Company: CMA
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0000028412-25-000235
Chunk: 141

Company: COMERICA INC
Filing Date: 2025-10-28
Form: 10-Q
Item: Part I, Item 1
Chunk 141
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 compared to the standard model assumptions. 

Sensitivity of Economic Value of Equity to Changes in Interest Rates

In addition to the simulation analysis on net interest income, an economic value of equity analysis provides an alternative view of the interest rate risk position. The economic value of equity is the difference between the estimate of the economic value of the Corporation's financial assets, liabilities and off-balance sheet instruments, derived through discounting cash flows based on actual rates at the end of the period, and the estimated economic value after applying the estimated impact of rate movements. The Corporation primarily monitors the percentage change on the base-case economic value of equity. The economic value of equity analysis is based on an immediate parallel 100 or 200 basis point shock with a floor of 0%.

The table below, as of September 30, 2025 and December 31, 2024, displays the estimated impact on the economic value of equity from the interest rate scenario described above.

September 30, 2025December 31, 2024(dollar amounts in millions)Amount%Amount%Change in Interest Rates:Change in Interest Rates:Rising 100 basis points$(302)(2) %Rising 100 basis points$(503)(4) %Declining 100 basis points406 3 Declining 100 basis points598 5 Rising 200 basis points(700)(5)Rising 200 basis points(1,066)(9)Declining 200 basis points663 5 Declining 200 basis points1,097 9 

The sensitivity of the economic value of equity to rising and declining rates decreased from December 31, 2024 to September 30, 2025 primarily due to a declining notional amount of cash flow swaps and a smaller securities portfolio.

BSBY Cessation

Bloomberg discontinued publishing BSBY on November 15, 2024. As a result, the Corporation was required to “de-designate” $7.0 billion of interest rate swaps used in cash flow hedges of certain BSBY-indexed loans and reclassify amounts recognized in accumulated other comprehensive income into earnings. For each de-designated swap, settlement of interest payments and changes in fair value were recorded as risk management hedging losses within other noninterest income instead of net interest income until re-designation. All impacted swaps were re-designated as of April 1, 2024.

BSBY cessation positively impacted interest income on commercial loans by $19 million for