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Fair value measurement (Tables) | 9 Months Ended
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Sep. 30, 2024
Fair Value Disclosures |
Assets and Liabilities Measured at Fair Value on a Recurring Basis | The following fair value hierarchy tables present information about the Corporation’s assets and liabilities measured at fair value on a recurring basis at September 30, 2024 and December 31, 2023: At September 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 $ 5,879,911 $ 5,644,519 $ - $ - $ 11,524,430 Collateralized mortgage obligations - federal agencies - 128,553 - - 128,553 Mortgage-backed securities - 5,530,582 558 - 5,531,140 Other - - 2,000 - 2,000 Total debt securities available-for-sale $ 5,879,911 $ 11,303,654 $ 2,558 $ - $ 17,186,123 Trading account debt securities, excluding derivatives: U.S. Treasury securities $ 7,675 $ 10 $ - $ - $ 7,685 Obligations of Puerto Rico, States and political subdivisions - 58 - - 58 Collateralized mortgage obligations - 132 - - 132 Mortgage-backed securities - 22,723 84 - 22,807 Other - - 154 - 154 Total trading account debt securities, excluding derivatives $ 7,675 $ 22,923 $ 238 $ - $ 30,836 Equity securities $ - $ 46,248 $ - $ 385 $ 46,633 Mortgage servicing rights - - 108,827 - 108,827 Loans held-for-sale - 5,509 - - 5,509 Derivatives - 25,941 - - 25,941 Total assets measured at fair value on a recurring basis $ 5,887,586 $ 11,404,275 $ 111,623 $ 385 $ 17,403,869 Liabilities Derivatives $ - $ (23,608) $ - $ - $ (23,608) Total liabilities measured at fair value on a recurring basis $ - $ (23,608) $ - $ - $ (23,608) 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 September 30, 2024 and December 31, 2023. (In thousands) September 30, 2024 Aggregate Unpaid Fair Value Principal Balance Difference Loans held for sale $ 5,509 $ 5,507 $ 2 (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 | The fair value information included in the following tables is not as of period end, but as of the date that the fair value measurement was recorded during the quarters and nine months ended September 30, 2024 and 2023 and excludes nonrecurring fair value measurements of assets no longer outstanding as of the reporting date. Nine months ended September 30, 2024 (In thousands) Level 1 Level 2 Level 3 Total NONRECURRING FAIR VALUE MEASUREMENTS Assets Write-downs Loans [1] $ - $ - $ 4,166 $ 4,166 $ (654) Other real estate owned [2] - - 5,749 5,749 (1,889) Other foreclosed assets [2] - - 174 174 (38) Total assets measured at fair value on a nonrecurring basis $ - $ - $ 10,089 $ 10,089 $ (2,581) [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, 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.
Assets measured on recurring basis, unobservable input reconciliation | The following tables present the changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the quarters and nine months ended September 30, 2024 and 2023. Quarter ended September 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 June 30, 2024 $ 581 $ 2,000 $ 84 $ 158 $ 113,386 $ 116,209 Gains (losses) included in earnings - - - (4) (4,896) (4,900) Gains (losses) included in OCI 2 - - - - 2 Additions - - - - 337 337 Settlements (25) - - - - (25) Balance at September 30, 2024 $ 558 $ 2,000 $ 84 $ 154 $ 108,827 $ 111,623 Changes in unrealized gains (losses) included in earnings relating to assets still held at September 30, 2024 $ - $ - $ - $ 6 $ (2,577) $ (2,571) Nine months ended September 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) - - (13) (10,280) (10,793) Gains (losses) included in OCI 2 - - - - - 2 Additions - - - - - 998 998 Settlements (50) - (5) (28) - - (83) Balance at September 30, 2024 $ 558 $ 2,000 $ - $ 84 $ 154 $ 108,827 $ 111,623 Changes in unrealized gains (losses) included in earnings relating to assets still held at September 30, 2024 $ - $ - $ - $ - $ 18 $ (3,279) $ (3,261) Quarter ended September 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 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 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) (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)
Gain (loss) included in earnings, measured on recurring basis | Gains and losses (realized and unrealized) included in earnings for the quarters and nine months ended September 30, 2024 and 2023 for Level 3 assets and liabilities included in the previous tables are reported in the consolidated statement of operations as follows: Quarter ended September 30, 2024 Nine months ended September 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 $ (4,896) $ (2,577) $ (10,280) $ (3,279) Trading account profit (loss) (4) 6 (13) 18 Provision for credit losses - - (500) - Total $ (4,900) $ (2,571) $ (10,793) $ (3,261) 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)
Fair value measurements, recurring and nonrecurring valuation techniques | The following tables include quantitative information about significant unobservable inputs used to derive the fair value of Level 3 instruments, excluding those instruments for which the unobservable inputs were not developed by the Corporation such as prices of prior transactions and/or unadjusted third-party pricing sources at September 30, 2024 and 2023. Fair value at September 30, (In thousands) 2024 Valuation technique Unobservable inputs Weighted average (range) [1] Other - trading $ 154 Discounted cash flow model Weighted average life 2.3 years Yield 12 .0% Prepayment speed 10.8 % Loans held-in-portfolio $ 4,166 [2] External appraisal Haircut applied on external appraisals 7.5 % ( 5.0 % - 10.0 %) Other real estate owned $ 16 [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) 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.

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