INVESTMENT SECURITIES (Tables)

3 Months Ended

Mar. 31, 2016

Investment Securities Available for Sale

		March 31, 2016
		Amortized cost		Noncredit Loss Component of OTTI Recorded in OCI		Gross						Fair value		Weighted average yield%
								Unrealized
								gains			losses
(Dollars in thousands)
U.S. Treasury securities:
	After 1 to 5 years	$	7,525	$	-	$	-		$	7		$	7,518	0.57
Obligations of U.S.
government-sponsored
agencies:
	Due within one year		14,626		-		10			-			14,636	0.68
	After 1 to 5 years		385,103		-		2,148			-			387,251	1.32
	After 5 to 10 years		51,089		-		1,131			-			52,220	2.42
	After 10 years		13,930		-		14			20			13,924	0.84
Puerto Rico Government
obligations:
	After 1 to 5 years		21,423		11,501		-			-			9,922	4.38
	After 5 to 10 years		855		-		1			-			856	5.20
	After 10 years		21,141		3,962		147			1,656			15,670	5.38
United States and Puerto
Rico Government
obligations			515,692		15,463		3,451			1,683			501,997	1.69
Other (1)
Mortgage-backed securities:
FHLMC certificates:
	After 5 to 10 years		321		-		31			-			352	4.95
	After 10 years		277,487		-		4,063			5			281,545	2.15
			277,808		-		4,094			5			281,897	2.15
GNMA certificates:
	Due within one year		1		-		-			-			1	1.78
	After 1 to 5 years		100		-		4			-			104	4.29
	After 5 to 10 years		112,732		-		2,839			-			115,571	3.07
	After 10 years		157,658		-		13,095			6			170,747	4.38
			270,491		-		15,938			6			286,423	3.83
FNMA certificates:
	After 1 to 5 years		30,223		-		63			21			30,265	1.50
	After 5 to 10 years		21,429		-		835			-			22,264	2.73
	After 10 years		744,660		-		11,641			-			756,301	2.35
			796,312		-		12,539			21			808,830	2.33
Collateralized mortgage
	obligations issued or
	guaranteed by the FHLMC:
Other mortgage pass-through
trust certificates:
	After 5 to 10 years		89		-		-			-			89	7.26
	After 10 years		32,962		8,457		-			-			24,505	2.34
			33,051		8,457		-			-			24,594	2.34
Total mortgage-backed
securities			1,377,662		8,457		32,571			32			1,401,744	2.59
Other
	After 1 to 5 years		100		-		-			-			100	1.50
Equity securities (1)			408		-		6			-			414	-
Total investment securities
	available for sale	$	1,893,862	$	23,920	$	36,028		$	1,715		$	1,904,255	2.34
__________
(1)	Equity securities consisted of investment in a Community Reinvestment Act Qualified Investment Fund.

		December 31, 2015
		Amortized cost		Noncredit Loss Component of OTTI Recorded in OCI		Gross						Fair value		Weighted average yield%
								Unrealized
								gains			losses
(Dollars in thousands)
U.S. Treasury securities:
	After 1 to 5 years	$	7,530	$	-	$	-		$	33		$	7,497	0.57
Obligations of U.S.
government-sponsored
agencies:
	Due within one year		14,624		-		4			10			14,618	0.68
	After 1 to 5 years		384,323		-		174			4,305			380,192	1.32
	After 5 to 10 years		58,150		-		343			242			58,251	2.34
Puerto Rico Government
obligations:
	After 1 to 5 years		25,663		14,662		-			-			11,001	4.38
	After 5 to 10 years		855		-		-			-			855	5.20
	After 10 years		23,162		5,255		134			1,680			16,361	5.40
United States and Puerto
Rico Government
obligations			514,307		19,917		655			6,270			488,775	1.75
Mortgage-backed securities:
FHLMC certificates:
	After 5 to 10 years		336		-		31			-			367	4.95
	After 10 years		287,711		-		1,073			1,706			287,078	2.14
			288,047		-		1,104			1,706			287,445	2.15
GNMA certificates:
	Due within one year		2		-		-			-			2	1.70
	After 1 to 5 years		109		-		5			-			114	4.26
	After 5 to 10 years		120,298		-		3,182			-			123,480	3.07
	After 10 years		165,175		-		12,822			20			177,977	4.38
			285,584		-		16,009			20			301,573	3.83
FNMA certificates:
	After 1 to 5 years		2,552		-		74			-			2,626	3.32
	After 5 to 10 years		21,557		-		433			233			21,757	2.73
	After 10 years		759,247		-		5,628			6,063			758,812	2.34
			783,356		-		6,135			6,296			783,195	2.35
Collateralized mortgage
	obligations issued or
	guaranteed by the FHLMC:
Other mortgage pass-through
trust certificates:
	After 5 to 10 years		92		-		1			-			93	7.26
	After 10 years		34,905		9,691		-			-			25,214	2.26
			34,997		9,691		1			-			25,307	2.26
Total mortgage-backed
	securities		1,391,984		9,691		23,249			8,022			1,397,520	2.61
Other
After 1 to 5 years			100		-		-			-			100	1.50
Total investment securities
	available for sale	$	1,906,391	$	29,608	$	23,904		$	14,292		$	1,886,395	2.38

Available-for-Sale Investments' Fair Value and Gross Unrealized Losses

	As of March 31, 2016
	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:
Puerto Rico Government obligations	$	-	$	-	$	21,243	$	17,119	$	21,243	$	17,119
U.S. Treasury and U.S. government agencies
obligations		17,764		27		-		-		17,764		27
Mortgage-backed securities:
FNMA		28,015		21		-		-		28,015		21
FHLMC		-		-		922		5		922		5
GNMA		-		-		1,055		6		1,055		6
Collateralized mortgage
obligations issued or
Other mortgage pass-through
trust certificates		-		-		24,505		8,457		24,505		8,457
Corporate bonds
Equity securities		1		-		-		-		1		-
	$	45,780	$	48	$	47,725	$	25,587	$	93,505	$	25,635
	As of December 31, 2015
	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:
Puerto Rico Government obligations	$	-	$	-	$	23,008	$	21,597	$	23,008	$	21,597
U.S. Treasury and U.S. government agencies
obligations		198,243		929		210,504		3,661		408,747		4,590
Mortgage-backed securities:
FNMA		437,305		4,516		88,013		1,780		525,318		6,296
FHLMC		141,890		1,338		19,306		368		161,196		1,706
GNMA		1,047		20		-		-		1,047		20
Collateralized mortgage
obligations issued or
Other mortgage pass-through
trust certificates		-		-		25,214		9,691		25,214		9,691
	$	778,485	$	6,803	$	366,045	$	37,097	$	1,144,530	$	43,900

OTTI Losses on Available-for-Sale Debt Securities

	Quarter ended March 31,
	2016		2015
(In thousands)
Total other-than-temporary impairment losses	$	(1,845)	$	-
losses recognized in OCI
Portion of other-than-temporary impairment recognized in OCI		(4,842)		(156)
Net impairment losses recognized in earnings (1)(2)	$	(6,687)	$	(156)
_________
(1) For the quarter ended March 31, 2016, approximately $6.3 million of the credit impairment recognized in earnings consisted of credit losses on Puerto Rico Government debt securities and $0.4 million was associated with credit losses on private label MBS.
(2) The $0.2 million credit impairment recognized in earnings in the first quarter of 2015 was associated with private label MBS.

Roll-Forward of Credit Losses on Debt Securities Held by Corporation

The following tables summarize the roll-forward of credit losses on debt securities held by the Corporation for which a portion of an OTTI is recognized in OCI:
	Cumulative OTTI credit losses recognized in earnings on securities still held
			Credit impairments
	December 31,		recognized in earnings on		March 31,
	2015		securities that have been		2016
	Balance		previously impaired		Balance
(In thousands)
Available-for-sale securities
Puerto Rico Government obligations	$	15,889	$	6,300	$	22,189
Private label MBS		6,405		387		6,792
Total OTTI credit losses for available-for-sale
debt securities	$	22,294	$	6,687	$	28,981

	Cumulative OTTI credit losses recognized in earnings on securities still held
			Credit impairments
	December 31,		recognized in earnings on		March 31,
	2014		securities that have been		2015
	Balance		previously impaired		Balance
(In thousands)
Available for sale securities
Private label MBS	$	5,777	$	156	$	5,933

Significant Assumptions in Valuation of Private Label MBS

	March 31, 2016		December 31, 2015
	Weighted		Weighted
	Average	Range	Average	Range
Discount rate	14.5%	14.5%	14.5%	14.5%
Prepayment rate	30%	21.45% - 100.00%	28%	15.92% - 100.00%
Projected Cumulative Loss Rate	7%	0.50% - 80.00%	7%	0.18% - 80.00%