PNC Financial Services : 1Q21 Liquidity Coverage Ratio Disclosure

The PNC Financial Services Group, Inc.

Liquidity Coverage Ratio Disclosure

March 31, 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 March 31, 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 primarily in markets across the Mid-Atlantic, Midwest and Southeast. We also have strategic international offices in four countries outside the U.S. At March 31, 2021, consolidated total assets, total deposits and total shareholders' equity were $474.4 billion, $375.1 billion and $53.8 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.

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 March 31, 2021 (March 31, 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 March 31, 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 March 31, 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 March 31, 2021, the LCR for PNC exceeded the requirement of 100%.

The following table summarizes PNC's average LCR for the three months ended March 31, 2021 based on the LCR rules:

Table 1: Liquidity Coverage Ratio

		Three Months Ended
Average weighted amount (in millions)		March 31, 2021
HQLA	$	86,799
Estimated net cash outflows		73,619
LCR		118 %
HQLA in excess of estimated net cash outflows	$	13,180

PNC's average LCR for the three months ended March 31, 2021 was 118%, a 1% increase from the three months ended December 31, 2020. The increase is primarily driven by increased transferability of HQLA from PNC Bank.

HQLA consists of cash balances held with the Federal Reserve Bank of Cleveland 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 March 31, 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 March 31, 2021:

Table 2: Liquidity Coverage Ratio and Related Components

			Three months ended
			March 31, 2021
Dollars in millions		Average Unweighted			Average Weighted
	Amount			Amount (a)
High Quality Liquid Assets
1	Total eligible HQLA, of which:	$	86,799		$	86,799
2	Eligible level 1 liquid assets		86,799			86,799
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:	$	215,701		$	12,475
6	Stable retail deposit outflow		146,081			4,383
7	Other retail funding outflow		61,161			6,268
8	Brokered deposit outflow		8,459			1,824
9	Unsecured wholesale funding outflow, of which:		135,197			45,933
10	Operational deposit outflow		73,442			18,128
11	Non-operational funding outflow		61,413			27,463
12	Unsecured debt outflow		342			342
13	Secured wholesale funding and asset exchange outflow		15,061			2,175
14	Additional outflow requirements, of which:		171,847			28,022
15	Outflow related to derivative exposures and other collateral requirements		3,112			2,258
16	Outflow related to credit and liquidity facilities including unconsolidated		168,735			25,764
structured transactions and mortgage commitments
17	Other contractual funding obligation outflow		281			281
18	Other contingent funding obligations outflow		5,010			150
19	Total Cash Outflow	$	543,097		$	89,036
Cash I	nflow Amounts
20	Secured lending and asset exchange cash inflow	$	721		$	21
21	Retail cash inflow		1,084			542
22	Unsecured wholesale cash inflow		2,626			1,401
23	Other cash inflows, of which:		2,392			2,392
24	Net derivative cash inflow		1,463			1,463
25	Securities cash inflow		929			929
26	Broker-dealer segregated account inflow
27	Other cash inflow
28	Total Cash Inflow	$	6,823		$	4,356
						Average Weighted
						Amount (b)
29	HQLA Amount			$	86,799
30	Total Estimated Net Cash Outflow Amount Excluding the Maturity				$	84,680
Mismatch Add-on
31	Maturity Mismatch Add-on					1,930
32	Total unadjusted net cash outflow amount				$	86,610
33	Outflow adjustment percentage					85 %
34	Total net cash outflow amount				$	73,619
35	Liquidity Coverage Ratio (%)					118 %

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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