Debt securities available-for-sale

9 Months Ended

Sep. 30, 2021

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 September 30, 2021 and December 31, 2020

		At September 30, 2021
				Gross		Gross				Weighted
		Amortized		unrealized		unrealized		Fair		average
(In thousands)		cost		gains		losses		value		yield
U.S. Treasury securities
	Within 1 year	$	2,044,124	$	14,907	$	2	$	2,059,029	1.43	%
	After 1 to 5 years		9,119,008		165,170		10,487		9,273,691	1.24
	After 5 to 10 years		3,290,414		6,262		12,447		3,284,229	1.12
Total U.S. Treasury securities			14,453,546		186,339		22,936		14,616,949	1.25
Obligations of U.S. Government sponsored entities
	Within 1 year		70		1		-		71	5.63
Total obligations of U.S. Government sponsored entities			70		1		-		71	5.63
Collateralized mortgage obligations - federal agencies
	After 1 to 5 years		527		2		-		529	2.52
	After 5 to 10 years		49,410		842		-		50,252	1.58
	After 10 years		194,123		5,658		71		199,710	2.10
Total collateralized mortgage obligations - federal agencies			244,060		6,502		71		250,491	2.00
Mortgage-backed securities
	Within 1 year		5,513		1		1		5,513	1.98
	After 1 to 5 years		55,423		2,549		9		57,963	2.35
	After 5 to 10 years		667,142		22,843		4		689,981	1.92
	After 10 years		8,815,176		95,593		140,667		8,770,102	1.72
Total mortgage-backed securities			9,543,254		120,986		140,681		9,523,559	1.74
Other
	After 1 to 5 years		148		8		-		156	3.62
Total other			148		8		-		156	3.62
Total debt securities available-for-sale[1]		$	24,241,078	$	313,836	$	163,688	$	24,391,226	1.44	%
[1]	Includes $21.8 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 $20.7 billion serve as collateral for public funds.

		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.

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 based on 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.

During the nine months ended September 30, 2021 and 2020, the Corporation sold U.S. Treasury Notes. The proceeds from these sales were $236 million and $5 million, respectively.

The following table presents the Corporation’s gross realized gains and losses on the sale of debt securities available-for-sale for the quarters and nine months ended September 30, 2021 and 2020.

	For the quarter ended September 30,				Nine months ended September 30,
(In thousands)		2021		2020		2021		2020
Gross realized gains	$	695	$	41	$	695	$	41
Gross realized losses		(672)		-		(672)		-
Net realized gains on sale of debt securities available-for-sale	$	23	$	41	$	23	$	41

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 September 30, 2021 and December 31, 2020.

	At September 30, 2021
	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	$	4,607,689	$	22,936	$	-	$	-	$	4,607,689	$	22,936
Collateralized mortgage obligations - federal agencies		22,197		56		1,124		15		23,321		71
Mortgage-backed securities		6,743,824		140,671		342		10		6,744,166		140,681
Total debt securities available-for-sale in an unrealized loss position	$	11,373,710	$	163,663	$	1,466	$	25	$	11,375,176	$	163,688

	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

As of September 30, 2021, the portfolio of available-for-sale debt securities reflects gross unrealized losses of approximately $164 million, driven mainly by mortgage-backed securities, which were impacted by increases in the interest rate environment.

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.

		September 30, 2021				December 31, 2020
(In thousands)	Amortized cost		Fair value		Amortized cost		Fair value
FNMA	$	1,674,044	$	1,747,848	$	2,242,121	$	2,338,897
Freddie Mac		3,417,413		3,394,380		3,616,238		3,675,679