Transfers of financial assets and mortgage servicing assets (Tables)

6 Months Ended

Jun. 30, 2023

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, 2023

(In thousands)

Level 1

Level 2

Level 3

Initial Fair Value

Assets

Trading account debt securities:

Mortgage-backed securities - FNMA

$

-

$

13,393

$

-

$

13,393

Total trading account debt securities

$

-

$

13,393

$

-

$

13,393

Mortgage servicing rights

$

-

$

-

$

366

$

366

Total 

$

-

$

13,393

$

366

$

13,759

Proceeds Obtained During the Six months Ended June 30, 2023

(In thousands)

Level 1

Level 2

Level 3

Initial Fair Value

Assets

Trading account debt securities:

Mortgage-backed securities - GNMA

$

-

$

1,067

$

-

$

1,067

Mortgage-backed securities - FNMA

-

23,292

-

23,292

Total trading account debt securities

$

-

$

24,359

$

-

$

24,359

Mortgage servicing rights

$

-

$

-

$

644

$

644

Total 

$

-

$

24,359

$

644

$

25,003

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

Changes in MSRs measured using the fair value method

Residential MSRs

(In thousands)

June 30, 2023

June 30, 2022

Fair value at beginning of period

$

128,350

$

121,570

Additions

1,240

5,032

Changes due to payments on loans

 [1]

(5,288)

(5,877)

Reduction due to loan repurchases

(338)

(463)

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

(1,446)

9,571

Other

(1,269)

44

Fair value at end of period

 [2]

$

121,249

$

129,877

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

[2] At June 30, 2023, PB had MSRs amounting to $

1.9

 million (June 30, 2022 - $

2.0

 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, 2023

June 30, 2022

June 30, 2023

June 30, 2022

BPPR

PB

BPPR

PB

BPPR

PB

BPPR

PB

Prepayment speed

7.4

%

7.1

%

4.7

%

7.8

%

7.0

%

7.2

%

5.0

%

8.9

%

Weighted average life (in years)

9.7

8.1

10.2

8.0

9.1

8.0

9.8

7.4

Discount rate (annual rate)

9.5

%

10.5

%

10.5

%

9.5

%

9.5

%

10.5

%

10.4

%

9.8

%

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)

2023

2022

2023

2022

Fair value of servicing rights

$

39,504

$

41,548

$

81,745

$

86,802

Weighted average life (in years)

6.9

6.8

6.9

6.9

Weighted average prepayment speed (annual rate)

5.8

%

5.9

%

6.9

%

7.0

%

Impact on fair value of 10% adverse change

$

(698)

$

(730)

$

(1,518)

$

(1,602)

Impact on fair value of 20% adverse change

$

(1,369)

$

(1,433)

$

(2,979)

$

(3,143)

Weighted average discount rate (annual rate)

11.3

%

11.2

%

10.9

%

11.0

%

Impact on fair value of 10% adverse change

$

(1,355)

$

(1,485)

$

(2,947)

$

(3,256)

Impact on fair value of 20% adverse change

$

(2,625)

$

(2,876)

$

(5,711)

$

(6,304)