3Q21 Liquidity Coverage Ratio Disclosures

The PNC Financial Services Group, Inc.

Liquidity Coverage Ratio Disclosure

September 30, 2021

Table of Contents
Section	Page
Introduction	1
Liquidity Coverage Ratio	2
High Quality Liquid Assets	4
Funding Sources	4
Net Cash Outflows	4
Deposits	5
Commitments	5
Maturity Mismatch Add-on	5
Liquidity Risk Management	5

PNC Liquidity Coverage Ratio Disclosure as of September 30, 2021

Introduction

The PNC Financial Services Group, Inc. (PNC) is one of the largest diversified financial services companies in the United States (U.S.) and is headquartered in Pittsburgh, Pennsylvania. We have businesses engaged in retail banking, including residential mortgage, corporate and institutional banking and asset management, providing many of our products and services nationally. Our retail branch network is located coast-to-coast. At September 30, 2021, consolidated total assets, total deposits and total shareholders' equity were $553.5 billion, $448.9 billion and $56.3 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. Our bank subsidiary is PNC Bank, National Association (PNC Bank), a national bank headquartered in Pittsburgh, Pennsylvania.

On June 1, 2021, PNC acquired BBVA USA Bancshares Inc. (BBVA), a U.S. financial holding company conducting its business operations primarily through its U.S. banking subsidiary, BBVA USA. PNC paid $11.5 billion in cash as consideration for the acquisition.

On October 8, 2021, BBVA USA merged into PNC Bank. As of October 12, 2021, PNC has converted approximately 2.6 million customers, 9,000 employees and over 600 branches across seven states. PNC's third quarter results reflect the full quarter benefit of BBVA's acquired business operations.

The Liquidity Coverage Ratio (LCR) disclosures are required by the LCR rules issued by the Board of Governors of the Federal Reserve System. These disclosures provide information about our LCR, liquidity risk management, sources of liquidity and contractual obligations and commitments and should be read in conjunction with our Securities and Exchange Commission (SEC) filings, including the Annual Report on Form 10-K for the year ended December 31, 2020 (2020 Form 10-K) and Quarterly Report on the Form 10-Q for the period ended September 30, 2021 (September 30, 2021 Form 10-Q). These SEC filings are available at www.pnc.com/secfilings. The LCR disclosures and other regulatory disclosures are available at www.pnc.com/regulatorydisclosures.

Further, the financial information presented within this LCR disclosure may differ from similar information presented in the Consolidated Financial Statements and Notes To Consolidated Financial Statements on Form 10-K/Q. Unless specified otherwise, all amounts and information within are presented in conformity with the definitions and requirements of the LCR rules.

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 September 30, 2021 Form 10-Q for more information. Also see all risks and uncertainties disclosed in PNC's SEC filings, including its 2020 Form 10-K, and subsequent reports on Forms 10-K,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.

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PNC Liquidity Coverage Ratio Disclosure as of September 30, 2021

Liquidity Coverage Ratio

The LCR is a regulatory minimum liquidity requirement designed to ensure that covered banking organizations maintain an adequate level of unencumbered high quality liquid assets (HQLA) to meet net liquidity needs over the course of a hypothetical 30-day stress scenario. The LCR, for disclosure purposes, is calculated as the quarterly average of the daily amount of an institution's HQLA, as defined and calculated in accordance with the LCR rules, divided by its estimated net cash outflows, with net cash outflows determined by applying the prescribed outflow factors in the LCR rules. The resulting quotient is expressed as a percentage. The regulatory minimum LCR that we are required to maintain is 100%. PNC is required to calculate the LCR on a daily basis, and as of September 30, 2021, the LCR for PNC exceeded the requirement of 100%.

The following table summarizes PNC's average LCR for the three months ended September 30, 2021 based on the LCR rules:

Table 1: Liquidity Coverage Ratio

		Three Months Ended
Average weighted amount (in millions)		September 30, 2021
HQLA	$	93,420
Estimated net cash outflows		88,728
LCR		105 %
HQLA in excess of estimated net cash outflows	$	4,692

PNC's third quarter consolidated LCR results reflect the full quarter benefit of BBVA's acquired business operations on an average basis. PNC's average LCR for the three months ended September 30, 2021 was 105%, an 8% decrease from the three months ended June 30, 2021. The primary driver of the decrease in average consolidated LCR is the full quarter effect of the $11.5 billion purchase of BBVA USA, which closed on June 1, 2021. For additional information on the BBVA acquisition refer to Note 2 Acquisition and Divestiture Activity in our June 30, 2021 Form 10-Q.

HQLA consists of cash balances held with the Federal Reserve Bank and Level 1 and Level 2 securities. Estimated net cash outflows primarily relate to our deposits and lending-related commitments. Refer to Table 2: Liquidity Coverage Ratio and Related Components and Table 3: HQLA Composition for additional information.

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PNC Liquidity Coverage Ratio Disclosure as of September 30, 2021

The following table provides additional detail on PNC's average LCR, average unweighted and weighted amount of HQLA, cash outflows and cash inflows for the three months ended September 30, 2021:

Table 2: Liquidity Coverage Ratio and Related Components

			Three months ended
			September 30, 2021
Dollars in millions		Average Unweighted			Average Weighted
	Amount			Amount (a)
High Quality Liquid Assets
1	Total eligible HQLA, of which:	$	93,420		$	93,420
2	Eligible level 1 liquid assets		93,420			93,420
3	Eligible level 2A liquid assets
4	Eligible level 2B liquid assets
Cash Outflow Amounts
5	Deposit outflow from retail customers and counterparties, of which:	$	270,568		$	15,355
6	Stable retail deposit outflow		182,588			5,477
7	Other retail funding outflow		78,103			7,901
8	Brokered deposit outflow		9,877			1,977
9	Unsecured wholesale funding outflow, of which:		167,743			57,450
10	Operational deposit outflow		88,791			21,805
11	Non-operational funding outflow		78,558			35,251
12	Unsecured debt outflow		394			394
13	Secured wholesale funding and asset exchange outflow		17,340			1,906
14	Additional outflow requirements, of which:		195,092			31,445
15	Outflow related to derivative exposures and other collateral requirements		3,602			2,877
16	Outflow related to credit and liquidity facilities including unconsolidated		191,490			28,568
structured transactions and mortgage commitments
17	Other contractual funding obligation outflow		411			411
18	Other contingent funding obligations outflow		4,153			125
19	Total Cash Outflow	$	655,307		$	106,692
Cash I	nflow Amounts
20	Secured lending and asset exchange cash inflow	$	1,203		$	62
21	Retail cash inflow		970			485
22	Unsecured wholesale cash inflow		1,510			831
23	Other cash inflows, of which:		2,464			2,464
24	Net derivative cash inflow		1,591			1,591
25	Securities cash inflow		873			873
26	Broker-dealer segregated account inflow
27	Other cash inflow
28	Total Cash Inflow	$	6,147		$	3,842
						Average Weighted
						Amount (b)
29	HQLA Amount			$	93,420
30	Total Estimated Net Cash Outflow Amount Excluding the Maturity				$	102,850
Mismatch Add-on
31	Maturity Mismatch Add-on					1,536
32	Total unadjusted net cash outflow amount				$	104,386
33	Outflow adjustment percentage					85 %
34	Total net cash outflow amount				$	88,728
35	Liquidity Coverage Ratio (%)					105 %

1. Average weighted amount represents the average balances after applying HQLA haircuts and outflow/inflow rates prescribed by the LCR rules.
2. The amounts reported in this column may not equal the calculation of those amounts using component amounts reported in rows 1-28 due to technical factors such as the application of the level 2 asset caps, the total inflow cap, and for depository institution holding companies subject to subpart G, the application of the modification to total net cash outflows.

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