Company: CFG-PE
Filing Date: 2025-05-01
Form Type: 10-Q
Source: 0000759944-25-000070
Chunk: 123

Company: CITIZENS FINANCIAL GROUP INC/RI
Filing Date: 2025-05-01
Form: 10-Q
Item: Part I, Item 2
Chunk 123
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 rates, equity prices, and credit spreads across various financial instruments. Securities underwriting and trading activities are conducted through CBNA and Citizens JMP Securities, LLC. There have been no significant changes in our market risk governance, market risk measurement, or market risk practices including VaR, stressed VaR, sensitivity analysis, stress testing, VaR model review and validation, or VaR backtesting as described in “Market Risk — Trading Risk” in our 2024 Form 10-K.

Market Risk Regulatory Capital 

The U.S. banking regulators’ “Market Risk Rule” covers the calculation of market risk capital. Under this rule, all of our client facing trades and associated hedges maintain a net low risk and qualify as “covered positions.” The internal management VaR measure is calculated based on the same population of trades that is utilized for regulatory VaR. 

Table 19: Results of Modeled and Non-Modeled Measures for Regulatory Capital Calculations(dollars in millions)For the Three Months Ended March 31, 2025For the Three Months Ended March 31, 2024Market Risk Category Period EndAverageHighLowPeriod EndAverageHighLowInterest Rate$1 $2 $3 $— $4 $3 $5 $2 Foreign Exchange Currency Rate— — — — — — — — Credit Spread1 2 3 1 1 2 3 1 Commodity— — — — — — — — General VaR2 2 4 1 5 4 6 2 Specific Risk VaR— — — — — — — — Total VaR$2 $2 $4 $1 $5 $4 $6 $2 Stressed General VaR$10 $10 $15 $6 $5 $6 $12 $3 Stressed Specific Risk VaR— — — — — — — — Total Stressed VaR$10 $10 $15 $6 $5 $6 $12 $3 Market Risk Regulatory Capital$36 $32 Specific Risk Not Modeled Add-on27 21 de Minimis Exposure Add-on1 1 Total Market Risk Regulatory Capital$64 $54 Market Risk-Weight