Fair value measurement (Tables)

3 Months Ended

Mar. 31, 2023

Fair Value Disclosures

Assets and Liabilities Measured at Fair Value on a Recurring Basis

At March 31, 2023

(In thousands)

Level 1

Level 2

Level 3

Measured at NAV

Total

RECURRING FAIR VALUE MEASUREMENTS

Assets 

Debt securities available-for-sale:

U.S. Treasury securities

$

1,865,470

$

8,769,277

$

-

$

-

$

10,634,747

Collateralized mortgage obligations - federal

agencies

-

158,772

-

-

158,772

Mortgage-backed securities

-

6,377,905

655

-

6,378,560

Other

-

49

1,000

-

1,049

Total debt securities available-for-sale

$

1,865,470

$

15,306,003

$

1,655

$

-

$

17,173,128

Trading account debt securities, excluding

derivatives:

U.S. Treasury securities

$

15,462

$

-

$

-

$

-

$

15,462

Obligations of Puerto Rico, States and political

subdivisions

-

62

-

-

62

Collateralized mortgage obligations

-

45

88

-

133

Mortgage-backed securities

-

13,779

188

-

13,967

Other

-

-

199

-

199

Total trading account debt securities, excluding

derivatives

$

15,462

$

13,886

$

475

$

-

$

29,823

Equity securities

$

-

$

32,545

$

-

$

318

$

32,863

Mortgage servicing rights

-

-

127,475

-

127,475

Loans held-for-sale

-

11,181

-

-

11,181

Derivatives 

-

19,365

-

-

19,365

Total assets measured at fair value on a

recurring basis

$

1,880,932

$

15,382,980

$

129,605

$

318

$

17,393,835

Liabilities

Derivatives

$

-

$

(17,115)

$

-

$

-

$

(17,115)

Total liabilities measured at fair value on a

recurring basis

$

-

$

(17,115)

$

-

$

-

$

(17,115)

At December 31, 2022

(In thousands)

Level 1

Level 2

Level 3

Measured at NAV

Total

RECURRING FAIR VALUE MEASUREMENTS

Assets 

Debt securities available-for-sale:

U.S. Treasury securities

$

1,908,589

$

9,272,359

$

-

$

-

$

11,180,948

Collateralized mortgage obligations - federal

agencies

-

165,196

-

-

165,196

Mortgage-backed securities

-

6,456,459

711

-

6,457,170

Other

-

60

1,000

-

1,060

Total debt securities available-for-sale

$

1,908,589

$

15,894,074

$

1,711

$

-

$

17,804,374

Trading account debt securities, excluding

derivatives:

U.S. Treasury securities

$

13,069

$

-

$

-

$

-

$

13,069

Obligations of Puerto Rico, States and political

subdivisions

-

64

-

-

64

Collateralized mortgage obligations

-

47

113

-

160

Mortgage-backed securities

-

14,008

215

-

14,223

Other

-

-

207

-

207

Total trading account debt securities, excluding

derivatives

$

13,069

$

14,119

$

535

$

-

$

27,723

Equity securities

$

-

$

29,302

$

-

$

330

$

29,632

Mortgage servicing rights

-

-

128,350

-

128,350

Derivatives 

-

19,229

-

-

19,229

Total assets measured at fair value on a

recurring basis

$

1,921,658

$

15,956,724

$

130,596

$

330

$

18,009,308

Liabilities

Derivatives

$

-

$

(17,000)

$

-

$

-

$

(17,000)

Total liabilities measured at fair value on a

recurring basis

$

-

$

(17,000)

$

-

$

-

$

(17,000)

Difference between the aggregate fair value and the aggregate unpaid principal balance formortgage loans held for sale measured at fair value

The following table summarizes the difference between the aggregate fair value and the aggregate unpaid principal balance for

mortgage loans held for sale measured at fair value as of March 31,2023.

(In thousands)

March 31, 2023

Aggregate Unpaid

Fair Value

Principal Balance

Difference

Loans held for sale

$

11,181

$

11,116

$

65

Nonrecurring fair value measurements

Quarter ended March 31, 2023

(In thousands)

Level 1

Level 2

Level 3

Total

NONRECURRING FAIR VALUE MEASUREMENTS

Assets 

Write-downs

Loans

[1]

$

-

$

-

$

1,629

$

1,629

$

(3)

Other real estate owned

[2]

-

-

2,330

2,330

(628)

Other foreclosed assets

[2]

-

-

15

15

(4)

Total assets measured at fair value on a nonrecurring basis

$

-

$

-

$

3,974

$

3,974

$

(635)

[1] Relates mainly 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.

Quarter ended March 31, 2022

(In thousands)

Level 1

Level 2

Level 3

Total

NONRECURRING FAIR VALUE MEASUREMENTS

Assets 

Write-downs

Loans

[1]

$

-

$

-

$

4,891

$

4,891

$

(180)

Loans held-for-sale

[2]

-

-

55,150

55,150

(675)

Other real estate owned

[3]

-

-

1,432

1,432

(495)

Total assets measured at fair value on a nonrecurring basis

$

-

$

-

$

61,473

$

61,473

$

(1,350)

[1] Relates mainly 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.

Assets measured on recurring basis, unobservable input reconciliation

Quarter ended March 31, 2023

MBS

Other

CMOs

MBS

Other

classified

securities

classified

classified

securities

as debt

classified as 

as trading

as trading

classified

securities

 debt securities

account

account

as trading

Mortgage

available-

available-

 debt

 debt

account debt

servicing

Total

(In thousands)

for-sale

for-sale

securities

securities

securities

rights

assets

Balance at December 31, 2022

$

711

$

1,000

$

113

$

215

$

207

$

128,350

$

130,596

Gains (losses) included in earnings

-

-

-

(1)

(8)

(1,376)

(1,385)

Gains (losses) included in OCI

(6)

-

-

-

-

-

(6)

Additions

-

-

-

-

-

501

501

Settlements

(50)

-

(25)

(26)

-

-

(101)

Balance at March 31, 2023

$

655

$

1,000

$

88

$

188

$

199

$

127,475

$

129,605

Changes in unrealized gains (losses) included

in earnings relating to assets still held at March

31, 2023

$

-

$

-

$

-

$

-

$

9

$

1,286

$

1,295

Quarter ended March 31, 2022

MBS

Other

classified

CMOs

securities

as investment

classified

classified

securities

as trading

as trading

Mortgage

available-

account

account

servicing

Total

Contingent

Total

(In thousands)

for-sale

securities

securities

rights

assets

consideration

liabilities

Balance at December 31, 2021

$

826

$

198

$

280

$

121,570

$

122,874

$

9,241

$

9,241

Gains (losses) included in earnings

-

(1)

(13)

1,017

1,003

-

-

Gains (losses) included in OCI

(8)

-

-

-

(8)

-

-

Additions

-

2

-

2,771

2,773

-

-

Settlements

(25)

(25)

-

-

(50)

-

-

Balance at March 31, 2022

$

793

$

174

$

267

$

125,358

$

126,592

$

9,241

$

9,241

Changes in unrealized gains (losses)

included in earnings relating to assets

still held at March 31, 2022

$

-

$

(1)

$

5

$

4,252

$

4,256

$

-

$

-

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

Quarter ended March 31, 2023

Quarter ended March 31, 2022

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

$

(1,376)

$

1,286

$

1,017

$

4,252

Trading account (loss) profit

(9)

9

(14)

4

Total 

$

(1,385)

$

1,295

$

1,003

$

4,256

Fair value measurements, recurring and nonrecurring valuation techniques

Fair value at

 March 31,

(In thousands)

2023

Valuation technique

Unobservable inputs

Weighted average (range) [1]

CMO's - trading

$

88

Discounted cash flow model

Weighted average life

0.3

 years (

0.1

 -

0.5

 years)

Yield

4.9

% (

4.9

% -

5.4

%)

Prepayment speed

9.2

% (

8.3

% -

27.8

%)

Other - trading

$

199

Discounted cash flow model

Weighted average life

2.5

 years

Yield

12.0%

Prepayment speed

10.8%

Loans held-in-portfolio

$

1,560

[2]

External appraisal

Haircut applied on

external appraisals

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.

Fair value at

 March 31,

(In thousands)

2022

Valuation technique

Unobservable inputs

Weighted average (range) [1]

CMO's - trading

$

174

Discounted cash flow model

Weighted average life

0.7

 years (

0.5

 -

1

 years)

Yield

3.9

% (

3.9

% -

4.5

%)

Prepayment speed

8.4

% (

0.1

% -

15.7

%)

Other - trading

$

267

Discounted cash flow model

Weighted average life

2.9

 years

Yield

12.0%

Prepayment speed

10.8%

Contingent consideration

$

(9,241)

Probability weighted

discounted cash flows

Discount rate

2.52

%

Loans held-in-portfolio

$

4,653

[2]

External appraisal

Haircut applied on

external appraisals

12.6

%

[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.