Transfers of financial assets and mortgage servicing assets (Tables)

9 Months Ended

Sep. 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 September 30, 2022
(In thousands)	Level 1		Level 2		Level 3		Initial Fair Value
Assets
Trading account debt securities:
Mortgage-backed securities - GNMA	$	-	$	14,190	$	-	$	14,190
Mortgage-backed securities - FNMA		-		21,685		-		21,685
Total trading account debt securities	$	-	$	35,875	$	-	$	35,875
Mortgage servicing rights	$	-	$	-	$	809	$	809
Total	$	-	$	35,875	$	809	$	36,684

		Proceeds Obtained During the Nine months Ended September 30, 2022
(In thousands)	Level 1		Level 2		Level 3		Initial Fair Value
Assets
Trading account debt securities:
Mortgage-backed securities - GNMA	$	-	$	169,352	$	-	$	169,352
Mortgage-backed securities - FNMA		-		117,015		-		117,015
Mortgage-backed securities - FHLMC		-		8,505		-		8,505
Total trading account debt securities	$	-	$	294,872	$	-	$	294,872
Mortgage servicing rights	$	-	$	-	$	5,179	$	5,179
Total	$	-	$	294,872	$	5,179	$	300,051

		Proceeds Obtained During the Quarter Ended September 30, 2021
(In thousands)	Level 1		Level 2		Level 3		Initial Fair Value
Assets
Trading account debt securities:
Mortgage-backed securities - GNMA	$	-	$	84,896	$	-	$	84,896
Mortgage-backed securities - FNMA		-		76,118		-		76,118
Mortgage-backed securities - FHLMC		-		4,268		-		4,268
Total trading account debt securities	$	-	$	165,282	$	-	$	165,282
Mortgage servicing rights	$	-	$	-	$	2,597	$	2,597
Total	$	-	$	165,282	$	2,597	$	167,879

		Proceeds Obtained During the Nine months Ended September 30, 2021
(In thousands)	Level 1		Level 2		Level 3		Initial Fair Value
Assets
Trading account debt securities:
Mortgage-backed securities - GNMA	$	-	$	293,613	$	-	$	293,613
Mortgage-backed securities - FNMA		-		234,953		-		234,953
Mortgage-backed securities - FHLMC		-		17,769		-		17,769
Total trading account debt securities	$	-	$	546,335	$	-	$	546,335
Mortgage servicing rights	$	-	$	-	$	8,286	$	8,286
Total	$	-	$	546,335	$	8,286	$	554,621

Changes in MSRs measured using the fair value method

Residential MSRs
(In thousands)	September 30, 2022		September 30, 2021
Fair value at beginning of period	$	121,570	$	118,395
Additions		6,195		9,888
Changes due to payments on loans [1]		(8,178)		(11,873)
Reduction due to loan repurchases		(646)		(1,047)
Changes in fair value due to changes in valuation model inputs or assumptions		11,556		1,214
Other		44		(10)
Fair value at end of period [2]	$	130,541	$	116,567
[1] Represents changes due to collection / realization of expected cash flows over time.
[2] At September 30, 2022, PB had MSRs amounting to $2.0 million (September 30, 2021 - $1.4 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								Nine months ended
	September 30, 2022				September 30, 2021				September 30, 2022				September 30, 2021
	BPPR		PB		BPPR		PB		BPPR		PB		BPPR		PB
Prepayment speed	5.5	%	7.2	%	5.8	%	13.7	%	5.2	%	8.4	%	6.9	%	20.5	%
Weighted average life (in years)	9.5		8.2		8.8		5.9		9.7		7.7		8.3		15.4
Discount rate (annual rate)	10.7	%	10.0	%	10.5	%	10.0	%	10.5	%	9.8	%	10.5	%	10.9	%

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
		September 30,			December 31,			September 30,			December 31,
(In thousands)		2022			2021			2022			2021
Fair value of servicing rights		$	42,739		$	40,058		$	87,802		$	81,512
Weighted average life (in years)			6.8			7.1			6.8			7.5
Weighted average prepayment speed (annual rate)			6.2	%		7.7	%		7.3	%		7.6	%
	Impact on fair value of 10% adverse change	$	(763)		$	(1,500)		$	(1,645)		$	(1,486)
	Impact on fair value of 20% adverse change	$	(1,496)		$	(2,359)		$	(3,225)		$	(3,495)
Weighted average discount rate (annual rate)			11.2	%		11.2	%		11.0	%		11.0	%
	Impact on fair value of 10% adverse change	$	(1,504)		$	(2,079)		$	(3,242)		$	(2,731)
	Impact on fair value of 20% adverse change	$	(2,913)		$	(3,452)		$	(6,278)		$	(5,832)