Debt securities available-for-sale

3 Months Ended

Mar. 31, 2020

Debt securities available-for-sale

Debt Securities, Available-for-sale

Investments in debt and marketable equity securities

Note 6 – Debt securities available-for-saleThe following tables present the amortized cost, gross unrealized gains and losses, approximate fair value, weighted average yield and contractual maturities of debt securities available-for-sale at March 31, 2020 and December 31, 2019

		At March 31, 2020
				Gross		Gross				Weighted
		Amortized		unrealized		unrealized		Fair		average
(In thousands)		cost		gains		losses		value		yield
U.S. Treasury securities
	Within 1 year	$	3,401,265	$	16,188	$	-	$	3,417,453	1.50	%
	After 1 to 5 years		5,109,362		271,488		-		5,380,850	2.16
	After 5 to 10 years		1,516,770		102,440		-		1,619,210	1.70
Total U.S. Treasury securities			10,027,397		390,116		-		10,417,513	1.87
Obligations of U.S. Government sponsored entities
	Within 1 year		85,638		606		-		86,244	1.48
	After 1 to 5 years		90		2		-		92	5.64
Total obligations of U.S. Government sponsored entities			85,728		608		-		86,336	1.48
Collateralized mortgage obligations - federal agencies
	Within 1 year		156		-		-		156	1.77
	After 1 to 5 years		1,009		8		-		1,017	2.55
	After 5 to 10 years		79,853		1,066		-		80,919	1.61
	After 10 years		469,095		11,263		1,614		478,744	2.06
Total collateralized mortgage obligations - federal agencies			550,113		12,337		1,614		560,836	1.99
Mortgage-backed securities
	Within 1 year		17		1		-		18	2.18
	After 1 to 5 years		39,494		1,299		15		40,778	3.12
	After 5 to 10 years		349,654		9,573		21		359,206	1.47
	After 10 years		4,207,124		141,907		733		4,348,298	2.52
Total mortgage-backed securities			4,596,289		152,780		769		4,748,300	2.45
Other
	After 1 to 5 years		305		11		-		316	3.62
Total other			305		11		-		316	3.62
Total debt securities available-for-sale[1]		$	15,259,832	$	555,852	$	2,383	$	15,813,301	2.04	%
[1]	Includes $12.8 billion pledged to secure public and trust deposits, assets sold under agreements to repurchase, credit facilities and loan servicing agreements that the secured parties are not permitted to sell or repledge the collateral, of which $10.7 billion serve as collateral for public funds.

		At December 31, 2019
				Gross		Gross				Weighted
		Amortized		unrealized		unrealized		Fair		average
(In thousands)		cost		gains		losses		value		yield
U.S. Treasury securities
	Within 1 year	$	5,071,201	$	3,262	$	567	$	5,073,896	1.58	%
	After 1 to 5 years		5,137,804		75,597		3,435		5,209,966	2.19
	After 5 to 10 years		1,778,568		429		6,604		1,772,393	1.70
Total U.S. Treasury securities			11,987,573		79,288		10,606		12,056,255	1.86
Obligations of U.S. Government sponsored entities
	Within 1 year		62,492		2		21		62,473	1.45
	After 1 to 5 years		60,021		-		90		59,931	1.48
Total obligations of U.S. Government sponsored entities			122,513		2		111		122,404	1.47
Obligations of Puerto Rico, States and political subdivisions
	Within 1 year		6,975		-		-		6,975	-
Total obligations of Puerto Rico, States and political subdivisions			6,975		-		-		6,975	-
Collateralized mortgage obligations - federal agencies
	Within 1 year		236		-		-		236	1.83
	After 1 to 5 years		350		1		-		351	2.16
	After 5 to 10 years		85,079		31		1,180		83,930	1.63
	After 10 years		504,391		3,640		6,373		501,658	2.08
Total collateralized mortgage obligations - federal agencies			590,056		3,672		7,553		586,175	2.02
Mortgage-backed securities
	Within 1 year		16		-		-		16	2.13
	After 1 to 5 years		36,717		852		1		37,568	3.38
	After 5 to 10 years		350,373		1,958		1,303		351,028	2.02
	After 10 years		4,447,561		60,384		20,243		4,487,702	2.60
Total mortgage-backed securities			4,834,667		63,194		21,547		4,876,314	2.57
Other
	After 1 to 5 years		341		9		-		350	3.62
Total other			341		9		-		350	3.62
Total debt securities available-for-sale[1]		$	17,542,125	$	146,165	$	39,817	$	17,648,473	2.05	%
[1]	Includes $12.2 billion pledged to secure public and trust deposits, assets sold under agreements to repurchase, credit facilities and loan servicing agreements that the secured parties are not permitted to sell or repledge the collateral, of which $10.9 billion serve as collateral for public funds.

The weighted average yield on debt securities available-for-sale is based on amortized cost; therefore, it does not give effect to changes in fair value.

Debt securities not due on a single contractual maturity date, such as mortgage-backed securities and collateralized mortgage obligations, are classified in the period of final contractual maturity. The expected maturities of collateralized mortgage obligations, mortgage-backed securities and certain other securities may differ from their contractual maturities because they may be subject to prepayments or may be called by the issuer.

There were no debt securities sold during the quarters ended March 31, 2020 and March 31, 2019.

The following table present the Corporation’s fair value and gross unrealized losses of debt securities available-for-sale, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position at March 31, 2020 and December 31, 2019.

	At March 31, 2020
	Less than 12 months				12 months or more				Total
			Gross				Gross				Gross
	Fair		unrealized		Fair		unrealized		Fair		unrealized
(In thousands)	value		losses		value		losses		value		losses
Collateralized mortgage obligations - federal agencies	$	11,335	$	117	$	50,605	$	1,497	$	61,940	$	1,614
Mortgage-backed securities		127		2		187,402		767		187,529		769
Total debt securities available-for-sale in an unrealized loss position	$	11,462	$	119	$	238,007	$	2,264	$	249,469	$	2,383

	At December 31, 2019
	Less than 12 months				12 months or more				Total
			Gross				Gross				Gross
	Fair		unrealized		Fair		unrealized		Fair		unrealized
(In thousands)	value		losses		value		losses		value		losses
U.S. Treasury securities	$	2,439,114	$	9,798	$	452,784	$	808	$	2,891,898	$	10,606
Obligations of U.S. Government sponsored entities		9,973		4		99,846		107		109,819		111
Collateralized mortgage obligations - federal agencies		114,603		537		310,315		7,016		424,918		7,553
Mortgage-backed securities		179,312		693		1,784,414		20,854		1,963,726		21,547
Total debt securities available-for-sale in an unrealized loss position	$	2,743,002	$	11,032	$	2,647,359	$	28,785	$	5,390,361	$	39,817

As of March 31, 2020, the portfolio of available-for-sale debt securities reflects gross unrealized losses of approximately $2 million, driven mainly by mortgage-backed securities and collateralized mortgage obligations.

The following table states the name of issuers, and the aggregate amortized cost and fair value of the debt securities of such issuer (includes available-for-sale and held-to-maturity debt securities), in which the aggregate amortized cost of such securities exceeds 10% of stockholders’ equity. This information excludes debt securities backed by the full faith and credit of the U.S. Government. Investments in obligations issued by a state of the U.S. and its political subdivisions and agencies, which are payable and secured by the same source of revenue or taxing authority, other than the U.S. Government, are considered securities of a single issuer.

		March 31, 2020				December 31, 2019
(In thousands)	Amortized cost		Fair value		Amortized cost		Fair value
FNMA	$	2,934,302	$	3,025,419	$	3,113,373	$	3,129,538
Freddie Mac		1,536,397		1,588,763		1,623,116		1,638,796