Held-to-Maturity Securities

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



	June 30, 2017
	Amortized Cost ⁽¹⁾		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses			Fair Value
Non-mortgage-backed securities:
Government-sponsored enterprises (GSE)	$	32,789	$	—	$	(3	)	$	32,786
Total non-mortgage-backed securities	32,789		—		(3		)	32,786
Mortgage-backed securities:
Other U.S. obligation single-family mortgage-backed securities	2,881,992		4,998		(15,951		)	2,871,039
GSE single-family mortgage-backed securities	7,457,569		44,301		(94,278		)	7,407,592
GSE multi-family mortgage-backed securities	4,315,028		7,903		(235		)	4,322,696
Total mortgage-backed securities	14,654,589		57,202		(110,464		)	14,601,327
Total	$	14,687,378	$	57,202	$	(110,467	)	$	14,634,113

	December 31, 2016
	Amortized Cost ⁽¹⁾		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses			Fair Value
Non-mortgage-backed securities:
GSE	$	31,279	$	1	$	—		$	31,280
Total non-mortgage-backed securities	31,279		1		—			31,280
Mortgage-backed securities:
Other U.S. obligation single-family mortgage-backed securities	3,183,219		3,653		(23,151		)	3,163,721
GSE single-family mortgage-backed securities	8,186,733		36,161		(147,494		)	8,075,400
GSE multi-family mortgage-backed securities	3,145,748		988		(3,906		)	3,142,830
Total mortgage-backed securities	14,515,700		40,802		(174,551		)	14,381,951
Total	$	14,546,979	$	40,803	$	(174,551	)	$	14,413,231


(1)	Carrying value equals amortized cost.

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



	June 30, 2017			December 31, 2016
Premiums	$	54,391		$	60,519
Discounts	(27,190		)	(31,474		)
Net purchased premiums	$	27,201		$	29,045

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)



	June 30, 2017
	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	$	32,786	$	(3	)	$	—	$	—		$	32,786	$	(3	)
Total non-mortgage-backed securities	32,786		(3		)	—		—			32,786		(3		)
Mortgage-backed securities:
Other U.S. obligation single-family mortgage-backed securities	1,538,654		(15,951		)	—		—			1,538,654		(15,951		)
GSE single-family mortgage-backed securities	3,912,027		(53,875		)	1,122,601		(40,403		)	5,034,628		(94,278		)
GSE multi-family mortgage-backed securities	282,733		(235		)	—		—			282,733		(235		)
Total mortgage-backed securities	5,733,414		(70,061		)	1,122,601		(40,403		)	6,856,015		(110,464		)
Total	$	5,766,200	$	(70,064	)	$	1,122,601	$	(40,403	)	$	6,888,801	$	(110,467	)

	December 31, 2016
	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:
Other U.S. obligation single-family mortgage-backed securities	$	2,151,584	$	(23,151	)	$	—	$	—		$	2,151,584	$	(23,151	)
GSE single-family mortgage-backed securities	4,548,897		(90,119		)	1,193,241		(57,375		)	5,742,138		(147,494		)
GSE multi-family mortgage-backed securities	1,897,043		(3,906		)	—		—			1,897,043		(3,906		)
Total	$	8,597,524	$	(117,176	)	$	1,193,241	$	(57,375	)	$	9,790,765	$	(174,551	)

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



	June 30, 2017				December 31, 2016
Year of Maturity	Amortized Cost ⁽¹⁾		Fair Value		Amortized Cost ⁽¹⁾		Fair Value
Non-mortgage-backed securities:
Due in 1 year or less	$	32,789	$	32,786	$	31,279	$	31,280
Due after 1 year through 5 years	—		—		—		—
Due after 5 years through 10 years	—		—		—		—
Due after 10 years	—		—		—		—
Total non-mortgage-backed securities	32,789		32,786		31,279		31,280
Mortgage-backed securities ⁽²⁾	14,654,589		14,601,327		14,515,700		14,381,951
Total	$	14,687,378	$	14,634,113	$	14,546,979	$	14,413,231


(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)



	June 30, 2017		December 31, 2016
Amortized cost of non-mortgage-backed securities:
Fixed-rate	$	32,789	$	31,279
Total amortized cost of non-mortgage-backed securities	32,789		31,279
Amortized cost of mortgage-backed securities:
Fixed-rate	8,878,017		9,706,072
Variable-rate	5,776,572		4,809,628
Total amortized cost of mortgage-backed securities	14,654,589		14,515,700
Total	$	14,687,378	$	14,546,979

Realized Gains and Losses. From time to time the FHLB may sell securities out of its held-to-maturity portfolio. These securities, generally, have less than 15 percent of the acquired principal outstanding at the time of the sale. These sales are considered maturities for the purposes of security classification. For the six months ended June 30, 2017 and 2016, the FHLB did not sell any held-to-maturity securities.