PNC Bank 2006 Annual Report Download - page 99

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N
OTE
6S
ECURITIES
In millions
Amortized
Cost
Unrealized Fair
ValueGains Losses
December 31, 2006
S
ECURITIES
A
VAILABLE
F
OR
S
ALE
(a)
Debt securities
U.S. Treasury and government agencies $611 $(3) $608
Mortgage-backed 17,325 $39 (156) 17,208
Commercial mortgage-backed 3,231 13 (25) 3,219
Asset-backed 1,615 3 (9) 1,609
State and municipal 140 1 (2) 139
Other debt 90 (3) 87
Total debt securities 23,012 56 (198) 22,870
Corporate stocks and other 321 1 (1) 321
Total securities available for sale $23,333 $57 $(199) $23,191
December 31, 2005
S
ECURITIES
A
VAILABLE
F
OR
S
ALE
(a)
Debt securities
U.S. Treasury and government agencies $3,816 $(72) $3,744
Mortgage-backed 13,794 $1 (251) 13,544
Commercial mortgage-backed 1,955 1 (37) 1,919
Asset-backed 1,073 (10) 1,063
State and municipal 159 1 (2) 158
Other debt 87 (1) 86
Total debt securities 20,884 3 (373) 20,514
Corporate stocks and other 196 196
Total securities available for sale $21,080 $3 $(373) $20,710
December 31, 2004
S
ECURITIES
A
VAILABLE
F
OR
S
ALE
(a)
Debt securities
U.S. Treasury and government agencies $4,735 $(13) $4,722
Mortgage-backed 8,506 $9 (82) 8,433
Commercial mortgage-backed 1,380 5 (15) 1,370
Asset-backed 1,910 5 (14) 1,901
State and municipal 175 2 (1) 176
Other debt 33 33
Total debt securities 16,739 21 (125) 16,635
Corporate stocks and other 123 2 125
Total securities available for sale $16,862 $23 $(125) $16,760
(a) Securities held to maturity at December 31, 2006 and December 31, 2005 totaled less than $.5 million and at December 31, 2004 totaled $1 million.
We evaluate our securities available for sale portfolio in light
of changing market conditions and other factors and, where
appropriate, take steps intended to improve our overall
positioning.
At December 31, 2006 and 2005, our most significant
concentration of credit risk related to investments issued by
the US government and its agencies. This exposure amounted
to $.6 billion at December 31, 2006 and $3.7 billion at
December 31, 2005.
The fair value of securities available for sale generally
decreases when interest rates increase and vice versa. Net
unrealized gains and losses in the securities available for sale
portfolio are included in shareholders’ equity as accumulated
other comprehensive income or loss, net of tax.
The expected weighted-average life of securities available for
sale was 3 years and 8 months at December 31, 2006, 4 years
and 1 month at December 31, 2005, and 2 years and 8 months
at December 31, 2004.
During mid-August through early September 2006, we
performed a comprehensive review of our securities available
for sale portfolio and, by the end of September 2006, completed
the process of executing portfolio rebalancing actions in
response to the changing economic landscape, recent statements
and actions by the Federal Open Market Committee (in
particular, the decision not to raise the federal funds target rate),
and our desire to position the securities portfolio to optimize
total return performance over the long term.
89