Company: CMA
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0000028412-25-000235
Chunk: 139

Company: COMERICA INC
Filing Date: 2025-10-28
Form: 10-Q
Item: Part I, Item 1
Chunk 139
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Since no single measurement system satisfies all management objectives, a combination of techniques is used to manage interest rate risk. These techniques examine the impact of interest rate risk on net interest income and the economic 

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value of equity under a variety of alternative scenarios, including changes in the level, slope and shape of the yield curve utilizing multiple simulation analyses. Simulation analyses produce only estimates of net interest income as the assumptions used are inherently uncertain. Actual results may differ from simulated results due to many factors, including, but not limited to, the timing, magnitude and frequency of changes in interest rates, market conditions, regulatory impacts and management strategies.

Sensitivity of Net Interest Income to Changes in Interest Rates

The analysis of the impact of changes in interest rates on net interest income under various interest rate scenarios is management's principal risk management technique. Management models a base-case net interest income under an unchanged interest rate environment using a static balance sheet and generates sensitivity scenarios by changing certain model assumptions. Each scenario includes assumptions such as loan growth, investment security prepayment levels, depositor behavior and overall balance sheet mix and growth which are in line with historical patterns. Additionally, the analysis assumes that all loan hedges qualify for hedge accounting. Changes in actual economic activity may result in a materially different interest rate environment as well as a balance sheet structure that is different from the changes management included in its simulation analysis. Model assumptions in the sensitivity scenarios at September 30, 2025 included for the rising rate scenarios, a modest increase in loan balances and a moderate decrease in deposit balances, and for the declining rate scenarios, a modest decrease in loan balances and a moderate increase in deposit balances. In addition, both scenarios assumed loan spreads held at current levels, an incremental interest-bearing deposit beta of approximately 47%, deposit mix shifts based on historical observations, full reinvestment of securities portfolio cash flows and no additions to interest rate swaps. 

The average balance of the securities portfolio included in the analysis was $14.7 billion for the three months ended September 30, 2025 with an average yield of 2.45% and effective duration of 5.6 years.

The table below details components of the Corporation's variable-rate loan swap portfolio at September 30, 2025.

Variable-Rate Loan Swaps(dollar amounts in millions)Notional AmountWeighted Average YieldYears to MaturitySwaps under contract at September 30, 2025 (a)$22,850 2.58%2.5 

(a)Years to maturity calculated from a