Transfers of financial assets and mortgage servicing assets (Tables)

12 Months Ended

Dec. 31, 2024

Transfers and Servicing of Financial Assets

Initial fair value of the assets obtained as proceeds from residential mortgage loans securitized

The following tables present the initial fair value of the assets obtained as proceeds from residential mortgage loans securitized

during the years ended December 31, 2024 and 2023:

Proceeds Obtained During the Year Ended December 31, 2024

(In thousands)

Level 1

Level 2

Level 3

Initial fair value

Assets

Trading account debt securities:

Mortgage-backed securities - GNMA

$

-

$

6,783

$

-

$

6,783

Mortgage-backed securities - FNMA

-

8,377

-

8,377

Total trading account debt securities

$

-

$

15,160

$

-

$

15,160

Mortgage servicing rights

$

-

$

-

$

302

$

302

Total 

$

-

$

15,160

$

302

$

15,462

Proceeds Obtained During the Year Ended December 31, 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

-

34,857

-

34,857

Total trading account debt securities

$

-

$

37,345

$

-

$

37,345

Mortgage servicing rights

$

-

$

-

$

987

$

987

Total 

$

-

$

37,345

$

987

$

38,332

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 years ended December 31, 2024

and 2023.

Residential MSRs

(In thousands)

December 31, 2024

December 31, 2023

Fair value at beginning of period

$

118,109

$

128,350

Additions

1,364

2,097

Changes due to payments on loans

 [1]

(8,739)

(9,934)

Reduction due to loan repurchases

(511)

(606)

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

(2,120)

(529)

Other

-

(1,269)

Fair value at end of period

 [2]

$

108,103

$

118,109

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

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

1.9

 million (December 31, 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

Key

economic assumptions used in measuring the servicing rights derived from loans securitized or sold by the Corporation during the

years ended December 31, 2024 and 2023 were as follows:

Years ended

December 31, 2024

December 31, 2023

BPPR

PB

BPPR

PB

Prepayment speed

6.8

%

6.3

%

7.0

%

6.8

%

Weighted average life (in years)

9.4

8.7

9.1

8.3

Discount rate (annual rate)

9.7

%

12.8

%

9.6

%

11.1

%

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

December 31,

December 31,

December 31,

December 31, 

(In thousands)

2024

2023

2024

2023

Fair value of servicing rights

$

34,019

$

39,757

$

74,084

$

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

$

(667)

$

(696)

$

(1,448)

$

(1,440)

Impact on fair value of 20% adverse change

$

(1,308)

$

(1,365)

$

(2,840)

$

(2,827)

Weighted average discount rate (annual rate)

11.4

%

11.3

%

10.8

%

10.9

%

Impact on fair value of 10% adverse change

$

(1,267)

$

(1,387)

$

(2,689)

$

(2,871)

Impact on fair value of 20% adverse change

$

(2,451)

$

(2,686)

$

(5,211)

$

(5,562)