PNC FINANCIAL SERVICES GROUP INC
For the period ended Dec 31, 2023. Filed Feb 21, 2024.
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FY2023 · Filed Feb 21, 2024
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Commercial Mortgage Servicing Rights
Changes in the commercial MSRs follow:
Table 55: Commercial Mortgage Servicing Rights
| In millions | 2023 | 2022 | 2021 |
|---|---|---|---|
| January 1 | $1,113 | $740 | $569 |
| Additions: | |||
| From loans sold with servicing retained | 50 | 62 | 87 |
| Purchases | 44 | 46 | 41 |
| Changes in fair value due to: | |||
| Time and payoffs (a) | (332) | (208) | (119) |
| Other (b) | 157 | 473 | 162 |
| December 31 | $1,032 | $1,113 | $740 |
| Related unpaid principal balance at December 31 | $288,042 | $281,277 | $272,556 |
| Servicing advances at December 31 | $561 | $421 | $463 |
(a)Represents decrease in MSR value due to passage of time, including the impact from regularly scheduled loan principal payments, prepayments and loans that were paid off during the period.
(b)Includes MSR value changes resulting from changes in interest rates and other market-driven conditions.
Residential Mortgage Servicing Rights
We recognize gains (losses) on changes in the fair value of residential MSRs. Residential MSRs are subject to changes in value from actual or expected prepayment of the underlying loans and defaults as well as market driven changes in interest rates. We manage this risk by economically hedging the fair value of residential MSRs with securities and derivative instruments that are expected to increase (or decrease) in value when the value of residential MSRs decreases (or increases).
The fair value of residential MSRs is estimated by using a discounted cash flow valuation model that calculates the present value of estimated future net servicing cash flows, taking into consideration actual and expected mortgage loan prepayment rates, discount rates, servicing costs, and other factors that are determined based on current market conditions.
Changes in the residential MSRs follow:
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