XML 87 R73.htm IDEA: XBRL DOCUMENT v3.20.4
FAIR VALUE (Tables)
 12 Months Ended
Dec. 31, 2020
Fair Value Disclosures [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 December 31, 2020 and 2019:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of December 31,2020

 

As of December 31, 2019

 

 

Fair Value Measurements Using

 

Fair Value Measurements Using

 

(In thousands)

Level 1

 

Level 2

 

Level 3

 

Assets/Liabilities at Fair Value

 

Level 1

 

Level 2

 

Level 3

 

Assets/Liabilities at Fair Value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Securities available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury securities

$

7,507

 

$

-

 

$

-

 

$

7,507

 

$

7,479

 

$

-

 

$

-

 

$

7,479

Noncallable U.S. agencies debt securities

 

-

 

 

173,371

 

 

-

 

 

173,371

 

 

-

 

 

146,777

 

 

-

 

 

146,777

Callable U.S. agencies debt securities and MBS

 

-

 

 

4,454,164

 

 

-

 

 

4,454,164

 

 

-

 

 

1,950,331

 

 

-

 

 

1,950,331

Puerto Rico government obligations

 

-

 

 

-

 

 

2,899

 

 

2,899

 

 

-

 

 

4,348

 

 

2,974

 

 

7,322

Private label MBS

 

-

 

 

-

 

 

8,428

 

 

8,428

 

 

-

 

 

-

 

 

11,116

 

 

11,116

Other investments

 

-

 

 

-

 

 

650

 

 

650

 

 

-

 

 

-

 

 

500

 

 

500

Equity securities

 

1,474

 

 

-

 

 

-

 

 

1,474

 

 

1,428

 

 

-

 

 

-

 

 

1,428

Derivatives, included in assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap agreements

 

-

 

 

1,622

 

 

-

 

 

1,622

 

 

-

 

 

-

 

 

-

 

 

-

Purchased interest rate cap agreements

 

-

 

 

1

 

 

-

 

 

1

 

 

-

 

 

11

 

 

-

 

 

11

Forward contracts

 

-

 

 

102

 

 

-

 

 

102

 

 

-

 

 

-

 

 

-

 

 

-

Interest rate lock commitments

 

-

 

 

737

 

 

-

 

 

737

 

 

-

 

 

341

 

 

-

 

 

341

Forward loan sales commitments

 

-

 

 

20

 

 

-

 

 

20

 

 

-

 

 

20

 

 

-

 

 

20

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives, included in liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap agreements

 

-

 

 

1,639

 

 

-

 

 

1,639

 

 

-

 

 

-

 

 

-

 

 

-

Written interest rate cap agreements

 

-

 

 

1

 

 

-

 

 

1

 

 

-

 

 

11

 

 

-

 

 

11

Forward contracts

 

-

 

 

280

 

 

-

 

 

280

 

 

-

 

 

138

 

 

-

 

 

138

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
Fair Value Measurement Inputs and Valuation Techniques [Table Text Block]

The tables below present qualitative information for significant assets measured at fair value on a recurring basis using significant unobservable inputs (Level 3) as of December 31, 2020 and 2019:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31,2020

 

 

 

Fair Value

 

Valuation Technique

 

Unobservable Input

 

Range

 

Weighted Average

(Dollars in thousands)

 

 

 

Minimum

Maximum

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment securities available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

 

Private label MBS

$

8,428

 

Discounted cash flows

 

Discount rate

 

12.2%

12.2%

 

12.2%

 

 

 

 

 

 

Prepayment rate

 

1.2%

18.8%

 

12.1%

 

 

 

 

 

 

Projected Cumulative Loss Rate

 

2.6%

22.3%

 

10.2%

 

 

 

 

 

 

 

 

 

 

 

 

Puerto Rico government obligations

 

2,899

 

Discounted cash flows

 

Discount rate

 

7.9%

7.9%

 

7.9%

 

 

 

 

 

 

Projected Cumulative Loss Rate

 

12.4%

12.4%

 

12.4%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2019

 

 

 

Fair Value

 

Valuation Technique

 

Unobservable Input

 

Range

 

Weighted Average

(Dollars in thousands)

 

 

 

Minimum

Maximum

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment securities available-for-sale:

 

 

 

 

 

 

 

 

 

 

 

 

Private label MBS

$

11,116

 

Discounted cash flows

 

Discount rate

 

13.7%

13.7%

 

13.7%

 

 

 

 

 

 

Prepayment rate

 

6.8%

10.3%

 

7.9%

 

 

 

 

 

 

Projected Cumulative Loss Rate

 

0.0%

7.4%

 

2.8%

 

 

 

 

 

 

 

 

 

 

 

 

Puerto Rico government obligations

 

2,974

 

Discounted cash flows

 

Discount rate

 

6.9%

6.9%

 

6.9%

 

 

 

 

 

 

Prepayment rate

 

3.0%

3.0%

 

3.0%
Schedule Of Changes In Unrealized Gains Losses [Table Text Block]

The table below summarizes changes in unrealized gains and losses recorded in earnings for the years ended December 31, 2020, 2019 and 2018 for Level 3 assets and liabilities that were still held at the end of each year:

 

 

 

 

 

 

 

 

 

 

Changes in Unrealized Losses

 

Year Ended December 31,

 

 

2020

 

 

2019

 

 

2018

Level 3 Instruments Only

Securities Available for Sale

 

Securities Available for Sale

 

Securities Available for Sale

(In thousands)

 

 

 

 

 

 

 

 

Changes in unrealized losses relating to assets

 

 

 

 

 

 

 

 

still held at reporting date:

 

 

 

 

 

 

 

 

OTTI on available-for-sale investment

 

 

 

 

 

 

 

 

securities (credit component) (1)

$

-

 

$

(497)

 

$

(50)

Provision for credit losses (2)

 

(1,641)

 

 

-

 

 

-

Total

$

(1,641)

 

$

(497)

 

$

(50)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
Impairment or Valuation Adjustments were Recorded for Assets Recognized at Fair Value [Table Text Block] As of December 31, 2020, the Corporation recorded losses or valuation adjustments for assets recognized at fair value on a non-recurring basis as shown in the following table:

 

 

Carrying value as of December 31, 2020

 

Losses recorded for the Year Ended December 31, 2020

 

 

Level 1

 

Level 2

 

Level 3

 

 

 

 

(In thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loans receivable (1)

$

-

 

$

-

 

$

246,803

 

$

(5,675)

 

OREO (2)

 

-

 

 

-

 

 

83,060

 

 

(1,970)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of December 31,2019, the Corporation recorded losses or valuation adjustments for assets recognized at fair value on a non-recurring basis as shown in the following table:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Carrying value as of December 31, 2019

 

Losses recorded for the Year Ended December 31,2019

 

 

Level 1

 

Level 2

 

Level 3

 

 

 

 

(In thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loans receivable (1)

$

-

 

$

-

 

$

217,252

 

$

(18,013)

 

OREO (2)

 

-

 

 

-

 

 

101,626

 

 

(6,572)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of December 31, 2018, the Corporation recorded losses or valuation adjustments for assets recognized at fair value on a nonrecurring basis as shown in the following table:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Carrying value as of December 31, 2018

 

Losses recorded for the Year Ended December 31, 2018

 

 

Level 1

 

Level 2

 

Level 3

 

 

 

 

(In thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loans receivable (1)

$

-

 

$

-

 

$

365,726

 

$

(29,799)

 

OREO (2)

 

-

 

 

-

 

 

131,402

 

 

(11,499)

 

Loans Held For Sale (3)

 

-

 

 

-

 

 

16,111

 

 

(10,102)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis, Valuation Techniques [Table Text Block]

Qualitative information regarding the fair value measurements for Level 3 financial instruments as of December 31, 2020 are as follows:

 

 

 

 

 

December 31,2020

 

Method

 

Inputs

Loans

Income, Market, Comparable Sales, Discounted Cash Flows

 

External appraised values; probability weighting of broker price opinions; management assumptions regarding market trends or other relevant factors

OREO

Income, Market, Comparable Sales, Discounted Cash Flows

 

External appraised values; probability weighting of broker price opinions; management assumptions regarding market trends or other relevant factors
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 December 31, 2020 and 2019:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Carrying Amount in Statement of Financial Condition as of December 31,2020

 

Fair Value Estimate as of December 31,2020

 

Level 1

 

Level 2

 

Level 3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(In thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash and due from banks and money

 

 

 

 

 

 

 

 

 

 

 

 

 

 

market investments (amortized cost)

$

1,493,833

 

$

1,493,833

 

$

1,493,833

 

$

-

 

$

-

Investment securities available

 

 

 

 

 

 

 

 

 

 

 

 

 

 

for sale (fair value)

 

4,647,019

 

 

4,647,019

 

 

7,507

 

 

4,627,535

 

 

11,977

Investment securities held to maturity (amortized cost)

$

189,488

 

 

 

 

 

 

 

 

 

 

 

 

Less: allowance for credit losses on

 

 

 

 

 

 

 

 

 

 

 

 

 

 

held to maturity securities

 

(8,845)

 

 

 

 

 

 

 

 

 

 

 

 

Investment securities held to maturity, net of allowance

$

180,643

 

 

173,806

 

 

-

 

 

-

 

 

173,806

Equity securities (fair value)

 

37,588

 

 

37,588

 

 

1,474

 

 

36,114

 

 

-

Loans held for sale (lower of cost or market)

 

50,289

 

 

52,322

 

 

-

 

 

52,322

 

 

-

Loans, held for investment (amortized cost)

 

11,777,289

 

 

 

 

 

 

 

 

 

 

 

 

Less: allowance for credit losses for loans and finance leases

 

(385,887)

 

 

 

 

 

 

 

 

 

 

 

 

Loans held for investment, net of allowance

$

11,391,402

 

 

11,564,635

 

 

-

 

 

-

 

 

11,564,635

Derivatives, included in assets (fair value)

 

2,482

 

 

2,482

 

 

-

 

 

2,482

 

 

-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deposits (amortized cost)

$

15,317,383

 

$

15,363,236

 

$

-

 

$

15,363,236

 

$

-

Securities sold under agreements to

 

 

 

 

 

 

 

 

 

 

 

 

 

 

repurchase (amortized cost)

 

300,000

 

 

329,493

 

 

-

 

 

329,493

 

 

-

Advances from FHLB (amortized cost)

 

440,000

 

 

446,703

 

 

-

 

 

446,703

 

 

-

Other borrowings (amortized cost)

 

183,762

 

 

151,645

 

 

-

 

 

-

 

 

151,645

Derivatives, included in liabilities (fair value)

 

1,920

 

 

1,920

 

 

-

 

 

1,920

 

 

-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Carrying Amount in Statement of Financial Condition as of December 31, 2019

 

Fair Value Estimate as of December 31, 2019

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(In thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash and due from banks and money

 

 

 

 

 

 

 

 

 

 

 

 

 

 

market investments (amortized cost)

$

644,099

 

$

644,099

 

$

644,099

 

$

-

 

$

-

Investment securities available

 

 

 

 

 

 

 

 

 

 

 

 

 

 

for sale (fair value)

 

2,123,525

 

 

2,123,525

 

 

7,479

 

 

2,101,456

 

 

14,590

Investment securities held to maturity (amortized cost)

 

138,675

 

 

110,374

 

 

-

 

 

-

 

 

110,374

Equity Securities (fair value)

 

38,249

 

 

38,249

 

 

1,428

 

 

36,821

 

 

-

Loans held for sale (lower of cost or market)

 

39,477

 

 

40,234

 

 

-

 

 

40,234

 

 

-

Loans held for investment (amortized cost)

 

9,002,205

 

 

 

 

 

 

 

 

 

 

 

 

Less: allowance for credit losses for loans and finance leases

 

(155,139)

 

 

 

 

 

 

 

 

 

 

 

 

Loans held for investment, net of allowance

$

8,847,066

 

 

8,715,144

 

 

-

 

 

-

 

 

8,715,144

Derivatives, included in assets (fair value)

 

372

 

 

372

 

 

-

 

 

372

 

 

-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deposits (amortized cost)

$

9,348,429

 

$

9,372,591

 

$

-

 

$

9,372,591

 

$

-

Securities sold under agreements to

 

 

 

 

 

 

 

 

 

 

 

 

 

 

repurchase (amortized cost)

 

100,000

 

 

120,020

 

 

-

 

 

120,020

 

 

-

Advances from FHLB (amortized cost)

 

570,000

 

 

578,498

 

 

-

 

 

578,498

 

 

-

Other borrowings (amortized cost)

 

184,150

 

 

180,577

 

 

-

 

 

-

 

 

180,577

Derivatives, included in liabilities (fair value)

 

149

 

 

149

 

 

-

 

 

149

 

 

-
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 and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the years ended December 31, 2020, 2019, and 2018:

 

 

 

 

 

 

 

 

 

 

 

 

2020

 

2019

 

2018

 

Level 3 Instruments Only

Securities Available for Sale (1)

 

Securities Available for Sale (1)

 

Securities Available for Sale (1)

 

(In thousands)

 

 

 

 

 

 

 

 

 

Beginning balance

$

14,590

 

$

17,238

 

$

19,855

 

Total gain (losses) (realized/unrealized):

 

 

 

 

 

 

 

 

 

Included in other comprehensive income

 

2,403

 

 

714

 

 

222

 

Included in earnings

 

(1,641)

 

 

(497)

 

 

(50)

 

BSPR securities acquired

 

150

 

 

-

 

 

-

 

Purchases

 

-

 

 

-

 

 

500

 

Principal repayments and amortization

 

(3,525)

 

 

(2,865)

 

 

(3,289)

 

Ending balance

$

11,977

 

$

14,590

 

$

17,238

 

 

 

 

 

 

 

 

 

 

 

___________________

 

 

 

 

 

 

 

 

(1)

Amounts mostly related to private label MBS.