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Fair value measurement (Tables) | 3 Months Ended
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Mar. 31, 2024
Fair Value Disclosures |
Assets and Liabilities Measured at Fair Value on a Recurring Basis | At March 31, 2024 (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 $ 6,262,480 $ 6,026,731 $ - $ - $ 12,289,211 Collateralized mortgage obligations - federal agencies - 127,608 - - 127,608 Mortgage-backed securities - 5,597,993 607 - 5,598,600 Other - 5 2,000 - 2,005 Total debt securities available-for-sale $ 6,262,480 $ 11,752,337 $ 2,607 $ - $ 18,017,424 Trading account debt securities, excluding derivatives: U.S. Treasury securities $ 8,316 $ - $ - $ - $ 8,316 Obligations of Puerto Rico, States and political subdivisions - 60 - - 60 Collateralized mortgage obligations - 90 - - 90 Mortgage-backed securities - 18,587 84 - 18,671 Other - - 166 - 166 Total trading account debt securities, excluding derivatives $ 8,316 $ 18,737 $ 250 $ - $ 27,303 Equity securities $ - $ 40,933 $ - $ 336 $ 41,269 Mortgage servicing rights - - 114,964 - 114,964 Loans held-for-sale - 5,352 - - 5,352 Derivatives - 24,045 - - 24,045 Total assets measured at fair value on a recurring basis $ 6,270,796 $ 11,841,404 $ 117,821 $ 336 $ 18,230,357 Liabilities Derivatives $ - $ (21,784) $ - $ - $ (21,784) Total liabilities measured at fair value on a recurring basis $ - $ (21,784) $ - $ - $ (21,784) At December 31, 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 $ 3,936,036 $ 6,811,025 $ - $ - $ 10,747,061 Collateralized mortgage obligations - federal agencies - 134,686 - - 134,686 Mortgage-backed securities - 5,844,180 606 - 5,844,786 Other - 11 2,500 - 2,511 Total debt securities available-for-sale $ 3,936,036 $ 12,789,902 $ 3,106 $ - $ 16,729,044 Trading account debt securities, excluding derivatives: U.S. Treasury securities $ 16,859 $ - $ - $ - $ 16,859 Obligations of Puerto Rico, States and political subdivisions - 71 - - 71 Collateralized mortgage obligations - 93 5 - 98 Mortgage-backed securities - 14,261 112 - 14,373 Other - - 167 - 167 Total trading account debt securities, excluding derivatives $ 16,859 $ 14,425 $ 284 $ - $ 31,568 Equity securities $ - $ 37,965 $ - $ 310 $ 38,275 Mortgage servicing rights - - 118,109 - 118,109 Loans held-for-sale - 3,239 - - 3,239 Derivatives - 24,419 - - 24,419 Total assets measured at fair value on a recurring basis $ 3,952,895 $ 12,869,950 $ 121,499 $ 310 $ 16,944,654 Liabilities Derivatives $ - $ (21,103) $ - $ - $ (21,103) Total liabilities measured at fair value on a recurring basis $ - $ (21,103) $ - $ - $ (21,103)
Difference between the aggregate fair value and the aggregate unpaid principal balance formortgage loans held for sale measured at fair value | The following tables summarize the difference between the aggregate fair value and the aggregate unpaid principal balance for mortgage loans originated as held-for-sale measured at fair value as of March 31, 2024 and December 31, 2023. (In thousands) March 31, 2024 Aggregate Unpaid Fair Value Principal Balance Difference Loans held for sale $ 5,352 $ 5,285 $ 67 (In thousands) December 31, 2023 Aggregate Unpaid Fair Value Principal Balance Difference Loans held for sale $ 3,239 $ 3,202 $ 37
Nonrecurring fair value measurements | Quarter ended March 31, 2024 (In thousands) Level 1 Level 2 Level 3 Total NONRECURRING FAIR VALUE MEASUREMENTS Assets Write-downs Loans [1] $ - $ - $ 110 $ 110 $ (2,172) Other real estate owned [2] - - 1,416 1,416 (224) Other foreclosed assets [2] - - 105 105 (41) Total assets measured at fair value on a nonrecurring basis $ - $ - $ 1,631 $ 1,631 $ (2,437) [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. Quarter ended March 31, 2023 (In thousands) Level 1 Level 2 Level 3 Total NONRECURRING FAIR VALUE MEASUREMENTS Assets Write-downs Loans [1] $ - $ - $ 1,629 $ 1,629 $ (3) Other real estate owned [2] - - 2,330 2,330 (628) Other foreclosed assets [2] - - 15 15 (4) Total assets measured at fair value on a nonrecurring basis $ - $ - $ 3,974 $ 3,974 $ (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] 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 March 31, 2024 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 December 31, 2023 $ 606 $ 2,500 $ 5 $ 112 $ 167 $ 118,109 $ 121,499 Gains (losses) included in earnings - (500) - - (1) (3,439) (3,940) Gains (losses) included in OCI 1 - - - - - 1 Additions - - - - - 294 294 Settlements - - (5) (28) - - (33) Balance at March 31, 2024 $ 607 $ 2,000 $ - $ 84 $ 166 $ 114,964 $ 117,821 Changes in unrealized gains (losses) included in earnings relating to assets still held at March 31, 2024 $ - $ (500) $ - $ - $ 2 $ (1,202) $ (1,700) Quarter ended March 31, 2023 MBS Other Other classified securities CMOs MBS securities as debt classified as classified classified classified securities debt securities as trading as trading as trading Mortgage available- available- account debt account debt account debt servicing Total (In thousands) for-sale for-sale securities securities securities rights assets Balance at December 31, 2022 $ 711 $ 1,000 $ 113 $ 215 $ 207 $ 128,350 $ 130,596 Gains (losses) included in earnings - - - (1) (8) (1,376) (1,385) Gains (losses) included in OCI (6) - - - - - (6) Additions - - - - - 501 501 Settlements (50) - (25) (26) - - (101) Balance at March 31, 2023 $ 655 $ 1,000 $ 88 $ 188 $ 199 $ 127,475 $ 129,605 Changes in unrealized gains (losses) included in earnings relating to assets still held at March 31, 2023 $ - $ - $ - $ - $ 9 $ 1,286 $ 1,295
Gain (loss) included in earnings, measured on recurring basis | Quarter ended March 31, 2024 Quarter ended March 31, 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 $ (3,439) $ (1,202) $ (1,376) $ 1,286 Trading account (loss) profit (1) 2 (9) 9 Provision for credit losses (500) (500) - - Total $ (3,940) $ (1,700) $ (1,385) $ 1,295
Fair value measurements, recurring and nonrecurring valuation techniques | Fair value at March 31, (In thousands) 2024 Valuation technique Unobservable inputs Weighted average (range) [1] Other - trading $ 166 Discounted cash flow model Weighted average life 2.3 years Yield 12.0% Prepayment speed 10.8% Loans held-in-portfolio $ 110 [2] External appraisal Haircut applied on external appraisals 10.0% [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. Fair value at March 31, (In thousands) 2023 Valuation technique Unobservable inputs Weighted average (range) [1] CMO's - trading $ 88 Discounted cash flow model Weighted average life 0.3 years ( 0.1 - 0.5 years) Yield 4.9 % ( 4.9 % - 5.4 %) Prepayment speed 9.2 % ( 8.3 % - 27.8 %) Other - trading $ 199 Discounted cash flow model Weighted average life 2.5 years Yield 12.0% Prepayment speed 10.8% Loans held-in-portfolio $ 1,560 [2] 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.

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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 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (bbb) -SubTopic 10 -Topic 820 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + 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 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c) -SubTopic 10 -Topic 820 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-3 + 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 -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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