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Fair value measurement (Tables)

3 Months Ended

Mar. 31, 2022

Fair Value Disclosures

Assets and Liabilities Measured at Fair Value on a Recurring Basis

At March 31, 2022
(In thousands)	Level 1		Level 2		Level 3		Measured at NAV		Total
RECURRING FAIR VALUE MEASUREMENTS
Assets
Debt securities available-for-sale:
U.S. Treasury securities	$	1,799,951	$	16,379,160	$	-	$	-	$	18,179,111
Obligations of U.S. Government sponsored entities		-		71		-		-		71
Collateralized mortgage obligations - federal agencies		-		191,215		-		-		191,215
Mortgage-backed securities		-		7,988,614		793		-		7,989,407
Other		-		111		-		-		111
Total debt securities available-for-sale	$	1,799,951	$	24,559,171	$	793	$	-	$	26,359,915
Trading account debt securities, excluding derivatives:
U.S. Treasury securities	$	16,686	$	-	$	-	$	-	$	16,686
Obligations of Puerto Rico, States and political subdivisions		-		81		-		-		81
Collateralized mortgage obligations		-		53		174		-		227
Mortgage-backed securities		-		18,779		-		-		18,779
Other		-		-		267		-		267
Total trading account debt securities, excluding derivatives	$	16,686	$	18,913	$	441	$	-	$	36,040
Equity securities	$	-	$	30,872	$	-	$	166	$	31,038
Mortgage servicing rights		-		-		125,358		-		125,358
Derivatives		-		24,848		-		-		24,848
Total assets measured at fair value on a recurring basis	$	1,816,637	$	24,633,804	$	126,592	$	166	$	26,577,199
Liabilities
Derivatives	$	-	$	(20,218)	$	-	$	-	$	(20,218)
Contingent consideration		-		-		(9,241)		-		(9,241)
Total liabilities measured at fair value on a recurring basis	$	-	$	(20,218)	$	(9,241)	$	-	$	(29,459)

At December 31, 2021
(In thousands)	Level 1		Level 2		Level 3			Measured at NAV	Total
RECURRING FAIR VALUE MEASUREMENTS
Assets
Debt securities available-for-sale:
U.S. Treasury securities	$	-	$	15,859,030	$	-	$	-	$	15,859,030
Obligations of U.S. Government sponsored entities		-		70		-		-		70
Collateralized mortgage obligations - federal agencies		-		221,265		-		-		221,265
Mortgage-backed securities		-		8,886,950		826		-		8,887,776
Other		-		128		-		-		128
Total debt securities available-for-sale	$	-	$	24,967,443	$	826	$	-	$	24,968,269
Trading account debt securities, excluding derivatives:
U.S. Treasury securities	$	6,530	$	-	$	-	$	-	$	6,530
Obligations of Puerto Rico, States and political subdivisions		-		85		-		-		85
Collateralized mortgage obligations		-		59		198		-		257
Mortgage-backed securities		-		22,559		-		-		22,559
Other		-		-		280		-		280
Total trading account debt securities, excluding derivatives	$	6,530	$	22,703	$	478	$	-	$	29,711
Equity securities	$	-	$	32,429	$	-	$	77	$	32,506
Mortgage servicing rights		-		-		121,570		-		121,570
Derivatives		-		26,093		-		-		26,093
Total assets measured at fair value on a recurring basis	$	6,530	$	25,048,668	$	122,874	$	77	$	25,178,149
Liabilities
Derivatives	$	-	$	(22,878)	$	-	$	-	$	(22,878)
Contingent consideration		-		-		(9,241)		-		(9,241)
Total liabilities measured at fair value on a recurring basis	$	-	$	(22,878)	$	(9,241)	$	-	$	(32,119)

Nonrecurring fair value measurements

Quarter ended March 31, 2022
(In thousands)	Level 1		Level 2		Level 3		Total
NONRECURRING FAIR VALUE MEASUREMENTS
Assets										Write-downs
Loans[1]	$	-	$	-	$	4,891	$	4,891	$	(180)
Loans held-for-sale[2]		-		-		55,150		55,150		(675)
Other real estate owned[3]		-		-		1,432		1,432		(495)
Total assets measured at fair value on a nonrecurring basis	$	-	$	-	$	61,473	$	61,473	$	(1,350)
[1] Relates mainly 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.

Quarter ended March 31, 2021
(In thousands)	Level 1		Level 2		Level 3		Total
NONRECURRING FAIR VALUE MEASUREMENTS
Assets										Write-downs
Loans[1]	$	-	$	-	$	2,384	$	2,384	$	(406)
Loans held-for-sale[2]		-		-		3,549		3,549		(846)
Other real estate owned[3]		-		-		6,205		6,205		(1,073)
Other foreclosed assets[3]		-		-		48		48		(7)
Long-lived assets held-for-sale[4]		-		-		2,728		2,728		(303)
Total assets measured at fair value on a nonrecurring basis	$	-	$	-	$	14,914	$	14,914	$	(2,635)
[1] Relates mainly 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.
[4] 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 March 31, 2022
		MBS		CMOs		Other
		classified		classified		securities
		as debt		as trading		classified
		securities		account		as trading		Mortgage
		available-		debt		account debt		servicing		Total		Contingent		Total
(In thousands)		for-sale		securities		securities		rights		assets		consideration		liabilities
Balance at December 31, 2021		$	826	$	198	$	280	$	121,570	$	122,874	$	9,241	$	9,241
Gains (losses) included in earnings			-		(1)		(13)		1,017		1,003		-		-
Gains (losses) included in OCI			(8)		-		-		-		(8)		-		-
Additions			-		2		-		2,771		2,773		-		-
Settlements			(25)		(25)		-		-		(50)		-		-
Balance at March 31, 2022		$	793	$	174	$	267	$	125,358	$	126,592	$	9,241	$	9,241
Changes in unrealized gains (losses) included in earnings relating to assets still held at March 31, 2022		$	-	$	(1)	$	5	$	4,252	$	4,256	$	-	$	-

	Quarter ended March 31, 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 December 31, 2020		$	1,014	$	278	$	381	$	118,395	$	120,068
Gains (losses) included in earnings			-		-		(9)		512		503
Gains (losses) included in OCI			(5)		-		-		-		(5)
Additions			-		1		-		3,636		3,637
Settlements			(75)		(28)		-		-		(103)
Balance at March 31, 2021		$	934	$	251	$	372	$	122,543	$	124,100
Changes in unrealized gains (losses) included in earnings relating to assets still held at March 31, 2021		$	-	$	-	$	4	$	5,162	$	5,166

Gain (loss) included in earnings, measured on recurring basis

	Quarter ended March 31, 2022				Quarter ended March 31, 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	$	1,017	$	4,252	$	512	$	5,162
Trading account (loss) profit		(14)		4		(9)		4
Total	$	1,003	$	4,256	$	503	$	5,166

Fair value measurements, recurring and nonrecurring valuation techniques

			Fair value at
		March 31,
(In thousands)			2022			Valuation technique	Unobservable inputs	Weighted average (range) [1]
CMO's - trading		$	174			Discounted cash flow model	Weighted average life	0.7 years (0.5 - 1.0 years)
							Yield	3.9% (3.9% - 4.5%)
							Prepayment speed	8.4% (0.1% - 15.7%)
Other - trading		$	267			Discounted cash flow model	Weighted average life	2.9 years
							Yield	12.0%
							Prepayment speed	10.8%
Contingent consideration		$	(9,241)			Probability weighted
						discounted cash flows	Discount rate	2.52%
Loans held-in-portfolio		$	4,653		[2]	External appraisal	Haircut applied on
							external appraisals	12.6%
[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.

			Fair value at
		March 31,
(In thousands)			2021			Valuation technique	Unobservable inputs	Weighted average (range) [1]
CMO's - trading		$	251			Discounted cash flow model	Weighted average life	1.1 years (0.3 - 1.3 years)
							Yield	3.6% (3.6% - 4.1%)
							Prepayment speed	12.9% (10.4% - 18.3%)
Other - trading		$	372			Discounted cash flow model	Weighted average life	3.6 years
							Yield	12.0%
							Prepayment speed	10.8%
Mortgage servicing rights		$	122,543			Discounted cash flow model	Prepayment speed	6.0% (0.4% - 24.6)%)
							Weighted average life	6.3 years (0.1 - 12.8 years)
							Discount rate	11.1% (9.5% - 14.7%)
Loans held-in-portfolio		$	2,162		[2]	External appraisal	Haircut applied on
							external appraisals	16.3% (12.6% - 21.4%)
Other real estate owned		$	5,772		[3]	External appraisal	Haircut applied on
							external appraisals	22.1% (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.

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.

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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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