PNC Bank 2015 Annual Report Download - page 163
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Amortized
Cost
Unrealized Fair
ValueIn millions Gains Losses
Commercial mortgage-backed
Agency 1,200 53 1,253
Non-agency 1,010 19 1,029
Asset-backed 759 2 (8) 753
State and municipal 2,042 111 2,153
Other debt 323 6 329
Total securities held to maturity $11,588 $414 $(18) $11,984
(a) Held to maturity securities transferred from available for sale are recorded in held to maturity at fair value at the time of transfer. The amortized cost of held to maturity securities
included net unrealized gains of $97 million and $125 million at December 31, 2015 and December 31, 2014, respectively, related to securities transferred, which are offset in
Accumulated Other Comprehensive Income, net of tax.
The fair value of investment securities is impacted by interest
rates, credit spreads, market volatility and liquidity conditions.
Net unrealized gains and losses in the securities available for
sale portfolio are included in Shareholders’ equity as
Accumulated other comprehensive income or loss, net of tax,
unless credit-related. Securities held to maturity are carried at
amortized cost. At December 31, 2015, Accumulated other
comprehensive income included pretax gains of $98 million
from derivatives that hedged the purchase of investment
securities classified as held to maturity. The gains will be
accreted into interest income as an adjustment of yield on the
securities.
Table 70 presents gross unrealized losses on securities
available for sale at December 31, 2015 and December 31,
2014. The securities are segregated between investments that
have been in a continuous unrealized loss position for less
than twelve months and twelve months or more based on the
point in time that the fair value declined below the amortized
cost basis. The table includes debt securities where a portion
of other-than-temporary impairment (OTTI) has been
recognized in Accumulated other comprehensive income
(loss). The increase in total unrealized losses at December 31,
2015 when compared to December 31, 2014 was primarily
due to higher interest rates.
The PNC Financial Services Group, Inc. – Form 10-K 145