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Debt securities available-for-sale
 9 Months Ended
Sep. 30, 2019
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-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, 2019 and December 31, 2018

 

 

At September 30, 2019

 

 

 

 

 

Gross

Gross

 

 

Weighted

 

 

 

Amortized

unrealized

unrealized

Fair

average

 

(In thousands)

cost

gains

losses

value

yield

 

U.S. Treasury securities

 

 

 

 

 

 

 

 

 

 

 

Within 1 year

$

5,593,503

$

2,924

$

1,789

$

5,594,638

1.88

%

 

After 1 to 5 years

 

4,200,129

 

86,143

 

862

 

4,285,410

2.34

 

 

After 5 to 10 years

 

624,188

 

1,912

 

1,860

 

624,240

1.60

 

Total U.S. Treasury securities

 

10,417,820

 

90,979

 

4,511

 

10,504,288

2.05

 

Obligations of U.S. Government sponsored entities

 

 

 

 

 

 

 

 

 

 

 

Within 1 year

 

127,485

 

6

 

174

 

127,317

1.40

 

 

After 1 to 5 years

 

60,005

 

1

 

231

 

59,775

1.48

 

Total obligations of U.S. Government sponsored entities

 

187,490

 

7

 

405

 

187,092

1.43

 

Obligations of Puerto Rico, States and political subdivisions

 

 

 

 

 

 

 

 

 

 

 

Within 1 year

 

6,975

 

-

 

44

 

6,931

-

 

Total obligations of Puerto Rico, States and political subdivisions

 

6,975

 

-

 

44

 

6,931

-

 

Collateralized mortgage obligations - federal agencies

 

 

 

 

 

 

 

 

 

 

 

After 1 to 5 years

 

725

 

-

 

1

 

724

2.02

 

 

After 5 to 10 years

 

91,024

 

32

 

1,210

 

89,846

1.64

 

 

After 10 years

 

541,407

 

4,410

 

5,751

 

540,066

2.09

 

Total collateralized mortgage obligations - federal agencies

 

633,156

 

4,442

 

6,962

 

630,636

2.02

 

Mortgage-backed securities

 

 

 

 

 

 

 

 

 

 

 

Within 1 year

 

37

 

-

 

-

 

37

2.05

 

 

After 1 to 5 years

 

39,627

 

861

 

2

 

40,486

3.35

 

 

After 5 to 10 years

 

315,038

 

2,623

 

1,391

 

316,270

2.04

 

 

After 10 years

 

4,751,236

 

64,743

 

22,982

 

4,792,997

2.61

 

Total mortgage-backed securities

 

5,105,938

 

68,227

 

24,375

 

5,149,790

2.58

 

Other

 

 

 

 

 

 

 

 

 

 

 

After 1 to 5 years

 

364

 

9

 

-

 

373

3.62

 

Total other

 

364

 

9

 

-

 

373

3.62

 

Total debt securities available-for-sale[1]

$

16,351,743

$

163,664

$

36,297

$

16,479,110

2.20

%

[1]

Includes $12.9 billion pledged to secure public 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 $11.7 billion serve as collateral for public funds.

 

 

At December 31, 2018

 

 

 

 

 

Gross

Gross

 

 

Weighted

 

 

 

Amortized

unrealized

unrealized

Fair

average

 

(In thousands)

cost

gains

losses

value

yield

 

U.S. Treasury securities

 

 

 

 

 

 

 

 

 

 

 

Within 1 year

$

3,565,571

$

108

$

5,319

$

3,560,360

2.10

%

 

After 1 to 5 years

 

4,483,741

 

13,647

 

35,213

 

4,462,175

2.25

 

 

After 5 to 10 years

 

245,891

 

3,770

 

-

 

249,661

2.84

 

Total U.S. Treasury securities

 

8,295,203

 

17,525

 

40,532

 

8,272,196

2.21

 

Obligations of U.S. Government sponsored entities

 

 

 

 

 

 

 

 

 

 

 

Within 1 year

 

212,951

 

-

 

1,406

 

211,545

1.44

 

 

After 1 to 5 years

 

123,857

 

1

 

2,094

 

121,764

1.51

 

Total obligations of U.S. Government sponsored entities

 

336,808

 

1

 

3,500

 

333,309

1.47

 

Obligations of Puerto Rico, States and political subdivisions

 

 

 

 

 

 

 

 

 

 

 

After 1 to 5 years

 

6,926

 

-

 

184

 

6,742

0.70

 

Total obligations of Puerto Rico, States and political subdivisions

 

6,926

 

-

 

184

 

6,742

0.70

 

Collateralized mortgage obligations - federal agencies

 

 

 

 

 

 

 

 

 

 

 

After 1 to 5 years

 

749

 

-

 

7

 

742

1.92

 

 

After 5 to 10 years

 

115,744

 

1

 

4,715

 

111,030

1.71

 

 

After 10 years

 

638,995

 

1,584

 

23,680

 

616,899

2.10

 

Total collateralized mortgage obligations - federal agencies

 

755,488

 

1,585

 

28,402

 

728,671

2.04

 

Mortgage-backed securities

 

 

 

 

 

 

 

 

 

 

 

Within 1 year

 

431

 

4

 

-

 

435

4.30

 

 

After 1 to 5 years

 

6,762

 

43

 

1

 

6,804

2.74

 

 

After 5 to 10 years

 

365,727

 

1,090

 

8,499

 

358,318

2.19

 

 

After 10 years

 

3,710,731

 

10,679

 

128,189

 

3,593,221

2.45

 

Total mortgage-backed securities

 

4,083,651

 

11,816

 

136,689

 

3,958,778

2.43

 

Other

 

 

 

 

 

 

 

 

 

 

 

After 5 to 10 years

 

486

 

2

 

-

 

488

3.62

 

Total other

 

486

 

2

 

-

 

488

3.62

 

Total debt securities available-for-sale[1]

$

13,478,562

$

30,929

$

209,307

$

13,300,184

2.25

%

[1]

Includes $8.9 billion pledged to secure public 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 $7.9 billion serve as collateral for public funds.

The weighted average yield on investment 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 quarter ended September 30, 2019, the Corporation sold U.S. Treasury Bills. The proceeds from these sales were $ 99 million. No debt securities available-for-sale were sold during the nine months ended September 30, 2018.

 

For the quarter ended September 30,

Nine months ended September 30,

(In thousands)

 

2019

 

2018

 

2019

 

2018

Gross realized gains

$

-

$

-

$

-

$

-

Gross realized losses

 

(20)

 

-

 

(20)

 

-

Net realized losses on sale of debt securities available-for-sale

$

(20)

$

-

$

(20)

$

-

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, 2019 and December 31, 2018.

 

 

At September 30, 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

$

900,818

$

2,376

$

639,001

$

2,135

$

1,539,819

$

4,511

Obligations of U.S. Government sponsored entities

 

9,947

 

25

 

176,356

 

380

 

186,303

 

405

Obligations of Puerto Rico, States and political subdivisions

 

-

 

-

 

6,931

 

44

 

6,931

 

44

Collateralized mortgage obligations - federal agencies

 

103,443

 

467

 

343,994

 

6,495

 

447,437

 

6,962

Mortgage-backed securities

 

177,382

 

480

 

1,977,343

 

23,895

 

2,154,725

 

24,375

Total debt securities available-for-sale in an unrealized loss position

$

1,191,590

$

3,348

$

3,143,625

$

32,949

$

4,335,215

$

36,297

 

 

At December 31, 2018

 

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

$

3,189,007

$

4,188

$

2,607,276

$

36,343

$

5,796,283

$

40,531

Obligations of U.S. Government sponsored entities

 

14,847

 

46

 

318,271

 

3,454

 

333,118

 

3,500

Obligations of Puerto Rico, States and political subdivisions

 

-

 

-

 

6,742

 

184

 

6,742

 

184

Collateralized mortgage obligations - federal agencies

 

66,652

 

489

 

587,869

 

27,913

 

654,521

 

28,402

Mortgage-backed securities

 

125,872

 

2,280

 

3,478,635

 

134,410

 

3,604,507

 

136,690

Total debt securities available-for-sale in an unrealized loss position

$

3,396,378

$

7,003

$

6,998,793

$

202,304

$

10,395,171

$

209,307

As of September 30, 2019, the portfolio of available-for-sale debt securities reflects gross unrealized losses of approximately $36 million, driven mainly by mortgage-backed securities, U.S. Treasury securities and collateralized mortgage obligations.

Management evaluates debt securities for other-than-temporary (“OTTI”) declines in fair value on a quarterly basis. Once a decline in value is determined to be other-than-temporary, the value of a debt security is reduced and a corresponding charge to earnings is recognized for anticipated credit losses. The OTTI analysis requires management to consider various factors, which include, but are not limited to: (1) the length of time and the extent to which fair value has been less than the amortized cost basis, (2) the financial condition of the issuer or issuers, (3) actual collateral attributes, (4) the payment structure of the debt security and the likelihood of the issuer being able to make payments, (5) any rating changes by a rating agency, (6) adverse conditions specifically related to the security, industry, or a geographic area, and (7) management’s intent to sell the debt security or whether it is more likely than not that the Corporation would be required to sell the debt security before a forecasted recovery occurs.

At September 30, 2019, management performed its quarterly analysis of all debt securities in an unrealized loss position. Based on the analysis performed, management concluded that no individual debt security was other-than-temporarily impaired as of such date. At September 30, 2019, the Corporation did not have the intent to sell debt securities in an unrealized loss position and it was not more likely than not that the Corporation would have to sell the debt securities prior to recovery of their amortized cost basis.

 

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, 2019

 

December 31, 2018

 

 

 

 

 

 

 

 

 

(In thousands)

Amortized cost

Fair value

Amortized cost

Fair value

FNMA

$

3,334,102

$

3,351,007

$

2,999,110

$

2,901,904

Freddie Mac

 

1,722,954

 

1,739,165

 

1,095,855

 

1,058,013