Transfers of financial assets and mortgage servicing assets (Tables)

3 Months Ended

Mar. 31, 2024

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 March 31, 2024

(In thousands)

Level 1

Level 2

Level 3

Initial Fair Value

Assets

Trading account debt securities:

Mortgage-backed securities - GNMA

$

-

$

1,100

$

-

$

1,100

Mortgage-backed securities - FNMA

-

1,105

-

1,105

Total trading account debt securities

$

-

$

2,205

$

-

$

2,205

Mortgage servicing rights

$

-

$

-

$

45

$

45

Total 

$

-

$

2,205

$

45

$

2,250

Proceeds Obtained During the Quarter Ended March 31, 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

-

9,899

-

9,899

Total trading account debt securities

$

-

$

10,966

$

-

$

10,966

Mortgage servicing rights

$

-

$

-

$

278

$

278

Total 

$

-

$

10,966

$

278

$

11,244

Changes in MSRs measured using the fair value method

Residential MSRs

(In thousands)

March 31, 2024

March 31, 2023

Fair value at beginning of period

$

118,109

$

128,350

Additions

294

501

Changes due to payments on loans

[1]

(2,100)

(2,422)

Reduction due to loan repurchases

(137)

(240)

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

(1,202)

1,286

Fair value at end of period

[2]

$

114,964

$

127,475

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

[2] At March 31, 2024, PB had MSRs amounting to $

2

.0 million (March 31, 2023 - $

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

March 31, 2024

March 31, 2023

BPPR

PB

BPPR

PB

Prepayment speed

6.1

%

6.0

%

6.7

%

7.3

%

Weighted average life (in years)

9.6

8.8

8.9

8.0

Discount rate (annual rate)

9.5

%

12.5

%

9.5

%

10.5

%

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

March 31,

December 31,

March 31,

December 31, 

(In thousands)

2024

2023

2024

2023

Fair value of servicing rights

$

38,660

$

39,757

$

76,304

$

78,352

Weighted average life (in years)

6.5

6.6

6.7

6.8

Weighted average prepayment speed (annual rate)

5.7

%

5.9

%

6.8

%

7.0

%

Impact on fair value of 10% adverse change

$

(721)

$

(696)

$

(1,410)

$

(1,440)

Impact on fair value of 20% adverse change

$

(1,416)

$

(1,365)

$

(2,767)

$

(2,827)

Weighted average discount rate (annual rate)

11.3

%

11.3

%

10.9

%

10.9

%

Impact on fair value of 10% adverse change

$

(1,438)

$

(1,387)

$

(2,783)

$

(2,871)

Impact on fair value of 20% adverse change

$

(2,782)

$

(2,686)

$

(5,391)

$

(5,562)