Fair value measurement (Tables)

12 Months Ended

Dec. 31, 2024

Fair Value Disclosures

Assets and Liabilities Measured at Fair Value on a Recurring Basis

At December 31, 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

$

7,512,171

$

5,482,939

$

-

$

-

$

12,995,110

Collateralized mortgage obligations - federal

agencies

-

120,284

-

-

120,284

Mortgage-backed securities

-

5,127,775

484

-

5,128,259

Other

-

-

2,250

-

2,250

Total debt securities available-for-sale

$

7,512,171

$

10,730,998

$

2,734

$

-

$

18,245,903

Trading account debt securities, excluding

derivatives:

U.S. Treasury securities

$

2,814

$

10

$

-

$

-

$

2,824

Obligations of Puerto Rico, States and political

subdivisions

-

55

-

-

55

Collateralized mortgage obligations

-

655

-

-

655

Mortgage-backed securities

-

29,032

84

-

29,116

Other

-

-

133

-

133

Total trading account debt securities, excluding

derivatives

$

2,814

$

29,752

$

217

$

-

$

32,783

Equity securities

$

-

$

45,664

$

-

$

381

$

46,045

Mortgage servicing rights

-

-

108,103

-

108,103

Loans held-for-sale

-

5,423

-

-

5,423

Derivatives 

-

26,023

-

-

26,023

Total assets measured at fair value on a

recurring basis

$

7,514,985

$

10,837,860

$

111,054

$

381

$

18,464,280

Liabilities

Derivatives

$

-

$

(22,832)

$

-

$

-

$

(22,832)

Total liabilities measured at fair value on a

recurring basis

$

-

$

(22,832)

$

-

$

-

$

(22,832)

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 for mortgage 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 December 31, 2024 and December 31, 2023.

(In thousands)

December 31, 2024

Aggregate Unpaid

Fair Value

Principal Balance

Difference

Loans held for sale

$

5,423

$

5,436

$

(13)

(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

Year ended December 31, 2024

(In thousands)

Level 1

Level 2

Level 3

Total

NONRECURRING FAIR VALUE MEASUREMENTS

Assets 

Write-downs

Loans

[1]

$

-

$

-

$

6,808

$

6,808

$

(939)

Other real estate owned

[2]

-

-

6,050

6,050

(1,934)

Other foreclosed assets

[2]

-

-

134

134

(55)

Total assets measured at fair value on a nonrecurring basis

$

-

$

-

$

12,992

$

12,992

$

(2,928)

[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.

Year ended December 31, 2023

(In thousands)

Level 1

Level 2

Level 3

Total

NONRECURRING FAIR VALUE MEASUREMENTS

Assets 

Write-downs

Loans

[1]

$

-

$

-

$

10,091

$

10,091

$

(3,157)

Other real estate owned

[2]

-

-

6,560

6,560

(1,516)

Other foreclosed assets

[2]

-

-

102

102

(28)

Total assets measured at fair value on a nonrecurring basis

$

-

$

-

$

16,753

$

16,753

$

(4,701)

[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.

Year ended December 31, 2022

(In thousands)

Level 1

Level 2

Level 3

Total

NONRECURRING FAIR VALUE MEASUREMENTS

Assets 

Write-downs

Loans

[1]

$

-

$

-

$

11,215

$

11,215

$

(2,067)

Other real estate owned

[2]

-

-

3,992

3,992

(1,026)

Other foreclosed assets

[2]

-

-

13

13

(1)

Long-lived assets held-for-sale

[3]

-

-

1,178

1,178

(2,155)

Total assets measured at fair value on a nonrecurring basis

$

-

$

-

$

16,398

$

16,398

$

(5,249)

[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. 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.

Assets measured on recurring basis, unobservable input reconciliation

Year ended December 31, 2024

MBS

Other

classified

classified

CMOs

MBS 

Other

as debt

as debt

classified

classified

securities

securities

securities

as trading

as trading

classified as

Mortgage

available-

available-

account debt

account debt

trading account

servicing

Total

(In thousands)

for-sale

for-sale

securities

securities

debt securities

rights

assets

Balance at January 1, 2024

$

606

$

2,500

$

5

$

112

$

167

$

118,109

$

121,499

Gains (losses) included in earnings

-

(500)

-

-

(34)

(11,370)

(11,904)

Gains (losses) included in OCI

3

-

-

-

-

-

3

Additions

-

-

-

-

-

1,364

1,364

Sales

-

250

-

-

-

-

250

Settlements

(125)

-

(5)

(28)

-

-

(158)

Balance at December 31, 2024

$

484

$

2,250

$

-

$

84

$

133

$

108,103

$

111,054

Changes in unrealized gains (losses)

included in earnings relating to assets

still held at December 31, 2024

$

-

$

-

$

-

$

1

$

7

$

(2,120)

$

(2,112)

Year ended December 31, 2023

MBS

Other

Other

classified

classified

CMOs

MBS 

securities

as debt

as debt

classified

classified

classified

securities

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 January 1, 2023

$

711

$

1,000

$

113

$

215

$

207

$

128,350

$

130,596

Gains (losses) included in earnings

-

-

-

(2)

(40)

(11,589)

(11,631)

Gains (losses) included in OCI

(5)

-

-

-

-

-

(5)

Additions

-

1,500

4

-

-

2,097

3,601

Sales

-

-

-

-

-

(1,269)

(1,269)

Settlements

(100)

-

(112)

(101)

-

520

207

Balance at December 31, 2023

$

606

$

2,500

$

5

$

112

$

167

$

118,109

$

121,499

Changes in unrealized gains (losses)

included in earnings relating to assets

still held at December 31, 2023

$

-

$

-

$

-

$

(1)

$

18

$

(529)

$

(512)

Year ended December 31, 2022

MBS

Other

Other

classified

classified

CMOs

MBS 

securities

as debt

as debt

classified

classified as

classified

securities

securities

as trading

trading

as trading

Mortgage

available-

available-

account debt

account debt 

account debt 

servicing

Total

Contingent

Total

(In thousands)

for-sale

for-sale

securities

securities

securities

rights

assets

Consideration

liabilities

Balance at January 1, 2022

$

826

$

-

$

198

$

-

$

280

$

121,570

$

122,874

$

(9,241)

$

(9,241)

Gains (losses) included in

earnings

-

-

(2)

4

(73)

166

95

9,241

9,241

Gains (losses) included in OCI

(15)

-

-

-

-

-

(15)

-

-

Additions

-

1,000

5

211

-

6,614

7,830

-

-

Settlements

(100)

-

(88)

-

-

-

(188)

-

-

Balance at December 31, 2022

$

711

$

1,000

$

113

$

215

$

207

$

128,350

$

130,596

$

-

$

-

Changes in unrealized gains

(losses) included in earnings

relating to assets still held at

December 31, 2022

$

-

$

-

$

(2)

$

4

$

(23)

$

11,964

$

11,943

$

-

$

-

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

2024

2023

2022

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

Mortgage banking activities

$

(11,370)

$

(2,120)

$

(11,589)

$

(529)

$

166

$

11,964

Trading account (loss) profit 

(34)

8

(42)

17

(71)

(21)

Other operating income

-

-

-

-

9,241

-

Provision for credit losses

(500)

-

-

-

-

-

Total 

$

(11,904)

$

(2,112)

$

(11,631)

$

(512)

$

9,336

$

11,943

Fair value measurements, recurring and nonrecurring valuation techniques

The following tables include quantitative information about significant unobservable inputs used to derive the fair value of Level 3

instruments, excluding those instruments for which the unobservable inputs were not developed by the Corporation such as prices

of prior transactions and/or unadjusted third-party pricing sources at December 31, 2024 and 2023.

Fair value at

 December 31,

(In thousands)

2024

Valuation technique

Unobservable inputs

Weighted average (range) [1]

Other - trading

$

133

Discounted cash flow model

Weighted average life

2

 years

Yield

12

.0%

Prepayment speed

10.8

%

Loans held-in-portfolio

$

6,808

[2]

External appraisal

Haircut applied on

external appraisals

6.6

% (

5.0

% -

10.0

%)

Other real estate owned

$

53

[3]

External appraisal

Haircut applied on

external appraisals

60.1

% (

35.0

% -

65.6

%)

[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)

2023

Valuation technique

Unobservable inputs

Weighted average (range) [1]

CMO's - trading

$

5

Discounted cash flow model

Weighted average life

0.2

 years (

0.1

 -

0.2

 years)

Yield

4.9

%

Prepayment speed

14.5

%

Other - trading

$

167

Discounted cash flow model

Weighted average life

2.3

 years

Yield

12

.0%

Prepayment speed

10.8

%

Loans held-in-portfolio

$

10,023

[2]

External appraisal

Haircut applied on

external appraisals

6.9

% (

5

.0% -

10

.0%)

Other real estate owned

$

325

[3]

External appraisal

Haircut applied on

external appraisals

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.