PNC FINANCIAL SERVICES GROUP INC

NII Sensitivity results for the first quarters of 2024 and 2023 follow:

Table 31: Net Interest Income Sensitivity Analysis

(a) The effect on NII in the first year from a 100 basis point instantaneous increase or decrease is not materially different from the 200 basis point scenarios as disclosed above.

When forecasting net interest income, we make certain key assumptions that can materially impact the resulting sensitivities, including the following:

Future Balance Sheet Composition: Our balance sheet composition is dynamic and based on our forecasted expectations. As of the first quarter of 2024, the projected balance sheet composition by the end of year one is generally consistent with the spot composition as of the first quarter of 2024.

Deposit Betas: Deposit pricing changes are primarily driven by changes in the Federal Funds rate, with the relationship between deposit rates and Federal Funds rate defined as deposit beta. We define cumulative deposit beta as the change in deposit rate paid on interest-bearing non-maturity deposits divided by the change in the upper level of the stated Federal Funds rate range since the first quarter of 2022, the start of the current rising rate cycle. As of March 31, 2024 PNC’s cumulative deposit beta was 45%, an increase from 35% at March 31, 2023. For interest rate risk modeling, PNC uses dynamic beta models to adjust assumed repricing sensitivity depending on market rate levels as well as other factors. The dynamic beta assumptions reflect historical experience and future expectations. Our scenario assumes that deposit betas increased slightly from current levels. Actual deposit rates paid may differ from modeled projections due to variables such as competition for deposits and customer behavior.

Asset Prepayments: PNC includes prepayment assumptions for both loan and investment portfolios. Mortgage and home equity portfolios utilize an industry standard model to drive estimated prepayments that increase in lower rate environments. Commercial and consumer loan portfolios assume static constant prepayment rates that are consistent across rate scenarios, as those portfolios historically do not exhibit significantly different prepayment behaviors based upon the level of market rates.

Impact of Derivatives: PNC uses interest rate derivatives to hedge floating rate commercial loans. PNC had $36.5 billion in receive fix / pay float swaps as of March 31, 2024, with a weighted average duration of 2.0 years and an average fixed rate of 2.30%. As of March 31, 2024 PNC also had collars in place, reflecting $12.5 billion of caps and $12.5 billion of floors, that are used to hedge these

32 The PNC Financial Services Group, Inc. –Form 10-Q commercial loans. Additionally, PNC utilizes receive fix / pay float swaps as a means of hedging fixed rate debt. See Note 12 Financial Derivatives in this report for additional information on how we use derivatives to hedge commercial loans and fixed rate debt.