PNC Bank 2015 Annual Report Download - page 176

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Quantitative information about the significant unobservable inputs within Level 3 recurring assets and liabilities follows.
Table 76: Fair Value Measurements – Recurring Quantitative Information
December 31, 2015
Level 3 Instruments Only
Dollars in millions Fair Value Valuation Techniques Unobservable Inputs Range (Weighted Average)
Residential mortgage-backed non-
agency securities
$4,008 Priced by a third-party vendor
using a discounted cash flow
Constant prepayment rate (CPR)
Constant default rate (CDR)
1.0%-24.2% (7.0%)
0.0%-16.7% (5.4%)
(a)
(a)
pricing model (a) Loss severity
Spread over the benchmark curve (b)
10.0%-98.5% (53.3%)
241bps weighted average
(a)
(a)
Asset-backed securities 482 Priced by a third-party vendor Constant prepayment rate (CPR) 1.0%-14.0% (6.3%) (a)
using a discounted cash flow Constant default rate (CDR) 1.7%-13.9% (6.8%) (a)
pricing model (a) Loss severity 24.2%-100% (77.5%) (a)
Spread over the benchmark curve (b) 324bps weighted average (a)
Residential mortgage servicing rights 1,063 Discounted cash flow Constant prepayment rate (CPR) 0.3%-46.5% (10.6%)
Spread over the benchmark curve (b) 559bps-1,883bps (893bps)
Commercial mortgage servicing
rights
526 Discounted cash flow Constant prepayment rate (CPR) 3.9%-26.5% (5.7%)
Discount rate 2.6%-7.7% (7.5%)
Commercial mortgage loans held for
sale
641 Discounted cash flow Spread over the benchmark curve (b) 85bps-4,270bps (547bps)
Estimated servicing cash flows 0.0%-7.0% (0.9%)
Equity investments – Direct
investments 1,098 Multiple of adjusted earnings Multiple of earnings 4.2x-14.1x (7.6x)
Loans – Residential real estate 123 Consensus pricing (c) Cumulative default rate 2.0%-100% (85.1%)
Loss severity 0.0%-100% (27.3%)
Discount rate 4.9%-7.0% (5.2%)
116 Discounted cash flow Loss severity 8.0% weighted average
Discount rate 3.9% weighted average
Loans – Home equity 101 Consensus pricing (c) Credit and Liquidity discount 26.0%-99.0% (54.0%)
BlackRock Series C Preferred Stock 357 Consensus pricing (c) Liquidity discount 20.0%
BlackRock LTIP (357) Consensus pricing (c) Liquidity discount 20.0%
Swaps related to sales of certain Visa
Class B common shares
(104) Discounted cash flow Estimated conversion factor of
Class B shares into Class A shares
Estimated growth rate of Visa
Class A share price
164.3%
16.3%
(d)
Insignificant Level 3 assets, net of
liabilities (e) 57
Total Level 3 assets, net of liabilities (f) $8,111
158 The PNC Financial Services Group, Inc. – Form 10-K