PNC Bank 2014 Annual Report Download - page 180

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Quantitative information about the significant unobservable inputs within Level 3 recurring assets and liabilities follows.
Table 85: Fair Value Measurements – Recurring Quantitative Information
December 31, 2014
Level 3 Instruments Only
Dollars in millions Fair Value Valuation Techniques Unobservable Inputs Range (Weighted Average)
Residential mortgage-backed non-
agency securities
$4,798 Priced by a third-party vendor
using a discounted cash flow
pricing model (a)
Constant prepayment rate (CPR)
Constant default rate (CDR)
Loss severity
Spread over the benchmark curve (b)
1.0%-28.9% (6.8%)
0%-16.7% (5.6%)
6.1%-100.0% (53.1%)
249bps weighted average
(a)
(a)
(a)
(a)
Asset-backed securities 563 Priced by a third-party vendor
using a discounted cash flow
pricing model (a)
Constant prepayment rate (CPR)
Constant default rate (CDR)
Loss severity
Spread over the benchmark curve (b)
1.0%-15.7% (5.9%)
1.7%-13.9% (7.6%)
14.6%-100% (73.5%)
352bps weighted average
(a)
(a)
(a)
(a)
State and municipal securities 132
2
Discounted cash flow
Consensus pricing (c)
Spread over the benchmark curve (b)
Credit and Liquidity discount
55bps-165bps (67bps)
0%-20.0% (14.9%)
Other debt securities 30 Consensus pricing (c) Credit and Liquidity discount 7.0%-95.0% (88.6%)
Trading securities – Debt 32 Consensus pricing (c) Credit and Liquidity discount 0.0%-15.0% (8.0%)
Residential mortgage servicing rights 845 Discounted cash flow Constant prepayment rate (CPR)
Spread over the benchmark curve (b)
3.8%-32.7% (11.2%)
889bps-1,888bps (1,036bps)
Commercial mortgage servicing
rights
506 Discounted cash flow Constant prepayment rate (CPR)
Discount rate
7.0%-16.8% (8.0%)
2.5%-8.6% (6.6%)
Commercial mortgage loans held for
sale
893 Discounted cash flow Spread over the benchmark curve (b)
Estimated servicing cash flows
37bps-4,025bps (549bps)
0.0%-2.0% (1.2%)
Equity investments – Direct
investments 1,152 Multiple of adjusted earnings Multiple of earnings 3.2x-13.9x (7.7x)
Equity investments – Indirect (d) 469 Net asset value Net asset value
Loans – Residential real estate 114
154
Consensus pricing (c)
Discounted cash flow
Cumulative default rate
Loss severity
Discount rate
Loss severity
Discount rate
2.0%-100% (90.5%)
0%-100% (35.6%)
5.4%-7.0% (6.4%)
8.0% weighted average
3.4% weighted average
Loans – Home equity 129 Consensus pricing (c) Credit and Liquidity discount 26.0%-99.0% (51.0%)
BlackRock Series C Preferred Stock 375 Consensus pricing (c) Liquidity discount 20.0%
BlackRock LTIP (375) Consensus pricing (c) Liquidity discount 20.0%
Swaps related to sales of certain Visa
Class B common shares
(135) Discounted cash flow Estimated conversion factor of
Class B shares into Class A shares
Estimated growth rate of Visa
Class A share price
41.1%
14.8%
Other borrowed funds – non-agency
securitization
(166) Consensus pricing (c) Credit and Liquidity discount
Spread over the benchmark curve (b)
0%-99.0% (18.0%)
113bps
Insignificant Level 3 assets, net of
liabilities (e) 23
Total Level 3 assets, net of liabilities (f) $9,541
162 The PNC Financial Services Group, Inc. – Form 10-K