PNC Bank 2010 Annual Report Download - page 123
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Please find page 123 of the 2010 PNC Bank annual report below. You can navigate through the pages in the report by either clicking on the pages listed below, or by using the keyword search tool below to find specific information within the annual report.Non-Consolidated VIEs
In millions
Aggregate
Assets
Aggregate
Liabilities
PNC
Risk
of Loss
Carrying
Value of
Assets
Carrying
Value of
Liabilities
December 31, 2010
Tax Credit Investments (a) $ 4,086 $ 2,258 $ 782 $ 782(c) $301(d)
Commercial Mortgage-Backed Securitizations (b) 79,142 79,142 2,068 2,068(e)
Residential Mortgage-Backed Securitizations (b) 42,986 42,986 2,203 2,199(e) 4 (d)
Collateralized Debt Obligations 18 1 1 (c)
Total $126,232 $124,386 $5,054 $5,050 $305
In millions
Aggregate
Assets
Aggregate
Liabilities
PNC Risk
of Loss
December 31, 2009
Market Street $3,698 $3,718 $6,155(f)
Tax Credit Investments (a) 1,786 1,156 743
Collateralized Debt Obligations 23 2
Total $5,507 $4,874 $6,900
(a) Amounts reported primarily represent LIHTC investments. Aggregate assets and aggregate liabilities represent estimated balances due to limited availability of financial information
associated with certain acquired partnerships.
(b) Amounts reported reflect involvement with securitization SPEs where PNC transferred to and/or services loans for a SPE and we hold securities issued by that SPE. We also invest in
other mortgage and asset-backed securities issued by third-party VIEs with which we have no continuing involvement. Further information on these securities is included in Note 7
Investment Securities and values disclosed represent our maximum exposure to loss for those securities’ holdings.
(c) Included in Equity investments on our Consolidated Balance Sheet.
(d) Included in Other liabilities on our Consolidated Balance Sheet.
(e) Included in Trading securities, Investment securities, Other intangible assets, and Other assets on our Consolidated Balance Sheet.
(f) PNC’s risk of loss consisted of off-balance sheet liquidity commitments to Market Street of $5.6 billion and other credit enhancements of $.6 billion at December 31, 2009.
M
ARKET
S
TREET
Market Street is a multi-seller asset-backed commercial paper
conduit that is owned by an independent third party. Market
Street’s activities primarily involve purchasing assets or
making loans secured by interests in pools of receivables from
US corporations that desire access to the commercial paper
market. Market Street funds the purchases of assets or loans
by issuing commercial paper and is supported by pool-specific
credit enhancements, liquidity facilities and program-level
credit enhancement. Generally, Market Street mitigates its
potential interest rate risk by entering into agreements with its
borrowers that reflect interest rates based upon its weighted
average commercial paper cost of funds. During 2010 and
2009, Market Street met all of its funding needs through the
issuance of commercial paper.
PNC Bank, N.A. provides certain administrative services, the
program-level credit enhancement and all of the liquidity
facilities to Market Street in exchange for fees negotiated
based on market rates. Through these arrangements, PNC has
the power to direct the activities of the SPE that most
significantly affect its economic performance and these
arrangements expose PNC to expected losses or residual
returns that are significant to Market Street.
The commercial paper obligations at December 31, 2010 and
December 31, 2009 were supported by Market Street’s assets.
While PNC may be obligated to fund under the $5.7 billion of
liquidity facilities for events such as commercial paper market
disruptions, borrower bankruptcies, collateral deficiencies or
covenant violations, our credit risk under the liquidity
facilities is secondary to the risk of first loss provided by the
borrower such as by the over-collateralization of the assets or
by another third party in the form of deal-specific credit
enhancement. Deal-specific credit enhancement that supports
the commercial paper issued by Market Street is generally
structured to cover a multiple of expected losses for the pool
of assets and is sized to generally meet rating agency
standards for comparably structured transactions. In addition,
PNC would be required to fund $658 million of the liquidity
facilities if the underlying assets are in default. Market Street
creditors have no direct recourse to PNC.
PNC provides program-level credit enhancement to cover net
losses in the amount of 10% of commitments, excluding
explicitly rated AAA/Aaa facilities. PNC provides 100% of
the enhancement in the form of a cash collateral account
funded by a loan facility. This facility expires in June 2015. At
December 31, 2010, $601 million was outstanding on this
facility. This amount was eliminated in PNC’s Consolidated
Balance Sheet as of December 31, 2010 due to the
consolidation of Market Street. We are not required to nor
have we provided additional financial support to the SPE.
C
REDIT
C
ARD
S
ECURITIZATION
T
RUST
We are the sponsor of several credit card securitizations
facilitated through a trust. This bankruptcy-remote SPE or
VIE was established to purchase credit card receivables from
the sponsor and to issue and sell asset-backed securities
created by it to independent third-parties. The SPE was
financed primarily through the sale of these asset-backed
securities. These transactions were originally structured as a
form of liquidity and to afford favorable capital treatment. At
December 31, 2010, Series 2006-1, 2007-1, and 2008-3 issued
115