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Fair value measurement (Tables)

9 Months Ended

Sep. 30, 2018

Fair Value Disclosures

Schedule Of Fair Value Assets And Liabilities Measured On Recurring Basis Table Text Block

At September 30, 2018
(In thousands)	Level 1		Level 2		Level 3		Total
RECURRING FAIR VALUE MEASUREMENTS
Assets
Debt securities available-for-sale:
U.S. Treasury securities	$	2,496,517	$	5,365,445	$	-	$	7,861,962
Obligations of U.S. Government sponsored entities		-		403,794		-		403,794
Obligations of Puerto Rico, States and political subdivisions		-		6,679		-		6,679
Collateralized mortgage obligations - federal agencies		-		758,612		-		758,612
Mortgage-backed securities		-		4,014,750		1,263		4,016,013
Other		-		557		-		557
Total debt securities available-for-sale	$	2,496,517	$	10,549,837	$	1,263	$	13,047,617
Trading account debt securities, excluding derivatives:
U.S. Treasury securities	$	5,183	$	-	$	-	$	5,183
Obligations of Puerto Rico, States and political subdivisions		-		143		-		143
Collateralized mortgage obligations		-		48		644		692
Mortgage-backed securities		-		28,194		43		28,237
Other		-		2,978		498		3,476
Total trading account debt securities, excluding derivatives	$	5,183	$	31,363	$	1,185	$	37,731
Equity securities	$	-	$	14,154	$	-	$	14,154
Mortgage servicing rights		-		-		162,779		162,779
Derivatives		-		18,977		-		18,977
Total assets measured at fair value on a recurring basis	$	2,501,700	$	10,614,331	$	165,227	$	13,281,258
Liabilities
Derivatives	$	-	$	(16,554)	$	-	$	(16,554)
Total liabilities measured at fair value on a recurring basis	$	-	$	(16,554)	$	-	$	(16,554)

At December 31, 2017
(In thousands)	Level 1		Level 2		Level 3		Total
RECURRING FAIR VALUE MEASUREMENTS
Assets
Debt securities available-for-sale:
U.S. Treasury securities	$	503,385	$	3,424,779	$	-	$	3,928,164
Obligations of U.S. Government sponsored entities		-		608,933		-		608,933
Obligations of Puerto Rico, States and political subdivisions		-		6,609		-		6,609
Collateralized mortgage obligations - federal agencies		-		943,753		-		943,753
Mortgage-backed securities		-		4,687,374		1,288		4,688,662
Other		-		802		-		802
Total debt securities available-for-sale	$	503,385	$	9,672,250	$	1,288	$	10,176,923
Trading account debt securities, excluding derivatives:
U.S. Treasury securities	$	261	$	-	$	-	$	261
Obligations of Puerto Rico, States and political subdivisions		-		159		-		159
Collateralized mortgage obligations		-		-		529		529
Mortgage-backed securities		-		29,237		43		29,280
Other		-		2,988		529		3,517
Total trading account debt securities, excluding derivatives	$	261	$	32,384	$	1,101	$	33,746
Equity securities	$	-	$	11,076	$	-	$	11,076
Mortgage servicing rights		-		-		168,031		168,031
Derivatives		-		16,719		-		16,719
Total assets measured at fair value on a recurring basis	$	503,646	$	9,732,429	$	170,420	$	10,406,495
Liabilities
Derivatives	$	-	$	(14,431)	$	-	$	(14,431)
Contingent consideration		-		-		(164,858)		(164,858)
Total liabilities measured at fair value on a recurring basis	$	-	$	(14,431)	$	(164,858)	$	(179,289)

Fair Value Measurements, Nonrecurring [Table Text Block]

Nine months ended September 30, 2018
(In thousands)		Level 1		Level 2		Level 3		Total
NONRECURRING FAIR VALUE MEASUREMENTS
Assets											Write-downs
	Loans[1]	$	-	$	-	$	79,347	$	79,347	$	(28,769)
	Other real estate owned[2]		-		-		42,572		42,572		(8,744)
	Other foreclosed assets[2]		-		-		2,596		2,596		(957)
Total assets measured at fair value on a nonrecurring basis		$	-	$	-	$	124,515	$	124,515	$	(38,470)

Nine moths ended September 30, 2017
(In thousands)		Level 1		Level 2		Level 3		Total
NONRECURRING FAIR VALUE MEASUREMENTS
Assets											Write-downs
	Loans[1]	$	-	$	-	$	66,221	$	66,221	$	(16,282)
	Other real estate owned[2] [3]		-		-		89,825		89,825		(17,405)
	Other foreclosed assets[2]		-		-		2,223		2,223		(475)
Total assets measured at fair value on a nonrecurring basis		$	-	$	-	$	158,269	$	158,269	$	(34,162)

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

	Quarter ended September 30, 2018
		MBS		CMOs				Other
		classified		classified				securities
		as debt		as trading		MBS		classified
		securities		account		classified as		as trading		Mortgage
		available-		debt		trading account		account debt		servicing		Total
(In thousands)		for-sale		securities		debt securities		securities		rights		assets
Balance at June 30, 2018		$	1,264	$	670	$	43	$	506	$	164,025	$	166,508
Gains (losses) included in earnings			-		-		-		(8)		(4,194)		(4,202)
Gains (losses) included in OCI			(1)		-		-		-		-		(1)
Additions			-		7		-		-		2,946		2,953
Settlements			-		(33)		-		-		-		(33)
Balance at September 30, 2018		$	1,263	$	644	$	43	$	498	$	162,777	$	165,225
Changes in unrealized gains (losses)
	included in earnings relating to assets still held
	at September 30, 2018	$	-	$	-	$	-	$	3	$	-	$	3

	Nine months ended September 30, 2018
		MBS						Other
		classified		CMOs				securities
		as investment		classified		MBS		classified
		securities		as trading		classified as		as trading		Mortgage
		available-		account		trading account		account		servicing		Total		Contingent		Total
(In thousands)		for-sale		securities		securities		securities		rights		assets		consideration[1]		liabilities
Balance at January 1, 2018		$	1,288	$	529	$	43	$	529	$	168,031	$	170,420	$	(164,858)	$	(164,858)
Gains (losses) included in earnings			-		6		-		(31)		(13,123)		(13,148)		(6,112)		(6,112)
Gains (losses) included in OCI			1		-		-		-		-		1		-		-
Additions			-		260		-		-		7,869		8,129		-		-
Settlements			(26)		(151)		-		-		-		(177)		170,970		170,970
Balance at September 30, 2018		$	1,263	$	644	$	43	$	498	$	162,777	$	165,225	$	-	$	-
Changes in unrealized gains
	(losses) included in earnings
	relating to assets still held
	at September 30, 2018	$	-	$	6	$	-	$	14	$	-	$	20	$	-	$	-
[1] Effective May 22, 2018, the Corporation entered into a Termination Agreement with the FDIC to terminate the Corporation’s loss share arrangement ahead of their contractual maturities. Refer to Note 10 for additional information.

	Quarter ended September 30, 2017
		MBS		CMOs				Other
		classified		classified		MBS		securities
		as debt		as trading		classified as		classified
		securities		account		trading		as trading		Mortgage
		available-		debt		account debt		account debt		servicing		Total		Contingent		Total
(In thousands)		for-sale		securities		securities		securities		rights		assets		consideration		liabilities
Balance at June 30, 2017		$	1,289	$	858	$	4,334	$	557	$	188,728	$	195,766	$	(163,668)	$	(163,668)
Gains (losses) included in earnings			-		5		(77)		(8)		(10,262)		(10,342)		(3,208)		(3,208)
Gains (losses) included in OCI			(1)		-		-		-		-		(1)		-		-
Additions			-		31		-		-		1,691		1,722		-		-
Settlements			-		(46)		(326)		-		-		(372)		-		-
Transfers out of Level 3			-		(276)		(3,888)		-		-		(4,164)		-		-
Balance at September 30, 2017		$	1,288	$	572	$	43	$	549	$	180,157	$	182,609	$	(166,876)	$	(166,876)
Changes in unrealized gains
	(losses) included in earnings
	relating to assets still held
	at September 30, 2017	$	-	$	1	$	-	$	1	$	(6,241)	$	(6,239)	$	(3,208)	$	(3,208)

	Nine months ended September 30, 2017
		MBS						Other
		classified		CMOs				securities
		as investment		classified		MBS		classified
		securities		as trading		classified as		as trading		Mortgage
		available-		account		trading account		account		servicing		Total		Contingent		Total
(In thousands)		for-sale		securities		securities		securities		rights		assets		consideration		liabilities
Balance at January 1, 2017		$	1,392	$	1,321	$	4,755	$	602	$	196,889	$	204,959	$	(153,158)	$	(153,158)
Gains (losses) included in earnings			-		-		(124)		(53)		(24,262)		(24,439)		(13,718)		(13,718)
Gains (losses) included in OCI			9		-		-		-		-		9		-		-
Additions			-		39		332		-		7,530		7,901		-		-
Sales			-		(365)		(156)		-		-		(521)		-		-
Settlements			(25)		(147)		(876)		-		-		(1,048)		-		-
Transfers out of Level 3			(88)		(276)		(3,888)		-		-		(4,252)		-		-
Balance at September 30, 2017		$	1,288	$	572	$	43	$	549	$	180,157	$	182,609	$	(166,876)	$	(166,876)
Changes in unrealized gains
	(losses) included in earnings
	relating to assets still held
	at September 30, 2017	$	-	$	(5)	$	(23)	$	22	$	(9,863)	$	(9,869)	$	(13,718)	$	(13,718)

Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings [Table Text Block]

	Quarter ended September 30, 2018				Nine months ended September 30, 2018
			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
FDIC loss share expense	$	-	$	-	$	(6,112)	$	-
Mortgage banking activities		(4,194)		-		(13,123)		-
Trading account profit (loss)		(8)		3		(25)		20
Total	$	(4,202)	$	3	$	(19,260)	$	20

	Quarter ended September 30, 2017				Nine months ended September 30, 2017
			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
FDIC loss share expense	$	(3,208)	$	(3,208)	$	(13,718)	$	(13,718)
Mortgage banking activities		(10,262)		(6,241)		(24,262)		(9,863)
Trading account profit (loss)		(80)		2		(177)		(6)
Total	$	(13,550)	$	(9,447)	$	(38,157)	$	(23,587)

Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Table Text Block]

			Fair value
			at September 30,
(In thousands)			2018	Valuation technique	Unobservable inputs	Weighted average (range)
CMO's - trading		$	644	Discounted cash flow model	Weighted average life	1.9 years (1.3 - 2.2 years)
					Yield	3.8% (3.7% - 4.2%)
					Prepayment speed	18.9% (16.3% - 20.8%)
Other - trading		$	498	Discounted cash flow model	Weighted average life	5.2	years
					Yield	12.0	%
					Prepayment speed	10.8	%
Mortgage servicing rights		$	162,779	Discounted cash flow model	Prepayment speed	5.3% (0.1% - 16.9%)
					Weighted average life	8.0 years (0.1 - 16.0 years)
					Discount rate	11.2% (9.5% - 15.0%)
Loans held-in-portfolio		$	66,710 [1]	External appraisal	Haircut applied on
					external appraisals	10.2% (10.0%-11.8%)
Other real estate owned		$	36,989 [2]	External appraisal	Haircut applied on
					external appraisals	23.8% (15.0% - 30.0%)

X

- Definition

Tabular disclosure of the inputs and valuation techniques used to measure fair value, and a discussion of changes in valuation techniques and related inputs, if any, applied during the period to each separate class of assets, liabilities, and financial instruments classified in shareholders' equity that are measured on a recurring and/or nonrecurring basis.

+ References

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Tabular disclosure of the amount of gains or losses for the period included in earnings or resulted in a change to net assets, have arisen from the use of significant unobservable inputs (level 3) to measure the fair value of assets, liabilities, and financial instruments classified in shareholders' equity.

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Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3).

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Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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