Company: FITBI
Filing Date: 2025-05-06
Form Type: 10-Q
Source: 0000035527-25-000137
Chunk: 70

Company: FIFTH THIRD BANCORP
Filing Date: 2025-05-06
Form: 10-Q
Item: Item 7
Chunk 70
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 as of:

TABLE 54:  Estimated EVE Sensitivity ProfileMarch 31, 2025March 31, 2024Change in Interest Rates (bps)% Change in EVEPolicy Limit% Change in EVEPolicy Limit+200 Shock(5.92)%(12.00)(4.37)%(12.00)+100 Shock(2.50)N/A(1.80)N/A-100 Shock1.05 N/A0.94 N/A-200 Shock(0.11)(12.00)0.14 (12.00)

The EVE sensitivity is negative in both a +200 bps and +100 bps rising-rate scenario, positive in a -100 bps falling-rate scenario, and slightly negative in a -200 bps falling-rate scenario at March 31, 2025. The changes in the estimated EVE sensitivity profile from March 31, 2024 were primarily related to changes in forward interest rate expectations, mix shift of deposit composition into higher-beta products, an increase in fixed-rate loans and reduced wholesale funding, partially offset by the impacts of a shorter investment securities portfolio duration. 

While an instantaneous shift in spot interest rates is used in this analysis to provide an estimate of exposure, the Bancorp believes that a gradual shift in interest rates would have a more modest impact. Since EVE measures the discounted present value of cash flows over the 

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Table of ContentsManagement’s Discussion and Analysis of Financial Condition and Results of Operations (continued)

estimated lives of instruments, the change in EVE does not directly correlate to the degree that earnings would be impacted over a shorter time horizon (e.g., the current fiscal year). Further, EVE does not account for factors such as future balance sheet growth, changes in product mix, changes in yield curve relationships and changing product spreads that could mitigate or exacerbate the impact of changes in 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