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Debt securities held-to-maturity (Tables) | 9 Months Ended
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Sep. 30, 2023
Investments [Abstract] |
Debt Securities, Held-to-maturity | At September 30, 2023 Allowance Carrying Value Gross Gross Weighted Amortized Book [1] for Credit Net of unrealized unrealized Fair average (In thousands) cost Value Losses Allowance gains losses value yield U.S. Treasury securities Within 1 year $ 597,876 $ 597,876 $ - $ 597,876 $ - $ 9,036 $ 588,840 2.55 % After 1 to 5 years 7,516,523 6,900,125 - 6,900,125 - 193,838 6,706,287 1.39 After 5 to 10 years 817,006 730,757 - 730,757 - 26,819 703,938 1.60 Total U.S. Treasury securities 8,931,405 8,228,758 - 8,228,758 - 229,693 7,999,065 1.49 Obligations of Puerto Rico, States and political subdivisions Within 1 year 4,820 4,820 13 4,807 2 17 4,792 6.17 After 1 to 5 years 20,191 20,191 154 20,037 67 266 19,838 3.80 After 5 to 10 years 845 845 28 817 - 9 808 5.80 After 10 years 39,946 39,946 5,862 34,084 2,301 3,092 33,293 1.41 Total obligations of Puerto Rico, States and political subdivisions 65,802 65,802 6,057 59,745 2,370 3,384 58,731 2.55 Collateralized mortgage obligations - federal agencies Within 1 year 15 15 - 15 - - 15 6.44 After 10 years 1,547 1,547 - 1,547 - 251 1,296 2.87 Total collateralized mortgage obligations - federal agencies 1,562 1,562 - 1,562 - 251 1,311 2.90 Securities in wholly owned statutory business trusts After 10 years 5,960 5,960 - 5,960 - - 5,960 6.33 Total securities in wholly owned statutory business trusts 5,960 5,960 - 5,960 - - 5,960 6.33 Total debt securities held-to-maturity [2] $ 9,004,729 $ 8,302,082 $ 6,057 $ 8,296,025 $ 2,370 $ 233,328 $ 8,065,067 1.50 % [1] Book value includes $ 703 million of net unrealized loss which remains in Accumulated other comprehensive income (AOCI) related to certain securities transferred from available-for-sale securities portfolio to the held-to-maturity securities portfolio as discussed in Note 6. [2] Includes $ 8.1 billion pledged to secure public and trust deposits that the secured parties are not permitted to sell or repledge the collateral. The Corporation had unpledged held-to-maturities securities with a fair value of $ 167 million that could be used to increase its borrowing facilities. At December 31, 2022 Allowance Carrying Value Gross Gross Weighted Amortized Book [1] for Credit Net of unrealized unrealized Fair average (In thousands) cost Value Losses Allowance gains losses value yield U.S. Treasury securities Within 1 year $ 499,034 $ 499,034 $ - $ 499,034 $ - $ 6,203 $ 492,831 2.83 % After 1 to 5 years 6,147,568 5,640,767 - 5,640,767 - 59,806 5,580,961 1.49 After 5 to 10 years 2,638,238 2,313,666 - 2,313,666 - 14,857 2,298,809 1.41 Total U.S. Treasury securities 9,284,840 8,453,467 - 8,453,467 - 80,866 8,372,601 1.54 Obligations of Puerto Rico, States and political subdivisions ` Within 1 year 4,530 4,530 8 4,522 5 - 4,527 6.08 % After 1 to 5 years 19,105 19,105 234 18,871 150 82 18,939 4.24 After 5 to 10 years 1,025 1,025 34 991 34 - 1,025 5.80 After 10 years 41,261 41,261 6,635 34,626 4,729 2,229 37,126 1.40 Total obligations of Puerto Rico, States and political subdivisions 65,921 65,921 6,911 59,010 4,918 2,311 61,617 2.61 Collateralized mortgage obligations - federal agencies After 1 to 5 years 19 19 - 19 - - 19 6.44 Total collateralized mortgage obligations - federal agencies 19 19 - 19 - - 19 6.44 Securities in wholly owned statutory business trusts After 10 years 5,959 5,959 - 5,959 - - 5,959 6.33 Total securities in wholly owned statutory business trusts 5,959 5,959 - 5,959 - - 5,959 6.33 Total debt securities held-to-maturity [2] $ 9,356,739 $ 8,525,366 $ 6,911 $ 8,518,455 $ 4,918 $ 83,177 $ 8,440,196 1.55 % [1] Book value includes $ 831 million of net unrealized loss which remains in Accumulated other comprehensive income (AOCI) related to certain securities transferred from available-for-sale securities portfolio to the held-to-maturity securities portfolio as discussed in Note 6. [2] Includes $ 6.9 billion pledged to secure public and trust deposits that the secured parties are not permitted to sell or repledge the collateral. The Corporation had unpledged held-to-maturities securities with a fair value of $ 1.5 billion that could be used to increase its borrowing facilities.
Debt securities held to maturity credit quality indicator | At September 30, 2023 At December 31, 2022 (In thousands) Securities issued by Puerto Rico municipalities Watch $ 2,255 $ 13,735 Pass 16,565 10,925 Total $ 18,820 $ 24,660
Debt securities held to maturity allowance for credit loss | For the quarters ended September 30, 2023 2022 (In thousands) Obligations of Puerto Rico, States and political subdivisions Allowance for credit losses: Beginning balance $ 6,145 $ 7,495 Provision for credit losses (benefit) (88) (285) Securities charged-off - - Recoveries - - Ending balance $ 6,057 $ 7,210 For the nine months ended September 30, 2023 2022 (In thousands) Obligations of Puerto Rico, States and political subdivisions Allowance for credit losses: Beginning balance $ 6,911 $ 8,096 Provision for credit losses (benefit) (854) (886) Securities charged-off - - Recoveries - - Ending balance $ 6,057 $ 7,210

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