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SECURITIES
 6 Months Ended
Jun. 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:
June 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 subdivisions3 — — 3 3 — — 3 
Mortgage-backed securities, at fair value:
Federal agencies and U.S. government sponsored entities23,960 354 (202)24,112 21,954 571 (19)22,506 
Other/non-agency267 13 — 280 396 26 — 422 
Total mortgage-backed securities, at fair value24,227 367 (202)24,392 22,350 597 (19)22,928 
Collateralized loan obligations, at fair value177 — — 177 — — — — 
Total debt securities available for sale, at fair value$24,418 $367 ($202)$24,583 $22,364 $597 ($19)$22,942 
Federal agencies and U.S. government sponsored entities$1,887 $77 $— $1,964 $2,342 $122 $— $2,464 
Total mortgage-backed securities, at cost 1,887 77 — 1,964 2,342 122 — 2,464 
Asset-backed securities, at cost824 2 — 826 893 — — 893 
Total debt securities held to maturity$2,711 $79 $— $2,790 $3,235 $122 $— $3,357 
Equity securities, at cost$602 $— $— $602 $604 $— $— $604 
Equity securities, at fair value80 — — 80 66 — — 66 
Accrued interest receivable on debt securities totaled $54 million and $55 million as of June 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 June 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.
June 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— — — 3 3 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities6 42 1,861 22,051 23,960 
Other/non-agency— — — 267 267 
Collateralized loan obligations— — — 177 177 
Total debt securities available for sale17 42 1,861 22,498 24,418 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— — — 1,887 1,887 
Asset-backed securities— — 824 — 824 
Total debt securities held to maturity— — 824 1,887 2,711 
Total amortized cost of debt securities$17 $42 $2,685 $24,385 $27,129 
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 entities6 44 1,916 22,146 24,112 
Other/non-agency— — — 280 280 
Collateralized loan obligations— — — 177 177 
Total debt securities available for sale17 44 1,916 22,606 24,583 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— — — 1,964 1,964 
Asset-backed securities— — 826 — 826 
Total debt securities held to maturity— — 826 1,964 2,790 
Total fair value of debt securities$17 $44 $2,742 $24,570 $27,373 
        
Taxable interest income from investment securities as presented in the Consolidated Statements of Operations was $124 million and $130 million for the three months ended June 30, 2021 and 2020, respectively, and $252 million and $277 million for the six months ended June 30, 2021 and 2020, respectively.

The following table presents realized gains and losses on securities:
Three Months Ended June 30,Six Months Ended June 30,
(in millions)2021202020212020
Gains on sale of debt securities$3 $3 $6 $3 
Losses on sale of debt securities— — — — 
Debt securities gains, net$3 $3 $6 $3 
The following table presents the amortized cost and fair value of debt securities pledged:
June 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$4,996 $5,028 $3,818 $3,937 
Pledged against FHLB borrowed funds266 280 394 423 
Pledged against repurchase agreements49 52 224 231 

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 June 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 $82 million and $163 million for the three and six months ended June 30, 2021, respectively. There were no securitizations of mortgage loans retained in the investment portfolio for the three and six months ended June 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 June 30, 2021, the Company concluded that 70% of HTM securities met the zero expected credit loss criteria; therefore, no ACL was recognized. For the remaining 30%, 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 June 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:
June 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$10,916 ($200)$92 ($2)$11,008 ($202)

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 June 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.