PNC Bank 2011 Annual Report Download - page 156
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The following table presents, by remaining contractual maturity, the amortized cost, fair value and weighted-average yield of debt
securities at December 31, 2011.
Contractual Maturity of Debt Securities
December 31, 2011
Dollars in millions
1 Year or
Less
After 1 Year
through 5
Years
After 5 Years
through 10 Years
After 10
Years Total
S
ECURITIES
A
VAILABLE FOR
S
ALE
US Treasury and government agencies $2,134 $ 835 $ 400 $ 3,369
Residential mortgage-backed
Agency 29 840 25,212 26,081
Non-agency 28 6,645 6,673
Commercial mortgage-backed
Agency 740 361 1,101
Non-agency $ 27 183 49 2,434 2,693
Asset-backed 68 772 627 2,387 3,854
State and municipal 17 68 293 1,401 1,779
Other debt 292 1,322 601 476 2,691
Total debt securities available for sale $ 404 $5,248 $3,634 $38,955 $48,241
Fair value $ 407 $5,401 $3,860 $38,532 $48,200
Weighted-average yield, GAAP basis 2.62% 2.83% 3.35% 3.69% 3.56%
S
ECURITIES
H
ELD TO
M
ATURITY
US Treasury and government agencies $ 221 $ 221
Residential mortgage-backed (agency) 4,761 4,761
Commercial mortgage-backed
Agency $ 162 $1,164 6 1,332
Non-agency 89 3,378 3,467
Asset-backed $ 7 794 98 352 1,251
State and municipal 8 46 127 490 671
Other debt 2 361 363
Total debt securities held to maturity $ 15 $1,093 $1,750 $ 9,208 $12,066
Fair value $ 15 $1,109 $1,820 $ 9,506 $12,450
Weighted-average yield, GAAP basis 2.86% 2.49% 3.29% 4.44% 4.09%
Based on current interest rates and expected prepayment speeds, the weighted-average expected maturity of mortgage and other
asset-backed debt securities were as follows as of December 31, 2011:
Weighted-Average Expected Maturity of Mortgage and Other Asset-Backed Debt Securities
December 31
2011
Agency residential mortgage-backed securities 3.3 years
Non-agency residential mortgage-backed securities 4.7 years
Agency commercial mortgage-backed securities 5.4 years
Non-agency commercial mortgage-backed securities 2.6 years
Asset-backed securities 3.2 years
Weighted-average yields are based on historical cost with effective yields weighted for the contractual maturity of each security. At
December 31, 2011, there were no securities of a single issuer, other than FNMA and FHLMC, which exceeded 10% of total
shareholders’ equity.
The PNC Financial Services Group, Inc. – Form 10-K 147