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SECURITIES
 6 Months Ended
Jun. 30, 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:
June 30, 2022December 31, 2021
(in millions)Amortized CostGross Unrealized GainsGross Unrealized LossesFair ValueAmortized CostGross Unrealized GainsGross Unrealized LossesFair Value
U.S. Treasury and other$3,455 $1 ($48)$3,408 $11 $— $— $11 
State and political subdivisions3 — — 3 2 — — 2 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities21,568 4 (1,483)20,089 24,607 210 (375)24,442 
Other/non-agency281 — (20)261 397 9 (1)405 
Total mortgage-backed securities21,849 4 (1,503)20,350 25,004 219 (376)24,847 
Collateralized loan obligations1,248 — (48)1,200 1,208 — (1)1,207 
Total debt securities available for sale, at fair value$26,555 $5 ($1,599)$24,961 $26,225 $219 ($377)$26,067 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities$8,921 $25 ($199)$8,747 $1,505 $52 $— $1,557 
Total mortgage-backed securities8,921 25 (199)8,747 1,505 52 — 1,557 
Asset-backed securities646 — (32)614 737 2 (7)732 
Total debt securities held to maturity$9,567 $25 ($231)$9,361 $2,242 $54 ($7)$2,289 
Equity securities, at cost$1,162 $— $— $1,162 $624 $— $— $624 
Equity securities, at fair value138 — — 138 109 — — 109 
Accrued interest receivable on debt securities totaled $94 million and $56 million as of June 30, 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 June 30, 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 $1,911 $1,533 $3,455 
State and political subdivisions1 — — 2 3 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities4 584 2,879 18,101 21,568 
Other/non-agency— — — 281 281 
Collateralized loan obligations— — 25 1,223 1,248 
Total debt securities available for sale16 2,495 4,437 19,607 26,555 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— — — 8,921 8,921 
Asset-backed securities— — 646 — 646 
Total debt securities held to maturity— — 646 8,921 9,567 
Total amortized cost of debt securities$16 $2,495 $5,083 $28,528 $36,122 
Fair value:
U.S. Treasury and other$11 $1,881 $1,516 $— $3,408 
State and political subdivisions1 — — 2 3 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities4 576 2,783 16,726 20,089 
Other/non-agency— — — 261 261 
Collateralized loan obligations— — 23 1,177 1,200 
Total debt securities available for sale16 2,457 4,322 18,166 24,961 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— — — 8,747 8,747 
Asset-backed securities— — 614 — 614 
Total debt securities held to maturity— — 614 8,747 9,361 
Total fair value of debt securities$16 $2,457 $4,936 $26,913 $34,322 
Taxable interest income from investment securities as presented in the Consolidated Statements of Operations was $201 million and $124 million for the three months ended June 30, 2022 and 2021, respectively, and $339 million and $252 million for the six months ended June 30, 2022 and 2021, respectively.
The following table presents realized gains and losses on securities:
Three Months Ended June 30,Six Months Ended June 30,
(in millions)2022202120222021
Gains on sale of securities$2 $3 $9 $6 
Losses on sale of securities(1)— (4)— 
Securities gains, net$1 $3 $5 $6 
The following table presents the amortized cost and fair value of debt securities pledged:
June 30, 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$5,763 $5,351 $4,816 $4,782 
Pledged as collateral for FHLB borrowing capacity245 225 325 333 
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 June 30, 2022 or December 31, 2021. The Company offsets certain derivative assets and derivative liabilities in the Consolidated Balance Sheets. For further information see Note 10.
Securitizations of mortgage loans retained in the investment portfolio were $40 million for the three and six months ended June 30, 2022. 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. These securitizations include a substantive guarantee by a third party. The guarantors were FNMA and FHLMC in 2022 and 2021, and also included GNMA in 2021. The debt securities received from the guarantors are classified as AFS.
Impairment
The Company evaluated its existing HTM portfolio as of June 30, 2022 and concluded that in excess of 90% 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 June 30, 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:
June 30, 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$3,236 ($48)$— $— $3,236 ($48)
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities18,048 (1,214)1,498 (269)19,546 (1,483)
Other/non-agency261 (20)— — 261 (20)
Total mortgage-backed securities18,309 (1,234)1,498 (269)19,807 (1,503)
Collateralized loan obligations1,201 (48)— — 1,201 (48)
Total$22,746 ($1,330)$1,498 ($269)$24,244 ($1,599)
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 June 30, 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.