Held-to-Maturity Securities

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



	March 31, 2013
	Amortized Cost ⁽¹⁾		Gross Unrecognized Holding Gains		Gross Unrecognized Holding (Losses)			Fair Value
Non-mortgage-backed securities:
GSE ⁽²⁾	$	25,579	$	—	$	(1	)	$	25,578
Total non-mortgage-backed securities	25,579		—		(1		)	25,578
Mortgage-backed securities:
Other U.S. obligation residential mortgage-backed securities ⁽³⁾	1,357,198		7,349		—			1,364,547
GSE residential mortgage-backed securities ⁽⁴⁾	12,337,456		334,984		(4,102		)	12,668,338
Total mortgage-backed securities	13,694,654		342,333		(4,102		)	14,032,885
Total	$	13,720,233	$	342,333	$	(4,103	)	$	14,058,463

	December 31, 2012
	Amortized Cost ⁽¹⁾		Gross Unrecognized Holding Gains		Gross Unrecognized Holding (Losses)			Fair Value
Non-mortgage-backed securities:
GSE ⁽²⁾	$	26,238	$	2	$	—		$	26,240
Total non-mortgage-backed securities	26,238		2		—			26,240
Mortgage-backed securities:
Other U.S. obligation residential mortgage-backed securities ⁽³⁾	1,410,720		4,320		—			1,415,040
GSE residential mortgage-backed securities ⁽⁴⁾	11,361,490		375,372		(1,025		)	11,735,837
Total mortgage-backed securities	12,772,210		379,692		(1,025		)	13,150,877
Total	$	12,798,448	$	379,694	$	(1,025	)	$	13,177,117


(1)	Carrying value equals amortized cost.


(2)	Consists of debt securities issued and effectively guaranteed by Freddie Mac and/or Fannie Mae, which have the support of the U.S. government, although they are not obligations of the U.S. government.


(3)	Consists of mortgage-backed securities issued or guaranteed by the National Credit Union Administration (NCUA) and the U.S. government.


(4)	Consists of mortgage-backed securities issued and effectively guaranteed by Freddie Mac and/or Fannie Mae, which have the support of the U.S. government, although they are not obligations of the U.S. government.

Table 5.2 - Net Purchased Premiums Included in the Amortized Cost of Mortgage-backed Securities Classified as Held-to-Maturity (in thousands)



	March 31, 2013			December 31, 2012
Premiums	$	38,670		$	41,808
Discounts	(36,548		)	(24,965		)
Net purchased premiums	$	2,122		$	16,843

Table 5.3 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 5.3 - Held-to-Maturity Securities in a Continuous Unrealized Loss Position (in thousands)



	March 31, 2013
	Less than 12 Months					12 Months or more				Total
	Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)		Fair Value		Gross Unrealized (Losses)
Non-mortgage-backed securities:
GSE ⁽¹⁾	$	25,578	$	(1	)	$	—	$	—	$	25,578	$	(1	)
Total non-mortgage-backed securities	25,578		(1		)	—		—		25,578		(1		)
Mortgage-backed securities:
GSE residential mortgage-backed securities ⁽²⁾	559,809		(4,102		)	—		—		559,809		(4,102		)
Total mortgage-backed securities	559,809		(4,102		)	—		—		559,809		(4,102		)
Total	$	585,387	$	(4,103	)	$	—	$	—	$	585,387	$	(4,103	)

	December 31, 2012
	Less than 12 Months					12 Months or more				Total
	Fair Value		Gross Unrealized (Losses)			Fair Value		Gross Unrealized (Losses)		Fair Value		Gross Unrealized (Losses)
Mortgage-backed securities:
GSE residential mortgage-backed securities ⁽²⁾	$	90,130	$	(1,025	)	$	—	$	—	$	90,130	$	(1,025	)
Total	$	90,130	$	(1,025	)	$	—	$	—	$	90,130	$	(1,025	)


(1)	Consists of debt securities issued and effectively guaranteed by Freddie Mac and/or Fannie Mae, which have the support of the U.S. government, although they are not obligations of the U.S. government.


(2)	Consists of mortgage-backed securities issued and effectively guaranteed by Freddie Mac and/or Fannie Mae, which have the support of the U.S. government, although they are not obligations of the U.S. government.

Table 5.4 - Held-to-Maturity Securities by Contractual Maturity (in thousands)



	March 31, 2013				December 31, 2012
Year of Maturity	Amortized Cost ⁽¹⁾		Fair Value		Amortized Cost ⁽¹⁾		Fair Value
Non-mortgage-backed securities:
Due in 1 year or less	$	25,579	$	25,578	$	26,238	$	26,240
Due after 1 year through 5 years	—		—		—		—
Due after 5 years through 10 years	—		—		—		—
Due after 10 years	—		—		—		—
Total non-mortgage-backed securities	25,579		25,578		26,238		26,240
Mortgage-backed securities ⁽²⁾	13,694,654		14,032,885		12,772,210		13,150,877
Total	$	13,720,233	$	14,058,463	$	12,798,448	$	13,177,117


(1)	Carrying value equals amortized cost.


(2)	Mortgage-backed securities are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

Table 5.5 - Interest Rate Payment Terms of Held-to-Maturity Securities (in thousands)



	March 31, 2013		December 31, 2012
Amortized cost of non-mortgage-backed securities:
Fixed-rate	$	25,579	$	26,238
Total amortized cost of non-mortgage-backed securities	25,579		26,238
Amortized cost of mortgage-backed securities:
Fixed-rate	10,531,369		9,509,167
Variable-rate	3,163,285		3,263,043
Total amortized cost of mortgage-backed securities	13,694,654		12,772,210
Total	$	13,720,233	$	12,798,448

Realized Gains and Losses. The FHLBank did not sell securities out of its held-to-maturity portfolio during the three months ended March 31, 2013 or 2012.