Company: CFG-PE
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0000759944-25-000013
Chunk: 55

Company: CITIZENS FINANCIAL GROUP INC/RI
Filing Date: 2025-02-13
Form: 10-K
Item: Item 3
Chunk 55
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 if the SOFR rate falls below the lower strike rate, effectively hedging the corridor between the two strike rates. The structure also includes a short cap and a long floor which are utilized to neutralize the initial premium.

Citizens Financial Group, Inc. | 73

The following table presents the average active notional amounts for our interest rate derivatives, based on contract effective date, for the next five years:

Table 28: Average Active Notional for Interest Rate Derivative ContractsYear Ended(dollars in millions)20252026202720282029Fair value hedgesPay fixed/receive SOFR(1)$7,821 $7,594 $5,847 $4,991 $3,448 Receive fixed/pay SOFR(2)441 — — — — Cash flow hedgesReceive fixed/pay SOFR(2)28,557 26,827 19,341 10,799 2,677 Receive SOFR/pay 1-month term SOFR12,096 8,847 1,952 — — Total$48,915 $43,268 $27,140 $15,790 $6,125 Weighted average receive fixed rate3.2 %3.5 %3.6 %3.6 %3.6 %Weighted average pay fixed rate3.8 3.8 3.8 3.7 3.7 

(1) Pay fixed rate leg of the interest rate derivative contract is included in the computation of the weighted average pay fixed rate.

(2) Receive fixed rate leg of the interest rate derivative contract is included in the computation of the weighted average receive fixed rate.

Table 29: Pre-Tax Gains (Losses) Recorded in the Consolidated Statements of Operations and the Consolidated Statements of Comprehensive Income on Cash Flow HedgesYear Ended December 31,(dollars in millions)20242023Pre-tax net gains (losses) recognized in OCI($725)($145)Pre-tax net gains (losses) reclassified from AOCI into interest income(945)(596)Pre-tax net gains (losses) reclassified from AOCI into interest expense(1)— 

Using the December 31, 2024 interest rate curve we estimate that $718 million in pre-tax net losses related to cash flow hedge strategies will be reclassified from AOCI to net interest income over the next