XML 254 R82.htm IDEA: XBRL DOCUMENT v3.19.3.a.u2
Fair value measurement (Tables)
12 Months Ended
Dec. 31, 2019
Fair Value Disclosures  
Assets and Liabilities Measured at Fair Value on a Recurring Basis

At December 31, 2019

(In thousands)

Level 1

Level 2

Level 3

Total

RECURRING FAIR VALUE MEASUREMENTS

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

Debt securities available-for-sale:

 

 

 

 

 

 

 

 

U.S. Treasury securities

$

3,841,715

$

8,214,540

$

-

$

12,056,255

Obligations of U.S. Government sponsored entities

 

-

 

122,404

 

-

 

122,404

Obligations of Puerto Rico, States and political subdivisions

 

-

 

6,975

 

-

 

6,975

Collateralized mortgage obligations - federal agencies

 

-

 

586,175

 

-

 

586,175

Mortgage-backed securities

 

-

 

4,875,132

 

1,182

 

4,876,314

Other

 

-

 

350

 

-

 

350

Total debt securities available-for-sale

$

3,841,715

$

13,805,576

$

1,182

$

17,648,473

Trading account debt securities, excluding derivatives:

 

 

 

 

 

 

 

 

U.S. Treasury securities

$

7,081

$

2

$

-

$

7,083

Obligations of Puerto Rico, States and political subdivisions

 

-

 

633

 

-

 

633

Collateralized mortgage obligations

 

-

 

76

 

530

 

606

Mortgage-backed securities

 

-

 

28,556

 

-

 

28,556

Other

 

-

 

3,003

 

440

 

3,443

Total trading account debt securities, excluding derivatives

$

7,081

$

32,270

$

970

$

40,321

Equity securities

$

-

$

21,327

$

-

$

21,327

Mortgage servicing rights

 

-

 

-

 

150,906

 

150,906

Derivatives

 

-

 

17,966

 

-

 

17,966

Total assets measured at fair value on a recurring basis

$

3,848,796

$

13,877,139

$

153,058

$

17,878,993

Liabilities

 

 

 

 

 

 

 

 

Derivatives

$

-

$

(16,619)

$

-

$

(16,619)

Total liabilities measured at fair value on a recurring basis

$

-

$

(16,619)

$

-

$

(16,619)

 

 

 

 

 

 

 

 

 

At December 31, 2018

(In thousands)

Level 1

Level 2

Level 3

Total

RECURRING FAIR VALUE MEASUREMENTS

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

Debt securities available-for-sale:

 

 

 

 

 

 

 

 

U.S. Treasury securities

$

2,719,740

$

5,552,456

$

-

$

8,272,196

Obligations of U.S. Government sponsored entities

 

-

 

333,309

 

-

 

333,309

Obligations of Puerto Rico, States and political subdivisions

 

-

 

6,742

 

-

 

6,742

Collateralized mortgage obligations - federal agencies

 

-

 

728,671

 

-

 

728,671

Mortgage-backed securities

 

-

 

3,957,545

 

1,233

 

3,958,778

Other

 

-

 

488

 

-

 

488

Total debt securities available-for-sale

$

2,719,740

$

10,579,211

$

1,233

$

13,300,184

Trading account debt securities, excluding derivatives:

 

 

 

 

 

 

 

 

U.S. Treasury securities

$

6,278

$

-

$

-

$

6,278

Obligations of Puerto Rico, States and political subdivisions

 

-

 

134

 

-

 

134

Collateralized mortgage obligations

 

-

 

48

 

611

 

659

Mortgage-backed securities

 

-

 

27,214

 

43

 

27,257

Other

 

-

 

2,974

 

485

 

3,459

Total trading account debt securities, excluding derivatives

$

6,278

$

30,370

$

1,139

$

37,787

Equity securities

$

-

$

13,296

$

-

$

13,296

Mortgage servicing rights

 

-

 

-

 

169,777

 

169,777

Derivatives

 

-

 

13,603

 

-

 

13,603

Total assets measured at fair value on a recurring basis

$

2,726,018

$

10,636,480

$

172,149

$

13,534,647

Liabilities

 

 

 

 

 

 

 

 

Derivatives

$

-

$

(12,320)

$

-

$

(12,320)

Total liabilities measured at fair value on a recurring basis

$

-

$

(12,320)

$

-

$

(12,320)

Nonrecurring fair value measurements

Year ended December 31, 2019

(In thousands)

Level 1

Level 2

Level 3

Total

 

 

NONRECURRING FAIR VALUE MEASUREMENTS

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

Write-downs

Loans[1]

$

-

$

-

$

35,363

$

35,363

$

(13,533)

Other real estate owned[2]

 

-

 

-

 

18,132

 

18,132

 

(3,526)

Other foreclosed assets[2]

 

-

 

-

 

1,213

 

1,213

 

(156)

Long-lived assets held-for-sale[3]

 

-

 

-

 

2,500

 

2,500

 

(2,591)

Total assets measured at fair value on a nonrecurring basis

$

-

$

-

$

57,208

$

57,208

$

(19,806)

[1]

Relates mostly to certain impaired collateral dependent loans. The impairment was measured based on the fair value of the collateral, which is derived from appraisals that take into consideration prices in observed transactions involving similar assets in similar locations, in accordance with the provisions of ASC Section 310-10-35. Costs to sell are excluded from the reported fair value amount.

[2]

Represents the fair value of foreclosed real estate and other collateral owned that were written down to their fair value. Costs to sell are excluded from the reported fair value amount.

[3]

Represents the fair value of long-lived assets held-for-sale that were written down to their fair value.

Year ended December 31, 2018

 

 

 

 

 

 

 

 

 

 

(In thousands)

Level 1

Level 2

Level 3

Total

 

 

NONRECURRING FAIR VALUE MEASUREMENTS

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

Write-downs

Loans[1]

$

-

$

-

$

73,893

$

73,893

$

(25,745)

Other real estate owned[2]

 

-

 

-

 

43,463

 

43,463

 

(9,189)

Other foreclosed assets[2]

 

-

 

-

 

1,349

 

1,349

 

(722)

Total assets measured at fair value on a nonrecurring basis

$

-

$

-

$

118,705

$

118,705

$

(35,656)

[1]

Relates mostly to certain impaired collateral dependent loans. The impairment was measured based on the fair value of the collateral, which is derived from appraisals that take into consideration prices in observed transactions involving similar assets in similar locations, in accordance with the provisions of ASC Section 310-10-35. Costs to sell are excluded from the reported fair value amount.

[2]

Represents the fair value of foreclosed real estate and other collateral owned that were written down to their fair value. Costs to sell are excluded from the reported fair value amount.

Year ended December 31, 2017

 

 

 

 

 

 

 

 

 

 

(In thousands)

Level 1

Level 2

Level 3

Total

 

 

NONRECURRING FAIR VALUE MEASUREMENTS

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

Write-downs

Loans[1]

$

-

$

-

$

64,041

$

64,041

$

(16,807)

Other real estate owned[2] [3]

 

-

 

-

 

89,743

 

89,743

 

(19,085)

Other foreclosed assets[2]

 

-

 

-

 

2,176

 

2,176

 

(890)

Total assets measured at fair value on a nonrecurring basis

$

-

$

-

$

155,960

$

155,960

$

(36,782)

[1]

Relates mostly to certain impaired collateral dependent loans. The impairment was measured based on the fair value of the collateral, which is derived from appraisals that take into consideration prices in observed transactions involving similar assets in similar locations, in accordance with the provisions of ASC Section 310-10-35. Costs to sell are excluded from the reported fair value amount.

[2]

Represents the fair value of foreclosed real estate and other collateral owned that were written down to their fair value. Costs to sell are excluded from the reported fair value amount.

[3]

Write-down include $2.7 million related to estimated damages caused by Hurricanes Irma and Maria based on the sample of properties examined.

Assets measured on recurring basis, unobservable input reconciliation

 

Year ended December 31, 2019

 

 

MBS

 

 

 

 

Other

 

 

 

 

 

 

classified

CMOs

 

 

securities

 

 

 

 

 

 

as debt

classified

MBS

classified

 

 

 

 

 

 

securities

as trading

classified as

as trading

Mortgage

 

 

 

available-

account debt

trading account

account debt

servicing

Total

(In thousands)

for-sale

securities

debt securities

securities

rights

assets

Balance at January 1, 2019

$

1,233

$

611

$

43

$

485

$

169,777

$

172,149

Gains (losses) included in earnings

 

-

 

(1)

 

(1)

 

(45)

 

(27,516)

 

(27,563)

Gains (losses) included in OCI

 

(1)

 

-

 

-

 

-

 

-

 

(1)

Additions

 

-

 

71

 

25

 

-

 

9,143

 

9,239

Settlements

 

(50)

 

(151)

 

(41)

 

-

 

(498)

 

(740)

Transfers out of Level 3

 

-

 

-

 

(26)

 

-

 

-

 

(26)

Balance at December 31, 2019

$

1,182

$

530

$

-

$

440

$

150,906

$

153,058

Changes in unrealized gains (losses) included in earnings relating to assets still held at December 31, 2019

$

-

$

1

$

-

$

20

$

(14,190)

$

(14,169)

 

Year ended December 31, 2018

 

 

MBS

 

 

 

 

Other

 

 

 

 

 

 

 

 

 

 

classified

CMOs

 

 

securities

 

 

 

 

 

 

 

 

 

 

as debt

classified

MBS

classified

 

 

 

 

 

 

 

 

 

 

securities

as trading

classified as

as trading

Mortgage

 

 

 

 

 

 

available-

account debt

trading account

account debt

servicing

Total

Contingent

Total

(In thousands)

for-sale

securities

debt securities

securities

rights

assets

consideration [1]

liabilities

Balance at January 1, 2018

$

1,288

$

529

$

43

$

529

$

168,031

$

170,420

$

(164,858)

$

(164,858)

Gains (losses) included in earnings

 

-

 

2

 

-

 

(44)

 

(8,477)

 

(8,519)

 

(6,112)

 

(6,112)

Gains (losses) included in OCI

 

(5)

 

-

 

-

 

-

 

-

 

(5)

 

-

 

-

Additions

 

-

 

260

 

-

 

-

 

10,223

 

10,483

 

-

 

-

Settlements

 

(50)

 

(180)

 

-

 

-

 

-

 

(230)

 

170,970

 

170,970

Balance at December 31, 2018

$

1,233

$

611

$

43

$

485

$

169,777

$

172,149

$

-

$

-

Changes in unrealized gains (losses) included in earnings relating to assets still held at December 31, 2018

$

-

$

2

$

-

$

20

$

8,703

$

8,725

$

-

$

-

[1]

Effective May 22, 2018, the Corporation entered into a Termination Agreement with the FDIC to terminate the Corporation’s loss share arrangement ahead of their contractual maturities. Refer to Note 10 for additional information.

 

Year ended December 31, 2017

 

 

MBS

 

 

 

 

Other

 

 

 

 

 

 

 

 

 

 

classified

CMOs

 

 

securities

 

 

 

 

 

 

 

 

 

 

as debt

classified

MBS

classified

 

 

 

 

 

 

 

 

 

 

securities

as trading

classified as

as trading

Mortgage

 

 

 

 

 

 

available-

account debt

trading account

account debt

servicing

Total

Contingent

Total

(In thousands)

for-sale

securities

debt securities

securities

rights

assets

consideration

liabilities

Balance at January 1, 2017

$

1,392

$

1,321

$

4,755

$

602

$

196,889

$

204,959

$

(153,158)

$

(153,158)

Gains (losses) included in earnings

 

-

 

-

 

(124)

 

(73)

 

(36,519)

 

(36,716)

 

(11,700)

 

(11,700)

Gains (losses) included in OCI

 

9

 

-

 

-

 

-

 

-

 

9

 

-

 

-

Additions

 

-

 

44

 

332

 

-

 

7,661

 

8,037

 

-

 

-

Sales

 

-

 

(365)

 

(156)

 

-

 

-

 

(521)

 

-

 

-

Settlements

 

(25)

 

(195)

 

(876)

 

-

 

-

 

(1,096)

 

-

 

-

Transfers out of Level 3

 

(88)

 

(276)

 

(3,888)

 

-

 

-

 

(4,252)

 

-

 

-

Balance at December 31, 2017

$

1,288

$

529

$

43

$

529

$

168,031

$

170,420

$

(164,858)

$

(164,858)

Changes in unrealized gains (losses) included in earnings relating to assets still held at December 31, 2017

$

-

$

-

$

(3)

$

42

$

(18,986)

$

(18,947)

$

(11,700)

$

(11,700)

Gain (loss) included in earnings, measured on recurring basis

 

 

2019

2018

2017

 

 

Total

Changes in unrealized

Total

Changes in unrealized

Total

Changes in unrealized

 

 

gains (losses)

gains (losses)

gains (losses)

gains (losses)

gains (losses)

gains (losses)

 

 

included

relating to assets still

included

relating to assets still

included

relating to assets still

(In thousands)

in earnings

held at reporting date

in earnings

held at reporting date

in earnings

held at reporting date

FDIC loss share (expense) income

$

-

$

-

$

(6,112)

$

-

$

(11,700)

$

(11,700)

Mortgage banking activities

 

(27,516)

 

(14,190)

 

(8,477)

 

8,703

 

(36,519)

 

(18,986)

Trading account (loss) profit

 

(47)

 

21

 

(42)

 

22

 

(197)

 

39

Total

$

(27,563)

$

(14,169)

$

(14,631)

$

8,725

$

(48,416)

$

(30,647)

Fair value measurements, recurring and nonrecurring valuation techniques

 

 

 

Fair value

 

 

 

 

 

 

 

at December 31,

 

 

 

 

 

(In thousands)

 

2019

 

Valuation technique

Unobservable inputs

Weighted average (range) [1]

CMO's - trading

$

530

 

Discounted cash flow model

Weighted average life

1.6 years (1.3 - 1.8 years)

 

 

 

 

 

 

 

Yield

4.0% (3.9% - 4.4%)

 

 

 

 

 

 

 

Prepayment speed

18.3% (14.8% - 20.7%)

 

Other - trading

$

440

 

Discounted cash flow model

Weighted average life

3.8 years

 

 

 

 

 

 

 

Yield

12.0%

 

 

 

 

 

 

 

Prepayment speed

10.8%

 

Mortgage servicing rights

$

150,906

 

Discounted cash flow model

Prepayment speed

6%(0.2% - 18.5%)

 

 

 

 

 

 

 

Weighted average life

6.5 years (0.1 - 14.4 years)

 

 

 

 

 

 

 

Discount rate

11.1% (9.5% - 14.7%)

 

Loans held-in-portfolio

$

38,907

[2]

External appraisal

Haircut applied on

 

 

 

 

 

 

 

 

external appraisals

10.0%

 

Other real estate owned

$

16,119

[3]

External appraisal

Haircut applied on

 

 

 

 

 

 

 

 

external appraisals

23.8% (5.0% - 35.0%)

 

[1]

Weighted average of significant unobservable inputs used to develop Level 3 fair value measurements were calculated by relative fair value.

[2]

Loans held-in-portfolio in which haircuts were not applied to external appraisals were excluded from this table.

[3]

Other real estate owned in which haircuts were not applied to external appraisals were excluded from this table.

 

 

 

Fair value

 

 

 

 

 

 

 

at December 31,

 

 

 

 

 

(In thousands)

 

2018

 

Valuation technique

Unobservable inputs

Weighted average (range) [1]

CMO's - trading

$

611

 

Discounted cash flow model

Weighted average life

1.9 years (1.3 - 2.1 years)

 

 

 

 

 

 

 

Yield

4.1% (3.9% - 4.4%)

 

 

 

 

 

 

 

Prepayment speed

18.9% (16.3% - 20.7%)

 

Other - trading

$

485

 

Discounted cash flow model

Weighted average life

5.2 years

 

 

 

 

 

 

 

Yield

12.0%

 

 

 

 

 

 

 

Prepayment speed

10.8%

 

Mortgage servicing rights

$

169,777

 

Discounted cash flow model

Prepayment speed

5.3% (0.2% - 17.8%)

 

 

 

 

 

 

 

Weighted average life

6.8 years (0.1 - 17.4 years)

 

 

 

 

 

 

 

Discount rate

11.2% (9.5% - 15.0%)

 

Loans held-in-portfolio

$

61,020

[2]

External appraisal

Haircut applied on

 

 

 

 

 

 

 

 

external appraisals

10.3% (10.0% - 20.0%)

 

Other real estate owned

$

35,233

[3]

External appraisal

Haircut applied on

 

 

 

 

 

 

 

 

external appraisals

24.7% (15.0% - 30.0%)

 

[1]

Weighted average of significant unobservable inputs used to develop Level 3 fair value measurements were calculated by relative fair value.

[2]

Loans held-in-portfolio in which haircuts were not applied to external appraisals were excluded from this table.

[3]

Other real estate owned in which haircuts were not applied to external appraisals were excluded from this table.