Company: FCNCB
Filing Date: 2025-11-07
Form Type: 10-Q
Source: 0000798941-25-000050
Chunk: 411

Company: FIRST CITIZENS BANCSHARES INC /DE/
Filing Date: 2025-11-07
Form: 10-Q
Item: Item 8
Chunk 411
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 simulations as it estimates risk exposures beyond a twelve-month horizon. EVE Sensitivity measures the change in the EVE due to changes in assets, liabilities, and off-balance sheet instruments in response to a change in interest rates. EVE Sensitivity was calculated by estimating the change in the net present value of assets, liabilities, and off-balance sheet items under various rate movements, including utilizing a dynamic rate level dependent modeling approach for our deposit attrition assumption. In addition to interest rate changes, other key assumptions used in our EVE Sensitivity simulations include asset prepayments, as well as balance attrition and pricing of non-maturity deposits.

98

The below simulations assume an immediate 100 and 200 bps parallel increase and decrease from current interest rates and the estimated impact on our EVE profile based on our current modeling approach:

Table 46Economic Value of Equity Modeling Analysis

Estimated Increase (Decrease) in EVEChange in interest rate (bps)September 30, 2025June 30, 2025December 31, 2024-2005.6  %2.0  %5.4  %-1003.7 2.0 3.1 +100(3.7)(2.2)(3.2)+200(6.5)(4.0)(7.0)

In addition to the above reported sensitivities, a wide variety of potential interest rate scenarios are simulated within our asset/liability management system. Scenarios that impact balance sheet composition or the sensitivity to key assumptions are also evaluated.

We use results of our various interest rate risk analyses to formulate and implement asset and liability management strategies, in coordination with the Asset and Liability Committee, to achieve the desired risk profile, while managing our objectives for market risk and other strategic objectives. Specifically, we may manage our interest rate risk position through certain pricing strategies and product design for loans and deposits, our investment portfolio, funding portfolio, or by using derivatives to mitigate earnings volatility. 

The above sensitivities provide an estimate of our interest rate sensitivity; however, they do not account for potential changes in credit quality, size, mix, or changes in the competition for business in the industries we serve. They also do not account for other business developments and other actions. Accordingly, we can give no assurance that actual results would not differ materially from the estimated outcomes of our simulations. 

Loan Maturity and Loan Interest Rate Sensitivity

The following table provides loan maturity distribution information:

Table 47Loan Maturity Distribution

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