Company: FITBI
Filing Date: 2025-02-24
Form Type: 10-K
Source: 0000035527-25-000079
Chunk: 546

Company: FIFTH THIRD BANCORP
Filing Date: 2025-02-24
Form: 10-K
Item: Item 7
Chunk 546
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 NII sensitivity analysis highlights the impact on forecasted NII on an FTE basis (non-GAAP) over one- and two-year time horizons, EVE is a point-in-time analysis of the economic sensitivity of current balance sheet and off-balance sheet positions that incorporates all cash flows over their estimated remaining lives. The EVE of the balance sheet is defined as the discounted present value of all asset and net derivative cash 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 December 31:

TABLE 57:  Estimated EVE Sensitivity Profile20242023Change in Interest Rates (bps)% Change in  EVEPolicy Limit% Change in  EVEPolicy Limit+200 Shock(6.57)%(12.00)(3.68)(12.00)+100 Shock(3.04)N/A(1.49)N/A-100 Shock1.79 N/A0.65 N/A-200 Shock2.48 (12.00)(1.67)(12.00)

The EVE sensitivity is negative in both a +200 bps and +100 bps rising-rate scenario and positive in both a -200 bps and -100 bps falling-rate scenario at December 31, 2024. The changes in the estimated EVE sensitivity profile from December 31, 2023 were primarily related to changes in forward interest rate expectations, mix-shift of deposit composition into higher beta products, an increase in fixed-rate loans and reduced wholesale funding, which was partially offset by shortening of the investment portfolio duration. 

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