Fair value measurement (Tables)

3 Months Ended

Mar. 31, 2021

Fair Value Disclosures

Assets and Liabilities Measured at Fair Value on a Recurring Basis

At March 31, 2021
(In thousands)	Level 1		Level 2		Level 3		Total
RECURRING FAIR VALUE MEASUREMENTS
Assets
Debt securities available-for-sale:
U.S. Treasury securities	$	-	$	11,857,777	$	-	$	11,857,777
Obligations of U.S. Government sponsored entities		-		92		-		92
Collateralized mortgage obligations - federal agencies		-		337,964		-		337,964
Mortgage-backed securities		-		10,574,638		934		10,575,572
Other		-		204		-		204
Total debt securities available-for-sale	$	-	$	22,770,675	$	934	$	22,771,609
Trading account debt securities, excluding derivatives:
U.S. Treasury securities	$	11,620	$	-	$	-	$	11,620
Obligations of Puerto Rico, States and political subdivisions		-		94		-		94
Collateralized mortgage obligations		-		65		251		316
Mortgage-backed securities		-		24,102		-		24,102
Other		-		-		372		372
Total trading account debt securities, excluding derivatives	$	11,620	$	24,261	$	623	$	36,504
Equity securities	$	-	$	31,787	$	-	$	31,787
Mortgage servicing rights		-		-		122,543		122,543
Derivatives		-		20,971		-		20,971
Total assets measured at fair value on a recurring basis	$	11,620	$	22,847,694	$	124,100	$	22,983,414
Liabilities
Derivatives	$	-	$	(17,851)	$	-	$	(17,851)
Total liabilities measured at fair value on a recurring basis	$	-	$	(17,851)	$	-	$	(17,851)

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)

Nonrecurring fair value measurements

Quarter ended March 31, 2021
(In thousands)		Level 1		Level 2		Level 3		Total
NONRECURRING FAIR VALUE MEASUREMENTS
Assets											Write-downs
Loans[1]		$	-	$	-	$	2,384	$	2,384	$	(406)
Loans held-for-sale[2]			-		-		3,549		3,549		(846)
Other real estate owned[3]			-		-		6,205		6,205		(1,073)
Other foreclosed assets[3]			-		-		48		48		(7)
Long-lived assets held-for-sale[4]			-		-		2,728		2,728		(303)
Total assets measured at fair value on a nonrecurring basis		$	-	$	-	$	14,914	$	14,914	$	(2,635)
[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]	Represents the fair value of long-lived assets held-for-sale that were written down to their fair value.

Quarter ended March 31, 2020
(In thousands)		Level 1		Level 2		Level 3		Total
NONRECURRING FAIR VALUE MEASUREMENTS
Assets											Write-downs
Loans[1]		$	-	$	-	$	3,151	$	3,151	$	(497)
Other real estate owned[2]			-		-		10,742		10,742		(1,368)
Other foreclosed assets[2]			-		-		1,021		1,021		(152)
Total assets measured at fair value on a nonrecurring basis		$	-	$	-	$	14,914	$	14,914	$	(2,017)
[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.

Assets measured on recurring basis, unobservable input reconciliation

	Quarter ended March 31, 2021
		MBS		CMOs		Other
		classified		classified		securities
		as debt		as trading		classified
		securities		account		as trading		Mortgage
		available-		debt		account debt		servicing		Total
(In thousands)		for-sale		securities		securities		rights		assets
Balance at December 31, 2020		$	1,014	$	278	$	381	$	118,395	$	120,068
Gains (losses) included in earnings			-		-		(9)		512		503
Gains (losses) included in OCI			(5)		-		-		-		(5)
Additions			-		1		-		3,636		3,637
Settlements			(75)		(28)		-		-		(103)
Balance at March 31, 2021		$	934	$	251	$	372	$	122,543	$	124,100
Changes in unrealized gains (losses) included in earnings relating to assets still held at March 31, 2021		$	-	$	-	$	4	$	5,162	$	5,166

	Quarter ended March 31, 2020
		MBS						Other
		classified		CMOs				securities
		as investment		classified		MBS		classified
		securities		as trading		classified as		as trading		Mortgage
		available-		account		trading account		account		servicing		Total
(In thousands)		for-sale		securities		securities		securities		rights		assets
Balance at December 31, 2019		$	1,182	$	530	$	-	$	440	$	150,906	$	153,058
Gains (losses) included in earnings			-		1		-		(12)		(5,229)		(5,240)
Gains (losses) included in OCI			(5)		-		-		-		-		(5)
Additions			-		2		-		-		1,634		1,636
Settlements			-		(66)		-		-		-		(66)
Balance at March 31, 2020		$	1,177	$	467	$	-	$	428	$	147,311	$	149,383
Changes in unrealized gains (losses) included in earnings relating to assets still held at March 31, 2020		$	-	$	1	$	-	$	6	$	(2,439)	$	(2,432)

Gain (loss) included in earnings, measured on recurring basis

	Quarter ended March 31, 2021				Quarter ended March 31, 2020
				Changes in unrealized				Changes in unrealized
		Total gains		gains (losses) relating to		Total gains		gains (losses) relating to
		(losses) included		assets still held at		(losses) included		assets still held at
(In thousands)		in earnings		reporting date		in earnings		reporting date
Mortgage banking activities	$	512	$	5,162	$	(5,229)	$	(2,439)
Trading account loss		(9)		4		(11)		7
Total	$	503	$	5,166	$	(5,240)	$	(2,432)

Fair value measurements, recurring and nonrecurring valuation techniques

			Fair value
			at March 31,
(In thousands)			2021		Valuation technique	Unobservable inputs	Weighted average (range) [1]
CMO's - trading		$	251		Discounted cash flow model	Weighted average life	1.1 years (0.3 - 1.3 years)
						Yield	3.6% (3.6% - 4.1%)
						Prepayment speed	12.9% (10.4% - 18.3%)
Other - trading		$	372		Discounted cash flow model	Weighted average life	3.6 years
						Yield	12.0%
						Prepayment speed	10.8%
Mortgage servicing rights		$	122,543		Discounted cash flow model	Prepayment speed	6.0% (0.4% - 24.6%)
						Weighted average life	6.3 years (0.1 - 12.8 years)
						Discount rate	11.1% (9.5% - 14.7%)
Loans held-in-portfolio		$	2,162	[2]	External appraisal	Haircut applied on
						external appraisals	16.3% (12.6% - 21.4%)
Other real estate owned		$	5,772	[3]	External appraisal	Haircut applied on
						external appraisals	22.1% (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.

			Fair value
			at March 31,
(In thousands)			2020		Valuation technique	Unobservable inputs	Weighted average (range) [1]
CMO's - trading		$	467		Discounted cash flow model	Weighted average life	1.5 years (0.1 - 1.6 years)
						Yield	3.8% (3.7% - 4.3%)
						Prepayment speed	18.4% (14.5% - 21.2%)
Other - trading		$	428		Discounted cash flow model	Weighted average life	3.8 years
						Yield	12.0%
						Prepayment speed	10.8%
Mortgage servicing rights		$	147,311		Discounted cash flow model	Prepayment speed	6.3% (0.2% - 18.9%)
						Weighted average life	7.2 years (0.1 - 14.3 years)
						Discount rate	11.1% (9.5% - 14.7%)
Loans held-in-portfolio		$	3,151	[2]	External appraisal	Haircut applied on
						external appraisals	10%
Other real estate owned		$	7,050	[3]	External appraisal	Haircut applied on
						external appraisals	22.3% (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.