PNC · 10-Q · 2026Q2 · Full report

Interest Rate Risk

PNC FINANCIAL SERVICES GROUP, INC. · 2026-08-05 · Importance 57 · Surprise 64

PNC’s June 30, 2026 NII sensitivity was 0% under an instantaneous 200-basis-point rate increase and negative 1.6% under a 200-basis-point decrease, compared with 0.9% and negative 2.0%, respectively, in 2025. Its EVE sensitivity was negative 3.7% for a 200-basis-point increase and negative 1.8% for a decrease, versus negative 1.8% and negative 3.5% a year earlier. PNC’s cumulative deposit beta was 47% through June 2026, and it assumed the beta would decrease slightly as the Federal Funds rate easing cycle progresses. PNC had $78.3 billion of active and forward-starting receive-fixed/pay-floating swaps hedging floating-rate commercial loans, with a 2.5-year weighted-average duration and 3.75% average fixed rate.

Key facts

• PNC had $78.3 billion in active and forward starting receive fix / pay float swaps used to hedge floating rate commercial loans as of June 30, 2026, with a weighted average duration of 2.5 years and an average fixed rate of 3.75%. source
• Net Interest Income sensitivity: effect on NII in first year from a 200 basis point instantaneous increase was 0% at June 30, 2026 and 0.9% at June 30, 2025. source
• Net Interest Income sensitivity: effect on NII in first year from a 200 basis point instantaneous decrease was (1.6)% at June 30, 2026 and (2.0)% at June 30, 2025. source
• PNC’s cumulative deposit beta was 47% through June 2026. source
• Economic Value of Equity sensitivity: 200 basis point instantaneous increase results in (3.7)% change at June 30, 2026 versus (1.8)% at June 30, 2025. source
• Economic Value of Equity sensitivity: 200 basis point instantaneous decrease results in (1.8)% change at June 30, 2026 versus (3.5)% at June 30, 2025. source
• Compared to the second quarter of 2025, there have been no material changes to PNC’s NII sensitivity and EVE sensitivity assumptions, including data sources that drive assumptions setting. source