Company: CFG-PE
Filing Date: 2025-05-01
Form Type: 10-Q
Source: 0000759944-25-000070
Chunk: 120

Company: CITIZENS FINANCIAL GROUP INC/RI
Filing Date: 2025-05-01
Form: 10-Q
Item: Part I, Item 2
Chunk 120
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2 %2.2 %+1001.0 1.0 -100(1.0)(0.9)-200(2.1)(1.8)Instantaneous Change in Interest Rates  +2002.5 %1.8 %+1001.5 1.1 -100(1.7)(1.3)-200(4.1)(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 March 31, 2025, consistent with our position as of December 31, 2024. Our interest rate sensitivity incorporates the impacts 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 with non-contractual maturities. We employ sophisticated models for prepayments and deposit pricing and attrition, which provide a granular view of cash flows based on the unique characteristics of the underlying products and customer segments. The change in value is expressed as a percentage of regulatory capital.

Citizens Financial Group, Inc. | 20

We use interest rate contracts as part of our ALM strategy to manage exposure to the variability in the interest cash flows on our floating-rate assets and wholesale funding, the variability in the fair value of AFS securities, and to hedge market risk on fixed-rate capital markets debt issuances.

The following table presents interest rate derivative contracts that we have entered into as of March 31, 2025 and December 31, 2024.

Table 17: Interest Rate Hedges Used