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Fair value measurement (Tables) | 12 Months Ended
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Dec. 31, 2022
Fair Value Disclosures |
Assets and Liabilities Measured at Fair Value on a Recurring Basis | At December 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 $ 1,908,589 $ 9,272,359 $ - $ - $ 11,180,948 Collateralized mortgage obligations - federal agencies - 165,196 - - 165,196 Mortgage-backed securities - 6,456,459 711 - 6,457,170 Other - 60 1,000 - 1,060 Total debt securities available-for-sale $ 1,908,589 $ 15,894,074 $ 1,711 $ - $ 17,804,374 Trading account debt securities, excluding derivatives: U.S. Treasury securities $ 13,069 $ - $ - $ - $ 13,069 Obligations of Puerto Rico, States and political subdivisions - 64 - - 64 Collateralized mortgage obligations - 47 113 - 160 Mortgage-backed securities - 14,008 215 - 14,223 Other - - 207 - 207 Total trading account debt securities, excluding derivatives $ 13,069 $ 14,119 $ 535 $ - $ 27,723 Equity securities $ - $ 29,302 $ - $ 330 $ 29,632 Mortgage servicing rights - - 128,350 - 128,350 Derivatives - 19,229 - - 19,229 Total assets measured at fair value on a recurring basis $ 1,921,658 $ 15,956,724 $ 130,596 $ 330 $ 18,009,308 Liabilities Derivatives $ - $ (17,000) $ - $ - $ (17,000) Total liabilities measured at fair value on a recurring basis $ - $ (17,000) $ - $ - $ (17,000) 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 | Year ended December 31, 2022 (In thousands) Level 1 Level 2 Level 3 Total NONRECURRING FAIR VALUE MEASUREMENTS Assets Write-downs Loans [1] $ - $ - $ 11,215 $ 11,215 $ (2,067) Other real estate owned [2] - - 3,992 3,992 (1,026) Other foreclosed assets [2] - - 13 13 (1) Long-lived assets held-for-sale [3] - - 1,178 1,178 (2,155) Total assets measured at fair value on a nonrecurring basis $ - $ - $ 16,398 $ 16,398 $ (5,249) [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. [3] Represents the fair value of long-lived assets held-for-sale that were written down to their fair value. Year ended December 31, 2021 (In thousands) Level 1 Level 2 Level 3 Total NONRECURRING FAIR VALUE MEASUREMENTS Assets Write-downs Loans [1] $ - $ - $ 21,167 $ 21,167 $ (3,721) Other real estate owned [2] - - 7,727 7,727 (1,579) Other foreclosed assets [2] - - 68 68 (33) Long-lived assets held-for-sale [3] - - 9,007 9,007 (5,320) Trademark [4] - - 156 156 (5,404) Total assets measured at fair value on a nonrecurring basis $ - $ - $ 38,125 $ 38,125 $ (16,057) [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. [3] Represents the fair value of long-lived assets held-for-sale that were written down to their fair value. [4] Represents the fair value of a trademark due to a write-down on impairment. Year ended December 31, 2020 (In thousands) Level 1 Level 2 Level 3 Total NONRECURRING FAIR VALUE MEASUREMENTS Assets Write-downs Loans [1] $ - $ - $ 74,511 $ 74,511 $ (15,290) Loans held-for-sale [2] - - 2,738 2,738 (1,311) Other real estate owned [3] - - 20,123 20,123 (3,325) Other foreclosed assets [3] - - 116 116 (148) ROU assets [4] - - 446 446 (15,920) Leasehold improvements [4] - - 126 126 (2,084) Total assets measured at fair value on a nonrecurring basis $ - $ - $ 98,060 $ 98,060 $ (38,078) [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. [4] The impairment was measured based on the sublease rental value of the branches that were subject to the strategic realignment of PB's New Metro Branch network.
Assets measured on recurring basis, unobservable input reconciliation | Year ended December 31, 2022 MBS Other classified classified CMOs MBS Other as debt as debt classified classified securities securities securities as trading as trading classified as Mortgage available- available- account debt account debt trading account servicing Total Contingent Total (In thousands) for-sale for-sale securities securities debt 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 - - (2) 4 (73) 166 95 9,241 9,241 Gains (losses) included in OCI (15) - - - - - (15) - - Additions - 1,000 5 211 - 6,614 7,830 - - Settlements (100) - (88) - - - (188) - - Balance at December 31, 2022 $ 711 $ 1,000 $ 113 $ 215 $ 207 $ 128,350 $ 130,596 $ - $ - Changes in unrealized gains (losses) included in earnings relating to assets still held at December 31, 2022 $ - $ - $ (2) $ 4 $ (23) $ 11,964 $ 11,943 $ - $ - Year ended December 31, 2021 MBS Other classified CMOs securities as debt classified classified securities as trading as trading Mortgage available- account debt account debt servicing Total Contingent Total (In thousands) for-sale securities securities rights assets Consideration liabilities Balance at January 1, 2021 $ 1,014 $ 278 $ 381 $ 118,395 $ 120,068 $ - $ - Gains (losses) included in earnings - (1) (101) (10,216) (10,318) - - Gains (losses) included in OCI (13) - - - (13) - - Additions - 29 - 13,391 13,419 (9,241) (9,241) Settlements (175) (107) - - (282) - - Balance at December 31, 2021 $ 826 $ 198 $ 280 $ 121,570 $ 122,874 $ (9,241) $ (9,241) Changes in unrealized gains (losses) included in earnings relating to assets still held at December 31, 2021 $ - $ (1) $ (45) $ 6,410 $ 6,364 $ - $ - Year ended December 31, 2020 MBS Other classified CMOs securities as debt classified classified securities as trading as trading Mortgage available- account debt account debt 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 - (1) (59) (42,055) (42,115) Gains (losses) included in OCI (18) - - - (18) Additions - 4 - 9,544 9,548 Settlements (150) (255) - - (405) Balance at December 31, 2020 $ 1,014 $ 278 $ 381 $ 118,395 $ 120,068 Changes in unrealized gains (losses) included in earnings relating to assets still held at December 31, 2020 $ - $ - $ 27 $ (19,327) $ (19,300)
Gain (loss) included in earnings, measured on recurring basis | 2022 2021 2020 Total Changes in unrealized Total Changes in unrealized Total Changes in unrealized gains (losses) gains (losses) gains (losses) gains (losses) gains (losses) gains (losses) included relating to assets still included relating to assets still included relating to assets still (In thousands) in earnings held at reporting date in earnings held at reporting date in earnings held at reporting date Mortgage banking activities $ 166 $ 11,964 $ (10,216) $ 6,410 $ (42,055) $ (19,327) Trading account (loss) profit (71) (21) (102) (46) (60) 27 Other operating income 9,241 - - - - - Total $ 9,336 $ 11,943 $ (10,318) $ 6,364 $ (42,115) $ (19,300)
Fair value measurements, recurring and nonrecurring valuation techniques | Fair value at December 31, (In thousands) 2022 Valuation technique Unobservable inputs Weighted average (range) [1] CMO's - trading $ 113 Discounted cash flow model Weighted average life 0.4 years ( 0.1 - 0.6 years) Yield 4.9 % ( 4.9 % - 5.4 %) Prepayment speed 10.2 % ( 9.1 % - 32 %) Other - trading $ 207 Discounted cash flow model Weighted average life 2.5 years Yield 12.0% Prepayment speed 10.8% Loans held-in-portfolio $ 5,087 [2] External appraisal Haircut applied on external appraisals 8.3 % ( 5.0 % - 10.4 %) Other real estate owned $ 528 [3] External appraisal Haircut applied on external appraisals 18.4 % ( 5.0 % - 35 %) [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 December 31, (In thousands) 2021 Valuation technique Unobservable inputs Weighted average (range) [1] CMO's - trading $ 198 Discounted cash flow model Weighted average life 0.8 years ( 0.4 - 1 years) Yield 3.6 % ( 3.6 % - 4.1 %) Prepayment speed 11.4 % ( 10.1 % - 17.2 %) Other - trading $ 280 Discounted cash flow model Weighted average life 2.9 years Yield 12.0% Prepayment speed 10.8% Loans held-in-portfolio $ 20,041 [2] External appraisal Haircut applied on external appraisals 5 .0% Other real estate owned $ 3,631 [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.

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- 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 https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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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 https://asc.fasb.org/extlink&oid=126976982&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 https://asc.fasb.org/extlink&oid=126976982&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 https://asc.fasb.org/extlink&oid=126976982&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 https://asc.fasb.org/extlink&oid=126976982&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 https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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- 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 https://asc.fasb.org/extlink&oid=126976982&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 https://asc.fasb.org/extlink&oid=126976982&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 https://asc.fasb.org/extlink&oid=126976982&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 https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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