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Fair value measurement (Tables)
 9 Months Ended
Sep. 30, 2023
Fair Value Disclosures  
Assets and Liabilities Measured at Fair Value on a Recurring Basis
At September 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
$
3,871,643
$
7,458,038
$
-
$
-
$
11,329,681
Collateralized mortgage obligations - federal
agencies
-
138,014
-
-
138,014
Mortgage-backed securities
-
5,660,488
653
-
5,661,141
Other
-
22
1,000
-
1,022
Total debt securities
 
available-for-sale
$
3,871,643
$
13,256,562
$
1,653
$
-
$
17,129,858
Trading account debt securities, excluding
derivatives:
U.S. Treasury securities
$
15,644
$
-
$
-
$
-
$
15,644
Obligations of Puerto Rico, States and political
subdivisions
-
57
-
-
57
Collateralized mortgage obligations
-
42
10
-
52
Mortgage-backed securities
-
14,747
137
-
14,884
Other
-
-
188
-
188
Total trading account
 
debt securities, excluding
derivatives
$
15,644
$
14,846
$
335
$
-
$
30,825
Equity securities
$
-
$
35,026
$
-
$
286
$
35,312
Mortgage servicing rights
-
-
119,030
-
119,030
Loans held-for-sale
-
5,239
-
-
5,239
Derivatives
 
-
23,511
-
-
23,511
Total assets measured
 
at fair value on a
recurring basis
$
3,887,287
$
13,335,184
$
121,018
$
286
$
17,343,775
Liabilities
Derivatives
$
-
$
(21,747)
$
-
$
-
$
(21,747)
Total liabilities measured
 
at fair value on a
recurring basis
$
-
$
(21,747)
$
-
$
-
$
(21,747)
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 September 30,2023.
(In thousands)
September 30, 2023
Aggregate Unpaid
Fair Value
Principal Balance
Difference
Loans held for sale
$
5,239
$
5,364
$
(125)
Nonrecurring fair value measurements
Nine months ended September 30, 2023
(In thousands)
Level 1
Level 2
Level 3
Total
NONRECURRING FAIR VALUE
 
MEASUREMENTS
Assets
 
 
 
 
 
Write-downs
Loans
[1]
$
-
$
-
$
9,113
$
9,113
$
(3,087)
Other real estate owned
[2]
-
-
5,457
5,457
(1,012)
Other foreclosed assets
[2]
-
-
44
44
(14)
Total assets measured
 
at fair value on a nonrecurring basis
$
-
$
-
$
14,614
$
14,614
$
(4,113)
[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.
Nine months ended September 30, 2022
(In thousands)
Level 1
Level 2
Level 3
Total
NONRECURRING FAIR VALUE
 
MEASUREMENTS
Assets
 
 
 
 
 
Write-downs
Loans
[1]
$
-
$
-
$
9,933
$
9,933
$
(9,580)
Loans held-for-sale
[2]
-
-
8,080
8,080
(224)
Other real estate owned
[3]
-
-
3,067
3,067
(940)
Other foreclosed assets
[3]
-
-
30
30
(1)
Long-lived assets held-for-sale
[4]
-
-
686
686
(688)
Total assets measured
 
at fair value on a nonrecurring basis
$
-
$
-
$
21,796
$
21,796
$
(11,433)
[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.
[4] Represents the fair value of long-lived assets held-for-sale
 
that were written down to their fair value.
Assets measured on recurring basis, unobservable input reconciliation
Quarter ended September 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 June 30, 2023
$
655
$
1,000
$
56
$
163
$
191
$
121,249
$
123,314
Gains (losses) included in earnings
-
-
-
-
(3)
(2,793)
(2,796)
Gains (losses) included in OCI
(2)
-
-
-
-
-
(2)
Additions
-
-
-
-
-
574
574
Settlements
-
-
(46)
(26)
-
-
(72)
Balance at September 30, 2023
$
653
$
1,000
$
10
$
137
$
188
$
119,030
$
121,018
Changes in unrealized gains (losses) included
in earnings relating to assets still held at
September 30, 2023
$
-
$
-
$
-
$
-
$
4
$
(381)
$
(377)
Nine months ended September 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)
(19)
(10,386)
(10,407)
Gains (losses) included in OCI
(8)
-
-
-
-
-
(8)
Additions
-
-
4
-
-
1,814
1,818
Sales
-
-
-
-
-
(1,269)
(1,269)
Settlements
(50)
-
(107)
(76)
-
521
288
Balance at September 30, 2023
$
653
$
1,000
$
10
137
$
188
$
119,030
$
121,018
Changes in unrealized gains (losses) included
in earnings relating to assets still held at
September 30, 2023
$
-
$
-
$
-
$
(1)
$
22
$
(1,828)
$
(1,807)
Quarter ended September 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
 
June 30, 2022
$
779
$
500
$
152
$
264
$
129,877
$
131,572
$
(9,241)
$
(9,241)
Gains (losses) included in earnings
-
-
(1)
(9)
(499)
(509)
9,241
9,241
Gains (losses) included in OCI
(18)
-
-
-
-
(18)
-
-
Additions
-
500
3
-
1,163
1,666
-
-
Settlements
(50)
-
(19)
-
-
(69)
-
-
Balance at September 30, 2022
$
711
$
1,000
$
135
$
255
$
130,541
$
132,642
$
-
$
-
Changes in unrealized gains
(losses) included in earnings
relating to assets still held at
September 30, 2022
$
-
$
-
$
(1)
$
7
$
1,984
$
1,990
$
-
$
-
Nine months ended September 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
-
-
(2)
(25)
2,776
2,749
9,241
9,241
Gains (losses) included in OCI
(15)
-
-
-
-
(15)
-
-
Additions
-
1,000
5
-
6,195
7,200
-
-
Settlements
(100)
-
(66)
-
-
(166)
-
-
Balance at September 30, 2022
$
711
$
1,000
$
135
$
255
$
130,541
$
132,642
$
-
$
-
Changes in unrealized gains
(losses) included in earnings
relating to assets still held at
September 30, 2022
$
-
$
-
$
(2)
$
14
$
11,556
$
11,568
$
-
$
-
Gain (loss) included in earnings, measured on recurring basis
Quarter ended September 30, 2023
Nine months ended September 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
$
(2,793)
$
(381)
$
(10,386)
$
(1,828)
Trading account profit (loss)
(3)
4
(21)
21
Total
 
$
(2,796)
$
(377)
$
(10,407)
$
(1,807)
Quarter ended September 30, 2022
Nine months ended September 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
$
(499)
$
1,984
$
2,776
$
11,556
Trading account profit (loss)
(10)
6
(27)
12
Other operating income
9,241
-
9,241
-
Total
 
$
8,732
$
1,990
$
11,990
$
11,568
Fair value measurements, recurring and nonrecurring valuation techniques
Fair value at
 
September 30,
(In thousands)
2023
Valuation technique
Unobservable inputs
Weighted average (range) [1]
CMO's - trading
$
10
Discounted cash flow model
Weighted average life
0.2
 
years (
0.2
 
-
0.3
 
years)
Yield
4.9
%
Prepayment speed
7.3
%
Other - trading
$
188
Discounted cash flow model
Weighted average life
2.5
 
years
Yield
12.0%
Prepayment speed
10.8%
Loans held-in-portfolio
$
9,044
[2]
External appraisal
Haircut applied on
external appraisals
7.2
% (
5.0
% -
10.0
%)
Other real estate owned
$
325
[3]
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.
 
[3]
Other real estate owned in which haircuts were not applied
 
to external appraisals were excluded from this table.
Fair value at
 
September 30,
(In thousands)
2022
Valuation technique
Unobservable inputs
Weighted average (range) [1]
CMO's - trading
$
135
Discounted cash flow model
Weighted average life
0.5
 
years (
0.2
 
-
0.7
 
years)
Yield
4.9
% (
4.9
% -
5.4
%)
Prepayment speed
10.7
% (
10.1
% -
18.5
%)
Other - trading
$
255
Discounted cash flow model
Weighted average life
2.9
 
years
Yield
12.0%
Prepayment speed
10.8%
Loans held-in-portfolio
$
4,473
[2]
External appraisal
Haircut applied on
external appraisals
16.1
% (
5
.0% -
25
.0%)
Other real estate owned
$
289
[3]
External appraisal
Haircut applied on
external appraisals
27
% (
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.