Company: CFG-PE
Filing Date: 2025-11-03
Form Type: 10-Q
Source: 0000759944-25-000153
Chunk: 41

Company: CITIZENS FINANCIAL GROUP INC/RI
Filing Date: 2025-11-03
Form: 10-Q
Item: Part I, Item 1
Chunk 41
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 Financial Group, Inc. | 64

Fair Value HedgesIn a fair value hedge, changes in the fair value of both the derivative instrument and the hedged asset or liability attributable to the risk being hedged are recognized in the same income statement line item in the Consolidated Statements of Operations when the changes in fair value occur. At September 30, 2025 and December 31, 2024, the Company has designated $4.7 billion of interest rate swaps as fair value hedges of its fixed-rate prepayable AFS securities using the portfolio layer method. This approach allows the Company to designate as the hedged item a stated amount of the assets that are not expected to be affected by prepayments, defaults, and other factors affecting the timing and amount of cash flows. At September 30, 2025 and December 31, 2024, the Company has also designated $3.6 billion and $3.1 billion, respectively, of interest rate swaps as fair value hedges to manage interest rate risk within its nonprepayable fixed-rate AFS securities portfolio.The following table presents the effect of fair value hedges on the Consolidated Statements of Operations and the respective line items affected for each hedged item:Location and Amount of Gains (Losses) RecognizedInterest IncomeInterest Expense(dollars in millions)Investment SecuritiesLong-Term Borrowed FundsThree Months Ended September 30, 2025Gains (losses) on fair value hedges recognized on:Hedged items$12 ($3)Derivatives(12)3 Amounts related to interest settlements on derivatives14 (3)Total net interest income recognized on fair value hedges$14 ($3)Three Months Ended September 30, 2024Gains (losses) on fair value hedges recognized on:Hedged items$302 ($8)Derivatives(306)8 Amounts related to interest settlements on derivatives34 (4)Total net interest income recognized on fair value hedges$30 ($4)Nine Months Ended September 30, 2025Gains (losses) on fair value hedges recognized on:Hedged items$178 ($7)Derivatives(180)7 Amounts related to interest settlements on derivatives38 (8)Total net interest income recognized on fair value hedges$36 ($8)Nine Months Ended September 30, 2024Gains (losses) on fair