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Transfers of financial assets and mortgage servicing assets (Tables)
9 Months Ended
Sep. 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 September
 
30, 2024
(In thousands)
Level 1
Level 2
Level 3
Initial Fair Value
Assets
Trading account debt securities:
Mortgage-backed securities - GNMA
$
-
$
3,083
$
-
$
3,083
Mortgage-backed securities - FNMA
$
-
$
3,273
$
-
$
3,273
Total trading account
 
debt securities
$
-
$
6,356
$
-
$
6,356
Mortgage servicing rights
$
-
$
-
$
117
$
117
Total
 
$
-
$
6,356
$
117
$
6,473
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Proceeds Obtained During the Nine months Ended September
 
30, 2024
(In thousands)
Level 1
Level 2
Level 3
Initial Fair Value
Assets
Trading account debt securities:
Mortgage-backed securities - GNMA
$
-
$
4,183
$
-
$
4,183
Mortgage-backed securities - FNMA
-
6,979
-
6,979
Total trading account
 
debt securities
$
-
$
11,162
$
-
$
11,162
Mortgage servicing rights
$
-
$
-
$
234
$
234
Total
 
$
-
$
11,162
$
234
$
11,396
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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
Changes in MSRs measured using the fair value method
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential MSRs
(In thousands)
September 30, 2024
September 30, 2023
Fair value at beginning of period
$
118,109
$
128,350
Additions
998
1,814
Changes due to payments on loans
 
[1]
(6,629)
(7,569)
Reduction due to loan repurchases
(372)
(468)
Changes in fair value due to changes in valuation model inputs
 
or assumptions
(3,279)
(1,828)
Other
-
(1,269)
Fair value at end of period
 
[2]
$
108,827
$
119,030
[1] Represents changes due to collection / realization
 
of expected cash flows over time.
[2] At September 30, 2024, PB had MSRs amounting to
 
$
1.8
 
million (September 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
Nine months ended
 
September 30, 2024
September 30, 2023
September 30, 2024
September 30, 2023
BPPR
PB
BPPR
PB
BPPR
PB
BPPR
PB
Prepayment speed
7.8
%
6.8
%
7.3
%
7.0
%
6.9
%
6.4
%
7.1
%
7.1
%
Weighted average life (in years)
8.7
8.8
9.2
8.0
9.2
8.7
9.2
8.0
Discount rate (annual rate)
9.5
%
12.9
%
9.6
%
11.0
%
9.6
%
12.8
%
9.6
%
10.7
%
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)
2024
2023
2024
2023
Fair value of servicing rights
$
34,493
$
39,757
$
74,334
$
78,352
Weighted average life (in years)
6.4
6.6
6.6
6.8
Weighted average prepayment speed (annual
 
rate)
5.9
%
5.9
%
6.9
%
7.0
%
Impact on fair value of 10% adverse change
$
(704)
$
(696)
$
(1,513)
$
(1,440)
Impact on fair value of 20% adverse change
$
(1,377)
$
(1,365)
$
(2,965)
$
(2,827)
Weighted average discount rate (annual rate)
11.4
%
11.3
%
10.8
%
10.9
%
Impact on fair value of 10% adverse change
$
(1,277)
$
(1,387)
$
(2,685)
$
(2,871)
Impact on fair value of 20% adverse change
$
(2,470)
$
(2,686)
$
(5,203)
$
(5,562)