Company: CFG-PE
Filing Date: 2025-08-04
Form Type: 10-Q
Source: 0000759944-25-000108
Chunk: 205

Company: CITIZENS FINANCIAL GROUP INC/RI
Filing Date: 2025-08-04
Form: 10-Q
Item: Part I, Item 2
Chunk 205
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 impacts of changes in our balance sheet mix, including securities, loans, deposits, borrowed funds and hedge activity. Receive-fixed swaps that offset our naturally asset-sensitive balance sheet represent the primary hedging tool utilized to manage overall asset sensitivity. Pay fixed swaps against our securities portfolio are also utilized to protect capital by reducing AOCI volatility.

We use a valuation measure of exposure to structural interest rate risk, EVE, as a supplement to net interest income simulations. EVE complements net interest income simulation analysis as it estimates risk exposure over a long-term horizon. EVE measures the extent to which the economic value of assets, liabilities and off-balance sheet instruments may change in response to fluctuations in interest rates. This analysis is highly dependent upon assumptions applied to assets and liabilities with non-contractual maturities. We employ sophisticated models for prepayments and deposit pricing and attrition, which provide a granular view of cash flows based on the unique characteristics of the underlying products and customer segments. The change in value is expressed as a percentage of regulatory capital.

We use interest rate derivative contracts as part of our ALM strategy to manage exposure to the variability in the interest cash flows on our floating-rate assets and wholesale funding, the variability in the fair value of AFS securities, and to hedge market risk on fixed-rate capital markets debt issuances.

Citizens Financial Group, Inc. | 23

The following table presents interest rate derivative contracts that we have entered into as of June 30, 2025 and December 31, 2024:

Table 17: Interest Rate Hedges Used to Manage Non-Trading Interest Rate ExposureJune 30, 2025December 31, 2024Weighted AverageWeighted Average(dollars in millions)Notional AmountMaturity (Years)Fixed RateReset Rate Notional AmountMaturity (Years)Fixed RateReset RateFair value hedges:Asset conversion swaps:AFS securities:Pay fixed/receive SOFR$8,103 4.3 3.8 %4.5 %$7,827 4.7 3.8 %4.5 %Liability conversion swaps:Long-term borrowed funds:Receive fixed/pay SOFR500 0.4 2.6 4.7 500 0.9 2.6 4.8 Total fair value hedges8,603 8,327 Cash flow hedges:Asset conversion swaps:Loans:SwapsReceive fixed/pay SOFR26,250 1.