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Fair value measurement (Tables)
 6 Months Ended
Jun. 30, 2023
Fair Value Disclosures  
Assets and Liabilities Measured at Fair Value on a Recurring Basis
At June 30, 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
$
2,854,502
$
8,113,480
$
-
$
-
$
10,967,982
Collateralized mortgage obligations - federal
agencies
-
148,052
-
-
148,052
Mortgage-backed securities
-
6,124,495
655
-
6,125,150
Other
-
33
1,000
-
1,033
Total debt securities
 
available-for-sale
$
2,854,502
$
14,386,060
$
1,655
$
-
$
17,242,217
Trading account debt securities, excluding
derivatives:
U.S. Treasury securities
$
13,338
$
-
$
-
$
-
$
13,338
Obligations of Puerto Rico, States and political
subdivisions
-
61
-
-
61
Collateralized mortgage obligations
-
42
56
-
98
Mortgage-backed securities
-
15,184
163
-
15,347
Other
-
-
191
-
191
Total trading account
 
debt securities, excluding
derivatives
$
13,338
$
15,287
$
410
$
-
$
29,035
Equity securities
$
-
$
35,541
$
-
$
303
$
35,844
Mortgage servicing rights
-
-
121,249
-
121,249
Loans held-for-sale
-
9,509
-
-
9,509
Derivatives
 
-
24,346
-
-
24,346
Total assets measured
 
at fair value on a
recurring basis
$
2,867,840
$
14,470,743
$
123,314
$
303
$
17,462,200
Liabilities
Derivatives
$
-
$
(21,575)
$
-
$
-
$
(21,575)
Total liabilities measured
 
at fair value on a
recurring basis
$
-
$
(21,575)
$
-
$
-
$
(21,575)
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 June 30,2023.
(In thousands)
June 30, 2023
Aggregate Unpaid
Fair Value
Principal Balance
Difference
Loans held for sale
$
9,509
$
9,648
$
(139)
Nonrecurring fair value measurements
Six months ended June 30, 2023
(In thousands)
Level 1
Level 2
Level 3
Total
NONRECURRING FAIR VALUE
 
MEASUREMENTS
Assets
 
 
 
 
 
Write-downs
Loans
[1]
$
-
$
-
$
18,923
$
18,923
$
(7,092)
Other real estate owned
[2]
-
-
2,815
2,815
(656)
Other foreclosed assets
[2]
-
-
41
41
(9)
Total assets measured
 
at fair value on a nonrecurring basis
$
-
$
-
$
21,779
$
21,779
$
(7,757)
[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.
Six months ended June 30, 2022
(In thousands)
Level 1
Level 2
Level 3
Total
NONRECURRING FAIR VALUE
 
MEASUREMENTS
Assets
 
 
 
 
 
Write-downs
Loans
[1]
$
-
$
-
$
6,694
$
6,694
$
(1,183)
Other real estate owned
[2]
-
-
2,161
2,161
(769)
Total assets measured
 
at fair value on a nonrecurring basis
$
-
$
-
$
8,855
$
8,855
$
(1,952)
[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.
Assets measured on recurring basis, unobservable input reconciliation
Quarter ended June 30, 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 March 31, 2023
$
655
$
1,000
$
88
$
188
$
199
$
127,475
$
129,605
Gains (losses) included in earnings
-
-
-
-
(8)
(6,217)
(6,225)
Additions
-
-
4
-
-
739
743
Sales
-
-
-
-
-
(1,269)
(1,269)
Settlements
-
-
(36)
(25)
-
521
460
Balance at June 30, 2023
$
655
$
1,000
$
56
$
163
$
191
$
121,249
$
123,314
Changes in unrealized gains (losses) included
in earnings relating to assets still held at June
30, 2023
$
-
$
-
$
-
$
-
$
9
$
(2,732)
$
(2,723)
Six months ended June 30, 2023
MBS
Other
MBS
Other
classified
securities
CMOs
classified
securities
as debt
classified as
 
classified
as trading
classified
securities
 
debt securities
as trading
account
as trading
Mortgage
available-
available-
account debt
 
debt
account debt
servicing
Total
(In thousands)
for-sale
for-sale
securities
securities
securities
rights
assets
Balance at January 1, 2023
$
711
$
1,000
$
113
$
215
$
207
$
128,350
$
130,596
Gains (losses) included in earnings
-
-
-
(2)
(16)
(7,593)
(7,611)
Gains (losses) included in OCI
(6)
-
-
-
-
-
(6)
Additions
-
-
4
-
-
1,240
1,244
Sales
-
-
-
-
-
(1,269)
(1,269)
Settlements
(50)
-
(61)
(50)
-
521
360
Balance at June 30, 2023
$
655
$
1,000
$
56
163
$
191
$
121,249
$
123,314
Changes in unrealized gains (losses) included
in earnings relating to assets still held at June
30, 2023
$
-
$
-
$
-
$
(1)
$
18
$
(1,447)
$
(1,430)
Quarter ended June 30, 2022
MBS
Other
Other
classified
securities
CMOs
securities
as debt
classified as
classified
classified
securities
debt securities
as trading
as trading
Mortgage
available-
available-
account debt
account debt
servicing
Total
Contingent
Total
(In thousands)
for-sale
for-sale
securities
securities
rights
assets
consideration
liabilities
Balance at
 
March 31, 2022
$
793
$
-
$
174
$
267
$
125,358
$
126,592
$
9,241
$
9,241
Gains (losses) included in earnings
-
-
-
(3)
2,258
2,255
-
-
Gains (losses) included in OCI
11
-
-
-
-
11
-
-
Additions
-
500
-
-
2,261
2,761
-
-
Settlements
(25)
-
(22)
-
-
(47)
-
-
Balance at June 30, 2022
$
779
$
500
$
152
$
264
$
129,877
$
131,572
$
9,241
$
9,241
Changes in unrealized gains
(losses) included in earnings
relating to assets still held at June
30, 2022
$
-
$
-
$
(1)
$
2
$
5,318
$
5,319
$
-
$
-
Six months ended June 30, 2022
MBS
Other
Other
classified
securities
CMOs
securities
as debt
classified as
classified
classified
securities
debt securities
as trading
as trading
Mortgage
available-
available-
account debt
account debt
servicing
Total
Contingent
Total
(In thousands)
for-sale
for-sale
securities
securities
rights
assets
consideration
liabilities
Balance at January 1,
 
2022
$
826
$
-
$
198
$
280
$
121,570
$
122,874
$
9,241
$
9,241
Gains (losses) included in earnings
-
-
(1)
(16)
3,275
3,258
-
-
Gains (losses) included in OCI
3
-
-
-
-
3
-
-
Additions
-
500
2
-
5,032
5,534
-
-
Settlements
(50)
-
(47)
-
-
(97)
-
-
Balance at June 30, 2022
$
779
$
500
$
152
$
264
$
129,877
$
131,572
$
9,241
$
9,241
Changes in unrealized gains
(losses) included in earnings
relating to assets still held at June
30, 2022
$
-
$
-
$
(1)
$
7
$
9,571
$
9,577
$
-
$
-
Gain (loss) included in earnings, measured on recurring basis
Quarter ended June 30, 2023
Six months ended June 30, 2023
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
$
(6,217)
$
(2,732)
$
(7,593)
$
(1,447)
Trading account profit (loss)
(8)
9
(18)
17
Total
 
$
(6,225)
$
(2,723)
$
(7,611)
$
(1,430)
Quarter ended June 30, 2022
Six months ended June 30, 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
$
2,258
$
5,318
$
3,275
$
9,571
Trading account profit (loss)
(3)
1
(17)
6
Total
 
$
2,255
$
5,319
$
3,258
$
9,577
Fair value measurements, recurring and nonrecurring valuation techniques
Fair value at
 
June 30,
(In thousands)
2023
Valuation technique
Unobservable inputs
Weighted average (range) [1]
CMO's - trading
$
56
Discounted cash flow model
Weighted average life
0.2
 
years (
0.2
 
-
0.4
 
years)
Yield
4.9
% (
4.9
% -
5.4
%)
Prepayment speed
7.9
% (
7.7
% -
25
%)
Other - trading
$
191
Discounted cash flow model
Weighted average life
2.5
 
years
Yield
12.0%
Prepayment speed
10.8%
Loans held-in-portfolio
$
18,854
[2]
External appraisal
Haircut applied on
external appraisals
12.0
% (
5.0
% -
20.0
%)
[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
 
June 30,
(In thousands)
2022
Valuation technique
Unobservable inputs
Weighted average (range) [1]
CMO's - trading
$
152
Discounted cash flow model
Weighted average life
0.6
 
years (
0.3
 
-
0.8
 
years)
Yield
4.2
% (
4.2
% -
4.8
%)
Prepayment speed
12.5
% (
12
.0% -
16.3
%)
Other - trading
$
264
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
$
3,779
[2]
External appraisal
Haircut applied on
external appraisals
12.6
%
Other real estate owned
$
76
[3]
External appraisal
Haircut applied on
external appraisals
5
.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.