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Debt securities available-for-sale | 9 Months Ended
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Sep. 30, 2019
Debt securities available-for-sale |
Schedule of Available-for-sale Securities [Line Items] |
Investments in debt and marketable equity securities | Note 6 – Debt securities available-for-sale The 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, 2019 and December 31, 2018
|  | At September 30, 2019 |
|  |  |  | Gross | Gross |  |  | Weighted |
|  | Amortized | unrealized | unrealized | Fair | average |
(In thousands) | cost | gains | losses | value | yield |
U.S. Treasury securities |  |  |  |  |  |  |  |  |  |
| Within 1 year | $ | 5,593,503 | $ | 2,924 | $ | 1,789 | $ | 5,594,638 | 1.88 | %
| After 1 to 5 years |  | 4,200,129 |  | 86,143 |  | 862 |  | 4,285,410 | 2.34 |
| After 5 to 10 years |  | 624,188 |  | 1,912 |  | 1,860 |  | 624,240 | 1.60 |
Total U.S. Treasury securities |  | 10,417,820 |  | 90,979 |  | 4,511 |  | 10,504,288 | 2.05 |
Obligations of U.S. Government sponsored entities |  |  |  |  |  |  |  |  |  |
| Within 1 year |  | 127,485 |  | 6 |  | 174 |  | 127,317 | 1.40 |
| After 1 to 5 years |  | 60,005 |  | 1 |  | 231 |  | 59,775 | 1.48 |
Total obligations of U.S. Government sponsored entities |  | 187,490 |  | 7 |  | 405 |  | 187,092 | 1.43 |
Obligations of Puerto Rico, States and political subdivisions |  |  |  |  |  |  |  |  |  |
| Within 1 year |  | 6,975 |  | - |  | 44 |  | 6,931 | - |
Total obligations of Puerto Rico, States and political subdivisions |  | 6,975 |  | - |  | 44 |  | 6,931 | - |
Collateralized mortgage obligations - federal agencies |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years |  | 725 |  | - |  | 1 |  | 724 | 2.02 |
| After 5 to 10 years |  | 91,024 |  | 32 |  | 1,210 |  | 89,846 | 1.64 |
| After 10 years |  | 541,407 |  | 4,410 |  | 5,751 |  | 540,066 | 2.09 |
Total collateralized mortgage obligations - federal agencies |  | 633,156 |  | 4,442 |  | 6,962 |  | 630,636 | 2.02 |
Mortgage-backed securities |  |  |  |  |  |  |  |  |  |
| Within 1 year |  | 37 |  | - |  | - |  | 37 | 2.05 |
| After 1 to 5 years |  | 39,627 |  | 861 |  | 2 |  | 40,486 | 3.35 |
| After 5 to 10 years |  | 315,038 |  | 2,623 |  | 1,391 |  | 316,270 | 2.04 |
| After 10 years |  | 4,751,236 |  | 64,743 |  | 22,982 |  | 4,792,997 | 2.61 |
Total mortgage-backed securities |  | 5,105,938 |  | 68,227 |  | 24,375 |  | 5,149,790 | 2.58 |
Other |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years |  | 364 |  | 9 |  | - |  | 373 | 3.62 |
Total other |  | 364 |  | 9 |  | - |  | 373 | 3.62 |
Total debt securities available-for-sale[1] | $ | 16,351,743 | $ | 163,664 | $ | 36,297 | $ | 16,479,110 | 2.20 | %
[1] | Includes $12.9 billion pledged to secure public 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 $11.7 billion serve as collateral for public funds.
|  | At December 31, 2018 |
|  |  |  | Gross | Gross |  |  | Weighted |
|  | Amortized | unrealized | unrealized | Fair | average |
(In thousands) | cost | gains | losses | value | yield |
U.S. Treasury securities |  |  |  |  |  |  |  |  |  |
| Within 1 year | $ | 3,565,571 | $ | 108 | $ | 5,319 | $ | 3,560,360 | 2.10 | %
| After 1 to 5 years |  | 4,483,741 |  | 13,647 |  | 35,213 |  | 4,462,175 | 2.25 |
| After 5 to 10 years |  | 245,891 |  | 3,770 |  | - |  | 249,661 | 2.84 |
Total U.S. Treasury securities |  | 8,295,203 |  | 17,525 |  | 40,532 |  | 8,272,196 | 2.21 |
Obligations of U.S. Government sponsored entities |  |  |  |  |  |  |  |  |  |
| Within 1 year |  | 212,951 |  | - |  | 1,406 |  | 211,545 | 1.44 |
| After 1 to 5 years |  | 123,857 |  | 1 |  | 2,094 |  | 121,764 | 1.51 |
Total obligations of U.S. Government sponsored entities |  | 336,808 |  | 1 |  | 3,500 |  | 333,309 | 1.47 |
Obligations of Puerto Rico, States and political subdivisions |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years |  | 6,926 |  | - |  | 184 |  | 6,742 | 0.70 |
Total obligations of Puerto Rico, States and political subdivisions |  | 6,926 |  | - |  | 184 |  | 6,742 | 0.70 |
Collateralized mortgage obligations - federal agencies |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years |  | 749 |  | - |  | 7 |  | 742 | 1.92 |
| After 5 to 10 years |  | 115,744 |  | 1 |  | 4,715 |  | 111,030 | 1.71 |
| After 10 years |  | 638,995 |  | 1,584 |  | 23,680 |  | 616,899 | 2.10 |
Total collateralized mortgage obligations - federal agencies |  | 755,488 |  | 1,585 |  | 28,402 |  | 728,671 | 2.04 |
Mortgage-backed securities |  |  |  |  |  |  |  |  |  |
| Within 1 year |  | 431 |  | 4 |  | - |  | 435 | 4.30 |
| After 1 to 5 years |  | 6,762 |  | 43 |  | 1 |  | 6,804 | 2.74 |
| After 5 to 10 years |  | 365,727 |  | 1,090 |  | 8,499 |  | 358,318 | 2.19 |
| After 10 years |  | 3,710,731 |  | 10,679 |  | 128,189 |  | 3,593,221 | 2.45 |
Total mortgage-backed securities |  | 4,083,651 |  | 11,816 |  | 136,689 |  | 3,958,778 | 2.43 |
Other |  |  |  |  |  |  |  |  |  |
| After 5 to 10 years |  | 486 |  | 2 |  | - |  | 488 | 3.62 |
Total other |  | 486 |  | 2 |  | - |  | 488 | 3.62 |
Total debt securities available-for-sale[1] | $ | 13,478,562 | $ | 30,929 | $ | 209,307 | $ | 13,300,184 | 2.25 | %
[1] | Includes $8.9 billion pledged to secure public 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 $7.9 billion serve as collateral for public funds.
The weighted average yield on investment 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 quarter ended September 30, 2019, the Corporation sold U.S. Treasury Bills. The proceeds from these sales were $ 99 million. No debt securities available-for-sale were sold during the nine months ended September 30, 2018.
| For the quarter ended September 30, | Nine months ended September 30,
(In thousands) |  | 2019 |  | 2018 |  | 2019 |  | 2018
Gross realized gains | $ | - | $ | - | $ | - | $ | -
Gross realized losses |  | (20) |  | - |  | (20) |  | -
Net realized losses on sale of debt securities available-for-sale | $ | (20) | $ | - | $ | (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 September 30, 2019 and December 31, 2018.
|  | At September 30, 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 | $ | 900,818 | $ | 2,376 | $ | 639,001 | $ | 2,135 | $ | 1,539,819 | $ | 4,511
Obligations of U.S. Government sponsored entities |  | 9,947 |  | 25 |  | 176,356 |  | 380 |  | 186,303 |  | 405
Obligations of Puerto Rico, States and political subdivisions |  | - |  | - |  | 6,931 |  | 44 |  | 6,931 |  | 44
Collateralized mortgage obligations - federal agencies |  | 103,443 |  | 467 |  | 343,994 |  | 6,495 |  | 447,437 |  | 6,962
Mortgage-backed securities |  | 177,382 |  | 480 |  | 1,977,343 |  | 23,895 |  | 2,154,725 |  | 24,375
Total debt securities available-for-sale in an unrealized loss position | $ | 1,191,590 | $ | 3,348 | $ | 3,143,625 | $ | 32,949 | $ | 4,335,215 | $ | 36,297
|  | At December 31, 2018
| 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 | $ | 3,189,007 | $ | 4,188 | $ | 2,607,276 | $ | 36,343 | $ | 5,796,283 | $ | 40,531
Obligations of U.S. Government sponsored entities |  | 14,847 |  | 46 |  | 318,271 |  | 3,454 |  | 333,118 |  | 3,500
Obligations of Puerto Rico, States and political subdivisions |  | - |  | - |  | 6,742 |  | 184 |  | 6,742 |  | 184
Collateralized mortgage obligations - federal agencies |  | 66,652 |  | 489 |  | 587,869 |  | 27,913 |  | 654,521 |  | 28,402
Mortgage-backed securities |  | 125,872 |  | 2,280 |  | 3,478,635 |  | 134,410 |  | 3,604,507 |  | 136,690
Total debt securities available-for-sale in an unrealized loss position | $ | 3,396,378 | $ | 7,003 | $ | 6,998,793 | $ | 202,304 | $ | 10,395,171 | $ | 209,307
As of September 30, 2019, the portfolio of available-for-sale debt securities reflects gross unrealized losses of approximately $36 million, driven mainly by mortgage-backed securities, U.S. Treasury securities and collateralized mortgage obligations. Management evaluates debt securities for other-than-temporary (“OTTI”) declines in fair value on a quarterly basis. Once a decline in value is determined to be other-than-temporary, the value of a debt security is reduced and a corresponding charge to earnings is recognized for anticipated credit losses. The OTTI analysis requires management to consider various factors, which include, but are not limited to: (1) the length of time and the extent to which fair value has been less than the amortized cost basis, (2) the financial condition of the issuer or issuers, (3) actual collateral attributes, (4) the payment structure of the debt security and the likelihood of the issuer being able to make payments, (5) any rating changes by a rating agency, (6) adverse conditions specifically related to the security, industry, or a geographic area, and (7) management’s intent to sell the debt security or whether it is more likely than not that the Corporation would be required to sell the debt security before a forecasted recovery occurs. At September 30, 2019, management performed its quarterly analysis of all debt securities in an unrealized loss position. Based on the analysis performed, management concluded that no individual debt security was other-than-temporarily impaired as of such date. At September 30, 2019, the Corporation did not have the intent to sell debt securities in an unrealized loss position and it was not more likely than not that the Corporation would have to sell the debt securities prior to recovery of their amortized cost basis. 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, 2019 |  | December 31, 2018
(In thousands) | Amortized cost | Fair value | Amortized cost | Fair value
FNMA | $ | 3,334,102 | $ | 3,351,007 | $ | 2,999,110 | $ | 2,901,904
Freddie Mac |  | 1,722,954 |  | 1,739,165 |  | 1,095,855 |  | 1,058,013

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