Company: CFG-PE
Filing Date: 2025-11-03
Form Type: 10-Q
Source: 0000759944-25-000153
Chunk: 214

Company: CITIZENS FINANCIAL GROUP INC/RI
Filing Date: 2025-11-03
Form: 10-Q
Item: Part I, Item 2
Chunk 214
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 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 September 30, 2025 and December 31, 2024:

Table 17: Interest Rate Hedges Used to Manage Non-Trading Interest Rate ExposureSeptember 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$8,253 4.1 3.8 %4.2 %$7,827 4.7 3.8 %4.5 %Liability conversion swaps:Long-term borrowed funds:Receive fixed/pay SOFR500 0.1 2.6 4.5 500 0.9 2.6 4.8 Total fair value hedges8,753 8,327 Cash flow hedges:Asset conversion swaps:Loans:SwapsReceive fixed/pay SOFR30,750 1.1 3.3 4.2 26,250 1.7 3.1 4.5 Receive fixed/pay SOFR - forward-starting18,500 3.4 3.7 3.4 20,000 3.5 3.7 4.0 Pay fixed/receive SOFR - forward-starting434 3.1 3.7 3.9 — — — — Basis swapsReceive SOFR/pay 1-month term SOFR13,000 1.0 — 4.2/4.111,500 1.6 — 4.5/4.3Receive SOFR/pay