Federal Home Loan Bank of New York

03/20/2026 | Press release | Distributed by Public on 03/20/2026 09:56

Annual Report for Fiscal Year Ending December 31, 2025 (Form 10-K)

Item 7A. Quantitative and Qualitative Disclosures about Market Risk.
Market Risk Management.Market risk or interest rate risk (IRR) is the risk of change to market value or future earnings due to a
change in the interest rate environment. IRR arises from the Banks operation due to maturity mismatches between interest rate
sensitive cash-flows of assets and liabilities. As the maturity mismatch increases so does the level of IRR. The Bank has opted to
retain a modest level of IRR which allows for the preservation of capital value while generating steady and predictable income.
Accordingly, the balance sheet consists of predominantly short-term instruments and assets and liabilities synthetically swapped to
floating-rate indices. A conservative and limited maturity gap profile of asset and liability positions protect our capital from changes in
value arising from a volatile interest rate environment.
The desired risk profile is primarily affected by the use of interest rate exchange agreements (Swaps) which the Bank uses to match
asset and liability index exposure. SOFR is 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 2024based on an anticipated market conditions and business strategy for 2025. 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 six term points 3-year and under (1-month, 3-month, 6-month, 1-year, 2-year and 3-year) is limited
to between +/-20 months through the 3-year term point and a cumulative limit of +/-30 months from the 5-year through 30-
year term points specific to the investment portfolio. Both of these quarterly observations are well within their limits.
Our portfolio, including derivatives, is tracked and the overall mismatch net of derivatives between assets and liabilities is summarized
by using a DOE measure. Our last five quarterly DOE results are shown in years in the table below:
Base Case DOE
-200bps DOE
-100bps DOE
+200bps DOE
December 31, 2025
1.63
1.25
1.33
2.17
September 30, 2025
1.34
1.00
1.08
1.90
June 30, 2025
0.56
0.47
0.56
1.07
March 31, 2025
0.67
0.51
0.62
1.09
December 31, 2024
0.50
0.28
0.39
1.04
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 repricing at the one-year point. This quarterly observation of the one-year cumulative repricing gap is provided in the table
below and all values are below 10 percent of assets, well within the limit:
One Year Re-pricing Gap
December 31, 2025
6.740 Billion
September 30, 2025
7.206 Billion
June 30, 2025
8.685 Billion
March 31, 2025
8.093 Billion
December 31, 2024
8.990 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 higher rate environment, the
Bank will be generating income sensitivity to larger down rate scenarios.
Sensitivity in the
-200bps Shock
Sensitivity in the
-100bps Shock
Sensitivity in the
+200bps Shock
December 31, 2025
5.53
%
2.82
%
(7.82)
%
September 30, 2025
5.15
%
2.73
%
(6.96)
%
June 30, 2025
-
%
(0.16)
%
(0.57)
%
March 31, 2025
0.35
%
0.32
%
1.56
%
December 31, 2024
1.28
%
0.96
%
(1.84)
%
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
in MVE
-100bps Change
in MVE
+200bps Change
in MVE
December 31, 2025
2.79
%
1.51
%
(3.73)
%
September 30, 2025
2.28
%
1.24
%
(3.10)
%
June 30, 2025
1.11
%
0.59
%
(1.51)
%
March 31, 2025
1.24
%
0.68
%
(1.65)
%
December 31, 2024
0.80
%
0.46
%
(1.46)
%
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 December 31, 2025
Six Months
or Less
More Than
Six Months to
One Year
More Than
One Year to
Three Years
More Than
Three Years to
Five Years
More Than
Five Years
Interest-earning assets:
Non-MBS investments
$32,418
$138
$1,550
$547
$1,746
Swaps hedging Non-MBS Investments
-
(900)
-
-
MBS investments
5,328
1,233
3,684
3,024
7,589
Swaps hedging MBS
7,945
-
(610)
(1,234)
(6,101)
Adjustable-rate loans and advances
32,701
-
-
-
Net investments, adjustable rate loans and advances
79,292
1,372
3,724
2,337
3,234
Liquidity trading portfolio
1,188
1,119
4,051
-
Swaps hedging investments
5,434
(1,130)
(4,054)
(250)
-
Net liquidity trading portfolio
6,622
(11)
(3)
(7)
-
Fixed-rate loans and advances
27,297
9,537
15,795
6,445
Swaps hedging fixed-rate advances
32,100
(9,563)
(15,467)
(6,383)
(687)
Net fixed-rate loans and advances
59,397
(26)
Total interest-earning assets
$145,311
$1,335
$4,049
$2,392
$3,236
Interest-bearing liabilities:
Deposits
$3,072
$-
$-
$-
$-
Discount notes
72,919
3,108
-
-
-
Swaps hedging discount notes
1,824
(2,792)
Net discount notes
74,743
Consolidated Obligation Bonds
FHLBank bonds
44,767
6,571
11,524
2,737
2,933
Swaps hedging bonds
15,920
(5,483)
(7,720)
(1,055)
(1,662)
Net FHLBank bonds
60,687
1,088
3,804
1,682
1,271
Total interest-bearing liabilities
$138,502
$1,404
$4,605
$1,752
$1,368
Post hedge gaps (a):
Periodic gap
$6,809
$(69)
$(556)
$640
$1,868
Cumulative gaps
$6,809
$6,740
$6,184
$6,824
$8,692
Interest Rate Sensitivity December 31, 2024
Six Months
or Less
More Than
Six Months to
One Year
More Than
One Year to
Three Years
More Than
Three Years to
Five Years
More Than
Five Years
Interest-earning assets:
Non-MBS investments
$24,685
$128
$424
$347
$1,331
MBS investments
5,228
2,858
4,044
7,410
Swaps hedging MBS
6,985
-
(50)
(1,033)
(5,902)
Adjustable-rate loans and advances
49,826
-
-
-
Net investments, adjustable rate loans and advances
86,724
3,232
3,359
2,839
Liquidity trading portfolio
-
2,364
2,780
2,332
-
Swaps hedging investments
7,578
(2,352)
(2,851)
(2,375)
-
Net liquidity trading portfolio
7,578
(71)
(43)
-
Fixed-rate loans and advances
25,743
4,215
16,526
8,336
1,784
Swaps hedging fixed-rate advances
30,076
(3,983)
(16,187)
(8,129)
(1,778)
Net fixed-rate loans and advances
55,819
Total interest-earning assets
$150,120
$1,145
$3,500
$3,522
$2,846
Interest-bearing liabilities:
Deposits
$2,415
$-
$-
$-
$-
Discount notes
64,535
3,321
-
-
-
Swaps hedging discount notes
1,684
(3,051)
Net discount notes
66,219
Consolidated Obligation Bonds
FHLBank bonds
46,598
4,562
20,229
6,373
3,454
Swaps hedging bonds
26,366
(4,156)
(17,764)
(2,724)
(1,722)
Net FHLBank bonds
72,964
2,465
3,650
1,732
Total interest-bearing liabilities
$141,598
$677
$3,247
$4,068
$1,899
Post hedge gaps (a):
Periodic gap
$8,522
$468
$253
$(545)
$947
Cumulative gaps
$8,522
$8,990
$9,243
$8,698
$9,645
(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.
Federal Home Loan Bank of New York published this content on March 20, 2026, and is solely responsible for the information contained herein. Distributed via EDGAR on March 20, 2026 at 15:56 UTC. If you believe the information included in the content is inaccurate or outdated and requires editing or removal, please contact us at [email protected]