XML 95 R69.htm IDEA: XBRL DOCUMENT
v3.19.3

Fair value measurement (Tables) | 9 Months Ended
--- | ---
Sep. 30, 2019
Fair Value Disclosures |
Assets and Liabilities Measured at Fair Value on a Recurring Basis |
At September 30, 2019
(In thousands) | Level 1 | Level 2 | Level 3 | Total
RECURRING FAIR VALUE MEASUREMENTS |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Debt securities available-for-sale: |  |  |  |  |  |  |  |
U.S. Treasury securities | $ | 4,487,422 | $ | 6,016,866 | $ | - | $ | 10,504,288
Obligations of U.S. Government sponsored entities |  | - |  | 187,092 |  | - |  | 187,092
Obligations of Puerto Rico, States and political subdivisions |  | - |  | 6,931 |  | - |  | 6,931
Collateralized mortgage obligations - federal agencies |  | - |  | 630,636 |  | - |  | 630,636
Mortgage-backed securities |  | - |  | 5,148,581 |  | 1,209 |  | 5,149,790
Other |  | - |  | 373 |  | - |  | 373
Total debt securities available-for-sale | $ | 4,487,422 | $ | 11,990,479 | $ | 1,209 | $ | 16,479,110
Trading account debt securities, excluding derivatives: |  |  |  |  |  |  |  |
U.S. Treasury securities | $ | 2,758 | $ | 2 | $ | - | $ | 2,760
Obligations of Puerto Rico, States and political subdivisions |  | - |  | 649 |  | - |  | 649
Collateralized mortgage obligations |  | - |  | 79 |  | 557 |  | 636
Mortgage-backed securities |  | - |  | 28,772 |  | 26 |  | 28,798
Other |  | - |  | 3,004 |  | 456 |  | 3,460
Total trading account debt securities, excluding derivatives | $ | 2,758 | $ | 32,506 | $ | 1,039 | $ | 36,303
Equity securities | $ | - | $ | 19,778 | $ | - | $ | 19,778
Mortgage servicing rights |  | - |  | - |  | 150,652 |  | 150,652
Derivatives |  | - |  | 15,234 |  | - |  | 15,234
Total assets measured at fair value on a recurring basis | $ | 4,490,180 | $ | 12,057,997 | $ | 152,900 | $ | 16,701,077
Liabilities |  |  |  |  |  |  |  |
Derivatives | $ | - | $ | (14,069) | $ | - | $ | (14,069)
Total liabilities measured at fair value on a recurring basis | $ | - | $ | (14,069) | $ | - | $ | (14,069)
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 |
Nine months ended September 30, 2019
(In thousands) | Level 1 | Level 2 | Level 3 | Total |  |
NONRECURRING FAIR VALUE MEASUREMENTS |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  | Write-downs
Loans[1] | $ | - | $ | - | $ | 65,922 | $ | 65,922 | $ | (10,761)
Other real estate owned[2] |  | - |  | - |  | 17,942 |  | 17,942 |  | (3,486)
Other foreclosed assets[2] |  | - |  | - |  | 1,221 |  | 1,221 |  | (153)
Long-lived assets held-for-sale[3] |  | - |  | - |  | 2,500 |  | 2,500 |  | (2,591)
Total assets measured at fair value on a nonrecurring basis | $ | - | $ | - | $ | 87,585 | $ | 87,585 | $ | (16,991)
[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 down to their fair value. Costs to sell are excluded from the reported fair value amount.
[3] | Represents the fair value of long-lived assets held-for-sale that were written down to their fair value.
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)
[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 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 September 30, 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 June 30, 2019 | $ | 1,235 | $ | 618 | $ | 26 | $ | 468 | $ | 153,021 | $ | 155,368
Gains (losses) included in earnings |  | - |  | (1) |  | - |  | (12) |  | (4,842) |  | (4,855)
Gains (losses) included in OCI |  | (1) |  | - |  | - |  | - |  | - |  | (1)
Additions |  | - |  | 1 |  | - |  | - |  | 2,473 |  | 2,474
Settlements |  | (25) |  | (61) |  | - |  | - |  | - |  | (86)
Balance at September 30, 2019 | $ | 1,209 | $ | 557 | $ | 26 | $ | 456 | $ | 150,652 | $ | 152,900
Changes in unrealized gains (losses) included in earnings relating to assets still held at September 30, 2019 | $ | - | $ | 1 | $ | - | $ | 5 | $ | (1,575) | $ | (1,569)
| Nine months ended September 30, 2019
|  | 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
(In thousands) | for-sale | securities | securities | securities | rights | assets
Balance at January 1, 2019 | $ | 1,233 | $ | 611 | $ | 43 | $ | 485 | $ | 169,777 | $ | 172,149
Gains (losses) included in earnings |  | - |  | - |  | (1) |  | (29) |  | (25,853) |  | (25,883)
Gains (losses) included in OCI |  | 1 |  | - |  | - |  | - |  | - |  | 1
Additions |  | - |  | 65 |  | 25 |  | - |  | 6,728 |  | 6,818
Settlements |  | (25) |  | (119) |  | (41) |  | - |  | - |  | (185)
Balance at September 30, 2019 | $ | 1,209 | $ | 557 | $ | 26 | $ | 456 | $ | 150,652 | $ | 152,900
Changes in unrealized gains (losses) included in earnings relating to assets still held at September 30, 2019 | $ | - | $ | - | $ | 1 | $ | 13 | $ | (15,993) | $ | (15,979)
| Quarter 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
(In thousands) | for-sale | securities | 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.
Gain (loss) included in earnings, measured on recurring basis |
| Quarter ended September 30, 2019 | Nine months ended September 30, 2019
|  |  | 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 | $ | (4,842) | $ | (1,575) | $ | (25,853) | $ | (15,993)
Trading account profit (loss) |  | (13) |  | 6 |  | (30) |  | 14
Total | $ | (4,855) | $ | (1,569) | $ | (25,883) | $ | (15,979)
| 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
Fair value measurements, recurring and nonrecurring valuation techniques |
|  |  | Fair value |  |  |  |  |
|  | at September 30, |  |  |  |  |
(In thousands) |  | 2019 |  | Valuation technique | Unobservable inputs | Weighted average (range) [1]
CMO's - trading | $ | 557 |  | Discounted cash flow model | Weighted average life | 1.7 years (1.4 - 1.8 years) |
|  |  |  |  |  | Yield | 4.0% (3.9% - 4.4%) |
|  |  |  |  |  | Prepayment speed | 18.5% (15.2% - 20.7%) |
Other - trading | $ | 456 |  | Discounted cash flow model | Weighted average life | 5.2 years |
|  |  |  |  |  | Yield | 12.0% |
|  |  |  |  |  | Prepayment speed | 10.8% |
Mortgage servicing rights | $ | 150,652 |  | Discounted cash flow model | Prepayment speed | 6.8% (0.2% - 19.9%) |
|  |  |  |  |  | Weighted average life | 6.2 years (0.1 - 13.9 years) |
|  |  |  |  |  | Discount rate | 11.2% (9.5% - 14.7%) |
Loans held-in-portfolio | $ | 62,442 | [2] | External appraisal | Haircut applied on |  |
|  |  |  |  |  | external appraisals | 10.3% (10.0% - 21.0%) |
Other real estate owned | $ | 15,003 | [3] | External appraisal | Haircut applied on |  |
|  |  |  |  |  | external appraisals | 23.5% (10.0% - 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.

X
- Definition Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis. + 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 (bbb) -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisValuationTechniquesTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- 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
Name: | us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisGainLossIncludedInEarningsTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- 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
Name: | us-gaap_FairValueAssetsMeasuredOnNonrecurringBasisTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition 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. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19279-110258 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 (c) -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- 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
Name: | us-gaap_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration