INVESTMENTS (Tables)

9 Months Ended

Sep. 30, 2016

Investments, Debt and Equity Securities [Abstract]

Schedule of investments by category

The following table presents Citi’s investments by category:

	September 30, 2016		December 31, 2015
In millions of dollars
Securities available-for-sale (AFS)	$	308,117	$	299,136
Debt securities held-to-maturity (HTM)(1)	38,588		36,215
Non-marketable equity securities carried at fair value(2)	1,977		2,088
Non-marketable equity securities carried at cost(3)	6,258		5,516
Total investments	$	354,940	$	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 September 30,				Nine Months Ended September 30,
In millions of dollars	2016		2015		2016		2015
Taxable interest	$	1,741	$	1,596	$	5,219	$	4,773
Interest exempt from U.S. federal income tax	111		44		345		116
Dividend income	35		87		115		305
Total interest and dividend income	$	1,887	$	1,727	$	5,679	$	5,194

Realized gains and losses on investments excluding other-than-temporary impairment

The following table presents realized gains and losses on the sale of investments, which excludes losses from other-than-temporary impairment (OTTI):

	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2016			2015			2016			2015
Gross realized investment gains	$	483		$	213		$	1,105		$	926
Gross realized investment losses	(196		)	(62		)	(432		)	(285		)
Net realized gains on sale of investments	$	287		$	151		$	673		$	641

Amortized cost and fair value of AFS

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

	September 30, 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	$	42,465	$	808	$	71	$	43,202	$	39,584	$	367	$	237	$	39,714
Prime	5		—		—		5		2		—		—		2
Alt-A	45		5		—		50		50		5		—		55
Non-U.S. residential	4,437		19		10		4,446		5,909		31		11		5,929
Commercial	351		4		1		354		573		2		4		571
Total mortgage-backed securities	$	47,303	$	836	$	82	$	48,057	$	46,118	$	405	$	252	$	46,271
U.S. Treasury and federal agency securities
U.S. Treasury	$	108,857	$	1,979	$	33	$	110,803	$	113,096	$	254	$	515	$	112,835
Agency obligations	10,801		108		6		10,903		10,095		22		37		10,080
Total U.S. Treasury and federal agency securities	$	119,658	$	2,087	$	39	$	121,706	$	123,191	$	276	$	552	$	122,915
State and municipal	$	11,703	$	201	$	713	$	11,191	$	12,099	$	132	$	772	$	11,459
Foreign government	97,633		708		201		98,140		88,751		402		479		88,674
Corporate	18,982		230		132		19,080		19,492		129		291		19,330
Asset-backed securities(1)	7,452		6		32		7,426		9,261		5		92		9,174
Other debt securities	1,192		—		—		1,192		688		—		—		688
Total debt securities AFS	$	303,923	$	4,068	$	1,199	$	306,792	$	299,600	$	1,349	$	2,438	$	298,511
Marketable equity securities AFS	$	1,309	$	18	$	2	$	1,325	$	602	$	26	$	3	$	625
Total securities AFS	$	305,232	$	4,086	$	1,201	$	308,117	$	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 18 to the Consolidated Financial Statements.

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
September 30, 2016
Debt securities held-to-maturity
Mortgage-backed securities(3)
U.S. government agency guaranteed	$	16,888	$	125		$	17,013	$	414	$	(3	)	$	17,424
Prime	41		(8		)	33		3		—			36
Alt-A	343		(28		)	315		85		(1		)	399
Subprime	—		—			—		—		—			—
Non-U.S. residential	2,058		(53		)	2,005		45		(6		)	2,044
Total mortgage-backed securities	$	19,330	$	36		$	19,366	$	547	$	(10	)	$	19,903
State and municipal	$	8,304	$	(380	)	$	7,924	$	402	$	(77	)	$	8,249
Foreign government	2,120		—			2,120		—		(9		)	2,111
Asset-backed securities(3)	9,184		(6		)	9,178		25		(10		)	9,193
Total debt securities held-to-maturity	$	38,938	$	(350	)	$	38,588	$	974	$	(106	)	$	39,456
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	$	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) 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 18 to the Consolidated Financial Statements.

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:

	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
September 30, 2016
Debt securities held-to-maturity
Mortgage-backed securities	$	695	$	3	$	553	$	7	$	1,248	$	10
State and municipal	365		4		1,435		73		1,800		77
Foreign government	1,853		9		—		—		1,853		9
Asset-backed securities	10		1		2,213		9		2,223		10
Total debt securities held-to-maturity	$	2,923	$	17	$	4,201	$	89	$	7,124	$	106
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

Note: Excluded from the gross unrecognized losses presented in the above table are $(350) million and $(453) million of net unrealized losses recorded in AOCI as of September 30, 2016 and December 31, 2015, respectively, primarily related to the difference between the amortized cost and carrying value of HTM securities that were reclassified from AFS. Substantially all of these net unrecognized losses relate to securities that have been in a loss position for 12 months or longer at September 30, 2016 and December 31, 2015.

The following shows the fair value of AFS securities that have been in an unrealized loss position:

	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
September 30, 2016
Securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	2,325	$	10	$	1,925	$	61	$	4,250	$	71
Non-U.S. residential	45		—		1,899		10		1,944		10
Commercial	38		—		44		1		82		1
Total mortgage-backed securities	$	2,408	$	10	$	3,868	$	72	$	6,276	$	82
U.S. Treasury and federal agency securities
U.S. Treasury	$	7,895	$	33	$	175	$	—	$	8,070	$	33
Agency obligations	1,450		3		131		3		1,581		6
Total U.S. Treasury and federal agency securities	$	9,345	$	36	$	306	$	3	$	9,651	$	39
State and municipal	$	302	$	14	$	3,632	$	699	$	3,934	$	713
Foreign government	23,678		116		8,230		85		31,908		201
Corporate	2,625		84		1,831		48		4,456		132
Asset-backed securities	522		—		4,917		32		5,439		32
Other debt securities	25		—		—		—		25		—
Marketable equity securities AFS	12		2		13		—		25		2
Total securities AFS	$	38,917	$	262	$	22,797	$	939	$	61,714	$	1,201
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	34,053		371		4,021		108		38,074		479
Corporate	7,024		190		1,919		101		8,943		291
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 carrying value and fair value of HTM debt securities by contractual maturity dates:

	September 30, 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	766		788		172		172
After 5 but within 10 years	57		59		660		663
After 10 years(1)	18,543		19,056		18,701		18,818
Total	$	19,366	$	19,903	$	19,533	$	19,653
State and municipal
Due within 1 year	$	535	$	534	$	309	$	305
After 1 but within 5 years	139		140		336		335
After 5 but within 10 years	234		247		262		270
After 10 years(1)	7,016		7,328		7,236		7,391
Total	$	7,924	$	8,249	$	8,143	$	8,301
Foreign government
Due within 1 year	$	1,571	$	1,572	$	—	$	—
After 1 but within 5 years	549		539		4,068		4,093
After 5 but within 10 years	—		—		—		—
After 10 years(1)	—		—		—		—
Total	$	2,120	$	2,111	$	4,068	$	4,093
All other(2)
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	—		—		—		—
After 5 but within 10 years	508		508		—		—
After 10 years(1)	8,670		8,685		4,471		4,464
Total	$	9,178	$	9,193	$	4,471	$	4,464
Total debt securities held-to-maturity	$	38,588	$	39,456	$	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.

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

	September 30, 2016				December 31, 2015
In millions of dollars	Amortized cost		Fair value		Amortized cost		Fair value
Mortgage-backed securities(1)
Due within 1 year	$	176	$	176	$	114	$	114
After 1 but within 5 years	843		850		1,408		1,411
After 5 but within 10 years	2,246		2,300		1,750		1,751
After 10 years(2)	44,038		44,731		42,846		42,995
Total	$	47,303	$	48,057	$	46,118	$	46,271
U.S. Treasury and federal agency securities
Due within 1 year	$	3,020	$	3,022	$	3,016	$	3,014
After 1 but within 5 years	104,323		105,934		107,034		106,878
After 5 but within 10 years	12,217		12,655		12,786		12,684
After 10 years(2)	98		95		355		339
Total	$	119,658	$	121,706	$	123,191	$	122,915
State and municipal
Due within 1 year	$	2,157	$	2,155	$	3,289	$	3,287
After 1 but within 5 years	2,685		2,693		1,781		1,781
After 5 but within 10 years	459		469		502		516
After 10 years(2)	6,402		5,874		6,527		5,875
Total	$	11,703	$	11,191	$	12,099	$	11,459
Foreign government
Due within 1 year	$	28,878	$	28,898	$	25,898	$	25,905
After 1 but within 5 years	53,253		53,089		43,514		43,464
After 5 but within 10 years	12,952		13,479		17,013		16,968
After 10 years(2)	2,550		2,674		2,326		2,337
Total	$	97,633	$	98,140	$	88,751	$	88,674
All other(3)
Due within 1 year	$	3,065	$	3,068	$	2,354	$	2,355
After 1 but within 5 years	13,637		13,758		14,035		14,054
After 5 but within 10 years	7,833		7,818		9,789		9,593
After 10 years(2)	3,091		3,054		3,263		3,190
Total	$	27,626	$	27,698	$	29,441	$	29,192
Total debt securities AFS	$	303,923	$	306,792	$	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.

Total other-than-temporary impairments recognized

The following tables present total OTTI recognized in earnings:

OTTI on Investments and Other Assets	Three Months Ended   September 30, 2016								Nine Months Ended     September 30, 2016
In millions of dollars	AFS(1)		HTM		Other Assets		Total		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	$	—	$	—	$	—	$	—	$	3	$	1	$	—	$	4
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	$	—	$	—	$	—	$	—	$	3	$	1	$	—	$	4
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	20		12		—		32		243		36		332		611
Total impairment losses recognized in earnings	$	20	$	12	$	—	$	32	$	246	$	37	$	332	$	615

(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 nine months ended September 30, 2016.

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

OTTI on Investments and Other Assets	Three Months Ended   September 30, 2015								Nine Months Ended    September 30, 2015
In millions of dollars	AFS(1)		HTM		Other Assets		Total		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	$	1	$	—	$	—	$	1	$	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	$	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	64		14		1		79		152		36		6		194
Total impairment losses recognized in earnings	$	65	$	14	$	1	$	80	$	153	$	36	$	6	$	195

(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	Jun. 30, 2016 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			September 30, 2016 balance
AFS debt securities
Mortgage-backed securities	$	294	$	—	$	—	$	—		$	294
State and municipal	—		—		—		—			—
Foreign government securities	170		—		—		(5		)	165
Corporate	110		—		—		(1		)	109
All other debt securities	144		—		—		(20		)	124
Total OTTI credit losses recognized for AFS debt securities	$	718	$	—	$	—	$	(26	)	$	692
HTM debt securities
Mortgage-backed securities(1)	$	532	$	—	$	—	$	(2	)	$	530
State and municipal	1		—		—		—			1
All other debt securities	131		—		—		—			131
Total OTTI credit losses recognized for HTM debt securities	$	664	$	—	$	—	$	(2	)	$	662

(1) Primarily consists of Alt-A securities.

	Cumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollars	Jun. 30, 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			Sep. 30, 2015 balance
AFS debt securities
Mortgage-backed securities	$	295	$	—	$	—	$	—		$	295
State and municipal	—		—		—		—			—
Foreign government securities	170		—		—		—			170
Corporate	112		1		—		—			113
All other debt securities	149		—		—		—			149
Total OTTI credit losses recognized for AFS debt securities	$	726	$	1	$	—	$	—		$	727
HTM debt securities
Mortgage-backed securities(1)	$	650	$	—	$	—	$	(30	)	$	620
All other debt securities	133		—		—		(1		)	132
Total OTTI credit losses recognized for HTM debt securities	$	783	$	—	$	—	$	(31	)	$	752

(1) Primarily consists of Alt-A securities.

The following are nine-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			September 30, 2016 balance
AFS debt securities
Mortgage-backed securities	$	294	$	1	$	—	$	(1	)	$	294
State and municipal	8		—		—		(8		)	—
Foreign government securities	170		—		—		(5		)	165
Corporate	112		1		2		(6		)	109
All other debt securities	148		—		—		(24		)	124
Total OTTI credit losses recognized for AFS debt securities	$	732	$	2	$	2	$	(44	)	$	692
HTM debt securities
Mortgage-backed securities(1)	$	556	$	—	$	—	$	(26	)	$	530
State and municipal	—		1		—		—			1
All other debt securities	132		—		—		(1		)	131
Total OTTI credit losses recognized for HTM debt securities	$	688	$	1	$	—	$	(27	)	$	662

(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			September 30, 2015 balance
AFS debt securities
Mortgage-backed securities	$	295	$	—	$	—	$	—		$	295
State and municipal	—		—		—		—			—
Foreign government securities	171		—		—		(1		)	170
Corporate	118		1		—		(6		)	113
All other debt securities	149		—		—		—			149
Total OTTI credit losses recognized for AFS debt securities	$	733	$	1	$	—	$	(7	)	$	727
HTM debt securities
Mortgage-backed securities(1)	$	670	$	—	$	—	$	(50	)	$	620
All other debt securities	133		—		—		(1		)	132
Total OTTI credit losses recognized for HTM debt securities	$	803	$	—	$	—	$	(51	)	$	752

(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	September 30, 2016		December 31, 2015		September 30, 2016		December 31, 2015
Hedge funds	$	3	$	3	$	—	$	—	Generally quarterly	10–95 days
Private equity funds(1)(2)	675		762		129		173		—	—
Real estate funds (2)(3)	69		130		22		21		—	—
Total(4)	$	747	$	895	$	151	$	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) The fair value of investments above is based on NAVs provided by third-party asset managers.