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PNC » Topics » Net Interest Income Sensitivity To Alternative Rate Scenarios (First Quarter 2009)

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

Net Interest Income Sensitivity To Alternative Rate Scenarios (First Quarter 2009)

 

      PNC
Economist		     Market
Forward		     Two-Ten
Inversion		  

First year sensitivity

    .5 %   (.3 )%   (.2 )%

Second year sensitivity

    1.7 %   1.2 %   (1.1 )%

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

The results of the first quarter 2009 interest sensitivity analyses reflect our current best estimates of the impact of integrating National City’s balance sheet, including the preliminary effects of purchase accounting, balance sheet repositioning, and deposit pricing strategies. Going forward as these estimates and strategies are finalized or revised, the results of our analyses may change.

The first quarter 2009 interest sensitivity analyses indicate that our Consolidated Balance Sheet is positioned to benefit from


 

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an increase in interest rates. We believe that we have the deposit funding base and balance sheet flexibility to adjust, where appropriate and permissible, to changing interest rates and market conditions.

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