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FAIR VALUE (Tables)
 9 Months Ended
Sep. 30, 2024
FAIR VALUE [Abstract]  
Assets and Liabilities Measured at Fair Value on Recurring Basis [Table Text Block]
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Assets and
 
liabilities measured
 
at fair value
 
on a
 
recurring basis
 
are summarized
 
below as
 
of September
 
30, 2024
 
and December
 
31,
2023:
As of September 30, 2024
As of December 31, 2023
Fair Value Measurements Using
 
Fair Value Measurements Using
 
Level 1
Level 2
Level 3
Total
Level 1
Level 2
Level 3
Total
(In thousands)
Assets:
Debt securities available for sale:
U.S. Treasury securities
$
98,612
$
-
$
-
$
98,612
$
135,393
$
-
$
-
$
135,393
Noncallable U.S. agencies debt securities
-
700,299
-
700,299
-
433,437
-
433,437
Callable U.S. agencies debt securities
-
1,462,866
-
1,462,866
-
1,874,960
-
1,874,960
MBS
-
2,626,116
4,321
(1)
2,630,437
-
2,779,994
4,785
(1)
2,784,779
Puerto Rico government obligation
-
-
1,567
1,567
-
-
1,415
1,415
Other investments
-
-
1,000
1,000
-
-
-
-
Equity securities
5,012
-
-
5,012
4,893
-
-
4,893
Derivative assets
-
322
-
322
-
341
-
341
Liabilities:
Derivative liabilities
-
392
-
392
-
317
-
317
(1) Related to private label MBS.
Fair Value of Assets and Liabilities Measured on Recurring Basis [Table Text Block]
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
The table
 
below presents
 
a reconciliation
 
of the
 
beginning and
 
ending balances
 
of all
 
assets measured
 
at fair
 
value on
 
a recurring
basis using significant unobservable inputs (Level 3) for the quarters
 
and nine-month periods ended September 30, 2024 and 2023:
Quarter Ended September 30,
Nine-Month Period Ended September 30,
2024
2023
2024
2023
Level 3 Instruments Only
 
 
Securities Available
for Sale
(1)
Securities Available
for Sale
(1)
Securities Available
for Sale
(1)
Securities Available
for Sale
(1)
(In thousands)
Beginning balance
$
7,099
$
7,357
$
6,200
$
8,495
 
Total gains (losses):
 
Included in other comprehensive income (loss) (unrealized)
178
(722)
592
(903)
 
Included in earnings (unrealized)
(2)
36
(32)
45
(7)
 
Purchases
-
-
1,000
-
 
Principal repayments and amortization
(3)
(425)
(237)
(949)
(1,219)
Ending balance
$
6,888
$
6,366
$
6,888
$
6,366
___________________
(1)
Amounts mostly related to private label MBS.
(2)
Changes in unrealized gains (losses) included in earnings were
 
recognized within provision for credit losses – expense
 
and relate to assets still held as of the reporting date.
(3)
For the nine-month period ended September 30, 2023 includes
 
a $
0.5
 
million repayment of a matured debt security.
Fair Value Measurement Inputs and Valuation Techniques [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 September 30, 2024 and December
 
31, 2023:
September 30, 2024
Fair Value
Valuation Technique
Unobservable Input
Range
Weighted
Average
Minimum
 
Maximum
(Dollars in thousands)
Available-for-sale
 
debt securities:
 
Private label MBS
$
4,321
Discounted cash flows
Discount rate
15.7%
15.7%
15.7%
Prepayment rate
0.0%
4.6%
3.0%
Projected cumulative loss rate
1.1%
4.6%
3.8%
 
Puerto Rico government obligation
$
1,567
Discounted cash flows
Discount rate
12.1%
12.1%
12.1%
Projected cumulative loss rate
23.8%
23.8%
23.8%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2023
Fair Value
Valuation Technique
Unobservable Input
Range
Weighted
Average
Minimum
 
Maximum
(Dollars in thousands)
Available-for-sale
 
debt securities:
 
Private label MBS
$
4,785
Discounted cash flows
Discount rate
16.1%
16.1%
16.1%
Prepayment rate
0.0%
6.9%
3.7%
Projected cumulative loss rate
0.1%
10.9%
4.2%
 
Puerto Rico government obligation
$
1,415
Discounted cash flows
Discount rate
14.1%
14.1%
14.1%
Projected cumulative loss rate
25.8%
25.8%
25.8%
Impairment or Valuation Adjustments were Recorded for Assets Recognized at Fair Value [Table Text Block]
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
For
 
the
 
quarter
 
and
 
nine-month
 
period
 
ended
 
September
 
30,
 
2024,
 
the
 
Corporation
 
recorded
 
losses
 
or
 
valuation
 
adjustments
 
for
assets recognized at fair value on a non-recurring basis and still held at September
 
30, 2024, as shown in the following table:
Carrying value as of September 30, 2024
Related to losses
 
recorded for the
Quarter Ended
September 30, 2024
Related to losses
 
recorded for the
Nine-Month Period Ended
September 30, 2024
Losses recorded for the
Quarter Ended
September 30, 2024
Losses recorded for the
Nine-Month Period Ended
September 30, 2024
(In thousands)
Level 3:
Loans receivable
(1)
$
5,910
$
22,204
$
(386)
$
(1,441)
OREO
(2)
752
1,437
(33)
(108)
(1)
Consists mainly of
 
collateral dependent commercial
 
and construction
 
loans. The
 
Corporation generally measured
 
losses based
 
on the fair
 
value of the
 
collateral. The
 
Corporation derived
the fair values from
 
external appraisals that
 
took into consideration prices
 
in observed transactions
 
involving similar assets
 
in similar locations but
 
adjusted for specific characteristics
 
and
assumptions of the collateral (e.g., absorption rates), which are
 
not market observable. The haircuts applied on appraisals were
 
of
4
% for the nine-month period ended September 30, 2024.
(2)
The Corporation
 
derived the
 
fair values
 
from appraisals
 
that took
 
into consideration
 
prices in
 
observed transactions
 
involving similar
 
assets in
 
similar locations
 
but adjusted
 
for specific
characteristics and assumptions of
 
the properties (e.g., absorption
 
rates and net operating income
 
of income producing properties),
 
which are not market observable.
 
Losses were related to
market valuation adjustments after the transfer of the loans
 
to the OREO portfolio. The haircuts applied ranged from
2
% to
44
% for the quarter and nine-month period ended September
 
30,
2024.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
For
 
the
 
quarter
 
and
 
nine-month
 
period
 
ended
 
September
 
30,
 
2023,
 
the
 
Corporation
 
recorded
 
losses
 
or
 
valuation
 
adjustments
 
for
assets recognized at fair value on a non-recurring basis and still held at September
 
30, 2023, as shown in the following table:
Carrying value as of September 30, 2023
Related to (losses) gains
 
recorded for the
 
Quarter Ended
 
September 30, 2023
Related to losses
 
recorded for the
Nine-Month Period Ended
 
September 30, 2023
(Losses) gains recorded for the
 
Quarter Ended
 
September 30, 2023
Losses recorded for the
Nine-Month Period Ended
September 30, 2023
(In thousands)
Level 3:
Loans receivable
(1)
$
16,655
$
24,933
$
(2,495)
$
(9,234)
OREO
(2)
1,085
2,124
(169)
(205)
Level 2:
Loans held for sale
(3)
$
8,961
$
8,961
$
16
$
(57)
(1)
Consists mainly of
 
collateral dependent commercial
 
and construction
 
loans. The
 
Corporation generally measured
 
losses based
 
on the fair
 
value of the
 
collateral. The
 
Corporation derived
the fair values from
 
external appraisals that
 
took into consideration prices
 
in observed transactions
 
involving similar assets
 
in similar locations but
 
adjusted for specific characteristics
 
and
assumptions
 
of
 
the
 
collateral
 
(e.g.,
 
absorption
 
rates),
 
which
 
are
 
not
 
market
 
observable.
 
The
 
haircuts
 
applied
 
on
 
appraisals
 
ranged
 
from
1
%
 
to
22
%
 
for
 
the
 
nine-month
 
period
 
ended
September 30, 2023.
(2)
The Corporation
 
derived the
 
fair values
 
from appraisals
 
that took
 
into consideration
 
prices in
 
observed transactions
 
involving similar
 
assets in
 
similar locations
 
but adjusted
 
for specific
characteristics and assumptions of
 
the properties (e.g., absorption
 
rates and net operating income
 
of income producing properties),
 
which are not market observable.
 
Losses were related to
market valuation adjustments after the transfer of the loans
 
to the OREO portfolio. The haircuts applied ranged from
2
% to
27
% for the quarter and nine-month period ended September
 
30,
2023.
(3)
The Corporation derived the fair value of these loans based
 
on published secondary market prices of MBS with similar characteristics.
Estimated Fair Value and Carrying Value of Financial Instruments [Table Text Block]
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
The
 
following
 
tables
 
present
 
the
 
carrying
 
value,
 
estimated
 
fair
 
value
 
and
 
estimated
 
fair
 
value
 
level
 
of
 
the
 
hierarchy
 
of
 
financial
instruments as of September 30, 2024 and December 31, 2023:
Total Carrying Amount
in Statement of
Financial Condition as
of September 30, 2024
Fair Value Estimate as
 
of
September 30, 2024
Level 1
Level 2
Level 3
(In thousands)
Assets:
Cash and due from banks and money market investments (amortized
 
cost)
$
685,371
$
685,371
$
685,371
$
-
$
-
Available-for-sale debt
 
securities (fair value)
4,894,781
4,894,781
98,612
4,789,281
6,888
Held-to-maturity debt securities:
 
Held-to-maturity debt securities (amortized cost)
323,142
 
Less: ACL on held-to-maturity debt securities
(1,119)
 
Held-to-maturity debt securities, net of ACL
$
322,023
316,854
-
222,248
94,606
Equity securities (amortized cost)
47,420
47,420
-
47,420
(1)
-
Other equity securities (fair value)
5,012
5,012
5,012
-
-
Loans held for sale (lower of cost or market)
12,641
12,729
-
12,729
-
Loans held for investment:
 
Loans held for investment (amortized cost)
12,446,024
 
Less: ACL for loans and finance leases
(246,996)
 
Loans held for investment, net of ACL
$
12,199,028
12,100,106
-
-
12,100,106
MSRs (amortized cost)
25,403
42,416
-
-
42,416
Derivative assets (fair value)
 
(2)
322
322
-
322
-
Liabilities:
Deposits (amortized cost)
$
16,347,390
$
16,358,466
$
-
$
16,358,466
$
-
Long-term advances from the FHLB (amortized cost)
500,000
503,960
-
503,960
-
Other long-term borrowings (amortized cost)
111,700
113,088
-
-
113,088
Derivative liabilities (fair value)
 
(2)
392
392
-
392
-
(1) Includes FHLB stock with a carrying value of $
34.0
 
million, which is considered restricted.
(2) Includes interest rate swap agreements, interest rate caps, forward contracts, interest rate lock commitments, and forward loan sales commitments.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total Carrying Amount
in Statement of
Financial Condition as
of December 31, 2023
Fair Value Estimate as
 
of
December 31, 2023
Level 1
Level 2
Level 3
(In thousands)
Assets:
Cash and due from banks and money market investments (amortized
 
cost)
$
663,164
$
663,164
$
663,164
$
-
$
-
Available-for-sale debt
 
securities (fair value)
5,229,984
5,229,984
135,393
5,088,391
6,200
Held-to-maturity debt securities:
 
Held-to-maturity debt securities (amortized cost)
354,178
 
Less: ACL on held-to-maturity debt securities
(2,197)
 
Held-to-maturity debt securities, net of ACL
$
351,981
346,132
-
235,239
110,893
Equity securities (amortized cost)
44,782
44,782
-
44,782
(1)
-
Other equity securities (fair value)
4,893
4,893
4,893
-
-
Loans held for sale (lower of cost or market)
7,368
7,476
-
7,476
-
Loans held for investment:
 
 
Loans held for investment (amortized cost)
12,185,483
 
Less: ACL for loans and finance leases
(261,843)
 
Loans held for investment, net of ACL
$
11,923,640
11,762,855
-
-
11,762,855
MSRs (amortized cost)
26,941
45,244
-
-
45,244
Derivative assets (fair value)
(2)
341
341
-
341
-
Liabilities:
Deposits (amortized cost)
$
16,555,985
$
16,565,435
$
-
$
16,565,435
$
-
Long-term advances from the FHLB (amortized cost)
500,000
500,522
-
500,522
-
Other long-term borrowings (amortized cost)
161,700
159,999
-
-
159,999
Derivative liabilities (fair value)
(2)
317
317
-
317
-
(1) Includes FHLB stock with a carrying value of $
34.6
 
million, which is considered restricted.
(2) Includes interest rate swap agreements, interest rate caps, forward contracts and interest rate lock commitments.