CITIZENS FINANCIAL GROUP INCRI
For the period ended Sep 30, 2024. Filed Nov 4, 2024.
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Sep 30, 2024 · Filed Nov 4, 2024
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Securities
| Table 6: Amortized Cost and Fair Value of Securities | ||||
|---|---|---|---|---|
| September 30, 2024 | December 31, 2023 | |||
| (dollars in millions) | Amortized Cost(1) | Fair Value | Amortized Cost(1) | Fair Value |
| U.S. Treasury and other | $4,726 | $4,689 | $4,493 | $4,380 |
| State and political subdivisions | 1 | 1 | 1 | 1 |
| Mortgage-backed securities: | ||||
| Federal agencies and U.S. government sponsored entities | 28,995 | 27,650 | 26,289 | 24,477 |
| Other/non-agency | 274 | 261 | 279 | 255 |
| Total mortgage-backed securities | 29,269 | 27,911 | 26,568 | 24,732 |
| Collateralized loan obligations | 234 | 234 | 667 | 664 |
| Total debt securities available for sale | $34,230 | $32,835 | $31,729 | $29,777 |
| Mortgage-backed securities: | ||||
| Federal agencies and U.S. government sponsored entities | $8,308 | $7,645 | $8,696 | $7,887 |
| Total mortgage-backed securities | 8,308 | 7,645 | 8,696 | 7,887 |
| Asset-backed securities | 430 | 422 | 488 | 463 |
| Total debt securities held to maturity | $8,738 | $8,067 | $9,184 | $8,350 |
| Total debt securities available for sale and held to maturity | $42,968 | $40,902 | $40,913 | $38,127 |
| Equity securities, at cost(2) | $732 | $732 | $869 | $869 |
| Equity securities, at fair value(2) | 203 | 203 | 173 | 173 |
(1) Excludes portfolio level basis adjustments of $176 million and $60 million, respectively, for securities designated in active fair value hedge relationships at September 30, 2024 and December 31, 2023.
(2) Included in other assets in the Consolidated Balance Sheets.
The primary objective of our 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 September 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 $34.1 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 our broader interest rate risk framework and limits. As of September 30, 2024, the portfolio’s average effective duration, including recent hedging actions to reduce duration, was 3.3 years compared with 3.9 years as of December 31, 2023.
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