Company: FCNCB
Filing Date: 2025-05-09
Form Type: 10-Q
Source: 0000798941-25-000024
Chunk: 123

Company: FIRST CITIZENS BANCSHARES INC /DE/
Filing Date: 2025-05-09
Form: 10-Q
Item: Item 1
Chunk 123
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 optimal alignment between assets and liabilities.

The following table summarizes the results of 12-month NII Sensitivity simulations produced by our asset/liability management system. These simulations assume static balance sheet replacement with like products and implied forward market rates, and also incorporate additional internal models and assumptions, including rate dependent prepayment for certain loans and securities and repricing of interest-bearing non-maturity deposits. The below simulations assume an immediate 100 and 200 bps parallel increase and decrease from current interest rates.

Table 42

Net Interest Income Sensitivity Simulation Analysis 

Estimated (Decrease) Increase in NIIChange in interest rate (bps)March 31, 2025December 31, 2024-200(11.4) %(10.6) %-100(6.1)(6.1)+1005.9 6.9 +20012.3 11.1 

NII Sensitivity metrics at March 31, 2025, compared to December 31, 2024, were primarily affected by cash increase from deposit growth and the Current Quarter Debt Issuances, as well as impacts from changes in forward rate curve expectations, partially offset by additional execution of cash flow hedges. 

As of March 31, 2025, BancShares continues to have an asset sensitive interest rate risk profile and the potential exposure to forecasted earnings was largely due to the composition of the balance sheet (primarily due to floating rate commercial loans and cash), as well as estimates of modest future deposit betas. Approximately 64% of our loans have floating contractual reference rates, indexed primarily to SOFR and the U.S. prime rate. Deposit betas are currently modeled to have a portfolio average of approximately 35%-45% over the twelve-month forecast horizon, including 50%-60% for interest-bearing non-maturity deposits. Deposit beta is the portion of a change in the federal funds rate that is passed on to the deposit rate. Actual deposit betas may be different than modeled, depending on various factors, including liquidity requirements, deposit mix and competitive pressures. Impacts to NII Sensitivity may change due to actual results differing from modeled expectations. 

As noted above, EVE Sensitivity supplements NII simulations as it estimates risk exposures beyond a twelve-month horizon. EVE Sensitivity measures the change in the EVE due to changes in assets, liabilities, and off-balance sheet instruments in response to a change in interest rates. EVE Sensitivity was calculated by estimating the change in the net