UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-K

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

For the fiscal year ended December 31, 2023

or

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

Commission file number: 000-51397

Federal Home Loan Bank of New York

(Exact name of registrant as specified in its charter)

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

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

Class B Stock, putable, par value $100

(Title of class)

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes ☐ No ☒

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act. Yes ☐ No ☒

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 has filed a report on and attestation to its management’s assessment of the effectiveness of its internal control over financial reporting under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C. 7262(b)) by the registered public accounting firm that prepared or issued its audit report. ☒

If securities are registered pursuant to Section 12(b) of the Act, indicate by check mark whether the financial statements of the registrant included in the filing reflect the correction of an error to previously issued financial statements. ☐

Indicate by check mark whether any of those error corrections are restatements that required a recovery analysis of incentive-based compensation received by any of the registrant’s executive officers during the relevant recovery period pursuant to §240.10D-1(b). ☐

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

Registrant’s stock is not publicly traded and is only issued to members of the registrant. Such stock is issued and redeemed at par value, $100 per share, subject to certain regulatory and statutory limits. At June 30, 2023, the aggregate par value of the common stock held by members of the registrant was approximately $6,361,602,700. At February 29, 2024, 61,930,360 shares of common stock were outstanding.

FEDERAL HOME LOAN BANK OF NEW YORK

2023 Annual Report on Form 10-K

Table of Contents

PART I
	Item 1.	Business	3
	Item 1A.	Risk Factors	17
	Item 1B.	Unresolved Staff Comments	25
	Item 1C.	Cybersecurity	25
	Item 2.	Properties	27
	Item 3.	Legal Proceedings	27
	Item 4.	Mine Safety Disclosures	27
PART II
	Item 5.	Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities	28
	Item 6.	[Reserved]	29
	Item 7.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	30
	Item 7A.	Quantitative and Qualitative Disclosures about Market Risk	91
	Item 8.	Financial Statements and Supplementary Data	95
	Item 9.	Changes in and Disagreements with Accountants on Accounting and Financial Disclosure	175
	Item 9A.	Controls and Procedures	175
	Item 9B.	Other Information	175
	Item 9C.	Disclosure Regarding Foreign Jurisdictions that Prevent Inspections	175
PART III
	Item 10.	Directors, Executive Officers and Corporate Governance	176
	Item 11.	Executive Compensation	193
	Item 12.	Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters	225
	Item 13.	Certain Relationships and Related Transactions, and Director Independence	226
	Item 14.	Principal Accounting Fees and Services	229
PART IV
	Item 15.	Exhibits, and Financial Statement Schedules	230
	Item 16.	Form 10-K Summary	232
Signatures			233

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PART I

Item 1.Business.

General

The Federal Home Loan Bank of New York (“we,” “us,” “our,” “the Bank” or the “FHLBNY”) is a federally chartered corporation exempt from federal, state and local taxes except local real property taxes. It is one of eleven 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. Each FHLBank is a cooperative owned by member institutions located within a defined geographic district. The members purchase capital stock in the FHLBank and generally receive dividends on their capital stock investment. Our defined geographic district is New Jersey, New York, Puerto Rico, and the U.S. Virgin Islands. We provide a readily available, low-cost source of funds for our member institutions.

The FHLBNY is managed to deliver balanced value to members, rather than to maximize profitability or advance volume through low pricing. Our members must purchase FHLBNY stock according to regulatory requirements as a condition of membership. For more information, see financial statements, Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. The business of the cooperative is to provide liquidity for our members (primarily in the form of loans referred to as “advances”) and to provide a return on members’ investment in FHLBNY stock in the form of a dividend. Since members are both stockholders and customers, our management operates the Bank such that there is a trade-off between providing value to them via low pricing for advances with a relatively lower dividend versus higher advances pricing with a relatively higher dividend.

All federally insured depository institutions, federally insured credit unions and insurance companies engaged in residential housing finance can apply for membership in the FHLBank in their district. Community development financial institutions (CDFIs) that have been certified by the CDFI Fund of the U.S. Treasury Department, including community development loan funds, community development venture capital funds, and state-chartered credit unions without federal insurance, are also eligible to become members of a FHLBank.

A member of another FHLBank or a financial institution that is not a member of any FHLBank may also hold FHLBNY stock as a result of having acquired one of our members. Because we operate as a cooperative, we conduct business with related parties in the normal course of business and consider all members and non-member stockholders as related parties in addition to the other FHLBanks. For more information, see financial statements, Note 20. Related Party Transactions and Item 13. Certain Relationships and Related Transactions, and Director Independence in this Form 10-K.

Our primary business is making collateralized loans or advances to members and is also the principal factor that impacts our financial condition. We also serve the public through our mortgage programs, which enable our members to liquefy certain mortgage loans by selling them to the Bank. We also provide members with such correspondent services as safekeeping, wire transfers, depository, and settlement services. Non-members that have acquired members have access to these services up to the time that their advances outstanding prepay or mature.

We obtain our funds from several sources. A primary source is the issuance of FHLBank debt instruments, called Consolidated obligations, to the public. The issuance and servicing of Consolidated obligations are performed by the Office of Finance (OF), the fiscal agent for the issuance and servicing of Consolidated obligations on behalf of the 11 FHLBanks. These debt instruments represent the joint and several obligations of all the FHLBanks. Because the FHLBanks’ Consolidated obligations are rated Aaa/P-1 with a negative outlook by Moody’s Investors Service (Moody’s) and AA+/A-1+ with a stable outlook by Standard & Poor’s Rating Services (S&P or Standard & Poor’s) and because of the FHLBanks’ GSE status, the FHLBanks are generally able to raise funds at rates that are typically at a small to moderate spread above U.S. Treasury security yields. Additional sources of funding are member deposits, other borrowings, and the issuance of capital stock. Deposits may be accepted from member financial institutions and federal instrumentalities.

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We combine private capital and public sponsorship as a GSE to provide our member financial institutions with a reliable flow of credit and other services for housing and community development, and our cooperative ownership structure allows us to pass along the benefit of these low funding rates to our members. By supplying additional liquidity to our members, we enhance the availability of residential mortgages and community investment credit. Members also benefit from our affordable housing and economic development programs, which provide grants and below market-rate loans that support members’ involvement in creating affordable housing and revitalizing communities.

We do not have any wholly or partially owned subsidiaries, nor do we have an equity position in any partnerships, corporations, or off-balance sheet special purpose entities. We own the grantor trusts to fund certain non-qualified employee retirement programs, more fully described in financial statements Note 16. Employee Retirement Plans and Note 6. Equity Investments.

A Joint Capital Enhancement Agreement (Capital Agreement) among the 11 FHLBanks requires each FHLBank to enhance its capital position, and each FHLBank will contribute 20% of its Net income each quarter to its own restricted retained earnings account at the FHLBank until the balance of that account equals at least one percent of that FHLBank’s average balance of outstanding Consolidated obligations for the quarter. These restricted retained earnings will not be available to pay dividends.

The FHLBNY is supervised by the Federal Housing Finance Agency (FHFA or the Finance Agency), the independent Federal regulator of the FHLBanks, the Federal Home Loan Mortgage Corporation (Freddie Mac) and the Federal National Mortgage Association (Fannie Mae). The FHFA’s stated mission with respect to the FHLBanks is to provide effective supervision, regulation, and housing mission oversight of the FHLBanks to promote their safety and soundness, support housing finance and affordable housing, and support a stable and liquid mortgage market.

Each FHLBank carries out its statutory mission only through activities that are authorized under and consistent with the Safety and Soundness Act and the FHLBank Act; and the activities of each FHLBank and the manner in which they are operated is consistent with the public interest. The Finance Agency also ensures that the FHLBNY carries out its housing and community development mission, remains adequately capitalized and able to raise funds in the capital markets. However, while the Finance Agency establishes regulations governing the operations of the FHLBanks, the Bank functions as a separate entity with its own management, employees and Board of Directors.

Our website is www.fhlbny.com. We have adopted, and posted on our website, a Code of Business Conduct and Ethics applicable to all employees and directors.

Market Area

Our market area is the same as the membership district — New Jersey, New York, Puerto Rico, and the U.S. Virgin Islands. Institutions that are members of the FHLBNY must have their charter or principal places of business within this market area but may also operate elsewhere.

Due to the penetrated market, there are few opportunities to gain members. However, we continue to engage the member prospects who are eligible to join. In addition, foreign banks with charters based in our membership district are another potential pool of prospects. This is not a new trend as we currently have members who have parent companies outside the United States.

We actively market membership through a series of targeted, on-going sales and marketing initiatives. We compete for business by offering competitively priced products, services and programs that provide financial flexibility to the membership. The dominant reason institutions join the FHLBNY is access to a reliable source of liquidity, through products such as advances, letters of credit and our secondary market program, Mortgage Asset Program. While liquidity is provided in a variety of ways, advances are one of the most attractive sources of liquidity because they permit members to pledge relatively illiquid assets, such as 1-4 family, multifamily, home equity, and commercial real estate mortgages held in portfolio, to create liquidity. Advances are attractively priced because of our access to capital markets as a GSE and our strategy of providing balanced value to members.

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The following table summarizes our members by type of institution:

					Community
					Development
	Commercial	Thrift	Credit	Insurance	Financial
	Banks	Institutions	Unions	Companies	Institution	Total
December 31, 2023	102	61	106	47	9	325
December 31, 2022	103	62	107	46	9	327

Business Segments

We manage our operations as a single business segment. Management and our Board of Directors review enterprise-wide financial information in order to make operating decisions and assess performance.

Our cooperative structure permits us to expand and contract with demand for advances and changes in membership. When advances are paid down, because the member no longer needs the funds or because the member has been acquired by a non-member and the former member decides to prepay advances, the stock associated with the advances is subject to immediate redemption in our sole discretion. When advances are paid before maturity, we collect fees that make us financially indifferent to the prepayment. Our operating expenses are low. Dividend capacity, which is a function of net income and the amount of stock outstanding, is largely unaffected by the prepayment since future stock and future income are reduced more or less proportionately. We believe that we will be able to meet our financial obligations and continue to deliver balanced value to members, even if advance demand contracts or if membership declines.

Products and Services

Introduction — Advances to members are the primary focus of our operations and are also the principal factor that impacts our financial condition. Revenues from advances to members are the largest and the most significant element in our operating results. Providing advances to members, supporting the products, and associated collateral and credit operations, and funding and swapping the funds are the focus of our operations.

We offer our members several correspondent banking services as well as safekeeping services. The fee income that is generated from these services is not significant. We also issue standby letters of credit on behalf of members for a fee. The total income derived from all such sources, and other incidental income and expenses were not material in the periods in this report.

We provide our members with an alternative to originating and selling long-term, fixed-rate mortgages in the secondary market. We accomplish this by purchasing eligible conforming fixed-rate mortgages originated or purchased by our members. Purchases are at negotiated market rates. For more information, see Acquired Member Assets Programs below and in the financial statements, Note 10. Mortgage Loans Held-for-Portfolio.

Advances

We offer a wide range of credit products to help members meet local credit needs, manage interest rate and liquidity risk, and serve their communities. Our primary business is making secured loans, called advances, to members. These advances are available as short- and long-term loans with adjustable, variable, and fixed-rate features (including option-embedded and amortizing advances).

Advances to members, including former members, constituted 68.8% and 73.3% of our total assets of $158.3 billion and $157.4 billion at December 31, 2023 and 2022, respectively. In terms of revenues, interest income derived from advances were $6.0 billion, $1.9 billion, and $0.5 billion, representing 71.3%, 69.4% and 50.0% of total interest income in 2023, 2022 and 2021, respectively. Most of our critical functions are directed at supporting the borrowing needs of our members and monitoring the members’ associated collateral positions. For more information about advances, including our underwriting standards, see financial statements, Note 9. Advances; also see Tables 3.1 to 3.8 and the accompanying discussions in this MD&A.

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Members use advances as a source of funding to supplement their deposit gathering activities. Advances borrowed by members have generally increased over the last decade because many members have not been able to increase their deposits in their local markets as quickly as they have increased their assets. To close this funding gap, members have preferred to obtain reasonably priced advances rather than increasing their deposits by offering higher rates or foregoing asset growth. Because of the wide range of advance types, terms, and structures available to them, members have also used advances to enhance their asset/liability management. As a cooperative, we price advances at minimal net spreads above the cost of our funding in order to deliver more value to members.

Letters of Credit

We may issue standby financial letters of credit on behalf of members to facilitate members’ residential and community lending, provide members with liquidity, or assist members with asset/liability management. Where permitted by law, members may utilize FHLBNY letters of credit to collateralize deposits made by units of state and local governments. Our underwriting and collateral requirements for securing letters of credit are the same as our requirements for securing advances.

Derivatives

To assist members in managing their interest rate and basis risks in both rising and falling interest-rate environments, we will act as an intermediary between the member and derivatives counterparty. We do not act as a dealer and view this as an additional service to our members. Participating members must comply with our documentation requirements and meet our underwriting and collateral requirements. Volume of such requests has been insignificant.

Acquired Member Assets Programs

The FHLBanks are permitted to acquire certain assets from or through their members. These initiatives are referred to as Acquired Member Assets (AMA) programs. At the FHLBNY, the Acquired Member Assets initiatives are the Mortgage Partnership Finance (MPF) Program and Mortgage Asset Program, which provide members with an alternative to originating and selling long-term, fixed-rate mortgages in the secondary market. These programs are managed and funded in a consistent manner. We purchase conforming fixed-rate mortgages originated or purchased by our members. By selling mortgage loans to us, members can increase their balance sheet liquidity and lower interest rate and mortgage prepayment risks.

The Bank introduced the new AMA investment program, MAP in the fourth quarter of 2020. MAP purchases are investment grade, conforming one-to-four family or government insured long-term, fixed-rate home mortgages. MAP, like MPF, is structured to provide secondary mortgage market liquidity to the selling member, the participating financial institution (PFI).

MAP was fully rolled out in March 2021, at which time we stopped purchasing MPF loans. Legacy MPF loans will remain on the FHLBNY’s balance sheet and will continue to be supported by the FHLBNY and the FHLBank of Chicago as MPF Provider.

Under MAP, the PFI’s credit enhancement is created by the FHLBNY through the establishment of an individual or, in certain cases as pooled, member performance account (MPA). The FHLBNY sets aside funds in the MPA account; funds are unsecured for the PFI and serves as the selling member’s credit enhancement for future credit losses experienced on that MAP loan pool. This first loss credit enhancement provided by the member, or a group of members through pool aggregation, brings the FHLBNY purchased loans to at least investment grade at the time of sale. We offer pool aggregation under MAP to reduce the credit enhancement cost to small and mid-sized PFIs when they sell mortgages into combined pools. These credit enhancements apply after a homeowner’s equity, and if applicable, private mortgage insurance has first been exhausted. For FHA and other government insured home mortgages that we purchase under MAP, we do not establish an additional MPA credit enhancement because the credit risk is insured by the United States government.

Under the MPF Program, members are then paid a fee for assuming a portion of the credit risk of the mortgages that we acquired. Members assume credit risk by providing a credit enhancement to us or providing and paying for a supplemental mortgage insurance policy insuring us for some portion of the credit risk involved.

Income from both MPF and MAP are derived primarily from the difference, or spread, between the yield on the purchased mortgage loans and the borrowing cost of Consolidated obligations.

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We do not service the mortgage loans we purchase under MPF and MAP. PFIs may elect to retain servicing rights for the loans sold to us, or they may elect to sell servicing rights to a FHLBNY approved servicer. We do not pay a PFI any fees other than the servicing fee when the PFI retains the servicing rights. We closely monitor the servicers because we are exposed to credit and operational risk if they fail to properly perform.

It is the servicer’s responsibility to initiate claims for losses on the loans. If a loss is expected, no claims are settled until the claim has been reviewed and approved by the FHLBNY. Under MAP, the MPA first absorbs the credit loss after a homeowner’s equity, and if applicable, private mortgage insurance has first been exhausted. If the MPA has been depleted, based on our contractual arrangement, the FHLBNY takes the ultimate credit loss, and the servicer is reimbursed for an approved claim amount.

Under its current housing goals regulation, the Finance Agency establishes low-income housing goals for the FHLBNY for conventional mortgages purchased through the AMA programs. If we do not meet any affordable housing goals established by the Finance Agency, we may be required to submit a housing plan to the Finance Agency.

The Acquired Member Assets Regulation does not specifically address the disposition of Acquired Member Assets. The main intent of that regulation is the purchase of assets for investment rather than for trading purposes. The FHLBNY’s present intent for MPF and MAP is to hold these investments in portfolio. However, the FHLBanks have the legal authority to sell MPF and MAP loans pursuant to the granting of incidental powers in Section 12 of the FHLBank Act. Section 12(a) of the FHLBank Act specifically provides that each FHLBank shall have all such incidental powers, not inconsistent with the provisions of this chapter, as are customary and usual in corporations generally. General corporate law principles permit the sale of investments.

For additional discussion on our mortgage loans and their related credit risk, see financial statements, Note 10. Mortgage Loans Held-for-Portfolio. Also see Tables 5.1 to 5.3 and accompanying discussions in this MD&A.

Correspondent Banking Services

We offer our members an array of correspondent banking services, including depository services, wire transfers, settlement services, and safekeeping services. Depository services include processing of customer transactions in “Overnight Investment Accounts,” the interest-bearing demand deposit account each customer has with us. All customer-related transactions (e.g. deposits, Federal Reserve Bank settlements, advances, securities transactions, and wires) are posted to these accounts each business day. Wire transfers include processing of incoming and outgoing domestic wire transfers, including third-party transfers. Settlement services include automated clearinghouse and other transactions received through our accounts at the Federal Reserve Bank as correspondent for members and passed through to our customers’ Overnight Investment Accounts with us. Through a third party, we offer customers a range of securities custodial services, such as settlement of book entry (electronically held) and physical securities. We encourage members to access these products through 1Link^sm, an Internet-based delivery system we developed as a proprietary service. Members access the 1Link system to obtain account activity information or process wire transfers, book transfers, security safekeeping and advance transactions.

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Affordable Housing Program and Other Mission Related Programs

Federal Housing Finance Agency regulation 12 CFR Part 1292.5 (Community Investment Cash Advance Programs) states in general that each FHLBank shall establish an Affordable Housing Program (AHP) in accordance with Part 1291, and a Community Investment Program. The 11 FHLBanks together must annually allocate for the AHP the greater of $100 million or 10 percent of regulatory defined net earnings. The FHLBank may also offer a Rural Development Advance program, an Urban Development Advance program, and other Community Investment Cash Advance programs.

● Affordable Housing Program. We meet this requirement by allocating 10 percent of regulatory defined net income to our AHP to finance homeownership and support the creation and preservation of housing for lower income families and individuals. The program is offered in two forms: a competitive program and a homeownership program. In the competitive program, AHP funds are awarded through a competitive process to members who submit applications on behalf of project sponsors who are planning to purchase, rehabilitate, or construct affordable homes or apartments. In the homeownership program, households are required to have income at or below 80% of the area median income, and we may set aside annually, in aggregate, up to the greater of $4.5 million or 35% of the Bank’s annual required AHP contributions. See financial statements, Note 13. Affordable Housing Program for assessments allocated from earnings for the periods in this report.

● Other Mission — Related Activities. The FHLBNY offers four distinct Community Lending Programs (CLP) that support our members’ community-oriented lending, which were established under the Community Investment Cash Advance Programs. The Bank provides reduced interest rate advances to members for lending activity that meets the CLP requirements, under the following individual programs: Community Investment Program (CIP), Rural Development Advance (RDA), Urban Development Advance (UDA) and Disaster Relief Funding (DRF). The CLP provides additional assistance to members in their affordable housing and economic development lending activities within low- and moderate-income neighborhoods as well as other activities which benefit low- and moderate-income households. The Bank also provides letters of credit in support of projects that meet the CLP requirements and are offered at reduced fees. Economic development is further supported by the FHLBNY’s suite of offerings under the Zero Percent Development Advance (ZDA) Program. The ZDA program provides members with subsidized funding in the form of interest rate credits to assist in originating loans or purchasing loans/investments that meet one of the eligibility criteria under the Business Development Advance, Climate Development Advance, Infrastructure Development Advance, or Tribal Development Advance. In addition, the Small Business Recovery Grant (SBRG) Program provides flexible funds to benefit small-businesses and non-profits located in FHLBNY members’ communities. This program supports the financial security of qualifying organizations that face economic challenges due to the rate environment, inflation, supply-chain constraints, and/or rising energy costs. Lastly, we typically make charitable contributions to organizations deemed to be highly reputable and who provide vital services. The ZDA, SBRG and charitable contributions are in excess of the required statutory annual income contribution to the AHP offered under the Community Investment Cash Advance Programs.

Investments

We maintain portfolios of investments to provide additional earnings and for liquidity purposes. Investment income also bolsters our capacity to fund Affordable Housing Program projects, and to cover operating expenditures. To help ensure the availability of funds to meet member credit needs, we maintain interest-bearing deposits and portfolios of short-term investments issued by highly-rated, high credit quality financial institutions. The investments may include overnight Federal funds, term Federal funds, securities purchased under agreements to resell, and we are a major lender in this market, particularly in the overnight market. We further enhance our interest income by holding long-term investments classified as either held-to-maturity or as available-for-sale. These portfolios primarily consist of mortgage-backed securities issued by government-sponsored mortgage enterprises. Our long-term investments also include a small portfolio of privately issued mortgage-backed and residential asset-backed securities that were primarily acquired prior to 2006, bonds issued by housing finance agencies, and grantor trusts owned by the FHLBNY that invests in mutual funds to help support the Bank’s nonqualified plans. We have a liquidity trading portfolio invested primarily in highly-liquid U.S. Treasury securities to enhance our short-term liquidity positions and is not used for speculative purposes.

For more information, see financial statements, Note 4. Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell, Note 5. Trading Securities, Note 6. Equity Investments, Note 7. Available-for-Sale Securities and Note 8. Held-to-Maturity Securities. Also see Tables 4.1 through 4.9 and accompanying discussions in this MD&A.

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Debt Financing — Consolidated Obligations

Our primary source of funds is the sale of debt securities, known as Consolidated obligations, in the U.S. and global capital markets. Consolidated obligations are the joint and several obligations of the FHLBanks, backed only by the financial resources of the 11 FHLBanks. Consolidated obligations are not obligations of the United States, and the United States does not guarantee them. The issuance and servicing of Consolidated obligations debt are performed by the Office of Finance, a joint office of the FHLBanks established by the Finance Agency. The Office of Finance has authority to issue joint and several debt on behalf of the FHLBanks. At December 31, 2023 and December 31, 2022, the par amounts of Consolidated obligations outstanding, bonds and discount notes for all 11 FHLBanks was $1.2 trillion, including $147.3 billion and $149.8 billion issued for the FHLBNY and outstanding at those dates. For more information, see financial statements, Note 12. Consolidated Obligations. Also see Tables 6.1 to 6.11 and accompanying discussions in this MD&A.

Finance Agency regulations state that the FHLBanks must maintain, free from any lien or pledge, qualifying assets at least equal to the face amount of Consolidated obligations outstanding. Qualifying assets are defined as cash; secured advances; assets with an assessment or rating at least equivalent to the current assessment or rating of the Consolidated obligations; obligations of or fully guaranteed by the United States, obligations, participations, or other instruments of or issued by Federal National Mortgage Association or the Government National Mortgage Association (Ginnie Mae); mortgages, obligations, or other securities which are or ever have been sold by the Federal Home Loan Mortgage Corporation under the FHLBank Act; and such securities as fiduciary and trust funds may invest in under the laws of the state in which the FHLBank is located. Any assets subject to a lien or pledge for the benefit of holders of any issue of Consolidated obligations are treated as if they were free from lien or pledge for purposes of compliance with these regulations.

Consolidated obligations are distributed through dealers selected by the Office of Finance using various methods including competitive auction and negotiations with individual or syndicates of underwriters. Some debt issuance is in response to specific inquiries from underwriters. Many Consolidated obligations are issued with the FHLBank concurrently entering into derivatives agreements, such as interest rate swaps. To facilitate issuance, the Office of Finance may coordinate communication between underwriters, individual FHLBanks, and financial institutions executing derivative agreements with the FHLBanks. Issuance volume is not concentrated with any particular underwriter.

The Office of Finance is mandated by the Finance Agency to ensure that Consolidated obligations are issued efficiently and at the lowest all-in cost of funds over time. If the Office of Finance determines that its action is consistent with its Finance Agency’s mandated policies, it may reject our issuance request, and the requests of other FHLBanks, to raise funds through the issuance of Consolidated obligations on particular terms and conditions. We have never been denied access under this policy for all periods reported. The Office of Finance serves as a source of information for the FHLBanks on capital market developments and manages the FHLBanks’ relationship with the rating agencies with respect to the Consolidated obligations.

Consolidated Obligation Liabilities

Each FHLBank independently determines its participation in each issuance of Consolidated obligations based on (among other factors) its own funding and operating requirements, maturities, interest rates, and other terms available for Consolidated obligations in the market. The FHLBanks have emphasized diversification of funding sources and channels as the need for funding from the capital markets has grown.

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Consolidated Obligation Bonds. Consolidated bonds (COs or CO bonds) are issued primarily to raise intermediate- and long-term funds for the FHLBanks. They can be issued and distributed through negotiated or competitive bidding transactions with approved underwriters or bidding group members. Consolidated bonds generally carry fixed- or variable-rate payment terms and have maturities ranging from one month to 30 years.

● The Global Debt Program — The FHLBanks issue global bullet Consolidated bonds. The FHLBanks and the Office of Finance maintain a debt issuance process for scheduled issuance of global bullet Consolidated bonds. As part of this process, management from each FHLBank will determine and communicate a firm commitment to the Office of Finance for an amount of scheduled global bullet debt to be issued on its behalf. If the FHLBanks’ orders do not meet the minimum debt issue size, each FHLBank receives an allocation of proceeds equal to either the larger of the FHLBank’s commitment or the ratio of the individual FHLBank’s regulatory capital to total regulatory capital of all of the FHLBanks. If the FHLBanks’ commitments exceed the minimum debt issue size, then the proceeds are allocated based on relative regulatory capital of the FHLBanks, with the allocation limited to either the lesser of the allocation amount or the actual commitment amount. The FHLBanks can, however, pass on any scheduled calendar slot and decline to issue any global bullet Consolidated bonds upon agreement of at least eight of the FHLBanks.

● TAP Issue Program — The FHLBanks use the TAP Issue Program to issue fixed-rate, non-callable (bullet) bonds. This program uses specific maturities that may be reopened daily through competitive auctions. The goal of the TAP Issue Program is to aggregate frequent smaller fixed-rate funding needs into a larger bond issue that may have greater market liquidity.

Consolidated Obligation Discount Notes. Discount notes may be offered into the market through the “discount note window”, or through regularly scheduled competitive auctions. These CO discount notes have a maturity range of one day to one year, are generally issued at or below par, and mature at par.

● Discount notes issued through the discount note window are priced daily and distributed through FHLBank authorized dealers. FHLBanks may request that specific amounts of Consolidated discount notes (CO discount notes or discount notes) with specific maturity dates be offered by the Office of Finance for sale through authorized securities dealers. The Office of Finance commits to issue CO discount notes on behalf of the requesting FHLBanks after dealers submit orders for the specific CO discount notes offered for sale. The FHLBanks receive funding based on the time of their request, the rate requested for issuance, the trade date, the settlement date, and the maturity date. However, a FHLBank may receive less than requested (or may not receive any funding) because of investor demand and competing FHLBank requests for the particular funding that the FHLBank is requesting.

● Twice weekly, one or more of the FHLBanks may also request that specific amounts of CO discount notes with fixed maturities of 4, 8, 13, and 26 weeks be offered by the Office of Finance through single-price (Dutch) auctions conducted with securities dealers in the discount note selling group. Issuance is contingent on FHLBank demand for funding with these terms. Auction sizes and maturity categories are announced to dealers during the auction process on Reuters and other major wire services. The discount notes offered for sale through Dutch auctions are not subject to a limit on the maximum costs the FHLBanks are willing to pay. Bids will be accepted from the lowest bid rate until the auction size is met, and all winning bids will be awarded at the highest bid rate accepted, so that the FHLBanks receive funding based on their requests at the highest bid rate accepted. If the bids submitted are less than the total of the FHLBanks’ requests, the FHLBank receives funding based on that FHLBank’s regulatory capital relative to the regulatory capital of other FHLBanks offering CO discount notes.

Deposits

The FHLBank Act allows us to accept deposits from its members, other FHLBanks and government instrumentalities. For us, member deposits are also a source of funding, but we do not rely on member deposits to meet our funding requirements. For members, deposits are a low risk earning asset that may satisfy their regulatory liquidity requirements. We offer several types of deposit programs to our members, including demand and term deposits.

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Capital

From its enactment in 1932, the FHLBank Act provided for a subscription-based capital structure for the FHLBanks. The amount of capital stock that each FHLBank issued was determined by a statutory formula establishing how much FHLBank capital stock each member was required to purchase. With the enactment of the Gramm-Leach-Bliley Act of 1999, Congress replaced the statutory subscription-based member capital stock purchase formula with requirements for total capital, leverage capital, and risk-based capital for the FHLBanks and required the FHLBanks to develop new capital plans to replace the previous statutory structure.

The FHLBNY’s capital plan bases the stock purchase requirement on the level of activity a member has with the Bank, subject to a minimum membership requirement that is intended to reflect the value to the member of having access to the Bank as a funding source. With the approval of the Board of Directors, we may adjust these requirements from time to time within the ranges established in the capital plan. Any changes to our capital plan must be approved by our Board of Directors and the Finance Agency.

Bank capital stock cannot be publicly traded, and under the capital plan, may be issued, transferred, redeemed, and repurchased only at its par value of $100 per share, subject to certain regulatory and statutory limits. Under the capital plan, a member’s capital stock will be redeemed by the Bank upon five years notice from the member, subject to certain conditions. In addition, we have the discretion to repurchase excess capital stock from members. Our current practice is to acquire excess activity-based capital stock daily.

For more information, see Table 7.1 Stockholders’ Capital in this MD&A, and Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings in the notes to the audited financial statements.

Retained Earnings and Dividends

The Bank’s Retained Earnings and Dividends policy (the Policy) is a Board approved policy, the objectives of which are to preserve the value of our members’ investment with us, and to provide members with a reasonable dividend. The Policy also states that we want to provide returns on the investment in the Bank’s stock that are sufficient to attract and retain members, and that do not discourage member borrowing. The Bank’s minimum level of retained earnings provides management with a high degree of confidence that estimable losses under simulated stressful conditions and scenarios will not impair paid-in capital, thereby preserving the par value of the stock. Additionally, Unrestricted Retained Earnings should be available to supplement dividends when earnings are low, or losses occur. Our ability to pay dividends and any other distributions may be affected by standards under the Policy.

The Policy establishes (1) a minimum level of Retained Earnings equal to the Bank’s “Retained Earnings Sufficiency”, which is the FHLBNY’s measure of estimating the Bank’s risk exposures; it is estimated under simulated stressful conditions and scenarios, within a defined confidence interval, on market, credit and operational risks, as well as accounting exposures related to the fair values of certain financial instruments; (2) the priority of contributions to retained earnings relative to other distributions of income; (3) the target level of Retained Earnings, based on the Retained Earnings Sufficiency level; (4) a timeline to achieve the targets and to ensure maintenance of appropriate levels of Retained Earnings.

The Bank may pay dividends from Unrestricted Retained Earnings and current net income. Per Finance Agency regulations, our Board of Directors may declare and pay dividends in either cash or capital stock; our practice has been to pay dividends in cash. Our dividends and our dividend policy are subject to Federal Housing Finance Agency regulations and policies. Any dividend payments declared by our Board are a function of these policies, and our financial condition and performance.

To achieve the Bank’s strategic plans and business objectives within the Bank’s risk appetite, the Board-approved Retained Earnings target was $1,926 million for 2023 and $1,791 million for 2022. For more information about Restricted retained earnings, see Table 7.1 Stockholder’s Capital in this MD&A.

Unrestricted Retained Earnings was $1,276.6 million and $1,185.1 million at December 31, 2023 and 2022, respectively. Restricted Retained Earnings was $1,061.1 million and $910.9 million at December 31, 2023 and 2022, respectively. The balance in Accumulated Other Comprehensive Income (AOCI), a component of stockholder’s equity, were losses of $142.5 million and losses of $136.3 million at December 31, 2023 and 2022, respectively. At December 31, 2023 and 2022, our actual retained earning balances exceeded the required Bank’s Retained Earnings Sufficiency level and was in compliance with the Retained Earnings and Dividend Policy.

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The following table summarizes the impact of dividends on our retained earnings for the years ended December 31, 2023, 2022 and 2021 (in thousands):

	December 31,
	2023		2022		2021
Retained earnings, beginning of year	$	2,095,967	$	1,930,965	$	1,909,616
Net Income for the year		751,131		417,376		265,521
		2,847,098		2,348,341		2,175,137
Dividends paid in the year (a)		(509,434)		(252,374)		(244,172)
Retained earnings, end of year	$	2,337,664	$	2,095,967	$	1,930,965

(a) Dividends are paid quarterly in arrears in the second month after quarter-end. Dividends are accrued in the period they are declared and therefore not accrued at quarter-end.

Competition

Demand for advances is affected by many factors including, but not exclusive to the availability and cost to members of alternate sources of liquidity, including retail deposits and wholesale funding options such as brokered deposits, repurchase agreements, Federal Funds lines of credit, Federal Reserve Bank liquidity facilities, wholesale CD programs, and deposits through listing services. Historically, members have grown their assets at a faster pace than retail deposits and capital resulting in the creation of a funding gap. We compete with both secured and unsecured suppliers of wholesale funding to fill these potential funding gaps. Such other suppliers of funding may include Wall Street dealers, commercial banks, regional broker-dealers, and firms capitalizing on wholesale funding platforms. Of these wholesale funding sources, the brokered CD market is our main threat as members continue to increase their usage and counterparties extend available maturities.

Demand for advances is also affected by Federal Reserve actions in managing interest rates and the size and composition of its balance sheet, as those actions affect economic and capital markets conditions, the supply of liquidity in the financial system, the behavior of depositors and other factors.

An emerging competitor is Deposits through Listing Services, which are financial institutions that charge a subscription fee to help banks gather deposits. We have seen gradual growth in the use of these wholesale deposit vehicles. The Federal Reserve funding programs have emerged as competition for our short-term advances. Repo and Federal Funds usage has been stable, though demand for certain members has both increased and decreased as a result of the various changes in regulatory liquidity requirements. We expect that brokered CDs will continue to pressure market share. Our larger members may also have access to the national and global credit markets. The availability of alternative funding sources can vary as a result of market conditions, member creditworthiness, availability of collateral and suppliers’ appetite for the business, as well as other factors. However, we believe the competitive landscape will continue and will be reflected in the balances and market share.

We compete for funds in the national and global debt markets. Competitors include corporations, sovereigns, the U.S. Treasury, supranational entities, and Government Sponsored Enterprises including Fannie Mae, Freddie Mac, and the Federal Farm Credit Banks (FFCB). Increases in the supply of competing debt products could, in the absence of increases in demand, result in higher debt costs or lesser amounts of debt issued at the same cost than would otherwise be the case. In addition, the availability and cost of funds can be adversely affected by regulatory initiatives that could reduce demand for Federal Home Loan Bank System debt. Although the available supply of funds has historically kept pace with the liquidity needs of our members, there can be no assurance this will continue to be the case.

In certain market conditions, such as the ones beginning in early 2021, there is considerable competition among high credit quality issuers in the markets for callable debt. The issuance of callable debt and the simultaneous execution of callable derivatives that mirror the debt have been a valuable source of competitively priced funding for the FHLBNY. Since Money Market Fund Reform, the dominant System issuance has been in simple floating-rate debt as money market funds migrated assets from Prime to Government Funds; thereby creating demand for eligible assets such as FHLBank debt. Floaters have been one of the main determinants of our relative cost of funds. There can be no assurance that the current breadth and depth of these markets will be sustained as it is heavily influenced by investor sentiment concerning rates and yields and availability of alternative investments, particularly in the Repo sector.

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Since November 2018, the FHLBank System has been a major participant in the issuance of floaters using the Secured Overnight Financing Rate (SOFR). SOFR floaters are a major source of funding for the System.

We compete for the purchase of mortgage loans in the secondary mortgage market. For single-family products, competition is primarily with Fannie Mae and Freddie Mac, principally on the basis of price, products, structures, and services offered.

Competition for certain aspects of the FHLBank business model among the 11 FHLBanks is limited, although a bank holding company with multiple banking charters may operate in more than one FHLBank’s district. A limited number of our member institutions are subsidiaries of financial holding companies with multiple charters and FHLBank memberships. The amount of advances borrowed by these entities and the amount of capital stock held, could be material to the business. Certain large member financial institutions operating in our district may borrow unsecured Federal funds or source deposits from other FHLBanks. We are permitted by regulation to purchase short-term investments from our members, though we choose to not permit members to borrow unsecured funds from us.

Oversight, Audits, and Examinations

Our business is subject to extensive regulation and supervision. The laws and regulations to which we are subject cover all key aspects of our business, and directly and indirectly affect our product and service offerings, pricing, competitive position and strategic plan, relationship with members and third parties, capital structure, cash needs and uses, and information security. As a result, such laws and regulations have a significant effect on key drivers of our results of operations, including, for example, our capital and liquidity, product and service offerings, risk management, and costs of compliance. An overview of our regulatory environment is discussed below.

The Federal Housing Finance Agency, an independent agency in the executive branch of the U.S. government, supervises and regulates the FHLBanks. The Housing Act created the FHFA with regulatory authority over FHLBank matters such as: Board of Director composition, executive compensation, risk-based capital standards and prompt corrective action enforcement provisions, membership eligibility, and low-income housing goals. The FHFA’s mission, with respect to the FHLBanks, is to ensure that the FHLBanks operate in a safe and sound manner so that the FHLBanks serve as a reliable source of liquidity and funding for housing finance and community investment.

We carry out our statutory mission only through activities that comply with the rules, regulations, guidelines, and orders issued under the Federal Housing Enterprises Financial Safety and Soundness Act, the Housing Act and the FHLBank Act.

Our shares of Class B stock are registered with the SEC under the Exchange Act, and we are subject to the information, disclosure, insider trading restrictions and other requirements under the Exchange Act. We are not subject to the provisions of the Securities Act.

The Government Corporation Control Act provides that, before a government corporation may issue and offer obligations to the public, the Secretary of the Treasury shall prescribe the form, denomination, maturity, interest rate and conditions of the obligations; the way and time issued; and the selling price. The U.S. Department of the Treasury receives the Finance Agency’s annual report to Congress, monthly reports reflecting securities transactions of the FHLBanks, and other reports reflecting the operations of the FHLBanks. The FHLBNY has an internal audit department, and our Board of Directors has an Audit Committee. An independent registered public accounting firm audits our annual financial statements. The independent registered public accounting firm conducts these audits following auditing standards established by the Public Company Accounting Oversight Board (PCAOB). The FHLBanks, the Finance Agency, and Congress all receive the audit reports. We must also submit annual management reports to Congress, the President, the Office of Management and Budget, and the Comptroller General. These reports include: Statements of financial condition, operations, and cash flows; a Statement of internal accounting and administrative control systems; and the Report of the independent registered public accounting firm on the financial statements and internal controls over financial reporting.

The Comptroller General has authority under the FHLBank Act to audit or examine the Finance Agency and the FHLBanks, including the FHLBNY, and to decide the extent to which they fairly and effectively fulfill the purpose of the FHLBank Act. Furthermore, the Government Corporation Control Act provides that the Comptroller General may review any audit of our financial statements conducted by a registered independent public accounting firm. If the Comptroller General conducts such a review, then he or she must report the results and provide his or her recommendations to Congress, the Office of Management and Budget and the Bank. The Comptroller General may also conduct his or her own audit of any of our financial statements.

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For a discussion regarding the risks related to our regulatory environment, see the description of “Risk Factors — Legislative and Regulatory Risks” in Part I, Section 1A of this Form 10-K, and for a discussion of recent regulatory developments that may impact the Bank, see “Management’s Discussion and Analysis — Legislative and Regulatory Developments” in Part II, Item 7 of this Form 10-K.

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 Assessments. — Section 10(j) of the FHLBank Act requires each FHLBank to establish an Affordable Housing Program. Each FHLBank provides subsidies in the form of direct grants and below-market interest rate advances to members who use the funds to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Annually, the FHLBanks must allocate for the AHP the greater of $100 million or 10% of regulatory net income. Regulatory net income is defined as GAAP net income before interest expense related to mandatorily redeemable capital stock and the assessment for Affordable Housing Program. The exclusion of interest expense related to mandatorily redeemable capital stock is a regulatory interpretation of the Finance Agency. We accrue the AHP expense monthly.

We charge the amount allocated for the Affordable Housing Program to income and recognize the amounts allocated as a liability. We relieve the AHP liability as members use subsidies. In periods where our regulatory income before Affordable Housing Program is zero or less, the amount of AHP liability is equal to zero. If the result of the aggregate 10% calculation described above is less than $100 million for all 11 FHLBanks, then the Act requires the shortfall to be allocated among the FHLBanks based on the ratio of each FHLBank’s income before Affordable Housing Program to the sum of the income before Affordable Housing Program of the 11 FHLBanks. There were no shortfalls in 2023, 2022 and 2021.

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Human Capital Resources

The Bank’s human capital is a significant contributor to the success of the Bank’s strategic business objectives. In managing the Bank’s human capital, the Bank focuses on its workforce profile and the various programs and philosophies described below.

Workforce Profile

The Bank’s workforce is primarily comprised of corporate employees, with the Bank’s principal operations in three locations. As of December 31, 2023, the Bank had 345 full-time and no part-time employees. As of December 31, 2023, approximately 61% of the Bank’s workforce were men, 39% women, 42% non-minority and 58% minority. Given the size of assets under management, the Bank’s workforce is lean, and historically has included a number of longer-tenured employees. The Bank strives to both develop talent from within the organization and supplement with external hires. The Bank believes that developing talent internally results in institutional strength and continuity and promotes loyalty and commitment in the Bank’s employee base, which furthers its success, while adding new employees contributes to new ideas, continuous improvement, and the Bank’s goals of a diverse and inclusive workforce. As of December 31, 2023, the average tenure of the Bank’s employees was 10.25 years. There are no collective bargaining agreements with the Bank’s employees.

Total Rewards

The Bank seeks to attract, develop, engage and retain talented employees to achieve its strategic business initiatives, enhance business performance and increase shareholder value. The Bank effects this objective through a combination of inclusion and development programs, benefits and employee wellness programs and recognizing and rewarding performance. Specifically, the Bank’s programs include:

● Cash compensation (i.e., base salary, and “variable” or “at risk” short-term incentive compensation)

● Health Benefits – Healthcare insurance, Life and Accidental Death & Dismemberment insurance, Short-Term and Long-Term Disability benefits

● Retirement Benefits – 401(k) retirement savings plans with employer match, and pension benefits

● Wellness program – Fitness Reimbursement, Health Management and Employee Assistance Programs

● Time away from work – including time off for vacation, personal, holiday, and volunteer opportunities

● Culture – Culture, Wellness and Activity Committees events, Diversity and Inclusion initiatives

● Work/Life balance – parental leave, bereavement, jury duty and hybrid remote work

● Development programs and training – Tuition Reimbursement Program, Corporate Toastmasters Club, Online Training Platform, Internal Educational and Development program, and Management Development Program

● Management succession planning – the Bank’s board and leadership actively engage in management succession planning

The Bank’s Performance Management framework includes a mid-year checkpoint, as well as an annual performance review. Overall annual ratings are calibrated, and merit and incentive payments are differentiated for the Bank’s highest performers.

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Diversity and Inclusion Program

Diversity and Inclusion (“D&I”) is a strategic business priority for the Bank. The Bank’s Chief Administrative Officer/Director of Diversity & Inclusion is a Member of the Management Committee, reporting to the President and Chief Executive Officer and serves as a liaison to the Board of Directors. The Bank recognizes that diversity increases capacity for innovation and creativity. Additionally, inclusion allows the Bank to leverage the unique perspectives of all employees and strengthens the Bank’s retention efforts. The Bank operationalizes its commitment through the development and execution of a three-year diversity and inclusion strategic plan that includes quantifiable metrics to measure its success and it reports regularly on its performance to management and the Board of Directors. The Bank also offers a range of opportunities for its employees to connect and grow personally and professionally through the Office of Diversity and Inclusion Workplace Inclusion Team. The Bank considers learning an important component of its D&I strategic plan and regularly offers educational opportunities to its employees and evaluates inclusive behaviors as part of the Bank’s annual performance management process.

Culture Management

The Bank considers culture as a strategic lever that acts to help support the future performance of the Bank and enhance employee engagement and inclusion, and further develop our people. The Bank has defined its culture state priorities as: obtaining results, operating safely, fostering agility and caring about employees. These culture state priorities align with the mission, vision and core values of the Bank. As part of our culture management efforts, we actively provide employees across the Bank with growth opportunities, access and exposure so that they can learn and develop their capabilities. To further this effort, in 2022, the Bank launched its ‘Distributed Leadership’ framework, through which managers provide their direct reports with targeted opportunities to take on “stretch” assignments, including roles in connection with Bank initiatives and projects. In 2023, the framework was extended to empower decision-making at all levels, through Distributed Leadership and other opportunities that increase an employee’s responsibilities.

Available Information

The Federal Home Loan Bank of New York maintains a website located at www.fhlbny.com where we make available our annual report on Form 10-K and quarterly reports on Form 10-Q as filed with the Securities and Exchange Commission (the SEC), and other information regarding us and our products free of charge. We are required to file with the SEC an annual report on Form 10-K, quarterly reports on Form 10-Q, and current reports on Form 8-K. The SEC maintains a website that contains these reports and other information regarding our electronic filings located at www.sec.gov. Information on these websites, or that can be accessed through these websites, does not constitute a part of this annual report.

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Item 1A.Risk Factors.

The following discussion sets forth the material risk factors that could affect the FHLBNY’s financial condition and results of operations. Readers should not consider any descriptions of such factors to be a complete set of all potential risks that could affect the FHLBNY.

Market and Economic Risks

A prolonged downturn in the economy, including the U.S. housing market, and related U.S. government monetary policies, could adversely affect the FHLBNY’s business activities and results of operations.

The FHLBNY’s business and results of operations are sensitive to the U.S. economy and the U.S. housing market. A prolonged period of slow growth in the U.S. economy, deterioration in general economic conditions, or a downturn in the housing markets could adversely affect our borrowers, particularly those whose businesses are concentrated in the mortgage industry. For example, if home prices decline or the unemployment rate increases, the value of collateral securing member credit may decline, which could in turn increase the possibility of under-collateralization and the risk of loss if a member defaults. Deterioration in the residential mortgage markets could also affect the value of collateral supporting our mortgage loan portfolio, increasing the risk of loss due to credit impairment, as well as possible realized losses if we are forced to liquidate our assets.

Unfavorable economic and market conditions can be caused by many factors. Volatility and uncertainty in global economic and political conditions can significantly affect U.S. economic conditions and financial markets. Negative trends in the global economy and political climate could influence, among other business activities, member borrowing activity and the Bank’s lending and investment patterns. Additionally, investors’ negative perceptions of the state of the U.S. economy could lead to a decline in investor demand for consolidated obligations. Furthermore, natural disasters, pandemics or other widespread health emergencies, terrorist attacks, cyber-attacks, civil unrest, geopolitical instability or conflicts , trade disruptions, economic or other sanctions, or other unanticipated or catastrophic events could create economic and financial disruptions and uncertainties, which may lead to an increased risk of credit losses for the Bank and may adversely affect their cost of funding or access to funding. These events may also lead to operational difficulties that could adversely affect the ability of the Bank to conduct and manage their businesses. Any of these factors could adversely affect our business activities and results of operations.

In addition, the Banks businesses and results of operations are significantly affected by the monetary policies of the U.S. government and its agencies, including the Federal Reserve. The Federal Reserve Board’s policies directly and indirectly influence interest rates on our assets and liabilities and could adversely affect the demand for advances and for consolidated obligations as well as the financial condition and results of operations of the Bank. For example, efforts of the Federal Reserve Board to ease inflation, such as increases in policy interest rates during 2022 and 2023, contributed to significant volatility in the financial markets and uncertainties about the economic outlook, including concerns about a possible recession. In addition, the Bank currently plays a predominant role as a lender in the federal funds market; therefore, any disruption in the federal funds market or any related regulatory or policy change may adversely affect our cash management activities, results of operations, and reputation.

Changes in interest rates or an inability to successfully manage interest-rate risk could have a material adverse effect on FHLBNY’s net interest income.

The FHLBNY realizes net interest income primarily from the spread between interest earned on our outstanding advances and investments less the interest paid on our consolidated obligations and other liabilities. Our business and results of operations are significantly affected by the monetary policies of the U.S. government and our agencies. Our ability to prepare for changes regarding the direction and speed of interest-rate changes or to use derivatives to hedge related exposures, such as basis risk, significantly affects the success of our asset and liability management activities and level of net interest income. If we are unable to enter into derivative instruments on acceptable terms, we may be unable to effectively manage our interest-rate and other risks, which could adversely affect our financial condition and results of operations.

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We use a number of measures to monitor and manage interest-rate risk, including income simulations, value at risk, and duration or market value sensitivity analyses. Given the unpredictability of the financial markets, capturing all potential outcomes in these analyses is extremely difficult. Key assumptions include, but are not limited to, loan volumes and pricing, market conditions for consolidated obligations, interest-rate spreads and prepayment speeds, implied volatility of interest rates and options contracts, cash flows on mortgage-related assets, and other model and model related assumptions. These assumptions are inherently uncertain, and we cannot precisely estimate net interest income and the market value of equity. Actual results may differ from simulated results due to the timing, magnitude, and frequency of interest-rate changes and changes in market conditions and management strategies, among other factors. In addition, volatility and disruption in the capital markets may result in a higher level of volatility in our interest-rate risk profile and could negatively affect our ability to manage interest-rate risk effectively.

Interest-rate changes can exacerbate prepayment and extension risks. Increases in interest rates may create extension risk, which is the risk that the mortgage-related investments will remain outstanding longer than expected at below-market yields. Therefore, any changes in interest rates could adversely affect our net interest income.

Changes to the credit ratings of consolidated obligations could adversely affect the FHLBNY’s ability to access the capital markets, our primary source of funding, on acceptable terms, which could adversely affect the financial condition and results of operations of the Bank.

The FHLBanks’ consolidated obligations are rated AA+/A-1+ with a stable outlook by S&P and Aaa/P-1 with a negative outlook by Moody’s. Rating agencies may from time to time change a rating or outlook or issue negative reports. Investors should not take the FHLBanks’ historical or current ratings as an indication of future ratings for the FHLBanks’ consolidated obligations. Because the FHLBanks are jointly and severally liable for consolidated obligations, negative developments at any FHLBank may affect these credit ratings or result in the issuance of a negative report regardless of the financial condition and results of operations of the other FHLBanks. In addition, because of the FHLBanks’ GSE status, the credit ratings of the FHLBank System, the FHLBanks, and consolidated obligations are directly influenced by the sovereign credit rating of the United States. For example, downgrades to the U.S. sovereign credit rating or outlook have occurred and may occur again if the U.S. government fails to adequately address, based on the credit rating agencies’ criteria, its fiscal budget deficit or statutory debt limit (which was most recently reached in January 2023). In August 2023, Fitch Ratings downgraded the ratings of the United States and, in November 2023, Moody’s changed the outlook on the ratings of the United States to negative from stable, which also caused the respective rating agencies to take similar actions with respect to certain GSEs such as the FHLBanks. As a result, if the U.S. sovereign credit ratings or outlook were further downgraded, similar downgrades in the credit ratings or outlook of the FHLBanks and consolidated obligations would most likely occur, even though the consolidated obligations are not obligations of, or guaranteed by, the United States.

Future downgrades in credit ratings or outlook may result in higher funding costs, higher volatilities, or other disruptions in the FHLBanks’ access to capital markets, including additional collateral posting requirements under certain derivative instrument arrangements. Furthermore, member demand for certain FHLBank products could weaken. To the extent that we cannot access funding when needed on acceptable terms to effectively manage our cost of funds, our financial condition and results of operations and the FHLBanks on a combined basis and the value of our membership could be negatively affected.

Legislative and Regulatory Risks

Changes in the legislative and regulatory environment could negatively affect the FHLBNY business operations, results of operations, the reputation and the value of the Bank’s membership.

As a GSE, the FHLBNY is organized under the authority of the FHLBank Act and governed by U.S. federal laws and regulations as adopted and applied by the FHFA. Congress could amend the FHLBank Act or other statutes in ways that significantly affect the rights and obligations of the FHLBanks or the manner in which the FHLBanks carry out their mission and business operations. New or modified legislation enacted by Congress or changes in the statutory or regulatory requirements applied or imposed by the FHFA or other financial services regulators could result in, among other things: an increase in our cost of funding and regulatory compliance; a change in membership or permissible business activities; additional capital and liquidity requirements; additional contributions under Affordable Housing Programs or Community Investment Cash Advance Programs; reduced demand for advances or limitations on advances made to our members (including whether a member meets required tangible capital levels to access advances); or a change in the size, scope, or nature of our lending, investment, or mortgage financing activities.

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Following a comprehensive review that began in the fall of 2022, the Finance Agency issued the “FHLBank System at 100: Focusing on the Future” report on November 7, 2023, presenting its review and analysis of the FHLBank System and the actions and recommendations that it plans to pursue over a multi-year effort, in service of its vision for the FHLBank System. The report focused on four broad themes: (1) the mission of the FHLBank System; (2) the FHLBank System as a stable and reliable source of liquidity; (3) housing and community development; and (4) FHLBank System operational efficiency, structure, and governance. Many of the recommendations from the report may be implemented by the Finance Agency through ongoing supervision, guidance, or rulemaking within its existing statutory authority, while other recommendations may require legislative action or further study.

We are not able to predict what actions will ultimately result from the Finance Agency’s recommendations, the timing of any actions, the extent of any changes to the Bank or the FHLBank System, or the ultimate effect on the Bank or the FHLBank System in the future. Potential changes resulting from the Finance Agency’s recommendations (including changes relating to the FHLBanks’ mission, liquidity role, membership and lending requirements, affordable housing contributions and support for community investment, or operations, structure, and governance) could increase our operational costs and expenses, result in heightened scrutiny of the FHLBanks and their mission and activities, and impact our business, which may affect our financial condition, or results of operations, or the value of membership in the FHLBanks. The extent to which the report ultimately results in changes to regulatory requirements or supervisory expectations that impact or limit the use of our advances by members or our ability to lend to members may have a significant negative impact on our financial condition or results of operations.

For more details on this Finance Agency report, see “Part II. Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Recent Developments - Finance Agency’s Review and Analysis of the Federal Home Loan Bank System “FHLBank System at 100: Focusing on the Future.”

Furthermore, increased focus on climate change and other environmental, social, and governance matters has led to heightened legislative and regulatory attention in these areas, including the potential for new requirements on climate change-related risk assessment, risk management, and disclosure. New or modified laws and regulations, along with increased stakeholder expectations, related to these matters may increase the costs of compliance for the Bank and its members and alter the environment in which they conduct their businesses, which could adversely affect the Bank’s business activities, results of operations, and reputation.

Additionally, potential legislative and regulatory changes governing or affecting the Bank’s members, investors, and dealers of consolidated obligations could adversely affect the business activities, financial condition, and results of operations of the Bank.

Changes in the perception, regulation, or status of the GSEs and the related effect on debt issuance could reduce demand for, or increase the cost of, the FHLBNY’s debt and adversely affect the Bank’s financial condition and results of operations.

The FHLBanks are GSEs organized under the authority of the FHLBank Act and are authorized to issue debt securities to finance housing and community investments. Negative announcements by any of the housing GSEs, concerning topics such as accounting problems, risk-management issues, or regulatory enforcement actions, have historically created, and may in the future create pressure on debt pricing for all GSEs, as investors perceive such instruments as bearing increased risk. Any such negative information or other factors could result in the Bank having to pay a higher rate of interest on consolidated obligations to make them attractive to investors, which could negatively affect our results of operations, and our access to funding.

Given our shared status as GSEs, the scope, timing, and effect of any regulatory reform affecting the GSEs, including the ultimate resolution to the conservatorship of Fannie Mae and Freddie Mac and resulting changes in the regulation or status of the GSEs, could have a significant effect on the FHLBank System. While there are significant differences between the FHLBank System and Fannie Mae and Freddie Mac, including the FHLBanks’ focus on secured lending in the form of advances as opposed to guaranteeing mortgages and their distinctive cooperative business model, legislation or other regulatory reform affecting the GSEs could inadequately account for these differences, which could negatively change the perception of the risks associated with the GSEs and their debt securities. This change in the perception of risk could adversely affect our funding costs, access to funding, competitive position, and our financial condition and results of operations.

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A failure to meet minimum regulatory capital requirements could affect the FHLBNY’s ability to pay dividends or repurchase or redeem members’ capital stock, which may cause a decrease in members’ demand for advances or difficulties in retaining existing members and attracting new members.

The FHLBNY is subject to minimum capital requirements under the FHLBank Act and FHFA rules and regulations, including total capital, leverage capital, and risk-based capital requirements. If we are unable to satisfy our minimum capital requirements, we would be subject to capital restoration requirements. Until the minimum capital levels have been restored, we would also be prohibited from paying dividends and redeeming or repurchasing capital stock without the prior approval of the FHFA, which could adversely affect our members’ investment in our capital stock. Furthermore, to the extent that current and prospective members determine that our dividend is insufficient or our ability to pay future dividends or repurchase excess capital stock becomes limited, we may be unable to expand our membership and may experience decreased member demand for advances or increased member requests for withdrawals. These factors may cause a decline in the value of our membership and make it difficult to retain existing members or to attract new members.

Business Risks

Increased competition or reduced demand could adversely affect the FHLBNY’s financial condition, results of operations, and primary business activity, which is to provide financial products and services to members and housing associates.

The FHLBNY’s primary business is to provide our members and housing associates with financial products and services, including but not limited to, secured loans known as advances. We compete with other suppliers of wholesale funding, including, but not limited to, investment banks, commercial banks, the Federal Reserve, and, in certain circumstances, other FHLBanks. Changes to legislation or regulations affecting our members, or the availability of alternative funding sources to members, could significantly decrease the demand for advances, tighten net interest margin, and negatively affect our financial condition and results of operations.

We may be required by new legislation or regulations or other factors to change policies, programs, and agreements affecting members’ access to advances, mortgage purchase programs, affordable housing programs, and other credit programs that could cause members to obtain financing from alternative sources. New or modified legislation or regulations could also create alternative funding sources for our members. Some competitors may not be subject to the regulations that apply to us, which may enable those competitors to offer products and terms that are more favorable than those we offer. Additionally, we compete with Fannie Mae and Freddie Mac, as well as other FHLBanks, to purchase mortgage loans from members or affiliates of members. This competition may reduce the amount of available mortgage loans that we can purchase.

We also compete with the U.S. Treasury, Fannie Mae, Freddie Mac, and other GSEs, as well as corporate, state, local, sovereign, sub-sovereign, and supranational entities, for funds raised through the issuance of unsecured debt in the U.S. and global capital markets. Increases in the supply of competing debt products, such as an increase in the supply of Treasury securities, could negatively affect the demand for consolidated obligations and result in higher debt costs. Any of these factors could adversely affect the financial condition and results of operations of the Bank, as well as the value of FHLBank membership.

A loss or change of business activities with large members, consolidation of membership, or regulatory changes in membership rules could adversely affect the FHLBNY’s financial condition and results of operations.

Due to the nature of the FHLBNY’s charters, membership is generally limited to federally-insured depository institutions, insurance companies, and community development financial institutions in our district. Given this limitation in membership eligibility, a loss of members or decreased business activities with large members due to withdrawal from membership, acquisition by a non-member, or failure could result in a reduction of our total assets, capital, and net income. Additionally, regulatory changes in our membership eligibility or requirements could affect the business activities, as well as our financial condition and results of operations.

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We have a high concentration of advances and capital with large members. As the financial industry continues to consolidate into a smaller number of institutions, this could lead to further concentration of large members in other districts and a related decrease in membership and significant loss of business for us. If advances are concentrated in a smaller number of members, our risk of loss resulting from a single event could become greater. Industry consolidation could also cause us to lose members whose business and stock investments are substantial. Moreover, as nonbank financial institutions that are currently ineligible for our membership continue to play an increasing role in mortgage origination, we could experience a decrease in demand for advances or a decrease in volume of mortgage loans available for purchase from our members, which could negatively affect our financial condition and results of operations.

Natural disasters, including those resulting from significant climate change, could adversely affect the members and business of the FHLBNY.

Regions in which the FHLBNY operate are subject to natural disasters, including risks from hurricanes, tornadoes, floods, wildfires, drought and other natural disasters. Climate change is increasing the frequency, intensity, and duration of these weather events. These natural disasters, including those resulting from significant climate change, could destroy or damage our facilities or other properties, such as collateral that members have pledged to secure advances or mortgages, disrupt the business of our members, increase the probability of power or other outages, negatively affect the livelihood of borrowers of our members, or otherwise cause significant economic dislocation in the affected regions. Any of these situations may adversely affect our financial condition and results of operations.

Credit Risks

An increase in credit risk exposure from advances, mortgage loans, or other credit products or FHLBank member failures could adversely affect the FHLBNY’s financial condition, results of operations, and reputation.

The FHLBNY is exposed to credit risk as part of our normal business operations through funding advances, purchasing mortgage loans, and extending other credit products, such as lines of credit, standby letters of credit, and other commitments. We require advances and other extensions of credit to be fully secured with collateral and require borrowers to pledge additional collateral when deemed necessary. We evaluate the types of collateral pledged by the member and assign a borrowing capacity to the collateral, based on the risk associated with that type of collateral. If borrowers are unable to pledge additional collateral to fully secure their obligations with us, whether due to significant financial stress, market volatilities, or otherwise, it could cause the advance levels to decrease or credit risk to increase. If we have insufficient collateral before or after an event of default or failure of the member or we are unable to liquidate the collateral, or transfer the collateral to an acquirer or receiver, for the value assigned to it in the event of a default or failure of a member, we could experience a credit loss.

During economic downturns or periods of significant economic and financial disruptions and uncertainties, the number of members exhibiting significant financial stress may increase, which may expose us to additional member credit risk. Changes in market perception of the financial strength of a financial institution can occur very rapidly and can be difficult to predict, as reflected in the failures of several FHLBank members in March and May 2023. There are continued challenges associated with the commercial real estate sector due to weak leasing demand, lower occupancy rates and higher interest rates, and policy or legal actions in certain jurisdictions which may lead to continued declines in the value of commercial real estate loan related collateral held by the Bank and could contribute to additional financial stress of our members, in particular smaller regional and community banks with significant exposure to commercial real estate and high reliance on uninsured deposits may be more severely impacted. If a member defaults on its obligations or, in the case of a failed institution, the Federal Deposit Insurance Corporation (FDIC), or other receiver, fails to either promptly repay all of that failed institution’s obligations or assume the outstanding advances, then we may be required to liquidate the collateral pledged by the troubled or failed institution. If the proceeds realized from the liquidation of pledged collateral are not sufficient to fully satisfy the amount of the troubled or failed institution’s obligations and the operational cost of liquidating the collateral, we could incur losses. In addition, a default by a member with significant unsecured obligations could result in significant losses. We could also experience losses if a receiver were to be successful in claiming that the Bank did not liquidate its collateral in an orderly and commercially reasonable manner.

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We are also exposed to credit risk from our mortgage loans held in portfolios. While our mortgage loan assets are collateralized by the underlying real estate and are generally credit-enhanced to further mitigate credit risk, natural disasters or a deterioration in economic conditions could result in decline in residential real estate values or increase in unemployment rate. These factors could lead to an escalation of borrower defaults and cause us to incur credit losses on our mortgage loans.

Defaults by one or more institutional counterparties on their obligations to the FHLBNY could adversely affect our financial condition and results of operations.

The FHLBNY faces the risk that our institutional counterparties may fail to fulfill their contractual obligations. The primary exposures to institutional counterparty credit risk are with:

● Unsecured money market transactions, including federal funds sold, or short-term investments with domestic and foreign counterparties;

● Derivative counterparties, including Derivative Clearing Organizations and Futures Commission Merchants;

● Mortgage servicers that service loans purchased under the MAP and MPF Program.

A counterparty default could result in losses if our credit exposure to that counterparty was unsecured or under-collateralized, or if a credit obligation associated with derivative positions were overcollateralized. The insolvency or other inability of a significant counterparty to perform its obligations under these transactions or other agreements could have an adverse effect on our financial condition and results of operations.

We have both direct and indirect exposure to foreign credit risk through our various counterparties. Adverse economic, political, or other trends that may occur within, across, or among various regions or countries could have direct adverse effects on our institutional counterparties and on the U.S. economy. In turn, we could also experience adverse effects on our ability to meet our obligations given our relationship with these counterparties. In addition, our ability to engage in routine derivatives, funding, and other transactions could be adversely affected by the actions and commercial soundness of other financial institutions. Financial services institutions are inter-related as a result of trading, clearing, counterparty, and other relationships. As a result, actual and potential defaults of one or more financial services institutions could lead to market-wide disruptions, making it difficult for us to source eligible counterparties for transactions.

Financial difficulties at one FHLBank could require the other FHLBanks to make payment of principal and interest on the consolidated obligations issued on that FHLBank’s behalf, which could adversely affect the FHLBNY’s financial condition and results of operations.

Under the FHLBank Act and FHFA regulations, each FHLBank is jointly and severally liable with the other FHLBanks for the consolidated obligations issued by the FHLBanks through the Office of Finance. As such, while each FHLBank is primarily liable for its portion of consolidated obligations (i.e., those issued on its behalf), each FHLBank is also jointly and severally liable with the other FHLBanks for the payment of principal and interest on all consolidated obligations issued by the FHLBanks. Although it has never occurred, the FHFA, at its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligation whether or not the consolidated obligation represents a primary liability of that FHLBank. Additionally, if a FHLBank were to default on its obligation to pay principal or interest on any consolidated obligations, the FHFA may allocate the outstanding liabilities of that FHLBank among the remaining FHLBanks on a pro rata basis or on any other basis determined by the FHFA. Accordingly, we could incur significant liability beyond our primary obligations due to the failure of a FHLBank to meet its obligations. This could adversely affect our financial condition and results of operations.

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Liquidity Risks

Disruptions in the short-term capital markets or changes to the regulatory environment could have an adverse effect on the FHLBNY’s ability to refinance our consolidated obligations or to manage our liquidity positions to meet members’ needs on acceptable terms.

Our ability to operate our business, meet our obligations, and generate net interest income depends primarily on our ability to issue debt continuously to meet member demand and to refinance existing outstanding debt at attractive rates, maturities, and call features when needed. Our source of funds is the sale of consolidated obligations in the capital markets through the Office of Finance. Our ability to obtain funds through the sale of consolidated obligations generally depends on prevailing conditions in the capital markets, and, in particular, our ability to access the short-term capital markets due to our preference for short-term funding.

Access to short-term debt markets has been supported by continued demand as investors, driven by increased liquidity preferences and risk aversion, have sought our short-term debt as an asset of choice. This has led to advantageous funding opportunities and significant utilization of debt maturing in one year or less. There are inherent risks in utilizing short-term funding to support longer-dated assets and we may be exposed to refinancing risk. Refinancing risk includes the risk that we could have difficulty rolling over short-term obligations when market conditions change or investor demand for short-term consolidated obligations declines. In managing and monitoring the amounts of financial assets that require refinancing, we consider our contractual maturities, as well as certain assumptions regarding expected cash flows (i.e., estimated prepayments, embedded call optionality, and scheduled amortizations), taking into account our liquidity position.

The Bank is also exposed to liquidity risk if there is any significant disruption in the short-term debt markets. Without access to the short-term debt markets on acceptable terms, the alternative longer-term funding, if available, would increase funding costs and interest-rate risk exposure and could cause us to increase advance rates, potentially affecting demand for advances. If this disruption is prolonged, we may not be able to obtain funding on acceptable terms and this could adversely affect our ability to support and continue our operations. As a result, our inability to manage our liquidity position or our contingency liquidity plan to meet our obligations, as well as the credit and liquidity needs of our members, could adversely affect our financial condition and results of operations as well as the value of our membership.

Additionally, changes to the regulatory environment that affect FHLBanks’ investors and dealers of consolidated obligations, particularly changes related to capital and liquidity requirements and money market fund reforms, have affected, and will continue to affect, the FHLBanks’ ability to access the capital markets on acceptable terms. For example, the SEC’s implementation of money market fund reforms from 2010 to 2016 resulted in a significant increase in demand for U.S. government and agency debt, including the FHLBanks’ short-term consolidated obligations. The holding of the FHLBanks’ consolidated obligations by money market funds, as a percentage of the total outstanding consolidated obligations, generally increased as a result of these reforms as compared to the periods before their implementation. While demand from this investor class benefited the FHLBanks’ ability to access short-term funding at attractive costs, this demand could change if money market investor risk and return preferences and money market regulatory requirements shift over time. A decrease in this demand could, due to the FHLBanks’ concentration in money market investors, lead to significant investor outflows and unfavorable market conditions. Policymakers and regulators in the U.S. have been examining potential policy measures intended to improve the resilience of money market funds and broader short-term funding markets in recent years, including in response to the market stress experienced by short-term funding markets in March 2020, amid the COVID-19 pandemic, and the SEC adopted additional money market fund reforms in July 2023, designed to improve the resilience and transparency of money market funds. As such, changes in regulatory requirements governing money market funds, including any reversal of prior money market fund reforms, could have a negative effect on FHLBank short term funding costs and adversely affect the financial condition and results of operations of the FHLBNY.

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Operational Risks

Failure, breach, or cyber-attack of the information systems of the FHLBNY could disrupt the FHLBNY’s business or result in significant losses or reputational damage.

The FHLBNY relies heavily on our information systems and technology to conduct and manage our business. A failure, breach, or cyber-attack of these systems or technologies could disrupt and prevent us from conducting and managing our business effectively. Moreover, such failure or breach could result in significant losses, including a loss of data, intellectual property, or confidential information, reputational damage, or other harm.

Like many financial institutions, the Bank has seen an increase in cyber-attack attempts. These attempts have predominantly occurred through phishing and social engineering scams. The Bank’s operations rely on the availability and functioning of its main office and off-site backup facilities. Cyber-attacks, in particular those on financial institutions and financial market infrastructures, have also become more frequent, sophisticated, and increasingly difficult to detect or prevent, including as a result of the increased capabilities of artificial intelligence and other emerging technologies that may be used maliciously. The threat of cyber-attacks may also increase as a result of geopolitical conflicts. The Bank devotes substantial resources and deploys detective and preventative measures to secure the Bank’s systems, including firewalls, email security, and end-point solutions. These measures and other business continuity measures may be ineffective or insufficient for all eventualities. A failure or interruption in our business continuity, disaster recovery or certain information systems, or a cybersecurity event could significantly harm the Bank’s reputation, its customer relations, risk management and profitability, and could result in financial losses, legal and regulatory sanctions, increased costs, or other harm. As cyber threats continue to evolve, the Bank may be required to expend significant additional resources to continue to modify or enhance its layers of defense to investigate and remediate any information security vulnerabilities, or to comply with regulatory requirements.

A failure of the FHLBNY’s business and financial models to produce reliable results could adversely affect the Bank’s business, financial condition, results of operations, and risk management.

The FHLBNY makes significant use of business and financial models for managing, measuring, and monitoring different risks, including interest rate, prepayment, and other market risks, as well as credit risk. We also use models in determining the fair value of financial instruments when independent price quotations are not available or reliable. The information provided by these models is also used in making business decisions relating to strategies, initiatives, risk management, transactions and products, and for financial reporting. Models use assumptions to project future trends and performance, including assumptions that historical data or experience can be relied upon as a basis for forecasting future events, and are inherently imperfect predictors of actual results.

Changes in business or financial models or in our underlying assumptions, judgments, or estimates may cause the results generated by the models to be materially different. If the models are not reliable, we could make poor business decisions, including poor asset and liability management decisions, which could result in an adverse financial effect on our business. Furthermore, strategies that we employ to manage the risks associated with the use of models may not be effective. The models used by us to determine the fair values of our assets and liabilities, including derivatives, may differ from the models used by the others. The use of different models or assumptions, as well as changes in market conditions, could result in materially different valuation estimates or other estimates even when similar or identical assets and liabilities are being measured, and could have materially different effects on our net income and retained earnings.

Failures of critical vendors and other third parties could disrupt the FHLBNY’s ability to conduct and manage our business.

The FHLBNY relies on vendors and other third parties, including cloud-based providers to perform certain critical services. The Bank owns some of these systems and technology, and third parties own and provide to the Bank, either directly or through fourth-party vendors, some of these systems and technology. A failure or interruption of one or more of those services, including as a result of breaches, cyber-attacks, system malfunctions or failures, or other technological risks, could negatively affect our business operations. If one or more of these key external parties were not able to perform their functions for a period of time, at an acceptable service level, or for increased volumes, we could be constrained, disrupted, or otherwise negatively affected.

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Failures at the Office of Finance could disrupt the FHLBNY’s ability to conduct and manage their businesses.

The Office of Finance is a joint office of the FHLBanks established to facilitate, among other things, the issuance and servicing of consolidated obligations. Pursuant to FHFA regulations, the Office of Finance, in conjunction with the FHLBanks, has adopted policies and procedures for the purposes of facilitating and approving the issuance and servicing of consolidated obligations.

The Office of Finance relies heavily on its information systems and technology for its operations. A failure or interruption of the Office of Finance’s services, including as a result of breaches, cyber-attacks, natural disasters, system malfunctions, disruptions or failures, or other technological risks, could negatively affect the business operations of the FHLBNY, including disruptions to our access to funding through the sale of consolidated obligations. Although the Office of Finance has business continuity and security incident response plans in place, our funding and business operations could be constrained, disrupted, or otherwise negatively affected if the Office of Finance were not able to perform its functions for any period of time. Additionally, operational failures at the Office of Finance could also expose the Bank to the risk of a loss of data or confidential information or other harm, including reputational damage.

The inability to attract and retain skilled key personnel could adversely affect the business and operations of the FHLBNY.

The FHLBNY relies on all its employees to manage our business and conduct our operations. Competition for employees from within the financial services industry and from businesses outside the financial services industry, including the technology industry, continues to be a recruiting and retention challenge for certain positions. Another retention challenge is the limited number of career paths available due to the relatively low number of employee headcount and our flat organizational structure.

For succession planning purposes, the FHLBNY has designated certain limited positions as “Key Positions” – positions which, in the judgment of senior management and the Board of Directors, have critical operational or strategic responsibilities. The FHLBNY’s Succession Plan is intended to help identify potential temporary replacements for employees who occupy Key Positions in the event of an unplanned vacancy. The Plan is also intended to help identify potential permanent replacements for those employees who occupy Key Positions and provide the Bank with long-term advance notice of their expected retirement. The failure to maintain an effective Succession Plan could adversely affect our business and operations.

Item 1B.Unresolved Staff Comments.

None.

Item 1C.Cybersecurity.

Cybersecurity Risk Management and Strategy

The Bank is subject to cybersecurity incident and threat risk. A cybersecurity incident is an unauthorized occurrence, or a series of related unauthorized occurrences, through information systems that jeopardizes the confidentiality, integrity, or availability of the Bank’s information systems or any information residing therein. Cybersecurity threats are potential unauthorized occurrences on or conducted through information systems that may result in adverse effects on the confidentiality, integrity, or availability of information systems or any information residing therein. Information systems are any electronic information resources, owned or used by the Bank, including physical or virtual infrastructure controlled by such information resources, or their components, organized for the collection, processing, maintenance, use, sharing, dissemination, or disposition of the Bank’s information to maintain or support the Bank’s operations. Please refer to Item 1A. Risk Factors for a description of cybersecurity incident and threat risk. The Bank has implemented processes for assessing, identifying, and managing material risks from cybersecurity threats or incidents that may directly or indirectly impact the Bank’s business strategy, results of operations, or financial condition.

The Bank’s cybersecurity risk management framework for assessing, identifying, and managing material risks from cybersecurity threats is designed to protect the confidentiality, integrity, and availability of the Bank’s information technology assets and data under the Bank’s control.

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Cybersecurity risk management is part of the Bank’s Enterprise Risk Management program which includes specific controls for the mitigation, monitoring and reporting associated with those risks. The program is supported by a robust set of policies and procedures, skilled staff, layered technical defenses, employee training, and oversight of third parties.

The Technology Committee of the Board of Directors (“Board”) also annually reviews and approves the Bank’s Information Security Policy.

The Bank’s Information Security Policy establishes administrative, technical, and physical safeguards designed to protect the security, confidentiality, and integrity of Bank information in accordance with the Gramm-Leach-Bliley Act and the interagency guidelines issued thereunder, and applicable laws.

The Bank’s cyber incident response plan determines how cybersecurity threats and incidents are identified, classified, and escalated, including for the purposes of reporting, and providing relevant information to the Board. The cyber incident response plan also stipulates management assessment materiality of the threat or incident for the purposes of public disclosure.

The Bank’s business continuity program is designed to ensure that necessary resources are in place to protect the Bank from potential loss during a disruption, which includes the unavailability of information technology assets due to unintentional events like weather-related events, fire, power loss, and other technical incidents such as hardware failures. The business continuity program is overseen by the Technology Committee of the Board and includes, among other items, business impact analysis for developing effective plans and a disaster recovery plan to respond, recover, resume, and restore technology assets critical for us to operate. Elements of this plan may be leveraged in support of the recovery from a cyber incident that disables critical infrastructure.

The Bank leverages audits and external reviews to strengthen its program. Those reviews include internal audits and reviews by the Bank’s Risk Management function, SOX audits, penetration tests, and external benchmarking reviews based on the National Institute of Standards and Technology (“NIST”) and the International Organization for Standardization (“ISO”) standards. Those reviews assist the Bank in assessing, identifying, and managing cybersecurity incident and threat risk.

The Bank’s cyber incident response plan includes third party cybersecurity incidents and threats. The Bank undertakes due diligence of third-party systems with whom the Bank will interact with, in addition to requiring data protection covenants in its vendor agreements. The Bank’s vendor risk management program includes regular reviews and oversight of these service providers, including performance and technological reviews and escalation of any unsatisfactory reviews.

During the period covered by this report, risks from cybersecurity threats did not have a material impact on the Bank’s strategy, results of operations, or financial condition. The Bank has experienced minor cybersecurity incidents in the past though none that have had a material effect on the Bank’s financial condition or results of operations.

It is inevitable that additional cybersecurity incidents will occur in the future and any such cybersecurity incident could result in significantly harmful consequences to the Bank, the Bank’s members, and their customers. We assess the materiality of any such cybersecurity incident from several perspectives including, but not limited to, the Bank’s ability to continue to service the Bank’s members and protect the privacy of the data their customers have entrusted to us, lost revenue, disruption of business operation, increased operating costs, litigation, and reputational harm.

Cybersecurity Governance

The Bank’s Board devotes significant time and attention to data and systems protection, including cybersecurity and information security risk. The Bank’s Board oversees the Bank’s information security program through setting of policies and principles including the Bank’s Information Security Policy and Enterprise Risk Management program. The Board oversees management’s approach to staffing, policies, processes, and practices to gauge and address cybersecurity and information security risk.

The Risk Committee of the Board has oversight of the Bank’s Risk Management Program which includes risks from cybersecurity threats within cybersecurity risk management. The Technology Committee of the Board has responsibility for the strategic design, direction and oversight of the Bank’s information and cybersecurity program.

The Bank’s Information Security Department is led by the Bank’s Chief Information Security Officer (“CISO”). The CISO reports to the Chief Information Officer (“CIO”), with an open line of communication to the Bank President. The Bank also has an internal cross functional committee – the internal Technology and Operations Committee –which is responsible for, among other activities, overseeing Information and cyber security risks and the steps taken by management to understand and mitigate such risk. This Committee reports to the Bank’s Management Committee.

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The Bank’s Technology and Operations Committee is responsible for approving the Bank’s cyber incident response plan and other technical processes and standards to implement the policies and procedures defined in the Cybersecurity risk management program. The Risk Management function is responsible for management of operational risk and implementation of the cybersecurity risk management framework within the Risk Management Program as approved by the Board.

The Bank’s Technology and Operations Committee membership consists of members of the Bank’s leadership including the Bank’s CIO, CISO, other information technology and information security leadership, and leadership representatives from the Bank’s operational risk, information security, information technology, operations, and other departments throughout the Bank.

The Bank has an Information Security Department comprised of specialized professionals that is responsible for the day-to-day, hands-on management of the cybersecurity risk and that handles the processes and procedures to mitigate and implement protective, proactive and reactive measures to protect the Bank against those risks. The Bank’s Information Security Department is responsible for developing, documenting, and approving the Bank’s technical information security control standards, guidelines, and procedures designed to preserve the confidentiality, integrity, and availability of the Bank’s information technology assets and data under the Bank’s control.

The Bank’s CIO has over 35 years of experience in Financial IT and has overseen Information Security programs in large financial institutions since 2003.

The Bank’s CISO has held that position at the Bank since 2020 and has 30 years of experience in IT, including 18 years of experience in building and overseeing Information Security and Cybersecurity programs.

The Technology and Operations Committee receives regular and prompt information from the Information Security Department as reported by the CISO which in turn provides periodic, regular and prompt reporting to the Management Committee on topics such as threat intelligence, major cybersecurity risk areas, technologies and best practices, and any cybersecurity incidents that may have impacted the Bank, as applicable and needed.

The Board receives prompt and timely information from the Bank’s CISO on any cybersecurity or information security incident that may pose significant risk to the Bank and continues to receive regular reports on the incident until its conclusion. The Bank’s Board receives regular presentations and reports throughout the year on cybersecurity and information security risk. These presentations and reports address a broad range of topics, including updates on technology trends, regulatory developments, legal issues, policies and practices, information security resources and organization, the threat environment and vulnerability assessments, and specific and ongoing efforts to prevent, detect, and respond to internal and external incidents and critical threats. At least quarterly, the Board discusses cybersecurity and information security risks with the Bank’s CIO and the Bank’s CISO.

Item 2.Properties.

At December 31, 2023, we occupied approximately 73,294 square feet of leased office space at 101 Park Avenue, New York, New York as the Bank’s headquarters, 52,041 square feet of leased office space in Jersey City, New Jersey, principally as an operations center, and 2,521 square feet of leased office space in Washington, D.C.

Item 3.Legal Proceedings.

From time to time, the FHLBNY is involved in disputes or regulatory inquiries that arise in the ordinary course of business. At the present time, there are no pending claims against the FHLBNY that are reasonably likely to have a material effect on the FHLBNY’s financial condition, results of operations or cash flows or that are otherwise reasonably likely to be material to the FHLBNY.

Item 4.Mine Safety Disclosures.

Not applicable.

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PART II

Item 5.Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.

All of the capital stock of the FHLBNY, which is issued only at a par value of $100 per share, is owned by our members. Stock may also be held by former members as a result of having been acquired by a non-member institution. We conduct our business in advances and mortgages exclusively with stockholder members and housing associates ⁽¹⁾. There is no established marketplace for FHLBNY stock as FHLBNY stock is not publicly traded. It may be redeemed at par value upon request, subject to regulatory limits. These shares of stock in the FHLBNY are registered under the Securities Exchange Act of 1934, as amended. At February 29, 2024, we had 327 members who held 61,864,456 shares of capital stock between them and former members held 65,904 shares. At February 28, 2023, we had 327 members who held 61,290,314 shares of capital stock between them and former members held 56,602 shares. Capital stock held by former members is classified as a liability, and deemed to be mandatorily redeemable under the accounting guidance for certain financial instruments with characteristics of both liabilities and equity.

Our recent quarterly cash dividends are outlined in the table below. No dividends were paid in the form of stock. Dividend payments and earnings retention are subject to be determined by our Board of Directors, at its discretion, and within the regulatory framework promulgated by the Finance Agency. Our Retained Earnings and Dividends Policy outlined in the section titled Retained Earnings and Dividends under Part I, Item 1 of this Annual Report on Form 10-K provides additional information.

Dividends from a calendar quarter’s earnings are paid ^(a) subsequent to the end of that calendar quarter as summarized below. Dividend payments reported below are on Class B Stock, which includes payments to non-members on capital stock reported as mandatorily redeemable capital stock in the Statements of Condition (dollars in thousands):

	2023					2022					2021
Month Paid	Amount			Dividend Rate		Amount			Dividend Rate		Amount			Dividend Rate
November	$	138,545		9.50	%	$	87,272		6.75	%	$	51,793		4.40	%
August		143,433		8.50			64,649		5.50			59,496		4.60
May		122,225		7.75			52,852		4.75			62,154		4.75
February		105,796		7.50			48,820		4.36			70,856		5.00
	$	509,999	(b)​			$	253,593	(b)​			$	244,299	(b)​

(a) The table above reports dividend on a paid basis and includes payments to former members as well as members. Dividends paid to former members were $0.6 million, $1.2 million and $0.1 million for the years ended December 31, 2023, 2022 and 2021.

(b) Includes dividends paid to non-members; payments to non-members are classified as interest expense for accounting purposes. Dividends are accrued for former members and recorded as interest expense on mandatorily redeemable capital stock held by former members and is a charge to Net income. Dividends on capital stock held by members are accrued in the period they are declared and therefore not accrued at quarter-end. Dividends are paid in arrears typically in the second month after the quarter end in which the dividend is earned and is a direct charge to retained earnings.

Issuer Purchases of Equity Securities

We are exempt from disclosures of unregistered sales of common equity securities or securities issued through the Office of Finance that otherwise would have been required under Item 701 of the SEC’s Regulation S-K. By the same no-action letter, we are also exempt from disclosure of securities repurchases by the issuer that otherwise would have been required under Item 703 of Regulation S-K.

(1)Housing associates are defined as non-stockholder entities that (i) are approved mortgagees under Title II of the National Housing Act, (ii) are chartered under law and have succession, (iii) are subject to inspection and supervision by a governmental agency, (iv) lend their own funds as their principal activity in the mortgage field, and (v) have a financial condition such that advances may be safely made to that entity. At December 31, 2023, we had 9 housing associates as customers. Advances made to housing associates totaled $4.5 million, and the mortgage loans acquired from housing associates were immaterial in any periods in this report.

28

Item 6.[Reserved]

29

Item 7.Management’s Discussion and Analysis of Financial Condition and Results of Operations.

Forward-Looking Statements

Statements contained in this Annual Report on Form 10-K, 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 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.

● political events, including legislative, regulatory, judicial, or other developments that affect the Bank, its members, counterparties, or investors in the consolidated obligations of the Federal Home Loan Banks (FHLBanks), such as any government-sponsored enterprise (GSE) reforms, any changes resulting from the Finance Agency’s review and analysis of the FHLBank System, including recommendations published in its “FHLBank System at 100: Focusing on the Future” report, changes in the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act), changes in applicable sections of the Federal Housing Enterprises Financial Safety and Soundness Act of 1992, or changes in other statutes or regulations applicable to the FHLBanks;

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 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;

30

● 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;

● 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 the conflicts in the Middle East) 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.

31

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 our financial statements, the changes in key items in our financial statements from year to year, the primary factors driving those changes as well as how accounting principles affect our financial statements. The MD&A is organized as follows:

	Page
Executive Overview	33
Trends in the Financial Markets	39
Recently Issued Accounting Standards and Interpretations and Critical Accounting Policies and Estimates	40
Legislative and Regulatory Developments	42
Financial Condition	44
Advances	47
Investments	53
Mortgage Loans Held-for-Portfolio, Net	58
Debt Financing Activity and Consolidated Obligations	60
Recent Rating Actions	66
Stockholders’ Capital	67
Derivative Instruments and Hedging Activities	69
Liquidity, Cash Flows, Short-Term Borrowings and Short-Term Debt	73
Results of Operations	78
Net Income	78
Net Interest Income, Interest Rate Margins and Interest Rate Spreads	80
Interest Income	84
Interest Expense	86
Analysis of Non-Interest Income (Loss)	88
Operating Expenses, Compensation and Benefits, and Other Expenses	90
Assessments	90

MD&A TABLE REFERENCE

Table(s)	Description	Page(s)
	Selected Financial Data	37-38
1.1	Market Interest Rates	39
2.1	Financial Condition	44
3.1 - 3.8	Advances	47-52
4.1 - 4.9	Investments	53-58
5.1 - 5.3	Mortgage Loans Held-for-Portfolio	58-62
6.1 - 6.10	Consolidated Obligations	62-66
6.11	FHLBNY Ratings	66
7.1 - 7.4	Capital	67-69
8.1 - 8.8	Derivatives Instruments and Hedging Activities	69-73
9.1 - 9.3	Liquidity	74-77
9.4 - 9.5	FHFA MBS Limits and Core Mission Achievement	77
10.1 - 10.11	Results of Operations	78-90
11.1	Assessments	90

32

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-K. 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-K should be read in its entirety.

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 Bank’s performance is based on our ability to provide reliable liquidity to our members in both turbulent operating environments and as part of their everyday funding needs to serve the needs of their customers. Our members also continued to partner with us on our numerous community support activities throughout 2023, accessing our housing and community development grant programs and products to drive millions of dollars into the communities we all serve. Our ability to execute on our foundational liquidity mission supports our work in these communities, and that our strong earnings in 2023 also means that we will make strong contributions through our Affordable Housing Program in 2024, again joining with our members and housing partners to get this key source of funding support to where it matters most.

Finance Agency’s Review and Analysis of the Federal Home Loan Bank System. Commencing in the fall of 2022, and over a period of several months, the Finance Agency undertook a review and analysis of the FHLBank System, in part through a series of public listening sessions, regional roundtable discussions, and receipt of comments from stakeholders and the public. This review covered such areas as the FHLBanks’ 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, collateral requirements; and membership eligibility and requirements.

The Bank is continuing to evaluate the report and is not able to predict what actions will ultimately result from the Finance Agency’s recommendations in the report, the timing of these actions, the extent of any changes to the Bank or the FHLBank System, or the ultimate effect on the Bank or the FHLBank System in the future. We plan to continue to engage with the Finance Agency and other stakeholders to ensure that the FHLBank 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.

33

2023 Financial Results

Net income — Net income for 2023 was $751.1 million, an increase of $333.7 million, or 80.0%, from net income of $417.4 million for 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 2023 was $995.3 million, an increase of $361.6 million, or 57.1%, from $633.7 million for 2022. This increase was primarily attributed to an increase in interest rate yields of 289 basis points in interest - earning assets and in average earning assets balances by $40.6 billion in 2023 compared with 2022. Average advances balances increased $27.5 billion to $110.2 billion in 2023, up from $82.7 billion in 2022. In 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 33 basis points in 2023 compared to 39 basis points in 2022.

Return on average equity (ROE) for 2023 was 9.11%, compared to ROE of 6.12% for 2022.

Other income (loss) — Other income (loss) increased by $48.1 million, resulting from a larger gain of $77.1 million in 2023 compared to a gain of $29.0 million in 2022. Primary components are summarized below:

● Financial instruments carried at fair values — In 2023, FVO instruments reported valuation losses of $99.2 million. In 2022, FVO instruments reported fair value gains of $207.0 million.

● Derivative activities reported gains in Other income of $30.9 million in 2023 and $182.0 million in 2022, respectively. They were primarily from Interest rate swaps designated as economic hedges of fixed-rate treasury securities. The fair value 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 gains of $110.5 million in 2023 and losses of $364.0 million in 2022. The marked-to-market gains were 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 gains of $12.1 million compared to net losses of $15.4 million in 2022.

Other expenses were $236.1 million in 2023 compared to $199.1 million in 2022. 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. Non-interest expense increased by $37.0 million, driven by an increase in voluntary contributions to the FHLBNY’s housing and community development support activities. The Bank made $23.2 million in voluntary housing and community development grants and contributions in 2023, including an additional voluntary contribution to the Affordable Housing Program of $12.7 million to support its housing programs for 2024.

Affordable Housing Program Assessments (AHP) allocated from Net income were $83.5 million in 2023 compared to $46.5 million in 2022. Assessments are calculated as a percentage of Net income, and changes in allocations were relative with changes in Net income.

Dividend payments — Four quarterly cash dividend were paid in 2023 for a total of $8.31 per share of capital, compared to a total of $5.34 per share of capital in 2022.

Financial Condition — December 31, 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.

34

Total assets increased to $158.3 billion at December 31, 2023 from $157.4 billion at December 31, 2022, an increase of $941.7 million, or 0.6%. As of December 31, 2023, advances were $108.9 billion, a decrease of $6.4 billion, or 5.6%, from $115.3 billion at December 31, 2022.

Cash at banks was $48.2 million at December 31, 2023, compared to $27.4 million at December 31, 2022.

Liquidity investments — Money market investments at December 31, 2023 were $9.6 billion in federal funds sold and $7.8 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 increased, as we continue to ensure an ample supply of funds to meet liquidity demands. Money market investments also included interest-bearing deposits at highly-rated financial institutions. Balances were $1.9 billion and $1.8 billion at December 31, 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 $5.9 billion and $7.1 billion at December 31, 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 $7.9 billion at December 31, 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.

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 9.1 through Table 9.5 in this MD&A.

Advances — Par balances decreased at December 31, 2023 to $109.8 billion, compared to $116.9 billion at December 31, 2022. Short-term fixed-rate advances decreased by 47.1% to $13.0 billion at December 31, 2023, down from $24.7 billion at December 31, 2022. ARC advances, which are adjustable-rate borrowings, increased by 42.3% to $35.7 billion at December 31, 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 $396.1 million and $462.1 million at December 31, 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 $7.5 billion and $5.5 billion at December 31, 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 $1.2 billion at December 31, 2023 and $1.1 billion 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 $11.7 billion and $9.2 billion at December 31, 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 December 31, 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 December 31, 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 December 31, 2023 and 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 $91.9 million at December 31, 2023 and $81.8 million at December 31, 2022.

35

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 December 31, 2023, a decrease of $146.9 million from the balance at December 31, 2022. Unpaid principal balance of MAP loans stood at $442.1 million at December 31, 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 December 31, 2023, were lower than December 31, 2022. Allowance for credit losses increased to $3.3 million at December 31, 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 December 31, 2023, actual risk-based capital was $8.4 billion compared to $8.5 billion at December 31, 2022. Required risk-based capital was $1.4 billion at December 31, 2023 compared to $749.5 million at December 31, 2022. To support $158.3 billion of total assets at December 31, 2023, the minimum required total capital was $6.3 billion or 4.0% of assets. Our actual regulatory risk-based capital was $8.4 billion, exceeding required total capital by $2.1 billion. These ratios have remained consistently above the required regulatory ratios through all periods in this report.

Leverage — At December 31, 2023 balance sheet leverage (based on U.S. GAAP) was 19.2 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.

36

Selected Financial Data.

Statements of Condition	Years ended December 31,
(dollars in millions)	2023			2022			2021			2020			2019
Investments (a)	$	46,359		$	39,103		$	30,898		$	39,748		$	56,892
Advances		108,890			115,293			71,536			92,067			100,695
Mortgage loans held-for-portfolio, net of allowance for credit losses (b)		2,180			2,107			2,320			2,900			3,173
Total assets		158,333			157,391			105,358			136,996			162,062
Deposits and borrowings		3,482			1,027			1,321			1,753			1,194
Consolidated obligations, net
Bonds		97,569			85,498			54,829			69,716			78,764
Discount notes		47,907			61,793			42,197			57,659			73,959
Total consolidated obligations		145,476			147,291			97,026			127,375			152,723
Mandatorily redeemable capital stock		7			5			2			3			5
AHP liability		187			131			138			149			154
Capital
Capital stock		6,050			6,387			4,501			5,367			5,779
Retained earnings
Unrestricted		1,277			1,185			1,104			1,135			1,116
Restricted		1,061			911			827			774			685
Total retained earnings		2,338			2,096			1,931			1,909			1,801
Accumulated other comprehensive income (loss)		(143)			(136)			14			(20)			(48)
Total capital		8,245			8,347			6,446			7,256			7,532
Equity to asset ratio (c)		5.21	%		5.30	%		6.12	%		5.30	%		4.65	%

Statements of Condition	Years ended December 31,
Averages (See note below; dollars in millions)	2023		2022		2021		2020		2019
Investments (a)	$	49,682	$	36,531	$	35,959	$	45,150	$	45,725
Advances		110,230		82,747		80,795		109,117		95,838
Mortgage loans held-for-portfolio, net of allowance for credit losses		2,136		2,188		2,562		3,123		3,008
Total assets		164,728		123,207		120,488		158,811		145,506
Interest-bearing deposits and other borrowings		3,061		1,038		1,427		1,442		1,131
Consolidated obligations, net
Bonds		101,180		64,763		65,402		73,097		77,671
Discount notes		49,699		48,685		45,425		74,759		58,318
Total consolidated obligations		150,879		113,448		110,827		147,856		135,989
Mandatorily redeemable capital stock		7		23		2		4		6
AHP liability		154		131		148		155		159
Capital
Capital stock		6,185		4,969		4,896		6,129		5,545
Retained earnings
Unrestricted		1,240		1,113		1,114		1,119		1,091
Restricted		985		858		801		728		636
Total retained earnings		2,225		1,971		1,915		1,847		1,727
Accumulated other comprehensive income (loss)		(162)		(118)		20		(67)		(36)
Total capital		8,248		6,822		6,831		7,909		7,236

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.

37

Operating Results and Other Data
(dollars in millions)
(except earnings and dividends per	Years ended December 31,
share, and headcount)	2023			2022			2021			2020			2019
Net income	$	751		$	417		$	266		$	442		$	473
Net interest income (d)		995			634			541			753			667
Dividends paid in cash (e)		509			252			244			348			366
AHP expense		83			46			29			49			52
Return on average equity (f)(i)		9.11	%		6.12	%		3.89	%		5.59	%		6.53	%
Return on average assets (i)		0.46	%		0.34	%		0.22	%		0.28	%		0.32	%
Net OTTI impairment losses		—			—			—			—			(1)
Other non-interest income (loss)		77			29			(48)			(51)			35
Total other income (loss)		77			29			(48)			(51)			34
Operating expenses (g)		188			169			166			170			151
Finance Agency and Office of Finance expenses		20			21			22			19			17
Total other expenses (j)		236			200			204			207			176
Operating expenses ratio (h)(i)		0.11	%		0.14	%		0.14	%		0.11	%		0.10	%
Earnings per share	$	12.15		$	8.40		$	5.42		$	7.22		$	8.52
Dividends per share	$	8.31		$	5.34		$	4.69		$	5.74		$	6.49
Headcount (Full/part time)		345			327			340			354			342

(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 $3.3 million, $1.9 million, $2.1 million, $7.1 million and $0.7 million for the years ended December 31, 2023, 2022, 2021, 2020 and 2019, 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) Operating expenses include Compensation and Benefits.

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

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

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

38

Trends in the Financial Markets

Conditions in Financial Markets. The primary external factors that affect net interest income are market interest rates and the general state of the economy. The following table presents changes in key rates over the course of 2023 and 2022 (rates in percent):

Table 1.1Market Interest Rates

	December 31,
	2023		2022		2023		2022
	Average		Average		Ending Rate		Ending Rate
Federal Funds Target Rate	5.20	%	1.88	%	5.50	%	4.50	%
Federal Funds Effective Rate (a)	5.03		1.68		5.33		4.33
SOFR(a)	5.01		N/A		5.38		N/A
1-Month LIBOR	N/A		1.92		N/A		4.39
3-Month LIBOR	N/A		2.40		N/A		4.77
2-Year U.S.Treasury	4.60		2.99		4.25		4.43
5-Year U.S.Treasury	4.06		3.00		3.85		4.00
10-Year U.S.Treasury	3.96		2.95		3.88		3.87
15-Year Residential Mortgage Note Rate	6.48		4.85		6.31		5.98
30-Year Residential Mortgage Note Rate	7.19		5.59		6.99		6.66

(a)Source: Board of Governors Federal Reserve System; all other sources are Bloomberg L.P.

During the year, the market rates continued to rise as the Federal Reserve initiated multiple rate hikes in an effort to combat inflation. In addition, the Federal Reserve decreased its holding of Treasuries and MBS securities in 2023.

Impact of general level of interest rates on the FHLBNY. The level of interest rates impacts our profitability, due primarily to the relatively shorter-term structure of earning assets and the impact of interest rates on invested capital. We invest in Federal funds sold and repurchase agreements that typically are overnight investments. We also use derivatives to effectively change the repricing characteristics of a significant proportion of our advances and Consolidated obligation debt to match shorter-term benchmark interest rates or overnight indices (SOFR and Federal funds effective rate, LIBOR previously) that reprice at intervals of three month or as frequently as daily. Consequently, the current level of short-term interest rates, as represented by the overnight Federal funds target rate, the overnight SOFR, and the 3-month LIBOR rate previously, has an impact on profitability.

The level of interest rates also directly affects our earnings on invested capital. Compared to other banking institutions, we operate at comparatively low net spreads between the yield we earn on assets and the cost of our liabilities. Therefore, we generate a relatively higher proportion of our income from the investment of member-supplied capital at the average asset yield. As a result, changes in asset yields tend to have a greater effect on our profitability than they do on the profitability of other banking institutions.

In summary, our average asset yields and the returns on capital invested in these assets largely reflect the short-term interest rate environment because the maturities of our assets are generally short-term in nature, have rate resets that reference short-term rates, or have been hedged with derivatives in which a short-term or overnight rate is received. Changes in rates paid on Consolidated obligations and the spread of these rates relative to LIBOR previously, SOFR, and the Federal funds rate or to U.S. Treasury securities may also impact profitability. The rates and prices at which we are able to issue Consolidated obligations, and their relationship to other products such as Treasury securities, change frequently and are affected by a multitude of factors including: overall economic conditions; volatility of market prices, rates, and indices; the level of interest rates and shape of the Treasury curve; the level of asset swap rates and shape of the swap curve; supply from other issuers (including GSEs such as Fannie Mae and Freddie Mac, supra/sovereigns, and other highly-rated borrowers); the rate and price of other products in the market such as mortgage-backed securities, repurchase agreements, and commercial paper; investor preferences; the total volume, timing, and characteristics of issuance by the FHLBanks; the amount and type of advance demand from our members; political events, including legislation and regulatory action; press interpretations of market conditions and issuer news; the presence of inflation or deflation; and actions by the Federal Reserve.

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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-K.

Fair Value Measurements

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

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

Valuation of Financial Instruments — The following assets and liabilities, including those for which the FHLBNY has elected the fair value option, were carried at fair value on the Statements of Condition as of December 31, 2023:

● Fair values of derivative instruments — Derivatives are valued using internal valuation techniques as no quoted market prices exist for such instruments, and we employ industry standard option adjusted valuation models that generate fair values of interest rate derivatives. We have classified derivatives as Level 2.

● Fair values of instruments elected under the Fair Value Option — When the FHLBNY elects the FVO, the election is made on an instrument-by-instrument basis on Consolidated obligation debt and advances, which are fair valued using the Bank’s industry standard option adjusted models. We have classified instruments elected under the FVO as Level 2.

● Fair values of available-for-sale mortgage-backed securities — We request prices for all mortgage-backed securities from third-party vendors. Typically, fair values are classified as Level 2.

● Fair values of available-for-sale Housing finance agency bonds — We request pricing information from pricing services. Due to the current lack of significant market activity, their fair values are classified as Level 3.

● 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 and GSE 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.

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

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.

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

We record and report our hedging activities in accordance with ASC 815. All derivatives are recorded on the statements of condition at their fair values. Changes in the fair value of all derivatives, excluding those designated as cash flow hedges, are recorded in current period earnings, while changes in the fair value of derivatives that are designated and qualify as cash flow hedges are recorded in other comprehensive income (OCI) until earnings are affected by the variability of the cash flows of the hedged transaction. If our hedges do not qualify for hedge accounting, also known as economic hedges, then the changes in the fair value of the derivatives in the economic hedge would be recorded in earnings, without an offsetting change in the fair value of the hedged item. As a result, economic hedges have the potential to cause significant volatility on our results of operations. If hedges qualify under a qualifying ASC 815 hedge, we may use two approaches to hedge accounting: short-cut hedge accounting and long-haul hedge accounting.

A short-cut hedging relationship assumes no ineffectiveness and implies that the hedge between an interest-rate swap and an interest-bearing financial instrument is perfectly correlated. Therefore, it is assumed that changes in the fair value of the interest-rate swap and the interest-bearing financial instrument will perfectly offset one another; therefore, no ineffectiveness is recorded in earnings or OCI. To qualify for short-cut accounting treatment, a number of restrictive conditions must be met.

A long-haul hedging relationship requires us to assess, retrospectively and prospectively, on at least a quarterly basis, whether the derivative and hedged item have been and are expected to be highly effective in offsetting changes in fair value or cash flows attributable to the hedged risk. We perform a prospective analysis based on a quantitative method at the inception of the hedge, and subsequently each quarter, we also perform retrospective hedge effectiveness analysis using regression to support our assertion that a hedge was and will remain effective. If the hedge fails the effectiveness test any time during its life, the hedge relationship no longer qualifies for hedge accounting and the derivative is marked to fair value through current period earnings without any offsetting changes in fair value related to the hedged item.

For more information about policies for our derivatives and hedging activities, see financial statements, Note 1. Summary of Significant Accounting Policies and Note 17. Derivatives and Hedging Activities.

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Legislative and Regulatory Developments

Finance Agency’s Review and Analysis of the Federal Home Loan Bank System. Commencing in the fall of 2022, and over a period of several months, the Finance Agency undertook a review and analysis of the FHLBank System, in part through a series of public listening sessions, regional roundtable discussions, and receipt of comments from stakeholders and the public. This review covered such areas as the FHLBanks’ 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.

On November 7, 2023, the Finance Agency issued a written report titled “FHLBank System at 100: Focusing on the Future,” presenting its review and analysis of the FHLBank System and the actions and recommendations that it plans to pursue in service of its vision for the future of the FHLBank System. The report focused on four broad themes: (1) the mission of the FHLBank System; (2) the FHLBank System as a stable and reliable source of liquidity; (3) housing and community development; and (4) FHLBank System operational efficiency, structure, and governance. The Finance Agency expects its initiative to continue as a multi-year, collaborative effort with the FHLBanks, their member institutions, and other stakeholders to address the recommended actions in the report and has stated that it can implement some of the recommendations from the report through ongoing supervision, guidance, or rulemaking, as well as through statutory changes by proposing specific requests for Congressional action.

Among other things, the Finance Agency has indicated that it plans to:

● Update and clarify its regulatory statement of the FHLBanks’ mission to explicitly incorporate its view of the core objectives of the FHLBanks’ mission, which are (1) providing stable and reliable liquidity to members, and (2) supporting housing and community development;

● Clarify the FHLBanks’ liquidity role and take steps that the Finance Agency believes will better position the FHLBanks to perform their liquidity function, including enhancing Finance Agency oversight of FHLBank credit risk evaluation of their members and establishing protocols for large depository members to borrow from the Federal Reserve discount window;

● Expand the FHLBanks’ housing and community development focus by requiring the establishment of mission-oriented collateral programs, re-evaluating the definition of long-term advances, exploring revisions to the Community Support Requirements, and reviewing the Affordable Housing Programs (AHP), Community Investment Programs, and Community Investment Cash Advance Programs to encourage greater use in a safe and sound manner. The Finance Agency will also recommend that Congress consider amending the FHLBank Act to at least double the statutory minimum required annual AHP contributions by the FHLBanks; and

● Review the FHLBanks’ operational efficiencies through encouraging collaboration among the FHLBanks, evaluating the size and structure of FHLBank boards, considering the structure of FHLBank districts and composition of their membership, and studying whether realignment or consolidation are necessary for the efficiency of the FHLBank System.

The Bank is continuing to evaluate the report and is not able to predict what actions will ultimately result from the Finance Agency’s recommendations in the report, the timing of these actions, the extent of any changes to the Bank or the FHLBank System, or the ultimate effect on the Bank or the FHLBank System in the future. We plan to continue to engage with the Finance Agency and other stakeholders to ensure that the FHLBank System remains well positioned to serve our members and their communities. [For a further discussion of the potential impact, see “Part I. Item 1A. Risk Factors” and MD&A section on advances.]

Federal Reserve Bank Term Funding Program. On March 12, 2023, in response to prevailing concerns about the ability of banks to meet the needs of all their depositors, the Federal Reserve announced the implementation of a Bank Term Funding Program (BTFP), as an additional source of liquidity for eligible borrowers, including any U.S. federally insured depository institution or U.S. branch or agency of a foreign bank that is eligible for primary credit with the Federal Reserve. The BTFP offers up to one-year term loans to be secured by eligible collateral owned by eligible borrowers as of March 12, 2023. Such loans can be requested until March 11, 2024. The BTFP is subject to $25 billion in credit protection by the U.S. Department of Treasury. On January 24, 2024, the Federal Reserve announced that the BTFP will cease making new loans as scheduled on March 11, 2024.

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Consumer Financial Protection Bureau (CFPB) Final Rule. On March 30, 2023, the CFPB issued a final rule requiring certain covered financial institutions to collect and report small business lending data. Small businesses are businesses with $5 million or less in gross annual revenue in the preceding fiscal year. A FHLBank will be subject to data collection and reporting obligations if the FHLBank has originated a minimum of 100 “covered credit transactions” to small businesses in each of the two preceding calendar years. The final rule implements phased-in compliance dates, beginning on October 1, 2024, based on the number of originations the covered financial institution makes to small businesses within a specified timeframe. The Bank is assessing to which extent the obligations will be triggered for the Bank and what operational changes will be necessary for compliance. While the Bank is still analyzing the impact of the final rule, it does not believe these changes will have a material effect on its financial condition or results of operations. Under a federal court order in a related litigation, the CFPB has been enjoined from implementing and enforcing the final rule against covered financial institutions nationwide and all deadlines for compliance with the final rule have been stayed.

Finance Agency Proposed Rule on Fair Lending, Fair Housing, and Equitable Housing Finance Plans. On April 26, 2023, the Finance Agency published a proposed rule that specifies requirements related to FHLBank compliance with fair housing and fair lending laws and prohibitions on unfair or deceptive acts or practices. The fair housing and fair lending laws would be the Fair Housing Act, the Equal Credit Opportunity Act, and those acts’ implementing regulations. Further, the proposed rule would outline the Finance Agency’s enforcement authority. The Bank is evaluating the potential impact of the proposed rule on the Bank and its operations.

Office of the Comptroller of the Currency, Federal Reserve, and Federal Deposit Insurance Corporation Joint Proposed Rule to Revise Capital Requirements for Certain Large Banking Organizations. On September 18, 2023, the Office of the Comptroller of the Currency, the Board of Governors of the Federal Reserve, and the Federal Deposit Insurance Corporation published a joint notice of proposed rulemaking that would substantially revise the regulatory capital requirements applicable to certain large banking organizations and banking organizations with significant trading activity (Covered Banks), generally consistent with changes to international capital standards issued by the Basel Committee on Banking Supervision, known as Basel III. The proposed rulemaking will amend the calculation of risk-based capital requirements in an attempt to better reflect the risks of these banking organizations’ exposures, reduce the complexity of the framework, enhance the consistency of requirements across these banking organizations, and facilitate more effective supervisory and market assessments of capital adequacy. For certain collateralized transactions under existing capital requirements, debt securities issued by a government-sponsored enterprise (GSE) such as the FHLBanks are afforded a lower market price volatility haircut than higher risk non-GSE investment-grade securities. The proposed rules would increase the market price volatility haircuts applicable to debt securities of the GSEs (including the FHLBanks) by applying to these debt securities the same haircuts as non-GSE investment-grade securities. The Bank continues to evaluate the potential impact of the proposed rulemaking on its financial condition and results of operation. The proposed change to market price volatility haircuts applicable to debt securities of the FHLBanks may harm liquidity for FHLBank debt securities in the market, impact general demand for FHLBank debt securities, and increase the FHLBanks’ cost of funding due to potential higher interest rates as a result of the foregoing. The proposal was open for public comment through January 16, 2024, and the FHLBank System submitted a comment letter.

SEC Final Rule on the Enhancement and Standardization of Climate-Related Disclosures for Investors. On March 6, 2024, the SEC adopted a final rule that will require registrants to disclose certain climate-related information in annual reports. The final rule requires disclosure of, among other things: material climate-related risks and their material impacts; activities to mitigate or adapt to such risks; information about a registrant’s board of directors’ oversight of climate-related risks and management’s role in managing material climate-related risks; and information on any climate-related targets or goals that are material to the registrant’s business, results of operations, or financial condition. In addition, certain disclosures related to severe weather events and other natural conditions will be required in a registrant’s audited financial statements. We will be subject to the applicable requirements of the rule in our annual reports for fiscal years beginning in 2027. We continue to review the final rule and evaluate its impact on us or our financial condition or results of operations, including the effect on costs and complexities associated with our SEC reporting.

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Financial Condition

Table 2.1Statements of Condition — Period-Over-Period Comparison

					Net change in		Net change in
(Dollars in thousands)	December 31, 2023		December 31, 2022		dollar amount		percentage
Assets
Cash and due from banks	$	48,198	$	27,420	$	20,778	75.78	%
Interest-bearing deposits		1,945,000		1,750,000		195,000	11.14
Securities purchased under agreements to resell		7,820,000		4,245,000		3,575,000	84.22
Federal funds sold		9,640,000		9,470,000		170,000	1.80
Trading securities		5,886,421		7,113,419		(1,226,998)	(17.25)
Equity Investments		91,879		81,754		10,125	12.38
Available-for-sale securities		9,106,743		7,088,870		2,017,873	28.47
Held-to-maturity securities		11,869,328		9,354,048		2,515,280	26.89
Advances		108,890,128		115,292,876		(6,402,748)	(5.55)
Mortgage loans held-for-portfolio		2,179,766		2,106,969		72,797	3.46
Accrued interest receivable		581,608		437,823		143,785	32.84
Premises, software, and equipment		74,043		77,710		(3,667)	(4.72)
Operating lease right-of-use assets		54,862		60,338		(5,476)	(9.08)
Financing lease right-of-use assets		2,317		—		2,317	NM
Derivative assets		125,202		163,921		(38,719)	(23.62)
Other assets		17,704		121,341		(103,637)	(85.41)
Total assets	$	158,333,199	$	157,391,489	$	941,710	0.60	%
Liabilities
Deposits
Interest-bearing demand	$	3,472,477	$	1,015,991	$	2,456,486	241.78	%
Non-interest-bearing demand		9,376		10,946		(1,570)	(14.34)
Total deposits		3,481,853		1,026,937		2,454,916	239.05
Consolidated obligations
Bonds		97,569,062		85,497,755		12,071,307	14.12
Discount notes		47,906,908		61,792,989		(13,886,081)	(22.47)
Total consolidated obligations		145,475,970		147,290,744		(1,814,774)	(1.23)
Mandatorily redeemable capital stock		7,219		4,578		2,641	57.69
Accrued interest payable		716,021		370,456		345,565	93.28
Affordable Housing Program		187,027		131,394		55,633	42.34
Derivative liabilities		12,409		15,333		(2,924)	(19.07)
Other liabilities		138,658		131,360		7,298	5.56
Operating lease liabilities		67,021		73,304		(6,283)	(8.57)
Financing lease liabilities		2,320		—		2,320	NM
Total liabilities		150,088,498		149,044,106		1,044,392	0.70
Capital		8,244,701		8,347,383		(102,682)	(1.23)
Total liabilities and capital	$	158,333,199	$	157,391,489	$	941,710	0.60	%

NM— Not meaningful.

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

Total assets increased to $158.3 billion at December 31, 2023 from $157.4 billion at December 31, 2022, an increase of $941.7 million, or 0.6%.

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Cash at banks was $48.2 million at December 31, 2023, compared to $27.4 million at December 31, 2022.

Money market investments at December 31, 2023 were $9.6 billion in federal funds sold and $7.8 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 increased as we continue to ensure an ample supply of funds to meet liquidity demands. Federal funds sold averaged $17.3 billion and $11.6 billion in 2023 and 2022, respectively. Resale agreements averaged $4.9 billion and $74.0 million in 2023 and 2022, respectively. Money market investments also included interest-bearing deposits at highly-rated financial institutions. Balances were $1.9 billion and $1.8 billion at December 31, 2023 and December 31, 2022, respectively.

Advances — Par balances decreased at December 31, 2023 to $109.8 billion, compared to $116.9 billion at December 31, 2022. Short-term fixed-rate advances decreased by 47.1% to $13.0 billion at December 31, 2023, down from $24.7 billion at December 31, 2022. ARC advances, which are adjustable-rate borrowings, increased by 42.3% to $35.7 billion at December 31, 2023, compared to $25.1 billion at December 31, 2022.

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 $396.1 million at December 31, 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 $7.5 billion at December 31, 2023 and $5.5 billion at December 31, 2022. We acquired $1.9 billion (par) of fixed-rate GSE-issued MBS in 2023.

State and local housing finance agency obligations, primarily New York and New Jersey, were carried as AFS securities at $1.2 billion at December 31, 2023 and $1.1 billion 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 $11.7 billion at December 31, 2023 and $9.2 billion at December 31, 2022. We acquired $3.2 billion (par) of floating-rate and $0.1 billion (par) of fixed-rate GSE-issued MBS in 2023.

State and local housing finance agency obligations, primarily New York and New Jersey, were carried as HTM securities at $0.2 billion at December 31, 2023 and at 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 December 31, 2023, trading investments were $5.9 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 $91.9 million at December 31, 2023 and $81.8 million at December 31, 2022.

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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 December 31, 2023, a decrease of $146.9 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 $442.1 million at December 31, 2023, an increase of $221.0 million from the balance at December 31, 2022. Paydowns for the total portfolio for twelve months ended December 31, 2023 were $165.7 million compared to $285.2 million for the same period in 2022. Acquisitions for the twelve months ended December 31, 2023 were $245.8 million compared to $79.2 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 December 31, 2023 were lower than December 31, 2022. Allowance for credit losses increased to $3.3 million at December 31, 2023 compared to $1.9 million at December 31, 2022.

Capital ratios — Our capital position remains strong. At December 31, 2023, actual risk-based capital was $8.4 billion compared to $8.5 billion at December 31, 2022. Required risk-based capital was $1.4 billion at December 31, 2023 compared to $749.5 million at December 31, 2022. To support $158.3 billion of total assets at December 31, 2023, the minimum required total capital was $6.3 billion or 4.0% of assets. Our actual regulatory risk-based capital was $8.4 billion, exceeding required total capital by $2.1 billion. These ratios have remained consistently above the required regulatory ratios through all periods in this report. For more information, see financial statements, Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings.

Leverage — At December 31, 2023 balance sheet leverage (based on U.S. GAAP) was 19.2 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 December 31, 2023 included $32.8 million as demand cash balances at the FRBNY, $17.5 billion in short-term and overnight investments in the federal funds and resale agreements, and $7.9 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 9.1 through Table 9.5 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 December 31, 2023.

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Advances

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

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

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

Carrying values of advances outstanding were $108.9 billion at December 31, 2023 and $115.3 billion at December 31, 2022. Carrying values included cumulative hedging basis adjustment losses of $0.9 billion at December 31, 2023 and $1.6 billion at December 31, 2022.

Table 3.1Advance 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.

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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.

The FHFA in its ‘FHLBank System at 100: Focusing on the Future’ report (“System 100 Report”) released in November 2023 stated that the FHFA has communicated its expectation that the FHLBanks revisit their policies, procedures, and systems for evaluating the financial condition of members. The System 100 Report also stated that the FHLBanks must evaluate members’ financial condition and ability to repay advances, and noted that while pledged collateral may protect an FHLBank against risk of loss, it only serves as a backup source of repayment if the member cannot repay the advance. The report further stated that the FHFA is initiating multiple actions to strengthen member risk management by the FHLBanks. The System 100 Report emphasized that the FHLBanks are not “lenders of last resort” and need to coordinate with members’ primary regulators and the Federal Reserve Banks to facilitate the transition of troubled members to the Federal Reserve’s discount window. These comments from the FHFA and potential related actions by policy makers or member regulators may cause financially healthy members to reduce their advances, and make it more difficult for the Bank to provide liquidity in support of members that are experiencing temporary liquidity difficulties.

Advances — Product Types

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

Table 3.2Advances by Product Type

	December 31, 2023				December 31, 2022
			Percentage				Percentage
	Amounts		of Total		Amounts		of Total
Adjustable Rate Credit - ARCs	$	35,663,390	32.49	%	$	25,063,390	21.43	%
Fixed Rate Advances		53,024,265	48.29			54,523,869	46.64
Short-Term Advances		13,049,894	11.89			24,674,722	21.10
Mortgage Matched Advances		421,544	0.38			78,639	0.07
Overnight & Line of Credit (OLOC) Advances		4,516,962	4.11			9,231,475	7.89
All other categories		3,119,096	2.84			3,357,759	2.87
Total par value		109,795,151	100.00	%		116,929,854	100.00	%
Advance discounts		(7,878)				(2,083)
Hedge valuation basis adjustments		(897,145)				(1,634,895)
Total	$	108,890,128			$	115,292,876

48

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 3.3Collateral Supporting Indebtedness to Members

	Indebtedness						Collateral (a)
			Other		Total				Securities and
	Advances (b)		Obligations (c)		Indebtedness		Loans (d)		Deposits (d)		Total (d)
December 31, 2023	$	109,795,151	$	20,939,733	$	130,734,884	$	358,853,921	$	70,552,994	$	429,406,915
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.

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 3.4Location of Collateral Held

	Estimated Market Values
	Collateral in				Total
	Physical		Collateral		Collateral
	Possession		Specifically Listed		Received
December 31, 2023	$	71,812,944	$	357,593,971	$	429,406,915
December 31, 2022	$	82,658,830	$	337,945,461	$	420,604,291

49

Advances — Interest Rate Terms

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

Table 3.5Advances by Interest-Rate Payment Terms

	December 31, 2023					December 31, 2022
			Percentage					Percentage
	Amount		of Total			Amount		of Total
Fixed-rate (a)	$	73,209,674		66.68	%	$	90,424,460		77.33	%
Variable-rate (b)		36,585,390		33.32			26,505,390		22.67
Variable-rate capped or floored (c)		—		—			—		—
Overdrawn demand deposit accounts		87		—			4		—
Total par value		109,795,151		100.00	%		116,929,854		100.00	%
Advance discounts		(7,878)					(2,083)
Hedge valuation basis adjustments		(897,145)					(1,634,895)
Total	$	108,890,128				$	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 December 31, 2023, with only 6.4% 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).

50

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

Table 3.6Advances by Redemption Term

	December 31, 2023					December 31, 2022					Change
Redemption Term (dollars in thousands)	Amount		Percentage			Amount		Percentage			Amount		Percentage
Fixed-rate
Due in 1 year or less	$	42,366,512		38.59	%	$	61,444,708		52.55	%	$	(19,078,196)		(31.05)	%
Due after 1 year through 3 years		13,976,570		12.72			14,399,676		12.31			(423,106)		(2.94)
Due after 3 years through 5 years		9,536,618		8.69			6,405,303		5.48			3,131,315		48.89
Due after 5 years through 15 years		4,386,479		4.00			4,085,973		3.49			300,506		7.35
Thereafter		—		—			161		—			(161)		(100.00)
Total principal amount		70,266,179		64.00			86,335,821		73.83			(16,069,642)		(18.61)
Fixed-rate, putable
Due in 1 year or less		—		—			—		—			—		NM
Due after 1 year through 3 years		181,450		0.17			—		—			181,450		NM
Due after 3 years through 5 years		738,000		0.67			1,505,000		1.29			(767,000)		(50.96)
Due after 5 years through 15 years		1,602,500		1.46			2,505,000		2.14			(902,500)		(36.03)
Thereafter		—		—			—		—			—		NM
Total principal amount		2,521,950		2.30			4,010,000		3.43			(1,488,050)		(37.11)
Variable-rate
Due in 1 year or less		22,845,390		20.81			21,493,000		18.38			1,352,390		6.29
Due after 1 year through 3 years		8,727,000		7.95			3,792,390		3.24			4,934,610		NM
Due after 3 years through 5 years		4,013,000		3.65			220,000		0.19			3,793,000		NM
Due after 5 years through 15 years		1,000,000		0.91			1,000,000		0.86			—		—
Thereafter		—		—			—		—			—		NM
Total principal amount		36,585,390		33.32			26,505,390		22.67			10,080,000		38.03
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		76,940		0.07			33,362		0.03			43,578		NM
Due after 1 year through 3 years		145,209		0.13			28,356		0.02			116,853		NM
Due after 3 years through 5 years		195,459		0.18			11,459		0.01			184,000		NM
Due after 5 years through 15 years		3,731		—			4,985		0.01			(1,254)		(25.16)
Thereafter		206		—			477		—			(271)		(56.81)
Total principal amount		421,545		0.38			78,639		0.07			342,906		NM
Overdrawn and overnight deposit accounts		87		—			4		—			83		NM
Total principal amount advances		109,795,151		100.00	%		116,929,854		100.00	%		(7,134,703)		(6.10)	%
Other adjustments, net (c)		(905,023)					(1,636,978)					731,955
Total advances	$	108,890,128				$	115,292,876				$	(6,402,748)

(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.

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

NM— Not meaningful.

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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 3.7Hedged Advances by Type

Par Amount	December 31, 2023		December 31, 2022
Qualifying hedges
Fixed-rate bullets (a)	$	49,092,527	$	39,392,241
Fixed-rate putable (b)		2,521,950		4,010,000
Fixed-rate with embedded cap		—		350,000
Total qualifying hedges	$	51,614,477	$	43,752,241
Aggregate par amount of advances hedged (c)	$	53,922,377	$	44,070,441
Fair value basis (hedging adjustments)	$	(897,145)	$	(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 December 31, 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 3.8Putable and Callable Advances

	Advances
Par Amount	December 31, 2023		December 31, 2022
Putable (a)	$	2,521,950	$	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 4.1Investments by Categories

	December 31,		December 31,		Dollar		Percentage
	2023		2022		Variance		Variance
State and local housing finance agency obligations, net (a)
Available-for-sale securities, at fair value	$	1,228,238	$	1,109,029	$	119,209	10.75	%
Held-to-maturity securities, at carrying value, net		166,062		177,117		(11,055)	(6.24)
Total HFA securities		1,394,300		1,286,146		108,154	8.41
Trading securities (b)		5,886,421		7,113,419		(1,226,998)	(17.25)
Mortgage-backed securities
Available-for-sale securities, at fair value (c)		7,878,505		5,979,841		1,898,664	31.75
Held-to-maturity securities, at carrying value, net (c)		11,703,266		9,176,931		2,526,335	27.53
Total MBS securities		19,581,771		15,156,772		4,424,999	29.19
Equity investments in Grantor trusts (d)		91,879		81,754		10,125	12.38
Interest-bearing deposits		1,945,000		1,750,000		195,000	11.14
Securities purchased under agreements to resell		7,820,000		4,245,000		3,575,000	84.22
Federal funds sold		9,640,000		9,470,000		170,000	1.80
Total Investments	$	46,359,371	$	39,103,091	$	7,256,280	18.56	%

(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 purchases of $125.0 million of AFS State and local housing finance agency bonds for the twelve months ending December 31, 2023. Payments from HTM portfolio were $11.1 million and payments from the AFS portfolio were $5.4 million.

(b) Trading securities comprised of U.S. Treasury securities at December 31, 2023 and are carried at fair value. Trading portfolio is for liquidity and not for speculative purposes. We purchased $1.6 billion par of U.S. Treasury notes in 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.

53

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

Table 4.2Investment Debt Securities Issuer Concentration

	December 31, 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	$	2,261,695	$	2,242,039	27.43	%	$	2,099,507	$	2,071,390	25.15	%
Freddie Mac		17,276,218		16,967,872	209.54			13,001,618		12,604,915	155.76
Ginnie Mae		6,563		6,563	0.08			7,477		7,477	0.09
All Others - PLMBS		37,295		40,199	0.45			48,170		52,016	0.58
Non-MBS, net (b)		1,394,300		1,381,971	16.91			1,286,146		1,272,277	15.41
Total Investment Debt Securities	$	20,976,071	$	20,638,644	254.41	%	$	16,442,918	$	16,008,075	196.98	%
Categorized as:
Available-for-Sale Securities	$	9,106,743	$	9,106,743			$	7,088,870	$	7,088,870
Held-to-Maturity Securities, net	$	11,869,328	$	11,531,901			$	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 4.3External Rating of the Held-to-Maturity Portfolio

	December 31, 2023
									Below
									Investment
	AAA-rated (a)		AA-rated (b)		A-rated		BBB-rated		Grade		Total
Mortgage-backed securities	$	114	$	11,666,992	$	25,831	$	224	$	10,105	$	11,703,266
State and local housing finance agency obligations		—		166,062		—		—		—		166,062
Total Long-term securities	$	114	$	11,833,054	$	25,831	$	224	$	10,105	$	11,869,328

	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 4.4.

54

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

Table 4.4External Rating of the Available-for-Sale Portfolio

	December 31, 2023
									Below
									Investment
	AAA-rated (a)		AA-rated (b)		A-rated		BBB-rated		Grade		Total
Mortgage-backed securities	$	—	$	7,878,505	$	—	$	—	$	—	$	7,878,505
State and local housing finance agency obligations		168,025		1,060,213		—		—		—		1,228,238
Total Long-term securities	$	168,025	$	8,938,718	$	—	$	—	$	—	$	9,106,743

	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 4.3 and Table 4.4.

(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 4.3 and Table 4.4 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.

55

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 4.5Mortgage-Backed Securities Weighted Average Rates by Contractual Maturities

	December 31, 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	$	536,177	3.32	%	$	375,711	3.04	%
Due after one year through five years		6,791,088	3.71			5,610,679	3.36
Due after five years through ten years		9,144,239	3.39			7,654,366	2.83
Due after ten years		3,318,297	5.35			1,750,120	3.80
Total Mortgage-backed securities	$	19,789,801	3.83	%	$	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 4.6Fair Value Hedges of Fixed-Rate Prepayable CMBS

	Fair Value Hedges of Fixed-Rate Prepayable CMBS
	December 31, 2023		December 31, 2022
Current face value of hedged CMBS	$	6,720,604	$	4,787,741
Partial-term hedge face value of hedged CMBS	$	6,040,000	$	4,263,000
Cumulative basis adjustment gains (losses)	$	(505,344)	$	(575,104)
Interest rate swap contracts (par)	$	6,040,000	$	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 $7.8 billion at December 31, 2023 and $4.2 billion at December 31, 2022. Resale agreements averaged $4.9 billion and $74.0 million in 2023 and 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 $9.6 billion at December 31, 2023, and $9.5 billion at December 31, 2022, and averaged $17.3 billion and $11.6 billion in 2023 and 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 table below presents federal funds sold, the counterparty credit ratings, and the domicile of the counterparty or the domicile of the counterparty’s parent for U.S. branches and agency offices of foreign commercial banks in the U.S. (in thousands):

Table 4.7Federal Funds Sold by Domicile of the Counterparty ^(a)

	December 31, 2023		December 31, 2022		Year ended December 31, 2023				Year ended December 31, 2022
Foreign	S&P	Moody’s	S&P	Moody’s	Daily Average		Balance at		Daily Average		Balance at
Counterparties	Rating	Rating	Rating	Rating	Balance		period end		Balance		period end
Australia	AA-	AA3 to AA2	AA-	AA3	$	2,178,384	$	2,120,000	$	1,803,178	$	2,045,000
Austria	A+	A1	A+	A2		1,266,712		—		918,162		—
Canada	A to AA-	A3 to AA2	A to AA-	A3 to AA2		4,674,477		4,420,000		3,841,452		4,255,000
Finland	AA-	AA3	AA-	AA3		1,638,699		1,250,000		1,483,137		2,045,000
France	A to A+	A1 to AA3	A to A+	A1 to AA3		1,851,110		1,350,000		497,855		500,000
Germany	A	A1	A-	A1		32,794		—		114,205		—
Netherlands	A+	AA2	A+	AA2		897,630		500,000		894,247		625,000
Norway	AA-	AA2	AA-	AA2		733,562		—		141,699		—
Sweden	A+ to AA-	AA3 to AA2	A+ to AA-	AA3 to AA2		1,384,027		—		236,959		—
Switzerland	N/A	N/A	A-	A3		—		—		217,109		—
UK	A+	A1	A	A1		1,283,712		—		1,049,658		—
Subtotal						15,941,107		9,640,000		11,197,661		9,470,000
USA	BBB+ to AA-	BAA1 to AA2	A to AA-	A3 to AA2		1,341,871		—		448,110		—
Total					$	17,282,978	$	9,640,000	$	11,645,771	$	9,470,000

(a) Average investment in federal funds sold has typically been greater than the period-end balance as counterparties have less demand at year-end than during the year.

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

Table 4.8Trading Securities

	Trading Securities
	December 31, 2023		December 31, 2022
Par value	$	6,325,925	$	7,675,925
Amortized cost	$	6,148,424	$	7,486,397
Carrying/Fair value	$	5,886,421	$	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 4.9Economic Hedges of Fixed-rate Liquidity Trading Securities

	Economic Hedges of Fixed-Rate Trading Securities
	December 31, 2023		December 31, 2022
Par/Face amounts of portfolio of U.S. Treasury fixed-rate securities (a)	$	6,325,925	$	7,675,925
Par amounts of interest rate swaps	$	6,325,925	$	7,775,925

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

Mortgage Loans Held-for-Portfolio, Net

Mortgage loans are carried in the Statements of Condition at amortized cost, less allowance for credit losses. The outstanding unpaid principal balance was $2.2 billion at December 31, 2023, an increase of $74.2 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 $245.8 million of mortgage loans from members and paydowns were $165.7 million. Mortgage loans were investments in Mortgage Partnership Finance loans (MPF or MPF Program) and Mortgage Asset Program (MAP). Serious delinquencies at December 31, 2023 were lower than December 31, 2022. Allowance for credit losses was $3.3 million at December 31, 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 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 its Participating Financial Institution (PFI) members to fund mortgages and be competitive in offering fixed-rate mortgage loan products.

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.

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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, 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 5.1Mortgage Loans by Conventional and Insured Loans

	December 31, 2023		December 31, 2022
Federal Housing Administration and Veteran Administration insured loans	$	127,147	$	139,249
Conventional loans		2,055,920		1,969,631
Allowance for credit losses on mortgage loans		(3,301)		(1,911)
Mortgage loans held-for-portfolio, net (a)	$	2,179,766	$	2,106,969

(a) Includes MAP portfolio balance of $449.2 million as of December 31, 2023 and $226.0 million as of December 31, 2022 which were not included in this table previously.

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 5.2Geographic Concentration of Mortgage Loans

	December 31, 2023				December 31, 2022
	Number of loans %		Amounts outstanding %		Number of loans %		Amounts outstanding %
New York State	72.7	%	67.1	%	74.6	%	69.9	%

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Table 5.3Top Five Participating Financial Institutions — Concentration (par value, dollars in thousands):

	December 31, 2023
	Mortgage		Percent of Total
	Loans		Mortgage Loans
Bethpage Federal Credit Union	$	174,018	8.09	%
Teachers Federal Credit Union		168,031	7.81
Watertown Savings Bank		127,205	5.92
Citizens Bank, N.A. (a)		119,874	5.57
Manasquan Bank		115,181	5.36
All Others		1,446,071	67.25
Total (c)	$	2,150,380	100.00	%

	December 31, 2022
	Mortgage		Percent of Total
	Loans		Mortgage Loans
Teachers Federal Credit Union	$	179,424	8.64	%
Bethpage Federal Credit Union		161,314	7.77
Watertown Savings Bank		134,416	6.47
Citizens Bank, N.A.(a)		132,105	6.36
Webster Bank, N.A. (b)		124,915	6.02
All Others		1,344,037	64.74
Total(c)	$	2,076,211	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) Includes MPF unpaid principal balances of $1.7 billion as of December 31, 2023 and $1.9 billion as of December 31, 2022, and MAP unpaid principal balances of $0.4 billion as of December 31, 2023 and $0.2 billion as of December 31, 2022.

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 $145.5 billion and $147.3 billion at December 31, 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 $97.6 billion (par, $98.6 billion) at December 31, 2023, compared to $85.5 billion (par, $87.5 billion) at December 31, 2022. The carrying value of Consolidated obligation discount notes outstanding was $47.9 billion at December 31, 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 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 6.1 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 6.7 Discount Notes Outstanding. Also, see financial statements, Note 17. Derivatives and Hedging Activities.

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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 $26.3 billion at December 31, 2023 and $33.0 billion at December 31, 2022.

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Consolidated obligation bonds

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

Table 6.1CO Bonds by Type

	December 31, 2023				December 31, 2022
			Percentage				Percentage
	Amount		of Total		Amount		of Total
Fixed-rate, non-callable	$	33,066,960	33.52	%	$	30,482,290	34.83	%
Fixed-rate, callable		35,735,130	36.23			18,676,130	21.34
Step Up, callable		3,473,000	3.52			5,374,000	6.14
Step Down, callable		52,000	0.05			—	—
Floating rate, callable		200,000	0.20			250,000	0.29
Single-index floating rate		26,118,500	26.48			32,733,000	37.40
Total par value		98,645,590	100.00	%		87,515,420	100.00	%
Bond premiums		81,218				123,477
Bond discounts		(24,665)				(26,341)
Hedge valuation basis adjustments (a)		(1,126,343)				(2,015,128)
Hedge basis adjustments on de-designated hedges (b)		106,686				114,430
FVO (c) - valuation adjustments and accrued interest		(113,424)				(214,103)
Total Consolidated obligation bonds	$	97,569,062			$	85,497,755

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 6.2 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 $1.1 billion at December 31, 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 6.3 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 6.2 – 6.4 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.

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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 6.2CO Bonds Hedged under Qualifying Fair Value Hedges

	Consolidated Obligation Bonds
Par Amount	December 31, 2023		December 31, 2022
Qualifying hedges
Fixed-rate bullet bonds	$	19,960,020	$	16,995,505
Fixed-rate callable bonds		37,173,130		22,614,130
	$	57,133,150	$	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.

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

Table 6.3CO Bonds Elected under the Fair Value Option (FVO)

	Consolidated Obligation Bonds
Par Amount	December 31, 2023		December 31, 2022
Bonds designated under FVO	$	3,893,965	$	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 6.4Economic Hedges of CO Bonds (data in table excludes CO bonds elected under the FVO)

	Consolidated Obligation Bonds
Par Amount	December 31, 2023		December 31, 2022
Bonds designated as economically hedged
Fixed-rate bonds (a)	$	1,460,000	$	15,000

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

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

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

Table 6.5CO Bonds — Maturity or Next Call Date

	December 31, 2023				December 31, 2022
			Percentage of				Percentage of
	Amount		Total		Amount		Total
Year of maturity or next call date
Due or callable in one year or less	$	77,561,045	78.63	%	$	63,600,290	72.67	%
Due or callable after one year through two years		9,312,850	9.44			11,586,805	13.24
Due or callable after two years through three years		5,131,155	5.20			3,061,985	3.50
Due or callable after three years through four years		1,676,385	1.70			3,164,905	3.62
Due or callable after four years through five years		2,450,705	2.48			1,487,435	1.70
Thereafter		2,513,450	2.55			4,614,000	5.27
Total par value	$	98,645,590	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.

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

Table 6.6Outstanding Callable CO Bonds versus Non-callable CO bonds

	December 31, 2023		December 31, 2022
Callable	$	39,460,130	$	24,300,130
Non-Callable	$	59,185,460	$	63,215,290

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CO Discount Notes

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

Table 6.7Discount Notes Outstanding

	December 31, 2023			December 31, 2022
Par value	$	48,657,920		$	62,295,735
Amortized cost	$	47,914,413		$	61,832,418
Hedge value basis adjustments (a)		(7,363)			(39,088)
Hedge basis adjustments on de-designated hedges (b)		(142)			(341)
FVO (c) - valuation adjustments and remaining accretion		—			—
Total Consolidated obligation discount notes	$	47,906,908		$	61,792,989
Weighted average interest rate		5.17	%		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 $43.4 billion and $34.6 billion were hedged under ASC 815 qualifying fair value hedges at December 31, 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 December 31, 2023 and December 31, 2022.

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

Table 6.8Fair Value Hedges of Discount Notes

	Consolidated Obligation Discount Notes
Principal Amount	December 31, 2023		December 31, 2022
Discount notes hedged under qualifying hedge	$	43,431,306	$	34,626,552

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

Table 6.9Economic Hedges of Discount Notes

	Consolidated Obligation Discount Notes
Par Amount	December 31, 2023		December 31, 2022
Discount notes designated as economic hedges (a)	$	886,789	$	13,940,198

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

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

Table 6.10Cash Flow Hedges of Discount Notes

	Consolidated Obligation Discount Notes
Principal Amount	December 31, 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 December 31, 2023 and December 31, 2022.

Recent Rating Actions

Table 6.11 below presents FHLBank’s long-term credit rating, short-term credit rating and outlook at February 29, 2024.

Table 6.11FHLBNY Ratings

		S&P			Moody’s
		Long-Term/ Short-Term			Long-Term/ Short-Term
Year		Rating	Outlook		Rating	Outlook
2023	February 29, 2024	AA+/A-1+	Stable/Affirmed	February 29, 2024	AAA/P-1	Negative/Affirmed
2022	February 28, 2023	AA+/A-1+	Stable/Affirmed	February 28, 2023	AAA/P-1	Stable/Affirmed
2021	December 10, 2021	AA+/A-1+	Stable/Affirmed	December 27, 2021	AAA/P-1	Stable/Affirmed

Accrued interest payable

Accrued interest payable — Amounts outstanding were $716.0 million at December 31, 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 $138.7 million at December 31, 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):

Table 7.1Stockholders’ Capital

	December 31, 2023		December 31, 2022
Capital Stock (a)	$	6,049,570	$	6,387,701
Unrestricted retained earnings (b)		1,276,583		1,185,112
Restricted retained earnings (c)		1,061,081		910,855
Accumulated Other Comprehensive Income (Loss)		(142,533)		(136,285)
Total Capital	$	8,244,701	$	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 December 31, 2023 has grown to $1.1 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 December 31, 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 $1.1 billion at December 31, 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 7.2Accumulated Other Comprehensive Income (Loss) (AOCI)

	December 31, 2023		December 31, 2022
Accumulated other comprehensive income (loss)
Non-credit portion on held-to-maturity securities, net (a)	$	(763)	$	(998)
Net market value unrealized gains (losses) on available-for-sale securities (b)		(713,284)		(808,772)
Net Fair value hedging gains (losses) on available-for-sale securities (b)		505,344		575,104
Net Cash flow hedging gains (losses) (c)		75,201		102,200
Employee supplemental retirement plans (d)		(9,031)		(3,819)
Total Accumulated other comprehensive income (loss)	$	(142,533)	$	(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 $713.3 million at December 31, 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 $505.3 million and $575.1 million at December 31, 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 7.3 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 7.3AOCI Roll forward due to ASC 815 Hedging Programs

	December 31, 2023
	Cash Flow Hedges				Fair Value Hedges
	Rollover Hedge		Anticipatory Hedge
	Program		Program		AFS Securities
Beginning balance	$	103,468	$	(1,268)	$	575,104
Changes in fair values (a)		(26,995)		805		(69,760)
Amount reclassified		—		1,248		—
Fair Value - closed contract		—		(2,057)		—
Ending balance	$	76,473	$	(1,272)	$	505,344
Notional amount of swaps outstanding	$	1,608,000	$	—	$	6,040,000

	December 31, 2022
	Cash Flow Hedges				Fair Value Hedges
	Rollover Hedge		Anticipatory Hedge
	Program		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

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

(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 7.4Dividends Paid and Payout Ratios

	Twelve months ended
	December 31,			December 31,
	2023			2022
Cash dividends paid per share	$	8.31		$	5.34
Dividends paid (a)(c)	$	509,434		$	252,374
Pay-out ratio (b)		67.82	%		60.47	%

(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.

The following tables summarize the principal derivatives hedging strategies outstanding as of December 31, 2023 and December 31, 2022:

Table 8.1Derivative Hedging Strategies — Advances

			December 31, 2023		December 31, 2022
		Hedge	Notional Amount		Notional Amount
Hedged Item / Hedging Instrument	Hedging Objective	Designation	(in millions)		(in millions)
Pay-fixed, receive float interest rate swap (without options)	Converts the advance’s fixed rate to a variable-rate index.	Fair Value	$	49,092	$	39,392
		Economic	$	2,308	$	318
Pay-fixed, receive float interest rate swap (with options)	Converts the advance’s fixed rate to a variable-rate index and offsets option risk in the advance.	Fair Value	$	2,522	$	4,010
Pay-fixed with embedded features, receive-float interest-rate swap (non-callable)	Reduces interest-rate sensitivity and repricing gaps by converting the advance’s fixed rate to a variable-rate index and/or offsets embedded option risk in the advance.	Fair Value	$	—	$	350

Table 8.2Derivative Hedging Strategies — Investments

			December 31, 2023		December 31, 2022
		Hedge	Notional Amount		Notional Amount
Hedged Item / Hedging Instrument	Hedging Objective	Designation	(in millions)		(in millions)
Pay-fixed, receive float interest-rate swap	Converts the investment’s fixed rate to a variable-rate index.	Fair Value	$	6,040	$	4,263
		Economic	$	6,326	$	7,776

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Table 8.3Derivative Hedging Strategies — Consolidated Obligation Bonds

			December 31, 2023		December 31, 2022
		Hedge	Notional Amount		Notional Amount
Hedged Item / Hedging Instrument	Hedging Objective	Designation	(in millions)		(in millions)
Receive-fixed or -structured, pay float interest rate swap (without options)	Converts the bond’s fixed or structured rate to a variable-rate index.	Fair Value	$	19,960	$	16,996
		Economic	$	4,579	$	4,374
Receive-fixed or -structured, pay float interest rate swap (with options)	Converts the bond’s fixed- or structured-rate to a variable-rate index and offsets option risk in the bond.	Fair Value	$	37,173	$	22,614
		Economic	$	775	$	15
Forward-starting interest rate swap	Locks in the cost of funding on anticipated issuance of debt.	Cash Flow	$	—	$	54

Table 8.4Derivative Hedging Strategies — Consolidated Obligation Discount Notes

			December 31, 2023		December 31, 2022
		Hedge	Notional Amount		Notional Amount
Hedged Item / Hedging Instrument	Hedging Objective	Designation	(in millions)		(in millions)
Receive-fixed, pay float interest-rate swap	Converts the discount note’s fixed rate to a variable-rate index.	Fair Value	$	43,431	$	34,627
		Economic	$	887	$	13,940
Pay-fixed, receive float interest-rate swap	Hedging sequential issuance of discount notes to reduce interest-rate sensitivity.	Cash Flow	$	1,608	$	1,608

Table 8.5Derivative Hedging Strategies — Balance Sheet

			December 31, 2023		December 31, 2022
		Hedge	Notional Amount		Notional Amount
Hedged Item / Hedging Instrument	Hedging Objective	Designation	(in millions)		(in millions)
Pay-float, receive-fixed interest-rate swap	Interest-rate swap not linked to specific assets, liabilities or forecasted transactions.	Economic	$	9,760	$	11,415
Pay-fixed, receive-float interest-rate swap	Interest-rate swap not linked to specific assets, liabilities or forecasted transactions.	Economic	$	9,760	$	11,415
Interest-rate cap or floor	Protects against changes in income of certain assets due to changes in interest rates.	Economic	$	150	$	800

Table 8.6Derivative Hedging Strategies — Intermediation

			December 31, 2023		December 31, 2022
		Hedge	Notional Amount		Notional Amount
Hedged Item / Hedging Instrument	Hedging Objective	Designation	(in millions)		(in millions)
Pay-fixed, receive-float interest rate swap, and receive-fixed, pay-float interest rate swap	To offset interest-rate swaps executed with members by executing interest rate swaps with derivatives counterparties.	Economic	$	36	$	66

Table 8.7Derivative Hedging Strategies — Stand-Alone

			December 31, 2023		December 31, 2022
		Hedge	Notional Amount		Notional Amount
Hedged Item / Hedging Instrument	Hedging Objective	Designation	(in millions)		(in millions)
Mortgage delivery commitment	Exposed to fair-value risk associated with fixed-rate mortgage purchase commitments.	Economic	$	19	$	10

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Derivative Credit Risk Exposure and Concentration

In addition to market risk, we are subject to credit risk in derivative transactions because of the potential for non-performance by the counterparties, which could result in the FHLBNY having to acquire a replacement derivative from a different counterparty at a cost that may exceed its recorded fair values. We are also subject to operational risks in the execution and servicing of derivative transactions. The degree of counterparty credit risk may depend on, among other factors, the extent to which netting procedures and/or the provision of collateral are used to mitigate the risk. Summarized below are our risk measurement and mitigation processes:

Risk measurement — We estimate exposure to credit loss on derivative instruments by calculating the replacement cost, on a present value basis, to settle at current market prices all outstanding derivative contracts in a gain position, net of collateral pledged by the counterparty. All derivative contracts with non-members are also subject to master netting agreements or other right of offset arrangements.

Exposure — In determining credit risk, we consider accrued interest receivable and payable, and the legal right to offset assets and liabilities by counterparty. We attempt to mitigate exposure by requiring derivative counterparties to pledge cash collateral if the amount of exposure is above the collateral threshold agreements. When we post excess cash collateral, we consider the excess collateral as our derivative exposure.

Our credit exposures (derivatives in a net gain position) were to highly rated counterparties and Derivative Clearing Organizations (DCO) that met our credit quality standards. Our exposures also included open derivative contracts executed on behalf of member institutions, and the exposures were collateralized under standard advance collateral agreements with our members. For such transactions, acting as an intermediary, we offset the transaction by purchasing equivalent notional amounts of derivatives from unrelated derivative counterparties.

Risk mitigation — We attempt to mitigate derivative counterparty credit risk by contracting only with experienced counterparties with investment-quality credit ratings that meet our credit quality standards. Annually, our management and Board of Directors review and approve all non-member derivative counterparties. We monitor counterparties on an ongoing basis for significant business events, including ratings actions taken by a Nationally Recognized Statistical Rating Organization (NRSRO). All approved derivatives counterparties must enter into a master ISDA agreement with us before we execute a trade through that counterparty. In addition, for all bilateral OTC derivatives, we have executed the Credit Support Annex to the ISDA agreement that provides for collateral support at predetermined thresholds. For Cleared-OTC derivatives, margin requirements are mandated under the Dodd-Frank Act. We believe that such arrangements — margin requirements, the selection of experienced, highly-rated counterparties and ongoing monitoring — have sufficiently mitigated our exposures, and we do not anticipate any credit losses on derivative contracts.

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 8.8Derivatives Counterparty Credit Ratings

	December 31, 2023
			Net Derivatives
			Fair Value		Cash Collateral				Non-Cash Collateral		Net Credit
			Before		Pledged To (From)		Balance Sheet Net		Pledged To (From)		Exposure to
Credit Rating	Notional Amount		Collateral		Counterparties (a)		Credit Exposure		Counterparties (b)		Counterparties
Non-member counterparties
Asset positions with credit exposure
Uncleared derivatives
Single A asset (c)	$	154,557	$	7,954	$	(7,910)	$	44	$	—	$	44
Cleared derivatives assets (d)		135,237,220		15,183		—		15,183		768,486		783,669
		135,391,777		23,137		(7,910)		15,227		768,486		783,713
Liability positions with credit exposure
Uncleared derivatives
Single A liability (c)		12,902,000		(57,380)		167,200		109,820		(96,036)		13,784
Cleared derivatives liability (d)		820,145		—		—		—		26,362		26,362
		13,722,145		(57,380)		167,200		109,820		(69,674)		40,146
Total derivative positions with non-member counterparties to which the Bank had credit exposure		149,113,922		(34,243)		159,290		125,047		698,812		823,859
Delivery commitments
Derivative position with delivery commitments		19,277		155		—		155		(155)		—
Total derivative position with members		19,277		155		—		155		(155)		—
Total	$	149,133,199	$	(34,088)	$	159,290	$	125,202	$	698,657	$	823,859
Derivative positions without credit exposure		45,293,590
Total notional	$	194,426,789

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	December 31, 2022
			Net Derivatives
			Fair Value		Cash Collateral				Non-Cash Collateral		Net Credit
			Before		Pledged To (From)		Balance Sheet Net		Pledged To (From)		Exposure to
Credit Rating	Notional Amount		Collateral		Counterparties (a)		Credit Exposure		Counterparties (b)		Counterparties
Non-member counterparties
Asset positions with credit exposure
Uncleared derivatives
Single A asset (c)	$	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 $794.8 million and $576.8 million in marketable securities as collateral at December 31, 2023 and December 31, 2022, respectively. At December 31, 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.

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Finance Agency Regulations — Liquidity

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

In addition, the Bank provides for Contingency Liquidity, which is defined as the sources of cash the Bank may use to meet its operational requirements when its access to the capital markets is impeded. We met our Contingency Liquidity requirements during all periods in this report. Liquidity in excess of requirements is summarized in the table titled Contingency Liquidity.

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 9.1Deposit Liquidity

	Average Deposit		Average Actual
For the Quarters Ended	Reserve Required		Deposit Liquidity		Excess
December 31, 2023	$	3,325	$	97,683	$	94,358
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.

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

Table 9.2Operational Liquidity

	Average Balance Sheet		Average Actual
For the Quarters Ended	Liquidity Requirement		Operational Liquidity		Excess
December 31, 2023	$	17,595	$	44,202	$	26,607
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.

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

Table 9.3Contingency Liquidity

	Average Five Day		Average Actual
For the Quarters Ended	Requirement		Contingency Liquidity		Excess
December 31, 2023	$	1,560	$	43,257	$	41,697
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.

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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 $48.2 million at December 31, 2023 and $27.4 million at December 31, 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.

Operating activities resulted in $0.6 billion in net cash inflows in the twelve months ended December 31, 2023, compared to net cash inflows of $2.3 billion in 2022. Period changes in cash flows provided by or used in operating activities were largely driven by: (a) Net income was $751.1 million in the twelve months ended December 31, 2023 and $417.4 million in 2022; (b) Net cash outflows from Derivatives and hedging activities were $425.9 million in the twelve months ended December 31, 2023, compared to net cash inflows of $1.3 billion in 2022; and (c) Negative adjustments to operating cash flows of $110.5 million to recognize unrealized valuation gains on U.S. Treasury securities at December 31, 2023, compared to positive adjustments of $364.0 million to recognize unrealized valuation losses on U.S. Treasury securities in 2022.

Cash flows provided by/(used in) investing activities — Investing activities resulted in $0.9 billion in net cash inflows in the twelve months ended December 31, 2023 compared to $55.9 billion in net cash outflows in 2022. In the twelve months ended December 31, 2023, we acquired $1.5 billion of Treasury securities compared to $4.8 billion in 2022. Repayments from Treasury securities were $2.6 billion in the twelve months ended December 31, 2023 compared to $2.3 billion in 2022. Net cash outflows from Securities purchased under agreements to resell were $3.6 billion in the twelve months ended December 31, 2023 compared to net cash outflows of $3.0 billion in 2022.

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 $1.5 billion in the twelve months ended December 31, 2023 compared to net cash inflows of $53.6 billion in 2022.

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.

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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.

Purchases of MBS. Finance Agency investment regulations limit the purchase of mortgage-backed securities to 300% of capital. We were in compliance with the regulation at all times.

Table 9.4FHFA MBS Limits

	December 31, 2023				December 31, 2022
	Actual		Limits		Actual		Limits
Mortgage securities investment authority	242	%	300	%	188	%	300	%

The Finance Agency has established a ratio by which the Finance Agency will assess each FHLBank’s core mission achievement. Core mission achievement is determined using a ratio of primary mission assets, which include advances and acquired member assets (mortgage loans acquired from members), to Consolidated obligations. The ratio will be determined at each year-end and will be calculated using annual average par values.

Table 9.5Core Mission Achievement

	December 31, 2023			December 31, 2022
Par Values (dollars in thousands)	Annual Average			Annual Average
Advances	$	111,727,623		$	83,643,225
Mortgage Loans		2,106,517			2,155,287
Total Primary Mission Assets	$	113,834,140		$	85,798,512
Total Consolidated Obligations	$	153,201,022		$	114,722,063
U.S. Treasury obligations qualifying as HQLA under AB 2018-07 (a)	$	5,191,477		$	7,210,995
Core Mission Achievement Ratio		77	%		80	%
Target Ratio		70	%		70	%

(a) The annual average par value of the U.S. Treasury Securities that are held as Trading securities is deducted from the denominator of the Primary Core Mission Asset ratio, as allowed under the FHFA guidelines.

Operational Risk Management

Operational risk is the risk of loss resulting from inadequate or failed internal processes, systems, or human factors, or from external events. Operational risk is inherent in our business activities and, as with other risk types, is managed through an overall framework designed to balance strong management oversight with well-defined independent risk management. This framework includes: policies and procedures for managing operational risks; recognized ownership of the risk by the business; a compliance group that evaluates compliance with board and regulatory policies, including the evaluation and reporting of operational risk incidents, which are regularly reported directly to the Audit Committee of the Bank’s Board of Directors regarding compliance with policies and procedures, including those related to managing operational risks.

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Information Security and Business Continuity. The Bank has an Information Security Department that is responsible for the policy, procedures, reviews, education, and management of the information security program. The Bank also has a department that is responsible for the overall business continuity program, which includes training, testing, coordination, and continual updates. Information security and the protection of confidential customer data, and business continuity are priorities for the FHLBNY, and we have implemented processes that will help secure confidential data and continuity of operations. The information security program is reviewed and enhanced periodically to address emerging threats to data integrity and cyber-attacks. The business continuity program includes annual testing of our capabilities. Results of business continuity testing and information security are routinely presented to senior management of the FHLBNY and its Board of Directors.

The FHLBNY’s Information Technology group maintains and regularly reviews controls to ensure that technology assets are well managed and secure from unauthorized access and in accordance with approved policies and procedures.

Results of Operations

The following section provides a comparative discussion of the FHLBNY’s results of operations for the three years ended December 31, 2023, 2022 and 2021. 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 10.1Principal Components of Net Income

	Years ended December 31,
	2023		2022		2021
Total interest income	$	8,400,387	$	2,758,182	$	965,578
Total interest expense		7,405,050		2,124,455		424,981
Net interest income before provision for credit losses		995,337		633,727		540,597
Provision (Reversal) for credit losses		1,695		(226)		(5,528)
Net interest income after provision for credit losses		993,642		633,953		546,125
Total other income (loss)		77,079		29,049		(47,422)
Total other expenses		236,059		199,109		203,668
Income before assessments		834,662		463,893		295,035
Affordable Housing Program Assessments		83,531		46,517		29,514
Net income	$	751,131	$	417,376	$	265,521

Net Income — 2023 Compared to 2022

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 2023 was $751.1 million, an increase of $333.7 million, or 80.0% compared to 2022. Summarized below are the primary components of our Net income:

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Net interest income —Net interest income was $995.3 million in 2023, an increase of $361.6 million, or 57.1% compared to 2022. Net interest spread was 33 basis points for 2023 compared to 39 basis points for 2022. For more information, see Table 10.2 Net Interest Income and accompanying discussions in this MD&A.

● Provision (Reversal) for credit losses for 2023 was a provision of $1.7 million compared to a recovery of $0.2 million for 2022. 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 $77.1 million in 2023 compared to a gain of $29.0 million in 2022.

● Service fees and other were $21.2 million in 2023 compared to $17.3 million reported in 2022. Service fees and other are primarily fee revenues from financial letters of credit.

● Financial instruments carried at fair values reported net valuation losses of $99.2 million in 2023 compared to net gains of $207.0 million in 2022. For more information, see financial statements, Fair Value Option Disclosures in Note 18. Fair Values of Financial Instruments. Also see Table 10.8 Other Income (Loss) and accompanying discussions in this MD&A.

● Derivative activities reported net gains of $30.9 million in Other income in 2023, compared to net gains of $182.0 million in 2022. For more information, see Table 10.10 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 gains of $110.5 million in 2023 compared to net fair value losses of $364.0 million in 2022.

● Equity Investments, held to finance payments to retirees in a non-qualified pension plan, reported net fair value gains of $12.1 million in 2023 compared to net losses of $15.4 million in 2022.

Other expenses were $236.1 million in 2023 compared to $199.1 million in 2022. 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 $85.1 million in 2023, up from $74.0 million in 2022.

● Compensation and benefits expenses were $102.6 million in 2023 compared to $94.3 million in 2022.

● The expenses allocated for our share of the costs to operate the Office of Finance and the Federal Housing Finance Agency were $20.4 million in 2023 compared to $21.1 million in 2022.

● Other expenses were $28.0 million in 2023 compared to $9.7 million in 2022, driven by $23.2 million in voluntary housing and community development grants and contributions in 2023, including an additional voluntary contribution to the Affordable Housing Program of $12.7 million to support its housing programs for 2024.

Affordable Housing Program Assessments (AHP) allocated from Net income were $83.5 million in 2023 compared to $46.5 million in 2022. Assessments are calculated as a percentage of Net income, and changes in allocations were in tandem with changes in Net income.

Net Income — 2022 Compared to 2021

Net income in 2022 was $417.4 million, an increase of $151.9 million, or 57.2% compared to 2021.

Net interest income in 2022 was $633.7 million, an increase of $93.1 million, or 17.2% compared to 2021. Net interest spread was 39 basis points for 2022 compared to 43 basis points for 2021. For more information, see Table 10.2 Net Interest Income and accompanying discussions in this MD&A.

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Other income (loss) — Other income (loss) reported was a gain of $29.0 million in 2022 compared to a loss of $47.4 million in 2021.

Other expenses were $199.1 million in 2022, compared to $203.7 million in 2021. Operating expenses were $74.0 million in 2022, up from $69.9 million in 2021. Compensation and benefits were $94.3 million in 2022 compared to $96.1 million in 2021. The expenses allocated for our share of the costs to operate the Office of Finance and the Federal Housing Finance Agency were $21.1 million in 2022 compared to $22.0 million in 2021. Other expenses were $9.7 million in 2022 and $15.7 million in 2021. Other expenses included non-service elements of Net periodic pension benefit costs, derivative clearing fees, and voluntary contributions.

AHP assessments allocated from Net income were $46.5 million in 2022 compared to $29.5 million in 2021.

Net Interest Income, Interest Rate Margins and Interest Rate Spreads

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

Changes in Net interest income are typically driven by changes in the volume of earning assets, as measured by average balances of earning assets, and the impact of market interest rates on earnings assets and funding costs. Interest income and expense accruals on interest rate swaps that qualified under the ASC 815 hedge accounting rules may impact year-over-year changes. Shareholders’ capital stock and retained earnings are also factors that impact net interest income as they provide interest free funding. Earnings on capital typically move directly with changes in short-term market interest rates. In a period when members prepay advances, the prepayment fees, which we receive may cause fluctuations in net interest income. For more information about factors that impact Interest income and Interest expense, see Table 10.3 Net Interest Adjustments from Qualifying Hedge Interest Rate Swaps and discussions thereto. Also, see Table 10.4 Spread and Yield Analysis, and Table 10.5 Rate and Volume Analysis.

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

Table 10.2Net Interest Income

							Percentage		Percentage
	Years ended December 31,						Change		Change
	2023		2022		2021		2023		2022
Total interest income (a)	$	8,400,387	$	2,758,182	$	965,578	204.56	%	185.65	%
Total interest expense (a)		7,405,050		2,124,455		424,981	248.56		399.89
Net interest income before provision for credit losses	$	995,337	$	633,727	$	540,597	57.06	%	17.23	%

(a)Total Interest Income and Total Interest Expense — See Tables 10.6 and 10.7 and accompanying discussions

2023 Net interest income, before loan loss provisions, was $995.3 million, an increase of $361.6 million, or 57.1% from 2022. Primary driver was increase in the average balances of interest earning assets, principally advances. Additionally, $2.2 million of prepayment fees were recorded in Net interest income in 2023 compared to $3.4 million in 2022. Interest rates continued to increase during the year, impacting our interest revenues and opportunities for acquiring investments during most of the year.

Members’ demand for advances increased with the market volatility of 2023 as they experienced heightened deposit volatility, strong loan growth, and the need to enhance liquidity positions. Interest earning assets have been positively impacted by the Fed’s acquisition program in the agency-issued mortgage-backed securities market that has driven down pricing and increased the opportunities for acquiring investments during the latter part of the year that would meet our risk/reward targets. Spreads increased on our investments in overnight Federal funds markets and repurchase programs, two principal investment vehicles for our balance sheet liquidity programs.

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In 2023, 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 2022. Net interest margin, a measure of margin efficiency, which is calculated as Net interest income divided by average earning assets, was 61 basis points in 2023, compared to 52 basis points in 2022. Net interest spread, representing the yield from earning assets minus interest paid on costing liabilities was 33 basis points for 2023 compared to 39 basis points for 2022.

Stockholders’ capital (as measured by average outstanding balance in the period), which is typically deployed to fund short-term interest-earning assets, increased to $8.4 billion in 2023, up from $6.9 billion in 2022. Increase in Capital stock was in line with increase in advances in 2023 as borrowing members are required to purchase capital stock in proportion to amounts borrowed.

Swap interest settlement designated in ASC 815 hedging of assets and liabilities recorded a net income of $60.7 million in 2023 compared to a net expense of $146.2 million in 2022. 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.

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 10.3Net Interest Adjustments from Qualifying Hedge Interest Rate Swaps

	Years ended December 31,
	2023		2022		2021
Interest income	$	7,185,271	$	2,605,537	$	1,391,403
Fair value hedging effects		(1,915)		18,073		2,473
Amortization of basis adjustment		(21)		(321)		(1,335)
Interest rate swap accruals		1,217,052		134,893		(426,963)
Reported interest income		8,400,387		2,758,182		965,578
Interest expense		6,257,159		1,868,771		545,486
Fair value hedging effects		(6,196)		(18,747)		(4,489)
Amortization of basis adjustment		(2,245)		(6,667)		(5,349)
Interest rate swap accruals		1,156,332		281,098		(110,667)
Reported interest expense		7,405,050		2,124,455		424,981
Net interest income	$	995,337	$	633,727	$	540,597
Net interest adjustment - interest rate swaps	$	67,225	$	(103,039)	$	(305,320)

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Spread and Yield Analysis — 2023, 2022 and 2021

Table 10.4Spread and Yield Analysis

	Years ended December 31,
	2023						2022						2021
			Interest						Interest						Interest
	Average		Income/				Average		Income/				Average		Income/
(Dollars in thousands)	Balance		Expense		Yield/Rate (a)		Balance		Expense		Yield/Rate (a)		Balance		Expense		Yield/Rate (a)
Earning Assets:
Advances	$	110,230,082	$	5,988,659	5.43	%	$	82,747,277	$	1,915,358	2.31	%	$	80,794,903	$	483,216	0.60	%
Interest bearing deposits and others		3,926,579		202,359	5.15			2,364,070		51,848	2.19			1,377,228		1,202	0.09
Federal funds sold and other overnight funds		22,218,378		1,131,164	5.09			11,719,786		203,090	1.73			11,856,627		9,736	0.08
Investments
Trading securities		5,538,693		134,753	2.43			7,430,460		93,581	1.26			7,521,868		96,911	1.29
Mortgage-backed securities
Fixed		14,010,157		574,067	4.10			12,459,354		346,307	2.78			10,852,929		274,601	2.53
Floating		3,920,919		224,383	5.72			2,559,997		52,741	2.06			3,567,081		20,672	0.58
State and local housing finance agency obligations		1,302,094		75,022	5.76			1,235,338		29,197	2.36			1,086,109		7,805	0.72
Mortgage loans held-for-portfolio		2,136,356		69,908	3.27			2,187,999		65,832	3.01			2,562,159		71,434	2.79
Loans to other FHLBanks		1,397		72	5.15			13,712		228	1.67			822		1	0.12
Total interest-earning assets	$	163,284,655	$	8,400,387	5.14	%	$	122,717,993	$	2,758,182	2.25	%	$	119,619,726	$	965,578	0.81	%
Funded By:
Consolidated obligation bonds
Fixed	$	61,981,421	$	2,861,730	4.62	%	$	51,312,595	$	963,681	1.88		$	59,124,808	$	339,436	0.57	%
Floating		39,198,805		1,997,282	5.10			13,450,285		332,023	2.47			6,276,962		9,729	0.15
Consolidated obligation discount notes		49,698,715		2,414,738	4.86			48,685,391		812,455	1.67			45,425,040		75,283	0.17
Interest-bearing deposits and other borrowings		3,059,900		130,647	4.27			1,033,065		15,018	1.45			1,427,510		424	0.03
Mandatorily redeemable capital stock		7,210		653	9.06			22,738		1,278	5.62			2,406		109	4.53
Total interest-bearing liabilities		153,946,051		7,405,050	4.81	%		114,504,074		2,124,455	1.86	%		112,256,726		424,981	0.38	%
Other non-interest-bearing funds		928,803		—				1,274,126		—				551,887		—
Capital		8,409,801		—				6,939,793		—				6,811,113		—
Total Funding	$	163,284,655	$	7,405,050			$	122,717,993	$	2,124,455			$	119,619,726	$	424,981
Net Interest Income/Spread			$	995,337	0.33	%			$	633,727	0.39	%			$	540,597	0.43	%
Net Interest Margin
(Net interest income/Earning Assets)					0.61	%					0.52	%					0.45	%

(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.

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Rate and Volume Analysis — 2023, 2022 and 2021

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 10.5Rate and Volume Analysis

	For the years ended
	December 31, 2023 vs. December 31, 2022
	Increase (Decrease)
	Volume		Rate		Total
Interest Income
Advances	$	805,641	$	3,267,660	$	4,073,301
Interest bearing deposits and others		49,473		101,038		150,511
Federal funds sold and other overnight funds		293,381		634,693		928,074
Investments
Trading securities		(28,589)		69,761		41,172
Mortgage-backed securities
Fixed		47,354		180,406		227,760
Floating		39,511		132,131		171,642
State and local housing finance agency obligations		1,660		44,165		45,825
Mortgage loans held-for-portfolio		(1,583)		5,659		4,076
Loans to other FHLBanks		(334)		178		(156)
Total interest income		1,206,514		4,435,691		5,642,205
Interest Expense
Consolidated obligation bonds
Fixed		236,829		1,661,220		1,898,049
Floating		1,070,321		594,938		1,665,259
Consolidated obligation discount notes		17,258		1,585,025		1,602,283
Deposits and borrowings		58,185		57,444		115,629
Mandatorily redeemable capital stock		(1,154)		529		(625)
Total interest expense		1,381,439		3,899,156		5,280,595
Changes in Net Interest Income	$	(174,925)	$	536,535	$	361,610

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	For the years ended
	December 31, 2022 vs. December 31, 2021
	Increase (Decrease)
	Volume		Rate		Total
Interest Income
Advances	$	11,957	$	1,420,185	$	1,432,142
Interest bearing deposits and others		1,462		49,184		50,646
Federal funds sold and other overnight funds		(114)		193,468		193,354
Investments
Trading securities		(1,168)		(2,162)		(3,330)
Mortgage-backed securities
Fixed		43,051		28,655		71,706
Floating		(7,320)		39,389		32,069
State and local housing finance agency obligations		1,211		20,181		21,392
Mortgage loans held-for-portfolio		(10,966)		5,364		(5,602)
Loans to other FHLBanks		126		101		227
Total interest income		38,239		1,754,365		1,792,604
Interest Expense
Consolidated obligation bonds
Fixed		(50,450)		674,695		624,245
Floating		22,921		299,373		322,294
Consolidated obligation discount notes		5,788		731,384		737,172
Deposits and borrowings		(149)		14,743		14,594
Mandatorily redeemable capital stock		1,137		32		1,169
Total interest expense		(20,753)		1,720,227		1,699,474
Changes in Net Interest Income	$	58,992	$	34,138	$	93,130

Interest Income

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

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

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

Table 10.6Interest Income — Principal Sources

							Percentage		Percentage
	Years ended December 31,						Change		Change
	2023		2022		2021		2023		2022
Interest Income
Advances	$	5,988,659	$	1,915,358	$	483,216	212.67	%	296.38	%
Interest-bearing deposits		202,359		51,848		1,202	290.29		NM
Securities purchased under agreements to resell		248,042		2,542		487	NM		421.97
Federal funds sold		883,122		200,548		9,249	340.35		NM
Trading securities		134,753		93,581		96,911	44.00		(3.44)
Mortgage-backed securities
Fixed		574,067		346,307		274,601	65.77		26.11
Floating		224,383		52,741		20,672	325.44		155.13
State and local housing finance agency obligations		75,022		29,197		7,805	156.95		274.08
Mortgage loans held-for-portfolio		69,908		65,832		71,434	6.19		(7.84)
Loans to other FHLBanks		72		228		1	(68.42)		NM
Total interest income	$	8,400,387	$	2,758,182	$	965,578	204.56	%	185.65	%

NM — Not meaningful.

Interest Income

Interest income in 2023 was $8.4 billion, an increase of $5.6 billion, or 204.6% compared to 2022. To provide context, interest expense increased by 248.6% compared to 2022.

Interest revenues from higher balance sheet earning assets (primarily the increase in volume of advance business) made a favorable revenue increase of $1.2 billion and yield (rate) related revenue increase of $4.4 billion. In successive 2023 quarters, we have reported increased interest revenues: first quarter revenue was $1.9 billion; second quarter was $2.4 billion; third and fourth quarter revenues were $2.0 billion and $2.1 billion, respectively.

Aggregate yield on earning assets in 2023 was 514 basis points, compared to 225 basis points in 2022, illustrating the impact to our yields due to the dramatic and rapid increase in rates triggered by Federal Reserve’s accommodative fiscal relief measures in 2021.

The more significant revenue categories are discussed below. For information about the effects of changes in rates and business volume, see Table 10.4 Spread and Yield Analysis and Table 10.5 Rate and Volume analysis.

Advance — Interest income from advances increased by 212.7% in 2023, compared to 2022.

Advances average balances were $110.2 billion in 2023, compared to $82.7 billion in 2022. Total advance to members decreased $6.4 billion or 5.6% to $108.9 billion at December 31, 2023. We ended the year of 2023 with par advances at $109.8 billion.

As compared to 2022, higher average advances balances in 2023 resulted in a favorable impact of $805.6 million on interest income from advances, and higher market rates resulted in a favorable impact of $3.3 billion, for a total increase year-over-year of $4.1 billion in advances interest income. In summary, increasing market interest rates positively impacted yields from advances, primarily on overnight and short-term advances and variable-rate advances that reset to higher rates. Advances yielded 543 basis points in 2023, up from 231 basis points in 2022. Prepayment fee recorded in Interest income from advances were $2.2 million in 2023, down from $2.4 million in 2022.

85

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 2023 compared to 2022. Investments in federal funds and repurchase agreements yielded 509 basis points in aggregate in 2023, compared to 173 basis points in 2022. Interest income from fixed-rate U.S. Treasury securities was $134.8 million in 2023, up from $93.6 million in 2022 due to inclining interest rates; yields increased to 243 basis points, compared to 126 basis points in 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.

The earnings impact due to changes in market values of the securities outstanding (unrealized gains and losses) and realized gains and losses on securities sold are recorded in Other income (below the margin) and are noted in Table 10.9 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 325.4% year-over-year in line with higher interest rates. By policy, no floating-rate LIBOR-indexed MBS were acquired, a decision driven by our goal to reduce our inventory of LIBOR-indexed instruments. We will seek to purchase GSE-issued floating-rate SOFR-indexed MBS at appropriate risk-return levels.

Interest income from fixed-rate MBS increased in 2023 relative to 2022 due to an increase in invested balances and higher aggregate yield, which was 410 basis points in 2023, up from 278 basis points in 2022. Transaction volume of fixed-rate MBS, as measured by average outstanding balance was $14.0 billion in 2023, compared to $12.5 billion in 2022.

In 2023, our acquisitions were fixed-rate commercial-mortgage backed securities (CMBS) and floating-rate residential mortgage backed securities (RMBS). 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 $140.0 million in 2023, compared to a net gain of $8.0 million in 2022.

Mortgage loans held-for-portfolio — Interest income from mortgage loans was $69.9 million in 2023, compared to $65.8 million in 2022. Investment volume has declined, with paydowns exceeding acquisitions. MPF loans are primarily 15 and 30-year conventional loans. The portfolio averaged $2.1 billion, yielding 327 basis points in 2023, compared to 301 basis points in 2022. We continue to see prepayments although the pace of which has slowed, causing accelerated amortization of premiums, specifically on 20-year and 30-year high-balance mortgage loans. Net amortization expense was $3.6 million in 2023, compared to net amortization of $5.3 million in 2022. 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.

As noted in the audited financial statements under Note 1. Summary of Significant Accounting Policies, we implemented a new mortgage program, the Mortgage Asset Program (MAP) in late March 2021. At December 31, 2023, mortgage loans under MAP were $442.1 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, 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.

86

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 10.7Interest Expenses — Principal Categories

							Percentage		Percentage
	Years ended December 31,						Change		Change
	2023		2022		2021		2023		2022
Interest Expense
Consolidated obligations bonds
Fixed	$	2,861,730	$	963,681	$	339,436	196.96	%	183.91	%
Floating		1,997,282		332,023		9,729	501.55		NM
Consolidated obligations discount notes		2,414,738		812,455		75,283	197.21		979.20
Deposits		128,252		13,765		380	831.73		NM
Mandatorily redeemable capital stock		653		1,278		109	(48.90)		NM
Cash collateral held and other borrowings		2,395		1,253		44	91.14		NM
Total interest expense	$	7,405,050	$	2,124,455	$	424,981	248.56	%	399.89	%

NM — Not meaningful.

Interest expense in 2023 was $7.4 billion, an increase of 248.6% compared to 2022 (As noted elsewhere in this document, interest income increased by 204.6% compared to 2022).

The increase in interest expense was driven by higher market interest rates in 2023 as compared with 2022, and also by higher average balances of short-term Consolidated obligations outstanding.

Rate-related increase in funding expense was $3.9 billion, in line with the dramatic increase in rates in the bond markets; volume-related increase in funding expense was $1.4 billion in 2023 compared to 2022. Aggregate yield paid on total funding in 2023 was 481 basis points, compared to 186 basis points in 2022.

We continue to make changes to our liability composition as compared to 2022. In 2023, 38.0% of average earning assets were funded by fixed-rate CO bonds and 24.0% were funded by floating-rate CO bonds. In 2022, fixed-rate CO bonds funded 41.8% of earning assets and floating-rate CO bonds funded 11.0% of earning assets. The usage of CO discount notes has decreased to 30.4% in 2023 from 39.7% in 2022.

Hedging strategies under ASC 815 have remained effective and are operating as designed, although in preparation for the market transition away from LIBOR, we have increased the use of SOFR-OIS as the alternative hedging benchmarks. For more information, see Table 10.3 Net Interest Adjustments from Qualifying Hedge Interest Rate Swaps.

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Allowance for Credit Losses — 2023, 2022 and 2021

Allowance for credit losses recorded on mortgage-loans in the Statements of Condition was $3.3 million at December 31, 2023, $1.9 million at December 31, 2022, and $2.1 million at December 31, 2021. Allowance for credit losses recorded on investments was $0.6 million, $0.3 million at December 31, 2022, and $0.3 million at December 31, 2021. No allowance was necessary on advances, other assets, and commitments.

Analysis of Non-Interest Income (Loss) — 2023, 2022 and 2021

The principal components of Non-interest income (loss) are summarized below (in thousands):

Table 10.8Other Income (Loss)

	Years ended December 31,
	2023		2022		2021
Other income (loss):
Service fees and other (a)	$	21,182	$	17,336	$	17,304
Instruments held under the fair value option gains (losses) (b)		(99,223)		206,998		22,471
Derivative gains (losses) (c)		30,852		181,959		4,424
Trading securities gains (losses) (d)		110,501		(363,973)		(101,423)
Equity investments gains (losses) (e)		12,143		(15,374)		9,769
Litigation settlement		1,624		2,202		33
Losses from extinguishment of debt		—		(99)		—
Total other income (loss)	$	77,079	$	29,049	$	(47,422)

(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 $17.3 million in 2023 compared to $15.8 million in 2022 and $17.6 million in 2021. 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-K.

(c) See Table 10.10 Other Income (Loss) — Impact of Derivative Gains and Losses.

(d) See Table 10.9 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.

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

Table 10.9Net Gains (Losses) on Trading Securities Recorded in the Statements of Income

	Years ended December 31,
	2023		2022		2021
Net unrealized gains (losses) on trading securities held at period-end	$	110,974	$	(359,146)	$	(101,423)
Net gains (losses) on trading securities sold/matured during the period		(473)		(4,827)		—
Net gains (losses) on trading securities	$	110,501	$	(363,973)	$	(101,423)

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We have invested in short- and medium-term fixed-rate U.S. Treasury securities. The securities are not held for speculative trading, rather held to satisfy liquidity requirements. Fluctuations in valuations are a factor of market demand and market yields of fixed-rate U.S. Treasury securities. Securities classified as trading are carried at fair values. Changes in unrealized fair values and realized gains (losses) are recorded in the Statements of Income as Other income. FHFA regulations prohibit trading in or the speculative use of financial instruments. Par amounts of securities outstanding were lower in the current year, $6.3 billion at December 31, 2023, compared to $7.7 billion at December 31, 2022.

Other income (loss) — Derivatives and Hedging Activities — 2023, 2022 and 2021

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 10.10Other Income (Loss) — Impact of Derivative Gains and Losses (in thousands)

	Impact on Other Income (Loss)
	Years ended December 31,
	2023		2022		2021
Derivatives not designated as hedging instruments
Interest rate swaps (a)	$	(109,594)	$	356,638	$	85,283
Caps or floors		(804)		294		93
Mortgage delivery commitments		(1,552)		(1,404)		(424)
Swaps economically hedging instruments designated under FVO (b)		94,311		(203,226)		(19,541)
Accrued interest on derivatives in economic hedging relationships (c)		43,475		29,737		(61,013)
Net gains (losses) related to derivatives not designated as hedging instruments	$	25,836	$	182,039	$	4,398
Price alignment interest paid on variation margin		5,016		(80)		26
Net gains (losses) on derivatives and hedging activities	$	30,852	$	181,959	$	4,424

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 losses of $116.3 million in 2023, compared to fair value gains of $366.8 million and $98.7 million in 2022 and 2021. 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, 2022 and 2021

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

Table 10.11Operating Expenses, and Compensation and Benefits

	Years ended December 31,
			Percentage of				Percentage of				Percentage of
	2023		Total		2022		Total		2021		Total
Operating Expenses (a)
Occupancy	$	9,286	10.91	%	$	8,765	11.84	%	$	8,760		12.53	%
Depreciation and leasehold amortization		18,262	21.46			17,559	23.72			13,117		18.76
All others (b)		57,542	67.63			47,700	64.44			48,036		68.71
Total Operating Expenses	$	85,090	100.00	%	$	74,024	100.00	%	$	69,913		100.00	%
Total Compensation and Benefits	$	102,578			$	94,282			$	96,100
Finance Agency and Office of Finance (c)	$	20,352			$	21,068			$	21,979
Other expenses (d)	$	28,039			$	9,735			$	15,676

(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, derivative clearing fees and voluntary contribution.

We made $23.2 million voluntary housing and community development grants and contributions in 2023, including an additional voluntary contribution to the Affordable Housing Program of $12.7 million to support its housing programs for 2024.

Assessments — 2023, 2022 and 2021

For more information about assessments, see Affordable Housing Program and Other Mission Related Programs and Assessments under Part I Item 1 Business in this Form 10-K.

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

Table 11.1Affordable Housing Program Liabilities

	Years ended December 31,
	2023		2022		2021
Beginning balance	$	131,394	$	137,638	$	148,827
Additions from current period’s assessments		83,531		46,517		29,514
Voluntary Contribution		12,663		—		—
Net disbursements for grants and programs		(40,561)		(52,761)		(40,703)
Ending balance	$	187,027	$	131,394	$	137,638

AHP assessments allocated from net income totaled $83.5 million in 2023, $46.5 million in 2022 and $29.5 million in 2021. 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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Item 7A.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
December 31, 2023	0.19	(0.10)	0.01	0.88
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

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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
December 31, 2023	$	7.212 Billion
September 30, 2023	$	7.505 Billion
June 30, 2023	$	7.280 Billion
March 31, 2023	$	7.597 Billion
December 31, 2022	$	7.026 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		the -100bps		the +200bps
	Shock		Shock		Shock
December 31, 2023	(0.07)	%	0.24	%	0.78	%
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)	%

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
December 31, 2023	(0.14)	%	0.00	%	(0.86)	%
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	%

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

92

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

	Interest Rate Sensitivity
	December 31, 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	$	20,941	$	124	$	423	$	323	$	1,208
MBS investments		5,429		663		2,399		3,436		8,373
Swaps hedging MBS		6,040		—		(50)		(610)		(5,380)
Adjustable-rate loans and advances		36,586		—		—		—		—
Net investments, adjustable rate loans and advances		68,996		787		2,772		3,149		4,201
Liquidity trading portfolio		—		247		3,253		2,409		240
Swaps hedging investments		6,326		(250)		(3,355)		(2,471)		(250)
Net liquidity trading portfolio		6,326		(3)		(102)		(62)		(10)
Fixed-rate loans and advances		35,468		6,923		14,208		10,617		5,993
Swaps hedging fixed-rate advances		36,137		(6,112)		(13,689)		(10,351)		(5,985)
Net fixed-rate loans and advances		71,605		811		519		266		8
Total interest-earning assets	$	146,927	$	1,595	$	3,189	$	3,353	$	4,199
Interest-bearing liabilities:
Deposits	$	3,472	$	—	$	—	$	—	$	—
Discount notes		40,281		7,634		—		—		—
Swaps hedging discount notes		5,470		(6,988)		550		801		167
Net discount notes		45,751		646		550		801		167
Consolidated Obligation Bonds
FHLBank bonds		44,716		18,298		23,340		8,744		3,718
Swaps hedging bonds		45,844		(17,417)		(21,094)		(5,441)		(1,892)
Net FHLBank bonds		90,560		881		2,246		3,303		1,826
Total interest-bearing liabilities	$	139,783	$	1,527	$	2,796	$	4,104	$	1,993
Post hedge gaps (a):
Periodic gap	$	7,144	$	68	$	393	$	(751)	$	2,206
Cumulative gaps	$	7,144	$	7,212	$	7,605	$	6,854	$	9,060

93

	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.

94

Item 8.Financial Statements.

	PAGE
Financial Statements
Management’s Report on Internal Control over Financial Reporting	96
Report of Independent Registered Public Accounting Firm (PCAOB ID 238)	97
Statements of Condition as of December 31, 2023 and 2022	99
Statements of Income for the Years Ended December 31, 2023, 2022 and 2021	100
Statements of Comprehensive Income for the Years Ended December 31, 2023, 2022 and 2021	101
Statements of Capital for the Years Ended December 31, 2023, 2022 and 2021	102
Statements of Cash Flows for the Years Ended December 31, 2023, 2022 and 2021	103
Notes to Financial Statements	105

95

Federal Home Loan Bank of New York

Management’s Report on Internal Control over Financial Reporting

The management of the Federal Home Loan Bank of New York (the “Bank”) is responsible for establishing and maintaining adequate internal control over financial reporting. The Bank’s internal control over financial reporting is designed by, or under the supervision of, the Principal Executive Officer and the Principal Financial Officer to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external reporting purposes in accordance with accounting principles generally accepted in the United States of America.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions or that the degree of compliance with the policies or procedures may deteriorate. The Bank’s management assessed the effectiveness of the Bank’s internal control over financial reporting as of December 31, 2023. In making this assessment, it used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control-Integrated Framework (2013). Based on its assessment, management of the Bank determined that as of December 31, 2023, the Bank’s internal control over financial reporting was effective based on those criteria.

PricewaterhouseCoopers LLP, the Bank’s independent registered public accounting firm that audited the accompanying Financial Statements has also issued an audit report on the effectiveness of internal control over financial reporting. Their report appears on the following page.

96

Report of Independent Registered Public Accounting Firm

To the Board of Directors and Shareholders of the Federal Home Loan Bank of New York

Opinions on the Financial Statements and Internal Control over Financial Reporting

We have audited the accompanying statements of condition of the Federal Home Loan Bank of New York (the “Company”) as of December 31, 2023 and 2022, and the related statements of income, of comprehensive income, of capital and of cash flows for each of the three years in the period ended December 31, 2023, including the related notes (collectively referred to as the “financial statements”). We also have audited the Company's internal control over financial reporting as of December 31, 2023, based on criteria established in Internal Control - Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO).

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Company as of December 31, 2023 and 2022, and the results of its operations and its cash flows for each of the three years in the period ended December 31, 2023 in conformity with accounting principles generally accepted in the United States of America. Also in our opinion, the Company maintained, in all material respects, effective internal control over financial reporting as of December 31, 2023, based on criteria established in Internal Control - Integrated Framework (2013) issued by the COSO.

Basis for Opinions

The Company’s management is responsible for these financial statements, for maintaining effective internal control over financial reporting, and for its assessment of the effectiveness of internal control over financial reporting, included in the accompanying Management’s Report on Internal Control over Financial Reporting. Our responsibility is to express opinions on the Company’s financial statements and on the Company's internal control over financial reporting based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud, and whether effective internal control over financial reporting was maintained in all material respects.

Our audits of the financial statements included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our audit of internal control over financial reporting included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, and testing and evaluating the design and operating effectiveness of internal control based on the assessed risk. Our audits also included performing such other procedures as we considered necessary in the circumstances. We believe that our audits provide a reasonable basis for our opinions.

PricewaterhouseCoopers LLP, 300 Madison Avenue, New York, New York 10017

T: (646) 471 3000, www.pwc.com/us

97

Definition and Limitations of Internal Control over Financial Reporting

A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A company’s internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

Critical Audit Matters

The critical audit matter communicated below is a matter arising from the current period audit of the financial statements that was communicated or required to be communicated to the audit committee and that (i) relates to accounts or disclosures that are material to the financial statements and (ii) involved our especially challenging, subjective, or complex judgments. The communication of critical audit matters does not alter in any way our opinion on the financial statements, taken as a whole, and we are not, by communicating the critical audit matter below, providing a separate opinion on the critical audit matter or on the accounts or disclosures to which it relates.

Valuation of Interest-Rate Derivatives and Hedged Items

As described in Notes 17 and 18 to the financial statements, the Company uses derivatives to manage its interest rate exposure. The total notional amount of derivatives as of December 31, 2023 was $194 billion, of which 82% were designated as hedging instruments, and the fair value of derivative assets and liabilities as of December 31, 2023 was $125 million and $12 million, respectively. The fair values of interest-rate derivatives and hedged items are primarily estimated using a discounted cash-flow model. The discounted cash-flow model uses market observable inputs such as interest rate curves, volatility, and, if applicable, prepayment assumptions.

The principal considerations for our determination that performing procedures relating to the valuation of interest-rate derivatives and hedged items is a critical audit matter are the significant audit effort in evaluating the interest rate curves, volatility, and, if applicable, prepayment assumptions used to fair value these derivatives and hedged items, and the audit effort involved the use of professionals with specialized skill and knowledge.

Addressing the matter involved performing procedures and evaluating audit evidence in connection with forming our overall opinion on the financial statements. These procedures included testing the effectiveness of controls relating to the valuation of interest-rate derivatives and hedged items, including controls over the model, data and assumptions. These procedures also included, among others, the involvement of professionals with specialized skill and knowledge to assist in developing an independent range of prices for a sample of interest-rate derivatives and hedged items and comparison of management’s estimate to the independently developed ranges. Developing the independent range of prices involved testing the completeness and accuracy of data provided by management and independently developing the interest rate curves, volatility, and, if applicable, prepayment assumptions.

New York, New York

March 21, 2024

We have served as the Company’s auditor since 1990.

98

Federal Home Loan Bank of New York

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

As of December 31, 2023 and December 31, 2022

	December 31, 2023		December 31, 2022
Assets
Cash and due from banks (Note 3)	$	48,198	$	27,420
Interest-bearing deposits (Note 4)		1,945,000		1,750,000
Securities purchased under agreements to resell (Note 4)		7,820,000		4,245,000
Federal funds sold (Note 4)		9,640,000		9,470,000
Trading securities (Note 5) (Includes $794,848 pledged as collateral at December 31, 2023 and $576,756 at December 31, 2022)		5,886,421		7,113,419
Equity Investments (Note 6)		91,879		81,754
Available-for-sale securities, amortized cost of $9,314,683 at December 31, 2023 and $7,322,538 at December 31, 2022 (Note 7)		9,106,743		7,088,870
Held-to-maturity securities, net of allowance for credit losses of $612 at December 31, 2023 and $307 at December 31, 2022 (Note 8) (Includes $4,763 pledged as collateral at December 31, 2023 and $3,008 at December 31, 2022)		11,869,328		9,354,048
Advances (Note 9) (Includes $0 at December 31, 2023 and December 31, 2022 at fair value under the fair value option)		108,890,128		115,292,876
Mortgage loans held-for-portfolio, net of allowance for credit losses of $3,301 at December 31, 2023 and $1,911 at December 31, 2022 (Note 10)		2,179,766		2,106,969
Accrued interest receivable		581,608		437,823
Premises, software, and equipment		74,043		77,710
Operating lease right-of-use assets (Note 19)		54,862		60,338
Finance lease right-of-use asset (Note 19)		2,317		—
Derivative assets (Note 17)		125,202		163,921
Other assets		17,704		121,341
Total assets	$	158,333,199	$	157,391,489
Liabilities and capital
Liabilities
Deposits (Note 11)
Interest-bearing demand	$	3,472,477	$	1,015,991
Non-interest-bearing demand		9,376		10,946
Total deposits		3,481,853		1,026,937
Consolidated obligations, net (Note 12)
Bonds (Includes $3,780,541 at December 31, 2023 and $4,159,862 at December 31, 2022 at fair value under the fair value option)		97,569,062		85,497,755
Discount notes (Includes $0 at December 31, 2023 and December 31, 2022 at fair value under the fair value option)		47,906,908		61,792,989
Total consolidated obligations		145,475,970		147,290,744
Mandatorily redeemable capital stock (Note 14)		7,219		4,578
Accrued interest payable		716,021		370,456
Affordable Housing Program (Note 13)		187,027		131,394
Derivative liabilities (Note 17)		12,409		15,333
Other liabilities		138,658		131,360
Operating lease liabilities (Note 19)		67,021		73,304
Finance lease liabilities (Note 19)		2,320		—
Total liabilities		150,088,498		149,044,106
Commitments and Contingencies (Notes 14, 17 and 19)
Capital (Note 14)
Capital stock ($100 par value), putable, issued and outstanding shares:
60,496 at December 31, 2023 and 63,877 at December 31, 2022		6,049,570		6,387,701
Retained earnings
Unrestricted		1,276,583		1,185,112
Restricted (Note 14)		1,061,081		910,855
Total retained earnings		2,337,664		2,095,967
Total accumulated other comprehensive income (loss)		(142,533)		(136,285)
Total capital		8,244,701		8,347,383
Total liabilities and capital	$	158,333,199	$	157,391,489

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

99

Federal Home Loan Bank of New York

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

Years Ended December 31, 2023, 2022 and 2021

	Years ended December 31,
	2023		2022		2021
Interest income
Advances, net (Note 9)	$	5,988,659	$	1,915,358	$	483,216
Interest-bearing deposits (Note 4)		202,359		51,848		1,202
Securities purchased under agreements to resell (Note 4)		248,042		2,542		487
Federal funds sold (Note 4)		883,122		200,548		9,249
Trading securities (Note 5)		134,753		93,581		96,911
Available-for-sale securities (Note 7)		438,091		172,350		69,879
Held-to-maturity securities (Note 8)		435,381		255,895		233,199
Mortgage loans held-for-portfolio (Note 10)		69,908		65,832		71,434
Loans to other FHLBanks (Note 20)		72		228		1
Total interest income		8,400,387		2,758,182		965,578
Interest expense
Consolidated obligation bonds (Note 12)		4,859,012		1,295,704		349,165
Consolidated obligation discount notes (Note 12)		2,414,738		812,455		75,283
Deposits (Note 11)		128,252		13,765		380
Mandatorily redeemable capital stock (Note 14)		653		1,278		109
Cash collateral held and other borrowings		2,395		1,253		44
Total interest expense		7,405,050		2,124,455		424,981
Net interest income before provision for credit losses		995,337		633,727		540,597
Provision (Reversal) for credit losses		1,695		(226)		(5,528)
Net interest income after provision for credit losses		993,642		633,953		546,125
Other income (loss)
Service fees and other		21,182		17,336		17,304
Instruments held under the fair value option gains (losses) (Note 18)		(99,223)		206,998		22,471
Derivative gains (losses) (Note 17)		30,852		181,959		4,424
Trading securities gains (losses) (Note 5)		110,501		(363,973)		(101,423)
Equity investments gains (losses) (Note 6)		12,143		(15,374)		9,769
Litigation settlement		1,624		2,202		33
Losses from extinguishment of debt		—		(99)		—
Total other income (loss)		77,079		29,049		(47,422)
Other expenses
Operating		85,090		74,024		69,913
Compensation and benefits		102,578		94,282		96,100
Finance Agency and Office of Finance		20,352		21,068		21,979
Other expenses		28,039		9,735		15,676
Total other expenses		236,059		199,109		203,668
Income before assessments		834,662		463,893		295,035
Affordable Housing Program Assessments (Note 13)		83,531		46,517		29,514
Net income	$	751,131	$	417,376	$	265,521
Basic earnings per share (Note 15)	$	12.15	$	8.40	$	5.42

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

100

Federal Home Loan Bank of New York

Statements of Comprehensive Income — (In Thousands)

Years Ended December 31, 2023, 2022 and 2021

	Years ended December 31,
	2023		2022		2021
Net Income	$	751,131	$	417,376	$	265,521
Other Comprehensive income (loss)
Net change in unrealized gains (losses) on available-for-sale securities		95,488		(933,942)		(155,456)
Net change in non-credit accretion portion of held-to-maturity securities
Accretion of non-credit portion		235		588		4,002
Total net change in non-credit portion of other-than-temporary impairment losses on held-to-maturity securities		235		588		4,002
Net change due to hedging activities
Cash flow hedges (a)		(26,999)		203,699		105,705
Fair value hedges (b)		(69,760)		544,437		74,719
Total net change due to hedging activities		(96,759)		748,136		180,424
Net change in pension and postretirement benefits		(5,212)		34,830		4,880
Total other comprehensive income (loss)		(6,248)		(150,388)		33,850
Total comprehensive income (loss)	$	744,883	$	266,988	$	299,371

(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.

101

Federal Home Loan Bank of New York

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

Years Ended December 31, 2023, 2022 and 2021

										Accumulated
	Capital Stock(a)									Other
	Class B			Retained Earnings						Comprehensive		Total
	Shares	Par Value		Unrestricted		Restricted		Total		Income (Loss)		Capital
Balance, December 31, 2020	53,669	$	5,366,830	$	1,135,341	$	774,275	$	1,909,616	$	(19,747)	$	7,256,699
Proceeds from issuance of capital stock	26,473		2,647,373		—		—		—		—		2,647,373
Repurchase/redemption of capital stock	(35,133)		(3,513,333)		—		—		—		—		(3,513,333)
Shares reclassified to mandatorily redeemable capital stock	(1)		(85)		—		—		—		—		(85)
Cash dividends ($4.69 per share) on capital stock	—		—		(244,172)		—		(244,172)		—		(244,172)
Comprehensive income (loss)	—		—		212,416		53,105		265,521		33,850		299,371
Balance, December 31, 2021	45,008	$	4,500,785	$	1,103,585	$	827,380