10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10Q

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

For the quarterly period ended March 31, 2024

or

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

For the transition period from               to              

Commission file number: 000-51397

FEDERAL HOME LOAN BANK OF NEW YORK

(Exact name of registrant as specified in its charter)

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

(212) 681-6000

(Registrant’s telephone number, including area code)

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

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

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

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

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

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

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

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

The number of shares outstanding of issuer’s Class B capital stock as of April 30, 2024 was 62,449,569.

FEDERAL HOME LOAN BANK OF NEW YORK

FORM 10-Q FOR THE QUARTERLY PERIOD ENDED MARCH 31, 2024

Table of Contents

	Page
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements (Unaudited):
Statements of Condition (Unaudited) as of March 31, 2024 and December 31, 2023	3
Statements of Income (Unaudited) for the Three Months Ended March 31, 2024 and 2023	4
Statements of Comprehensive Income (Unaudited) for the Three Months Ended March 31, 2024 and 2023	5
Statements of Capital (Unaudited) for the Three Months Ended March 31, 2024 and 2023	6
Statements of Cash Flows (Unaudited) for the Three Months Ended March 31, 2024 and 2023	7
Notes to Financial Statements (Unaudited)	9
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations	59
Item 3. Quantitative and Qualitative Disclosures about Market Risk	106
Item 4. Controls and Procedures	110
PART II. OTHER INFORMATION	111
Item 1. Legal Proceedings	111
Item 1A. Risk Factors	111
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds	111
Item 3. Defaults Upon Senior Securities	111
Item 4. Mine Safety Disclosures	111
Item 5. Other Information	111
Item 6. Exhibits	112
Signatures	113

2

Federal Home Loan Bank of New York

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

As of March 31, 2024 and December 31, 2023

	March 31, 2024		December 31, 2023
Assets
Cash and due from banks (Note 3)	$	46,433	$	48,198
Interest-bearing deposits (Note 4)		2,805,000		1,945,000
Securities purchased under agreements to resell (Note 4)		5,670,000		7,820,000
Federal funds sold (Note 4)		13,745,000		9,640,000
Trading securities (Note 5) (Includes $787,254 pledged as collateral at March 31, 2024 and $794,848 at December 31, 2023)		5,850,389		5,886,421
Equity Investments (Note 6)		96,151		91,879
Available-for-sale securities, amortized cost of $9,381,955 at March 31, 2024 and $9,314,683 at December 31, 2023 (Note 7)		9,210,694		9,106,743
Held-to-maturity securities, net of allowance for credit losses of $612 at March 31, 2024 and $612 at December 31, 2023 (Note 8) (Includes $4,098 pledged as collateral at March 31, 2024 and $4,763 at December 31, 2023)		11,948,409		11,869,328
Advances (Note 9) (Includes $0 at March 31, 2024 and December 31, 2023 at fair value under the fair value option)		107,163,563		108,890,128
Mortgage loans held-for-portfolio, net of allowance for credit losses of $2,885 at March 31, 2024 and $3,301 at December 31, 2023 (Note 10)		2,191,240		2,179,766
Accrued interest receivable		647,563		581,608
Premises, software, and equipment		71,895		74,043
Operating lease right-of-use assets (Note 19)		53,461		54,862
Finance lease right-of-use asset (Note 19)		2,199		2,317
Derivative assets (Note 17)		111,366		125,202
Other assets		16,489		17,704
Total assets	$	159,629,852	$	158,333,199
Liabilities and capital
Liabilities
Deposits (Note 11)
Interest-bearing demand	$	2,770,619	$	3,472,477
Non-interest-bearing demand		7,893		9,376
Total deposits		2,778,512		3,481,853
Consolidated obligations, net (Note 12)
Bonds (Includes $2,891,846 at March 31, 2024 and $3,780,541 at December 31, 2023 at fair value under the fair value option)		92,533,788		97,569,062
Discount notes (Includes $0 at March 31, 2024 and December 31, 2023 at fair value under the fair value option)		54,880,897		47,906,908
Total consolidated obligations		147,414,685		145,475,970
Mandatorily redeemable capital stock (Note 14)		6,574		7,219
Accrued interest payable		681,348		716,021
Affordable Housing Program (Note 13)		201,201		187,027
Derivative liabilities (Note 17)		32,743		12,409
Other liabilities		133,798		138,658
Operating lease liabilities (Note 19)		65,407		67,021
Finance lease liabilities (Note 19)		2,337		2,320
Total liabilities		151,316,605		150,088,498
Commitments and Contingencies (Notes 14, 17 and 19)
Capital (Note 14)
Capital stock ($100 par value), putable, issued and outstanding shares: 59,865 at March 31, 2024 and 60,496 at December 31, 2023		5,986,463		6,049,570
Retained earnings
Unrestricted		1,309,925		1,276,583
Restricted (Note 14)		1,105,179		1,061,081
Total retained earnings		2,415,104		2,337,664
Total accumulated other comprehensive income (loss)		(88,320)		(142,533)
Total capital		8,313,247		8,244,701
Total liabilities and capital	$	159,629,852	$	158,333,199

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

3

Federal Home Loan Bank of New York

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

For the Three Months Ended March 31, 2024 and 2023

	Three months ended
	March 31,
	2024		2023
Interest income
Advances, net (Note 9)	$	1,608,245	$	1,404,553
Interest-bearing deposits (Note 4)		48,280		46,035
Securities purchased under agreements to resell (Note 4)		72,288		47,189
Federal funds sold (Note 4)		265,865		164,434
Trading securities (Note 5)		44,328		30,026
Available-for-sale securities (Note 7)		127,302		88,710
Held-to-maturity securities (Note 8)		130,497		84,002
Mortgage loans held-for-portfolio (Note 10)		19,172		16,739
Total interest income		2,315,977		1,881,688
Interest expense
Consolidated obligation bonds (Note 12)		1,249,040		1,057,261
Consolidated obligation discount notes (Note 12)		766,528		580,606
Deposits (Note 11)		35,046		12,538
Mandatorily redeemable capital stock (Note 14)		170		113
Cash collateral held and other borrowings		172		1,434
Total interest expense		2,050,956		1,651,952
Net interest income before provision for credit losses		265,021		229,736
Provision (Reversal) for credit losses		(416)		93
Net interest income after provision for credit losses		265,437		229,643
Other income (loss)
Service fees and other		5,379		5,334
Instruments held under the fair value option gains (losses) (Note 18)		(10,970)		(39,378)
Derivative gains (losses) (Note 17)		87,606		(31,806)
Trading securities gains (losses) (Note 5)		(50,742)		101,948
Equity investments gains (losses) (Note 6)		4,577		4,251
Litigation settlement		—		690
Total other income (loss)		35,850		41,039
Other expenses
Operating		20,492		17,705
Compensation and benefits		27,996		25,763
Finance Agency and Office of Finance		5,369		5,052
Other expenses		2,422		1,545
Total other expenses		56,279		50,065
Income before assessments		245,008		220,617
Affordable Housing Program Assessments (Note 13)		24,517		22,073
Net income	$	220,491	$	198,544
Basic earnings per share (Note 15)	$	3.57	$	3.11

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

4

Federal Home Loan Bank of New York

Statements of Comprehensive Income — Unaudited (In Thousands)

For the Three Months Ended March 31, 2024 and 2023

	Three months ended March 31,
	2024		2023
Net Income	$	220,491	$	198,544
Other Comprehensive income (loss)
Net change in unrealized gains (losses) on available-for-sale securities		(83,793)		91,126
Net change in non-credit accretion portion of held-to-maturity securities
Accretion of non-credit portion		50		79
Total net change in non-credit portion of other-than-temporary impairment losses on held-to-maturity securities		50		79
Net change due to hedging activities
Cash flow hedges (a)		17,351		(26,368)
Fair value hedges (b)		120,472		(109,884)
Total net change due to hedging activities		137,823		(136,252)
Net change in pension and postretirement benefits		133		(348)
Total other comprehensive income (loss)		54,213		(45,395)
Total comprehensive income (loss)	$	274,704	$	153,149

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

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

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

5

Federal Home Loan Bank of New York

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

For the Three Months Ended March 31, 2024 and 2023

										Accumulated
	Capital Stock (a)									Other
	Class B			Retained Earnings						Comprehensive		Total
	Shares	Par Value		Unrestricted		Restricted		Total		Income (Loss)		Capital
Balance, December 31, 2022	63,877	$	6,387,701	$	1,185,112	$	910,855	$	2,095,967	$	(136,285)	$	8,347,383
Proceeds from issuance of capital stock	46,215		4,621,546		—		—		—		—		4,621,546
Repurchase/redemption of capital stock	(41,474)		(4,147,489)		—		—		—		—		(4,147,489)
Shares reclassified to mandatorily redeemable capital stock	(15)		(1,470)		—		—		—		—		(1,470)
Cash dividends ($1.89 per share) on capital stock	—		—		(105,705)		—		(105,705)		—		(105,705)
Comprehensive income (loss)	—		—		158,835		39,709		198,544		(45,395)		153,149
Balance, March 31, 2023	68,603	$	6,860,288	$	1,238,242	$	950,564	$	2,188,806	$	(181,680)	$	8,867,414
Balance, December 31, 2023	60,496	$	6,049,570	$	1,276,583	$	1,061,081	$	2,337,664	$	(142,533)	$	8,244,701
Proceeds from issuance of capital stock	13,038		1,303,801		—		—		—		—		1,303,801
Repurchase/redemption of capital stock	(13,669)		(1,366,908)		—		—		—		—		(1,366,908)
Shares reclassified to mandatorily redeemable capital stock	—		—		—		—		—		—		—
Cash dividends ($2.46 per share) on capital stock	—		—		(143,051)		—		(143,051)		—		(143,051)
Comprehensive income (loss)	—		—		176,393		44,098		220,491		54,213		274,704
Balance, March 31, 2024	59,865	$	5,986,463	$	1,309,925	$	1,105,179	$	2,415,104	$	(88,320)	$	8,313,247

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

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

6

Federal Home Loan Bank of New York

Statements of Cash Flows — Unaudited (In Thousands)

For the Three Months Ended March 31, 2024 and 2023

	Three months ended March 31,
	2024		2023
Operating activities
Net Income	$	220,491	$	198,544
Adjustments to reconcile net income to net cash provided by operating activities:
Depreciation and amortization:
Net premiums and discounts on consolidated obligations, investments, mortgage loans and other adjustments		308,610		(120,731)
Concessions on consolidated obligations		656		845
Premises, software, and equipment		4,428		4,626
Provision (Reversal) for credit losses		(416)		93
Change in net fair value adjustments on derivatives and hedging activities (a)		183,825		(214,187)
Net realized and unrealized (gains) losses on trading securities		50,742		(101,948)
Change in fair value on Equity Investments		(4,243)		(4,225)
Change in fair value adjustments on financial instruments held at fair value		10,970		39,378
Net change in:
Accrued interest receivable		(57,669)		(89,804)
Derivative assets due to accrued interest		(277,682)		(391,367)
Derivative liabilities due to accrued interest		279,391		398,844
Other assets		(7,676)		2,656
Affordable Housing Program liability		14,257		12,403
Accrued interest payable		(34,673)		148,629
Other liabilities		(6,002)		(34,124)
Total adjustments		464,518		(348,912)
Net cash provided by (used in) operating activities	$	685,009	$	(150,368)
Investing activities
Net change in:
Interest-bearing deposits	$	(773,320)	$	(632,980)
Securities purchased under agreements to resell		2,150,000		(8,750,000)
Federal funds sold		(4,105,000)		(8,390,000)
Deposits with other FHLBanks		(14)		54
Premises, software, and equipment		(2,162)		(1,815)
Trading securities:
Purchased		—		(130,902)
Repayments		—		1,375,000
Proceeds from sales		—		399,516
Equity Investments:
Purchased		(761)		(876)
Proceeds from sales		732		809
Available-for-sale securities:
Purchased		(204,562)		(558,692)
Repayments		17,055		29,351
Held-to-maturity securities:
Purchased		(448,615)		(689,302)
Repayments		165,865		294,428
Advances:
Principal collected		252,118,665		583,613,421
Made		(250,636,369)		(594,123,588)
Mortgage loans held-for-portfolio:
Principal collected		42,788		39,752
Purchased		(54,687)		(27,584)
Proceeds from sales of REO		170		226
Net cash provided by (used in) investing activities	$	(1,730,215)	$	(27,553,182)

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

7

Federal Home Loan Bank of New York

Statements of Cash Flows — Unaudited (In Thousands)

For the Three Months Ended March 31, 2024 and 2023

	Three months ended March 31,
	2024		2023
Financing activities
Net change in:
Deposits and other borrowings	$	(697,371)	$	2,759,190
Derivative contracts with financing element		133		(1,998)
Payments on principal portion of finance lease obligation		17		—
Consolidated obligation bonds:
Proceeds from issuance		24,427,406		48,066,163
Payments for maturing and early retirement		(29,393,955)		(21,577,534)
Consolidated obligation discount notes:
Proceeds from issuance		182,561,212		110,458,829
Payments for maturing		(175,647,198)		(112,374,582)
Capital stock:
Proceeds from issuance of capital stock		1,303,801		4,621,546
Payments for repurchase/redemption of capital stock		(1,366,908)		(4,147,489)
Redemption of mandatorily redeemable capital stock		(645)		(408)
Cash dividends paid (b)		(143,051)		(105,705)
Net cash provided by (used in) financing activities	$	1,043,441	$	27,698,012
Net increase (decrease) in cash and due from banks		(1,765)		(5,538)
Cash and due from banks at beginning of the period (c)		48,198		27,420
Cash and due from banks at end of the period (c)	$	46,433	$	21,882
Supplemental disclosures:
Interest paid	$	1,055,438	$	538,173
Interest paid for Discount Notes (d)	$	650,321	$	556,344
Affordable Housing Program payments (e)	$	10,343	$	9,670
Capital stock subject to mandatory redemption reclassified from equity	$	—	$	1,470
Interest paid for financing lease	$	17	$	—

Notes to Supplemental Disclosure:

(a) Net cash provided by (used in) operating activities were also impacted by derivatives and hedging activities. In the three months ended March 31, 2024, derivatives and hedging activities provided $183.8 million in cash flows; in the three ended March 31, 2023, derivatives and hedging activities used $214.2 million in cash flows.

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

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

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

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

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

8

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Background

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

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

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

Note 1.        Summary of Significant Accounting Policies.

Basis of Presentation

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

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

Financial Instruments with Legal Right of Offset

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

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

Fair Value Measurements

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

9

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

For more information about methodologies used by the FHLBNY to validate vendor pricing, and fair value “Levels” associated with assets and liabilities recorded on the FHLBNY’s Statements of Condition, see financial statements, Note 18. Fair Values of Financial Instruments in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2023 filed on March 21, 2024.

Derivatives and Hedging Activities

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

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

For more information about the FHLBNY’s hedging activities, see financial statements, Note 17. Derivatives and Hedging Activities in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2023 filed on March 21, 2024.

Credit Losses under ASU 2016-13

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

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

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

Note 7. Available-for-Sale Securities.

Note 8. Held-to-Maturity Securities.

Note 9. Advances.

Note 10. Mortgage Loans Held-for-Portfolio.

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

10

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

Recently Issued Accounting Standards

Standard	Summary of Guidance	Effective Date	Effects on the Financial Statements
Improvements to Reportable Segment Disclosures ASU 2023-07, Issued November 2023	This guidance improves disclosures about a public entity’s reportable segments and addresses requests from investors and other allocators of capital for additional, more detailed information about a reportable segment’s expenses.	This guidance is effective for fiscal years beginning after December 15, 2023. Early adoption is permitted.	We are in the process of evaluating the guidance and its effect on the financial statement disclosures.

Note 3.        Cash and Due from Banks.

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

Compensating Balances

The FHLBNY has arrangements with Citibank (a member/stockholder of the FHLBNY) to maintain compensating collected cash balances. There are no restrictions on the withdrawal of funds in this arrangement. The compensating balances were $15.0 million at March 31, 2024 and December 31, 2023. There were no restricted cash balances at March 31, 2024 and December 31, 2023.

Pass-through Deposit Reserves

The FHLBNY acts as a pass-through correspondent for member institutions who are required by banking regulations to deposit reserves with the Federal Reserve Banks. There were no pass-through reserves deposited with Federal Reserve Banks on behalf of the members by the FHLBNY at March 31, 2024 and December 31, 2023, respectively.

11

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

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

Interest-bearing deposits — Investments are typically short-term deposits placed with highly-rated large financial institutions and are recorded at amortized cost. Deposits placed were $2.8 billion at March 31, 2024 and $1.9 billion at December 31, 2023 and were uncollateralized. Deposits are evaluated quarterly for expected credit losses based on the probability of default of the borrowing counterparty and the terms to maturity of the outstanding investments at the measurement dates. Based on the analysis performed, no allowance for credit losses was recorded at March 31, 2024 and December 31, 2023. Accrued interest receivables were $1.3 million at March 31, 2024 and $0.9 million at December 31, 2023, and no allowance for credit losses was recorded as interest due was collected.

Federal funds sold — Federal funds sold are unsecured advances to highly-rated large financial institutions. Federal funds sold are unsecured loans that are generally transacted on an overnight term and recorded at amortized cost. FHFA regulations include a limit on the amount of unsecured credit an individual Bank may extend to a counterparty. Federal funds sold were $13.7 billion at March 31, 2024 and $9.6 billion at December 31, 2023 and were repaid according to their contractual terms. Investments are evaluated quarterly for expected credit losses based on the probability of default of the borrowing counterparty and the terms to maturity of the outstanding investments at the measurement dates. Generally, Federal funds are short-term and typically overnight. Counterparties are highly-rated. Based on analysis performed, no allowance for credit losses was recorded for Federal funds sold at March 31, 2024 and December 31, 2023. Accrued interest receivables were $6.1 million at March 31, 2024 and $4.3 million at December 31, 2023, and no allowance for credit losses was recorded as interest due was collected.

Securities purchased under agreements to resell — The outstanding balances of Securities purchased under agreements to resell were recorded on an amortized cost basis of $5.7 billion at March 31, 2024 and $7.8 billion at December 31, 2023. The investments typically matured overnight and were executed through a tri-party arrangement that involved transfer of overnight funds to a segregated safekeeping account at the Bank of New York (BONY). BONY, acting as an independent agent on behalf of the FHLBNY and the counterparty to the transactions, assumes the responsibility of receiving eligible securities as collateral and releasing funds to the counterparty. The amount of cash loaned against the collateral is a function of the liquidity and quality of the collateral. The collateral is typically in the form of securities that meet the FHLBNY’s credit quality standards, are highly-rated and readily marketable. The FHLBNY has the ability to call for additional collateral if the value of the securities falls below a pre-defined haircut. The FHLBNY can terminate the transaction and liquidate the collateral if the counterparty fails to post the additional margin. Agreements generally allow the FHLBNY to repledge securities under certain conditions. No adjustments for instrument-specific credit risk were deemed necessary as market values of collateral were in excess of principal amounts loaned. Accrued interest receivables were $2.5 million at March 31, 2024 and $3.5 million at December 31, 2023, and no allowance for credit losses was recorded as interest due was collected.

U.S. Treasury securities at market values of $5.8 billion at March 31, 2024 and $8.0 billion at December 31, 2023 were received at BONY to collateralize the overnight investments. Interest income from securities purchased under agreements to resell was $72.3 million for the three months ended March 31, 2024 and $47.2 million for the same period in the prior year. Transactions recorded as Securities purchased under agreements to resell were accounted as collateralized financing transactions.

12

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 5.        Trading Securities.

The carrying value of a trading security equals its fair value. The following table provides major security types at March 31, 2024 and December 31, 2023 (in thousands):

Fair value	March 31, 2024		December 31, 2023
U.S. Treasury notes	$	5,850,389	$	5,886,421
Total trading securities	$	5,850,389	$	5,886,421

The carrying values of trading securities included net unrealized fair value losses of $312.7 million at March 31, 2024 and losses of $262.0 million at December 31, 2023. We have classified investments acquired for purposes of meeting short-term contingency and other liquidity needs as trading securities. In accordance with Finance Agency guidance, we do not participate in speculative trading practices.

Trading Securities Pledged

The FHLBNY had pledged marketable securities at fair values of $787.3 million at March 31, 2024 and $794.8 million at December 31, 2023 to derivative clearing organizations to fulfill the FHLBNY’s initial margin requirements as mandated under margin rules of the Commodity Futures Trading Commission (CFTC). The clearing organizations have rights to sell or repledge the collateral securities under certain conditions.

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

Redemption Terms

	March 31, 2024
	Due in one year or			Due after one year			Due after five years
	less			through five years			through ten years			Total Fair Value
U.S. Treasury notes	$	247,915		$	5,602,474		$	—		$	5,850,389
Total trading securities	$	247,915		$	5,602,474		$	—		$	5,850,389
Yield on trading securities		3.28	%		1.87	%		0.00	%

	December 31, 2023
	Due in one year or			Due after one year			Due after five years
	less			through five years			through ten years			Total Fair Value
U.S. Treasury notes	$	247,070		$	5,403,814		$	235,537		$	5,886,421
Total trading securities	$	247,070		$	5,403,814		$	235,537		$	5,886,421
Yield on trading securities		3.29	%		1.84	%		2.74	%

13

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 6.        Equity Investments.

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

	March 31, 2024
			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
	Cost		Gains (b)		Losses (b)		Value (c)
Cash equivalents	$	5,441	$	—	$	—	$	5,441
Equity funds		40,340		25,727		(6,060)		60,007
Fixed income funds		35,208		214		(4,719)		30,703
Total Equity Investments (a)	$	80,989	$	25,941	$	(10,779)	$	96,151

	December 31, 2023
			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
	Cost		Gains (b)		Losses (b)		Value (c)
Cash equivalents	$	4,510	$	—	$	—	$	4,510
Equity funds		40,871		21,250		(6,148)		55,973
Fixed income funds		35,580		225		(4,409)		31,396
Total Equity Investments (a)	$	80,961	$	21,475	$	(10,557)	$	91,879

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

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

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

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

	Three months ended March 31,
	2024		2023
Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date	$	4,243	$	4,225
Net gains (losses) recognized during the period on equity investments sold during the period		(106)		(374)
Net dividend and other		440		400
Net gains (losses) recognized during the period	$	4,577	$	4,251

14

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 7.        Available-for-Sale Securities.

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

	March 31, 2024
			Gross			Gross
	Amortized		Unrealized			Unrealized			Fair
	Cost		Gains			Losses			Value
GSE and U.S. Obligations
State and local housing finance agency obligations	$	1,229,440	$	27		$	(2,377)		$	1,227,090
Mortgage-backed securities
Floating
CMO		383,538		590			(2,686)			381,442
Pass Thru		3,215		70			—			3,285
Total Floating		386,753		660			(2,686)			384,727
Fixed
CMBS		8,391,578		7,963			(800,664)			7,598,877
Total Fixed		8,391,578		7,963			(800,664)			7,598,877
MBS AFS Before Hedging Adjustments		8,778,331		8,623	(a)		(803,350)	(a)		7,983,604
Hedging Basis Adjustments in AOCI (b)		(625,816)		625,816			—			—
Total Available-for-sale securities (MBS)		8,152,515		634,439			(803,350)			7,983,604
Total Available-for-sale securities	$	9,381,955	$	634,466		$	(805,727)		$	9,210,694

	December 31, 2023
			Gross			Gross
	Amortized		Unrealized			Unrealized			Fair
	Cost		Gains			Losses			Value
GSE and U.S. Obligations
State and local housing finance agency obligations	$	1,229,440	$	40		$	(1,242)		$	1,228,238
Mortgage-backed securities
Floating
CMO		396,803		554			(4,739)			392,618
Pass Thru		3,355		80			—			3,435
Total Floating		400,158		634			(4,739)			396,053
Fixed
CMBS		8,190,429		15,071			(723,048)			7,482,452
Total Fixed		8,190,429		15,071			(723,048)			7,482,452
MBS AFS Before Hedging Adjustments		8,590,587		15,705	(a)		(727,787)	(a)		7,878,505
Hedging Basis Adjustments in AOCI (b)		(505,344)		505,344			—			—
Total Available-for-sale securities (MBS)		8,085,243		521,049			(727,787)			7,878,505
Total Available-for-sale securities	$	9,314,683	$	521,089		$	(729,029)		$	9,106,743

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

(b) Amounts represent fair value hedging basis due to changes in the benchmark rate and were recorded as an adjustment to the carrying values of hedged securities; the adjustments impacted the unrealized market value gains and losses. Securities in a fair value hedging relationship at March 31, 2024 recorded $625.8 million of hedge basis losses; at December 31, 2023, hedge basis losses of $505.3 million were recorded. In the table above, the benchmark hedging basis adjustments were reported separately from the market-based prices of ASC 815 qualifying hedges to provide greater clarity to market-based pricing of the securities.

15

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Credit Loss Analysis of AFS Securities

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

Based on credit and performance analysis, GSE-issued securities are performing in accordance with their contractual agreements. The FHLBNY believes that it will recover its investments in GSE-issued securities given the current levels of collateral, credit enhancements and guarantees that exist to protect the investments. At March 31, 2024 and December 31, 2023, unrealized fair value losses have been aggregated in the table below by the length of time a security was in a continuous unrealized loss position based on market-based pricing and excluding the effects of hedge basis adjustments.

The Bank evaluates its individual AFS securities for impairment by comparing the security’s fair value to its amortized cost. Impairment may exist when the fair value of the investment is less than its amortized cost (i.e. in an unrealized loss position). We have not experienced any payment defaults on the instruments. As noted previously, substantially all of these securities are GSE-issued and carry an implicit or explicit U.S. government guarantee. Based on the analysis, no allowance for credit losses was recorded on these AFS securities at March 31, 2024 and December 31, 2023.

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

	March 31, 2024
	Less than 12 months				12 months or more				Total
	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
MBS Investment Securities and State and local housing finance agency obligations
MBS-Other U.S. Obligations	$	924	$	(2)	$	3,036	$	(30)	$	3,960	$	(32)
MBS-GSE		1,315,486		(33,544)		6,162,892		(769,774)		7,478,378		(803,318)
Total MBS Temporarily Impaired		1,316,410		(33,546)		6,165,928		(769,804)		7,482,338		(803,350)
State and local housing finance agency obligations		809,377		(1,963)		267,686		(414)		1,077,063		(2,377)
Total Temporarily Impaired	$	2,125,787	$	(35,509)	$	6,433,614	$	(770,218)	$	8,559,401	$	(805,727)

	December 31, 2023
	Less than 12 months				12 months or more				Total
	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
MBS Investment Securities and State and local housing finance agency obligations
MBS-Other U.S. Obligations	$	952	$	(4)	$	3,068	$	(68)	$	4,020	$	(72)
MBS-GSE		1,252,462		(22,048)		5,964,960		(705,667)		7,217,422		(727,715)
Total MBS Temporarily Impaired		1,253,414		(22,052)		5,968,028		(705,735)		7,221,442		(727,787)
State and local housing finance agency obligations		810,181		(1,159)		268,017		(83)		1,078,198		(1,242)
Total Temporarily Impaired	$	2,063,595	$	(23,211)	$	6,236,045	$	(705,818)	$	8,299,640	$	(729,029)

16

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Redemption Terms

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

	March 31, 2024				December 31, 2023
	Amortized		Estimated		Amortized		Estimated
	Cost (b)		Fair Value		Cost (b)		Fair Value
State and local housing finance agency obligations
Due after one year through five years	$	10,100	$	10,087	$	10,100	$	10,079
Due after ten years		1,219,340		1,217,003		1,219,340		1,218,159
State and local housing finance agency obligations	$	1,229,440	$	1,227,090	$	1,229,440	$	1,228,238
Mortgage-backed securities
Due in one year or less	$	78,597	$	77,000	$	—	$	—
Due after one year through five years		1,971,573		1,910,595		1,633,285		1,581,031
Due after five year through ten years		5,188,187		5,119,003		5,514,159		5,400,204
Due after ten years		914,158		877,006		937,799		897,270
Mortgage-backed securities	$	8,152,515	$	7,983,604	$	8,085,243	$	7,878,505
Total Available-for-Sale securities	$	9,381,955	$	9,210,694	$	9,314,683	$	9,106,743

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

(b) Amortized cost is UPB after adjusting for net unamortized discounts of $27.0 million at March 31, 2024 and net unamortized discounts of $31.8 million at December 31, 2023. Additionally, historical amortized cost in the table above is after adjustment for hedging basis.

Interest Rate Payment Terms

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

	March 31, 2024				December 31, 2023
	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Mortgage-backed securities
Floating
CMO	$	383,538	$	381,442	$	396,803	$	392,618
Pass Thru		3,215		3,285		3,355		3,435
Total Floating		386,753		384,727		400,158		396,053
Fixed
CMBS		7,765,762		7,598,877		7,685,085		7,482,452
Total Fixed		7,765,762		7,598,877		7,685,085		7,482,452
Total Mortgage-backed securities		8,152,515		7,983,604		8,085,243		7,878,505
State and local housing finance agency obligations
Floating		1,229,440		1,227,090		1,229,440		1,228,238
Total Available-for-Sale securities	$	9,381,955	$	9,210,694	$	9,314,683	$	9,106,743

17

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 8.        Held-to-Maturity Securities.

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

	March 31, 2024
			Allowance		OTTI				Gross		Gross
	Amortized		for Credit		Recognized		Carrying		Unrecognized		Unrecognized		Fair
Issued, guaranteed or insured:	Cost (d)		Loss (ACL)		in AOCI		Value		Holding Gains (a)		Holding Losses (a)		Value
Pools of Mortgages	$	25,250	$	—	$	—	$	25,250	$	174	$	(30)	$	25,394
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits		2,364,471		—		—		2,364,471		5,958		(13,278)		2,357,151
Commercial Mortgage-Backed Securities (b)		9,358,080		—		—		9,358,080		1,763		(364,799)		8,995,044
Non-GSE MBS (c)		36,263		(529)		(713)		35,021		3,460		(1,214)		37,267
Total MBS		11,784,064		(529)		(713)		11,782,822		11,355		(379,321)		11,414,856
Other
State and local housing finance agency obligations		165,670		(83)		—		165,587		—		(12,084)		153,503
Total Held-to-Maturity securities	$	11,949,734	$	(612)	$	(713)	$	11,948,409	$	11,355	$	(391,405)	$	11,568,359

	December 31, 2023
			Allowance		OTTI				Gross		Gross
	Amortized		for Credit		Recognized		Carrying		Unrecognized		Unrecognized		Fair
Issued, guaranteed or insured:	Cost (d)		Loss (ACL)		in AOCI		Value		Holding Gains (a)		Holding Losses (a)		Value
Pools of Mortgages	$	26,237	$	—	$	—	$	26,237	$	457	$	—	$	26,694
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits		2,182,189		—		—		2,182,189		7,971		(16,117)		2,174,043
Commercial Mortgage-Backed Securities (b)		9,457,545		—		—		9,457,545		4,112		(324,425)		9,137,232
Non-GSE MBS (c)		38,587		(529)		(763)		37,295		3,793		(889)		40,199
Total MBS		11,704,558		(529)		(763)		11,703,266		16,333		(341,431)		11,378,168
Other
State and local housing finance agency obligations		166,145		(83)		—		166,062		—		(12,329)		153,733
Total Held-to-Maturity securities	$	11,870,703	$	(612)	$	(763)	$	11,869,328	$	16,333	$	(353,760)	$	11,531,901

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

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

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

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

Securities Pledged

The FHLBNY had pledged MBS, with an amortized cost basis of $4.1 million at March 31, 2024 and $4.8 million at December 31, 2023, to the FDIC in connection with deposits maintained by the FDIC at the FHLBNY. The FDIC does not have rights to sell or repledge the collateral unless the FHLBNY defaults under the terms of its deposit arrangements with the FDIC.

Credit Loss Allowances on Held-to-Maturity Securities

GSE-issued securities — The FHLBNY evaluates its individual securities issued by Fannie Mae, Freddie Mac and U.S. government agency, (collectively GSE-issued securities), by considering the creditworthiness and performance of the debt securities and the strength of the GSEs’ guarantees of the securities. Based on the analysis, GSE-issued securities are performing in accordance with their contractual agreements, and we will recover our investments in GSE-issued securities given the current levels of collateral, credit enhancements and guarantees that exist to protect the investments. The number of investment positions that were in an unrealized loss position was 204 and 198 at March 31, 2024 and December 31, 2023, respectively.

18

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Housing finance agency bonds — The FHLBNY’s investments in Held-to-Maturity (HTM) Housing finance agency (HFA) bonds reported gross unrecognized losses of $12.1 million at March 31, 2024 and $12.3 million at December 31, 2023. Investments are evaluated quarterly for expected credit losses based on the probability of default of the borrowing counterparty and the terms to maturity of the outstanding investments at the measurement dates. A credit loss would also be recognized if there is a collateral shortfall if the FHLBNY believes the counterparty will not replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost. Our analysis identified no collateral shortfall. There were three investment positions that were in an unrealized loss position in the HTM portfolio at March 31, 2024 and December 31, 2023. Probability default analysis recorded allowance for credit losses of $0.1 million at March 31, 2024 and December 31, 2023. No allowance for credit losses was recorded for accrued interest receivable as interest due is expected to be collected.

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

Private-label mortgage-backed securities — Management evaluates its investments in private-label MBS (PLMBS) for credit losses on a quarterly basis by performing cash flow tests on its entire portfolio of PLMBS. Allowance for credit losses were $0.5 million were recorded at both March 31, 2024 and December 31, 2023. Certain securities are insured by monoline insurers, and our credit specialists have analyzed associated guarantees with appropriate haircuts. The Bank’s conclusions are also based upon multiple factors, but not limited to the expected performance of the underlying collateral, and the evaluation of the fundamentals of the issuers’ financial condition. Management has not made a decision to sell such securities at March 31, 2024 and has concluded that it will not be required to sell such securities before recovery of the amortized cost basis of the securities. The number of investment positions that were in an unrealized loss position were 12 at both March 31, 2024 and December 31, 2023.

Redemption Terms

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

	March 31, 2024				December 31, 2023
	Amortized		Estimated		Amortized		Estimated
	Cost (a)		Fair Value		Cost (a)		Fair Value
State and local housing finance agency obligations
Due after five years through ten years	$	100	$	100	$	100	$	100
Due after ten years		165,570		153,403		166,045		153,633
State and local housing finance agency obligations	$	165,670	$	153,503	$	166,145	$	153,733
Mortgage-backed securities
Due in one year or less	$	631,985	$	622,517	$	536,177	$	527,198
Due after one year through five years		5,367,873		5,170,193		5,157,803		5,008,487
Due after five years through ten years		3,242,789		3,102,550		3,630,080		3,482,815
Due after ten years		2,541,417		2,519,596		2,380,498		2,359,668
Mortgage-backed securities	$	11,784,064	$	11,414,856	$	11,704,558	$	11,378,168
Total Held-to-Maturity Securities	$	11,949,734	$	11,568,359	$	11,870,703	$	11,531,901

(a) Amortized cost is UPB after adjusting for net unamortized discounts of $27.5 million at March 31, 2024 and $28.1 million at December 31, 2023 and before adjustments for allowance for credit losses.

19

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 9.        Advances.

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

Redemption Terms

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

	March 31, 2024							December 31, 2023
			Weighted (a)						Weighted (a)
			Average		Percentage				Average		Percentage
	Amount		Yield		of Total		Amount		Yield		of Total
Overdrawn demand deposit accounts	$	—	—	%	—	%	$	87	6.36	%	—	%
Due in one year or less		64,326,291	2.73		59.39			65,288,841	3.12		59.47
Due after one year through two years		15,495,571	1.95		14.31			15,253,626	2.06		13.89
Due after two years through three years		10,139,552	1.92		9.36			7,776,604	2.11		7.08
Due after three years through four years		7,406,998	2.90		6.84			8,730,143	2.78		7.95
Due after four years through five years		4,517,306	2.89		4.17			5,752,934	2.76		5.24
Thereafter		6,427,137	2.70		5.93			6,992,916	2.72		6.37
Total par value		108,312,855	2.56	%	100.00	%		109,795,151	2.83	%	100.00	%
Advance discounts		(8,607)						(7,878)
Hedge valuation basis adjustments (b)		(1,140,685)						(897,145)
Total	$	107,163,563					$	108,890,128

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

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

Monitoring and Evaluating Credit Losses on Advances

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

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

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

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

● cash or deposits in the Bank;

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

● qualifying securities.

20

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

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

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

Allowance for Credit Risk. The FHLBNY has policies and procedures in place to manage credit risk. The FHLBNY has a continuous process of evaluating collateral supporting advances and to make changes to its collateral guidelines, as necessary, based on current market conditions. None of the FHLBNY’s advances were past due, on non-accrual status, or considered impaired as of March 31, 2024. In addition, there were no troubled debt restructurings related to advances at the FHLBNY at any time in this report.

As of March 31, 2024, the FHLBNY had collateral on a borrower-by-borrower basis with a value equal to, or greater than, its outstanding advances. Based on the collateral held as security, the FHLBNY’s management’s credit extension and collateral policies, and repayment history on advances, the FHLBNY did not expect any losses on its advances at any point in 2024 and through the filing date on this report; therefore, no allowance for credit losses on advances was recorded. For the same reasons, the FHLBNY did not record any allowance for credit losses on interest receivable on advances as of March 31, 2024.

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

Advances borrowed by insurance companies accounted for 35.7% and 34.3% of total advances at March 31, 2024 and December 31, 2023, respectively. Lending to insurance companies poses a number of unique risks not present in lending to federally insured depository institutions. For example, there is no single federal regulator for insurance companies. They are supervised by state regulators and subject to state insurance codes and regulations. There is uncertainty about whether a state insurance commissioner would try to void the FHLBNY’s claims on collateral in the event of an insurance company failure. As with all members, insurance companies are also required to purchase the FHLBNY’s capital stock as a prerequisite to membership and borrowing activity. The FHLBNY’s management takes a number of steps to mitigate the unique risk of lending to insurance companies. At the time of membership, the FHLBNY requires an insurance company to be highly-rated and to meet the FHLBNY’s credit quality standards. The FHLBNY performs quarterly credit analysis of the insurance borrower. Insurance companies are required to successfully complete an onsite review prior to pledging collateral. Additionally, in order to ensure its position as a first priority secured creditor, FHLBNY typically requires insurance companies to place physical possession of all pledged eligible collateral with FHLBNY or deposit it with a third-party custodian or control agent. Such collateral must meet the FHLBNY’s credit quality standards, with appropriate minimum margins applied.

21

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Security Terms. The FHLBNY lends to financial institutions involved in housing finance within its district. Borrowing members are required to purchase capital stock of the FHLBNY and pledge collateral for advances. During all periods in this report and as of March 31, 2024, the FHLBNY had rights to collateral with an estimated value greater than outstanding advances. Based upon the financial condition of the member, the FHLBNY:

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

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

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

Note 10.        Mortgage Loans Held-for-Portfolio.

The mortgage loans held-for-portfolio consists of MAP and MPF loans. The FHLBNY participates in these programs by purchasing and originating conventional mortgage loans from its participating members, hereafter referred to as Participating Financial Institutions (PFI). The FHLBNY manages the liquidity, interest rate and prepayment option risk of the MPF loans, while the PFIs usually retain servicing activities, and provide credit-enhancement for conventional loans sold into the program. No intermediary trust is involved.

In March 2021, the FHLBNY ceased to acquire loans under the MPF program. Future mortgage loan purchases will be made only through our new mortgage asset loan program — MAP. Legacy loans under the MPF programs will continue to be supported and serviced under the MPF loan agreements. Mortgage loans under the MPF program were at a carrying value of $1.7 billion at both March 31, 2024 and December 31, 2023. Mortgage loans under the MAP program were at a carrying value of $0.5 billion at both March 31, 2024 and December 31, 2023.

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

22

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

	March 31, 2024				December 31, 2023
	Carrying Amount		Percentage of Total		Carrying Amount		Percentage of Total
Real Estate (a):
Fixed medium-term single-family mortgages	$	103,938	4.81	%	$	106,860	4.97	%
Fixed long-term single-family mortgages		2,057,019	95.19			2,043,520	95.03
Total unpaid principal balance	$	2,160,957	100.00	%	$	2,150,380	100.00	%
Unamortized premiums		35,465				35,034
Unamortized discounts		(724)				(742)
Basis adjustment (b)		(1,573)				(1,605)
Total mortgage loans amortized cost	$	2,194,125			$	2,183,067
Allowance for credit losses		(2,885)				(3,301)
Total mortgage loans held-for-portfolio at carrying value	$	2,191,240			$	2,179,766

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

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

The FHLBNY and its members share the credit risk of MPF loans by structuring potential credit losses into layers. The first layer is typically 100 bps, but this varies with the particular MPF product. The amount of the first layer, or First Loss Account (FLA), was estimated at $41.6 million at March 31, 2024 and $43.1 million at December 31, 2023. The FLA is not recorded or reported as a reserve for loan losses, as it serves as a memorandum or information account. The FHLBNY is responsible for absorbing the first layer. The second layer is that amount of credit obligations that the PFI has agreed to assume at the “Master Commitment” level. The FHLBNY pays a credit enhancement fee to the PFI for taking on this obligation. The FHLBNY assumes all residual risk. Credit enhancement fees accrued were $0.4 million for the three months ended March 31, 2024 and March 31, 2023. These fees were reported as a reduction to mortgage loan interest income.

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

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

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

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

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

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

23

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

The MAP program operates on the simplified credit risk sharing structure. MAP credit risk sharing structure rewards PFIs for originating high-quality, well-performing loans. At the time of purchase, FHLBNY will set aside a standard credit enhancement of 1.5% for every loan funded, to be retained in a Member Performance Account (MPA) for each PFI. The MPA credit enhancement may be slightly greater than 1.5% for certain loans based on credit characteristics. Loans are pooled into single or aggregate (multi-member) Master Commitments. Loan losses over the life of the pool are absorbed in order by borrower’s equity, mortgage insurance (if applicable), MPA, and finally by FHLBNY. If pooled losses are low, MPA funds are returned to the seller over time, based on a contractual release schedule. This liability account was $7.9 million at March 31, 2024 and $7.2 million at December 31, 2023.

Allowance Methodology for Mortgage Loan Losses

Our allowance for credit losses of $2.9 million at March 31, 2024 took into consideration several factors. First, the Bank’s mortgage loan portfolio has a history of incurred losses that have not been significant. Second, loss sharing and insurance would largely offset actual losses.

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

The Bank’s credit risk model (“model”) estimates the probabilities of prepayment and default concurrently. Prepayment represents the probability that an individual loan will voluntarily prepay while a default represents the probability that an individual loan will involuntarily pay off. The Bank’s third-party credit loss model applies a hazard rate approach to model loan prepayment and default at each month. In the Hazard Rate approach, a loan may stay as active (survived) or is terminated (due to default or prepayment) at the end of each period (month). The two statuses will compete over each period to calculate the probability of default of each individual mortgage loan. The model is composed of a series of loan-level econometric models that are related through common dependence on macroeconomic as well as loan-specific factors (i.e., collateral types, borrower characteristics). The macro factors used in the loan-level models are inputs at the national-level, state-level and MSA-level using econometric models developed for these factors. The model loan characteristics along with economic assumptions including applicable housing prices and interest rates as inputs to generate projected cash flows over the life of the mortgage. It then estimates the loss given default (LGD) for each loan and aggregates projected cash flows for each loan in the portfolio. A loan in foreclosure or real estate owned (REO) sale is considered to be in default.

Accrued interest receivable was $11.9 million at March 31, 2024 and $11.5 million at December 31, 2023. Delinquency and non-accruals are factors that are applied in estimating expected credit losses. Refer to discussions on non-accrual and delinquent loans.

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

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

There were no MAP loans in serious delinquent status (90 days or more) at March 31, 2024 and December 31, 2023.

24

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Roll forward Analysis of Allowance for Credit Losses

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

	Three months ended March 31,
	2024		2023
Allowance for credit losses:
Beginning balance	$	3,301	$	1,911
Adjustment for cumulative effect of accounting change		—		—
Charge-offs		—		—
Recoveries		—		—
Provision (Reversal) for credit losses on mortgage loans		(416)		(135)
Balance at end of period	$	2,885	$	1,776

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

	March 31, 2024			December 31, 2023
Average loans outstanding during the period (a)	$	2,158,497		$	2,106,517
Mortgage loans held for portfolio (b)		2,160,957			2,150,380
Non-accrual loans (b)		4,654			5,895
Allowance for credit losses on mortgage loans held for portfolio		2,885			3,301
Net charge-offs		—			—
Ratio of net charge-offs to average loans outstanding during the period		—	%		—	%
Ratio of allowance for credit losses to mortgage loans held for portfolio		0.134	%		0.154	%
Ratio of non-accrual loans to mortgage loans held for portfolio		0.215	%		0.274	%
Ratio of allowance for credit losses to non-accrual loans		62.004	%		56.007	%

(a) Represents the average unpaid principal balance for the three months ended March 31, 2024 and for the twelve months ended December 31, 2023.

(b) Balances represent unpaid principal balance.

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

	March 31, 2024		December 31, 2023
Total mortgage loans, carrying values net (a)	$	2,191,240	$	2,179,766
Non-performing mortgage loans - Conventional (a)(b)	$	4,654	$	5,895
Insured mortgage loans past due 90 days or more and still accruing interest (a)(b)	$	4,268	$	4,967

(a) Includes loans classified as special mention, sub-standard, doubtful or loss under regulatory criteria, net of amounts charged-off if delinquent for 180 days or more. There were no impaired MAP loans.

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

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

FHA and VA loans are considered as insured MPF or MAP loans, and while the loans are evaluated on an individual basis, we have deemed that FHA and VA loans as collectively insured. Additionally, based on the Bank’s assessment of its servicers and the collateral backing the insured loans, the risk of loss was deemed immaterial. The Bank has not recorded an allowance for credit losses for government-guaranteed or -insured mortgage loans in any periods in 2024 or 2023. Furthermore, none of these mortgage loans has been placed on non-accrual status because of the U.S. government guarantee or insurance on these loans and the contractual obligation of the loan servicer to repurchase the loans when certain criteria are met.

25

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

	March 31, 2024
	Unpaid						Average
	Principal		Related		Amortized Cost		Amortized Cost
	Balance		Allowance		After Allowance		After Allowance (d)
Conventional Loans (a)(c)
No related allowance (b)	$	338,647	$	—	$	342,711	$	334,311
With a related allowance		1,211,477		(2,885)		1,227,441		1,246,361
Total measured for impairment (e)	$	1,550,124	$	(2,885)	$	1,570,152	$	1,580,672

	December 31, 2023
	Unpaid						Average
	Principal		Related		Amortized Cost		Amortized Cost
	Balance		Allowance		After Allowance		After Allowance (d)
Conventional Loans (a)(c)
No related allowance (b)	$	321,544	$	—	$	325,428	$	615,113
With a related allowance		1,262,122		(3,301)		1,278,547		1,051,418
Total measured for impairment (e)	$	1,583,666	$	(3,301)	$	1,603,975	$	1,666,531

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

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

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

(d) Represents the average amortized cost after allowance for the three months ended March 31, 2024 and for the twelve months ended December 31, 2023.

(e) There were no impaired MAP loans.

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

	March 31, 2024		December 31, 2023
Mortgage Loans Held for Portfolio by Collateral/Guarantee Type:
Conventional mortgage loans	$	2,038,005	$	2,025,225
Government-guaranteed or - insured mortgage loans		122,952		125,155
Total mortgage loans - unpaid principal balance	$	2,160,957	$	2,150,380

Payment Status of Mortgage Loans

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

The following tables present the payment status for conventional mortgage loans and other delinquency statistics for the Bank’s mortgage loans at March 31, 2024 and December 31, 2023.

26

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

	March 31, 2024
	Conventional Loans
	Origination Year
	Prior to 2020		2020 to 2024		Total
Payment Status, at Amortized Cost:
Conventional loans
Past due 30 - 59 days	$	9,077	$	2,797	$	11,874
Past due 60 - 89 days		2,097		705		2,802
Past due 90 days or more		4,503		174		4,677
Total past due mortgage loans		15,677		3,676		19,353
Current mortgage loans		1,182,010		867,875		2,049,885
Total conventional mortgage loans	$	1,197,687	$	871,551	$	2,069,238

	December 31, 2023
	Conventional Loans
	Origination Year
	Prior to 2019		2019 to 2023		Total
Payment Status, at Amortized Cost:
Conventional loans
Past due 30 - 59 days	$	6,599	$	4,281	$	10,880
Past due 60 - 89 days		1,403		290		1,693
Past due 90 days or more		5,645		269		5,914
Total past due mortgage loans		13,647		4,840		18,487
Current mortgage loans		924,258		1,113,175		2,037,433
Total conventional mortgage loans	$	937,905	$	1,118,015	$	2,055,920

Other Delinquency Statistics (dollars in thousands):

	March 31, 2024
	Conventional			Government-Guaranteed			Total
	Loans			or -Insured Loans			Mortgage Loans
Amortized Cost (a):
In process of foreclosure (b)	$	2,552		$	2,577		$	5,129
Serious delinquency rate (c)		0.31	%		3.56	%		0.42	%
Past due 90 days or more and still accruing interest	$	—		$	4,339		$	4,339
Loans on non-accrual status	$	4,677		$	—		$	4,677

	December 31, 2023
	Conventional			Government-Guaranteed			Total
	Loans			or -Insured Loans			Mortgage Loans
Amortized Cost (a):
In process of foreclosure (b)	$	2,153		$	3,048		$	5,201
Serious delinquency rate (c)		0.37	%		4.03	%		0.51	%
Past due 90 days or more and still accruing interest	$	—		$	5,041		$	5,041
Loans on non-accrual status	$	5,914		$	—		$	5,914

(a) There were no MAP loans in delinquency status.

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

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

27

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 11.        Deposits.

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

Deposits represent a relatively small portion of the FHLBNY’s funding, totaling $2.8 billion at March 31, 2024 and $3.5 billion at December 31, 2023, a decrease of $0.7 billion, or 20.2%, from December 31, 2023. All FHLBNY deposits are uninsured and the balance of deposits vary depending on market factors, such as the attractiveness of the FHLBNY’s deposit pricing relative to the rates available on alternative money market instruments, FHLBNY members’ investment preferences with respect to the maturity of their investments, and FHLBNY members’ liquidity. Interest-bearing demand and overnight deposits represented 99.7% of deposits at both March 31, 2024 and December 31, 2023, with the remaining deposits primarily being term deposits and non-interest-bearing deposits.

Interest-bearing demand and overnight deposits pay interest based on a daily interest rate. The year-to-date average balances of demand and overnight deposits were $2.7 billion for period ended March 31, 2024 and $3.0 billion for the period ended December 31, 2023. The annualized weighted-average interest rates paid on demand and overnight deposits were 5.22% for the three months ended March 31, 2024 and 4.23% for the year ended December 31, 2023.

The following table summarizes deposits (in thousands):

	March 31, 2024		December 31, 2023
Interest-bearing deposits
Interest-bearing demand	$	2,770,619	$	3,472,477
Total interest-bearing deposits		2,770,619		3,472,477
Non-interest-bearing demand		7,893		9,376
Total deposits (a)	$	2,778,512	$	3,481,853

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

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

			Average				Average
Deposits	March 31, 2024		Interest Rate (b)		December 31, 2023		Interest Rate (b)
Interest-bearing demand (a)	$	2,770,619	5.22	%	$	3,472,477	4.23	%
Total interest-bearing deposits		2,770,619	5.22	%		3,472,477	4.23	%
Non-interest-bearing demand		7,893				9,376
Total deposits	$	2,778,512			$	3,481,853

(a) Primarily adjustable rate.

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

28

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 12.        Consolidated Obligations.

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

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

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

	March 31, 2024		December 31, 2023
Consolidated obligation bonds-amortized cost	$	93,726,331	$	98,702,143
Hedge valuation basis adjustments		(1,195,856)		(1,126,343)
Hedge basis adjustments on de-designated hedges		105,432		106,686
FVO - valuation adjustments and accrued interest		(102,119)		(113,424)
Total Consolidated obligation bonds	$	92,533,788	$	97,569,062
Discount notes-amortized cost	$	54,939,651	$	47,914,413
Hedge value basis adjustments		(57,830)		(7,363)
Hedge basis adjustments on de-designated hedges		(924)		(142)
FVO - valuation adjustments and remaining accretion		—		—
Total Consolidated obligation discount notes	$	54,880,897	$	47,906,908

29

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Redemption Terms of Consolidated Obligation Bonds

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

	March 31, 2024						December 31, 2023
			Weighted						Weighted
			Average		Percentage				Average		Percentage
Maturity	Amount		Rate (a)		of Total		Amount		Rate (a)		of Total
One year or less	$	49,719,985	4.50	%	53.08	%	$	58,048,915	4.67	%	58.85	%
Over one year through two years		22,281,760	3.57		23.79			14,958,980	3.48		15.16
Over two years through three years		9,594,955	2.15		10.24			12,220,155	1.67		12.39
Over three years through four years		3,614,380	3.22		3.86			4,992,385	2.62		5.06
Over four years through five years		4,357,365	3.49		4.65			3,977,705	3.36		4.03
Thereafter		4,104,745	3.32		4.38			4,447,450	3.16		4.51
Total par value		93,673,190	3.89	%	100.00	%		98,645,590	3.89	%	100.00	%
Bond premiums (b)		78,070						81,218
Bond discounts (b)		(24,929)						(24,665)
Hedge valuation basis adjustments (c)		(1,195,856)						(1,126,343)
Hedge basis adjustments on de-designated hedges (d)		105,432						106,686
FVO (e) - valuation adjustments and accrued interest		(102,119)						(113,424)
Total Consolidated obligation bonds	$	92,533,788					$	97,569,062

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

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

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

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

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

30

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Interest Rate Payment Terms

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

	March 31, 2024				December 31, 2023
			Percentage				Percentage
	Amount		of Total		Amount		of Total
Fixed-rate, non-callable	$	33,065,060	35.30	%	$	33,066,960	33.52	%
Fixed-rate, callable		26,073,130	27.83			35,735,130	36.23
Step Up, callable		3,178,000	3.39			3,473,000	3.52
Step Down, callable		52,000	0.06			52,000	0.05
Floating rate, callable		—	—			200,000	0.20
Single-index floating rate		31,305,000	33.42			26,118,500	26.48
Total par value	$	93,673,190	100.00	%	$	98,645,590	100.00	%

Discount Notes

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

	March 31, 2024			December 31, 2023
Par value	$	56,110,580		$	48,657,920
Amortized cost	$	54,939,651		$	47,914,413
Hedge value basis adjustments (a)		(57,830)			(7,363)
Hedge basis adjustments on de-designated hedges (b)		(924)			(142)
FVO (c) - valuation adjustments and remaining accretion		—			—
Total Consolidated obligation discount notes	$	54,880,897		$	47,906,908
Weighted average interest rate		4.98	%		5.17	%

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

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

(c) FVO valuation adjustments — Valuation basis adjustments are recorded to recognize changes in the entire or full fair values including unaccreted discounts on CO discount notes elected under the FVO. Changes in benchmark interest rates, notional amounts of CO discount notes elected under FVO and remaining terms to maturity are factors that impact hedge valuation adjustments. No CO discount notes were elected under the FVO at March 31, 2024 and December 31, 2023.

31

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 13.        Affordable Housing Program.

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

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

	Three months ended March 31,
	2024		2023
Beginning balance	$	187,027	$	131,394
Additions from current period’s assessments		24,517		22,073
Net disbursements for grants and programs		(10,343)		(9,670)
Ending balance	$	201,201	$	143,797

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

The FHLBanks, including the FHLBNY, have a cooperative structure. To access the FHLBNY’s products and services, a financial institution must be approved for membership and purchase capital stock in the FHLBNY. A member’s stock requirement is generally based on its use of FHLBNY products, subject to a minimum membership requirement as prescribed by the FHLBank Act and the FHLBNY’s Capital Plan. FHLBNY stock can be issued, exchanged, redeemed and repurchased only at its stated par value of $100 per share. It is not publicly traded. An option to redeem capital stock that is greater than a member’s minimum requirement is held by both the member and the FHLBNY. The FHLBNY’s Capital Plan offers two sub-classes of Class B capital stock, membership and activity-based capital stock, and members can redeem Class B stock by giving five years notice. The FHLBNY’s Class B capital stock issued and outstanding were $6.0 billion at both March 31, 2024 and December 31, 2023.

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

● Membership capital stock is issued to meet membership stock purchase requirements. The FHLBNY requires member institutions to maintain membership stock based on a percentage of the member’s mortgage-related assets (such percentage is currently set at 0.125)%. In addition, notwithstanding this requirement, the FHLBNY has a $50 million cap on membership stock per member.

● Activity-based capital stock is issued based on a percentage of outstanding balances of advances, MPF and MAP loans and financial letters of credit. The FHLBNY’s current capital plan requires a stock purchase equal to (i) 4.5% of the member’s borrowed amount for advances and mortgage loans sold, and (ii) 0.125% of the outstanding balance of letters of credit issued on behalf of the member. In the normal course of business, excess activity-based capital stock is repurchased daily.

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

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

32

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

	March 31, 2024						December 31, 2023
	Required (d)			Actual			Required (d)			Actual
Regulatory capital requirements:
Risk-based capital (a)(e)	$	1,179,725		$	8,408,140		$	1,364,264		$	8,394,453
Total capital-to-asset ratio		4.00	%		5.27	%		4.00	%		5.30	%
Total capital (b)	$	6,385,194		$	8,408,140		$	6,333,328		$	8,394,453
Leverage ratio		5.00	%		7.90	%		5.00	%		7.95	%
Leverage capital (c)	$	7,981,493		$	12,612,210		$	7,916,660		$	12,591,679

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

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

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

(d) Required minimum.

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

Mandatorily Redeemable Capital Stock

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

Estimated redemption periods were as follows (in thousands):

	March 31, 2024		December 31, 2023
Redemption less than one year	$	2,620	$	3,070
Redemption from one year to less than three years		2,472		2,427
Redemption from three years to less than five years		525		732
Redemption from five years or greater		957		990
Total	$	6,574	$	7,219

33

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

	Three months ended March 31,
	2024		2023
Beginning balance	$	7,219	$	4,578
Capital stock subject to mandatory redemption reclassified from equity		—		1,470
Redemption of mandatorily redeemable capital stock (a)		(645)		(408)
Ending balance	$	6,574	$	5,640
Accrued interest payable (b)	$	162	$	104

(a) Redemption includes repayment of excess stock.

(b) The annualized accrual rate was 9.75% for the three months ended March 31, 2024 and 7.50% for the same period in 2023. Accrual rates are based on estimated dividend rates.

Restricted Retained Earnings

Under the FHLBank Joint Capital Enhancement Agreement (Capital Agreement), each FHLBank is required to set aside 20% of its Net income each quarter to a restricted retained earnings account until the balance of that account equals at least one percent of that FHLBank’s average balance of outstanding Consolidated obligations as calculated as of the last day of the current calendar quarter. The Capital Agreement is intended to enhance the capital position of each FHLBank. These restricted retained earnings will not be available to pay dividends. Retained earnings included $1.1 billion as restricted retained earnings in the FHLBNY’s Total Capital at both March 31, 2024 and December 31, 2023.

Note 15.        Earnings Per Share of Capital.

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

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

	Three months ended March 31,
	2024		2023
Net income	$	220,491	$	198,544
Net income available to stockholders	$	220,491	$	198,544
Weighted average shares of capital		61,780		63,954
Less: Mandatorily redeemable capital stock		(67)		(56)
Average number of shares of capital used to calculate earnings per share		61,713		63,898
Basic earnings per share	$	3.57	$	3.11

Note 16.        Employee Retirement Plans.

The FHLBNY participates in the Pentegra Defined Benefit Plan for Financial Institutions (Pentegra DB Plan), a tax-qualified, defined-benefit multiemployer pension plan that covers all FHLBNY officers and employees. The FHLBNY also participates in the Pentegra Defined Contribution Plan for Financial Institutions, a tax-qualified defined contribution plan. The FHLBNY offers two non-qualified Benefit Equalization Plans, which are retirement plans. In July 2023, the Pentegra Defined Contribution Plan was transitioned to Vanguard. The two plans restore and enhance defined benefits for those employees who have had their qualified Defined Benefit Plan and their Defined Contribution Plan limited by IRS regulations. The two non-qualified Benefit Equalization Plans (BEP) are unfunded.

34

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Retirement Plan Expenses — Summary

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

	Three months ended March 31,
	2024		2023
Defined Benefit Plan	$	3,025	$	3,100
Benefit Equalization Plans (defined benefit and defined contribution)		2,475		1,846
Defined Contribution Plans		853		806
Postretirement Health Benefit Plan		19		(253)
Total retirement plan expenses	$	6,372	$	5,499

Benefit Equalization Plan (BEP)

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

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

	Three months ended March 31,
	2024		2023
Service cost	$	470	$	411
Interest cost		925		859
Amortization of unrecognized net loss		193		—
Amortization of unrecognized past service cost		4		13
Net periodic benefit cost - Defined Benefit BEP		1,592		1,283
Benefit Equalization plans - Thrift and Deferred incentive compensation plans		883		563
Total	$	2,475	$	1,846

Postretirement Health Benefit Plan

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

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

	Three months ended March 31,
	2024		2023
Service cost (benefits attributed to service during the period)	$	3	$	7
Interest cost on accumulated postretirement health benefit obligation		81		102
Amortization of (gain)/loss		(65)		(362)
Net periodic postretirement health benefit expense/(income)	$	19	$	(253)

35

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 17.        Derivatives and Hedging Activities.

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

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

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

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

Derivative Notionals

	Hedging Instruments Under ASC 815
	March 31, 2024		December 31, 2023
Interest rate contracts
Interest rate swaps	$	186,960,063	$	194,257,512
Interest rate caps		150,000		150,000
Mortgage delivery commitments		17,132		19,277
Total interest rate contracts notionals	$	187,127,195	$	194,426,789

36

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Offsetting of Derivative Assets and Derivative Liabilities — Net Presentation

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

	March 31, 2024				December 31, 2023
	Derivative		Derivative		Derivative		Derivative
	Assets		Liabilities		Assets		Liabilities
Derivative instruments - nettable
Gross recognized amount
Uncleared derivatives	$	916,284	$	1,566,873	$	792,408	$	1,504,800
Cleared derivatives		1,967,490		1,957,279		1,765,052		1,751,642
Total gross recognized amount		2,883,774		3,524,152		2,557,460		3,256,442
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives		(815,648)		(1,534,618)		(682,546)		(1,494,166)
Cleared derivatives		(1,956,811)		(1,956,811)		(1,749,869)		(1,749,869)
Total gross amounts of netting adjustments and cash collateral		(2,772,459)		(3,491,429)		(2,432,415)		(3,244,035)
Net amounts after offsetting adjustments and cash collateral	$	111,315	$	32,723	$	125,045	$	12,407
Uncleared derivatives	$	100,636	$	32,255	$	109,862	$	10,634
Cleared derivatives		10,679		468		15,183		1,773
Total net amounts after offsetting adjustments and cash collateral	$	111,315	$	32,723	$	125,045	$	12,407
Derivative instruments - not nettable
Uncleared derivatives (a)	$	51	$	20	$	157	$	2
Total derivative assets and total derivative liabilities
Uncleared derivatives	$	100,687	$	32,275	$	110,019	$	10,636
Cleared derivatives		10,679		468		15,183		1,773
Total derivative assets and total derivative liabilities presented in the Statements of Condition (b)	$	111,366	$	32,743	$	125,202	$	12,409
Non-cash collateral received or pledged (c)
Can be sold or repledged
Security collateral pledged as initial margin to Derivative Clearing Organization (d)	$	787,254	$	—	$	794,848	$	—
Cannot be sold or repledged
Uncleared derivatives securities received as Variation Margin		(85,903)		—		(96,191)		—
Total net amount of non-cash collateral received or repledged	$	701,351	$	—	$	698,657	$	—
Total net exposure cash and non-cash (e)	$	812,717	$	32,743	$	823,859	$	12,409
Net unsecured amount - Represented by:
Uncleared derivatives	$	14,784	$	32,275	$	13,828	$	10,636
Cleared derivatives		797,933		468		810,031		1,773
Total net exposure cash and non-cash (e)	$	812,717	$	32,743	$	823,859	$	12,409

(a) Not nettable derivative instruments are without legal right of offset and were synthetic derivatives representing forward mortgage delivery commitments of 60 calendar days or less. Amounts were not material, and it was operationally not practical to separate receivables from payables; net presentation was adopted. No cash collateral was involved with the mortgage delivery commitments.

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

37

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

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

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

Fair Value of Derivative Instruments

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

	March 31, 2024
	Notional
	Amount of		Derivative		Derivative
	Derivatives		Assets		Liabilities
Fair value of derivative instruments (a)
Derivatives designated as hedging instruments under ASC 815
Interest rate swaps	$	154,739,492	$	1,558,698	$	2,542,025
Total derivatives in hedging relationships under ASC 815		154,739,492		1,558,698		2,542,025
Derivatives not designated as hedging instruments
Interest rate swaps (b)		32,220,571		1,324,763		982,127
Interest rate caps		150,000		313		—
Mortgage delivery commitments		17,132		51		20
Other		—		—		—
Total derivatives not designated as hedging instruments		32,387,703		1,325,127		982,147
Total derivatives before netting and collateral adjustments	$	187,127,195	$	2,883,825	$	3,524,172
Netting adjustments			$	(2,755,529)	$	(2,755,529)
Cash collateral and related accrued interest				(16,930)		(735,900)
Total netting adjustments and cash collateral				(2,772,459)		(3,491,429)
Total derivative assets and total derivative liabilities			$	111,366	$	32,743
Security collateral pledged as initial margin to Derivative Clearing Organization (c)			$	787,254
Security collateral received from counterparty (c)				(85,903)
Net security				701,351
Net exposure			$	812,717

38

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

	December 31, 2023
	Notional
	Amount of		Derivative		Derivative
	Derivatives		Assets		Liabilities
Fair value of derivative instruments (a)
Derivatives designated as hedging instruments under ASC 815
Interest rate swaps	$	159,826,933	$	1,577,776	$	2,521,697
Total derivatives in hedging relationships under ASC 815		159,826,933		1,577,776		2,521,697
Derivatives not designated as hedging instruments
Interest rate swaps (b)		34,430,579		979,388		734,745
Interest rate caps		150,000		296		—
Mortgage delivery commitments		19,277		157		2
Other		—		—		—
Total derivatives not designated as hedging instruments		34,599,856		979,841		734,747
Total derivatives before netting and collateral adjustments	$	194,426,789	$	2,557,617	$	3,256,444
Netting adjustments			$	(2,421,455)	$	(2,421,455)
Cash collateral and related accrued interest				(10,960)		(822,580)
Total netting adjustments and cash collateral				(2,432,415)		(3,244,035)
Total derivative assets and total derivative liabilities			$	125,202	$	12,409
Security collateral pledged as initial margin to Derivative Clearing Organization (c)			$	794,848
Security collateral received from counterparty (c)				(96,191)
Net security				698,657
Net exposure			$	823,859

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

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

(c) Non-cash security collateral is not permitted to be offset on the balance sheet but would be eligible for offsetting in an event of default. Amounts represent non-cash collateral and or U.S. Treasury securities pledged to and received from counterparties as collateral at March 31, 2024 and December 31, 2023.

Accounting for Derivative Hedging

The FHLBNY accounts for its hedging activities in accordance with ASC 815, Derivatives and Hedging. As a general rule, hedge accounting is permitted where the FHLBNY is exposed to a particular risk, typically interest-rate risk that causes changes in the fair value of an asset or liability or variability in the expected future cash flows of an existing asset, liability or a forecasted transaction that may affect earnings. Derivative contracts hedging the risks associated with the changes in fair value are referred to as Fair value hedges, while contracts hedging the risks affecting the expected future cash flows are called Cash flow hedges. Derivatives not designated under a qualifying ASC 815 hedge relationship and designated as an asset/liability management hedge are classified as an economic hedge. For more information, see financial statements, Note 1. Summary of Significant Accounting Policies in the most recent Form 10-K for the year ended December 31, 2023 filed on March 21, 2024.

Fair value hedge gains and losses

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

	Gains (Losses) on Fair Value Hedges
	Recorded in Interest Income/Expense
	Three months ended March 31,
	2024		2023
Gains (losses) on derivatives in designated and qualifying fair value hedges:
Interest rate hedges	$	249,509	$	(81,760)
Gains (losses) on hedged item in designated and qualifying fair value hedges:
Interest rate hedges	$	(243,288)	$	81,499

39

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

Cumulative Basis Adjustment

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

The tables below present the carrying amount of FHLBNY’s assets and liabilities under active ASC 815 qualifying fair value hedges at March 31, 2024 and December 31, 2023, as well as the hedged item’s cumulative hedge basis adjustments, which were included in the carrying value of assets and liabilities in active hedges. The tables also present unamortized cumulative basis adjustments from discontinued hedges where the previously hedged item remains on the FHLBNY’s Statements of Condition (in thousands):

	March 31, 2024
			Cumulative Fair Value Hedging Adjustment
			Included in the Carrying Amount of Hedged
			Items Gains (Losses)
	Carrying Amount of				Discontinued
	Hedged		Active Hedging		Hedging
	Assets/Liabilities (a)		Relationship		Relationship
Assets:
Hedged advances	$	48,683,521	$	(1,140,685)	$	—
Hedged AFS debt securities (a)		5,571,873		(625,816)		—
De-designated advances (b)		—		—		—
	$	54,255,394	$	(1,766,501)	$	—
Liabilities:
Hedged consolidated obligation bonds	$	47,169,081	$	1,195,855	$	—
Hedged consolidated obligation discount notes		49,376,034		57,830		—
De-designated consolidated obligation bonds (b)		—		—		(105,432)
De-designated consolidated obligation discount notes (b)		—		—		924
	$	96,545,115	$	1,253,685	$	(104,508)

40

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

	December 31, 2023
			Cumulative Fair Value Hedging Adjustment
			Included in the Carrying Amount of Hedged
			Items Gains (Losses)
	Carrying Amount of				Discontinued
	Hedged		Active Hedging		Hedging
	Assets/Liabilities (a)		Relationship		Relationship
Assets:
Hedged advances	$	52,435,939	$	(897,149)	$	—
Hedged AFS debt securities (a)		5,505,885		(505,344)		—
De-designated advances (b)		—		—		4
	$	57,941,824	$	(1,402,493)	$	4
Liabilities:
Hedged consolidated obligation bonds	$	55,750,100	$	1,126,343	$	—
Hedged consolidated obligation discount notes		44,075,359		7,363		—
De-designated consolidated obligation bonds (b)		—		—		(106,686)
De-designated consolidated obligation discount notes (b)		—		—		142
	$	99,825,459	$	1,133,706	$	(106,544)

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

(b) At March 31, 2024, par amounts of de-designated CO bonds were $2.5 billion and par amount of de-designation CO discount notes were $1.9 billion. At December 31, 2023, par amounts of de-designated advances were $0.6 billion; par amounts of de - designation CO bonds were $2.9 billion; par amounts of de-designated CO discount notes were $0.9 billion. Cumulative fair value hedging adjustments for active and discontinued hedging relationships will remain on the balance sheet until the items are derecognized.

Cash flow hedge gains and losses

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

	Derivative Gains (Losses) Recorded in Income and Other
	Comprehensive Income/Loss
	Three months ended March 31, 2024
	Amounts		Amounts				Total
	Reclassified from		Reclassified from		Amounts		Change in
	AOCI to		AOCI to Other		Recorded		OCI for
	Interest Expense (b)		Income (Loss) (c)		in OCI (d)		Period
Interest rate contracts (a)	$	(287)	$	—	$	17,064	$	17,351

	Derivative Gains (Losses) Recorded in Income and Other
	Comprehensive Income/Loss
	Three months ended March 31, 2023
	Amounts		Amounts				Total
	Reclassified from		Reclassified from		Amounts		Change in
	AOCI to		AOCI to Other		Recorded		OCI for
	Interest Expense (b)		Income (Loss) (c)		in OCI (d)		Period
Interest rate contracts (a)	$	(219)	$	—	$	(26,587)	$	(26,368)

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

41

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

(b) Amounts represent amortization of gains (losses) related to closed cash flow hedges of anticipated issuance of CO bonds that were reclassified during the period to interest expense as a yield adjustment. Losses reclassified represent losses in AOCI that were amortized as an expense to debt interest expense. If debt is held to maturity, losses in AOCI will be relieved through amortization. It is expected that over the next 12 months, $1.1 million of the unrecognized losses in AOCI will be recognized as yield adjustments to debt interest expense.

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

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

Economic Hedges

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

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

	Gains (Losses) on Economic Hedges
	Recorded in Other Income (Loss)
	Three months ended March 31,
	2024		2023
Gains (losses) on derivatives designated in economic hedges
Interest rate hedges	$	87,676	$	(31,594)
Caps		17		(239)
Mortgage delivery commitments		(87)		27
Total gains (losses) on derivatives in economic hedges	$	87,606	$	(31,806)

42

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 18.        Fair Values of Financial Instruments.

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

	March 31, 2024
			Estimated Fair Value
											Netting
											Adjustment
	Carrying										and Cash
Financial Instruments	Value		Total		Level 1		Level 2		Level 3 (a)		Collateral
Assets
Cash and due from banks	$	46,433	$	46,433	$	46,433	$	—	$	—	$	—
Interest-bearing deposits		2,805,000		2,805,015		—		2,805,015		—		—
Securities purchased under agreements to resell		5,670,000		5,670,024		—		5,670,024		—		—
Federal funds sold		13,745,000		13,745,064		—		13,745,064		—		—
Trading securities		5,850,389		5,850,389		5,850,389		—		—		—
Equity Investments		96,151		96,151		96,151		—		—		—
Available-for-sale securities		9,210,694		9,210,694		—		7,983,604		1,227,090		—
Held-to-maturity securities		11,948,409		11,568,359		—		11,377,589		190,770		—
Advances		107,163,563		107,359,101		—		107,359,101		—		—
Mortgage loans held-for-portfolio, net		2,191,240		1,914,206		—		1,914,206		—		—
Accrued interest receivable		647,563		647,563		—		647,563		—		—
Derivative assets		111,366		111,366		—		2,883,825		—		(2,772,459)
Other financial assets		256		256		—		—		256		—
Liabilities
Deposits		2,778,512		2,778,554		—		2,778,554		—		—
Consolidated obligations
Bonds		92,533,788		91,839,331		—		91,839,331		—		—
Discount notes		54,880,897		54,909,967		—		54,909,967		—		—
Mandatorily redeemable capital stock		6,574		6,574		6,574		—		—		—
Accrued interest payable		681,348		681,348		—		681,348		—		—
Derivative liabilities		32,743		32,743		—		3,524,172		—		(3,491,429)
Other financial liabilities		—		—		—		—		—		—

43

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

	December 31, 2023
			Estimated Fair Value
											Netting
	Carrying										Adjustment and
Financial Instruments	Value		Total		Level 1		Level 2		Level 3 (a)		Cash Collateral
Assets
Cash and due from banks	$	48,198	$	48,198	$	48,198	$	—	$	—	$	—
Interest-bearing deposits		1,945,000		1,945,022		—		1,945,022		—		—
Securities purchased under agreements to resell		7,820,000		7,820,064		—		7,820,064		—		—
Federal funds sold		9,640,000		9,640,092		—		9,640,092		—		—
Trading securities		5,886,421		5,886,421		5,886,421		—		—		—
Equity Investments		91,879		91,879		91,879		—		—		—
Available-for-sale securities		9,106,743		9,106,743		—		7,878,505		1,228,238		—
Held-to-maturity securities		11,869,328		11,531,901		—		11,337,969		193,932		—
Advances		108,890,128		108,936,655		—		108,936,655		—		—
Mortgage loans held-for-portfolio, net		2,179,766		1,940,678		—		1,940,678		—		—
Accrued interest receivable		581,608		581,608		—		581,608		—		—
Derivative assets		125,202		125,202		—		2,557,617		—		(2,432,415)
Other financial assets		378		378		—		—		378		—
Liabilities
Deposits		3,481,853		3,481,961		—		3,481,961		—		—
Consolidated obligations
Bonds		97,569,062		96,836,586		—		96,836,586		—		—
Discount notes		47,906,908		47,932,222		—		47,932,222		—		—
Mandatorily redeemable capital stock		7,219		7,219		7,219		—		—		—
Accrued interest payable		716,021		716,021		—		716,021		—		—
Derivative liabilities		12,409		12,409		—		3,256,444		—		(3,244,035)
Other financial liabilities		—		—		—		—		—		—

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

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

Fair Value Hierarchy

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

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

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

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

44

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

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

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

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

Summary of Valuation Techniques and Primary Inputs

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

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

Mortgage-backed securities, including housing finance obligations, classified as available-for-sale — The fair value of such securities is estimated by the FHLBNY using pricing primarily from specialized pricing services. The pricing vendors typically use market multiples derived from a set of comparables, including matrix pricing, and other techniques. The FHLBNY’s valuation technique incorporates prices from up to three designated third-party pricing services at March 31, 2024 and December 31, 2023. The FHLBNY’s base investment pricing methodology establishes a median price for each security using a formula that is based on the number of prices received. Vendor prices that are outside of a defined tolerance threshold of the median price are identified as outliers and subject to additional review, including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates, which are deemed to be reflective of all relevant facts and circumstances that a market participant would consider. Such analysis is also applied in those limited instances where no third-party vendor price or only one third-party vendor price is available in order to arrive at an estimated fair value.

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

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

45

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

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

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

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

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

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

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

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

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

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

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

46

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

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

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

Derivative Assets and Liabilities — The FHLBNY’s derivatives (cleared derivatives and bilaterally executed derivatives) are executed in the over-the-counter market and are valued using internal valuation techniques as no quoted market prices exist for such instruments. Discounted cash flow analysis is the primary methodology employed by the FHLBNY’s valuation models to measure the fair values of interest rate swaps. The valuation technique is considered as an “Income approach”. Interest rate caps and floors are valued under the “Market approach”. Interest rate swaps and interest rate caps and floors, collectively “derivatives”, were valued in industry-standard option adjusted valuation models, which generated fair values. The valuation models employed multiple market inputs including interest rates, prices, and indices to create continuous yield or pricing curves and volatility factors. These multiple market inputs were corroborated by management to independent market data, and to relevant benchmark indices. In addition, derivative valuations were compared by management to counterparty valuations received as part of the collateral exchange process. These derivative positions were classified within Level 2 of the valuation hierarchy at March 31, 2024 and December 31, 2023.

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

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

Interest-rate related:

● SOFR curve (SOFR/OIS).

● Federal funds curve (FF/OIS curve).

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

● Prepayment assumption (if applicable).

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

47

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

Credit risk and credit valuation adjustments

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

As a result of these practices and agreements and the FHLBNY’s assessment of any change in its own credit spread, the FHLBNY has concluded that the impact of the credit differential between the FHLBNY and its derivative counterparties and DCO was sufficiently mitigated to an immaterial level that no credit adjustments were deemed necessary to the recorded fair value of Derivative assets and Derivative liabilities in the Statements of Condition at March 31, 2024 and December 31, 2023.

For uncleared derivatives transactions executed on or after September 1, 2022, we are subject to two-way initial margin obligations as required by the Wall Street Reform and Consumer Protection Act. For such uncleared derivatives transactions, a party whose initial margin requirement exceeds the $50 million threshold would be required to deliver collateral in the amount by which the initial margin requirement exceeds such specified threshold. Initial margin is required to be held at a third-party custodian for the benefit of the secured party, which can only assert ownership of such collateral upon the occurrence of certain events, which may include an event of default due to bankruptcy, insolvency, or similar proceeding. As of March 31, 2024, the Bank did not exceed the threshold with any of the uncleared derivatives counterparty and did not have to post initial margin or have the counterparty post initial margin to the Bank.

Fair Value Measurement

The tables below present the fair value of those assets and liabilities that are recorded at fair value on a recurring or non-recurring basis at March 31, 2024 and December 31, 2023, by level within the fair value hierarchy. Certain mortgage loans that were partially charged-off were recorded at their collateral values on a non-recurring basis. REO is measured at fair value when the asset’s fair value less costs to sell is lower than its carrying amount.

48

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

	March 31, 2024
									Netting
									Adjustment and
	Total		Level 1		Level 2		Level 3		Cash Collateral
Assets
Trading securities
U.S. Treasury securities	$	5,850,389	$	5,850,389	$	—	$	—	$	—
Equity Investments		96,151		96,151		—		—		—
Available-for-sale securities
GSE/U.S. agency issued MBS		7,983,604		—		7,983,604		—		—
State and local housing finance agency obligations		1,227,090		—		—		1,227,090		—
Derivative assets (a)
Interest-rate derivatives		111,315		—		2,883,774		—		(2,772,459)
Mortgage delivery commitments		51		—		51		—		—
Total recurring fair value measurement - Assets	$	15,268,600	$	5,946,540	$	10,867,429	$	1,227,090	$	(2,772,459)
Liabilities
Consolidated obligation:
Bonds (to the extent FVO is elected) (b)	$	(2,891,846)	$	—	$	(2,891,846)	$	—	$	—
Derivative liabilities (a)
Interest-rate derivatives		(32,723)		—		(3,524,152)		—		3,491,429
Mortgage delivery commitments		(20)		—		(20)		—		—
Total recurring fair value measurement - Liabilities	$	(2,924,589)	$	—	$	(6,416,018)	$	—	$	3,491,429

	December 31, 2023
									Netting
									Adjustment and
	Total		Level 1		Level 2		Level 3		Cash Collateral
Assets
Trading securities
U.S. Treasury securities	$	5,886,421	$	5,886,421	$	—	$	—	$	—
Equity Investments		91,879		91,879		—		—		—
Available-for-sale securities
GSE/U.S. agency issued MBS		7,878,505		—		7,878,505		—		—
State and local housing finance agency obligations		1,228,238		—		—		1,228,238		—
Derivative assets(a)
Interest-rate derivatives		125,045		—		2,557,460		—		(2,432,415)
Mortgage delivery commitments		157		—		157		—		—
Total recurring fair value measurement - Assets	$	15,210,245	$	5,978,300	$	10,436,122	$	1,228,238	$	(2,432,415)
Liabilities
Consolidated obligation:
Bonds (to the extent FVO is elected) (b)	$	(3,780,541)	$	—	$	(3,780,541)	$	—	$	—
Derivative liabilities (a)
Interest-rate derivatives		(12,407)		—		(3,256,442)		—		3,244,035
Mortgage delivery commitments		(2)		—		(2)		—		—
Total recurring fair value measurement - Liabilities	$	(3,792,950)	$	—	$	(7,036,985)	$	—	$	3,244,035

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

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

49

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

	State and Local Housing Finance
	Agency Obligations
	Three months ended March 31,
	2024		2023
Balance, beginning of the period	$	1,228,238	$	1,109,029
Transfer of securities from held-to-maturity to available-for-sale		—		—
Provision for credit losses		—		—
Total gains (losses) included in other comprehensive income
Net unrealized gains (losses)		(1,148)		480
Purchases		—		—
Settlements		—		—
Balance, end of the period	$	1,227,090	$	1,109,509

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

	During the period ended December 31, 2023
	Fair Value		Level 1		Level 2		Level 3
Mortgage loans held-for-portfolio	$	—	$	—	$	—	$	—
Real estate owned		391		—		—		391
Total non-recurring assets at fair value	$	391	$	—	$	—	$	391

During the period ended March 31, 2024, de minimis amounts were recorded.

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

In accordance with disclosure provisions, we have reported changes in fair values of such assets as of the date the fair value adjustments were recorded during the period ended March 31, 2024 and December 31, 2023, and the reported fair values were not as of the period end dates.

Fair Value Option Disclosures

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

For instruments for which the fair value option has been elected, the related contractual interest income, contractual interest expense, the discount amortization on fair value option consolidated obligation discount notes and the premium/discount amortization on fair value option consolidated obligation bonds are recorded as part of net interest income in the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains (losses) on financial instruments held under fair value option in the Statements of Income. The change in fair value does not include changes in instrument-specific credit risk. The FHLBNY has determined that no adjustments to the fair values of its instruments recorded under the fair value option for instrument-specific credit risk were necessary at March 31, 2024 and December 31, 2023.

50

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

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

	March 31, 2024
	Bonds
Balance, beginning of the period	$	(3,780,541)
New transactions elected for fair value option		—
Maturities and terminations		900,000
Net gains (losses) on financial instruments held under fair value option		(10,970)
Change in accrued interest/unaccreted balance		(335)
Balance, end of the period	$	(2,891,846)

	December 31, 2023
	Bonds
Balance, beginning of the period	$	(4,159,862)
New transactions elected for fair value option		—
Maturities and terminations		480,000
Net gains (losses) on financial instruments held under fair value option		(99,223)
Change in accrued interest/unaccreted balance		(1,456)
Balance, end of the period	$	(3,780,541)

	March 31,2023
	Bonds
Balance, beginning of the period	$	(4,159,862)
New transactions elected for fair value option		—
Maturities and terminations		—
Net gains (losses) on financial instruments held under fair value option		(39,378)
Change in accrued interest/unaccreted balance		(7,115)
Balance, end of the period	$	(4,206,355)

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

	Three months ended March 31, 2024
			Net Gains		Total Change in Fair
			(Losses) Due to		Value Included in
	Interest		Changes in		Current Period
	Expense		Fair Value		Earnings
Consolidated obligation bonds	$	(18,042)	$	(10,970)	$	(29,012)

	Three months ended March 31, 2023
			Net Gains		Total Change in Fair
			(Losses) Due to		Value Included in
	Interest		Changes in		Current Period
	Expense		Fair Value		Earnings
Consolidated obligation bonds	$	(22,671)	$	(39,378)	$	(62,049)

51

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

	March 31, 2024
					Fair Value
					Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance
Consolidated obligation bonds (a)	$	2,993,965	$	2,891,846	$	(102,119)

	December 31, 2023
					Fair Value
					Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance
Consolidated obligation bonds (a)	$	3,893,965	$	3,780,541	$	(113,424)

	March 31, 2023
					Fair Value
					Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance
Consolidated obligation bonds (a)	$	4,373,965	$	4,206,355	$	(167,610)

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

Note 19.        Commitments and Contingencies.

Consolidated obligations — The FHLBanks have joint and several liability for all the Consolidated obligations issued on their behalf. Accordingly, should one or more of the FHLBanks be unable to repay their participation in the Consolidated obligations, each of the other FHLBanks could be called upon to repay all or part of such obligations, as determined or approved by the Finance Agency. Neither the FHLBNY nor any other FHLBank has ever had to assume or pay the Consolidated obligations of another FHLBank. The FHLBNY does not believe that it will be called upon to pay the Consolidated obligations of another FHLBank in the future. Under the provisions of accounting standards for guarantees, the FHLBNY would have been required to recognize the fair value of the FHLBNY’s joint and several liability for all the Consolidated obligations, as discussed above. However, the FHLBNY considers the joint and several liabilities as similar to a related party guarantee, which meets the scope exception under the accounting standard for guarantees. Accordingly, the FHLBNY has not recognized the fair value of a liability for its joint and several obligations related to other FHLBanks’ Consolidated obligations, which in aggregate were par amounts of $1.2 trillion as of March 31, 2024 and December 31, 2023.

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

52

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

	March 31, 2024
Contractual Obligations
Consolidated obligation bonds at par (a)	$	93,673,190
Consolidated obligation discount notes at par		56,110,580
Mandatorily redeemable capital stock (a)		6,574
Financing lease (b)		2,498
Premises (Operating Lease) (b)		75,612
Remote backup site		77
Other liabilities (c)		133,798
Total contractual obligations	$	150,002,329
Other commitments
Standby letters of credit (d)	$	22,326,273
Consolidated obligation bonds/discount notes traded not settled		110,191
Commitments to fund additional advances		50,000
Commitments to fund pension		12,100
Open delivery commitments (MAP)		17,132
Total other commitments	$	22,515,696
Total obligations and commitments	$	172,518,025

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

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

(c) Includes accounts payable and accrued expenses, liabilities recorded for future settlements of investments, Pass-through reserves due to member institutions held at the Federal Reserve Bank (FRB), and projected payment obligations for pension plans.

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

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

Lease Commitments

Operating Leases:

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

53

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

At March 31, 2024 and December 31, 2023, the FHLBNY was obligated under a number of noncancelable leases, predominantly operating leases for premises. These leases generally have terms of 15 years or less that contain escalation clauses that will increase rental payments. Operating leases also include backup datacenters and certain office equipment. Operating lease liabilities and operating lease ROU assets are recognized at the lease commencement date based on the present value of the future minimum lease payments over the lease term. The future lease payments are discounted at a rate that represents the FHLBNY’s borrowing rate for its own debt (Consolidated obligation bonds) of a similar term. Operating lease ROU assets include any lease prepayments made, plus any initial direct costs incurred, less any lease incentives received. Rental expense associated with operating leases is recognized on a straight-line basis over the lease term. Premise rental expense is included in occupancy expense, and datacenter and other lease expenses are included in other operating expense in the Statements of Income. Operating lease ROU assets and operating lease liabilities are reported in the Statements of Condition.

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

	March 31, 2024		December 31, 2023
Operating Leases (a)
Right-of-use assets	$	53,461	$	54,862
Lease Liabilities	$	65,407	$	67,021

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

	Three months ended March 31,
	2024			2023
Operating Lease Expense	$	1,952		$	1,952
Operating cash flows - Cash Paid	$	2,166		$	2,153
	March 31, 2024			December 31, 2023
Weighted Average Discount Rate		3.32	%		3.32	%
Weighted Average Remaining Lease Term		8.98	Years		9.21	Years

	Remaining maturities through
Operating lease liabilities	March 31, 2024		December 31, 2023
Remainder of 2024	$	6,131	$	8,297
2025		8,088		8,088
2026		8,142		8,142
2027		8,246		8,246
2028		8,566		8,566
Thereafter		36,844		36,844
Total undiscounted lease payments		76,017		78,183
Imputed interest		(10,610)		(11,162)
Total operating lease liabilities	$	65,407	$	67,021

Finance Lease:

In December 2023, the Bank entered into a 5-year finance lease for computer equipment. The finance lease liability and finance lease ROU asset are recognized at the lease commencement date based on the present value of the future minimum lease payments over the lease term. The lease liability was $2.3 million as of March 31, 2024 and December 31, 2023. The finance lease ROU asset was $2.2 million as of March 31, 2024, and $2.3 million as of December 31, 2023.

54

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 20.        Related Party Transactions.

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

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

Debt assumptions — No debt was assumed from another FHLBank in the three months ended March 31, 2024 and March 31, 2023.

Debt transfers — No debt was transferred to another FHLBank in the three months ended March 31, 2024 and March 31, 2023.

Advances Sold or Transferred

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

MPF Program

In the MPF program, the FHLBNY may participate to the FHLBank of Chicago portions of its purchases of mortgage loans from its members. Transactions are participated at market rates. Since 2004, the FHLBNY has not shared its purchases with the FHLBank of Chicago. From the inception of the program through 2004, the cumulative share of MPF Chicago’s participation in the FHLBNY’s MPF loans that has remained outstanding was $3.0 million at March 31, 2024 and $3.2 million at December 31, 2023.

Fees paid to the FHLBank of Chicago for providing MPF program services were approximately $0.3 million for the three months ended March 31, 2024 and March 31, 2023.

Mortgage-backed Securities

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

Intermediation

From time to time, the FHLBNY acts as an intermediary to purchase derivatives to accommodate its smaller members. At March 31, 2024 and December 31, 2023, outstanding notional amounts were $3.0 million and $18.0 million, representing derivative contracts in which the FHLBNY acted as an intermediary to execute derivative contracts with members. Separately, the contracts were offset with contracts purchased from unrelated derivatives dealers. Net fair value exposures of these transactions were not significant. The intermediated derivative transactions with members and derivative counterparties were collateralized.

Loans to Other Federal Home Loan Banks

There were no overnight loans extended to other FHLBanks in the three months ended March 31, 2024 and March 31, 2023.

55

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Borrowings from Other Federal Home Loan Banks

The FHLBNY borrows from other FHLBanks, generally for a period of one day. There were no borrowings from other FHLBanks in the three months ended March 31, 2024. In the three months ended March 31, 2023, the FHLBNY borrowed a total of $3.3 billion in overnight loans from other FHLBanks. The borrowings averaged $108.3 million for the three months ended March 31, 2023. Interest expense was immaterial.

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

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

Cash and Due from Banks

The compensating cash balances held at Citibank was $15.0 million at March 31, 2024 and December 31, 2023. Citibank is a member and stockholder of the FHLBNY. For more information, see Note 3. Cash and Due from Banks.

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

Related Party: Outstanding Assets, Liabilities and Capital

	March 31, 2024		December 31, 2023
	Related		Related
Assets
Advances	$	107,163,563	$	108,890,128
Accrued interest receivable		525,590		469,880
Liabilities and capital
Deposits	$	2,778,512	$	3,481,853
Mandatorily redeemable capital stock		6,574		7,219
Accrued interest payable		162		171
Affordable Housing Program (a)		201,201		187,027
Capital	$	8,313,247	$	8,244,701

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

Related Party: Income and Expense Transactions

	Three months ended March 31,
	2024		2023
	Related		Related
Interest income
Advances	$	1,608,245	$	1,404,553
Interest-bearing deposits		3		4
Interest expense
Deposits	$	35,046	$	12,538
Mandatorily redeemable capital stock		170		113
Cash collateral held and other borrowings		—		1,239
Service fees and other	$	5,587	$	5,023

56

Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

Note 21.        Segment Information and Concentration.

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

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

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

	March 31, 2024
					Percentage of
					Total Par
			Par		Value		Three Months
	City	State	Advances		of Advances		Interest Income		Percentage (a)
Flagstar Bank, N.A. (b)	Hicksville	NY	$	21,350,000	19.71	%	$	273,350		26.39	%
Citibank, N.A.	New York	NY		15,500,000	14.31			258,696		24.98
MetLife, Inc.:
Metropolitan Life Insurance Company	New York	NY		13,035,000	12.03			121,104		11.69
Metropolitan Tower Life Insurance Company	New York	NY		1,555,000	1.44			15,854		1.53
Subtotal MetLife, Inc.				14,590,000	13.47			136,958		13.22
Teachers Ins. & Annuity Assoc of America	New York	NY		8,034,800	7.41			91,082		8.79
Equitable Financial Life Insurance Company	New York	NY		7,165,063	6.62			92,024		8.88
Manufacturers and Traders Trust Company	Buffalo	NY		6,500,157	6.00			99,078		9.56
New York Life Insurance Company	New York	NY		3,094,000	2.86			27,383		2.64
Valley National Bank (b)	Morristown	NJ		2,624,804	2.42			25,416		2.45
Prudential Insurance Company of America	Newark	NJ		2,619,250	2.42			20,776		2.01
Guardian Life Insurance Co. of America	New York	NY		1,673,605	1.55			11,170		1.08
Total			$	83,151,679	76.77	%	$	1,035,933		100.00	%

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

(b) A director of Flagstar Bank, N.A. (who had been an officer of that institution through and until February 23, 2024) served on the Board of Directors of the FHLBNY as a Member Director through and until March 11, 2024. An officer of Valley National Bank served on the Board of Directors of the FHLBNY as a Member Director throughout the entire quarter.

	December 31, 2023
					Percentage of
			Par		Total Par Value		Twelve Months
	City	State	Advances		of Advances		Interest Income		Percentage (a)
Citibank, N.A.	New York	NY	$	19,500,000	17.76	%	$	984,342		28.99	%
Flagstar Bank, N.A. (b)	Hicksville	NY		17,850,000	16.26			553,872		16.31
MetLife, Inc.:
Metropolitan Life Insurance Company	New York	NY		13,035,000	11.87			474,764		13.98
Metropolitan Tower Life Insurance Company	New York	NY		1,555,000	1.42			56,402		1.66
Subtotal MetLife, Inc.				14,590,000	13.29			531,166		15.64
Equitable Financial Life Insurance Company	New York	NY		7,615,063	6.93			403,051		11.87
Teachers Ins. & Annuity Assoc of America	New York	NY		7,035,500	6.41			249,296		7.34
Manufacturers and Traders Trust Company	Buffalo	NY		5,000,159	4.55			278,246		8.19
New York Life Insurance Company	New York	NY		3,063,000	2.79			96,367		2.84
Prudential Insurance Company of America	Newark	NJ		2,619,250	2.39			83,396		2.46
Valley National Bank (b)	Wayne	NJ		2,539,804	2.31			142,160		4.19
Kearny Bank	Fairfield	NJ		1,667,500	1.52			73,652		2.17
Total			$	81,480,276	74.21	%	$	3,395,548		100.00	%

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Federal Home Loan Bank of New York

Notes to Financial Statements — Unaudited

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

(b) An officer of this member bank served on the Board of Directors of the FHLBNY as a Member Director.

	March 31, 2023
					Percentage of
			Par		Total Par Value		Three Months
	City	State	Advances		of Advances		Interest Income		Percentage (a)
Flagstar Bank, N.A. (b)	Hicksville	NY	$	17,200,000	13.50	%	$	151,904		18.60	%
MetLife, Inc.:
Metropolitan Life Insurance Company	New York	NY		13,735,000	10.78			103,871		12.72
Metropolitan Tower Life Insurance Company	New York	NY		1,555,000	1.22			11,782		1.44
Subtotal MetLife, Inc.				15,290,000	12.00			115,653		14.16
Citibank, N.A.	New York	NY		14,000,000	10.99			205,209		25.12
Signature Bridge Bank, N.A. (c)	New York	NY		10,183,738	7.99			59,587		7.29
Equitable Financial Life Insurance Company	New York	NY		8,366,063	6.56			90,526		11.08
Valley National Bank (b)	Wayne	NJ		7,738,000	6.07			38,000		4.65
Teachers Ins. & Annuity Assoc of America	New York	NY		6,722,500	5.28			63,162		7.73
Manufacturers and Traders Trust Company	Buffalo	NY		6,000,166	4.71			56,344		6.90
Goldman Sachs Bank USA	New York	NY		4,400,000	3.45			11,262		1.38
New York Life Insurance Company	New York	NY		3,013,000	2.36			25,239		3.09
Total			$	92,913,467	72.91	%	$	816,886		100.00	%

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

(b) An officer of these members served on the Board of Directors of the FHLBNY as a Member Director.

(c) A Member institution Signature Bank was taken into possession by their regulator, the New York State Department of Financial Services and placed into receivership with the FDIC. Signature Bridge Bank, N.A. was created by the FDIC to assume Signature Bank's assets and deposits on March 12, 2023. Signature Bank's outstanding commitments to the FHLBNY were transferred to Signature Bridge Bank, N.A. and were paid off in July, 2023.

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

Forward-Looking Statements

Statements contained in this Annual Report on Form 10-Q, including statements describing the objectives, projections, estimates, or predictions of the Federal Home Loan Bank of New York (“we” “us,” “our,” “the Bank” or the “FHLBNY”) may be “forward-looking statements” within the meaning of Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934. These statements may use forward-looking terminology, such as “anticipates,” “believes,” “could,” “estimates,” “may,” “should,” “will,” or other variations on these terms or their negatives. The Bank cautions that, by their nature, forward-looking statements are subject to a number of risks or uncertainties, including the Risk Factors set forth in Part 1, Item 1A of our Annual Report on Form 10-K for the fiscal year ended December 31, 2023, filed with the SEC on March 21, 2024 (the “2023 Annual Report”), and the risks set forth below, and that actual results could differ materially from those expressed or implied in these forward-looking statements. As a result, you are cautioned not to place undue reliance on such statements. These forward-looking statements speak only as of the date they were made, and the Bank does not undertake to update any forward-looking statement herein. Forward-looking statements include, among others, the following:

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

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

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

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

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

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

● 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 of our 2023 Annual Report, and the risks set forth below:

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

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

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

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

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

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

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

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

● timing and volume of market activity;

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

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

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

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

59

● 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.

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

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

	Page
Executive Overview	62
First Quarter 2024 Financial Results	63
Financial Condition	63
Financial Condition	68
Advances	70
Investments	76
Mortgage Loans Held-for-Portfolio, Net	81
Debt Financing Activity and Consolidated Obligations	82
Stockholders’ Capital	87
Derivative Instruments and Hedging Activities	89
Liquidity, Cash Flows, Short-Term Borrowings and Short-Term Debt	91
Results of Operations	94
Net Income	94
Net Interest Income, Interest Rate Margin and Interest Rate Spreads	96
Interest Income	99
Interest Expense	101
Analysis of Non-Interest Income (Loss)	103
Operating Expenses, Compensation and Benefits, and Other Expenses	104
Assessments	105
Legislative and Regulatory Developments	105

MD&A TABLE REFERENCE
Table(s)	Description	Page(s)
	Selected Financial Data	66-67
1.1	Financial Condition	68
2.1 - 2.8	Advances	70-75
3.1 - 3.8	Investments	76-80
4.1 - 4.3	Mortgage Loans	81-82
5.1 - 5.10	Consolidated Obligations	83-87
6.1 - 6.4	Capital	87-89
7.1	Derivatives	89-91
8.1 – 8.3	Liquidity	92-92
9.1 - 9.11	Results of Operations	95-104
10.1	Assessments	105

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Executive Overview

This overview of management’s discussion and analysis highlights selected information and may not contain all of the information that is important to readers of this Form 10-Q. For a more complete understanding of events, trends and uncertainties, as well as the liquidity, capital, credit and market risks, and critical accounting estimates, affecting the Federal Home Loan Bank of New York (FHLBNY or Bank), this Form 10-Q should be read in its entirety and in conjunction with the Bank’s most recent 2023 Form 10-K filed on March 21, 2024.

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 successfully execute on our foundational liquidity mission and is reflected in our strong results for the first quarter of 2024.

Finance Agency’s Review and Analysis of the Federal Home Loan Bank System. The Finance Agency provided an update on its plan to implement “FHLBank System 100; Focusing on the Future” report’s recommendations and announced key priorities for 2024. Among others, these priorities include (1) clarifying the FHLBank System mission; (2) aligning eligibility requirements for different types of FHLBank members; (3) streamlining requirements related to the Affordable Housing Program; and (4) strengthening FHLBank evaluation of member creditworthiness. The Finance Agency stated that it would maintain transparency and continue robust stakeholder engagement during the implementation process, including seeking input on FHLBank mission achievement and members’ connection to housing and community development. The Bank continues to monitor the Finance Agency’s efforts to implement the recommendations from the report, and we are not able to predict what actions will ultimately result, the timing or extent of any actions or changes, 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 in an effort to ensure that the FHLBank System remains well positioned to serve our members and their communities.

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First Quarter 2024 Financial Results

Net income — Net income for the first quarter of 2024 was $220.5 million, an increase of $22.0 million, or 11.1%, from net income of $198.5 million for the same period in 2023. Our Net income is primarily driven by Net interest income, which is the spread between yields earned on advances, mortgage-backed securities, and other investments and the cost of debt.

Net Interest Income — Net interest income for the first quarter of 2024 was $265.0 million, an increase of $35.3 million, or 15.4%, from $229.7 million for the same period in 2023. This increase was primarily attributed to increases in yields on interest-earning assets of 84 basis points and in average earning assets balances of $5.7 billion to $169.4 billion in the 2024 first quarter compared with $163.7 billion in the same period in 2023. Average advances balances decreased $4.0 billion to $111.5 billion in the 2024 first quarter, down from $115.5 billion in the 2023 first quarter. In the first quarter of 2024, the Bank benefited from this increase in yields and drove growth in return on capital. Net interest spread decreased to 34 basis points in the first quarter of 2024 compared to 35 basis points in the same period in 2023.

Return on average equity (ROE) for the first quarter of 2024 was 10.58%, compared to ROE of 9.61% for the same period in 2023.

Other income (loss) — Other income (loss) decreased by $5.2 million, resulting from a smaller gain of $35.9 million in the first quarter of 2024 compared to a gain of $41.0 million in the same period of 2023. Primary components are summarized below:

● Financial instruments carried at fair values — FVO instruments reported fair value losses of $11.0 million and $39.4 million in the first quarter of 2024 and 2023 respectively.

● Derivative activities reported gains in Other income of $87.6 million in the first quarter of 2024 and losses of $31.8 million in the first quarter of 2023. The gains 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 losses of the portfolio of U.S. Treasury securities held for liquidity.

● U.S. Treasury Securities held for liquidity (classified as trading) reported marked-to-market losses of $50.7 million in the first quarter of 2024 and gains of $101.9 million in the first quarter of 2023. The marked-to-market losses 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 $4.6 million in the first quarter of 2024, compared to net gains of $4.3 million in the same period of the prior year.

Other expenses were $56.3 million for the first quarter of the current year, compared to $50.1 million for the same period in the prior year. Other expenses are primarily Operating expenses, Compensation and benefits, and our share of expenses of the Office of Finance and the Federal Housing Finance Agency.

Affordable Housing Program Assessments (AHP) allocated from Net income were $24.5 million for the first quarter of the current year, compared to $22.1 million for the same period in the prior year. Assessments are calculated as a percentage of Net income, and changes in allocations were proportional with changes in Net income.

Dividend payments — A quarterly cash dividend of $2.46 per share (9.75% annualized) was paid in the first quarter of the current year, compared to $1.89 per share (7.50% annualized) in the same period of the prior year.

Financial Condition — March 31, 2024 compared to December 31, 2023

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

Total assets increased to $159.6 billion at March 31, 2024 up from $158.3 billion at December 31, 2023, an increase of $1.3 billion, or 0.8%. As of March 31, 2024, advances were $107.2 billion, a decrease of $1.7 billion, or 1.6%, from $108.9 billion at December 31, 2023.

Cash at banks was $46.4 million at March 31, 2024, compared to $48.2 million at December 31, 2023.

63

Liquidity investments — Money market investments at March 31, 2024 were $13.7 billion in federal funds sold and $5.7 billion in overnight resale agreements. At December 31, 2023, money market investments were $9.6 billion in federal funds sold and $7.8 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 $2.8 billion and $1.9 billion at March 31, 2024 and December 31, 2023, 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 at March 31, 2024 and December 31, 2023.

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 $8.0 billion at March 31, 2024 and $7.9 billion at March 31, 2023 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 8.1 through Table 8.3 in this MD&A.

Advances — Par balances decreased at March 31, 2024 to $108.3 billion, compared to $109.8 billion at December 31, 2023. Short-term fixed-rate advances decreased by 21.2% to $10.3 billion at March 31, 2024, down from $13.0 billion at December 31, 2023. ARC advances, which are adjustable-rate borrowings, increased by 16.9% to $41.7 billion at March 31, 2024, compared to $35.7 billion at December 31, 2023. 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 $384.7 million and $396.1 million at March 31, 2024 and December 31, 2023, 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 $7.6 billion and $7.5 billion at March 31, 2024 and December 31, 2023, respectively.

State and local housing finance agency obligations, primarily New York and New Jersey, were carried as AFS securities at $1.2 billion at March 31, 2024, slightly lower than the balance at December 31, 2023.

In the HTM portfolio, long-term investments were predominantly GSE-issued fixed- and floating-rate mortgage-backed securities and a portfolio of housing finance agency bonds. Fixed- and floating-rate mortgage-backed securities in the HTM portfolio were $11.8 billion and $11.7 billion at March 31, 2024 and December 31, 2023, 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 March 31, 2024 and December 31, 2023.

In the HTM portfolio, State and local housing finance agency obligations were $0.2 billion at March 31, 2024 and December 31, 2023. Allowance for credit losses on State and local housing finance agency obligations in the HTM portfolio was $0.1 million at March 31, 2024, slightly lower than the balance at December 31, 2023.

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 $96.2 million at March 31, 2024 and $91.9 million at December 31, 2023.

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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 March 31, 2024, a decrease of $35.7 million from the balance at December 31, 2023. Unpaid principal balance of MAP loans stood at $488.4 million at March 31, 2024 compared to $442.1 million at December 31, 2023.

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 March 31, 2024, were lower than December 31, 2023. Allowance for credit losses decreased to $2.9 million at March 31, 2024 compared to $3.3 million at December 31, 2023.

Capital ratios — Our capital position remains strong. Actual risk-based capital was $8.4 billion at both March 31, 2024 and December 31, 2023. Required risk-based capital was $1.2 billion at March 31, 2024 compared to $1.4 billion at December 31, 2023. To support $159.6 billion of total assets at March 31, 2024, the minimum required total capital was $6.4 billion or 4.0% of assets. Our actual regulatory risk-based capital was $8.4 billion, exceeding required total capital by $2.0 billion. These ratios have remained consistently above the required regulatory ratios through all periods in this report.

Leverage — At March 31, 2024 balance sheet leverage (based on U.S. GAAP) was 19.2 times shareholders’ equity, unchanged from December 31, 2023. 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.

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Selected Financial Data (Unaudited).

Statements of Condition	March 31,			December 31,			September 30,			June 30,			March 31,
(dollars in millions)	2024			2023			2023			2023			2023
Investments (a)	$	49,326		$	46,359		$	39,955		$	59,806		$	56,765
Advances		107,164			108,890			101,488			108,573			126,251
Mortgage loans held-for-portfolio, net (b)		2,191			2,180			2,165			2,139			2,094
Total assets		159,630			158,333			144,421			171,408			185,937
Deposits and borrowings		2,779			3,482			2,721			2,927			3,782
Consolidated obligations, net
Bonds		92,534			97,569			96,374			101,049			112,475
Discount notes		54,881			47,907			36,397			57,912			59,922
Total consolidated obligations		147,415			145,476			132,771			158,961			172,397
Mandatorily redeemable capital stock		7			7			7			7			6
AHP liability		201			187			171			159			144
Capital
Capital stock		5,986			6,050			5,750			6,362			6,860
Retained earnings
Unrestricted		1,310			1,277			1,291			1,288			1,238
Restricted		1,105			1,061			1,030			994			951
Total retained earnings		2,415			2,338			2,321			2,282			2,189
Accumulated other comprehensive income (loss)		(88)			(143)			(189)			(126)			(182)
Total capital		8,313			8,245			7,882			8,518			8,867
Equity to asset ratio (c)(j)		5.21	%		5.21	%		5.46	%		4.97	%		4.77	%

	Three months ended
Statements of Condition	March 31,		December 31,		September 30,		June 30,		March 31,
Averages (See note below; dollars in millions)	2024		2023		2023		2023			2023
Investments (a)	$	54,952	$	48,912	$	47,125	$	57,880	$	44,793
Advances		111,466		103,172		100,026		122,518		115,452
Mortgage loans held-for-portfolio, net		2,188		2,173		2,150		2,122		2,099
Total assets		170,379		156,384		151,570		184,653		166,562
Interest-bearing deposits and other borrowings		2,703		3,311		3,044		2,825		3,060
Consolidated obligations, net
Bonds		98,350		101,253		96,223		108,638		98,634
Discount notes		58,790		41,548		41,562		62,001		53,910
Total consolidated obligations		157,140		142,801		137,785		170,639		152,544
Mandatorily redeemable capital stock		7		7		9		7		6
AHP liability		192		171		162		146		136
Capital
Capital stock		6,171		5,821		5,777		6,762		6,390
Retained earnings
Unrestricted		1,268		1,268		1,270		1,235		1,185
Restricted		1,078		1,042		1,007		965		924
Total retained earnings		2,346		2,310		2,277		2,200		2,109
Accumulated other comprehensive income (loss)		(132)		(213)		(147)		(167)		(119)
Total capital		8,385		7,918		7,907		8,795		8,380

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

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Operating Results and Other Data

	Three months ended
	March 31,			December 31,			September 30,			June 30,			March 31,
(dollars in millions, except earnings and dividends per share, and headcount)	2024			2023			2023			2023			2023
Net income	$	220		$	155		$	182		$	215		$	199
Net interest income (d)		265			248			242			275			230
Dividends paid in cash (e)		143			138			143			122			106
AHP expense		25			17			20			24			22
Return on average equity (f)(g)(j)		10.58	%		7.76	%		9.13	%		9.84	%		9.61	%
Return on average assets (g)(j)		0.52	%		0.39	%		0.48	%		0.47	%		0.48	%
Other non-interest income (loss)		36			6			12			18			41
Operating expenses (h)		48			55			45			44			44
Finance Agency and Office of Finance expenses		5			5			5			5			5
Total other expenses (k)		56			82			52			52			50
Operating expenses ratio (g)(i)(j)		0.11	%		0.14	%		0.12	%		0.10	%		0.11	%
Earnings per share	$	3.57		$	2.70		$	3.15		$	3.19		$	3.11
Dividends per share	$	2.46		$	2.39		$	2.12		$	1.91		$	1.89
Headcount (Full/part time) (l)		362			345			341			335			333

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

(b) Allowances for credit losses were $2.9 million, $3.3 million, $3.4 million, $3.5 million, and $1.8 million for the periods ended March 31, 2024, December 31, 2023, September 30, 2023, June 30, 2023, March 31, 2023, respectively.

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

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

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

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

(g) Annualized.

(h) Operating expenses include Compensation and Benefits.

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

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

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

(l) The Bank increased headcount to enhance its infrastructure including risk management and technology.

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Financial Condition

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

					Net change in		Net change in
(Dollars in thousands)	March 31, 2024		December 31, 2023		dollar amount		percentage
Assets
Cash and due from banks	$	46,433	$	48,198	$	(1,765)	(3.66)	%
Interest-bearing deposits		2,805,000		1,945,000		860,000	44.22
Securities purchased under agreements to resell		5,670,000		7,820,000		(2,150,000)	(27.49)
Federal funds sold		13,745,000		9,640,000		4,105,000	42.58
Trading securities		5,850,389		5,886,421		(36,032)	(0.61)
Equity Investments		96,151		91,879		4,272	4.65
Available-for-sale securities		9,210,694		9,106,743		103,951	1.14
Held-to-maturity securities		11,948,409		11,869,328		79,081	0.67
Advances		107,163,563		108,890,128		(1,726,565)	(1.59)
Mortgage loans held-for-portfolio		2,191,240		2,179,766		11,474	0.53
Accrued interest receivable		647,563		581,608		65,955	11.34
Premises, software, and equipment		71,895		74,043		(2,148)	(2.90)
Operating lease right-of-use assets		53,461		54,862		(1,401)	(2.55)
Financing lease right-of-use assets		2,199		2,317		(118)	(5.09)
Derivative assets		111,366		125,202		(13,836)	(11.05)
Other assets		16,489		17,704		(1,215)	(6.86)
Total assets	$	159,629,852	$	158,333,199	$	1,296,653	0.82	%
Liabilities
Deposits
Interest-bearing demand	$	2,770,619	$	3,472,477	$	(701,858)	(20.21)	%
Non-interest-bearing demand		7,893		9,376		(1,483)	(15.82)
Total deposits		2,778,512		3,481,853		(703,341)	(20.20)
Consolidated obligations
Bonds		92,533,788		97,569,062		(5,035,274)	(5.16)
Discount notes		54,880,897		47,906,908		6,973,989	14.56
Total consolidated obligations		147,414,685		145,475,970		1,938,715	1.33
Mandatorily redeemable capital stock		6,574		7,219		(645)	(8.93)
Accrued interest payable		681,348		716,021		(34,673)	(4.84)
Affordable Housing Program		201,201		187,027		14,174	7.58
Derivative liabilities		32,743		12,409		20,334	163.86
Other liabilities		133,798		138,658		(4,860)	(3.51)
Operating lease liabilities		65,407		67,021		(1,614)	(2.41)
Financing lease liabilities		2,337		2,320		17	0.73
Total liabilities		151,316,605		150,088,498		1,228,107	0.82
Capital		8,313,247		8,244,701		68,546	0.83
Total liabilities and capital	$	159,629,852	$	158,333,199	$	1,296,653	0.82	%

Balance Sheet overview March 31, 2024 and December 31, 2023

Total assets increased to $159.6 billion at March 31, 2024 from $158.3 billion at December 31, 2023, an increase of $1.3 billion, or 0.8%.

Cash at banks was $46.4 million at March 31, 2024, compared to $48.2 million at December 31, 2023.

Money market investments at March 31, 2024 were $13.7 billion in federal funds sold and $5.7 billion in overnight resale agreements. At December 31, 2023, money market investments were $9.6 billion in federal funds sold and $7.8 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 $19.7 billion, $17.0 billion and $14.5 billion in the first quarter of 2024, the fourth quarter of 2023 and the first quarter of 2023, respectively. Resale agreements averaged $5.4 billion, $3.3 billion and $4.2 billion in the first quarter of 2024, the fourth quarter of 2023 and the first quarter of 2023, respectively. Money market investments also included interest-bearing deposits at highly-rated financial institutions. Balances were $2.8 billion and $1.9 billion at March 31, 2024 and December 31, 2023, respectively.

Advances — Par balances decreased at March 31, 2024 to $108.3 billion, compared to $109.8 billion at December 31, 2023. Short-term fixed-rate advances decreased by 21.2% to $10.3 billion at March 31, 2024, down from $13.0 billion at December 31, 2023. ARC advances, which are adjustable-rate borrowings, increased by 16.9% to $41.7 billion at March 31, 2024, compared to $35.7 billion at December 31, 2023.

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

In the AFS portfolio, long-term investments of floating-rate GSE-issued mortgage-backed securities were carried on the balance sheet at fair values of $384.7 million at March 31, 2024 and $396.1 million at December 31, 2023. 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 $7.6 billion at March 31, 2024 and $7.5 billion at December 31, 2023. We acquired $0.6 billion (par) of fixed-rate GSE-issued MBS in the first quarter of 2024.

State and local housing finance agency obligations, primarily New York and New Jersey, were carried as AFS securities at $1.2 billion at March 31, 2024, slightly lower than the balance at December 31, 2023.

In the HTM portfolio, long-term investments were predominantly GSE-issued fixed- and floating-rate mortgage-backed securities and a small portfolio of housing finance agency bonds. Fixed- and floating-rate mortgage-backed securities in the HTM portfolio were $11.8 billion at March 31, 2024 and $11.7 billion at December 31, 2023. We acquired $0.7 billion (par) of floating-rate and $0.1 billion (par) of fixed-rate GSE-issued MBS in the first quarter of 2024.

State and local housing finance agency obligations, primarily New York and New Jersey, were carried as HTM securities at $0.2 billion at March 31, 2024 and December 31, 2023.

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 March 31, 2024 and December 31, 2023, trading investments were $5.9 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 $96.2 million at March 31, 2024 and $91.9 million at December 31, 2023.

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 March 31, 2024, a decrease of $35.7 million from the balance at December 31, 2023. Loans are primarily fixed-rate, single-family mortgages acquired through the MPF Program. Unpaid principal balance of MAP loans stood at $488.4 million at March 31, 2024, an increase of $46.3 million from the balance at December 31, 2023. Paydowns for the total portfolio for three months ended March 31, 2024 were $42.8 million compared to $39.8 million for the same period in 2023. Acquisitions for the three months ended March 31, 2024 were $54.7 million compared to $27.6 million for the same period in 2023. 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 March 31, 2024 were lower than December 31, 2023. Allowance for credit losses decreased to $2.9 million at March 31, 2024 compared to $3.3 million at December 31, 2023.

Capital ratios — Our capital position remains strong. Actual risk-based capital was $8.4 billion at both March 31, 2024 and December 31, 2023. Required risk-based capital was $1.2 billion at March 31, 2024 compared to $1.4 billion at December 31, 2023. To support $159.6 billion of total assets at March 31, 2024, the minimum required total capital was $6.4 billion or 4.0% of assets. Our actual regulatory risk-based capital was $8.4 billion, exceeding required total capital by $2.0 billion. These ratios have remained consistently above the required regulatory ratios through all periods in this report. For more information, see financial statements, Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings.

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Leverage — At March 31, 2024 balance sheet leverage (based on U.S. GAAP) was 19.2 times shareholders’ equity, unchanged from December 31, 2023. 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, 2024 included $31.7 million as demand cash balances at the FRBNY, $19.4 billion in short-term and overnight investments in the federal funds and resale agreements, and $8.0 billion of high credit quality GSE-issued available-for-sale securities that are investment quality and readily marketable.

We also have other regulatory liquidity measures in place, including deposit liquidity and operational liquidity, and other liquidity buffers.

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

Replacement of London Interbank Offered Rates (LIBOR) — The FHLBNY has transitioned all LIBOR-indexed instruments and has no LIBOR exposure at December 31, 2023.

Advances

Our primary business is making collateralized loans to members, referred to as advances. Generally, the growth or decline in advances is reflective of demand by members for both short-term liquidity and term funding. This demand is driven by economic factors such as availability of alternative funding sources that are more attractive, or by the interest rate environment and the outlook for the economy. Members may choose to prepay advances (which may generate prepayment 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. From time to time, certain advances are hedged by interest rate swaps in economic hedges and the fair value option (FVO) is elected on an instrument-by-instrument basis for advances.

Carrying values of advances outstanding were $107.2 billion at March 31, 2024 and $108.9 billion at December 31, 2023. Carrying values included cumulative hedging basis adjustment losses of $1.1 billion at March 31, 2024 and $0.9 billion at December 31, 2023.

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Table 2.1    Advance Trends

Member demand for advance products

Future demand from our members for advances is difficult to forecast as it is uncertain what the impact will be on our members’ businesses from multiple uncertainties, including supply of deposits and other funding to members’ businesses, risk of credit losses, and other potential disruptions to our members’ businesses.

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

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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 2.2    Advances by Product Type

	March 31, 2024					December 31, 2023
			Percentage					Percentage
	Amounts		of Total			Amounts		of Total
Adjustable Rate Credit - ARCs	$	41,688,390		38.48	%	$	35,663,390	32.49	%
Fixed-Rate Advances		50,622,171		46.74			53,024,265	48.29
Short-Term Advances		10,289,054		9.50			13,049,894	11.89
Mortgage Matched Advances		439,859		0.41			421,544	0.38
Overnight & Line of Credit (OLOC) Advances		2,231,120		2.06			4,516,962	4.11
All other categories		3,042,261		2.81			3,119,096	2.84
Total par value		108,312,855		100.00	%		109,795,151	100.00	%
Advance discounts		(8,607)					(7,878)
Hedge valuation basis adjustments		(1,140,685)					(897,145)
Total	$	107,163,563				$	108,890,128

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.

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The following table summarizes pledged collateral (in thousands):

Table 2.3    Collateral Supporting Indebtedness to Members

	Indebtedness						Collateral (a)
			Other		Total				Securities and
	Advances (b)		Obligations (c)		Indebtedness		Loans (d)		Deposits (d)		Total (d)
March 31, 2024	$	108,312,855	$	22,425,372	$	130,738,227	$	365,751,632	$	69,373,750	$	435,125,382
December 31, 2023	$	109,795,151	$	20,939,733	$	130,734,884	$	358,853,921	$	70,552,994	$	429,406,915

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

(b) Par value.

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

(d) Estimated market value.

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

Table 2.4    Location of Collateral Held

	Estimated Market Values
	Collateral in				Total
	Physical		Collateral		Collateral
	Possession		Specifically Listed		Received
March 31, 2024	$	70,743,756	$	364,381,626	$	435,125,382
December 31, 2023	$	71,812,944	$	357,593,971	$	429,406,915

Advances — Interest Rate Terms

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

Table 2.5    Advances by Interest-Rate Payment Terms

	March 31, 2024					December 31, 2023
			Percentage					Percentage
	Amount		of Total			Amount		of Total
Fixed-rate (a)	$	65,952,465		60.89	%	$	73,209,674	66.68	%
Variable-rate (b)		42,360,390		39.11			36,585,390	33.32
Variable-rate capped or floored (c)		—		—			—	—
Overdrawn demand deposit accounts		—		—			87	—
Total par value		108,312,855		100.00	%		109,795,151	100.00	%
Advance discounts		(8,607)					(7,878)
Hedge valuation basis adjustments		(1,140,685)					(897,145)
Total	$	107,163,563				$	108,890,128

(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 March 31, 2024, with only 5.9% of advances in the remaining maturity bucket of greater than 5 years (6.4% at December 31, 2023). For more information, see financial statements Note 9. Advances.

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

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

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

Table 2.6    Advances by Redemption Term

	March 31, 2024					December 31, 2023				Change
Redemption Term (dollars in thousands)	Amount		Percentage			Amount		Percentage		Amount		Percentage
Fixed-rate
Due in 1 year or less	$	37,626,254		34.74	%	$	42,366,512	38.59	%	$	(4,740,258)	(11.19)	%
Due after 1 year through 3 years		14,016,442		12.94			13,976,570	12.72			39,872	0.29
Due after 3 years through 5 years		8,011,868		7.40			9,536,618	8.69			(1,524,750)	(15.99)
Due after 5 years through 15 years		4,571,092		4.22			4,386,479	4.00			184,613	4.21
Thereafter		—		—			—	—			—	NM
Total principal amount		64,225,656		59.30			70,266,179	64.00			(6,040,523)	(8.60)
Fixed-rate, putable
Due in 1 year or less		—		—			—	—			—	NM
Due after 1 year through 3 years		231,450		0.21			181,450	0.17			50,000	27.56
Due after 3 years through 5 years		203,000		0.19			738,000	0.67			(535,000)	(72.49)
Due after 5 years through 15 years		852,500		0.79			1,602,500	1.46			(750,000)	(46.80)
Thereafter		—		—			—	—			—	NM
Total principal amount		1,286,950		1.19			2,521,950	2.30			(1,235,000)	(48.97)
Variable-rate
Due in 1 year or less		26,620,390		24.58			22,845,390	20.81			3,775,000	16.52
Due after 1 year through 3 years		11,240,000		10.38			8,727,000	7.95			2,513,000	28.80
Due after 3 years through 5 years		3,500,000		3.23			4,013,000	3.65			(513,000)	(12.78)
Due after 5 years through 15 years		1,000,000		0.92			1,000,000	0.91			—	—
Thereafter		—		—			—	—			—	NM
Total principal amount		42,360,390		39.11			36,585,390	33.32			5,775,000	15.78
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		79,647		0.07			76,940	0.07			2,707	3.52
Due after 1 year through 3 years		147,230		0.14			145,209	0.13			2,021	1.39
Due after 3 years through 5 years		209,436		0.19			195,459	0.18			13,977	7.15
Due after 5 years through 15 years		3,409		—			3,731	—			(322)	(8.63)
Thereafter		137		—			206	—			(69)	(33.50)
Total principal amount		439,859		0.40			421,545	0.38			18,314	4.34
Overdrawn and overnight deposit accounts		—		—			87	—			(87)	(100.00)
Total principal amount advances		108,312,855		100.00	%		109,795,151	100.00	%		(1,482,296)	(1.35)	%
Other adjustments, net (c)		(1,149,292)					(905,023)				(244,269)
Total advances	$	107,163,563				$	108,890,128			$	(1,726,565)

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

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

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

NM — Not meaningful.

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

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

Table 2.7    Hedged Advances by Type

Par Amount	March 31, 2024		December 31, 2023
Qualifying hedges
Fixed-rate bullets (a)	$	48,105,842	$	49,092,527
Fixed-rate putable (b)		1,286,950		2,521,950
Fixed-rate with embedded cap		—		—
Total qualifying hedges	$	49,392,792	$	51,614,477
Aggregate par amount of advances hedged (c)	$	49,874,092	$	53,922,377
Fair value basis (hedging adjustments)	$	(1,140,685)	$	(897,145)

(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 March 31, 2024 and December 31, 2023, there was no basis swaps outstanding. The carrying value of the advances in the economic hedge would not include fair value basis since the advance is recorded at amortized cost.

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

Table 2.8    Putable and Callable Advances

	Advances
Par Amount	March 31, 2024		December 31, 2023
Putable (a)	$	1,286,950	$	2,521,950
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 we do not need them for liquidity purposes and market conditions deem the sale as advantageous.

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

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

Table 3.1    Investments by Categories

	March 31,		December 31,		Dollar		Percentage
	2024		2023		Variance		Variance
State and local housing finance agency obligations, net (a)
Available-for-sale securities, at fair value	$	1,227,090	$	1,228,238	$	(1,148)	(0.09)	%
Held-to-maturity securities, at carrying value, net		165,587		166,062		(475)	(0.29)
Total HFA securities		1,392,677		1,394,300		(1,623)	(0.12)
Trading securities (b)		5,850,389		5,886,421		(36,032)	(0.61)
Mortgage-backed securities
Available-for-sale securities, at fair value (c)		7,983,604		7,878,505		105,099	1.33
Held-to-maturity securities, at carrying value, net (c)		11,782,822		11,703,266		79,556	0.68
Total MBS securities		19,766,426		19,581,771		184,655	0.94
Equity investments in Grantor trusts (d)		96,151		91,879		4,272	4.65
Interest-bearing deposits		2,805,000		1,945,000		860,000	44.22
Securities purchased under agreements to resell		5,670,000		7,820,000		(2,150,000)	(27.49)
Federal funds sold		13,745,000		9,640,000		4,105,000	42.58
Total Investments	$	49,325,643	$	46,359,371	$	2,966,272	6.40	%

(a) State and local housing finance agency bonds are designated as both AFS, carried at fair values and HTM, carried at carrying value. There were no acquisitions of State and local housing finance agency bonds for the three months ending March 31, 2024 and paydowns were $0.5 million in the HTM portfolio for the same period.

(b) Trading securities comprised of U.S. Treasury securities at March 31, 2024 and are carried at fair value. Trading portfolio is for liquidity and not for speculative purposes. There were no new purchase of trading securities in the first quarter of 2024.

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

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

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

Table 3.2    Investment Debt Securities Issuer Concentration

	March 31, 2024						December 31, 2023
					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	$	2,349,845	$	2,332,270	28.27	%	$	2,261,695	$	2,242,039	27.43	%
Freddie Mac		17,375,165		17,022,527	209.01			17,276,218		16,967,872	209.54
Ginnie Mae		6,395		6,395	0.08			6,563		6,563	0.08
All Others - PLMBS		35,021		37,267	0.42			37,295		40,199	0.45
Non-MBS, net (b)		1,392,677		1,380,594	16.75			1,394,300		1,381,971	16.91
Total Investment Debt Securities	$	21,159,103	$	20,779,053	254.53	%	$	20,976,071	$	20,638,644	254.41	%
Categorized as:
Available-for-Sale Securities	$	9,210,694	$	9,210,694			$	9,106,743	$	9,106,743
Held-to-Maturity Securities, net	$	11,948,409	$	11,568,359			$	11,869,328	$	11,531,901

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

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

(c) Excludes Trading portfolio.

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

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

	March 31, 2024
									Below
									Investment
	AAA-rated (a)		AA-rated (b)		A-rated		BBB-rated		Grade		Total
Mortgage-backed securities	$	114	$	11,748,796	$	23,667	$	208	$	10,037	$	11,782,822
State and local housing finance agency obligations		—		165,587		—		—		—		165,587
Total Long-term securities	$	114	$	11,914,383	$	23,667	$	208	$	10,037	$	11,948,409

	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

See footnotes (a) and (b) under Table 4.4.

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

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

	March 31, 2024
									Below
									Investment
	AAA-rated (a)		AA-rated (b)		A-rated		BBB-rated		Grade		Total
Mortgage-backed securities	$	—	$	7,983,604	$	—	$	—	$	—	$	7,983,604
State and local housing finance agency obligations		167,693		1,059,397		—		—		—		1,227,090
Total Long-term securities	$	167,693	$	9,043,001	$	—	$	—	$	—	$	9,210,694

	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

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.

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

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

	March 31, 2024				December 31, 2023
	Amortized		Weighted		Amortized		Weighted
	Cost		Average Rate (a)		Cost		Average Rate (a)
Mortgage-backed securities
Due in one year or less	$	710,582	3.12	%	$	536,177	3.32	%
Due after one year through five years		7,339,446	3.64			6,791,088	3.71
Due after five years through ten years		8,430,976	3.48			9,144,239	3.39
Due after ten years		3,455,575	5.41			3,318,297	5.35
Total Mortgage-backed securities	$	19,936,579	3.86	%	$	19,789,801	3.83	%

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

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

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

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

Table 3.6    Fair Value Hedges of Fixed-Rate Prepayable CMBS

	Fair Value Hedges of Fixed-Rate Prepayable CMBS
	March 31, 2024		December 31, 2023
Current face value of hedged CMBS	$	6,920,604	$	6,720,604
Partial-term hedge face value of hedged CMBS	$	6,222,000	$	6,040,000
Cumulative basis adjustment gains (losses)	$	(625,816)	$	(505,344)
Interest rate swap contracts (par)	$	6,222,000	$	6,040,000

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 $5.7 billion at March 31, 2024 and $7.8 billion at December 31, 2023. Resale agreements averaged $5.4 billion and $3.3 billion in the first quarter of 2024, and the fourth quarter of 2023, 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 $13.7 billion at March 31, 2024, and $9.6 billion at December 31, 2023, and averaged $19.7 billion and $17.0 billion in the first quarter of 2024 and the fourth quarter of 2023, respectively. Investments represent unsecured lending to major banks and financial institutions. We are a major lender in this market, particularly in the overnight market. The amount of unsecured credit risk that may be extended to individual counterparties is commensurate with the counterparty’s credit quality as assessed by our management, and the assessment would include reviews of credit ratings of counterparty’s debt securities or deposits as reported by NRSROs. Overnight and short-term federal funds allow us to warehouse funds and provide balance sheet liquidity to meet unexpected member borrowing demands.

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

Table 3.7    Trading Securities

	Trading Securities
	March 31, 2024		December 31, 2023
Par value	$	6,325,925	$	6,325,925
Amortized cost	$	6,163,135	$	6,148,424
Carrying/Fair value	$	5,850,389	$	5,886,421

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 we do not need them for liquidity purposes and market conditions deem the sale as advantageous. For more information about fair values of securities in the trading portfolio, see Note 5. Trading Securities in the Notes to the Financial Statements.

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

Table 3.8    Economic Hedges of Fixed-rate Liquidity Trading Securities

	Economic Hedges of Fixed-Rate Trading
	Securities
	March 31, 2024		December 31, 2023
Par/Face amounts of portfolio of U.S. Treasury fixed-rate securities (a)	$	6,325,925	$	6,325,925
Par amounts of interest rate swaps	$	6,325,925	$	6,325,925

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

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Mortgage Loans Held-for-Portfolio, Net

Mortgage loans are carried in the Statements of Condition at amortized cost, less allowance for credit losses. The outstanding unpaid principal balance was $2.2 billion at March 31, 2024, an increase of $10.6 million (net of acquisitions and paydowns) from the balance at December 31, 2023. Mortgage loan balances increased due to an increase in acquisitions. During 2024, the Bank purchased $54.7 million of mortgage loans from members and paydowns were $42.8 million. Mortgage loans were investments in Mortgage Partnership Finance loans (MPF or MPF Program) and Mortgage Asset Program (MAP). Serious delinquencies at March 31, 2024 were lower than December 31, 2023. Allowance for credit losses was $2.9 million at March 31, 2024, and $3.3 million at December 31, 2023.

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 insured i.e., insured or guaranteed by the Federal Housing Administration (FHA), the Department of Veterans Affairs (VA) or the Rural Housing Service of the Department of Agriculture (RHS), fixed-rate mortgage loans secured primarily by single-family residential properties with maturities ranging from five to 30 years or participations in such mortgage loans. The FHLBank of Chicago (MPF Provider) developed the MPF Program in order to help fulfill the housing mission and to provide an additional source of liquidity to FHLBank members that choose to sell mortgage loans into the secondary market rather than holding them in their own portfolios. Finance Agency regulations define the acquisition of Acquired Member Assets (AMA) as a core mission activity of the FHLBanks. In order for MPF loans to meet the AMA requirements, the purchase and funding are structured so that the credit risk associated with MPF loans is shared with PFIs.

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

Table 4.1    Mortgage Loans by Conventional and Insured Loans

	March 31, 2024		December 31, 2023
Federal Housing Administration and Veteran Administration insured loans	$	124,887	$	127,147
Conventional loans		2,069,238		2,055,920
Allowance for credit losses on mortgage loans		(2,885)		(3,301)
Total mortgage loans held-for-portfolio, net (a)	$	2,191,240	$	2,179,766

(a) Includes MAP portfolio balance of $496.7 million as of March 31, 2024 and $449.2 million as of December 31, 2023 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 4.2    Geographic Concentration of Mortgage Loans

	March 31, 2024				December 31, 2023
	Number of loans %		Amounts outstanding %		Number of loans %		Amounts outstanding %
New York State	72.4	%	66.4	%	72.7	%	67.1	%

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

	March 31, 2024
		Mortgage	Percent of Total
		Loans	Mortgage Loans
Bethpage Federal Credit Union	$	170,623	7.90	%
Teachers Federal Credit Union		165,527	7.66
Watertown Savings Bank		125,530	5.81
Citizens Bank, N.A.(a)		117,180	5.42
Webster Bank, N.A.(b)		110,540	5.11
All Others		1,471,557	68.10
Total (c)	$	2,160,957	100.00	%

	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	%

(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 March 31, 2024 and $1.7 billion as of December 31, 2023, and MAP unpaid principal balances of $0.5 billion as of March 31, 2024 and $0.4 billion as of December 31, 2023.

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 $147.4 billion and $145.5 billion at March 31, 2024 and December 31, 2023, respectively.

CO bonds and CO discount notes — The carrying value of Consolidated obligation bonds (CO bonds or Consolidated obligation bonds) was $92.5 billion (par, $93.7 billion) at March 31, 2024, compared to $97.6 billion (par, $98.6 billion) at December 31, 2023. The carrying value of Consolidated obligation discount notes outstanding was $54.9 billion at March 31, 2024 and $47.9 billion at December 31, 2023.

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

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

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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 FHLBNY is an active participant in the issuance of SOFR-linked CO bonds. Outstanding balances were $31.3 billion at March 31, 2024 and $26.3 billion at December 31, 2023.

Consolidated obligation bonds

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

Table 5.1    CO Bonds by Type

	March 31, 2024				December 31, 2023
			Percentage				Percentage
	Amount		of Total		Amount		of Total
Fixed-rate, non-callable	$	33,065,060	35.30	%	$	33,066,960	33.52	%
Fixed-rate, callable		26,073,130	27.83			35,735,130	36.23
Step Up, callable		3,178,000	3.39			3,473,000	3.52
Step Down, callable		52,000	0.06			52,000	0.05
Floating rate, callable		—	—			200,000	0.20
Single-index floating rate		31,305,000	33.42			26,118,500	26.48
Total par value		93,673,190	100.00	%		98,645,590	100.00	%
Bond premiums		78,070				81,218
Bond discounts		(24,929)				(24,665)
Hedge valuation basis adjustments (a)		(1,195,856)				(1,126,343)
Hedge basis adjustments on de-designated hedges (b)		105,432				106,686
FVO (c) - valuation adjustments and accrued interest		(102,119)				(113,424)
Total Consolidated obligation bonds	$	92,533,788			$	97,569,062

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

(a) Hedging valuation basis adjustments — The reported carrying values of hedged CO bonds are adjusted for changes in their fair values (fair value basis adjustments or fair value) that are attributable to changes in the benchmark risk being hedged. Our primary benchmarks are SOFR-OIS and Federal Funds-OIS. In the hedging relationships, a benchmark is elected on an instrument-by-instrument basis and becomes the discounting basis under ASC 815 for computing changes in fair values for hedged CO bonds. Table 5.2 CO Bonds Hedged under Qualifying Fair Value Hedges discloses notional amounts of CO bonds hedged. The application of ASC 815 accounting methodology resulted in the recognition of net cumulative hedge valuation basis gains of $1.2 billion at March 31, 2024 and $1.1 billion at December 31, 2023. Generally, hedge valuation basis gains and losses are unrealized and are expected to reverse to zero if the CO bonds are held to maturity or are called on the early option exercise dates.

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

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

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

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

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

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

Table 5.2    CO Bonds Hedged under Qualifying Fair Value Hedges

	Consolidated Obligation Bonds
Par Amount	March 31, 2024		December 31, 2023
Qualifying hedges
Fixed-rate bullet bonds	$	21,043,920	$	19,960,020
Fixed-rate callable bonds		27,754,130		37,173,130
	$	48,798,050	$	57,133,150

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

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

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

	Consolidated Obligation Bonds
Par Amount	March 31, 2024		December 31, 2023
Bonds designated under FVO	$	2,993,965	$	3,893,965

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.

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

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

	Consolidated Obligation Bonds
Par Amount	March 31, 2024		December 31, 2023
Bonds designated as economically hedged
Fixed-rate bonds (b)	$	987,000	$	1,460,000

(a) At March 31, 2024 and December 31, 2023, there were no basis swaps outstanding.

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

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

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

Table 5.5    CO Bonds — Maturity or Next Call Date

	March 31, 2024				December 31, 2023
			Percentage				Percentage
	Amount		of Total		Amount		of Total
Year of maturity or next call date
Due or callable in one year or less	$	66,372,115	70.85	%	$	77,561,045	78.63	%
Due or callable after one year through two years		15,787,630	16.85			9,312,850	9.44
Due or callable after two years through three years		5,096,955	5.44			5,131,155	5.20
Due or callable after three years through four years		1,298,380	1.39			1,676,385	1.70
Due or callable after four years through five years		2,806,365	3.00			2,450,705	2.48
Thereafter		2,311,745	2.47			2,513,450	2.55
Total par value	$	93,673,190	100.00	%	$	98,645,590	100.00	%

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

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

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

	March 31, 2024		December 31, 2023
Callable	$	29,303,130	$	39,460,130
Non-Callable	$	64,370,060	$	59,185,460

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CO Discount Notes

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

Table 5.7    Discount Notes Outstanding

	March 31, 2024			December 31, 2023
Par value	$	56,110,580		$	48,657,920
Amortized cost	$	54,939,651		$	47,914,413
Hedge value basis adjustments (a)		(57,830)			(7,363)
Hedge basis adjustments on de-designated hedges (b)		(924)			(142)
FVO (c) - valuation adjustments and remaining accretion		—			—
Total Consolidated obligation discount notes	$	54,880,897		$	47,906,908
Weighted average interest rate		4.98	%		5.17	%

(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 $48.7 billion and $43.4 billion were hedged under ASC 815 qualifying fair value hedges at March 31, 2024 and December 31, 2023, 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 March 31, 2024 and December 31, 2023.

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

Table 5.8    Fair Value Hedges of Discount Notes

	Consolidated Obligation Discount Notes
Principal Amount	March 31, 2024		December 31, 2023
Discount notes hedged under qualifying hedge	$	48,698,650	$	43,431,306

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

Table 5.9    Economic Hedges of Discount Notes

	Consolidated Obligation Discount Notes
Par Amount	March 31, 2024		December 31, 2023
Discount notes designated as economic hedges (a)	$	1,906,382	$	886,789

(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 5.10    Cash Flow Hedges of Discount Notes

	Consolidated Obligation Discount Notes
Principal Amount	March 31, 2024		December 31, 2023
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 8 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 March 31, 2024 and December 31, 2023.

Accrued interest payable

Accrued interest payable — Amounts outstanding were $681.3 million at March 31, 2024 and $716.0 million at December 31, 2023. 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 $133.8 million at March 31, 2024 and $138.7 million at December 31, 2023. Other liabilities comprised of unfunded pension liabilities, Federal Reserve pass-through reserves held on behalf of members, and miscellaneous payables.

Stockholders’ Capital

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

Table 6.1    Stockholders’ Capital

	March 31, 2024		December 31, 2023
Capital Stock (a)	$	5,986,463	$	6,049,570
Unrestricted retained earnings (b)		1,309,925		1,276,583
Restricted retained earnings (c)		1,105,179		1,061,081
Accumulated Other Comprehensive Income (Loss)		(88,320)		(142,533)
Total Capital	$	8,313,247	$	8,244,701

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

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

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(c) Restricted retained earnings — Restricted retained earnings balance at March 31, 2024 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 March 31, 2024 was $1.5 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 March 31, 2024. Also see Note 14. Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings.

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

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

	March 31, 2024		December 31, 2023
Accumulated other comprehensive income (loss)
Non-credit portion on held-to-maturity securities, net (a)	$	(713)	$	(763)
Net market value unrealized gains (losses) on available-for-sale securities (b)		(797,077)		(713,284)
Net Fair value hedging gains (losses) on available-for-sale securities (b)		625,816		505,344
Net Cash flow hedging gains (losses) (c)		92,552		75,201
Employee supplemental retirement plans (d)		(8,898)		(9,031)
Total Accumulated other comprehensive income (loss)	$	(88,320)	$	(142,533)

(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 $797.1 million at March 31, 2024 and net unrealized losses of $713.3 million at December 31, 2023, represented third-party pricing vendors’ market-based unrealized gains/losses of securities designated as AFS. Net unrealized gains of $625.8 million and $505.3 million at March 31, 2024 and December 31, 2023, represent changes in the benchmark rate (the risk being hedged) calculated by the Bank’s internal models for AFS designated in ASC 815 hedging relationships. Hedging gains and losses are recorded through earnings with an offset to the carrying values of hedged AFS securities. Hedging basis will reverse to zero as hedges mature.

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

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

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

Table 6.3    AOCI Roll forward due to ASC 815 Hedging Programs

	March 31, 2024
	Cash Flow Hedges				Fair Value Hedges
	Rollover Hedge		Anticipatory
	Program		Hedge Program		AFS Securities
Beginning balance	$	76,473	$	(1,272)	$	505,344
Changes in fair values (a)		16,947		(1)		120,472
Amount reclassified		—		287		—
Fair Value - closed contract		—		118		—
Ending balance	$	93,420	$	(868)	$	625,816
Notional amount of swaps outstanding	$	1,608,000	$	20,000	$	6,222,000

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	December 31, 2023
	Cash Flow Hedges				Fair Value Hedges
	Rollover Hedge		Anticipatory
	Program		Hedge Program		AFS Securities
Beginning balance	$	103,468	$	(1,268)	$	575,104
Changes in fair values (a)		(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

	March 31, 2023
	Cash Flow Hedges				Fair Value Hedges
	Rollover Hedge		Anticipatory
	Program		Hedge Program		AFS Securities
Beginning balance	$	103,468	$	(1,268)	$	575,104
Changes in fair values (a)		(24,786)		211		(109,884)
Amount reclassified		—		219		—
Fair Value - closed contract		—		(2,012)		—
Ending balance	$	78,682	$	(2,850)	$	465,220
Notional amount of swaps outstanding	$	1,608,000	$	175,000	$	4,777,000

(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.

The following table summarizes dividends paid and payout ratios:

Table 6.4    Dividends Paid and Payout Ratios

	Three months ended
	March 31, 2024			March 31, 2023
Cash dividends paid per share	$	2.46		$	1.89
Dividends paid (a)(c)	$	143,051		$	105,705
Pay-out ratio (b)		64.88	%		53.24	%

(a) In thousands.

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

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

Derivative Instruments and Hedging Activities

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

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Derivatives Counterparty Credit Ratings

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

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

Table 7.1    Derivatives Counterparty Credit Ratings

	March 31, 2024
			Net Derivatives		Cash Collateral				Non-Cash Collateral		Net Credit
			Fair Value		Pledged To (From)		Balance Sheet Net		Pledged To (From)		Exposure to
Credit Rating	Notional Amount		Before Collateral		Counterparties (a)		Credit Exposure		Counterparties (b)		Counterparties
Non-member counterparties
Asset positions with credit exposure
Uncleared derivatives
Single A asset (c)	$	942,298	$	17,185	$	(16,930)	$	255	$	—	$	255
Cleared derivatives assets (d)		137,843,654		10,679		—		10,679		751,356		762,035
		138,785,952		27,864		(16,930)		10,934		751,356		762,290
Liability positions with credit exposure
Uncleared derivatives
Single A liability (c)		14,158,500		(155,989)		256,390		100,401		(85,872)		14,529
Cleared derivatives liability (d)		814,031		—		—		—		35,898		35,898
		14,972,531		(155,989)		256,390		100,401		(49,974)		50,427
Total derivative positions with non-member counterparties to which the Bank had credit exposure		153,758,483		(128,125)		239,460		111,335		701,382		812,717
Delivery commitments
Derivative position with delivery commitments		17,132		31		—		31		(31)		—
Total derivative position with members		17,132		31		—		31		(31)		—
Total	$	153,775,615	$	(128,094)	$	239,460	$	111,366	$	701,351	$	812,717
Derivative positions without credit exposure		33,351,580
Total notional	$	187,127,195

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	December 31, 2023
			Net Derivatives		Cash Collateral				Non-Cash Collateral		Net Credit
			Fair Value		Pledged To (From)		Balance Sheet Net		Pledged To (From)		Exposure to
Credit Rating	Notional Amount		Before Collateral		Counterparties (a)		Credit Exposure		Counterparties (b)		Counterparties
Non-member counterparties
Asset positions with credit exposure
Uncleared derivatives
Single A asset (c)	$	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
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

(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 $787.3 million and $794.8 million in marketable securities as collateral at March 31, 2024 and December 31, 2023, respectively. At March 31, 2024 and December 31, 2023 we did not pledge cash as collateral.

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

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

Finance Agency Regulations — Liquidity

Regulatory requirements are specified in 12 CFR Parts 1239, 1270 and 1277 of the Finance Agency regulations and Advisory Bulletin 2018-07. Each FHLBank shall at all times have at least an amount of liquidity equal to the current deposits received from its members that may be invested in: (1) Obligations of the United States; (2) Deposits in banks or trust companies; and (3) Advances with a remaining maturity not to exceed five years that are made to members in conformity with Part 1266. We are required to hold positive cash flow assuming no access to capital markets and assuming renewal of all maturing advances for a period of between ten to thirty calendar days and to maintain liquidity limits to reduce the risks associated with a mismatch in asset and liability maturities, including an undue reliance on short-term debt funding.

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

Liquidity Management

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

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

Table 8.1    Deposit Liquidity

	Average Deposit		Average Actual
For the Quarters Ended	Reserve Required		Deposit Liquidity		Excess
March 31, 2024	$	2,713	$	105,547	$	102,834
December 31, 2023		3,325		97,683		94,358

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

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

Table 8.2    Operational Liquidity

	Average Balance Sheet		Average Actual
For the Quarters Ended	Liquidity Requirement		Operational Liquidity		Excess
March 31, 2024	$	17,106	$	48,313	$	31,207
December 31, 2023		17,595		44,202		26,607

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

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

Table 8.3    Contingency Liquidity

	Average Five Day		Average Actual
For the Quarters Ended	Requirement		Contingency Liquidity		Excess
March 31, 2024	$	2,372	$	46,494	$	44,122
December 31, 2023		1,560		43,257		41,697

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

The Finance Agency’s Liquidity Advisory Bulletin 2018-07 requires the Bank to maintain between 10 and 30 calendar days (“the Range”) of positive cash flow assuming all advances renew and to hold liquidity in a specified range of the notional of our outstanding standby financial letters of credit. The FHFA has periodically issued non-public supervisory letters that establish base case guidance within the Range. For three days during March 2023, we were in the lower part of the Range, temporarily below the FHFA’s base case guidance, in order to meet significant member demand for advances resulting from the banking crisis, as permitted by the Advisory Bulletin. The Advisory Bulletin also provides guidance on maintaining appropriate funding gaps for three-month and one-year maturity horizons. We remained in compliance with the funding gaps provision and all Liquidity regulations.

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

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

Cash flows

Cash and due from Banks was $46.4 million at March 31, 2024 and $48.2 million at December 31, 2023. 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 $0.7 billion in net cash inflows in the three months ended March 31, 2024, compared to net cash outflows of $0.2 billion in the same period in the prior year. Period changes in cash flows provided by or used in operating activities were largely driven by: (a) Net income was $220.5 million in the three months ended March 31, 2024 and $198.5 million in the same period in the prior year; (b) Net cash inflows from Derivatives and hedging activities were $183.8 million in the three months ended March 31, 2024, compared to net cash outflows of $214.2 million in the same period in the prior year; and (c) Positive adjustments to operating cash flows $50.7 million to recognize unrealized valuation losses on U.S. Treasury securities at March 31, 2024, compared to negative adjustments of $101.9 million to recognize unrealized valuation gains on U.S. Treasury securities in the same period in the prior year.

Cash flows provided by/(used in) investing activities — Investing activities resulted in $1.7 billion in net cash outflows in the three months ended March 31, 2024 compared to $27.6 billion in net cash outflows in the same period in the prior year. In the three months ended March 31, 2024, we did not acquire any Treasury securities compared to $130.9 million in the same period in the prior year. We did not make any repayments from Treasury securities compared to $1.4 billion in the same period in the prior year. Net cash inflows from Securities purchased under agreements to resell were $2.2 billion in the three months ended March 31, 2024 compared to net cash outflows of $8.8 billion in the same period in the prior year.

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Cash flows provided by/(used in) financing activities — Our primary source of funding is the issuance of Consolidated obligation debt. Issuance of capital stock is another source. Financing activities reported net cash inflows of $1.0 billion in the three months ended March 31, 2024 compared to net cash inflows of $27.7 billion in the same period in the prior year.

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

Short-term Borrowings and Short-term Debt

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

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

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

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

Results of Operations

The following section provides a comparative discussion of the FHLBNY’s results of operations for the three months ended March 31, 2024 and 2023. 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.

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

Table 9.1    Principal Components of Net Income

	Three months ended March 31,
	2024		2023
Total interest income	$	2,315,977	$	1,881,688
Total interest expense		2,050,956		1,651,952
Net interest income before provision for credit losses		265,021		229,736
Provision (Reversal) for credit losses		(416)		93
Net interest income after provision for credit losses		265,437		229,643
Total other income (loss)		35,850		41,039
Total other expenses		56,279		50,065
Income before assessments		245,008		220,617
Affordable Housing Program Assessments		24,517		22,073
Net income	$	220,491	$	198,544

Net Income — 2024 First Quarter Compared to 2023 First Quarter

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

Net income for 2024 first quarter was $220.5 million, an increase of $22.0 million, or 11.1% compared to the same period in the prior year. Summarized below are the primary components of our Net income:

Net interest income —The 2024 first quarter Net interest income was $265.0 million, an increase of $35.3 million, or 15.4% compared to the same period in the prior year. Net interest spread was 34 basis points for 2024 first quarter compared to 35 basis points in the same period in the prior year. For more information, see Table 9.2 Net Interest Income and accompanying discussions in this MD&A.

● Provision (Reversal) for credit losses for 2024 first quarter was a recovery of $416 thousand compared to a provision of $93 thousand for the same period in the prior year.

Other income (loss) — Other income (loss) reported a gain of $35.9 million in the 2024 first quarter compared to a gain of $41.0 million in the same period in the prior year.

● Service fees and other were $5.4 million in the 2024 first quarter compared to $5.3 million reported in the same period in the prior year. Service fees and other are primarily fee revenues from financial letters of credit.

● Financial instruments carried at fair values reported net valuation losses of $11.0 million in 2024 first quarter compared to net losses of $39.4 million in the same period in the prior year. For more information, see financial statements, Fair Value Option Disclosures in Note 18. Fair Values of Financial Instruments. Also see Table 9.8 Other Income (Loss) and accompanying discussions in this MD&A.

● Derivative activities reported net gains of $87.6 million in Other income in 2024 first quarter, compared to net losses of $31.8 million in the same period in the prior year. For more information, see Table 9.10 Other Income (Loss) — Impact of Derivative Gains and Losses and accompanying discussions in this MD&A.

● U.S. Treasury Securities held for liquidity (classified as trading) reported net fair value losses of $50.7 million in 2024 first quarter compared to net fair value gains of $101.9 million in the same period in the prior year.

● Equity Investments, held to finance payments to retirees in a non-qualified pension plan, reported net fair value gains of $4.6 million in 2024 first quarter compared to net gains of $4.3 million in the same period in the prior year.

Other expenses were $56.3 million in 2024 first quarter compared to $50.1 million in the same period in the prior year. Other expenses are primarily Operating expenses, Compensation and benefits, and our share of expenses of the Office of Finance and the Federal Housing Finance Agency.

● Operating expenses were $20.5 million in 2024 first quarter, up from $17.7 million in the same period in the prior year.

● Compensation and benefits expenses were $28.0 million in 2024 first quarter compared to $25.8 million in the same period in the prior year.

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● The expenses allocated for our share of the costs to operate the Office of Finance and the Federal Housing Finance Agency were $5.4 million in 2024 first quarter compared to $5.1 million in the same period in the prior year.

● Other expenses were $2.4 million in the 2024 first quarter compared to $1.5 million in the same period in the prior year.

Affordable Housing Program Assessments (AHP) allocated from Net income were $24.5 million in 2024 first quarter compared to $22.1 million in the same period in the prior year. Assessments are calculated as a percentage of Net income, and changes in allocations were in tandem with changes in Net income.

Net 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 9.2    Net Interest Income

	Three months ended March 31,
					Percentage
	2024		2023		Change
Total interest income (a)	$	2,315,977	$	1,881,688	23.08	%
Total interest expense (a)		2,050,956		1,651,952	24.15
Net interest income before provision for credit losses	$	265,021	$	229,736	15.36	%

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

In the first quarter of the current year, Net interest income, before loan loss provisions, was $265.0 million, an increase of $35.3 million, or 15.4% from the first quarter of 2023. Primary driver was an increase in the average balances of interest earning assets, principally advances. Additionally, $1.2 million of prepayment fees were recorded in Net interest income in the first quarter of 2024 compared to $0.5 million in the first quarter of 2023. 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 continues to remain high in the first quarter of 2024 as they experienced heightened deposit volatility, strong loan growth, and the need to enhance liquidity positions. Market interest rates positively impacted yields from advances, primarily on overnight and short-term advances and variable-rate advances that reset to higher rates.

In the first quarter of 2024, 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 that of first quarter of the prior year. Net interest margin, a measure of margin efficiency, which is calculated as Net interest income divided by average earning assets, was 63 basis points in the first quarter of 2024, compared to 57 basis points in the prior year same period. Net interest spread in the first quarter of 2024 was 34 basis points, representing the yield from earning assets minus interest paid on costing liabilities, compared to 35 basis points in the prior year same period.

Stockholders’ capital (as measured by average outstanding balance in the period), which is typically deployed to fund short-term interest-earning assets, was $8.5 billion in the first quarter of 2024, remained unchanged, compared to the first quarter of 2023.

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Swap interest settlement designated in ASC 815 hedging of assets and liabilities recorded a net income of $10.0 million in the first quarter of 2024 compared to a net expense of $5.1 million in the first quarter of 2023. 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 9.3    Net Interest Adjustments from Qualifying Hedge Interest Rate Swaps

	Three months ended March 31,
	2024		2023
Interest income	$	2,013,175	$	1,626,521
Fair value hedging effects		3,512		(3,488)
Amortization of basis adjustment		(4)		(6)
Interest rate swap accruals		299,294		258,661
Reported interest income		2,315,977		1,881,688
Interest expense		1,764,778		1,392,035
Fair value hedging effects		(2,709)		(3,227)
Amortization of basis adjustment		(382)		(647)
Interest rate swap accruals		289,269		263,791
Reported interest expense		2,050,956		1,651,952
Net interest income	$	265,021	$	229,736
Net interest adjustment - interest rate swaps	$	16,624	$	(4,750)

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Spread and Yield Analysis — 2024 First Quarter Compared to 2023 First Quarter

Table 9.4    Spread and Yield Analysis

		Three months ended March 31,
		2024					2023
				Interest					Interest
	Average			Income/			Average		Income/
(Dollars in thousands)	Balance			Expense	Yield/Rate (a)		Balance		Expense		Yield/Rate (a)
Earning Assets:
Advances	$	111,466,246	$	1,608,245	5.80	%	$	115,451,905	$	1,404,553	4.93	%
Interest bearing deposits and others		3,528,784		48,280	5.50			4,018,049		46,035	4.65
Federal funds sold and other overnight funds		25,130,220		338,153	5.41			18,697,800		211,623	4.59
Investments
Trading securities		5,875,455		44,328	3.03			6,425,089		30,026	1.90
Mortgage-backed securities
Fixed		14,627,266		157,380	4.33			13,253,448		124,818	3.82
Floating		5,210,978		79,077	6.10			2,518,099		31,342	5.05
State and local housing finance agency obligations		1,395,189		21,342	6.15			1,286,618		16,552	5.22
Mortgage loans held-for-portfolio		2,188,284		19,172	3.52			2,099,374		16,739	3.23
Total interest-earning assets	$	169,422,422	$	2,315,977	5.50	%	$	163,750,382	$	1,881,688	4.66	%
Funded By:
Consolidated obligation bonds
Fixed	$	67,257,478	$	824,280	4.93	%	$	54,191,498	$	551,083	4.12	%
Floating		31,092,095		424,760	5.49			44,442,777		506,178	4.62
Consolidated obligation discount notes		58,790,141		766,528	5.24			53,909,556		580,606	4.37
Interest-bearing deposits and other borrowings		2,713,267		35,218	5.22			3,058,917		13,972	1.85
Mandatorily redeemable capital stock		6,691		170	10.19			5,599		113	8.16
Total interest-bearing liabilities		159,859,672		2,050,956	5.16	%		155,608,347		1,651,952	4.31	%
Other non-interest-bearing funds		1,046,252		—				(357,447)		—
Capital		8,516,498		—				8,499,482		—
Total Funding	$	169,422,422	$	2,050,956			$	163,750,382	$	1,651,952
Net Interest Income/Spread			$	265,021	0.34	%			$	229,736	0.35	%
Net Interest Margin
(Net interest income/Earning Assets)					0.63	%					0.57	%

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

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Rate and Volume Analysis — 2024 First Quarter Compared to 2023 First Quarter

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

Table 9.5    Rate and Volume Analysis

	For the three months ended
	March 31, 2024 vs. March 31, 2023
	Increase (Decrease)
	Volume		Rate		Total
Interest Income
Advances	$	(49,900)	$	253,592	$	203,692
Interest bearing deposits and others		(6,025)		8,270		2,245
Federal funds sold and other overnight funds		81,680		44,850		126,530
Investments
Trading securities		(2,761)		17,063		14,302
Mortgage-backed securities
Fixed		13,715		18,847		32,562
Floating		39,615		8,120		47,735
State and local housing finance agency obligations		1,478		3,312		4,790
Mortgage loans held-for-portfolio		730		1,703		2,433
Total interest income		78,532		355,757		434,289
Interest Expense
Consolidated obligation bonds
Fixed		147,598		125,599		273,197
Floating		(170,285)		88,867		(81,418)
Consolidated obligation discount notes		55,892		130,030		185,922
Deposits and borrowings		(1,747)		22,993		21,246
Mandatorily redeemable capital stock		24		33		57
Total interest expense		31,482		367,522		399,004
Changes in Net Interest Income	$	47,050	$	(11,765)	$	35,285

Interest Income

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

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

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

Table 9.6    Interest Income — Principal Sources

	Three months ended March 31,
					Percentage
	2024		2023		Change
Interest Income
Advances	$	1,608,245	$	1,404,553	14.50	%
Interest-bearing deposits		48,280		46,035	4.88
Securities purchased under agreements to resell		72,288		47,189	53.19
Federal funds sold		265,865		164,434	61.68
Trading securities		44,328		30,026	47.63
Mortgage-backed securities
Fixed		157,380		124,818	26.09
Floating		79,077		31,342	152.30
State and local housing finance agency obligations		21,342		16,552	28.94
Mortgage loans held-for-portfolio		19,172		16,739	14.53
Total interest income	$	2,315,977	$	1,881,688	23.08	%

Interest Income

Interest income in the 2024 first quarter was $2.3 billion, an increase of $0.4 billion, or 23.1% compared to the same period in 2023. To provide context, interest expense increased by 24.2% compared to the same period in prior year.

For the 2024 first quarter compared to the 2023 first quarter, increase in interest revenue was contributed by volume-related increase of $47.1 million offset by a rate-related decrease of $11.8 million.

Aggregate yield on earning assets in 2024 first quarter was 550 basis points, compared to 466 basis points in 2023 first quarter.

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

Advance — Interest income from advances increased by $0.2 billion in 2024 first quarter, compared to the same period in the prior year. Advances average balances were $111.5 billion in 2024 first quarter, compared to $115.5 billion in the 2023 first quarter.

As compared to the same period in the prior year, lower average advances balances in the 2024 first quarter resulted in an unfavorable impact of $49.9 million on interest income from advances, and higher market rates resulted in a favorable impact of $253.6 million, for a total increase period-over-period of $203.7 million 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 580 basis points in the 2024 first quarter, up from 493 basis points in the same period in the prior year. Prepayment fee recorded in Interest income from advances were $1.2 million in the 2024 first quarter, up from $0.5 million in the same period in the prior year.

Liquidity Investments — Money Market Investments and U.S. Treasury Securities — We derive interest income from maintaining highly-liquid portfolios of investments to meet liquidity regulatory requirements. Higher interest income from overnight invested funds, specifically federal funds sold and repurchase agreements was due to increase in market yields in the first quarter of 2024 compared to the same period in 2023. Investments in federal funds and repurchase agreements yielded 541 basis points in aggregate in the first quarter of 2024, compared to 459 basis points in the same period in 2023. Interest income from fixed-rate U.S. Treasury securities was $44.3 million in the first quarter of 2024, up from $30.0 million in the same period in 2023 due to inclining interest rates; yields increased to 303 basis points, compared to 190 basis points in the first quarter of 2023. 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.

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

Mortgage-backed-securities

Interest income from floating-rate MBS increased by $47.7 million or 152.3% in the first quarter of 2024 compared to the same period in the prior year in line with higher interest rates.

Interest income from fixed-rate MBS increased by $32.6 million or 26.1% in the first quarter of 2024 compared to the same period in the prior year due to an increase in invested balances and higher aggregate yield, which was 433 basis points in the first quarter of 2024, up from 382 basis points in the same period of the prior year. Transaction volume of fixed-rate MBS, as measured by average outstanding balance was $14.6 billion in the first quarter of 2024, compared to $13.3 billion in the same period of the prior year.

In the first quarter of 2024, 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 for a portion of our fixed - rate portfolio 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 $41.4 million in the first quarter of 2024, compared to a net gain of $26.2 million in the first quarter of 2023.

Mortgage loans held-for-portfolio — Interest income from mortgage loans was $19.2 million for the three months ended March 31, 2024, compared to $16.7 million in the same period in the prior year. Investment volume has increased, with acquisitions exceeding paydowns. MPF loans are primarily 15- and 30-year conventional loans. The portfolio averaged $2.2 billion, yielding 352 basis points in three months ended March 31, 2024, compared to 323 basis points in the same period last year. 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 $0.9 million in the three months ended March 31, 2023, compared to net amortization of $0.8 million in the same period in the prior year. The Bank’s portfolio is largely at a premium price and amortization is sensitive to changes in prepayment speeds particularly in a volatile interest rate environment. The Bank does not hedge mortgage loans in an ASC 815 hedge or an economic hedge.

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 March 31, 2024, mortgage loans under MAP were $488.4 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.

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.

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

Table 9.7    Interest Expenses — Principal Categories

	Three months ended March 31,
					Percentage
	2024		2023		Change
Interest Expense
Consolidated obligations bonds
Fixed	$	824,280	$	551,083	49.57	%
Floating		424,760		506,178	(16.08)
Consolidated obligations discount notes		766,528		580,606	32.02
Deposits		35,046		12,538	179.52
Mandatorily redeemable capital stock		170		113	50.44
Cash collateral held and other borrowings		172		1,434	(88.01)
Total interest expense	$	2,050,956	$	1,651,952	24.15	%

Interest expense for the 2024 first quarter was $2.1 billion, an increase of 24.2% compared to the 2023 first quarter. (As noted elsewhere in this document, interest income increased by 23.1% compared to the 2023 first quarter).

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

Rate-related increase in funding expense was $367.5 million, in line with the dramatic increase in rates in the bond markets; volume-related increase in funding expense was $31.5 million in the 2024 first quarter compared to the 2023 first quarter. Aggregate yield paid on total funding in 2024 first quarter was 516 basis points, compared to 431 basis points in the same period of the prior year.

We continue to make changes to our liability composition as compared to 2023. In the first quarter of 2024, 39.7% of average earning assets were funded by fixed-rate CO bonds and 18.4% were funded by floating-rate CO bonds. In the first quarter of 2023, fixed-rate CO bonds funded 33.1% of earning assets and floating-rate CO bonds funded 27.1% of earning assets. The usage of CO discount notes has increased to 34.7% in 2024 first quarter from 32.9% in the 2023 first quarter.

Hedging strategies under ASC 815 have remained effective and are operating as designed. For more information, see Table 9.3 Net Interest Adjustments from Qualifying Hedge Interest Rate Swaps.

Allowance for Credit Losses — 2024 First Quarter Compared to 2023 First Quarter

We recorded net reversals of $416 thousand in the three months ended March 31, 2024 compared to net reversals of $135 thousand in the same period in the prior year against our mortgage loan portfolio. We also recorded de minimis net reversals in the three months ended March 31, 2024 compared to net provisions of $228 thousand in the same period in the prior year against our investment portfolio. No allowance was necessary on advances, other assets, and commitments.

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Analysis of Non-Interest Income (Loss) — 2024 First Quarter Compared to 2023 First Quarter

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

Table 9.8    Other Income (Loss)

	Three months ended March 31,
	2024		2023
Other income (loss):
Service fees and other (a)	$	5,379	$	5,334
Instruments held under the fair value option gains (losses) (b)		(10,970)		(39,378)
Derivative gains (losses) (c)		87,606		(31,806)
Trading securities gains (losses) (d)		(50,742)		101,948
Equity investments gains (losses) (e)		4,577		4,251
Litigation settlement		—		690
Total other income (loss)	$	35,850	$	41,039

(a) Service fees and other, net — Service fees are from providing correspondent banking services to members, primarily fees earned on standby financial letters of credit. Letters of credit are generally issued on behalf of members to units of state and local governments to collateralize their deposits at member banks. Fee income earned on financial letters of credit were $4.9 million in the first quarter of current year compared to $4.1 million in the same period in the prior year. Immaterial amounts of fees paid, and other expenses were included in reported revenues.

(b) FVO Instruments — Net fair value gains and losses represented changes in fair values of CO bonds and discount notes elected under the FVO. For more information, see Fair Value Option Disclosures in Note 18. Fair Values of Financial Instruments in this Form 10-Q.

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

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

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

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

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

	Three months ended March 31,
	2024		2023
Net unrealized gains (losses) on trading securities held at period-end	$	(50,742)	$	102,421
Net gains (losses) on trading securities sold/matured during the period		—		(473)
Net gains (losses) on trading securities	$	(50,742)	$	101,948

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 was $6.3 billion at March 31, 2024 and December 31, 2023.

Other income (loss) — Derivatives and Hedging Activities — 2024 First Quarter Compared to 2023 First Quarter

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.

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

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

	Impact on Other Income (Loss)
	Three months ended March 31,
	2024		2023
Derivatives not designated as hedging instruments
Interest rate swaps (a)	$	67,145	$	(91,904)
Caps or floors		17		(239)
Mortgage delivery commitments		(87)		27
Swaps economically hedging instruments designated under FVO (b)		7,905		40,083
Accrued interest on derivatives in economic hedging relationships (c)		11,815		19,303
Net gains (losses) related to derivatives not designated as hedging instruments	$	86,795	$	(32,730)
Price alignment interest paid on variation margin		811		924
Net gains (losses) on derivatives and hedging activities	$	87,606	$	(31,806)

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

(a) Represents fair value changes recorded in Other income, primarily interest rate swaps in economic hedges of U.S. Treasury fixed-rate securities recorded fair value gains of $66.7 million in the first quarter of 2024, compared to fair value losses of $96.2 million in the first quarter of 2023. 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.

Operating Expenses, Compensation and Benefits, and Other Expenses — 2024 First Quarter Compared to 2023 First Quarter

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

Table 9.11    Operating Expenses, and Compensation and Benefits

	Three months ended March 31,
			Percentage of				Percentage of
	2024		Total		2023		Total
Operating Expenses (a)
Occupancy	$	2,290	11.18	%	$	2,342	13.23	%
Depreciation and leasehold amortization		4,311	21.03			4,626	26.13
All others (b)		13,891	67.79			10,737	60.64
Total Operating Expenses	$	20,492	100.00	%	$	17,705	100.00	%
Total Compensation and Benefits	$	27,996			$	25,763
Finance Agency and Office of Finance (c)	$	5,369			$	5,052
Other expenses (d)	$	2,422			$	1,545

(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.

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(d) The category Other expenses included the non-service elements of Net periodic pension benefit costs, derivative clearing fees and voluntary contribution.

Assessments — 2024 Periods Compared to 2023 Periods

For more information about assessments, see Affordable Housing Program and Other Mission Related Programs and Assessments under Part I Item 1 Business in the most recent Form 10-K for the year ended December 31, 2023 filed on March 21, 2024.

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

Table 10.1    Affordable Housing Program Liabilities

	Three months ended March 31,
	2024		2023
Beginning balance	$	187,027	$	131,394
Additions from current period’s assessments		24,517		22,073
Net disbursements for grants and programs		(10,343)		(9,670)
Ending balance	$	201,201	$	143,797

AHP assessments allocated from net income totaled $24.5 million in the first quarter of the current year, compared to $22.1 million for same period in the prior year. Assessments are calculated as a percentage of Net income, and the changes in allocations were in tandem with changes in Net income.

Legislative and Regulatory Developments

Finance Agency’s Review and Analysis of the Federal Home Loan Bank System. 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 to continue 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.

In April 2024, the Finance Agency provided an update on its plan to implement the report’s recommendations and announced key priorities for 2024. Among others, these priorities include (1) clarifying the FHLBank System mission; (2) aligning eligibility requirements for different types of FHLBank members; (3) streamlining requirements related to the Affordable Housing Program; and (4) strengthening FHLBank evaluation of member creditworthiness. The Finance Agency stated that it would maintain transparency and continue robust stakeholder engagement during the implementation process, including seeking input on FHLBank mission achievement and members’ connection to housing and community development.

The Bank continues to monitor the Finance Agency’s efforts to implement the recommendations from the report, and we are not able to predict what actions will ultimately result, the timing or extent of any actions or changes, 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 in an effort to ensure that the FHLBank System remains well positioned to serve our members and their communities. For a further discussion of the report and related risks, see, respectively, Part II. Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations – Legislative and Regulatory Developments and Part I. Item 1A – Risk Factors of the Bank’s Annual Report each included in the Bank’s Form 10-K for fiscal year ended December 31, 2023.

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Finance Agency Final Rule on Fair Lending, Fair Housing, and Equitable Housing Finance Plans. On April 29, 2024, the Finance Agency released its final rule that specifies requirements related to the FHLBanks’ compliance with fair housing and fair lending laws and related regulations, including the Fair Housing Act and the Equal Credit Opportunity Act, and prohibitions on unfair or deceptive acts or practices under the Federal Trade Commission Act. The final rule (i) addresses the enforcement authority of the Finance Agency; (ii) articulates standards related to the board of directors’ oversight of fair housing, fair lending, and principles of equitable housing; and (iii) requires each FHLBank to annually report actions it voluntarily takes to address barriers to sustainable housing opportunities for underserved communities (“Equitable Housing Report Requirements”). The final rule will become effective 60 days after the date it is published in the Federal Register, except that the Equitable Housing Report Requirements will become effective on February 15, 2026. The Bank is continuing its review of the final rule and evaluating the impact it may have on the Bank and its operations.

Item 3.    Quantitative and Qualitative Disclosures about Market Risk.

Market Risk Management. Market risk or interest rate risk (IRR) is the risk of change to market value or future earnings due to a change in the interest rate environment. IRR arises from the Banks operation due to maturity mismatches between interest rate sensitive cash-flows of assets and liabilities. As the maturity mismatch increases so does the level of IRR. The Bank has opted to retain a modest level of IRR which allows for the preservation of capital value while generating steady and predictable income. Accordingly, the balance sheet consists of predominantly short-term instruments and assets and liabilities synthetically swapped to floating-rate indices. A conservative and limited maturity gap profile of asset and liability positions protect our capital from changes in value arising from a volatile interest rate environment.

The desired risk profile is primarily affected by the use of interest rate exchange agreements (Swaps) which the Bank uses to match asset and liability index exposure. Historically the index concentration was 1- or 3-month LIBOR driven; however, with LIBOR cessation, SOFR has become the dominant index utilized by the Bank. Index matching allows for a relatively steady income that changes in concert with prevailing interest rate changes to maintain a spread to short-term rates.

Although the Bank maintains a conservative IRR profile, income variability does arise from structural aspects in our portfolio including: embedded prepayment rights, basis risk on asset and liability positions, yield curve risk, liquidity risk and funding risk. These varied risks are controlled by monitoring IRR measures including repricing gaps, duration of equity (DOE), value at risk (VaR), net interest income (NII) at risk, key rate durations (KRD) and forecasted dividend rate sensitivities.

Risk Measurements. Our Risk Management Policy assigns comprehensive risk limits which we calculate on a regular basis. The below limits were established in 2023 based on an anticipated market conditions and business strategy for 2024. 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.

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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
March 31, 2024	0.52	0.31	0.39	1.13
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

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
March 31, 2024	$	7.334 Billion
December 31, 2023	$	7.212 Billion
September 30, 2023	$	7.505 Billion
June 30, 2023	$	7.280 Billion
March 31, 2023	$	7.597 Billion

Our review of potential interest rate risk issues also includes the effect of changes in interest rates on expected net income. We project asset and liability volumes and spreads over a one-year horizon and then simulate expected income and expenses from those volumes and other inputs. The effects of changes in interest rates are generated to measure the Bank’s net interest income sensitivity over the coming 12-month period. To measure the effect, a parallel shift of +200bps is calculated and compared against the forward rate scenario and subjected to a -17.5 percent limit. The sensitivity of expected net interest income over a one-year period is limited to a -30 percent change under the -200bps shock compared to the rates in the forward rate scenario. Given the rising rate environment, the Bank will be generating income sensitivity to larger down rate scenarios.

	Sensitivity in		Sensitivity in		Sensitivity in
	the -200bps Shock		the -100bps Shock		the +200bps Shock
March 31, 2024	0.96	%	0.72	%	(4.65)	%
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)	%

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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
March 31, 2024	0.62	%	0.37	%	(1.43)	%
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	%

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

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

	Interest Rate Sensitivity
	March 31, 2024
			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	$	23,770	$	112	$	422	$	328	$	1,210
MBS investments		5,805		555		2,542		3,909		7,758
Swaps hedging MBS		6,222		—		(50)		(715)		(5,457)
Adjustable-rate loans and advances		42,360		—		—		—		—
Net investments, adjustable rate loans and advances		78,157		667		2,914		3,522		3,511
Liquidity trading portfolio		248		—		3,498		2,418		—
Swaps hedging investments		6,076		—		(3,605)		(2,471)		—
Net liquidity trading portfolio		6,324		—		(107)		(53)		—
Fixed-rate loans and advances		31,106		6,552		14,294		8,573		5,428
Swaps hedging fixed-rate advances		33,771		(6,272)		(13,797)		(8,282)		(5,420)
Net fixed-rate loans and advances		64,877		280		497		291		8
Total interest-earning assets	$	149,358	$	947	$	3,304	$	3,760	$	3,519
Interest-bearing liabilities:
Deposits	$	2,771	$	—	$	—	$	—	$	—
Discount notes		29,791		25,149		—		—		—
Swaps hedging discount notes		22,754		(24,197)		576		700		167
Net discount notes		52,545		952		576		700		167
Consolidated Obligation Bonds
FHLBank bonds		45,950		14,446		22,309		7,669		3,465
Swaps hedging bonds		40,011		(13,704)		(20,110)		(4,355)		(1,842)
Net FHLBank bonds		85,961		742		2,199		3,314		1,623
Total interest-bearing liabilities	$	141,277	$	1,694	$	2,775	$	4,014	$	1,790
Post hedge gaps (a):
Periodic gap	$	8,081	$	(747)	$	529	$	(254)	$	1,729
Cumulative gaps	$	8,081	$	7,334	$	7,863	$	7,609	$	9,338

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	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

(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.

109

Item 4.    Controls and Procedures.

Disclosure Controls and Procedures

An evaluation of the Bank’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “Act”)) was carried out under the supervision and with the participation of the Bank’s President and Chief Executive Officer, José R. González, and Senior Vice President and Chief Financial Officer, Kevin M. Neylan, as of March 31, 2024. Based on this evaluation, they concluded that as of March 31, 2024, the Bank’s disclosure controls and procedures were effective, at a reasonable level of assurance, in ensuring that the information required to be disclosed by the Bank in the reports it files or submits under the Act is (i) accumulated and communicated to the Bank’s management (including the President and Chief Executive Officer and Senior Vice President and Chief Financial Officer) in a timely manner, and (ii) recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

Changes in Internal Control Over Financial Reporting

There were no changes in the Bank’s internal control over financial reporting (as defined in Rules 13a-15(f) and 15d-15(f) under the Act) during the Bank’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting.

110

PART II.    OTHER INFORMATION.

Item 1.    Legal Proceedings

The Bank is not aware of any legal proceedings that are expected to have a material effect on its financial condition or results of operations or that are otherwise material to the Bank.

Item 1A.    Risk Factors

There have been no material changes from the risk factors previously disclosed in Part I, Item 1A of the FHLBNY’s Annual Report on Form 10-K for the fiscal year ended December 31, 2023.

Item 2.    Unregistered Sales of Equity Securities and Use of Proceeds

Not applicable.

Item 3.    Defaults upon Senior Securities

None.

Item 4.    Mine Safety Disclosures

Not applicable.

Item 5.    Other Information

None.

111

Item 6.    Exhibits.

No.	Exhibit Description	Filed with this Form  10-Q	Form*	Date Filed
3.01	Restated Organization Certificate of the Federal Home Loan Bank of New York (“Bank”)		8-K	12/1/2005
3.02	Amended and Restated Bylaws of the Bank		8-K	8/18/2023
4.01	Amended and Restated Capital Plan of the Bank		8-K	6/24/2022
10.01	Bank 2024 Incentive Compensation Plan(a)		8-K	4/19/2024
31.01	Certification of Registrant’s Chief Executive Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002	X
31.02	Certification of the Registrant’s Chief Financial Officer, as required by Section 302 of the Sarbanes-Oxley Act of 2002	X
32.01	Certification of Registrant’s Chief Executive Officer, as required by Section 906 of the Sarbanes-Oxley Act of 2002	X
32.02	Certification of Registrant’s Chief Financial Officer, as required by Section 906 of the Sarbanes-Oxley Act of 2002	X
101.INS	Inline XBRL Instance Document – The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document.	X
101.SCH	Inline XBRL Taxonomy Extension Schema Document	X
101.CAL	Inline XBRL Taxonomy Extension Calculation Linkbase Document	X
101.DEF	Inline XBRL Taxonomy Extension Definition Linkbase Document	X
101.LAB	Inline XBRL Taxonomy Extension Label Linkbase Document	X
101.PRE	Inline XBRL Taxonomy Extension Presentation Linkbase Document	X
104	Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101)	X

Notes:

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

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

112

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Federal Home Loan Bank of New York
	(Registrant)
	/s/ Kevin M. Neylan
	Kevin M. Neylan
	Senior Vice President and Chief Financial Officer
	Federal Home Loan Bank of New York (on behalf of the Registrant and as the Principal Financial Officer)
Date: May 9, 2024

113

EX-31.01

Exhibit 31.01

Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

for the President and Chief Executive Officer

I, José R. González, certify that:

1. I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of New York;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: May 9, 2024

/s/ José R. González

José R. González

President and Chief Executive Officer

(Principal Executive Officer)

EX-31.02

Exhibit 31.02

Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

for the Senior Vice President and Chief Financial Officer

I, Kevin M. Neylan, certify that:

1. I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of New York;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: May 9, 2024

/s/ Kevin M. Neylan

Kevin M. Neylan

Senior Vice President and Chief Financial Officer

(Principal Financial Officer)

EX-32.01

Exhibit 32.01

Certification by the President and Chief Executive Officer

Pursuant to 18 U.S.C. Section 1350,

as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

In connection with the quarterly report of the Federal Home Loan Bank of New York ( the “Company”) on Form 10-Q for the period ended March 31, 2024, as filed with the Securities and Exchange Commission (the “Report”), I, José R. González, President and Chief Executive Officer of the Company, hereby certify as of the date hereof, solely for purposes of Title 18, Chapter 63, Section 1350 of the United States Code, that to the best of my knowledge:

(1) the Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, and

(2) the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

Date: May 9, 2024
	/s/ José R. González
	José R. González
	President and Chief Executive Officer
	(Principal Executive Officer)

EX-32.02

Exhibit 32.02

Certification by the Senior Vice President and Chief Financial Officer

Pursuant to 18 U.S.C. Section 1350,

as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

In connection with the quarterly report of the Federal Home Loan Bank of New York (the “Company”) on Form 10-Q for the period ended March 31, 2024, as filed with the Securities and Exchange Commission (the “Report”), I, Kevin M. Neylan, Senior Vice President and Chief Financial Officer of the Company, hereby certify as of the date hereof, solely for purposes of Title 18, Chapter 63, Section 1350 of the United States Code, that to the best of my knowledge:

(1) the Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, and

(2) the information contained in the Report fairly presents, in all materials respects, the financial condition and results of operations of the Company.

Date: May 9, 2024
	/s/ Kevin M. Neylan
	Kevin M. Neylan
	Senior Vice President and Chief Financial Officer
	(Principal Financial Officer)

XML

Document and Entity Information - shares	3 Months Ended
	Mar. 31, 2024	Apr. 30, 2024
Document and Entity Information
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Mar. 31, 2024
Document Transition Report	false
Entity File Number	000-51397
Entity Registrant Name	Federal Home Loan Bank of New York
Entity Incorporation, State or Country Code	X1
Entity Tax Identification Number	13-6400946
Entity Address, Postal Zip Code	10178
Entity Address, Address Line One	101 Park Avenue
Entity Address, City or Town	New York
Entity Address, State or Province	NY
City Area Code	212
Local Phone Number	681-6000
Title of 12(b) Security	None
Security Exchange Name	NONE
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Non-accelerated Filer
Entity Small Business	false
Entity Emerging Growth Company	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding		62,449,569
Entity Central Index Key	0001329842
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2024
Document Fiscal Period Focus	Q1
Amendment Flag	false
No Trading Symbol Flag	true

XML

Statements of Condition - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Assets
Cash and due from banks (Note 3)	$ 46,433	$ 48,198
Interest-bearing deposits (Note 4)	2,805,000	1,945,000
Securities purchased under agreements to resell (Note 4)	5,670,000	7,820,000
Federal funds sold (Note 4)	13,745,000	9,640,000
Trading securities (Note 5) (Includes $787,254 pledged as collateral at March 31, 2024 and $794,848 at December 31, 2023)	5,850,389	5,886,421
Equity Investments (Note 6)	96,151	91,879
Available-for-sale securities, amortized cost of $9,381,955 at March 31, 2024 and $9,314,683 at December 31, 2023 (Note 7)	9,210,694	9,106,743
Held-to-maturity securities, net of allowance for credit losses of $612 at March 31, 2024 and $612 at December 31, 2023 (Note 8) (Includes $4,098 pledged as collateral at March 31, 2024 and $4,763 at December 31, 2023)	11,948,409	11,869,328
Advances (Note 9) (Includes $0 at March 31, 2024 and December 31, 2023 at fair value under the fair value option)	107,163,563	108,890,128
Accrued interest receivable	647,563	581,608
Premises, software, and equipment	71,895	74,043
Operating lease right-of-use assets (Note 19)	53,461	54,862
Finance lease right-of-use asset (Note 19)	2,199	2,317
Derivative assets (Note 17)	111,366	125,202
Other assets	16,489	17,704
Total assets	159,629,852	158,333,199
Deposits (Note 11)
Interest-bearing demand	2,770,619	3,472,477
Non-interest-bearing demand	7,893	9,376
Total deposits	2,778,512	3,481,853
Consolidated obligations, net (Note 12)
Bonds (Includes $2,891,846 at March 31, 2024 and $3,780,541 at December 31, 2023 at fair value under the fair value option)	92,533,788	97,569,062
Discount notes (Includes $0 at March 31, 2024 and December 31, 2023 at fair value under the fair value option)	54,880,897	47,906,908
Total consolidated obligations	147,414,685	145,475,970
Mandatorily redeemable capital stock (Note 14)	6,574	7,219
Accrued interest payable	681,348	716,021
Affordable Housing Program (Note 13)	201,201	187,027
Derivative liabilities (Note 17)	32,743	12,409
Other liabilities	133,798	138,658
Operating lease liabilities (Note 19)	65,407	67,021
Finance lease liabilities (Note 19)	2,337	2,320
Total liabilities	151,316,605	150,088,498
Commitments and Contingencies (Notes 14, 17 and 19)
Capital (Note 14)
Capital stock ($100 par value), putable, issued and outstanding shares: 59,865 at March 31, 2024 and 60,496 at December 31, 2023	5,986,463	6,049,570
Retained earnings
Unrestricted	1,309,925	1,276,583
Restricted (Note 14)	1,105,179	1,061,081
Total retained earnings	2,415,104	2,337,664
Total accumulated other comprehensive income (loss)	(88,320)	(142,533)
Total capital	8,313,247	8,244,701
Total liabilities and capital	159,629,852	158,333,199
Mortgage receivables
Assets
Mortgage loans held-for-portfolio, net of allowance for credit losses of $2,885 at March 31, 2024 and $3,301 at December 31, 2023 (Note 10)	$ 2,191,240	$ 2,179,766

XML

Statements of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Trading securities pledged as collateral	$ 787,254	$ 794,848
Trading securities pledged as collateral	us-gaap:AssetPledgedAsCollateralMember	us-gaap:AssetPledgedAsCollateralMember
Available-for-sale securities, amortized cost	$ 9,381,955	$ 9,314,683
Held-to-maturity securities pledged as collateral	4,098	4,763
Held-to-maturity securities, allowance for credit losses	$ 612	$ 612
Held-to-maturity securities pledged as collateral	us-gaap:AssetPledgedAsCollateralMember	us-gaap:AssetPledgedAsCollateralMember
Advances, at fair value under the fair value option	$ 0	$ 0
Capital stock, par value (in dollars per share)	$ 100	$ 100
Capital stock, putable (in shares)	59,865	60,496
Capital stock, issued (in shares)	59,865	60,496
Capital stock, outstanding (in shares)	59,865	60,496
Consolidated obligation - bonds, fair value option
Consolidated obligations	$ 2,891,846	$ 3,780,541
Consolidated obligation - discount notes, fair value option
Consolidated obligations	0	0
Mortgage receivables
Allowance for credit losses	$ 2,885	$ 3,301

XML

Statements of Income - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023
Interest income
Advances, net (Note 9)	$ 1,608,245	$ 1,404,553
Interest-bearing deposits (Note 4)	48,280	46,035
Securities purchased under agreements to resell (Note 4)	72,288	47,189
Federal funds sold (Note 4)	265,865	164,434
Trading securities (Note 5)	44,328	30,026
Available-for-sale securities (Note 7)	127,302	88,710
Held-to-maturity securities (Note 8)	130,497	84,002
Mortgage loans held-for-portfolio (Note 10)	19,172	16,739
Total interest income	2,315,977	1,881,688
Interest expense
Consolidated obligation bonds (Note 12)	1,249,040	1,057,261
Consolidated obligation discount notes (Note 12)	766,528	580,606
Deposits (Note 11)	35,046	12,538
Mandatorily redeemable capital stock (Note 14)	170	113
Cash collateral held and other borrowings	172	1,434
Total interest expense	2,050,956	1,651,952
Net interest income before provision for credit losses	265,021	229,736
Provision (Reversal) for credit losses	(416)	93
Net interest income after provision for credit losses	265,437	229,643
Other income (loss)
Service fees and other	5,379	5,334
Instruments held under the fair value option gains (losses) (Note 18)	(10,970)	(39,378)
Derivative gains (losses) (Note 17)	87,606	(31,806)
Trading securities gains (losses) (Note 5)	(50,742)	101,948
Equity investments gains (losses) (Note 6)	4,577	4,251
Litigation settlement		690
Total other income (loss)	35,850	41,039
Other expenses
Operating	20,492	17,705
Compensation and benefits	27,996	25,763
Finance Agency and Office of Finance	5,369	5,052
Other expenses	2,422	1,545
Total other expenses	56,279	50,065
Income before assessments	245,008	220,617
Affordable Housing Program Assessments (Note 13)	24,517	22,073
Net income	$ 220,491	$ 198,544
Basic earnings per share (in dollars per share) (Note 15)	$ 3.57	$ 3.11

XML

Statements of Comprehensive Income - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2024	Mar. 31, 2023
Statements of Comprehensive Income
Net Income		$ 220,491	$ 198,544
Other Comprehensive income (loss)
Net change in unrealized gains (losses) on available-for-sale securities		(83,793)	91,126
Net change in non-credit accretion portion of held-to-maturity securities
Accretion of non-credit portion		50	79
Total net change in non-credit portion of other-than-temporary impairment losses on held-to-maturity securities		50	79
Net change due to hedging activities
Total net change due to hedging activities		137,823	(136,252)
Net change in pension and postretirement benefits		133	(348)
Total other comprehensive income (loss)		54,213	(45,395)
Total comprehensive income (loss)		274,704	153,149
Cash flow hedges
Net change due to hedging activities
Net change due to hedging activities	[1]	17,351	(26,368)
Fair value hedges
Net change due to hedging activities
Net change due to hedging activities	[2]	$ 120,472	$ (109,884)

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

[2] Represents cumulative hedge valuation basis adjustments on fair value hedges of 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.

XML

Statements of Capital - USD ($) shares in Thousands, $ in Thousands		3 Months Ended
		Mar. 31, 2024	Mar. 31, 2023
Statements of Capital
Balance		$ 8,244,701	$ 8,347,383
Proceeds from issuance of capital stock		1,303,801	4,621,546
Repurchase/redemption of capital stock		(1,366,908)	(4,147,489)
Shares reclassified to mandatorily redeemable capital stock			(1,470)
Cash dividends on capital stock		(143,051)	(105,705)
Comprehensive income (loss)		274,704	153,149
Balance		8,313,247	8,867,414
Capital Stock | Capital Stock Class B
Statements of Capital
Balance	[1]	$ 6,049,570	$ 6,387,701
Balance (in shares)	[1]	60,496	63,877
Proceeds from issuance of capital stock	[1]	$ 1,303,801	$ 4,621,546
Proceeds from issuance of capital stock (in shares)	[1]	13,038	46,215
Repurchase/redemption of capital stock	[1]	$ (1,366,908)	$ (4,147,489)
Repurchase/redemption of capital stock (in shares)	[1]	(13,669)	(41,474)
Shares reclassified to mandatorily redeemable capital stock	[1]		$ (1,470)
Shares reclassified to mandatorily redeemable capital stock (in shares)	[1]		(15)
Balance	[1]	$ 5,986,463	$ 6,860,288
Balance (in shares)	[1]	59,865	68,603
Retained Earnings
Statements of Capital
Balance		$ 2,337,664	$ 2,095,967
Cash dividends on capital stock		(143,051)	(105,705)
Comprehensive income (loss)		220,491	198,544
Balance		2,415,104	2,188,806
Unrestricted Retained Earnings
Statements of Capital
Balance		1,276,583	1,185,112
Cash dividends on capital stock		(143,051)	(105,705)
Comprehensive income (loss)		176,393	158,835
Balance		1,309,925	1,238,242
Restricted Retained Earnings
Statements of Capital
Balance		1,061,081	910,855
Comprehensive income (loss)		44,098	39,709
Balance		1,105,179	950,564
Accumulated Other Comprehensive Income (Loss)
Statements of Capital
Balance		(142,533)	(136,285)
Comprehensive income (loss)		54,213	(45,395)
Balance		$ (88,320)	$ (181,680)

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

XML

Statements of Capital (Parenthetical) - $ / shares	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023
Statements of Capital
Cash dividends on capital stock (in dollars per share)	$ 2.46	$ 1.89

XML

Statements of Cash Flows - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2024	Mar. 31, 2023
Operating activities
Net Income		$ 220,491	$ 198,544
Depreciation and amortization:
Net premiums and discounts on consolidated obligations, investments, mortgage loans and other adjustments		308,610	(120,731)
Concessions on consolidated obligations		656	845
Premises, software, and equipment		4,428	4,626
Provision (Reversal) for credit losses		(416)	93
Change in net fair value adjustments on derivatives and hedging activities	[1]	183,825	(214,187)
Net realized and unrealized (gains) losses on trading securities		50,742	(101,948)
Change in fair value on Equity Investments		(4,243)	(4,225)
Change in fair value adjustments on financial instruments held at fair value		10,970	39,378
Net change in:
Accrued interest receivable		(57,669)	(89,804)
Derivative assets due to accrued interest		(277,682)	(391,367)
Derivative liabilities due to accrued interest		279,391	398,844
Other assets		(7,676)	2,656
Affordable Housing Program liability		14,257	12,403
Accrued interest payable		(34,673)	148,629
Other liabilities		(6,002)	(34,124)
Total adjustments		464,518	(348,912)
Net cash provided by (used in) operating activities		685,009	(150,368)
Net change in:
Interest-bearing deposits		(773,320)	(632,980)
Securities purchased under agreements to resell		2,150,000	(8,750,000)
Federal funds sold		(4,105,000)	(8,390,000)
Deposits with other FHLBanks		(14)	54
Premises, software, and equipment		(2,162)	(1,815)
Trading securities.:
Purchased			(130,902)
Repayments			1,375,000
Proceeds from sales			399,516
Equity Investments:
Purchased		(761)	(876)
Proceeds from sales		732	809
Available-for-sale securities:
Purchased		(204,562)	(558,692)
Repayments		17,055	29,351
Held-to-maturity securities:
Purchased		(448,615)	(689,302)
Repayments		165,865	294,428
Advances:
Principal collected		252,118,665	583,613,421
Made		(250,636,369)	(594,123,588)
Mortgage loans held-for-portfolio:
Principal collected		42,788	39,752
Purchased		(54,687)	(27,584)
Proceeds from sales of REO		170	226
Net cash provided by (used in) investing activities		(1,730,215)	(27,553,182)
Net change in:
Deposits and other borrowings		(697,371)	2,759,190
Derivative contracts with financing element		133	(1,998)
Payments on principal portion of finance lease obligation		17
Consolidated obligation bonds:
Proceeds from issuance		24,427,406	48,066,163
Payments for maturing and early retirement		(29,393,955)	(21,577,534)
Consolidated obligation discount notes:
Proceeds from issuance		182,561,212	110,458,829
Payments for maturing		(175,647,198)	(112,374,582)
Capital stock:
Proceeds from issuance of capital stock		1,303,801	4,621,546
Payments for repurchase/redemption of capital stock		(1,366,908)	(4,147,489)
Redemption of mandatorily redeemable capital stock		(645)	(408)
Cash dividends paid	[2]	(143,051)	(105,705)
Net cash provided by (used in) financing activities		1,043,441	27,698,012
Net increase (decrease) in cash and due from banks		(1,765)	(5,538)
Cash and due from banks at beginning of the period	[3]	48,198	27,420
Cash and due from banks at end of the period	[3]	46,433	21,882
Supplemental disclosures:
Interest paid		1,055,438	538,173
Interest paid for Discount Notes	[4]	650,321	556,344
Affordable Housing Program payments	[5]	10,343	9,670
Capital stock subject to mandatory redemption reclassified from equity			$ 1,470
Interest paid for financing lease		$ 17

[1] Net cash provided by (used in) operating activities were also impacted by derivatives and hedging activities. In the three months ended March 31, 2024, derivatives and hedging activities provided $183.8 million in cash flows; in the three ended March 31, 2023, derivatives and hedging activities used $214.2 million in cash flows.

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

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

[4] Interest paid for Discount Notes is the portion of the cash payments at settlement of zero-coupon Consolidated obligation discount notes.

[5] AHP payments equals beginning accrual minus ending accrual plus AHP assessment for the period; payments represent funds released to the Affordable Housing Program.

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Statements of Cash Flows (Parenthetical) - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2024	Mar. 31, 2023
Supplemental disclosures:
Change in net fair value adjustments on derivatives and hedging activities	[1]	$ 183,825	$ (214,187)

[1] Net cash provided by (used in) operating activities were also impacted by derivatives and hedging activities. In the three months ended March 31, 2024, derivatives and hedging activities provided $183.8 million in cash flows; in the three ended March 31, 2023, derivatives and hedging activities used $214.2 million in cash flows.

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Background, Tax Status. Assessments.

3 Months Ended

Mar. 31, 2024

Background, Tax Status. Assessments.

Background, Tax Status. Assessments.

Background

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

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

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

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Summary of Significant Accounting Policies.

3 Months Ended

Mar. 31, 2024

Summary of Significant Accounting Policies.

Summary of Significant Accounting Policies.

Note 1.        Summary of Significant Accounting Policies.

Basis of Presentation

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

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

Financial Instruments with Legal Right of Offset

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

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

Fair Value Measurements

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

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

For more information about methodologies used by the FHLBNY to validate vendor pricing, and fair value “Levels” associated with assets and liabilities recorded on the FHLBNY’s Statements of Condition, see financial statements, Note 18. Fair Values of Financial Instruments in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2023 filed on March 21, 2024.

Derivatives and Hedging Activities

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

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

For more information about the FHLBNY’s hedging activities, see financial statements, Note 17. Derivatives and Hedging Activities in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2023 filed on March 21, 2024.

Credit Losses under ASU 2016-13

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

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

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

Note 7. Available-for-Sale Securities.

Note 8. Held-to-Maturity Securities.

Note 9. Advances.

Note 10. Mortgage Loans Held-for-Portfolio.

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

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Financial Accounting Standards Board (FASB) Standards Issued.

3 Months Ended

Mar. 31, 2024

Financial Accounting Standards Board (FASB) Standards Issued.

Financial Accounting Standards Board (FASB) Standards Issued.

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

Recently Issued Accounting Standards

Standard	Summary of Guidance	Effective Date	Effects on the Financial Statements
Improvements to Reportable Segment Disclosures ASU 2023-07, Issued November 2023	This guidance improves disclosures about a public entity’s reportable segments and addresses requests from investors and other allocators of capital for additional, more detailed information about a reportable segment’s expenses.	This guidance is effective for fiscal years beginning after December 15, 2023. Early adoption is permitted.	We are in the process of evaluating the guidance and its effect on the financial statement disclosures.

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Cash and Due from Banks.

3 Months Ended

Mar. 31, 2024

Cash and Due from Banks.

Cash and Due from Banks.

Note 3.        Cash and Due from Banks.

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

Compensating Balances

The FHLBNY has arrangements with Citibank (a member/stockholder of the FHLBNY) to maintain compensating collected cash balances. There are no restrictions on the withdrawal of funds in this arrangement. The compensating balances were $15.0 million at March 31, 2024 and December 31, 2023. There were no restricted cash balances at March 31, 2024 and December 31, 2023.

Pass-through Deposit Reserves

The FHLBNY acts as a pass-through correspondent for member institutions who are required by banking regulations to deposit reserves with the Federal Reserve Banks. There were no pass-through reserves deposited with Federal Reserve Banks on behalf of the members by the FHLBNY at March 31, 2024 and December 31, 2023, respectively.

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

3 Months Ended

Mar. 31, 2024

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

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

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

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

Interest-bearing deposits — Investments are typically short-term deposits placed with highly-rated large financial institutions and are recorded at amortized cost. Deposits placed were $2.8 billion at March 31, 2024 and $1.9 billion at December 31, 2023 and were uncollateralized. Deposits are evaluated quarterly for expected credit losses based on the probability of default of the borrowing counterparty and the terms to maturity of the outstanding investments at the measurement dates. Based on the analysis performed, no allowance for credit losses was recorded at March 31, 2024 and December 31, 2023. Accrued interest receivables were $1.3 million at March 31, 2024 and $0.9 million at December 31, 2023, and no allowance for credit losses was recorded as interest due was collected.

Federal funds sold — Federal funds sold are unsecured advances to highly-rated large financial institutions. Federal funds sold are unsecured loans that are generally transacted on an overnight term and recorded at amortized cost. FHFA regulations include a limit on the amount of unsecured credit an individual Bank may extend to a counterparty. Federal funds sold were $13.7 billion at March 31, 2024 and $9.6 billion at December 31, 2023 and were repaid according to their contractual terms. Investments are evaluated quarterly for expected credit losses based on the probability of default of the borrowing counterparty and the terms to maturity of the outstanding investments at the measurement dates. Generally, Federal funds are short-term and typically overnight. Counterparties are highly-rated. Based on analysis performed, no allowance for credit losses was recorded for Federal funds sold at March 31, 2024 and December 31, 2023. Accrued interest receivables were $6.1 million at March 31, 2024 and $4.3 million at December 31, 2023, and no allowance for credit losses was recorded as interest due was collected.

Securities purchased under agreements to resell — The outstanding balances of Securities purchased under agreements to resell were recorded on an amortized cost basis of $5.7 billion at March 31, 2024 and $7.8 billion at December 31, 2023. The investments typically matured overnight and were executed through a tri-party arrangement that involved transfer of overnight funds to a segregated safekeeping account at the Bank of New York (BONY). BONY, acting as an independent agent on behalf of the FHLBNY and the counterparty to the transactions, assumes the responsibility of receiving eligible securities as collateral and releasing funds to the counterparty. The amount of cash loaned against the collateral is a function of the liquidity and quality of the collateral. The collateral is typically in the form of securities that meet the FHLBNY’s credit quality standards, are highly-rated and readily marketable. The FHLBNY has the ability to call for additional collateral if the value of the securities falls below a pre-defined haircut. The FHLBNY can terminate the transaction and liquidate the collateral if the counterparty fails to post the additional margin. Agreements generally allow the FHLBNY to repledge securities under certain conditions. No adjustments for instrument-specific credit risk were deemed necessary as market values of collateral were in excess of principal amounts loaned. Accrued interest receivables were $2.5 million at March 31, 2024 and $3.5 million at December 31, 2023, and no allowance for credit losses was recorded as interest due was collected.

U.S. Treasury securities at market values of $5.8 billion at March 31, 2024 and $8.0 billion at December 31, 2023 were received at BONY to collateralize the overnight investments. Interest income from securities purchased under agreements to resell was $72.3 million for the three months ended March 31, 2024 and $47.2 million for the same period in the prior year. Transactions recorded as Securities purchased under agreements to resell were accounted as collateralized financing transactions.

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Trading Securities.

3 Months Ended

Mar. 31, 2024

Trading Securities.

Securities.

Securities.

Note 5.        Trading Securities.

The carrying value of a trading security equals its fair value. The following table provides major security types at March 31, 2024 and December 31, 2023 (in thousands):

Fair value	March 31, 2024		December 31, 2023
U.S. Treasury notes	$	5,850,389	$	5,886,421
Total trading securities	$	5,850,389	$	5,886,421

The carrying values of trading securities included net unrealized fair value losses of $312.7 million at March 31, 2024 and losses of $262.0 million at December 31, 2023. We have classified investments acquired for purposes of meeting short-term contingency and other liquidity needs as trading securities. In accordance with Finance Agency guidance, we do not participate in speculative trading practices.

Trading Securities Pledged

The FHLBNY had pledged marketable securities at fair values of $787.3 million at March 31, 2024 and $794.8 million at December 31, 2023 to derivative clearing organizations to fulfill the FHLBNY’s initial margin requirements as mandated under margin rules of the Commodity Futures Trading Commission (CFTC). The clearing organizations have rights to sell or repledge the collateral securities under certain conditions.

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

Redemption Terms

	March 31, 2024
	Due in one year or			Due after one year			Due after five years
	less			through five years			through ten years			Total Fair Value
U.S. Treasury notes	$	247,915		$	5,602,474		$	—		$	5,850,389
Total trading securities	$	247,915		$	5,602,474		$	—		$	5,850,389
Yield on trading securities		3.28	%		1.87	%		0.00	%

	December 31, 2023
	Due in one year or			Due after one year			Due after five years
	less			through five years			through ten years			Total Fair Value
U.S. Treasury notes	$	247,070		$	5,403,814		$	235,537		$	5,886,421
Total trading securities	$	247,070		$	5,403,814		$	235,537		$	5,886,421
Yield on trading securities		3.29	%		1.84	%		2.74	%

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Equity Investments.

3 Months Ended

Mar. 31, 2024

Equity Investments.

Equity Investments.

Note 6.        Equity Investments.

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

	March 31, 2024
			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
	Cost		Gains (b)		Losses (b)		Value (c)
Cash equivalents	$	5,441	$	—	$	—	$	5,441
Equity funds		40,340		25,727		(6,060)		60,007
Fixed income funds		35,208		214		(4,719)		30,703
Total Equity Investments (a)	$	80,989	$	25,941	$	(10,779)	$	96,151

	December 31, 2023
			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
	Cost		Gains (b)		Losses (b)		Value (c)
Cash equivalents	$	4,510	$	—	$	—	$	4,510
Equity funds		40,871		21,250		(6,148)		55,973
Fixed income funds		35,580		225		(4,409)		31,396
Total Equity Investments (a)	$	80,961	$	21,475	$	(10,557)	$	91,879

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

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

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

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

	Three months ended March 31,
	2024		2023
Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date	$	4,243	$	4,225
Net gains (losses) recognized during the period on equity investments sold during the period		(106)		(374)
Net dividend and other		440		400
Net gains (losses) recognized during the period	$	4,577	$	4,251

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Available-for-Sale Securities.

3 Months Ended

Mar. 31, 2024

Available-for-Sale Securities.

Securities.

Securities.

Note 7.        Available-for-Sale Securities.

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

	March 31, 2024
			Gross			Gross
	Amortized		Unrealized			Unrealized			Fair
	Cost		Gains			Losses			Value
GSE and U.S. Obligations
State and local housing finance agency obligations	$	1,229,440	$	27		$	(2,377)		$	1,227,090
Mortgage-backed securities
Floating
CMO		383,538		590			(2,686)			381,442
Pass Thru		3,215		70			—			3,285
Total Floating		386,753		660			(2,686)			384,727
Fixed
CMBS		8,391,578		7,963			(800,664)			7,598,877
Total Fixed		8,391,578		7,963			(800,664)			7,598,877
MBS AFS Before Hedging Adjustments		8,778,331		8,623	(a)		(803,350)	(a)		7,983,604
Hedging Basis Adjustments in AOCI (b)		(625,816)		625,816			—			—
Total Available-for-sale securities (MBS)		8,152,515		634,439			(803,350)			7,983,604
Total Available-for-sale securities	$	9,381,955	$	634,466		$	(805,727)		$	9,210,694

	December 31, 2023
			Gross			Gross
	Amortized		Unrealized			Unrealized			Fair
	Cost		Gains			Losses			Value
GSE and U.S. Obligations
State and local housing finance agency obligations	$	1,229,440	$	40		$	(1,242)		$	1,228,238
Mortgage-backed securities
Floating
CMO		396,803		554			(4,739)			392,618
Pass Thru		3,355		80			—			3,435
Total Floating		400,158		634			(4,739)			396,053
Fixed
CMBS		8,190,429		15,071			(723,048)			7,482,452
Total Fixed		8,190,429		15,071			(723,048)			7,482,452
MBS AFS Before Hedging Adjustments		8,590,587		15,705	(a)		(727,787)	(a)		7,878,505
Hedging Basis Adjustments in AOCI (b)		(505,344)		505,344			—			—
Total Available-for-sale securities (MBS)		8,085,243		521,049			(727,787)			7,878,505
Total Available-for-sale securities	$	9,314,683	$	521,089		$	(729,029)		$	9,106,743

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

(b) Amounts represent fair value hedging basis due to changes in the benchmark rate and were recorded as an adjustment to the carrying values of hedged securities; the adjustments impacted the unrealized market value gains and losses. Securities in a fair value hedging relationship at March 31, 2024 recorded $625.8 million of hedge basis losses; at December 31, 2023, hedge basis losses of $505.3 million were recorded. In the table above, the benchmark hedging basis adjustments were reported separately from the market-based prices of ASC 815 qualifying hedges to provide greater clarity to market-based pricing of the securities.

Credit Loss Analysis of AFS Securities

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

Based on credit and performance analysis, GSE-issued securities are performing in accordance with their contractual agreements. The FHLBNY believes that it will recover its investments in GSE-issued securities given the current levels of collateral, credit enhancements and guarantees that exist to protect the investments. At March 31, 2024 and December 31, 2023, unrealized fair value losses have been aggregated in the table below by the length of time a security was in a continuous unrealized loss position based on market-based pricing and excluding the effects of hedge basis adjustments.

The Bank evaluates its individual AFS securities for impairment by comparing the security’s fair value to its amortized cost. Impairment may exist when the fair value of the investment is less than its amortized cost (i.e. in an unrealized loss position). We have not experienced any payment defaults on the instruments. As noted previously, substantially all of these securities are GSE-issued and carry an implicit or explicit U.S. government guarantee. Based on the analysis, no allowance for credit losses was recorded on these AFS securities at March 31, 2024 and December 31, 2023.

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

	March 31, 2024
	Less than 12 months				12 months or more				Total
	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
MBS Investment Securities and State and local housing finance agency obligations
MBS-Other U.S. Obligations	$	924	$	(2)	$	3,036	$	(30)	$	3,960	$	(32)
MBS-GSE		1,315,486		(33,544)		6,162,892		(769,774)		7,478,378		(803,318)
Total MBS Temporarily Impaired		1,316,410		(33,546)		6,165,928		(769,804)		7,482,338		(803,350)
State and local housing finance agency obligations		809,377		(1,963)		267,686		(414)		1,077,063		(2,377)
Total Temporarily Impaired	$	2,125,787	$	(35,509)	$	6,433,614	$	(770,218)	$	8,559,401	$	(805,727)

	December 31, 2023
	Less than 12 months				12 months or more				Total
	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
MBS Investment Securities and State and local housing finance agency obligations
MBS-Other U.S. Obligations	$	952	$	(4)	$	3,068	$	(68)	$	4,020	$	(72)
MBS-GSE		1,252,462		(22,048)		5,964,960		(705,667)		7,217,422		(727,715)
Total MBS Temporarily Impaired		1,253,414		(22,052)		5,968,028		(705,735)		7,221,442		(727,787)
State and local housing finance agency obligations		810,181		(1,159)		268,017		(83)		1,078,198		(1,242)
Total Temporarily Impaired	$	2,063,595	$	(23,211)	$	6,236,045	$	(705,818)	$	8,299,640	$	(729,029)

Redemption Terms

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

	March 31, 2024				December 31, 2023
	Amortized		Estimated		Amortized		Estimated
	Cost (b)		Fair Value		Cost (b)		Fair Value
State and local housing finance agency obligations
Due after one year through five years	$	10,100	$	10,087	$	10,100	$	10,079
Due after ten years		1,219,340		1,217,003		1,219,340		1,218,159
State and local housing finance agency obligations	$	1,229,440	$	1,227,090	$	1,229,440	$	1,228,238
Mortgage-backed securities
Due in one year or less	$	78,597	$	77,000	$	—	$	—
Due after one year through five years		1,971,573		1,910,595		1,633,285		1,581,031
Due after five year through ten years		5,188,187		5,119,003		5,514,159		5,400,204
Due after ten years		914,158		877,006		937,799		897,270
Mortgage-backed securities	$	8,152,515	$	7,983,604	$	8,085,243	$	7,878,505
Total Available-for-Sale securities	$	9,381,955	$	9,210,694	$	9,314,683	$	9,106,743

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

(b) Amortized cost is UPB after adjusting for net unamortized discounts of $27.0 million at March 31, 2024 and net unamortized discounts of $31.8 million at December 31, 2023. Additionally, historical amortized cost in the table above is after adjustment for hedging basis.

Interest Rate Payment Terms

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

	March 31, 2024				December 31, 2023
	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Mortgage-backed securities
Floating
CMO	$	383,538	$	381,442	$	396,803	$	392,618
Pass Thru		3,215		3,285		3,355		3,435
Total Floating		386,753		384,727		400,158		396,053
Fixed
CMBS		7,765,762		7,598,877		7,685,085		7,482,452
Total Fixed		7,765,762		7,598,877		7,685,085		7,482,452
Total Mortgage-backed securities		8,152,515		7,983,604		8,085,243		7,878,505
State and local housing finance agency obligations
Floating		1,229,440		1,227,090		1,229,440		1,228,238
Total Available-for-Sale securities	$	9,381,955	$	9,210,694	$	9,314,683	$	9,106,743

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Held-to-Maturity Securities.

3 Months Ended

Mar. 31, 2024

Held-to-Maturity Securities.

Held-to-Maturity Securities.

Securities.

Note 8.        Held-to-Maturity Securities.

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

	March 31, 2024
			Allowance		OTTI				Gross		Gross
	Amortized		for Credit		Recognized		Carrying		Unrecognized		Unrecognized		Fair
Issued, guaranteed or insured:	Cost (d)		Loss (ACL)		in AOCI		Value		Holding Gains (a)		Holding Losses (a)		Value
Pools of Mortgages	$	25,250	$	—	$	—	$	25,250	$	174	$	(30)	$	25,394
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits		2,364,471		—		—		2,364,471		5,958		(13,278)		2,357,151
Commercial Mortgage-Backed Securities (b)		9,358,080		—		—		9,358,080		1,763		(364,799)		8,995,044
Non-GSE MBS (c)		36,263		(529)		(713)		35,021		3,460		(1,214)		37,267
Total MBS		11,784,064		(529)		(713)		11,782,822		11,355		(379,321)		11,414,856
Other
State and local housing finance agency obligations		165,670		(83)		—		165,587		—		(12,084)		153,503
Total Held-to-Maturity securities	$	11,949,734	$	(612)	$	(713)	$	11,948,409	$	11,355	$	(391,405)	$	11,568,359

	December 31, 2023
			Allowance		OTTI				Gross		Gross
	Amortized		for Credit		Recognized		Carrying		Unrecognized		Unrecognized		Fair
Issued, guaranteed or insured:	Cost (d)		Loss (ACL)		in AOCI		Value		Holding Gains (a)		Holding Losses (a)		Value
Pools of Mortgages	$	26,237	$	—	$	—	$	26,237	$	457	$	—	$	26,694
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits		2,182,189		—		—		2,182,189		7,971		(16,117)		2,174,043
Commercial Mortgage-Backed Securities (b)		9,457,545		—		—		9,457,545		4,112		(324,425)		9,137,232
Non-GSE MBS (c)		38,587		(529)		(763)		37,295		3,793		(889)		40,199
Total MBS		11,704,558		(529)		(763)		11,703,266		16,333		(341,431)		11,378,168
Other
State and local housing finance agency obligations		166,145		(83)		—		166,062		—		(12,329)		153,733
Total Held-to-Maturity securities	$	11,870,703	$	(612)	$	(763)	$	11,869,328	$	16,333	$	(353,760)	$	11,531,901

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

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

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

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

Securities Pledged

The FHLBNY had pledged MBS, with an amortized cost basis of $4.1 million at March 31, 2024 and $4.8 million at December 31, 2023, to the FDIC in connection with deposits maintained by the FDIC at the FHLBNY. The FDIC does not have rights to sell or repledge the collateral unless the FHLBNY defaults under the terms of its deposit arrangements with the FDIC.

Credit Loss Allowances on Held-to-Maturity Securities

GSE-issued securities — The FHLBNY evaluates its individual securities issued by Fannie Mae, Freddie Mac and U.S. government agency, (collectively GSE-issued securities), by considering the creditworthiness and performance of the debt securities and the strength of the GSEs’ guarantees of the securities. Based on the analysis, GSE-issued securities are performing in accordance with their contractual agreements, and we will recover our investments in GSE-issued securities given the current levels of collateral, credit enhancements and guarantees that exist to protect the investments. The number of investment positions that were in an unrealized loss position was 204 and 198 at March 31, 2024 and December 31, 2023, respectively.

Housing finance agency bonds — The FHLBNY’s investments in Held-to-Maturity (HTM) Housing finance agency (HFA) bonds reported gross unrecognized losses of $12.1 million at March 31, 2024 and $12.3 million at December 31, 2023. Investments are evaluated quarterly for expected credit losses based on the probability of default of the borrowing counterparty and the terms to maturity of the outstanding investments at the measurement dates. A credit loss would also be recognized if there is a collateral shortfall if the FHLBNY believes the counterparty will not replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost. Our analysis identified no collateral shortfall. There were three investment positions that were in an unrealized loss position in the HTM portfolio at March 31, 2024 and December 31, 2023. Probability default analysis recorded allowance for credit losses of $0.1 million at March 31, 2024 and December 31, 2023. No allowance for credit losses was recorded for accrued interest receivable as interest due is expected to be collected.

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

Private-label mortgage-backed securities — Management evaluates its investments in private-label MBS (PLMBS) for credit losses on a quarterly basis by performing cash flow tests on its entire portfolio of PLMBS. Allowance for credit losses were $0.5 million were recorded at both March 31, 2024 and December 31, 2023. Certain securities are insured by monoline insurers, and our credit specialists have analyzed associated guarantees with appropriate haircuts. The Bank’s conclusions are also based upon multiple factors, but not limited to the expected performance of the underlying collateral, and the evaluation of the fundamentals of the issuers’ financial condition. Management has not made a decision to sell such securities at March 31, 2024 and has concluded that it will not be required to sell such securities before recovery of the amortized cost basis of the securities. The number of investment positions that were in an unrealized loss position were 12 at both March 31, 2024 and December 31, 2023.

Redemption Terms

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

	March 31, 2024				December 31, 2023
	Amortized		Estimated		Amortized		Estimated
	Cost (a)		Fair Value		Cost (a)		Fair Value
State and local housing finance agency obligations
Due after five years through ten years	$	100	$	100	$	100	$	100
Due after ten years		165,570		153,403		166,045		153,633
State and local housing finance agency obligations	$	165,670	$	153,503	$	166,145	$	153,733
Mortgage-backed securities
Due in one year or less	$	631,985	$	622,517	$	536,177	$	527,198
Due after one year through five years		5,367,873		5,170,193		5,157,803		5,008,487
Due after five years through ten years		3,242,789		3,102,550		3,630,080		3,482,815
Due after ten years		2,541,417		2,519,596		2,380,498		2,359,668
Mortgage-backed securities	$	11,784,064	$	11,414,856	$	11,704,558	$	11,378,168
Total Held-to-Maturity Securities	$	11,949,734	$	11,568,359	$	11,870,703	$	11,531,901

(a) Amortized cost is UPB after adjusting for net unamortized discounts of $27.5 million at March 31, 2024 and $28.1 million at December 31, 2023 and before adjustments for allowance for credit losses.

XML

Advances.

3 Months Ended

Mar. 31, 2024

Advances.

Advances.

Note 9.        Advances.

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

Redemption Terms

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

	March 31, 2024							December 31, 2023
			Weighted (a)						Weighted (a)
			Average		Percentage				Average		Percentage
	Amount		Yield		of Total		Amount		Yield		of Total
Overdrawn demand deposit accounts	$	—	—	%	—	%	$	87	6.36	%	—	%
Due in one year or less		64,326,291	2.73		59.39			65,288,841	3.12		59.47
Due after one year through two years		15,495,571	1.95		14.31			15,253,626	2.06		13.89
Due after two years through three years		10,139,552	1.92		9.36			7,776,604	2.11		7.08
Due after three years through four years		7,406,998	2.90		6.84			8,730,143	2.78		7.95
Due after four years through five years		4,517,306	2.89		4.17			5,752,934	2.76		5.24
Thereafter		6,427,137	2.70		5.93			6,992,916	2.72		6.37
Total par value		108,312,855	2.56	%	100.00	%		109,795,151	2.83	%	100.00	%
Advance discounts		(8,607)						(7,878)
Hedge valuation basis adjustments (b)		(1,140,685)						(897,145)
Total	$	107,163,563					$	108,890,128

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

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

Monitoring and Evaluating Credit Losses on Advances

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

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

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

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

● cash or deposits in the Bank;

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

● qualifying securities.

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

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

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

Allowance for Credit Risk. The FHLBNY has policies and procedures in place to manage credit risk. The FHLBNY has a continuous process of evaluating collateral supporting advances and to make changes to its collateral guidelines, as necessary, based on current market conditions. None of the FHLBNY’s advances were past due, on non-accrual status, or considered impaired as of March 31, 2024. In addition, there were no troubled debt restructurings related to advances at the FHLBNY at any time in this report.

As of March 31, 2024, the FHLBNY had collateral on a borrower-by-borrower basis with a value equal to, or greater than, its outstanding advances. Based on the collateral held as security, the FHLBNY’s management’s credit extension and collateral policies, and repayment history on advances, the FHLBNY did not expect any losses on its advances at any point in 2024 and through the filing date on this report; therefore, no allowance for credit losses on advances was recorded. For the same reasons, the FHLBNY did not record any allowance for credit losses on interest receivable on advances as of March 31, 2024.

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

Advances borrowed by insurance companies accounted for 35.7% and 34.3% of total advances at March 31, 2024 and December 31, 2023, respectively. Lending to insurance companies poses a number of unique risks not present in lending to federally insured depository institutions. For example, there is no single federal regulator for insurance companies. They are supervised by state regulators and subject to state insurance codes and regulations. There is uncertainty about whether a state insurance commissioner would try to void the FHLBNY’s claims on collateral in the event of an insurance company failure. As with all members, insurance companies are also required to purchase the FHLBNY’s capital stock as a prerequisite to membership and borrowing activity. The FHLBNY’s management takes a number of steps to mitigate the unique risk of lending to insurance companies. At the time of membership, the FHLBNY requires an insurance company to be highly-rated and to meet the FHLBNY’s credit quality standards. The FHLBNY performs quarterly credit analysis of the insurance borrower. Insurance companies are required to successfully complete an onsite review prior to pledging collateral. Additionally, in order to ensure its position as a first priority secured creditor, FHLBNY typically requires insurance companies to place physical possession of all pledged eligible collateral with FHLBNY or deposit it with a third-party custodian or control agent. Such collateral must meet the FHLBNY’s credit quality standards, with appropriate minimum margins applied.

Security Terms. The FHLBNY lends to financial institutions involved in housing finance within its district. Borrowing members are required to purchase capital stock of the FHLBNY and pledge collateral for advances. During all periods in this report and as of March 31, 2024, the FHLBNY had rights to collateral with an estimated value greater than outstanding advances. Based upon the financial condition of the member, the FHLBNY:

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

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

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

XML

Mortgage Loans Held-for-Portfolio.

3 Months Ended

Mar. 31, 2024

Mortgage Loans Held-for-Portfolio.

Mortgage Loans Held-for-Portfolio.

Note 10.        Mortgage Loans Held-for-Portfolio.

The mortgage loans held-for-portfolio consists of MAP and MPF loans. The FHLBNY participates in these programs by purchasing and originating conventional mortgage loans from its participating members, hereafter referred to as Participating Financial Institutions (PFI). The FHLBNY manages the liquidity, interest rate and prepayment option risk of the MPF loans, while the PFIs usually retain servicing activities, and provide credit-enhancement for conventional loans sold into the program. No intermediary trust is involved.

In March 2021, the FHLBNY ceased to acquire loans under the MPF program. Future mortgage loan purchases will be made only through our new mortgage asset loan program — MAP. Legacy loans under the MPF programs will continue to be supported and serviced under the MPF loan agreements. Mortgage loans under the MPF program were at a carrying value of $1.7 billion at both March 31, 2024 and December 31, 2023. Mortgage loans under the MAP program were at a carrying value of $0.5 billion at both March 31, 2024 and December 31, 2023.

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

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

	March 31, 2024				December 31, 2023
	Carrying Amount		Percentage of Total		Carrying Amount		Percentage of Total
Real Estate (a):
Fixed medium-term single-family mortgages	$	103,938	4.81	%	$	106,860	4.97	%
Fixed long-term single-family mortgages		2,057,019	95.19			2,043,520	95.03
Total unpaid principal balance	$	2,160,957	100.00	%	$	2,150,380	100.00	%
Unamortized premiums		35,465				35,034
Unamortized discounts		(724)				(742)
Basis adjustment (b)		(1,573)				(1,605)
Total mortgage loans amortized cost	$	2,194,125			$	2,183,067
Allowance for credit losses		(2,885)				(3,301)
Total mortgage loans held-for-portfolio at carrying value	$	2,191,240			$	2,179,766

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

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

The FHLBNY and its members share the credit risk of MPF loans by structuring potential credit losses into layers. The first layer is typically 100 bps, but this varies with the particular MPF product. The amount of the first layer, or First Loss Account (FLA), was estimated at $41.6 million at March 31, 2024 and $43.1 million at December 31, 2023. The FLA is not recorded or reported as a reserve for loan losses, as it serves as a memorandum or information account. The FHLBNY is responsible for absorbing the first layer. The second layer is that amount of credit obligations that the PFI has agreed to assume at the “Master Commitment” level. The FHLBNY pays a credit enhancement fee to the PFI for taking on this obligation. The FHLBNY assumes all residual risk. Credit enhancement fees accrued were $0.4 million for the three months ended March 31, 2024 and March 31, 2023. These fees were reported as a reduction to mortgage loan interest income.

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

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

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

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

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

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

The MAP program operates on the simplified credit risk sharing structure. MAP credit risk sharing structure rewards PFIs for originating high-quality, well-performing loans. At the time of purchase, FHLBNY will set aside a standard credit enhancement of 1.5% for every loan funded, to be retained in a Member Performance Account (MPA) for each PFI. The MPA credit enhancement may be slightly greater than 1.5% for certain loans based on credit characteristics. Loans are pooled into single or aggregate (multi-member) Master Commitments. Loan losses over the life of the pool are absorbed in order by borrower’s equity, mortgage insurance (if applicable), MPA, and finally by FHLBNY. If pooled losses are low, MPA funds are returned to the seller over time, based on a contractual release schedule. This liability account was $7.9 million at March 31, 2024 and $7.2 million at December 31, 2023.

Allowance Methodology for Mortgage Loan Losses

Our allowance for credit losses of $2.9 million at March 31, 2024 took into consideration several factors. First, the Bank’s mortgage loan portfolio has a history of incurred losses that have not been significant. Second, loss sharing and insurance would largely offset actual losses.

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

The Bank’s credit risk model (“model”) estimates the probabilities of prepayment and default concurrently. Prepayment represents the probability that an individual loan will voluntarily prepay while a default represents the probability that an individual loan will involuntarily pay off. The Bank’s third-party credit loss model applies a hazard rate approach to model loan prepayment and default at each month. In the Hazard Rate approach, a loan may stay as active (survived) or is terminated (due to default or prepayment) at the end of each period (month). The two statuses will compete over each period to calculate the probability of default of each individual mortgage loan. The model is composed of a series of loan-level econometric models that are related through common dependence on macroeconomic as well as loan-specific factors (i.e., collateral types, borrower characteristics). The macro factors used in the loan-level models are inputs at the national-level, state-level and MSA-level using econometric models developed for these factors. The model loan characteristics along with economic assumptions including applicable housing prices and interest rates as inputs to generate projected cash flows over the life of the mortgage. It then estimates the loss given default (LGD) for each loan and aggregates projected cash flows for each loan in the portfolio. A loan in foreclosure or real estate owned (REO) sale is considered to be in default.

Accrued interest receivable was $11.9 million at March 31, 2024 and $11.5 million at December 31, 2023. Delinquency and non-accruals are factors that are applied in estimating expected credit losses. Refer to discussions on non-accrual and delinquent loans.

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

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

There were no MAP loans in serious delinquent status (90 days or more) at March 31, 2024 and December 31, 2023.

Roll forward Analysis of Allowance for Credit Losses

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

	Three months ended March 31,
	2024		2023
Allowance for credit losses:
Beginning balance	$	3,301	$	1,911
Adjustment for cumulative effect of accounting change		—		—
Charge-offs		—		—
Recoveries		—		—
Provision (Reversal) for credit losses on mortgage loans		(416)		(135)
Balance at end of period	$	2,885	$	1,776

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

	March 31, 2024			December 31, 2023
Average loans outstanding during the period (a)	$	2,158,497		$	2,106,517
Mortgage loans held for portfolio (b)		2,160,957			2,150,380
Non-accrual loans (b)		4,654			5,895
Allowance for credit losses on mortgage loans held for portfolio		2,885			3,301
Net charge-offs		—			—
Ratio of net charge-offs to average loans outstanding during the period		—	%		—	%
Ratio of allowance for credit losses to mortgage loans held for portfolio		0.134	%		0.154	%
Ratio of non-accrual loans to mortgage loans held for portfolio		0.215	%		0.274	%
Ratio of allowance for credit losses to non-accrual loans		62.004	%		56.007	%

(a) Represents the average unpaid principal balance for the three months ended March 31, 2024 and for the twelve months ended December 31, 2023.

(b) Balances represent unpaid principal balance.

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

	March 31, 2024		December 31, 2023
Total mortgage loans, carrying values net (a)	$	2,191,240	$	2,179,766
Non-performing mortgage loans - Conventional (a)(b)	$	4,654	$	5,895
Insured mortgage loans past due 90 days or more and still accruing interest (a)(b)	$	4,268	$	4,967

(a) Includes loans classified as special mention, sub-standard, doubtful or loss under regulatory criteria, net of amounts charged-off if delinquent for 180 days or more. There were no impaired MAP loans.

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

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

FHA and VA loans are considered as insured MPF or MAP loans, and while the loans are evaluated on an individual basis, we have deemed that FHA and VA loans as collectively insured. Additionally, based on the Bank’s assessment of its servicers and the collateral backing the insured loans, the risk of loss was deemed immaterial. The Bank has not recorded an allowance for credit losses for government-guaranteed or -insured mortgage loans in any periods in 2024 or 2023. Furthermore, none of these mortgage loans has been placed on non-accrual status because of the U.S. government guarantee or insurance on these loans and the contractual obligation of the loan servicer to repurchase the loans when certain criteria are met.

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

	March 31, 2024
	Unpaid						Average
	Principal		Related		Amortized Cost		Amortized Cost
	Balance		Allowance		After Allowance		After Allowance (d)
Conventional Loans (a)(c)
No related allowance (b)	$	338,647	$	—	$	342,711	$	334,311
With a related allowance		1,211,477		(2,885)		1,227,441		1,246,361
Total measured for impairment (e)	$	1,550,124	$	(2,885)	$	1,570,152	$	1,580,672

	December 31, 2023
	Unpaid						Average
	Principal		Related		Amortized Cost		Amortized Cost
	Balance		Allowance		After Allowance		After Allowance (d)
Conventional Loans (a)(c)
No related allowance (b)	$	321,544	$	—	$	325,428	$	615,113
With a related allowance		1,262,122		(3,301)		1,278,547		1,051,418
Total measured for impairment (e)	$	1,583,666	$	(3,301)	$	1,603,975	$	1,666,531

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

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

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

(d) Represents the average amortized cost after allowance for the three months ended March 31, 2024 and for the twelve months ended December 31, 2023.

(e) There were no impaired MAP loans.

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

	March 31, 2024		December 31, 2023
Mortgage Loans Held for Portfolio by Collateral/Guarantee Type:
Conventional mortgage loans	$	2,038,005	$	2,025,225
Government-guaranteed or - insured mortgage loans		122,952		125,155
Total mortgage loans - unpaid principal balance	$	2,160,957	$	2,150,380

Payment Status of Mortgage Loans

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

The following tables present the payment status for conventional mortgage loans and other delinquency statistics for the Bank’s mortgage loans at March 31, 2024 and December 31, 2023.

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

	March 31, 2024
	Conventional Loans
	Origination Year
	Prior to 2020		2020 to 2024		Total
Payment Status, at Amortized Cost:
Conventional loans
Past due 30 - 59 days	$	9,077	$	2,797	$	11,874
Past due 60 - 89 days		2,097		705		2,802
Past due 90 days or more		4,503		174		4,677
Total past due mortgage loans		15,677		3,676		19,353
Current mortgage loans		1,182,010		867,875		2,049,885
Total conventional mortgage loans	$	1,197,687	$	871,551	$	2,069,238

	December 31, 2023
	Conventional Loans
	Origination Year
	Prior to 2019		2019 to 2023		Total
Payment Status, at Amortized Cost:
Conventional loans
Past due 30 - 59 days	$	6,599	$	4,281	$	10,880
Past due 60 - 89 days		1,403		290		1,693
Past due 90 days or more		5,645		269		5,914
Total past due mortgage loans		13,647		4,840		18,487
Current mortgage loans		924,258		1,113,175		2,037,433
Total conventional mortgage loans	$	937,905	$	1,118,015	$	2,055,920

Other Delinquency Statistics (dollars in thousands):

	March 31, 2024
	Conventional			Government-Guaranteed			Total
	Loans			or -Insured Loans			Mortgage Loans
Amortized Cost (a):
In process of foreclosure (b)	$	2,552		$	2,577		$	5,129
Serious delinquency rate (c)		0.31	%		3.56	%		0.42	%
Past due 90 days or more and still accruing interest	$	—		$	4,339		$	4,339
Loans on non-accrual status	$	4,677		$	—		$	4,677

	December 31, 2023
	Conventional			Government-Guaranteed			Total
	Loans			or -Insured Loans			Mortgage Loans
Amortized Cost (a):
In process of foreclosure (b)	$	2,153		$	3,048		$	5,201
Serious delinquency rate (c)		0.37	%		4.03	%		0.51	%
Past due 90 days or more and still accruing interest	$	—		$	5,041		$	5,041
Loans on non-accrual status	$	5,914		$	—		$	5,914

(a) There were no MAP loans in delinquency status.

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

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

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Deposits.

3 Months Ended

Mar. 31, 2024

Deposits.

Deposits.

Note 11.        Deposits.

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

Deposits represent a relatively small portion of the FHLBNY’s funding, totaling $2.8 billion at March 31, 2024 and $3.5 billion at December 31, 2023, a decrease of $0.7 billion, or 20.2%, from December 31, 2023. All FHLBNY deposits are uninsured and the balance of deposits vary depending on market factors, such as the attractiveness of the FHLBNY’s deposit pricing relative to the rates available on alternative money market instruments, FHLBNY members’ investment preferences with respect to the maturity of their investments, and FHLBNY members’ liquidity. Interest-bearing demand and overnight deposits represented 99.7% of deposits at both March 31, 2024 and December 31, 2023, with the remaining deposits primarily being term deposits and non-interest-bearing deposits.

Interest-bearing demand and overnight deposits pay interest based on a daily interest rate. The year-to-date average balances of demand and overnight deposits were $2.7 billion for period ended March 31, 2024 and $3.0 billion for the period ended December 31, 2023. The annualized weighted-average interest rates paid on demand and overnight deposits were 5.22% for the three months ended March 31, 2024 and 4.23% for the year ended December 31, 2023.

The following table summarizes deposits (in thousands):

	March 31, 2024		December 31, 2023
Interest-bearing deposits
Interest-bearing demand	$	2,770,619	$	3,472,477
Total interest-bearing deposits		2,770,619		3,472,477
Non-interest-bearing demand		7,893		9,376
Total deposits (a)	$	2,778,512	$	3,481,853

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

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

			Average				Average
Deposits	March 31, 2024		Interest Rate (b)		December 31, 2023		Interest Rate (b)
Interest-bearing demand (a)	$	2,770,619	5.22	%	$	3,472,477	4.23	%
Total interest-bearing deposits		2,770,619	5.22	%		3,472,477	4.23	%
Non-interest-bearing demand		7,893				9,376
Total deposits	$	2,778,512			$	3,481,853

(a) Primarily adjustable rate.

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

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Consolidated Obligations.

3 Months Ended

Mar. 31, 2024

Consolidated Obligations.

Consolidated Obligations.

Note 12.        Consolidated Obligations.

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

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

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

	March 31, 2024		December 31, 2023
Consolidated obligation bonds-amortized cost	$	93,726,331	$	98,702,143
Hedge valuation basis adjustments		(1,195,856)		(1,126,343)
Hedge basis adjustments on de-designated hedges		105,432		106,686
FVO - valuation adjustments and accrued interest		(102,119)		(113,424)
Total Consolidated obligation bonds	$	92,533,788	$	97,569,062
Discount notes-amortized cost	$	54,939,651	$	47,914,413
Hedge value basis adjustments		(57,830)		(7,363)
Hedge basis adjustments on de-designated hedges		(924)		(142)
FVO - valuation adjustments and remaining accretion		—		—
Total Consolidated obligation discount notes	$	54,880,897	$	47,906,908

Redemption Terms of Consolidated Obligation Bonds

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

	March 31, 2024						December 31, 2023
			Weighted						Weighted
			Average		Percentage				Average		Percentage
Maturity	Amount		Rate (a)		of Total		Amount		Rate (a)		of Total
One year or less	$	49,719,985	4.50	%	53.08	%	$	58,048,915	4.67	%	58.85	%
Over one year through two years		22,281,760	3.57		23.79			14,958,980	3.48		15.16
Over two years through three years		9,594,955	2.15		10.24			12,220,155	1.67		12.39
Over three years through four years		3,614,380	3.22		3.86			4,992,385	2.62		5.06
Over four years through five years		4,357,365	3.49		4.65			3,977,705	3.36		4.03
Thereafter		4,104,745	3.32		4.38			4,447,450	3.16		4.51
Total par value		93,673,190	3.89	%	100.00	%		98,645,590	3.89	%	100.00	%
Bond premiums (b)		78,070						81,218
Bond discounts (b)		(24,929)						(24,665)
Hedge valuation basis adjustments (c)		(1,195,856)						(1,126,343)
Hedge basis adjustments on de-designated hedges (d)		105,432						106,686
FVO (e) - valuation adjustments and accrued interest		(102,119)						(113,424)
Total Consolidated obligation bonds	$	92,533,788					$	97,569,062

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

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

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

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

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

Interest Rate Payment Terms

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

	March 31, 2024				December 31, 2023
			Percentage				Percentage
	Amount		of Total		Amount		of Total
Fixed-rate, non-callable	$	33,065,060	35.30	%	$	33,066,960	33.52	%
Fixed-rate, callable		26,073,130	27.83			35,735,130	36.23
Step Up, callable		3,178,000	3.39			3,473,000	3.52
Step Down, callable		52,000	0.06			52,000	0.05
Floating rate, callable		—	—			200,000	0.20
Single-index floating rate		31,305,000	33.42			26,118,500	26.48
Total par value	$	93,673,190	100.00	%	$	98,645,590	100.00	%

Discount Notes

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

	March 31, 2024			December 31, 2023
Par value	$	56,110,580		$	48,657,920
Amortized cost	$	54,939,651		$	47,914,413
Hedge value basis adjustments (a)		(57,830)			(7,363)
Hedge basis adjustments on de-designated hedges (b)		(924)			(142)
FVO (c) - valuation adjustments and remaining accretion		—			—
Total Consolidated obligation discount notes	$	54,880,897		$	47,906,908
Weighted average interest rate		4.98	%		5.17	%

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

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

(c) FVO valuation adjustments — Valuation basis adjustments are recorded to recognize changes in the entire or full fair values including unaccreted discounts on CO discount notes elected under the FVO. Changes in benchmark interest rates, notional amounts of CO discount notes elected under FVO and remaining terms to maturity are factors that impact hedge valuation adjustments. No CO discount notes were elected under the FVO at March 31, 2024 and December 31, 2023.

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Affordable Housing Program.

3 Months Ended

Mar. 31, 2024

Affordable Housing Program.

Affordable Housing Program.

Note 13.        Affordable Housing Program.

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

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

	Three months ended March 31,
	2024		2023
Beginning balance	$	187,027	$	131,394
Additions from current period’s assessments		24,517		22,073
Net disbursements for grants and programs		(10,343)		(9,670)
Ending balance	$	201,201	$	143,797

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

3 Months Ended

Mar. 31, 2024

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

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

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

The FHLBanks, including the FHLBNY, have a cooperative structure. To access the FHLBNY’s products and services, a financial institution must be approved for membership and purchase capital stock in the FHLBNY. A member’s stock requirement is generally based on its use of FHLBNY products, subject to a minimum membership requirement as prescribed by the FHLBank Act and the FHLBNY’s Capital Plan. FHLBNY stock can be issued, exchanged, redeemed and repurchased only at its stated par value of $100 per share. It is not publicly traded. An option to redeem capital stock that is greater than a member’s minimum requirement is held by both the member and the FHLBNY. The FHLBNY’s Capital Plan offers two sub-classes of Class B capital stock, membership and activity-based capital stock, and members can redeem Class B stock by giving five years notice. The FHLBNY’s Class B capital stock issued and outstanding were $6.0 billion at both March 31, 2024 and December 31, 2023.

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

● Membership capital stock is issued to meet membership stock purchase requirements. The FHLBNY requires member institutions to maintain membership stock based on a percentage of the member’s mortgage-related assets (such percentage is currently set at 0.125)%. In addition, notwithstanding this requirement, the FHLBNY has a $50 million cap on membership stock per member.

● Activity-based capital stock is issued based on a percentage of outstanding balances of advances, MPF and MAP loans and financial letters of credit. The FHLBNY’s current capital plan requires a stock purchase equal to (i) 4.5% of the member’s borrowed amount for advances and mortgage loans sold, and (ii) 0.125% of the outstanding balance of letters of credit issued on behalf of the member. In the normal course of business, excess activity-based capital stock is repurchased daily.

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

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

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

	March 31, 2024						December 31, 2023
	Required (d)			Actual			Required (d)			Actual
Regulatory capital requirements:
Risk-based capital (a)(e)	$	1,179,725		$	8,408,140		$	1,364,264		$	8,394,453
Total capital-to-asset ratio		4.00	%		5.27	%		4.00	%		5.30	%
Total capital (b)	$	6,385,194		$	8,408,140		$	6,333,328		$	8,394,453
Leverage ratio		5.00	%		7.90	%		5.00	%		7.95	%
Leverage capital (c)	$	7,981,493		$	12,612,210		$	7,916,660		$	12,591,679

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

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

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

(d) Required minimum.

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

Mandatorily Redeemable Capital Stock

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

Estimated redemption periods were as follows (in thousands):

	March 31, 2024		December 31, 2023
Redemption less than one year	$	2,620	$	3,070
Redemption from one year to less than three years		2,472		2,427
Redemption from three years to less than five years		525		732
Redemption from five years or greater		957		990
Total	$	6,574	$	7,219

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

	Three months ended March 31,
	2024		2023
Beginning balance	$	7,219	$	4,578
Capital stock subject to mandatory redemption reclassified from equity		—		1,470
Redemption of mandatorily redeemable capital stock (a)		(645)		(408)
Ending balance	$	6,574	$	5,640
Accrued interest payable (b)	$	162	$	104

(a) Redemption includes repayment of excess stock.

(b) The annualized accrual rate was 9.75% for the three months ended March 31, 2024 and 7.50% for the same period in 2023. Accrual rates are based on estimated dividend rates.

Restricted Retained Earnings

Under the FHLBank Joint Capital Enhancement Agreement (Capital Agreement), each FHLBank is required to set aside 20% of its Net income each quarter to a restricted retained earnings account until the balance of that account equals at least one percent of that FHLBank’s average balance of outstanding Consolidated obligations as calculated as of the last day of the current calendar quarter. The Capital Agreement is intended to enhance the capital position of each FHLBank. These restricted retained earnings will not be available to pay dividends. Retained earnings included $1.1 billion as restricted retained earnings in the FHLBNY’s Total Capital at both March 31, 2024 and December 31, 2023.

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Earnings Per Share of Capital.

3 Months Ended

Mar. 31, 2024

Earnings Per Share of Capital.

Earnings Per Share of Capital.

Note 15.        Earnings Per Share of Capital.

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

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

	Three months ended March 31,
	2024		2023
Net income	$	220,491	$	198,544
Net income available to stockholders	$	220,491	$	198,544
Weighted average shares of capital		61,780		63,954
Less: Mandatorily redeemable capital stock		(67)		(56)
Average number of shares of capital used to calculate earnings per share		61,713		63,898
Basic earnings per share	$	3.57	$	3.11

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Employee Retirement Plans.

3 Months Ended

Mar. 31, 2024

Employee Retirement Plans.

Employee Retirement Plans.

Note 16.        Employee Retirement Plans.

The FHLBNY participates in the Pentegra Defined Benefit Plan for Financial Institutions (Pentegra DB Plan), a tax-qualified, defined-benefit multiemployer pension plan that covers all FHLBNY officers and employees. The FHLBNY also participates in the Pentegra Defined Contribution Plan for Financial Institutions, a tax-qualified defined contribution plan. The FHLBNY offers two non-qualified Benefit Equalization Plans, which are retirement plans. In July 2023, the Pentegra Defined Contribution Plan was transitioned to Vanguard. The two plans restore and enhance defined benefits for those employees who have had their qualified Defined Benefit Plan and their Defined Contribution Plan limited by IRS regulations. The two non-qualified Benefit Equalization Plans (BEP) are unfunded.

Retirement Plan Expenses — Summary

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

	Three months ended March 31,
	2024		2023
Defined Benefit Plan	$	3,025	$	3,100
Benefit Equalization Plans (defined benefit and defined contribution)		2,475		1,846
Defined Contribution Plans		853		806
Postretirement Health Benefit Plan		19		(253)
Total retirement plan expenses	$	6,372	$	5,499

Benefit Equalization Plan (BEP)

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

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

	Three months ended March 31,
	2024		2023
Service cost	$	470	$	411
Interest cost		925		859
Amortization of unrecognized net loss		193		—
Amortization of unrecognized past service cost		4		13
Net periodic benefit cost - Defined Benefit BEP		1,592		1,283
Benefit Equalization plans - Thrift and Deferred incentive compensation plans		883		563
Total	$	2,475	$	1,846

Postretirement Health Benefit Plan

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

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

	Three months ended March 31,
	2024		2023
Service cost (benefits attributed to service during the period)	$	3	$	7
Interest cost on accumulated postretirement health benefit obligation		81		102
Amortization of (gain)/loss		(65)		(362)
Net periodic postretirement health benefit expense/(income)	$	19	$	(253)

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Derivatives and Hedging Activities.

3 Months Ended

Mar. 31, 2024

Derivatives and Hedging Activities.

Derivatives and Hedging Activities.

Note 17.        Derivatives and Hedging Activities.

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

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

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

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

Derivative Notionals

	Hedging Instruments Under ASC 815
	March 31, 2024		December 31, 2023
Interest rate contracts
Interest rate swaps	$	186,960,063	$	194,257,512
Interest rate caps		150,000		150,000
Mortgage delivery commitments		17,132		19,277
Total interest rate contracts notionals	$	187,127,195	$	194,426,789

Offsetting of Derivative Assets and Derivative Liabilities — Net Presentation

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

	March 31, 2024				December 31, 2023
	Derivative		Derivative		Derivative		Derivative
	Assets		Liabilities		Assets		Liabilities
Derivative instruments - nettable
Gross recognized amount
Uncleared derivatives	$	916,284	$	1,566,873	$	792,408	$	1,504,800
Cleared derivatives		1,967,490		1,957,279		1,765,052		1,751,642
Total gross recognized amount		2,883,774		3,524,152		2,557,460		3,256,442
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives		(815,648)		(1,534,618)		(682,546)		(1,494,166)
Cleared derivatives		(1,956,811)		(1,956,811)		(1,749,869)		(1,749,869)
Total gross amounts of netting adjustments and cash collateral		(2,772,459)		(3,491,429)		(2,432,415)		(3,244,035)
Net amounts after offsetting adjustments and cash collateral	$	111,315	$	32,723	$	125,045	$	12,407
Uncleared derivatives	$	100,636	$	32,255	$	109,862	$	10,634
Cleared derivatives		10,679		468		15,183		1,773
Total net amounts after offsetting adjustments and cash collateral	$	111,315	$	32,723	$	125,045	$	12,407
Derivative instruments - not nettable
Uncleared derivatives (a)	$	51	$	20	$	157	$	2
Total derivative assets and total derivative liabilities
Uncleared derivatives	$	100,687	$	32,275	$	110,019	$	10,636
Cleared derivatives		10,679		468		15,183		1,773
Total derivative assets and total derivative liabilities presented in the Statements of Condition (b)	$	111,366	$	32,743	$	125,202	$	12,409
Non-cash collateral received or pledged (c)
Can be sold or repledged
Security collateral pledged as initial margin to Derivative Clearing Organization (d)	$	787,254	$	—	$	794,848	$	—
Cannot be sold or repledged
Uncleared derivatives securities received as Variation Margin		(85,903)		—		(96,191)		—
Total net amount of non-cash collateral received or repledged	$	701,351	$	—	$	698,657	$	—
Total net exposure cash and non-cash (e)	$	812,717	$	32,743	$	823,859	$	12,409
Net unsecured amount - Represented by:
Uncleared derivatives	$	14,784	$	32,275	$	13,828	$	10,636
Cleared derivatives		797,933		468		810,031		1,773
Total net exposure cash and non-cash (e)	$	812,717	$	32,743	$	823,859	$	12,409

(a) Not nettable derivative instruments are without legal right of offset and were synthetic derivatives representing forward mortgage delivery commitments of 60 calendar days or less. Amounts were not material, and it was operationally not practical to separate receivables from payables; net presentation was adopted. No cash collateral was involved with the mortgage delivery commitments.

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

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

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

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

Fair Value of Derivative Instruments

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

	March 31, 2024
	Notional
	Amount of		Derivative		Derivative
	Derivatives		Assets		Liabilities
Fair value of derivative instruments (a)
Derivatives designated as hedging instruments under ASC 815
Interest rate swaps	$	154,739,492	$	1,558,698	$	2,542,025
Total derivatives in hedging relationships under ASC 815		154,739,492		1,558,698		2,542,025
Derivatives not designated as hedging instruments
Interest rate swaps (b)		32,220,571		1,324,763		982,127
Interest rate caps		150,000		313		—
Mortgage delivery commitments		17,132		51		20
Other		—		—		—
Total derivatives not designated as hedging instruments		32,387,703		1,325,127		982,147
Total derivatives before netting and collateral adjustments	$	187,127,195	$	2,883,825	$	3,524,172
Netting adjustments			$	(2,755,529)	$	(2,755,529)
Cash collateral and related accrued interest				(16,930)		(735,900)
Total netting adjustments and cash collateral				(2,772,459)		(3,491,429)
Total derivative assets and total derivative liabilities			$	111,366	$	32,743
Security collateral pledged as initial margin to Derivative Clearing Organization (c)			$	787,254
Security collateral received from counterparty (c)				(85,903)
Net security				701,351
Net exposure			$	812,717

	December 31, 2023
	Notional
	Amount of		Derivative		Derivative
	Derivatives		Assets		Liabilities
Fair value of derivative instruments (a)
Derivatives designated as hedging instruments under ASC 815
Interest rate swaps	$	159,826,933	$	1,577,776	$	2,521,697
Total derivatives in hedging relationships under ASC 815		159,826,933		1,577,776		2,521,697
Derivatives not designated as hedging instruments
Interest rate swaps (b)		34,430,579		979,388		734,745
Interest rate caps		150,000		296		—
Mortgage delivery commitments		19,277		157		2
Other		—		—		—
Total derivatives not designated as hedging instruments		34,599,856		979,841		734,747
Total derivatives before netting and collateral adjustments	$	194,426,789	$	2,557,617	$	3,256,444
Netting adjustments			$	(2,421,455)	$	(2,421,455)
Cash collateral and related accrued interest				(10,960)		(822,580)
Total netting adjustments and cash collateral				(2,432,415)		(3,244,035)
Total derivative assets and total derivative liabilities			$	125,202	$	12,409
Security collateral pledged as initial margin to Derivative Clearing Organization (c)			$	794,848
Security collateral received from counterparty (c)				(96,191)
Net security				698,657
Net exposure			$	823,859

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

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

(c) Non-cash security collateral is not permitted to be offset on the balance sheet but would be eligible for offsetting in an event of default. Amounts represent non-cash collateral and or U.S. Treasury securities pledged to and received from counterparties as collateral at March 31, 2024 and December 31, 2023.

Accounting for Derivative Hedging

The FHLBNY accounts for its hedging activities in accordance with ASC 815, Derivatives and Hedging. As a general rule, hedge accounting is permitted where the FHLBNY is exposed to a particular risk, typically interest-rate risk that causes changes in the fair value of an asset or liability or variability in the expected future cash flows of an existing asset, liability or a forecasted transaction that may affect earnings. Derivative contracts hedging the risks associated with the changes in fair value are referred to as Fair value hedges, while contracts hedging the risks affecting the expected future cash flows are called Cash flow hedges. Derivatives not designated under a qualifying ASC 815 hedge relationship and designated as an asset/liability management hedge are classified as an economic hedge. For more information, see financial statements, Note 1. Summary of Significant Accounting Policies in the most recent Form 10-K for the year ended December 31, 2023 filed on March 21, 2024.

Fair value hedge gains and losses

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

	Gains (Losses) on Fair Value Hedges
	Recorded in Interest Income/Expense
	Three months ended March 31,
	2024		2023
Gains (losses) on derivatives in designated and qualifying fair value hedges:
Interest rate hedges	$	249,509	$	(81,760)
Gains (losses) on hedged item in designated and qualifying fair value hedges:
Interest rate hedges	$	(243,288)	$	81,499

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

Cumulative Basis Adjustment

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

The tables below present the carrying amount of FHLBNY’s assets and liabilities under active ASC 815 qualifying fair value hedges at March 31, 2024 and December 31, 2023, as well as the hedged item’s cumulative hedge basis adjustments, which were included in the carrying value of assets and liabilities in active hedges. The tables also present unamortized cumulative basis adjustments from discontinued hedges where the previously hedged item remains on the FHLBNY’s Statements of Condition (in thousands):

	March 31, 2024
			Cumulative Fair Value Hedging Adjustment
			Included in the Carrying Amount of Hedged
			Items Gains (Losses)
	Carrying Amount of				Discontinued
	Hedged		Active Hedging		Hedging
	Assets/Liabilities (a)		Relationship		Relationship
Assets:
Hedged advances	$	48,683,521	$	(1,140,685)	$	—
Hedged AFS debt securities (a)		5,571,873		(625,816)		—
De-designated advances (b)		—		—		—
	$	54,255,394	$	(1,766,501)	$	—
Liabilities:
Hedged consolidated obligation bonds	$	47,169,081	$	1,195,855	$	—
Hedged consolidated obligation discount notes		49,376,034		57,830		—
De-designated consolidated obligation bonds (b)		—		—		(105,432)
De-designated consolidated obligation discount notes (b)		—		—		924
	$	96,545,115	$	1,253,685	$	(104,508)

	December 31, 2023
			Cumulative Fair Value Hedging Adjustment
			Included in the Carrying Amount of Hedged
			Items Gains (Losses)
	Carrying Amount of				Discontinued
	Hedged		Active Hedging		Hedging
	Assets/Liabilities (a)		Relationship		Relationship
Assets:
Hedged advances	$	52,435,939	$	(897,149)	$	—
Hedged AFS debt securities (a)		5,505,885		(505,344)		—
De-designated advances (b)		—		—		4
	$	57,941,824	$	(1,402,493)	$	4
Liabilities:
Hedged consolidated obligation bonds	$	55,750,100	$	1,126,343	$	—
Hedged consolidated obligation discount notes		44,075,359		7,363		—
De-designated consolidated obligation bonds (b)		—		—		(106,686)
De-designated consolidated obligation discount notes (b)		—		—		142
	$	99,825,459	$	1,133,706	$	(106,544)

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

(b) At March 31, 2024, par amounts of de-designated CO bonds were $2.5 billion and par amount of de-designation CO discount notes were $1.9 billion. At December 31, 2023, par amounts of de-designated advances were $0.6 billion; par amounts of de - designation CO bonds were $2.9 billion; par amounts of de-designated CO discount notes were $0.9 billion. Cumulative fair value hedging adjustments for active and discontinued hedging relationships will remain on the balance sheet until the items are derecognized.

Cash flow hedge gains and losses

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

	Derivative Gains (Losses) Recorded in Income and Other
	Comprehensive Income/Loss
	Three months ended March 31, 2024
	Amounts		Amounts				Total
	Reclassified from		Reclassified from		Amounts		Change in
	AOCI to		AOCI to Other		Recorded		OCI for
	Interest Expense (b)		Income (Loss) (c)		in OCI (d)		Period
Interest rate contracts (a)	$	(287)	$	—	$	17,064	$	17,351

	Derivative Gains (Losses) Recorded in Income and Other
	Comprehensive Income/Loss
	Three months ended March 31, 2023
	Amounts		Amounts				Total
	Reclassified from		Reclassified from		Amounts		Change in
	AOCI to		AOCI to Other		Recorded		OCI for
	Interest Expense (b)		Income (Loss) (c)		in OCI (d)		Period
Interest rate contracts (a)	$	(219)	$	—	$	(26,587)	$	(26,368)

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

(b) Amounts represent amortization of gains (losses) related to closed cash flow hedges of anticipated issuance of CO bonds that were reclassified during the period to interest expense as a yield adjustment. Losses reclassified represent losses in AOCI that were amortized as an expense to debt interest expense. If debt is held to maturity, losses in AOCI will be relieved through amortization. It is expected that over the next 12 months, $1.1 million of the unrecognized losses in AOCI will be recognized as yield adjustments to debt interest expense.

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

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

Economic Hedges

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

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

	Gains (Losses) on Economic Hedges
	Recorded in Other Income (Loss)
	Three months ended March 31,
	2024		2023
Gains (losses) on derivatives designated in economic hedges
Interest rate hedges	$	87,676	$	(31,594)
Caps		17		(239)
Mortgage delivery commitments		(87)		27
Total gains (losses) on derivatives in economic hedges	$	87,606	$	(31,806)

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Fair Values of Financial Instruments.

3 Months Ended

Mar. 31, 2024

Fair Values of Financial Instruments.

Fair Values of Financial Instruments.

Note 18.        Fair Values of Financial Instruments.

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

	March 31, 2024
			Estimated Fair Value
											Netting
											Adjustment
	Carrying										and Cash
Financial Instruments	Value		Total		Level 1		Level 2		Level 3 (a)		Collateral
Assets
Cash and due from banks	$	46,433	$	46,433	$	46,433	$	—	$	—	$	—
Interest-bearing deposits		2,805,000		2,805,015		—		2,805,015		—		—
Securities purchased under agreements to resell		5,670,000		5,670,024		—		5,670,024		—		—
Federal funds sold		13,745,000		13,745,064		—		13,745,064		—		—
Trading securities		5,850,389		5,850,389		5,850,389		—		—		—
Equity Investments		96,151		96,151		96,151		—		—		—
Available-for-sale securities		9,210,694		9,210,694		—		7,983,604		1,227,090		—
Held-to-maturity securities		11,948,409		11,568,359		—		11,377,589		190,770		—
Advances		107,163,563		107,359,101		—		107,359,101		—		—
Mortgage loans held-for-portfolio, net		2,191,240		1,914,206		—		1,914,206		—		—
Accrued interest receivable		647,563		647,563		—		647,563		—		—
Derivative assets		111,366		111,366		—		2,883,825		—		(2,772,459)
Other financial assets		256		256		—		—		256		—
Liabilities
Deposits		2,778,512		2,778,554		—		2,778,554		—		—
Consolidated obligations
Bonds		92,533,788		91,839,331		—		91,839,331		—		—
Discount notes		54,880,897		54,909,967		—		54,909,967		—		—
Mandatorily redeemable capital stock		6,574		6,574		6,574		—		—		—
Accrued interest payable		681,348		681,348		—		681,348		—		—
Derivative liabilities		32,743		32,743		—		3,524,172		—		(3,491,429)
Other financial liabilities		—		—		—		—		—		—

	December 31, 2023
			Estimated Fair Value
											Netting
	Carrying										Adjustment and
Financial Instruments	Value		Total		Level 1		Level 2		Level 3 (a)		Cash Collateral
Assets
Cash and due from banks	$	48,198	$	48,198	$	48,198	$	—	$	—	$	—
Interest-bearing deposits		1,945,000		1,945,022		—		1,945,022		—		—
Securities purchased under agreements to resell		7,820,000		7,820,064		—		7,820,064		—		—
Federal funds sold		9,640,000		9,640,092		—		9,640,092		—		—
Trading securities		5,886,421		5,886,421		5,886,421		—		—		—
Equity Investments		91,879		91,879		91,879		—		—		—
Available-for-sale securities		9,106,743		9,106,743		—		7,878,505		1,228,238		—
Held-to-maturity securities		11,869,328		11,531,901		—		11,337,969		193,932		—
Advances		108,890,128		108,936,655		—		108,936,655		—		—
Mortgage loans held-for-portfolio, net		2,179,766		1,940,678		—		1,940,678		—		—
Accrued interest receivable		581,608		581,608		—		581,608		—		—
Derivative assets		125,202		125,202		—		2,557,617		—		(2,432,415)
Other financial assets		378		378		—		—		378		—
Liabilities
Deposits		3,481,853		3,481,961		—		3,481,961		—		—
Consolidated obligations
Bonds		97,569,062		96,836,586		—		96,836,586		—		—
Discount notes		47,906,908		47,932,222		—		47,932,222		—		—
Mandatorily redeemable capital stock		7,219		7,219		7,219		—		—		—
Accrued interest payable		716,021		716,021		—		716,021		—		—
Derivative liabilities		12,409		12,409		—		3,256,444		—		(3,244,035)
Other financial liabilities		—		—		—		—		—		—

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

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

Fair Value Hierarchy

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

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

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

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

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

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

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

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

Summary of Valuation Techniques and Primary Inputs

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

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

Mortgage-backed securities, including housing finance obligations, classified as available-for-sale — The fair value of such securities is estimated by the FHLBNY using pricing primarily from specialized pricing services. The pricing vendors typically use market multiples derived from a set of comparables, including matrix pricing, and other techniques. The FHLBNY’s valuation technique incorporates prices from up to three designated third-party pricing services at March 31, 2024 and December 31, 2023. The FHLBNY’s base investment pricing methodology establishes a median price for each security using a formula that is based on the number of prices received. Vendor prices that are outside of a defined tolerance threshold of the median price are identified as outliers and subject to additional review, including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates, which are deemed to be reflective of all relevant facts and circumstances that a market participant would consider. Such analysis is also applied in those limited instances where no third-party vendor price or only one third-party vendor price is available in order to arrive at an estimated fair value.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Derivative Assets and Liabilities — The FHLBNY’s derivatives (cleared derivatives and bilaterally executed derivatives) are executed in the over-the-counter market and are valued using internal valuation techniques as no quoted market prices exist for such instruments. Discounted cash flow analysis is the primary methodology employed by the FHLBNY’s valuation models to measure the fair values of interest rate swaps. The valuation technique is considered as an “Income approach”. Interest rate caps and floors are valued under the “Market approach”. Interest rate swaps and interest rate caps and floors, collectively “derivatives”, were valued in industry-standard option adjusted valuation models, which generated fair values. The valuation models employed multiple market inputs including interest rates, prices, and indices to create continuous yield or pricing curves and volatility factors. These multiple market inputs were corroborated by management to independent market data, and to relevant benchmark indices. In addition, derivative valuations were compared by management to counterparty valuations received as part of the collateral exchange process. These derivative positions were classified within Level 2 of the valuation hierarchy at March 31, 2024 and December 31, 2023.

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

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

Interest-rate related:

● SOFR curve (SOFR/OIS).

● Federal funds curve (FF/OIS curve).

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

● Prepayment assumption (if applicable).

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

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

Credit risk and credit valuation adjustments

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

As a result of these practices and agreements and the FHLBNY’s assessment of any change in its own credit spread, the FHLBNY has concluded that the impact of the credit differential between the FHLBNY and its derivative counterparties and DCO was sufficiently mitigated to an immaterial level that no credit adjustments were deemed necessary to the recorded fair value of Derivative assets and Derivative liabilities in the Statements of Condition at March 31, 2024 and December 31, 2023.

For uncleared derivatives transactions executed on or after September 1, 2022, we are subject to two-way initial margin obligations as required by the Wall Street Reform and Consumer Protection Act. For such uncleared derivatives transactions, a party whose initial margin requirement exceeds the $50 million threshold would be required to deliver collateral in the amount by which the initial margin requirement exceeds such specified threshold. Initial margin is required to be held at a third-party custodian for the benefit of the secured party, which can only assert ownership of such collateral upon the occurrence of certain events, which may include an event of default due to bankruptcy, insolvency, or similar proceeding. As of March 31, 2024, the Bank did not exceed the threshold with any of the uncleared derivatives counterparty and did not have to post initial margin or have the counterparty post initial margin to the Bank.

Fair Value Measurement

The tables below present the fair value of those assets and liabilities that are recorded at fair value on a recurring or non-recurring basis at March 31, 2024 and December 31, 2023, by level within the fair value hierarchy. Certain mortgage loans that were partially charged-off were recorded at their collateral values on a non-recurring basis. REO is measured at fair value when the asset’s fair value less costs to sell is lower than its carrying amount.

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

	March 31, 2024
									Netting
									Adjustment and
	Total		Level 1		Level 2		Level 3		Cash Collateral
Assets
Trading securities
U.S. Treasury securities	$	5,850,389	$	5,850,389	$	—	$	—	$	—
Equity Investments		96,151		96,151		—		—		—
Available-for-sale securities
GSE/U.S. agency issued MBS		7,983,604		—		7,983,604		—		—
State and local housing finance agency obligations		1,227,090		—		—		1,227,090		—
Derivative assets (a)
Interest-rate derivatives		111,315		—		2,883,774		—		(2,772,459)
Mortgage delivery commitments		51		—		51		—		—
Total recurring fair value measurement - Assets	$	15,268,600	$	5,946,540	$	10,867,429	$	1,227,090	$	(2,772,459)
Liabilities
Consolidated obligation:
Bonds (to the extent FVO is elected) (b)	$	(2,891,846)	$	—	$	(2,891,846)	$	—	$	—
Derivative liabilities (a)
Interest-rate derivatives		(32,723)		—		(3,524,152)		—		3,491,429
Mortgage delivery commitments		(20)		—		(20)		—		—
Total recurring fair value measurement - Liabilities	$	(2,924,589)	$	—	$	(6,416,018)	$	—	$	3,491,429

	December 31, 2023
									Netting
									Adjustment and
	Total		Level 1		Level 2		Level 3		Cash Collateral
Assets
Trading securities
U.S. Treasury securities	$	5,886,421	$	5,886,421	$	—	$	—	$	—
Equity Investments		91,879		91,879		—		—		—
Available-for-sale securities
GSE/U.S. agency issued MBS		7,878,505		—		7,878,505		—		—
State and local housing finance agency obligations		1,228,238		—		—		1,228,238		—
Derivative assets(a)
Interest-rate derivatives		125,045		—		2,557,460		—		(2,432,415)
Mortgage delivery commitments		157		—		157		—		—
Total recurring fair value measurement - Assets	$	15,210,245	$	5,978,300	$	10,436,122	$	1,228,238	$	(2,432,415)
Liabilities
Consolidated obligation:
Bonds (to the extent FVO is elected) (b)	$	(3,780,541)	$	—	$	(3,780,541)	$	—	$	—
Derivative liabilities (a)
Interest-rate derivatives		(12,407)		—		(3,256,442)		—		3,244,035
Mortgage delivery commitments		(2)		—		(2)		—		—
Total recurring fair value measurement - Liabilities	$	(3,792,950)	$	—	$	(7,036,985)	$	—	$	3,244,035

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

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

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

	State and Local Housing Finance
	Agency Obligations
	Three months ended March 31,
	2024		2023
Balance, beginning of the period	$	1,228,238	$	1,109,029
Transfer of securities from held-to-maturity to available-for-sale		—		—
Provision for credit losses		—		—
Total gains (losses) included in other comprehensive income
Net unrealized gains (losses)		(1,148)		480
Purchases		—		—
Settlements		—		—
Balance, end of the period	$	1,227,090	$	1,109,509

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

	During the period ended December 31, 2023
	Fair Value		Level 1		Level 2		Level 3
Mortgage loans held-for-portfolio	$	—	$	—	$	—	$	—
Real estate owned		391		—		—		391
Total non-recurring assets at fair value	$	391	$	—	$	—	$	391

During the period ended March 31, 2024, de minimis amounts were recorded.

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

In accordance with disclosure provisions, we have reported changes in fair values of such assets as of the date the fair value adjustments were recorded during the period ended March 31, 2024 and December 31, 2023, and the reported fair values were not as of the period end dates.

Fair Value Option Disclosures

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

For instruments for which the fair value option has been elected, the related contractual interest income, contractual interest expense, the discount amortization on fair value option consolidated obligation discount notes and the premium/discount amortization on fair value option consolidated obligation bonds are recorded as part of net interest income in the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains (losses) on financial instruments held under fair value option in the Statements of Income. The change in fair value does not include changes in instrument-specific credit risk. The FHLBNY has determined that no adjustments to the fair values of its instruments recorded under the fair value option for instrument-specific credit risk were necessary at March 31, 2024 and December 31, 2023.

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

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

	March 31, 2024
	Bonds
Balance, beginning of the period	$	(3,780,541)
New transactions elected for fair value option		—
Maturities and terminations		900,000
Net gains (losses) on financial instruments held under fair value option		(10,970)
Change in accrued interest/unaccreted balance		(335)
Balance, end of the period	$	(2,891,846)

	December 31, 2023
	Bonds
Balance, beginning of the period	$	(4,159,862)
New transactions elected for fair value option		—
Maturities and terminations		480,000
Net gains (losses) on financial instruments held under fair value option		(99,223)
Change in accrued interest/unaccreted balance		(1,456)
Balance, end of the period	$	(3,780,541)

	March 31,2023
	Bonds
Balance, beginning of the period	$	(4,159,862)
New transactions elected for fair value option		—
Maturities and terminations		—
Net gains (losses) on financial instruments held under fair value option		(39,378)
Change in accrued interest/unaccreted balance		(7,115)
Balance, end of the period	$	(4,206,355)

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

	Three months ended March 31, 2024
			Net Gains		Total Change in Fair
			(Losses) Due to		Value Included in
	Interest		Changes in		Current Period
	Expense		Fair Value		Earnings
Consolidated obligation bonds	$	(18,042)	$	(10,970)	$	(29,012)

	Three months ended March 31, 2023
			Net Gains		Total Change in Fair
			(Losses) Due to		Value Included in
	Interest		Changes in		Current Period
	Expense		Fair Value		Earnings
Consolidated obligation bonds	$	(22,671)	$	(39,378)	$	(62,049)

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

	March 31, 2024
					Fair Value
					Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance
Consolidated obligation bonds (a)	$	2,993,965	$	2,891,846	$	(102,119)

	December 31, 2023
					Fair Value
					Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance
Consolidated obligation bonds (a)	$	3,893,965	$	3,780,541	$	(113,424)

	March 31, 2023
					Fair Value
					Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance
Consolidated obligation bonds (a)	$	4,373,965	$	4,206,355	$	(167,610)

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

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Commitments and Contingencies.

3 Months Ended

Mar. 31, 2024

Commitments and Contingencies.

Commitments and Contingencies.

Note 19.        Commitments and Contingencies.

Consolidated obligations — The FHLBanks have joint and several liability for all the Consolidated obligations issued on their behalf. Accordingly, should one or more of the FHLBanks be unable to repay their participation in the Consolidated obligations, each of the other FHLBanks could be called upon to repay all or part of such obligations, as determined or approved by the Finance Agency. Neither the FHLBNY nor any other FHLBank has ever had to assume or pay the Consolidated obligations of another FHLBank. The FHLBNY does not believe that it will be called upon to pay the Consolidated obligations of another FHLBank in the future. Under the provisions of accounting standards for guarantees, the FHLBNY would have been required to recognize the fair value of the FHLBNY’s joint and several liability for all the Consolidated obligations, as discussed above. However, the FHLBNY considers the joint and several liabilities as similar to a related party guarantee, which meets the scope exception under the accounting standard for guarantees. Accordingly, the FHLBNY has not recognized the fair value of a liability for its joint and several obligations related to other FHLBanks’ Consolidated obligations, which in aggregate were par amounts of $1.2 trillion as of March 31, 2024 and December 31, 2023.

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

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

	March 31, 2024
Contractual Obligations
Consolidated obligation bonds at par (a)	$	93,673,190
Consolidated obligation discount notes at par		56,110,580
Mandatorily redeemable capital stock (a)		6,574
Financing lease (b)		2,498
Premises (Operating Lease) (b)		75,612
Remote backup site		77
Other liabilities (c)		133,798
Total contractual obligations	$	150,002,329
Other commitments
Standby letters of credit (d)	$	22,326,273
Consolidated obligation bonds/discount notes traded not settled		110,191
Commitments to fund additional advances		50,000
Commitments to fund pension		12,100
Open delivery commitments (MAP)		17,132
Total other commitments	$	22,515,696
Total obligations and commitments	$	172,518,025

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

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

(c) Includes accounts payable and accrued expenses, liabilities recorded for future settlements of investments, Pass-through reserves due to member institutions held at the Federal Reserve Bank (FRB), and projected payment obligations for pension plans.

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

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

Lease Commitments

Operating Leases:

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

At March 31, 2024 and December 31, 2023, the FHLBNY was obligated under a number of noncancelable leases, predominantly operating leases for premises. These leases generally have terms of 15 years or less that contain escalation clauses that will increase rental payments. Operating leases also include backup datacenters and certain office equipment. Operating lease liabilities and operating lease ROU assets are recognized at the lease commencement date based on the present value of the future minimum lease payments over the lease term. The future lease payments are discounted at a rate that represents the FHLBNY’s borrowing rate for its own debt (Consolidated obligation bonds) of a similar term. Operating lease ROU assets include any lease prepayments made, plus any initial direct costs incurred, less any lease incentives received. Rental expense associated with operating leases is recognized on a straight-line basis over the lease term. Premise rental expense is included in occupancy expense, and datacenter and other lease expenses are included in other operating expense in the Statements of Income. Operating lease ROU assets and operating lease liabilities are reported in the Statements of Condition.

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

	March 31, 2024		December 31, 2023
Operating Leases (a)
Right-of-use assets	$	53,461	$	54,862
Lease Liabilities	$	65,407	$	67,021

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

	Three months ended March 31,
	2024			2023
Operating Lease Expense	$	1,952		$	1,952
Operating cash flows - Cash Paid	$	2,166		$	2,153
	March 31, 2024			December 31, 2023
Weighted Average Discount Rate		3.32	%		3.32	%
Weighted Average Remaining Lease Term		8.98	Years		9.21	Years

	Remaining maturities through
Operating lease liabilities	March 31, 2024		December 31, 2023
Remainder of 2024	$	6,131	$	8,297
2025		8,088		8,088
2026		8,142		8,142
2027		8,246		8,246
2028		8,566		8,566
Thereafter		36,844		36,844
Total undiscounted lease payments		76,017		78,183
Imputed interest		(10,610)		(11,162)
Total operating lease liabilities	$	65,407	$	67,021

Finance Lease:

In December 2023, the Bank entered into a 5-year finance lease for computer equipment. The finance lease liability and finance lease ROU asset are recognized at the lease commencement date based on the present value of the future minimum lease payments over the lease term. The lease liability was $2.3 million as of March 31, 2024 and December 31, 2023. The finance lease ROU asset was $2.2 million as of March 31, 2024, and $2.3 million as of December 31, 2023.

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Related Party Transactions.

3 Months Ended

Mar. 31, 2024

Related Party Transactions.

Related Party Transactions.

Note 20.        Related Party Transactions.

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

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

Debt assumptions — No debt was assumed from another FHLBank in the three months ended March 31, 2024 and March 31, 2023.

Debt transfers — No debt was transferred to another FHLBank in the three months ended March 31, 2024 and March 31, 2023.

Advances Sold or Transferred

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

MPF Program

In the MPF program, the FHLBNY may participate to the FHLBank of Chicago portions of its purchases of mortgage loans from its members. Transactions are participated at market rates. Since 2004, the FHLBNY has not shared its purchases with the FHLBank of Chicago. From the inception of the program through 2004, the cumulative share of MPF Chicago’s participation in the FHLBNY’s MPF loans that has remained outstanding was $3.0 million at March 31, 2024 and $3.2 million at December 31, 2023.

Fees paid to the FHLBank of Chicago for providing MPF program services were approximately $0.3 million for the three months ended March 31, 2024 and March 31, 2023.

Mortgage-backed Securities

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

Intermediation

From time to time, the FHLBNY acts as an intermediary to purchase derivatives to accommodate its smaller members. At March 31, 2024 and December 31, 2023, outstanding notional amounts were $3.0 million and $18.0 million, representing derivative contracts in which the FHLBNY acted as an intermediary to execute derivative contracts with members. Separately, the contracts were offset with contracts purchased from unrelated derivatives dealers. Net fair value exposures of these transactions were not significant. The intermediated derivative transactions with members and derivative counterparties were collateralized.

Loans to Other Federal Home Loan Banks

There were no overnight loans extended to other FHLBanks in the three months ended March 31, 2024 and March 31, 2023.

Borrowings from Other Federal Home Loan Banks

The FHLBNY borrows from other FHLBanks, generally for a period of one day. There were no borrowings from other FHLBanks in the three months ended March 31, 2024. In the three months ended March 31, 2023, the FHLBNY borrowed a total of $3.3 billion in overnight loans from other FHLBanks. The borrowings averaged $108.3 million for the three months ended March 31, 2023. Interest expense was immaterial.

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

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

Cash and Due from Banks

The compensating cash balances held at Citibank was $15.0 million at March 31, 2024 and December 31, 2023. Citibank is a member and stockholder of the FHLBNY. For more information, see Note 3. Cash and Due from Banks.

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

Related Party: Outstanding Assets, Liabilities and Capital

	March 31, 2024		December 31, 2023
	Related		Related
Assets
Advances	$	107,163,563	$	108,890,128
Accrued interest receivable		525,590		469,880
Liabilities and capital
Deposits	$	2,778,512	$	3,481,853
Mandatorily redeemable capital stock		6,574		7,219
Accrued interest payable		162		171
Affordable Housing Program (a)		201,201		187,027
Capital	$	8,313,247	$	8,244,701

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

Related Party: Income and Expense Transactions

	Three months ended March 31,
	2024		2023
	Related		Related
Interest income
Advances	$	1,608,245	$	1,404,553
Interest-bearing deposits		3		4
Interest expense
Deposits	$	35,046	$	12,538
Mandatorily redeemable capital stock		170		113
Cash collateral held and other borrowings		—		1,239
Service fees and other	$	5,587	$	5,023

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Segment Information and Concentration.

3 Months Ended

Mar. 31, 2024

Segment Information and Concentration.

Segment Information and Concentration.

Note 21.        Segment Information and Concentration.

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

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

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

	March 31, 2024
					Percentage of
					Total Par
			Par		Value		Three Months
	City	State	Advances		of Advances		Interest Income		Percentage (a)
Flagstar Bank, N.A. (b)	Hicksville	NY	$	21,350,000	19.71	%	$	273,350		26.39	%
Citibank, N.A.	New York	NY		15,500,000	14.31			258,696		24.98
MetLife, Inc.:
Metropolitan Life Insurance Company	New York	NY		13,035,000	12.03			121,104		11.69
Metropolitan Tower Life Insurance Company	New York	NY		1,555,000	1.44			15,854		1.53
Subtotal MetLife, Inc.				14,590,000	13.47			136,958		13.22
Teachers Ins. & Annuity Assoc of America	New York	NY		8,034,800	7.41			91,082		8.79
Equitable Financial Life Insurance Company	New York	NY		7,165,063	6.62			92,024		8.88
Manufacturers and Traders Trust Company	Buffalo	NY		6,500,157	6.00			99,078		9.56
New York Life Insurance Company	New York	NY		3,094,000	2.86			27,383		2.64
Valley National Bank (b)	Morristown	NJ		2,624,804	2.42			25,416		2.45
Prudential Insurance Company of America	Newark	NJ		2,619,250	2.42			20,776		2.01
Guardian Life Insurance Co. of America	New York	NY		1,673,605	1.55			11,170		1.08
Total			$	83,151,679	76.77	%	$	1,035,933		100.00	%

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

(b) A director of Flagstar Bank, N.A. (who had been an officer of that institution through and until February 23, 2024) served on the Board of Directors of the FHLBNY as a Member Director through and until March 11, 2024. An officer of Valley National Bank served on the Board of Directors of the FHLBNY as a Member Director throughout the entire quarter.

	December 31, 2023
					Percentage of
			Par		Total Par Value		Twelve Months
	City	State	Advances		of Advances		Interest Income		Percentage (a)
Citibank, N.A.	New York	NY	$	19,500,000	17.76	%	$	984,342		28.99	%
Flagstar Bank, N.A. (b)	Hicksville	NY		17,850,000	16.26			553,872		16.31
MetLife, Inc.:
Metropolitan Life Insurance Company	New York	NY		13,035,000	11.87			474,764		13.98
Metropolitan Tower Life Insurance Company	New York	NY		1,555,000	1.42			56,402		1.66
Subtotal MetLife, Inc.				14,590,000	13.29			531,166		15.64
Equitable Financial Life Insurance Company	New York	NY		7,615,063	6.93			403,051		11.87
Teachers Ins. & Annuity Assoc of America	New York	NY		7,035,500	6.41			249,296		7.34
Manufacturers and Traders Trust Company	Buffalo	NY		5,000,159	4.55			278,246		8.19
New York Life Insurance Company	New York	NY		3,063,000	2.79			96,367		2.84
Prudential Insurance Company of America	Newark	NJ		2,619,250	2.39			83,396		2.46
Valley National Bank (b)	Wayne	NJ		2,539,804	2.31			142,160		4.19
Kearny Bank	Fairfield	NJ		1,667,500	1.52			73,652		2.17
Total			$	81,480,276	74.21	%	$	3,395,548		100.00	%

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

(b) An officer of this member bank served on the Board of Directors of the FHLBNY as a Member Director.

	March 31, 2023
					Percentage of
			Par		Total Par Value		Three Months
	City	State	Advances		of Advances		Interest Income		Percentage (a)
Flagstar Bank, N.A. (b)	Hicksville	NY	$	17,200,000	13.50	%	$	151,904		18.60	%
MetLife, Inc.:
Metropolitan Life Insurance Company	New York	NY		13,735,000	10.78			103,871		12.72
Metropolitan Tower Life Insurance Company	New York	NY		1,555,000	1.22			11,782		1.44
Subtotal MetLife, Inc.				15,290,000	12.00			115,653		14.16
Citibank, N.A.	New York	NY		14,000,000	10.99			205,209		25.12
Signature Bridge Bank, N.A. (c)	New York	NY		10,183,738	7.99			59,587		7.29
Equitable Financial Life Insurance Company	New York	NY		8,366,063	6.56			90,526		11.08
Valley National Bank (b)	Wayne	NJ		7,738,000	6.07			38,000		4.65
Teachers Ins. & Annuity Assoc of America	New York	NY		6,722,500	5.28			63,162		7.73
Manufacturers and Traders Trust Company	Buffalo	NY		6,000,166	4.71			56,344		6.90
Goldman Sachs Bank USA	New York	NY		4,400,000	3.45			11,262		1.38
New York Life Insurance Company	New York	NY		3,013,000	2.36			25,239		3.09
Total			$	92,913,467	72.91	%	$	816,886		100.00	%

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

(b) An officer of these members served on the Board of Directors of the FHLBNY as a Member Director.

(c) A Member institution Signature Bank was taken into possession by their regulator, the New York State Department of Financial Services and placed into receivership with the FDIC. Signature Bridge Bank, N.A. was created by the FDIC to assume Signature Bank's assets and deposits on March 12, 2023. Signature Bank's outstanding commitments to the FHLBNY were transferred to Signature Bridge Bank, N.A. and were paid off in July, 2023.

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Summary of Significant Accounting Policies. (Policies)

3 Months Ended

Mar. 31, 2024

Summary of Significant Accounting Policies.

Basis of Presentation

Basis of Presentation

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

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

Financial Instruments with Legal Right of Offset

Financial Instruments with Legal Right of Offset

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

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

Fair Value Measurements

Fair Value Measurements

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

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

For more information about methodologies used by the FHLBNY to validate vendor pricing, and fair value “Levels” associated with assets and liabilities recorded on the FHLBNY’s Statements of Condition, see financial statements, Note 18. Fair Values of Financial Instruments in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2023 filed on March 21, 2024.

Derivatives and Hedging Activities

Derivatives and Hedging Activities

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

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

For more information about the FHLBNY’s hedging activities, see financial statements, Note 17. Derivatives and Hedging Activities in this Form 10-Q and in the most recent Form 10-K for the year ended December 31, 2023 filed on March 21, 2024.

Credit Losses under ASU 2016-13

Credit Losses under ASU 2016-13

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

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

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

Note 7. Available-for-Sale Securities.

Note 8. Held-to-Maturity Securities.

Note 9. Advances.

Note 10. Mortgage Loans Held-for-Portfolio.

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

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Trading Securities. (Tables)

3 Months Ended

Mar. 31, 2024

Securities.

Schedule of major security types of trading securities

The carrying value of a trading security equals its fair value. The following table provides major security types at March 31, 2024 and December 31, 2023 (in thousands):

Fair value	March 31, 2024		December 31, 2023
U.S. Treasury notes	$	5,850,389	$	5,886,421
Total trading securities	$	5,850,389	$	5,886,421

Trading Securities.

Securities.

Schedule of redemption terms of the major types of trading securities

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

Redemption Terms

	March 31, 2024
	Due in one year or			Due after one year			Due after five years
	less			through five years			through ten years			Total Fair Value
U.S. Treasury notes	$	247,915		$	5,602,474		$	—		$	5,850,389
Total trading securities	$	247,915		$	5,602,474		$	—		$	5,850,389
Yield on trading securities		3.28	%		1.87	%		0.00	%

	December 31, 2023
	Due in one year or			Due after one year			Due after five years
	less			through five years			through ten years			Total Fair Value
U.S. Treasury notes	$	247,070		$	5,403,814		$	235,537		$	5,886,421
Total trading securities	$	247,070		$	5,403,814		$	235,537		$	5,886,421
Yield on trading securities		3.29	%		1.84	%		2.74	%

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Equity Investments. (Tables) - Equity investment

3 Months Ended

Mar. 31, 2024

Equity Investments

Schedule of carrying value of equity investments

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

	March 31, 2024
			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
	Cost		Gains (b)		Losses (b)		Value (c)
Cash equivalents	$	5,441	$	—	$	—	$	5,441
Equity funds		40,340		25,727		(6,060)		60,007
Fixed income funds		35,208		214		(4,719)		30,703
Total Equity Investments (a)	$	80,989	$	25,941	$	(10,779)	$	96,151

	December 31, 2023
			Gross		Gross
	Amortized		Unrealized		Unrealized		Fair
	Cost		Gains (b)		Losses (b)		Value (c)
Cash equivalents	$	4,510	$	—	$	—	$	4,510
Equity funds		40,871		21,250		(6,148)		55,973
Fixed income funds		35,580		225		(4,409)		31,396
Total Equity Investments (a)	$	80,961	$	21,475	$	(10,557)	$	91,879

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

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

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

Schedule of calculation of gains and losses related to outstanding equity investments held

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

	Three months ended March 31,
	2024		2023
Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date	$	4,243	$	4,225
Net gains (losses) recognized during the period on equity investments sold during the period		(106)		(374)
Net dividend and other		440		400
Net gains (losses) recognized during the period	$	4,577	$	4,251

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Available-for-Sale Securities. (Tables)

3 Months Ended

Mar. 31, 2024

Securities.

Schedule of available-for-sale securities with estimated fair values below their amortized cost basis

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

	March 31, 2024
	Less than 12 months				12 months or more				Total
	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
MBS Investment Securities and State and local housing finance agency obligations
MBS-Other U.S. Obligations	$	924	$	(2)	$	3,036	$	(30)	$	3,960	$	(32)
MBS-GSE		1,315,486		(33,544)		6,162,892		(769,774)		7,478,378		(803,318)
Total MBS Temporarily Impaired		1,316,410		(33,546)		6,165,928		(769,804)		7,482,338		(803,350)
State and local housing finance agency obligations		809,377		(1,963)		267,686		(414)		1,077,063		(2,377)
Total Temporarily Impaired	$	2,125,787	$	(35,509)	$	6,433,614	$	(770,218)	$	8,559,401	$	(805,727)

	December 31, 2023
	Less than 12 months				12 months or more				Total
	Estimated		Unrealized		Estimated		Unrealized		Estimated		Unrealized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
MBS Investment Securities and State and local housing finance agency obligations
MBS-Other U.S. Obligations	$	952	$	(4)	$	3,068	$	(68)	$	4,020	$	(72)
MBS-GSE		1,252,462		(22,048)		5,964,960		(705,667)		7,217,422		(727,715)
Total MBS Temporarily Impaired		1,253,414		(22,052)		5,968,028		(705,735)		7,221,442		(727,787)
State and local housing finance agency obligations		810,181		(1,159)		268,017		(83)		1,078,198		(1,242)
Total Temporarily Impaired	$	2,063,595	$	(23,211)	$	6,236,045	$	(705,818)	$	8,299,640	$	(729,029)

Schedule of interest rate payment terms of investments in mortgage-backed securities and state and local housing finance agency obligations classified as AFS securities

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

	March 31, 2024				December 31, 2023
	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Mortgage-backed securities
Floating
CMO	$	383,538	$	381,442	$	396,803	$	392,618
Pass Thru		3,215		3,285		3,355		3,435
Total Floating		386,753		384,727		400,158		396,053
Fixed
CMBS		7,765,762		7,598,877		7,685,085		7,482,452
Total Fixed		7,765,762		7,598,877		7,685,085		7,482,452
Total Mortgage-backed securities		8,152,515		7,983,604		8,085,243		7,878,505
State and local housing finance agency obligations
Floating		1,229,440		1,227,090		1,229,440		1,228,238
Total Available-for-Sale securities	$	9,381,955	$	9,210,694	$	9,314,683	$	9,106,743

Available-for-Sale Securities.

Securities.

Schedule of major security types

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

	March 31, 2024
			Gross			Gross
	Amortized		Unrealized			Unrealized			Fair
	Cost		Gains			Losses			Value
GSE and U.S. Obligations
State and local housing finance agency obligations	$	1,229,440	$	27		$	(2,377)		$	1,227,090
Mortgage-backed securities
Floating
CMO		383,538		590			(2,686)			381,442
Pass Thru		3,215		70			—			3,285
Total Floating		386,753		660			(2,686)			384,727
Fixed
CMBS		8,391,578		7,963			(800,664)			7,598,877
Total Fixed		8,391,578		7,963			(800,664)			7,598,877
MBS AFS Before Hedging Adjustments		8,778,331		8,623	(a)		(803,350)	(a)		7,983,604
Hedging Basis Adjustments in AOCI (b)		(625,816)		625,816			—			—
Total Available-for-sale securities (MBS)		8,152,515		634,439			(803,350)			7,983,604
Total Available-for-sale securities	$	9,381,955	$	634,466		$	(805,727)		$	9,210,694

	December 31, 2023
			Gross			Gross
	Amortized		Unrealized			Unrealized			Fair
	Cost		Gains			Losses			Value
GSE and U.S. Obligations
State and local housing finance agency obligations	$	1,229,440	$	40		$	(1,242)		$	1,228,238
Mortgage-backed securities
Floating
CMO		396,803		554			(4,739)			392,618
Pass Thru		3,355		80			—			3,435
Total Floating		400,158		634			(4,739)			396,053
Fixed
CMBS		8,190,429		15,071			(723,048)			7,482,452
Total Fixed		8,190,429		15,071			(723,048)			7,482,452
MBS AFS Before Hedging Adjustments		8,590,587		15,705	(a)		(727,787)	(a)		7,878,505
Hedging Basis Adjustments in AOCI (b)		(505,344)		505,344			—			—
Total Available-for-sale securities (MBS)		8,085,243		521,049			(727,787)			7,878,505
Total Available-for-sale securities	$	9,314,683	$	521,089		$	(729,029)		$	9,106,743

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

(b) Amounts represent fair value hedging basis due to changes in the benchmark rate and were recorded as an adjustment to the carrying values of hedged securities; the adjustments impacted the unrealized market value gains and losses. Securities in a fair value hedging relationship at March 31, 2024 recorded $625.8 million of hedge basis losses; at December 31, 2023, hedge basis losses of $505.3 million were recorded. In the table above, the benchmark hedging basis adjustments were reported separately from the market-based prices of ASC 815 qualifying hedges to provide greater clarity to market-based pricing of the securities.

Schedule of amortized cost and estimated fair value of investments by contractual maturity

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

	March 31, 2024				December 31, 2023
	Amortized		Estimated		Amortized		Estimated
	Cost (b)		Fair Value		Cost (b)		Fair Value
State and local housing finance agency obligations
Due after one year through five years	$	10,100	$	10,087	$	10,100	$	10,079
Due after ten years		1,219,340		1,217,003		1,219,340		1,218,159
State and local housing finance agency obligations	$	1,229,440	$	1,227,090	$	1,229,440	$	1,228,238
Mortgage-backed securities
Due in one year or less	$	78,597	$	77,000	$	—	$	—
Due after one year through five years		1,971,573		1,910,595		1,633,285		1,581,031
Due after five year through ten years		5,188,187		5,119,003		5,514,159		5,400,204
Due after ten years		914,158		877,006		937,799		897,270
Mortgage-backed securities	$	8,152,515	$	7,983,604	$	8,085,243	$	7,878,505
Total Available-for-Sale securities	$	9,381,955	$	9,210,694	$	9,314,683	$	9,106,743

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

(b) Amortized cost is UPB after adjusting for net unamortized discounts of $27.0 million at March 31, 2024 and net unamortized discounts of $31.8 million at December 31, 2023. Additionally, historical amortized cost in the table above is after adjustment for hedging basis.

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Held-to-Maturity Securities. (Tables) - Held-to-Maturity Securities.

3 Months Ended

Mar. 31, 2024

Held-to-Maturity Securities.

Schedule of major security types

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

	March 31, 2024
			Allowance		OTTI				Gross		Gross
	Amortized		for Credit		Recognized		Carrying		Unrecognized		Unrecognized		Fair
Issued, guaranteed or insured:	Cost (d)		Loss (ACL)		in AOCI		Value		Holding Gains (a)		Holding Losses (a)		Value
Pools of Mortgages	$	25,250	$	—	$	—	$	25,250	$	174	$	(30)	$	25,394
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits		2,364,471		—		—		2,364,471		5,958		(13,278)		2,357,151
Commercial Mortgage-Backed Securities (b)		9,358,080		—		—		9,358,080		1,763		(364,799)		8,995,044
Non-GSE MBS (c)		36,263		(529)		(713)		35,021		3,460		(1,214)		37,267
Total MBS		11,784,064		(529)		(713)		11,782,822		11,355		(379,321)		11,414,856
Other
State and local housing finance agency obligations		165,670		(83)		—		165,587		—		(12,084)		153,503
Total Held-to-Maturity securities	$	11,949,734	$	(612)	$	(713)	$	11,948,409	$	11,355	$	(391,405)	$	11,568,359

	December 31, 2023
			Allowance		OTTI				Gross		Gross
	Amortized		for Credit		Recognized		Carrying		Unrecognized		Unrecognized		Fair
Issued, guaranteed or insured:	Cost (d)		Loss (ACL)		in AOCI		Value		Holding Gains (a)		Holding Losses (a)		Value
Pools of Mortgages	$	26,237	$	—	$	—	$	26,237	$	457	$	—	$	26,694
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits		2,182,189		—		—		2,182,189		7,971		(16,117)		2,174,043
Commercial Mortgage-Backed Securities (b)		9,457,545		—		—		9,457,545		4,112		(324,425)		9,137,232
Non-GSE MBS (c)		38,587		(529)		(763)		37,295		3,793		(889)		40,199
Total MBS		11,704,558		(529)		(763)		11,703,266		16,333		(341,431)		11,378,168
Other
State and local housing finance agency obligations		166,145		(83)		—		166,062		—		(12,329)		153,733
Total Held-to-Maturity securities	$	11,870,703	$	(612)	$	(763)	$	11,869,328	$	16,333	$	(353,760)	$	11,531,901

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

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

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

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

Schedule of amortized cost and estimated fair value of investments by contractual maturity

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

	March 31, 2024				December 31, 2023
	Amortized		Estimated		Amortized		Estimated
	Cost (a)		Fair Value		Cost (a)		Fair Value
State and local housing finance agency obligations
Due after five years through ten years	$	100	$	100	$	100	$	100
Due after ten years		165,570		153,403		166,045		153,633
State and local housing finance agency obligations	$	165,670	$	153,503	$	166,145	$	153,733
Mortgage-backed securities
Due in one year or less	$	631,985	$	622,517	$	536,177	$	527,198
Due after one year through five years		5,367,873		5,170,193		5,157,803		5,008,487
Due after five years through ten years		3,242,789		3,102,550		3,630,080		3,482,815
Due after ten years		2,541,417		2,519,596		2,380,498		2,359,668
Mortgage-backed securities	$	11,784,064	$	11,414,856	$	11,704,558	$	11,378,168
Total Held-to-Maturity Securities	$	11,949,734	$	11,568,359	$	11,870,703	$	11,531,901

(a) Amortized cost is UPB after adjusting for net unamortized discounts of $27.5 million at March 31, 2024 and $28.1 million at December 31, 2023 and before adjustments for allowance for credit losses.

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Advances. (Tables)

3 Months Ended

Mar. 31, 2024

Advances.

Schedule of contractual redemption terms and yields of advances

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

	March 31, 2024							December 31, 2023
			Weighted (a)						Weighted (a)
			Average		Percentage				Average		Percentage
	Amount		Yield		of Total		Amount		Yield		of Total
Overdrawn demand deposit accounts	$	—	—	%	—	%	$	87	6.36	%	—	%
Due in one year or less		64,326,291	2.73		59.39			65,288,841	3.12		59.47
Due after one year through two years		15,495,571	1.95		14.31			15,253,626	2.06		13.89
Due after two years through three years		10,139,552	1.92		9.36			7,776,604	2.11		7.08
Due after three years through four years		7,406,998	2.90		6.84			8,730,143	2.78		7.95
Due after four years through five years		4,517,306	2.89		4.17			5,752,934	2.76		5.24
Thereafter		6,427,137	2.70		5.93			6,992,916	2.72		6.37
Total par value		108,312,855	2.56	%	100.00	%		109,795,151	2.83	%	100.00	%
Advance discounts		(8,607)						(7,878)
Hedge valuation basis adjustments (b)		(1,140,685)						(897,145)
Total	$	107,163,563					$	108,890,128

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

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

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Mortgage Loans Held-for-Portfolio. (Tables)

3 Months Ended

Mar. 31, 2024

Mortgage Loans Held-for-Portfolio.

Schedule of information on mortgage loans held-for-portfolio

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

	March 31, 2024				December 31, 2023
	Carrying Amount		Percentage of Total		Carrying Amount		Percentage of Total
Real Estate (a):
Fixed medium-term single-family mortgages	$	103,938	4.81	%	$	106,860	4.97	%
Fixed long-term single-family mortgages		2,057,019	95.19			2,043,520	95.03
Total unpaid principal balance	$	2,160,957	100.00	%	$	2,150,380	100.00	%
Unamortized premiums		35,465				35,034
Unamortized discounts		(724)				(742)
Basis adjustment (b)		(1,573)				(1,605)
Total mortgage loans amortized cost	$	2,194,125			$	2,183,067
Allowance for credit losses		(2,885)				(3,301)
Total mortgage loans held-for-portfolio at carrying value	$	2,191,240			$	2,179,766

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

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

Roll forward analysis of the allowance for credit losses

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

	Three months ended March 31,
	2024		2023
Allowance for credit losses:
Beginning balance	$	3,301	$	1,911
Adjustment for cumulative effect of accounting change		—		—
Charge-offs		—		—
Recoveries		—		—
Provision (Reversal) for credit losses on mortgage loans		(416)		(135)
Balance at end of period	$	2,885	$	1,776

Summary of risk elements and credit losses

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

	March 31, 2024			December 31, 2023
Average loans outstanding during the period (a)	$	2,158,497		$	2,106,517
Mortgage loans held for portfolio (b)		2,160,957			2,150,380
Non-accrual loans (b)		4,654			5,895
Allowance for credit losses on mortgage loans held for portfolio		2,885			3,301
Net charge-offs		—			—
Ratio of net charge-offs to average loans outstanding during the period		—	%		—	%
Ratio of allowance for credit losses to mortgage loans held for portfolio		0.134	%		0.154	%
Ratio of non-accrual loans to mortgage loans held for portfolio		0.215	%		0.274	%
Ratio of allowance for credit losses to non-accrual loans		62.004	%		56.007	%

(a) Represents the average unpaid principal balance for the three months ended March 31, 2024 and for the twelve months ended December 31, 2023.

(b) Balances represent unpaid principal balance.

Schedule of mortgage loans and impaired loans

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

	March 31, 2024		December 31, 2023
Total mortgage loans, carrying values net (a)	$	2,191,240	$	2,179,766
Non-performing mortgage loans - Conventional (a)(b)	$	4,654	$	5,895
Insured mortgage loans past due 90 days or more and still accruing interest (a)(b)	$	4,268	$	4,967

(a) Includes loans classified as special mention, sub-standard, doubtful or loss under regulatory criteria, net of amounts charged-off if delinquent for 180 days or more. There were no impaired MAP loans.

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

Summary of impaired loans for which related allowance was individually measured (excluding insured FHA/VA loans)

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

	March 31, 2024
	Unpaid						Average
	Principal		Related		Amortized Cost		Amortized Cost
	Balance		Allowance		After Allowance		After Allowance (d)
Conventional Loans (a)(c)
No related allowance (b)	$	338,647	$	—	$	342,711	$	334,311
With a related allowance		1,211,477		(2,885)		1,227,441		1,246,361
Total measured for impairment (e)	$	1,550,124	$	(2,885)	$	1,570,152	$	1,580,672

	December 31, 2023
	Unpaid						Average
	Principal		Related		Amortized Cost		Amortized Cost
	Balance		Allowance		After Allowance		After Allowance (d)
Conventional Loans (a)(c)
No related allowance (b)	$	321,544	$	—	$	325,428	$	615,113
With a related allowance		1,262,122		(3,301)		1,278,547		1,051,418
Total measured for impairment (e)	$	1,583,666	$	(3,301)	$	1,603,975	$	1,666,531

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

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

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

(d) Represents the average amortized cost after allowance for the three months ended March 31, 2024 and for the twelve months ended December 31, 2023.

(e) There were no impaired MAP loans.

Schedule of MPF mortgage loans held-for-portfolio by collateral/guarantee type

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

	March 31, 2024		December 31, 2023
Mortgage Loans Held for Portfolio by Collateral/Guarantee Type:
Conventional mortgage loans	$	2,038,005	$	2,025,225
Government-guaranteed or - insured mortgage loans		122,952		125,155
Total mortgage loans - unpaid principal balance	$	2,160,957	$	2,150,380

Summary of credit quality indicator for conventional mortgage loans

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

	March 31, 2024
	Conventional Loans
	Origination Year
	Prior to 2020		2020 to 2024		Total
Payment Status, at Amortized Cost:
Conventional loans
Past due 30 - 59 days	$	9,077	$	2,797	$	11,874
Past due 60 - 89 days		2,097		705		2,802
Past due 90 days or more		4,503		174		4,677
Total past due mortgage loans		15,677		3,676		19,353
Current mortgage loans		1,182,010		867,875		2,049,885
Total conventional mortgage loans	$	1,197,687	$	871,551	$	2,069,238

	December 31, 2023
	Conventional Loans
	Origination Year
	Prior to 2019		2019 to 2023		Total
Payment Status, at Amortized Cost:
Conventional loans
Past due 30 - 59 days	$	6,599	$	4,281	$	10,880
Past due 60 - 89 days		1,403		290		1,693
Past due 90 days or more		5,645		269		5,914
Total past due mortgage loans		13,647		4,840		18,487
Current mortgage loans		924,258		1,113,175		2,037,433
Total conventional mortgage loans	$	937,905	$	1,118,015	$	2,055,920

Other Delinquency Statistics (dollars in thousands):

	March 31, 2024
	Conventional			Government-Guaranteed			Total
	Loans			or -Insured Loans			Mortgage Loans
Amortized Cost (a):
In process of foreclosure (b)	$	2,552		$	2,577		$	5,129
Serious delinquency rate (c)		0.31	%		3.56	%		0.42	%
Past due 90 days or more and still accruing interest	$	—		$	4,339		$	4,339
Loans on non-accrual status	$	4,677		$	—		$	4,677

	December 31, 2023
	Conventional			Government-Guaranteed			Total
	Loans			or -Insured Loans			Mortgage Loans
Amortized Cost (a):
In process of foreclosure (b)	$	2,153		$	3,048		$	5,201
Serious delinquency rate (c)		0.37	%		4.03	%		0.51	%
Past due 90 days or more and still accruing interest	$	—		$	5,041		$	5,041
Loans on non-accrual status	$	5,914		$	—		$	5,914

(a) There were no MAP loans in delinquency status.

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

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

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Deposits. (Tables)

3 Months Ended

Mar. 31, 2024

Deposits.

Summary of deposits and interest rate payment terms for deposits

The following table summarizes deposits (in thousands):

	March 31, 2024		December 31, 2023
Interest-bearing deposits
Interest-bearing demand	$	2,770,619	$	3,472,477
Total interest-bearing deposits		2,770,619		3,472,477
Non-interest-bearing demand		7,893		9,376
Total deposits (a)	$	2,778,512	$	3,481,853

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

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

			Average				Average
Deposits	March 31, 2024		Interest Rate (b)		December 31, 2023		Interest Rate (b)
Interest-bearing demand (a)	$	2,770,619	5.22	%	$	3,472,477	4.23	%
Total interest-bearing deposits		2,770,619	5.22	%		3,472,477	4.23	%
Non-interest-bearing demand		7,893				9,376
Total deposits	$	2,778,512			$	3,481,853

(a) Primarily adjustable rate.

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

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Consolidated Obligations. (Tables)

3 Months Ended

Mar. 31, 2024

Consolidated Obligations.

Summary of Consolidated obligations issued and outstanding

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

	March 31, 2024		December 31, 2023
Consolidated obligation bonds-amortized cost	$	93,726,331	$	98,702,143
Hedge valuation basis adjustments		(1,195,856)		(1,126,343)
Hedge basis adjustments on de-designated hedges		105,432		106,686
FVO - valuation adjustments and accrued interest		(102,119)		(113,424)
Total Consolidated obligation bonds	$	92,533,788	$	97,569,062
Discount notes-amortized cost	$	54,939,651	$	47,914,413
Hedge value basis adjustments		(57,830)		(7,363)
Hedge basis adjustments on de-designated hedges		(924)		(142)
FVO - valuation adjustments and remaining accretion		—		—
Total Consolidated obligation discount notes	$	54,880,897	$	47,906,908

Summary of Consolidated obligation bonds outstanding by year of maturity

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

	March 31, 2024						December 31, 2023
			Weighted						Weighted
			Average		Percentage				Average		Percentage
Maturity	Amount		Rate (a)		of Total		Amount		Rate (a)		of Total
One year or less	$	49,719,985	4.50	%	53.08	%	$	58,048,915	4.67	%	58.85	%
Over one year through two years		22,281,760	3.57		23.79			14,958,980	3.48		15.16
Over two years through three years		9,594,955	2.15		10.24			12,220,155	1.67		12.39
Over three years through four years		3,614,380	3.22		3.86			4,992,385	2.62		5.06
Over four years through five years		4,357,365	3.49		4.65			3,977,705	3.36		4.03
Thereafter		4,104,745	3.32		4.38			4,447,450	3.16		4.51
Total par value		93,673,190	3.89	%	100.00	%		98,645,590	3.89	%	100.00	%
Bond premiums (b)		78,070						81,218
Bond discounts (b)		(24,929)						(24,665)
Hedge valuation basis adjustments (c)		(1,195,856)						(1,126,343)
Hedge basis adjustments on de-designated hedges (d)		105,432						106,686
FVO (e) - valuation adjustments and accrued interest		(102,119)						(113,424)
Total Consolidated obligation bonds	$	92,533,788					$	97,569,062

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

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

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

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

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

Summary of types of Consolidated obligation bonds issued and outstanding by Interest Rate Payment Terms

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

	March 31, 2024				December 31, 2023
			Percentage				Percentage
	Amount		of Total		Amount		of Total
Fixed-rate, non-callable	$	33,065,060	35.30	%	$	33,066,960	33.52	%
Fixed-rate, callable		26,073,130	27.83			35,735,130	36.23
Step Up, callable		3,178,000	3.39			3,473,000	3.52
Step Down, callable		52,000	0.06			52,000	0.05
Floating rate, callable		—	—			200,000	0.20
Single-index floating rate		31,305,000	33.42			26,118,500	26.48
Total par value	$	93,673,190	100.00	%	$	98,645,590	100.00	%

Schedule of outstanding Consolidated obligation discount notes

	March 31, 2024			December 31, 2023
Par value	$	56,110,580		$	48,657,920
Amortized cost	$	54,939,651		$	47,914,413
Hedge value basis adjustments (a)		(57,830)			(7,363)
Hedge basis adjustments on de-designated hedges (b)		(924)			(142)
FVO (c) - valuation adjustments and remaining accretion		—			—
Total Consolidated obligation discount notes	$	54,880,897		$	47,906,908
Weighted average interest rate		4.98	%		5.17	%

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

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

(c) FVO valuation adjustments — Valuation basis adjustments are recorded to recognize changes in the entire or full fair values including unaccreted discounts on CO discount notes elected under the FVO. Changes in benchmark interest rates, notional amounts of CO discount notes elected under FVO and remaining terms to maturity are factors that impact hedge valuation adjustments. No CO discount notes were elected under the FVO at March 31, 2024 and December 31, 2023.

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Affordable Housing Program. (Tables)

3 Months Ended

Mar. 31, 2024

Affordable Housing Program.

Schedule of rollforward information with respect to changes in Affordable Housing Program liabilities

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

	Three months ended March 31,
	2024		2023
Beginning balance	$	187,027	$	131,394
Additions from current period’s assessments		24,517		22,073
Net disbursements for grants and programs		(10,343)		(9,670)
Ending balance	$	201,201	$	143,797

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Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. (Tables)

3 Months Ended

Mar. 31, 2024

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

Summary of risk-based capital ratios

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

	March 31, 2024						December 31, 2023
	Required (d)			Actual			Required (d)			Actual
Regulatory capital requirements:
Risk-based capital (a)(e)	$	1,179,725		$	8,408,140		$	1,364,264		$	8,394,453
Total capital-to-asset ratio		4.00	%		5.27	%		4.00	%		5.30	%
Total capital (b)	$	6,385,194		$	8,408,140		$	6,333,328		$	8,394,453
Leverage ratio		5.00	%		7.90	%		5.00	%		7.95	%
Leverage capital (c)	$	7,981,493		$	12,612,210		$	7,916,660		$	12,591,679

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

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

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

(d) Required minimum.

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

Schedule of anticipated redemptions of mandatorily redeemable capital stock

Estimated redemption periods were as follows (in thousands):

	March 31, 2024		December 31, 2023
Redemption less than one year	$	2,620	$	3,070
Redemption from one year to less than three years		2,472		2,427
Redemption from three years to less than five years		525		732
Redemption from five years or greater		957		990
Total	$	6,574	$	7,219

Rollforward information with respect to changes in mandatorily redeemable capital stock liabilities

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

	Three months ended March 31,
	2024		2023
Beginning balance	$	7,219	$	4,578
Capital stock subject to mandatory redemption reclassified from equity		—		1,470
Redemption of mandatorily redeemable capital stock (a)		(645)		(408)
Ending balance	$	6,574	$	5,640
Accrued interest payable (b)	$	162	$	104

(a) Redemption includes repayment of excess stock.

(b) The annualized accrual rate was 9.75% for the three months ended March 31, 2024 and 7.50% for the same period in 2023. Accrual rates are based on estimated dividend rates.

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Earnings Per Share of Capital. (Tables)

3 Months Ended

Mar. 31, 2024

Earnings Per Share of Capital.

Schedule of computation of earnings per share

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

	Three months ended March 31,
	2024		2023
Net income	$	220,491	$	198,544
Net income available to stockholders	$	220,491	$	198,544
Weighted average shares of capital		61,780		63,954
Less: Mandatorily redeemable capital stock		(67)		(56)
Average number of shares of capital used to calculate earnings per share		61,713		63,898
Basic earnings per share	$	3.57	$	3.11

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Employee Retirement Plans. (Tables)

3 Months Ended

Mar. 31, 2024

Employee Retirement Plans

Schedule of employee retirement plan expenses

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

	Three months ended March 31,
	2024		2023
Defined Benefit Plan	$	3,025	$	3,100
Benefit Equalization Plans (defined benefit and defined contribution)		2,475		1,846
Defined Contribution Plans		853		806
Postretirement Health Benefit Plan		19		(253)
Total retirement plan expenses	$	6,372	$	5,499

Benefit Equalization Plan (BEP)

Employee Retirement Plans

Schedule of components of net periodic cost

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

	Three months ended March 31,
	2024		2023
Service cost	$	470	$	411
Interest cost		925		859
Amortization of unrecognized net loss		193		—
Amortization of unrecognized past service cost		4		13
Net periodic benefit cost - Defined Benefit BEP		1,592		1,283
Benefit Equalization plans - Thrift and Deferred incentive compensation plans		883		563
Total	$	2,475	$	1,846

Postretirement Health Benefit Plan

Employee Retirement Plans

Schedule of components of net periodic cost

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

	Three months ended March 31,
	2024		2023
Service cost (benefits attributed to service during the period)	$	3	$	7
Interest cost on accumulated postretirement health benefit obligation		81		102
Amortization of (gain)/loss		(65)		(362)
Net periodic postretirement health benefit expense/(income)	$	19	$	(253)

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Derivatives and Hedging Activities. (Tables)

3 Months Ended

Mar. 31, 2024

Derivatives and Hedging Activities.

Schedule of derivative notionals

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

Derivative Notionals

	Hedging Instruments Under ASC 815
	March 31, 2024		December 31, 2023
Interest rate contracts
Interest rate swaps	$	186,960,063	$	194,257,512
Interest rate caps		150,000		150,000
Mortgage delivery commitments		17,132		19,277
Total interest rate contracts notionals	$	187,127,195	$	194,426,789

Schedule of derivative assets nettable and not nettable

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

	March 31, 2024				December 31, 2023
	Derivative		Derivative		Derivative		Derivative
	Assets		Liabilities		Assets		Liabilities
Derivative instruments - nettable
Gross recognized amount
Uncleared derivatives	$	916,284	$	1,566,873	$	792,408	$	1,504,800
Cleared derivatives		1,967,490		1,957,279		1,765,052		1,751,642
Total gross recognized amount		2,883,774		3,524,152		2,557,460		3,256,442
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives		(815,648)		(1,534,618)		(682,546)		(1,494,166)
Cleared derivatives		(1,956,811)		(1,956,811)		(1,749,869)		(1,749,869)
Total gross amounts of netting adjustments and cash collateral		(2,772,459)		(3,491,429)		(2,432,415)		(3,244,035)
Net amounts after offsetting adjustments and cash collateral	$	111,315	$	32,723	$	125,045	$	12,407
Uncleared derivatives	$	100,636	$	32,255	$	109,862	$	10,634
Cleared derivatives		10,679		468		15,183		1,773
Total net amounts after offsetting adjustments and cash collateral	$	111,315	$	32,723	$	125,045	$	12,407
Derivative instruments - not nettable
Uncleared derivatives (a)	$	51	$	20	$	157	$	2
Total derivative assets and total derivative liabilities
Uncleared derivatives	$	100,687	$	32,275	$	110,019	$	10,636
Cleared derivatives		10,679		468		15,183		1,773
Total derivative assets and total derivative liabilities presented in the Statements of Condition (b)	$	111,366	$	32,743	$	125,202	$	12,409
Non-cash collateral received or pledged (c)
Can be sold or repledged
Security collateral pledged as initial margin to Derivative Clearing Organization (d)	$	787,254	$	—	$	794,848	$	—
Cannot be sold or repledged
Uncleared derivatives securities received as Variation Margin		(85,903)		—		(96,191)		—
Total net amount of non-cash collateral received or repledged	$	701,351	$	—	$	698,657	$	—
Total net exposure cash and non-cash (e)	$	812,717	$	32,743	$	823,859	$	12,409
Net unsecured amount - Represented by:
Uncleared derivatives	$	14,784	$	32,275	$	13,828	$	10,636
Cleared derivatives		797,933		468		810,031		1,773
Total net exposure cash and non-cash (e)	$	812,717	$	32,743	$	823,859	$	12,409

(a) Not nettable derivative instruments are without legal right of offset and were synthetic derivatives representing forward mortgage delivery commitments of 60 calendar days or less. Amounts were not material, and it was operationally not practical to separate receivables from payables; net presentation was adopted. No cash collateral was involved with the mortgage delivery commitments.

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

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

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

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

Schedule of derivative liabilities nettable and not nettable

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

	March 31, 2024				December 31, 2023
	Derivative		Derivative		Derivative		Derivative
	Assets		Liabilities		Assets		Liabilities
Derivative instruments - nettable
Gross recognized amount
Uncleared derivatives	$	916,284	$	1,566,873	$	792,408	$	1,504,800
Cleared derivatives		1,967,490		1,957,279		1,765,052		1,751,642
Total gross recognized amount		2,883,774		3,524,152		2,557,460		3,256,442
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives		(815,648)		(1,534,618)		(682,546)		(1,494,166)
Cleared derivatives		(1,956,811)		(1,956,811)		(1,749,869)		(1,749,869)
Total gross amounts of netting adjustments and cash collateral		(2,772,459)		(3,491,429)		(2,432,415)		(3,244,035)
Net amounts after offsetting adjustments and cash collateral	$	111,315	$	32,723	$	125,045	$	12,407
Uncleared derivatives	$	100,636	$	32,255	$	109,862	$	10,634
Cleared derivatives		10,679		468		15,183		1,773
Total net amounts after offsetting adjustments and cash collateral	$	111,315	$	32,723	$	125,045	$	12,407
Derivative instruments - not nettable
Uncleared derivatives (a)	$	51	$	20	$	157	$	2
Total derivative assets and total derivative liabilities
Uncleared derivatives	$	100,687	$	32,275	$	110,019	$	10,636
Cleared derivatives		10,679		468		15,183		1,773
Total derivative assets and total derivative liabilities presented in the Statements of Condition (b)	$	111,366	$	32,743	$	125,202	$	12,409
Non-cash collateral received or pledged (c)
Can be sold or repledged
Security collateral pledged as initial margin to Derivative Clearing Organization (d)	$	787,254	$	—	$	794,848	$	—
Cannot be sold or repledged
Uncleared derivatives securities received as Variation Margin		(85,903)		—		(96,191)		—
Total net amount of non-cash collateral received or repledged	$	701,351	$	—	$	698,657	$	—
Total net exposure cash and non-cash (e)	$	812,717	$	32,743	$	823,859	$	12,409
Net unsecured amount - Represented by:
Uncleared derivatives	$	14,784	$	32,275	$	13,828	$	10,636
Cleared derivatives		797,933		468		810,031		1,773
Total net exposure cash and non-cash (e)	$	812,717	$	32,743	$	823,859	$	12,409

(a) Not nettable derivative instruments are without legal right of offset and were synthetic derivatives representing forward mortgage delivery commitments of 60 calendar days or less. Amounts were not material, and it was operationally not practical to separate receivables from payables; net presentation was adopted. No cash collateral was involved with the mortgage delivery commitments.

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

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

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

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

Schedule of outstanding notional balances and estimated fair values of derivatives outstanding

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

	March 31, 2024
	Notional
	Amount of		Derivative		Derivative
	Derivatives		Assets		Liabilities
Fair value of derivative instruments (a)
Derivatives designated as hedging instruments under ASC 815
Interest rate swaps	$	154,739,492	$	1,558,698	$	2,542,025
Total derivatives in hedging relationships under ASC 815		154,739,492		1,558,698		2,542,025
Derivatives not designated as hedging instruments
Interest rate swaps (b)		32,220,571		1,324,763		982,127
Interest rate caps		150,000		313		—
Mortgage delivery commitments		17,132		51		20
Other		—		—		—
Total derivatives not designated as hedging instruments		32,387,703		1,325,127		982,147
Total derivatives before netting and collateral adjustments	$	187,127,195	$	2,883,825	$	3,524,172
Netting adjustments			$	(2,755,529)	$	(2,755,529)
Cash collateral and related accrued interest				(16,930)		(735,900)
Total netting adjustments and cash collateral				(2,772,459)		(3,491,429)
Total derivative assets and total derivative liabilities			$	111,366	$	32,743
Security collateral pledged as initial margin to Derivative Clearing Organization (c)			$	787,254
Security collateral received from counterparty (c)				(85,903)
Net security				701,351
Net exposure			$	812,717

	December 31, 2023
	Notional
	Amount of		Derivative		Derivative
	Derivatives		Assets		Liabilities
Fair value of derivative instruments (a)
Derivatives designated as hedging instruments under ASC 815
Interest rate swaps	$	159,826,933	$	1,577,776	$	2,521,697
Total derivatives in hedging relationships under ASC 815		159,826,933		1,577,776		2,521,697
Derivatives not designated as hedging instruments
Interest rate swaps (b)		34,430,579		979,388		734,745
Interest rate caps		150,000		296		—
Mortgage delivery commitments		19,277		157		2
Other		—		—		—
Total derivatives not designated as hedging instruments		34,599,856		979,841		734,747
Total derivatives before netting and collateral adjustments	$	194,426,789	$	2,557,617	$	3,256,444
Netting adjustments			$	(2,421,455)	$	(2,421,455)
Cash collateral and related accrued interest				(10,960)		(822,580)
Total netting adjustments and cash collateral				(2,432,415)		(3,244,035)
Total derivative assets and total derivative liabilities			$	125,202	$	12,409
Security collateral pledged as initial margin to Derivative Clearing Organization (c)			$	794,848
Security collateral received from counterparty (c)				(96,191)
Net security				698,657
Net exposure			$	823,859

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

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

(c) Non-cash security collateral is not permitted to be offset on the balance sheet but would be eligible for offsetting in an event of default. Amounts represent non-cash collateral and or U.S. Treasury securities pledged to and received from counterparties as collateral at March 31, 2024 and December 31, 2023.

Schedule of gains and losses on fair value hedges

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

	Gains (Losses) on Fair Value Hedges
	Recorded in Interest Income/Expense
	Three months ended March 31,
	2024		2023
Gains (losses) on derivatives in designated and qualifying fair value hedges:
Interest rate hedges	$	249,509	$	(81,760)
Gains (losses) on hedged item in designated and qualifying fair value hedges:
Interest rate hedges	$	(243,288)	$	81,499

Schedule of carrying amount of hedged assets and liabilities as well as hedged item's cumulative hedge basis adjustments and unamortized cumulative basis adjustments from discontinued hedges

The tables below present the carrying amount of FHLBNY’s assets and liabilities under active ASC 815 qualifying fair value hedges at March 31, 2024 and December 31, 2023, as well as the hedged item’s cumulative hedge basis adjustments, which were included in the carrying value of assets and liabilities in active hedges. The tables also present unamortized cumulative basis adjustments from discontinued hedges where the previously hedged item remains on the FHLBNY’s Statements of Condition (in thousands):

	March 31, 2024
			Cumulative Fair Value Hedging Adjustment
			Included in the Carrying Amount of Hedged
			Items Gains (Losses)
	Carrying Amount of				Discontinued
	Hedged		Active Hedging		Hedging
	Assets/Liabilities (a)		Relationship		Relationship
Assets:
Hedged advances	$	48,683,521	$	(1,140,685)	$	—
Hedged AFS debt securities (a)		5,571,873		(625,816)		—
De-designated advances (b)		—		—		—
	$	54,255,394	$	(1,766,501)	$	—
Liabilities:
Hedged consolidated obligation bonds	$	47,169,081	$	1,195,855	$	—
Hedged consolidated obligation discount notes		49,376,034		57,830		—
De-designated consolidated obligation bonds (b)		—		—		(105,432)
De-designated consolidated obligation discount notes (b)		—		—		924
	$	96,545,115	$	1,253,685	$	(104,508)

	December 31, 2023
			Cumulative Fair Value Hedging Adjustment
			Included in the Carrying Amount of Hedged
			Items Gains (Losses)
	Carrying Amount of				Discontinued
	Hedged		Active Hedging		Hedging
	Assets/Liabilities (a)		Relationship		Relationship
Assets:
Hedged advances	$	52,435,939	$	(897,149)	$	—
Hedged AFS debt securities (a)		5,505,885		(505,344)		—
De-designated advances (b)		—		—		4
	$	57,941,824	$	(1,402,493)	$	4
Liabilities:
Hedged consolidated obligation bonds	$	55,750,100	$	1,126,343	$	—
Hedged consolidated obligation discount notes		44,075,359		7,363		—
De-designated consolidated obligation bonds (b)		—		—		(106,686)
De-designated consolidated obligation discount notes (b)		—		—		142
	$	99,825,459	$	1,133,706	$	(106,544)

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

(b) At March 31, 2024, par amounts of de-designated CO bonds were $2.5 billion and par amount of de-designation CO discount notes were $1.9 billion. At December 31, 2023, par amounts of de-designated advances were $0.6 billion; par amounts of de - designation CO bonds were $2.9 billion; par amounts of de-designated CO discount notes were $0.9 billion. Cumulative fair value hedging adjustments for active and discontinued hedging relationships will remain on the balance sheet until the items are derecognized.

Schedule of balances and changes in AOCI from cash flow hedges

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

	Derivative Gains (Losses) Recorded in Income and Other
	Comprehensive Income/Loss
	Three months ended March 31, 2024
	Amounts		Amounts				Total
	Reclassified from		Reclassified from		Amounts		Change in
	AOCI to		AOCI to Other		Recorded		OCI for
	Interest Expense (b)		Income (Loss) (c)		in OCI (d)		Period
Interest rate contracts (a)	$	(287)	$	—	$	17,064	$	17,351

	Derivative Gains (Losses) Recorded in Income and Other
	Comprehensive Income/Loss
	Three months ended March 31, 2023
	Amounts		Amounts				Total
	Reclassified from		Reclassified from		Amounts		Change in
	AOCI to		AOCI to Other		Recorded		OCI for
	Interest Expense (b)		Income (Loss) (c)		in OCI (d)		Period
Interest rate contracts (a)	$	(219)	$	—	$	(26,587)	$	(26,368)

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

(b) Amounts represent amortization of gains (losses) related to closed cash flow hedges of anticipated issuance of CO bonds that were reclassified during the period to interest expense as a yield adjustment. Losses reclassified represent losses in AOCI that were amortized as an expense to debt interest expense. If debt is held to maturity, losses in AOCI will be relieved through amortization. It is expected that over the next 12 months, $1.1 million of the unrecognized losses in AOCI will be recognized as yield adjustments to debt interest expense.

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

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

Schedule of gains (losses) on derivatives in designated economic hedges

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

	Gains (Losses) on Economic Hedges
	Recorded in Other Income (Loss)
	Three months ended March 31,
	2024		2023
Gains (losses) on derivatives designated in economic hedges
Interest rate hedges	$	87,676	$	(31,594)
Caps		17		(239)
Mortgage delivery commitments		(87)		27
Total gains (losses) on derivatives in economic hedges	$	87,606	$	(31,806)

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Fair Values of Financial Instruments. (Tables)

3 Months Ended

Mar. 31, 2024

Fair Values of Financial Instruments.

Schedule of carrying values, estimated fair values and levels within fair value hierarchy of financial instruments

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

	March 31, 2024
			Estimated Fair Value
											Netting
											Adjustment
	Carrying										and Cash
Financial Instruments	Value		Total		Level 1		Level 2		Level 3 (a)		Collateral
Assets
Cash and due from banks	$	46,433	$	46,433	$	46,433	$	—	$	—	$	—
Interest-bearing deposits		2,805,000		2,805,015		—		2,805,015		—		—
Securities purchased under agreements to resell		5,670,000		5,670,024		—		5,670,024		—		—
Federal funds sold		13,745,000		13,745,064		—		13,745,064		—		—
Trading securities		5,850,389		5,850,389		5,850,389		—		—		—
Equity Investments		96,151		96,151		96,151		—		—		—
Available-for-sale securities		9,210,694		9,210,694		—		7,983,604		1,227,090		—
Held-to-maturity securities		11,948,409		11,568,359		—		11,377,589		190,770		—
Advances		107,163,563		107,359,101		—		107,359,101		—		—
Mortgage loans held-for-portfolio, net		2,191,240		1,914,206		—		1,914,206		—		—
Accrued interest receivable		647,563		647,563		—		647,563		—		—
Derivative assets		111,366		111,366		—		2,883,825		—		(2,772,459)
Other financial assets		256		256		—		—		256		—
Liabilities
Deposits		2,778,512		2,778,554		—		2,778,554		—		—
Consolidated obligations
Bonds		92,533,788		91,839,331		—		91,839,331		—		—
Discount notes		54,880,897		54,909,967		—		54,909,967		—		—
Mandatorily redeemable capital stock		6,574		6,574		6,574		—		—		—
Accrued interest payable		681,348		681,348		—		681,348		—		—
Derivative liabilities		32,743		32,743		—		3,524,172		—		(3,491,429)
Other financial liabilities		—		—		—		—		—		—

	December 31, 2023
			Estimated Fair Value
											Netting
	Carrying										Adjustment and
Financial Instruments	Value		Total		Level 1		Level 2		Level 3 (a)		Cash Collateral
Assets
Cash and due from banks	$	48,198	$	48,198	$	48,198	$	—	$	—	$	—
Interest-bearing deposits		1,945,000		1,945,022		—		1,945,022		—		—
Securities purchased under agreements to resell		7,820,000		7,820,064		—		7,820,064		—		—
Federal funds sold		9,640,000		9,640,092		—		9,640,092		—		—
Trading securities		5,886,421		5,886,421		5,886,421		—		—		—
Equity Investments		91,879		91,879		91,879		—		—		—
Available-for-sale securities		9,106,743		9,106,743		—		7,878,505		1,228,238		—
Held-to-maturity securities		11,869,328		11,531,901		—		11,337,969		193,932		—
Advances		108,890,128		108,936,655		—		108,936,655		—		—
Mortgage loans held-for-portfolio, net		2,179,766		1,940,678		—		1,940,678		—		—
Accrued interest receivable		581,608		581,608		—		581,608		—		—
Derivative assets		125,202		125,202		—		2,557,617		—		(2,432,415)
Other financial assets		378		378		—		—		378		—
Liabilities
Deposits		3,481,853		3,481,961		—		3,481,961		—		—
Consolidated obligations
Bonds		97,569,062		96,836,586		—		96,836,586		—		—
Discount notes		47,906,908		47,932,222		—		47,932,222		—		—
Mandatorily redeemable capital stock		7,219		7,219		7,219		—		—		—
Accrued interest payable		716,021		716,021		—		716,021		—		—
Derivative liabilities		12,409		12,409		—		3,256,444		—		(3,244,035)
Other financial liabilities		—		—		—		—		—		—

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

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

Schedule of fair value of assets and liabilities recorded at fair value on a recurring basis, by level within fair value hierarchy

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

	March 31, 2024
									Netting
									Adjustment and
	Total		Level 1		Level 2		Level 3		Cash Collateral
Assets
Trading securities
U.S. Treasury securities	$	5,850,389	$	5,850,389	$	—	$	—	$	—
Equity Investments		96,151		96,151		—		—		—
Available-for-sale securities
GSE/U.S. agency issued MBS		7,983,604		—		7,983,604		—		—
State and local housing finance agency obligations		1,227,090		—		—		1,227,090		—
Derivative assets (a)
Interest-rate derivatives		111,315		—		2,883,774		—		(2,772,459)
Mortgage delivery commitments		51		—		51		—		—
Total recurring fair value measurement - Assets	$	15,268,600	$	5,946,540	$	10,867,429	$	1,227,090	$	(2,772,459)
Liabilities
Consolidated obligation:
Bonds (to the extent FVO is elected) (b)	$	(2,891,846)	$	—	$	(2,891,846)	$	—	$	—
Derivative liabilities (a)
Interest-rate derivatives		(32,723)		—		(3,524,152)		—		3,491,429
Mortgage delivery commitments		(20)		—		(20)		—		—
Total recurring fair value measurement - Liabilities	$	(2,924,589)	$	—	$	(6,416,018)	$	—	$	3,491,429

	December 31, 2023
									Netting
									Adjustment and
	Total		Level 1		Level 2		Level 3		Cash Collateral
Assets
Trading securities
U.S. Treasury securities	$	5,886,421	$	5,886,421	$	—	$	—	$	—
Equity Investments		91,879		91,879		—		—		—
Available-for-sale securities
GSE/U.S. agency issued MBS		7,878,505		—		7,878,505		—		—
State and local housing finance agency obligations		1,228,238		—		—		1,228,238		—
Derivative assets(a)
Interest-rate derivatives		125,045		—		2,557,460		—		(2,432,415)
Mortgage delivery commitments		157		—		157		—		—
Total recurring fair value measurement - Assets	$	15,210,245	$	5,978,300	$	10,436,122	$	1,228,238	$	(2,432,415)
Liabilities
Consolidated obligation:
Bonds (to the extent FVO is elected) (b)	$	(3,780,541)	$	—	$	(3,780,541)	$	—	$	—
Derivative liabilities (a)
Interest-rate derivatives		(12,407)		—		(3,256,442)		—		3,244,035
Mortgage delivery commitments		(2)		—		(2)		—		—
Total recurring fair value measurement - Liabilities	$	(3,792,950)	$	—	$	(7,036,985)	$	—	$	3,244,035

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

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

Schedule of roll forward of level 3 available-for-sale securities

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

	State and Local Housing Finance
	Agency Obligations
	Three months ended March 31,
	2024		2023
Balance, beginning of the period	$	1,228,238	$	1,109,029
Transfer of securities from held-to-maturity to available-for-sale		—		—
Provision for credit losses		—		—
Total gains (losses) included in other comprehensive income
Net unrealized gains (losses)		(1,148)		480
Purchases		—		—
Settlements		—		—
Balance, end of the period	$	1,227,090	$	1,109,509

Schedule of items measured at fair value on a nonrecurring basis, by level within fair value hierarchy

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

	During the period ended December 31, 2023
	Fair Value		Level 1		Level 2		Level 3
Mortgage loans held-for-portfolio	$	—	$	—	$	—	$	—
Real estate owned		391		—		—		391
Total non-recurring assets at fair value	$	391	$	—	$	—	$	391

During the period ended March 31, 2024, de minimis amounts were recorded.

Schedule of activity, change in fair value and comparison of aggregate fair value and remaining contractual principal balance outstanding related to financial instruments for which fair value option elected

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

	March 31, 2024
	Bonds
Balance, beginning of the period	$	(3,780,541)
New transactions elected for fair value option		—
Maturities and terminations		900,000
Net gains (losses) on financial instruments held under fair value option		(10,970)
Change in accrued interest/unaccreted balance		(335)
Balance, end of the period	$	(2,891,846)

	December 31, 2023
	Bonds
Balance, beginning of the period	$	(4,159,862)
New transactions elected for fair value option		—
Maturities and terminations		480,000
Net gains (losses) on financial instruments held under fair value option		(99,223)
Change in accrued interest/unaccreted balance		(1,456)
Balance, end of the period	$	(3,780,541)

	March 31,2023
	Bonds
Balance, beginning of the period	$	(4,159,862)
New transactions elected for fair value option		—
Maturities and terminations		—
Net gains (losses) on financial instruments held under fair value option		(39,378)
Change in accrued interest/unaccreted balance		(7,115)
Balance, end of the period	$	(4,206,355)

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

	Three months ended March 31, 2024
			Net Gains		Total Change in Fair
			(Losses) Due to		Value Included in
	Interest		Changes in		Current Period
	Expense		Fair Value		Earnings
Consolidated obligation bonds	$	(18,042)	$	(10,970)	$	(29,012)

	Three months ended March 31, 2023
			Net Gains		Total Change in Fair
			(Losses) Due to		Value Included in
	Interest		Changes in		Current Period
	Expense		Fair Value		Earnings
Consolidated obligation bonds	$	(22,671)	$	(39,378)	$	(62,049)

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

	March 31, 2024
					Fair Value
					Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance
Consolidated obligation bonds (a)	$	2,993,965	$	2,891,846	$	(102,119)

	December 31, 2023
					Fair Value
					Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance
Consolidated obligation bonds (a)	$	3,893,965	$	3,780,541	$	(113,424)

	March 31, 2023
					Fair Value
					Over/(Under)
	Aggregate Unpaid		Aggregate Fair		Aggregate Unpaid
	Principal Balance		Value		Principal Balance
Consolidated obligation bonds (a)	$	4,373,965	$	4,206,355	$	(167,610)

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

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Commitments and Contingencies. (Tables)

3 Months Ended

Mar. 31, 2024

Commitments and Contingencies.

Summary of significant contractual obligations and contingencies

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

	March 31, 2024
Contractual Obligations
Consolidated obligation bonds at par (a)	$	93,673,190
Consolidated obligation discount notes at par		56,110,580
Mandatorily redeemable capital stock (a)		6,574
Financing lease (b)		2,498
Premises (Operating Lease) (b)		75,612
Remote backup site		77
Other liabilities (c)		133,798
Total contractual obligations	$	150,002,329
Other commitments
Standby letters of credit (d)	$	22,326,273
Consolidated obligation bonds/discount notes traded not settled		110,191
Commitments to fund additional advances		50,000
Commitments to fund pension		12,100
Open delivery commitments (MAP)		17,132
Total other commitments	$	22,515,696
Total obligations and commitments	$	172,518,025

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

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

(c) Includes accounts payable and accrued expenses, liabilities recorded for future settlements of investments, Pass-through reserves due to member institutions held at the Federal Reserve Bank (FRB), and projected payment obligations for pension plans.

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

Summarized information on our operating leases

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

	March 31, 2024		December 31, 2023
Operating Leases (a)
Right-of-use assets	$	53,461	$	54,862
Lease Liabilities	$	65,407	$	67,021

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

	Three months ended March 31,
	2024			2023
Operating Lease Expense	$	1,952		$	1,952
Operating cash flows - Cash Paid	$	2,166		$	2,153
	March 31, 2024			December 31, 2023
Weighted Average Discount Rate		3.32	%		3.32	%
Weighted Average Remaining Lease Term		8.98	Years		9.21	Years

Schedule of remaining maturities of leases liabilities

	Remaining maturities through
Operating lease liabilities	March 31, 2024		December 31, 2023
Remainder of 2024	$	6,131	$	8,297
2025		8,088		8,088
2026		8,142		8,142
2027		8,246		8,246
2028		8,566		8,566
Thereafter		36,844		36,844
Total undiscounted lease payments		76,017		78,183
Imputed interest		(10,610)		(11,162)
Total operating lease liabilities	$	65,407	$	67,021

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Related Party Transactions. (Tables)

3 Months Ended

Mar. 31, 2024

Related Party Transactions.

Schedule of significant balances and transactions with related parties

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

Related Party: Outstanding Assets, Liabilities and Capital

	March 31, 2024		December 31, 2023
	Related		Related
Assets
Advances	$	107,163,563	$	108,890,128
Accrued interest receivable		525,590		469,880
Liabilities and capital
Deposits	$	2,778,512	$	3,481,853
Mandatorily redeemable capital stock		6,574		7,219
Accrued interest payable		162		171
Affordable Housing Program (a)		201,201		187,027
Capital	$	8,313,247	$	8,244,701

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

Related Party: Income and Expense Transactions

	Three months ended March 31,
	2024		2023
	Related		Related
Interest income
Advances	$	1,608,245	$	1,404,553
Interest-bearing deposits		3		4
Interest expense
Deposits	$	35,046	$	12,538
Mandatorily redeemable capital stock		170		113
Cash collateral held and other borrowings		—		1,239
Service fees and other	$	5,587	$	5,023

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Segment Information and Concentration. (Tables)

12 Months Ended

Dec. 31, 2023

Par Value of Advances | Credit concentration risk

Segment Information and Concentration

Schedule of concentrations

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

	March 31, 2024
					Percentage of
					Total Par
			Par		Value		Three Months
	City	State	Advances		of Advances		Interest Income		Percentage (a)
Flagstar Bank, N.A. (b)	Hicksville	NY	$	21,350,000	19.71	%	$	273,350		26.39	%
Citibank, N.A.	New York	NY		15,500,000	14.31			258,696		24.98
MetLife, Inc.:
Metropolitan Life Insurance Company	New York	NY		13,035,000	12.03			121,104		11.69
Metropolitan Tower Life Insurance Company	New York	NY		1,555,000	1.44			15,854		1.53
Subtotal MetLife, Inc.				14,590,000	13.47			136,958		13.22
Teachers Ins. & Annuity Assoc of America	New York	NY		8,034,800	7.41			91,082		8.79
Equitable Financial Life Insurance Company	New York	NY		7,165,063	6.62			92,024		8.88
Manufacturers and Traders Trust Company	Buffalo	NY		6,500,157	6.00			99,078		9.56
New York Life Insurance Company	New York	NY		3,094,000	2.86			27,383		2.64
Valley National Bank (b)	Morristown	NJ		2,624,804	2.42			25,416		2.45
Prudential Insurance Company of America	Newark	NJ		2,619,250	2.42			20,776		2.01
Guardian Life Insurance Co. of America	New York	NY		1,673,605	1.55			11,170		1.08
Total			$	83,151,679	76.77	%	$	1,035,933		100.00	%

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

(b) A director of Flagstar Bank, N.A. (who had been an officer of that institution through and until February 23, 2024) served on the Board of Directors of the FHLBNY as a Member Director through and until March 11, 2024. An officer of Valley National Bank served on the Board of Directors of the FHLBNY as a Member Director throughout the entire quarter.

	December 31, 2023
					Percentage of
			Par		Total Par Value		Twelve Months
	City	State	Advances		of Advances		Interest Income		Percentage (a)
Citibank, N.A.	New York	NY	$	19,500,000	17.76	%	$	984,342		28.99	%
Flagstar Bank, N.A. (b)	Hicksville	NY		17,850,000	16.26			553,872		16.31
MetLife, Inc.:
Metropolitan Life Insurance Company	New York	NY		13,035,000	11.87			474,764		13.98
Metropolitan Tower Life Insurance Company	New York	NY		1,555,000	1.42			56,402		1.66
Subtotal MetLife, Inc.				14,590,000	13.29			531,166		15.64
Equitable Financial Life Insurance Company	New York	NY		7,615,063	6.93			403,051		11.87
Teachers Ins. & Annuity Assoc of America	New York	NY		7,035,500	6.41			249,296		7.34
Manufacturers and Traders Trust Company	Buffalo	NY		5,000,159	4.55			278,246		8.19
New York Life Insurance Company	New York	NY		3,063,000	2.79			96,367		2.84
Prudential Insurance Company of America	Newark	NJ		2,619,250	2.39			83,396		2.46
Valley National Bank (b)	Wayne	NJ		2,539,804	2.31			142,160		4.19
Kearny Bank	Fairfield	NJ		1,667,500	1.52			73,652		2.17
Total			$	81,480,276	74.21	%	$	3,395,548		100.00	%

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

(b) An officer of this member bank served on the Board of Directors of the FHLBNY as a Member Director.

	March 31, 2023
					Percentage of
			Par		Total Par Value		Three Months
	City	State	Advances		of Advances		Interest Income		Percentage (a)
Flagstar Bank, N.A. (b)	Hicksville	NY	$	17,200,000	13.50	%	$	151,904		18.60	%
MetLife, Inc.:
Metropolitan Life Insurance Company	New York	NY		13,735,000	10.78			103,871		12.72
Metropolitan Tower Life Insurance Company	New York	NY		1,555,000	1.22			11,782		1.44
Subtotal MetLife, Inc.				15,290,000	12.00			115,653		14.16
Citibank, N.A.	New York	NY		14,000,000	10.99			205,209		25.12
Signature Bridge Bank, N.A. (c)	New York	NY		10,183,738	7.99			59,587		7.29
Equitable Financial Life Insurance Company	New York	NY		8,366,063	6.56			90,526		11.08
Valley National Bank (b)	Wayne	NJ		7,738,000	6.07			38,000		4.65
Teachers Ins. & Annuity Assoc of America	New York	NY		6,722,500	5.28			63,162		7.73
Manufacturers and Traders Trust Company	Buffalo	NY		6,000,166	4.71			56,344		6.90
Goldman Sachs Bank USA	New York	NY		4,400,000	3.45			11,262		1.38
New York Life Insurance Company	New York	NY		3,013,000	2.36			25,239		3.09
Total			$	92,913,467	72.91	%	$	816,886		100.00	%

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

(b) An officer of these members served on the Board of Directors of the FHLBNY as a Member Director.

(c) A Member institution Signature Bank was taken into possession by their regulator, the New York State Department of Financial Services and placed into receivership with the FDIC. Signature Bridge Bank, N.A. was created by the FDIC to assume Signature Bank's assets and deposits on March 12, 2023. Signature Bank's outstanding commitments to the FHLBNY were transferred to Signature Bridge Bank, N.A. and were paid off in July, 2023.

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Background, Tax Status. Assessments. (Details) $ in Millions	3 Months Ended
	Mar. 31, 2024 USD ($) Institution
Background, Tax Status. Assessments.
Number of Federal Home Loan Banks in a defined geographic district	1
Number of FHLBanks	11
Minimum amount annually set aside for Affordable Housing Program | $	$ 100
Minimum amount annually set aside for Affordable Housing Program as a percentage of the regulatory defined net income (as a percent)	10.00%

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Cash and Due from Banks. (Details) - USD ($) $ in Millions	Mar. 31, 2024	Dec. 31, 2023
Compensating Balances
Amount of compensating balance restricted as to withdrawal	$ 0.0
Compensating balances	15.0	$ 15.0
Restricted cash balances	0.0	0.0
Pass-through Deposit Reserves
Pass-through reserves of member institutions deposited with Federal Reserve Banks	$ 0.0	$ 0.0

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Interest-bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell. (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023	Dec. 31, 2023
Securities purchased under agreements to resell
Securities purchased under agreements to resell	$ 5,670,000		$ 7,820,000
Accrued interest receivable	647,563		581,608
Interest income from securities purchased under agreements to resell	72,288	$ 47,189
Interest-bearing deposits	2,805,000		1,945,000
Federal funds sold	13,745,000		9,640,000
U.S. Treasury securities
Securities purchased under agreements to resell
Securities received as collateral	5,800,000		8,000,000
Interest-bearing deposits
Securities purchased under agreements to resell
Allowance for credit losses for accrued interest receivable	0		0
Accrued interest receivable	1,300		900
Allowance for credit losses	0		0
Interest-bearing deposits	2,800,000		1,900,000
Federal funds sold
Securities purchased under agreements to resell
Allowance for credit losses for accrued interest receivable	0		0
Accrued interest receivable	6,100		4,300
Allowance for credit losses	0		0
Federal funds sold	13,700,000		9,600,000
Securities purchased under agreements to resell
Securities purchased under agreements to resell
Securities purchased under agreements to resell	5,700,000		7,800,000
Adjustments for instrument-specific credit risk	0
Allowance for credit losses for accrued interest receivable	0		0
Accrued interest receivable	$ 2,500		$ 3,500

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Trading Securities. (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2024	Dec. 31, 2023
Trading Securities.
Trading securities	$ 5,850,389	$ 5,886,421
Net unrealized fair value losses included in carrying values of Trading securities	312,700	262,000
Trading securities pledged as collateral	787,254	794,848
Estimated fair value of investments classified as trading securities, by remaining maturity
Due in one year or less	247,915	247,070
Due after one year through five years	5,602,474	5,403,814
Due after five years through ten years		235,537
Total trading securities	$ 5,850,389	$ 5,886,421
Yield on trading securities due in one year or less (as a percent)	3.28%	3.29%
Yield on trading securities due after one year through five years (as a percent)	1.87%	1.84%
Yield on trading securities due after five years through ten years (as a percent)	0.00%	2.74%
U.S. Treasury Notes
Trading Securities.
Trading securities	$ 5,850,389	$ 5,886,421
Estimated fair value of investments classified as trading securities, by remaining maturity
Due in one year or less	247,915	247,070
Due after one year through five years	5,602,474	5,403,814
Due after five years through ten years		235,537
Total trading securities	$ 5,850,389	$ 5,886,421

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Equity Investments. (Details) - USD ($) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2024	Mar. 31, 2023	Dec. 31, 2023
Equity Investments
Amortized Cost	$ 80,989		$ 80,961
Gross Unrealized Gains	25,941		21,475
Gross Unrealized Losses	(10,779)		(10,557)
Fair Value	96,151		91,879
Gains and losses related to outstanding Equity Investments
Unrealized gains (losses) recognized during the reporting period on equity investments still held at the reporting date	4,243	$ 4,225
Net gains (losses) recognized during the period on equity investments sold during the period	(106)	(374)
Net dividend and other	440	400
Net gains (losses) recognized during the period	4,577	$ 4,251
Cash equivalents
Equity Investments
Amortized Cost	5,441		4,510
Fair Value	5,441		4,510
Equity funds
Equity Investments
Amortized Cost	40,340		40,871
Gross Unrealized Gains	25,727		21,250
Gross Unrealized Losses	(6,060)		(6,148)
Fair Value	60,007		55,973
Fixed income funds
Equity Investments
Amortized Cost	35,208		35,580
Gross Unrealized Gains	214		225
Gross Unrealized Losses	(4,719)		(4,409)
Fair Value	$ 30,703		$ 31,396

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Available-for-Sale Securities. - Amortized Cost to Fair Value by Major Security Types and Other Income Activity from Grantor Trust (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Available-for-Sale Securities.
Amortized Cost	$ 9,381,955	$ 9,314,683
Gross Unrealized Gains	634,466	521,089
Gross Unrealized Losses	(805,727)	(729,029)
Fair Value	9,210,694	9,106,743
Fair value hedging
Available-for-Sale Securities.
Gross Unrealized Losses	(625,800)	(505,300)
Floating
Available-for-Sale Securities.
Amortized Cost	386,753	400,158
Fair Value	384,727	396,053
Fixed
Available-for-Sale Securities.
Amortized Cost	7,765,762	7,685,085
Fair Value	7,598,877	7,482,452
Mortgage-backed securities (MBS)
Available-for-Sale Securities.
Amortized Cost	8,152,515	8,085,243
Gross Unrealized Gains	634,439	521,049
Gross Unrealized Losses	(803,350)	(727,787)
Fair Value	7,983,604	7,878,505
Mortgage-backed securities (MBS) | Floating
Available-for-Sale Securities.
Amortized Cost	386,753	400,158
Gross Unrealized Gains	660	634
Gross Unrealized Losses	(2,686)	(4,739)
Fair Value	384,727	396,053
Mortgage-backed securities (MBS) | Fixed
Available-for-Sale Securities.
Amortized Cost	8,391,578	8,190,429
Gross Unrealized Gains	7,963	15,071
Gross Unrealized Losses	(800,664)	(723,048)
Fair Value	7,598,877	7,482,452
CMO | Floating
Available-for-Sale Securities.
Amortized Cost	383,538	396,803
Gross Unrealized Gains	590	554
Gross Unrealized Losses	(2,686)	(4,739)
Fair Value	381,442	392,618
Pass Thru | Floating
Available-for-Sale Securities.
Amortized Cost	3,215	3,355
Gross Unrealized Gains	70	80
Fair Value	3,285	3,435
CMBS | Fixed
Available-for-Sale Securities.
Amortized Cost	8,391,578	8,190,429
Gross Unrealized Gains	7,963	15,071
Gross Unrealized Losses	(800,664)	(723,048)
Fair Value	7,598,877	7,482,452
State and local housing finance agency obligations
Available-for-Sale Securities.
Amortized Cost	1,229,440	1,229,440
Gross Unrealized Gains	27	40
Gross Unrealized Losses	(2,377)	(1,242)
Fair Value	1,227,090	1,228,238
State and local housing finance agency obligations | Floating
Available-for-Sale Securities.
Amortized Cost	1,229,440	1,229,440
Fair Value	1,227,090	1,228,238
Available-for-Sale Securities.
Available-for-Sale Securities.
Allowance for credit losses	0	0
Before hedging adjustments | MBS AFS before hedging adjustments
Available-for-Sale Securities.
Amortized Cost	8,778,331	8,590,587
Gross Unrealized Gains	8,623	15,705
Gross Unrealized Losses	(803,350)	(727,787)
Fair Value	7,983,604	7,878,505
Hedging basis adjustment | Mortgage-backed securities (MBS) | Fair value hedging
Available-for-Sale Securities.
Amortized Cost	(625,816)	(505,344)
Gross Unrealized Gains	$ 625,816	$ 505,344

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Available-for-Sale Securities. - Credit Loss Analysis of AFS Securities (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Estimated Fair Value
Less than 12 months, Estimated Fair Value	$ 2,125,787	$ 2,063,595
12 months or more, Estimated Fair Value	6,433,614	6,236,045
Total, Estimated Fair Value	8,559,401	8,299,640
Unrealized Losses
Less than 12 months, Unrealized Losses	(35,509)	(23,211)
12 months or more, Unrealized Losses	(770,218)	(705,818)
Total, Unrealized Losses	(805,727)	(729,029)
Mortgage-backed securities (MBS)
Estimated Fair Value
Less than 12 months, Estimated Fair Value	1,316,410	1,253,414
12 months or more, Estimated Fair Value	6,165,928	5,968,028
Total, Estimated Fair Value	7,482,338	7,221,442
Unrealized Losses
Less than 12 months, Unrealized Losses	(33,546)	(22,052)
12 months or more, Unrealized Losses	(769,804)	(705,735)
Total, Unrealized Losses	(803,350)	(727,787)
MBS-Other U.S. Obligations
Estimated Fair Value
Less than 12 months, Estimated Fair Value	924	952
12 months or more, Estimated Fair Value	3,036	3,068
Total, Estimated Fair Value	3,960	4,020
Unrealized Losses
Less than 12 months, Unrealized Losses	(2)	(4)
12 months or more, Unrealized Losses	(30)	(68)
Total, Unrealized Losses	(32)	(72)
MBS-GSE
Estimated Fair Value
Less than 12 months, Estimated Fair Value	1,315,486	1,252,462
12 months or more, Estimated Fair Value	6,162,892	5,964,960
Total, Estimated Fair Value	7,478,378	7,217,422
Unrealized Losses
Less than 12 months, Unrealized Losses	(33,544)	(22,048)
12 months or more, Unrealized Losses	(769,774)	(705,667)
Total, Unrealized Losses	(803,318)	(727,715)
State and local housing finance agency obligations
Estimated Fair Value
Less than 12 months, Estimated Fair Value	809,377	810,181
12 months or more, Estimated Fair Value	267,686	268,017
Total, Estimated Fair Value	1,077,063	1,078,198
Unrealized Losses
Less than 12 months, Unrealized Losses	(1,963)	(1,159)
12 months or more, Unrealized Losses	(414)	(83)
Total, Unrealized Losses	$ (2,377)	$ (1,242)

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Available-for-Sale Securities. - Redemption Terms (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Amortized Cost
Amortized Cost	$ 9,381,955	$ 9,314,683
Estimated Fair Value
Estimated Fair Value	9,210,694	9,106,743
Net unamortized (premium) / discounts	27,000	31,800
State and local housing finance agency obligations
Amortized Cost
Due after one year through five years	10,100	10,100
Due after ten years	1,219,340	1,219,340
Amortized Cost	1,229,440	1,229,440
Estimated Fair Value
Due after one year through five years	10,087	10,079
Due after ten years	1,217,003	1,218,159
Estimated Fair Value	1,227,090	1,228,238
Mortgage-backed securities (MBS)
Amortized Cost
Due in one year or less	78,597
Due after one year through five years	1,971,573	1,633,285
Due after five year through ten years	5,188,187	5,514,159
Due after ten years	914,158	937,799
Amortized Cost	8,152,515	8,085,243
Estimated Fair Value
Due in one year or less	77,000
Due after one year through five years	1,910,595	1,581,031
Due after five year through ten years	5,119,003	5,400,204
Due after ten years	877,006	897,270
Estimated Fair Value	$ 7,983,604	$ 7,878,505

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Available-for-Sale Securities. - Interest Rate Payment Terms (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	$ 9,381,955	$ 9,314,683
Fair Value	9,210,694	9,106,743
Floating
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	386,753	400,158
Fair Value	384,727	396,053
Fixed
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	7,765,762	7,685,085
Fair Value	7,598,877	7,482,452
CMO | Floating
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	383,538	396,803
Fair Value	381,442	392,618
Pass Thru | Floating
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	3,215	3,355
Fair Value	3,285	3,435
CMBS | Fixed
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	7,765,762	7,685,085
Fair Value	7,598,877	7,482,452
Mortgage-backed securities (MBS)
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	8,152,515	8,085,243
Fair Value	7,983,604	7,878,505
Mortgage-backed securities (MBS) | Floating
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	386,753	400,158
Fair Value	384,727	396,053
Mortgage-backed securities (MBS) | Fixed
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	8,391,578	8,190,429
Fair Value	7,598,877	7,482,452
State and local housing finance agency obligations
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	1,229,440	1,229,440
Fair Value	1,227,090	1,228,238
State and local housing finance agency obligations | Floating
Summary of available-for-sale securities by interest rate payment terms
Amortized Cost	1,229,440	1,229,440
Fair Value	$ 1,227,090	$ 1,228,238

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Held-to-Maturity Securities. - Amortized Cost to Fair Value by Major Security Types and Securities Pledged (Details) $ in Thousands	Mar. 31, 2024 USD ($) item	Dec. 31, 2023 USD ($) item
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized cost	$ 11,949,734	$ 11,870,703
Held-to-maturity securities, allowance for credit losses	(612)	(612)
OTTI Recognized in AOCI	(713)	(763)
Carrying Value	11,948,409	11,869,328
Gross Unrecognized Holding Gains	11,355	16,333
Gross Unrecognized Holding Losses	(391,405)	(353,760)
Fair Value	11,568,359	11,531,901
Pools of Mortgages
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized cost	25,250	26,237
Carrying Value	25,250	26,237
Gross Unrecognized Holding Gains	174	457
Gross Unrecognized Holding Losses	(30)
Fair Value	25,394	26,694
Collateralized Mortgage Obligations/Real Estate Mortgage Investment Conduits
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized cost	2,364,471	2,182,189
Carrying Value	2,364,471	2,182,189
Gross Unrecognized Holding Gains	5,958	7,971
Gross Unrecognized Holding Losses	(13,278)	(16,117)
Fair Value	2,357,151	2,174,043
Commercial Mortgage-Backed Securities (CMBS)
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized cost	9,358,080	9,457,545
Carrying Value	9,358,080	9,457,545
Gross Unrecognized Holding Gains	1,763	4,112
Gross Unrecognized Holding Losses	(364,799)	(324,425)
Fair Value	8,995,044	9,137,232
Non-GSE MBS
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized cost	36,263	38,587
Held-to-maturity securities, allowance for credit losses	(529)	(529)
OTTI Recognized in AOCI	(713)	(763)
Carrying Value	35,021	37,295
Gross Unrecognized Holding Gains	3,460	3,793
Gross Unrecognized Holding Losses	(1,214)	(889)
Fair Value	37,267	40,199
Mortgage-backed securities (MBS)
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized cost	11,784,064	11,704,558
Held-to-maturity securities, allowance for credit losses	(529)	(529)
OTTI Recognized in AOCI	(713)	(763)
Carrying Value	11,782,822	11,703,266
Gross Unrecognized Holding Gains	11,355	16,333
Gross Unrecognized Holding Losses	(379,321)	(341,431)
Fair Value	11,414,856	11,378,168
Mortgage-backed securities (MBS) | Asset pledged as collateral without right to sell or repledge
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Carrying Value	4,100	4,800
State and local housing finance agency obligations
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Amortized cost	165,670	166,145
Held-to-maturity securities, allowance for credit losses	(83)	(83)
Carrying Value	165,587	166,062
Gross Unrecognized Holding Losses	(12,084)	(12,329)
Fair Value	$ 153,503	$ 153,733
Number of investment positions in an unrealized loss position | item	3	3
Unrecognized losses	$ 12,100	$ 12,300
Allowance for credit losses for accrued interest receivable	0	0
Allowance for credit losses	$ 100	$ 100
Private-label MBS
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Number of investment positions in an unrealized loss position	12	12
Allowance for credit losses	$ 500	$ 500
GSE
Held-to-maturity-securities, reconciliation of amortized cost basis to fair value
Number of investment positions in an unrealized loss position	204	198

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Held-to-Maturity Securities. - Redemption Terms (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Amortized Cost
Amortized Cost	$ 11,949,734	$ 11,870,703
Estimated Fair Value
Fair Value	11,568,359	11,531,901
Net unamortized discounts	27,500	28,100
State and local housing finance agency obligations
Amortized Cost
Due after five years through ten years	100	100
Due after ten years	165,570	166,045
Amortized Cost	165,670	166,145
Estimated Fair Value
Due after five years through ten years	100	100
Due after ten years	153,403	153,633
Fair Value	153,503	153,733
Mortgage-backed securities (MBS)
Amortized Cost
Due in one year or less	631,985	536,177
Due after one year through five years	5,367,873	5,157,803
Due after five years through ten years	3,242,789	3,630,080
Due after ten years	2,541,417	2,380,498
Amortized Cost	11,784,064	11,704,558
Estimated Fair Value
Due in one year or less	622,517	527,198
Due after one year through five years	5,170,193	5,008,487
Due after five years through ten years	3,102,550	3,482,815
Due after ten years	2,519,596	2,359,668
Fair Value	$ 11,414,856	$ 11,378,168

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Advances. - Redemption Terms (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Amount
Overdrawn demand deposit accounts		$ 87
Due in one year or less	$ 64,326,291	65,288,841
Due after one year through two years	15,495,571	15,253,626
Due after two years through three years	10,139,552	7,776,604
Due after three years through four years	7,406,998	8,730,143
Due after four years through five years	4,517,306	5,752,934
Thereafter	6,427,137	6,992,916
Total par value	108,312,855	109,795,151
Advance discounts	(8,607)	(7,878)
Hedge valuation basis adjustments (b)	(1,140,685)	(897,145)
Total	$ 107,163,563	$ 108,890,128
Weighted Average Yield
Overdrawn demand deposit accounts (as a percent)		6.36%
Due in one year or less (as a percent)	2.73%	3.12%
Due after one year through two years (as a percent)	1.95%	2.06%
Due after two years through three years (as a percent)	1.92%	2.11%
Due after three years through four years (as a percent)	2.90%	2.78%
Due after four years through five years (as a percent)	2.89%	2.76%
Thereafter (as a percent)	2.70%	2.72%
Total par value (as a percent)	2.56%	2.83%
Percentage of Total
Due in one year or less (as a percent)	59.39%	59.47%
Due after one year through two years (as a percent)	14.31%	13.89%
Due after two years through three years (as a percent)	9.36%	7.08%
Due after three years through four years (as a percent)	6.84%	7.95%
Due after four years through five years (as a percent)	4.17%	5.24%
Thereafter (as a percent)	5.93%	6.37%
Total par value (as a percent)	100.00%	100.00%

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Advances. - Credit Risk, Concentration of Advances Outstanding and Security Terms (Details) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2024 USD ($) item Institution	Mar. 31, 2023 Institution	Dec. 31, 2023 USD ($) Institution
Segment Information and Concentration
Past due advances	$ 0
Advances on non-accrual status	0
Impaired advances	0
Troubled debt restructurings related to advances	$ 0		$ 0
Security Terms
Number of exceptions | item	2
Par Value of Advances | Credit concentration risk | Top ten advance holders
Segment Information and Concentration
Number of borrowing member institutions | Institution	10	10	10
Concentration risk percentage	76.77%	72.91%	74.21%
Par Value of Advances | Credit concentration risk | Insurance companies
Segment Information and Concentration
Concentration risk percentage	35.70%		34.30%
Advances to member banks
Segment Information and Concentration
Credit loss allowance	$ 0

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Mortgage Loans Held-for-Portfolio. - Balance Information and Roll-Forward Analysis of Allowance for Credit Losses (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023	Dec. 31, 2023	Dec. 31, 2021
Allowance for credit losses:
Provision (Reversal) for credit losses on mortgage loans	$ (416)	$ 93
Mortgage receivables
Mortgage Loans Held-for-Portfolio, Net
Total par value	2,160,957		$ 2,150,380
Allowance for credit losses	(2,885)		(3,301)
Mortgage loans held for portfolio, net	2,191,240		2,179,766
Allowance for credit losses:
Beginning Balance	3,301
Ending Balance	2,885
Conventional Loans
Mortgage Loans Held-for-Portfolio, Net
Total mortgage loans amortized cost	2,069,238		2,055,920
Allowance for credit losses	(2,885)	(1,776)	(3,301)	$ (1,911)
Allowance for credit losses:
Beginning Balance	3,301
Provision (Reversal) for credit losses on mortgage loans	(416)	(135)
Ending Balance	2,885	$ 1,776
Conventional Loans | Mortgage receivables
Mortgage Loans Held-for-Portfolio, Net
Total par value	$ 2,160,957		$ 2,150,380
Percentage of Total Par (as a percent)	100.00%		100.00%
Unamortized premiums	$ 35,465		$ 35,034
Unamortized discounts	(724)		(742)
Basis adjustment	(1,573)		(1,605)
Total mortgage loans amortized cost	2,194,125		2,183,067
Allowance for credit losses	(2,885)		(3,301)
Mortgage loans held for portfolio, net	1,700,000		1,700,000
Allowance for credit losses:
Beginning Balance	3,301
Ending Balance	2,885
Conventional Loans | Fixed medium-term mortgages | Single-family
Mortgage Loans Held-for-Portfolio, Net
Total par value	$ 103,938		$ 106,860
Percentage of Total Par (as a percent)	4.81%		4.97%
Conventional Loans | Fixed long-term mortgages | Single-family
Mortgage Loans Held-for-Portfolio, Net
Total par value	$ 2,057,019		$ 2,043,520
Percentage of Total Par (as a percent)	95.19%		95.03%
MAP loans held-for-portfolio | Mortgage receivables
Mortgage Loans Held-for-Portfolio, Net
Mortgage loans held for portfolio, net	$ 500,000		$ 500,000

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Mortgage Loans Held-for-Portfolio. - Additional Information (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023	Dec. 31, 2023
Mortgage Loans Held-for-Portfolio, Net
Credit enhancement fees accrued	$ 400	$ 400
First layer of potential credit losses (as a percent)	1.00%
First Loss Account	$ 41,600		$ 43,100
Liability in respect of member performance account for PFIs	$ 7,900		7,200
Percentage of standard credit enhancement, loan funded	1.50%
Accrued interest receivable	$ 647,563		581,608
Pools of Mortgages
Mortgage Loans Held-for-Portfolio, Net
Allowance for credit losses on mortgage loans	(2,900)
Accrued interest receivable	$ 11,900		11,500
Minimum
Mortgage Loans Held-for-Portfolio, Net
Loan-to-value ratio for next layer of protection from the primary mortgage insurance required for loans (as a percent)	80.00%
Mortgage receivables
Mortgage Loans Held-for-Portfolio, Net
Allowance for credit losses on mortgage loans	$ (2,885)		(3,301)
Mortgage loans held for portfolio, net	2,191,240		2,179,766
Mortgage receivables | MAP loans held-for-portfolio
Mortgage Loans Held-for-Portfolio, Net
Mortgage loans held for portfolio, net	$ 500,000		$ 500,000

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Mortgage Loans Held-for-Portfolio. - Risk Elements and Credit Losses (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023	Mar. 31, 2023	Dec. 31, 2021
Conventional Loans
Mortgage Loans Held-for-Portfolio.
Allowance for credit losses	$ 2,885	$ 3,301	$ 1,776	$ 1,911
Mortgage receivables
Mortgage Loans Held-for-Portfolio.
Average loans outstanding during the period	2,158,497	2,106,517
Mortgage loans held for portfolio	2,160,957	2,150,380
Non-accrual loans	4,654	5,895
Allowance for credit losses	$ 2,885	$ 3,301
Ratio of allowance for credit losses to mortgage loans held for portfolio	0.134%	0.154%
Ratio of non-accrual loans to mortgage loans held for portfolio	0.215%	0.274%
Ratio of allowance for credit losses to non-accrual loans	62.004%	56.007%
Mortgage receivables | Conventional Loans
Mortgage Loans Held-for-Portfolio.
Mortgage loans held for portfolio	$ 2,160,957	$ 2,150,380
Allowance for credit losses	2,885	3,301
Mortgage receivables | Conventional Loans | Non-performing
Mortgage Loans Held-for-Portfolio.
Mortgage loans held for portfolio	$ 4,654	$ 5,895

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Mortgage Loans Held-for-Portfolio. - Non-performing Loans and Impaired Loans Individually Measured for Impairment (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2024	Dec. 31, 2023
MAP loans held-for-portfolio
Mortgage Loans - Non-performing loans
Impaired loans	$ 0	$ 0
MAP loans held-for-portfolio | Past due 90 days or more
Mortgage Loans - Non-performing loans
Total Mortgage loans, carrying values net	0	0
Mortgage receivables
Mortgage Loans - Non-performing loans
Total Mortgage loans, carrying values net	2,191,240	2,179,766
Total unpaid principal balance	2,160,957	2,150,380
Non-accrual loans	$ 4,654	$ 5,895
Delinquency period	180 days	180 days
Unpaid Principal Balance for Impaired Loans
Total unpaid principal balance for impaired loans	$ 2,160,957	$ 2,150,380
Mortgage receivables | Conventional Loans
Mortgage Loans - Non-performing loans
Total Mortgage loans, carrying values net	1,700,000	1,700,000
Total unpaid principal balance	2,160,957	2,150,380
Unpaid Principal Balance for Impaired Loans
Total unpaid principal balance for impaired loans	2,038,005	2,025,225
Mortgage receivables | Conventional Loans | Non-performing
Mortgage Loans - Non-performing loans
Total unpaid principal balance	4,654	5,895
Mortgage receivables | Conventional Loans | Individually measured for impairment
Unpaid Principal Balance for Impaired Loans
Unpaid principal balance with no related allowance	338,647	321,544
Unpaid principal balance with a related allowance	1,211,477	1,262,122
Total unpaid principal balance for impaired loans	1,550,124	1,583,666
Related Allowance for Impaired Loans
No related allowance	0	0
Allowance for loan losses for impaired loans	(2,885)	(3,301)
Amortized cost after allowance for Impaired Loans
Amortized cost after allowance with no related allowance	342,711	325,428
Amortized cost after allowance with a related allowance	1,227,441	1,278,547
Total amortized cost after allowance for impaired loans	1,570,152	1,603,975
Average amortized cost after allowance for Impaired Loans
Average amortized cost after allowance with no related allowance	334,311	615,113
Average amortized cost after allowance with a related allowance	1,246,361	1,051,418
Total average amortized cost after allowance for impaired loans	1,580,672	1,666,531
Mortgage receivables | MAP loans held-for-portfolio
Mortgage Loans - Non-performing loans
Total Mortgage loans, carrying values net	500,000	500,000
Mortgage receivables | Government-guaranteed or -insured mortgage loans
Unpaid Principal Balance for Impaired Loans
Total unpaid principal balance for impaired loans	122,952	125,155
Mortgage receivables | Insured Loans | Past due 90 days or more
Mortgage Loans - Non-performing loans
Insured MPF loans past due 90 days or more and still accruing interest	$ 4,268	$ 4,967
Mortgage receivables | Uninsured loans | Minimum
Average amortized cost after allowance for Impaired Loans
Period past due for interest received on loan to be recorded as a liability	90 days	90 days

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Mortgage Loans Held-for-Portfolio. - Credit Quality Indicator for Conventional Mortgage Loans (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Conventional Loans
Amortized Cost
Amount due	$ 2,069,238	$ 2,055,920
Conventional Loans | Past due 30 - 59 days
Amortized Cost
Amount due	11,874	10,880
Conventional Loans | Past due 60 - 89 days
Amortized Cost
Amount due	2,802	1,693
Conventional Loans | Past due 90 days or more
Amortized Cost
Amount due	4,677	5,914
Conventional Loans | Total past due
Amortized Cost
Amount due	19,353	18,487
Conventional Loans | Current
Amortized Cost
Amount due	2,049,885	2,037,433
Conventional Loan Originated Prior to 2020
Amortized Cost
Amount due	1,197,687
Conventional Loan Originated Prior to 2020 | Past due 30 - 59 days
Amortized Cost
Amount due	9,077
Conventional Loan Originated Prior to 2020 | Past due 60 - 89 days
Amortized Cost
Amount due	2,097
Conventional Loan Originated Prior to 2020 | Past due 90 days or more
Amortized Cost
Amount due	4,503
Conventional Loan Originated Prior to 2020 | Total past due
Amortized Cost
Amount due	15,677
Conventional Loan Originated Prior to 2020 | Current
Amortized Cost
Amount due	1,182,010
Conventional Loan Originated Prior to 2019
Amortized Cost
Amount due		937,905
Conventional Loan Originated Prior to 2019 | Past due 30 - 59 days
Amortized Cost
Amount due		6,599
Conventional Loan Originated Prior to 2019 | Past due 60 - 89 days
Amortized Cost
Amount due		1,403
Conventional Loan Originated Prior to 2019 | Past due 90 days or more
Amortized Cost
Amount due		5,645
Conventional Loan Originated Prior to 2019 | Total past due
Amortized Cost
Amount due		13,647
Conventional Loan Originated Prior to 2019 | Current
Amortized Cost
Amount due		924,258
Conventional Loan Originated 2020 to 2024
Amortized Cost
Amount due	871,551
Conventional Loan Originated 2020 to 2024 | Past due 30 - 59 days
Amortized Cost
Amount due	2,797
Conventional Loan Originated 2020 to 2024 | Past due 60 - 89 days
Amortized Cost
Amount due	705
Conventional Loan Originated 2020 to 2024 | Past due 90 days or more
Amortized Cost
Amount due	174
Conventional Loan Originated 2020 to 2024 | Total past due
Amortized Cost
Amount due	3,676
Conventional Loan Originated 2020 to 2024 | Current
Amortized Cost
Amount due	$ 867,875
Conventional Loan Originated 2019 to 2023
Amortized Cost
Amount due		1,118,015
Conventional Loan Originated 2019 to 2023 | Past due 30 - 59 days
Amortized Cost
Amount due		4,281
Conventional Loan Originated 2019 to 2023 | Past due 60 - 89 days
Amortized Cost
Amount due		290
Conventional Loan Originated 2019 to 2023 | Past due 90 days or more
Amortized Cost
Amount due		269
Conventional Loan Originated 2019 to 2023 | Total past due
Amortized Cost
Amount due		4,840
Conventional Loan Originated 2019 to 2023 | Current
Amortized Cost
Amount due		$ 1,113,175

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Mortgage Loans Held-for-Portfolio. - Recorded Investments in Loans Past Due (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2024	Dec. 31, 2023
Other delinquency statistics:
Loans in process of foreclosure	$ 5,129	$ 5,201
Serious delinquency rate (as a percent)	0.42%	0.51%
Past due 90 days or more and still accruing interest	$ 4,339	$ 5,041
Loans on non-accrual status	$ 4,677	$ 5,914
Delinquency period	90 days	90 days
Conventional MPF Loans
Other delinquency statistics:
Loans in process of foreclosure	$ 2,552	$ 2,153
Serious delinquency rate (as a percent)	0.31%	0.37%
Loans on non-accrual status	$ 4,677	$ 5,914
Insured Loans
Other delinquency statistics:
Loans in process of foreclosure	$ 2,577	$ 3,048
Serious delinquency rate (as a percent)	3.56%	4.03%
Past due 90 days or more and still accruing interest	$ 4,339	$ 5,041
MAP loans held-for-portfolio
Other delinquency statistics:
Loans in process of foreclosure	$ 0	$ 0

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Deposits. - Additional Information (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2024	Dec. 31, 2023
Interest-bearing deposits
Deposits	$ 2,778,512	$ 3,481,853
FHLBNY
Interest-bearing deposits
Deposits	2,800,000	$ 3,500,000
Increase in deposits	$ (700,000)
Increase in deposits (as a percent)	(20.20%)
Interest-bearing demand and overnight deposits as percentage of deposits	99.70%	99.70%
Average balances of demand and overnight deposits	$ 2,700,000	$ 3,000,000
Weighted-average interest rates paid on demand and overnight deposits	5.22%	4.23%

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Deposits - Summary and Interest rate payment terms. (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2024	Dec. 31, 2023
Interest-bearing deposits
Interest-bearing demand	$ 2,770,619	$ 3,472,477
Total interest-bearing deposits	2,770,619	3,472,477
Non-interest-bearing demand	7,893	9,376
Total deposits	$ 2,778,512	$ 3,481,853
Interest rate for interest-bearing demand	5.22%	4.23%
Interest rate, all interest-bearing deposits	5.22%	4.23%

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Consolidated Obligations. - Summary of Issued and Outstanding Consolidated Obligations (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Summary of Consolidated obligations issued by the Bank and outstanding
Total Consolidated obligation bonds	$ 92,533,788	$ 97,569,062
Total Consolidated obligation discount notes	54,880,897	47,906,908
Consolidated obligation bonds
Summary of Consolidated obligations issued by the Bank and outstanding
Consolidated obligation bonds-amortized cost	93,726,331	98,702,143
Hedge valuation basis adjustments	(1,195,856)	(1,126,343)
Hedge basis adjustments on de-designated hedges	105,432	106,686
FVO - valuation adjustments and accrued interest	(102,119)	(113,424)
Total Consolidated obligation bonds	92,533,788	97,569,062
Consolidated obligation discount notes
Summary of Consolidated obligations issued by the Bank and outstanding
Discount notes-amortized cost	54,939,651	47,914,413
Hedge basis adjustments on de-designated hedges	(924)	(142)
Hedge value basis adjustments	(57,830)	(7,363)
FVO - valuation adjustments and remaining accretion	0	0
Total Consolidated obligation discount notes	$ 54,880,897	$ 47,906,908

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Consolidated Obligations. - Redemption Terms of Consolidated Obligation Bonds (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Amount
Total Consolidated obligation bonds	$ 92,533,788	$ 97,569,062
Consolidated obligation bonds
Amount
One year or less	49,719,985	58,048,915
Over one year through two years	22,281,760	14,958,980
Over two years through three years	9,594,955	12,220,155
Over three years through four years	3,614,380	4,992,385
Over four years through five years	4,357,365	3,977,705
Thereafter	4,104,745	4,447,450
Total par value	93,673,190	98,645,590
Bond premiums	78,070	81,218
Bond discounts	(24,929)	(24,665)
Hedge valuation basis adjustments	(1,195,856)	(1,126,343)
Hedge basis adjustments on de-designated hedges	105,432	106,686
FVO - valuation adjustments and accrued interest	(102,119)	(113,424)
Total Consolidated obligation bonds	$ 92,533,788	$ 97,569,062
Weighted Average Rate
One year or less, Weighted Average Rate (as a percent)	4.50%	4.67%
Over one year through two years, Weighted Average Rate (as a percent)	3.57%	3.48%
Over two years through three years, Weighted Average Rate (as a percent)	2.15%	1.67%
Over three years through four years, Weighted Average Rate (as a percent)	3.22%	2.62%
Over four years through five years, Weighted Average Rate (as a percent)	3.49%	3.36%
Thereafter, Weighted Average Rate (as a percent)	3.32%	3.16%
Total par value, Weighted Average Rate (as a percent)	3.89%	3.89%
Percentage of Total
One year or less, Percentage of Total (as a percent)	53.08%	58.85%
Over one year through two years, Percentage of Total (as a percent)	23.79%	15.16%
Over two years through three years, Percentage of Total (as a percent)	10.24%	12.39%
Over three years through four years, Percentage of Total (as a percent)	3.86%	5.06%
Over four years through five years, Percentage of Total (as a percent)	4.65%	4.03%
Thereafter, Percentage of Total (as a percent)	4.38%	4.51%
Total par value, Percentage of Total (as a percent)	100.00%	100.00%
Debt maturity | Consolidated obligation bonds
Amount
Hedge basis adjustments on de-designated hedges	$ 0	$ 0

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Consolidated Obligations. - Interest Rate Payment Terms of Consolidated Obligation Bonds (Details) - Consolidated obligation bonds - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Interest rate payment terms
Total par value	$ 93,673,190	$ 98,645,590
Total par value, Percentage of Total (as a percent)	100.00%	100.00%
Fixed-rate, non-callable
Interest rate payment terms
Total par value	$ 33,065,060	$ 33,066,960
Total par value, Percentage of Total (as a percent)	35.30%	33.52%
Fixed-rate, callable
Interest rate payment terms
Total par value	$ 26,073,130	$ 35,735,130
Total par value, Percentage of Total (as a percent)	27.83%	36.23%
Step Up, callable
Interest rate payment terms
Total par value	$ 3,178,000	$ 3,473,000
Total par value, Percentage of Total (as a percent)	3.39%	3.52%
Step Down, callable
Interest rate payment terms
Total par value	$ 52,000	$ 52,000
Total par value, Percentage of Total (as a percent)	0.06%	0.05%
Floating rate, callable
Interest rate payment terms
Total par value		$ 200,000
Total par value, Percentage of Total (as a percent)		0.20%
Single-index floating rate
Interest rate payment terms
Total par value	$ 31,305,000	$ 26,118,500
Total par value, Percentage of Total (as a percent)	33.42%	26.48%

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Consolidated Obligations. - Outstanding Consolidated Obligation Discount Notes (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2024	Dec. 31, 2023
Discount Notes
Total Consolidated obligation discount notes	$ 54,880,897	$ 47,906,908
Consolidated obligation discount notes
Discount Notes
Par value	56,110,580	48,657,920
Amortized cost	54,939,651	47,914,413
Hedge value basis adjustments (a)	(57,830)	(7,363)
Hedge basis adjustments on de-designated hedges (b)	(924)	(142)
FVO - valuation adjustments and remaining accretion (c)	0	0
Total Consolidated obligation discount notes	$ 54,880,897	$ 47,906,908
Weighted average interest rate (as a percent)	4.98%	5.17%
Consolidated obligation discount notes | Debt maturity
Discount Notes
Hedge basis adjustments on de-designated hedges (b)	$ 0	$ 0
Consolidated obligation discount notes | Maximum
Discount Notes
Original maturity	1 year	1 year

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Affordable Housing Program. - Changes in Liabilities (Details) - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2024	Mar. 31, 2023
Changes in Affordable Housing Program liabilities
Beginning balance		$ 187,027	$ 131,394
Additions from current period's assessments		24,517	22,073
Net disbursements for grants and programs	[1]	(10,343)	(9,670)
Ending balance		$ 201,201	$ 143,797

[1] AHP payments equals beginning accrual minus ending accrual plus AHP assessment for the period; payments represent funds released to the Affordable Housing Program.

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Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. - Capital Stock and Capital Rules (Details) $ / shares in Units, $ in Thousands	3 Months Ended
	Mar. 31, 2024 USD ($) item $ / shares	Dec. 31, 2023 USD ($) $ / shares
Details of capital stock
Stated par value of capital stock (in dollars per share) | $ / shares	$ 100	$ 100
Capital stock	$ 5,986,463	$ 6,049,570
Capital requirements that the Company is subject to under its capital plan | item	3
Required capital-to-asset ratio (as a percent)	4.00%	4.00%
Minimum leverage ratio (as a percent)	5.00%	5.00%
Weighting factor applicable to the permanent capital used in determining compliance with minimum leverage ratio	1.5
Weighting factor applicable to the non-permanent capital used in determining compliance with minimum leverage ratio	1.0
Class B capital stock
Details of capital stock
Sub-classes of class of capital stock | item	2
Notice period required for stock redemption	5 years
Capital stock	$ 6,000,000	$ 6,000,000
Common Class B Membership capital stock
Details of capital stock
Capital stock purchase requirement for membership as a percentage of members' mortgage-related assets	0.125%
Membership stock repurchased by the bank	$ 50,000
Common Class B Activity based capital stock
Details of capital stock
Capital stock purchase requirement for membership as a percentage of member's borrowed amount for advances and mortgage loans.	4.50%
Capital stock purchase requirement for membership as a percentage of member's borrowed amount on letters of credit	0.125%

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Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. - Risk-based Capital (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings.
Risk-based capital, Required	$ 1,179,725	$ 1,364,264
Risk-based capital, Actual	$ 8,408,140	$ 8,394,453
Total capital-to-asset ratio, Required (as a percent)	4.00%	4.00%
Total capital-to-asset ratio, Actual (as a percent)	5.27%	5.30%
Total capital, Required	$ 6,385,194	$ 6,333,328
Total capital, Actual	$ 8,408,140	$ 8,394,453
Leverage ratio, Required (as a percent)	5.00%	5.00%
Leverage ratio, Actual (as a percent)	7.90%	7.95%
Leverage capital, Required	$ 7,981,493	$ 7,916,660
Leverage capital, Actual	$ 12,612,210	$ 12,591,679
Multiplier applied to actual "Risk-based capital" to derive actual "Leverage capital"	1.5	1.5

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Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. - Anticipated Redemptions of Mandatorily Redeemable Capital Stock (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023	Mar. 31, 2023	Dec. 31, 2022
Anticipated redemption of mandatorily redeemable capital stock
Redemption less than one year	$ 2,620	$ 3,070
Redemption from one year to less than three years	2,472	2,427
Redemption from three years to less than five years	525	732
Redemption from five years or greater	957	990
Total	$ 6,574	$ 7,219	$ 5,640	$ 4,578

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Capital Stock, Mandatorily Redeemable Capital Stock and Restricted Retained Earnings. - Changes in Mandatorily Redeemable Capital Stock Liabilities and Restricted Retained Earnings (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023	Dec. 31, 2023
Changes in mandatorily redeemable capital stock liabilities during the period
Beginning balance	$ 7,219	$ 4,578
Capital stock subject to mandatory redemption reclassified from equity		1,470
Redemption of mandatorily redeemable capital stock	(645)	(408)
Ending balance	6,574	5,640
Accrued interest payable	$ 162	$ 104
Annualized accrual rates for the period (as a percent)	9.75%	7.50%
Restricted Retained Earnings
Percentage of net income each FHLBank is required to contribute to a restricted retained earnings account until the balance of that account equals at least one percent of average balance of outstanding consolidated obligations	20.00%
Minimum percentage of FHLBank's average balance of outstanding consolidated obligations for restricted retained earnings	1.00%
Restricted retained earnings	$ 1,105,179		$ 1,061,081

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Earnings Per Share of Capital. (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023
Earnings Per Share of Capital.
Number of dilutive potential common shares or other common stock equivalents	0	0
Net income	$ 220,491	$ 198,544
Net income available to stockholders	$ 220,491	$ 198,544
Weighted average shares of capital (in shares)	61,780	63,954
Less: Mandatorily redeemable capital stock (in shares)	(67)	(56)
Average number of shares of capital used to calculate earnings per share (in shares)	61,713	63,898
Basic earnings per share (in dollars per share)	$ 3.57	$ 3.11

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Employee Retirement Plans. - Plan Information and Expenses Summary (Details) $ in Thousands	3 Months Ended
	Mar. 31, 2024 USD ($) plan	Mar. 31, 2023 USD ($)
Employee retirement plan expenses
Total retirement plan expenses	$ 6,372	$ 5,499
Benefit Equalization Plans (BEP)
Employee retirement plans
Number of plans | plan	2
Pentegra Defined Benefit Plan
Employee retirement plan expenses
Total retirement plan expenses	$ 3,025	3,100
Benefit Equalization Plans (defined benefit and defined contribution (including deferred incentive compensation))
Employee retirement plan expenses
Total retirement plan expenses	2,475	1,846
Pentegra Defined Contribution Plans
Employee retirement plan expenses
Total retirement plan expenses	853	806
Postretirement Health Benefit Plan
Employee retirement plan expenses
Total retirement plan expenses	$ 19	$ (253)

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Employee Retirement Plans. - Benefit Equalization Plan (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023
Components of the net periodic pension cost
Total retirement plan expenses	$ 6,372	$ 5,499
Other changes in benefit obligations recognized in AOCI
Total recognized in other comprehensive loss/(income)	(133)	348
Benefit Equalization plans - Thrift and Deferred incentive compensation plans
Components of the net periodic pension cost
Total retirement plan expenses	883	563
Benefit Equalization Plan (BEP) | Defined Benefit BEP
Components of the net periodic pension cost
Service cost	470	411
Interest cost	$ 925	$ 859
Defined Benefit Plan, Net Periodic Benefit Cost (Credit), Interest Cost, Statement of Income or Comprehensive Income [Extensible Enumeration]	Labor and Related Expense	Labor and Related Expense
Amortization of unrecognized net loss	$ 193
Defined Benefit Plan, Net Periodic Benefit (Cost) Credit, Amortization of Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration]	Labor and Related Expense	Labor and Related Expense
Amortization of unrecognized past service cost	$ 4	$ 13
Defined Benefit Plan, Net Periodic Benefit Cost (Credit), Amortization of Prior Service Cost (Credit), Statement of Income or Comprehensive Income [Extensible Enumeration]	Labor and Related Expense	Labor and Related Expense
Total retirement plan expenses	$ 1,592	$ 1,283
Benefit Equalization Plans (defined benefit and defined contribution (including deferred incentive compensation))
Components of the net periodic pension cost
Total retirement plan expenses	$ 2,475	$ 1,846

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Employee Retirement Plans. - Postretirement Health Benefit Plan (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023
Other changes in benefit obligations recognized in AOCI
Total recognized in other comprehensive loss/(income)	$ (133)	$ 348
Postretirement Health Benefit Plan
Postretirement Health Benefit Plan, eligibility requirements
Threshold term of service to be eligible under plan	10 years
Threshold age to be eligible under plan	55 years
Components of the net periodic pension cost
Service cost (benefits attributed to service during the period)	$ 3	7
Interest cost on accumulated postretirement health benefit obligation	$ 81	$ 102
Defined Benefit Plan, Net Periodic Benefit Cost (Credit), Interest Cost, Statement of Income or Comprehensive Income [Extensible Enumeration]	Labor and Related Expense	Labor and Related Expense
Amortization of (gain)/loss	$ (65)	$ (362)
Net periodic postretirement health benefit expense/(income)	$ 19	$ (253)

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Derivatives and Hedging Activities. - Derivative Notionals (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Hedging activities
Notional amount of derivatives	$ 187,127,195	$ 194,426,789
Interest rate swaps
Hedging activities
Notional amount of derivatives	186,960,063	194,257,512
Interest rate caps
Hedging activities
Notional amount of derivatives	150,000	150,000
Mortgage delivery commitments
Hedging activities
Notional amount of derivatives	17,132	19,277
Interest rate contracts
Hedging activities
Notional amount of derivatives	$ 187,127,195	$ 194,426,789

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Derivatives and Hedging Activities. - Nettable Gross and Net and Not Nettable Assets and Liabilities by Contract Type and Amount (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2024	Dec. 31, 2023
Derivative instruments - Nettable
Derivative fair values	$ 2,883,774	$ 2,557,460
Gross amounts of netting adjustments and cash collateral	(2,772,459)	(2,432,415)
Net amounts after offsetting adjustments and cash collateral	111,315	125,045
Derivative assets and liabilities
Total derivative assets and total derivative liabilities presented in the Statements of Condition	111,366	125,202
Non-cash collateral received or pledged
Security collateral pledged as initial margin to Derivative Clearing Organization	787,254	794,848
Uncleared derivatives securities received as Variation Margin	(85,903)	(96,191)
Total net amount of non-cash collateral received or repledged	701,351	698,657
Net unsecured amount
Total net exposure cash and non-cash	812,717	823,859
Derivative instruments - Nettable
Derivative fair values	3,524,152	3,256,442
Gross amounts of netting adjustments and cash collateral	(3,491,429)	(3,244,035)
Net amounts after offsetting adjustments and cash collateral	32,723	12,407
Derivative assets and liabilities
Total derivative assets and total derivative liabilities presented in the Statements of Condition	32,743	12,409
Net unsecured amount
Total net exposure cash and non-cash	32,743	12,409
Cash collateral received	16,930	10,960
Cash collateral posted	735,900	822,580
Mortgage delivery commitments
Net unsecured amount
Cash collateral received	0	0
Cash collateral posted	$ 0	$ 0
Mortgage delivery commitments | Maximum
Net unsecured amount
Period of forward mortgage delivery commitments	60 days	60 days
Uncleared derivatives
Derivative instruments - Nettable
Derivative fair values	$ 916,284	$ 792,408
Gross amounts of netting adjustments and cash collateral	(815,648)	(682,546)
Net amounts after offsetting adjustments and cash collateral	100,636	109,862
Derivative instruments - Not Nettable
Derivative instruments - not nettable	51	157
Derivative assets and liabilities
Total derivative assets and total derivative liabilities presented in the Statements of Condition	100,687	110,019
Net unsecured amount
Total net exposure cash and non-cash	14,784	13,828
Derivative instruments - Nettable
Derivative fair values	1,566,873	1,504,800
Gross amounts of netting adjustments and cash collateral	(1,534,618)	(1,494,166)
Net amounts after offsetting adjustments and cash collateral	32,255	10,634
Derivative instruments - Not Nettable
Derivative instruments - not nettable	20	2
Derivative assets and liabilities
Total derivative assets and total derivative liabilities presented in the Statements of Condition	32,275	10,636
Net unsecured amount
Total net exposure cash and non-cash	32,275	10,636
Uncleared - cannot be sold or repledged
Non-cash collateral received or pledged
Uncleared derivatives securities received as Variation Margin	(85,903)	(96,191)
Cleared derivatives
Derivative instruments - Nettable
Derivative fair values	1,967,490	1,765,052
Gross amounts of netting adjustments and cash collateral	(1,956,811)	(1,749,869)
Net amounts after offsetting adjustments and cash collateral	10,679	15,183
Derivative assets and liabilities
Total derivative assets and total derivative liabilities presented in the Statements of Condition	10,679	15,183
Net unsecured amount
Total net exposure cash and non-cash	797,933	810,031
Derivative instruments - Nettable
Derivative fair values	1,957,279	1,751,642
Gross amounts of netting adjustments and cash collateral	(1,956,811)	(1,749,869)
Net amounts after offsetting adjustments and cash collateral	468	1,773
Derivative assets and liabilities
Total derivative assets and total derivative liabilities presented in the Statements of Condition	468	1,773
Net unsecured amount
Total net exposure cash and non-cash	468	1,773
Cleared - can be sold or repledged
Non-cash collateral received or pledged
Security collateral pledged as initial margin to Derivative Clearing Organization	$ 787,254	$ 794,848

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Derivatives and Hedging Activities. - Outstanding Notional Balances and Estimated Fair Values of Derivatives Outstanding (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Summary of outstanding notional balances and estimated fair values of derivatives outstanding
Notional amount of derivatives	$ 187,127,195	$ 194,426,789
Derivative Assets
Total derivatives before netting and collateral adjustment	2,883,825	2,557,617
Netting adjustments	(2,755,529)	(2,421,455)
Cash collateral and related accrued interest	(16,930)	(10,960)
Total netting adjustments and cash collateral	(2,772,459)	(2,432,415)
Total derivative assets and total derivative liabilities presented in the Statements of Condition	111,366	125,202
Security collateral pledged as initial margin to Derivative Clearing Organization	787,254	794,848
Uncleared derivatives securities received as Variation Margin	(85,903)	(96,191)
Net security	701,351	698,657
Net exposure	812,717	823,859
Derivative Liabilities
Total derivatives before netting and collateral adjustment	3,524,172	3,256,444
Netting adjustments	(2,755,529)	(2,421,455)
Cash collateral and related accrued interest	(735,900)	(822,580)
Total netting adjustments and cash collateral	(3,491,429)	(3,244,035)
Total derivative assets and total derivative liabilities presented in the Statements of Condition	32,743	12,409
Interest rate swaps
Summary of outstanding notional balances and estimated fair values of derivatives outstanding
Notional amount of derivatives	186,960,063	194,257,512
Interest rate caps
Summary of outstanding notional balances and estimated fair values of derivatives outstanding
Notional amount of derivatives	150,000	150,000
Mortgage delivery commitments
Summary of outstanding notional balances and estimated fair values of derivatives outstanding
Notional amount of derivatives	17,132	19,277
Derivative Assets
Cash collateral and related accrued interest	0	0
Derivative Liabilities
Cash collateral and related accrued interest	0	0
Derivatives designated as hedging instruments under ASC 815
Summary of outstanding notional balances and estimated fair values of derivatives outstanding
Notional amount of derivatives	154,739,492	159,826,933
Derivative Assets
Total derivatives before netting and collateral adjustment	1,558,698	1,577,776
Derivative Liabilities
Total derivatives before netting and collateral adjustment	2,542,025	2,521,697
Derivatives designated as hedging instruments under ASC 815 | Interest rate swaps
Summary of outstanding notional balances and estimated fair values of derivatives outstanding
Notional amount of derivatives	154,739,492	159,826,933
Derivative Assets
Total derivatives before netting and collateral adjustment	1,558,698	1,577,776
Derivative Liabilities
Total derivatives before netting and collateral adjustment	2,542,025	2,521,697
Derivatives not designated as hedging instruments
Summary of outstanding notional balances and estimated fair values of derivatives outstanding
Notional amount of derivatives	32,387,703	34,599,856
Derivative Assets
Total derivatives before netting and collateral adjustment	1,325,127	979,841
Derivative Liabilities
Total derivatives before netting and collateral adjustment	982,147	734,747
Derivatives not designated as hedging instruments | Interest rate swaps
Summary of outstanding notional balances and estimated fair values of derivatives outstanding
Notional amount of derivatives	32,220,571	34,430,579
Derivative Assets
Total derivatives before netting and collateral adjustment	1,324,763	979,388
Derivative Liabilities
Total derivatives before netting and collateral adjustment	982,127	734,745
Derivatives not designated as hedging instruments | Interest rate caps
Summary of outstanding notional balances and estimated fair values of derivatives outstanding
Notional amount of derivatives	150,000	150,000
Derivative Assets
Total derivatives before netting and collateral adjustment	313	296
Derivatives not designated as hedging instruments | Mortgage delivery commitments
Summary of outstanding notional balances and estimated fair values of derivatives outstanding
Notional amount of derivatives	17,132	19,277
Derivative Assets
Total derivatives before netting and collateral adjustment	51	157
Derivative Liabilities
Total derivatives before netting and collateral adjustment	$ 20	$ 2

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Derivatives and Hedging Activities. - Summary of the gains (losses) on the FHLBNY's fair value hedges (Details) - Interest rate hedges - Fair value hedges - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023
Gains and losses from derivatives and hedging activities
Gains (losses) on derivatives in designated and qualifying fair value hedges:	$ 249,509	$ (81,760)
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration]	Gain (Loss) on Derivative Instruments, Net, Pretax	Gain (Loss) on Derivative Instruments, Net, Pretax
Interest Expense
Gains and losses from derivatives and hedging activities
Gains (losses) on hedged item in designated and qualifying fair value hedges:	$ (243,288)	$ 81,499

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Derivatives and Hedging Activities. - Cumulative hedge basis adjustments (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Carrying Amount of Hedged Assets	$ 54,255,394	$ 57,941,824
Hedged Asset, Statement of Financial Position [Extensible Enumeration]	Debt Securities, Available-for-Sale, Excluding Accrued Interest, Federal Home Loan Bank, Advance	Debt Securities, Available-for-Sale, Excluding Accrued Interest, Federal Home Loan Bank, Advance
Carrying Amount of Hedged Liabilities	$ 96,545,115	$ 99,825,459
Hedged Liability, Statement of Financial Position [Extensible Enumeration]	Federal Home Loan Bank, Consolidated Obligations, Bonds, Federal Home Loan Bank, Consolidated Obligations, Discount Notes	Federal Home Loan Bank, Consolidated Obligations, Bonds, Federal Home Loan Bank, Consolidated Obligations, Discount Notes
Active Hedging Relationship
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Assets	$ (1,766,501)	$ (1,402,493)
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Liabilities	1,253,685	1,133,706
Discontinued Hedging Relationship
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Assets		4
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Liabilities	(104,508)	(106,544)
Hedged advances
Carrying Amount of Hedged Assets	48,683,521	52,435,939
Hedged advances | Active Hedging Relationship
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Assets	(1,140,685)	(897,149)
Hedged advances | Discontinued Hedging Relationship
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Assets		4
Par amounts of de-designated advances		600,000
Hedged AFS debt securities
Carrying Amount of Hedged Assets	5,571,873	5,505,885
Hedged AFS debt securities | Active Hedging Relationship
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Assets	(625,816)	(505,344)
Hedged consolidated obligation bonds
Carrying Amount of Hedged Liabilities	47,169,081	55,750,100
Hedged consolidated obligation bonds | Active Hedging Relationship
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Liabilities	1,195,855	1,126,343
Hedged consolidated obligation bonds | Discontinued Hedging Relationship
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Liabilities	(105,432)	(106,686)
Par amounts of de-designated bonds	2,500,000	2,900,000
Hedged consolidated obligation discount notes
Carrying Amount of Hedged Liabilities	49,376,034	44,075,359
Hedged consolidated obligation discount notes | Active Hedging Relationship
Cumulative Fair Value Hedging Adjustment, Active Hedging Relationship, Liabilities	57,830	7,363
Hedged consolidated obligation discount notes | Discontinued Hedging Relationship
Cumulative Fair Value Hedging Adjustment, Discontinued Hedging Relationship, Liabilities	924	142
Par amounts of de-designated CO discount notes	$ 1,900,000	$ 900,000

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Derivatives and Hedging Activities. - Changes in AOCI from cash flow hedges (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023
Derivative instruments
Unrecognized losses in AOCI to be recognized over the next 12 months as a yield adjustment (expenses) to consolidated debt interest expense	$ (1,100)
Cash flow hedges | Interest rate contracts
Amount of gains (losses) reclassified from AOCI to earnings:
Amounts Recorded in OCI	17,064	$ (26,587)
Total Change in OCI for Period	17,351	(26,368)
Cash flow hedges | Interest rate contracts | Interest Expense
Amount of gains (losses) reclassified from AOCI to earnings:
Amount Reclassified from AOCI to Earnings	(287)	(219)
Cash Flow Hedges
Interest rate cash flow hedges
Amounts reclassified into earnings due to discontinuation of cash flow hedges	$ 0	$ 0

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Derivatives and Hedging Activities. - Economic Hedges (Details) - Economic hedges - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023
Gains and losses from derivatives and hedging activities
Total gains (losses) on derivatives in designated economic hedges	$ 87,606	$ (31,806)
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration]	Gain (Loss) on Derivative Instruments, Net, Pretax	Gain (Loss) on Derivative Instruments, Net, Pretax
Interest rate hedges
Gains and losses from derivatives and hedging activities
Total gains (losses) on derivatives in designated economic hedges	$ 87,676	$ (31,594)
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration]	Gain (Loss) on Derivative Instruments, Net, Pretax	Gain (Loss) on Derivative Instruments, Net, Pretax
Caps
Gains and losses from derivatives and hedging activities
Total gains (losses) on derivatives in designated economic hedges	$ 17	$ (239)
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration]	Gain (Loss) on Derivative Instruments, Net, Pretax	Gain (Loss) on Derivative Instruments, Net, Pretax
Mortgage delivery commitments
Gains and losses from derivatives and hedging activities
Total gains (losses) on derivatives in designated economic hedges	$ (87)	$ 27
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration]	Gain (Loss) on Derivative Instruments, Net, Pretax	Gain (Loss) on Derivative Instruments, Net, Pretax

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Fair Values of Financial Instruments. - Carrying Values, Estimated Fair Values and Levels within Fair Value Hierarchy (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023	Mar. 31, 2023	Dec. 31, 2022
Assets
Cash and due from banks	$ 46,433	$ 48,198
Interest-bearing deposits	2,805,000	1,945,000
Securities purchased under agreements to resell	5,670,000	7,820,000
Federal funds sold	13,745,000	9,640,000
Trading securities	5,850,389	5,886,421
Equity Investments	96,151	91,879
Available-for-sale securities	9,210,694	9,106,743
Held-to-maturity securities	11,568,359	11,531,901
Advances	107,163,563	108,890,128
Accrued interest receivable	647,563	581,608
Derivative assets	111,366	125,202
Derivative assets, before netting and cash collateral	2,883,825	2,557,617
Netting Adjustment and Cash Collateral	(2,772,459)	(2,432,415)
Liabilities
Consolidated obligations - Bonds	92,533,788	97,569,062
Consolidated obligations - Discount notes	54,880,897	47,906,908
Mandatorily redeemable capital stock	6,574	7,219	$ 5,640	$ 4,578
Accrued interest payable	681,348	716,021
Derivative liabilities	32,743	12,409
Derivative liabilities, before netting and cash collateral	3,524,172	3,256,444
Netting Adjustment and Cash Collateral	(3,491,429)	(3,244,035)
Carrying Value
Assets
Cash and due from banks	46,433	48,198
Interest-bearing deposits	2,805,000	1,945,000
Securities purchased under agreements to resell	5,670,000	7,820,000
Federal funds sold	13,745,000	9,640,000
Trading securities	5,850,389	5,886,421
Equity Investments	96,151	91,879
Available-for-sale securities	9,210,694	9,106,743
Held-to-maturity securities	11,948,409	11,869,328
Advances	107,163,563	108,890,128
Mortgage loans held-for-portfolio, net	2,191,240	2,179,766
Accrued interest receivable	647,563	581,608
Derivative assets	111,366	125,202
Other financial assets	256	378
Liabilities
Deposits	2,778,512	3,481,853
Consolidated obligations - Bonds	92,533,788	97,569,062
Consolidated obligations - Discount notes	54,880,897	47,906,908
Mandatorily redeemable capital stock	6,574	7,219
Accrued interest payable	681,348	716,021
Derivative liabilities	32,743	12,409
Estimated Fair Value
Assets
Cash and due from banks	46,433	48,198
Interest-bearing deposits	2,805,015	1,945,022
Securities purchased under agreements to resell	5,670,024	7,820,064
Federal funds sold	13,745,064	9,640,092
Trading securities	5,850,389	5,886,421
Equity Investments	96,151	91,879
Available-for-sale securities	9,210,694	9,106,743
Held-to-maturity securities	11,568,359	11,531,901
Advances	107,359,101	108,936,655
Mortgage loans held-for-portfolio, net	1,914,206	1,940,678
Accrued interest receivable	647,563	581,608
Derivative assets	111,366	125,202
Other financial assets	256	378
Liabilities
Deposits	2,778,554	3,481,961
Consolidated obligations - Bonds	91,839,331	96,836,586
Consolidated obligations - Discount notes	54,909,967	47,932,222
Mandatorily redeemable capital stock	6,574	7,219
Accrued interest payable	681,348	716,021
Derivative liabilities	32,743	12,409
Estimated Fair Value | Level 1
Assets
Cash and due from banks	46,433	48,198
Trading securities	5,850,389	5,886,421
Equity Investments	96,151	91,879
Liabilities
Mandatorily redeemable capital stock	6,574	7,219
Estimated Fair Value | Level 2
Assets
Interest-bearing deposits	2,805,015	1,945,022
Securities purchased under agreements to resell	5,670,024	7,820,064
Federal funds sold	13,745,064	9,640,092
Available-for-sale securities	7,983,604	7,878,505
Held-to-maturity securities	11,377,589	11,337,969
Advances	107,359,101	108,936,655
Mortgage loans held-for-portfolio, net	1,914,206	1,940,678
Accrued interest receivable	647,563	581,608
Derivative assets, before netting and cash collateral	2,883,825	2,557,617
Liabilities
Deposits	2,778,554	3,481,961
Consolidated obligations - Bonds	91,839,331	96,836,586
Consolidated obligations - Discount notes	54,909,967	47,932,222
Accrued interest payable	681,348	716,021
Derivative liabilities, before netting and cash collateral	3,524,172	3,256,444
Estimated Fair Value | Level 3
Assets
Available-for-sale securities	1,227,090	1,228,238
Held-to-maturity securities	190,770	193,932
Other financial assets	$ 256	$ 378

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Fair Values of Financial Instruments. - Fair Value Hierarchy Transfers, Valuation Techniques and Primary Inputs (Details) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2024 USD ($) item	Dec. 31, 2023 USD ($) item
Summary of Valuation Techniques and Primary Inputs
Asset transfers in/out of Level 1, Level 2 or Level 3	$ 0	$ 0
Liability transfers in/out of Level 1, Level 2 or Level 3	0	0
Credit adjustment to recorded fair value of Derivative assets	0	0
Credit adjustment to recorded fair value of Derivative liabilities	$ 0	$ 0
Minimum
Summary of Valuation Techniques and Primary Inputs
Maturity or repricing period of advances which requires a prepayment fee	6 months
Mortgage-backed securities (MBS) | Minimum
Summary of Valuation Techniques and Primary Inputs
Number of third-party vendors, price available subject to additional validation | item	0
Mortgage-backed securities (MBS) | Maximum
Summary of Valuation Techniques and Primary Inputs
Number of third-party vendors | item	3	3
Number of third-party vendors, price available subject to additional validation | item	1	1

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Fair Values of Financial Instruments. - Items Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023	Mar. 31, 2023	Dec. 31, 2022
Assets
Trading securities	$ 5,850,389	$ 5,886,421
Equity Investments	96,151	91,879
Available-for-sale securities	9,210,694	9,106,743
Derivative assets	111,315	125,045
Derivative assets	2,883,774	2,557,460
Netting Adjustment and Cash Collateral	(2,772,459)	(2,432,415)
Liabilities
Derivative liabilities	(32,723)	(12,407)
Derivative liabilities	(3,524,152)	(3,256,442)
Netting Adjustment and Cash Collateral	3,491,429	3,244,035
State and local housing finance agency obligations
Assets
Available-for-sale securities	1,227,090	1,228,238
U.S. Treasury Notes
Assets
Trading securities	5,850,389	5,886,421
Mortgage-backed securities (MBS)
Assets
Available-for-sale securities	7,983,604	7,878,505
Consolidated obligation - discount notes, fair value option
Liabilities
Consolidated obligations	0	0
Consolidated obligation - bonds, fair value option
Liabilities
Consolidated obligations	(2,891,846)	(3,780,541)	$ (4,206,355)	$ (4,159,862)
Measured on a recurring basis
Assets
Equity Investments	96,151	91,879
Netting Adjustment and Cash Collateral	(2,772,459)	(2,432,415)
Total recurring fair value measurement - Assets	15,268,600	15,210,245
Liabilities
Netting Adjustment and Cash Collateral	3,491,429	3,244,035
Total recurring fair value measurement - Liabilities	(2,924,589)	(3,792,950)
Measured on a recurring basis | Interest rate hedges
Assets
Derivative assets	111,315	125,045
Netting Adjustment and Cash Collateral	(2,772,459)	(2,432,415)
Liabilities
Derivative liabilities	(32,723)	(12,407)
Netting Adjustment and Cash Collateral	3,491,429	3,244,035
Measured on a recurring basis | Mortgage delivery commitments
Assets
Derivative assets	51	157
Liabilities
Derivative liabilities	(20)	(2)
Measured on a recurring basis | MBS-GSE
Assets
Available-for-sale securities	7,983,604	7,878,505
Measured on a recurring basis | State and local housing finance agency obligations
Assets
Available-for-sale securities	1,227,090	1,228,238
Measured on a recurring basis | U.S. Treasury Notes
Assets
Trading securities	5,850,389	5,886,421
Measured on a recurring basis | Consolidated obligation - bonds, fair value option
Liabilities
Consolidated obligations	(2,891,846)	(3,780,541)
Measured on a recurring basis | Level 1
Assets
Equity Investments	96,151	91,879
Total recurring fair value measurement - Assets	5,946,540	5,978,300
Measured on a recurring basis | Level 1 | U.S. Treasury Notes
Assets
Trading securities	5,850,389	5,886,421
Measured on a recurring basis | Level 2
Assets
Total recurring fair value measurement - Assets	10,867,429	10,436,122
Liabilities
Total recurring fair value measurement - Liabilities	(6,416,018)	(7,036,985)
Measured on a recurring basis | Level 2 | Interest rate hedges
Assets
Derivative assets	2,883,774	2,557,460
Liabilities
Derivative liabilities	(3,524,152)	(3,256,442)
Measured on a recurring basis | Level 2 | Mortgage delivery commitments
Assets
Derivative assets	51	157
Liabilities
Derivative liabilities	(20)	(2)
Measured on a recurring basis | Level 2 | MBS-GSE
Assets
Available-for-sale securities	7,983,604	7,878,505
Measured on a recurring basis | Level 2 | Consolidated obligation - bonds, fair value option
Liabilities
Consolidated obligations	(2,891,846)	(3,780,541)
Measured on a recurring basis | Level 3
Assets
Total recurring fair value measurement - Assets	1,227,090	1,228,238
Measured on a recurring basis | Level 3 | State and local housing finance agency obligations
Assets
Available-for-sale securities	$ 1,227,090	$ 1,228,238

XML

Fair Values of Financial Instruments. - Roll Forward of Level 3 Available-for-Sale Securities (Details) - Measured on a recurring basis - Available-for-Sale Securities. - State and local housing finance agency obligations - Level 3 - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023
Schedule of Available-for-sale Securities [Line Items]
Balance, beginning of the period	$ 1,228,238	$ 1,109,029
Total gains (losses) included in other comprehensive income Net unrealized gains (losses)	$ (1,148)	$ 480
Fair Value, Asset, Recurring Basis, Unobservable Input Reconciliation, Asset, Gain (Loss), Statement of Other Comprehensive Income or Comprehensive Income [Extensible Enumeration]	Other Comprehensive Income (Loss), Available-for-sale Securities Adjustment, before Tax, Portion Attributable to Parent	Other Comprehensive Income (Loss), Available-for-sale Securities Adjustment, before Tax, Portion Attributable to Parent
Balance, end of the period	$ 1,227,090	$ 1,109,509

XML

Fair Values of Financial Instruments. - Items Measured at Fair Value on a Non-recurring Basis (Details) - Measured on a nonrecurring basis $ in Thousands	Dec. 31, 2023 USD ($)
Assets recorded at fair value on a non-recurring basis
Real estate owned	$ 391
Total non-recurring assets at fair value	391
Level 3
Assets recorded at fair value on a non-recurring basis
Real estate owned	391
Total non-recurring assets at fair value	$ 391

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Fair Values of Financial Instruments. - Fair Value Option (Details) - USD ($) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2024	Mar. 31, 2023	Dec. 31, 2023
Activity related to financial instruments for which the Bank elected the fair value option
Net gains (losses) on financial instruments held under fair value option	$ (10,970)	$ (39,378)
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected
Net gains (losses) on financial instruments held under fair value option	(10,970)	(39,378)
Advances, fair value option
Fair Value Option Disclosures
Adjustments to fair values of assets recorded under fair value option for instrument-specific credit risk	0		$ 0
Consolidated obligation - bonds, fair value option
Activity related to financial instruments for which the Bank elected the fair value option
Balance, beginning of the period	(3,780,541)	(4,159,862)	(4,159,862)
Maturities and terminations	900,000		480,000
Net gains (losses) on financial instruments held under fair value option	(10,970)	(39,378)	(99,223)
Change in accrued interest/ unaccreted balance	(335)	(7,115)	(1,456)
Balance, end of the period	(2,891,846)	(4,206,355)	(3,780,541)
Change in fair value included in the Statements of Income for financial instruments for which the fair value option has been elected
Interest Expense	(18,042)	(22,671)
Net gains (losses) on financial instruments held under fair value option	(10,970)	(39,378)	(99,223)
Total Change in Fair Value Included in Current Period Earnings	(29,012)	(62,049)
Comparison of aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected
Aggregate Unpaid Principal Balance	2,993,965	4,373,965	3,893,965
Aggregate Fair Value	2,891,846	4,206,355	3,780,541
Fair Value Over/(Under) Aggregate Unpaid Principal Balance	(102,119)	$ (167,610)	(113,424)
Consolidated obligation - discount notes, fair value option
Activity related to financial instruments for which the Bank elected the fair value option
Balance, beginning of the period	0
Balance, end of the period	0		0
Comparison of aggregate fair value and aggregate remaining contractual principal balance outstanding of financial instruments for which the fair value option has been elected
Aggregate Fair Value	$ 0		$ 0

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Commitments and Contingencies. - Consolidated obligations (Details) - Obligations subject to joint and several liability - Affiliate - All other FHLBanks $ in Trillions	3 Months Ended
	Mar. 31, 2024 USD ($) Institution	Dec. 31, 2023 USD ($)
Commitments.
Joint and several liability, number of Federal Home Loan Banks unable to repay their participation in consolidated obligations, minimum | Institution	1
Consolidated obligations
Commitments.
Aggregate amount outstanding | $	$ 1.2	$ 1.2

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Commitments and Contingencies. - Affordable Housing Program (Details) $ in Millions	3 Months Ended		12 Months Ended
	Mar. 31, 2024 USD ($) Institution	Mar. 31, 2023 USD ($)	Dec. 31, 2023 USD ($)
Affordable Housing Program
Number of FHLBanks | Institution	11
Expected annual aggregate FHLBank contribution to the Affordable Housing Program	$ 100
Shortfall of expected aggregate annual contribution to the Affordable Housing Program	$ 0	$ 0	$ 0

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Commitments and Contingencies. - Summary of Contractual Obligations and Contingencies (Details) $ in Thousands	Mar. 31, 2024 USD ($)
Contractual obligations and commitments
Total	$ 172,518,025
Contractual Obligations
Contractual obligations and commitments
Total	150,002,329
Consolidated obligation bonds
Contractual obligations and commitments
Total	93,673,190
Consolidated obligation discount notes
Contractual obligations and commitments
Total	56,110,580
Mandatorily redeemable capital stock
Contractual obligations and commitments
Total	6,574
Financing lease
Contractual obligations and commitments
Total	2,498
Operating Lease | Premises
Contractual obligations and commitments
Total	75,612
Lease obligations | Remote backup site
Contractual obligations and commitments
Total	77
Other liabilities
Contractual obligations and commitments
Total	133,798
Other commitments
Contractual obligations and commitments
Total	22,515,696
Standby letters of credit
Contractual obligations and commitments
Total	22,326,273
Consolidated obligation bonds/discount notes traded not settled
Contractual obligations and commitments
Total	110,191
Commitments to fund additional advances
Contractual obligations and commitments
Total	50,000
Pentegra Defined Benefit Plan
Contractual obligations and commitments
Total	12,100
Open delivery commitments (MAP)
Contractual obligations and commitments
Total	$ 17,132

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Commitments and Contingencies. - Operating Lease (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023	Dec. 31, 2023
Assets and Liabilities
Right-of-use assets	$ 53,461		$ 54,862
Lease Liabilities	65,407		$ 67,021
Lease Expense and operating cash flows
Operating Lease Expense	1,952	$ 1,952
Operating cash flows - Cash Paid	$ 2,166	$ 2,153
Weighted Average Discount Rate	3.32%		3.32%
Weighted Average Remaining Lease Term	8 years 11 months 23 days		9 years 2 months 15 days
Operating lease liabilities
Remainder of Fiscal Year	$ 6,131
Year 1	8,088		$ 8,297
Year 2	8,142		8,088
Year 3	8,246		8,142
Year 4	8,566		8,246
Year 5			8,566
Thereafter			36,844
Thereafter	36,844
Total undiscounted lease payments	76,017		78,183
Imputed interest	(10,610)		(11,162)
Total operating lease liabilities	$ 65,407		$ 67,021
Maximum
Assets and Liabilities
Operating lease term of contract (in years)	15 years		15 years

XML

Commitments and Contingencies - Finance Lease (Details) - USD ($) $ in Thousands	Mar. 31, 2024	Dec. 31, 2023
Commitments.
Finance lease right-of-use asset	$ 2,199	$ 2,317
Finance lease liability	2,337	$ 2,320
Computer equipment
Commitments.
Lessee, finance lease, term of contract		5 years
Finance lease right-of-use asset	2,200	$ 2,300
Finance lease liability	$ 2,300	$ 2,300

XML

Related Party Transactions. - Summary of Activity and Outstanding Balances with Related Parties (Details) - USD ($) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2024	Mar. 31, 2023	Dec. 31, 2023	Dec. 31, 2022
Related Party Transactions
Debt assumed by FHLBNY from another FHLBank	$ 0	$ 0
Debt transferred to another FHLBNY	0	0
Advances transferred or sold by FHLBNY to another FHLBank	0	0	$ 0
Fees paid	20,492	17,705
Mortgage-backed securities acquired by FHLBNY from another FHLBank	0	0	0
Notional amounts outstanding	187,127,195		194,426,789
Overnight loans extended to other FHLBanks	$ 0	0
Borrowing period from other FHLBanks	1 day
Estimated annual lease receipts	$ 100
Compensating cash balance	15,000		15,000
Assets
Advances	107,163,563		108,890,128
Accrued interest receivable	647,563		581,608
Liabilities and capital
Deposits	2,778,512		3,481,853
Mandatorily redeemable capital stock	6,574	5,640	7,219	$ 4,578
Accrued interest payable	681,348		716,021
Affordable Housing Program	201,201	143,797	187,027	131,394
Capital	8,313,247	8,867,414	8,244,701	$ 8,347,383
Overnight loans
Related Party Transactions
Average borrowings from other FHLBanks		108,300,000
Borrowings from other FHLBanks	0	3,300,000
Affiliate | FHLBank of Chicago | MPF program services
Related Party Transactions
Purchases of mortgage loans, cumulative participations by other Federal Home Loan Banks	3,000		3,200
Fees paid	300	$ 300
Other Affiliates | Smaller members | Member Swaps Intermediation
Related Party Transactions
Notional amounts outstanding	3,000		18,000
Other Affiliates | Related Party
Assets
Advances	107,163,563		108,890,128
Accrued interest receivable	525,590		469,880
Liabilities and capital
Deposits	2,778,512		3,481,853
Mandatorily redeemable capital stock	6,574		7,219
Accrued interest payable	162		171
Affordable Housing Program	201,201		187,027
Capital	8,313,247		8,244,701
Other Affiliates | Citibank, N.A.
Related Party Transactions
Compensating cash balance	$ 15,000		$ 15,000

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Related Party Transactions. - Summary of Income and Expense Transactions with Related Parties (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2024	Mar. 31, 2023
Interest income
Advances	$ 1,608,245	$ 1,404,553
Interest-bearing deposits	48,280	46,035
Interest expense
Deposits	35,046	12,538
Mandatorily redeemable capital stock	170	113
Cash collateral held and other borrowings	172	1,434
Service fees and other	5,379	5,334
Other Affiliates | Related Party
Interest income
Advances	1,608,245	1,404,553
Interest-bearing deposits	3	4
Interest expense
Deposits	35,046	12,538
Mandatorily redeemable capital stock	170	113
Cash collateral held and other borrowings		1,239
Service fees and other	$ 5,587	$ 5,023

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Segment Information and Concentration. - Top Ten Advance Holders and Associated Interest Income (Details) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2024 USD ($) Institution	Mar. 31, 2023 USD ($) Institution	Dec. 31, 2023 USD ($) Institution
Segment Information and Concentration
Large member withdrawals which could significantly decrease assets, capital or business, minimum number | Institution	1
Advances
Par Advances	$ 108,312,855		$ 109,795,151
Interest Income	$ 1,608,245	$ 1,404,553
Par Value of Advances | Credit concentration risk | Top ten advance holders
Advances
Number of top advance holders reported for segment reporting | Institution	10	10	10
Par Advances	$ 83,151,679	$ 92,913,467	$ 81,480,276
Concentration risk percentage	76.77%	72.91%	74.21%
Par Value of Advances | Credit concentration risk | Citibank, N.A.
Advances
Par Advances	$ 15,500,000	$ 14,000,000	$ 19,500,000
Concentration risk percentage	14.31%	10.99%	17.76%
Par Value of Advances | Credit concentration risk | Flagstar Bank, N.A.
Advances
Par Advances	$ 21,350,000	$ 17,200,000	$ 17,850,000
Concentration risk percentage	19.71%	13.50%	16.26%
Par Value of Advances | Credit concentration risk | MetLife, Inc
Advances
Par Advances	$ 14,590,000	$ 15,290,000	$ 14,590,000
Concentration risk percentage	13.47%	12.00%	13.29%
Par Value of Advances | Credit concentration risk | Metropolitan Life Insurance Company
Advances
Par Advances	$ 13,035,000	$ 13,735,000	$ 13,035,000
Concentration risk percentage	12.03%	10.78%	11.87%
Par Value of Advances | Credit concentration risk | Metropolitan Tower Life Insurance Company
Advances
Par Advances	$ 1,555,000	$ 1,555,000	$ 1,555,000
Concentration risk percentage	1.44%	1.22%	1.42%
Par Value of Advances | Credit concentration risk | Signature Bridge Bank, N.A.
Advances
Par Advances		$ 10,183,738
Concentration risk percentage		7.99%
Par Value of Advances | Credit concentration risk | Equitable Financial Life Insurance Company
Advances
Par Advances	$ 7,165,063	$ 8,366,063	$ 7,615,063
Concentration risk percentage	6.62%	6.56%	6.93%
Par Value of Advances | Credit concentration risk | Teachers Ins. & Annuity Assoc of America
Advances
Par Advances	$ 8,034,800	$ 6,722,500	$ 7,035,500
Concentration risk percentage	7.41%	5.28%	6.41%
Par Value of Advances | Credit concentration risk | The Prudential Insurance Co. of America
Advances
Par Advances	$ 2,619,250		$ 2,619,250
Concentration risk percentage	2.42%		2.39%
Par Value of Advances | Credit concentration risk | Guardian Life Insurance Co. of America
Advances
Par Advances	$ 1,673,605
Concentration risk percentage	1.55%
Par Value of Advances | Credit concentration risk | Valley National Bank
Advances
Par Advances	$ 2,624,804	$ 7,738,000	$ 2,539,804
Concentration risk percentage	2.42%	6.07%	2.31%
Par Value of Advances | Credit concentration risk | Kearny Bank
Advances
Par Advances			$ 1,667,500
Concentration risk percentage			1.52%
Par Value of Advances | Credit concentration risk | Goldman Sachs Bank USA
Advances
Par Advances		$ 4,400,000
Concentration risk percentage		3.45%
Par Value of Advances | Credit concentration risk | Manufacturers and Traders Trust Company
Advances
Par Advances	$ 6,500,157	$ 6,000,166	$ 5,000,159
Concentration risk percentage	6.00%	4.71%	4.55%
Par Value of Advances | Credit concentration risk | New York Life Insurance Company
Advances
Par Advances	$ 3,094,000	$ 3,013,000	$ 3,063,000
Concentration risk percentage	2.86%	2.36%	2.79%
Interest income, top ten advance holders | Member concentration | Top ten advance holders
Advances
Interest Income	$ 1,035,933	$ 816,886	$ 3,395,548
Concentration risk percentage	100.00%	100.00%	100.00%
Interest income, top ten advance holders | Member concentration | Citibank, N.A.
Advances
Interest Income	$ 258,696	$ 205,209	$ 984,342
Concentration risk percentage	24.98%	25.12%	28.99%
Interest income, top ten advance holders | Member concentration | Flagstar Bank, N.A.
Advances
Interest Income	$ 273,350	$ 151,904	$ 553,872
Concentration risk percentage	26.39%	18.60%	16.31%
Interest income, top ten advance holders | Member concentration | MetLife, Inc
Advances
Interest Income	$ 136,958	$ 115,653	$ 531,166
Concentration risk percentage	13.22%	14.16%	15.64%
Interest income, top ten advance holders | Member concentration | Metropolitan Life Insurance Company
Advances
Interest Income	$ 121,104	$ 103,871	$ 474,764
Concentration risk percentage	11.69%	12.72%	13.98%
Interest income, top ten advance holders | Member concentration | Metropolitan Tower Life Insurance Company
Advances
Interest Income	$ 15,854	$ 11,782	$ 56,402
Concentration risk percentage	1.53%	1.44%	1.66%
Interest income, top ten advance holders | Member concentration | Signature Bridge Bank, N.A.
Advances
Interest Income		$ 59,587
Concentration risk percentage		7.29%
Interest income, top ten advance holders | Member concentration | Equitable Financial Life Insurance Company
Advances
Interest Income	$ 92,024	$ 90,526	$ 403,051
Concentration risk percentage	8.88%	11.08%	11.87%
Interest income, top ten advance holders | Member concentration | Teachers Ins. & Annuity Assoc of America
Advances
Interest Income	$ 91,082	$ 63,162	$ 249,296
Concentration risk percentage	8.79%	7.73%	7.34%
Interest income, top ten advance holders | Member concentration | The Prudential Insurance Co. of America
Advances
Interest Income	$ 20,776		$ 83,396
Concentration risk percentage	2.01%		2.46%
Interest income, top ten advance holders | Member concentration | Guardian Life Insurance Co. of America
Advances
Interest Income	$ 11,170
Concentration risk percentage	1.08%
Interest income, top ten advance holders | Member concentration | Valley National Bank
Advances
Interest Income	$ 25,416	$ 38,000	$ 142,160
Concentration risk percentage	2.45%	4.65%	4.19%
Interest income, top ten advance holders | Member concentration | Kearny Bank
Advances
Interest Income			$ 73,652
Concentration risk percentage			2.17%
Interest income, top ten advance holders | Member concentration | Goldman Sachs Bank USA
Advances
Interest Income		$ 11,262
Concentration risk percentage		1.38%
Interest income, top ten advance holders | Member concentration | Manufacturers and Traders Trust Company
Advances
Interest Income	$ 99,078	$ 56,344	$ 278,246
Concentration risk percentage	9.56%	6.90%	8.19%
Interest income, top ten advance holders | Member concentration | New York Life Insurance Company
Advances
Interest Income	$ 27,383	$ 25,239	$ 96,367
Concentration risk percentage	2.64%	3.09%	2.84%

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Insider Trading Arrangements	3 Months Ended
	Mar. 31, 2024
Trading Arrangements, by Individual
Rule 10b5-1 Arrangement Adopted	false
Non-Rule 10b5-1 Arrangement Adopted	false
Rule 10b5-1 Arrangement Terminated	false
Non-Rule 10b5-1 Arrangement Terminated	false