XML 28 R10.htm IDEA: XBRL DOCUMENT
v3.19.1

SECURITIES | 3 Months Ended
--- | ---
Mar. 31, 2019
Investments, Debt and Equity Securities [Abstract] |
SECURITIES | NOTE 2 - SECURITIES The following table presents the major components of securities at amortized cost and fair value:
| March 31, 2019 |  | December 31, 2018
(in millions) | Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value |  | Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value
U.S. Treasury and other |  | $72 |  |  | $— |  |  | $— |  |  | $72 |  |  |  | $24 |  |  | $— |  |  | $— |  |  | $24 |
State and political subdivisions | 5 |  | — |  | — |  | 5 |  |  | 5 |  | — |  | — |  | 5 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |
Federal agencies and U.S. government sponsored entities | 20,768 |  | 66 |  | (337 | ) | 20,497 |  |  | 20,211 |  | 28 |  | (605 | ) | 19,634 |
Other/non-agency | 916 |  | 18 |  | (4 | ) | 930 |  |  | 236 |  | 3 |  | (7 | ) | 232 |
Total mortgage-backed securities, at fair value | 21,684 |  | 84 |  | (341 | ) | 21,427 |  |  | 20,447 |  | 31 |  | (612 | ) | 19,866 |
Total debt securities available for sale, at fair value |  | $21,761 |  |  | $84 |  |  | ($341 | ) |  | $21,504 |  |  |  | $20,476 |  |  | $31 |  |  | ($612 | ) |  | $19,895 |
Federal agencies and U.S. government sponsored entities |  | $3,345 |  |  | $1 |  |  | ($79 | ) |  | $3,267 |  |  |  | $3,425 |  |  | $— |  |  | ($132 | ) |  | $3,293 |
Other/non-agency | — |  | — |  | — |  | — |  |  | 740 |  | 8 |  | — |  | 748 |
Total mortgage-backed securities, at cost | 3,345 |  | 1 |  | (79 | ) | 3,267 |  |  | 4,165 |  | 8 |  | (132 | ) | 4,041 |
Total debt securities held to maturity |  | $3,345 |  |  | $1 |  |  | ($79 | ) |  | $3,267 |  |  |  | $4,165 |  |  | $8 |  |  | ($132 | ) |  | $4,041 |
Money market mutual fund investments |  | $198 |  |  | $— |  |  | $— |  |  | $198 |  |  |  | $181 |  |  | $— |  |  | $— |  |  | $181 |
Total equity securities, at fair value |  | $198 |  |  | $— |  |  | $— |  |  | $198 |  |  |  | $181 |  |  | $— |  |  | $— |  |  | $181 |
Federal Reserve Bank stock |  | $463 |  |  | $— |  |  | $— |  |  | $463 |  |  |  | $463 |  |  | $— |  |  | $— |  |  | $463 |
Federal Home Loan Bank stock | 133 |  | — |  | — |  | 133 |  |  | 364 |  | — |  | — |  | 364 |
Other equity securities | 8 |  | — |  | — |  | 8 |  |  | 7 |  | — |  | — |  | 7 |
Total equity securities, at cost |  | $604 |  |  | $— |  |  | $— |  |  | $604 |  |  |  | $834 |  |  | $— |  |  | $— |  |  | $834 |
The amortized cost and fair value of debt securities by contractual maturity as of March 31, 2019 are presented below. Expected maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations with or without incurring penalties.
| March 31, 2019
| Distribution of Maturities
(in millions) | 1 Year or Less | 1-5 Years | 5-10 Years | After 10 Years | Total |
Amortized cost: |  |  |  |  |
U.S. Treasury and other |  | $72 |  |  | $— |  |  | $— |  |  | $— |  |  | $72 |
State and political subdivisions | — |  | — |  | — |  | 5 |  | 5 |
Mortgage-backed securities: |  |  |  |  |
Federal agencies and U.S. government sponsored entities | — |  | 251 |  | 1,641 |  | 18,876 |  | 20,768 |
Other/non-agency | 2 |  | 8 |  | — |  | 906 |  | 916 |
Total debt securities available for sale | 74 |  | 259 |  | 1,641 |  | 19,787 |  | 21,761 |
Mortgage-backed securities: |  |  |  |  |
Federal agencies and U.S. government sponsored entities | — |  | — |  | — |  | 3,345 |  | 3,345 |
Total debt securities held to maturity | — |  | — |  | — |  | 3,345 |  | 3,345 |
Total amortized cost of debt securities |  | $74 |  |  | $259 |  |  | $1,641 |  |  | $23,132 |  |  | $25,106 |
Fair value: |  |  |  |  |
U.S. Treasury and other |  | $72 |  |  | $— |  |  | $— |  |  | $— |  |  | $72 |
State and political subdivisions | — |  | — |  | — |  | 5 |  | 5 |
Mortgage-backed securities: |  |  |  |  |
Federal agencies and U.S. government sponsored entities | — |  | 247 |  | 1,634 |  | 18,616 |  | 20,497 |
Other/non-agency | 2 |  | 8 |  | — |  | 920 |  | 930 |
Total debt securities available for sale | 74 |  | 255 |  | 1,634 |  | 19,541 |  | 21,504 |
Mortgage-backed securities: |  |  |  |  |
Federal agencies and U.S. government sponsored entities | — |  | — |  | — |  | 3,267 |  | 3,267 |
Total debt securities held to maturity | — |  | — |  | — |  | 3,267 |  | 3,267 |
Total fair value of debt securities |  | $74 |  |  | $255 |  |  | $1,634 |  |  | $22,808 |  |  | $24,771 |
Taxable interest income from investment securities as presented on the Consolidated Statements of Operations was $166 million and $168 million for the three months ended March 31, 2019 and 2018, respectively. Realized gains and losses on securities are presented below:
| Three Months Ended March 31,
(in millions) | 2019 |  |  | 2018 |
Gains on sale of debt securities |  | $8 |  |  |  | $8 |
Losses on sale of debt securities | — |  |  | — |
Debt securities gains, net |  | $8 |  |  |  | $8 |
The amortized cost and fair value of debt securities pledged are presented below:
| March 31, 2019 |  | December 31, 2018
(in millions) | Amortized Cost | Fair Value |  |  | Amortized Cost | Fair Value |
Pledged against repurchase agreements |  | $294 |  |  | $294 |  |  |  | $344 |  |  | $338 |
Pledged against FHLB borrowed funds | — |  | — |  |  | 745 |  | 752 |
Pledged against derivatives, to qualify for fiduciary powers, and to secure public and other deposits as required by law | 3,306 |  | 3,248 |  |  | 3,592 |  | 3,460 |
Citizens regularly enters into security repurchase agreements with unrelated counterparties. Repurchase agreements are financial transactions that involve the transfer of a security from one party to another and a subsequent transfer of substantially the same security back to the original party. The Company’s repurchase agreements are typically short-term transactions and accounted for as secured borrowed funds on the Company’s Consolidated Balance Sheets. When permitted by GAAP, the Company offsets short-term receivables associated with its reverse repurchase agreements against short-term payables associated with its repurchase agreements. Citizens recognized no offsetting of short-term receivables or payables as of March 31, 2019 or December 31, 2018. Citizens offsets certain derivative assets and derivative liabilities on the Consolidated Balance Sheets. For further information see Note 9 "Derivatives." Securitizations of mortgage loans retained in the investment portfolio was $31 million and $26 million for the three months ended March 31, 2019 and 2018, respectively. These securitizations include a substantive guarantee by a third party. In 2019 the guarantors were FNMA and GNMA and in 2018 the guarantors were FNMA, FHLMC, and GNMA. The debt securities received from the guarantors are classified as AFS. The following tables present mortgage-backed debt securities whose fair values are below carrying values, segregated by those that have been in a continuous unrealized loss position for less than twelve months and those that have been in a continuous unrealized loss position for twelve months or longer:
| March 31, 2019
| Less than 12 Months |  | 12 Months or Longer |  | Total
(dollars in millions) | Number of Issues | Fair Value | Gross Unrealized Losses |  | Number of Issues | Fair Value | Gross Unrealized Losses |  | Number of Issues | Fair Value | Gross Unrealized Losses
Federal agencies and U.S. government sponsored entities | 13 |  |  | $569 |  |  | ($1 | ) |  | 519 |  |  | $17,548 |  |  | ($415 | ) |  | 532 |  |  | $18,117 |  |  | ($416 | )
Other/non-agency | — |  | — |  | — |  |  | 7 |  | 48 |  | (4 | ) |  | 7 |  | 48 |  | (4 | )
Total | 13 |  |  | $569 |  |  | ($1 | ) |  | 526 |  |  | $17,596 |  |  | ($419 | ) |  | 539 |  |  | $18,165 |  |  | ($420 | )
| December 31, 2018
| Less than 12 Months |  | 12 Months or Longer |  | Total
(dollars in millions) | Number of Issues | Fair Value | Gross Unrealized Losses |  | Number of Issues | Fair Value | Gross Unrealized Losses |  | Number of Issues | Fair Value | Gross Unrealized Losses
Federal agencies and U.S. government sponsored entities | 166 |  |  | $4,881 |  |  | ($89 | ) |  | 429 |  |  | $15,124 |  |  | ($648 | ) |  | 595 |  |  | $20,005 |  |  | ($737 | )
Other/non-agency | 10 |  | 139 |  | (1 | ) |  | 11 |  | 72 |  | (6 | ) |  | 21 |  | 211 |  | (7 | )
Total | 176 |  |  | $5,020 |  |  | ($90 | ) |  | 440 |  |  | $15,196 |  |  | ($654 | ) |  | 616 |  |  | $20,216 |  |  | ($744 | )
Citizens does not currently have the intent to sell these impaired debt securities, and it is not more likely than not that the Company will be required to sell these debt securities prior to the recovery of their amortized cost bases. Citizens has determined that credit losses are not expected to be incurred on the remaining agency and non-agency MBS identified with unrealized losses as of March 31, 2019. The unrealized losses on these debt securities reflect non-credit-related factors such as changing interest rates and market liquidity. Therefore, Citizens has determined that these debt securities are not other-than-temporarily impaired. Any subsequent increases in the valuation of impaired debt securities do not impact their recorded cost bases. The following table presents the cumulative credit-related losses recognized in earnings on debt securities held by the Company:
| Three Months Ended March 31,
(in millions) | 2019 |  |  | 2018 |
Cumulative balance at beginning of period |  | $81 |  |  |  | $80 |
Credit impairments recognized in earnings on debt securities that have been previously impaired | 1 |  |  | 1 |
Reductions due to increases in cash flow expectations on impaired debt securities(1) | — |  |  | (1 | )
Reductions for securities sold during the period(2) | (4 | ) |  | — |
Cumulative balance at end of period |  | $78 |  |  |  | $80 |
(1) Reported in interest income from investment securities on the Consolidated Statements of Operations. (2) Reported in securities gains, net on the Consolidated Statements of Operations. Cumulative credit losses recognized in earnings for impaired AFS debt securities held as of March 31, 2019 and March 31, 2018 were $78 million and $80 million respectively. There were no credit losses recognized in earnings for the Company’s HTM portfolio for the three months ended March 31, 2019 and 2018. For the three months ended March 31, 2019 and 2018, the Company incurred non-agency MBS credit-related other-than-temporary impairment losses in earnings of $1 million.

X
- References No definition available. + Details
Name: | us-gaap_InvestmentsDebtAndEquitySecuritiesAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2209399 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2324412 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI http://asc.fasb.org/topic&trid=2196928 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2176304 + Details
Name: | us-gaap_InvestmentsInDebtAndMarketableEquitySecuritiesAndCertainTradingAssetsDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration