DEBT SECURITIES (Tables)

6 Months Ended

Jun. 30, 2022

Other Than Temporary Impairment Credit Losses Recognized In Earnings [Line Items]

Debt Securities, Available-for-sale, Allowance for Credit Loss [Table Text Block]

The following tables present a rollforward by major security type for the quarters and six-month periods ended June 30, 2022 and 2021 of the ACL on available-for-sale debt securities:

	Quarter Ended June 30, 2022
	Private label MBS		Puerto Rico Government Obligations		Total
(In thousands)
Beginning Balance	$	403	$	308	$	711
Provision for credit losses - (benefit) expense		(113)		78		(35)
ACL on available-for-sale debt securities	$	290	$	386	$	676
	Quarter Ended June 30, 2021
	Private label MBS		Puerto Rico Government Obligations		Total
(In thousands)
Beginning Balance	$	875	$	308	$	1,183
Net charge-offs		(17)		-		(17)
ACL on available-for-sale debt securities	$	858	$	308	$	1,166

	Six-Month Period Ended June 30, 2022
	Private label MBS		Puerto Rico Government Obligations		Total
(In thousands)
Beginning Balance	$	797	$	308	$	1,105
Provision for credit losses - (benefit) expense		(501)		78		(423)
Net charge-offs		(6)		-		(6)
ACL on available-for-sale debt securities	$	290	$	386	$	676
	Six-Month Period Ended June 30, 2021
	Private label MBS		Puerto Rico Government Obligations		Total
(In thousands)
Beginning Balance	$	1,002	$	308	$	1,310
Provision for credit losses - benefit		(127)		-		(127)
Net charge-offs		(17)		-		(17)
ACL on available-for-sale debt securities	$	858	$	308	$	1,166

Debt Securities, Held-to-maturity, Allowance for Credit Loss [Table Text Block]

The following tables present the activity in the ACL for held-to-maturity debt securities by major security type for the quarters and six-month periods ended June 30, 2022 and 2021:

	Puerto Rico Municipal Bonds
	Quarter Ended June 30, 2022		Quarter Ended June 30, 2021
(In thousands)
Beginning Balance	$	12,324	$	8,869
Provision for credit losses - (benefit) expense		(3,439)		1,816
ACL on held-to-maturity debt securities	$	8,885	$	10,685

	Puerto Rico Municipal Bonds
	Six-Month Period Ended		Six-Month Period Ended
	June 30, 2022		June 30, 2021
(In thousands)
Beginning Balance	$	8,571	$	8,845
Provision for credit losses - expense		314		1,840
ACL on held-to-maturity debt securities	$	8,885	$	10,685

Significant Assumptions in Valuation of Private Label MBS [Table Text Block]

The tables below present quantitative information for significant assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) as of June 30, 2022 and December 31, 2021:
		June 30, 2022
		Fair Value		Valuation Technique	Unobservable Input	Range		Weighted Average
(Dollars in thousands)						Minimum	Maximum
Available-for-sale debt securities:
	Private label MBS	$	6,371	Discounted cash flows	Discount rate	15.2%	15.2%	15.2%
					Prepayment rate	3.2%	20.9%	12.7%
					Projected cumulative loss rate	0.4%	15.8%	5.6%
	Puerto Rico government obligations		2,809	Discounted cash flows	Discount rate	9.1%	9.1%	9.1%
					Projected cumulative loss rate	19.2%	19.2%	19.2%

		December 31, 2021
		Fair Value		Valuation Technique	Unobservable Input	Range		Weighted Average
(Dollars in thousands)						Minimum	Maximum
Available-for-sale debt securities:
	Private label MBS	$	7,234	Discounted cash flows	Discount rate	12.9%	12.9%	12.9%
					Prepayment rate	7.6%	24.9%	15.2%
					Projected cumulative loss rate	0.2%	15.7%	7.6%
	Puerto Rico government obligations		2,850	Discounted cash flows	Discount rate	6.6%	8.4%	7.9%
					Projected cumulative loss rate	8.6%	8.6%	8.6%

Held-to-maturity Securities [Member]

Other Than Temporary Impairment Credit Losses Recognized In Earnings [Line Items]

Investments Classified by Contractual Maturity Date [Table Text Block]

The amortized cost, gross unrecognized gains and losses, estimated fair value, ACL, weighted-average yield and contractual maturities of held-to-maturity debt securities as of June 30, 2022 and December 31, 2021 were as follows:

		June 30, 2022
		Amortized cost (1)		Gross Unrecognized				Fair value		ACL		Weighted- average yield%
				Gains		Losses
(Dollars in thousands)
Puerto Rico municipal bonds:
	Due within one year	$	595	$	-	$	-	$	595	$	1	5.45
	After 1 to 5 years		15,021		658		44		15,635		175	2.98
	After 5 to 10 years		93,031		2,457		2,286		93,202		3,411	4.64
	After 10 years		69,768		-		4,181		65,587		5,298	4.35
Total Puerto Rico municipal bonds			178,415		3,115		6,511		175,019		8,885	4.39
MBS:
FHLMC certificates:
	After 5 to 10 years	$	24,398	$	8	$	-	$	24,406	$	-	3.04
	After 10 years		20,211		-		84		20,127		-	4.39
			44,609		8		84		44,533		-	3.65
GNMA certificates:
	After 10 years		20,657		-		121		20,536		-	3.38
FNMA certificates:
	After 10 years		75,530		326		242		75,614		-	2.90
CMOs
	After 10 years		139,016		-		1,476		137,540		-	3.25
Total MBS			279,812		334		1,923		278,223		-	3.23
Total held-to-maturity debt securities		$	458,227	$	3,449	$	8,434	$	453,242	$	8,885	3.68
(1)	Excludes accrued interest receivable.

		December 31, 2021
		Amortized cost (1)		Gross Unrecognized				Fair value		ACL		Weighted- average yield%
				Gains		Losses
(Dollars in thousands)
Puerto Rico municipal bonds:
	Due within one year	$	2,995	$	5	$	-	$	3,000	$	70	5.39
	After 1 to 5 years		14,785		526		156		15,155		347	2.35
	After 5 to 10 years		90,584		1,555		3,139		89,000		3,258	4.25
	After 10 years		69,769		-		9,777		59,992		4,896	4.06
Total held-to-maturity debt securities		$	178,133	$	2,086	$	13,072	$	167,147	$	8,571	4.04
(1)	Excludes accrued interest receivable.

Schedule of Unrealized Loss on Investments [Table Text Block]

The following tables show the Corporation’s held-to-maturity debt securities’ fair value and gross unrecognized losses, aggregated by category and length of time that individual securities had been in a continuous unrecognized loss position, as of June 30, 2022 and December 31, 2021, including debt securities for which an ACL was recorded:

	As of June 30, 2022
	Less than 12 months				12 months or more				Total
			Unrecognized				Unrecognized				Unrecognized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
(In thousands)
Debt securities:
Puerto Rico municipal bonds	$	-	$	-	$	127,321	$	6,511	$	127,321	$	6,511
MBS:
FHLMC certificates		20,127		84		-		-		20,127		84
GNMA certificates		20,536		121		-		-		20,536		121
FNMA certificates		35,037		242		-		-		35,037		242
CMOs		137,540		1,476		-		-		137,540		1,476
Total held-to-maturity debt securities	$	213,240	$	1,923	$	127,321	$	6,511	$	340,561	$	8,434
	As of December 31, 2021
	Less than 12 months				12 months or more				Total
			Unrecognized				Unrecognized				Unrecognized
	Fair Value		Losses		Fair Value		Losses		Fair Value		Losses
(In thousands)
Debt securities:
Puerto Rico municipal bonds	$	-	$	-	$	140,732	$	13,072	$	140,732	$	13,072

Available-for-sale Securities [Member]

Other Than Temporary Impairment Credit Losses Recognized In Earnings [Line Items]

Investments Classified by Contractual Maturity Date [Table Text Block]

The amortized cost, gross unrealized gains and losses recorded in other comprehensive loss, ACL, estimated fair value, and weighted-average yield of available-for-sale debt securities by contractual maturities as of June 30, 2022 were as follows:

		June 30, 2022
		Amortized cost (1)		Gross Unrealized				ACL		Fair value		Weighted-
				Gains		Losses						average yield%
(Dollars in thousands)
U.S. Treasury securities:
	After 1 to 5 years	$	149,262	$	-	$	7,915	$	-	$	141,347	0.68
U.S. government-sponsored agencies' obligations:
	After 1 to 5 years		2,352,787		24		152,520		-		2,200,291	0.79
	After 5 to 10 years		227,548		65		24,168		-		203,445	0.96
	After 10 years		14,184		217		-		-		14,401	2.04
Puerto Rico government obligations:
	After 10 years (2)		3,441		-		246		386		2,809	-
United States and Puerto Rico government obligations			2,747,222		306		184,849		386		2,562,293	0.81
Mortgage-backed securities ("MBS"):
Freddie Mac (“FHLMC”) certificates:
	After 1 to 5 years		5,347		1		76		-		5,272	2.33
	After 5 to 10 years		203,549		52		9,852		-		193,749	1.44
	After 10 years		1,175,621		9		144,500		-		1,031,130	1.33
			1,384,517		62		154,428		-		1,230,151	1.35
Ginnie Mae (“GNMA”) certificates:
	Due within one year		6		-		-		-		6	1.95
	After 1 to 5 years		20,088		130		329		-		19,889	2.04
	After 5 to 10 years		42,090		-		2,369		-		39,721	1.07
	After 10 years		261,681		1,434		18,926		-		244,189	2.01
			323,865		1,564		21,624		-		303,805	1.89
Fannie Mae (“FNMA”) certificates:
	Due within one year		2,099		-		2		-		2,097	2.41
	After 1 to 5 years		15,905		161		44		-		16,022	2.87
	After 5 to 10 years		379,705		51		19,210		-		360,546	1.51
	After 10 years		1,325,053		591		145,356		-		1,180,288	1.38
			1,722,762		803		164,612		-		1,558,953	1.42
Collateralized mortgage obligations issued or guaranteed
	by the FHLMC, FNMA and GNMA ("CMOs"):				`
	Due within one year		68		-		-		-		68	2.54
	After 1 to 5 years		33,228		3		3,253		-		29,978	1.70
	After 10 years		447,341		-		58,840		-		388,501	1.27
			480,637		3		62,093		-		418,547	1.30
Private label:
	After 10 years		9,187		-		2,526		290		6,371	4.42
Total MBS			3,920,968		2,432		405,283		290		3,517,827	1.43
Other
	Due within one year		1,000		-		-		-		1,000	0.78
Total available-for-sale debt securities		$	6,669,190	$	2,738	$	590,132	$	676	$	6,081,120	1.17
(1)	Excludes accrued interest receivable.
(2)	Consists of a residential pass-through MBS issued by the Puerto Rico Housing Finance Authority (“PRHFA”) that is collateralized by certain second mortgages originated under a program launched by the Puerto Rico government in 2010. During 2021, the Corporation placed this instrument in nonaccrual status based on the delinquency status of the underlying second mortgage loans collateral.

The amortized cost, gross unrealized gains and losses recorded in other comprehensive loss, ACL, estimated fair value, and weighted-average yield of available-for-sale debt securities by contractual maturities as of December 31, 2021 were as follows:

		December 31, 2021
		Amortized cost (1)		Gross Unrealized				ACL		Fair value		Weighted-
				Gains		Losses						average yield%
(Dollars in thousands)
U.S. Treasury securities:
	After 1 to 5 years	$	149,660	$	59	$	1,233	$	-	$	148,486	0.68
U.S. government-sponsored agencies' obligations:
	After 1 to 5 years		1,877,181		240		29,555		-		1,847,866	0.60
	After 5 to 10 years		403,785		175		10,856		-		393,104	0.90
	After 10 years		15,788		224		-		-		16,012	0.63
Puerto Rico government obligations:
	After 10 years (2)		3,574		-		416		308		2,850	-
United States and Puerto Rico government obligations			2,449,988		698		42,060		308		2,408,318	0.67
MBS:
FHLMC certificates:
	After 1 to 5 years		2,811		119		-		-		2,930	2.65
	After 5 to 10 years		193,234		2,419		1,122		-		194,531	1.29
	After 10 years		1,240,964		3,748		23,503		-		1,221,209	1.18
			1,437,009		6,286		24,625		-		1,418,670	1.20
GNMA certificates:
	Due within one year		2		-		-		-		2	1.32
	After 1 to 5 years		16,714		572		-		-		17,286	2.90
	After 5 to 10 years		27,271		80		139		-		27,212	0.51
	After 10 years		338,927		7,091		2,174		-		343,844	1.45
			382,914		7,743		2,313		-		388,344	1.45
FNMA certificates:
	Due within one year		4,975		21		-		-		4,996	2.03
	After 1 to 5 years		21,337		424		-		-		21,761	2.87
	After 5 to 10 years		298,771		4,387		1,917		-		301,241	1.41
	After 10 years		1,389,381		8,953		21,747		-		1,376,587	1.21
			1,714,464		13,785		23,664		-		1,704,585	1.27
CMOs
	After 1 to 5 years		24,007		1		778		-		23,230	1.31
	After 5 to 10 years		14,316		97		-		-		14,413	0.76
	After 10 years		500,811		290		13,134		-		487,967	1.23
			539,134		388		13,912		-		525,610	1.22
Private label:
	After 10 years		9,994		-		1,963		797		7,234	2.21
Total MBS			4,083,515		28,202		66,477		797		4,044,443	1.26
Other
	Due within one year		500		-		-		-		500	0.72
	After 1 to 5 years		500		-		-		-		500	0.84
			1,000		-		-		-		1,000	0.78
Total available-for-sale debt securities		$	6,534,503	$	28,900	$	108,537	$	1,105	$	6,453,761	1.03
(1)	Excludes accrued interest receivable.
(2)	Consists of a residential pass-through MBS issued by the PRHFA that is collateralized by certain second mortgages originated under a program launched by the Puerto Rico government in 2010. During 2021, the Corporation placed this instrument in nonaccrual status based on this delinquency status of the underlying second mortgage loans collateral.

Schedule of Unrealized Loss on Investments [Table Text Block]

The following tables show the fair value and gross unrealized losses of the Corporation’s available-for-sale debt securities, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position, as of June 30, 2022 and December 31, 2021. The tables also include debt securities for which an ACL was recorded.

		As of June 30, 2022
		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:
U.S. Treasury and U.S. government agenciesʼ
	obligations	$	1,530,493	$	89,224	$	1,005,051	$	95,379		$	2,535,544	$	184,603
	Puerto Rico-government obligations		-		-		2,809		246	(1)		2,809		246
MBS:
	FHLMC		779,727		83,109		441,983		71,319			1,221,710		154,428
	GNMA		184,481		12,334		57,306		9,290			241,787		21,624
	FNMA		1,004,966		89,854		508,377		74,758			1,513,343		164,612
	CMOs		260,811		36,877		146,590		25,216			407,401		62,093
	Private label		-		-		6,371		2,526	(1)		6,371		2,526
		$	3,760,478	$	311,398	$	2,168,487	$	278,734		$	5,928,965	$	590,132
(1)	Unrealized losses do not include the credit loss component recorded as part of the ACL. As of June 30, 2022, PRHFA bond and private label MBS had an ACL of $0.4 million and $0.3 million, respectively.
		As of December 31, 2021
		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:
U.S. Treasury and U.S. government agenciesʼ
	obligations	$	1,717,340	$	25,401	$	606,179	$	16,243		$	2,323,519	$	41,644
	Puerto Rico-government obligations		-		-		2,850		416	(1)		2,850		416
MBS:
	FHLMC		986,345		16,144		221,896		8,481			1,208,241		24,625
	GNMA		194,271		1,329		41,233		984			235,504		2,313
	FNMA		1,237,701		19,843		112,559		3,821			1,350,260		23,664
	CMOs		466,004		13,552		16,656		360			482,660		13,912
	Private label		-		-		7,234		1,963	(1)		7,234		1,963
		$	4,601,661	$	76,269	$	1,008,607	$	32,268		$	5,610,268	$	108,537
(1)	Unrealized losses do not include the credit loss component recorded as part of the ACL. As of December 31, 2021, PRHFA bond and private label MBS had an ACL of $0.3 million and $0.8 million, respectively.

Significant Assumptions in Valuation of Private Label MBS [Table Text Block]

The Corporation determined the ACL for private label MBS based on a risk-adjusted discounted cash flow methodology that considers the structure and terms of the instruments. The Corporation utilized probability of default (“PDs”) and loss given default (“LGDs”) that considered, among other things, historical payment performance, loan-to-value attributes and relevant current and forward-looking macroeconomic variables, such as regional unemployment rates and the housing price index. Under this approach, expected cash flows (interest and principal) were discounted at the Treasury yield curve as of the reporting date. Significant assumptions in the valuation of the private label MBS were as follows:

	As of			As of
	June 30, 2022			December 31, 2021
	Weighted	Range		Weighted	Range
	Average	Minimum	Maximum	Average	Minimum	Maximum
Discount rate	15.2%	15.2%	15.2%	12.9%	12.9%	12.9%
Prepayment rate	12.7%	3.2%	20.9%	15.2%	7.6%	24.9%
Projected Cumulative Loss Rate	5.6%	0.4%	15.8%	7.6%	0.2%	15.7%