Company: CFG-PE
Filing Date: 2025-02-13
Form Type: 10-K
Source: 0000759944-25-000013
Chunk: 135

Company: CITIZENS FINANCIAL GROUP INC/RI
Filing Date: 2025-02-13
Form: 10-K
Item: Item 4
Chunk 135
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 we also use a standardized add-on approach for the loan trading and high yield bond desks’ Specific Risk capital, which estimates the extent of any losses that may occur from factors other than broad market movements. The General VaR approach is expressed in terms of a confidence level over the past 500 trading days. The internal VaR measure, used as the basis of the main VaR trading limits, is a 99% confidence level with a one-day holding period, indicating that a loss greater than the VaR is expected to occur, on average, on only one day in 100 trading days (i.e., 1% of the time). Theoretically, there should be a loss event greater than VaR two to three times per year. The regulatory measure of VaR is a 99% confidence level with a ten-day holding period. The historical market data applied to calculate the VaR is updated on a two-business day lag. Refer to “Market Risk Regulatory Capital” below for details of our ten-day VaR metrics for the quarters ended December 31, 2024 and 2023. 

Citizens Financial Group, Inc. | 75

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 30: Results of Modeled and Non-Modeled Measures for Regulatory Capital Calculations(dollars in millions)For the Three Months Ended December 31, 2024For the Three Months Ended December 31, 2023Market Risk Category Period EndAverage HighLowPeriod EndAverage HighLowInterest Rate$2 $1 $3 $1 $3 $3 $5 $2 Foreign Exchange Currency Rate— — — — — — 2 — Credit Spread2 2 2 1 1 1 2 1 Commodity— — — — — — — — General VaR3 2 3 1 4 4 6 3 Specific Risk VaR— — — — — — — — Total VaR$3 $2 $3 $