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SECURITIES
 3 Months Ended
Mar. 31, 2023
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, 2023December 31, 2022
(dollars in millions)Amortized CostGross Unrealized GainsGross Unrealized LossesFair ValueAmortized CostGross Unrealized GainsGross Unrealized LossesFair Value
U.S. Treasury and other$3,378 $— ($126)$3,252 $3,678 $1 ($193)$3,486 
State and political subdivisions2 — — 2 2 — — 2 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities20,957 20 (1,852)19,125 21,250 10 (2,198)19,062 
Other/non-agency280 — (29)251 280 — (29)251 
Total mortgage-backed securities21,237 20 (1,881)19,376 21,530 10 (2,227)19,313 
Collateralized loan obligations1,248 — (33)1,215 1,248 — (42)1,206 
Total debt securities available for sale, at fair value$25,865 $20 ($2,040)$23,845 $26,458 $11 ($2,462)$24,007 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities$9,125 $14 ($599)$8,540 $9,253 $4 ($751)$8,506 
Total mortgage-backed securities9,125 14 (599)8,540 9,253 4 (751)8,506 
Asset-backed securities552 2 (30)524 581 — (45)536 
Total debt securities held to maturity$9,677 $16 ($629)$9,064 $9,834 $4 ($796)$9,042 
Equity securities, at cost$1,228 $— $— $1,228 $1,058 $— $— $1,058 
Equity securities, at fair value143 — — 143 153 — — 153 
Accrued interest receivable on debt securities totaled $96 million and $107 million as of March 31, 2023 and December 31, 2022, respectively, and is included in other assets in the Consolidated Balance Sheets.
The following table presents the amortized cost and fair value of debt securities by contractual maturity as of March 31, 2023. Expected maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations with or without incurring penalties.
Distribution of Maturities
(dollars in millions)1 Year or LessAfter 1 Year through 5 YearsAfter 5 Years through 10 YearsAfter 10 YearsTotal
Amortized cost:
U.S. Treasury and other$— $2,137 $1,241 $— $3,378 
State and political subdivisions— — 2 2 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— 1,145 2,670 17,142 20,957 
Other/non-agency— — — 280 280 
Collateralized loan obligations— — 24 1,224 1,248 
Total debt securities available for sale— 3,282 3,935 18,648 25,865 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— — — 9,125 9,125 
Asset-backed securities— 552 — — 552 
Total debt securities held to maturity— 552 — 9,125 9,677 
Total amortized cost of debt securities$— $3,834 $3,935 $27,773 $35,542 
Fair value:
U.S. Treasury and other$— $2,059 $1,193 $— $3,252 
State and political subdivisions— — — 2 2 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— 1,102 2,532 15,491 19,125 
Other/non-agency— — — 251 251 
Collateralized loan obligations— — 24 1,191 1,215 
Total debt securities available for sale— 3,161 3,749 16,935 23,845 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— — — 8,540 8,540 
Asset-backed securities— 524 — — 524 
Total debt securities held to maturity— 524 — 8,540 9,064 
Total fair value of debt securities$— $3,685 $3,749 $25,475 $32,909 
Taxable interest income from investment securities as presented in the Consolidated Statements of Operations was $266 million and $138 million for the three months ended March 31, 2023 and 2022, respectively.
The following table presents realized gains and losses on sale of securities:
Three Months Ended March 31,
(dollars in millions)20232022
Gains$9 $7 
Losses(4)(3)
Securities gains, net$5 $4 
The following table presents the amortized cost and fair value of debt securities pledged:
March 31, 2023December 31, 2022
(dollars in millions)Amortized CostFair ValueAmortized CostFair Value
Pledged against derivatives, to qualify for fiduciary powers, or to secure public and other deposits as required by law$4,079 $3,701 $3,966 $3,527 
Pledged as collateral for FHLB borrowing capacity243 217 244 217 
Pledged against repurchase agreements1,162 1,132 — — 
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, 2023 or December 31, 2022. The Company offsets certain derivative assets and liabilities in the Consolidated Balance Sheets. For further information see Note 8.
There were no securitizations of mortgage loans retained in the investment portfolio for the three months ended March 31, 2023 and 2022.
Impairment
The Company evaluated its existing HTM portfolio as of March 31, 2023 and concluded that 94% 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, 2023.
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, 2023
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$3,114 ($116)$138 ($10)$3,252 ($126)
State and political subdivisions1 — — — 1 — 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities7,101 (302)11,185 (1,550)18,286 (1,852)
Other/non-agency34 (3)217 (26)251 (29)
Total mortgage-backed securities7,135 (305)11,402 (1,576)18,537 (1,881)
Collateralized loan obligations39 — 1,176 (33)1,215 (33)
Total$10,289 ($421)$12,716 ($1,619)$23,005 ($2,040)
December 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$3,356 ($193)$— $— $3,356 ($193)
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities13,353 (1,136)5,042 (1,062)18,395 (2,198)
Other/non-agency80 (8)171 (21)251 (29)
Total mortgage-backed securities13,433 (1,144)5,213 (1,083)18,646 (2,227)
Collateralized loan obligations785 (26)421 (16)1,206 (42)
Total$17,574 ($1,363)$5,634 ($1,099)$23,208 ($2,462)
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, 2023. 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.