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Debt securities available-for-sale
9 Months Ended
Sep. 30, 2024
Debt securities available-for-sale  
Schedule of Available-for-sale Securities [Line Items]  
Investments in debt and marketable equity securities
Note 5 – Debt securities available-for-sale
The
 
following
 
tables
 
present
 
the
 
amortized
 
cost,
 
gross
 
unrealized
 
gains
 
and
 
losses,
 
fair
 
value,
 
weighted
 
average
 
yield
 
and
contractual maturities of debt securities available-for-sale
 
at September 30, 2024 and December 31,
 
2023.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At September 30, 2024
Gross
Gross
Weighted
Amortized
unrealized
unrealized
Fair
 
average
(In thousands)
cost
gains
 
losses
value
yield
U.S. Treasury securities
Within 1 year
$
8,914,560
$
1,555
$
45,154
$
8,870,961
3.77
%
After 1 to 5 years
2,715,749
3,393
65,673
2,653,469
2.35
Total U.S. Treasury
 
securities
11,630,309
4,948
110,827
11,524,430
3.44
Collateralized mortgage obligations - federal agencies
After 1 to 5 years
12,176
-
393
11,783
1.54
After 5 to 10 years
16,512
-
763
15,749
2.25
After 10 years
107,656
403
7,038
101,021
2.76
Total collateralized
 
mortgage obligations - federal agencies
136,344
403
8,194
128,553
2.59
Mortgage-backed securities - federal agencies
Within 1 year
1,393
-
14
1,379
1.69
After 1 to 5 years
74,263
11
1,993
72,281
2.39
After 5 to 10 years
781,628
244
33,408
748,464
2.36
After 10 years
5,603,282
1,480
895,746
4,709,016
1.67
Total mortgage-backed
 
securities - federal agencies
6,460,566
1,735
931,161
5,531,140
1.76
Other
Within 1 year
500
-
-
500
4.00
After 1 to 5 years
1,500
-
-
1,500
8.50
Total other
 
2,000
-
-
2,000
7.38
Total debt securities
 
available-for-sale
[1]
$
18,229,219
$
7,086
$
1,050,182
$
17,186,123
2.84
%
[1]
 
Includes $
12.9
 
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 $
12.1
 
billion serve as collateral for
public funds.
 
The Corporation had unpledged Available
 
for Sale securities with a fair value of
 
$
4.2
 
billion that could be used to increase its
borrowing facilities.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2023
Gross
 
Gross
 
Weighted
 
Amortized
 
unrealized
unrealized
Fair
 
average
 
(In thousands)
cost
gains
 
losses
value
yield
U.S. Treasury securities
 
Within 1 year
$
7,103,518
$
526
$
59,415
$
7,044,629
3.51
%
After 1 to 5 years
3,598,209
84
170,209
3,428,084
1.35
After 5 to 10 years
307,512
-
33,164
274,348
1.63
Total U.S. Treasury
 
securities
11,009,239
610
262,788
10,747,061
2.75
Collateralized mortgage obligations - federal agencies
After 1 to 5 years
17,899
-
838
17,061
1.55
After 5 to 10 years
20,503
2
1,321
19,184
2.28
After 10 years
108,280
29
9,868
98,441
2.54
Total collateralized
 
mortgage obligations - federal agencies
146,682
31
12,027
134,686
2.38
Mortgage-backed securities - federal agencies
Within 1 year
637
-
3
634
3.72
After 1 to 5 years
82,310
11
3,536
78,785
2.34
After 5 to 10 years
792,431
75
48,250
744,256
2.28
After 10 years
6,067,353
667
1,046,909
5,021,111
1.64
Total mortgage-backed
 
securities - federal agencies
6,942,731
753
1,098,698
5,844,786
1.72
Other
Within 1 year
1,011
-
-
1,011
4.00
After 1 to 5 years
1,500
-
-
1,500
8.50
Total other
 
2,511
-
-
2,511
6.69
Total debt securities
 
available-for-sale
[1]
$
18,101,163
$
1,394
$
1,373,513
$
16,729,044
2.35
%
[1]
Includes $
12
 
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 $
11.1
 
billion serve as collateral for
public funds. The Corporation had unpledged Available
 
for Sale securities with a fair value of
 
$
4.6
 
billion that could be used to increase its
borrowing facilities.
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.
At September 30, 2024, the Corporation did
 
not intend to sell or believed
 
it was more likely than not
 
that it would be required to
 
sell
debt securities
 
classified as
 
available-for-sale. There were
no
 
debt securities
 
available-for-sale sold during
 
the nine
 
months ended
September 30, 2024 and 2023.
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, 2024 and December 31, 2023.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At September 30, 2024
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
$
651,502
$
2,369
$
4,457,595
$
108,458
$
5,109,097
$
110,827
Collateralized mortgage obligations - federal agencies
 
1,909
2
109,743
8,192
111,652
8,194
Mortgage-backed securities
27,420
569
5,428,612
930,592
5,456,032
931,161
Total debt securities
 
available-for-sale in an unrealized loss position
 
$
680,831
$
2,940
$
9,995,950
$
1,047,242
$
10,676,781
$
1,050,182
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2023
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
$
244,925
$
5,126
$
6,550,941
$
257,662
$
6,795,866
$
262,788
Collateralized mortgage obligations - federal agencies
 
5,234
35
124,930
11,992
130,164
12,027
Mortgage-backed securities
37,118
405
5,779,260
1,098,293
5,816,378
1,098,698
Total debt securities
 
available-for-sale in an unrealized loss position
 
$
287,277
$
5,566
$
12,455,131
$
1,367,947
$
12,742,408
$
1,373,513
As
 
of
 
September
 
30,
 
2024,
 
the
 
portfolio
 
of
 
available-for-sale
 
debt
 
securities
 
reflects
 
gross
 
unrealized
 
losses
 
of
 
$
1.1
 
billion
(December 31,
 
2023 -
 
$
1.4
 
billion), driven
 
mainly by
 
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 Federal
 
National
Mortgage
 
Association
 
(“FNMA”),
 
Federal
 
Home
 
Loan
 
Mortgage
 
Corporation
 
(“FHLMC”)
 
and
 
Government
 
National
 
Mortgage
Association (“GNMA”). As
 
discussed in
 
Note 2
 
of the
 
2023 Form
 
10-K, 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.