XML 24 R11.htm IDEA: XBRL DOCUMENT v3.23.2
SECURITIES
 6 Months Ended
Jun. 30, 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:
June 30, 2023December 31, 2022
(dollars in millions)
Amortized Cost(1)
Gross Unrealized GainsGross Unrealized LossesFair ValueAmortized CostGross Unrealized GainsGross Unrealized LossesFair Value
U.S. Treasury and other$3,429 $— ($193)$3,236 $3,678 $1 ($193)$3,486 
State and political subdivisions2 — — 2 2 — — 2 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities22,154 4 (2,116)20,042 21,250 10 (2,198)19,062 
Other/non-agency279 — (32)247 280 — (29)251 
Total mortgage-backed securities22,433 4 (2,148)20,289 21,530 10 (2,227)19,313 
Collateralized loan obligations1,248 — (20)1,228 1,248 — (42)1,206 
Total debt securities available for sale, at fair value$27,112 $4 ($2,361)$24,755 $26,458 $11 ($2,462)$24,007 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities$8,990 $4 ($769)$8,225 $9,253 $4 ($751)$8,506 
Total mortgage-backed securities8,990 4 (769)8,225 9,253 4 (751)8,506 
Asset-backed securities530 2 (29)503 581 — (45)536 
Total debt securities held to maturity$9,520 $6 ($798)$8,728 $9,834 $4 ($796)$9,042 
Equity securities, at cost$917 $— $— $917 $1,058 $— $— $1,058 
Equity securities, at fair value147 — — 147 153 — — 153 
(1) Excludes portfolio level basis adjustments of $9 million for securities designated in active fair value hedge relationships. The basis adjustments represent a reduction to the amortized cost of the securities being hedged.
Accrued interest receivable on debt securities totaled $109 million and $107 million as of June 30, 2023 and December 31, 2022, respectively, and is included in other assets in the Consolidated Balance Sheets.
The following table presents the amortized cost and fair value of debt securities by contractual maturity as of June 30, 2023. Expected maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations with or without incurring penalties.
Distribution of Maturities
(dollars in millions)1 Year or LessAfter 1 Year through 5 YearsAfter 5 Years through 10 YearsAfter 10 YearsTotal
Amortized cost:
U.S. Treasury and other$— $2,489 $940 $— $3,429 
State and political subdivisions— — 2 2 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— 1,295 2,530 18,329 22,154 
Other/non-agency— — — 279 279 
Collateralized loan obligations— — 24 1,224 1,248 
Total debt securities available for sale— 3,784 3,494 19,834 27,112 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— — — 8,990 8,990 
Asset-backed securities— 530 — — 530 
Total debt securities held to maturity— 530 — 8,990 9,520 
Total amortized cost of debt securities$— $4,314 $3,494 $28,824 $36,632 
Fair value:
U.S. Treasury and other$— $2,351 $885 $— $3,236 
State and political subdivisions— — — 2 2 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— 1,229 2,361 16,452 20,042 
Other/non-agency— — — 247 247 
Collateralized loan obligations— — 24 1,204 1,228 
Total debt securities available for sale— 3,580 3,270 17,905 24,755 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities— — — 8,225 8,225 
Asset-backed securities— 503 — — 503 
Total debt securities held to maturity— 503 — 8,225 8,728 
Total fair value of debt securities$— $4,083 $3,270 $26,130 $33,483 
Taxable interest income from investment securities as presented in the Consolidated Statements of Operations was $267 million and $201 million for the three months ended June 30, 2023 and 2022, respectively, and $533 million and $339 million for the six months ended June 30, 2023 and 2022, respectively.
The following table presents realized gains and losses on sale of securities:
Three Months Ended June 30,Six Months Ended June 30,
(dollars in millions)2023202220232022
Gains$9 $2 $18 $9 
Losses— (1)(4)(4)
Securities gains, net$9 $1 $14 $5 
The following table presents the amortized cost and fair value of debt securities pledged:
June 30, 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$5,336 $4,762 $3,966 $3,527 
Pledged as collateral for FHLB borrowing capacity243 214 244 217 
Pledged against repurchase agreements1,248 1,228 — — 
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, 2023 or December 31, 2022.
There were no securitizations of mortgage loans retained in the investment portfolio for the three and six months ended June 30, 2023. Securitizations of mortgage loans retained in the investment portfolio were $40 million for the three and six months ended June 30, 2022. These securitizations include a substantive guarantee by a third party. The guarantors were FNMA and FHLMC in 2022. The debt securities received from the guarantors are classified as AFS.
Impairment
The Company evaluated its existing HTM portfolio as of June 30, 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 June 30, 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:
June 30, 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$2,983 ($173)$253 ($20)$3,236 ($193)
State and political subdivisions2 — — — 2 — 
Mortgage-backed securities:
Federal agencies and U.S. government sponsored entities7,552 (351)11,771 (1,765)19,323 (2,116)
Other/non-agency— — 247 (32)247 (32)
Total mortgage-backed securities7,552 (351)12,018 (1,797)19,570 (2,148)
Collateralized loan obligations— — 1,228 (20)1,228 (20)
Total$10,537 ($524)$13,499 ($1,837)$24,036 ($2,361)
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 June 30, 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.