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SECURITIES
 3 Months Ended
Mar. 31, 2022
Investments, Debt and Equity Securities [Abstract]  
SECURITIES
NOTE 3 - SECURITIES
The following table presents the major components of securities at amortized cost and fair value:
March 31, 2022December 31, 2021
(in millions)Amortized CostGross Unrealized GainsGross Unrealized LossesFair ValueAmortized CostGross Unrealized GainsGross Unrealized LossesFair Value
U.S. Treasury and other$158 $— ($4)$154 $11 $— $— $11 
State and political subdivisions2 — — 2 2 — — 2 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities25,074 4 (1,580)23,498 24,607 210 (375)24,442 
Other/non-agency412 2 (13)401 397 9 (1)405 
Total mortgage-backed securities25,486 6 (1,593)23,899 25,004 219 (376)24,847 
Collateralized loan obligations1,276 — (12)1,264 1,208 — (1)1,207 
Total debt securities available for sale, at fair value$26,922 $6 ($1,609)$25,319 $26,225 $219 ($377)$26,067 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities$1,370 $3 ($18)$1,355 $1,505 $52 $— $1,557 
Total mortgage-backed securities1,370 3 (18)1,355 1,505 52 — 1,557 
Asset-backed securities686 — (30)656 737 2 (7)732 
Total debt securities held to maturity$2,056 $3 ($48)$2,011 $2,242 $54 ($7)$2,289 
Equity securities, at cost$611 $— $— $611 $624 $— $— $624 
Equity securities, at fair value130 — — 130 109 — — 109 
Accrued interest receivable on debt securities totaled $59 million and $56 million as of March 31, 2022 and December 31, 2021, 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, 2022. 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
(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 $49 $98 $— $158 
State and political subdivisions— — — 2 2 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities4 63 1,902 23,105 25,074 
Other/non-agency— — — 412 412 
Collateralized loan obligations— — 25 1,251 1,276 
Total debt securities available for sale15 112 2,025 24,770 26,922 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— — — 1,370 1,370 
Asset-backed securities— — 686 — 686 
Total debt securities held to maturity— — 686 1,370 2,056 
Total amortized cost of debt securities$15 $112 $2,711 $26,140 $28,978 
Fair value:
U.S. Treasury and other$11 $48 $95 $— $154 
State and political subdivisions— — — 2 2 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities4 62 1,866 21,566 23,498 
Other/non-agency— — — 401 401 
Collateralized loan obligations— — 24 1,240 1,264 
Total debt securities available for sale15 110 1,985 23,209 25,319 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— — — 1,355 1,355 
Asset-backed securities— — 656 — 656 
Total debt securities held to maturity— — 656 1,355 2,011 
Total fair value of debt securities$15 $110 $2,641 $24,564 $27,330 
Taxable interest income from investment securities as presented in the Consolidated Statements of Operations was $138 million and $128 million for the three months ended March 31, 2022 and 2021, respectively.
The following table presents realized gains and losses on securities:
Three Months Ended March 31,
(in millions)20222021
Gains on sale of securities$7 $3 
Losses on sale of securities(3)— 
Securities gains, net$4 $3 
The following table presents the amortized cost and fair value of debt securities pledged:
March 31, 2022December 31, 2021
(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$4,733 $4,415 $4,816 $4,782 
Pledged as collateral for FHLB borrowing capacity430 420 325 333 
Pledged against repurchase agreements— — 1 1 
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 March 31, 2022 or December 31, 2021. The Company offsets certain derivative assets and derivative liabilities in the Consolidated Balance Sheets. For further information see Note 9.
There were no securitizations of mortgage loans retained in the investment portfolio for the three months ended March 31, 2022, and $81 million for the three months ended March 31, 2021. 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
The Company evaluated its existing HTM portfolio as of March 31, 2022 and concluded that 67% of HTM securities met the zero expected credit loss criteria; 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, 2022.
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, 2022
Less than 12 Months12 Months or LongerTotal
(dollars in millions)Fair ValueGross Unrealized LossesFair ValueGross Unrealized LossesFair ValueGross Unrealized Losses
U.S. Treasury and other$154 ($4)$— $— $154 ($4)
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities16,512 (883)6,265 (697)22,777 (1,580)
Other/non-agency268 (13)— — 268 (13)
Total mortgage-backed securities16,780 (896)6,265 (697)23,045 (1,593)
Collateralized loan obligations1,237 (12)— — 1,237 (12)
Total$18,171 ($912)$6,265 ($697)$24,436 ($1,609)
December 31, 2021
Less than 12 Months12 Months or LongerTotal
(dollars in millions)Fair ValueGross Unrealized LossesFair ValueGross Unrealized LossesFair ValueGross Unrealized Losses
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities$14,131 ($320)$1,236 ($55)$15,367 ($375)
Other/non-agency123 (1)— — 123 (1)
Total mortgage-backed securities14,254 (321)1,236 (55)15,490 (376)
Collateralized loan obligations736 (1)— — 736 (1)
Total$14,990 ($322)$1,236 ($55)$16,226 ($377)
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 U.S. Treasury securities, agency MBS, non-agency MBS, and CLOs identified with unrealized losses as of March 31, 2022. 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.