INVESTMENT SECURITIES (Tables)

		December 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:
	Due within one year	$	7,508	$	-	$	1	$	-	$	7,509	0.57

Obligations of U.S. government-sponsored
agencies:
	After 1 to 5 years		440,438		-		142		2,912		437,668	1.33
	After 5 to 10 years		16,942		-		9		256		16,695	1.91
	After 10 years		44,145		-		8		166		43,987	1.12

Puerto Rico government
obligations:
	After 1 to 5 years		21,422		12,222		-		-		9,200	-
	After 10 years		21,245		2,028		73		1,662		17,628	1.86

United States and Puerto
Rico government
obligations			551,700		14,250		233		4,996		532,687	1.29

Mortgage-backed securities:
FHLMC certificates:
	After 5 to 10 years		5,908		-		72		-		5,980	2.25
	After 10 years		314,906		-		261		5,827		309,340	2.17
			320,814		-		333		5,827		315,320	2.17
GNMA certificates:
	After 1 to 5 years		83		-		3		-		86	3.82
	After 5 to 10 years		91,744		-		1,635		92		93,287	3.06
	After 10 years		123,548		-		9,706		-		133,254	4.36
			215,375		-		11,344		92		226,627	3.81
FNMA certificates:
	Due within one year		152		-		2		-		154	4.71
	After 1 to 5 years		24,409		-		435		-		24,844	2.18
	After 5 to 10 years		17,181		-		-		261		16,920	1.87
	After 10 years		690,625		-		4,136		9,406		685,355	2.35
			732,367		-		4,573		9,667		727,273	2.33
Collateralized mortgage obligations issued
or guaranteed by the FHLMC and GNMA:
	After 5 to 10 years		19,851		-		4		31		19,824	1.42
	After 10 years		39,120		-		-		132		38,988	1.44
			58,971		-		4		163		58,812	1.43
Other mortgage pass-through
trust certificates:
	After 10 years		28,815		8,122		-		-		20,693	2.40
			28,815		8,122		-		-		20,693	2.40
Total mortgage-backed
securities			1,356,342		8,122		16,254		15,749		1,348,725	2.49

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

Equity securities ⁽¹⁾			415		-		-		7		408	2.44

Total investment securities
	available for sale	$	1,908,557	$	22,372	$	16,487	$	20,752	$	1,881,920	2.14

⁽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

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

	As of December 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	$	-	$	-	$	22,609	$	15,912	$	22,609	$	15,912
U.S Treasury and U.S. government
agencies obligations		469,046		3,334		-		-		469,046		3,334
Mortgage-backed securities:
FNMA		519,008		9,667		-		-		519,008		9,667
FHLMC		244,839		5,827		-		-		244,839		5,827
GNMA		43,388		92		-		-		43,388		92
Collateralized mortgage obligations
issued or guaranteed by FHLMC and GNMA		55,309		163		-		-		55,309		163
Other mortgage pass-through trust certificates		-		-		20,693		8,122		20,693		8,122
Equity securities		408		7		-		-		408		7
	$	1,331,998	$	19,090	$	43,302	$	24,034	$	1,375,300	$	43,124


	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

		Year Ended
		2016		2015			2014
(In thousands)
Total other-than-temporary impairment losses		$	(1,845)	$	(35,806)	$	-
Portion of other-than-temporary impairment recognized in OCI			(4,842)		19,289		(388)
Net impairment losses recognized in earnings (1)		$	(6,687)	$	(16,517)	$	(388)

(1)	For the years ended December 31, 2016 and 2015, approximately $6.3 million and $15.9 million, respectively, of the credit impairment recognized in earnings consisted of credit losses on Puerto Rico government debt securities. The remaining impairment losses were associated with credit losses on private label MBS.

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
	December 31,		recognized in earnings		recognized in earnings on		December 31,
	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
	December 31,		recognized in earnings		recognized in earnings on		December 31,
	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	$	-	$	15,889	$	-	$	15,889
Private label MBS		5,777		-		628		6,405
Total OTTI credit losses for available-for-sale
debt securities	$	5,777	$	15,889	$	628	$	22,294

Cumulative OTTI credit losses recognized in earnings on securities still held

Credit impairments

December 31,

recognized in earnings

recognized in earnings on

December 31,

2013

on securities not

securities that have been

2014

Balance

previously impaired

Balance

(In thousands)

Available for sale securities

Private label MBS

5,389

388

5,777

	As of		As of
	December 31, 2016		December 31, 2015
	Weighted		Weighted
	Average	Range	Average	Range

Discount rate	14.1%	12.88-14.43%	14.5%	14.5%
Prepayment rate	13.8%	6.5-22.5%	25%	15.92% - 31.25%
Projected Cumulative Loss Rate	4%	0.2-8.6%	4%	0.18% - 6.66%

The aggregate amortized cost and approximate market value of investment securities available for sale as of December 31, 2016 by contractual maturity, are shown below:


	Amortized Cost		Fair Value
(Dollars in thousands)

Within 1 year	$	7,660	$	7,663
After 1 to 5 years		486,452		471,898
After 5 to 10 years		151,626		152,706
After 10 years		1,262,404		1,249,245
Total	$	1,908,142	$	1,881,512

Equity securities		415		408
Total investment securities available for sale	$	1,908,557	$	1,881,920

		As of				As of
	December 31, 2016				December 31, 2015
	Amortized				Amortized
	Cost		Fair Value		Cost		Fair Value
(In thousands)
FHLMC	$	399,955	$	394,249	$	323,437	$	322,772
GNMA		254,495		265,615		285,584		301,573
FNMA		849,584		843,818		954,178		953,866
FHLB		231,666		229,792		223,049		219,320

	As of December 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 Municipal Bonds	$	-	$	-	$	132,759	$	23,431	$	132,759	$	23,431


	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

		December 31, 2016
		Amortized cost						Fair value		Weighted average yield%
				Gross Unrealized
				gains		losses

Puerto Rico Municipal Bonds:
	After 1 to 5 years	$	1,136	$	-	$	20	$	1,116	5.38
	After 5 to 10 years		10,741		-		718		10,023	4.47
	After 10 years		144,313		-		22,693		121,620	4.74
Total investment securities
	held to maturity	$	156,190	$	-	$	23,431	$	132,759	4.73

		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

- 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