v3.25.1
Transfers of financial assets and mortgage servicing assets (Tables)
 3 Months Ended
Mar. 31, 2025
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, 2025
(In thousands)
Level 1
Level 2
Level 3
Initial Fair Value
Assets
Trading account debt securities:
Mortgage-backed securities - FNMA
$
-
$
1,718
$
-
$
1,718
Total trading account debt securities
$
-
$
1,718
$
-
$
1,718
Mortgage servicing rights
$
-
$
-
$
43
$
43
Total
 
$
-
$
1,718
$
43
$
1,761
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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
Changes in MSRs measured using the fair value method
The following
 
table presents
 
the changes
 
in MSRs
 
measured using
 
the fair
 
value method
 
for the
 
quarters ended
 
March 31,
 
2025
and 2024.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential MSRs
(In thousands)
March 31, 2025
March 31, 2024
Fair value at beginning of period
$
108,103
$
118,109
Additions
210
294
Changes due to payments on loans
[1]
(2,114)
(2,100)
Reduction due to loan repurchases
(131)
(137)
Changes in fair value due to changes in valuation model inputs or assumptions
(1,325)
(1,202)
Fair value at end of period
[2]
$
104,743
$
114,964
[1] Represents changes due to collection / realization of expected cash flows over time.
[2] At March 31, 2025, PB had MSRs amounting to $
1.9
 
million (March 31, 2024 - $
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
Key
economic assumptions
 
used in
 
measuring the
 
servicing rights
 
derived from
 
loans securitized
 
or sold
 
by the
 
Corporation during
 
the
quarters ended March 31, 2025 and 2024 were as follows:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Quarters ended
March 31, 2025
March 31, 2024
 
BPPR
PB
BPPR
PB
Prepayment speed
7.2
%
6.3
%
6.1
%
6.0
%
Weighted average life (in years)
9.6
8.8
9.6
8.8
Discount rate (annual rate)
9.8
%
12.9
%
9.5
%
12.5
%
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
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,
 
and
 
the
 
sensitivity
 
to
immediate changes in those assumptions, were as follows as of the end of the periods reported:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Originated MSRs
Purchased MSRs
March 31,
December 31,
March 31,
December 31,
 
(In thousands)
2025
2024
2025
2024
Fair value of servicing rights
$
34,625
$
34,019
$
70,118
$
74,084
Weighted average life (in years)
6.4
6.4
6.6
6.6
Weighted average prepayment speed (annual rate)
5.7
%
5.8
%
6.9
%
6.9
%
Impact on fair value of 10% adverse change
$
(699)
$
(667)
$
(1,415)
$
(1,448)
Impact on fair value of 20% adverse change
$
(1,372)
$
(1,308)
$
(2,775)
$
(2,840)
Weighted average discount rate (annual rate)
11.3
%
11.4
%
10.9
%
10.8
%
Impact on fair value of 10% adverse change
$
(1,279)
$
(1,267)
$
(2,527)
$
(2,689)
Impact on fair value of 20% adverse change
$
(2,476)
$
(2,451)
$
(4,897)
$
(5,211)