Company: FITBI
Filing Date: 2025-11-04
Form Type: 10-Q
Source: 0000035527-25-000212
Chunk: 82

Company: FIFTH THIRD BANCORP
Filing Date: 2025-11-04
Form: 10-Q
Item: Item 7
Chunk 82
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 flows less the discounted value of all liability cash flows. Due to this longer horizon, the sensitivity of EVE to changes in the level of interest rates is a measure of longer-term interest rate risk. EVE values only the current balance sheet and does not incorporate any assumptions related to continued production or renewal activities used in the NII sensitivity analysis. As with the NII simulation model, assumptions about the timing and variability of existing balance sheet cash flows are critical in the EVE analysis. Particularly important are assumptions driving loan and security prepayments and the expected balance attrition and pricing of indeterminate-lived deposits.

The following table shows the Bancorp’s estimated EVE sensitivity profile as of:

TABLE 55:  Estimated EVE Sensitivity ProfileSeptember 30, 2025September 30, 2024Change in Interest Rates (bps)% Change in EVEPolicy Limit% Change in EVEPolicy Limit+200 Shock(5.17)%(12.00)(4.50)%(12.00)+100 Shock(2.16)N/A(1.78)N/A-100 Shock0.58 N/A0.87 N/A-200 Shock(1.32)(12.00)(1.55)(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 negative in a -200 bps falling-rate scenario at September 30, 2025. The changes in the estimated EVE sensitivity profile from September 30, 2024 were primarily related to changes in forward interest rate expectations, an increase in fixed-rate loans and reduced wholesale funding, partially offset by the impacts of a shorter investment securities portfolio duration and both shorter remaining life and reduction in notional outstanding of receive-fixed interest rate swaps.

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

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 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