PNC Bank 2012 Annual Report Download - page 186

Table 84: 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, 2012
Debt securities
Residential mortgage-backed
Agency $ (9) $1,128 $ (3) $ 121 $ (12) $ 1,249
Non-agency (3) 219 (306) 3,185 (309) 3,404
Commercial mortgage-backed
Agency
Non-agency (1) 60 (1) 60
Asset-backed (1) 370 (78) 625 (79) 995
State and municipal (2) 240 (19) 518 (21) 758
Other debt (2) 61 (2) 15 (4) 76
Total $(18) $2,078 $ (408) $4,464 $ (426) $ 6,542
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
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
Evaluating Investment Securities for Other-than-Temporary
Impairments
For the securities in the preceding table, as of December 31,
2012 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 income (loss).
The PNC Financial Services Group, Inc. – Form 10-K 167