PNC Bank 2011 Annual Report Download - page 153

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, 2011
Debt securities
Residential mortgage-backed
Agency $ (24) $ 2,165 $ (37) $ 408 $ (61) $ 2,573
Non-agency (26) 273 (1,242) 4,378 (1,268) 4,651
Commercial mortgage-backed
Agency
Non-agency (17) 483 (17) 483
Asset-backed (13) 1,355 (203) 764 (216) 2,119
State and municipal (6) 512 (41) 318 (47) 830
Other debt (5) 240 (7) 289 (12) 529
Total $ (91) $ 5,028 $(1,530) $6,157 $(1,621) $11,185
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
E
VALUATING I NVESTMENT S ECURITIES FOR O THER - THAN -
T EMPORARY I MPAIRMENTS
For the securities in the preceding table, as of December 31,
2011 we do not intend to sell and believe we will not 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. 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.
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 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.
144 The PNC Financial Services Group, Inc. – Form 10-K