PNC Bank 2005 Annual Report Download - page 31

31
OFF-BALANCE SHEET
ARRANGEMENTS AND VIES
We engage in a variety of activities that involve
unconsolidated entities or that are otherwise not reflected in
our Consolidated Balance Sheet that are generally referred
to as “off-balance sheet arrangements.” The following
sections of this Report provide further information on these
types of activities:
• Commitments, including contractual obligations
and other commitments, included within the Risk
Management section of Item 7 of this Report, and
• Note 24 Commitments and Guarantees in the Notes
To Consolidated Financial Statements in Item 8 of
this Report.
The following provides a summary of variable interest
entities (“VIEs”), including those in which we hold a
significant variable interest but have not consolidated and
those that we have consolidated into our financial
statements as of December 31, 2005 and 2004.
Non-Consolidated VIEs – Significant Variable Interests
In millions
Aggregate
Assets
Aggregate
Debt
PNC Risk
of Loss
December 31, 2005
Collateralized debt obligations (a) $6,290 $5,491 $51 (b)
Private investment funds (a) 5,186 1,051 13 (b)
Market Street 3,519 3,514 5,089 (c)
Partnership interests in
low income housing projects 35 29 2
Total $15,030 $10,085 $5,155
December 31, 2004
Collateralized debt obligations (a) $3,152 $2,700 $33 (b)
Private investment funds (a) 1,872 125 24 (b)
Partnership interests in
low income housing projects
37
28 4
Total $5,061 $2,853 $61
(a) Held by BlackRock.
(b) Includes both PNC’ s risk of loss and BlackRock’ s risk of loss,
limited to PNC’ s ownership interest in BlackRock.
(c) Includes off-balance sheet liquidity commitments to Market
Street of $4.6 billion and other credit enhancements of $444
million.
Consolidated VIEs – PNC Is Primary Beneficiary
In millions
Aggregate
Assets
Aggregate
Debt
December 31, 2005
Partnership interests in
low income housing projects $680 $680
Other 12 10
Total $692 $690
December 31, 2004
Market Street $2,167 $2,167
Partnership interests in
low income housing projects 504 504
Other 13 10
Total $2,684 $2,681
• BlackRock is involved with various entities in the
normal course of business that may be deemed to
be VIEs and may hold interests therein, including
investment advisory agreements and equity
securities, which may be considered variable
interests. BlackRock engages in these transactions
principally to address client needs through the
launch of collateralized debt obligations (“CDOs”)
and private investment funds. BlackRock has not
been deemed the primary beneficiary of these
entities. Additional information about BlackRock
is available in its SEC filings, which can be found
at www.sec.gov and on BlackRock’ s website,
www.blackrock.com.
• Market Street is a multi-seller asset-backed
commercial paper conduit that is owned by an
independent third party. Market Street’ s activities
are limited to the purchasing of assets or making of
loans secured by interests primarily in pools of
receivables from US corporations that desire
access to the commercial paper market. Market
Street funds the purchases or loans by issuing
commercial paper which has been rated A1/P1 by
Standard & Poor’ s and Moody’ s, respectively, and
is supported by pool-specific credit enhancement,
liquidity facilities and program-level credit
enhancement.
PNC Bank, N.A. provides certain administrative
services, a portion of the program-level credit
enhancement and the majority of liquidity facilities
to Market Street in exchange for fees negotiated
based on market rates. Credit enhancement is
provided in part by PNC Bank, N.A. in the form of
a cash collateral account that is funded by a loan
facility that expires March 25, 2010. See Note 7
Loans, Commitments To Extend Credit and
Concentrations of Credit Risk and Note 24
Commitments and Guarantees in the Notes To
Consolidated Financial Statements in Item 8 of this
Report for additional information. PNC views its
credit exposure to Market Street transactions as