PNC Bank 2010 Annual Report Download - page 46
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The following table provides detail regarding the vintage, current credit rating, and FICO score of the underlying collateral at
origination, where available, for residential mortgage-backed, commercial mortgage-backed and other asset-backed securities held
in the available for sale and held to maturity portfolios:
December 31, 2010
Agency Non-agency
Dollars in millions
Residential
Mortgage-
Backed
Securities
Commercial
Mortgage-
Backed
Securities
Residential
Mortgage-
Backed
Securities
Commercial
Mortgage-
Backed
Securities
Asset-
Backed
Securities
Fair Value – Available for Sale $31,720 $1,797 $7,233 $1,856 $2,582
Fair Value – Held to Maturity 4,490 2,676
Total Fair Value $31,720 $1,797 $7,233 $6,346 $5,258
% of Fair Value:
By Vintage
2010 41% 37% 1% 7%
2009 20% 35% 3% 15%
2008 6% 5% 16%
2007 9% 3% 18% 10% 11%
2006 5% 5% 23% 30% 13%
2005 and earlier 19% 15% 59% 56% 14%
Not Available 24%
Total 100% 100% 100% 100% 100%
By Credit Rating
Agency 100% 100%
AAA 7% 85% 78%
AA 4% 6% 4%
A5% 5%
BBB 5% 3% 1%
BB 6% 1%
B15% 4%
Lower than B 58% 11%
No rating 2%
Total 100% 100% 100% 100% 100%
By FICO Score
>720 56% 3%
<720 and >660 34% 9%
<660 1% 3%
No FICO score 9% 85%
Total 100% 100%
We conduct a comprehensive security-level impairment
assessment quarterly on all securities in an unrealized loss
position to determine whether the loss represents OTTI. Our
assessment considers the security structure, recent security
collateral performance metrics, 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 that 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 assessments, as well as other factors, in
determining whether the impairment is other-than-temporary.
We recognize the credit portion of OTTI charges in current
earnings for those debt securities where there is no intent to
sell and it is not more likely than not that we would be
required to sell the security prior to expected recovery. The
noncredit portion of OTTI is included in accumulated other
comprehensive loss.
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