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SECURITIES | 3 Months Ended
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Mar. 31, 2024
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, 2024 |  | December 31, 2023
(dollars in millions) | Amortized Cost(1) | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value |  | Amortized Cost(1) | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value
U.S. Treasury and other | $4,944 |  | $8 |  | ($182) |  | $4,770 |  |  | $4,493 |  | $26 |  | ($139) |  | $4,380 |
State and political subdivisions | 1 |  | — |  | — |  | 1 |  |  | 1 |  | — |  | — |  | 1 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |
Federal agencies and U.S. government sponsored entities | 27,989 |  | 26 |  | (2,150) |  | 25,865 |  |  | 26,289 |  | 45 |  | (1,857) |  | 24,477 |
Other/non-agency | 278 |  | — |  | (21) |  | 257 |  |  | 279 |  | — |  | (24) |  | 255 |
Total mortgage-backed securities | 28,267 |  | 26 |  | (2,171) |  | 26,122 |  |  | 26,568 |  | 45 |  | (1,881) |  | 24,732 |
Collateralized loan obligations | 293 |  | 1 |  | — |  | 294 |  |  | 667 |  | — |  | (3) |  | 664 |
Total debt securities available for sale, at fair value | $33,505 |  | $35 |  | ($2,353) |  | $31,187 |  |  | $31,729 |  | $71 |  | ($2,023) |  | $29,777 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |
Federal agencies and U.S. government sponsored entities | $8,587 |  | $1 |  | ($906) |  | $7,682 |  |  | $8,696 |  | $9 |  | ($818) |  | $7,887 |
Total mortgage-backed securities | 8,587 |  | 1 |  | (906) |  | 7,682 |  |  | 8,696 |  | 9 |  | (818) |  | 7,887 |
Asset-backed securities | 467 |  | 1 |  | (18) |  | 450 |  |  | 488 |  | — |  | (25) |  | 463 |
Total debt securities held to maturity | $9,054 |  | $2 |  | ($924) |  | $8,132 |  |  | $9,184 |  | $9 |  | ($843) |  | $8,350 |
Equity securities, at cost(2) | $791 |  | $— |  | $— |  | $791 |  |  | $869 |  | $— |  | $— |  | $869 |
Equity securities, at fair value(2) | 178 |  | — |  | — |  | 178 |  |  | 173 |  | — |  | — |  | 173 |
(1) Excludes portfolio level basis adjustments of $(74) million and $60 million, respectively, for securities designated in active fair value hedge relationships at March 31, 2024 and December 31, 2023. (2) Included in other assets in the Consolidated Balance Sheets. Accrued interest receivable on debt securities totaled $142 million and $125 million as of March 31, 2024 and December 31, 2023, 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 March 31, 2024. Expected maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations with or without incurring penalties.
| Distribution of Maturities
(dollars in millions) | 1 Year or Less | After 1 Year through 5 Years | After 5 Years through 10 Years | After 10 Years | Total
Amortized cost: |  |  |  |  |
U.S. Treasury and other | $— |  | $3,507 |  | $1,437 |  | $— |  | $4,944 |
State and political subdivisions | — |  | — |  | — |  | 1 |  | 1 |
Mortgage-backed securities: |  |  |  |  |
Federal agencies and U.S. government sponsored entities | — |  | 1,853 |  | 2,056 |  | 24,080 |  | 27,989 |
Other/non-agency | — |  | — |  | — |  | 278 |  | 278 |
Collateralized loan obligations | — |  | — |  | 59 |  | 234 |  | 293 |
Total debt securities available for sale | — |  | 5,360 |  | 3,552 |  | 24,593 |  | 33,505 |
Mortgage-backed securities: |  |  |  |  |
Federal agencies and U.S. government sponsored entities | — |  | — |  | — |  | 8,587 |  | 8,587 |
Asset-backed securities | — |  | 467 |  | — |  | — |  | 467 |
Total debt securities held to maturity | — |  | 467 |  | — |  | 8,587 |  | 9,054 |
Total amortized cost of debt securities | $— |  | $5,827 |  | $3,552 |  | $33,180 |  | $42,559 |
Fair value: |  |  |  |  |
U.S. Treasury and other | $— |  | $3,334 |  | $1,436 |  | $— |  | $4,770 |
State and political subdivisions | — |  | — |  | — |  | 1 |  | 1 |
Mortgage-backed securities: |  |  |  |  |
Federal agencies and U.S. government sponsored entities | — |  | 1,761 |  | 1,945 |  | 22,159 |  | 25,865 |
Other/non-agency | — |  | — |  | — |  | 257 |  | 257 |
Collateralized loan obligations | — |  | — |  | 59 |  | 235 |  | 294 |
Total debt securities available for sale | — |  | 5,095 |  | 3,440 |  | 22,652 |  | 31,187 |
Mortgage-backed securities: |  |  |  |  |
Federal agencies and U.S. government sponsored entities | — |  | — |  | — |  | 7,682 |  | 7,682 |
Asset-backed securities | — |  | 450 |  | — |  | — |  | 450 |
Total debt securities held to maturity | — |  | 450 |  | — |  | 7,682 |  | 8,132 |
Total fair value of debt securities | $— |  | $5,545 |  | $3,440 |  | $30,334 |  | $39,319 |
Taxable interest income from investment securities as presented in the Consolidated Statements of Operations was $399 million and $266 million for the three months ended March 31, 2024 and 2023, respectively. The following table presents realized gains and losses on the sale of securities:
| Three Months Ended March 31, |  |
(dollars in millions) | 2024 |  | 2023 |  |  |  |
Gains | $5 |  |  | $9 |  |  |  |  |
Losses | — |  |  | (4) |  |  |  |  |
Securities gains, net | $5 |  |  | $5 |  |  |  |  |
The following table presents the amortized cost and fair value of debt securities pledged:
| March 31, 2024 |  | December 31, 2023
(dollars in millions) | Amortized Cost | Fair Value |  | Amortized Cost | Fair Value
Pledged against derivatives, to qualify for fiduciary powers, or to secure public and other deposits as required by law | $7,402 |  | $6,838 |  |  | $5,619 |  | $5,305 |
Pledged as collateral for FHLB borrowing capacity | 242 |  | 222 |  |  | 242 |  | 220 |
Pledged against repurchase agreements | — |  | — |  |  | — |  | — |
The Company 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 short-term receivables or payables associated with security repurchase agreements as of March 31, 2024 or December 31, 2023. There were no securitizations of mortgage loans retained in the investment portfolio for the three months ended March 31, 2024 and 2023. Impairment The Company evaluated its existing HTM portfolio as of March 31, 2024 and concluded that 95% of HTM securities met the zero expected credit loss criteria and, therefore, no ACL was recognized. Lifetime expected credit losses on the remainder of the HTM portfolio 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 March 31, 2024. The following tables present AFS 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, 2024
| Less than 12 Months |  | 12 Months or Longer |  | Total
(dollars in millions) | Fair Value | Gross Unrealized Losses |  | Fair Value | Gross Unrealized Losses |  | Fair Value | Gross Unrealized Losses
U.S. Treasury and other | $758 |  | ($7) |  |  | $3,211 |  | ($175) |  |  | $3,969 |  | ($182) |
State and political subdivisions | — |  | — |  |  | 1 |  | — |  |  | 1 |  | — |
Mortgage-backed securities: |  |  |  |  |  |  |  |
Federal agencies and U.S. government sponsored entities | 5,710 |  | (39) |  |  | 16,007 |  | (2,111) |  |  | 21,717 |  | (2,150) |
Other/non-agency | — |  | — |  |  | 257 |  | (21) |  |  | 257 |  | (21) |
Total mortgage-backed securities | 5,710 |  | (39) |  |  | 16,264 |  | (2,132) |  |  | 21,974 |  | (2,171) |
Collateralized loan obligations | 74 |  | — |  |  | 10 |  | — |  |  | 84 |  | — |
Total | $6,542 |  | ($46) |  |  | $19,486 |  | ($2,307) |  |  | $26,028 |  | ($2,353) |
| December 31, 2023
| Less than 12 Months |  | 12 Months or Longer |  | Total
(dollars in millions) | Fair Value | Gross Unrealized Losses |  | Fair Value | Gross Unrealized Losses |  | Fair Value | Gross Unrealized Losses
U.S. Treasury and other | $49 |  | $— |  |  | $3,245 |  | ($139) |  |  | $3,294 |  | ($139) |
Mortgage-backed securities: |  |  |  |  |  |  |  |
Federal agencies and U.S. government sponsored entities | 2,939 |  | (24) |  |  | 16,398 |  | (1,833) |  |  | 19,337 |  | (1,857) |
Other/non-agency | — |  | — |  |  | 255 |  | (24) |  |  | 255 |  | (24) |
Total mortgage-backed securities | 2,939 |  | (24) |  |  | 16,653 |  | (1,857) |  |  | 19,592 |  | (1,881) |
Collateralized loan obligations | 56 |  | — |  |  | 607 |  | (3) |  |  | 663 |  | (3) |
Total | $3,044 |  | ($24) |  |  | $20,505 |  | ($1,999) |  |  | $23,549 |  | ($2,023) |
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 AFS debt securities identified with unrealized losses as of March 31, 2024. 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.

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