Held-to-Maturity Securities

Table 5.1 - Held-to-Maturity Securities by Major Security Types (in thousands)



	June 30, 2011
	Amortized Cost ⁽¹⁾		Gross Unrecognized Holding Gains		Gross Unrecognized Holding (Losses)			Fair Value
Government-sponsored enterprises *	$	22,132	$	2	$	—		$	22,134
State or local housing agency obligations	2,750		—		(336		)	2,414
TLGP **	2,103,782		448		(137		)	2,104,093
Mortgage-backed securities:
Other U.S. obligation residential mortgage-backed securities ***	1,382,056		1,772		(457		)	1,383,371
Government-sponsored enterprise residential mortgage-backed securities ****	9,365,641		388,705		(22,994		)	9,731,352
Private-label residential mortgage-backed securities	58,582		989		(4		)	59,567
Total mortgage-backed securities	10,806,279		391,466		(23,455		)	11,174,290
Total	$	12,934,943	$	391,916	$	(23,928	)	$	13,302,931

	December 31, 2010
	Amortized Cost ⁽¹⁾		Gross Unrecognized Holding Gains		Gross Unrecognized Holding (Losses)			Fair Value
Government-sponsored enterprises *	$	22,108	$	—	$	(1	)	$	22,107
State or local housing agency obligations	2,955		—		(148		)	2,807
TLGP **	1,011,260		33		(142		)	1,011,151
Mortgage-backed securities:
Other U.S. obligation residential mortgage-backed securities ***	910,284		—		(1,502		)	908,782
Government-sponsored enterprise residential mortgage-backed securities ****	10,656,957		367,285		(39,050		)	10,985,192
Private-label residential mortgage-backed securities	87,981		1,779		—			89,760
Total mortgage-backed securities	11,655,222		369,064		(40,552		)	11,983,734
Total	$	12,691,545	$	369,097	$	(40,843	)	$	13,019,799



	(1)	Carrying value equals amortized cost.
	*	Consists of debt securities issued and effectively guaranteed by Freddie Mac and/or Fannie Mae, which have the backing of the U.S. government, although they are not obligations of the U.S. government.
	**	Represents corporate debentures issued or guaranteed by the Federal Deposit Insurance Corporation (FDIC) under the Temporary Liquidity Guarantee Program (TLGP).
	***	Consists of mortgage-backed securities issued or guaranteed by the National Credit Union Administration (NCUA) and the U.S. government.
	****	Consists of mortgage-backed securities issued and effectively guaranteed by Freddie Mac and/or Fannie Mae, which have the backing of the U.S. government, although they are not obligations of the U.S. government.

The FHLBank's investments in mortgage-backed securities must be AAA rated at the time of purchase.

Table 5.2 summarizes the held-to-maturity securities with unrealized losses, which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

Table 5.2 - Held-to-Maturity Securities in a Continuous Unrealized Loss Position (in thousands)



	June 30, 2011
	Less than 12 Months					12 Months or more					Total
	Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)
State or local housing agency obligations	$	—	$	—		$	2,414	$	(336	)	$	2,414	$	(336	)
TLGP *	708,227		(137		)	—		—			708,227		(137		)
Mortgage-backed securities:
Other U.S. obligation residential mortgage-backed securities **	292,532		(457		)	—		—			292,532		(457		)
Government-sponsored enterprise residential mortgage-backed securities ***	1,378,998		(22,994		)	—		—			1,378,998		(22,994		)
Private-label residential mortgage- backed securities	2,169		(4		)	—		—			2,169		(4		)
Total temporarily impaired	$	2,381,926	$	(23,592	)	$	2,414	$	(336	)	$	2,384,340	$	(23,928	)

	December 31, 2010
	Less than 12 Months					12 Months or more					Total
	Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)
Government-sponsored enterprises ****	$	22,107	$	(1	)	$	—	$	—		$	22,107	$	(1	)
State or local housing agency obligations	—		—			2,807		(148		)	2,807		(148		)
TLGP *	634,041		(142		)	—		—			634,041		(142		)
Mortgage-backed securities:
Other U.S. obligation residential mortgage-backed securities **	908,782		(1,502		)	—		—			908,782		(1,502		)
Government-sponsored enterprise residential mortgage-backed securities ***	1,493,725		(39,050		)	—		—			1,493,725		(39,050		)
Total temporarily impaired	$	3,058,655	$	(40,695	)	$	2,807	$	(148	)	$	3,061,462	$	(40,843	)



	*	Represents corporate debentures issued or guaranteed by the FDIC under the TLGP.
	**	Consists of mortgage-backed securities issued or guaranteed by the NCUA and the U.S. government.
	***	Consists of mortgage-backed securities issued and effectively guaranteed by Freddie Mac and/or Fannie Mae, which have the backing of the U.S. government, although they are not obligations of the U.S. government.
	****	Consists of debt securities issued and effectively guaranteed by Freddie Mac and/or Fannie Mae, which have the backing of the U.S. government, although they are not obligations of the U.S. government.

Table 5.3 - Held-to-Maturity Securities by Contractual Maturity (in thousands)



	June 30, 2011				December 31, 2010
Year of Maturity	Amortized Cost⁽¹⁾		Fair Value		Amortized Cost⁽¹⁾		Fair Value
Other than mortgage-backed securities:
Due in 1 year or less	$	2,125,914	$	2,126,227	$	1,033,368	$	1,033,258
Due after 1 year through 5 years	—		—		—		—
Due after 5 years through 10 years	2,750		2,414		2,955		2,807
Due after 10 years	—		—		—		—
Total other	2,128,664		2,128,641		1,036,323		1,036,065
Mortgage-backed securities	10,806,279		11,174,290		11,655,222		11,983,734
Total	$	12,934,943	$	13,302,931	$	12,691,545	$	13,019,799

(1) Carrying value equals amortized cost.

Expected maturities of some securities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

Table 5.4 - Held-to-Maturity Securities with Additional Interest Rate Payment Terms (in thousands)



	June 30, 2011		December 31, 2010
Amortized cost of held-to-maturity securities other than mortgage-backed securities:
Fixed-rate	$	2,125,914	$	1,033,368
Variable-rate	2,750		2,955
Total other	2,128,664		1,036,323
Amortized cost of held-to-maturity mortgage-backed securities:
Fixed-rate	9,424,223		10,744,938
Variable-rate	1,382,056		910,284
Total mortgage-backed securities	10,806,279		11,655,222
Total	$	12,934,943	$	12,691,545

The amortized cost of the FHLBank's mortgage-backed securities classified as held-to-maturity includes net purchased premiums (in thousands) of $62,464 and $66,518 at June 30, 2011 and December 31, 2010.

Realized Gains and Losses. The FHLBank sold securities out of its held-to-maturity portfolio during the six months ended June 30, 2011 and 2010, each of which had less than 15 percent of the acquired principal outstanding at the time of the sale. The FHLBank received (in thousands) $231,748 and $213,620, respectively, in proceeds from the sale of these securities. The FHLBank realized (in thousands) $6,019 and $6,450 in gross gains and no gross losses on these sales during the six months ended June 30, 2011 and 2010, respectively.