Debt securities available-for-sale

6 Months Ended

Jun. 30, 2024

Debt securities available-for-sale

Schedule of Available-for-sale Securities [Line Items]

Investments in debt and marketable equity securities

Note 5 – 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 June 30, 2024 and December 31, 2023.

At June 30, 2024

Allowance

Gross

Gross

Weighted

Amortized

for credit

unrealized

unrealized

Fair 

average

(In thousands)

cost

losses

gains 

losses

value

yield

U.S. Treasury securities

Within 1 year

$

10,828,370

$

-

$

34

$

61,019

$

10,767,385

4.00

%

After 1 to 5 years

2,275,875

-

51

123,554

2,152,372

1.33

After 5 to 10 years

99,526

-

-

11,897

87,629

1.72

Total U.S. Treasury securities

13,203,771

-

85

196,470

13,007,386

3.52

Collateralized mortgage obligations - federal agencies

After 1 to 5 years

14,014

-

-

669

13,345

1.54

After 5 to 10 years

17,931

-

-

1,214

16,717

2.30

After 10 years

111,701

-

91

10,001

101,791

2.76

Total collateralized mortgage obligations - federal agencies

143,646

-

91

11,884

131,853

2.59

Mortgage-backed securities - federal agencies

Within 1 year

1,323

-

-

21

1,302

1.75

After 1 to 5 years

73,250

-

5

3,403

69,852

2.40

After 5 to 10 years

828,760

-

140

57,755

771,145

2.35

After 10 years

5,712,046

-

223

1,153,028

4,559,241

1.64

Total mortgage-backed securities - federal agencies

6,615,379

-

368

1,214,207

5,401,540

1.74

Other

Within 1 year

1,000

500

-

-

500

5.00

After 1 to 5 years

1,500

-

-

-

1,500

8.50

Total other 

2,500

500

-

-

2,000

7.10

Total debt securities available-for-sale

[1]

$

19,965,296

$

500

$

544

$

1,422,561

$

18,542,779

2.92

%

[1]

 Includes $

13.8

 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 $

12.8

 billion serve as collateral for public funds. The

Corporation had unpledged Available for Sale securities with a fair value of $

4.7

 billion that could be used to increase its borrowing facilities.

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 - federal agencies

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 - federal agencies

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.

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.

At June 30, 2024, 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 six months ended June

30, 2024 and 2023.

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

June 30, 2024 and December 31, 2023.

At June 30, 2024

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

$

6,003,623

$

4,122

$

5,111,232

$

192,348

$

11,114,855

$

196,470

Collateralized mortgage obligations - federal agencies 

6,982

26

116,418

11,858

123,400

11,884

Mortgage-backed securities

43,617

662

5,337,896

1,213,545

5,381,513

1,214,207

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

$

6,054,222

$

4,810

$

10,565,546

$

1,417,751

$

16,619,768

$

1,422,561

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

As of June 30, 2024, the portfolio of available-for-sale debt securities reflects gross unrealized losses of $

1.4

 billion, driven mainly

by 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 Federal National Mortgage Association (“FNMA”), Federal

Home Loan Mortgage Corporation (“FHLMC”) and Government National Mortgage Association (“GNMA”). As discussed in Note 2 of

the 2023 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.