Company: CFG-PE
Filing Date: 2025-08-04
Form Type: 10-Q
Source: 0000759944-25-000108
Chunk: 206

Company: CITIZENS FINANCIAL GROUP INC/RI
Filing Date: 2025-08-04
Form: 10-Q
Item: Part I, Item 2
Chunk 206
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2 3.1 4.5 26,250 1.7 3.1 4.5 Receive fixed/pay SOFR - forward-starting22,500 3.2 3.8 3.5 20,000 3.5 3.7 4.0 Pay fixed/receive SOFR - forward-starting900 3.2 3.7 4.1 — — — — Basis swapsReceive SOFR/pay 1-month term SOFR11,500 1.1 — 4.5/4.311,500 1.6 — 4.5/4.3Receive SOFR/pay 1-month term SOFR - forward-starting3,000 1.9 — 4.1/4.13,000 2.4 — 4.0/4.0Total cash flow hedges64,150 60,750 Total hedges$72,753 $69,077 

Included in AOCI is a net loss from terminated swaps of $485 million that will reduce net interest income by $109 million in the third quarter of 2025 and $103 million in the fourth quarter of 2025. The remaining $273 million will reduce net interest income by $230 million in 2026 and $43 million after 2026.

Capital Markets

A key component of our capital markets activities is the underwriting and distribution of corporate credit facilities to finance M&A transactions for our clients. We have a rigorous risk management process around these activities, including a limit structure capping our underwriting risk, potential loss, and sub-limits for specific asset classes. Further, the ability to approve underwriting exposure is delegated only to senior level individuals in the credit risk management and capital markets organizations with each transaction adjudicated in the Loan Underwriting Approval Committee.

Mortgage Servicing Rights    

We have market risk associated with the value of residential MSRs, which are impacted by various types of inherent risks, including duration, basis, convexity, volatility, and yield curve. 

As part of our overall risk management strategy we enter into various freestanding derivatives, such as interest rate swaps, interest rate swaptions, interest rate futures and forward contracts to purchase mortgage-backed securities to economically hedge the changes in fair value of our MSRs. For more information regarding the fair value of our MSRs and associated derivatives see Note 5