PNC Bank 2012 Annual Report Download - page 231

Table 138: Credit Default Swaps
December 31, 2012 December 31, 2011
Dollars in millions
Notional
Amount
Fair
Value
Weighted-
Average
Remaining
Maturity
In Years
Notional
Amount
Fair
Value
Weighted-
Average
Remaining
Maturity
In Years
Credit Default Swaps – Sold (a)
Single name $ 45 $ 2 1.8
Index traded 49 2.0
Total $ 94 $ 2 1.9
Credit Default Swaps – Purchased
Single name $ 50 5.8 $150 $ 5 3.8
Index traded 60 $2 36.1 60 4 37.2
Total $110 $2 22.4 $210 $ 9 13.3
Total $110 $2 22.4 $304 $11 9.8
(a) There were no credit default swaps sold as of December 31, 2012.
The notional amount of these credit default swaps by credit
rating follows:
Table 139: Credit Ratings of Credit Default Swaps
Dollars in millions
December 31
2012
December 31
2011
Credit Default Swaps – Sold (a)
Investment grade (b) $ 84
Subinvestment grade (c) 10
Total $ 94
Credit Default Swaps – Purchased
Investment grade (b) $ 95 $145
Subinvestment grade (c) 15 65
Total $110 $210
Total $110 $304
(a) There were no credit default swaps sold as of December 31, 2012.
(b) Investment grade with a rating of BBB-/Baa3 or above based on published rating
agency information.
(c) Subinvestment grade with a rating below BBB-/Baa3 based on published rating
agency information.
The referenced/underlying assets for these credit default
swaps follow:
Table 140: Referenced/Underlying Assets of Credit Default
Swaps
Corporate
Debt
Commercial
mortgage-backed
securities Loans
December 31, 2012 32% 54% 14%
December 31, 2011 59% 20% 21%
We enter into credit default swaps under which we buy loss
protection from or sell loss protection to a counterparty for the
occurrence of a credit event related to a referenced entity or
index. The maximum amount we would be required to pay
under the credit default swaps in which we sold protection,
assuming all referenced underlyings experience a credit event
at a total loss, without recoveries, was $94 million at
December 31, 2011.
Risk Participation Agreements
We have sold risk participation agreements with terms ranging
from less than 1 year to 24 years. We will be required to make
payments under these agreements if a customer defaults on its
obligation to perform under certain derivative swap contracts
with third parties.
Table 141: Risk Participation Agreements Sold
Dollars in millions
Notional
Amount
Estimated
Net Fair Value
Weighted-Average
Remaining Maturity
In Years
December 31, 2012 $2,053 $(6) 6.6
December 31, 2011 $1,568 $(5) 7.5
Based on our internal risk rating process of the underlying
third parties to the swap contracts, the percentages of the
exposure amount of risk participation agreements sold by
internal credit rating follow:
Table 142: Internal Credit Ratings of Risk Participation
Agreements Sold
December 31
2012
December 31
2011
Pass (a) 99% 99%
Below pass (b) 1% 1%
(a) Indicates the expected risk of default is currently low.
(b) Indicates a higher degree of risk of default.
Assuming all underlying swap counterparties defaulted at
December 31, 2012, the exposure from these agreements
would be $143 million based on the fair value of the
underlying swaps, compared with $145 million at
December 31, 2011.
212 The PNC Financial Services Group, Inc. – Form 10-K