PNC Bank 2011 Annual Report Download - page 52

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We recognized OTTI for 2011 and 2010 as follows:
Other-Than-Temporary Impairments
Year ended December 31
In millions 2011 2010
Credit portion of OTTI losses (a)
Non-agency residential mortgage-backed $(130) $(242)
Non-agency commercial mortgage-backed (5)
Asset-backed (21) (78)
Other debt (1)
Total credit portion of OTTI losses (152) (325)
Noncredit portion of OTTI losses (b) (268) (283)
Total OTTI losses $(420) $(608)
(a) Reduction of noninterest income in our Consolidated Income Statement.
(b) Included in accumulated other comprehensive loss, net of tax, on our Consolidated
Balance Sheet.
The following table summarizes net unrealized gains and losses recorded on non-agency residential and commercial mortgage-
backed and other asset-backed securities, which represent our most significant categories of securities not backed by the US
government or its agencies. A summary of all OTTI credit losses recognized for 2011 by investment type is included in Note 7
Investment Securities in the Notes To Consolidated Financial Statements in Item 8 of this Report.
December 31, 2011
In millions
Residential Mortgage-
Backed Securities
Commercial Mortgage-
Backed Securities
Asset-Backed
Securities (a)
Available for Sale Securities (Non-Agency)
Fair
Value
Net
Unrealized
Gain
(Loss)
Fair
Value
Net
Unrealized
Gain
(Loss)
Fair
Value
Net
Unrealized
Gain
(Loss)
Credit Rating Analysis
AAA $ 97 $ (1) $1,586 $ 47 $2,253
Other Investment Grade (AA, A, BBB) 509 (35) 979 23 713 $ (13)
Total Investment Grade 606 (36) 2,565 70 2,966 (13)
BB 303 (27) 85 (8)
B403 (48) 107 (7)
Lower than B 4,210 (1,005) 568 (148)
Total Sub-Investment Grade 4,916 (1,080) 85 (8) 675 (155)
Total No Rating 35 106 1 25 (17)
Total $5,557 $(1,116) $2,756 $ 63 $3,666 $(185)
OTTI Analysis
Investment Grade:
OTTI has been recognized
No OTTI recognized to date $ 606 $ (36) $2,565 $ 70 $2,966 $ (13)
Total Investment Grade 606 (36) 2,565 70 2,966 (13)
Sub-Investment Grade:
OTTI has been recognized 3,417 (987) 548 (168)
No OTTI recognized to date 1,499 (93) 85 (8) 127 13
Total Sub-Investment Grade 4,916 (1,080) 85 (8) 675 (155)
No Rating:
OTTI has been recognized 25 (17)
No OTTI recognized to date 35 106 1
Total No Rating 35 106 1 25 (17)
Total $5,557 $(1,116) $2,756 $ 63 $3,666 $(185)
Securities Held to Maturity (Non-Agency)
Credit Rating Analysis
AAA $3,364 $ 99 $ 931 $ 9
Other Investment Grade (AA, A, BBB) 209 7 219 (2)
Total Investment Grade 3,573 106 1,150 7
BB 5
B1
Lower than B
Total Sub-Investment Grade 6
Total No Rating 99 4
Total $3,573 $106 $1,255 $ 11
(a) Excludes $3 million and $7 million of available for sale and held to maturity agency asset-backed securities, respectively.
The PNC Financial Services Group, Inc. – Form 10-K 43