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INVESTMENT SECURITIES | 12 Months Ended
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Dec. 31, 2017
INVESTMENT SECURITIES [Text Block] | NOTE 6 – INVESTMENT SECURITIES Investment Securities Available for Sale The amortized cost, non-credit loss component of OTTI recorded in OCI, gross unrealized gains and losses recorded in OCI, approximate fair value, and weighted-average yield of investment securities available for sale by contractual maturities as of December 31, 201 7 and 201 6 were as follows:
|  |  | December 31, 2017
|  |  | Amortized cost |  | Noncredit Loss Component of OTTI Recorded in OCI |  | Gross |  | Fair value |  |
|  |  |  | Unrealized |  |  | Weighted-
|  |  |  |  | Gains |  | Losses |  |  | average yield%
(Dollars in thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years |  | $ | 7,458 |  | $ | - |  | $ | - |  | $ | 57 |  | $ | 7,401 |  | 1.29
Obligations of U.S. government-sponsored |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
agencies: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Due within one year |  |  | 122,471 |  |  | - |  |  | - |  |  | 319 |  |  | 122,152 |  | 1.06
| After 1 to 5 years |  |  | 309,472 |  |  | - |  |  | 28 |  |  | 3,735 |  |  | 305,765 |  | 1.42
| After 5 to 10 years |  |  | 133,451 |  |  | - |  |  | 117 |  |  | 319 |  |  | 133,249 |  | 2.72
| After 10 years |  |  | 40,769 |  |  | - |  |  | 1 |  |  | 149 |  |  | 40,621 |  | 1.84
Puerto Rico government |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
obligations: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| After 5 to 10 years |  |  | 4,071 |  |  | - |  |  | 47 |  |  | - |  |  | 4,118 |  | 3.14
| After 10 years |  |  | 3,972 |  |  | - |  |  | - |  |  | 1,277 |  |  | 2,695 |  | 6.97
United States and Puerto |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Rico government |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
obligations |  |  | 621,664 |  |  | - |  |  | 193 |  |  | 5,856 |  |  | 616,001 |  | 1.70
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FHLMC certificates: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| After 5 to 10 years |  |  | 18,658 |  |  | - |  |  | 14 |  |  | 63 |  |  | 18,609 |  | 2.14
| After 10 years |  |  | 297,733 |  |  | - |  |  | 217 |  |  | 4,853 |  |  | 293,097 |  | 2.23
|  |  |  | 316,391 |  |  | - |  |  | 231 |  |  | 4,916 |  |  | 311,706 |  | 2.23
GNMA certificates: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years |  |  | 81 |  |  | - |  |  | 1 |  |  | - |  |  | 82 |  | 3.23
| After 5 to 10 years |  |  | 69,661 |  |  | - |  |  | 1,244 |  |  | - |  |  | 70,905 |  | 3.05
| After 10 years |  |  | 145,067 |  |  | - |  |  | 5,910 |  |  | 334 |  |  | 150,643 |  | 3.81
|  |  |  | 214,809 |  |  | - |  |  | 7,155 |  |  | 334 |  |  | 221,630 |  | 3.56
FNMA certificates: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years |  |  | 20,831 |  |  | - |  |  | 294 |  |  | 109 |  |  | 21,016 |  | 2.69
| After 5 to 10 years |  |  | 49,934 |  |  | - |  |  | - |  |  | 818 |  |  | 49,116 |  | 1.83
| After 10 years |  |  | 613,129 |  |  | - |  |  | 3,180 |  |  | 6,401 |  |  | 609,908 |  | 2.43
|  |  |  | 683,894 |  |  | - |  |  | 3,474 |  |  | 7,328 |  |  | 680,040 |  | 2.39
Collateralized mortgage obligations |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| guaranteed by the FHLMC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| and GNMA: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years |  |  | 5,918 |  |  | - |  |  | 14 |  |  | - |  |  | 5,932 |  | 2.21
| After 5 to 10 years |  |  | 2,556 |  |  | - |  |  | 11 |  |  | - |  |  | 2,567 |  | 2.23
| After 10 years |  |  | 35,331 |  |  | - |  |  | 231 |  |  | - |  |  | 35,562 |  | 2.22
|  |  |  | 43,805 |  |  | - |  |  | 256 |  |  | - |  |  | 44,061 |  | 2.22
Other mortgage pass-through |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
trust certificates: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| After 10 years |  |  | 22,791 |  |  | 5,731 |  |  | - |  |  | - |  |  | 17,060 |  | 2.44
Total mortgage-backed |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
securities |  |  | 1,281,690 |  |  | 5,731 |  |  | 11,116 |  |  | 12,578 |  |  | 1,274,497 |  | 2.54
Other : |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Due within one year |  |  | 100 |  |  | - |  |  | - |  |  | - |  |  | 100 |  | 1.48
Equity securities (1) |  |  | 424 |  |  | - |  |  | - |  |  | 6 |  |  | 418 |  | 2.11
Total investment securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| available for sale |  | $ | 1,903,878 |  | $ | 5,731 |  | $ | 11,309 |  | $ | 18,440 |  | $ | 1,891,016 |  | 2.27
(1) Equity securities consisted of investment in a Community Reinvestment Act Qualified Investment Fund.
|  |  | December 31, 2016
|  |  | Amortized cost |  | Noncredit Loss Component of OTTI Recorded in OCI |  | Gross |  | Fair value |  |
|  |  |  | Unrealized |  |  | Weighted-
|  |  |  |  | Gains |  | Losses |  |  | average yield%
(Dollars in thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Due within one year |  | $ | 7,508 |  | $ | - |  | $ | 1 |  | $ | - |  | $ | 7,509 |  | 0.57
Obligations of U.S. government-sponsored |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
agencies: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years |  |  | 440,438 |  |  | - |  |  | 142 |  |  | 2,912 |  |  | 437,668 |  | 1.33
| After 5 to 10 years |  |  | 16,942 |  |  | - |  |  | 9 |  |  | 256 |  |  | 16,695 |  | 1.91
| After 10 years |  |  | 44,145 |  |  | - |  |  | 8 |  |  | 166 |  |  | 43,987 |  | 1.12
Puerto Rico government |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
obligations: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years |  |  | 21,422 |  |  | 12,222 |  |  | - |  |  | - |  |  | 9,200 |  | -
| After 10 years |  |  | 21,245 |  |  | 2,028 |  |  | 73 |  |  | 1,662 |  |  | 17,628 |  | 1.86
United States and Puerto Rico |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
government obligations |  |  | 551,700 |  |  | 14,250 |  |  | 233 |  |  | 4,996 |  |  | 532,687 |  | 1.29
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FHLMC certificates: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| After 5 to 10 years |  |  | 5,908 |  |  | - |  |  | 72 |  |  | - |  |  | 5,980 |  | 2.25
| After 10 years |  |  | 314,906 |  |  | - |  |  | 261 |  |  | 5,827 |  |  | 309,340 |  | 2.17
|  |  |  | 320,814 |  |  | - |  |  | 333 |  |  | 5,827 |  |  | 315,320 |  | 2.17
GNMA certificates: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years |  |  | 83 |  |  | - |  |  | 3 |  |  | - |  |  | 86 |  | 3.82
| After 5 to 10 years |  |  | 91,744 |  |  | - |  |  | 1,635 |  |  | 92 |  |  | 93,287 |  | 3.06
| After 10 years |  |  | 123,548 |  |  | - |  |  | 9,706 |  |  | - |  |  | 133,254 |  | 4.36
|  |  |  | 215,375 |  |  | - |  |  | 11,344 |  |  | 92 |  |  | 226,627 |  | 3.81
FNMA certificates: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Due within one year |  |  | 152 |  |  | - |  |  | 2 |  |  | - |  |  | 154 |  | 4.71
| After 1 to 5 years |  |  | 24,409 |  |  | - |  |  | 435 |  |  | - |  |  | 24,844 |  | 2.18
| After 5 to 10 years |  |  | 17,181 |  |  | - |  |  | - |  |  | 261 |  |  | 16,920 |  | 1.87
| After 10 years |  |  | 690,625 |  |  | - |  |  | 4,136 |  |  | 9,406 |  |  | 685,355 |  | 2.35
|  |  |  | 732,367 |  |  | - |  |  | 4,573 |  |  | 9,667 |  |  | 727,273 |  | 2.33
Collateralized mortgage |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| obligations issued or guaranteed |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| by the FHLMC and GNMA: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years |  |  | 19,851 |  |  | - |  |  | 4 |  |  | 31 |  |  | 19,824 |  | 1.42
| After 10 years |  |  | 39,120 |  |  | - |  |  | - |  |  | 132 |  |  | 38,988 |  | 1.44
|  |  |  | 58,971 |  |  | - |  |  | 4 |  |  | 163 |  |  | 58,812 |  | 1.43
Other mortgage pass-through |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
trust certificates: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| After 10 years |  |  | 28,815 |  |  | 8,122 |  |  | - |  |  | - |  |  | 20,693 |  | 2.40
Total mortgage-backed |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
securities |  |  | 1,356,342 |  |  | 8,122 |  |  | 16,254 |  |  | 15,749 |  |  | 1,348,725 |  | 2.49
Other: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years |  |  | 100 |  |  | - |  |  | - |  |  | - |  |  | 100 |  | 1.50
Equity Securities (1) |  |  | 415 |  |  | - |  |  | - |  |  | 7 |  |  | 408 |  | 2.44
Total investment securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| available for sale |  | $ | 1,908,557 |  | $ | 22,372 |  | $ | 16,487 |  | $ | 20,752 |  | $ | 1,881,920 |  | 2.14
(1) Equity securities consisted of investment in a Community Reinvestment Act Qualified Investment Fund.
Maturities of mortgage-backed securities are based on contractual terms assuming no prepayments. Expected maturities of investments might differ from contractual maturities because they may be subject to prepayments and/or call options. The weighted-average yield on investment securities available for sale is based on amortized cost and, therefore, does not give effect to changes in fair value. The net unrealized gain or loss on securities available for sale and the noncredit loss component of OTTI ar e presented as part of OCI.
The aggregate amortized cost and approximate market value of investment securities available for sale as of December 31, 2017 by contractual maturity, are shown below:
| Amortized Cost |  | Fair Value
(Dollars in thousands) |  |  |  |  |
Within 1 year | $ | 122,571 |  | $ | 122,252
After 1 to 5 years |  | 343,760 |  |  | 340,196
After 5 to 10 years |  | 278,331 |  |  | 278,564
After 10 years |  | 1,158,792 |  |  | 1,149,586
Total | $ | 1,903,454 |  | $ | 1,890,598
Equity securities |  | 424 |  |  | 418
Total investment securities available for sale | $ | 1,903,878 |  | $ | 1,891,016
The following tables show the Corporation’s available-for-sale investments’ fair value and gross unrealized losses, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position, as of December 31, 201 7 and 201 6. The tables also include debt securities for which an OTTI was recognized and only the amount related to a credit loss was recognized in earnings. For unrealized losses for which OTTI was recognized, the related credit loss was c harged against the amortized cost basis of the debt security.
| As of December 31, 2017
| Less than 12 months |  | 12 months or more |  | Total
|  |  | Unrealized |  |  |  | Unrealized |  |  |  | Unrealized
| Fair Value |  | Losses |  | Fair Value |  | Losses |  | Fair Value |  | Losses
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Debt securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Puerto Rico government obligations | $ | - |  | $ | - |  | $ | 2,695 |  | $ | 1,277 |  | $ | 2,695 |  | $ | 1,277
U.S Treasury and U.S. government |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
agencies obligations |  | 136,459 |  |  | 494 |  |  | 362,050 |  |  | 4,085 |  |  | 498,509 |  |  | 4,579
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FNMA |  | 189,699 |  |  | 1,705 |  |  | 274,963 |  |  | 5,623 |  |  | 464,662 |  |  | 7,328
FHLMC |  | 91,174 |  |  | 590 |  |  | 166,331 |  |  | 4,326 |  |  | 257,505 |  |  | 4,916
GNMA |  | 39,145 |  |  | 334 |  |  | - |  |  | - |  |  | 39,145 |  |  | 334
Other mortgage pass-through trust certificates |  | - |  |  | - |  |  | 17,060 |  |  | 5,731 |  |  | 17,060 |  |  | 5,731
Equity securities |  | - |  |  | - |  |  | 407 |  |  | 6 |  |  | 407 |  |  | 6
| $ | 456,477 |  | $ | 3,123 |  | $ | 823,506 |  | $ | 21,048 |  | $ | 1,279,983 |  | $ | 24,171
| As of December 31, 2016
| Less than 12 months |  | 12 months or more |  | Total
|  |  | Unrealized |  |  |  | Unrealized |  |  |  | Unrealized
| Fair Value |  | Losses |  | Fair Value |  | Losses |  | Fair Value |  | Losses
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Debt securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Puerto Rico government obligations | $ | - |  | $ | - |  | $ | 22,609 |  | $ | 15,912 |  | $ | 22,609 |  | $ | 15,912
U.S Treasury and U.S. government |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
agencies obligations |  | 469,046 |  |  | 3,334 |  |  | - |  |  | - |  |  | 469,046 |  |  | 3,334
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FNMA |  | 519,008 |  |  | 9,667 |  |  | - |  |  | - |  |  | 519,008 |  |  | 9,667
FHLMC |  | 244,839 |  |  | 5,827 |  |  | - |  |  | - |  |  | 244,839 |  |  | 5,827
GNMA |  | 43,388 |  |  | 92 |  |  | - |  |  | - |  |  | 43,388 |  |  | 92
Collateralized mortgage obligations |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
issued or guaranteed by FHLMC and GNMA |  | 55,309 |  |  | 163 |  |  | - |  |  | - |  |  | 55,309 |  |  | 163
Other mortgage pass-through trust certificates |  | - |  |  | - |  |  | 20,693 |  |  | 8,122 |  |  | 20,693 |  |  | 8,122
Equity securities |  | 408 |  |  | 7 |  |  | - |  |  | - |  |  | 408 |  |  | 7
| $ | 1,331,998 |  | $ | 19,090 |  | $ | 43,302 |  | $ | 24,034 |  | $ | 1,375,300 |  | $ | 43,124
Assessment for OTTI Debt securities issued or guaranteed by U.S. government agencies, U.S. government-sponsored entities, and the U.S. Treasury accounted for approximately 98% of the total available-for-sale portfolio as of December 31, 201 7 and no credit losses are expected, given the explicit and implicit guarantees provided by the U.S. federal government. The Corporation’s OTTI assessment was concentrated mainly on private label MBS, and on Puerto Ri co government debt securities, for which credit losses are evaluated on a quarterly basis. The Corporation considered the following factors in determining whether a credit loss exists and the period over which the debt security is expected to recover: The length of time and the extent to which the fair value has been less than the amortized cost basis; Any adverse change to the credit conditions and liquidity of the issu er, taking into consideration the latest information available about the financial condition of the issuer, credit ratings, th e failure of the issuer to make scheduled principal or interest payments, recent legislation and government actions affecting the issuer’s industry and actions taken by the issuer to deal with the present economic climate; Changes in the near term prospect s of the underlying collateral for a security, if any, such as changes in default rates, loss severity given default, and significant changes in prepayment assumptions; and The level of cash flows generated from the underlying collateral, if any, supportin g the principal and interest payments of the debt securities. The Corporation recorded OTTI losses on available-for-sale debt securities as follows:
|  |  |  | Year Ended
|  |  |  | 2017 |  | 2016 |  |  | 2015
(In thousands) |  |  |  |  |  |  |  |  |  |
Total other-than-temporary impairment losses |  |  | $ | (12,231) |  | $ | (1,845) |  | $ | (35,806)
Portion of other-than-temporary impairment recognized in OCI |  |  |  | - |  |  | (4,842) |  |  | 19,289
Net impairment losses recognized in earnings (1) |  |  | $ | (12,231) |  | $ | (6,687) |  | $ | (16,517)
(1) | For the years ended December 31, 2017, 2016 and 2015, approximately $12.2 million, $6.3 million and $15.9 million, respectively, of the credit impairment recognized in earnings consisted of credit losses on Puerto Rico government debt securities that were sold in the second quarter of 2017, as further discussed below. The remaining impairment losses for the years ended December 31, 2016 and 2015 were associated with credit losses on private label MBS.
The following tables summarize the roll-forward of credit losses on debt securities held by the Corporation for which a portion of an OTTI is recognized in OCI: |
|  | Cumulative OTTI credit losses recognized in earnings on securities still held |
|  |  |  |  | Credit impairments |  | Credit impairments |  |  | Credit loss |  |  |
|  | December 31, |  | recognized in earnings |  | recognized in earnings on |  |  | reductions for |  | December 31, |
|  | 2016 |  | on securities not |  | securities that have been |  |  | securities sold |  | 2017 |
|  | Balance |  | previously impaired |  | previously impaired |  |  | during the period |  | Balance |
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Available-for-sale securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Puerto Rico government obligations | $ | 22,189 |  | $ | - |  | $ | 12,231 |  |  | $ | (34,420) |  | $ | - |
Private label MBS |  | 6,792 |  |  | - |  |  | - |  |  |  | - |  |  | 6,792 |
Total OTTI credit losses for available-for-sale |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
debt securities | $ | 28,981 |  | $ | - |  | $ | 12,231 |  |  | $ | (34,420) |  | $ | 6,792 |
|  |  | Cumulative OTTI credit losses recognized in earnings on securities still held |
|  |  |  |  |  |  | Credit impairments |  |  | Credit impairments |  |  |
|  |  | December 31, |  |  | recognized in earnings |  |  | recognized in earnings on |  | December 31, |
|  |  | 2015 |  |  | on securities not |  |  | securities that have been |  | 2016 |
|  |  | Balance |  |  | previously impaired |  |  | previously impaired |  | Balance |
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |  |
Available-for-sale securities |  |  |  |  |  |  |  |  |  |  |  |  |
Puerto Rico government obligations |  | $ | 15,889 |  | $ | - |  | $ | 6,300 |  | $ | 22,189 |
Private label MBS |  |  | 6,405 |  |  | - |  |  | 387 |  |  | 6,792 |
Total OTTI credit losses for available-for-sale |  |  |  |  |  |  |  |  |  |  |  |  |
debt securities |  | $ | 22,294 |  | $ | - |  | $ | 6,687 |  | $ | 28,981 |
|  | Cumulative OTTI credit losses recognized in earnings on securities still held |
|  |  |  |  | Credit impairments |  | Credit impairments |  |  |
|  | December 31, |  | recognized in earnings |  | recognized in earnings on |  | December 31, |
|  | 2014 |  | on securities not |  | securities that have been |  | 2015 |
|  | Balance |  | previously impaired |  | previously impaired |  | Balance |
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |
Available-for-sale securities |  |  |  |  |  |  |  |  |  |  |  |
| Puerto Rico government obligations | $ | - |  | $ | 15,889 |  |  | - |  | $ | 15,889 |
Private label MBS |  | 5,777 |  |  | - |  | $ | 628 |  |  | 6,405 |
Total OTTI credit losses for available-for-sale |  |  |  |  |  |  |  |  |  |  |  |
debt securities | $ | 5,777 |  | $ | 15,889 |  | $ | 628 |  | $ | 22,294 |
During the second quarter of 2017, the Corporation sold for an aggregate of $23.4 million three Puerto Rico Government available-for-sale debt securities, specifically bonds of the Government Development Bank for Puerto Rico (the “GDB”) and the Puerto Rico Public Buildings Authority, c arried on its book at an amortized cost at the time of sale of $23.0 million (net of $34.4 million in cumulative OTTI impairment charges). This transaction resulted in a $0.4 million recovery from previous OTTI charges ref lected in the consolidated statement of income as part of “net gain on sale of investments.” Approximately $12.2 million of the cumulative OTTI charges on these securities was recorded in the first quarter of 2017. This was the fourth OTTI charge recorded on these securities, as OTTI charge charges of $6.3 million, $12.9 million and $3.0 million were booked in the first quarter of 2016 and the second and fourth quarters of 2015, respectively. The OTTI charges recorded on the Puerto Rico Government securit ies during 2017, 2016 and 2015, considered the latest available information about the Puerto Rico government’s financial condition, including but not limited to credit rating downgrades, revised estimates of recovery rates, and other relevant developments such as government actions, including debt exchange proposals and the fiscal plan published by the Puerto Rico government in March 2017, as applicable. The Corporation applied a discounted cash flow analysis to its Puerto Rico government debt securities in order to calculate the cash flows expected to be collected and to determine if any portion of the decline in market value of these securities was considered a credit-related other-than-temporary impairment. The analysis derived an estimate of value based on the present value of risk-adjusted cash flows of the underlying securities and included consideration of the following components: The contractual future cash flows of the bonds were projected based on the key terms as set forth in the official statem ents for each security. Such key terms include, among others, the interest rate, amortization schedule, if any, and maturity date. The risk-adjusted cash flows were calculated based on a probability of default analysis and recovery rate assumptions, inc luding the weighting of different scenarios of ultimate recovery, considering the credit rating of each security. Constant monthly default rates were assumed throughout the life of the bonds, which considered the respective security's credit rating as of t he date of the analysis. The adjusted future cash flows were then discounted at the original effective yield of each investment based on the purchase price and expected risk-adjusted future cash flows as of the purchase date of each investment. For the O TTI charges recorded in the first quarter of 2017, t he discounted risk-adjusted cash flow analysis for the three Puerto Rico government bonds mentioned above assumed a default probability of 100%, as these three non-performing bonds had been in default sin ce the third quarter of 2016. Based on this analysis, the Corporation recorded in the first quarter of 2017 other-than-temporary credit-related impairment charges amounting to $12.2 million, assuming recovery rates ranging from 15% to 80% (with a weighted average of 41%). In addition, during 2016 and 2 015, the Corporation recorded credit-related impairment loss es of $0.4 million and $0.6 million, respectively, associated with private label MBS, which are collateralized by fixed-rate mortgages on single-family residential properties in the United States. The interest rate on these private-label MBS is variable, tied to 3-month LIBOR and limited to the weighted-average coupon of the underlying collateral. The underlying mortgages are fixed-rate, sin gle-family loans with original high FICO scores (over 700) and moderate original loan-to-value ratios (under 80%), as well as moderate delinquency levels. Based on the expected cash flows, and since the Corporation does not have the intention to sell the securities and has sufficient capital and liquidity to hold these securities until a recovery of the fair value occurs, only the credit loss component was reflected in earnings. Significant assumptions in the valuation of the private label MBS were as fol lows:
| As of |  | As of
| December 31, 2017 |  | December 31, 2016
| Weighted |  |  |  | Weighted |  |
| Average |  | Range |  | Average |  | Range
Discount rate | 14.0% |  | 14.0% |  | 14.1% |  | 12.88% - 14.43%
Prepayment rate | 16.4% |  | 12.0% - 29.0% |  | 13.8% |  | 6.5% - 22.5%
Projected Cumulative Loss Rate | 3% |  | 0% - 6.8% |  | 4% |  | 0.2% - 8.6%
Refer to Note 29 – Fair Value, for additional information about the valuation model for private label MBS. Total proceeds from the sale of securities available for sale during 201 7 and 2016 amounted to approximately $23.4 million and $219.8 million, respectively. As above-mentioned, in 2017, the Corporation recorded a $0.4 million recovery from previous OTTI charges on the sale of Puerto Rico government debt securities with an amortized cost at the time of sale of $23.0 million. T otal proceeds from sales in 2016, consisted of proceeds of $204.8 million on the sale of U.S. agency MBS and $15.0 million on the sale of a U.S. Treasury security. For the year ended December 31, 2016, the Corporation recorded a $6.1 million gain on the sa le of U.S. agency MBS and an $8 thousand gain on the sale of the U.S. Treasury security. No sales of securities available for sale were completed in 2015. The following table states the names of issuers, and the aggregate amortized cost and market value of the securities of such issuers, when the aggregate amortized cost of such securities exceeds 10% of the Corporation’s stockholders’ equity. This information excludes securities of the U.S. and Puerto Rico government. Investments in obligations issued by a state of the U.S. and its political subdivisions and agencies that are payable and secured by the same source of reven ue or taxing authority, other than the U.S. government, are considered securities of a single issuer and include debt and mortgage-backed securities.
|  |  | As of |  |  | As of
|  | December 31, 2017 |  | December 31, 2016
|  | Amortized |  |  |  |  | Amortized |  |
|  | Cost |  | Fair Value |  | Cost |  | Fair Value
(In thousands) |  |  |  |  |  |  |  |
FHLMC |  | $ | 375,719 |  | $ | 370,855 |  | $ | 399,955 |  | $ | 394,249
GNMA |  |  | 250,140 |  |  | 257,192 |  |  | 254,495 |  |  | 265,615
FNMA |  |  | 801,198 |  |  | 796,726 |  |  | 849,584 |  |  | 843,818
FHLB |  |  | 299,949 |  |  | 296,767 |  |  | 231,666 |  |  | 229,792
Investments Held to Maturity The amortized cost, gross unrealized gains and losses, approximate fair value, weighted-average yield and contractual maturities of investment securities held to maturity as of December 31, 201 7 and December 31, 201 6 were as follows:
|  | December 31, 2017
|  | Amortized cost |  |  |  |  | Fair value |  |
|  |  |  | Gross Unrealized |  |  | Weighted-
|  |  |  | gains |  | losses |  |  | average yield%
Puerto Rico Municipal Bonds: |  |  |  |  |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years | $ | 3,853 |  |  | $ | - |  | $ | 173 |  | $ | 3,680 |  | 5.38
| After 5 to 10 years |  | 39,523 |  |  |  | - |  |  | 3,048 |  |  | 36,475 |  | 5.28
| After 10 years |  | 107,251 |  |  |  | - |  |  | 16,374 |  |  | 90,877 |  | 4.93
Total investment securities |  |  |  |  |  |  |  |  |  |  |  |  |  |
| held to maturity | $ | 150,627 |  |  | $ | - |  | $ | 19,595 |  | $ | 131,032 |  | 5.03
|  | December 31, 2016
|  | Amortized cost |  |  |  | Fair value |  |
|  |  | Gross Unrealized |  |  | Weighted-
|  |  | gains |  | losses |  |  | average yield%
Puerto Rico Municipal Bonds: |  |  |  |  |  |  |  |  |  |  |  |  |
| After 1 to 5 years | $ | 1,136 |  | $ | - |  | $ | 20 |  | $ | 1,116 |  | 5.38
| After 5 to 10 years |  | 10,741 |  |  | - |  |  | 718 |  |  | 10,023 |  | 4.47
| After 10 years |  | 144,313 |  |  | - |  |  | 22,693 |  |  | 121,620 |  | 4.74
Total investment securities |  |  |  |  |  |  |  |  |  |  |  |  |
| held to maturity | $ | 156,190 |  | $ | - |  | $ | 23,431 |  | $ | 132,759 |  | 4.73
The following tables show the Corporation’s held-to-maturity investments’ fair value and gross unrealized losses, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position, as of December 31, 201 7 and 201 6:
| As of December 31, 2017
| Less than 12 months |  | 12 months or more |  | Total
|  |  | Unrealized |  |  |  | Unrealized |  |  |  | Unrealized
| Fair Value |  | Losses |  | Fair Value |  | Losses |  | Fair Value |  | Losses
|  | (In thousands)
Debt securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Puerto Rico Municipal Bonds | $ | - |  | $ | - |  | $ | 131,032 |  | $ | 19,595 |  | $ | 131,032 |  | $ | 19,595
| As of December 31, 2016
| Less than 12 months |  | 12 months or more |  | Total
|  |  | Unrealized |  |  |  | Unrealized |  |  |  | Unrealized
| Fair Value |  | Losses |  | Fair Value |  | Losses |  | Fair Value |  | Losses
|  | (In thousands)
Debt securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Puerto Rico Municipal Bonds | $ | - |  | $ | - |  | $ | 132,759 |  | $ | 23,431 |  | $ | 132,759 |  | $ | 23,431
The Corporation determines the fair market value of Puerto Rico Municipal Bonds based on a discounted cash flow analysis using risk-adjusted discount rates. A security with similar characteristics traded in the open market is used as a proxy for each municipal bond. Then the cash flow is discounted at the average spread over the discount curve exhibited by the proxy security at the end of each quarter. Approximately 70% of the held-to-maturity municipal bonds were issued by three of the largest munic ipalities in Puerto Rico. The vast majority of revenues of these three municipalities is independent of the Puerto Rico central government. These obligations typically are not issued in bearer form, nor are they registered with the Securities and Exchange Commission and are not rated by external credit agencies. In most cases, these bonds have priority over the payment of operating costs and expenses of the municipality, which are required by law to levy special property taxes in such amounts as are require d for the payment of all of their respective general obligation bonds and loans. The oversight board established by the Puerto Rico Oversight, Management, and Economic Stability Act (“PROMESA”) has not designated any of the Puerto Rico’s 78 municipalities as covered entities under PROMESA. However, while the Revised Fiscal Plan recently submitted by the Puerto Rico government did not contemplate a restructuring of the debt of Puerto Rico’s municipalities, the plan did call for the gradual elimination of bud getary subsidies provided to municipalities by the central government. Furthermore, municipalities are also likely to be affected by the negative economic and other effects resulting from the recent hurricanes and from expense, revenue or cash management m easures taken by the Puerto Rico government to address its fiscal and liquidity shortfalls, or measures included in fiscal plans of other government entities, such as the GDB Restructuring Support Agreement (the “GD B RSA”) and the recent plan announced by the Puerto Rico governor intended to privatize the Puerto Rico Electric Power Authority (“PREPA”). The GDB RSA provides for the restructuring under Title VI of PROMESA of substantial portions of the GDB’s indebtedness, including deposits of municipalities, through the issuance of “Participating Bond Claims” in exchange for the release of the GDB from liability relating to the bonds, deposits, letters of credit and guarantees. Given the uncertain impact that the negative fiscal situation of the Puerto Rico c entral government and the measures taken or to be taken by other government entities may have on municipalities, the Corporation cannot be certain if future impairment charges will be required relating to these securities. From time to time, the Corpor ation has securities held to maturity with an original maturity of three months or less that are considered cash and cash equivalents and classified as money market investments in the consolidated statements of financial condition. As of December 31, 2017 and 2016, the Corporation had no outstanding securities held to maturity that were classified as cash and cash equivalents.

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