PNC · 10-Q · 2026Q3 · Full report

Interest Rate Risk

PNC FINANCIAL SERVICES GROUP, INC. · 2026-11-03 · Importance 63 · Surprise 64 · In source text

PNC’s first-year net interest income sensitivity to an instantaneous 200-basis-point rate increase was negative 1.3% at September 30, 2026, versus positive 1.8% a year earlier; sensitivity to a 200-basis-point decrease was negative 0.2%, versus negative 2.9%. Economic value of equity sensitivity to a 200-basis-point increase was negative 5.6%, compared with negative 1.6% in 2025, while sensitivity to a 200-basis-point decrease was positive 1.5%, compared with negative 4.2%. PNC had $82.6 billion of active and forward-starting receive-fixed/pay-floating swaps hedging floating-rate commercial loans, with a 2.3-year weighted average duration and a 3.92% average fixed rate.

Key facts

• PNC had $82.6 billion in active and forward-starting receive-fixed/pay-floating swaps hedging floating-rate commercial loans at September 30, 2026, with a weighted average duration of 2.3 years and average fixed rate of 3.92%. source
• In the second quarter of 2026, PNC sold approximately $4.1 billion of available-for-sale securities at a weighted average yield of approximately 3.2%, recording a $139 million loss, and purchased approximately $4.3 billion of securities at a weighted average yield of approximately 4.4%. source
• A 200-basis-point instantaneous rate decrease produced first-year NII sensitivity of negative 0.2% at September 30, 2026, versus negative 2.9% at September 30, 2025. source
• A 200-basis-point instantaneous rate increase produced first-year NII sensitivity of negative 1.3% at September 30, 2026, versus positive 1.8% at September 30, 2025. source
• A 200-basis-point instantaneous rate increase produced EVE sensitivity of negative 5.6% at September 30, 2026, versus negative 1.6% at September 30, 2025. source
• A 200-basis-point instantaneous rate decrease produced EVE sensitivity of positive 1.5% at September 30, 2026, versus negative 4.2% at September 30, 2025. source
• PNC’s weighted-average expected maturity for its investment securities portfolio was 6.2 years at September 30, 2026, compared with 5.2 years at December 31, 2025. source
• PNC’s investment securities duration was 4.1 years at September 30, 2026, compared with 3.5 years at December 31, 2025. source

Impact estimates