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Debt securities available-for-sale

9 Months Ended

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-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 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