PNC FINANCIAL SERVICES GROUP INC
For the period ended Dec 31, 2023. Filed Feb 21, 2024.
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FY2023 · Filed Feb 21, 2024
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Investment Securities
Table 9: Investment Securities (a)
| December 31, 2023 | December 31, 2022 | |||
|---|---|---|---|---|
| Dollars in millions | AmortizedCost (b) | FairValue | AmortizedCost (b) | FairValue |
| U.S. Treasury and government agencies | $44,125 | $42,348 | $45,767 | $43,330 |
| Agency residential mortgage-backed | 73,329 | 67,925 | 77,385 | 71,073 |
| Non-agency residential mortgage-backed | 844 | 938 | 973 | 1,074 |
| Agency commercial mortgage-backed | 2,619 | 2,471 | 2,693 | 2,501 |
| Non-agency commercial mortgage-backed (c) | 2,286 | 2,217 | 2,992 | 2,883 |
| Asset-backed (d) | 6,982 | 6,984 | 7,291 | 7,183 |
| Other debt (e) | 5,952 | 5,850 | 6,642 | 6,394 |
| Total investment securities (f) | $136,137 | $128,733 | $143,743 | $134,438 |
(a)Of our total securities portfolio, 97% were rated AAA/AA at both December 31, 2023 and 2022.
(b)Amortized cost is presented net of the allowance for investment securities, which totaled $92 million at December 31, 2023 and primarily related to non-agency commercial mortgage-backed securities. The comparable amount at December 31, 2022 was $149 million.
(c)Collateralized primarily by multifamily housing, office buildings, retail properties, lodging properties and industrial properties.
(d)Collateralized primarily by consumer credit products, corporate debt and government guaranteed education loans.
(e)Includes state and municipal securities and corporate bonds.
(f)Includes available for sale and held to maturity securities, which are recorded on our balance sheet at fair value and amortized cost, respectively.
46 The PNC Financial Services Group, Inc. –2023 Form 10-K
Table 9 presents our investment securities portfolio by amortized cost and fair value. The relationship of fair value to amortized cost at December 31, 2023 was comparable to December 31, 2022 and primarily reflected the impact of higher interest rates on the valuation of fixed-rate securities. We continually monitor the credit risk in our portfolio and maintain the allowance for investment securities at an appropriate level to absorb expected credit losses on our investment securities portfolio for the remaining contractual term of the securities adjusted for expected prepayments. See Note 2 Investment Securities for additional details regarding the allowance for investment securities.
The duration of investment securities was 4.2 years at December 31, 2023. We estimate that at December 31, 2023 the effective
duration of investment securities was 4.1 years for an immediate 50 basis points parallel increase in interest rates and 4.2 years for an
immediate 50 basis points parallel decrease in interest rates. Comparable amounts at December 31, 2022 for the effective duration of
investment securities were 4.4 years and 4.5 years, respectively.
Based on expected prepayment speeds, the weighted-average expected maturity of the investment securities portfolio was 5.5 years at December 31, 2023 compared to 6.0 years at December 31, 2022.
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