This excerpt taken from the PNC 10-K filed Mar 1, 2007.
Net Interest Income Sensitivity To Alternative Rate Scenarios (as of December 31, 2006)
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 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 alternative scenarios one year forward.