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Fair value measurement (Tables) | 3 Months Ended
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Mar. 31, 2019
Fair Value Disclosures |
Assets and Liabilities Measured at Fair Value on a Recurring Basis |
At March 31, 2019
(In thousands) | Level 1 | Level 2 | Level 3 | Total
RECURRING FAIR VALUE MEASUREMENTS |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Debt securities available-for-sale: |  |  |  |  |  |  |  |
U.S. Treasury securities | $ | 2,476,890 | $ | 5,554,597 | $ | - | $ | 8,031,487
Obligations of U.S. Government sponsored entities |  | - |  | 264,671 |  | - |  | 264,671
Obligations of Puerto Rico, States and political subdivisions |  | - |  | 6,809 |  | - |  | 6,809
Collateralized mortgage obligations - federal agencies |  | - |  | 701,766 |  | - |  | 701,766
Mortgage-backed securities |  | - |  | 4,536,289 |  | 1,235 |  | 4,537,524
Other |  | - |  | 438 |  | - |  | 438
Total debt securities available-for-sale | $ | 2,476,890 | $ | 11,064,570 | $ | 1,235 | $ | 13,542,695
Trading account debt securities, excluding derivatives: |  |  |  |  |  |  |  |
U.S. Treasury securities | $ | 6,764 | $ | - | $ | - | $ | 6,764
Obligations of Puerto Rico, States and political subdivisions |  | - |  | 129 |  | - |  | 129
Collateralized mortgage obligations |  | - |  | 47 |  | 595 |  | 642
Mortgage-backed securities |  | - |  | 28,186 |  | 43 |  | 28,229
Other |  | - |  | 2,975 |  | 478 |  | 3,453
Total trading account debt securities, excluding derivatives | $ | 6,764 | $ | 31,337 | $ | 1,116 | $ | 39,217
Equity securities | $ | - | $ | 17,658 | $ | - | $ | 17,658
Mortgage servicing rights |  | - |  | - |  | 167,813 |  | 167,813
Derivatives |  | - |  | 14,843 |  | - |  | 14,843
Total assets measured at fair value on a recurring basis | $ | 2,483,654 | $ | 11,128,408 | $ | 170,164 | $ | 13,782,226
Liabilities |  |  |  |  |  |  |  |
Derivatives | $ | - | $ | (12,770) | $ | - | $ | (12,770)
Total liabilities measured at fair value on a recurring basis | $ | - | $ | (12,770) | $ | - | $ | (12,770)
At December 31, 2018
(In thousands) | Level 1 | Level 2 | Level 3 | Total
RECURRING FAIR VALUE MEASUREMENTS |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Debt securities available-for-sale: |  |  |  |  |  |  |  |
U.S. Treasury securities | $ | 2,719,740 | $ | 5,552,456 | $ | - | $ | 8,272,196
Obligations of U.S. Government sponsored entities |  | - |  | 333,309 |  | - |  | 333,309
Obligations of Puerto Rico, States and political subdivisions |  | - |  | 6,742 |  | - |  | 6,742
Collateralized mortgage obligations - federal agencies |  | - |  | 728,671 |  | - |  | 728,671
Mortgage-backed securities |  | - |  | 3,957,545 |  | 1,233 |  | 3,958,778
Other |  | - |  | 488 |  | - |  | 488
Total debt securities available-for-sale | $ | 2,719,740 | $ | 10,579,211 | $ | 1,233 | $ | 13,300,184
Trading account debt securities, excluding derivatives: |  |  |  |  |  |  |  |
U.S. Treasury securities | $ | 6,278 | $ | - | $ | - | $ | 6,278
Obligations of Puerto Rico, States and political subdivisions |  | - |  | 134 |  | - |  | 134
Collateralized mortgage obligations |  | - |  | 48 |  | 611 |  | 659
Mortgage-backed securities |  | - |  | 27,214 |  | 43 |  | 27,257
Other |  | - |  | 2,974 |  | 485 |  | 3,459
Total trading account debt securities, excluding derivatives | $ | 6,278 | $ | 30,370 | $ | 1,139 | $ | 37,787
Equity securities | $ | - | $ | 13,296 | $ | - | $ | 13,296
Mortgage servicing rights |  | - |  | - |  | 169,777 |  | 169,777
Derivatives |  | - |  | 13,603 |  | - |  | 13,603
Total assets measured at fair value on a recurring basis | $ | 2,726,018 | $ | 10,636,480 | $ | 172,149 | $ | 13,534,647
Liabilities |  |  |  |  |  |  |  |
Derivatives | $ | - | $ | (12,320) | $ | - | $ | (12,320)
Total liabilities measured at fair value on a recurring basis | $ | - | $ | (12,320) | $ | - | $ | (12,320)
Nonrecurring fair value measurements |
Quarter ended March 31, 2019
(In thousands) | Level 1 | Level 2 | Level 3 | Total |  |
NONRECURRING FAIR VALUE MEASUREMENTS |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  | Write-downs
| Loans[1] | $ | - | $ | - | $ | 13,147 | $ | 13,147 | $ | (3,316)
| Other real estate owned[2] |  | - |  | - |  | 8,035 |  | 8,035 |  | (1,889)
| Other foreclosed assets[2] |  | - |  | - |  | 1,283 |  | 1,283 |  | (118)
Total assets measured at fair value on a nonrecurring basis | $ | - | $ | - | $ | 22,465 | $ | 22,465 | $ | (5,323)
[1] Relates mostly 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, in accordance with the provisions of ASC Section 310-10-35. 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 d own to their fair value. Costs to sell are excluded from the reported fair value amount.
Quarter ended March 31, 2018
(In thousands) | Level 1 | Level 2 | Level 3 | Total |  |
NONRECURRING FAIR VALUE MEASUREMENTS |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  | Write-downs
| Loans[1] | $ | - | $ | - | $ | 29,826 | $ | 29,826 | $ | (13,766)
| Other real estate owned[2] |  | - |  | - |  | 14,397 |  | 14,397 |  | (3,116)
| Other foreclosed assets[2] |  | - |  | - |  | 2,045 |  | 2,045 |  | (523)
Total assets measured at fair value on a nonrecurring basis | $ | - | $ | - | $ | 46,268 | $ | 46,268 | $ | (17,405)
[1] Relates mostly 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, in accordance with the provisions of ASC Section 310-10-35. 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 d own 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, 2019
|  | 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 December 31, 2018 | $ | 1,233 | $ | 611 | $ | 43 | $ | 485 | $ | 169,777 | $ | 172,149
Gains (losses) included in earnings |  | - |  | - |  | - |  | (7) |  | (3,825) |  | (3,832)
Gains (losses) included in OCI |  | 2 |  | - |  | - |  | - |  | - |  | 2
Additions |  | - |  | 14 |  | - |  | - |  | 1,861 |  | 1,875
Settlements |  | - |  | (30) |  | - |  | - |  | - |  | (30)
Balance at March 31, 2019 | $ | 1,235 | $ | 595 | $ | 43 | $ | 478 | $ | 167,813 | $ | 170,164
Changes in unrealized gains (losses) |  |  |  |  |  |  |  |  |  |  |  |
| included in earnings relating to assets still held |  |  |  |  |  |  |  |  |  |  |  |
| at March 31, 2019 | $ | - | $ | - | $ | - | $ | 3 | $ | (747) | $ | (744)
| Quarter ended March 31, 2018
|  | 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 December 31, 2017 | $ | 1,288 | $ | 529 | $ | 43 | $ | 529 | $ | 168,031 | $ | 170,420 | $ | (164,858) | $ | (164,858)
Gains (losses) included in earnings |  | - |  | - |  | - |  | (10) |  | (4,307) |  | (4,317) |  | (6,112) |  | (6,112)
Gains (losses) included in OCI |  | 1 |  | - |  | - |  | - |  | - |  | 1 |  | - |  | -
Additions |  | - |  | 16 |  | - |  | - |  | 2,557 |  | 2,573 |  | - |  | -
Settlements |  | (26) |  | (57) |  | - |  | - |  | - |  | (83) |  | - |  | -
Balance at March 31, 2018 | $ | 1,263 | $ | 488 | $ | 43 | $ | 519 | $ | 166,281 | $ | 168,594 | $ | (170,970) | $ | (170,970)
Changes in unrealized gains |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| (losses) included in earnings |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| relating to assets still held |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| at March 31, 2018 | $ | - | $ | - | $ | - | $ | 5 | $ | - | $ | 5 | $ | (6,112) | $ | (6,112)
Gain (loss) included in earnings, measured on recurring basis |
| Quarter ended March 31, 2019 | Quarter ended March 31, 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) | $ | (6,112)
Mortgage banking activities |  | (3,825) |  | (747) |  | (4,307) |  | -
Trading account loss |  | (7) |  | 3 |  | (10) |  | 5
Total | $ | (3,832) | $ | (744) | $ | (10,429) | $ | (6,107)
Fair value measurements, recurring and nonrecurring valuation techniques |
|  |  | Fair value |  |  |  |
|  | at March 31, |  |  |  |
(In thousands) |  | 2019 | Valuation technique | Unobservable inputs | Weighted average (range)[1]
CMO's - trading | $ | 595 | Discounted cash flow model | Weighted average life | 1.8 years (1.2 - 2.0 years) |
|  |  |  |  | Yield | 4.1% (3.9% - 4.4%) |
|  |  |  |  | Prepayment speed | 17.7% (15.0% - 19.6%) |
Other - trading | $ | 478 | Discounted cash flow model | Weighted average life | 5.2 | years
|  |  |  |  | Yield | 12.0 | %
|  |  |  |  | Prepayment speed | 10.8 | %
Mortgage servicing rights | $ | 167,813 | Discounted cash flow model | Prepayment speed | 5.4% (0.2% - 23.2%) |
|  |  |  |  | Weighted average life | 6.8 years (0.1 - 15.6 years) |
|  |  |  |  | Discount rate | 11.2% (9.5% - 24.5%) |
Loans held-in-portfolio | $ | 9,610 [2] | External appraisal | Haircut applied on |  |
|  |  |  |  | external appraisals | 13.8% (11.4% - 25.0%) |
Other real estate owned | $ | 5,871 [3] | External appraisal | Haircut applied on |  |
|  |  |  |  | external appraisals | 21.2% (15.0% - 25.0%) |
[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.

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- Definition 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. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c)(1) -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (d) -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19207-110258 + Details
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- Definition 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). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19207-110258 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19207-110258 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19190-110258 + Details
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- Definition 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). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19190-110258 + Details
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