| 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 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) |
|
|