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Fair value measurement (Tables)
 6 Months Ended
Jun. 30, 2024
Fair Value Disclosures  
Assets and Liabilities Measured at Fair Value on a Recurring Basis
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At June 30, 2024
(In thousands)
Level 1
Level 2
Level 3
Measured at NAV
Total
RECURRING FAIR VALUE
 
MEASUREMENTS
Assets
 
 
 
 
 
 
Debt securities available-for-sale:
U.S. Treasury securities
$
7,751,165
$
5,256,221
$
-
$
-
$
13,007,386
Collateralized mortgage obligations - federal
agencies
-
131,853
-
-
131,853
Mortgage-backed securities
-
5,400,959
581
-
5,401,540
Other
-
-
2,000
-
2,000
Total debt securities
 
available-for-sale
$
7,751,165
$
10,789,033
$
2,581
$
-
$
18,542,779
Trading account debt securities, excluding
derivatives:
U.S. Treasury securities
$
7,064
$
-
$
-
$
-
$
7,064
Obligations of Puerto Rico, States and political
subdivisions
-
59
-
-
59
Collateralized mortgage obligations
-
87
-
-
87
Mortgage-backed securities
-
20,560
84
-
20,644
Other
-
-
158
-
158
Total trading account
 
debt securities, excluding
derivatives
$
7,064
$
20,706
$
242
$
-
$
28,012
Equity securities
$
-
$
43,081
$
-
$
388
$
43,469
Mortgage servicing rights
-
-
113,386
-
113,386
Loans held-for-sale
-
5,197
-
-
5,197
Derivatives
 
-
25,228
-
-
25,228
Total assets measured
 
at fair value on a
recurring basis
$
7,758,229
$
10,883,245
$
116,209
$
388
$
18,758,071
Liabilities
Derivatives
$
-
$
(23,198)
$
-
$
-
$
(23,198)
Total liabilities measured
 
at fair value on a
recurring basis
$
-
$
(23,198)
$
-
$
-
$
(23,198)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
At December 31, 2023
(In thousands)
Level 1
Level 2
Level 3
Measured at NAV
Total
RECURRING FAIR VALUE
 
MEASUREMENTS
Assets
 
 
 
 
 
Debt securities available-for-sale:
U.S. Treasury securities
$
3,936,036
$
6,811,025
$
-
$
-
$
10,747,061
Collateralized mortgage obligations - federal
agencies
-
134,686
-
-
134,686
Mortgage-backed securities
-
5,844,180
606
-
5,844,786
Other
-
11
2,500
-
2,511
Total debt securities
 
available-for-sale
$
3,936,036
$
12,789,902
$
3,106
$
-
$
16,729,044
Trading account debt securities, excluding
derivatives:
U.S. Treasury securities
$
16,859
$
-
$
-
$
-
$
16,859
Obligations of Puerto Rico, States and political
subdivisions
-
71
-
-
71
Collateralized mortgage obligations
-
93
5
-
98
Mortgage-backed securities
-
14,261
112
-
14,373
Other
-
-
167
-
167
Total trading account
 
debt securities, excluding
derivatives
$
16,859
$
14,425
$
284
$
-
$
31,568
Equity securities
$
-
$
37,965
$
-
$
310
$
38,275
Mortgage servicing rights
-
-
118,109
-
118,109
Loans held-for-sale
-
3,239
-
-
3,239
Derivatives
 
-
24,419
-
-
24,419
Total assets measured
 
at fair value on a
recurring basis
$
3,952,895
$
12,869,950
$
121,499
$
310
$
16,944,654
Liabilities
 
 
 
Derivatives
$
-
$
(21,103)
$
-
$
-
$
(21,103)
Total liabilities measured
 
at fair value on a
recurring basis
$
-
$
(21,103)
$
-
$
-
$
(21,103)
Difference between the aggregate fair value and the aggregate unpaid principal balance formortgage loans held for sale measured at fair value
The
 
following
 
tables summarize
 
the difference
 
between the
 
aggregate fair
 
value
 
and the
 
aggregate unpaid
 
principal
 
balance
 
for
mortgage loans originated as held-for-sale measured
 
at fair value as of June 30, 2024 and December
 
31, 2023.
 
 
 
 
 
 
(In thousands)
June 30, 2024
Aggregate Unpaid
Fair Value
Principal Balance
Difference
Loans held for sale
$
5,197
$
5,139
$
58
 
 
 
 
 
 
(In thousands)
December 31, 2023
Aggregate Unpaid
Fair Value
Principal Balance
Difference
Loans held for sale
$
3,239
$
3,202
$
37
Nonrecurring fair value measurements
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Six months ended June 30, 2024
(In thousands)
Level 1
Level 2
Level 3
Total
NONRECURRING FAIR VALUE
 
MEASUREMENTS
Assets
 
 
 
 
 
Write-downs
Loans
[1]
$
-
$
-
$
2,039
$
2,039
$
(329)
Loans held-for-sale
[2]
-
3,028
-
3,028
(38)
Other real estate owned
[3]
-
-
4,426
4,426
(1,602)
Other foreclosed assets
[3]
-
-
211
211
(46)
Total assets measured
 
at fair value on a nonrecurring basis
$
-
$
3,028
$
6,676
$
9,704
$
(2,015)
[1] Relates mainly 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. Costs to sell are
excluded from the reported fair value amount.
[2] Relates to a quarterly valuation on loans held-for-sale.
 
Costs to sell are excluded from the reported fair value amount.
 
[3] 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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Six months ended June 30, 2023
(In thousands)
Level 1
Level 2
Level 3
Total
NONRECURRING FAIR VALUE
 
MEASUREMENTS
Assets
 
 
 
 
 
Write-downs
Loans
[1]
$
-
$
-
$
18,923
$
18,923
$
(7,092)
Other real estate owned
[2]
-
-
2,815
2,815
(656)
Other foreclosed assets
[2]
-
-
41
41
(9)
Total assets measured
 
at fair value on a nonrecurring basis
$
-
$
-
$
21,779
$
21,779
$
(7,757)
[1] Relates mainly 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. 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.
Assets measured on recurring basis, unobservable input reconciliation
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Quarter ended June 30, 2024
MBS
Other
MBS
Other
classified
securities
classified
securities
as debt
classified as
 
as trading
classified
securities
 
debt securities
account
as trading
Mortgage
available-
available-
 
debt
account debt
servicing
Total
(In thousands)
for-sale
for-sale
securities
securities
rights
assets
Balance at March 31, 2024
$
607
$
2,000
$
84
$
166
$
114,964
$
117,821
Gains (losses) included in earnings
-
-
-
(8)
(1,945)
(1,953)
Gains (losses) included in OCI
(1)
-
-
-
-
(1)
Additions
-
-
-
-
367
367
Settlements
(25)
-
-
-
-
(25)
Balance at June 30, 2024
$
581
$
2,000
$
84
$
158
$
113,386
$
116,209
Changes in unrealized gains (losses) included in
earnings relating to assets still held at June 30,
2024
$
-
$
-
$
-
$
10
$
500
$
510
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Six months ended June 30, 2024
MBS
Other
MBS
Other
classified
securities
CMOs
classified
securities
as debt
classified as
 
classified
as trading
classified
securities
 
debt securities
as trading
account
as trading
Mortgage
available-
available-
account debt
 
debt
account debt
servicing
Total
(In thousands)
for-sale
for-sale
securities
securities
securities
rights
assets
Balance at January 1, 2024
$
606
$
2,500
$
5
$
112
$
167
$
118,109
$
121,499
Gains (losses) included in earnings
-
(500)
-
-
(9)
(5,384)
(5,893)
Additions
-
-
-
-
-
661
661
Settlements
(25)
-
(5)
(28)
-
-
(58)
Balance at June 30, 2024
$
581
$
2,000
$
-
$
84
$
158
$
113,386
$
116,209
Changes in unrealized gains (losses) included
in earnings relating to assets still held at June
30, 2024
$
-
$
(500)
$
-
$
-
$
12
$
(702)
$
(1,190)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Quarter ended June 30, 2023
MBS
Other
Other
classified
securities
CMOs
MBS
securities
as debt
classified as
classified
classified
classified
securities
debt securities
as trading
as trading
as trading
Mortgage
available-
available-
account debt
account debt
account debt
servicing
Total
(In thousands)
for-sale
for-sale
securities
securities
securities
rights
assets
Balance at March 31, 2023
$
655
$
1,000
$
88
$
188
$
199
$
127,475
$
129,605
Gains (losses) included in earnings
-
-
-
-
(8)
(6,217)
(6,225)
Additions
-
-
4
-
-
739
743
Sales
-
-
-
-
-
(1,269)
(1,269)
Settlements
-
-
(36)
(25)
-
521
460
Balance at June 30, 2023
$
655
$
1,000
$
56
$
163
$
191
$
121,249
$
123,314
Changes in unrealized gains (losses)
included in earnings relating to assets
still held at June 30, 2023
$
-
$
-
$
-
$
-
$
9
$
(2,732)
$
(2,723)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Six months ended June 30, 2023
MBS
Other
Other
classified
securities
CMOs
securities
as debt
classified as
classified
MBS
 
classified
securities
debt securities
as trading
classified as
as trading
Mortgage
available-
available-
account debt
trading account
account debt
servicing
Total
(In thousands)
for-sale
for-sale
securities
securities
securities
rights
assets
Balance at January 1,
 
2023
$
711
$
1,000
$
113
$
215
$
207
$
128,350
$
130,596
Gains (losses) included in earnings
-
-
-
(2)
(16)
(7,593)
(7,611)
Gains (losses) included in OCI
(6)
-
-
-
-
-
(6)
Additions
-
-
4
-
-
1,240
1,244
Sales
-
-
-
-
-
(1,269)
(1,269)
Settlements
(50)
-
(61)
(50)
-
521
360
Balance at June 30, 2023
$
655
$
1,000
$
56
$
163
$
191
$
121,249
$
123,314
Changes in unrealized gains (losses)
included in earnings relating to assets
still held at June 30, 2023
$
-
$
-
$
-
$
(1)
$
18
$
(1,447)
$
(1,430)
Gain (loss) included in earnings, measured on recurring basis
 
 
 
 
 
 
 
 
 
 
Quarter ended June 30, 2024
Six months ended June 30, 2024
Changes in unrealized
Changes in unrealized
Total gains
gains (losses) relating to
Total gains
gains (losses) relating to
(losses) included
assets still held at
(losses) included
assets still held at
(In thousands)
in earnings
reporting date
in earnings
reporting date
Mortgage banking activities
$
(1,945)
$
500
$
(5,384)
$
(702)
Trading account profit (loss)
(8)
10
(9)
12
Provision for credit losses
-
-
(500)
(500)
Total
 
$
(1,953)
$
510
$
(5,893)
$
(1,190)
 
 
 
 
 
 
 
Quarter ended June 30, 2023
Six months ended June 30, 2023
Changes in unrealized
Changes in unrealized
Total gains
gains (losses) relating to
Total gains
gains (losses) relating to
(losses) included
assets still held at
(losses) included
assets still held at
(In thousands)
in earnings
reporting date
in earnings
reporting date
Mortgage banking activities
$
(6,217)
$
(2,732)
$
(7,593)
$
(1,447)
Trading account profit (loss)
(8)
9
(18)
17
Total
 
$
(6,225)
$
(2,723)
$
(7,611)
$
(1,430)
Fair value measurements, recurring and nonrecurring valuation techniques
 
 
 
 
 
 
 
 
 
 
Fair value at
 
June 30,
(In thousands)
2024
Valuation technique
Unobservable inputs
Weighted average (range) [1]
Other - trading
$
158
Discounted cash flow model
Weighted average life
2.3
 
years
Yield
12.0%
Prepayment speed
10.8%
Loans held-in-portfolio
$
2,039
[2]
External appraisal
Haircut applied on
external appraisals
10.0%
[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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fair value at
 
June 30,
(In thousands)
2023
Valuation technique
Unobservable inputs
Weighted average (range) [1]
CMO's - trading
$
56
Discounted cash flow model
Weighted average life
0.2
 
years (
0.2
 
-
0.4
 
years)
Yield
4.9
% (
4.9
% -
5.4
%)
Prepayment speed
7.9
% (
7.7
% -
25
%)
Other - trading
$
191
Discounted cash flow model
Weighted average life
2.5
 
years
Yield
12.0%
Prepayment speed
10.8%
Loans held-in-portfolio
$
18,854
[2]
External appraisal
Haircut applied on
external appraisals
12
.0% (
5
.0% -
20
.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.