XML 81 R66.htm IDEA: XBRL DOCUMENT v3.24.3
Fair value measurement (Tables)
9 Months Ended
Sep. 30, 2024
Fair Value Disclosures  
Assets and Liabilities Measured at Fair Value on a Recurring Basis
The following fair value hierarchy tables
 
present information about the Corporation’s assets
 
and liabilities measured at fair value
 
on
a recurring basis at September 30, 2024 and December
 
31, 2023:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At September 30, 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
$
5,879,911
$
5,644,519
$
-
$
-
$
11,524,430
Collateralized mortgage obligations - federal
agencies
-
128,553
-
-
128,553
Mortgage-backed securities
-
5,530,582
558
-
5,531,140
Other
-
-
2,000
-
2,000
Total debt securities
 
available-for-sale
$
5,879,911
$
11,303,654
$
2,558
$
-
$
17,186,123
Trading account debt securities, excluding
derivatives:
U.S. Treasury securities
$
7,675
$
10
$
-
$
-
$
7,685
Obligations of Puerto Rico, States and political
subdivisions
-
58
-
-
58
Collateralized mortgage obligations
-
132
-
-
132
Mortgage-backed securities
-
22,723
84
-
22,807
Other
-
-
154
-
154
Total trading account
 
debt securities, excluding
derivatives
$
7,675
$
22,923
$
238
$
-
$
30,836
Equity securities
$
-
$
46,248
$
-
$
385
$
46,633
Mortgage servicing rights
-
-
108,827
-
108,827
Loans held-for-sale
-
5,509
-
-
5,509
Derivatives
 
-
25,941
-
-
25,941
Total assets measured
 
at fair value on a
recurring basis
$
5,887,586
$
11,404,275
$
111,623
$
385
$
17,403,869
Liabilities
Derivatives
$
-
$
(23,608)
$
-
$
-
$
(23,608)
Total liabilities measured
 
at fair value on a
recurring basis
$
-
$
(23,608)
$
-
$
-
$
(23,608)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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 September 30, 2024 and
 
December 31, 2023.
 
 
 
 
 
 
(In thousands)
September 30, 2024
Aggregate Unpaid
Fair Value
Principal Balance
Difference
Loans held for sale
$
5,509
$
5,507
$
2
 
 
 
 
 
 
(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
The fair value information included in the following tables is
 
not as of period end, but as of
 
the date that the fair value measurement
was
 
recorded
 
during
 
the
 
quarters
 
and
 
nine
 
months
 
ended
 
September
 
30,
 
2024
 
and
 
2023
 
and
 
excludes
 
nonrecurring fair
 
value
measurements of assets no longer outstanding as of
 
the reporting date.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Nine months ended September 30, 2024
(In thousands)
Level 1
Level 2
Level 3
Total
NONRECURRING FAIR VALUE
 
MEASUREMENTS
Assets
 
 
 
 
 
Write-downs
Loans
[1]
$
-
$
-
$
4,166
$
4,166
$
(654)
Other real estate owned
[2]
-
-
5,749
5,749
(1,889)
Other foreclosed assets
[2]
-
-
174
174
(38)
Total assets measured
 
at fair value on a nonrecurring basis
$
-
$
-
$
10,089
$
10,089
$
(2,581)
[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, 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.
Assets measured on recurring basis, unobservable input reconciliation
The following tables present the changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the quarters
 
and nine months ended September 30, 2024 and
 
2023.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Quarter ended September 30, 2024
MBS
Other
MBS
Other
classified
securities
classified
securities
as debt
classified as
 
as trading
classified
securities
 
debt securities
account
as trading
Mortgage
available-
available-
 
debt
account debt
servicing
Total
(In thousands)
for-sale
for-sale
securities
securities
rights
assets
Balance at June 30, 2024
$
581
$
2,000
$
84
$
158
$
113,386
$
116,209
Gains (losses) included in earnings
-
-
-
(4)
(4,896)
(4,900)
Gains (losses) included in OCI
2
-
-
-
-
2
Additions
-
-
-
-
337
337
Settlements
(25)
-
-
-
-
(25)
Balance at September 30, 2024
$
558
$
2,000
$
84
$
154
$
108,827
$
111,623
Changes in unrealized gains (losses) included in
earnings relating to assets still held at September
30, 2024
$
-
$
-
$
-
$
6
$
(2,577)
$
(2,571)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Nine months ended September 30, 2024
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, 2024
$
606
$
2,500
$
5
$
112
$
167
$
118,109
$
121,499
Gains (losses) included in earnings
-
(500)
-
-
(13)
(10,280)
(10,793)
Gains (losses) included in OCI
2
-
-
-
-
-
2
Additions
-
-
-
-
-
998
998
Settlements
(50)
-
(5)
(28)
-
-
(83)
Balance at September 30, 2024
$
558
$
2,000
$
-
$
84
$
154
$
108,827
$
111,623
Changes in unrealized gains (losses) included
in earnings relating to assets still held at
September 30, 2024
$
-
$
-
$
-
$
-
$
18
$
(3,279)
$
(3,261)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Quarter ended September 30, 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 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
Other
classified
securities
CMOs
securities
as debt
classified as
classified
MBS
 
classified
securities
debt securities
as trading
classified as
as trading
Mortgage
available-
available-
account debt
trading account
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)
Gain (loss) included in earnings, measured on recurring basis
Gains and losses
 
(realized and unrealized)
 
included in earnings
 
for the
 
quarters
 
and nine months
 
ended September 30,
 
2024 and
2023 for
 
Level 3
 
assets and
 
liabilities included
 
in the
 
previous tables
 
are reported
 
in the
 
consolidated statement
 
of operations
 
as
follows:
 
 
 
 
 
 
 
 
 
Quarter ended September 30, 2024
Nine months ended September 30, 2024
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
$
(4,896)
$
(2,577)
$
(10,280)
$
(3,279)
Trading account profit (loss)
(4)
6
(13)
18
Provision for credit losses
-
-
(500)
-
Total
 
$
(4,900)
$
(2,571)
$
(10,793)
$
(3,261)
 
 
 
 
 
 
 
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)
Fair value measurements, recurring and nonrecurring valuation techniques
The following
 
tables include
 
quantitative information
 
about significant
 
unobservable inputs
 
used to
 
derive the
 
fair value
 
of Level
 
3
instruments, excluding those instruments
 
for which the
 
unobservable inputs were not
 
developed by the
 
Corporation such as
 
prices
of prior transactions and/or unadjusted third-party pricing
 
sources at September 30, 2024 and 2023.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fair value at
 
September 30,
(In thousands)
2024
Valuation technique
Unobservable inputs
Weighted average (range) [1]
Other - trading
$
154
Discounted cash flow model
Weighted average life
2.3
 
years
Yield
12
.0%
Prepayment speed
10.8
%
Loans held-in-portfolio
$
4,166
[2]
External appraisal
Haircut applied on
external appraisals
7.5
% (
5.0
% -
10.0
%)
Other real estate owned
$
16
[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)
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.