Company: CFG-PE
Filing Date: 2025-08-04
Form Type: 10-Q
Source: 0000759944-25-000108
Chunk: 207

Company: CITIZENS FINANCIAL GROUP INC/RI
Filing Date: 2025-08-04
Form: 10-Q
Item: Part I, Item 2
Chunk 207
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 and Note 8.

As with our traded market risk-based activities, earnings at risk excludes the impact of MSRs. MSRs are captured under our single price risk management framework that is used for calculating a management VaR consistent with the definition used by banking regulators.

Citizens Financial Group, Inc. | 24

Trading Risk 

We are exposed to market risk primarily through client facilitation activities from certain derivative and foreign exchange products as well as underwriting and market making activities. Market risk exposure arises from fluctuations in interest rates, basis spreads, volatility, foreign exchange 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 18: Results of Modeled and Non-Modeled Measures for Regulatory Capital Calculations(dollars in millions)For the Three Months Ended June 30, 2025For the Three Months Ended June 30, 2024Market Risk Category Period EndAverageHighLowPeriod EndAverageHighLowInterest Rate$1 $1 $1 $1 $4 $4 $6 $2 Foreign Exchange Currency Rate— — — — — — — — Credit Spread1 2 3 1 2 2 3 1 Commodity— — — — — — — — General VaR2 2 3 2 5 5 7 4 Specific Risk VaR— — — — — — — — Total VaR$2 $2 $3 $2 $5 $5 $7 $4 Stressed General VaR$9 $13 $22