PNC FINANCIAL SERVICES GROUP INC
For the period ended Jun 30, 2024. Filed Aug 2, 2024.
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Jun 30, 2024 · Filed Aug 2, 2024
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Commercial Mortgage Servicing Rights – Key Valuation Assumptions
The following tables set forth the fair value of commercial and residential MSRs and the sensitivity analysis of the hypothetical effect on the fair value of MSRs to immediate adverse changes of 10% and 20% in those assumptions:
Table 55: Commercial Mortgage Servicing Rights – Key Valuation Assumptions
| Dollars in millions | June 30, 2024 | December 31, 2023 |
|---|---|---|
| Fair value | $1,082 | $1,032 |
| Weighted-average life (years) | 3.9 | 3.9 |
| Weighted-average constant prepayment rate | 5.30% | 5.51% |
| Decline in fair value from 10% adverse change | $9 | $9 |
| Decline in fair value from 20% adverse change | $16 | $17 |
| Effective discount rate | 9.98% | 9.64% |
| Decline in fair value from 10% adverse change | $32 | $31 |
| Decline in fair value from 20% adverse change | $64 | $61 |
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