Fair Values of Financial Instruments

6 Months Ended

Jun. 30, 2026

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):


	June 30, 2026
		Estimated Fair Value
Financial Instruments	Carrying Value	Total	Level 1	Level 2	Level 3 (a)	Netting Adjustment and Cash Collateral
Assets
Cash and due from banks	$54,446	$54,446	$54,446	$—	$—	$—
Interest-bearing deposits	3,730,000	3,730,011	—	3,730,011	—	—
Securities purchased under agreements to resell	9,920,000	9,920,022	—	9,920,022	—	—
Federal funds sold	18,036,000	18,036,030	—	18,036,030	—	—
Trading securities	10,433,522	10,433,522	10,433,522	—	—	—
Equity Investments	108,912	108,912	108,912	—	—	—
Available-for-sale securities	12,720,131	12,720,131	551,368	10,502,589	1,666,174	—
Held-to-maturity securities	11,962,008	11,825,765	—	11,657,081	168,684	—
Advances	127,295,633	127,467,980	—	127,467,980	—	—
Mortgage loans held-for-portfolio, net	2,761,344	2,544,385	—	2,544,385	—	—
Accrued interest receivable	627,719	627,719	—	627,719	—	—
Derivative assets	91,872	91,872	—	1,694,917	—	(1,603,045)
Other financial assets	51	51	—	—	51	—
Liabilities
Deposits	2,726,093	2,725,571	—	2,725,571	—	—
Consolidated obligations
Bonds	87,695,408	87,386,554	—	87,386,554	—	—
Discount notes	96,790,101	96,804,647	—	96,804,647	—	—
Mandatorily redeemable capital stock	7,204	7,204	7,204	—	—	—
Accrued interest payable	456,724	456,724	—	456,724	—	—
Derivative liabilities	7,221	7,221	—	1,642,996	—	(1,635,775)


	December 31, 2025
		Estimated Fair Value
Financial Instruments	Carrying Value	Total	Level 1	Level 2	Level 3 (a)	Netting Adjustment and Cash Collateral
Assets
Cash and due from banks	$38,192	$38,192	$38,192	$—	$—	$—
Interest-bearing deposits	2,960,000	2,960,027	—	2,960,027	—	—
Securities purchased under agreements to resell	15,950,000	15,950,204	—	15,950,204	—	—
Federal funds sold	11,550,000	11,550,081	—	11,550,081	—	—
Trading securities	7,387,187	7,387,187	7,387,187	—	—	—
Equity Investments	103,707	103,707	103,707	—	—	—
Available-for-sale securities	12,345,845	12,345,845	560,272	10,121,050	1,664,523	—
Held-to-maturity securities	10,490,167	10,384,380	—	10,237,595	146,785	—
Advances	92,306,684	92,514,300	—	92,514,300	—	—
Mortgage loans held-for-portfolio, net	2,644,449	2,451,042	—	2,451,042	—	—
Accrued interest receivable	523,973	523,973	—	523,973	—	—
Derivative assets	99,548	99,548	—	1,731,523	—	(1,631,975)
Other financial assets	52	52	—	—	52	—
Liabilities
Deposits	3,089,961	3,088,772	—	3,088,772	—	—
Consolidated obligations
Bonds	68,466,741	68,215,010	—	68,215,010	—	—
Discount notes	76,019,517	76,045,773	—	76,045,773	—	—
Mandatorily redeemable capital stock	7,585	7,585	7,585	—	—	—
Accrued interest payable	470,265	470,265	—	470,265	—	—
Derivative liabilities	4,097	4,097	—	1,760,052	—	(1,755,955)

(a)Level 3 Instruments — The fair values of 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.

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.

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 June 30, 2026 and December 31, 2025, 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. Real Estate Owned (REO) is measured at the lower of

its carrying amount or fair value less costs to sell.

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


	June 30, 2026
	Total	Level 1	Level 2	Level 3	Netting Adjustment and Cash Collateral
Assets
Trading securities
U.S. Treasury securities	$10,433,522	$10,433,522	$—	$—	$—
Equity Investments	108,912	108,912	—	—	—
Available-for-sale securities
GSE/U.S. agency issued MBS	10,502,589	—	10,502,589	—	—
Housing and U.S. obligations	2,217,542	551,368	—	1,666,174	—
Derivative assets (a)
Interest-rate derivatives	91,740	—	1,694,785	—	(1,603,045)
Mortgage delivery commitments	132	—	132	—	—
Total recurring fair value measurement - Assets	$23,354,437	$11,093,802	$12,197,506	$1,666,174	$(1,603,045)

Liabilities
Consolidated obligation:
Discount notes (to the extent FVO is elected) (b)	$(5,358,639)	$—	$(5,358,639)	$—	$—
Bonds (to the extent FVO is elected) (b)	(222,840)	—	(222,840)	—	—
Derivative liabilities (a)
Interest-rate derivatives	(7,179)	—	(1,642,954)	—	1,635,775
Mortgage delivery commitments	(42)	—	(42)	—	—
Total recurring fair value measurement - Liabilities	$(5,588,700)	$—	$(7,224,475)	$—	$1,635,775


	December 31, 2025
	Total	Level 1	Level 2	Level 3	Netting Adjustment and Cash Collateral
Assets
Trading securities
U.S. Treasury securities	$7,387,187	$7,387,187	$—	$—	$—
Equity Investments	103,707	103,707	—	—	—
Available-for-sale securities
GSE/U.S. agency issued MBS	10,121,050	—	10,121,050	—	—
Housing and U.S. obligations	2,224,795	560,272	—	1,664,523	—
Derivative assets (a)
Interest-rate derivatives	99,467	—	1,731,442	—	(1,631,975)
Mortgage delivery commitments	81	—	81	—	—
Total recurring fair value measurement - Assets	$19,936,287	$8,051,166	$11,852,573	$1,664,523	$(1,631,975)

Liabilities
Consolidated obligation:
Discount notes (to the extent FVO is elected) (b)	$(577,958)	$—	$(577,958)	$—	$—
Bonds (to the extent FVO is elected) (b)	(556,866)	—	(556,866)	—	—
Derivative liabilities (a)
Interest-rate derivatives	(4,089)	—	(1,760,044)	—	1,755,955
Mortgage delivery commitments	(8)	—	(8)	—	—
Total recurring fair value measurement - Liabilities	$(1,138,921)	$—	$(2,894,876)	$—	$1,755,955

(a)Based on analysis of the nature of the risk, the presentation of interest-rate 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 June 30,		Six months ended June 30,
	2026	2025	2026	2025
Balance, beginning of the period	$1,666,714	$1,297,753	$1,664,523	$1,297,431
Total gains (losses) included in other comprehensive income
Net unrealized gains (losses)	505	1,004	2,696	1,326
Purchases	—	150,000	—	150,000
Settlements	(1,045)	(3,585)	(1,045)	(3,585)
Balance, end of the period	$1,666,174	$1,445,172	$1,666,174	$1,445,172

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


	During the period ended June 30, 2026
	Fair Value	Level 1	Level 2	Level 3
Mortgage loans held-for-portfolio	$—	$—	$—	$—
Real estate owned	137	—	—	137
Total non-recurring assets at fair value	$137	$—	$—	$137


	During the period ended December 31, 2025
	Fair Value	Level 1	Level 2	Level 3
Mortgage loans held-for-portfolio	$256	$—	$256	$—
Real estate owned	55	—	—	55
Total non-recurring assets at fair value	$311	$—	$256	$55

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, changes in fair value are reported the date the fair value adjustments are recorded, which is

during the period and not as of the period end dates.

Fair Value Option Disclosures

The following tables summarize the activity related to financial instruments for which the FHLBNY elected the fair value

option (a) (in thousands):


	Three months ended June 30,
	2026	2025	2026	2025
	Bonds		Discount Notes
Balance, beginning of the period	$(525,746)	$(1,726,322)	$(5,309,607)	$—
New transactions elected for fair value option	—	—	—	(562,507)
Maturities and terminations	304,840	200,000	—	—
Net gains (losses) on financial instruments held under fair value option	(3,007)	(12,730)	(792)	550
Change in accrued interest/unaccreted balance	1,073	1,307	(48,240)	(3,693)
Balance, end of the period	$(222,840)	$(1,537,745)	$(5,358,639)	$(565,650)

(a)No advances elected under the FVO were outstanding at three and six months ended June 30, 2026 and June 30, 2025.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References

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+ Details