Debt securities held-to-maturity (Tables)

6 Months Ended

Jun. 30, 2023

Investments [Abstract]

Debt Securities, Held-to-maturity

At June 30, 2023

Allowance

Carrying

Value 

Gross 

Gross 

Weighted

Amortized 

Book

[1]

for Credit

Net of 

unrealized

unrealized

Fair 

average

(In thousands)

cost

Value

Losses

Allowance

gains 

losses

value

yield

U.S. Treasury securities 

Within 1 year

$

598,603

$

598,603

$

-

$

598,603

$

-

$

8,926

$

589,677

2.55

%

After 1 to 5 years

7,056,531

6,471,438

-

6,471,438

-

106,735

6,364,703

1.42

After 5 to 10 years

1,427,865

1,266,528

-

1,266,528

-

14,050

1,252,478

1.50

Total U.S. Treasury securities

9,082,999

8,336,569

-

8,336,569

-

129,711

8,206,858

1.51

Obligations of Puerto Rico, States and

political subdivisions

Within 1 year

4,730

4,730

12

4,718

12

5

4,725

6.14

After 1 to 5 years

20,282

20,282

195

20,087

95

156

20,026

3.74

After 5 to 10 years

1,025

1,025

33

992

33

-

1,025

5.80

After 10 years

40,434

40,434

5,905

34,529

3,172

2,801

34,900

1.41

Total obligations of Puerto Rico, States and

political subdivisions

66,471

66,471

6,145

60,326

3,312

2,962

60,676

2.53

Collateralized mortgage obligations - federal

agencies

Within 1 year

16

16

-

16

-

-

16

6.44

After 10 years

1,550

1,550

-

1,550

-

110

1,440

2.87

Total collateralized mortgage obligations -

federal agencies

1,566

1,566

-

1,566

-

110

1,456

2.91

Securities in wholly owned statutory business

trusts

After 10 years

5,960

5,960

-

5,960

-

-

5,960

6.33

Total securities in wholly owned statutory

business trusts

5,960

5,960

-

5,960

-

-

5,960

6.33

Total debt securities held-to-maturity [2]

$

9,156,996

$

8,410,566

$

6,145

$

8,404,421

$

3,312

$

132,783

$

8,274,950

1.52

%

[1]

Book value includes $

746

 million of net unrealized loss which remains in Accumulated other comprehensive income (AOCI) related to certain

securities transferred from available-for-sale securities portfolio to the held-to-maturity securities portfolio as discussed in Note 6.

[2]

Includes $

7.4

 billion pledged to secure public and trust deposits that the secured parties are not permitted to sell or repledge the collateral. The

Corporation had unpledged held-to-maturities securities with a fair value of $

934

 million that could be used to increase its borrowing facilities.

At December 31, 2022

Allowance 

Carrying

Value 

Gross 

Gross 

Weighted 

Amortized 

Book

[1]

for Credit

Net of

unrealized

unrealized

Fair 

average 

(In thousands)

cost

Value

Losses

Allowance

gains 

losses

value

yield

U.S. Treasury securities 

Within 1 year

$

499,034

$

499,034

$

-

$

499,034

$

-

$

6,203

$

492,831

2.83

%

After 1 to 5 years

6,147,568

5,640,767

-

5,640,767

-

59,806

5,580,961

1.49

After 5 to 10 years

2,638,238

2,313,666

-

2,313,666

-

14,857

2,298,809

1.41

Total U.S. Treasury securities

9,284,840

8,453,467

-

8,453,467

-

80,866

8,372,601

1.54

Obligations of Puerto Rico, States and

political subdivisions

`

Within 1 year

4,530

4,530

8

4,522

5

-

4,527

6.08

%

After 1 to 5 years

19,105

19,105

234

18,871

150

82

18,939

4.24

After 5 to 10 years

1,025

1,025

34

991

34

-

1,025

5.80

After 10 years

41,261

41,261

6,635

34,626

4,729

2,229

37,126

1.40

Total obligations of Puerto Rico, States and

political subdivisions

65,921

65,921

6,911

59,010

4,918

2,311

61,617

2.61

Collateralized mortgage obligations - federal

agencies

After 1 to 5 years

19

19

-

19

-

-

19

6.44

Total collateralized mortgage obligations -

federal agencies

19

19

-

19

-

-

19

6.44

Securities in wholly owned statutory business

trusts

After 10 years

5,959

5,959

-

5,959

-

-

5,959

6.33

Total securities in wholly owned statutory

business trusts

5,959

5,959

-

5,959

-

-

5,959

6.33

Total debt securities held-to-maturity [2]

$

9,356,739

$

8,525,366

$

6,911

$

8,518,455

$

4,918

$

83,177

$

8,440,196

1.55

%

[1]

Book value includes $

831

 million of net unrealized loss which remains in Accumulated other comprehensive income (AOCI) related to certain

securities transferred from available-for-sale securities portfolio to the held-to-maturity securities portfolio as discussed in Note 6.

[2]

Includes $

6.9

 billion pledged to secure public and trust deposits that the secured parties are not permitted to sell or repledge the collateral. The

Corporation had unpledged held-to-maturities securities with a fair value of $

1.5

 billion that could be used to increase its borrowing facilities.

Debt securities held to maturity credit quality indicator

At June 30, 2023

At December 31, 2022

(In thousands)

Securities issued by Puerto Rico municipalities

Watch

$

2,905

$

13,735

Pass

18,655

10,925

Total

$

21,560

$

24,660

Debt securities held to maturity allowance for credit loss

For the quarters ended June 30, 

2023

2022

(In thousands)

Obligations of Puerto Rico, States and political subdivisions

Allowance for credit losses:

Beginning balance

$

6,792

$

7,844

Provision for credit losses (benefit)

(647)

(349)

Securities charged-off

-

-

Recoveries

-

-

Ending balance

$

6,145

$

7,495

For the six months ended June 30, 

2023

2022

(In thousands)

Obligations of Puerto Rico, States and political subdivisions

Allowance for credit losses:

Beginning balance

$

6,911

$

8,096

Provision for credit losses (benefit)

(766)

(601)

Securities charged-off

-

-

Recoveries

-

-

Ending balance

$

6,145

$

7,495