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SECURITIES
 9 Months Ended
Sep. 30, 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:
September 30, 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 subdivisions2 — — 2 3 — — 3 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities23,838 307 (305)23,840 21,954 571 (19)22,506 
Other/non-agency280 11 — 291 396 26 — 422 
Total mortgage-backed securities24,118 318 (305)24,131 22,350 597 (19)22,928 
Collateralized loan obligations767 — — 767 — — — — 
Total debt securities available for sale, at fair value$24,898 $318 ($305)$24,911 $22,364 $597 ($19)$22,942 
Federal agencies and U.S. government sponsored entities$1,705 $73 $— $1,778 $2,342 $122 $— $2,464 
Total mortgage-backed securities1,705 73 — 1,778 2,342 122 — 2,464 
Asset-backed securities787 2 — 789 893 — — 893 
Total debt securities held to maturity$2,492 $75 $— $2,567 $3,235 $122 $— $3,357 
Equity securities, at cost$616 $— $— $616 $604 $— $— $604 
Equity securities, at fair value88 — — 88 66 — — 66 
Accrued interest receivable on debt securities totaled $53 million and $55 million as of September 30, 2021 and December 31, 2020, respectively, and is included in other assets in the Consolidated Balance Sheets.
The following table presents the amortized cost and fair value of debt securities by contractual maturity as of September 30, 2021. Expected maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations with or without incurring penalties.
September 30, 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— — — 2 2 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities1 32 1,989 21,816 23,838 
Other/non-agency— — — 280 280 
Collateralized loan obligations— — — 767 767 
Total debt securities available for sale12 32 1,989 22,865 24,898 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— — — 1,705 1,705 
Asset-backed securities— — 787 — 787 
Total debt securities held to maturity— — 787 1,705 2,492 
Total amortized cost of debt securities$12 $32 $2,776 $24,570 $27,390 
Fair value:
U.S. Treasury and other$11 $— $— $— $11 
State and political subdivisions— — — 2 2 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities1 33 2,036 21,770 23,840 
Other/non-agency— — — 291 291 
Collateralized loan obligations— — — 767 767 
Total debt securities available for sale12 33 2,036 22,830 24,911 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— — — 1,778 1,778 
Asset-backed securities— — 789 — 789 
Total debt securities held to maturity— — 789 1,778 2,567 
Total fair value of debt securities$12 $33 $2,825 $24,608 $27,478 
        
Taxable interest income from investment securities as presented in the Consolidated Statements of Operations was $116 million and $121 million for the three months ended September 30, 2021 and 2020, respectively, and $368 million and $398 million for the nine months ended September 30, 2021 and 2020, respectively.

The following table presents realized gains and losses on securities:
Three Months Ended September 30,Nine Months Ended September 30,
(in millions)2021202020212020
Gains on sale of debt securities$3 $1 $9 $4 
Losses on sale of debt securities— — — — 
Debt securities gains, net$3 $1 $9 $4 
The following table presents the amortized cost and fair value of debt securities pledged:
September 30, 2021December 31, 2020
(in millions)Amortized CostFair ValueAmortized CostFair Value
Pledged against derivatives, to qualify for fiduciary powers, and to secure public and other deposits as required by law$4,547 $4,556 $3,818 $3,937 
Pledged against FHLB borrowed funds227 239 394 423 
Pledged against repurchase agreements1 1 224 231 

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 in the Company’s Consolidated Balance Sheets. The Company recognized no offsetting of short-term receivables or payables as of September 30, 2021 or December 31, 2020. The Company offsets certain derivative assets and derivative liabilities in the Consolidated Balance Sheets. For further information, see Note 8.
Securitizations of mortgage loans retained in the investment portfolio were $60 million and $223 million for the three and nine months ended September 30, 2021, respectively. There were $34 million securitizations of mortgage loans retained in the investment portfolio for the three and nine months ended September 30, 2020. These securitizations include a substantive guarantee by a third party. In 2021, the guarantors were FNMA, FHLMC, and GNMA. The debt securities received from the guarantors are classified as AFS.
Impairment
As of September 30, 2021, the Company concluded that 68% of HTM securities met the zero expected credit loss criteria; therefore, no ACL was recognized. For the remainder, the lifetime expected credit losses were determined to be insignificant based on the modeling of the Company’s credit loss position in the securities. 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 September 30, 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:
September 30, 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$682 ($21)$11,969 ($284)$12,651 ($305)

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 MBS, non-agency MBS, and CLOs identified with unrealized losses as of September 30, 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.