SECURITIES (Tables)

9 Months Ended

Sep. 30, 2020

Investments, Debt and Equity Securities [Abstract]

The following table presents the major components of securities at amortized cost and fair value:



	September 30, 2020									December 31, 2019
(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		$11		$—		$—			$11		$71		$—		$—			$71
State and political subdivisions	4		—		—			4		5		—		—			5
Mortgage-backed securities, at fair value:
Federal agencies and U.S. government sponsored entities	20,962		617		(38		)	21,541		19,803		143		(71		)	19,875
Other/non-agency	482		33		—			515		638		24		—			662
Total mortgage-backed securities, at fair value	21,444		650		(38		)	22,056		20,441		167		(71		)	20,537
Asset-backed securities, at fair value⁽¹⁾	813		—		—			813		—		—		—			—
Total debt securities available for sale, at fair value		$22,272		$650		($38	)		$22,884		$20,517		$167		($71	)		$20,613
Mortgage-backed securities, at cost:
Federal agencies and U.S. government sponsored entities		$2,578		$131		$—			$2,709		$3,202		$45		($5	)		$3,242
Total debt securities held to maturity, at cost		$2,578		$131		$—			$2,709		$3,202		$45		($5	)		$3,242
Money market mutual fund investments		$57		$—		$—			$57		$47		$—		$—			$47
Total equity securities, at fair value		$57		$—		$—			$57		$47		$—		$—			$47
Federal Reserve Bank stock		$577		$—		$—			$577		$577		$—		$—			$577
Federal Home Loan Bank stock	20		—		—			20		222		—		—			222
Other equity securities	8		—		—			8		8		—		—			8
Total equity securities, at cost		$605		$—		$—			$605		$807		$—		$—			$807

(1) In September 2020, Citizens sold $973 million of private in-school education loans, inclusive of accrued interest, capitalized interest and fees. Additionally, the Company provided financing to the purchaser for a portion of the sale price in the form of $813 million of asset-backed securities, collateralized by the sold assets, which are classified as AFS. Refer to Note 7 for additional information.

Schedule of investments classified by maturity date

The following table presents the amortized cost and fair value of debt securities by contractual maturity as of September 30, 2020. 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, 2020
	Distribution of Maturities
(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		$11		$—		$—		$—		$11
State and political subdivisions	—		—		—		4		4
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities	4		147		1,591		19,220		20,962
Other/non-agency	—		—		—		482		482
Asset-backed securities	—		—		813		—		813
Total debt securities available for sale	15		147		2,404		19,706		22,272
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities	—		—		—		2,578		2,578
Total debt securities held to maturity	—		—		—		2,578		2,578
Total amortized cost of debt securities		$15		$147		$2,404		$22,284		$24,850

Fair value:
U.S. Treasury and other		$11		$—		$—		$—		$11
State and political subdivisions	—		—		—		4		4
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities	4		153		1,647		19,737		21,541
Other/non-agency	—		—		—		515		515
Asset-backed securities	—		—		813		—		813
Total debt securities available for sale	15		153		2,460		20,256		22,884
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities	—		—		—		2,709		2,709
Total debt securities held to maturity	—		—		—		2,709		2,709
Total fair value of debt securities		$15		$153		$2,460		$22,965		$25,593

Schedule of income recognized on investment securities

The following table presents realized gains and losses on securities:



	Three Months Ended September 30,				Nine Months Ended September 30,
(in millions)	2020		2019		2020		2019
Gains on sale of debt securities⁽¹⁾		$1		$5		$4		$21
Losses on sale of debt securities	—		—		—		—
Debt securities gains, net		$1		$5		$4		$21

⁽¹⁾ For the three and nine months ended September 30, 2019, $2 million and $6 million, respectively, of gains on sale of debt securities were recognized in mortgage banking fees in the Consolidated Statement of Operations as they related to AFS securities held as economic hedges of the value of the MSR portfolio recognized using the amortization method.

Schedule of financial instruments owned and pledged as collateral

The following table presents the amortized cost and fair value of debt securities pledged:



	September 30, 2020				December 31, 2019
(in millions)	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Pledged against repurchase agreements		$227		$234		$265		$266
Pledged against FHLB borrowed funds	478		515		638		662
Pledged against derivatives, to qualify for fiduciary powers, and to secure public and other deposits as required by law	3,506		3,620		3,670		3,672

Schedule of unrealized loss on investments

The following table presents 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, 2020
	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
Federal agencies and U.S. government sponsored entities		$2,524		($38	)		$—		$—		$2,524		($38	)

The following table present AFS and HTM 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:



	December 31, 2019
	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
Federal agencies and U.S. government sponsored entities		$5,135		($24	)		$3,748		($52	)		$8,883		($76	)