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Fair value measurement (Tables) | 9 Months Ended
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Sep. 30, 2023
Fair Value Disclosures |
Assets and Liabilities Measured at Fair Value on a Recurring Basis | At September 30, 2023 (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 $ 3,871,643 $ 7,458,038 $ - $ - $ 11,329,681 Collateralized mortgage obligations - federal agencies - 138,014 - - 138,014 Mortgage-backed securities - 5,660,488 653 - 5,661,141 Other - 22 1,000 - 1,022 Total debt securities available-for-sale $ 3,871,643 $ 13,256,562 $ 1,653 $ - $ 17,129,858 Trading account debt securities, excluding derivatives: U.S. Treasury securities $ 15,644 $ - $ - $ - $ 15,644 Obligations of Puerto Rico, States and political subdivisions - 57 - - 57 Collateralized mortgage obligations - 42 10 - 52 Mortgage-backed securities - 14,747 137 - 14,884 Other - - 188 - 188 Total trading account debt securities, excluding derivatives $ 15,644 $ 14,846 $ 335 $ - $ 30,825 Equity securities $ - $ 35,026 $ - $ 286 $ 35,312 Mortgage servicing rights - - 119,030 - 119,030 Loans held-for-sale - 5,239 - - 5,239 Derivatives - 23,511 - - 23,511 Total assets measured at fair value on a recurring basis $ 3,887,287 $ 13,335,184 $ 121,018 $ 286 $ 17,343,775 Liabilities Derivatives $ - $ (21,747) $ - $ - $ (21,747) Total liabilities measured at fair value on a recurring basis $ - $ (21,747) $ - $ - $ (21,747) 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)
Difference between the aggregate fair value and the aggregate unpaid principal balance formortgage loans held for sale measured at fair value | The following table summarizes the difference between the aggregate fair value and the aggregate unpaid principal balance for mortgage loans held for sale measured at fair value as of September 30,2023. (In thousands) September 30, 2023 Aggregate Unpaid Fair Value Principal Balance Difference Loans held for sale $ 5,239 $ 5,364 $ (125)
Nonrecurring fair value measurements | Nine months ended September 30, 2023 (In thousands) Level 1 Level 2 Level 3 Total NONRECURRING FAIR VALUE MEASUREMENTS Assets Write-downs Loans [1] $ - $ - $ 9,113 $ 9,113 $ (3,087) Other real estate owned [2] - - 5,457 5,457 (1,012) Other foreclosed assets [2] - - 44 44 (14) Total assets measured at fair value on a nonrecurring basis $ - $ - $ 14,614 $ 14,614 $ (4,113) [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. Nine months ended September 30, 2022 (In thousands) Level 1 Level 2 Level 3 Total NONRECURRING FAIR VALUE MEASUREMENTS Assets Write-downs Loans [1] $ - $ - $ 9,933 $ 9,933 $ (9,580) Loans held-for-sale [2] - - 8,080 8,080 (224) Other real estate owned [3] - - 3,067 3,067 (940) Other foreclosed assets [3] - - 30 30 (1) Long-lived assets held-for-sale [4] - - 686 686 (688) Total assets measured at fair value on a nonrecurring basis $ - $ - $ 21,796 $ 21,796 $ (11,433) [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 September 30, 2023 MBS Other CMOs MBS Other classified securities classified classified securities as debt classified as as trading as trading classified securities debt securities account account as trading Mortgage available- available- debt debt account debt servicing Total (In thousands) for-sale for-sale securities securities securities rights assets Balance at June 30, 2023 $ 655 $ 1,000 $ 56 $ 163 $ 191 $ 121,249 $ 123,314 Gains (losses) included in earnings - - - - (3) (2,793) (2,796) Gains (losses) included in OCI (2) - - - - - (2) Additions - - - - - 574 574 Settlements - - (46) (26) - - (72) Balance at September 30, 2023 $ 653 $ 1,000 $ 10 $ 137 $ 188 $ 119,030 $ 121,018 Changes in unrealized gains (losses) included in earnings relating to assets still held at September 30, 2023 $ - $ - $ - $ - $ 4 $ (381) $ (377) Nine months ended September 30, 2023 MBS Other MBS Other classified securities CMOs classified securities as debt classified as classified as trading classified securities debt securities as trading account as trading Mortgage available- available- account debt debt account debt servicing Total (In thousands) for-sale for-sale securities securities securities rights assets Balance at January 1, 2023 $ 711 $ 1,000 $ 113 $ 215 $ 207 $ 128,350 $ 130,596 Gains (losses) included in earnings - - - (2) (19) (10,386) (10,407) Gains (losses) included in OCI (8) - - - - - (8) Additions - - 4 - - 1,814 1,818 Sales - - - - - (1,269) (1,269) Settlements (50) - (107) (76) - 521 288 Balance at September 30, 2023 $ 653 $ 1,000 $ 10 137 $ 188 $ 119,030 $ 121,018 Changes in unrealized gains (losses) included in earnings relating to assets still held at September 30, 2023 $ - $ - $ - $ (1) $ 22 $ (1,828) $ (1,807) Quarter ended September 30, 2022 MBS Other Other classified securities CMOs securities as debt classified as classified classified securities debt securities as trading as trading Mortgage available- available- account debt account debt servicing Total Contingent Total (In thousands) for-sale for-sale securities securities rights assets consideration liabilities Balance at June 30, 2022 $ 779 $ 500 $ 152 $ 264 $ 129,877 $ 131,572 $ (9,241) $ (9,241) Gains (losses) included in earnings - - (1) (9) (499) (509) 9,241 9,241 Gains (losses) included in OCI (18) - - - - (18) - - Additions - 500 3 - 1,163 1,666 - - Settlements (50) - (19) - - (69) - - Balance at September 30, 2022 $ 711 $ 1,000 $ 135 $ 255 $ 130,541 $ 132,642 $ - $ - Changes in unrealized gains (losses) included in earnings relating to assets still held at September 30, 2022 $ - $ - $ (1) $ 7 $ 1,984 $ 1,990 $ - $ - Nine months ended September 30, 2022 MBS Other Other classified securities CMOs securities as debt classified as classified classified securities debt securities as trading as trading Mortgage available- available- account debt account debt 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 - - (2) (25) 2,776 2,749 9,241 9,241 Gains (losses) included in OCI (15) - - - - (15) - - Additions - 1,000 5 - 6,195 7,200 - - Settlements (100) - (66) - - (166) - - Balance at September 30, 2022 $ 711 $ 1,000 $ 135 $ 255 $ 130,541 $ 132,642 $ - $ - Changes in unrealized gains (losses) included in earnings relating to assets still held at September 30, 2022 $ - $ - $ (2) $ 14 $ 11,556 $ 11,568 $ - $ -
Gain (loss) included in earnings, measured on recurring basis | Quarter ended September 30, 2023 Nine months ended September 30, 2023 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 $ (2,793) $ (381) $ (10,386) $ (1,828) Trading account profit (loss) (3) 4 (21) 21 Total $ (2,796) $ (377) $ (10,407) $ (1,807) Quarter ended September 30, 2022 Nine months ended September 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 $ (499) $ 1,984 $ 2,776 $ 11,556 Trading account profit (loss) (10) 6 (27) 12 Other operating income 9,241 - 9,241 - Total $ 8,732 $ 1,990 $ 11,990 $ 11,568
Fair value measurements, recurring and nonrecurring valuation techniques | Fair value at September 30, (In thousands) 2023 Valuation technique Unobservable inputs Weighted average (range) [1] CMO's - trading $ 10 Discounted cash flow model Weighted average life 0.2 years ( 0.2 - 0.3 years) Yield 4.9 % Prepayment speed 7.3 % Other - trading $ 188 Discounted cash flow model Weighted average life 2.5 years Yield 12.0% Prepayment speed 10.8% Loans held-in-portfolio $ 9,044 [2] External appraisal Haircut applied on external appraisals 7.2 % ( 5.0 % - 10.0 %) Other real estate owned $ 325 [3] External appraisal Haircut applied on external appraisals 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) 2022 Valuation technique Unobservable inputs Weighted average (range) [1] CMO's - trading $ 135 Discounted cash flow model Weighted average life 0.5 years ( 0.2 - 0.7 years) Yield 4.9 % ( 4.9 % - 5.4 %) Prepayment speed 10.7 % ( 10.1 % - 18.5 %) Other - trading $ 255 Discounted cash flow model Weighted average life 2.9 years Yield 12.0% Prepayment speed 10.8% Loans held-in-portfolio $ 4,473 [2] External appraisal Haircut applied on external appraisals 16.1 % ( 5 .0% - 25 .0%) Other real estate owned $ 289 [3] External appraisal Haircut applied on external appraisals 27 % ( 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 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 information about asset and liability measured at fair value under fair value option. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 31 -URI https://asc.fasb.org/extlink&oid=123596393&loc=d3e14210-108612 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 30 -URI https://asc.fasb.org/extlink&oid=123596393&loc=d3e14172-108612 Reference 3: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 32 -URI https://asc.fasb.org/extlink&oid=123596393&loc=d3e14217-108612 Reference 4: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 28 -URI https://asc.fasb.org/extlink&oid=123596393&loc=d3e14064-108612 + 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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