Fair Values of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2026

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.

Schedule of Fair Values of Assets and Liabilities

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.

Schedule of Roll Forward of Level 3 Available-For-Sale Securities

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

Schedule of Fair Value Measured on Non-Recurring Basis

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

Schedule of 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)


	Six months ended June 30,
	2026	2025	2026	2025
	Bonds		Discount Notes
Balance, beginning of the period	$(556,866)	$(1,704,115)	$(577,958)	$—
New transactions elected for fair value option	—	(5,000)	(5,295,389)	(562,507)
Maturities and terminations	339,840	200,000	562,507	—
Net gains (losses) on financial instruments held under fair value option	(5,989)	(28,711)	3,324	550
Change in accrued interest/unaccreted balance	175	81	(51,123)	(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

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References + Details