Derivatives and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2026

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of FHLBNY’s Derivative Activities Based on Notional Amounts

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

Schedule of Offsetting of Derivative Assets

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.

Schedule of Offsetting of Derivative Liabilities

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.

Schedule of Notional Balances and Estimated Fair Values of the Derivatives Outstanding

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.

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 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

Schedule of Carrying Amount of FHLBNY’s Assets and Liabilities

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.

Schedule of 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)

(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)

Schedule of Gains and Losses on 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)