INVESTMENT SECURITIES (Tables)

9 Months Ended

Sep. 30, 2016

Investment Securities Available for Sale

		September 30, 2016
		Amortized cost		Noncredit Loss Component of OTTI Recorded in OCI						Fair value		Weighted average yield%
						Gross Unrealized
						gains		losses

		(Dollars in thousands)
U.S. Treasury securities:
	Due within one year	$	7,513	$	-	$	1	$	-	$	7,514	0.57

Obligations of U.S.
government-sponsored
agencies:
Due within one year			9,629		-		4		-		9,633	0.70
After 1 to 5 years			496,782		-		3,215		53		499,944	1.32
After 10 years			44,724		-		7		133		44,598	0.87

Puerto Rico government
obligations:
After 1 to 5 years			21,423		12,023		-		-		9,400	4.38
After 5 to 10 years			845		-		6		-		851	5.20
After 10 years			21,205		3,196		116		1,556		16,569	5.39

United States and Puerto Rico
government obligations			602,121		15,219		3,349		1,742		588,509	1.53

Mortgage-backed securities:
FHLMC certificates:
After 5 to 10 years			6,314		-		145		-		6,459	2.31
After 10 years			251,516		-		3,504		62		254,958	2.10
			257,830		-		3,649		62		261,417	2.10

GNMA certificates:
Due within one year			1		-		-		-		1	1.69
After 1 to 5 years			93		-		3		-		96	3.85
After 5 to 10 years			98,314		-		2,557		-		100,871	3.05
After 10 years			131,216		-		12,532		-		143,748	4.37
			229,624		-		15,092		-		244,716	3.81
FNMA certificates:
After 1 to 5 years			22,594		-		452		-		23,046	1.99
After 5 to 10 years			26,448		-		577		19		27,006	2.06
After 10 years			602,540		-		14,534		20		617,054	2.31
			651,582		-		15,563		39		667,106	2.29
Collateralized mortgage
obligations issued or guaranteed by
the FHLMC and GNMA:
After 5 to 10 years			19,853		-		7		33		19,827	1.18
After 10 years			39,530		-		25		7		39,548	1.21
			59,383		-		32		40		59,375	1.20
Other mortgage pass-through
trust certificates:
After 5 to 10 years			81		-		-		-		81	7.20
After 10 years			30,606		8,476		-		-		22,130	2.37
			30,687		8,476		-		-		22,211	2.37
Total mortgage-backed
securities			1,229,106		8,476		34,336		141		1,254,825	2.48

Other
After 1 to 5 years			100		-		-		-		100	1.50

Equity Securities ⁽¹⁾			413		-		6		-		419	2.15

Total investment securities
available for sale		$	1,831,740	$	23,695	$	37,691	$	1,883	$	1,843,853	2.17

⁽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						Fair value		Weighted average yield%
						Gross 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

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

OTTI Losses on Available-for-Sale Debt Securities


		Quarter Ended				Nine-Month Period Ended
		September 30,				September 30,
		2016		2015		2016		2015
(In thousands)
Total other-than-temporary impairment losses		$	-	$	-	$	(1,845)	$	(29,521)
Portion of other-than-temporary impairment recognized in OCI			-		(231)		(4,842)		16,037
Net impairment losses recognized in earnings (1)		$	-	$	(231)	$	(6,687)	$	(13,484)

(1)	For the nine-month periods ended September 30, 2016 and 2015, approximately $6.3 million and $12.9 million, respectively, of the credit impairment recognized in earnings consisted of credit losses on Puerto Rico Government debt securities and $0.4 million and $0.6 million, respectively, was associated with credit losses on 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		Credit impairments
	June 30,		recognized in earnings		recognized in earnings on		September 30,
	2016		on securities not		securities that have been		2016
	Balance		previously impaired		previously impaired		Balance
(In thousands)
Available-for-sale securities
Puerto Rico Government obligations	$	22,189	$	-	$	-	$	22,189
Private label MBS		6,792		-		-		6,792
Total OTTI credit losses for available-for-sale
debt securities	$	28,981	$	-	$	-	$	28,981


	Cumulative OTTI credit losses recognized in earnings on securities still held
			Credit impairments		Credit impairments
	December 31,		recognized in earnings		recognized in earnings on		September 30,
	2015		on securities not		securities that have been		2016
	Balance		previously impaired		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		Credit impairments
	June 30,		recognized in earnings		recognized in earnings on		September 30,
	2015		on securities not		securities that have been		2015
	Balance		previously impaired		previously impaired		Balance
(In thousands)
Available-for-sale securities
Puerto Rico Government obligations	$	12,856	$	-	$	-	$	12,856
Private label MBS		6,174		-		231		6,405
Total OTTI credit losses for available-for-sale
debt securities	$	19,030	$	-	$	231	$	19,261


	Cumulative OTTI credit losses recognized in earnings on securities still held
			Credit impairments		Credit impairments
	December 31,		recognized in earnings		recognized in earnings on		September 30,
	2014		on securities not		securities that have been		2015
	Balance		previously impaired		previously impaired		Balance
(In thousands)
Available-for-sale securities
Puerto Rico Government obligations	$	-	$	12,856	$	-	$	12,856
Private label MBS		5,777		-		628		6,405
Total OTTI credit losses for available-for-sale
debt securities	$	5,777	$	12,856	$	628	$	19,261

Significant Assumptions in Valuation of Private Label MBS

	September 30, 2016		December 31, 2015
	Weighted		Weighted
	Average	Range	Average	Range

Discount rate	13.3%	12.03% - 13.58%	14.5%	14.5%
Prepayment rate	13.7%	6.5% - 22.5%	25%	15.92% - 31.25%
Projected Cumulative Loss Rate	4%	0.2% - 9.1%	4%	0.18% - 6.66%

Held To Maturity Securities [Text Block]

		September 30, 2016
		Amortized cost						Fair value		Weighted average yield%
				Gross Unrealized
				gains		losses

Puerto Rico Municipal Bonds:
	After 1 to 5 years	$	1,136	$	-	$	27	$	1,109	5.38
	After 5 to 10 years		10,741		-		782		9,959	4.41
	After 10 years		144,313		-		23,140		121,173	4.66
Total investment securities
	held to maturity	$	156,190	$	-	$	23,949	$	132,241	4.65

		December 31, 2015
		Amortized cost						Fair value		Weighted average yield%
				Gross Unrealized
				gains		losses

Puerto Rico Municipal Bonds:
	After 1 to 5 years	$	1,371	$	-	$	37	$	1,334	5.38
	After 5 to 10 years		11,523		-		1,041		10,482	4.25
	After 10 years		148,589		-		28,861		119,728	4.64
Total investment securities
	held to maturity	$	161,483	$	-	$	29,939	$	131,544	4.62

Held to maturity Securities [Member]

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

	As of September 30, 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 Municipal Bonds	$	-	$	-	$	132,241	$	23,949	$	132,241	$	23,949


	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 Municipal Bonds	$	4,163	$	140	$	127,381	$	29,799	$	131,544	$	29,939

Available for sale Securities [Member]

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

	As of September 30, 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	$	-	$	-	$	21,688	$	16,775	$	21,688	$	16,775
U.S. Treasury and U.S. government
agencies obligations		60,970		186		-		-		60,970		186
Mortgage-backed securities:
FNMA		18,245		39		-		-		18,245		39
FHLMC		54,269		62		-		-		54,269		62
Collateralized mortgage obligations
issued or guaranteed by FHLMC and GNMA		31,896		40		-		-		31,896		40
Other mortgage pass-through trust
certificates		-		-		22,130		8,476		22,130		8,476
Equity securities		2		-		-		-		2		-
	$	165,382	$	327	$	43,818	$	25,251	$	209,200	$	25,578


	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
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

- Definition

Tabular disclosure of available-for-sale securities which includes, but is not limited to, changes in the cost basis and fair value, fair value and gross unrealized gain (loss), fair values by type of security, contractual maturity and classification, amortized cost basis, contracts to acquire securities to be accounted for as available-for-sale, debt maturities, transfers to trading, change in net unrealized holding gain (loss) net of tax, continuous unrealized loss position fair value, aggregate losses qualitative disclosures, other than temporary impairment (OTTI) losses or other disclosures related to available for sale securities.

+ References + Details

- Definition

Tabular disclosure of all investments in certain debt and equity securities for which the entity has the positive intent and ability to hold until maturity.

+ References + Details