PNC Financial Services (PNC)

Other Asset-Backed Securities

The asset-backed securities portfolio was $1.5 billion fair value at March 31, 2009 and December 31, 2008, and consisted of fixed-rate and floating-rate, private-issuer securities collateralized primarily by various consumer credit products, including second-lien residential mortgage loans, credit cards, and automobile loans. Substantially all of the securities are senior tranches in the subordination structure and have credit protection in the form of credit enhancement, over-collateralization and/or excess spread accounts.

At March 31, 2009, $698 million, or 47%, of the asset-backed securities were rated below “BBB” by at least one national rating agency or not rated. At December 31, 2008, $184 million, or 12%, of the asset-backed securities were rated below “BBB” by at least one national rating agency or not rated.

For four asset-backed securities collateralized by residential mortgage loans, we recorded OTTI charges of $18 million in the first quarter of 2009. Three of these securities, with a remaining fair value of $69 million, were rated lower than B-equivalent and one, with a remaining fair value of $22 million, was rated A-equivalent. Prior to the first quarter of 2009, we recorded OTTI charges for seven securities. The remaining fair value of these securities, substantially all of which are currently rated lower than B-equivalent, totaled $106 million.

For the sub-investment grade securities for which we have not recorded an OTTI charge through March 31, 2009, the remaining fair value was $523 million. The results of our security-level assessments indicate that we will recover the entire cost basis of these securities. Refer to Note 7 Investment Securities in the Notes To Consolidated Financial Statements of this Report for a further discussion of our process for assessing OTTI and the results of the most recent assessment.

Other Asset-Backed Securities

The asset-backed securities portfolio was $1.5 billion fair value at December 31, 2008 (all classified as available for sale), and consisted of fixed-rate and floating-rate, private-issuer securities collateralized primarily by various consumer credit products, including first-lien residential mortgage loans, credit cards, and automobile loans. Substantially all of the securities are senior tranches in the subordination structure and have credit protection in the form of credit enhancement, over-collateralization and/or excess spread accounts.

At December 31, 2008, $184 million, or 12%, of the asset-backed securities were rated below “BBB” by at least one national rating agency or not rated.

For seven asset-backed securities, we recorded other-than-temporary impairment charges totaling approximately $87 million in 2008.

Other Asset-Backed Securities

The asset-backed securities portfolio was $2.9 billion fair value at September 30, 2008 (all classified as available for sale), and consisted of fixed-rate and floating-rate, private-issuer securities collateralized primarily by various consumer credit products, including first-lien residential mortgage loans, credit cards, and automobile loans. Substantially all of the securities are senior tranches in the subordination structure and have credit protection in the form of credit enhancement, over-collateralization and/or excess spread accounts.

Of the total asset-backed securities portfolio, $1.2 billion were collateralized by fixed- and floating-rate first-lien residential mortgage loans. Of the $1.2 billion, approximately 38% are vintage 2005 and earlier, approximately 25% are vintage 2006 and approximately 37% are vintage 2007.

At September 30, 2008, $2.6 billion, or 87%, of the total asset-backed securities were rated “AAA” equivalents by at least two nationally recognized rating agencies. There were seven asset-backed securities totaling $68 million fair value where at least one national rating agency rated the security “BBB” or lower equivalent.

For two securities collateralized by first-lien residential mortgage loans, we recorded other-than-temporary impairment charges totaling approximately $9 million for the first nine months of 2008, including $7 million in the third quarter. Since September 30, 2008, no significant deterioration in the credit quality assigned to the other asset-backed securities has occurred.

Other Asset-Backed Securities

The asset-backed securities portfolio was $3.2 billion fair value at June 30, 2008 (substantially all classified as available for sale), and consisted of fixed-rate and floating-rate, private-issuer securities collateralized primarily by various consumer credit products, including home equity loans, credit cards, and automobile loans. Substantially all of the securities are senior tranches in the subordination structure and have credit protection in the form of credit enhancement, over-collateralization and/or excess spread accounts.

Of the $1.3 billion fair value of asset-backed securities collateralized by fixed- and floating-rate home equity loans (all classified as available for sale), we consider that, based on the underlying credit score of the borrower, approximately 23% were higher risk credit quality. Of the total asset-backed securities collateralized by fixed- and floating-rate home equity loans, approximately 39% are vintage 2005 and earlier, approximately 25% are vintage 2006 and approximately 36% are vintage 2007. At June 30, 2008, $3.0 billion, or 94%, of the other asset-backed securities were rated “AAA” equivalents by at least two nationally recognized rating agencies. There were five asset-backed securities totaling $63 million fair value where at least one national rating agency rated the security “AA” equivalent, 11 asset-backed securities totaling $130 million fair value where the rating was between “AA” equivalent and “BBB” equivalent, and two asset-backed securities totaling $6 million fair value where the rating was lower than “BBB” equivalent.

For both of the securities rated lower than “BBB” equivalent, we recorded other-than-temporary impairment charges totaling approximately $2 million in the second quarter of 2008. Since June 30, 2008, no significant deterioration in the credit ratings assigned to the other asset-backed securities has occurred.

Other Asset-Backed Securities

The asset-backed securities portfolio was $2.6 billion fair value at March 31, 2008 ($2.5 billion fair value classified as available for sale), and consisted of fixed-rate and floating-rate, private-issuer securities collateralized primarily by various consumer credit products, including home equity loans, credit cards, and automobile loans. Substantially all of the securities are senior tranches in the subordination structure and have credit protection in the form of credit enhancement, over-collateralization and / or excess spread accounts. Of the $1.4 billion fair value of asset-backed securities collateralized by fixed- and floating-rate home equity loans (all classified as available for sale), we consider that, based on the underlying credit score of the borrower, approximately 23% were sub-prime credit quality. Of the total asset-backed securities collateralized by fixed- and floating-rate home equity loans, approximately 37% are vintage 2005 and earlier, approximately 29% are vintage 2006 and approximately 34% are vintage 2007. At March 31, 2008, $2.4 billion of the other asset-backed securities were rated “AAA” equivalents by at least two nationally recognized rating agencies. There were two asset-backed securities totaling $23 million fair value where at least one national rating agency rated the security “AA” equivalent, six asset-backed securities totaling $118 million fair value where the rating was between “AA” equivalent and “BBB” equivalent, and two asset-backed securities totaling $8 million fair value where the rating was lower than “BBB” equivalent. For both of the securities rated lower than “BBB” equivalent, we had taken an other-than temporary impairment charge in the fourth quarter of 2007 totaling approximately $6 million. There were also three asset-backed securities (all classified as trading) totaling $18 million fair value that were not rated. Since March 31, 2008, no significant deterioration in the credit ratings assigned to the other asset-backed securities has occurred.