PNC Bank 2010 Annual Report Download - page 137
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Please find page 137 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.Gross Unrealized Loss and Fair Value of Securities Available for Sale
In millions
Unrealized loss position
less than 12 months
Unrealized loss position
12 months or more Total
Unrealized
Loss
Fair
Value
Unrealized
Loss
Fair
Value
Unrealized
Loss
Fair
Value
December 31, 2010
Debt securities
US Treasury and government agencies $ (22) $ 398 $ (22) $ 398
Residential mortgage-backed
Agency (406) 17,040 $ (14) $ 186 (420) 17,226
Non-agency (17) 345 (1,173) 5,707 (1,190) 6,052
Commercial mortgage-backed
Agency (6) 344 (6) 344
Non-agency (8) 184 (3) 84 (11) 268
Asset-backed (5) 441 (233) 776 (238) 1,217
State and municipal (22) 931 (50) 247 (72) 1,178
Other debt (14) 701 (3) 13 (17) 714
Total $(500) $20,384 $(1,476) $ 7,013 $(1,976) $27,397
December 31, 2009
Debt securities
US Treasury and government agencies $ (48) $ 4,015 $ (48) $ 4,015
Residential mortgage-backed
Agency (76) 6,960 $ (1) $ 56 (77) 7,016
Non-agency (7) 79 (2,346) 7,223 (2,353) 7,302
Commercial mortgage-backed
Agency (12) 779 (12) 779
Non-agency (3) 380 (219) 1,353 (222) 1,733
Asset-backed (1) 142 (380) 1,153 (381) 1,295
State and municipal (1) 49 (53) 285 (54) 334
Other debt (3) 299 (4) 18 (7) 317
Total $(151) $12,703 $(3,003) $10,088 $(3,154) $22,791
E
VALUATING
I
NVESTMENTS FOR
O
THER
-
THAN
-T
EMPORARY
I
MPAIRMENTS
For the securities in the above table, as of December 31, 2010
we do not intend to sell and have determined it is not more
likely than not we will be required to sell the securities prior
to recovery of the amortized cost basis.
On at least a quarterly basis, we conduct a comprehensive
security-level assessment on all securities in an unrealized loss
position to determine if OTTI exists. An unrealized loss exists
when the current fair value of an individual security is less
than its amortized cost basis. An OTTI loss must be
recognized for a debt security in an unrealized loss position if
we intend to sell the security or it is more likely than not we
will be required to sell the security prior to recovery of its
amortized cost basis. In this situation, the amount of loss
recognized in income is equal to the difference between the
fair value and the amortized cost basis of the security. Even if
we do not expect to sell the security, we must evaluate the
expected cash flows to be received to determine if we believe
a credit loss has occurred. In the event of a credit loss, only
the amount of impairment associated with the credit loss is
recognized in income. This credit loss amount is equal to the
difference between the security’s amortized cost basis and the
present value of its expected future cash flows discounted at
the security’s effective yield. The portion of the unrealized
loss relating to other factors, such as liquidity conditions in the
market or changes in market interest rates, is recorded in
accumulated other comprehensive loss.
Equity securities are also evaluated to determine whether the
unrealized loss is expected to be recoverable based on whether
evidence exists to support a realizable value equal to or
greater than the cost basis. If it is probable that we will not
recover the cost basis, taking into consideration the estimated
recovery period and our ability to hold the equity security
until recovery, OTTI is recognized in earnings equal to the
difference between the fair value and the cost basis of the
security.
The security-level assessment is performed on each security,
regardless of the classification of the security as available for
sale or held to maturity. Our assessment considers the security
structure, recent security collateral performance metrics if
applicable, external credit ratings, failure of the issuer to make
scheduled interest or principal payments, our judgment and
expectations of future performance, and relevant independent
industry research, analysis and forecasts. We also consider the
severity of the impairment and the length of time the security
has been impaired in our assessment. Results of the periodic
assessment are reviewed by a cross-functional senior
management team representing Asset & Liability
Management, Finance, and Market Risk Management. The
senior management team considers the results of the
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