Fair value measurement (Tables)

3 Months Ended

Mar. 31, 2024

Fair Value Disclosures

Assets and Liabilities Measured at Fair Value on a Recurring Basis

At March 31, 2024

(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

$

6,262,480

$

6,026,731

$

-

$

-

$

12,289,211

Collateralized mortgage obligations - federal

agencies

-

127,608

-

-

127,608

Mortgage-backed securities

-

5,597,993

607

-

5,598,600

Other

-

5

2,000

-

2,005

Total debt securities available-for-sale

$

6,262,480

$

11,752,337

$

2,607

$

-

$

18,017,424

Trading account debt securities, excluding

derivatives:

U.S. Treasury securities

$

8,316

$

-

$

-

$

-

$

8,316

Obligations of Puerto Rico, States and political

subdivisions

-

60

-

-

60

Collateralized mortgage obligations

-

90

-

-

90

Mortgage-backed securities

-

18,587

84

-

18,671

Other

-

-

166

-

166

Total trading account debt securities, excluding

derivatives

$

8,316

$

18,737

$

250

$

-

$

27,303

Equity securities

$

-

$

40,933

$

-

$

336

$

41,269

Mortgage servicing rights

-

-

114,964

-

114,964

Loans held-for-sale

-

5,352

-

-

5,352

Derivatives 

-

24,045

-

-

24,045

Total assets measured at fair value on a

recurring basis

$

6,270,796

$

11,841,404

$

117,821

$

336

$

18,230,357

Liabilities

Derivatives

$

-

$

(21,784)

$

-

$

-

$

(21,784)

Total liabilities measured at fair value on a

recurring basis

$

-

$

(21,784)

$

-

$

-

$

(21,784)

At December 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

$

3,936,036

$

6,811,025

$

-

$

-

$

10,747,061

Collateralized mortgage obligations - federal

agencies

-

134,686

-

-

134,686

Mortgage-backed securities

-

5,844,180

606

-

5,844,786

Other

-

11

2,500

-

2,511

Total debt securities available-for-sale

$

3,936,036

$

12,789,902

$

3,106

$

-

$

16,729,044

Trading account debt securities, excluding

derivatives:

U.S. Treasury securities

$

16,859

$

-

$

-

$

-

$

16,859

Obligations of Puerto Rico, States and political

subdivisions

-

71

-

-

71

Collateralized mortgage obligations

-

93

5

-

98

Mortgage-backed securities

-

14,261

112

-

14,373

Other

-

-

167

-

167

Total trading account debt securities, excluding

derivatives

$

16,859

$

14,425

$

284

$

-

$

31,568

Equity securities

$

-

$

37,965

$

-

$

310

$

38,275

Mortgage servicing rights

-

-

118,109

-

118,109

Loans held-for-sale

-

3,239

-

-

3,239

Derivatives 

-

24,419

-

-

24,419

Total assets measured at fair value on a

recurring basis

$

3,952,895

$

12,869,950

$

121,499

$

310

$

16,944,654

Liabilities

Derivatives

$

-

$

(21,103)

$

-

$

-

$

(21,103)

Total liabilities measured at fair value on a

recurring basis

$

-

$

(21,103)

$

-

$

-

$

(21,103)

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

The following tables summarize the difference between the aggregate fair value and the aggregate unpaid principal balance for

mortgage loans originated as held-for-sale measured at fair value as of March 31, 2024 and December 31, 2023.

(In thousands)

March 31, 2024

Aggregate Unpaid

Fair Value

Principal Balance

Difference

Loans held for sale

$

5,352

$

5,285

$

67

(In thousands)

December 31, 2023

Aggregate Unpaid

Fair Value

Principal Balance

Difference

Loans held for sale

$

3,239

$

3,202

$

37

Nonrecurring fair value measurements

Quarter ended March 31, 2024

(In thousands)

Level 1

Level 2

Level 3

Total

NONRECURRING FAIR VALUE MEASUREMENTS

Assets 

Write-downs

Loans

[1]

$

-

$

-

$

110

$

110

$

(2,172)

Other real estate owned

[2]

-

-

1,416

1,416

(224)

Other foreclosed assets

[2]

-

-

105

105

(41)

Total assets measured at fair value on a nonrecurring basis

$

-

$

-

$

1,631

$

1,631

$

(2,437)

[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, 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.

Assets measured on recurring basis, unobservable input reconciliation

Quarter ended March 31, 2024

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, 2023

$

606

$

2,500

$

5

$

112

$

167

$

118,109

$

121,499

Gains (losses) included in earnings

-

(500)

-

-

(1)

(3,439)

(3,940)

Gains (losses) included in OCI

1

-

-

-

-

-

1

Additions

-

-

-

-

-

294

294

Settlements

-

-

(5)

(28)

-

-

(33)

Balance at March 31, 2024

$

607

$

2,000

$

-

$

84

$

166

$

114,964

$

117,821

Changes in unrealized gains (losses) included

in earnings relating to assets still held at March

31, 2024

$

-

$

(500)

$

-

$

-

$

2

$

(1,202)

$

(1,700)

Quarter ended March 31, 2023

MBS

Other

Other

classified

securities

CMOs

MBS

securities

as debt

classified as

classified

classified

classified

securities

debt securities

as trading

as trading

as trading

Mortgage

available-

available-

account debt

account 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

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

Quarter ended March 31, 2024

Quarter ended March 31, 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

$

(3,439)

$

(1,202)

$

(1,376)

$

1,286

Trading account (loss) profit

(1)

2

(9)

9

Provision for credit losses

(500)

(500)

-

-

Total 

$

(3,940)

$

(1,700)

$

(1,385)

$

1,295

Fair value measurements, recurring and nonrecurring valuation techniques

Fair value at

 March 31,

(In thousands)

2024

Valuation technique

Unobservable inputs

Weighted average (range) [1]

Other - trading

$

166

Discounted cash flow model

Weighted average life

2.3

 years

Yield

12.0%

Prepayment speed

10.8%

Loans held-in-portfolio

$

110

[2]

External appraisal

Haircut applied on

external appraisals

10.0%

[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)

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.