Debt securities available-for-sale

12 Months Ended

Dec. 31, 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 December 31, 2023 and December 31, 2022.

At December 31, 2023

Gross

Gross

Weighted

Amortized

unrealized

unrealized

Fair 

average

(In thousands)

cost

gains 

losses

value

yield

U.S. Treasury securities

Within 1 year

$

7,103,518

$

526

$

59,415

$

7,044,629

3.51

%

After 1 to 5 years

3,598,209

84

170,209

3,428,084

1.35

After 5 to 10 years

307,512

-

33,164

274,348

1.63

Total U.S. Treasury securities

11,009,239

610

262,788

10,747,061

2.75

Collateralized mortgage obligations - federal agencies

After 1 to 5 years

17,899

-

838

17,061

1.55

After 5 to 10 years

20,503

2

1,321

19,184

2.28

After 10 years

108,280

29

9,868

98,441

2.54

Total collateralized mortgage obligations - federal agencies

146,682

31

12,027

134,686

2.38

Mortgage-backed securities

Within 1 year

637

-

3

634

3.72

After 1 to 5 years

82,310

11

3,536

78,785

2.34

After 5 to 10 years

792,431

75

48,250

744,256

2.28

After 10 years

6,067,353

667

1,046,909

5,021,111

1.64

Total mortgage-backed securities 

6,942,731

753

1,098,698

5,844,786

1.72

Other

Within 1 year

1,011

-

-

1,011

4.00

After 1 to 5 years

1,500

-

-

1,500

8.50

Total other 

2,511

-

-

2,511

6.69

Total debt securities available-for-sale

[1]

$

18,101,163

$

1,394

$

1,373,513

$

16,729,044

2.35

%

[1]

 Includes $

12

 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 $

11.1

 billion serve as collateral for

public funds. The Corporation had unpledged Available for Sale securities with a fair value of $

4.6

 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 in 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.

The following table presents the aggregate amortized cost and fair value of debt securities available-for-sale at December 31, 2023

by contractual maturity.

(In thousands)

Amortized cost 

Fair value

Within 1 year

$

7,105,166

$

7,046,274

After 1 to 5 years

3,699,918

3,525,430

After 5 to 10 years

1,120,446

1,037,788

After 10 years

6,175,633

5,119,552

Total debt securities available-for-sale

$

18,101,163

$

16,729,044

At December 31, 2023, the Corporation did not intend to sell or believed it was more likely than not that it would be required to sell

debt securities classified as available-for-sale. There were

no

 debt securities available-for-sale sold during the years ended

December 31, 2023 and December 31, 2022. During the year ended December 31, 2021, the Corporation sold U.S Treasury Notes.

The proceeds from these sales were $

236

 million. Gross realized gains and losses on the sale of debt securities available-for-sale

for the years ended December 31, 2023, 2022 and 2021 were as follows:

(In thousands)

2023

2022

2021

Gross realized gains

$

-

$

-

$

695

Gross realized losses

-

-

(672)

Net realized gains (losses) on sale of debt securities available -for-sale

$

-

$

-

$

23

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 December 31, 2023 and 2022.

At December 31, 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

$

244,925

$

5,126

$

6,550,941

$

257,662

$

6,795,866

$

262,788

Collateralized mortgage obligations - federal agencies 

5,234

35

124,930

11,992

130,164

12,027

Mortgage-backed securities

37,118

405

5,779,260

1,098,293

5,816,378

1,098,698

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

$

287,277

$

5,566

$

12,455,131

$

1,367,947

$

12,742,408

$

1,373,513

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 December 31, 2023, the portfolio of available-for-sale debt securities reflects gross unrealized losses of $

1.4

 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, 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.