Debt securities available-for-sale

6 Months Ended

Jun. 30, 2022

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 June 30, 2022 and December 31, 2021

		At June 30, 2022
				Gross		Gross				Weighted
		Amortized		unrealized		unrealized		Fair		average
(In thousands)		cost		gains		losses		value		yield
U.S. Treasury securities
	Within 1 year	$	3,846,972	$	862	$	14,196	$	3,833,638	1.40	%
	After 1 to 5 years		11,863,562		21		593,726		11,269,857	1.28
	After 5 to 10 years		4,115,435		-		378,448		3,736,987	1.36
Total U.S. Treasury securities			19,825,969		883		986,370		18,840,482	1.32
Obligations of U.S. Government sponsored entities
	Within 1 year		70		-		-		70	5.51
Total obligations of U.S. Government sponsored entities			70		-		-		70	5.51
Collateralized mortgage obligations - federal agencies
	After 1 to 5 years		1,725		-		27		1,698	2.20
	After 5 to 10 years		44,777		2		1,484		43,295	1.65
	After 10 years		134,231		312		6,752		127,791	2.24
Total collateralized mortgage obligations - federal agencies			180,733		314		8,263		172,784	2.09
Mortgage-backed securities
	Within 1 year		3		-		-		3	5.62
	After 1 to 5 years		59,826		150		991		58,985	2.21
	After 5 to 10 years		836,020		136		26,286		809,870	2.09
	After 10 years		7,297,573		4,002		918,113		6,383,462	1.60
Total mortgage-backed securities			8,193,422		4,288		945,390		7,252,320	1.66
Other
	After 1 to 5 years		595		-		-		595	3.10
Total other			595		-		-		595	3.10
Total debt securities available-for-sale[1]		$	28,200,789	$	5,485	$	1,940,023	$	26,266,251	1.42	%
[1]	Includes $20.7 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 $19.5 billion serve as collateral for public funds.

		At December 31, 2021
				Gross		Gross				Weighted
		Amortized		unrealized		unrealized		Fair		average
(In thousands)		cost		gains		losses		value		yield
U.S. Treasury securities
	Within 1 year	$	1,225,558	$	13,556	$	69	$	1,239,045	2.33	%
	After 1 to 5 years		10,059,163		98,808		65,186		10,092,785	1.18
	After 5 to 10 years		4,563,265		739		36,804		4,527,200	1.22
Total U.S. Treasury securities			15,847,986		113,103		102,059		15,859,030	1.27
Obligations of U.S. Government sponsored entities
	Within 1 year		70		-		-		70	5.63
Total obligations of U.S. Government sponsored entities			70		-		-		70	5.63
Collateralized mortgage obligations - federal agencies
	After 1 to 5 years		2,433		42		-		2,475	2.16
	After 5 to 10 years		43,241		295		6		43,530	1.54
	After 10 years		172,176		3,441		357		175,260	2.13
Total collateralized mortgage obligations - federal agencies			217,850		3,778		363		221,265	2.01
Mortgage-backed securities
	Within 1 year		11		1		-		12	4.79
	After 1 to 5 years		65,749		2,380		11		68,118	2.23
	After 5 to 10 years		665,600		17,998		5		683,593	1.97
	After 10 years		8,263,835		68,128		195,910		8,136,053	1.67
Total mortgage-backed securities			8,995,195		88,507		195,926		8,887,776	1.69
Other
	After 1 to 5 years		123		5		-		128	3.62
Total other			123		5		-		128	3.62
Total debt securities available-for-sale[1]		$	25,061,224	$	205,393	$	298,348	$	24,968,269	1.42	%
[1]	Includes $22.0 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 $20.9 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.

No debt securities available-for-sale were sold during the six months ended June 30, 2022 and 2021.

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 June 30, 2022 and December 31, 2021.

	At June 30, 2022
	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	$	15,450,643	$	945,084	$	664,811	$	41,286	$	16,115,454	$	986,370
Collateralized mortgage obligations - federal agencies		148,922		8,166		852		97		149,774		8,263
Mortgage-backed securities		2,972,601		218,959		4,176,733		726,431		7,149,334		945,390
Total debt securities available-for-sale in an unrealized loss position	$	18,572,166	$	1,172,209	$	4,842,396	$	767,814	$	23,414,562	$	1,940,023

	At December 31, 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	$	9,590,448	$	102,059	$	-	$	-	$	9,590,448	$	102,059
Collateralized mortgage obligations - federal agencies		35,533		334		1,084		29		36,617		363
Mortgage-backed securities		5,767,556		170,614		595,051		25,312		6,362,607		195,926
Total debt securities available-for-sale in an unrealized loss position	$	15,393,537	$	273,007	$	596,135	$	25,341	$	15,989,672	$	298,348

As of June 30, 2022, the portfolio of available-for-sale debt securities reflects gross unrealized losses of approximately $1.9 billion, driven mainly by fixed-rate U.S. Treasury Securities and mortgage-backed securities, which have been impacted by a decline in fair value as a result of the rising interest rate environment. The portfolio of available-for-sale debt securities is comprised mainly of U.S Treasuries and obligations from the U.S. Government, its agencies or government sponsored entities, including FNMA, FHMLC and GNMA. As discussed in Note 2 to the Consolidated Financial Statements included in Form 10-K for the year ended December 31, 2021, these securities carry an explicit or implicit guarantee from the U.S. Government, are highly rated by major rating agencies, and have a long history of no credit losses. Accordingly, the Corporation applies a zero-credit loss assumption and no ACL for these securities has been established.