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Fair value measurement (Tables) | 9 Months Ended
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Sep. 30, 2020
Fair Value Disclosures |
Assets and Liabilities Measured at Fair Value on a Recurring Basis |
At September 30, 2020
(In thousands) | Level 1 | Level 2 | Level 3 | Total
RECURRING FAIR VALUE MEASUREMENTS |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Debt securities available-for-sale: |  |  |  |  |  |  |  |
U.S. Treasury securities | $ | 3,999,320 | $ | 7,648,271 | $ | - | $ | 11,647,591
Obligations of U.S. Government sponsored entities |  | - |  | 60,371 |  | - |  | 60,371
Collateralized mortgage obligations - federal agencies |  | - |  | 450,306 |  | - |  | 450,306
Mortgage-backed securities |  | - |  | 9,018,190 |  | 1,124 |  | 9,019,314
Other |  | - |  | 257 |  | - |  | 257
Total debt securities available-for-sale | $ | 3,999,320 | $ | 17,177,395 | $ | 1,124 | $ | 21,177,839
Trading account debt securities, excluding derivatives: |  |  |  |  |  |  |  |
U.S. Treasury securities | $ | 4,106 | $ | - | $ | - | $ | 4,106
Obligations of Puerto Rico, States and political subdivisions |  | - |  | 105 |  | - |  | 105
Collateralized mortgage obligations |  | - |  | 74 |  | 410 |  | 484
Mortgage-backed securities |  | - |  | 24,944 |  | - |  | 24,944
Other |  | - |  | 3,001 |  | 413 |  | 3,414
Total trading account debt securities, excluding derivatives | $ | 4,106 | $ | 28,124 | $ | 823 | $ | 33,053
Equity securities | $ | - | $ | 26,718 | $ | - | $ | 26,718
Mortgage servicing rights |  | - |  | - |  | 123,552 |  | 123,552
Derivatives |  | - |  | 18,080 |  | - |  | 18,080
Total assets measured at fair value on a recurring basis | $ | 4,003,426 | $ | 17,250,317 | $ | 125,499 | $ | 21,379,242
Liabilities |  |  |  |  |  |  |  |
Derivatives | $ | - | $ | (15,346) | $ | - | $ | (15,346)
Total liabilities measured at fair value on a recurring basis | $ | - | $ | (15,346) | $ | - | $ | (15,346)
At December 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 | $ | 3,841,715 | $ | 8,214,540 | $ | - | $ | 12,056,255
Obligations of U.S. Government sponsored entities |  | - |  | 122,404 |  | - |  | 122,404
Obligations of Puerto Rico, States and political subdivisions |  | - |  | 6,975 |  | - |  | 6,975
Collateralized mortgage obligations - federal agencies |  | - |  | 586,175 |  | - |  | 586,175
Mortgage-backed securities |  | - |  | 4,875,132 |  | 1,182 |  | 4,876,314
Other |  | - |  | 350 |  | - |  | 350
Total debt securities available-for-sale | $ | 3,841,715 | $ | 13,805,576 | $ | 1,182 | $ | 17,648,473
Trading account debt securities, excluding derivatives: |  |  |  |  |  |  |  |
U.S. Treasury securities | $ | 7,081 | $ | 2 | $ | - | $ | 7,083
Obligations of Puerto Rico, States and political subdivisions |  | - |  | 633 |  | - |  | 633
Collateralized mortgage obligations |  | - |  | 76 |  | 530 |  | 606
Mortgage-backed securities |  | - |  | 28,556 |  | - |  | 28,556
Other |  | - |  | 3,003 |  | 440 |  | 3,443
Total trading account debt securities, excluding derivatives | $ | 7,081 | $ | 32,270 | $ | 970 | $ | 40,321
Equity securities | $ | - | $ | 21,327 | $ | - | $ | 21,327
Mortgage servicing rights |  | - |  | - |  | 150,906 |  | 150,906
Derivatives |  | - |  | 17,966 |  | - |  | 17,966
Total assets measured at fair value on a recurring basis | $ | 3,848,796 | $ | 13,877,139 | $ | 153,058 | $ | 17,878,993
Liabilities |  |  |  |  |  |  |  |
Derivatives | $ | - | $ | (16,619) | $ | - | $ | (16,619)
Total liabilities measured at fair value on a recurring basis | $ | - | $ | (16,619) | $ | - | $ | (16,619)
Nonrecurring fair value measurements |
Nine months ended September 30, 2020
(In thousands) | Level 1 | Level 2 | Level 3 | Total |  |
NONRECURRING FAIR VALUE MEASUREMENTS |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  | Write-downs
Loans[1] | $ | - | $ | - | $ | 96,740 | $ | 96,740 | $ | (20,495)
Loans held-for-sale[2] |  | - |  | - |  | 4,070 |  | 4,070 |  | (2,038)
Other real estate owned[3] |  | - |  | - |  | 19,475 |  | 19,475 |  | (3,025)
Other foreclosed assets[3] |  | - |  | - |  | 444 |  | 444 |  | (701)
Total assets measured at fair value on a nonrecurring basis | $ | - | $ | - | $ | 120,729 | $ | 120,729 | $ | (26,259)
[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. Costs to sell are excluded from the reported fair value amount.
[2] | Relates to a quarterly valuation on loans held-for-sale. Costs to sell are excluded from the reported fair value amount.
[3] | 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, 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. 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.
Assets measured on recurring basis, unobservable input reconciliation |
| Quarter ended September 30, 2020
|  | MBS | CMOs | Other |  |  |  |
|  | classified | classified | securities |  |  |  |
|  | as debt | as trading | classified |  |  |  |
|  | securities | account | as trading | Mortgage |
|  | available- | debt | account debt | servicing | Total
(In thousands) | for-sale | securities | securities | rights | assets
Balance at June 30, 2020 | $ | 1,151 | $ | 442 | $ | 423 | $ | 141,144 | $ | 143,160
Gains (losses) included in earnings |  | - |  | - |  | (10) |  | (20,491) |  | (20,501)
Gains (losses) included in OCI |  | (2) |  | - |  | - |  | - |  | (2)
Additions |  | - |  | 2 |  | - |  | 2,899 |  | 2,901
Settlements |  | (25) |  | (34) |  | - |  | - |  | (59)
Balance at September 30, 2020 | $ | 1,124 | $ | 410 | $ | 413 | $ | 123,552 | $ | 125,499
Changes in unrealized gains (losses) included in earnings relating to assets still held at September 30, 2020 | $ | - | $ | - | $ | - | $ | (7,892) | $ | (7,892)
| Nine months ended September 30, 2020
|  | MBS |  |  | Other |  |  |  |
|  | classified | CMOs | securities |  |  |  |
|  | as investment | classified | classified |  |  |  |
|  | securities | as trading | as trading | Mortgage |
|  | available- | account | account | servicing | Total
(In thousands) | for-sale | securities | securities | rights | assets
Balance at January 1, 2020 | $ | 1,182 | $ | 530 | $ | 440 | $ | 150,906 | $ | 153,058
Gains (losses) included in earnings |  | - |  | - |  | (27) |  | (33,360) |  | (33,387)
Gains (losses) included in OCI |  | (8) |  | - |  | - |  | - |  | (8)
Additions |  | - |  | 4 |  | - |  | 6,006 |  | 6,010
Settlements |  | (50) |  | (124) |  | - |  | - |  | (174)
Balance at September 30, 2020 | $ | 1,124 | $ | 410 | $ | 413 | $ | 123,552 | $ | 125,499
Changes in unrealized gains (losses) included in earnings relating to assets still held at September 30, 2020 | $ | - | $ | - | $ | 13 | $ | (15,278) | $ | (15,265)
| Quarter 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 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)
Gain (loss) included in earnings, measured on recurring basis |
| Quarter ended September 30, 2020 | Nine months ended September 30, 2020
|  |  | 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 | $ | (20,491) | $ | (7,892) | $ | (33,360) | $ | (15,278)
Trading account profit (loss) |  | (10) |  | - |  | (27) |  | 13
Total | $ | (20,501) | $ | (7,892) | $ | (33,387) | $ | (15,265)
| 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)
Fair value measurements, recurring and nonrecurring valuation techniques |
|  |  | Fair value |  |  |  |  |
|  | at September 30, |  |  |  |  |
(In thousands) |  | 2020 |  | Valuation technique | Unobservable inputs | Weighted average (range) [1]
CMO's - trading | $ | 410 |  | Discounted cash flow model | Weighted average life | 1.3 years (0.6 - 1.5 years) |
|  |  |  |  |  | Yield | 3.7% (3.6% - 4.1%) |
|  |  |  |  |  | Prepayment speed | 17.7% (13.8% - 18.4%) |
Other - trading | $ | 413 |  | Discounted cash flow model | Weighted average life | 3.8 years |
|  |  |  |  |  | Yield | 12.0% |
|  |  |  |  |  | Prepayment speed | 10.8% |
Mortgage servicing rights | $ | 123,552 |  | Discounted cash flow model | Prepayment speed | 6.9%(0.2% - 22.1%) |
|  |  |  |  |  | Weighted average life | 6.1 years (0.1 - 12.3 years) |
|  |  |  |  |  | Discount rate | 11.2% (9.5% - 14.7%) |
Loans held-in-portfolio | $ | 96,740 | [2] | External appraisal | Haircut applied on |  |
|  |  |  |  |  | external appraisals | 23.2% (21.0% - 40.0%) |
Other real estate owned | $ | 13,826 | [3] | External appraisal | Haircut applied on |  |
|  |  |  |  |  | external appraisals | 21.5% (5.0% - 30.0%) |
[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) |  | 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.

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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=117815213&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=117815213&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=117815213&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=117815213&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=117815213&loc=d3e19207-110258 + 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://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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