Transfers of financial assets and mortgage servicing assets (Tables)

9 Months Ended

Sep. 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 September 30, 2023

(In thousands)

Level 1

Level 2

Level 3

Initial Fair Value

Assets

Trading account debt securities:

Mortgage-backed securities - GNMA

$

-

$

1,421

$

-

$

1,421

Mortgage-backed securities - FNMA

-

10,178

-

10,178

Total trading account debt securities

$

-

$

11,599

$

-

$

11,599

Mortgage servicing rights

$

-

$

-

$

301

$

301

Total 

$

-

$

11,599

$

301

$

11,900

Proceeds Obtained During the Nine months Ended September 30, 2023

(In thousands)

Level 1

Level 2

Level 3

Initial Fair Value

Assets

Trading account debt securities:

Mortgage-backed securities - GNMA

$

-

$

2,488

$

-

$

2,488

Mortgage-backed securities - FNMA

-

33,470

-

33,470

Total trading account debt securities

$

-

$

35,958

$

-

$

35,958

Mortgage servicing rights

$

-

$

-

$

945

$

945

Total 

$

-

$

35,958

$

945

$

36,903

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

Changes in MSRs measured using the fair value method

Residential MSRs

(In thousands)

September 30, 2023

September 30, 2022

Fair value at beginning of period

$

128,350

$

121,570

Additions

1,814

6,195

Changes due to payments on loans

 [1]

(7,569)

(8,178)

Reduction due to loan repurchases

(468)

(646)

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

(1,828)

11,556

Other

(1,269)

44

Fair value at end of period

 [2]

$

119,030

$

130,541

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

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

1.9

 million (September 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

Nine months ended

September 30, 2023

September 30, 2022

September 30, 2023

September 30, 2022

BPPR

PB

BPPR

PB

BPPR

PB

BPPR

PB

Prepayment speed

7.3

%

7.0

%

5.5

%

7.2

%

7.1

%

7.1

%

5.2

%

8.4

%

Weighted average life (in years)

9.2

8.0

9.5

8.2

9.2

8.0

9.7

7.7

Discount rate (annual rate)

9.6

%

11.0

%

10.7

%

10.0

%

9.6

%

10.7

%

10.5

%

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

September 30,

December 31,

September 30,

December 31, 

(In thousands)

2023

2022

2023

2022

Fair value of servicing rights

$

40,346

$

41,548

$

78,684

$

86,802

Weighted average life (in years)

6.6

6.8

6.7

6.9

Weighted average prepayment speed (annual rate)

6.0

%

5.9

%

7.0

%

7.0

%

Impact on fair value of 10% adverse change

$

(728)

$

(730)

$

(1,491)

$

(1,602)

Impact on fair value of 20% adverse change

$

(1,427)

$

(1,433)

$

(2,924)

$

(3,143)

Weighted average discount rate (annual rate)

11.2

%

11.2

%

10.9

%

11.0

%

Impact on fair value of 10% adverse change

$

(1,387)

$

(1,485)

$

(2,842)

$

(3,256)

Impact on fair value of 20% adverse change

$

(2,688)

$

(2,876)

$

(5,508)

$

(6,304)