INVESTMENTS (Tables)

3 Months Ended

Mar. 31, 2016

The following table presents the Company’s investments by category:



	March 31, 2016		December 31, 2015
In millions of dollars	March 31, 2016		December 31, 2015
Securities available-for-sale (AFS)	$	308,774	$	299,136
Debt securities held-to-maturity (HTM)⁽¹⁾	36,890		36,215
Non-marketable equity securities carried at fair value⁽²⁾	2,044		2,088
Non-marketable equity securities carried at cost⁽³⁾	5,544		5,516
Total investments	$	353,252	$	342,955


(1)	Carried at adjusted amortized cost basis, net of any credit-related impairment.


(2)	Unrealized gains and losses for non-marketable equity securities carried at fair value are recognized in earnings.


(3)	Primarily consists of shares issued by the Federal Reserve Bank, Federal Home Loan Banks, foreign central banks and various clearing houses of which Citigroup is a member.

Interest and dividends on investments

The following table presents interest and dividend income on investments:



	Three Months Ended March 31,
In millions of dollars	2016		2015
Taxable interest	$	1,704	$	1,593
Interest exempt from U.S. federal income tax	116		23
Dividend income	35		95
Total interest and dividend income	$	1,855	$	1,711

Realized gains and losses on investments

The following table presents realized gains and losses on the sale of investments. The gross realized investment losses exclude losses from other-than-temporary impairment (OTTI):



	Three Months Ended March 31,
In millions of dollars	2016			2015
Gross realized investment gains	$	379		$	356
Gross realized investment losses	(193		)	(49		)
Net realized gains on sale of investments	$	186		$	307

Schedule of gain (loss) on HTM securities sold, securities reclassified to AFS and OTTI recorded on AFS securities reclassified

The following table sets forth, for the periods indicated, the carrying value of HTM securities sold and reclassified to AFS, as well as the related gain (loss) or the OTTI losses recorded on these securities.



	Three Months Ended March 31,
In millions of dollars	2016			2015
Carrying value of HTM securities sold	$	—		$	27
Net realized gain (loss) on sale of HTM securities	—			2
Carrying value of securities reclassified to AFS	126			94
OTTI losses on securities reclassified to AFS	(5		)	(5		)

Amortized cost and fair value of AFS

The amortized cost and fair value of AFS securities were as follows:



	March 31, 2016								December 31, 2015
In millions of dollars	Amortized cost		Gross unrealized gains		Gross unrealized losses		Fair value		Amortized cost		Gross unrealized gains		Gross unrealized losses		Fair value
Debt securities AFS
Mortgage-backed securities⁽¹⁾
U.S. government-sponsored agency guaranteed	$	43,670	$	649	$	90	$	44,229	$	39,584	$	367	$	237	$	39,714
Prime	2		—		—		2		2		—		—		2
Alt-A	95		4		—		99		50		5		—		55
Non-U.S. residential	5,450		27		25		5,452		5,909		31		11		5,929
Commercial	381		4		1		384		573		2		4		571
Total mortgage-backed securities	$	49,598	$	684	$	116	$	50,166	$	46,118	$	405	$	252	$	46,271
U.S. Treasury and federal agency securities
U.S. Treasury	$	108,760	$	1,910	$	7	$	110,663	$	113,096	$	254	$	515	$	112,835
Agency obligations	10,218		120		7		10,331		10,095		22		37		10,080
Total U.S. Treasury and federal agency securities	$	118,978	$	2,030	$	14	$	120,994	$	123,191	$	276	$	552	$	122,915
State and municipal⁽²⁾	$	11,614	$	154	$	767	$	11,001	$	12,099	$	132	$	772	$	11,459
Foreign government	99,182		583		423		99,342		92,384		410		593		92,201
Corporate	16,438		181		109		16,510		15,859		121		177		15,803
Asset-backed securities⁽¹⁾	8,882		14		109		8,787		9,261		5		92		9,174
Other debt securities	1,125		—		—		1,125		688		—		—		688
Total debt securities AFS	$	305,817	$	3,646	$	1,538	$	307,925	$	299,600	$	1,349	$	2,438	$	298,511
Marketable equity securities AFS	$	830	$	22	$	3	$	849	$	602	$	26	$	3	$	625
Total securities AFS	$	306,647	$	3,668	$	1,541	$	308,774	$	300,202	$	1,375	$	2,441	$	299,136

(1)

The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 20 to the Consolidated Financial Statements.

(2)

The gross unrealized losses on state and municipal debt securities are primarily attributable to the effects of fair value hedge accounting. Specifically, Citi hedges the LIBOR-benchmark interest rate component of certain fixed-rate tax-exempt state and municipal debt securities utilizing LIBOR-based interest rate swaps. During the hedge period, losses incurred on the LIBOR-hedging swaps recorded in earnings were substantially offset by gains on the state and municipal debt securities attributable to changes in the LIBOR swap rate being hedged. However, because the LIBOR swap rate decreased significantly during the hedge period while the overall fair value of the municipal debt securities was relatively unchanged, the effect of reclassifying fair value gains on these securities from AOCI to earnings, attributable solely to changes in the LIBOR swap rate, resulted in net unrealized losses remaining in AOCI that relate to the unhedged components of these securities.

Fair value of securities in unrealized loss position

The table below shows the fair value of debt securities HTM that have been in an unrecognized loss position for less than 12 months and for 12 months or longer:



	Less than 12 months				12 months or longer				Total
In millions of dollars	Fair value		Gross unrecognized losses		Fair value		Gross unrecognized losses		Fair value		Gross unrecognized losses
March 31, 2016
Debt securities held-to-maturity
Mortgage-backed securities	$	106	$	2	$	633	$	159	$	739	$	161
State and municipal	610		6		1,669		79		2,279		85
Foreign government	—		—		—		—		—		—
Asset-backed securities	182		24		4,830		48		5,012		72
Total debt securities held-to-maturity	$	898	$	32	$	7,132	$	286	$	8,030	$	318
December 31, 2015
Debt securities held-to-maturity
Mortgage-backed securities	$	935	$	1	$	10,301	$	262	$	11,236	$	263
State and municipal	881		20		1,826		67		2,707		87
Foreign government	180		3		—		—		180		3
Asset-backed securities	132		13		3,232		28		3,364		41
Total debt securities held-to-maturity	$	2,128	$	37	$	15,359	$	357	$	17,487	$	394

The table below shows the fair value of AFS securities that have been in an unrealized loss position for less than 12 months or for 12 months or longer:



	Less than 12 months				12 months or longer				Total
In millions of dollars	Fair value		Gross unrealized losses		Fair value		Gross unrealized losses		Fair value		Gross unrealized losses
March 31, 2016
Securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	4,069	$	22	$	2,487	$	68	$	6,556	$	90
Prime	1		—		1		—		2		—
Non-U.S. residential	1,909		13		1,047		12		2,956		25
Commercial	64		—		50		1		114		1
Total mortgage-backed securities	$	6,043	$	35	$	3,585	$	81	$	9,628	$	116
U.S. Treasury and federal agency securities
U.S. Treasury	$	1,487	$	7	$	156	$	—	$	1,643	$	7
Agency obligations	162		—		192		7		354		7
Total U.S. Treasury and federal agency securities	$	1,649	$	7	$	348	$	7	$	1,997	$	14
State and municipal	$	341	$	19	$	4,456	$	748	$	4,797	$	767
Foreign government	24,755		298		4,784		125		29,539		423
Corporate	4,359		73		1,303		36		5,662		109
Asset-backed securities	4,567		72		2,527		37		7,094		109
Marketable equity securities AFS	17		3		1		—		18		3
Total securities AFS	$	41,731	$	507	$	17,004	$	1,034	$	58,735	$	1,541
December 31, 2015
Securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	17,816	$	141	$	2,618	$	96	$	20,434	$	237
Prime	—		—		1		—		1		—
Non-U.S. residential	2,217		7		825		4		3,042		11
Commercial	291		3		55		1		346		4
Total mortgage-backed securities	$	20,324	$	151	$	3,499	$	101	$	23,823	$	252
U.S. Treasury and federal agency securities
U.S. Treasury	$	59,384	$	505	$	1,204	$	10	$	60,588	$	515
Agency obligations	6,716		30		196		7		6,912		37
Total U.S. Treasury and federal agency securities	$	66,100	$	535	$	1,400	$	17	$	67,500	$	552
State and municipal	$	635	$	26	$	4,450	$	746	$	5,085	$	772
Foreign government	35,491		429		4,642		164		40,133		593
Corporate	5,586		132		1,298		45		6,884		177
Asset-backed securities	5,311		58		2,247		34		7,558		92
Other debt securities	27		—		—		—		27		—
Marketable equity securities AFS	132		3		1		—		133		3
Total securities AFS	$	133,606	$	1,334	$	17,537	$	1,107	$	151,143	$	2,441

Amortized cost and fair value of debt securities by contractual maturity dates

The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:



	March 31, 2016				December 31, 2015
In millions of dollars	Amortized cost		Fair value		Amortized cost		Fair value
Mortgage-backed securities⁽¹⁾
Due within 1 year	$	218	$	217	$	114	$	114
After 1 but within 5 years	1,166		1,176		1,408		1,411
After 5 but within 10 years	1,997		2,023		1,750		1,751
After 10 years⁽²⁾	46,217		46,750		42,846		42,995
Total	$	49,598	$	50,166	$	46,118	$	46,271
U.S. Treasury and federal agency securities
Due within 1 year	$	3,299	$	3,301	$	3,016	$	3,014
After 1 but within 5 years	101,506		103,123		107,034		106,878
After 5 but within 10 years	14,072		14,476		12,786		12,684
After 10 years⁽²⁾	101		94		355		339
Total	$	118,978	$	120,994	$	123,191	$	122,915
State and municipal
Due within 1 year	$	2,597	$	2,590	$	3,289	$	3,287
After 1 but within 5 years	2,153		2,160		1,781		1,781
After 5 but within 10 years	407		421		502		516
After 10 years⁽²⁾	6,457		5,830		6,527		5,875
Total	$	11,614	$	11,001	$	12,099	$	11,459
Foreign government
Due within 1 year	$	25,817	$	25,818	$	26,322	$	26,329
After 1 but within 5 years	52,519		52,645		44,801		44,756
After 5 but within 10 years	18,224		18,221		18,935		18,779
After 10 years⁽²⁾	2,622		2,658		2,326		2,337
Total	$	99,182	$	99,342	$	92,384	$	92,201
All other⁽³⁾
Due within 1 year	$	2,314	$	2,318	$	1,930	$	1,931
After 1 but within 5 years	13,666		13,739		12,748		12,762
After 5 but within 10 years	7,359		7,342		7,867		7,782
After 10 years⁽²⁾	3,106		3,023		3,263		3,190
Total	$	26,445	$	26,422	$	25,808	$	25,665
Total debt securities AFS	$	305,817	$	307,925	$	299,600	$	298,511


(1)	Includes mortgage-backed securities of U.S. government-sponsored agencies.


(2)	Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.


(3)	Includes corporate, asset-backed and other debt securities.

The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:



	March 31, 2016				December 31, 2015
In millions of dollars	Carrying value		Fair value		Carrying value		Fair value
Mortgage-backed securities
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	403		413		172		172
After 5 but within 10 years	420		432		660		663
After 10 years⁽¹⁾	18,733		19,091		18,701		18,818
Total	$	19,556	$	19,936	$	19,533	$	19,653
State and municipal
Due within 1 year	$	367	$	353	$	309	$	305
After 1 but within 5 years	312		316		336		335
After 5 but within 10 years	260		270		262		270
After 10 years⁽¹⁾	7,161		7,385		7,236		7,391
Total	$	8,100	$	8,324	$	8,143	$	8,301
Foreign government
Due within 1 year	$	2,742	$	2,750	$	—	$	—
After 1 but within 5 years	1,132		1,138		4,068		4,093
After 5 but within 10 years	183		183		—		—
After 10 years⁽¹⁾	—		—		—		—
Total	$	4,057	$	4,071	$	4,068	$	4,093
All other⁽²⁾
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	—		—		—		—
After 5 but within 10 years	134		134		—		—
After 10 years⁽¹⁾	5,043		4,985		4,471		4,464
Total	$	5,177	$	5,119	$	4,471	$	4,464
Total debt securities held-to-maturity	$	36,890	$	37,450	$	36,215	$	36,511


(1)	Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.


(2)	Includes corporate and asset-backed securities.

Carrying value and fair value of debt securities HTM

The carrying value and fair value of debt securities HTM were as follows:



In millions of dollars	Amortized cost basis⁽¹⁾		Net unrealized gains (losses) recognized in AOCI			Carrying value⁽²⁾		Gross unrealized gains		Gross unrealized (losses)			Fair value
March 31, 2016
Debt securities held-to-maturity
Mortgage-backed securities⁽³⁾
U.S. government agency guaranteed	$	17,771	$	134		$	17,905	$	264	$	(2	)	$	18,167
Prime	51		(10		)	41		3		(2		)	42
Alt-A	427		(51		)	376		228		(157		)	447
Subprime	2		—			2		11		—			13
Non-U.S. residential	1,290		(58		)	1,232		35		—			1,267
Total mortgage-backed securities	$	19,541	$	15		$	19,556	$	541	$	(161	)	$	19,936
State and municipal⁽⁴⁾	$	8,521	$	(421	)	$	8,100	$	309	$	(85	)	$	8,324
Foreign government	4,057		—			4,057		14		—			4,071
Asset-backed securities⁽³⁾	5,185		(8		)	5,177		14		(72		)	5,119
Total debt securities held-to-maturity	$	37,304	$	(414	)	$	36,890	$	878	$	(318	)	$	37,450
December 31, 2015
Debt securities held-to-maturity
Mortgage-backed securities⁽³⁾
U.S. government agency guaranteed	$	17,648	$	138		$	17,786	$	71	$	(100	)	$	17,757
Prime	121		(78		)	43		3		(1		)	45
Alt-A	433		(1		)	432		259		(162		)	529
Subprime	2		—			2		13		—			15
Non-U.S. residential	1,330		(60		)	1,270		37		—			1,307
Total mortgage-backed securities	$	19,534	$	(1	)	$	19,533	$	383	$	(263	)	$	19,653
State and municipal	$	8,581	$	(438	)	$	8,143	$	245	$	(87	)	$	8,301
Foreign government	4,068		—			4,068		28		(3		)	4,093
Asset-backed securities⁽³⁾	4,485		(14		)	4,471		34		(41		)	4,464
Total debt securities held-to-maturity⁽⁵⁾	$	36,668	$	(453	)	$	36,215	$	690	$	(394	)	$	36,511

(1)

For securities transferred to HTM from Trading account assets, amortized cost basis is defined as the fair value of the securities at the date of transfer plus any accretion income and less any impairments recognized in earnings subsequent to transfer. For securities transferred to HTM from AFS, amortized cost is defined as the original purchase cost, adjusted for the cumulative accretion or amortization of any purchase discount or premium, plus or minus any cumulative fair value hedge adjustments, net of accretion or amortization, and less any other-than-temporary impairment recognized in earnings.

(2)

HTM securities are carried on the Consolidated Balance Sheet at amortized cost basis, plus or minus any unamortized unrealized gains and losses and fair value hedge adjustments recognized in AOCI prior to reclassifying the securities from AFS to HTM. Changes in the values of these securities are not reported in the financial statements, except for the amortization of any difference between the carrying value at the transfer date and par value of the securities, and the recognition of any non-credit fair value adjustments in AOCI in connection with the recognition of any credit impairment in earnings related to securities the Company continues to intend to hold until maturity.

(3)

(4)

The net unrealized losses recognized in AOCI on state and municipal debt securities are primarily attributable to the effects of fair value hedge accounting applied when these debt securities were classified as AFS. Specifically, Citi hedged the LIBOR-benchmark interest rate component of certain fixed-rate tax-exempt state and municipal debt securities utilizing LIBOR-based interest rate swaps. During the hedge period, losses incurred on the LIBOR-hedging swaps recorded in earnings were substantially offset by gains on the state and municipal debt securities attributable to changes in the LIBOR swap rate being hedged. However, because the LIBOR swap rate decreased significantly during the hedge period while the overall fair value of the municipal debt securities was relatively unchanged, the effect of reclassifying fair value gains on these securities from AOCI to earnings attributable solely to changes in the LIBOR swap rate resulted in net unrealized losses remaining in AOCI that relate to the unhedged components of these securities. Upon transfer of these debt securities to HTM, all hedges have been de-designated and hedge accounting has ceased.

(5)

During the second quarter of 2015, securities with a total fair value of approximately $7.1 billion were transferred from AFS to HTM, consisting of $7.0 billion of U.S. government agency mortgage-backed securities and $0.1 billion of obligations of U.S. states and municipalities. The transfer reflects the Company’s intent to hold these securities to maturity or to issuer call in order to reduce the impact of price volatility on AOCI and certain capital measures under Basel III. While these securities were transferred to HTM at fair value as of the transfer date, no subsequent changes in value may be recorded, other than in connection with the recognition of any subsequent other-than-temporary impairment and the amortization of differences between the carrying values at the transfer date and the par values of each security as an adjustment of yield over the remaining contractual life of each security. Any net unrealized holding losses within AOCI related to the respective securities at the date of transfer, inclusive of any cumulative fair value hedge adjustments, will be amortized over the remaining contractual life of each security as an adjustment of yield in a manner consistent with the amortization of any premium or discount.

Total other-than-temporary impairments recognized

The total OTTI recognized in earnings follows:



OTTI on Investments and Other Assets	Three Months Ended March 31, 2016
In millions of dollars	AFS⁽¹⁾⁽²⁾		HTM		Other assets ⁽³⁾		Total
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:
Total OTTI losses recognized during the period	$	1	$	—	$	—	$	1
Less: portion of impairment loss recognized in AOCI (before taxes)	—		—		—		—
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell	$	1	$	—	$	—	$	1
Impairment losses recognized in earnings for securities that the Company intends to sell, would be more likely than not required to sell or will be subject to an issuer call deemed probable of exercise and FX losses	195		7		262		464
Total impairment losses recognized in earnings	$	196	$	7	$	262	$	465


(1)	Includes OTTI on non-marketable equity securities.


(2)	Includes a $160 million impairment related to AFS securities affected by changes in the Venezuela exchange rate during the quarter.


(3)	The impairment charge is related to the carrying value of an equity investment.



OTTI on Investments and Other Assets	Three Months Ended March 31, 2015
In millions of dollars	AFS⁽¹⁾		HTM		Other assets		Total
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:
Total OTTI losses recognized during the period	$	—	$	—	$	—	$	—
Less: portion of impairment loss recognized in AOCI (before taxes)	—		—		—		—
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell	$	—	$	—	$	—	$	—
Impairment losses recognized in earnings for securities that the Company intends to sell, would be more likely than not required to sell or will be subject to an issuer call deemed probable of exercise and FX losses	69		3		—		72
Total impairment losses recognized in earnings	$	69	$	3	$	—	$	72


(1)	Includes OTTI on non-marketable equity securities.

Cumulative other-than-temporary impairment credit losses recognized in earnings

The following are three-month rollforwards of the credit-related impairments recognized in earnings for AFS and HTM debt securities held that the Company does not intend to sell nor likely will be required to sell:



	Cumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollars	Dec. 31, 2015 balance		Credit impairments recognized in earnings on securities not previously impaired		Credit impairments recognized in earnings on securities that have been previously impaired		Reductions due to credit-impaired securities sold, transferred or matured			Mar. 31, 2016 balance
AFS debt securities
Mortgage-backed securities	$	294	$	—	$	—	$	—		$	294
State and municipal	8		—		—		(8		)	—
Foreign government securities	170		—		—		—			170
Corporate	112		1		—		(3		)	110
All other debt securities	170		—		—		(4		)	166
Total OTTI credit losses recognized for AFS debt securities	$	754	$	1	$	—	$	(15	)	$	740
HTM debt securities
Mortgage-backed securities⁽¹⁾	$	668	$	—	$	—	$	—		$	668
All other debt securities	132		—		—		—			132
Total OTTI credit losses recognized for HTM debt securities	$	800	$	—	$	—	$	—		$	800


(1)	Primarily consists of Alt-A securities.



	Cumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollars	Dec. 31, 2014 balance		Credit impairments recognized in earnings on securities not previously impaired		Credit impairments recognized in earnings on securities that have been previously impaired		Reductions due to credit-impaired securities sold, transferred or matured			Mar. 31, 2015 balance
AFS debt securities
Mortgage-backed securities	$	295	$	—	$	—	$	—		$	295
State and municipal	—		—		—		—			—
Foreign government securities	171		—		—		(1		)	170
Corporate	118		—		—		(6		)	112
All other debt securities	149		—		—		—			149
Total OTTI credit losses recognized for AFS debt securities	$	733	$	—	$	—	$	(7	)	$	726
HTM debt securities
Mortgage-backed securities⁽¹⁾	$	670	$	—	$	—	$	(2	)	$	668
All other debt securities	133		—		—		—			133
Total OTTI credit losses recognized for HTM debt securities	$	803	$	—	$	—	$	(2	)	$	801


(1)	Primarily consists of Alt-A securities.

Investments in Alternative Investment Funds



	Fair value				Unfunded commitments				Redemption frequency (if currently eligible) monthly, quarterly, annually	Redemption notice period
In millions of dollars	March 31, 2016		December 31, 2015		March 31, 2016		December 31, 2015
Hedge funds	$	2	$	3	$	—	$	—	Generally quarterly	10–95 days
Private equity funds⁽¹⁾⁽²⁾	748		762		183		173		—	—
Real estate funds ⁽²⁾⁽³⁾	89		130		22		21		—	—
Total⁽⁴⁾	$	839	$	895	$	205	$	194	—	—


(1)	Private equity funds include funds that invest in infrastructure, leveraged buyout transactions, emerging markets and venture capital.

(2)

With respect to the Company’s investments in private equity funds and real estate funds, distributions from each fund will be received as the underlying assets held by these funds are liquidated. It is estimated that the underlying assets of these funds will be liquidated over a period of several years as market conditions allow. Private equity and real estate funds do not allow redemption of investments by their investors. Investors are permitted to sell or transfer their investments, subject to the approval of the general partner or investment manager of these funds, which generally may not be unreasonably withheld.


(3)	Includes several real estate funds that invest primarily in commercial real estate in the U.S., Europe and Asia.


(4)	Included in the total fair value of investments above are $0.8 billion and $0.9 billion of fund assets that are valued using NAVs provided by third-party asset managers as of March 31, 2016 and December 31, 2015, respectively.