PNC Bank 2011 Annual Report Download - page 51

We estimate that, at December 31, 2011, the effective duration of investment securities was 2.6 years for an immediate 50 basis
points parallel increase in interest rates and 2.4 years for an immediate 50 basis points parallel decrease in interest rates.
Comparable amounts at December 31, 2010 were 3.1 years and 2.9 years, respectively.
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, 2011
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 $ 26,792 $ 1,140 $ 5,557 $ 2,756 $ 3,669
Fair Value – Held to Maturity 4,891 1,382 3,573 1,262
Total Fair Value $ 31,683 $ 2,522 $ 5,557 $ 6,329 $ 4,931
% of Fair Value:
By Vintage
2011 28% 46% 4%
2010 33% 19% 4% 6%
2009 13% 18% 3% 10%
2008 4% 2% 4%
2007 5% 1% 18% 10% 6%
2006 2% 3% 24% 26% 8%
2005 and earlier 9% 10% 58% 52% 10%
Not Available 6% 1% 1% 56%
Total 100% 100% 100% 100% 100%
By Credit Rating (at December 31, 2011)
Agency 100% 100%
AAA 2% 78% 65%
AA 1% 6% 17%
A3% 9% 1%
BBB 5% 4%
BB 5% 1%
B7% 2%
Lower than B 76% 12%
No rating 1% 2% 3%
Total 100% 100% 100% 100% 100%
By FICO Score (at origination)
>720 55% 3%
<720 and >660 35% 8%
<660 1% 2%
No FICO score 9% 87%
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 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 we do not intend to
sell and believe we will not be required to sell the securities
prior to expected recovery. The noncredit portion of OTTI is
included in accumulated other comprehensive loss.
42 The PNC Financial Services Group, Inc. – Form 10-K