Company: CFG-PE
Filing Date: 2025-11-03
Form Type: 10-Q
Source: 0000759944-25-000153
Chunk: 213

Company: CITIZENS FINANCIAL GROUP INC/RI
Filing Date: 2025-11-03
Form: 10-Q
Item: Part I, Item 2
Chunk 213
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 measuring exposures as a percentage change in net interest income over the next year due to either instantaneous or gradual parallel changes in rates relative to the market implied forward yield curve. As the following table illustrates, our balance sheet is slightly asset sensitive; net interest income would benefit from an increase in interest rates, while exposure to a decline in interest rates is within limits established and monitored by senior management. While an instantaneous and severe shift in interest rates is included in this analysis, we believe that any actual shift in interest rates would be more gradual and, therefore, have a more modest impact.

Table 16: Sensitivity of Net Interest IncomeEstimated % Change in Net Interest Income over 12 MonthsBasis pointsSeptember 30, 2025December 31, 2024Gradual Change in Interest Rates+2002.4 %2.2 %+1001.2 1.0 -100(1.2)(0.9)-200(2.5)(1.8)Instantaneous Change in Interest Rates  +2002.3 %1.8 %+1001.5 1.1 -100(1.9)(1.3)-200(4.6)(3.3)

We continue to manage asset sensitivity within the scope of our policy, changing market conditions, and changes in our balance sheet. The Company’s base case net interest income assumes the forward-rate path implied by the period-end yield curve is realized. The rate risk exposure is then measured based on assumed changes from that base case rate path.

Our risk position is slightly asset sensitive to a gradual change in rates as of September 30, 2025, consistent with our position as of December 31, 2024. Our interest rate sensitivity incorporates the impact 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