Company: CMA
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0000028412-25-000197
Chunk: 234

Company: COMERICA INC
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 8
Chunk 234
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 patterns. Additionally, the analysis assumes that all loan hedges qualify for hedge accounting. Changes in actual economic activity may result in a materially different interest rate environment as well as a balance sheet structure that is different from the changes management included in its simulation analysis. Model assumptions in the sensitivity scenarios at June 30, 2025 included for the rising rate scenarios, a modest increase in loan balances and a moderate decrease in deposit balances, and for the declining rate scenarios, a modest decrease in loan balances and a moderate increase in deposit balances. In addition, both scenarios assumed loan spreads held at current levels, an incremental interest-bearing deposit beta of approximately 47%, deposit mix shifts based on historical observations, partial reinvestment of securities portfolio cash flows and no additions to interest rate swaps. 

The average balance of the securities portfolio included in the analysis was $14.8 billion for the three months ended June 30, 2025 with an average yield of 2.46% and effective duration of 5.7 years.

The table below details components of the Corporation's variable-rate loan swap portfolio at June 30, 2025.

Variable-Rate Loan Swaps(dollar amounts in millions)Notional AmountWeighted Average YieldYears to MaturitySwaps under contract at June 30, 2025 (a)$23,100 2.56%2.7 

(a)Years to maturity calculated from a starting date of June 30, 2025.

The analysis also includes interest rate swaps that convert $5.8 billion of fixed-rate medium- and long-term debt and FHLB advances to variable rates through fair value hedges. Additionally, included in this analysis are $16.1 billion of loans that were subject to an average interest rate floor of 52 basis points at June 30, 2025. This base-case net interest income is then compared against interest rate scenarios in which short-term rates rise or decline 100 or 200 basis points (with a floor of 0%) in a linear, non-parallel fashion from the base case over 12 months, resulting in an average change of 50 or 100 basis points over the period.

The table below, as of June 30, 2025 and December 31, 2024, displays the estimated impact on net interest income during the next 12 months by relating the base case scenario results to those from the rising and declining rate scenarios described above.

Estimated Annual ChangeJune 30, 2025December 31,