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Debt securities available-for-sale | 9 Months Ended
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Sep. 30, 2020
Debt securities available-for-sale |
Debt Securities, Available-for-sale |
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, 2020 and December 31, 2019
|  | At September 30, 2020 |
|  |  |  | Gross | Gross |  |  | Weighted |
|  | Amortized | unrealized | unrealized | Fair | average |
(In thousands) | cost | gains | losses | value | yield |
U.S. Treasury securities |  |  |  |  |  |  |  |  |  |
| Within 1 year | $ | 5,379,791 | $ | 16,184 | $ | - | $ | 5,395,975 | 0.65 | %
| After 1 to 5 years |  | 5,029,655 |  | 270,498 |  | - |  | 5,300,153 | 2.09 |
| After 5 to 10 years |  | 886,769 |  | 64,694 |  | - |  | 951,463 | 1.72 |
Total U.S. Treasury securities |  | 11,296,215 |  | 351,376 |  | - |  | 11,647,591 | 1.37 |
Obligations of U.S. Government sponsored entities |  |  |  |  |  |  |  |  |  |
| Within 1 year |  | 59,977 |  | 302 |  | - |  | 60,279 | 1.47 |
| After 1 to 5 years |  | 90 |  | 2 |  | - |  | 92 | 5.63 |
Total obligations of U.S. Government sponsored entities |  | 60,067 |  | 304 |  | - |  | 60,371 | 1.48 |
Collateralized mortgage obligations - federal agencies |  |  |  |  |  |  |  |  |  |
| Within 1 year |  | 20 |  | - |  | - |  | 20 | 1.37 |
| After 1 to 5 years |  | 239 |  | 3 |  | - |  | 242 | 2.16 |
| After 5 to 10 years |  | 69,780 |  | 1,184 |  | - |  | 70,964 | 1.62 |
| After 10 years |  | 367,974 |  | 11,167 |  | 61 |  | 379,080 | 2.03 |
Total collateralized mortgage obligations - federal agencies |  | 438,013 |  | 12,354 |  | 61 |  | 450,306 | 1.98 |
Mortgage-backed securities |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years |  | 63,157 |  | 2,071 |  | 8 |  | 65,220 | 2.39 |
| After 5 to 10 years |  | 389,976 |  | 16,636 |  | 15 |  | 406,597 | 1.86 |
| After 10 years |  | 8,374,132 |  | 178,637 |  | 5,272 |  | 8,547,497 | 2.05 |
Total mortgage-backed securities |  | 8,827,265 |  | 197,344 |  | 5,295 |  | 9,019,314 | 2.05 |
Other |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years |  | 246 |  | 11 |  | - |  | 257 | 3.62 |
Total other |  | 246 |  | 11 |  | - |  | 257 | 3.62 |
Total debt securities available-for-sale[1] | $ | 20,621,806 | $ | 561,389 | $ | 5,356 | $ | 21,177,839 | 1.66 | %
[1] | Includes $16.7 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 $15.3 billion serve as collateral for public funds.
|  | At December 31, 2019 |
|  |  |  | Gross | Gross |  |  | Weighted |
|  | Amortized | unrealized | unrealized | Fair | average |
(In thousands) | cost | gains | losses | value | yield |
U.S. Treasury securities |  |  |  |  |  |  |  |  |  |
| Within 1 year | $ | 5,071,201 | $ | 3,262 | $ | 567 | $ | 5,073,896 | 1.58 | %
| After 1 to 5 years |  | 5,137,804 |  | 75,597 |  | 3,435 |  | 5,209,966 | 2.19 |
| After 5 to 10 years |  | 1,778,568 |  | 429 |  | 6,604 |  | 1,772,393 | 1.70 |
Total U.S. Treasury securities |  | 11,987,573 |  | 79,288 |  | 10,606 |  | 12,056,255 | 1.86 |
Obligations of U.S. Government sponsored entities |  |  |  |  |  |  |  |  |  |
| Within 1 year |  | 62,492 |  | 2 |  | 21 |  | 62,473 | 1.45 |
| After 1 to 5 years |  | 60,021 |  | - |  | 90 |  | 59,931 | 1.48 |
Total obligations of U.S. Government sponsored entities |  | 122,513 |  | 2 |  | 111 |  | 122,404 | 1.47 |
Obligations of Puerto Rico, States and political subdivisions |  |  |  |  |  |  |  |  |  |
| Within 1 year |  | 6,975 |  | - |  | - |  | 6,975 | - |
Total obligations of Puerto Rico, States and political subdivisions |  | 6,975 |  | - |  | - |  | 6,975 | - |
Collateralized mortgage obligations - federal agencies |  |  |  |  |  |  |  |  |  |
| Within 1 year |  | 236 |  | - |  | - |  | 236 | 1.83 |
| After 1 to 5 years |  | 350 |  | 1 |  | - |  | 351 | 2.16 |
| After 5 to 10 years |  | 85,079 |  | 31 |  | 1,180 |  | 83,930 | 1.63 |
| After 10 years |  | 504,391 |  | 3,640 |  | 6,373 |  | 501,658 | 2.08 |
Total collateralized mortgage obligations - federal agencies |  | 590,056 |  | 3,672 |  | 7,553 |  | 586,175 | 2.02 |
Mortgage-backed securities |  |  |  |  |  |  |  |  |  |
| Within 1 year |  | 16 |  | - |  | - |  | 16 | 2.13 |
| After 1 to 5 years |  | 36,717 |  | 852 |  | 1 |  | 37,568 | 3.38 |
| After 5 to 10 years |  | 350,373 |  | 1,958 |  | 1,303 |  | 351,028 | 2.02 |
| After 10 years |  | 4,447,561 |  | 60,384 |  | 20,243 |  | 4,487,702 | 2.60 |
Total mortgage-backed securities |  | 4,834,667 |  | 63,194 |  | 21,547 |  | 4,876,314 | 2.57 |
Other |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years |  | 341 |  | 9 |  | - |  | 350 | 3.62 |
Total other |  | 341 |  | 9 |  | - |  | 350 | 3.62 |
Total debt securities available-for-sale[1] | $ | 17,542,125 | $ | 146,165 | $ | 39,817 | $ | 17,648,473 | 2.05 | %
[1] | Includes $12.2 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 $10.9 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, 2020 and 2019 the Corporation sold U.S. Treasury Notes and U.S. Treasury Bills, respectively. The proceeds from these sales were $ 5 million and $99 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, 2020 and 2019.
| For the quarter ended September 30, | Nine months ended September 30,
(In thousands) |  | 2020 |  | 2019 |  | 2020 |  | 2019
Gross realized gains | $ | 41 | $ | - | $ | 41 | $ | -
Gross realized losses |  | - |  | (20) |  | - |  | (20)
Net realized losses on sale of debt securities available-for-sale | $ | 41 | $ | (20) | $ | 41 | $ | (20)
The following table 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, 2020 and December 31, 2019.
|  | At September 30, 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 | $ | 19,920 | $ | 61 | $ | - | $ | - | $ | 19,920 | $ | 61
Mortgage-backed securities |  | 1,752,642 |  | 5,267 |  | 910 |  | 28 |  | 1,753,552 |  | 5,295
Total debt securities available-for-sale in an unrealized loss position | $ | 1,772,562 | $ | 5,328 | $ | 910 | $ | 28 | $ | 1,773,472 | $ | 5,356
|  | At December 31, 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 | $ | 2,439,114 | $ | 9,798 | $ | 452,784 | $ | 808 | $ | 2,891,898 | $ | 10,606
Obligations of U.S. Government sponsored entities |  | 9,973 |  | 4 |  | 99,846 |  | 107 |  | 109,819 |  | 111
Collateralized mortgage obligations - federal agencies |  | 114,603 |  | 537 |  | 310,315 |  | 7,016 |  | 424,918 |  | 7,553
Mortgage-backed securities |  | 179,312 |  | 693 |  | 1,784,414 |  | 20,854 |  | 1,963,726 |  | 21,547
Total debt securities available-for-sale in an unrealized loss position | $ | 2,743,002 | $ | 11,032 | $ | 2,647,359 | $ | 28,785 | $ | 5,390,361 | $ | 39,817
As of September 30, 2020, the portfolio of available-for-sale debt securities reflects gross unrealized losses of approximately $5 million, driven mainly by mortgage-backed securities. 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, 2020 |  | December 31, 2019
(In thousands) | Amortized cost | Fair value | Amortized cost | Fair value
FNMA | $ | 2,478,911 | $ | 2,583,405 | $ | 3,113,373 | $ | 3,129,538
Freddie Mac |  | 3,089,137 |  | 3,148,769 |  | 1,623,116 |  | 1,638,796

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