Company: FITBI
Filing Date: 2025-11-04
Form Type: 10-Q
Source: 0000035527-25-000212
Chunk: 83

Company: FIFTH THIRD BANCORP
Filing Date: 2025-11-04
Form: 10-Q
Item: Item 7
Chunk 83
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 interest rates. The NII simulations and EVE analyses do not necessarily include certain actions that management may undertake to manage risk in response to actual changes in interest rates.

The Bancorp regularly evaluates its exposures to a static balance sheet forecast, basis risks relative to the Prime Rate and various SOFR terms, yield curve twist risks and embedded options risks. In addition, the impacts on NII on an FTE basis and EVE of extreme changes in interest rates are modeled, wherein the Bancorp employs the use of yield curve shocks and environment-specific scenarios.

Use of Derivatives to Manage Interest Rate Risk

An integral component of the Bancorp’s interest rate risk management strategy is its use of derivative instruments to minimize significant fluctuations in earnings caused by changes in market interest rates. Examples of derivative instruments that the Bancorp may use as part of its interest rate risk management strategy include interest rate swaps, interest rate floors, interest rate caps, forward contracts, forward starting interest rate swaps, options, swaptions and TBA securities.

Tables 56 and 57 show all swap positions that are utilized as qualifying hedging instruments for purposes of managing the Bancorp’s exposures to the variability of interest rates. These positions are used to convert the contractual interest rate index of agreed-upon amounts of assets and liabilities (i.e., notional amounts) to another interest rate index, to hedge the exposure to changes in fair value of a recognized asset attributable to changes in the benchmark interest rate or to hedge forecasted transactions for the variability in cash flows attributable to the contractually specified interest rate. The volume, maturity and mix of portfolio swaps change frequently as the Bancorp adjusts its broader interest rate risk management objectives and the balance sheet positions to be hedged. For further information, refer to Note 9 of the Notes to Condensed Consolidated Financial Statements.

The following tables present additional information about the interest rate swaps used as qualifying hedging instruments in Fifth Third’s asset and liability management activities:

TABLE 56:  Summary of Qualifying Hedging InstrumentsWeighted-AverageAs of September 30, 2025 ($ in millions)NotionalAmountFair ValueRemainingTerm (years)Fixed RateInterest rate swaps related to C&I loans – cash flow – receive-fixed$6,850 (1)5.9 3.11  %Interest rate swaps related to commercial mortgage and commercial construction loans – cash flow – receive-fixed4,000 — 6.3 3.50 Interest rate swaps related to long-term debt – fair value – receive-fixed