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Available-for-Sale (AFS) Securities
 9 Months Ended
Sep. 30, 2012
Available-for-sale Securities [Abstract]  
Available-for-Sale (AFS) Securities
Available-for-Sale (AFS) Securities

The following tables present AFS securities as of September 30, 2012 and December 31, 2011.
 
September 30, 2012
(in thousands)
Amortized Cost(1)
 
OTTI Recognized in AOCI(2)
 
Gross Unrealized Gains
 
Gross Unrealized Losses
 
Fair Value
Non-MBS:
 
 
 
 
 
 
 
 
 
Mutual funds partially securing
     supplemental retirement plan
$
1,993

 
$
—

 
$
5

 
$
—

 
$
1,998

Other U.S. obligations
21,000

 
—

 
20

 
—

 
21,020

GSE securities
1,374,912

 
—

 
209

 
(537
)
 
1,374,584

State and local agency obligations
12,995

 
—

 
—

 
(23
)
 
12,972

Total non-MBS
$
1,410,900

 
$
—

 
$
234

 
$
(560
)
 
$
1,410,574

MBS:
 
 
 
 
 
 
 
 
 
Other U.S. obligations MBS
$
326,160

 
$
—

 
$
85

 
$
(204
)
 
$
326,041

GSE residential MBS
3,071,757

 
—

 
36,645

 
(94
)
 
3,108,308

Private label MBS:
 
 
 
 
 
 
 
 
 
Private label residential MBS
1,473,486

 
(44,190
)
 
37,790

 
(422
)
 
1,466,664

HELOCs
15,344

 
(940
)
 
171

 
—

 
14,575

Total private label MBS
1,488,830

 
(45,130
)
 
37,961

 
(422
)
 
1,481,239

Total MBS
$
4,886,747

 
$
(45,130
)
 
$
74,691

 
$
(720
)
 
$
4,915,588

Total AFS securities
$
6,297,647

 
$
(45,130
)
 
$
74,925

 
$
(1,280
)
 
$
6,326,162

 
December 31, 2011
(in thousands)
Amortized Cost(1)
 
OTTI Recognized in AOCI(2)
 
Gross Unrealized Gains
 
Gross Unrealized Losses
 
Fair Value
Non-MBS:
 
 
 
 
 
 
 
 
 
Mutual funds partially securing
     supplemental retirement plan
$
1,993

 
$
—

 
$
5

 
$
—

 
$
1,998

GSE securities
900,000

 
—

 
574

 
—

 
900,574

Total non-MBS
$
901,993

 
$
—

 
$
579

 
$
—

 
$
902,572

MBS:
 
 
 
 
 
 
 
 
 
GSE residential MBS
$
1,801,193

 
$
—

 
$
6,849

 
$
(901
)
 
$
1,807,141

Private label MBS:
 
 
 
 
 
 
 
 
 
Private label residential MBS
1,796,969

 
(165,029
)
 
3,601

 
(4,180
)
 
1,631,361

HELOCs
18,215

 
(3,142
)
 
—

 
—

 
15,073

Total private label MBS
1,815,184

 
(168,171
)
 
3,601

 
(4,180
)
 
1,646,434

Total MBS
$
3,616,377

 
$
(168,171
)
 
$
10,450

 
$
(5,081
)
 
$
3,453,575

Total AFS securities
$
4,518,370

 
$
(168,171
)
 
$
11,029

 
$
(5,081
)
 
$
4,356,147

Notes:
(1)Amortized cost includes adjustments made to the cost basis of an investment for accretion and/or amortization, collection of cash, and/or previous OTTI recognized in earnings.
(2)Represents the noncredit portion of an OTTI recognized during the life of the security.

The mutual funds are held in a Rabbi trust to secure a portion of the Bank’s supplemental retirement obligation. These obligations were $4.0 million and $3.8 million at September 30, 2012 and December 31, 2011, respectively.

As of September 30, 2012, the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $8.3 million and credit losses of $304.5 million, partially offset by OTTI-related accretion adjustments of $4.1 million. As of December 31, 2011, the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $11.1 million and credit losses of $316.5 million, partially offset by OTTI-related accretion adjustments of $9.1 million.

The following table presents a reconciliation of the AFS OTTI loss recognized through accumulated comprehensive income (AOCI) to the total net noncredit portion of OTTI losses on AFS securities in AOCI as of September 30, 2012 and December 31, 2011.
(in thousands)
September 30, 2012
December 31, 2011
Non-credit portion of OTTI losses
$
(45,130
)
$
(168,171
)
Net unrealized gains on OTTI securities since their last OTTI credit charge
37,961

57

Net non-credit portion of OTTI losses on AFS securities in AOCI
$
(7,169
)
$
(168,114
)
 

The following tables summarize the AFS securities with unrealized losses as of September 30, 2012 and December 31, 2011. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.
 
September 30, 2012
 
Less than 12 Months
 
Greater than 12 Months
 
Total
(in thousands)
Fair Value
 
Unrealized Losses
 
Fair Value
 
Unrealized Losses
 
Fair Value
 
Unrealized Losses(1)
Non-MBS:
 
 
 
 
 
 
 
 
 
 
 
GSE securities
$
949,404

 
$
(537
)
 
$
—

 
$
—

 
$
949,404

 
$
(537
)
State or local agency obligations
12,972

 
(23
)
 
—

 
—

 
12,972

 
(23
)
Total non-MBS
$
962,376

 
$
(560
)
 
$
—

 
$
—

 
$
962,376

 
$
(560
)
MBS:
 
 
 
 
 
 
 
 
 
 
 
Other U.S. obligations MBS
$
249,725

 
$
(204
)
 
$
—

 
$
—

 
$
249,725

 
$
(204
)
GSE residential MBS
33,777

 
(60
)
 
37,758

 
(34
)
 
71,535

 
(94
)
Private label:
 
 
 
 
 
 
 
 
 
 
 
Private label residential MBS
10,640

 
(472
)
 
731,071

 
(44,140
)
 
741,711

 
(44,612
)
HELOCs
—

 
—

 
9,408

 
(940
)
 
9,408

 
(940
)
Total private label MBS
10,640

 
(472
)
 
740,479

 
(45,080
)
 
751,119

 
(45,552
)
Total MBS
$
294,142

 
$
(736
)
 
$
778,237

 
$
(45,114
)
 
$
1,072,379

 
$
(45,850
)
Total AFS securities
$
1,256,518

 
$
(1,296
)
 
$
778,237

 
$
(45,114
)
 
$
2,034,755

 
$
(46,410
)
 
December 31, 2011
 
Less than 12 Months
 
Greater than 12 Months
 
Total
(in thousands)
Fair Value
 
Unrealized Losses
 
Fair Value
 
Unrealized Losses
 
Fair Value
 
Unrealized Losses(1)
MBS:
 
 
 
 
 
 
 
 
 
 
 
GSE residential MBS
$
844,628

 
$
(901
)
 
$
—

 
$
—

 
$
844,628

 
$
(901
)
Private label:
 
 
 
 
 
 
 
 
 
 
 
Private label residential MBS
232,848

 
(11,150
)
 
1,290,706

 
(158,059
)
 
1,523,554

 
(169,209
)
HELOCs
2,118

 
(45
)
 
12,955

 
(3,097
)
 
15,073

 
(3,142
)
Total private label MBS
234,966

 
(11,195
)
 
1,303,661

 
(161,156
)
 
1,538,627

 
(172,351
)
Total MBS
$
1,079,594

 
$
(12,096
)
 
$
1,303,661

 
$
(161,156
)
 
$
2,383,255

 
$
(173,252
)
Total AFS securities
$
1,079,594

 
$
(12,096
)
 
$
1,303,661

 
$
(161,156
)
 
$
2,383,255

 
$
(173,252
)
Note:
(1)Total unrealized losses equal the sum of "OTTI Recognized in AOCI" and "Gross Unrealized Losses" in the first two tables of this Note 4.

Securities Transferred.  The Bank may transfer investment securities from HTM to AFS when an OTTI credit loss has been recorded on the security. The Bank believes that a credit loss constitutes evidence of a significant decline in the issuer’s creditworthiness. The Bank transfers these securities to increase its flexibility to sell the securities if management determines it is prudent to do so. The Bank transferred one private label MBS from HTM to AFS during the nine months ended September 30, 2012 and four during the first nine months of 2011. These securities had an OTTI credit loss recorded on them during the period in which they were transferred.

During the nine months ended September 30, 2012 and 2011, private label MBS were transferred only in the first quarter of each year as presented below.
(in thousands)
Amortized
Cost
OTTI Recognized in OCI
Fair Value
March 31, 2012 transfers
$
11,930

$
(662
)
$
11,268

March 31, 2011 transfers
$
93,622

$
(2,697
)
$
90,925



Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of September 30, 2012 and December 31, 2011 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)
September 30, 2012
 
December 31, 2011
Year of Maturity
Amortized Cost
 
Fair Value
 
Amortized Cost
 
Fair Value
Due in one year or less
$
326,992

 
$
326,773

 
$
1,993

 
$
1,998

Due after one year through five years
1,049,913

 
1,049,809

 
900,000

 
900,574

Due in more than ten years
33,995

 
33,992

 
—

 
—

AFS securities excluding MBS
1,410,900

 
1,410,574

 
901,993

 
902,572

MBS
4,886,747

 
4,915,588

 
3,616,377

 
3,453,575

Total AFS securities
$
6,297,647

 
$
6,326,162

 
$
4,518,370

 
$
4,356,147



Interest Rate Payment Terms.  The following table details interest payment terms at September 30, 2012 and December 31, 2011.
(in thousands)
September 30,
2012
 
December 31,
2011
Amortized cost of AFS securities other than MBS:
 
 
 
 Fixed-rate
$
660,962

 
$
751,993

 Variable-rate
749,938

 
150,000

Total non-MBS
$
1,410,900

 
$
901,993

Amortized cost of AFS MBS:
 
 
 
  Fixed-rate
$
2,153,469

 
$
2,145,595

  Variable-rate
2,733,278

 
1,470,782

Total MBS
$
4,886,747

 
$
3,616,377

Total AFS securities
$
6,297,647

 
$
4,518,370

Note: Certain MBS have a fixed-rate component for a specified period of time, then have a rate reset on a given date. Examples of this type of instrument would include securities supported by underlying 3/1, 5/1, 7/1 and 10/1 hybrid ARMs. In addition, certain of these securities may have a provision within the structure that permits the fixed rate to be adjusted for items such as prepayment, defaults and loan modification. For purposes of the table above, these securities are reported as fixed-rate until the rate reset date is hit. At that point, the security is then considered to be variable-rate.

Realized Gains and Losses on AFS Securities.  The following table provides a summary of proceeds, gross gains and gross losses on sales of AFS securities for the three and nine months ended September 30, 2012 and 2011.
 
Three months ended September 30,
Nine months ended September 30,
(in thousands)
2012
2011
2012
2011
Proceeds from sale of AFS securities
$
—

$
—

$
—

$
138,461

Gross gains on AFS securities
—

—

—

7,278