Interest Sensitivity Analysis for PNC FINANCIAL SERVICES GROUP INC (PNC)

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PNC » Topics » Interest Sensitivity Analysis

This excerpt taken from the PNC 10-Q filed May 11, 2009.

Interest Sensitivity Analysis


	First Quarter 2009		First Quarter 2008
Net Interest Income Sensitivity Simulation
Effect on net interest income in first year from gradual interest rate change over following 12 months of:
100 basis point increase	1.1	%	(2.6	)%
100 basis point decrease	(1.1	)%	2.5	%
Effect on net interest income in second year from gradual interest rate change over the preceding 12 months of:
100 basis point increase	2.7	%	(5.2	)%
100 basis point decrease	(4.2	)%	2.0	%
Duration of Equity Model
Base case duration of equity (in years):	NM	(a)	2.2
Key Period-End Interest Rates
One month LIBOR	.50	%	2.70	%
Three-year swap	1.68	%	2.73	%

(a)	NM = not meaningful. Given the inherent limitations in certain of these measurement tools and techniques, results become less meaningful as interest rates approach zero.

In addition to measuring the effect on net interest income assuming parallel changes in current interest rates, we

routinely simulate the effects of a number of nonparallel interest rate environments. The following Net Interest Income Sensitivity To Alternative Rate Scenarios table reflects the percentage change in net interest income over the next two 12-month periods assuming (i) the PNC Economist’s most likely rate forecast, (ii) implied market forward rates, and (iii) a Two-Ten Inversion (a 200 basis point inversion between two-year and ten-year rates superimposed on current base rates) scenario.

This excerpt taken from the PNC 10-K filed Mar 2, 2009.

Interest Sensitivity Analysis


	Fourth Quarter 2008		Fourth Quarter 2007
Net Interest Income Sensitivity Simulation
Effect on net interest income in first year from gradual interest rate change over following 12 months of:
100 basis point increase	(0.7	)%	(2.8	)%
100 basis point decrease	(0.5	)%	2.9	%
Effect on net interest income in second year from gradual interest rate change over the preceding 12 months of:
100 basis point increase	1.9	%	(6.4	)%
100 basis point decrease	(3.1	)%	4.4	%
Duration of Equity Model
Base case duration of equity (in years):	NM	(a)	2.1
Key Period-End Interest Rates
One month LIBOR	.44	%	4.60	%
Three-year swap	1.76	%	3.91	%

(a)	NM = not meaningful. Given the inherent limitations in certain of these measurement tools and techniques, results become less meaningful as interest rates approach zero.

In addition to measuring the effect on net interest income assuming parallel changes in current interest rates, we routinely simulate the effects of a number of nonparallel interest rate environments. The following Net Interest Income Sensitivity To Alternative Rate Scenarios table reflects the percentage change in net interest income over the next two 12-month periods assuming (i) the PNC Economist’s most likely rate forecast, (ii) implied market forward rates, and (iii) a Two-Ten Inversion (a 200 basis point inversion between two-year and ten-year rates superimposed on current base rates) scenario.

This excerpt taken from the PNC 10-Q filed Nov 6, 2008.

Interest Sensitivity Analysis


	Third Quarter 2008		Third Quarter 2007
Net Interest Income Sensitivity Simulation
Effect on net interest income in first year from gradual interest rate change over following 12 months of:
100 basis point increase	(1.9	)%	(2.9	)%
100 basis point decrease	2.0	%	2.9	%
Effect on net interest income in second year from gradual interest rate change over the preceding 12 months of:
100 basis point increase	(4.1	)%	(7.1	)%
100 basis point decrease	2.3	%	5.9	%
Duration of Equity Model
Base case duration of equity (in years):	1.9		3.0
Key Period-End Interest Rates
One-month LIBOR	3.93	%	5.12	%
Three-year swap	3.73	%	4.69	%

likely rate forecast, (ii) implied market forward rates, and (iii) a Two-Ten Inversion (a 200 basis point inversion between two-year and ten-year rates superimposed on current base rates) scenario. We are inherently sensitive to a flatter or inverted yield curve.

This excerpt taken from the PNC 10-Q filed Aug 8, 2008.

Interest Sensitivity Analysis


	Second Quarter 2008		Second Quarter 2007
Net Interest Income Sensitivity Simulation
Effect on net interest income in first year from gradual interest rate change over following 12 months of:
100 basis point increase	(2.6	)%	(2.5	)%
100 basis point decrease	2.4	%	2.5	%
Effect on net interest income in second year from gradual interest rate change over the preceding 12 months of:
100 basis point increase	(5.2	)%	(5.7	)%
100 basis point decrease	2.5	%	4.4	%
Duration of Equity Model
Base case duration of equity (in years):	2.6		3.2
Key Period-End Interest Rates
One-month LIBOR	2.46	%	5.32	%
Three-year swap	3.89	%	5.39	%

In addition to measuring the effect on net interest income assuming parallel changes in current interest rates, we routinely simulate the effects of a number of nonparallel interest rate environments. The following Net Interest Income Sensitivity To Alternate Rate Scenarios table reflects the percentage change in net interest income over the next two 12-month periods assuming (i) the PNC Economist’s most likely rate forecast, (ii) implied market forward rates, and (iii) a Two-Ten Inversion (a 200 basis point inversion between two-year and ten-year rates superimposed on current base rates) scenario. We are inherently sensitive to a flatter or inverted yield curve.

This excerpt taken from the PNC 10-Q filed May 12, 2008.

Interest Sensitivity Analysis


	First Quarter 2008		First Quarter 2007
Net Interest Income Sensitivity Simulation
Effect on net interest income in first year from gradual interest rate change over following 12 months of:
100 basis point increase	(2.6	)%	(2.6	)%
100 basis point decrease	2.5	%	2.2	%
Effect on net interest income in second year from gradual interest rate change over the preceding 12 months of:
100 basis point increase	(5.2	)%	(5.8	)%
100 basis point decrease	2.0	%	3.3	%
Duration of Equity Model
Base case duration of equity (in years):	2.2		2.0
Key Period-End Interest Rates
One-month LIBOR	2.70	%	5.32	%
Three-year swap	2.73	%	4.95	%

In addition to measuring the effect on net interest income assuming parallel changes in current interest rates, we routinely simulate the effects of a number of nonparallel interest rate environments. The following Net Interest Income Sensitivity To Alternate Rate Scenarios table reflects the percentage change in net interest income over the next two 12-month periods assuming (i) the PNC Economist’s most likely rate forecast, (ii) implied market forward rates, and (iii) a Two-Ten Inversion (a 200 basis point inversion between two-year and ten-year rates superimposed on current base rates) scenario. We are inherently sensitive to a flatter or inverted yield curve.

This excerpt taken from the PNC 10-K filed Feb 29, 2008.

Interest Sensitivity Analysis


	Fourth Quarter 2007		Fourth Quarter 2006
Net Interest Income Sensitivity Simulation
Effect on net interest income in first year from gradual interest rate change over following 12 months of:
100 basis point increase	(2.8	)%	(2.6	)%
100 basis point decrease	2.9	%	2.5	%
Effect on net interest income in second year from gradual interest rate change over the preceding 12 months of:
100 basis point increase	(6.4	)%	(5.5	)%
100 basis point decrease	4.4	%	3.7	%
Duration of Equity Model
Base case duration of equity (in years):	2.1		1.5
Key Period-End Interest Rates
One month LIBOR	4.60	%	5.32	%
Three-year swap	3.91	%	5.10	%

This excerpt taken from the PNC 10-Q filed Nov 8, 2007.

Interest Sensitivity Analysis


	Third Quarter 2007		Third Quarter 2006
Net Interest Income Sensitivity Simulation
Effect on net interest income in first year from gradual interest rate change over following 12 months of:
100 basis point increase	(2.9	)%	(2.2	)%
100 basis point decrease	2.9	%	2.0	%
Effect on net interest income in second year from gradual interest rate change over the preceding 12 months of:
100 basis point increase	(7.1	)%	(5.1	)%
100 basis point decrease	5.9	%	4.0	%
Duration of Equity Model
Base case duration of equity (in years):	3.0		.8
Key Period-End Interest Rates
One-month LIBOR	5.12	%	5.32	%
Three-year swap	4.69	%	5.05	%

In addition to measuring the effect on net interest income assuming parallel changes in current interest rates, we routinely simulate the effects of a number of nonparallel interest rate environments. The following Net Interest Income Sensitivity To Alternate Rate Scenarios table reflects the percentage change in net interest income over the next two 12-month periods assuming (i) the PNC Economist’s most likely rate forecast, (ii) implied market forward rates, and (iii) a Two-Ten Inversion (a 200 basis point inversion between two-year and ten-year rates superimposed on current base rates) scenario. We are inherently sensitive to a flatter or inverted yield curve.

This excerpt taken from the PNC 10-Q filed May 9, 2007.

Interest Sensitivity Analysis


	First Quarter 2007		First Quarter 2006
Net Interest Income Sensitivity Simulation
Effect on net interest income in first year from gradual interest rate change over following 12 months of:
100 basis point increase	(2.6	)%	(.3	)%
100 basis point decrease	2.2	%	.1	%
Effect on net interest income in second year from gradual interest rate change over the preceding 12 months of:
100 basis point increase	(5.8	)%	(1.4	)%
100 basis point decrease	3.3	%	(.4	)%
Duration of Equity Model
Base case duration of equity (in years):	2.0		1.0
Key Period-End Interest Rates
One-month LIBOR	5.32	%	4.83	%
Three-year swap	4.95	%	5.26	%

In addition to measuring the effect on net interest income assuming parallel changes in current interest rates, we routinely simulate the effects of a number of nonparallel interest rate environments. The following Net Interest Income Sensitivity To Alternate Rate Scenarios table reflects the percentage change in net interest income over the next two 12-month periods assuming (i) the PNC Economist’s most likely rate forecast, (ii) implied market forward rates, and (iii) a Two-Ten Inversion (a 200 basis point inversion between two-year and ten-year rates superimposed on current base rates) scenario. We are inherently sensitive to a flatter or inverted yield curve.

This excerpt taken from the PNC 10-K filed Mar 1, 2007.

Interest Sensitivity Analysis


	Fourth Quarter 2006		Fourth Quarter 2005
Net Interest Income Sensitivity Simulation
Effect on net interest income in first year from gradual interest rate change over following 12 months of:
100 basis point increase	(2.6	)%	(.5	)%
100 basis point decrease	2.5	%	.2	%
Effect on net interest income in second year from gradual interest rate change over the preceding 12 months of:
100 basis point increase	(5.5	)%	(1.2	)%
100 basis point decrease	3.7	%	(1.1	)%
Duration of Equity Model
Base case duration of equity (in years):	1.5		.3
Key Period-End Interest Rates
One month LIBOR	5.32	%	4.39	%
Three-year swap	5.10	%	4.84	%

This excerpt taken from the PNC 10-Q filed Nov 9, 2006.

Interest Sensitivity Analysis


	Third Quarter 2006		Third Quarter 2005
Net Interest Income Sensitivity Simulation
Effect on net interest income in first year from gradual interest rate change over following 12 months of:
100 basis point increase	(2.2	)%	.7	%
100 basis point decrease	2.0	%	(1.1	)%
Effect on net interest income in second year from gradual interest rate change over the preceding 12 months of:
100 basis point increase	(5.1	)%	1.2	%
100 basis point decrease	4.0	%	(4.7	)%
Duration of Equity Model
Base case duration of equity (in years):	.8		(1.5	)
Key Period-End Interest Rates
One-month LIBOR	5.32	%	3.86	%
Three-year swap	5.05	%	4.60	%

In addition to measuring the effect on net interest income assuming parallel changes in current interest rates, we routinely simulate the effects of a number of nonparallel interest rate environments. The following Net Interest Income Sensitivity To Alternate Rate Scenarios table reflects the estimated percentage change in net interest income over the next two 12-month periods assuming (i) the PNC Economist’s most likely rate forecast, (ii) implied forward rates, which result in an essentially flat rate scenario, and (iii) a Two-Ten Inversion (a 200 basis point inversion between two-year and ten-year rates superimposed on current base rates) scenario. We are inherently sensitive to a flatter or inverted yield curve.

EXCERPTS ON THIS PAGE:

10-Q	May 11, 2009

10-K	Mar 2, 2009

10-Q	Nov 6, 2008

10-Q	Aug 8, 2008

10-Q	May 12, 2008

10-K	Feb 29, 2008

10-Q	Nov 8, 2007

10-Q	May 9, 2007

10-K	Mar 1, 2007

10-Q	Nov 9, 2006

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