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Transfers of financial assets and mortgage servicing assets (Tables)
 6 Months Ended
Jun. 30, 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 June 30, 2024
(In thousands)
Level 1
Level 2
Level 3
Initial Fair Value
Assets
Trading account debt securities:
Mortgage-backed securities - FNMA
$
-
$
2,601
$
-
$
2,601
Total trading account
 
debt securities
$
-
$
2,601
$
-
$
2,601
Mortgage servicing rights
$
-
$
-
$
72
$
72
Total
 
$
-
$
2,601
$
72
$
2,673
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Proceeds Obtained During the Six months Ended June
 
30, 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
-
3,706
-
3,706
Total trading account
 
debt securities
$
-
$
4,806
$
-
$
4,806
Mortgage servicing rights
$
-
$
-
$
117
$
117
Total
 
$
-
$
4,806
$
117
$
4,923
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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
Changes in MSRs measured using the fair value method
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential MSRs
(In thousands)
June 30, 2024
June 30, 2023
Fair value at beginning of period
$
118,109
$
128,350
Additions
661
1,240
Changes due to payments on loans
 
[1]
(4,435)
(5,288)
Reduction due to loan repurchases
(247)
(338)
Changes in fair value due to changes in valuation model inputs
 
or assumptions
(702)
(1,446)
Other
-
(1,269)
Fair value at end of period
 
[2]
$
113,386
$
121,249
[1] Represents changes due to collection / realization
 
of expected cash flows over time.
[2] At June 30, 2024, PB had MSRs amounting to $
1.9
 
million (June 30, 2023 - $
1.9
 
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, 2024
June 30, 2023
June 30, 2024
June 30, 2023
BPPR
PB
BPPR
PB
BPPR
PB
BPPR
PB
Prepayment speed
6.9
%
6.3
%
7.4
%
7.1
%
6.4
%
6.2
%
7.0
%
7.2
%
Weighted average life (in years)
9.2
8.6
9.7
8.1
9.4
8.7
9.1
8.0
Discount rate (annual rate)
9.8
%
12.9
%
9.5
%
10.5
%
9.6
%
12.7
%
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
June 30,
December 31,
June 30,
December 31,
 
(In thousands)
2024
2023
2024
2023
Fair value of servicing rights
$
37,997
$
39,757
$
75,389
$
78,352
Weighted average life (in years)
6.4
6.6
6.6
6.8
Weighted average prepayment speed (annual
 
rate)
5.8
%
5.9
%
6.9
%
7.0
%
Impact on fair value of 10% adverse change
$
(725)
$
(696)
$
(1,425)
$
(1,440)
Impact on fair value of 20% adverse change
$
(1,422)
$
(1,365)
$
(2,794)
$
(2,827)
Weighted average discount rate (annual rate)
11.3
%
11.3
%
10.9
%
10.9
%
Impact on fair value of 10% adverse change
$
(1,408)
$
(1,387)
$
(2,735)
$
(2,871)
Impact on fair value of 20% adverse change
$
(2,725)
$
(2,686)
$
(5,300)
$
(5,562)