XML 28 R10.htm IDEA: XBRL DOCUMENT v3.21.1
SECURITIES
 3 Months Ended
Mar. 31, 2021
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, 2021December 31, 2020
(in millions)Amortized CostGross Unrealized GainsGross Unrealized LossesFair ValueAmortized CostGross Unrealized GainsGross Unrealized LossesFair Value
U.S. Treasury and other$11 $— $— $11 $11 $— $— $11 
State and political subdivisions3 — — 3 3 — — 3 
Mortgage-backed securities, at fair value:
Federal agencies and U.S. government sponsored entities23,966 415 (268)24,113 21,954 571 (19)22,506 
Other/non-agency324 16 — 340 396 26 — 422 
Total mortgage-backed securities, at fair value24,290 431 (268)24,453 22,350 597 (19)22,928 
Total debt securities available for sale, at fair value$24,304 $431 ($268)$24,467 $22,364 $597 ($19)$22,942 
Federal agencies and U.S. government sponsored entities$2,139 $84 $— $2,223 $2,342 $122 $— $2,464 
Total mortgage-backed securities, at cost 2,139 84 — 2,223 2,342 122 — 2,464 
Asset-backed securities, at cost856 — (2)854 893 — — 893 
Total debt securities held to maturity$2,995 $84 ($2)$3,077 $3,235 $122 $— $3,357 
Equity securities, at fair value$73 $— $— $73 $66 $— $— $66 
Equity securities, at cost603 — — 603 604 — — 604 
Accrued interest receivable on debt securities totaled $56 million and $55 million as of March 31, 2021 and December 31, 2020, respectively, and is included in other assets on the Consolidated Balance Sheets.
The following table presents the amortized cost and fair value of debt securities by contractual maturity as of March 31, 2021. 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, 2021
Distribution of Maturities
(in millions)1 Year or LessAfter 1 Year through 5 YearsAfter 5 Years through 10 YearsAfter 10 YearsTotal
Amortized cost:
U.S. Treasury and other$11 $— $— $— $11 
State and political subdivisions— — — 3 3 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities2 108 1,626 22,230 23,966 
Other/non-agency— — — 324 324 
Total debt securities available for sale13 108 1,626 22,557 24,304 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— — — 2,139 2,139 
Asset-backed securities— — 856 — 856 
Total debt securities held to maturity— — 856 2,139 2,995 
Total amortized cost of debt securities$13 $108 $2,482 $24,696 $27,299 
Fair value:
U.S. Treasury and other$11 $— $— $— $11 
State and political subdivisions— — — 3 3 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities2 111 1,676 22,324 24,113 
Other/non-agency— — — 340 340 
Total debt securities available for sale13 111 1,676 22,667 24,467 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— — 2,223 2,223 
Asset-backed securities— — 854 — 854 
Total debt securities held to maturity— — 854 2,223 3,077 
Total fair value of debt securities$13 $111 $2,530 $24,890 $27,544 
        
Taxable interest income from investment securities as presented on the Consolidated Statements of Operations was $128 million and $147 million for the three months ended March 31, 2021 and 2020, respectively.

The following table presents realized gains and losses on securities:
Three Months Ended March 31,
(in millions)20212020
Gains on sale of debt securities$3 $— 
Losses on sale of debt securities— — 
Debt securities gains, net$3 $— 
The following table presents the amortized cost and fair value of debt securities pledged:
March 31, 2021December 31, 2020
(in millions)Amortized CostFair ValueAmortized CostFair Value
Pledged against repurchase agreements$53 $55 $224 $231 
Pledged against FHLB borrowed funds322 340 394 423 
Pledged against derivatives, to qualify for fiduciary powers, and to secure public and other deposits as required by law
3,677 3,725 3,818 3,937 

The Company regularly enters into security repurchase agreements with unrelated counterparties, which 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. These repurchase agreements are typically short-term in nature and are
accounted for as secured borrowed funds on the Company’s Consolidated Balance Sheets. The Company recognized no offsetting of short-term receivables or payables as of March 31, 2021 or December 31, 2020. The Company offsets certain derivative assets and derivative liabilities on the Consolidated Balance Sheets. For further information, see Note 8.
Securitizations of mortgage loans retained in the investment portfolio were $81 million for the three months ended March 31, 2021. There were no securitizations of mortgage loans retained in the investment portfolio for the three months ended March 31, 2020. These securitizations include a substantive guarantee by a third party. In 2021, the guarantors were FNMA and FHLMC. The debt securities received from the guarantors are classified as AFS.
Impairment
As of March 31, 2021, the Company concluded that 71% of HTM securities met the zero expected credit loss criteria; therefore, no ACL was recognized. For the remaining 29%, the lifetime expected credit losses were determined to be insignificant based on the modeling of the Company’s credit loss position in the security. The Company monitors the credit exposure through the use of credit quality indicators. For these securities, the Company uses external credit ratings or an internally derived credit rating when an external rating is not available. All securities were determined to be investment grade at March 31, 2021.
The following tables present AFS mortgage-backed debt securities with fair values below their respective carrying values, separated by the duration the securities have been in a continuous unrealized loss position:
March 31, 2021
Less than 12 Months12 Months or LongerTotal
(dollars in millions)Fair ValueGross Unrealized LossesFair ValueGross Unrealized LossesFair ValueGross Unrealized Losses
Federal agencies and U.S. government sponsored entities$9,997 ($268)$— $— $9,997 ($268)

December 31, 2020
Less than 12 Months12 Months or LongerTotal
(dollars in millions)Fair ValueGross Unrealized LossesFair ValueGross Unrealized LossesFair ValueGross Unrealized Losses
Federal agencies and U.S. government sponsored entities$1,991 ($19)$— $— $1,991 ($19)
Citizens does not currently have the intent to sell these debt securities, and it is not more likely than not that the Company will be required to sell these debt securities prior to recovery of their amortized cost bases. Citizens has determined that credit losses are not expected to be incurred on the agency and non-agency MBS identified with unrealized losses as of March 31, 2021. The unrealized losses on these debt securities reflect non-credit-related factors driven by changes in interest rates. Therefore, the Company has determined that these debt securities are not impaired.