PNC FINANCIAL SERVICES GROUP INC
For the period ended Sep 30, 2024. Filed Nov 1, 2024.
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Sep 30, 2024 · Filed Nov 1, 2024
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Investment Securities
Table 9: Investment Securities (a)
| September 30, 2024 | December 31, 2023 | |||
|---|---|---|---|---|
| Dollars in millions | AmortizedCost (b) | FairValue | AmortizedCost (b) | FairValue |
| U.S. Treasury and government agencies | $56,779 | $55,885 | $44,125 | $42,348 |
| Agency residential mortgage-backed | 72,649 | 68,733 | 73,329 | 67,925 |
| Non-agency residential mortgage-backed | 762 | 863 | 844 | 938 |
| Agency commercial mortgage-backed | 2,952 | 2,869 | 2,619 | 2,471 |
| Non-agency commercial mortgage-backed (c) | 1,758 | 1,733 | 2,286 | 2,217 |
| Asset-backed (d) | 6,235 | 6,329 | 6,982 | 6,984 |
| Other (e) | 5,360 | 5,324 | 5,952 | 5,850 |
| Total investment securities (f) | $146,495 | $141,736 | $136,137 | $128,733 |
(a)Of our total securities portfolio, 97% were rated AAA/AA at both September 30, 2024 and December 31, 2023.
(b)Amortized cost is presented net of the allowance for investment securities, which totaled $93 million at September 30, 2024 and primarily related to non-agency commercial mortgage-backed securities. The comparable amount at December 31, 2023 was $92 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.
Table 9 presents our investment securities portfolio by amortized cost and fair value. The relationship of fair value to amortized cost at September 30, 2024 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 3.3 years and 4.2 years at September 30, 2024 and December 31, 2023, respectively. We estimate that at September 30, 2024 the effective duration of investment securities was 3.3 years for an immediate 50 basis points parallel increase in interest rates and 3.3 years for an immediate 50 basis points parallel decrease in interest rates. Comparable amounts at December 31, 2023 for the effective duration of investment securities were 4.1 years and 4.2 years, respectively.
Based on expected prepayment speeds, the weighted-average expected maturity of the investment securities portfolio was 5.2 years and 5.5 years at September 30, 2024 and December 31, 2023, respectively.
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