Transfers of financial assets and mortgage servicing assets (Tables)

12 Months Ended

Dec. 31, 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 Year Ended December 31, 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

-

122,422

-

122,422

Mortgage-backed securities - FHLMC

-

8,505

-

8,505

Total trading account debt securities

$

-

$

300,279

$

-

$

300,279

Mortgage servicing rights

$

-

$

-

$

5,318

$

5,318

Total 

$

-

$

300,279

$

5,318

$

305,597

Proceeds Obtained During the Year Ended December 31, 2021

(In thousands)

Level 1

Level 2

Level 3

Initial fair value

Assets

Trading account debt securities:

Mortgage-backed securities - GNMA

$

-

$

380,228

$

-

$

380,228

Mortgage-backed securities - FNMA

-

329,617

-

329,617

Mortgage-backed securities - FHLMC

-

22,688

-

22,688

Total trading account debt securities

$

-

$

732,533

$

-

$

732,533

Mortgage servicing rights

$

-

$

-

$

11,314

$

11,314

Total 

$

-

$

732,533

$

11,314

$

743,847

Changes in MSRs measured using the fair value method

Residential MSRs

(In thousands)

December 31, 2022

December 31, 2021

Fair value at beginning of period

$

121,570

$

118,395

Additions

6,614

13,391

Changes due to payments on loans

 [1]

(11,063)

(15,383)

Reduction due to loan repurchases

(779)

(1,233)

Changes in fair value due to changes in valuation model inputs or assumptions

12,845

6,410

Other

(837)

(10)

Fair value at end of period

 [2]

$

128,350

$

121,570

[1] Represents changes due to collection / realization of expected cash flows over time.

[2] At December 31, 2022, PB had MSRs amounting to $

2.0

 million (December 31, 2021 - $

1.6

 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

Years ended

December 31, 2022

December 31, 2021

BPPR

PB

BPPR

PB

Prepayment speed

5.4

%

8.1

%

6.8

%

19.0

%

Weighted average life (in years)

9.5

7.8

8.3

20.9

Discount rate (annual rate)

10.5

%

9.9

%

10.5

%

10.7

%

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

December 31,

December 31,

December 31,

December 31, 

(In thousands)

2022

2021

2022

2021

Fair value of servicing rights

$

41,548

$

40,058

$

86,802

$

81,512

Weighted average life (in years)

6.8

7.1

6.9

7.5

Weighted average prepayment speed (annual rate)

5.9

%

7.7

%

7.0

%

7.6

%

Impact on fair value of 10% adverse change

$

(730)

$

(1,500)

$

(1,602)

$

(1,486)

Impact on fair value of 20% adverse change

$

(1,433)

$

(2,359)

$

(3,143)

$

(3,495)

Weighted average discount rate (annual rate)

11.2

%

11.2

%

11.0

%

11.0

%

Impact on fair value of 10% adverse change

$

(1,485)

$

(2,079)

$

(3,256)

$

(2,731)

Impact on fair value of 20% adverse change

$

(2,876)

$

(3,452)

$

(6,304)

$

(5,832)