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MarketScreener Homepage  >  Equities  >  Nyse  >  Citizens Financial Group, Inc.    CFG

CITIZENS FINANCIAL GROUP, INC.

(CFG)
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Citizens Financial : 3Q19 U.S. Liquidity Coverage Ratio Disclosures

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11/06/2019 | 11:55am EST

U.S. Liquidity Coverage Ratio Disclosures

For the quarterly period ended September 30, 2019

CITIZENS FINANCIAL GROUP, INC.

September 30, 2019 U.S. Liquidity Coverage Disclosures

TABLE OF CONTENTS

Introduction.....................................................................................................................

2

Liquidity Coverage Ratio......................................................................................................

2

Primary Drivers of the LCR....................................................................................................

3

LCR Quantitative Disclosure..................................................................................................

4

High Quality Liquid Asset Composition......................................................................................

5

Total Net Cash Outflows Composition.......................................................................................

5

Concentration of Funding Sources...........................................................................................

5

Derivatives Exposure...........................................................................................................

5

Liquidity Risk Management and Governance...............................................................................

5

Appendix 1 - Forward-Looking Statements.................................................................................

7

1

CITIZENS FINANCIAL GROUP, INC.

September 30, 2019 U.S. Liquidity Coverage Disclosures

INTRODUCTION

Citizens Financial Group, Inc. ("the Parent Company" and, together with its subsidiaries, "CFG") is one of the nation's oldest and largest financial institutions with $164.4 billion in assets as of September 30, 2019. Our mission is to help our customers, colleagues and communities reach their potential by listening to them and by understanding their needs in order to offer tailored advice, ideas and solutions. Headquartered in Providence, Rhode Island, we offer a broad range of retail and commercial banking products and services to individuals, small businesses, middle- market companies, large corporations and institutions. In Consumer Banking, we provide an integrated experience that includes mobile and online banking, a 24/7 customer contact center as well as the convenience of approximately 2,900 ATMs and approximately 1,100 branches in 11 states in the New England, Mid-Atlantic, and Midwest regions. Consumer Banking products and services include a full range of banking, lending, savings, wealth management and small business offerings. In Commercial Banking, we offer corporate, institutional and not-for-profit clients a full range of wholesale banking products and services including lending and deposits, capital markets, treasury services, foreign exchange and interest rate products, and asset finance. More information is available at www.citizensbank.com.

Report Overview

The Liquidity Coverage Ratio ("LCR") disclosures are required by the Board of Governors of the Federal Reserve System ("FRB"). In addition to the LCR itself, this disclosure provides information relating to our liquidity risk management practices and governance protocols, the primary drivers of our LCR, the composition of our high quality liquid assets ("HQLAs"), our funding sources, net cash outflow composition, and derivatives exposures. This disclosure should be read in conjunction with our Securities and Exchange Commission ("SEC") filings, including our 2018 Form 10-K and 3Q19 Form 10-Q, which include important information on risk management policies and practices. Our SEC filings and LCR disclosures are available on our Investor Relations website at http://investor.citizensbank.com. The financial information presented within our LCR disclosures is unaudited and may differ from similar information presented in the Consolidated Financial Statements and Notes to Consolidated Financial Statements in our 3Q19 Form 10-Q. Unless specified otherwise, all amounts and information within are presented in conformity with the definitions and requirements of the LCR rules.

This report may contain forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. Any statement that does not describe historical or current facts is a forward-looking statement, as discussed further in Appendix 1 of this report.

LIQUIDITY COVERAGE RATIO

We are currently subject to the LCR rule, issued by the FRB, which is a liquidity metric designed to ensure that a covered bank or bank holding company maintains an adequate level of unencumbered HQLAs to cover expected net cash outflows over a 30-day time horizon under a liquidity stress scenario. The LCR rule applies in its most comprehensive form only to advanced approaches bank holding companies (that is, those with $250 billion or more in total consolidated assets or $10 billion or more in on-balance sheet foreign exposures) and depository institution subsidiaries of such bank holding companies with $10 billion or more in total consolidated assets. The LCR rule applies in a modified form to bank holding companies, such as us, that generally have $100 billion or more in total consolidated assets, but do not meet the thresholds for using the advanced approaches.

The modified LCR requires us to maintain a minimum ratio of HQLAs to cover 70% of net cash outflows. In addition, HQLAs receive varying recognition values after applying discounts (or "haircuts") based on their designated risk category. For example, U.S. Treasury securities are not subject to any haircut, and debt securities issued or guaranteed by a U.S. government-sponsored enterprise are subject to a 15% haircut. For HQLAs, average unweighted (pre-haircut) and weighted (post-haircut) amounts are presented in the quantitative disclosure below. For cash outflow and inflow amounts: (i) the average unweighted amount represents the average balance for each category, and (ii) the weighted amount represents the average unweighted balance multiplied by the respective LCR outflow

2

CITIZENS FINANCIAL GROUP, INC.

September 30, 2019 U.S. Liquidity Coverage Disclosures

or inflow rate prescribed for each category. As a modified LCR institution, we are required to calculate our LCR on a monthly basis.

In October 2019, the FRB finalized rules that establish a revised framework for applying prudential standards to large U.S. banking organizations based on risk, consistent with the ongoing efforts to tailor the regulatory framework in a manner consistent with the Economic Growth, Regulatory Relief and Consumer Protection Act. Concurrently, the FRB, jointly with the Office of the Comptroller of the Currency and the Federal Deposit Insurance Corporation, finalized the regulatory capital, liquidity and resolution plan requirements to firms with more than $100 billion in total assets. In accordance with these final rules, Category IV institutions, such as us, will no longer be subject to the requirements of the LCR rule as of December 31, 2019.

For a further discussion of the regulatory liquidity framework applicable to CFG, see the sections entitled Management's Discussion and Analysis of Financial Condition and Results of Operations - Liquidity - Liquidity Risk Management and Governance in our 3Q19 Form 10-Q and Business - Regulation and Supervision - Liquidity Requirements in our 2018 Form 10-K.

PRIMARY DRIVERS OF THE LCR

For the quarterly period ending September 30, 2019, our average LCR was 115%. Our LCR can vary over time through changes in the mix of our assets, liabilities, and off-balance sheet exposures such as undrawn lending commitments, as well as changes in the levels and mix of our HQLA portfolio. The average LCR for the prior quarter ended June 30, 2019 was 117%. Marginal changes to HQLA and net cash outflows resulted in a slightly lower quarterly average ratio.

3

CITIZENS FINANCIAL GROUP, INC.

September 30, 2019 U.S. Liquidity Coverage Disclosures

LCR QUANTITATIVE DISCLOSURE

The table below presents details of our quarterly average LCR for the three months ended September 30, 2019.

September 30, 2019

Average

Average

(dollars in millions)

Unweighted

Weighted

Amount

Amount

1.

Total eligible HQLAs of which:

$22,054

$20,725

2.

Eligible level 1 liquid assets

13,194

13,194

3.

Eligible level 2A liquid assets

8,860

7,531

4.

Eligible level 2B liquid assets

-

-

Cash outflow amounts:

5.

Deposit outflow from retail customers and counterparties, of

which:

85,211

6,060

6.

Stable retail deposit outflow

47,268

1,418

7.

Other retail funding outflow

31,395

3,139

8.

Brokered deposit outflow

6,548

1,503

9.

Unsecured wholesale funding outflow, of which:

28,610

13,100

10.

Operational deposit outflow

9,486

2,363

11.

Non-operational funding outflow

19,124

10,737

12.

Unsecured debt outflow

-

-

13.

Secured wholesale funding and asset exchange

6,988

2,113

14.

Additional outflow requirements, of which:

37,717

6,127

15.

Outflow related to derivative exposures and other

697

354

collateral requirements

16.

Outflow related to credit and liquidity facilities including

unconsolidated structured transactions and mortgage

commitments

37,020

5,773

17.

Other contractual funding obligation outflow

98

98

18.

Other contingent funding obligation outflow

761

76

19.

Total cash outflow

$159,385

$27,574

Cash inflow amounts:

20.

Secured lending and asset exchange

-

-

21.

Retail

2,514

1,257

22.

Unsecured wholesale

1,203

624

23.

Other cash inflows, of which:

45

45

24.

Net derivative cash inflow

41

41

25.

Securities cash inflow

4

4

26.

Broker-dealer segregated account inflow

-

-

27.

Other cash inflow

-

-

28.

Total cash inflow

$3,762

$1,926

Average amounts:

29.

HQLA

20,725

30.

Total net cash outflow excluding the maturity mismatch add-on

-

31.

Maturity mismatch add-on

-

32.

Total net cash outflow

17,953

33.

Liquidity coverage ratio

115%

4

This is an excerpt of the original content. To continue reading it, access the original document here.

Disclaimer

Citizens Financial Group Inc. published this content on 06 November 2019 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 06 November 2019 16:54:07 UTC

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