Company: FITBI
Filing Date: 2025-11-04
Form Type: 10-Q
Source: 0000035527-25-000212
Chunk: 143

Company: FIFTH THIRD BANCORP
Filing Date: 2025-11-04
Form: 10-Q
Item: Item 8
Chunk 143
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5 and December 31, 2024, respectively.

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Table of ContentsFifth Third Bancorp and SubsidiariesNotes to Condensed Consolidated Financial Statements (unaudited)

At September 30, 2025, the sensitivity of the current fair value of residual cash flows to immediate 10%, 20% and 50% adverse changes in prepayment speed assumptions and immediate 10% and 20% adverse changes in OAS for servicing rights related to residential mortgage loans are as follows:($ in millions)(a)PrepaymentSpeed AssumptionOASAssumptionFair ValueWeighted-Average Life(in years)Impact of Adverse Changeon Fair ValueOAS(bps)Impact of Adverse Change on Fair ValueRate10%20%50%10%20%Fixed-rate$1,598 8.06.9 %$(38)(75)(172)441$(33)(65)Adjustable-rate3 4.618.9 — (1)(2)714— — (a)The impact of the weighted-average default rate on the current fair value of residual cash flows for all scenarios is immaterial.These sensitivities are hypothetical and should be used with caution. As the figures indicate, changes in fair value based on these variations in the assumptions typically cannot be extrapolated because the relationship of the change in assumption to the change in fair value may not be linear. The Bancorp believes that variations of these levels are reasonably possible; however, there is the potential that adverse changes in key assumptions could be even greater. Also, in the previous table, the effect of a variation in a particular assumption on the fair value of the interests that continue to be held by the Bancorp is calculated without changing any other assumption; in reality, changes in one factor may result in changes in another (for example, increases in market interest rates may result in lower prepayments), which might magnify or counteract these sensitivities.

9.  Derivative Financial Instruments

The Bancorp maintains an overall risk management strategy that incorporates the use of derivative instruments to reduce certain risks related to interest rate, prepayment and foreign currency volatility. The Bancorp’s interest rate risk management strategy involves modifying the repricing characteristics of certain financial instruments so that changes in interest rates do not adversely affect the Bancorp’s net interest margin and cash flows. Additionally, the Bancorp holds derivative instruments for the benefit of its commercial customers and for other business purposes. The Bancorp does not enter into unhedged speculative