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DEBT SECURITIES (Tables) | 3 Months Ended
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Mar. 31, 2023
Other Than Temporary Impairment Credit Losses Recognized In Earnings [Line Items] |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Table Text Block] | Quarter Ended March 31, 2023 Private label MBS Puerto Rico Government Obligations Total (In thousands) Beginning balance $ 83 $ 375 $ 458 Provision for credit losses - benefit - (9) (9) ACL on available-for-sale debt securities $ 83 $ 366 $ 449 Quarter Ended March 31, 2022 Private label MBS Puerto Rico Government Obligations Total (In thousands) Beginning balance $ 797 $ 308 $ 1,105 Provision for credit losses - benefit (388) - (388) Net charge-offs (6) - (6) ACL on available-for-sale debt securities $ 403 $ 308 $ 711
Debt Securities, Held-to-maturity, Allowance for Credit Loss [Table Text Block] | Puerto Rico Municipal Bonds Quarter Ended March 31, 2023 March 31, 2022 (In thousands) Beginning Balance $ 8,286 $ 8,571 Provision for credit losses - (benefit) expense (640) 3,753 ACL on held-to-maturity debt securities $ 7,646 $ 12,324
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 March 31, 2023 and December 31, 2022: March 31, 2023 Fair Value Valuation Technique Unobservable Input Range Weighted Average Minimum Maximum (Dollars in thousands) Available-for-sale debt securities: Private label MBS $ 5,402 Discounted cash flows Discount rate 16.0% 16.0% 16.0% Prepayment rate 1.6% 12.6% 9.2% Projected cumulative loss rate 0.2% 14.9% 5.2% Puerto Rico government obligations $ 2,203 Discounted cash flows Discount rate 12.8% 12.8% 12.8% Projected cumulative loss rate 19.0% 19.0% 19.0% 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%
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 March 31, 2023 and December 31, 2022 were as follows March 31, 2023 Amortized cost (1) Gross Unrecognized Fair value Weighted- Gains Losses ACL average yield% (Dollars in thousands) Puerto Rico municipal bonds: Due within one year $ 1,204 $ - $ 10 $ 1,194 $ 24 5.70 After 1 to 5 years 42,633 679 1,001 42,311 659 6.74 After 5 to 10 years 55,940 1,482 603 56,819 2,918 7.10 After 10 years 66,023 - 1,804 64,219 4,045 8.12 Total Puerto Rico municipal bonds 165,800 2,161 3,418 164,543 7,646 7.40 MBS: Residential MBS: FHLMC certificates: After 5 to 10 years $ 20,129 $ - $ 762 $ 19,367 $ - 3.03 After 10 years 19,176 - 596 18,580 - 4.30 39,305 - 1,358 37,947 - 3.65 GNMA certificates: ` After 10 years 18,502 - 795 17,707 - 3.31 FNMA certificates: After 10 years 71,258 - 2,190 69,068 - 4.16 CMOs: After 10 years 32,522 - 1,154 31,368 - 3.49 Total Residential MBS 161,587 - 5,497 156,090 - 3.81 Commercial MBS: After 1 to 5 years 9,576 - 348 9,228 - 3.48 After 10 years 94,432 - 4,541 89,891 - 3.15 Total Commercial MBS 104,008 - 4,889 99,119 - 3.18 Total MBS 265,595 - 10,386 255,209 - 3.56 Total held-to-maturity debt securities $ 431,395 $ 2,161 $ 13,804 $ 419,752 $ 7,646 5.04 (1) Excludes accrued interest receivable on held-to-maturity debt securities that totaled $ 3.7 million as of March 31, 2023, 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, 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 held-to-maturity debt securities $ 165,710 $ 4,068 $ 2,769 $ 167,009 $ 8,286 6.62 MBS: Residential 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 10 years 72,347 - 3,155 69,192 - 4.14 CMOs: After 10 years 34,456 - 1,424 33,032 - 3.49 Total Residential MBS 166,739 - 7,156 159,583 - 3.78 Commercial MBS: After 1 to 5 years 9,621 - 396 9,225 - 3.48 After 10 years 95,467 - 4,169 91,298 - 3.15 Total Commercial MBS 105,088 - 4,565 100,523 - 3.18 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.
Schedule of Unrealized Loss on Investments [Table Text Block] | The following tables present 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 March 31, 2023 and December 31, 2022, including debt securities for which an ACL was recorded: As of March 31, 2023 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 $ - $ - $ 108,266 $ 3,418 $ 108,266 $ 3,418 MBS: Residential MBS: FHLMC certificates 37,947 1,358 - - 37,947 1,358 GNMA certificates 17,707 795 - - 17,707 795 FNMA certificates 69,068 2,190 - - 69,068 2,190 CMOs 31,368 1,154 - - 31,368 1,154 Commercial MBS 99,119 4,889 - - 99,119 4,889 Total held-to-maturity debt securities $ 255,209 $ 10,386 $ 108,266 $ 3,418 $ 363,475 $ 13,804 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: Residential MBS: FHLMC certificates 39,171 1,634 - - 39,171 1,634 GNMA certificates 18,188 943 - - 18,188 943 FNMA certificates 69,192 3,155 - - 69,192 3,155 CMOs 33,032 1,424 - - 33,032 1,424 Commercial MBS 100,523 4,565 - - 100,523 4,565 Total held-to-maturity debt securities $ 260,106 $ 11,721 $ 98,797 $ 2,769 $ 358,903 $ 14,490
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, ACL, estimated fair value, and weighted-average yield of available-for-sale debt securities by contractual maturities as of March 31, 2023 were as follows: March 31, 2023 Amortized cost (1) Gross ACL Fair value Unrealized Weighted- Gains Losses average yield% (Dollars in thousands) U.S. Treasury securities: Due within one year $ 27,744 $ - $ 890 $ - $ 26,854 0.61 After 1 to 5 years 120,916 - 7,348 - 113,568 0.69 U.S. government-sponsored entities (“GSEs”) obligations: Due within one year 189,174 - 5,100 - 184,074 0.42 After 1 to 5 years 2,349,522 22 190,986 - 2,158,558 0.84 After 5 to 10 years 41,916 8 4,998 - 36,926 1.64 After 10 years 11,625 27 - - 11,652 5.15 Puerto Rico government obligations: After 10 years (2) 3,302 - 733 366 2,203 - United States and Puerto Rico government obligations 2,744,199 57 210,055 366 2,533,835 0.83 Mortgage-backed securities (“MBS”): Residential MBS: Freddie Mac (“FHLMC”) certificates: After 1 to 5 years 10,023 - 454 - 9,569 1.98 After 5 to 10 years 187,007 - 15,912 - 171,095 1.56 After 10 years 1,068,680 - 170,021 - 898,659 1.41 1,265,710 - 186,387 - 1,079,323 1.44 Ginnie Mae (“GNMA”) certificates: Due within one year 3 - - - 3 2.42 After 1 to 5 years 23,293 - 1,253 - 22,040 1.31 After 5 to 10 years 33,939 - 2,720 - 31,219 1.69 After 10 years 225,680 119 24,080 - 201,719 2.58 282,915 119 28,053 - 254,981 2.37 Fannie Mae (“FNMA”) certificates: After 1 to 5 years 24,446 - 1,249 - 23,197 1.72 After 5 to 10 years 353,397 - 28,963 - 324,434 1.74 After 10 years 1,133,757 104 168,025 - 965,836 1.37 1,511,600 104 198,237 - 1,313,467 1.47 Collateralized mortgage obligations issued or guaranteed by the FHLMC, FNMA and GNMA (“CMOs”): After 10 years 296,022 - 52,540 - 243,482 1.49 Private label: After 10 years 7,695 - 2,210 83 5,402 7.25 Total Residential MBS 3,363,942 223 467,427 83 2,896,655 1.55 Commercial MBS: After 1 to 5 years 27,584 7 4,551 - 23,040 2.27 After 5 to 10 years 44,584 - 4,929 - 39,655 1.90 After 10 years 120,387 - 24,316 - 96,071 1.23 Total Commercial MBS 192,555 7 33,796 - 158,766 1.53 Total MBS 3,556,497 230 501,223 83 3,055,421 1.54 Total available-for-sale debt securities $ 6,300,696 $ 287 $ 711,278 $ 449 $ 5,589,256 1.23 (1) Excludes accrued interest receivable on available-for-sale debt securities that totaled $ 10.7 million as of March 31, 2023 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 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 and is in nonaccrual status based on the delinquency status of the underlying second mortgage loans collateral. 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: Residential MBS: FHLMC certificates: After 1 to 5 years 4,235 - 169 - 4,066 2.33 After 5 to 10 years 201,072 - 18,709 - 182,363 1.55 After 10 years 1,092,289 - 186,558 - 905,731 1.38 1,297,596 - 205,436 - 1,092,160 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 358,346 - 31,620 - 326,726 1.68 After 10 years 1,186,635 124 186,757 - 1,000,002 1.38 1,554,666 124 218,898 - 1,335,892 1.45 CMOs: After 10 years 302,232 - 56,539 - 245,693 1.44 Private label: After 10 years 7,903 - 2,026 83 5,794 6.83 Total Residential MBS 3,455,864 176 514,499 83 2,941,458 1.52 Commercial MBS: After 1 to 5 years 30,578 - 4,463 - 26,115 2.43 After 5 to 10 years 44,889 - 5,603 - 39,286 1.89 After 10 years 121,464 - 23,732 - 97,732 1.23 Total Commercial MBS 196,931 - 33,798 - 163,133 1.56 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 and is 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 present 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 March 31, 2023 and December 31, 2022. The tables also include debt securities for which an ACL was recorded. As of March 31, 2023 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 $ 17,615 $ 611 $ 2,496,925 $ 208,711 $ 2,514,540 $ 209,322 Puerto Rico government obligations - - 2,203 733 (1) 2,203 733 MBS: Residential MBS: FHLMC 21,354 710 1,057,950 185,677 1,079,304 186,387 GNMA 45,949 868 197,581 27,185 243,530 28,053 FNMA 41,186 1,741 1,262,700 196,496 1,303,886 198,237 CMOs 10,596 117 232,886 52,423 243,482 52,540 Private label - - 5,402 2,210 (1) 5,402 2,210 Commercial MBS 3,833 220 148,640 33,576 152,473 33,796 $ 140,533 $ 4,267 $ 5,404,287 $ 707,011 $ 5,544,820 $ 711,278 7923 (1) Unrealized losses do not include the credit loss component recorded as part of the ACL. As of March 31, 2023, the PRHFA bond and private label MBS had an ACL of $ 0.4 million and $ 0.1 million, respectively. 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: Residential MBS: FHLMC 260,524 45,424 831,637 160,012 1,092,161 205,436 GNMA 74,829 3,433 179,854 28,167 254,683 31,600 FNMA 405,977 49,479 920,200 169,419 1,326,177 218,898 CMOs 45,370 6,735 200,323 49,804 245,693 56,539 Private label - - 5,794 2,026 (1) 5,794 2,026 Commercial MBS 30,179 2,215 132,953 31,583 163,132 33,798 $ 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, the PRHFA bond and private label MBS had an ACL of $ 0.4 million and $ 0.1 million, respectively.
Significant Assumptions in Valuation of Private Label MBS [Table Text Block] | As of As of March 31, 2023 December 31, 2022 Weighted Range Weighted Range Average Minimum Maximum Average Minimum Maximum Discount rate 16.0% 16.0% 16.0% 16.2% 16.2% 16.2% Prepayment rate 9.2% 1.6% 12.6% 11.8% 1.5% 15.2% Projected cumulative loss rate 5.2% 0.2% 14.9% 5.6% 0.3% 15.6%

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