Company: FCNCB
Filing Date: 2025-05-09
Form Type: 10-Q
Source: 0000798941-25-000024
Chunk: 344

Company: FIRST CITIZENS BANCSHARES INC /DE/
Filing Date: 2025-05-09
Form: 10-Q
Item: Item 2
Chunk 344
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March 31, 2025December 31, 2024-200(11.4) %(10.6) %-100(6.1)(6.1)+1005.9 6.9 +20012.3 11.1 

NII Sensitivity metrics at March 31, 2025, compared to December 31, 2024, were primarily affected by cash increase from deposit growth and the Current Quarter Debt Issuances, as well as impacts from changes in forward rate curve expectations, partially offset by additional execution of cash flow hedges. 

As of March 31, 2025, BancShares continues to have an asset sensitive interest rate risk profile and the potential exposure to forecasted earnings was largely due to the composition of the balance sheet (primarily due to floating rate commercial loans and cash), as well as estimates of modest future deposit betas. Approximately 64% of our loans have floating contractual reference rates, indexed primarily to SOFR and the U.S. prime rate. Deposit betas are currently modeled to have a portfolio average of approximately 35%-45% over the twelve-month forecast horizon, including 50%-60% for interest-bearing non-maturity deposits. Deposit beta is the portion of a change in the federal funds rate that is passed on to the deposit rate. Actual deposit betas may be different than modeled, depending on various factors, including liquidity requirements, deposit mix and competitive pressures. Impacts to NII Sensitivity may change due to actual results differing from modeled expectations. 

As noted above, EVE Sensitivity supplements NII 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.

90

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 43

Economic Value of Equity Modeling Analysis

Estimated Increase (Decrease) in