Company: CFG-PE
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0000759944-25-000013
Chunk: 988

Company: CITIZENS FINANCIAL GROUP INC/RI
Filing Date: 2025-02-13
Form: 10-K
Item: Item 7
Chunk 988
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31, 2024For the Three Months Ended December 31, 2023Market Risk Category Period EndAverage HighLowPeriod EndAverage HighLowInterest Rate$2 $1 $3 $1 $3 $3 $5 $2 Foreign Exchange Currency Rate— — — — — — 2 — Credit Spread2 2 2 1 1 1 2 1 Commodity— — — — — — — — General VaR3 2 3 1 4 4 6 3 Specific Risk VaR— — — — — — — — Total VaR$3 $2 $3 $1 $4 $4 $6 $3 Stressed General VaR$7 $7 $12 $4 $4 $7 $14 $3 Stressed Specific Risk VaR— — — — — — — — Total Stressed VaR$7 $7 $12 $4 $4 $7 $14 $3 Market Risk Regulatory Capital$28 $33 Specific Risk Not Modeled Add-on25 17 de Minimis Exposure Add-on— 1 Total Market Risk Regulatory Capital$53 $51 Market Risk-Weighted Assets$665 $643 

Stressed VaR 

SVaR is an extension of VaR and utilizes a longer historical look-back horizon, fixed from January 3, 2005, to identify headline risks from more volatile periods and to provide a counterbalance to VaR, which may be low during periods of low volatility. The holding period for profit and loss determination is ten days. In addition to its utilization for risk management purposes, SVaR is a component of market risk regulatory capital. We calculate SVaR daily under its own dynamic window regime whereby values of the ten-day, 99% VaR are calculated over all 260-day periods that can be obtained from the complete historical data set. Refer to “Market Risk Regulatory Capital” above for SVaR metrics.

Sensitivity Analysis 

Sensitivity analysis is the measure of exposure to a single risk factor, such as a one basis point change in rates or credit spread. We conduct and monitor sensitivity on interest rates,