Held-to-Maturity (HTM) Securities

The following tables present HTM securities as of September 30, 2012 and December 31, 2011.



	September 30, 2012
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
Certificates of deposit	$	700,000	$	60	$	—		$	700,060
GSE securities	27,842		1,386		—			29,228
State or local agency obligations	261,597		8,215		(19,022		)	250,790
Total non-MBS	$	989,439	$	9,661	$	(19,022	)	$	980,078
MBS:
Other U.S. obligations MBS	$	2,057,614	$	14,224	$	—		$	2,071,838
GSE residential MBS	1,979,170		106,908		(440		)	2,085,638
Private label MBS:
Private label residential MBS	1,296,689		10,791		(39,551		)	1,267,929
HELOCs	12,924		—		(2,337		)	10,587
Total private label MBS	1,309,613		10,791		(41,888		)	1,278,516
Total MBS	$	5,346,397	$	131,923	$	(42,328	)	$	5,435,992
Total HTM securities	$	6,335,836	$	141,584	$	(61,350	)	$	6,416,070



	December 31, 2011
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
Certificates of deposit	$	2,000,000	$	180	$	—		$	2,000,180
GSE securities	38,589		1,860		—			40,449
State or local agency obligations	278,704		2,668		(34,291		)	247,081
Total non-MBS	$	2,317,293	$	4,708	$	(34,291	)	$	2,287,710
MBS:
Other U.S. obligations MBS	$	2,411,090	$	11,273	$	(91	)	$	2,422,272
GSE residential MBS	2,462,698		83,222		(1,939		)	2,543,981
Private label MBS:
Private label residential MBS	1,624,190		4,173		(113,072		)	1,515,291
HELOCs	17,574		—		(4,480		)	13,094
Total private label MBS	1,641,764		4,173		(117,552		)	1,528,385
Total MBS	$	6,515,552	$	98,668	$	(119,582	)	$	6,494,638
Total HTM securities	$	8,832,845	$	103,376	$	(153,873	)	$	8,782,348

The following tables summarize the HTM 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
Non-MBS:
State or local agency obligations	$	—	$	—	$	157,553	$	(19,022	)	$	157,553	$	(19,022	)
MBS:
GSE residential MBS	$	—	$	—	$	67,732	$	(440	)	$	67,732	$	(440	)
Private label:
Private label residential MBS	—		—		663,865		(39,551		)	663,865		(39,551		)
HELOCs	—		—		10,587		(2,337		)	10,587		(2,337		)
Total private label MBS	—		—		674,452		(41,888		)	674,452		(41,888		)
Total MBS	$	—	$	—	$	742,184	$	(42,328	)	$	742,184	$	(42,328	)
Total	$	—	$	—	$	899,737	$	(61,350	)	$	899,737	$	(61,350	)



	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
Non-MBS:
State or local agency obligations	$	—	$	—		$	195,899	$	(34,291	)	$	195,899	$	(34,291	)
MBS:
Other U.S. obligations MBS	$	90,308	$	(16	)	$	154,860	$	(75	)	$	245,168	$	(91	)
GSE residential MBS	194,118		(208		)	358,160		(1,731		)	552,278		(1,939		)
Private label:
Private label residential MBS	303,899		(3,718		)	861,942		(109,354		)	1,165,841		(113,072		)
HELOCs	—		—			13,094		(4,480		)	13,094		(4,480		)
Total private label MBS	303,899		(3,718		)	875,036		(113,834		)	1,178,935		(117,552		)
Total MBS	$	588,325	$	(3,942	)	$	1,388,056	$	(115,640	)	$	1,976,381	$	(119,582	)
Total	$	588,325	$	(3,942	)	$	1,583,955	$	(149,931	)	$	2,172,280	$	(153,873	)

Securities Transferred. During the first nine months of 2012 and 2011, the Bank transferred certain private label MBS from HTM to AFS. See Note 4 for additional information.

Redemption Terms. The amortized cost and fair value of HTM 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
Non-MBS:
Due in one year or less	$	701,740	$	701,817	$	2,000,000	$	2,000,180
Due after one year through five years	28,163		29,559		41,594		43,528
Due after five years through ten years	8,069		8,158		7,420		7,159
Due after ten years	251,467		240,544		268,279		236,843
HTM securities excluding MBS	989,439		980,078		2,317,293		2,287,710
MBS	5,346,397		5,435,992		6,515,552		6,494,638
Total HTM securities	$	6,335,836	$	6,416,070	$	8,832,845	$	8,782,348

At September 30, 2012 and December 31, 2011, the amortized cost of the Bank’s MBS classified as HTM included net purchased discounts of $0.4 million and $2.3 million, respectively.

Interest Rate Payment Terms. The following table details interest rate payment terms at September 30, 2012 and December 31, 2011.



	September 30, 2012		December 31, 2011
(in thousands)	September 30, 2012		December 31, 2011
Amortized cost of HTM securities other than MBS:
Fixed-rate	$	812,864	$	2,136,243
Variable-rate	176,575		181,050
Total non-MBS	$	989,439	$	2,317,293
Amortized cost of HTM MBS:
Fixed-rate	$	1,890,057	$	2,437,697
Variable-rate	3,456,340		4,077,855
Total HTM MBS	$	5,346,397	$	6,515,552
Total HTM securities	$	6,335,836	$	8,832,845

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 HTM Securities. There were no sales of HTM securities and, therefore, no realized gains or losses on sales for the nine months ended September 30, 2012 or 2011.

Changes in circumstances may cause the Bank to change its intent to hold a certain security to maturity without calling into question its intent to hold other debt securities to maturity in the future, as noted above in the Securities Transferred and Realized Gains and Losses discussions. Thus, the sale or transfer of an HTM security due to certain changes in circumstances, such as evidence of significant deterioration in the issuer’s creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for the Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without necessarily calling into question its intent to hold other debt securities to maturity.