Company: CFG-PE
Filing Date: 2025-08-04
Form Type: 10-Q
Source: 0000759944-25-000108
Chunk: 204

Company: CITIZENS FINANCIAL GROUP INC/RI
Filing Date: 2025-08-04
Form: 10-Q
Item: Part I, Item 2
Chunk 204
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Non-Trading Risk 

Our non-trading banking activities expose us to market risk. This market risk is composed of interest rate risk, as we have no commodity risk and de minimis direct currency and equity risk. We also have market risk related to capital markets loan originations, as well as the valuation of our MSRs. There have been no significant changes in our sources of interest rate risk, interest rate risk practices, risk framework, metrics or assumptions as described in “Market Risk — Non-Trading Risk” in our 2024 Form 10-K. 

Citizens Financial Group, Inc. | 22

The table below presents the sensitivity of net interest income to various parallel yield curve shifts from the market implied forward yield curve. Our policies involve measuring exposures as a percentage change in net interest income over the next year due to either instantaneous or gradual parallel changes in rates relative to the market implied forward yield curve. As the following table illustrates, our balance sheet is slightly asset sensitive; net interest income would benefit from an increase in interest rates, while exposure to a decline in interest rates is within limits established and monitored by senior management. While an instantaneous and severe shift in interest rates is included in this analysis, we believe that any actual shift in interest rates would be more gradual and, therefore, have a more modest impact.

Table 16: Sensitivity of Net Interest IncomeEstimated % Change in Net Interest Income over 12 MonthsBasis pointsJune 30, 2025December 31, 2024Gradual Change in Interest Rates+2002.3 %2.2 %+1001.1 1.0 -100(1.2)(0.9)-200(2.4)(1.8)Instantaneous Change in Interest Rates  +2002.0 %1.8 %+1001.3 1.1 -100(1.7)(1.3)-200(4.0)(3.3)

We continue to manage asset sensitivity within the scope of our policy, changing market conditions and changes in our balance sheet. The Company’s base case net interest income assumes the forward-rate path implied by the period-end yield curve is realized. The rate risk exposure is then measured based on assumed changes from that base case rate path.

Our risk position is slightly asset sensitive to a gradual change in rates as of June 30, 2025, consistent with our position as of December 31, 2024. Our interest rate sensitivity incorporates the