v3.26.1
Consolidated Obligations (Tables)
 6 Months Ended
Jun. 30, 2026
Debt Disclosure [Abstract]  
Schedule of Consolidated Obligations Outstanding The following table summarizes carrying amounts of Consolidated obligations outstanding (in thousands):
June 30, 2026
December 31, 2025
Consolidated obligation bonds-amortized cost
$87,721,002
$68,433,108
Hedge valuation basis adjustments
(112,364)
(51,438)
Hedge basis adjustments on de-designated hedges
88,495
92,610
FVO - valuation adjustments and accrued interest
(1,725)
(7,539)
Total Consolidated obligation bonds
$87,695,408
$68,466,741
Discount notes-amortized cost
$96,764,030
$76,011,550
Hedge value basis adjustments
(37,079)
(7,377)
Hedge basis adjustments on de-designated hedges
(100)
(107)
FVO - valuation adjustments and remaining accretion
63,250
15,451
Total Consolidated obligation discount notes
$96,790,101
$76,019,517
Schedule 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):
June 30, 2026
December 31, 2025
Maturity
Amount
Weighted   
Average
Rate (a)
Percentage
of Total
Amount
Weighted   
Average
Rate (a)
Percentage
of Total
One year or less
$53,003,965
3.49
%
60.44
%
$40,272,920
3.17
%
58.87
%
Over one year through two years
22,848,840
3.65
26.05
14,512,470
3.47
21.21
Over two years through three years
4,125,150
3.65
4.70
4,762,065
3.38
6.96
Over three years through four years
2,311,310
3.61
2.64
3,671,550
3.89
5.37
Over four years through five years
2,386,000
3.28
2.72
1,662,250
3.50
2.43
Thereafter
3,028,000
4.38
3.45
3,527,400
3.88
5.16
Total par value
87,703,265
3.57
%
100.00
%
68,408,655
3.33
%
100.00
%
Bond premiums (b)
35,798
42,461
Bond discounts (b)
(18,061)
(18,008)
Hedge valuation basis adjustments (c)
(112,364)
(51,438)
Hedge basis adjustments on de-designated
hedges (d)
88,495
92,610
FVO (e) - valuation adjustments and accrued
interest
(1,725)
(7,539)
Total Consolidated obligation bonds
$87,695,408
$68,466,741
(a)Weighted average rate represents the weighted average contractual coupons of CO 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 CO 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 valuation adjustments.
Schedule 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):
June 30, 2026
December 31, 2025
Amount
Percentage
of Total
Amount
Percentage of
Total
Fixed-rate, non-callable
$18,409,965
20.99
%
$22,142,355
32.37
%
Fixed-rate, callable
15,487,800
17.66
15,927,800
23.28
Step Up, callable
675,000
0.77
1,132,000
1.65
Step Down, callable
52,000
0.06
52,000
0.08
Floating rate, callable
312,500
0.36
25,000
0.04
Single-index floating rate
52,766,000
60.16
29,129,500
42.58
Total par value
$87,703,265
100.00
%
$68,408,655
100.00
%
Schedule of Outstanding Consolidated Obligation Discount Notes The
FHLBNY’s outstanding Consolidated obligation discount notes were as follows (dollars in thousands):
June 30, 2026
December 31, 2025
Par value
$97,443,941
$76,476,004
Amortized cost
$96,764,030
$76,011,550
Hedge value basis adjustments (a)
(37,079)
(7,377)
Hedge basis adjustments on de-designated hedges (b)
(100)
(107)
FVO (c) - valuation adjustments and remaining accretion
63,250
15,451
Total Consolidated obligation discount notes
$96,790,101
$76,019,517
Weighted average interest rate
3.58
%
3.76
%
(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 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 valuation
adjustments.