Fair Values of Financial Instruments

9 Months Ended

Sep. 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):


	September 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	$76,249	$76,249	$76,249	$—	$—	$—
Interest-bearing deposits	3,730,000	3,730,011	—	3,730,011	—	—
Securities purchased under agreements to resell	12,955,000	12,955,030	—	12,955,030	—	—
Federal funds sold	13,825,000	13,825,027	—	13,825,027	—	—
Trading securities	9,459,131	9,459,131	9,459,131	—	—	—
Equity Investments	105,049	105,049	105,049	—	—	—
Available-for-sale securities	12,799,752	12,799,752	540,802	10,591,792	1,667,158	—
Held-to-maturity securities	12,276,399	12,002,522	—	11,835,133	167,389	—
Advances	119,668,944	119,791,966	—	119,791,966	—	—
Mortgage loans held-for-portfolio, net	2,918,011	2,553,573	—	2,553,573	—	—
Accrued interest receivable	662,461	662,461	—	662,461	—	—
Derivative assets	52,312	52,312	—	1,342,151	—	(1,289,839)
Other financial assets	112	112	—	—	112	—
Liabilities
Deposits	1,965,949	1,965,553	—	1,965,553	—	—
Consolidated obligations
Bonds	104,967,394	104,491,935	—	104,491,935	—	—
Discount notes	71,261,091	71,265,453	—	71,265,453	—	—
Mandatorily redeemable capital stock	7,676	7,676	7,676	—	—	—
Accrued interest payable	597,939	597,939	—	597,939	—	—
Derivative liabilities	4,199	4,199	—	1,404,238	—	(1,400,039)


	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 September 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):


	September 30, 2026
	Total	Level 1	Level 2	Level 3	Netting Adjustment and Cash Collateral
Assets
Trading securities
U.S. Treasury securities	$9,459,131	$9,459,131	$—	$—	$—
Equity Investments	105,049	105,049	—	—	—
Available-for-sale securities
GSE/U.S. agency issued MBS	10,591,792	—	10,591,792	—	—
Housing and U.S. obligations	2,207,960	540,802	—	1,667,158	—
Derivative assets (a)
Interest-rate derivatives	52,294	—	1,342,133	—	(1,289,839)
Mortgage delivery commitments	18	—	18	—	—
Total recurring fair value measurement - Assets	$22,416,244	$10,104,982	$11,933,943	$1,667,158	$(1,289,839)

Liabilities
Consolidated obligation:
Discount notes (to the extent FVO is elected) (b)	$—	$—	$—	$—	$—
Bonds (to the extent FVO is elected) (b)	(124,260)	—	(124,260)	—	—
Derivative liabilities (a)
Interest-rate derivatives	(2,147)	—	(1,402,186)	—	1,400,039
Mortgage delivery commitments	(2,052)	—	(2,052)	—	—
Total recurring fair value measurement - Liabilities	$(128,459)	$—	$(1,528,498)	$—	$1,400,039


	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 September 30,		Nine months ended September 30,
	2026	2025	2026	2025
Balance, beginning of the period	$1,666,174	$1,445,172	$1,664,523	$1,297,431
Total gains (losses) included in other comprehensive income
Net unrealized gains (losses)	984	504	3,680	1,830
Purchases	—	—	—	150,000
Settlements	—	—	(1,045)	(3,585)
Balance, end of the period	$1,667,158	$1,445,676	$1,667,158	$1,445,676

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


	During the period ended September 30, 2026
	Fair Value	Level 1	Level 2	Level 3
Mortgage loans held-for-portfolio	$—	$—	$—	$—
Real estate owned	128	—	—	128
Total non-recurring assets at fair value	$128	$—	$—	$128


	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 September 30,
	2026	2025	2026	2025
	Bonds		Discount Notes
Balance, beginning of the period	$(222,840)	$(1,537,745)	$(5,358,639)	$(565,650)
New transactions elected for fair value option	—	—	—	—
Maturities and terminations	100,000	505,015	5,295,389	—
Net gains (losses) on financial instruments held under fair value option	(1,367)	(11,896)	(2,994)	(696)
Change in accrued interest/unaccreted balance	(53)	(575)	66,244	(5,714)
Balance, end of the period	$(124,260)	$(1,045,201)	$—	$(572,060)


	Nine months ended September 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	439,840	705,015	5,857,896	—
Net gains (losses) on financial instruments held under fair value option	(7,356)	(40,607)	330	(146)
Change in accrued interest/unaccreted balance	122	(494)	15,121	(9,407)
Balance, end of the period	$(124,260)	$(1,045,201)	$—	$(572,060)

(a)No advances elected under the FVO were outstanding at three and nine months ended September 30, 2026 and September 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