Investor Presentaiton
$ in Millions
Investment Portfolio
$ in millions
•
Conservative investment portfolio, with
the majority invested in short to
intermediate U.S. Treasuries, which are
tax exempt for P.R. corporations. The
portfolio duration, including cash, is 2.2
years
The unrealized loss in the AFS portfolio
increased by $231 million, driven by the
MBS portfolio
The market value of the HTM portfolio
decreased to $8.0 billion, $230 million
lower than the book value
Description
Money Markets (Cash at Federal Reserve)
U.S. T-bills
AFS U.S. Treasuries
Agency MBS/CMO
Total AFS
HTM
U.S. Treasuries²
Other
Total HTM
25.000
20,000
15,000
10,000
5,000
bep-2
Dec-2
Z-JPIA
z-dac
Doc 2
Cumulative Maturities:
US Treasury & T-Bills
Jun-2
sen-2
Dec-2
Mara
Jun-26
Sep-2
Dec-26
Mar-2
Jun-27
Sep-27
Total Trading
Total Portfolio
Q3 2023
Variance to Q2 2023
Amortized
Cost
% of
Portfolio
Book
Value
Gain /
(Loss)
Maturity/
WAL 1
Amortized
Gain /
Cost
(Loss)
$6,384
20.0% $6,384
$0
($2,204)
$0
3,886
7,827
7,279
12.2% 3,886
23.4%
18.2% 5,799
0
0.1
1,032
(0)
7,443
(384)
1.4
(716)
44
(1,479)
7.5
(200)
(274)
18,991
53.8% 17,128 (1,864)
3.2
117
(231)
8,931
74
25.8% 8,229
(702)
3.4
(152)
44
9,005
0.2%
26.1%
74
15.5
(2)
8,302
(702)
3.5
(154)
44
31
0.1%
31
0
2.5
2
0
$34,410
100.0% $31,845 ($2,566)
2.6
($2,239)
($186)
Maturity Profile
(Excluding Cash at the Federal Reserve)
30%
29%
25%
20%
16%
15%
16%
15%
10%
6%
5%
3%
0%
0-3 yrs
4-5 yrs
1%
1%
6-7 yrs
U.S. T-bills
U.S. Treasuries - AFS
U.S. Treasuries - HTM
1
1 Maturity expressed in years; In the case of mortgage-backed securities and CMO's, it represents the weighted average life of the bonds assuming market consensus prepayment speeds
Agency MBS/CMO
8-10 yrs
13%
2
The book value includes $702 million of net unrealized loss which remains in Accumulated Other Comprehensive Income (AOCI) related to the securities transferred from available-for-sale securities portfolio to the held-to-maturity
securities portfolio. At the time of transfer, the securities had an unrealized loss of $873 million, which will be amortized (back into capital) throughout their remaining life at a rate of approximately 5% per quarter through 2026.
Differences due to rounding
00
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