PNC Financial Services : 1Q24 Basel III Pillar 3 Disclosures

The PNC Financial Services Group, Inc.

Basel III Pillar 3 Report: Standardized Approach

March 31, 2024

			Page References
Pillar 3 Disclosure	Description	Pillar 3	March 31, 2024	2023
Report	Form 10-Q	Form 10-K
Introduction		3
	Forward-Looking Statements	3	38	83
	Basis of Consolidation	3		93
	Basel III Overview	3		3-7, 74, 169
Capital		4
	Summary of Capital	4		35, 137, 169-170
	Restrictions on Transfer of Funds or Total Capital	4		169
	Capital Adequacy	4
	Capital Ratios	4	49	74
	Table 1: Capital Ratios	5	31	74
	Table 2: Standardized Risk-Weighted Assets	6
Credit Risk		6
	Credit Risk Management	6	19	60
	Summary of Credit Exposures	7	9, 10, 20-23, 46, 76,	44, 46, 60-64,
			88	79-80, 110, 113,
				158, 182
	Table 3: Loan Exposures by Remaining Contractual	7
	Maturity
Credit Risk Mitigation		8
Counterparty Credit		8	76	158
Risk	Counterparty Credit Risk Mitigation	8
	Collateral	8	80	158
	Table 4: Counterparty Credit Risk Exposures	9
Securitization		9		103
	Summary of Accounting Policies for Securitization	9		103, 126, 128
	Activities
	Risk Management	9	46, 49	110, 113, 158
	Table 5: Securitization Exposures by Underlying Asset	10
	Type
	Regulatory Treatment of Securitizations	10
	Table 6: Capital Requirements of Securitization	10
	Exposures by Risk-Weighting

Equities Not Subject to the Market Risk Rule

	10		76, 95, 143
Summary of Equity Investment Exposures	11	32, 60, 87	77, 129
Table 7: Book Value and Fair Value of Equity	11
Exposures Not Subject to Market Risk Rule
Table 8: Capital Requirements of Equity Investment	11
Exposures by Risk-Weighting

Market Risk Capital	12
Governance of Covered Positions	12
Valuation Policies, Procedures & Methodologies	12	69	26, 141
Value at Risk (VaR) Models	12
Table 9: VaR-Based Metrics	12
Back Testing	13
Model Validation	13
Stress Testing	13
Securitization Positions	14
Interest Rate Risk for	14	32	75
Non-Trading Activities
Supplementary	14
Leverage Ratio
Table 10: Supplementary Leverage Ratio	14	88	74
Glossary of Terms	15		186

PNC Pillar 3 Standardized Disclosures as of March 31, 2024

INTRODUCTION

The PNC Financial Services Group, Inc. and its subsidiaries on a consolidated basis (PNC) is one of the largest diversified financial services companies in the United States (U.S.) and is headquartered in Pittsburgh, Pennsylvania. PNC has businesses engaged in retail banking, including residential mortgage, corporate and institutional banking and asset management, providing many of its products and services nationally. Our retail branch network is located coast-to-coast. We also have strategic international offices in four countries outside the U.S. At March 31, 2024, consolidated total assets, total deposits and total shareholders' equity were $566.2 billion, $425.6 billion and $51.3 billion, respectively.

PNC is a bank holding company registered under the Bank Holding Company Act of 1956 and a financial holding company under the Gramm-Leach-Bliley Act. PNC provides its products and services primarily through PNC's only insured depository institution subsidiary, PNC Bank, National Association (PNC Bank).

This report (Pillar 3 Report) provides information about PNC's capital structure, risk exposures, risk assessment processes, risk- weighted assets and overall capital adequacy and should be read in conjunction with PNC's Securities and Exchange Commission (SEC) filings, including the Annual Report on Form 10-K for the year ended December 31, 2023 (2023 Form 10-K) and Quarterly Report on Form 10-Q for the period ended March 31, 2024 (March 31, 2024 Form 10-Q). These SEC filings are available at https:// investor.pnc.com/sec-filings/all-sec-filings. The Pillar 3 Report and other regulatory disclosures, including PNC Bank's Call Report, are available at https://investor.pnc.com/sec-filings/regulatory-disclosures.

Forward-Looking Statements

This disclosure may contain forward-looking statements, which are subject to numerous assumptions, risks and uncertainties, which change over time. Forward-looking statements speak only as of the date made. We do not assume any duty and do not undertake to update forward-looking statements. Actual results or future events could differ, possibly materially, from those anticipated in forward- looking statements, as well as from historical performance. See the Cautionary Statement Regarding Forward-Looking Information in PNC's March 31, 2024 Form 10-Q for more information. Also see all risks and uncertainties disclosed in PNC's SEC filings, including its 2023 Form 10-K, and subsequent reports on Forms 10-Q and 8-K, Proxy Statements on Schedule 14A, and, if applicable, its registration statements under the Securities Act of 1933, as amended, all of which are or will upon filing be accessible on PNC's website at www.pnc.com/secfilings and on the SEC's website at www.sec.gov.

Basis of Consolidation

Our consolidated financial statements include the accounts of the parent company and its subsidiaries, most of which are wholly- owned, certain partnership interests and variable interest entities that are required to be consolidated under accounting principles generally accepted in the United States of America (GAAP). We have eliminated intercompany accounts and transactions. The basis for consolidation for regulatory capital calculations is the same as that used in the presentation of PNC's consolidated financial statements, which is described in further detail in Note 1 Accounting Policies in our 2023 Form 10-K. Consistent with the regulatory capital rules, the minimum capital requirement for our consolidated insurance underwriting subsidiaries under applicable law is deducted from our regulatory capital.

Basel III Overview

PNC is subject to the regulatory capital requirements established by the Board of Governors of the Federal Reserve System (Federal Reserve). PNC Bank is subject to the regulatory capital requirements established by the Office of the Comptroller of the Currency (OCC). For additional information regarding regulatory capital requirements, see the Banking Regulation and Supervision section included in the Business section of our 2023 Form 10-K.

The Basel III regulatory capital ratios of PNC and PNC Bank as of March 31, 2024 exceeded the applicable minimum levels. For additional information regarding regulatory capital requirements, see the Banking Regulation and Supervision section included in the Business section, the Liquidity and Capital Management portion of the Risk Management section and Note 19 Regulatory Matters in our 2023 Form 10-K.

The disclosures by PNC in this Pillar 3 Report include those required by the standardized approach. PNC is the top-tier entity within the PNC organization to which the standardized approach applies. In addition, PNC has more than $1 billion in aggregate quarterly average trading assets and trading liabilities, and is subject to the market risk capital rule as amended (the "Market Risk Rule"). This Pillar 3 Report also includes PNC's required disclosures under the Market Risk Rule.

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PNC Pillar 3 Standardized Disclosures as of March 31, 2024

CAPITAL

Summary of Capital

PNC's regulatory capital structure consists of the following capital instruments:

Common Stock

PNC has $5 par value common stock. At March 31, 2024, there were 800 million shares authorized, and 543 million shares issued, of which 145 million shares were held in treasury at cost. Holders of PNC common stock are entitled to receive dividends when declared by PNC's Board of Directors out of funds legally available for this purpose. See the Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities section of our 2023 Form 10-K for additional information on our common stock.

Preferred Stock

See Note 11 Equity in our 2023 Form 10-K for information on our preferred stock.

Qualifying Subordinated Debt

PNC had $2.9 billion in subordinated debt that qualified as Tier 2 capital for the Basel III ratio at March 31, 2024. The interest rates on our subordinated debt range from 2.70% to 5.90% and maturities range from 2024 through 2033.

Restrictions on Transfer of Funds or Total Capital

Federal law and regulations place a variety of restrictions on the ability of PNC to transfer funds or total capital among entities within the PNC group. See Note 19 Regulatory Matters in our 2023 Form 10-K for additional information on these restrictions.

Capital Adequacy

PNC's overall capital planning objective is to maintain sufficient capital resources, both in terms of quantity and quality, to cover all of the firm's risks and allow the firm to operate effectively through a range of economic environments. PNC's internal capital adequacy process (CAP) supports this overall objective by taking into account capital stress testing results, capital and liquidity positions and other risk considerations. In addition, PNC's CAP has a sound risk management infrastructure, including but not limited to, the thorough review and consideration of alternative economic scenarios as well as other risks. The Board of Directors, its Risk Committee, and senior management use the firm's CAP results to assess the level of capital that is appropriate for the firm to maintain in light of the range of risks facing the firm, the firm's business strategy, and its risk appetite. Sound capital stress testing practices and methodologies are a key component of PNC's CAP.

In addition to the CAP, PNC is subject to the Federal Reserve's capital plan rule, annual capital stress testing requirements and Comprehensive Capital Analysis and Review (CCAR) process, as well as the applicable Dodd-Frank capital stress testing requirements of the Federal Reserve and the OCC. As part of the CCAR process, the Federal Reserve undertakes a supervisory assessment of PNC's capital adequacy. This assessment is based on a review of a comprehensive capital plan submitted by PNC to the Federal Reserve that describes the company's planned capital actions during the nine-quarter review period, as well as the results of stress tests conducted by both the company and the Federal Reserve under different hypothetical macroeconomic scenarios, including supervisory severely adverse scenario provided by the Federal Reserve.

Capital Ratios

All current period capital ratios are calculated using the regulatory capital methodology applicable to us during 2024. These Basel III capital ratios may be impacted by any additional regulatory guidance or analysis by PNC as to the application of the rules to PNC. Fully implemented Basel III results, in Table 1, are presented as estimates. PNC utilizes the fully implemented Basel III capital ratios to assess the impact to its capital position as if the impact of CECL had been fully phased in at March 31, 2024.

At March 31, 2024, PNC and PNC Bank, our sole banking subsidiary, were both considered "well capitalized," based on applicable U.S. regulatory capital ratio requirements. To qualify as "well capitalized," PNC must have Basel III capital ratios of at least 6% for Tier 1 risk-based capital and 10% for Total risk-based capital, and PNC Bank must have Basel III capital ratios of at least 6.5% for Common equity Tier 1 (CET1) risk-based capital, 8% for Tier 1 risk-based capital, 10% for Total risk-based capital and a Leverage ratio of at least 5%. For PNC Bank's capital ratios, see PNC Bank's Call Report for the period ended March 31, 2024.

The Basel III capital rule also includes regulatory capital buffer requirements above the minimum risk-based capital ratio requirements that banking organizations must meet in order to avoid limitations on capital distributions (including dividends and repurchases of any Tier 1 capital instrument, including common and qualifying preferred stock) and certain discretionary incentive compensation

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PNC Pillar 3 Standardized Disclosures as of March 31, 2024

payments. Currently, PNC and PNC Bank must maintain a CET1 capital ratio of at least 7.0%, a Tier 1 capital ratio of at least 8.5%, and a Total capital ratio of at least 10.5%. At March 31, 2024, both PNC and PNC Bank were above these ratio requirements.

In the third quarter of 2020, the Federal Reserve, OCC and FDIC also adopted a final rule that revises the definition of "eligible retained income" for purposes of the stress capital buffer (SCB) and other Basel III capital buffers. This revision is designed to phase in the potential application of these buffers more gradually, especially in periods when banking organizations are distributing all or a substantial majority of their net income. Under the final rule, eligible retained income is the greater of (i) the banking organization's net income for the four preceding calendar quarters, net of any distributions and associated tax effects not already reflected in net income, and (ii) the average of the banking organization's net income over the preceding four quarters. PNC's eligible retained income at March 31, 2024 was $1.3 billion.

The regulatory agencies have adopted a rule permitting banks to delay the estimated impact on regulatory capital stemming from implementing CECL. CECL's estimated impact on CET1 capital, as defined by the rule, is the change in retained earnings at adoption plus or minus 25% of the change in CECL ACL at the balance sheet date, excluding the allowance for purchased credit deteriorated loans, compared to CECL ACL at adoption. Effective for the first quarter of 2022, PNC is now in the three-year transition period, and the full impact of the CECL standard is being phased-in to regulatory capital through December 31, 2024. See additional discussion of this rule in the Supervision and Regulation and Risk Factors sections of our 2023 Form 10-K.

On July 27, 2023, the Federal Reserve, OCC, and FDIC proposed for public comment an interagency rule to implement the final components of the Basel III framework that would significantly revise the capital requirements for large banking organizations, including PNC and PNC Bank. The proposed rule will apply an expanded risk-based approach which leverages the Basel rules, including the calculation of risk-weighted assets, in addition to the current U.S. standardized approach. In addition, this proposal would align the regulatory capital elements and required deductions for Category III banking organizations such as PNC and PNC Bank with those currently applicable to Category I and II banking organizations. PNC and PNC Bank would be required to recognize most elements of AOCI in regulatory capital and deduct from CET1 capital, among other items, mortgage servicing assets and deferred tax assets that individually exceed 10 percent of CET1 capital or in the aggregate with other threshold items that exceed 15

percent of CET1 capital. PNC and PNC Bank would be required to calculate their risk-based capital ratios under the existing standardized approach and the expanded risk-based approach and would be subject to the lower of the two resulting ratios for their risk-based capital minimums and buffer requirements, including the SCB. The proposed effective date is July 1, 2025, with certain provisions-including the recognition of AOCI elements in regulatory capital and the increase in risk-weighted assets due to the expanded risk-basedapproach-having a three-yearphase-in period. See additional discussion of this rule in the Supervision and Regulation and Risk Factors sections of our 2023 Form 10-K. A request for comment has been published and based on feedback from the regulators it is expected that the proposed rules will change.

See Note 3 Loans and Related Allowance for Credit Losses in our March 31, 2024 Form 10-Q for additional information about loan modifications on delinquency status, which impacts our risk-weighted calculations.

The following table outlines the Basel III ratios for PNC as of March 31, 2024:

Table 1: Capital Ratios (a)

		March 31, 2024
In millions		Basel III		Fully Implemented
		(estimated)
Consolidated PNC
Regulatory capital
Common equity Tier 1 capital	$	42,310	$	42,067
Tier 1 capital	$	48,552	$	48,309
Total capital	$	56,444	$	56,403
Risk-weighted assets
Basel III standardized approach risk-weighted assets	$	420,342	$	420,397
Average quarterly adjusted total assets	$	556,568	$	556,326

Risk-based capital and leverage ratios
Common equity Tier 1	10.1 %	10.0 %
Tier 1	11.6 %	11.5 %
Total	13.4 %	13.4 %
Leverage	8.7 %	8.7 %

1. See Table 30: Basel III Capital in the Capital Management portion of the Liquidity and Capital Management section of Risk Management in our March 31, 2024 Form 10-Q for additional information on the elements of, and adjustments and deductions to, our consolidated regulatory capital.

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PNC Pillar 3 Standardized Disclosures as of March 31, 2024

The following table outlines PNC's standardized approach risk-weighted assets as of March 31, 2024 using the categorization based on the standardized definitions:

Table 2: Standardized Risk-Weighted Assets

In millions		March 31, 2024
On Balance Sheet
Exposures to sovereign entities (a)
Exposures to depository institutions and foreign banks	$	692
Exposures to public sector entities		4,239
Corporate exposures		209,933
Residential mortgage exposures		44,617
High volatility commercial real estate		1,241
Past due loans		2,814
Other assets		37,041
Securitization exposures		12,996
Equity exposures		8,822
Off Balance Sheet and Market Risk
Off balance sheet commitments, maturity less than one year		6,231
Off balance sheet commitments, maturity more than one year		70,944
Derivatives		1,913
Securitization exposures		5,265
Letters of credit and other		10,723
Market Risk		2,871
Excess allowance for credit losses (b)
Total Standardized Risk-Weighted Assets	$	420,342

1. Exposures to, and portions of exposures that are directly and unconditionally guaranteed by, the U.S. government, its agencies and the Federal Reserve receive 0% risk weight.
2. Any allowance in Tier 2 capital that exceeds 1.25% of Credit Risk risk-weighted assets must be deducted from risk-weighted assets.

CREDIT RISK

Credit risk represents the possibility that a customer, counterparty, or issuer may not perform in accordance with the contractual terms of their loan, extension of credit or other financial obligation with PNC. Credit risk is inherent in the financial services business and results from extending credit to customers, purchasing securities and entering into financial derivative transactions and certain guarantee contracts. Credit risk is one of our most significant risks. Our processes for managing credit risk are designed to be embedded in PNC's risk culture and in our decision-making processes using a systematic approach whereby credit risks and related exposures are identified and assessed, managed through specific policies and processes, measured and evaluated against our risk appetite and credit concentration limits, and reported, along with specific mitigation activities, to management and the Board of Directors through our governance structure. Our most significant concentration of credit risk is in our loan portfolio.

Credit Risk Management

Credit risk management is integrated into the overall enterprise risk management governance model. The committees responsible for conducting specific oversight, monitoring and reporting of credit risk management activities are described in further detail within the Risk Management section included in our 2023 Form 10-K. PNC's overall credit process includes comprehensive credit policies, judgmental or statistical credit underwriting, frequent and detailed risk measurement and modeling, extensive credit training programs, and an ongoing credit risk review and/or audit process. PNC management desires to construct and maintain a loan portfolio that will allow it to meet its strategic return goals while remaining within our risk appetite, as described further in the Risk Management section included in our 2023 Form 10-K. A component of our credit risk management framework is our credit concentration process, by which we maintain limits and monitor credit exposure by industry, geography, property, product type and customer. Loan participations with third parties, and loan sales and syndications, are used to manage risk concentrations.

In addition to credit policies and procedures, PNC uses established guidelines for delinquent and nonperforming loans, acceptable levels of industry and total borrower exposure, and other relevant credit measures to monitor risk. These guidelines are established by Credit Risk Management at the corporate, business and segment levels with the goal of remaining within a desired level of risk within PNC's risk appetite. The established portfolio limits focus on specific pools or characteristics of risk and are designed to ensure that we become aware of portfolio trends and help to enforce the desired construct of the loan portfolio. We may employ portfolio diversification and risk mitigation techniques to counter any undesirable risk pool trends or concentrations. Please refer to the Credit

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PNC Pillar 3 Standardized Disclosures as of March 31, 2024

Risk Management section in our March 31, 2024 Form 10-Q and 2023 Form 10-K for the metrics that we use to monitor and manage credit risk.

Credit risk management actions undertaken across the enterprise include continual refinement of underwriting standards, efforts to reduce credit exposure where appropriate, and regular credit risk monitoring and management activities. To further mitigate credit risk, we may periodically reduce or exit certain lending areas. Where we have chosen not to retain the credit risk, it is either because it did not fit within the desired risk appetite, and/or because compensation for such risk is not adequate.

Summary of Credit Exposures

PNC's major types of credit risk exposures consist of the following, all of which are presented in accordance with GAAP:

Loans

PNC had $319.8 billion in loans at March 31, 2024. See the Loans section in the Consolidated Balance Sheet Review of our March 31, 2024 Form 10-Q for quantitative information on our loans and Note 3 Loans and Related Allowance for Credit Losses in our

March 31, 2024 Form 10-Q for further information on loans.

Credit concentration limits have been established to avoid excessive credit concentrations in certain risk pools that, in the event of increased credit losses, could affect portfolio optimization in terms of capital preservation. Credit concentrations arise when otherwise unrelated loans are linked by a common characteristic (such as aggregate customer exposure, industry, product, property or geography).

See Table 16 Commercial and Industrial Loans by Industry in the Credit Risk Management section of our March 31, 2024 Form 10-Q for the distribution of commercial loans by industry. See Table 17 Commercial Real Estate Loans by Geography and Property Type, Table 18 Residential Real Estate Loan Statistics and Table 19 Home Equity Loan Statistics in the Credit Risk Management section of our March 31, 2024 Form 10-Q for loans by geographic market, property type and lien type.

The following table presents our consumer and commercial loan portfolios by remaining contractual maturity:

Table 3: Loan Exposures by Remaining Contractual Maturity

				March 31, 2024
In millions		Less than one year		One to five years	Greater than five years		Total
Commercial loans	$	51,792	$	113,983	$	53,070	$	218,845
Consumer loans		1,603		14,683		84,650		100,936
Total	$	53,395	$	128,666	$	137,720	$	319,781

The methodologies used to estimate our allowance for loan and lease losses and PNC's policies for: determining past due or delinquency status; placing loans on nonaccrual; returning loans to accrual status; and charging off uncollectible amounts are described in detail in the Credit Risk Management and Critical Accounting Estimates and Judgments sections, as well as Note 1 Accounting Policies in our 2023 Form 10-K.

Securities

PNC had $130.5 billion in investment securities at March 31, 2024. See the Investment Securities section within the Consolidated Balance Sheet Review of our March 31, 2024 Form 10-Q for quantitative information on our investment securities. Also see Note 2 Investment Securities in our March 31, 2024 Form 10-Q for further information on investment securities, including the remaining contractual maturity on our debt securities.

Cash

PNC had $53.6 billion in interest-earning deposits with banks and $5.9 billion in cash and due from banks at March 31, 2024. See the Consolidated Balance Sheet Review included in our March 31, 2024 Form 10-Q for further information on interest-earning deposits with banks.

Derivatives

PNC had $3.3 billion in gross fair value of derivatives in an asset position and $6.4 billion in gross fair value of derivatives in a liability position at March 31, 2024. See Note 12 Financial Derivatives in our March 31, 2024 Form 10-Q for further quantitative and qualitative information on derivatives.

See the Average Consolidated Balance Sheet and Net Interest Analysis in the Statistical Information section within our March 31, 2024 Form 10-Q for average balances of our credit risk exposures.

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PNC Pillar 3 Standardized Disclosures as of March 31, 2024

CREDIT RISK MITIGATION

PNC uses various strategies to mitigate credit risk in its portfolios, including: establishing credit risk appetite measures and limits that define acceptable levels of total borrower exposure, and transferring loans to government agencies in securitization transactions. As described within the Counterparty Credit Risk section of this Pillar 3 Report, we may also obtain collateral from counterparties to manage our overall credit risk. In addition, guarantors can serve as a secondary source of repayment. The primary types of guarantors mitigating credit risk are: individuals, business entities, and the U.S. Government. Under the standardized approach, PNC can recognize a credit risk mitigation benefit for certain third-party guarantees. As of March 31, 2024, the reduction to risk-weighted assets as a result of our qualifying third-party guarantees was approximately $1.8 billion.

COUNTERPARTY CREDIT RISK

Counterparty credit exposure arises from the risk that a counterparty is unable to meet its payment obligations to PNC under certain financial contracts. PNC aggregates a counterparty's exposures for all transactions involving derivatives and repurchase agreements. For further information on PNC's use of derivatives, refer to Note 12 Financial Derivatives in our March 31, 2024 Form 10-Q.

A primary responsibility of credit risk management is the approval of new counterparty trading relationships and the subsequent ongoing review of the creditworthiness of the counterparty. The credit risk associated with derivatives executed with customers is essentially the same as that involved in extending loans and is subject to normal credit policies. See the Credit Risk section within this Pillar 3 Report for further discussion of our credit policies. In addition to using master netting agreements and other collateral agreements to reduce credit risk associated with derivative instruments, we also seek to manage credit risk by evaluating credit ratings of counterparties and by using internal credit analysis, limits, and monitoring procedures. Credit risk is included in the determination of the estimated net fair value of our derivatives.

Credit limits are typically set on a loan equivalent exposure basis and credit exposures and limits are monitored daily.

For further information on counterparty credit risk, including counterparty and transaction rating, credit approval process and provisioning and for the notional amount of our derivatives, see Note 12 Financial Derivatives in our March 31, 2024 Form 10-Q.

Counterparty Credit Risk Mitigation

Credit risk from derivatives is mitigated, where possible, through master netting agreements whereby derivative assets and liabilities with the same counterparty can be offset. The International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement is PNC's preferred agreement for documenting over-the-counter (OTC) derivatives. It provides the contractual framework within which dealing activities across a full range of OTC products are conducted and contractually binds both parties to apply close-out netting across all outstanding transactions covered by such master netting agreement if either party defaults or other termination events occur. There are certain instances in which we use customized agreements in lieu of an ISDA Master Agreement; however, these agreements include closeout netting language to protect PNC in a similar manner as the ISDA Master Agreement.

Repurchase and resale agreements are typically entered into with counterparties under industry standard master netting agreements which provide for the right to offset amounts owed to one another with respect to multiple repurchase and resale agreements under such master netting agreement (referred to as netting arrangements) and liquidate the purchased or borrowed securities in the event of counterparty default. In order for an arrangement to be eligible for netting under GAAP, we must obtain the requisite assurance that the offsetting rights included in the master netting agreement would be legally enforceable in the event of bankruptcy, insolvency, or a similar proceeding of such third party. Enforceability is evidenced by obtaining a legal opinion that supports, with sufficient confidence, the enforceability of the master netting agreement in bankruptcy.

Collateral

PNC may obtain collateral against derivative assets, depending on the creditworthiness of the counterparty and/or nature of the transaction. All marketable transactions and associated collateral positions are independently revalued and monitored daily. Collateral thresholds vary by counterparty. The majority of collateral held as credit risk mitigation is either cash, U.S. Treasury, or Government agency securities.

With respect to repurchase and resale agreements, PNC takes possession of securities purchased under agreements to resell. We monitor the market value of securities to be repurchased and resold and additional collateral may be obtained where considered appropriate to protect against credit exposure.

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PNC Pillar 3 Standardized Disclosures as of March 31, 2024

Certain derivative agreements contain various credit-risk related contingent provisions, such as those that require PNC's debt to maintain a specified credit rating from one or more of the major credit rating agencies. For additional information on the potential impact of an investment rating downgrade, see the Offsetting and Counterparty Credit Risk and Credit-Risk Contingent Features sections of Note 12 Financial Derivatives in our March 31, 2024 Form 10-Q.

Further detail regarding the net unsecured credit exposure on our derivatives and other contracts is presented in the following table:

Table 4: Counterparty Credit Risk Exposures

March 31, 2024						Net Unsecured Credit		Credit Equivalent
In millions	Gross Positive Fair Value		Collateral Held
		Exposure		Amount
OTC derivatives	$	13,622	$	4,079	$	2,504	$	2,558
Repo-style transactions	$	823	$	787	$	36	$	47

SECURITIZATION

The Basel III rules define a securitization exposure as an exposure that meets the following criteria:

• All or a portion of the credit risk of one or more underlying exposures is transferred to one or more third parties;
• The credit risk associated with the underlying exposures has been separated into at least two tranches reflecting different levels of seniority;
• Performance of the securitization depends on performance of the underlying exposures;
• All or substantially all of the underlying exposures are financial exposures;
• The underlying exposures are not owned by an operating company; and
• The underlying exposures are not owned by a small business investment company or related to a community development investment.

Generally, PNC does not securitize its own assets but does have multiple asset types meeting the definition of securitization exposure, which are primarily secured lending and investment positions. See the Credit Risk section within this report for further discussion of our credit policies. The following activities meet the regulatory definition of a securitization:

• Investment securities that meet the definition of a securitization exposure including asset-backed securities, commercial and residential mortgage-backed securities, and collateralized loan obligations;
• Secured lending to our clients consisting of collateralized loan obligations and securitizations of trade receivables, auto loan and lease assets, equipment leases, fleet leases, and capital commitments;
• Servicing advances to transactions including commercial and residential mortgage-backed securities;
• Subscription line facilities to real estate investment funds secured by the capital commitments of the funds' investors; and
• OTC derivatives to special purpose entities.

For a description of the roles that PNC plays in the securitization process, refer to Note 4 Loan Sale and Servicing Activities and Variable Interest Entities in our 2023 Form 10-K.

Summary of Accounting Policies for Securitization Activities

A summary of PNC's accounting policies for securitization activities is outlined in Note 1 Accounting Policies and in Note 4 Loan Sale and Servicing Activities and Variable Interest Entities in our 2023 Form 10-K.

Risk Management

PNC's risk department monitors the identification and categorization of securitization exposures. Each quarter, senior management of each line of business with securitization exposures approves a summary of securitization exposures attributable to their business, including the associated capital requirements and the status of associated controls.

For further information on how we use derivatives to mitigate risk associated with changes in the fair value of assets, see Note 15 Financial Derivatives in our 2023 Form 10-K. Information on how we monitor and evaluate changes in credit can be found in Note 2 Investment Securities and Note 3 Loans and Related Allowance for Credit Losses in our March 31, 2024 Form 10-Q.

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PNC Pillar 3 Standardized Disclosures as of March 31, 2024

The following table presents our total on- and off-balance sheet securitization exposures:

Table 5: Securitization Exposures by Underlying Asset Type

				March 31, 2024
In millions		On-Balance Sheet Amount (a)		Off-Balance Sheet Amount (b)		Total Exposure
Residential mortgage-backed securities	$	820			$	820
Commercial mortgage-backed securities		2,209				2,209
Asset-backed securities		7,064				7,064
State and municipal securities		2				2
Total securities	$	10,095			$	10,095
Loans	$	36,946	$	25,763	$	62,709
Other assets (c)		835		16		851
Total	$	47,876	$	25,779	$	73,655

1. Excludes gain/loss amounts for available for sale securities.
2. Primarily unfunded commitments to extend credit.
3. Includes accrued interest on securitization exposures.

Regulatory Treatment of Securitizations

The standardized approach requires banks to use either the Simplified Supervisory Formula Approach (SSFA) or assign a 1250% risk- weight to determine regulatory capital for securitization exposures. The total exposure includes the aggregate of all on- and off- balance sheet exposures.

The following table outlines our securitization exposures, the related risk-weighted amount and capital requirement:

Table 6: Capital Requirements of Securitization Exposures by Risk-Weighting (a)

In millions				March 31, 2024
Risk-Weight Bands		Total Exposure		Risk-Weighted Amount		Capital Requirement (b)
Simplified Supervisory Formula Approach (SSFA)
=20%	$	68,787	$	13,757	$	1,101
> 20% and <= 100%		3,867		1,624		130
> 100% and <= 650%		971		2,512		201
> 650% and <1250%		25		316		25
=1250%		4		42		3
Non-Simplified Supervisory Formula Approach (Non-SSFA)
=1250%		1		10		1
Total	$	73,655	$	18,261	$	1,461

1. Includes total resecuritization exposures of $16 million with a risk-weighted amount and capital requirement of $89 million and $7 million, respectively.
2. Capital requirement is calculated as 8% of risk-weighted assets.

EQUITIES NOT SUBJECT TO THE MARKET RISK RULE

Equity investment risk is the risk of potential losses associated with investing in both private and public equity markets. Equity investments include investments in unconsolidated subsidiaries, equity and other investments classified within other assets and fund investments that, in each case, are not a covered position for purposes of the Market Risk Rule nor a securitization exposure.

Various PNC business units manage our equity and other investment activities and are responsible for making investment decisions within the approved policy limits and associated guidelines. PNC has established enterprise-wide policies and methodologies to identify, measure, monitor and report market risk. Credit Risk Management and Market Risk Management provide independent oversight by monitoring compliance with established guidelines and reporting significant risks in the business to management committees and, where appropriate, the Risk Committee of the Board of Directors. All exposures and corresponding risk-weighted assets are monitored and reported to senior level management committees, including the Regulatory Reporting Oversight Committee and the Executive Capital Committee, on at least a quarterly basis.

For additional details on the management of equity investment risk, see the Market Risk Management section of our 2023 Form 10-K. For additional information on valuation and accounting, see Note 1 Accounting Policies and Note 14 Fair Value in our 2023 Form 10- K.

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