v3.26.1
Derivatives and Hedging Activities
 6 Months Ended
Jun. 30, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives and Hedging Activities Note 17.    Derivatives and Hedging Activities.
The following table presents the FHLBNY’s derivative activities based on notional amounts (in thousands):
Derivative Notionals
Hedging Instruments Under ASC 815
June 30, 2026
December 31, 2025
Interest rate contracts
Interest rate swaps
$176,614,420
$197,819,179
Interest rate caps
1,750,000
1,000,000
Mortgage delivery commitments
80,373
36,458
Total interest rate contracts notionals
$178,444,793
$198,855,637
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):
June 30, 2026
December 31, 2025
Derivative
Assets
Derivative
Liabilities
Derivative
Assets
Derivative
Liabilities
Derivative instruments - nettable
Gross recognized amount
Uncleared derivatives
$389,895
$370,561
$366,860
$426,527
Cleared derivatives
1,304,890
1,272,393
1,364,582
1,333,517
Total gross recognized amount
1,694,785
1,642,954
1,731,442
1,760,044
Gross amounts of netting adjustments and cash collateral
Uncleared derivatives
(331,598)
(364,328)
(299,375)
(423,355)
Cleared derivatives
(1,271,447)
(1,271,447)
(1,332,600)
(1,332,600)
Total gross amounts of netting adjustments and cash collateral
(1,603,045)
(1,635,775)
(1,631,975)
(1,755,955)
Net amounts after offsetting adjustments and cash collateral
$91,740
$7,179
$99,467
$4,089
Uncleared derivatives
$58,297
$6,233
$67,485
$3,172
Cleared derivatives
33,443
946
31,982
917
Total net amounts after offsetting adjustments and cash collateral
$91,740
$7,179
$99,467
$4,089
Derivative instruments - not nettable
Uncleared derivatives (a)
$132
$42
$81
$8
Total derivative assets and total derivative liabilities
Uncleared derivatives
58,429
6,275
67,566
3,180
Cleared derivatives
33,443
946
31,982
917
Total derivative assets and total derivative liabilities presented in the
Statements of Condition (b)
$91,872
$7,221
$99,548
$4,097
Non-cash collateral received or pledged (c)
Can be sold or repledged
Security collateral pledged as initial margin to Derivative Clearing
Organization (d)
$843,961
$—
$845,578
$—
Cannot be sold or repledged
Uncleared derivatives securities received as Variation Margin
(48,793)
—
(55,831)
—
Total net amount of non-cash collateral received or repledged
$795,168
$—
$789,747
$—
Total net exposure cash and non-cash (e)
$887,040
$7,221
$889,295
$4,097
Net unsecured amount - Represented by:
Uncleared derivatives
$9,636
$6,275
$11,735
$3,180
Cleared derivatives
877,404
946
877,560
917
Total net exposure cash and non-cash (e)
$887,040
$7,221
$889,295
$4,097
(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):
June 30, 2026
Notional Amount
of Derivatives
Derivative       
Assets
Derivative
Liabilities
Fair value of derivative instruments (a)
Derivatives designated as hedging instruments under ASC 815
Interest rate swaps
$150,986,261
$1,241,860
$1,254,510
Total derivatives in hedging relationships under ASC 815
150,986,261
1,241,860
1,254,510
Derivatives not designated as hedging instruments
Interest rate swaps
25,628,159
449,950
388,444
Interest rate caps
1,750,000
2,975
—
Mortgage delivery commitments
80,373
132
42
Total derivatives not designated as hedging instruments
27,458,532
453,057
388,486
Total derivatives before netting and collateral adjustments
$178,444,793
$1,694,917
$1,642,996
Netting adjustments
$(1,576,815)
$(1,576,815)
Cash collateral and related accrued interest
(26,230)
(58,960)
Total netting adjustments and cash collateral
(1,603,045)
(1,635,775)
Total derivative assets and total derivative liabilities
$91,872
$7,221
Security collateral pledged as initial margin to Derivative Clearing Organization (b)
$843,961
Security collateral received from counterparty (b)
(48,793)
Net security
795,168
Net exposure
$887,040
December 31, 2025
Notional Amount
of Derivatives
Derivative 
Assets
Derivative
Liabilities
Fair value of derivative instruments (a)
Derivatives designated as hedging instruments under ASC 815
Interest rate swaps
$168,284,750
$1,390,505
$1,440,349
Total derivatives in hedging relationships under ASC 815
168,284,750
1,390,505
1,440,349
Derivatives not designated as hedging instruments
Interest rate swaps
29,534,429
339,938
319,695
Interest rate caps
1,000,000
999
—
Mortgage delivery commitments
36,458
81
8
Total derivatives not designated as hedging instruments
30,570,887
341,018
319,703
Total derivatives before netting and collateral adjustments
$198,855,637
$1,731,523
$1,760,052
Netting adjustments
$(1,610,805)
$(1,610,805)
Cash collateral and related accrued interest
(21,170)
(145,150)
Total netting adjustments and cash collateral
(1,631,975)
(1,755,955)
Total derivative assets and total derivative liabilities
$99,548
$4,097
Security collateral pledged as initial margin to Derivative Clearing Organization (b)
$845,578
Security collateral received from counterparty (b)
(55,831)
Net security
789,747
Net exposure
$889,295
(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)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 June 30, 2026 and December 31, 2025.
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 June 30,
Six months ended June 30,
2026
2025
2026
2025
Gains (losses) on derivatives in designated and
qualifying fair value hedges:
Interest rate hedges
$154,830
$(132,072)
$237,863
$(375,835)
Gains (losses) on hedged item in designated and
qualifying fair value hedges:
Interest rate hedges
$(160,322)
$134,615
$(237,825)
$372,584
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 rate, 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
The tables below present the carrying amount of FHLBNY’s assets and liabilities under active ASC 815 qualifying fair value hedges
at June 30, 2026 and December 31, 2025, 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):
June 30, 2026
Cumulative Fair Value Hedging Adjustment
Included in the Carrying Amount of Hedged 
Items Gains (Losses)
Carrying Amount of
Hedged Assets/
Liabilities (a)
Active Hedging
Relationship
Discontinued Hedging
Relationship
Assets:
Hedged advances
$58,555,969
$(386,447)
$—
Hedged AFS debt securities (a)
8,016,137
(456,983)
—
De-designated advances (b)
—
—
—
De-designated AFS debt securities (b)
—
—
(478)
$66,572,106
$(843,430)
$(478)
Liabilities:
Hedged consolidated obligation bonds
$25,567,798
$112,364
$—
Hedged consolidated obligation discount notes
56,930,586
37,079
—
De-designated consolidated obligation bonds (b)
—
—
(88,495)
De-designated consolidated obligation discount notes (b)
—
—
100
$82,498,384
$149,443
$(88,395)
December 31, 2025
Cumulative Fair Value Hedging Adjustment
Included in the Carrying Amount of Hedged 
Items Gains (Losses)
Carrying Amount of
Hedged Assets/
Liabilities (a)
Active Hedging
Relationship
Discontinued Hedging
Relationship
Assets:
Hedged advances
$58,543,501
$(149,229)
$—
Hedged AFS debt securities (a)
7,569,821
(363,372)
—
De-designated advances (b)
—
—
—
De-designated AFS debt securities (b)
—
—
(543)
$66,113,322
$(512,601)
$(543)
Liabilities:
Hedged consolidated obligation bonds
$30,187,853
$51,438
$—
Hedged consolidated obligation discount notes
70,452,246
7,377
—
De-designated consolidated obligation bonds (b)
—
—
(92,610)
De-designated consolidated obligation discount notes (b)
—
—
107
$100,640,099
$58,815
$(92,503)
(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 June 30, 2026, par amounts of de-designated advances were $0.3 billion; par amounts of de-designated AFS debt securities
were $10.0 million; par amounts of de-designated CO bonds were $1.6 billion; par amounts of de-designated CO discount notes
were $1.5 billion. At December 31, 2025, par amounts of de-designated advances were $0.5 billion; par amounts of de-
designated AFS debt securities were $10.0 million; par amounts of de-designated CO bonds were $1.4 billion; par amounts of
de-designated CO discount notes were $1.6 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 June 30,
2026
2025
Amount
Reclassified
from AOCI
to Interest
Expense(b)
Amounts
Reclassified
from AOCI
to Other
Income
(Loss) (c)
Amounts
Recorded in
OCI (d)
Total
Change in
OCI for
Period
Amount
Reclassified
from AOCI
to Interest
Expense(b)
Amounts
Reclassified
from AOCI
to Other
Income
(Loss) (c)
Amounts
Recorded in
OCI (d)
Total
Change in
OCI for
Period
Interest rate contracts (a)
$145
$—
$1,439
$1,294
$(28)
$—
$(10,002)
$(9,974)
Derivative Gains (Losses) Recorded in Income and Other Comprehensive Income/Loss
Six months ended June 30,
2026
2025
Amount
Reclassified
from AOCI
to Interest
Expense(b)
Amounts
Reclassified
from AOCI
to Other
Income
(Loss) (c)
Amounts
Recorded in
OCI (d)
Total
Change in
OCI for
Period
Amount
Reclassified
from AOCI
to Interest
Expense(b)
Amounts
Reclassified
from AOCI
to Other
Income
(Loss) (c)
Amounts
Recorded in
OCI (d)
Total
Change in
OCI for
Period
Interest rate contracts (a)
$249
$—
$2,853
$2,604
$(258)
$—
$(28,030)
$(27,772)
(a)Amounts represent cash flow hedges of CO debt hedged with benchmark interest rate swaps indexed to a benchmark rate. Under
the guidance in ASC 815, 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. Gains (losses) reclassified represent gains (losses)
in AOCI that were amortized as an income (expense) to debt interest expense. If debt is held to maturity, gains (losses) in AOCI
will be relieved through amortization. It is expected that over the next 12 months, $0.1 million of the unrecognized gains in
AOCI will be recognized as yield adjustments as an income to debt interest expense.
(c)Under ASC 815, hedge ineffectiveness is reclassified into earnings only if the original transaction is no longer probable of
occurring 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
Gains and losses on economic hedges are presented below (in thousands):
Gains (Losses) on Economic Hedges
Recorded in Other Income (Loss)
Three months ended June 30,
Six months ended June 30,
2026
2025
2026
2025
Gains (losses) on derivatives designated in economic hedges
Interest rate hedges
$43,193
$(8,356)
$88,802
$(38,147)
Caps
(617)
(39)
539
(134)
Mortgage delivery commitments
(51)
78
(177)
296
Total gains (losses) on derivatives in economic hedges
$42,525
$(8,317)
$89,164
$(37,985)