PNC Bank 2008 Annual Report Download - page 123

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liquidity. As of December 31, 2008, the conduit has never
experienced any difficulty in accessing the commercial paper
markets. Our acquired commitment declines commensurate
with the unpaid principal balance of the automobile loans
securitized by National City. The commitment amount, which
totaled approximately $115 million at December 31, 2008,
represents our maximum exposure to the conduit. This
commitment expires in December 2009 but may be renewed
annually for an additional 12 months by mutual agreement of
the parties.
Retained interests acquired consisted of an interest-only strip
and asset-backed securities issued by the automobile
securitization QSPE. The interest-only strip and asset-backed
securities are recognized in other assets and investment
securities, respectively, on the Consolidated Balance Sheet
and their initial carrying value was determined based upon
their fair value at the date of acquisition. At December 31,
2008, the fair value of the interest-only strip and retained
asset-backed securities totaled approximately $9 million and
$15 million, respectively. These retained interests represent
the maximum exposure to loss associated with our
involvement in this securitization.
Jumbo Mortgages
At December 31, 2008, National City’s jumbo mortgage
securitization series 2008-1 was outstanding. Our continuing
involvement in the securitized mortgage loans consists
primarily of servicing and limited requirements to repurchase
transferred loans for breaches of representations and
warranties. As servicer, we hold a cleanup call repurchase
option when the outstanding principal balances of the
transferred loans reach 5% of the initial outstanding principal
balance of the mortgage loans securitized.
SBA Loans
We have no continuing involvement in the SBA loans
securitized by National City. The SBA loans were sold
servicing released and National City was not the sponsor of
the securitization’s special purpose entity.
Retained interests acquired consisted solely of interest-only
strips. These retained interests are recognized in other assets
on the Consolidated Balance Sheet, totaled approximately $3
million at December 31, 2008, and represent the maximum
exposure to loss associated with our involvement in this
securitization. The initial carrying value of these retained
interests was determined based upon their fair value at the
date of acquisition.
The following is a summary of owned and securitized loans,
which are managed on a combined basis.
December 31, 2008
In Millions
Principal
Balance
Loans Past Due 30
Days or More
Loans managed
Credit card $3,731 $177
Automobile 289 13
Jumbo mortgages 866 78
SBA 118 8
Total loans managed $5,004 $276
Less: Loans securitized
Credit card $1,824 $ 73
Automobile 250 9
Jumbo mortgages 319 5
SBA 118 8
Total loans securitized $2,511 $ 95
Less: Loans held for securitization
Jumbo mortgages $ 9 $ 4
Loans held in portfolio $2,484 $177
119