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Debt securities available-for-sale | 9 Months Ended
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Sep. 30, 2023
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, 2023 and December 31, 2022. At September 30, 2023 Gross Gross Weighted Amortized unrealized unrealized Fair average (In thousands) cost gains losses value yield U.S. Treasury securities Within 1 year $ 7,041,817 $ 421 $ 67,663 $ 6,974,575 3.51 % After 1 to 5 years 4,364,065 - 271,553 4,092,512 1.36 After 5 to 10 years 307,852 - 45,258 262,594 1.63 Total U.S. Treasury securities 11,713,734 421 384,474 11,329,681 2.65 Collateralized mortgage obligations - federal agencies After 1 to 5 years 19,312 - 1,163 18,149 1.53 After 5 to 10 years 22,371 - 1,857 20,514 2.26 After 10 years 112,566 7 13,222 99,351 2.54 Total collateralized mortgage obligations - federal agencies 154,249 7 16,242 138,014 2.37 Mortgage-backed securities Within 1 year 1,302 - 48 1,254 3.56 After 1 to 5 years 79,987 3 4,760 75,230 2.37 After 5 to 10 years 778,578 13 71,731 706,860 2.22 After 10 years 6,264,509 177 1,386,889 4,877,797 1.65 Total mortgage-backed securities 7,124,376 193 1,463,428 5,661,141 1.72 Other Within 1 year 1,022 - - 1,022 3.99 Total other 1,022 - - 1,022 3.99 Total debt securities available-for-sale [1] $ 18,993,381 $ 621 $ 1,864,144 $ 17,129,858 2.30 % [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 .0 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, 2022 Gross Gross Weighted Amortized unrealized unrealized Fair average (In thousands) cost gains losses value yield U.S. Treasury securities Within 1 year $ 4,576,127 $ 506 $ 47,156 $ 4,529,477 2.42 % After 1 to 5 years 6,793,739 - 410,858 6,382,881 1.35 After 5 to 10 years 308,854 - 40,264 268,590 1.63 Total U.S. Treasury securities 11,678,720 506 498,278 11,180,948 1.78 Collateralized mortgage obligations - federal agencies After 1 to 5 years 3,914 - 213 3,701 1.77 After 5 to 10 years 47,979 - 3,428 44,551 1.73 After 10 years 127,639 24 10,719 116,944 2.53 Total collateralized mortgage obligations - federal agencies 179,532 24 14,360 165,196 2.30 Mortgage-backed securities After 1 to 5 years 74,328 11 3,428 70,911 2.33 After 5 to 10 years 866,757 43 58,997 807,803 2.16 After 10 years 6,762,150 932 1,184,626 5,578,456 1.61 Total mortgage-backed securities 7,703,235 986 1,247,051 6,457,170 1.68 Other After 1 to 5 years 1,062 - 2 1,060 3.98 Total other 1,062 - 2 1,060 3.98 Total debt securities available-for-sale [1] $ 19,562,549 $ 1,516 $ 1,759,691 $ 17,804,374 1.75 % [1] Includes $ 11.3 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 $ 10.3 billion serve as collateral for public funds. The Corporation had unpledged Available for Sale securities with a fair value of $ 6.4 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. There were no debt securities available-for-sale sold during the nine months ended September 30, 2023 and 2022. 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, 2023 and December 31, 2022. At September 30, 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 $ 350,471 $ 8,546 $ 7,111,545 $ 375,928 $ 7,462,016 $ 384,474 Collateralized mortgage obligations - federal agencies 8,212 214 127,961 16,028 136,173 16,242 Mortgage-backed securities 50,837 1,571 5,595,532 1,461,857 5,646,369 1,463,428 Total debt securities available-for-sale in an unrealized loss position $ 409,520 $ 10,331 $ 12,835,038 $ 1,853,813 $ 13,244,558 $ 1,864,144 At December 31, 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 $ 6,027,786 $ 288,582 $ 3,244,572 $ 209,696 $ 9,272,358 $ 498,278 Collateralized mortgage obligations - federal agencies 139,845 10,655 22,661 3,705 162,506 14,360 Mortgage-backed securities 1,740,214 138,071 4,662,195 1,108,980 6,402,409 1,247,051 Other 60 2 - - 60 2 Total debt securities available-for-sale in an unrealized loss position $ 7,907,905 $ 437,310 $ 7,929,428 $ 1,322,381 $ 15,837,333 $ 1,759,691 As of September 30, 2023, the portfolio of available-for-sale debt securities reflects gross unrealized losses of $ 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 on the 2022 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 and no ACL for these securities has been established. In October 2022, the Corporation transferred U.S. Treasury securities with a fair value of $ 6.5 billion (par value of $ 7.4 billion) from its available-for-sale portfolio to its held-to-maturity portfolio. Management changed its intent, given its ability to hold these securities to maturity due to the Corporation’s liquidity position and its intention to reduce the impact on accumulated other comprehensive income (loss) (“AOCI”) and tangible capital of further increases in interest rates. The securities were reclassified at fair value at the time of the transfer. At the date of the transfer, these securities had pre-tax unrealized losses of $ 873 million recorded in AOCI. This fair value discount is being accreted to interest income and the unrealized loss remaining in AOCI is being amortized, offsetting each other through the remaining life of the securities. There were no realized gains or losses recorded as a result of this transfer.

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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 https://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 https://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 https://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 https://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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