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DEBT SECURITIES (Tables) | 12 Months Ended
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Dec. 31, 2022
Other Than Temporary Impairment Credit Losses Recognized In Earnings [Line Items] |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Table Text Block] | Year Ended December 31, 2022 Private label MBS Puerto Rico Government Obligations Total (In thousands) Beginning balance $ 797 $ 308 $ 1,105 Provision for credit losses - (benefit) expense (501) 67 (434) Net charge-offs (213) - (213) ACL on available-for-sale debt securities $ 83 $ 375 $ 458 Year Ended December 31, 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 (69) - (69) ACL on available-for-sale debt securities $ 797 $ 308 $ 1,105 Year Ended December 31, 2020 Private label MBS Puerto Rico Government Obligations Total (In thousands) Beginning balance $ - $ - $ - Provision for credit losses - expense 1,333 308 1,641 Net charge-offs (331) - (331) ACL on available-for-sale debt securities $ 1,002 $ 308 $ 1,310
Debt Securities, Held-to-maturity, Allowance for Credit Loss [Table Text Block] | Puerto Rico Municipal Bonds Year Ended December 31, 2022 December 31, 2021 December 31, 2020 (In thousands) Beginning Balance $ 8,571 $ 8,845 $ - Impact of adopting ASC 326 - - 8,134 Initial allowance on PCD debt securities - - 1,269 Provision for credit losses - (benefit) (285) (274) (558) ACL on held-to-maturity debt securities $ 8,286 $ 8,571 $ 8,845
Significant Assumptions in Valuation of Private Label MBS [Table Text Block] | The tables below present quantitative information for significant assets measured at fair value on a recurring basis using significant unobservable inputs (Level 3) as of December 31, 2022 and 2021: December 31, 2022 Fair Value Valuation Technique Unobservable Input Range Weighted Average Minimum Maximum (Dollars in thousands) Available-for-sale debt securities: Private label MBS $ 5,794 Discounted cash flows Discount rate 16.2% 16.2% 16.2% Prepayment rate 1.5% 15.2% 11.8% Projected cumulative loss rate 0.3% 15.6% 5.6% Puerto Rico government obligations $ 2,201 Discounted cash flows Discount rate 12.9% 12.9% 12.9% Projected cumulative loss rate 19.3% 19.3% 19.3% December 31, 2021 Fair Value Valuation Technique Unobservable Input Range Weighted Average Minimum Maximum (Dollars in thousands) Available-for-sale debt securities: Private label MBS $ 7,234 Discounted cash flows Discount rate 12.9% 12.9% 12.9% Prepayment rate 7.6% 24.9% 15.2% Projected cumulative loss rate 0.2% 15.7% 7.6% Puerto Rico government obligations $ 2,850 Discounted cash flows Discount rate 6.6% 8.4% 7.9% Projected cumulative loss rate 8.6% 8.6% 8.6%
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 December 31, 2022 and 2021 were as follows December 31, 2022 Amortized cost (1) Gross Unrecognized Fair value Weighted- Gains Losses ACL average yield% (Dollars in thousands) Puerto Rico municipal bonds: Due within one year $ 1,202 $ - $ 15 $ 1,187 $ 2 5.20 After 1 to 5 years 42,530 886 1,076 42,340 656 6.34 After 5 to 10 years 55,956 3,182 360 58,778 3,243 6.29 After 10 years 66,022 - 1,318 64,704 4,385 7.10 Total Puerto Rico municipal bonds 165,710 4,068 2,769 167,009 8,286 6.62 MBS: FHLMC certificates: After 5 to 10 years $ 21,443 $ - $ 746 $ 20,697 $ - 3.03 After 10 years 19,362 - 888 18,474 - 4.21 40,805 - 1,634 39,171 - 3.59 GNMA certificates: ` After 10 years 19,131 - 943 18,188 - 3.35 FNMA certificates: After 1 to 5 years 9,621 - 396 9,225 - 3.48 After 10 years 72,347 - 3,155 69,192 - 4.14 81,968 - - 3,551 78,417 - 4.06 CMOs After 10 years 129,923 - 5,593 124,330 - 3.24 Total MBS 271,827 - 11,721 260,106 - 3.55 Total held-to-maturity debt securities $ 437,537 $ 4,068 $ 14,490 $ 427,115 $ 8,286 4.71 (1) Excludes accrued interest receivable on held-to-maturity debt securities that totaled $ 5.5 million as of December 31, 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 Weighted- Gains Losses ACL average yield% (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] | During 2022, the Corporation purchased approximately $ 289.9 million of GSEs’ MBS, which were classified as held-to-maturity debt securities. The following tables show the Corporation’s held-to-maturity debt securities ’ fair value and gross unrecognized losses, aggregated by category and length of time that individual securities had been in a continuous unrecognized loss position, as of December 31, 2022 and 2021, including debt securities for which an ACL was recorded: As of December 31, 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 $ - $ - $ 98,797 $ 2,769 $ 98,797 $ 2,769 MBS: FHLMC certificates 39,171 1,634 - - 39,171 1,634 GNMA certificates 18,188 943 - - 18,188 943 FNMA certificates 78,417 3,551 - - 78,417 3,551 CMOs 124,330 5,593 - - 124,330 5,593 Total held-to-maturity debt securities $ 260,106 $ 11,721 $ 98,797 $ 2,769 $ 358,903 $ 14,490 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 OCL, ACL, estimated fair value, and weighted-average yield of available-for-sale debt securities by contractual maturities as of December 31, 2022 were as follows: December 31, 2022 Amortized cost (1) Gross ACL Fair value Unrealized Weighted- Gains Losses average yield% (Dollars in thousands) U.S. Treasury securities: Due within one year $ 7,493 $ - $ 309 $ - $ 7,184 0.22 After 1 to 5 years 141,366 - 9,675 - 131,691 0.70 U.S. GSEs' obligations: Due within one year 129,018 - 4,036 - 124,982 0.32 After 1 to 5 years 2,395,273 22 227,724 - 2,167,571 0.83 After 5 to 10 years 56,251 13 7,670 - 48,594 1.54 After 10 years 12,170 36 - - 12,206 4.62 Puerto Rico government obligations: After 10 years (2) 3,331 - 755 375 2,201 - United States and Puerto Rico government obligations 2,744,902 71 250,169 375 2,494,429 0.83 MBS: FHLMC certificates: After 1 to 5 years 4,235 - 169 - 4,066 2.33 After 5 to 10 years 204,085 - 19,061 - 185,024 1.55 After 10 years 1,092,289 - 186,558 - 905,731 1.38 1,300,609 - 205,788 - 1,094,821 1.41 GNMA certificates: Due within one year 5 - - - 5 1.73 After 1 to 5 years 15,508 - 622 - 14,886 2.00 After 5 to 10 years 45,322 1 3,809 - 41,514 1.31 After 10 years 232,632 51 27,169 - 205,514 2.47 293,467 52 31,600 - 261,919 2.27 FNMA certificates: After 1 to 5 years 9,685 - 521 - 9,164 1.76 After 5 to 10 years 400,223 - 36,871 - 363,352 1.70 After 10 years 1,186,635 124 186,757 - 1,000,002 1.38 1,596,543 124 224,149 - 1,372,518 1.46 Collateralized mortgage obligations issued or guaranteed by the FHLMC, FNMA and GNMA ("CMOs"): After 1 to 5 years 30,578 - 4,463 - 26,115 2.43 After 10 years 423,695 - 80,271 - 343,424 1.38 454,273 - 84,734 - 369,539 1.45 Private label: After 10 years 7,903 - 2,026 83 5,794 6.83 Total MBS 3,652,795 176 548,297 83 3,104,591 1.52 Other Due within one year 500 - - - 500 0.84 Total available-for-sale debt securities $ 6,398,197 $ 247 $ 798,466 $ 458 $ 5,599,520 1.22 (1) Excludes accrued interest receivable on available-for-sale debt securities that totaled $ 11.1 million as of December 31, 2022 reported as part of accrued interest receivable on loans and investment securities in the consolidated statements of financial condition, and 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 the delinquency status of the underlying second mortgage loans collateral. December 31, 2021 Amortized cost (1) Gross ACL Fair value Unrealized 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. GSEs' 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 reported as part of accrued interest receivable on loans and investment securities in the consolidated statements of financial condition, and 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 the 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 December 31, 2022 and 2021. The tables also include debt securities for which an ACL was recorded. As of December 31, 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. GSEs' obligations $ 298,313 $ 18,057 $ 2,174,724 $ 231,357 $ 2,473,037 $ 249,414 Puerto Rico government obligations - - 2,201 755 (1) 2,201 755 MBS: FHLMC 263,184 45,776 831,637 160,012 1,094,821 205,788 GNMA 74,829 3,433 179,854 28,167 254,683 31,600 FNMA 424,178 51,289 938,625 172,860 1,362,803 224,149 CMOs 54,688 6,788 314,851 77,946 369,539 84,734 Private label - - 5,794 2,026 (1) 5,794 2,026 $ 1,115,192 $ 125,343 $ 4,447,686 $ 673,123 $ 5,562,878 $ 798,466 (1) Unrealized losses do not include the credit loss component recorded as part of the ACL. As of December 31, 2022, PRHFA bond and private label MBS had an ACL of $ 0.4 million and $ 0.1 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. GSEs' 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] | As of As of December 31, 2022 December 31, 2021 Weighted Range Weighted Range Average Minimum Maximum Average Minimum Maximum Discount rate 16.2% 16.2% 16.2% 12.9% 12.9% 12.9% Prepayment rate 11.8% 1.5% 15.2% 15.2% 7.6% 24.9% Projected Cumulative Loss Rate 5.6% 0.3% 15.6% 7.6% 0.2% 15.7%

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