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Fair value measurement (Tables) | 6 Months Ended
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Jun. 30, 2022
Fair Value Disclosures |
Assets and Liabilities Measured at Fair Value on a Recurring Basis |
At June 30, 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 | $ | 2,019,437 | $ | 16,821,045 | $ | - | $ | - | $ | 18,840,482
Obligations of U.S. Government sponsored entities |  | - |  | 70 |  | - |  | - |  | 70
Collateralized mortgage obligations - federal agencies |  | - |  | 172,784 |  | - |  | - |  | 172,784
Mortgage-backed securities |  | - |  | 7,251,541 |  | 779 |  | - |  | 7,252,320
Other |  | - |  | 95 |  | 500 |  | - |  | 595
Total debt securities available-for-sale | $ | 2,019,437 | $ | 24,245,535 | $ | 1,279 | $ | - | $ | 26,266,251
Trading account debt securities, excluding derivatives: |  |  |  |  |  |  |  |  |  |
U.S. Treasury securities | $ | 16,873 | $ | - | $ | - | $ | - | $ | 16,873
Obligations of Puerto Rico, States and political subdivisions |  | - |  | 73 |  | - |  | - |  | 73
Collateralized mortgage obligations |  | - |  | 51 |  | 152 |  | - |  | 203
Mortgage-backed securities |  | - |  | 14,904 |  | - |  | - |  | 14,904
Other |  | - |  | - |  | 264 |  | - |  | 264
Total trading account debt securities, excluding derivatives | $ | 16,873 | $ | 15,028 | $ | 416 | $ | - | $ | 32,317
Equity securities | $ | - | $ | 28,214 | $ | - | $ | 215 | $ | 28,429
Mortgage servicing rights |  | - |  | - |  | 129,877 |  | - |  | 129,877
Derivatives |  | - |  | 17,218 |  | - |  | - |  | 17,218
Total assets measured at fair value on a recurring basis | $ | 2,036,310 | $ | 24,305,995 | $ | 131,572 | $ | 215 | $ | 26,474,092
Liabilities |  |  |  |  |  |  |  |  |  |
Derivatives | $ | - | $ | (16,173) | $ | - | $ | - | $ | (16,173)
Contingent consideration |  | - |  | - |  | (9,241) |  | - |  | (9,241)
Total liabilities measured at fair value on a recurring basis | $ | - | $ | (16,173) | $ | (9,241) | $ | - | $ | (25,414)
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 |
Six months ended June 30, 2022
(In thousands) | Level 1 | Level 2 | Level 3 | Total |  |
NONRECURRING FAIR VALUE MEASUREMENTS |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  | Write-downs
Loans[1] | $ | - | $ | - | $ | 6,694 | $ | 6,694 | $ | (1,183)
Other real estate owned[2] |  | - |  | - |  | 2,161 |  | 2,161 |  | (769)
Total assets measured at fair value on a nonrecurring basis | $ | - | $ | - | $ | 8,855 | $ | 8,855 | $ | (1,952)
[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] 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.
Six months ended June 30, 2021
(In thousands) | Level 1 | Level 2 | Level 3 | Total |  |
NONRECURRING FAIR VALUE MEASUREMENTS |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  | Write-downs
Loans[1] | $ | - | $ | - | $ | 19,369 | $ | 19,369 | $ | (2,957)
Loans held-for-sale[2] |  | - |  | - |  | 8,700 |  | 8,700 |  | (596)
Other real estate owned[3] |  | - |  | - |  | 7,942 |  | 7,942 |  | (1,503)
Long-lived assets held-for-sale[4] |  | - |  | - |  | 2,728 |  | 2,728 |  | (303)
Total assets measured at fair value on a nonrecurring basis | $ | - | $ | - | $ | 38,739 | $ | 38,739 | $ | (5,359)
[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 June 30, 2022
|  | MBS | Other | CMOs | Other |  |  |  |  |  |  |  |
|  | classified | securities | classified | securities |  |  |  |  |  |  |  |
|  | as debt | classified as | as trading | classified |  |  |  |  |  |  |  |
|  | securities | debt securities | account | as trading | Mortgage |  |  |  |
|  | available- | available- | debt | account debt | servicing | Total | Contingent | Total
(In thousands) | for-sale | for-sale | securities | securities | rights | assets | consideration | liabilities
Balance at March 31, 2022 | $ | 793 | $ | - | $ | 174 | $ | 267 | $ | 125,358 | $ | 126,592 | $ | 9,241 | $ | 9,241
Gains (losses) included in earnings |  | - |  | - |  | - |  | (3) |  | 2,258 |  | 2,255 |  | - |  | -
Gains (losses) included in OCI |  | 11 |  | - |  | - |  | - |  | - |  | 11 |  | - |  | -
Additions |  | - |  | 500 |  | - |  | - |  | 2,261 |  | 2,761 |  | - |  | -
Settlements |  | (25) |  | - |  | (22) |  | - |  | - |  | (47) |  | - |  | -
Balance at June 30, 2022 | $ | 779 | $ | 500 | $ | 152 | $ | 264 | $ | 129,877 | $ | 131,572 | $ | 9,241 | $ | 9,241
Changes in unrealized gains (losses) included in earnings relating to assets still held at June 30, 2022 | $ | - | $ | - | $ | (1) | $ | 2 | $ | 5,318 | $ | 5,319 | $ | - | $ | -
| Six months ended June 30, 2022
|  | MBS | Other |  |  | Other |  |  |  |  |  |  |  |  |
|  | classified | securities | CMOs | securities |  |  |  |  |  |  |  |  |
|  | as investment | classified as | classified | classified |  |  |  |  |  |  |  |  |
|  | securities | debt securities | as trading | as trading | Mortgage |  |  |  |  |
|  | available- | available- | account | account | servicing | Total | Contingent |  | Total
(In thousands) | for-sale | for-sale | securities | securities | rights | assets | consideration |  | liabilities
Balance at January 1, 2022 | $ | 826 | $ | - | $ | 198 | $ | 280 | $ | 121,570 | $ | 122,874 | $ | 9,241 |  | $ | 9,241
Gains (losses) included in earnings |  | - |  | - |  | (1) |  | (16) |  | 3,275 |  | 3,258 |  | - |  |  | -
Gains (losses) included in OCI |  | 3 |  | - |  | - |  | - |  | - |  | 3 |  | - |  |  | -
Additions |  | - |  | 500 |  | 2 |  | - |  | 5,032 |  | 5,534 |  | - |  |  | -
Settlements |  | (50) |  | - |  | (47) |  | - |  | - |  | (97) |  | - |  |  | -
Balance at June 30, 2022 | $ | 779 | $ | 500 | $ | 152 | $ | 264 | $ | 129,877 | $ | 131,572 | $ | 9,241 |  | $ | 9,241
Changes in unrealized gains (losses) included in earnings relating to assets still held at June 30, 2022 | $ | - | $ | - | $ | (1) | $ | 7 | $ | 9,571 | $ | 9,577 | $ | - |  | $ | -
| Quarter ended June 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 March 31, 2021 | $ | 934 | $ | 251 | $ | 372 | $ | 122,543 | $ | 124,100
Gains (losses) included in earnings |  | - |  | - |  | (11) |  | (6,249) |  | (6,260)
Gains (losses) included in OCI |  | 4 |  | - |  | - |  | - |  | 4
Additions |  | - |  | 23 |  | - |  | 3,173 |  | 3,196
Settlements |  | - |  | (24) |  | - |  | - |  | (24)
Balance at June 30, 2021 | $ | 938 | $ | 250 | $ | 361 | $ | 119,467 | $ | 121,016
Changes in unrealized gains (losses) included in earnings relating to assets still held at June 30, 2021 | $ | - | $ | - | $ | 5 | $ | (2,036) | $ | (2,031)
| Six months ended June 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 |  | - |  | - |  | (20) |  | (5,737) |  | (5,757)
Gains (losses) included in OCI |  | (1) |  | - |  | - |  | - |  | (1)
Additions |  | - |  | 24 |  | - |  | 6,809 |  | 6,833
Settlements |  | (75) |  | (52) |  | - |  | - |  | (127)
Balance at June 30, 2021 | $ | 938 | $ | 250 | $ | 361 | $ | 119,467 | $ | 121,016
Changes in unrealized gains (losses) included in earnings relating to assets still held at June 30, 2021 | $ | - | $ | - | $ | 9 | $ | 3,126 | $ | 3,135
Gain (loss) included in earnings, measured on recurring basis |
| Quarter ended June 30, 2022 | Six months ended June 30, 2022
|  |  | 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 | $ | 2,258 | $ | 5,318 | $ | 3,275 | $ | 9,571
Trading account profit (loss) |  | (3) |  | 1 |  | (17) |  | 6
Total | $ | 2,255 | $ | 5,319 | $ | 3,258 | $ | 9,577
| Quarter ended June 30, 2021 | Six months ended June 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 | $ | (6,249) | $ | (2,036) | $ | (5,737) | $ | 3,126
Trading account profit (loss) |  | (11) |  | 5 |  | (20) |  | 9
Total | $ | (6,260) | $ | (2,031) | $ | (5,757) | $ | 3,135
Fair value measurements, recurring and nonrecurring valuation techniques |
|  |  | Fair value at |  |  |  |  |  |
| June 30, |  |  |  |  |  |
(In thousands) |  | 2022 |  |  | Valuation technique | Unobservable inputs | Weighted average (range) [1]
CMO's - trading | $ | 152 |  |  | Discounted cash flow model | Weighted average life | 0.6 years (0.3 - 0.8 years) |
|  |  |  |  |  |  | Yield | 4.2% (4.2% - 4.8%) |
|  |  |  |  |  |  | Prepayment speed | 12.5% (12.0% - 16.3%) |
Other - trading | $ | 264 |  |  | 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 | $ | 3,779 |  | [2] | External appraisal | Haircut applied on |  |
|  |  |  |  |  |  | external appraisals | 12.6% |
Other real estate owned | $ | 76 |  | [3] | External appraisal | Haircut applied on |  |
|  |  |  |  |  |  | external appraisals | 5.0% |
[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 |  |  |  |  |  |
| June 30, |  |  |  |  |  |
(In thousands) |  | 2021 |  |  | Valuation technique | Unobservable inputs | Weighted average (range) [1]
CMO's - trading | $ | 250 |  |  | Discounted cash flow model | Weighted average life | 1.0 years (0.3 - 1.2 years) |
|  |  |  |  |  |  | Yield | 3.6% (3.6% - 4.1%) |
|  |  |  |  |  |  | Prepayment speed | 13.1% (10.2% - 18.1%) |
Other - trading | $ | 361 |  |  | Discounted cash flow model | Weighted average life | 3.6 years |
|  |  |  |  |  |  | Yield | 12.0% |
|  |  |  |  |  |  | Prepayment speed | 10.8% |
Mortgage servicing rights | $ | 119,467 |  |  | Discounted cash flow model | Prepayment speed | 6.0% (0.3% - 33.1)%) |
|  |  |  |  |  |  | Weighted average life | 6.2 years (0.1 - 13.1 years) |
|  |  |  |  |  |  | Discount rate | 11.1% (9.5% - 14.7%) |
Loans held-in-portfolio | $ | 18,565 |  | [2] | External appraisal | Haircut applied on |  |
|  |  |  |  |  |  | external appraisals | 11.1% (10.0% - 30.5%) |
Other real estate owned | $ | 6,672 |  | [3] | External appraisal | Haircut applied on |  |
|  |  |  |  |  |  | external appraisals | 20.3% (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.

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