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Debt securities available-for-sale | 6 Months Ended
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Jun. 30, 2022
Debt securities available-for-sale |
Debt Securities, Available-for-sale |
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, approximate fair value, weighted average yield and contractual maturities of debt securities available-for-sale at June 30, 2022 and December 31, 2021
|  | At June 30, 2022 |
|  |  |  | Gross | Gross |  |  | Weighted |
|  | Amortized | unrealized | unrealized | Fair | average |
(In thousands) | cost | gains | losses | value | yield |
U.S. Treasury securities |  |  |  |  |  |  |  |  |  |
| Within 1 year | $ | 3,846,972 | $ | 862 | $ | 14,196 | $ | 3,833,638 | 1.40 | %
| After 1 to 5 years |  | 11,863,562 |  | 21 |  | 593,726 |  | 11,269,857 | 1.28 |
| After 5 to 10 years |  | 4,115,435 |  | - |  | 378,448 |  | 3,736,987 | 1.36 |
Total U.S. Treasury securities |  | 19,825,969 |  | 883 |  | 986,370 |  | 18,840,482 | 1.32 |
Obligations of U.S. Government sponsored entities |  |  |  |  |  |  |  |  |  |
| Within 1 year |  | 70 |  | - |  | - |  | 70 | 5.51 |
Total obligations of U.S. Government sponsored entities |  | 70 |  | - |  | - |  | 70 | 5.51 |
Collateralized mortgage obligations - federal agencies |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years |  | 1,725 |  | - |  | 27 |  | 1,698 | 2.20 |
| After 5 to 10 years |  | 44,777 |  | 2 |  | 1,484 |  | 43,295 | 1.65 |
| After 10 years |  | 134,231 |  | 312 |  | 6,752 |  | 127,791 | 2.24 |
Total collateralized mortgage obligations - federal agencies |  | 180,733 |  | 314 |  | 8,263 |  | 172,784 | 2.09 |
Mortgage-backed securities |  |  |  |  |  |  |  |  |  |
| Within 1 year |  | 3 |  | - |  | - |  | 3 | 5.62 |
| After 1 to 5 years |  | 59,826 |  | 150 |  | 991 |  | 58,985 | 2.21 |
| After 5 to 10 years |  | 836,020 |  | 136 |  | 26,286 |  | 809,870 | 2.09 |
| After 10 years |  | 7,297,573 |  | 4,002 |  | 918,113 |  | 6,383,462 | 1.60 |
Total mortgage-backed securities |  | 8,193,422 |  | 4,288 |  | 945,390 |  | 7,252,320 | 1.66 |
Other |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years |  | 595 |  | - |  | - |  | 595 | 3.10 |
Total other |  | 595 |  | - |  | - |  | 595 | 3.10 |
Total debt securities available-for-sale[1] | $ | 28,200,789 | $ | 5,485 | $ | 1,940,023 | $ | 26,266,251 | 1.42 | %
[1] | Includes $20.7 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 $19.5 billion serve as collateral for public funds.
|  | At December 31, 2021 |
|  |  |  | Gross | Gross |  |  | Weighted |
|  | Amortized | unrealized | unrealized | Fair | average |
(In thousands) | cost | gains | losses | value | yield |
U.S. Treasury securities |  |  |  |  |  |  |  |  |  |
| Within 1 year | $ | 1,225,558 | $ | 13,556 | $ | 69 | $ | 1,239,045 | 2.33 | %
| After 1 to 5 years |  | 10,059,163 |  | 98,808 |  | 65,186 |  | 10,092,785 | 1.18 |
| After 5 to 10 years |  | 4,563,265 |  | 739 |  | 36,804 |  | 4,527,200 | 1.22 |
Total U.S. Treasury securities |  | 15,847,986 |  | 113,103 |  | 102,059 |  | 15,859,030 | 1.27 |
Obligations of U.S. Government sponsored entities |  |  |  |  |  |  |  |  |  |
| Within 1 year |  | 70 |  | - |  | - |  | 70 | 5.63 |
Total obligations of U.S. Government sponsored entities |  | 70 |  | - |  | - |  | 70 | 5.63 |
Collateralized mortgage obligations - federal agencies |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years |  | 2,433 |  | 42 |  | - |  | 2,475 | 2.16 |
| After 5 to 10 years |  | 43,241 |  | 295 |  | 6 |  | 43,530 | 1.54 |
| After 10 years |  | 172,176 |  | 3,441 |  | 357 |  | 175,260 | 2.13 |
Total collateralized mortgage obligations - federal agencies |  | 217,850 |  | 3,778 |  | 363 |  | 221,265 | 2.01 |
Mortgage-backed securities |  |  |  |  |  |  |  |  |  |
| Within 1 year |  | 11 |  | 1 |  | - |  | 12 | 4.79 |
| After 1 to 5 years |  | 65,749 |  | 2,380 |  | 11 |  | 68,118 | 2.23 |
| After 5 to 10 years |  | 665,600 |  | 17,998 |  | 5 |  | 683,593 | 1.97 |
| After 10 years |  | 8,263,835 |  | 68,128 |  | 195,910 |  | 8,136,053 | 1.67 |
Total mortgage-backed securities |  | 8,995,195 |  | 88,507 |  | 195,926 |  | 8,887,776 | 1.69 |
Other |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years |  | 123 |  | 5 |  | - |  | 128 | 3.62 |
Total other |  | 123 |  | 5 |  | - |  | 128 | 3.62 |
Total debt securities available-for-sale[1] | $ | 25,061,224 | $ | 205,393 | $ | 298,348 | $ | 24,968,269 | 1.42 | %
[1] | Includes $22.0 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 $20.9 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. No debt securities available-for-sale were sold during the six months ended June 30, 2022 and 2021. 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 June 30, 2022 and December 31, 2021.
|  | At June 30, 2022
| 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 | $ | 15,450,643 | $ | 945,084 | $ | 664,811 | $ | 41,286 | $ | 16,115,454 | $ | 986,370
Collateralized mortgage obligations - federal agencies |  | 148,922 |  | 8,166 |  | 852 |  | 97 |  | 149,774 |  | 8,263
Mortgage-backed securities |  | 2,972,601 |  | 218,959 |  | 4,176,733 |  | 726,431 |  | 7,149,334 |  | 945,390
Total debt securities available-for-sale in an unrealized loss position | $ | 18,572,166 | $ | 1,172,209 | $ | 4,842,396 | $ | 767,814 | $ | 23,414,562 | $ | 1,940,023
|  | At December 31, 2021
| 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 | $ | 9,590,448 | $ | 102,059 | $ | - | $ | - | $ | 9,590,448 | $ | 102,059
Collateralized mortgage obligations - federal agencies |  | 35,533 |  | 334 |  | 1,084 |  | 29 |  | 36,617 |  | 363
Mortgage-backed securities |  | 5,767,556 |  | 170,614 |  | 595,051 |  | 25,312 |  | 6,362,607 |  | 195,926
Total debt securities available-for-sale in an unrealized loss position | $ | 15,393,537 | $ | 273,007 | $ | 596,135 | $ | 25,341 | $ | 15,989,672 | $ | 298,348
As of June 30, 2022, the portfolio of available-for-sale debt securities reflects gross unrealized losses of approximately $1.9 billion, driven mainly by fixed-rate U.S. Treasury Securities and 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 FNMA, FHMLC and GNMA. As discussed in Note 2 to the Consolidated Financial Statements included in Form 10-K for the year ended December 31, 2021, 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 and no ACL for these securities has been established.

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- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2209399 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2324412 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI http://asc.fasb.org/topic&trid=2196928 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2176304 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Publisher SEC -Name Regulation S-K (SK) -Number 229 -Section 1403 -Paragraph (b) + Details
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