Company: CFG-PE
Filing Date: 2025-08-04
Form Type: 10-Q
Source: 0000759944-25-000108
Chunk: 264

Company: CITIZENS FINANCIAL GROUP INC/RI
Filing Date: 2025-08-04
Form: 10-Q
Item: Part I, Item 2
Chunk 264
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, the effectiveness of hedge relationships is monitored during the duration of the hedge period. The methods utilized to assess hedge effectiveness vary based on the hedge relationship and each relationship is monitored to ensure that management’s initial intent continues to be satisfied. Hedge accounting treatment is discontinued when the derivative is terminated or when it is determined that a derivative is not expected to be, or has ceased to be, an effective hedge. Changes in the fair value of a derivative are reflected in earnings after termination of the hedge relationship.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 June 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 June 30, 2025 and December 31, 2024, the Company has also designated $3.4 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.

Citizens Financial Group, Inc. | 63

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 June 30, 2025Gains (losses) on fair value hedges recognized on:Hedged items$50 ($2)Derivatives(50)2 Amounts related to interest settlements on derivatives13 (3)Total net interest income recognized on fair value hedges$13 ($3)Three Months Ended June 30, 2024Gains (losses) on fair value hedges recognized on:Hedged items($39)($3)Derivatives40 3 Amounts related to interest settlements on derivatives28 (3)Total net interest income