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Transfers of financial assets and mortgage servicing assets (Tables) | 9 Months Ended
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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)

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- Definition Tabular disclosure of all information related to the key inputs and assumptions used in measuring the fair value of assets obtained or liabilities incurred, as the result of a sale of financial assets, relating to the transferor's continuing involvement, if any, at the time of securitization, asset-backed financing arrangement, or similar transfer (including at a minimum, but not limited to, and if applicable, quantitative information about discount rates, expected prepayments including the expected weighted-average life of prepayable financial assets, and anticipated credit losses, including expected static pool losses). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 3 -Subparagraph (c) -URI https://asc.fasb.org/extlink&oid=121570589&loc=d3e107207-111719 + Details
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- Definition Tabular disclosure of a sensitivity analysis or stress test showing the hypothetical effect on the fair value of the transferor's interests in transferred financial assets (including any servicing assets or servicing liabilities) of two or more unfavorable variations from the expected levels for each key assumption that is reported, independently determined from any change in another key assumption, and a description of the objectives, methodology, and limitations of the sensitivity analysis or stress test. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 4 -Subparagraph (c) -URI https://asc.fasb.org/extlink&oid=121570589&loc=d3e107314-111719 + Details
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- Definition Tabular disclosure of the activity in the balance of servicing assets (including a description of where changes in fair value are reported in the statement of income for each period for which results of operations are presented), including but not limited to, the following: beginning and ending balances, additions (for instance, through purchases of servicing assets), disposals, changes in fair value during the period resulting from changes in inputs or assumptions used in the valuation model, other changes in fair value along with a description of those changes, and other changes that affect the balance along with a description of those changes. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 50 -Section 50 -Paragraph 3 -Subparagraph (a) -URI https://asc.fasb.org/extlink&oid=128311188&loc=d3e122625-111746 + Details
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