Company: TFC
Filing Date: 2025-02-25
Form Type: 10-K
Source: 0000092230-25-000020
Chunk: 169

Company: TRUIST FINANCIAL CORP
Filing Date: 2025-02-25
Form: 10-K
Item: Item 2
Chunk 169
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 are influenced by market conditions, new business volume, pricing, and customer behavior. In measuring NII at risk, Truist assumes that changes in key factors, such as prepayments and deposit pricing (betas), largely move in line with those it has experienced in prior rate cycles. However, future behavior of key factors may vary from Truist’s assumptions. NII at risk measurement assumes, when applicable, that U.S. interest rates floor at zero and Truist does not take any balance sheet or hedging actions in response to the rate scenarios.

Truist evaluates a wide range of alternate scenarios including instantaneous and gradual as well as parallel and non-parallel changes in interest rates. The table below presents the estimated change to NII over the following 12 months for select parallel alternate scenarios, expressed as a percentage change relative to baseline NII.

The change in simulation analysis results from December 31, 2023 to December 31, 2024 in the table below was primarily due to the aforementioned enhanced deposit methodology. The use of dynamic deposit balance models results in rotation to higher cost funding products (e.g., CDs) when market rates increase and to lower cost funding products (e.g., non-maturity deposits) when market rates decrease. The use of dynamic rate paid models results in varying deposit betas based on the timing and conditions within market rate cycles but generally result in lower betas in the simulation analysis results than the prior methodology due to beta lag effects relative to changes in market rates. These updates were made to better reflect expected deposit behavior and Truist’s NII rate sensitivity to changes in market rates. Together, the incorporation of dynamic deposit balances and dynamic rate paid resulted in adding NII in up rate scenarios and reducing NII in down rate scenarios.

Table 34: Interest Sensitivity Simulation AnalysisDec 31, 2024Dec 31, 2023Up 200bps gradual change in interest rates1.1 %(1.5)%Up 50bps instantaneous change in interest rates0.6 (0.4)Down 50bps instantaneous change in interest rates(0.8)(0.1)Down 200bps gradual change in interest rates(2.1)(0.3)

Truist performs and monitors sensitivity tests of key assumptions used in NII risk including:

•Asset prepayment speeds

•New loan volume pricing spreads

•Interest-bearing deposit betas

•Non-interest-bearing demand deposit balance runoff, replaced by market funding

EVE measures changes