CITIZENS FINANCIAL GROUP INCRI

(1) Excludes portfolio level basis adjustments of $(113) million and $60 million, respectively, for securities designated in active fair value hedge relationships at June 30, 2024 and December 31, 2023.

(2) Included in other assets in the Consolidated Balance Sheets.

The primary objective of the securities portfolio is to provide a readily available 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 June 30, 2024, U.S. Treasuries and mortgage-backed securities issued by GNMA and GSEs represented 98% of the fair value of our debt securities portfolio, with approximately $32.1 billion of unencumbered high-quality liquid securities serving as potential collateral for borrowings from the FHLB, FRB discount window, and the Fixed Income Clearing Corporation bilateral repurchase agreement market.

For further discussion of the use of our securities as liquidity collateral see the “Liquidity Risk Management and Governance” section in this document. For further discussion of liquidity requirements, see “Regulation and Supervision — Liquidity Requirements” in our 2023 Form 10-K.

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 June 30, 2024, the portfolio’s average effective duration, including recent hedging actions to reduce duration, was 3.7 years compared with 3.9 years as of December 31, 2023.