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DEBT SECURITIES (Tables) | 9 Months Ended
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Sep. 30, 2022
Other Than Temporary Impairment Credit Losses Recognized In Earnings [Line Items] |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Table Text Block] | The following tables present a roll-forward by major security type for the quarters and nine -month periods ended September 30, 2022 and 2021 of the ACL on available-for-sale debt securities: Quarter Ended September 30, 2022 Private label MBS Puerto Rico Government Obligations Total (In thousands) Beginning Balance $ 290 $ 386 $ 676 Provision for credit losses - (benefit) - (12) (12) ACL on available-for-sale debt securities $ 290 $ 374 $ 664 Quarter Ended September 30, 2021 Private label MBS Puerto Rico Government Obligations Total (In thousands) Beginning Balance $ 858 $ 308 $ 1,166 Provision for credit losses - (benefit) (9) - (9) ACL on available-for-sale debt securities $ 849 $ 308 $ 1,157 Nine-Month Period Ended September 30, 2022 Private label MBS Puerto Rico Government Obligations Total (In thousands) Beginning Balance $ 797 $ 308 $ 1,105 Provision for credit losses - (benefit) expense (501) 66 (435) Net charge-offs (6) - (6) ACL on available-for-sale debt securities $ 290 $ 374 $ 664 Nine-Month Period Ended September 30, 2021 Private label MBS Puerto Rico Government Obligations Total (In thousands) Beginning Balance $ 1,002 $ 308 $ 1,310 Provision for credit losses - (benefit) (136) - (136) Net charge-offs (17) - (17) ACL on available-for-sale debt securities $ 849 $ 308 $ 1,157
Debt Securities, Held-to-maturity, Allowance for Credit Loss [Table Text Block] | The following tables present the activity in the ACL for held-to-maturity debt securities by major security type for the quarters and nine-month periods ended September 30, 2022 and 2021: Puerto Rico Municipal Bonds Quarter Ended September 30, 2022 Quarter Ended September 30, 2021 (In thousands) Beginning Balance $ 8,885 $ 10,685 Provision for credit losses - (benefit) (628) (2,368) ACL on held-to-maturity debt securities $ 8,257 $ 8,317 Puerto Rico Municipal Bonds Nine-Month Period Ended Nine-Month Period Ended September 30, 2022 September 30, 2021 (In thousands) Beginning Balance $ 8,571 $ 8,845 Provision for credit losses - (benefit) (314) (528) ACL on held-to-maturity debt securities $ 8,257 $ 8,317
Held-to-maturity Securities [Member] |
Other Than Temporary Impairment Credit Losses Recognized In Earnings [Line Items] |
Investments Classified by Contractual Maturity Date [Table Text Block] | The amortized cost, gross unrecognized gains and losses, estimated fair value, ACL, weighted-average yield and contractual maturities of held-to-maturity debt securities as of September 30, 2022 and December 31, 2021 were as follows: September 30, 2022 Amortized cost (1) Gross Unrecognized Fair value ACL Weighted- average yield% Gains Losses (Dollars in thousands) Puerto Rico municipal bonds: Due within one year $ 1,200 $ - $ 24 $ 1,176 $ 4 4.49 After 1 to 5 years 42,426 694 2,457 40,663 704 5.51 After 5 to 10 years 55,737 2,451 1,599 56,589 3,295 4.82 After 10 years 66,023 - 3,473 62,550 4,254 5.63 Total Puerto Rico municipal bonds 165,386 3,145 7,553 160,978 8,257 5.32 MBS: FHLMC certificates: After 5 to 10 years $ 22,850 $ - $ 1,071 $ 21,779 $ - 3.03 After 10 years 19,662 - 1,060 18,602 - 4.14 42,512 - 2,131 40,381 - 3.55 GNMA certificates: After 10 years 19,978 - 1,157 18,821 - 3.31 FNMA certificates: After 1 to 5 years 9,664 - 390 9,274 - 3.48 After 10 years 73,764 - 3,883 69,881 - 4.12 83,428 - 4,273 79,155 - 4.04 CMOs After 10 years 134,558 - 4,363 130,195 - 3.25 Total MBS 280,476 - 11,924 268,552 - 3.53 Total held-to-maturity debt securities $ 445,862 $ 3,145 $ 19,477 $ 429,530 $ 8,257 4.20 (1) Excludes accrued interest receivable on held-to-maturity debt securities that totaled $ 2.8 million as of September 30, 2022, was reported as part of accrued interest receivable on loans and investment securities in the consolidated statements of financial condition and is excluded from the estimate of credit losses. December 31, 2021 Amortized cost (1) Gross Unrecognized Fair value ACL Weighted- average yield% Gains Losses (Dollars in thousands) Puerto Rico municipal bonds: Due within one year $ 2,995 $ 5 $ - $ 3,000 $ 70 5.39 After 1 to 5 years 14,785 526 156 15,155 347 2.35 After 5 to 10 years 90,584 1,555 3,139 89,000 3,258 4.25 After 10 years 69,769 - 9,777 59,992 4,896 4.06 Total held-to-maturity debt securities $ 178,133 $ 2,086 $ 13,072 $ 167,147 $ 8,571 4.04 (1) Excludes accrued interest receivable on held-to-maturity debt securities that totaled $ 3.4 million as of December 31, 2021, was reported as part of accrued interest receivable on loans and investment securities in the consolidated statements of financial condition and is excluded from the estimate of credit losses.
Schedule of Unrealized Loss on Investments [Table Text Block] | The following tables show the Corporation’s held-to-maturity debt securities ’ fair value and gross unre cognized losses, aggregated by category and length of time that individual securities had been in a continuous unrecognized loss position, as of September 30, 2022 and December 31, 2021, including debt securities for which an ACL was recorded: As of September 30, 2022 Less than 12 months 12 months or more Total Unrecognized Unrecognized Unrecognized Fair Value Losses Fair Value Losses Fair Value Losses (In thousands) Debt securities: Puerto Rico municipal bonds $ - $ - $ 121,440 $ 7,553 $ 121,440 $ 7,553 MBS: FHLMC certificates 40,381 2,131 - - 40,381 2,131 GNMA certificates 18,821 1,157 - - 18,821 1,157 FNMA certificates 79,155 4,273 - - 79,155 4,273 CMOs 130,195 4,363 - - 130,195 4,363 Total held-to-maturity debt securities $ 268,552 $ 11,924 $ 121,440 $ 7,553 $ 389,992 $ 19,477 As of December 31, 2021 Less than 12 months 12 months or more Total Unrecognized Unrecognized Unrecognized Fair Value Losses Fair Value Losses Fair Value Losses (In thousands) Debt securities: Puerto Rico municipal bonds $ - $ - $ 140,732 $ 13,072 $ 140,732 $ 13,072
Available-for-sale Securities [Member] |
Other Than Temporary Impairment Credit Losses Recognized In Earnings [Line Items] |
Investments Classified by Contractual Maturity Date [Table Text Block] | The amortized cost, gross unrealized gains and losses recorded in other comprehensive loss, ACL, estimated fair value, and weighted-average yield of available-for-sale debt securities by contractual maturities as of September 30, 2022 were as follows: September 30, 2022 Amortized cost (1) Gross Unrealized ACL Fair value Weighted- Gains Losses average yield% (Dollars in thousands) U.S. Treasury securities: After 1 to 5 years $ 149,061 $ - $ 10,803 $ - $ 138,258 0.67 U.S. government-sponsored agencies' obligations: Due within one year 73,817 - 2,629 - 71,188 0.28 After 1 to 5 years 2,306,065 22 224,427 - 2,081,660 0.81 After 5 to 10 years 200,606 21 30,433 - 170,194 1.01 After 10 years 12,919 58 - - 12,977 3.46 Puerto Rico government obligations: After 10 years (2) 3,365 - 798 374 2,193 - United States and Puerto Rico government obligations 2,745,833 101 269,090 374 2,476,470 0.82 Mortgage-backed securities ("MBS"): Freddie Mac (“FHLMC”) certificates: After 1 to 5 years 4,655 - 184 - 4,471 2.34 After 5 to 10 years 200,216 - 19,255 - 180,961 1.48 After 10 years 1,133,339 - 203,768 - 929,571 1.37 1,338,210 - 223,207 - 1,115,003 1.39 Ginnie Mae (“GNMA”) certificates: Due within one year 6 - - - 6 1.84 After 1 to 5 years 17,672 1 731 - 16,942 2.02 After 5 to 10 years 43,643 - 4,100 - 39,543 1.21 After 10 years 245,557 25 30,668 - 214,914 2.28 306,878 26 35,499 - 271,405 2.11 Fannie Mae (“FNMA”) certificates: Due within one year 14,565 110 - - 14,675 3.01 After 1 to 5 years 10,514 - 531 - 9,983 1.76 After 5 to 10 years 406,597 - 40,958 - 365,639 1.64 After 10 years 1,230,573 161 204,452 - 1,026,282 1.37 1,662,249 271 245,941 - 1,416,579 1.45 Collateralized mortgage obligations issued or guaranteed by the FHLMC, FNMA and GNMA ("CMOs"): ` After 1 to 5 years 32,101 - 4,225 - 27,876 2.09 After 10 years 433,302 - 78,616 - 354,686 1.36 465,403 - 82,841 - 382,562 1.41 Private label: After 10 years 8,611 - 2,151 290 6,170 5.93 Total MBS 3,781,351 297 589,639 290 3,191,719 1.49 Other Due within one year 500 - - - 500 0.84 Total available-for-sale debt securities $ 6,527,684 $ 398 $ 858,729 $ 664 $ 5,668,689 1.21 (1) Excludes accrued interest receivable on available-for-sale debt securities that totaled $ 10.9 million as of September 30, 2022, was reported as part of accrued interest receivable on loans and investment securities in the consolidated statements of financial condition and is excluded from the estimate of credit losses. (2) Consists of a residential pass-through MBS issued by the Puerto Rico Housing Finance Authority (“PRHFA”) that is collateralized by certain second mortgages originated under a program launched by the Puerto Rico government in 2010. During 2021, the Corporation placed this instrument in nonaccrual status based on the delinquency status of the underlying second mortgage loans collateral. The amortized cost, gross unrealized gains and losses recorded in other comprehensive loss, ACL, estimated fair value, and weighted-average yield of available-for-sale debt securities by contractual maturities as of December 31, 2021 were as follows: December 31, 2021 Amortized cost (1) Gross Unrealized ACL Fair value Weighted- Gains Losses average yield% (Dollars in thousands) U.S. Treasury securities: After 1 to 5 years $ 149,660 $ 59 $ 1,233 $ - $ 148,486 0.68 U.S. government-sponsored agencies' obligations: After 1 to 5 years 1,877,181 240 29,555 - 1,847,866 0.60 After 5 to 10 years 403,785 175 10,856 - 393,104 0.90 After 10 years 15,788 224 - - 16,012 0.63 Puerto Rico government obligations: After 10 years (2) 3,574 - 416 308 2,850 - United States and Puerto Rico government obligations 2,449,988 698 42,060 308 2,408,318 0.67 MBS: FHLMC certificates: After 1 to 5 years 2,811 119 - - 2,930 2.65 After 5 to 10 years 193,234 2,419 1,122 - 194,531 1.29 After 10 years 1,240,964 3,748 23,503 - 1,221,209 1.18 1,437,009 6,286 24,625 - 1,418,670 1.20 GNMA certificates: Due within one year 2 - - - 2 1.32 After 1 to 5 years 16,714 572 - - 17,286 2.90 After 5 to 10 years 27,271 80 139 - 27,212 0.51 After 10 years 338,927 7,091 2,174 - 343,844 1.45 382,914 7,743 2,313 - 388,344 1.45 FNMA certificates: Due within one year 4,975 21 - - 4,996 2.03 After 1 to 5 years 21,337 424 - - 21,761 2.87 After 5 to 10 years 298,771 4,387 1,917 - 301,241 1.41 After 10 years 1,389,381 8,953 21,747 - 1,376,587 1.21 1,714,464 13,785 23,664 - 1,704,585 1.27 CMOs After 1 to 5 years 24,007 1 778 - 23,230 1.31 After 5 to 10 years 14,316 97 - - 14,413 0.76 After 10 years 500,811 290 13,134 - 487,967 1.23 539,134 388 13,912 - 525,610 1.22 Private label: After 10 years 9,994 - 1,963 797 7,234 2.21 Total MBS 4,083,515 28,202 66,477 797 4,044,443 1.26 Other Due within one year 500 - - - 500 0.72 After 1 to 5 years 500 - - - 500 0.84 1,000 - - - 1,000 0.78 Total available-for-sale debt securities $ 6,534,503 $ 28,900 $ 108,537 $ 1,105 $ 6,453,761 1.03 (1) Excludes accrued interest receivable on available-for-sale debt securities that totaled $ 10.1 million as of December 31, 2021, was reported as part of accrued interest receivable on loans and investment securities in the consolidated statements of financial condition and is excluded from the estimate of credit losses. (2) Consists of a residential pass-through MBS issued by the PRHFA that is collateralized by certain second mortgages originated under a program launched by the Puerto Rico government in 2010. During 2021, the Corporation placed this instrument in nonaccrual status based on this delinquency status of the underlying second mortgage loans collateral.
Schedule of Unrealized Loss on Investments [Table Text Block] | The following tables show the fair value and gross unrealized losses of the Corporation’s available-for-sale debt securities, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position, as of September 30, 2022 and December 31, 2021. The tables also include debt securities for which an ACL was recorded. As of September 30, 2022 Less than 12 months 12 months or more Total Unrealized Unrealized Unrealized Fair Value Losses Fair Value Losses Fair Value Losses (In thousands) Debt securities: U.S. Treasury and U.S. government agenciesʼ obligations $ 379,287 $ 25,696 $ 2,072,728 $ 242,596 $ 2,452,015 $ 268,292 Puerto Rico-government obligations - - 2,193 798 (1) 2,193 798 MBS: FHLMC 342,188 61,298 772,815 161,909 1,115,003 223,207 GNMA 177,448 15,418 91,617 20,081 269,065 35,499 FNMA 484,050 65,795 907,828 180,146 1,391,878 245,941 CMOs 71,518 9,260 311,044 73,581 382,562 82,841 Private label - - 6,170 2,151 (1) 6,170 2,151 $ 1,454,491 $ 177,467 $ 4,164,395 $ 681,262 $ 5,618,886 $ 858,729 (1) Unrealized losses do not include the credit loss component recorded as part of the ACL. As of September 30, 2022, PRHFA bond and private label MBS had an ACL of $ 0.4 million and $ 0.3 million, respectively. As of December 31, 2021 Less than 12 months 12 months or more Total Unrealized Unrealized Unrealized Fair Value Losses Fair Value Losses Fair Value Losses (In thousands) Debt securities: U.S. Treasury and U.S. government agenciesʼ obligations $ 1,717,340 $ 25,401 $ 606,179 $ 16,243 $ 2,323,519 $ 41,644 Puerto Rico-government obligations - - 2,850 416 (1) 2,850 416 MBS: FHLMC 986,345 16,144 221,896 8,481 1,208,241 24,625 GNMA 194,271 1,329 41,233 984 235,504 2,313 FNMA 1,237,701 19,843 112,559 3,821 1,350,260 23,664 CMOs 466,004 13,552 16,656 360 482,660 13,912 Private label - - 7,234 1,963 (1) 7,234 1,963 $ 4,601,661 $ 76,269 $ 1,008,607 $ 32,268 $ 5,610,268 $ 108,537 (1) Unrealized losses do not include the credit loss component recorded as part of the ACL. As of December 31, 2021, PRHFA bond and private label MBS had an ACL of $ 0.3 million and $ 0.8 million, respectively.
Significant Assumptions in Valuation of Private Label MBS [Table Text Block] | The Corporation determined the ACL for private label MBS based on a risk- adjusted discounted cash flow methodology that considers the structure and terms of the instruments. The Corporation utilized probability of default (“PDs”) and loss given default (“LGDs”) that considered, among other things, historical payment performance, loan-to-value attributes and relevant current and forward-looking macroeconomic variables, such as regional unemployment rates and the housing price index. Under this approac h, expected cash flows (interest and principal) were discounted at the Treasury yield curve as of the reporting date. Significant assumptions in the valuation of the private label MBS were as follows: As of As of September 30, 2022 December 31, 2021 Weighted Range Weighted Range Average Minimum Maximum Average Minimum Maximum Discount rate 16.4% 16.4% 16.4% 12.9% 12.9% 12.9% Prepayment rate 12.6% 1.9% 17.4% 15.2% 7.6% 24.9% Projected Cumulative Loss Rate 6.9% 0.2% 17.3% 7.6% 0.2% 15.7%

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