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Fair value measurement (Tables) | 9 Months Ended
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Sep. 30, 2021
Fair Value Disclosures |
Assets and Liabilities Measured at Fair Value on a Recurring Basis |
At September 30, 2021
(In thousands) | Level 1 | Level 2 | Level 3 | Total
RECURRING FAIR VALUE MEASUREMENTS |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Debt securities available-for-sale: |  |  |  |  |  |  |  |
U.S. Treasury securities | $ | 799,972 | $ | 13,816,977 | $ | - | $ | 14,616,949
Obligations of U.S. Government sponsored entities |  | - |  | 71 |  | - |  | 71
Collateralized mortgage obligations - federal agencies |  | - |  | 250,491 |  | - |  | 250,491
Mortgage-backed securities |  | - |  | 9,522,676 |  | 883 |  | 9,523,559
Other |  | - |  | 156 |  | - |  | 156
Total debt securities available-for-sale | $ | 799,972 | $ | 23,590,371 | $ | 883 | $ | 24,391,226
Trading account debt securities, excluding derivatives: |  |  |  |  |  |  |  |
U.S. Treasury securities | $ | 10,780 | $ | - | $ | - | $ | 10,780
Obligations of Puerto Rico, States and political subdivisions |  | - |  | 82 |  | - |  | 82
Collateralized mortgage obligations |  | - |  | 61 |  | 220 |  | 281
Mortgage-backed securities |  | - |  | 24,569 |  | - |  | 24,569
Other |  | - |  | - |  | 352 |  | 352
Total trading account debt securities, excluding derivatives | $ | 10,780 | $ | 24,712 | $ | 572 | $ | 36,064
Equity securities | $ | - | $ | 30,212 | $ | - | $ | 30,212
Mortgage servicing rights |  | - |  | - |  | 116,567 |  | 116,567
Derivatives |  | - |  | 23,827 |  | - |  | 23,827
Total assets measured at fair value on a recurring basis | $ | 810,752 | $ | 23,669,122 | $ | 118,022 | $ | 24,597,896
Liabilities |  |  |  |  |  |  |  |
Derivatives | $ | - | $ | (20,879) | $ | - | $ | (20,879)
Total liabilities measured at fair value on a recurring basis | $ | - | $ | (20,879) | $ | - | $ | (20,879)
At December 31, 2020
(In thousands) | Level 1 | Level 2 | Level 3 | Total
RECURRING FAIR VALUE MEASUREMENTS |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |
Debt securities available-for-sale: |  |  |  |  |  |  |  |
U.S. Treasury securities | $ | 3,499,781 | $ | 7,288,259 | $ | - | $ | 10,788,040
Obligations of U.S. Government sponsored entities |  | - |  | 60,184 |  | - |  | 60,184
Collateralized mortgage obligations - federal agencies |  | - |  | 392,132 |  | - |  | 392,132
Mortgage-backed securities |  | - |  | 10,319,547 |  | 1,014 |  | 10,320,561
Other |  | - |  | 235 |  | - |  | 235
Total debt securities available-for-sale | $ | 3,499,781 | $ | 18,060,357 | $ | 1,014 | $ | 21,561,152
Trading account debt securities, excluding derivatives: |  |  |  |  |  |  |  |
U.S. Treasury securities | $ | 11,506 | $ | - | $ | - | $ | 11,506
Obligations of Puerto Rico, States and political subdivisions |  | - |  | 103 |  | - |  | 103
Collateralized mortgage obligations |  | - |  | 68 |  | 278 |  | 346
Mortgage-backed securities |  | - |  | 24,338 |  | - |  | 24,338
Other |  | - |  | - |  | 381 |  | 381
Total trading account debt securities, excluding derivatives | $ | 11,506 | $ | 24,509 | $ | 659 | $ | 36,674
Equity securities | $ | - | $ | 29,590 | $ | - | $ | 29,590
Mortgage servicing rights |  | - |  | - |  | 118,395 |  | 118,395
Derivatives |  | - |  | 20,785 |  | - |  | 20,785
Total assets measured at fair value on a recurring basis | $ | 3,511,287 | $ | 18,135,241 | $ | 120,068 | $ | 21,766,596
Liabilities |  |  |  |  |  |  |  |
Derivatives | $ | - | $ | (18,925) | $ | - | $ | (18,925)
Total liabilities measured at fair value on a recurring basis | $ | - | $ | (18,925) | $ | - | $ | (18,925)
Nonrecurring fair value measurements |
Nine months ended September 30, 2021
(In thousands) | Level 1 | Level 2 | Level 3 | Total |  |
NONRECURRING FAIR VALUE MEASUREMENTS |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  | Write-downs
Loans[1] | $ | - | $ | - | $ | 22,700 | $ | 22,700 | $ | (4,775)
Other real estate owned[2] |  | - |  | - |  | 6,540 |  | 6,540 |  | (1,583)
Long-lived assets held-for-sale[3] |  | - |  | - |  | 2,728 |  | 2,728 |  | (303)
Total assets measured at fair value on a nonrecurring basis | $ | - | $ | - | $ | 31,968 | $ | 31,968 | $ | (6,661)
[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.
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.
Assets measured on recurring basis, unobservable input reconciliation |
| Quarter ended September 30, 2021
|  | 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, 2021 | $ | 938 | $ | 250 | $ | 361 | $ | 119,467 | $ | 121,016
Gains (losses) included in earnings |  | - |  | - |  | (9) |  | (5,979) |  | (5,988)
Gains (losses) included in OCI |  | (5) |  | - |  | - |  | - |  | (5)
Additions |  | - |  | 4 |  | - |  | 3,079 |  | 3,083
Settlements |  | (50) |  | (34) |  | - |  | - |  | (84)
Balance at September 30, 2021 | $ | 883 | $ | 220 | $ | 352 | $ | 116,567 | $ | 118,022
Changes in unrealized gains (losses) included in earnings relating to assets still held at September 30, 2021 | $ | - | $ | - | $ | 4 | $ | (1,912) | $ | (1,908)
| Nine months ended September 30, 2021
|  | 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, 2021 | $ | 1,014 | $ | 278 | $ | 381 | $ | 118,395 | $ | 120,068
Gains (losses) included in earnings |  | - |  | - |  | (29) |  | (11,716) |  | (11,745)
Gains (losses) included in OCI |  | (6) |  | - |  | - |  | - |  | (6)
Additions |  | - |  | 28 |  | - |  | 9,888 |  | 9,916
Settlements |  | (125) |  | (86) |  | - |  | - |  | (211)
Balance at September 30, 2021 | $ | 883 | $ | 220 | $ | 352 | $ | 116,567 | $ | 118,022
Changes in unrealized gains (losses) included in earnings relating to assets still held at September 30, 2021 | $ | - | $ | (1) | $ | 13 | $ | 1,214 | $ | 1,226
| Quarter 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 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)
Gain (loss) included in earnings, measured on recurring basis |
| Quarter ended September 30, 2021 | Nine months ended September 30, 2021
|  |  | 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 | $ | (5,979) | $ | (1,912) | $ | (11,716) | $ | 1,214
Trading account profit (loss) |  | (9) |  | 4 |  | (29) |  | 12
Total | $ | (5,988) | $ | (1,908) | $ | (11,745) | $ | 1,226
| 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)
Fair value measurements, recurring and nonrecurring valuation techniques |
|  |  | Fair value at |  |  |  |  |
| September 30, |  |  |  |  |
(In thousands) |  | 2021 |  | Valuation technique | Unobservable inputs | Weighted average (range) [1]
CMO's - trading | $ | 220 |  | Discounted cash flow model | Weighted average life | 0.9 years (0.1 - 1.1 years) |
|  |  |  |  |  | Yield | 3.6% (3.6% - 4.1%) |
|  |  |  |  |  | Prepayment speed | 11.4% (10.1% - 16.7%) |
Other - trading | $ | 352 |  | Discounted cash flow model | Weighted average life | 3.6 years |
|  |  |  |  |  | Yield | 12.0% |
|  |  |  |  |  | Prepayment speed | 10.8% |
Mortgage servicing rights | $ | 116,567 |  | Discounted cash flow model | Prepayment speed | 6.2% (0.3% - 34.2%) |
|  |  |  |  |  | Weighted average life | 6.1 years (0.1 - 13.1 years) |
|  |  |  |  |  | Discount rate | 11.1% (9.5% - 14.7%) |
Loans held-in-portfolio | $ | 21,715 | [2] | External appraisal | Haircut applied on |  |
|  |  |  |  |  | external appraisals | 11.0% (10.0% - 30.5%) |
Other real estate owned | $ | 4,099 | [3] | External appraisal | Haircut applied on |  |
|  |  |  |  |  | external appraisals | 22.3% (5.0% - 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.
|  |  | 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.

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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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