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Debt securities available-for-sale
 12 Months Ended
Dec. 31, 2020
Debt securities available-for-sale  
Debt Securities, Available-for-sale  
Investments in debt and marketable equity securities Note 5 – 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 December 31, 2020 and December 31, 2019

 

 

At December 31, 2020

 

 

 

 

 

Gross

Gross

 

 

Weighted

 

 

 

Amortized

unrealized

unrealized

Fair

average

 

(In thousands)

cost

gains

losses

value

yield

 

U.S. Treasury securities

 

 

 

 

 

 

 

 

 

 

 

Within 1 year

$

4,900,055

$

16,479

$

-

$

4,916,534

0.69

%

 

After 1 to 5 years

 

5,007,223

 

259,399

 

-

 

5,266,622

2.05

 

 

After 5 to 10 years

 

567,367

 

37,517

 

-

 

604,884

1.68

 

Total U.S. Treasury securities

 

10,474,645

 

313,395

 

-

 

10,788,040

1.40

 

Obligations of U.S. Government sponsored entities

 

 

 

 

 

 

 

 

 

 

 

Within 1 year

 

59,993

 

101

 

-

 

60,094

1.46

 

 

After 1 to 5 years

 

90

 

-

 

-

 

90

5.64

 

Total obligations of U.S. Government sponsored entities

 

60,083

 

101

 

-

 

60,184

1.47

 

Collateralized mortgage obligations - federal agencies

 

 

 

 

 

 

 

 

 

 

 

After 1 to 5 years

 

1,388

 

14

 

-

 

1,402

2.97

 

 

After 5 to 10 years

 

61,229

 

1,050

 

-

 

62,279

1.56

 

 

After 10 years

 

318,292

 

10,202

 

43

 

328,451

2.04

 

Total collateralized mortgage obligations - federal agencies

 

380,909

 

11,266

 

43

 

392,132

1.97

 

Mortgage-backed securities

 

 

 

 

 

 

 

 

 

 

 

Within 1 year

 

5,616

 

56

 

-

 

5,672

2.83

 

 

After 1 to 5 years

 

50,393

 

1,735

 

-

 

52,128

2.35

 

 

After 5 to 10 years

 

454,880

 

20,022

 

6

 

474,896

1.91

 

 

After 10 years

 

9,608,860

 

180,844

 

1,839

 

9,787,865

1.94

 

Total mortgage-backed securities

 

10,119,749

 

202,657

 

1,845

 

10,320,561

1.94

 

Other

 

 

 

 

 

 

 

 

 

 

 

After 1 to 5 years

 

224

 

11

 

-

 

235

3.62

 

Total other

 

224

 

11

 

-

 

235

3.62

 

Total debt securities available-for-sale[1]

$

21,035,610

$

527,430

$

1,888

$

21,561,152

1.66

%

[1]

Includes $18.2 billion pledged to secure government 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 $16.9 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 government 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.

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.

The following table presents the aggregate amortized cost and fair value of debt securities available-for-sale at December 31, 2020 by contractual maturity.

(In thousands)

 

Amortized cost

 

Fair value

Within 1 year

$

4,965,664

$

4,982,300

After 1 to 5 years

 

5,059,318

 

5,320,477

After 5 to 10 years

 

1,083,476

 

1,142,059

After 10 years

 

9,927,152

 

10,116,316

Total debt securities available-for-sale

$

21,035,610

$

21,561,152

During the years ended December 31, 2020 and 2019, the Corporation sold U.S. Treasury Notes and U.S. Treasury Bills, respectively. The proceeds from these sales were $5 million and $99 million, respectively. Gross realized gains and losses on the sale of debt securities available-for-sale for the years ended December 31, 2020, 2019 and 2018 were as follows:

(In thousands)

 

2020

 

2019

 

2018

Gross realized gains

$

41

$

-

$

-

Gross realized losses

 

-

 

(20)

 

-

Net realized gains (losses) on sale of debt securities available-for-sale

$

41

$

(20)

$

-

The following tables 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 December 31, 2020 and 2019.

 

 

At December 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

$

4,029

$

43

$

-

$

-

$

4,029

$

43

Mortgage-backed securities

 

886,432

 

1,834

 

555

 

11

 

886,987

 

1,845

Total debt securities available-for-sale in an unrealized loss position

$

890,461

$

1,877

$

555

$

11

$

891,016

$

1,888

 

 

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

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.

 

 

2020

 

2019

 

 

 

 

 

 

 

 

 

(In thousands)

Amortized cost

Fair value

Amortized cost

Fair value

FNMA

$

2,242,121

$

2,338,897

$

3,113,373

$

3,129,538

Freddie Mac

 

3,616,238

 

3,675,679

 

1,623,116

 

1,638,796