Fair value measurement (Tables)
|
12 Months Ended |
Dec. 31, 2020 |
Fair Value Disclosures |
|
Assets and Liabilities Measured at Fair Value on a Recurring Basis |
At December 31, 2020 |
(In thousands) |
Level 1 |
Level 2 |
Level 3 |
Total |
RECURRING FAIR VALUE MEASUREMENTS |
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
Debt securities available-for-sale: |
|
|
|
|
|
|
|
|
U.S. Treasury securities |
$ |
3,499,781 |
$ |
7,288,259 |
$ |
- |
$ |
10,788,040 |
Obligations of U.S. Government sponsored entities |
|
- |
|
60,184 |
|
- |
|
60,184 |
Collateralized mortgage obligations - federal agencies |
|
- |
|
392,132 |
|
- |
|
392,132 |
Mortgage-backed securities |
|
- |
|
10,319,547 |
|
1,014 |
|
10,320,561 |
Other |
|
- |
|
235 |
|
- |
|
235 |
Total debt securities available-for-sale |
$ |
3,499,781 |
$ |
18,060,357 |
$ |
1,014 |
$ |
21,561,152 |
Trading account debt securities, excluding derivatives: |
|
|
|
|
|
|
|
|
U.S. Treasury securities |
$ |
11,506 |
$ |
- |
$ |
- |
$ |
11,506 |
Obligations of Puerto Rico, States and political subdivisions |
|
- |
|
103 |
|
- |
|
103 |
Collateralized mortgage obligations |
|
- |
|
68 |
|
278 |
|
346 |
Mortgage-backed securities |
|
- |
|
24,338 |
|
- |
|
24,338 |
Other |
|
- |
|
- |
|
381 |
|
381 |
Total trading account debt securities, excluding derivatives |
$ |
11,506 |
$ |
24,509 |
$ |
659 |
$ |
36,674 |
Equity securities |
$ |
- |
$ |
29,590 |
$ |
- |
$ |
29,590 |
Mortgage servicing rights |
|
- |
|
- |
|
118,395 |
|
118,395 |
Derivatives |
|
- |
|
20,785 |
|
- |
|
20,785 |
Total assets measured at fair value on a recurring basis |
$ |
3,511,287 |
$ |
18,135,241 |
$ |
120,068 |
$ |
21,766,596 |
Liabilities |
|
|
|
|
|
|
|
|
Derivatives |
$ |
- |
$ |
(18,925) |
$ |
- |
$ |
(18,925) |
Total liabilities measured at fair value on a recurring basis |
$ |
- |
$ |
(18,925) |
$ |
- |
$ |
(18,925) |
|
|
|
|
|
|
|
|
|
At December 31, 2019 |
(In thousands) |
Level 1 |
Level 2 |
Level 3 |
Total |
RECURRING FAIR VALUE MEASUREMENTS |
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
Debt securities available-for-sale: |
|
|
|
|
|
|
|
|
U.S. Treasury securities |
$ |
3,841,715 |
$ |
8,214,540 |
$ |
- |
$ |
12,056,255 |
Obligations of U.S. Government sponsored entities |
|
- |
|
122,404 |
|
- |
|
122,404 |
Obligations of Puerto Rico, States and political subdivisions |
|
- |
|
6,975 |
|
- |
|
6,975 |
Collateralized mortgage obligations - federal agencies |
|
- |
|
586,175 |
|
- |
|
586,175 |
Mortgage-backed securities |
|
- |
|
4,875,132 |
|
1,182 |
|
4,876,314 |
Other |
|
- |
|
350 |
|
- |
|
350 |
Total debt securities available-for-sale |
$ |
3,841,715 |
$ |
13,805,576 |
$ |
1,182 |
$ |
17,648,473 |
Trading account debt securities, excluding derivatives: |
|
|
|
|
|
|
|
|
U.S. Treasury securities |
$ |
7,081 |
$ |
2 |
$ |
- |
$ |
7,083 |
Obligations of Puerto Rico, States and political subdivisions |
|
- |
|
633 |
|
- |
|
633 |
Collateralized mortgage obligations |
|
- |
|
76 |
|
530 |
|
606 |
Mortgage-backed securities |
|
- |
|
28,556 |
|
- |
|
28,556 |
Other |
|
- |
|
3,003 |
|
440 |
|
3,443 |
Total trading account debt securities, excluding derivatives |
$ |
7,081 |
$ |
32,270 |
$ |
970 |
$ |
40,321 |
Equity securities |
$ |
- |
$ |
21,327 |
$ |
- |
$ |
21,327 |
Mortgage servicing rights |
|
- |
|
- |
|
150,906 |
|
150,906 |
Derivatives |
|
- |
|
17,966 |
|
- |
|
17,966 |
Total assets measured at fair value on a recurring basis |
$ |
3,848,796 |
$ |
13,877,139 |
$ |
153,058 |
$ |
17,878,993 |
Liabilities |
|
|
|
|
|
|
|
|
Derivatives |
$ |
- |
$ |
(16,619) |
$ |
- |
$ |
(16,619) |
Total liabilities measured at fair value on a recurring basis |
$ |
- |
$ |
(16,619) |
$ |
- |
$ |
(16,619) |
|
Nonrecurring fair value measurements |
Year ended December 31, 2020 |
(In thousands) |
Level 1 |
Level 2 |
Level 3 |
Total |
|
|
NONRECURRING FAIR VALUE MEASUREMENTS |
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
Write-downs |
Loans[1] |
$ |
- |
$ |
- |
$ |
74,511 |
$ |
74,511 |
$ |
(15,290) |
Loans held-for-sale[2] |
|
- |
|
- |
|
2,738 |
|
2,738 |
|
(1,311) |
Other real estate owned[3] |
|
- |
|
- |
|
20,123 |
|
20,123 |
|
(3,325) |
Other foreclosed assets[3] |
|
- |
|
- |
|
116 |
|
116 |
|
(148) |
ROU assets[4] |
|
- |
|
- |
|
446 |
|
446 |
|
(15,920) |
Leasehold improvements[4] |
|
- |
|
- |
|
126 |
|
126 |
|
(2,084) |
Total assets measured at fair value on a nonrecurring basis |
$ |
- |
$ |
- |
$ |
98,060 |
$ |
98,060 |
$ |
(38,078) |
[1] |
Relates mostly to certain impaired collateral dependent loans. The impairment was measured based on the fair value of the collateral, which is derived from appraisals that take into consideration prices in observed transactions involving similar assets in similar locations. Costs to sell are excluded from the reported fair value amount. |
[2] |
Relates to a quarterly valuation on loans held-for-sale. Costs to sell are excluded from the reported fair value amount. |
[3] |
Represents the fair value of foreclosed real estate and other collateral owned that were written down to their fair value. Costs to sell are excluded from the reported fair value amount. |
[4] |
The impairment was measured based on the sublease rental value of the branches that were subject to the strategic realignment of PB’s New York Metro Branch network. Refer to Note 32 for additional information. |
Year ended December 31, 2019 |
|
|
|
|
|
|
|
|
|
|
(In thousands) |
Level 1 |
Level 2 |
Level 3 |
Total |
|
|
NONRECURRING FAIR VALUE MEASUREMENTS |
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
Write-downs |
Loans[1] |
$ |
- |
$ |
- |
$ |
35,363 |
$ |
35,363 |
$ |
(13,533) |
Other real estate owned[2] |
|
- |
|
- |
|
18,132 |
|
18,132 |
|
(3,526) |
Other foreclosed assets[2] |
|
- |
|
- |
|
1,213 |
|
1,213 |
|
(156) |
Long-lived assets held-for-sale[3] |
|
- |
|
- |
|
2,500 |
|
2,500 |
|
(2,591) |
Total assets measured at fair value on a nonrecurring basis |
$ |
- |
$ |
- |
$ |
57,208 |
$ |
57,208 |
$ |
(19,806) |
[1] |
Relates mostly to certain impaired collateral dependent loans. The impairment was measured based on the fair value of the collateral, which is derived from appraisals that take into consideration prices in observed transactions involving similar assets in similar locations. Costs to sell are excluded from the reported fair value amount. |
[2] |
Represents the fair value of foreclosed real estate and other collateral owned that were written down to their fair value. Costs to sell are excluded from the reported fair value amount. |
[3] |
Represents the fair value of long-lived assets held-for-sale that were written down to their fair value. |
Year ended December 31, 2018 |
|
|
|
|
|
|
|
|
|
|
(In thousands) |
Level 1 |
Level 2 |
Level 3 |
Total |
|
|
NONRECURRING FAIR VALUE MEASUREMENTS |
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
Write-downs |
Loans[1] |
$ |
- |
$ |
- |
$ |
73,893 |
$ |
73,893 |
$ |
(25,745) |
Other real estate owned[2] |
|
- |
|
- |
|
43,463 |
|
43,463 |
|
(9,189) |
Other foreclosed assets[2] |
|
- |
|
- |
|
1,349 |
|
1,349 |
|
(722) |
Total assets measured at fair value on a nonrecurring basis |
$ |
- |
$ |
- |
$ |
118,705 |
$ |
118,705 |
$ |
(35,656) |
[1] |
Relates mostly to certain impaired collateral dependent loans. The impairment was measured based on the fair value of the collateral, which is derived from appraisals that take into consideration prices in observed transactions involving similar assets in similar locations, in accordance with the provisions of ASC Section 310-10-35. Costs to sell are excluded from the reported fair value amount. |
[2] |
Represents the fair value of foreclosed real estate and other collateral owned that were written down to their fair value. Costs to sell are excluded from the reported fair value amount. |
|
Assets measured on recurring basis, unobservable input reconciliation |
|
Year ended December 31, 2020 |
|
|
MBS |
|
|
Other |
|
|
|
|
|
|
classified |
CMOs |
securities |
|
|
|
|
|
|
as debt |
classified |
classified |
|
|
|
|
|
|
securities |
as trading |
as trading |
Mortgage |
|
|
|
available- |
account debt |
account debt |
servicing |
Total |
(In thousands) |
for-sale |
securities |
securities |
rights |
assets |
Balance at January 1, 2020 |
$ |
1,182 |
$ |
530 |
$ |
440 |
$ |
150,906 |
$ |
153,058 |
Gains (losses) included in earnings |
|
- |
|
(1) |
|
(59) |
|
(42,055) |
|
(42,115) |
Gains (losses) included in OCI |
|
(18) |
|
- |
|
- |
|
- |
|
(18) |
Additions |
|
- |
|
4 |
|
- |
|
9,544 |
|
9,548 |
Settlements |
|
(150) |
|
(255) |
|
- |
|
- |
|
(405) |
Balance at December 31, 2020 |
$ |
1,014 |
$ |
278 |
$ |
381 |
$ |
118,395 |
$ |
120,068 |
Changes in unrealized gains (losses) included in earnings relating to assets still held at December 31, 2020 |
$ |
- |
$ |
- |
$ |
27 |
$ |
(19,327) |
$ |
(19,300) |
|
Year ended December 31, 2019 |
|
|
MBS |
|
|
|
|
Other |
|
|
|
|
|
|
classified |
CMOs |
|
|
securities |
|
|
|
|
|
|
as debt |
classified |
MBS |
classified |
|
|
|
|
|
|
securities |
as trading |
classified as |
as trading |
Mortgage |
|
|
|
available- |
account debt |
trading account |
account debt |
servicing |
Total |
(In thousands) |
for-sale |
securities |
debt securities |
securities |
rights |
assets |
Balance at January 1, 2019 |
$ |
1,233 |
$ |
611 |
$ |
43 |
$ |
485 |
$ |
169,777 |
$ |
172,149 |
Gains (losses) included in earnings |
|
- |
|
(1) |
|
(1) |
|
(45) |
|
(27,516) |
|
(27,563) |
Gains (losses) included in OCI |
|
(1) |
|
- |
|
- |
|
- |
|
- |
|
(1) |
Additions |
|
- |
|
71 |
|
25 |
|
- |
|
9,143 |
|
9,239 |
Settlements |
|
(50) |
|
(151) |
|
(41) |
|
- |
|
(498) |
|
(740) |
Transfers out of Level 3 |
|
- |
|
- |
|
(26) |
|
- |
|
- |
|
(26) |
Balance at December 31, 2019 |
$ |
1,182 |
$ |
530 |
$ |
- |
$ |
440 |
$ |
150,906 |
$ |
153,058 |
Changes in unrealized gains (losses) included in earnings relating to assets still held at December 31, 2019 |
$ |
- |
$ |
1 |
$ |
- |
$ |
20 |
$ |
(14,190) |
$ |
(14,169) |
|
Year ended December 31, 2018 |
|
|
MBS |
|
|
|
|
Other |
|
|
|
|
|
|
|
|
|
|
classified |
CMOs |
|
|
securities |
|
|
|
|
|
|
|
|
|
|
as debt |
classified |
MBS |
classified |
|
|
|
|
|
|
|
|
|
|
securities |
as trading |
classified as |
as trading |
Mortgage |
|
|
|
|
|
|
available- |
account debt |
trading account |
account debt |
servicing |
Total |
Contingent |
Total |
(In thousands) |
for-sale |
securities |
debt securities |
securities |
rights |
assets |
consideration[1] |
|
liabilities |
Balance at January 1, 2018 |
$ |
1,288 |
$ |
529 |
$ |
43 |
$ |
529 |
$ |
168,031 |
$ |
170,420 |
$ |
(164,858) |
$ |
(164,858) |
Gains (losses) included in earnings |
|
- |
|
2 |
|
- |
|
(44) |
|
(8,477) |
|
(8,519) |
|
(6,112) |
|
(6,112) |
Gains (losses) included in OCI |
|
(5) |
|
- |
|
- |
|
- |
|
- |
|
(5) |
|
- |
|
- |
Additions |
|
- |
|
260 |
|
- |
|
- |
|
10,223 |
|
10,483 |
|
- |
|
- |
Settlements |
|
(50) |
|
(180) |
|
- |
|
- |
|
- |
|
(230) |
|
170,970 |
|
170,970 |
Balance at December 31, 2018 |
$ |
1,233 |
$ |
611 |
$ |
43 |
$ |
485 |
$ |
169,777 |
$ |
172,149 |
$ |
- |
$ |
- |
Changes in unrealized gains (losses) included in earnings relating to assets still held at December 31, 2018 |
$ |
- |
$ |
2 |
$ |
- |
$ |
20 |
$ |
8,703 |
$ |
8,725 |
$ |
- |
$ |
- |
[1] |
Effective May 22, 2018, the Corporation entered into a Termination Agreement with the FDIC to terminate the Corporation’s loss share arrangement ahead of their contractual maturities. |
|
Gain (loss) included in earnings, measured on recurring basis |
|
|
2020 |
2019 |
2018 |
|
|
Total |
Changes in unrealized |
Total |
Changes in unrealized |
Total |
Changes in unrealized |
|
|
gains (losses) |
gains (losses) |
gains (losses) |
gains (losses) |
gains (losses) |
gains (losses) |
|
|
included |
relating to assets still |
included |
relating to assets still |
included |
relating to assets still |
(In thousands) |
in earnings |
held at reporting date |
in earnings |
held at reporting date |
in earnings |
held at reporting date |
FDIC loss share (expense) income |
$ |
- |
$ |
- |
$ |
- |
$ |
- |
$ |
(6,112) |
$ |
- |
Mortgage banking activities |
|
(42,055) |
|
(19,327) |
|
(27,516) |
|
(14,190) |
|
(8,477) |
|
8,703 |
Trading account (loss) profit |
|
(60) |
|
27 |
|
(47) |
|
21 |
|
(42) |
|
22 |
Total |
$ |
(42,115) |
$ |
(19,300) |
$ |
(27,563) |
$ |
(14,169) |
$ |
(14,631) |
$ |
8,725 |
|
Fair value measurements, recurring and nonrecurring valuation techniques |
|
|
|
Fair value |
|
|
|
|
|
|
|
at December 31, |
|
|
|
|
|
(In thousands) |
|
2020 |
|
Valuation technique |
Unobservable inputs |
Weighted average (range) [1] |
CMO's - trading |
$ |
278 |
|
Discounted cash flow model |
Weighted average life |
1.2 years (0.6 - 1.4 years) |
|
|
|
|
|
|
|
Yield |
3.6% (3.6% - 4.1%) |
|
|
|
|
|
|
|
Prepayment speed |
17.7% (13.8% - 18.3%) |
|
Other - trading |
$ |
381 |
|
Discounted cash flow model |
Weighted average life |
3.6 years |
|
|
|
|
|
|
|
Yield |
12.0% |
|
|
|
|
|
|
|
Prepayment speed |
10.8% |
|
Mortgage servicing rights |
$ |
118,395 |
|
Discounted cash flow model |
Prepayment speed |
6.9%(0.3% - 24.6%) |
|
|
|
|
|
|
|
Weighted average life |
6.0 years (0.1 - 12.3 years) |
|
|
|
|
|
|
|
Discount rate |
11.1% (9.5% - 14.7%) |
|
Loans held-in-portfolio |
$ |
74,347 |
[2] |
External appraisal |
Haircut applied on |
|
|
|
|
|
|
|
|
external appraisals |
20.9% (10.0% - 40.0%) |
|
Other real estate owned |
$ |
14,926 |
[3] |
External appraisal |
Haircut applied on |
|
|
|
|
|
|
|
|
external appraisals |
22.1% (5.0% - 30.0%) |
|
[1] |
Weighted average of significant unobservable inputs used to develop Level 3 fair value measurements were calculated by relative fair value. |
[2] |
Loans held-in-portfolio in which haircuts were not applied to external appraisals were excluded from this table. |
[3] |
Other real estate owned in which haircuts were not applied to external appraisals were excluded from this table. |
|
|
|
Fair value |
|
|
|
|
|
|
|
at December 31, |
|
|
|
|
|
(In thousands) |
|
2019 |
|
Valuation technique |
Unobservable inputs |
Weighted average (range) [1] |
CMO's - trading |
$ |
530 |
|
Discounted cash flow model |
Weighted average life |
1.6 years (1.3 - 1.8 years) |
|
|
|
|
|
|
|
Yield |
4.0% (3.9% - 4.4%) |
|
|
|
|
|
|
|
Prepayment speed |
18.3% (14.8% - 20.7%) |
|
Other - trading |
$ |
440 |
|
Discounted cash flow model |
Weighted average life |
3.8 years |
|
|
|
|
|
|
|
Yield |
12.0% |
|
|
|
|
|
|
|
Prepayment speed |
10.8% |
|
Mortgage servicing rights |
$ |
150,906 |
|
Discounted cash flow model |
Prepayment speed |
6.0% (0.2% - 18.5%) |
|
|
|
|
|
|
|
Weighted average life |
6.5 years (0.1 - 14.4 years) |
|
|
|
|
|
|
|
Discount rate |
11.1% (9.5% - 14.7%) |
|
Loans held-in-portfolio |
$ |
38,907 |
[2] |
External appraisal |
Haircut applied on |
|
|
|
|
|
|
|
|
external appraisals |
10.0% |
|
Other real estate owned |
$ |
16,119 |
[3] |
External appraisal |
Haircut applied on |
|
|
|
|
|
|
|
|
external appraisals |
23.8% (5.0% - 35.0%) |
|
[1] |
Weighted average of significant unobservable inputs used to develop Level 3 fair value measurements were calculated by relative fair value. |
[2] |
Loans held-in-portfolio in which haircuts were not applied to external appraisals were excluded from this table. |
[3] |
Other real estate owned in which haircuts were not applied to external appraisals were excluded from this table. |
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