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PNC » Topics » Net Interest Income Sensitivity To Alternate Rate Scenarios (Third Quarter 2008)

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

Net Interest Income Sensitivity To Alternate Rate Scenarios (Third Quarter 2008)

 

      PNC
Economist		     Market
Forward		     Two-Ten
Inversion		  

First year sensitivity

    —   %   .9 %   (7.2 )%

Second year sensitivity

    (3.5 )%   (.1 )%   (6.2 )%

All changes in forecasted net interest income are relative to results in a base rate scenario where current market rates are assumed to remain unchanged over the forecast horizon.

When forecasting net interest income, we make assumptions about interest rates and the shape of the yield curve, the volume and characteristics of new business, and the behavior of existing on- and off-balance sheet positions. These assumptions determine the future level of simulated net interest income in the base interest rate scenario and the other interest rate scenarios presented in the following table. These simulations assume that as assets and liabilities mature, they are replaced or repriced at market rates.

The graph below presents the yield curves for the base rate scenario and each of the alternate scenarios one year forward.

LOGO

Our risk position is currently liability sensitive, which has been the objective of our balance sheet management strategies. We believe that we have the deposit funding base and balance sheet flexibility to adjust, where appropriate, to changing interest rates and market conditions.

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

Net Interest Income Sensitivity To Alternate Rate Scenarios (Second Quarter 2008)

 

      PNC
Economist		     Market
Forward		     Two-Ten
Inversion		  

First year sensitivity

    .3 %   (4.3 )%   (7.4 )%

Second year sensitivity

    (7.1 )%   (11.3 )%   (7.1 )%

 

All changes in forecasted net interest income are relative to results in a base rate scenario where current market rates are assumed to remain unchanged over the forecast horizon.

When forecasting net interest income, we make assumptions about interest rates and the shape of the yield curve, the volume and characteristics of new business, and the behavior of existing on- and off-balance sheet positions. These assumptions determine the future level of simulated net interest income in the base interest rate scenario and the other interest rate scenarios presented in the following table. These simulations assume that as assets and liabilities mature, they are replaced or repriced at market rates.

The graph below presents the yield curves for the base rate scenario and each of the alternate scenarios one year forward.

LOGO

Our risk position is currently liability sensitive, which has been the objective of our balance sheet management strategies. We believe that we have the deposit funding base and balance sheet flexibility to adjust, where appropriate, to changing interest rates and market conditions.

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

Net Interest Income Sensitivity To Alternate Rate Scenarios (First Quarter 2008)

 

      PNC
Economist		     Market
Forward		     Two-Ten
Inversion		  

First year sensitivity

    4.3 %   4.0 %   (7.5 )%

Second year sensitivity

    2.0 %   4.2 %   (7.3 )%

All changes in forecasted net interest income are relative to results in a base rate scenario where current market rates are assumed to remain unchanged over the forecast horizon.

When forecasting net interest income, we make assumptions about interest rates and the shape of the yield curve, the volume and characteristics of new business, and the behavior of existing on- and off-balance sheet positions. These assumptions determine the future level of simulated net interest income in the base interest rate scenario and the other interest rate scenarios presented in the following table. These simulations assume that as assets and liabilities mature, they are replaced or repriced at market rates.

The graph below presents the yield curves for the base rate scenario and each of the alternate scenarios one year forward.

LOGO

Our risk position is currently liability sensitive, which has been the objective of our balance sheet management strategies. We believe that we have the deposit funding base and balance sheet flexibility to adjust, where appropriate, to changing interest rates and market conditions.


 

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EXCERPTS ON THIS PAGE:

10-Q
Nov 6, 2008
10-Q
Aug 8, 2008
10-Q
May 12, 2008

RELATED TOPICS for PNC:

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