PNC FINANCIAL SERVICES GROUP, INC.
For the period ended Jun 30, 2026. Filed Aug 5, 2026.
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Jun 30, 2026 · Filed Aug 5, 2026
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Fair Value Measurements – Recurring Quantitative Information
Quantitative information about the significant unobservable inputs within Level 3 recurring assets and liabilities follows:
Table 76: Fair Value Measurements – Recurring Quantitative Information
| Level 3 Instruments OnlyDollars in millions | Fair Value | Valuation Techniques | Unobservable Inputs | Range (Weighted-Average) (a) |
|---|---|---|---|---|
| Residential mortgage-backed non-agency securities | $517 | Priced by a third-party vendor using a discounted cash flow pricing model | Constant prepayment rate | 1.0% - 23.1% (1.9%) |
| Constant default rate | 0.0% - 13.5% (2.0%) | |||
| Loss severity | 38.4% weighted-average | |||
| Spread over the benchmark curve (b) | 163bps weighted-average | |||
| Loans - residential real estate non- government insured | 453 | Consensus pricing (c) | Cumulative default rate | 3.6% - 100.0% (52.6%) |
| Loss severity | 5.1% weighted-average | |||
| Discount rate | 5.5% - 7.5% (5.7%) | |||
| Equity investments | 2,355 | Multiple of adjusted earnings | Multiple of earnings | 5.5x - 19.7x (10.9x) |
| Residential mortgage servicing rights | 2,762 | Discounted cash flow | Constant prepayment rate | 0.0% - 64.7% (6.8%) |
| Spread over the benchmark curve (b) | 335bps - 3,486bps (708bps) | |||
| Commercial mortgage servicing rights | 1,039 | Discounted cash flow | Constant prepayment rate | 4.3% - 7.1% (4.5%) |
| Discount rate | 9.0% - 11.3% (10.9%) | |||
| Insignificant Level 3 assets, net of liabilities (d) | 220 | |||
| Total Level 3 assets, net of liabilities (e) | $7,346 | |||
| Residential mortgage loans held for sale | $108 | Consensus pricing (c) | Cumulative default rate | 3.6% - 100.0% (33.8%) |
| Loss severity | 5.7% weighted-average | |||
| Discount rate | 5.5% - 9.0% (5.9%) | |||
| Residential mortgage-backed non-agency securities | 548 | Priced by a third-party vendor using a discounted cash flow pricing model | Constant prepayment rate | 1.0% - 23.1% (3.7%) |
| Constant default rate | 0.0% - 13.5% (1.9%) | |||
| Loss severity | 15.0% - 100.0% (42.5%) | |||
| Spread over the benchmark curve (b) | 176bps weighted-average | |||
| Loans - residential real estate non-government insured | 474 | Consensus pricing (c) | Cumulative default rate | 3.6% - 100.0% (52.7%) |
| Loss severity | 5.0% weighted-average | |||
| Discount rate | 5.5% - 7.5% (5.7%) | |||
| Equity investments | 2,503 | Multiple of adjusted earnings | Multiple of earnings | 5.5x - 24.0x (10.8x) |
| Residential mortgage servicing rights | 2,638 | Discounted cash flow | Constant prepayment rate | 0.0% - 41.4% (6.7%) |
| Spread over the benchmark curve (b) | 314bps - 3,270bps (734bps) | |||
| Commercial mortgage servicing rights | 1,021 | Discounted cash flow | Constant prepayment rate | 4.3% - 7.0% (4.4%) |
| Discount rate | 8.7% - 10.9% (10.6%) | |||
| Insignificant Level 3 assets, net of liabilities (d) | 164 | |||
| Total Level 3 assets, net of liabilities (e) | $7,456 | |||
(a)Unobservable inputs were weighted by the relative fair value of the instruments.
(b)The assumed yield spread over the benchmark curve for each instrument is generally intended to incorporate non-interest rate risks, such as credit and liquidity risks.
(c)Consensus pricing refers to fair value estimates that are generally internally developed using information such as dealer quotes or other third-party provided valuations or comparable asset prices.
(d)Represents the aggregate amount of Level 3 assets and liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant. The amount includes certain financial derivative assets and liabilities, certain debt securities available-for-sale, government insured residential real estate loans, home equity loans, other assets, other borrowed funds and other liabilities. At June 30, 2026, this amount also includes residential mortgage loans held for sale.
(e)Consists of total Level 3 assets of $7.6 billion and total Level 3 liabilities of $0.2 billion as of June 30, 2026 and $7.7 billion and $0.2 billion as of December 31, 2025, respectively.
Financial Assets Accounted for at Fair Value on a Nonrecurring Basis
We may be required to measure certain financial assets at fair value on a nonrecurring basis. These adjustments to fair value usually result from the application of lower of amortized cost or fair value accounting or write-downs of individual assets due to impairment and are included in Table 77. For more information regarding the valuation methodologies of our financial assets measured at fair value on a nonrecurring basis, see Note 14 Fair Value in our 2025 Form 10-K.
84 The PNC Financial Services Group, Inc. –Form 10-Q
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