Transfers of financial assets and mortgage servicing assets (Tables)

6 Months Ended

Jun. 30, 2022

Transfers and Servicing of Financial Assets

Initial fair value of the assets obtained as proceeds from residential mortgage loans securitized

		Proceeds Obtained During the Quarter Ended June 30, 2022
(In thousands)	Level 1		Level 2		Level 3		Initial Fair Value
Assets
Trading account debt securities:
Mortgage-backed securities - GNMA	$	-	$	77,269	$	-	$	77,269
Mortgage-backed securities - FNMA		-		37,640		-		37,640
Mortgage-backed securities - FHLMC		-		1,387		-		1,387
Total trading account debt securities	$	-	$	116,296	$	-	$	116,296
Mortgage servicing rights	$	-	$	-	$	1,960	$	1,960
Total	$	-	$	116,296	$	1,960	$	118,256

		Proceeds Obtained During the Six Months Ended June 30, 2022
(In thousands)	Level 1		Level 2		Level 3		Initial Fair Value
Assets
Trading account debt securities:
Mortgage-backed securities - GNMA	$	-	$	155,163	$	-	$	155,163
Mortgage-backed securities - FNMA		-		95,330		-		95,330
Mortgage-backed securities - FHLMC		-		8,505		-		8,505
Total trading account debt securities	$	-	$	258,998	$	-	$	258,998
Mortgage servicing rights	$	-	$	-	$	4,369	$	4,369
Total	$	-	$	258,998	$	4,369	$	263,367

		Proceeds Obtained During the Quarter Ended June 30, 2021
(In thousands)	Level 1		Level 2		Level 3		Initial Fair Value
Assets
Trading account debt securities:
Mortgage-backed securities - GNMA	$	-	$	106,729	$	-	$	106,729
Mortgage-backed securities - FNMA		-		72,555		-		72,555
Mortgage-backed securities - FHLMC		-		13,501		-		13,501
Total trading account debt securities	$	-	$	192,785	$	-	$	192,785
Mortgage servicing rights	$	-	$	-	$	2,880	$	2,880
Total	$	-	$	192,785	$	2,880	$	195,665

		Proceeds Obtained During the Six Months Ended June 30, 2021
(In thousands)	Level 1		Level 2		Level 3		Initial Fair Value
Assets
Trading account debt securities:
Mortgage-backed securities - GNMA	$	-	$	208,717	$	-	$	208,717
Mortgage-backed securities - FNMA		-		158,835		-		158,835
Mortgage-backed securities - FHLMC		-		13,501		-		13,501
Total trading account debt securities	$	-	$	381,053	$	-	$	381,053
Mortgage servicing rights	$	-	$	-	$	5,689	$	5,689
Total	$	-	$	381,053	$	5,689	$	386,742

Changes in MSRs measured using the fair value method

Residential MSRs
(In thousands)	June 30, 2022		June 30, 2021
Fair value at beginning of period	$	121,570	$	118,395
Additions		5,032		6,809
Changes due to payments on loans [1]		(5,877)		(8,012)
Reduction due to loan repurchases		(463)		(851)
Changes in fair value due to changes in valuation model inputs or assumptions		9,571		3,126
Other		44		-
Fair value at end of period [2]	$	129,877	$	119,467
[1] Represents changes due to collection / realization of expected cash flows over time.
[2] At June 30, 2022, PB had MSRs amounting to $2.0 million (June 30, 2021 - $1.3 million).

Key economic assumptions used in measuring the servicing rights retained at the date of the residential mortgage loan securitizations and whole loan sales by the banking subsidiaries

	Quarters ended								Six Months ended
	June 30, 2022				June 30, 2021				June 30, 2022				June 30, 2021
	BPPR		PB		BPPR		PB		BPPR		PB		BPPR		PB
Prepayment speed	4.7	%	7.8	%	5.9	%	12.5	%	5.0	%	8.9	%	7.4	%	21.2	%
Weighted average life (in years)	10.2		8.0		8.9		6.0		9.8		7.4		8.0		9.5
Discount rate (annual rate)	10.5	%	9.5	%	10.4	%	11.0	%	10.4	%	9.8	%	10.5	%	11.0	%

Key economic assumptions used to estimate the fair value of MSRs derived from sales and securitizations of mortgage loans performed by the banking subsidiaries and servicing rights purchased from other financial institutions

		Originated MSRs						Purchased MSRs
		June 30,			December 31,			June 30,			December 31,
(In thousands)		2022			2021			2022			2021
Fair value of servicing rights		$	40,917		$	40,058		$	88,960		$	81,512
Weighted average life (in years)			6.8			7.1			7.5			7.5
Weighted average prepayment speed (annual rate)			6.6	%		7.7	%		6.5	%		7.6	%
	Impact on fair value of 10% adverse change	$	(765)		$	(1,500)		$	(1,747)		$	(1,486)
	Impact on fair value of 20% adverse change	$	(1,505)		$	(2,359)		$	(3,438)		$	(3,495)
Weighted average discount rate (annual rate)			11.2	%		11.2	%		11.0	%		11.0	%
	Impact on fair value of 10% adverse change	$	(1,617)		$	(2,079)		$	(3,694)		$	(2,731)
	Impact on fair value of 20% adverse change	$	(3,118)		$	(3,452)		$	(7,122)		$	(5,832)