired $657.8 million of Treasury securities compared to $4.6 billion in the same period of the prior year. Repayments from Treasury securities were $2.6 billion in the nine months ended September 30, 2023 compared to $1.4 billion in the same period in the prior year. Net cash inflows from Securities purchased under agreements to resell were $3.3 billion in the nine months ended September 30, 2023 compared to net cash inflows of $1.2 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 outflows of $14.1 billion in the nine months ended September 30, 2023 compared to net cash inflows of $27.0 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, 2023 and September 30, 2022. For a discussion of the critical accounting estimates used by the FHLBNY that affect the results of operations, see financial statements, Note 1. Summary of Significant Accounting Policies.

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,
	2023		2022		2023		2022
Total interest income	$	2,030,727	$	806,362	$	6,264,083	$	1,415,037
Total interest expense		1,788,266		637,809		5,517,163		977,683
Net interest income before provision for credit losses		242,461		168,553		746,920		437,354
Provision (Reversal) for credit losses		(63)		(271)		1,813		(417)
Net interest income after provision for credit losses		242,524		168,824		745,107		437,771
Total other income (loss)		11,720		23,963		70,680		(4,120)
Total other expenses		52,115		48,813		153,276		141,395
Income before assessments		202,129		143,974		662,511		292,256
Affordable Housing Program Assessments		20,235		14,425		66,297		29,342
Net income	$	181,894	$	129,549	$	596,214	$	262,914

Net Income — 2023 Third Quarter Compared to 2022 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 2023 third quarter was $181.9 million, an increase of $52.4 million, or 40.4% compared to the same period in the prior year. Summarized below are the primary components of our Net income:

Net interest income — The 2023 third quarter Net interest income was $242.5 million, an increase of $73.9 million, or 43.9% compared to the same period in the prior year. Net interest spread was 32 basis points for the 2023 third quarter compared to 38 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.

● Provision (Reversal) for credit losses for the quarter was a recovery of $63 thousand compared to a recovery of $0.3 million for the same period in the prior year. The Bank transitioned models in June of 2023 and the newly adopted model assumptions are different than the prior model.

Other income (loss) — Other income (loss) reported a gain of $11.7 million in the 2023 third quarter compared to a gain of $24.0 million in the same period in the prior year.

● Service fees and other were $5.0 million in the 2023 third quarter compared to $4.3 million reported in the same period in the prior year. Service fees and other are primarily fee revenues from financial letters of credit.

95

● Financial instruments carried at fair values reported net valuation losses of $18.1 million in the 2023 third quarter compared to net gains of $96.7 million in the same period in the prior year. For more information, see financial statements, Fair Value Option Disclosures in Note 18. Fair Values of Financial Instruments. Also see Table 9.8 Other Income (Loss) and accompanying discussions in this MD&A.

● Derivative activities reported net gains of $79.3 million in Other income in the 2023 third quarter compared to net gains of $78.2 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 $51.7 million in the 2023 third quarter compared to net fair value losses of $151.2 million in the same period in the prior year.

● Equity Investments, held to finance payments to retirees in a non-qualified pension plan, reported net fair value losses of $2.8 million in the 2023 third quarter compared to net losses of $4.0 million in the same period in the prior year.

Other expenses were $52.1 million in the 2023 third quarter compared to $48.8 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 $20.7 million in the 2023 third quarter, up from $19.2 million in the same period in the prior year.

● Compensation and benefits expenses were $24.1 million in the 2023 third quarter compared to $22.0 million in the same period in the prior year.

● The expenses allocated for our share of the costs to operate the Office of Finance and the Federal Housing Finance Agency were $5.1 million in the 2023 third quarter compared to $5.3 million in the same period in the prior year.

● Other expenses were $2.3 million in the 2023 third quarter compared to $2.4 million in the same period in the prior year.

Affordable Housing Program Assessments (AHP) allocated from Net income were $20.2 million in the 2023 third quarter compared to $14.4 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, 2023 Compared to Year-to-Date Period Ended September 30, 2022

Net income in the year-to-date period in the current year was $596.2 million, an increase of $333.3 million, or 126.8% compared to the same period in the prior year.

Net interest income in the year-to-date period in the current year was $746.9 million, an increase of $309.6 million, or 70.8%. Net interest spread was 34 basis points in the current year-to-date period and 41 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 gain of $70.7 million in the 2023 period compared to a loss of $4.1 million in the same period in the prior year.

Other expenses were $153.3 million in the year-to-date period in the current year, compared to $141.4 million in the same period in the prior year. Operating expenses were $57.4 million in the year-to-date period in the current year and $51.2 million in the prior year period. Compensation and benefits were $74.8 million in the year-to-date period in the current year, up from $66.9 million in the prior year period due to an increase in headcount. The expenses allocated for our share of the costs to operate the Office of Finance and the Federal Housing Finance Agency were $15.2 million in the year-to-date period in the current year, compared to $16.1 million in the prior year period. Other expenses were $5.8 million in the year-to-date period in the current year and $7.3 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 $66.3 million in the year-to-date period in the current year, compared to $29.3 million in the same period in the prior year.

Net Interest Income, Interest Rate Margins and Interest Rate Spreads

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

96

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 Qualifying Hedge 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
	2023		2022		Change		2023		2022		Change
Total interest income (a)	$	2,030,727	$	806,362	151.84	%	$	6,264,083	$	1,415,037	342.68	%
Total interest expense (a)		1,788,266		637,809	180.38			5,517,163		977,683	464.31
Net interest income before provision for credit losses	$	242,461	$	168,553	43.85	%	$	746,920	$	437,354	70.78	%

(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 $242.5 million, an increase of $73.9 million, or 43.9% from the third quarter of 2022. Primary driver was an increase in the yields and average balances of interest earning assets, principally advances. Additionally, $0.7 million of prepayment fees were recorded in Net interest income in the third quarter of 2023 compared to $0.5 million in the third quarter of 2022. Interest rates continued to increase during the year, impacting our interest revenues and opportunities for acquiring investments during most of the year.

In the third quarter of the 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 64 basis points in the third quarter of 2023, compared to 52 basis points in the prior year same period. Net interest spread in the third quarter of 2023 was 32 basis points, representing the yield from earning assets minus interest paid on costing liabilities, compared to 38 basis points in the prior year same period.

Stockholders’ capital, which is typically deployed to fund short-term interest-earning assets, increased to $8.1 billion in the third quarter of 2023, up from $7.1 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 2023 as borrowing members are required to purchase capital stock in proportion to amounts borrowed.

In the 2023 year-to-date period, Net interest margin was 60 basis points compared to 50 basis points from the same period in the prior year. Net interest spread in the 2023 year-to-date period was 34 basis points compared to 41 basis points in the same period in the prior year.

Stockholders’ capital stock, which is typically deployed to fund short-term interest-earning assets, increased to $8.5 billion in 2023 year-to-date period from $6.7 billion in the same period in the prior year.

Swap interest settlement designated in ASC 815 hedging of assets and liabilities recorded net income of $21.5 million in the third quarter of 2023, compared to net expense of $33.4 million in the third quarter of 2022. In the year-to-date period ended September 30, 2023, we recorded net income of $42.1 million to interest margin, compared to net expense of $112.2 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.

97

Impact of Qualifying Hedges on Net Interest Income

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

Table 9.3    Net Interest Adjustments from Qualifying Hedge Interest Rate Swaps

	Three months ended September 30,				Nine months ended September 30,
	2023		2022		2023		2022
Interest income	$	1,698,401	$	723,287	$	5,354,397	$	1,460,846
Fair value hedging effects		3,816		3,107		3,255		19,916
Amortization of basis adjustment		—		(36)		(10)		(108)
Interest rate swap accruals		328,510		80,004		906,441		(65,617)
Reported interest income		2,030,727		806,362		6,264,083		1,415,037
Interest expense		1,477,036		531,527		4,656,640		950,686
Fair value hedging effects		5,122		(5,763)		(2,416)		(14,051)
Amortization of basis adjustment		(944)		(1,389)		(1,423)		(5,488)
Interest rate swap accruals		307,052		113,434		864,362		46,536
Reported interest expense		1,788,266		637,809		5,517,163		977,683
Net interest income	$	242,461	$	168,553	$	746,920	$	437,354
Net interest adjustment - interest rate swaps	$	21,096	$	(23,207)	$	49,163	$	(72,806)

98

Spread and Yield Analysis — 2023 Periods Compared to 2022 Periods

Table 9.4    Spread and Yield Analysis

			Three months ended September 30,
			2023					2022
					Interest					Interest
		Average			Income/			Average		Income/
(Dollars in thousands)		Balance			Expense	Yield/Rate (a)		Balance		Expense		Yield/Rate (a)
Earning Assets:
Advances		$	100,026,220	$	1,435,895	5.70	%	$	86,597,197	$	565,508	2.59	%
Interest bearing deposits and others			3,865,611		52,599	5.40			2,165,360		12,348	2.26
Federal funds sold and other overnight funds			18,953,315		253,299	5.30			12,329,239		69,510	2.24
Investments
Trading securities			5,220,776		34,529	2.62			7,749,733		25,581	1.31
Mortgage-backed securities
Fixed			14,420,250		152,200	4.19			12,713,148		91,640	2.86
Floating			4,468,939		65,240	5.79			2,474,700		16,155	2.59
State and local housing finance agency obligations			1,275,800		19,254	5.99			1,293,542		9,003	2.76
Mortgage loans held-for-portfolio			2,150,014		17,711	3.27			2,154,498		16,461	3.03
Loans to other FHLBanks			—		—	NM			24,511		156	2.53
Total interest-earning assets		$	150,380,925	$	2,030,727	5.36	%	$	127,501,928	$	806,362	2.51	%
Funded By:
Consolidated obligation bonds
Fixed	��	$	65,065,355	$	787,041	4.80	%	$	51,758,297	$	289,185	2.22	%
Floating			31,157,086		422,350	5.38			15,577,658		90,368	2.30
Consolidated obligation discount notes			41,562,101		538,808	5.14			50,766,523		253,400	1.98
Interest-bearing deposits and other borrowings			3,046,734		39,851	5.19			919,373		4,585	1.98
Mandatorily redeemable capital stock			9,474		216	9.02			10,958		271	9.81
Total interest-bearing liabilities			140,840,750		1,788,266	5.04	%		119,032,809		637,809	2.13	%
Other non-interest-bearing funds			1,486,411		—				1,377,140		—
Capital			8,053,764		—				7,091,979		—
Total Funding		$	150,380,925	$	1,788,266			$	127,501,928	$	637,809
Net Interest Income/Spread				$	242,461	0.32	%			$	168,553	0.38	%
Net Interest Margin
(Net interest income/Earning Assets)						0.64	%					0.52	%

99

			Nine months ended September 30,
			2023					2022
					Interest					Interest
		Average			Income/			Average		Income/
(Dollars in thousands)		Balance			Expense	Yield/Rate (a)		Balance		Expense		Yield/Rate (a)
Earning Assets:
Advances		$	112,608,714	$	4,493,759	5.34	%	$	77,740,022	$	914,365	1.57	%
Interest bearing deposits and others			4,016,288		151,909	5.06			1,923,534		16,705	1.16
Federal funds sold and other overnight funds			22,866,417		854,974	5.00			11,714,788		93,610	1.07
Investments
Trading securities			5,623,091		95,234	2.26			7,487,839		63,334	1.13
Mortgage-backed securities
Fixed			13,902,840		418,777	4.03			12,267,390		233,792	2.55
Floating			3,491,789		143,928	5.51			2,614,953		28,265	1.45
State and local housing finance agency obligations			1,281,360		54,036	5.64			1,217,186		15,239	1.67
Mortgage loans held-for-portfolio			2,123,972		51,395	3.24			2,210,510		49,499	2.99
Loans to other FHLBanks			1,832		71	5.15			18,333		228	1.66
Total interest-earning assets		$	165,916,303	$	6,264,083	5.05	%	$	117,194,555	$	1,415,037	1.61	%
Funded By:
Consolidated obligation bonds
Fixed		$	59,536,426	$	2,003,557	4.50	%	$	50,907,880	$	512,872	1.35	%
Floating			41,619,771		1,555,745	5.00			10,029,203		106,696	1.42
Consolidated obligation discount notes			52,445,488		1,870,646	4.77			47,294,194		350,424	0.99
Interest-bearing deposits and other borrowings	���		2,975,068		86,756	3.90			1,055,726		6,529	0.83
Mandatorily redeemable capital stock			7,237		459	8.48			28,783		1,162	5.40
Total interest-bearing liabilities			156,583,990		5,517,163	4.71	%		109,315,786		977,683	1.20	%
Other non-interest-bearing funds			828,703		—				1,172,137		—
Capital			8,503,610		—				6,706,632		—
Total Funding		$	165,916,303	$	5,517,163			$	117,194,555	$	977,683
Net Interest Income/Spread				$	746,920	0.34	%			$	437,354	0.41	%
Net Interest Margin
(Net interest income/Earning Assets)						0.60	%					0.50	%

(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 (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.

100

NM – Not meaningful.

Rate and Volume Analysis — 2023 Periods Compared to 2022 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, 2023 vs. September 30, 2022
	Increase (Decrease)
	Volume		Rate		Total
Interest Income
Advances	$	99,737	$	770,650	$	870,387
Interest bearing deposits and others		14,555		25,696		40,251
Federal funds sold and other overnight funds		51,759		132,030		183,789
Investments
Trading securities		(10,404)		19,352		8,948
Mortgage-backed securities
Fixed		13,586		46,974		60,560
Floating		19,369		29,716		49,085
State and local housing finance agency obligations		(125)		10,376		10,251
Mortgage loans held-for-portfolio		(34)		1,284		1,250
Loans to other FHLBanks		(78)		(78)		(156)
Total interest income		188,365		1,036,000		1,224,365
Interest Expense
Consolidated obligation bonds
Fixed		90,008		407,848		497,856
Floating		142,083		189,899		331,982
Consolidated obligation discount notes		(53,425)		338,833		285,408
Deposits and borrowings		20,728		14,538		35,266
Mandatorily redeemable capital stock		(34)		(21)		(55)
Total interest expense		199,360		951,097		1,150,457
Changes in Net Interest Income	$	(10,995)	$	84,903	$	73,908

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	For the nine months ended
	September 30, 2023 vs. September 30, 2022
	Increase (Decrease)
	Volume		Rate		Total
Interest Income
Advances	$	565,033	$	3,014,361	$	3,579,394
Interest bearing deposits and others		33,106		102,098		135,204
Federal funds sold and other overnight funds		156,499		604,865		761,364
Investments
Trading securities		(18,919)		50,819		31,900
Mortgage-backed securities
Fixed		34,547		150,438		184,985
Floating		12,317		103,346		115,663
State and local housing finance agency obligations		845		37,952		38,797
Mortgage loans held-for-portfolio		(1,989)		3,885		1,896
Loans to other FHLBanks		(335)		178		(157)
Total interest income		781,104		4,067,942		4,849,046
Interest Expense
Consolidated obligation bonds
Fixed		100,667		1,390,018		1,490,685
Floating		805,916		643,133		1,449,049
Consolidated obligation discount notes		42,210		1,478,012		1,520,222
Deposits and borrowings		26,358		53,869		80,227
Mandatorily redeemable capital stock		(1,151)		448		(703)
Total interest expense		974,000		3,565,480		4,539,480
Changes in Net Interest Income	$	(192,896)	$	502,462	$	309,566

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.

102

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
	2023		2022		Change		2023		2022		Change
Interest Income
Advances	$	1,435,895	$	565,508	153.91	%	$	4,493,759	$	914,365	391.46	%
Interest-bearing deposits		52,599		12,348	325.97			151,909		16,705	809.36
Securities purchased under agreements to resell		32,518		135	NM			203,435		156	NM
Federal funds sold		220,781		69,375	218.24			651,539		93,454	597.18
Trading securities		34,529		25,581	34.98			95,234		63,334	50.37
Mortgage-backed securities
Fixed		152,200		91,640	66.08			418,777		233,792	79.12
Floating		65,240		16,155	303.84			143,928		28,265	409.21
State and local housing finance agency obligations		19,254		9,003	113.86			54,036		15,239	254.59
Mortgage loans held-for-portfolio		17,711		16,461	7.59			51,395		49,499	3.83
Loans to other FHLBanks		—		156	(100)			71		228	(68.86)
Total interest income	$	2,030,727	$	806,362	151.84	%	$	6,264,083	$	1,415,037	342.68	%

NM — Not meaningful.

Interest Income

Interest income for the 2023 third quarter was $2.0 billion, an increase of $1.2 billion, or 151.8% compared to the same period in 2022. To provide context, interest expense for the 2023 third quarter increased by 180.4% compared to the same period in the prior year.

For the 2023 third quarter compared to the 2022 third quarter, increase in interest revenue was contributed by rate-related increase of $1.0 billion and volume-related increase of $188.4 million.

Aggregate yield on earning assets in 2023 third quarter was 536 basis points, compared to 251 basis points in 2022 third quarter.

Interest income in the 2023 year-to-date period was $6.3 billion, an increase of $4.8 billion, or 342.7% compared to the same period in the prior year. To provide context, interest expense increased by 464.3% compared to the year-to-date period in the prior year.

Aggregate yield on earning assets in 2023 year-to-date period was 505 basis points, compared to 161 basis points for 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 $870.4 million in the 2023 third quarter, compared to the same period in the prior year. Average advances balances were $100.0 billion in the 2023 third quarter, compared to $86.6 billion in the 2022 third quarter.

Compared to the same period in the prior year, higher market rates resulted in a favorable impact of $770.7 million and higher advances balances in the 2023 third quarter resulted in a favorable impact of $99.7 million in interest income from advances, for a net increase of $870.4 million in advances interest income. In summary, higher market interest rates positively impacted yields earned from advances, primarily on overnight and short-term advances and variable-rate advances that reset to higher rates. Advances yielded 570 basis points in the 2023 third quarter, up from 259 basis points in the 2022 third quarter. Prepayment fee recorded in Interest income from advances was $0.7 million in the 2023 third quarter and $0.5 million in the same period in the prior year.

103

On a year-to-date basis, interest income from advances increased by $3.6 billion or 391.5%. Volume, as measured by average balances, and interest rates both increased in the current year period. Average transaction volume of advances were $112.6 billion at an aggregate yield of 534 basis points in the 2023 period, compared to an average transaction volume of $77.7 billion at an aggregate yield of 157 basis points in the 2022 period.

Liquidity Investments — Money Market Investments and U.S. Treasury Securities — We derive interest income from maintaining highly-liquid portfolios of investments to meet liquidity regulatory requirements. Higher interest income from overnight invested funds, specifically federal funds sold and repurchase agreements was due to increase in market yields in the third quarter of 2023 compared to the same period in 2022. Investments in federal funds and repurchase agreements yielded 530 basis points in aggregate in the third quarter of 2023, compared to 224 basis points in the same period in 2022. Interest income from fixed-rate U.S. Treasury securities was $34.5 million in the third quarter of 2023, up from $25.6 million in the same period in 2022 stemming from higher interest rates; yields increased to 262 basis points, compared to 131 basis points in the third quarter of 2022. 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 500 basis points in aggregate in the year-to-date period of 2023, compared to 107 basis points in the same period in 2022. Interest income from fixed-rate U.S. Treasury securities was $95.2 million in the year-to-date period of 2023, up from $63.3 million in the same period in 2022 due to higher interest rates; yields increased to 226 basis points, compared to 113 basis points in the year-to-date period of 2022.

The earnings impact due to changes in market values of the securities outstanding (unrealized gains and losses) and 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 $49.1 million or 303.8% in the third quarter of 2023 compared to same period in the prior year. On a year-to-date basis, interest income from floating-rate MBS increased by $115.7 million or 409.2% in the current year compared to same period in the prior year.

Interest income from fixed-rate MBS increased by $60.6 million or 66.1% in the third quarter of 2023 compared to the same period in the prior year due to an increase of average outstanding balance to $14.4 billion in the third quarter of 2023, compared to $12.7 billion in the same period in the prior year and higher aggregate yield, which was 419 basis points in the third quarter of 2023, up from 286 basis points in the same period in the prior year. On a year-to-date basis, interest income from fixed-rate MBS increased by $185.0 million or 79.1% in the current year compared to the same period in the prior year.

In the third quarter of 2023, 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 $38.5 million in the third quarter of 2023, compared to a net gain of $5.3 million in the third quarter of 2022. On a year-to-date basis, interest income from changes in the ASC 815 hedging recorded a net gain of $99.5 million in the current year, compared to a net loss of $9.2 million in the same period in the prior year.

Mortgage loans held-for-portfolio — Interest income from mortgage loans was $17.7 million and $51.4 million for the three and nine months ended September 30, 2023, compared to $16.5 million and $49.5 million in the same periods in the prior year. MPF loans are primarily 15-year and 30-year conventional loans. The portfolio averaged $2.2 billion, yielding 327 basis points in the three months ended September 30, 2023, compared to 303 basis points in the same period last year. On a year-to-date basis, the portfolio averaged $2.1 billion, yielding 324 basis points in the current year, compared to 299 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 $1.0 million and $2.8 million in the three and nine months ended September 30, 2023, compared to net amortization of $1.2 million and $4.3 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.

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As noted in the audited financial statements under Note 1. Summary of Significant Accounting Policies in the most recent Form 10-K for the year ended December 31, 2022, we implemented a new mortgage program, the Mortgage Asset Program (MAP) in late March 2021. At September 30, 2023, mortgage loans under MAP were $393.1 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 and Federal Funds-OIS. 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
	2023		2022		Change		2023		2022		Change
Interest Expense
Consolidated obligations bonds
Fixed	$	787,041	$	289,185	172.16	%	$	2,003,557	$	512,872	290.65	%
Floating		422,350		90,368	367.37			1,555,745		106,696	NM
Consolidated obligations discount notes		538,808		253,400	112.63			1,870,646		350,424	433.82
Deposits		39,638		4,538	773.47			84,556		6,364	NM
Mandatorily redeemable capital stock		216		271	(20.30)			459		1,162	(60.50)
Cash collateral held and other borrowings		213		47	353.19			2,200		165	NM
Total interest expense	$	1,788,266	$	637,809	180.38	%	$	5,517,163	$	977,683	464.31	%

NM - Not meaningful.

Interest expense for the 2023 third quarter was $1.8 billion, an increase of $1.2 billion or 180.4% compared to the 2022 third quarter. To provide context, interest income in the 2023 third quarter increased by $1.2 billion or 151.8% compared to the 2022 third quarter.

The increase in interest expense was primarily driven by higher yields. Rate-related increase in funding expense was $951.1 million in line with the increase in interest rates in the bond markets; volume-related increase in funding expense was $199.4 million in the 2023 third quarter compared to the 2022 third quarter. Aggregate yield paid on total funding in the 2023 third quarter was 504 basis points, compared to 213 basis points in the same period of the prior year.

Interest expense in the 2023 year-to-date period was $5.5 billion, an increase of $4.5 billion or 464.3% compared to the same period in the prior year. To provide context, interest income increased by $4.8 billion or 342.7% compared to the year-to-date period in the prior year.

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We continue to make changes to our liability composition as compared to 2022. In the third quarter of 2023, 43.3% of average earning assets were funded by fixed-rate CO bonds and 20.7% were funded by floating-rate CO bonds. In the third quarter of 2022, fixed-rate CO bonds funded 40.6% of earning assets and floating-rate CO bonds funded 12.2% of earning assets. The usage of CO discount notes has decreased significantly to 27.6% in the 2023 third quarter from 39.8% in the 2022 third quarter. In the 2023 year-to-date period, 35.9% of average earning assets were funded by fixed-rate CO bonds and 25.1% were funded by floating-rate CO bonds. In the same period in the prior year, fixed-rate CO bonds funded 43.4% of earning assets and floating-rate CO bonds funded 8.6% of earning assets.

Hedging strategies under ASC 815 have remained effective and are operating as designed, and the Bank has transitioned from LIBOR to SOFR-OIS as the alternative hedging benchmarks. For more information, see Table 9.3 Net Interest Adjustments from Qualifying Hedge Interest Rate Swaps.

Allowance for Credit Losses — 2023 Periods Compared to 2022 Periods

We recorded net reversals of $61.7 thousand and net provisions of $1.5 million in the three and nine months ended September 30, 2023 compared to net reversals of $264.1 thousand and $393.2 thousand in the same periods in the prior year against our mortgage loan portfolio. The Bank transitioned models in June of 2023 and the newly adopted model assumptions are different than the prior model. We also recorded net reversals of $0.9 thousand and net provisions of $297.4 thousand in the three and nine months ended September 30, 2023 compared to net reversals of $6.7 thousand and $23.6 thousand in the same periods in the prior year against our investment portfolio. No allowance was necessary on advances, other assets, and commitments.

Analysis of Non-Interest Income (Loss) — 2023 Periods Compared to 2022 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,
	2023		2022		2023		2022
Other income (loss):
Service fees and other (a)	$	5,028	$	4,271	$	15,864	$	12,630
Instruments held under the fair value option gains (losses) (b)		(18,107)		96,734		(40,809)		214,163
Derivative gains (losses) (c)		79,318		78,161		127,409		195,406
Trading securities gains (losses) (d)		(51,695)		(151,188)		(37,803)		(408,218)
Equity investments gains (losses) (e)		(2,824)		(4,015)		4,399		(20,204)
Litigation settlement		—		—		1,620		2,202
Losses from extinguishment of debt		—		—		—		(99)
Total other income (loss)	$	11,720	$	23,963	$	70,680	$	(4,120)

(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 were $4.3 million in the third quarter of current year compared to $3.9 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 $13.0 million in the current year, compared to $11.6 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 trusts invest 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 trusts. Gains and losses are typically unrealized, and primarily represent changes in portfolio valuations. The grantor trusts are owned by the FHLBNY with the objective of providing liquidity to pay for pension benefits to retirees vested in retirement plans.

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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,
	2023		2022		2023		2022
Net unrealized gains (losses) on trading securities held at period-end	$	(51,695)	$	(151,188)	$	(37,330)	$	(403,391)
Net gains (losses) on trading securities sold/matured during the period		—		—		(473)		(4,827)
Net gains (losses) on trading securities	$	(51,695)	$	(151,188)	$	(37,803)	$	(408,218)

We have invested in short- and medium-term fixed-rate U.S. Treasury securities. The securities are not held for speculative trading, but 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 gains (losses) are recorded in the Statements of Income as Other income. FHFA regulations prohibit trading in or the speculative use of financial instruments. Par amounts of securities outstanding were $5.5 billion at September 30, 2023 and $7.7 billion at December 31, 2022.

Other income (loss) — Derivatives and Hedging Activities — 2023 Periods Compared to 2022 Periods

For derivatives that are not designated in qualifying hedge 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,
	2023		2022		2023		2022
Derivatives not designated as hedging instruments
Interest rate swaps (a)	$	50,084	$	155,294	$	51,622	$	390,524
Caps or floors		86		489		(344)		937
Mortgage delivery commitments		1,059		(560)		(1,828)		(1,229)
Swaps economically hedging instruments designated under FVO (b)		17,854		(90,001)		36,146		(202,787)
Accrued interest on derivatives in economic hedging relationships (c)		8,564		13,373		37,924		8,625
Net gains (losses) related to derivatives not designated as hedging instruments	$	77,647	$	78,595	$	123,520	$	196,070
Price alignment interest paid on variation margin		1,671		(434)		3,889		(664)
Net gains (losses) on derivatives and hedging activities	$	79,318	$	78,161	$	127,409	$	195,406

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 $47.0 million in the third quarter of 2023, compared to fair value gains of $157.1 million in the third quarter of 2022. In the year-to-date period ended September 30, 2023, fair value losses of $43.9 million were recorded compared to fair value gains of $405.0 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 primarily 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 — 2023 Periods Compared to 2022 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
	2023		Total		2022		of Total
Operating Expenses (a)
Occupancy	$	2,323	11.23	%	$	2,163	11.27	%
Depreciation and leasehold amortization		4,625	22.36			4,511	23.52
All others (b)		13,740	66.41			12,511	65.21
Total Operating Expenses	$	20,688	100.00	%	$	19,185	100.00	%
Total Compensation and Benefits	$	24,061			$	21,963
Finance Agency and Office of Finance (c)	$	5,116			$	5,259
Other expenses (d)	$	2,250			$	2,406

	Nine months ended September 30,
			Percentage of				Percentage of
	2023		Total		2022		Total
Operating Expenses (a)
Occupancy	$	6,960	12.12	%	$	6,328	12.37	%
Depreciation and leasehold amortization		13,908	24.22			12,987	25.38
All others (b)		36,545	63.66			31,861	62.25
Total Operating Expenses	$	57,413	100.00	%	$	51,176	100.00	%
Total Compensation and Benefits	$	74,824			$	66,868
Finance Agency and Office of Finance (c)	$	15,195			$	16,081
Other expenses (d)	$	5,844			$	7,270

(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 — 2023 Periods Compared to 2022 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, 2022 filed on March 17, 2023.

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,
	2023		2022		2023		2022
Beginning balance	$	158,749	$	131,783	$	131,394	$	137,638
Additions from current period’s assessments		20,235		14,425		66,297		29,342
Net disbursements for grants and programs		(8,123)		(21,599)		(26,830)		(42,371)
Ending balance	$	170,861	$	124,609	$	170,861	$	124,609

AHP assessments allocated from net income totaled $20.2 million in the third quarter of the current year, compared to $14.4 million for same period in the prior year. On a year-to-date basis, AHP assessments allocated from net income totaled $66.3 million for the current period and $29.3 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.

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Legislative and Regulatory Developments

Finance Agency’s Review and Analysis of the Federal Home Loan Bank System (FHLBank System).

Beginning in the fall of 2022, and over a period of several months, the FHFA undertook a review and analysis of the FHLB System, in part through a series of public listening sessions, regional roundtable discussions, and receipt of comments from stakeholders. This review covered such areas as the FHLBs’ mission and purpose in a changing marketplace; their organization, operational efficiency, and effectiveness; their role in promoting affordable, sustainable, equitable, and resilient housing and community investment; their role in addressing the unique needs of rural and financially vulnerable communities; member products, services, and collateral requirements; and membership eligibility and requirements. The review and analysis culminated in a written report that the FHFA released on November 7, 2023. The Bank is evaluating the report. To the extent the report ultimately results in changes to supervisory expectations, stakeholder perceptions and/or our business model that impact our ability to execute on our mission of providing liquidity to our members and support for affordable housing and community development, our business, results of operations, reputation, and the value of membership in the FHLBs may be negatively impacted. For a further discussion of related risks, see “Item 1A. Risk Factors” in our Annual Report on Form 10-K for the year ended December 31, 2022.

Banking Regulatory Proposals.

Subsequent to the bank failures and banking industry volatility that occurred in March 2023, the following rules impacting our members have been proposed by federal banking regulators:

● On September 18, 2023, the Office of the Comptroller of the Currency (the “OCC”), the Board of Governors of the Federal Reserve System (the “FRB”), and the Federal Depository Insurance Corporation (the “FDIC”) published a joint notice of proposed rulemaking that would amend the capital requirements applicable to certain large banking organizations and banking organizations with significant trading activity, by amending the calculation of risk-based capital requirements to better reflect the risks of these banking organizations’ exposures; reducing the complexity of the framework; enhancing the consistency of requirements across these banking organizations; and facilitating more effective supervisory and market assessments of capital adequacy (the “Proposed Capital Rule”). This proposed rule is open to public comment through January 16, 2024.

● On September 19, 2023, the OCC, the FRB, and the FDIC, published a joint notice of proposed rulemaking that would require certain large banking organizations to issue and maintain outstanding a minimum amount of long-term debt in order to: promote more orderly resolutions in the event of such organizations’ failure; reduce costs to the Deposit Insurance Fund; and mitigate financial stability and contagion risks by reducing the risk of loss to uninsured depositors (the “Proposed Long-Term Debt Rule”). This proposed rule is open to public comment through November 30, 2023.

● On September 19, 2023, the FDIC published proposed amendments to its existing resolution plan requirements for insured depository institutions (“IDIs”) with $50 billion or more in total assets, which would require additional detail on covered IDIs’ strategies for their orderly and efficient resolutions and enhance the FDIC’s expectations for resolution plan testing. For resolutions involving a bridge depository institution, the proposed rule provides that a resolution strategy may assume continuation of FHLBank advances, provided the strategy contemplates timely repayment of those advances. This proposed rule is open to public comment through November 30, 2023.

We are evaluating the extent to which these proposed rules, if adopted as proposed, may impact our members’ business activities with us. Specifically, we expect the Proposed Capital Rule may impact our members’ collateral capacity and the Proposed Long-Term Debt Rule may impact member demand for advances.

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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, with 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 repricing 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 2022 based on an anticipated market conditions and business strategy for 2023. 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 repricing 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 forward rate scenario. The sensitivity of expected net interest income over a one-year period is limited to a -30 percent change under the -200bps shock compared to the rates in the forward rate scenario. 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, 2023	0.37	(0.06)	0.14	1.03
June 30, 2023	0.08	(0.27)	(0.15)	0.57
March 31, 2023	(0.47)	(0.89)	(0.73)	0.20
December 31, 2022	(0.20)	(0.77)	(0.49)	0.35
September 30, 2022	(0.04)	(0.78)	(0.45)	0.56

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Duration indicates any cumulative repricing/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.

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 repricing/maturing liabilities from repricing/maturing assets over time. We observe the differences over various horizons and have set a 10 percent limit on asset on cumulative repricings at the one-year point. This quarterly observation of the one-year cumulative repricing 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, 2023	$	7.505 Billion
June 30, 2023	$	7.280 Billion
March 31, 2023	$	7.597 Billion
December 31, 2022	$	7.026 Billion
September 30, 2022	$	5.987 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 -200bps 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.

	Sensitivity in		Sensitivity in		Sensitivity in
	the -200bps Shock		the -100bps Shock		the +200bps Shock
September 30, 2023	2.14	%	1.12	%	(5.50)	%
June 30, 2023	(0.88)	%	(1.10)	%	(2.63)	%
March 31, 2023	(1.22)	%	(0.37)	%	(0.82)	%
December 31, 2022	0.25	%	0.36	%	(1.81)	%
September 30, 2022	(0.52)	%	0.17	%	0.59	%

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. 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, 2023	0.14	%	0.17	%	(1.35)	%
June 30, 2023	(0.30)	%	(0.07)	%	(0.63)	%
March 31, 2023	(1.54)	%	(0.67)	%	0.39	%
December 31, 2022	(1.18)	%	(0.45)	%	0.01	%
September 30, 2022	(0.93)	%	(0.26)	%	(0.54)	%

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

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The following tables display the portfolio’s maturity/ repricing gaps (in millions):

	Interest Rate Sensitivity
	September 30, 2023
			More Than		More Than		More Than
	Six Months		Six Months to		One Year to		Three Years to		More Than
	or Less		One Year		Three Years		Five Years		Five Years
Interest-earning assets:
Non-MBS investments	$	15,966	$	115	$	402	$	320	$	1,234
MBS investments		5,457		472		2,233		3,348		8,800
Swaps hedging MBS		5,944		—		(50)		(494)		(5,400)
Adjustable-rate loans and advances		30,591		—		—		—		—
Net investments, adjustable rate loans and advances		57,958		587		2,585		3,174		4,634
Liquidity trading portfolio		—		246		2,391		2,384		239
Swaps hedging investments		5,451		(250)		(2,505)		(2,446)		(250)
Net liquidity trading portfolio		5,451		(4)		(114)		(62)		(11)
Fixed-rate loans and advances		35,425		6,407		14,114		10,257		6,428
Swaps hedging fixed-rate advances		36,184		(6,151)		(13,597)		(10,027)		(6,409)
Net fixed-rate loans and advances		71,609		256		517		230		19
Total interest-earning assets	$	135,018	$	839	$	2,988	$	3,342	$	4,642
Interest-bearing liabilities:
Deposits	$	2,713	$	—	$	—	$	—	$	—
Discount notes		31,009		5,412		—		—		—
Swaps hedging discount notes		3,405		(5,013)		536		905		167
Net discount notes		34,414		399		536		905		167
Consolidated Obligation Bonds
FHLBank bonds		40,399		21,353		23,796		8,190		4,631
Swaps hedging bonds		49,680		(20,606)		(21,508)		(5,764)		(1,802)
Net FHLBank bonds		90,079		747		2,288		2,426		2,829
Total interest-bearing liabilities	$	127,206	$	1,146	$	2,824	$	3,331	$	2,996
Post hedge gaps (a):
Periodic gap	$	7,812	$	(307)	$	164	$	11	$	1,646
Cumulative gaps	$	7,812	$	7,505	$	7,669	$	7,680	$	9,326

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	Interest Rate Sensitivity
	December 31, 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	$	16,871	$	104	$	377	$	305	$	1,227
MBS investments		2,697		261		1,867		2,775		8,374
Swaps hedging MBS		4,263		—		—		(50)		(4,213)
Adjustable-rate loans and advances		26,505		—		—		—		—
Net investments, adjustable rate loans and advances		50,336		365		2,244		3,030		5,388
Liquidity trading portfolio		2,526		400		495		2,189		1,877
Swaps hedging investments		5,151		(400)		(500)		(2,351)		(1,900)
Net liquidity trading portfolio		7,677		—		(5)		(162)		(23)
Fixed-rate loans and advances		56,062		5,400		14,411		7,954		6,597
Swaps hedging fixed-rate advances		32,878		(4,662)		(13,797)		(7,842)		(6,577)
Net fixed-rate loans and advances		88,940		738		614		112		20
Total interest-earning assets	$	146,953	$	1,103	$	2,853	$	2,980	$	5,385
Interest-bearing liabilities:
Deposits	$	1,016	$	—	$	—	$	—	$	—
Discount notes		58,832		3,000		—		—		—
Swaps hedging discount notes		785		(2,393)		241		782		585
Net discount notes		59,617		607		241		782		585
Consolidated Obligation Bonds
FHLBank bonds		38,992		5,987		21,578		14,896		6,282
Swaps hedging bonds		39,779		(4,968)		(19,426)		(13,000)		(2,385)
Net FHLBank bonds		78,771		1,019		2,152		1,896		3,897
Total interest-bearing liabilities	$	139,404	$	1,626	$	2,393	$	2,678	$	4,482
Post hedge gaps (a):
Periodic gap	$	7,549	$	(523)	$	460	$	302	$	903
Cumulative gaps	$	7,549	$	7,026	$	7,486	$	7,788	$	8,691

(a) Repricing gaps are estimated at the scheduled rate reset dates for floating rate instruments, and at maturity for fixed rate instruments. For callable instruments, the repricing period is estimated by the earlier of the estimated call date under the current interest rate environment or the instrument’s contractual maturity.

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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, 2023. Based on this evaluation, they concluded that as of September 30, 2023, 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.

115

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, 2022.

Item 2.    Unregistered Sales of Equity Securities, Use of Proceeds, and Issuer Purchases of Equity Securities

Not applicable.

Item 3.    Defaults upon Senior Securities

None.

Item 4.    Mine Safety Disclosures

Not applicable.

Item 5.    Other Information

None.

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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	8/18/2023
4.01	Amended and Restated Capital Plan of the Bank		8-K	6/24/2022
10.01	2023 Bank Incentive Compensation Plan(a)		8-K	10/3/2023
31.01	Certification of Registrant’s Chief Executive Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002	X
31.02	Certification of the Registrant’s Chief Financial Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002	X
32.01	Certification of Registrant’s Chief Executive Officer, as required by Section 906 of the Sarbanes-Oxley Act of 2002	X
32.02	Certification of Registrant’s Chief Financial Officer, as required by Section 906 of the Sarbanes-Oxley Act of 2002	X
101.INS	Inline XBRL Instance Document – The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document.	X
101.SCH	Inline XBRL Taxonomy Extension Schema Document	X
101.CAL	Inline XBRL Taxonomy Extension Calculation Linkbase Document	X
101.DEF	Inline XBRL Taxonomy Extension Definition Linkbase Document	X
101.LAB	Inline XBRL Taxonomy Extension Label Linkbase Document	X
101.PRE	Inline XBRL Taxonomy Extension Presentation Linkbase Document	X
104	Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101)	X

Notes:

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

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

117

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 9, 2023

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