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Fair value measurement (Tables) | 6 Months Ended
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Jun. 30, 2024
Fair Value Disclosures |
Assets and Liabilities Measured at Fair Value on a Recurring Basis | At June 30, 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 $ 7,751,165 $ 5,256,221 $ - $ - $ 13,007,386 Collateralized mortgage obligations - federal agencies - 131,853 - - 131,853 Mortgage-backed securities - 5,400,959 581 - 5,401,540 Other - - 2,000 - 2,000 Total debt securities available-for-sale $ 7,751,165 $ 10,789,033 $ 2,581 $ - $ 18,542,779 Trading account debt securities, excluding derivatives: U.S. Treasury securities $ 7,064 $ - $ - $ - $ 7,064 Obligations of Puerto Rico, States and political subdivisions - 59 - - 59 Collateralized mortgage obligations - 87 - - 87 Mortgage-backed securities - 20,560 84 - 20,644 Other - - 158 - 158 Total trading account debt securities, excluding derivatives $ 7,064 $ 20,706 $ 242 $ - $ 28,012 Equity securities $ - $ 43,081 $ - $ 388 $ 43,469 Mortgage servicing rights - - 113,386 - 113,386 Loans held-for-sale - 5,197 - - 5,197 Derivatives - 25,228 - - 25,228 Total assets measured at fair value on a recurring basis $ 7,758,229 $ 10,883,245 $ 116,209 $ 388 $ 18,758,071 Liabilities Derivatives $ - $ (23,198) $ - $ - $ (23,198) Total liabilities measured at fair value on a recurring basis $ - $ (23,198) $ - $ - $ (23,198) 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 June 30, 2024 and December 31, 2023. (In thousands) June 30, 2024 Aggregate Unpaid Fair Value Principal Balance Difference Loans held for sale $ 5,197 $ 5,139 $ 58 (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 | Six months ended June 30, 2024 (In thousands) Level 1 Level 2 Level 3 Total NONRECURRING FAIR VALUE MEASUREMENTS Assets Write-downs Loans [1] $ - $ - $ 2,039 $ 2,039 $ (329) Loans held-for-sale [2] - 3,028 - 3,028 (38) Other real estate owned [3] - - 4,426 4,426 (1,602) Other foreclosed assets [3] - - 211 211 (46) Total assets measured at fair value on a nonrecurring basis $ - $ 3,028 $ 6,676 $ 9,704 $ (2,015) [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. Six months ended June 30, 2023 (In thousands) Level 1 Level 2 Level 3 Total NONRECURRING FAIR VALUE MEASUREMENTS Assets Write-downs Loans [1] $ - $ - $ 18,923 $ 18,923 $ (7,092) Other real estate owned [2] - - 2,815 2,815 (656) Other foreclosed assets [2] - - 41 41 (9) Total assets measured at fair value on a nonrecurring basis $ - $ - $ 21,779 $ 21,779 $ (7,757) [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 June 30, 2024 MBS Other MBS 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 (In thousands) for-sale for-sale securities securities rights assets Balance at March 31, 2024 $ 607 $ 2,000 $ 84 $ 166 $ 114,964 $ 117,821 Gains (losses) included in earnings - - - (8) (1,945) (1,953) Gains (losses) included in OCI (1) - - - - (1) Additions - - - - 367 367 Settlements (25) - - - - (25) Balance at June 30, 2024 $ 581 $ 2,000 $ 84 $ 158 $ 113,386 $ 116,209 Changes in unrealized gains (losses) included in earnings relating to assets still held at June 30, 2024 $ - $ - $ - $ 10 $ 500 $ 510 Six months ended June 30, 2024 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, 2024 $ 606 $ 2,500 $ 5 $ 112 $ 167 $ 118,109 $ 121,499 Gains (losses) included in earnings - (500) - - (9) (5,384) (5,893) Additions - - - - - 661 661 Settlements (25) - (5) (28) - - (58) Balance at June 30, 2024 $ 581 $ 2,000 $ - $ 84 $ 158 $ 113,386 $ 116,209 Changes in unrealized gains (losses) included in earnings relating to assets still held at June 30, 2024 $ - $ (500) $ - $ - $ 12 $ (702) $ (1,190) Quarter ended June 30, 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 March 31, 2023 $ 655 $ 1,000 $ 88 $ 188 $ 199 $ 127,475 $ 129,605 Gains (losses) included in earnings - - - - (8) (6,217) (6,225) Additions - - 4 - - 739 743 Sales - - - - - (1,269) (1,269) Settlements - - (36) (25) - 521 460 Balance at June 30, 2023 $ 655 $ 1,000 $ 56 $ 163 $ 191 $ 121,249 $ 123,314 Changes in unrealized gains (losses) included in earnings relating to assets still held at June 30, 2023 $ - $ - $ - $ - $ 9 $ (2,732) $ (2,723) Six months ended June 30, 2023 MBS Other Other classified securities CMOs securities as debt classified as classified MBS classified securities debt securities as trading classified as as trading Mortgage available- available- account debt trading account 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) (16) (7,593) (7,611) Gains (losses) included in OCI (6) - - - - - (6) Additions - - 4 - - 1,240 1,244 Sales - - - - - (1,269) (1,269) Settlements (50) - (61) (50) - 521 360 Balance at June 30, 2023 $ 655 $ 1,000 $ 56 $ 163 $ 191 $ 121,249 $ 123,314 Changes in unrealized gains (losses) included in earnings relating to assets still held at June 30, 2023 $ - $ - $ - $ (1) $ 18 $ (1,447) $ (1,430)
Gain (loss) included in earnings, measured on recurring basis | Quarter ended June 30, 2024 Six months ended June 30, 2024 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 $ (1,945) $ 500 $ (5,384) $ (702) Trading account profit (loss) (8) 10 (9) 12 Provision for credit losses - - (500) (500) Total $ (1,953) $ 510 $ (5,893) $ (1,190) Quarter ended June 30, 2023 Six months ended June 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 $ (6,217) $ (2,732) $ (7,593) $ (1,447) Trading account profit (loss) (8) 9 (18) 17 Total $ (6,225) $ (2,723) $ (7,611) $ (1,430)
Fair value measurements, recurring and nonrecurring valuation techniques | Fair value at June 30, (In thousands) 2024 Valuation technique Unobservable inputs Weighted average (range) [1] Other - trading $ 158 Discounted cash flow model Weighted average life 2.3 years Yield 12.0% Prepayment speed 10.8% Loans held-in-portfolio $ 2,039 [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 June 30, (In thousands) 2023 Valuation technique Unobservable inputs Weighted average (range) [1] CMO's - trading $ 56 Discounted cash flow model Weighted average life 0.2 years ( 0.2 - 0.4 years) Yield 4.9 % ( 4.9 % - 5.4 %) Prepayment speed 7.9 % ( 7.7 % - 25 %) Other - trading $ 191 Discounted cash flow model Weighted average life 2.5 years Yield 12.0% Prepayment speed 10.8% Loans held-in-portfolio $ 18,854 [2] External appraisal Haircut applied on external appraisals 12 .0% ( 5 .0% - 20 .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 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 -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 + 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 -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c)(1) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + 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 -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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