CITIZENS FINANCIAL GROUP INCRI
For the period ended Dec 31, 2023. Filed Feb 16, 2024.
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FY2023 · Filed Feb 16, 2024
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Securities
| Table 7: Amortized Cost and Fair Value of Securities | ||||
|---|---|---|---|---|
| December 31, 2023 · December 31, 2022 | ||||
| (dollars in millions) | Amortized Cost(1) | Fair Value | Amortized Cost | Fair Value |
| U.S. Treasury and other | $4,493 | $4,380 | $3,678 | $3,486 |
| State and political subdivisions | 1 | 1 | 2 | 2 |
| Mortgage-backed securities: | ||||
| Federal agencies and U.S. government sponsored entities | 26,289 | 24,477 | 21,250 | 19,062 |
| Other/non-agency | 279 | 255 | 280 | 251 |
| Total mortgage-backed securities | 26,568 | 24,732 | 21,530 | 19,313 |
| Collateralized loan obligations | 667 | 664 | 1,248 | 1,206 |
| Total debt securities available for sale | $31,729 | $29,777 | $26,458 | $24,007 |
| Mortgage-backed securities: | ||||
| Federal agencies and U.S. government sponsored entities | $8,696 | $7,887 | $9,253 | $8,506 |
| Total mortgage-backed securities | 8,696 | 7,887 | 9,253 | 8,506 |
| Asset-backed securities | 488 | 463 | 581 | 536 |
| Total debt securities held to maturity | $9,184 | $8,350 | $9,834 | $9,042 |
| Total debt securities available for sale and held to maturity | $40,913 | $38,127 | $36,292 | $33,049 |
| Equity securities, at cost(2) | $869 | $869 | $1,058 | $1,058 |
| Equity securities, at fair value(2) | 173 | 173 | 153 | 153 |
(1) Excludes portfolio level basis adjustments of $60 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.
(2) Included in other assets in the Consolidated Balance Sheets.
The primary objective of the securities portfolio is to provide a ready source of liquidity. The portfolio primarily includes high quality, highly liquid investments reflecting our ongoing commitment to maintain strong contingent liquidity levels and pledging capacity.
As of December 31, 2023, U.S. Treasuries and mortgage-backed securities issued by GNMA and GSEs represent 96% of the fair value of our debt securities portfolio, with approximately $31.4 billion of unencumbered high-quality liquid securities serving as potential collateral for borrowings from the FHLB, FRB discount window, the Fixed Income Clearing Corporation bilateral repurchase agreement market, and the Bank Term Funding Program. The Bank Term Funding Program expires in March 2024 and we have not participated in this program through December 31, 2023. Securities are pledged at par value instead of fair value under this program.
For further discussion of the use of our securities as liquidity collateral see the “Regulation and Supervision — Liquidity Requirements” and “Liquidity Risk Management and Governance” sections in this document.
We manage our securities portfolio duration and convexity risk through asset selection and securities structure, and maintain duration levels within our risk appetite in the context of the broader interest rate risk framework and limits. As of December 31, 2023, the portfolio’s average effective duration, including recent hedging actions to reduce duration, was 3.9 years compared to 5.8 years as of December 31, 2022.
Citizens Financial Group, Inc. | 45
| Table 8: Amortized Cost of AFS and HTM Securities by Contractual Maturity | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| As of December 31, 2023 | ||||||||||
| Distribution of Maturities(1) | ||||||||||
| 1 Year or Less | After 1 Year Through 5 Years | After 5 Years Through 10 Years | After 10 Years | Total | ||||||
| (dollars in millions) | Amount | Yield(2) | Amount | Yield(2) | Amount | Yield(2) | Amount | Yield(2) | Amount | Yield(2) |
| Amortized cost: | ||||||||||
| U.S. Treasury and other | $— | —% | $3,015 | 2.65% | $1,478 | 3.30% | $— | —% | $4,493 | 2.87% |
| State and political subdivisions | — | — | — | — | — | — | 1 | 2.60 | 1 | 2.60 |
| Mortgage-backed securities: | ||||||||||
| Federal agencies and U.S. government sponsored entities | — | — | 1,599 | 3.28 | 2,157 | 2.91 | 22,533 | 3.90 | 26,289 | 3.78 |
| Other/non-agency | — | — | — | — | — | — | 279 | 2.63 | 279 | 2.63 |
| Collateralized loan obligations | — | — | — | — | 100 | 7.11 | 567 | 6.97 | 667 | 6.99 |
| Total debt securities available for sale | — | — | 4,614 | 2.87 | 3,735 | 3.18 | 23,380 | 3.96 | 31,729 | 3.71 |
| Mortgage-backed securities: | ||||||||||
| Federal agencies and U.S. government sponsored entities | — | — | — | — | — | — | 8,696 | 2.31 | 8,696 | 2.31 |
| Asset-backed securities | — | — | 488 | 4.01 | — | — | — | — | 488 | 4.01 |
| Total debt securities held to maturity | — | — | 488 | 4.01 | — | — | 8,696 | 2.31 | 9,184 | 2.40 |
| Total debt securities | $— | —% | $5,102 | 2.98% | $3,735 | 3.18% | $32,076 | 3.51% | $40,913 | 3.41% |
(1) Actual maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations with or without incurring penalties.
(2)The weighted-average yield is computed based on a constant effective interest rate over the contractual life of each security and considers the contractual
coupon, amortization of premiums and accretion of discounts. Yields exclude the impact of related hedging derivatives.
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