INVESTMENTS

For additional information regarding Citi’s investment portfolios, including evaluating investments for other-than-temporary impairment (OTTI), see Note 13 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.

Overview

The following table presents Citi’s investments by category:



In millions of dollars	September 30, 2017		December 31, 2016
In millions of dollars	September 30, 2017		December 31, 2016
Securities available-for-sale (AFS)	$	295,315	$	299,424
Debt securities held-to-maturity (HTM)⁽¹⁾	51,527		45,667
Non-marketable equity securities carried at fair value⁽²⁾	1,300		1,774
Non-marketable equity securities carried at cost⁽³⁾	6,532		6,439
Total investments	$	354,674	$	353,304


(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 and various clearing houses of which Citigroup is a member.

The following table presents interest and dividend income on investments:



	Three Months Ended September 30,				Nine Months Ended September 30,
In millions of dollars	2017		2016		2017		2016
Taxable interest	$	1,922	$	1,717	$	5,545	$	5,153
Interest exempt from U.S. federal income tax	129		135		412		411
Dividend income	53		35		165		115
Total interest and dividend income	$	2,104	$	1,887	$	6,122	$	5,679

The following table presents realized gains and losses on the sales of investments, which excludes OTTI losses:



	Three Months Ended September 30,						Nine Months Ended September 30,
In millions of dollars	2017			2016			2017			2016
Gross realized investment gains	$	293		$	483		$	840		$	1,105
Gross realized investment losses	(80		)	(196		)	(214		)	(432		)
Net realized gains on sale of investments	$	213		$	287		$	626		$	673

Securities Available-for-Sale

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



	September 30, 2017								December 31, 2016
In millions of dollars	Amortized cost		Gross unrealized gains		Gross unrealized losses		Fair value		Amortized cost		Gross unrealized gains		Gross unrealized losses		Fair value
Securities AFS
Mortgage-backed securities⁽¹⁾
U.S. government-sponsored agency guaranteed	$	42,422	$	223	$	331	$	42,314	$	38,663	$	248	$	506	$	38,405
Prime	1		—		—		1		2		—		—		2
Alt-A	—		—		—		—		43		7		—		50
Non-U.S. residential	2,984		16		9		2,991		3,852		13		7		3,858
Commercial	345		1		2		344		357		2		1		358
Total mortgage-backed securities	$	45,752	$	240	$	342	$	45,650	$	42,917	$	270	$	514	$	42,673
U.S. Treasury and federal agency securities
U.S. Treasury	$	107,696	$	283	$	408	$	107,571	$	113,606	$	629	$	452	$	113,783
Agency obligations	10,803		17		65		10,755		9,952		21		85		9,888
Total U.S. Treasury and federal agency securities	$	118,499	$	300	$	473	$	118,326	$	123,558	$	650	$	537	$	123,671
State and municipal⁽²⁾	$	9,335	$	146	$	291	$	9,190	$	10,797	$	80	$	757	$	10,120
Foreign government	100,625		526		404		100,747		98,112		590		554		98,148
Corporate	15,459		82		82		15,459		17,195		105		176		17,124
Asset-backed securities⁽¹⁾	5,279		15		3		5,291		6,810		6		22		6,794
Other debt securities	348		—		—		348		503		—		—		503
Total debt securities AFS	$	295,297	$	1,309	$	1,595	$	295,011	$	299,892	$	1,701	$	2,560	$	299,033
Marketable equity securities AFS	$	284	$	23	$	3	$	304	$	377	$	20	$	6	$	391
Total securities AFS	$	295,581	$	1,332	$	1,598	$	295,315	$	300,269	$	1,721	$	2,566	$	299,424

(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.

(2)

In the second quarter of 2017, Citi early adopted ASU 2017-08, Receivables-Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. Upon adoption, a cumulative effect adjustment was recorded to reduce retained earnings, effective January 1, 2017, for the incremental amortization of purchase premiums and cumulative fair value hedge adjustments on callable state and municipal debt securities. For additional information, see Note 1 to the Consolidated Financial Statements.

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, 2017
Securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	24,545	$	275	$	2,631	$	56	$	27,176	$	331
Non-U.S. residential	1,267		8		28		1		1,295		9
Commercial	111		1		42		1		153		2
Total mortgage-backed securities	$	25,923	$	284	$	2,701	$	58	$	28,624	$	342
U.S. Treasury and federal agency securities
U.S. Treasury	$	50,362	$	367	$	4,392	$	41	$	54,754	$	408
Agency obligations	6,884		46		1,231		19		8,115		65
Total U.S. Treasury and federal agency securities	$	57,246	$	413	$	5,623	$	60	$	62,869	$	473
State and municipal	$	430	$	13	$	1,669	$	278	$	2,099	$	291
Foreign government	40,112		202		9,462		202		49,574		404
Corporate	6,330		65		696		17		7,026		82
Asset-backed securities	1,148		3		207		—		1,355		3
Other debt securities	—		—		—		—		—		—
Marketable equity securities AFS	13		2		11		1		24		3
Total securities AFS	$	131,202	$	982	$	20,369	$	616	$	151,571	$	1,598
December 31, 2016
Securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	23,534	$	436	$	2,236	$	70	$	25,770	$	506
Prime	1		—		—		—		1		—
Non-U.S. residential	486		—		1,276		7		1,762		7
Commercial	75		1		58		—		133		1
Total mortgage-backed securities	$	24,096	$	437	$	3,570	$	77	$	27,666	$	514
U.S. Treasury and federal agency securities
U.S. Treasury	$	44,342	$	445	$	1,335	$	7	$	45,677	$	452
Agency obligations	6,552		83		250		2		6,802		85
Total U.S. Treasury and federal agency securities	$	50,894	$	528	$	1,585	$	9	$	52,479	$	537
State and municipal	$	1,616	$	55	$	3,116	$	702	$	4,732	$	757
Foreign government	38,226		243		8,973		311		47,199		554
Corporate	7,011		129		1,877		47		8,888		176
Asset-backed securities	411		—		3,213		22		3,624		22
Other debt securities	5		—		—		—		5		—
Marketable equity securities AFS	19		2		24		4		43		6
Total securities AFS	$	122,278	$	1,394	$	22,358	$	1,172	$	144,636	$	2,566

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



	September 30, 2017				December 31, 2016
In millions of dollars	Amortized cost		Fair value		Amortized cost		Fair value
Mortgage-backed securities⁽¹⁾
Due within 1 year	$	61	$	61	$	132	$	132
After 1 but within 5 years	1,340		1,340		736		738
After 5 but within 10 years	1,469		1,466		2,279		2,265
After 10 years⁽²⁾	42,882		42,783		39,770		39,538
Total	$	45,752	$	45,650	$	42,917	$	42,673
U.S. Treasury and federal agency securities
Due within 1 year	$	3,549	$	3,539	$	4,945	$	4,945
After 1 but within 5 years	109,477		109,286		101,369		101,323
After 5 but within 10 years	5,473		5,501		17,153		17,314
After 10 years⁽²⁾	—		—		91		89
Total	$	118,499	$	118,326	$	123,558	$	123,671
State and municipal
Due within 1 year	$	2,036	$	2,036	$	2,093	$	2,092
After 1 but within 5 years	2,412		2,416		2,668		2,662
After 5 but within 10 years	493		508		335		334
After 10 years⁽²⁾	4,394		4,230		5,701		5,032
Total	$	9,335	$	9,190	$	10,797	$	10,120
Foreign government
Due within 1 year	$	32,095	$	32,097	$	32,540	$	32,547
After 1 but within 5 years	52,519		52,362		51,008		50,881
After 5 but within 10 years	13,531		13,690		12,388		12,440
After 10 years⁽²⁾	2,480		2,598		2,176		2,280
Total	$	100,625	$	100,747	$	98,112	$	98,148
All other⁽³⁾
Due within 1 year	$	3,585	$	3,583	$	2,629	$	2,628
After 1 but within 5 years	9,799		9,818		12,339		12,334
After 5 but within 10 years	5,581		5,585		6,566		6,528
After 10 years⁽²⁾	2,121		2,112		2,974		2,931
Total	$	21,086	$	21,098	$	24,508	$	24,421
Total debt securities AFS	$	295,297	$	295,011	$	299,892	$	299,033


(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.

Debt Securities Held-to-Maturity

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, 2017
Debt securities held-to-maturity
Mortgage-backed securities⁽³⁾
U.S. government agency guaranteed	$	23,683	$	26		$	23,709	$	104	$	(78	)	$	23,735
Prime	13		—			13		4		—			17
Alt-A	256		(11		)	245		97		—			342
Non-U.S. residential	1,932		(47		)	1,885		58		—			1,943
Commercial	217		—			217		—		—			217
Total mortgage-backed securities	$	26,101	$	(32	)	$	26,069	$	263	$	(78	)	$	26,254
State and municipal⁽⁴⁾	$	8,588	$	(30	)	$	8,558	$	338	$	(90	)	$	8,806
Foreign government	584		—			584		—		(14		)	570
Asset-backed securities⁽³⁾	16,286		(5		)	16,281		94		(10		)	16,365
Other debt securities	35		—			35		—		—			35
Total debt securities held-to-maturity	$	51,594	$	(67	)	$	51,527	$	695	$	(192	)	$	52,030
December 31, 2016
Debt securities held-to-maturity
Mortgage-backed securities⁽³⁾
U.S. government agency guaranteed	$	22,462	$	33		$	22,495	$	47	$	(186	)	$	22,356
Prime	31		(7		)	24		10		(1		)	33
Alt-A	314		(27		)	287		69		(1		)	355
Non-U.S. residential	1,871		(47		)	1,824		49		—			1,873
Commercial	14		—			14		—		—			14
Total mortgage-backed securities	$	24,692	$	(48	)	$	24,644	$	175	$	(188	)	$	24,631
State and municipal	$	9,025	$	(442	)	$	8,583	$	129	$	(238	)	$	8,474
Foreign government	1,339		—			1,339		—		(26		)	1,313
Asset-backed securities⁽³⁾	11,107		(6		)	11,101		41		(5		)	11,137
Total debt securities held-to-maturity⁽⁵⁾	$	46,163	$	(496	)	$	45,667	$	345	$	(457	)	$	45,555

(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)

(5)

During the fourth quarter of 2016, securities with a total fair value of approximately $5.8 billion were transferred from AFS to HTM, composed of $5 billion of U.S. government agency mortgage-backed securities and $830 million of municipal securities. The transfer reflects the Company’s intent to hold these securities to maturity or to issuer call, in part, 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.

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, 2017
Debt securities held-to-maturity
Mortgage-backed securities	$	47	$	—	$	10,147	$	78	$	10,194	$	78
State and municipal	242		6		832		84		1,074		90
Foreign government	570		14		—		—		570		14
Asset-backed securities	55		2		2,563		8		2,618		10
Total debt securities held-to-maturity	$	914	$	22	$	13,542	$	170	$	14,456	$	192
December 31, 2016
Debt securities held-to-maturity
Mortgage-backed securities	$	17	$	—	$	17,176	$	188	$	17,193	$	188
State and municipal	2,200		58		1,210		180		3,410		238
Foreign government	1,313		26		—		—		1,313		26
Asset-backed securities	2		—		2,503		5		2,505		5
Total debt securities held-to-maturity	$	3,532	$	84	$	20,889	$	373	$	24,421	$	457

Note: Excluded from the gross unrecognized losses presented in the table above are $(67) million and $(496) million of net unrealized losses recorded in AOCI as of September 30, 2017 and December 31, 2016, 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, 2017 and December 31, 2016.

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



	September 30, 2017				December 31, 2016
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	737		743		760		766
After 5 but within 10 years	123		124		54		55
After 10 years⁽¹⁾	25,209		25,387		23,830		23,810
Total	$	26,069	$	26,254	$	24,644	$	24,631
State and municipal
Due within 1 year	$	227	$	228	$	406	$	406
After 1 but within 5 years	166		176		112		110
After 5 but within 10 years	458		474		363		367
After 10 years⁽¹⁾	7,707		7,928		7,702		7,591
Total	$	8,558	$	8,806	$	8,583	$	8,474
Foreign government
Due within 1 year	$	413	$	413	$	824	$	818
After 1 but within 5 years	171		157		515		495
After 5 but within 10 years	—		—		—		—
After 10 years⁽¹⁾	—		—		—		—
Total	$	584	$	570	$	1,339	$	1,313
All other⁽²⁾
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	35		35		—		—
After 5 but within 10 years	1,146		1,148		513		514
After 10 years⁽¹⁾	15,135		15,217		10,588		10,623
Total	$	16,316	$	16,400	$	11,101	$	11,137
Total debt securities held-to-maturity	$	51,527	$	52,030	$	45,667	$	45,555


(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.

Evaluating Investments for Other-Than-Temporary Impairment

Overview

The Company conducts periodic reviews of all securities with unrealized losses to evaluate whether the impairment is other-than-temporary.

An unrealized loss exists when the current fair value of an individual security is less than its amortized cost basis. Unrealized losses that are determined to be temporary in nature are recorded, net of tax, in AOCI for AFS securities. Losses related to HTM securities generally are not recorded, as these investments are carried at adjusted amortized cost basis. However, for HTM securities with credit-related impairment, the credit loss is recognized in earnings as OTTI and any difference between the cost basis adjusted for the OTTI and fair value is recognized in AOCI and amortized as an adjustment of yield over the remaining contractual life of the security. For securities transferred to HTM from Trading account assets, amortized cost is defined as the fair value of the securities at the date of transfer, plus any accretion income and less any impairment 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 impairment recognized in earnings.

Regardless of the classification of the securities as AFS or HTM, the Company assesses each position with an unrealized loss for OTTI. Factors considered in determining whether a loss is temporary include:


•	the length of time and the extent to which fair value has been below cost;


•	the severity of the impairment;


•	the cause of the impairment and the financial condition and near-term prospects of the issuer;


•	activity in the market of the issuer that may indicate adverse credit conditions; and


•	the Company’s ability and intent to hold the investment for a period of time sufficient to allow for any anticipated recovery.

The Company’s review for impairment generally entails:


•	identification and evaluation of impaired investments;


•	analysis of individual investments that have fair values less than amortized cost, including consideration of the length of time the investment has been in an unrealized loss position and the expected recovery period;


•	consideration of evidential matter, including an evaluation of factors or triggers that could cause individual investments to qualify as having other-than-temporary impairment and those that would not support other-than-temporary impairment; and


•	documentation of the results of these analyses, as required under business policies.

Debt Securities

The entire difference between amortized cost basis and fair value is recognized in earnings as OTTI for impaired debt securities that the Company has an intent to sell or for which the Company believes it will more-likely-than-not be required to sell prior to recovery of the amortized cost basis. However, for those securities that the Company does not intend to sell and is not likely to be required to sell, only the credit-related impairment is recognized in earnings and any non-credit-related impairment is recorded in AOCI.

For debt securities, credit impairment exists where management does not expect to receive contractual principal and interest cash flows sufficient to recover the entire amortized cost basis of a security.

Equity Securities

For equity securities, management considers the various factors described above, including its intent and ability to hold the equity security for a period of time sufficient for recovery to cost or whether it is more-likely-than-not that the Company will be required to sell the security prior to recovery of its cost basis. Where management lacks that intent or ability, the security’s decline in fair value is deemed to be other-than-temporary and is recorded in earnings. AFS equity securities deemed to be other-than-temporarily impaired are written down to fair value, with the full difference between fair value and cost recognized in earnings.

Management assesses equity method investments that have fair values that are less than their respective carrying values for OTTI. Fair value is measured as price multiplied by quantity if the investee has publicly listed securities. If the investee is not publicly listed, other methods are used (see Note 22 to the Consolidated Financial Statements).

For impaired equity method investments that Citi plans to sell prior to recovery of value or would likely be required to sell, with no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized in earnings as OTTI regardless of severity and duration. The measurement of the OTTI does not include partial projected recoveries subsequent to the balance sheet date.

For impaired equity method investments that management does not plan to sell and is not likely to be required to sell prior to recovery of value, the evaluation of whether an impairment is other-than-temporary is based on (i) whether and when an equity method investment will recover in value and (ii) whether the investor has the intent and ability to hold that investment for a period of time sufficient to recover the value. The determination of whether the impairment is considered other-than-temporary considers the following indicators, regardless of the time and extent of impairment:


•	the cause of the impairment and the financial condition and near-term prospects of the issuer, including any specific events that may influence the operations of the issuer;


•	the intent and ability to hold the investment for a period of time sufficient to allow for any anticipated recovery in market value; and


•	the length of time and extent to which fair value has been less than the carrying value.

The sections below describe the Company’s process for identifying credit-related impairments for security types that have the most significant unrealized losses as of September 30, 2017.

Mortgage-Backed Securities

For U.S. mortgage-backed securities (and in particular for Alt-A and other mortgage-backed securities that have significant unrealized losses as a percentage of amortized cost), credit impairment is assessed using a cash flow model that estimates the principal and interest cash flows on the underlying mortgages using the security-specific collateral and transaction structure. The model distributes the estimated cash flows to the various tranches of securities, considering the transaction structure and any subordination and credit enhancements that exist in that structure. The cash flow model incorporates actual cash flows on the mortgage-backed securities through the current period and then estimates the remaining cash flows using a number of assumptions, including default rates, prepayment rates, recovery rates (on foreclosed properties) and loss severity rates (on non-agency mortgage-backed securities).

Management develops specific assumptions using market data, internal estimates and estimates published by rating agencies and other third-party sources. Default rates are projected by considering current underlying mortgage loan performance, generally assuming the default of (i) 10% of current loans, (ii) 25% of 30–59 day delinquent loans, (iii) 70% of 60–90 day delinquent loans and (iv) 100% of 91+ day delinquent loans. These estimates are extrapolated along a default timing curve to estimate the total lifetime pool default rate. Other assumptions contemplate the actual collateral attributes, including geographic concentrations, rating actions and current market prices.

Cash flow projections are developed using different stress test scenarios. Management evaluates the results of those stress tests (including the severity of any cash shortfall indicated and the likelihood of the stress scenarios actually occurring based on the underlying pool’s characteristics and performance) to assess whether management expects to recover the amortized cost basis of the security. If cash flow projections indicate that the Company does not expect to recover its amortized cost basis, the Company recognizes the estimated credit loss in earnings.

State and Municipal Securities

The process for identifying credit impairments in Citigroup’s AFS and HTM state and municipal bonds is primarily based on a credit analysis that incorporates third-party credit ratings. Citigroup monitors the bond issuers and any insurers providing default protection in the form of financial guarantee insurance. The average external credit rating, ignoring any insurance, is Aa3/AA-. In the event of an external rating downgrade or other indicator of credit impairment (i.e., based on instrument-specific estimates of cash flows or probability of issuer default), the subject bond is specifically reviewed for adverse changes in the amount or timing of expected contractual principal and interest payments.

For state and municipal bonds with unrealized losses that Citigroup plans to sell, or would be more-likely-than-not required to sell, the full impairment is recognized in earnings.

Recognition and Measurement of OTTI

The following tables present total OTTI recognized in earnings:



OTTI on Investments and Other assets	Three Months Ended September 30, 2017								Nine Months Ended September 30, 2017
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	$	2	$	—	$	—	$	2	$	2	$	—	$	—	$	2
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	$	2	$	—	$	—	$	2	$	2	$	—	$	—	$	2
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	12		1		—		13		43		2		—		45
Total impairment losses recognized in earnings	$	14	$	1	$	—	$	15	$	45	$	2	$	—	$	47


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



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.

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, 2017 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, 2017 balance
AFS debt securities
Mortgage-backed securities	$	—	$	—	$	—	$	—	$	—
State and municipal	4		—		—		—		4
Foreign government securities	—		—		—		—		—
Corporate	4		—		—		—		4
All other debt securities	—		—		2		—		2
Total OTTI credit losses recognized for AFS debt securities	$	8	$	—	$	2	$	—	$	10
HTM debt securities
Mortgage-backed securities⁽¹⁾	$	97	$	—	$	—	$	—	$	97
State and municipal	3		—		—		—		3
Total OTTI credit losses recognized for HTM debt securities	$	100	$	—	$	—	$	—	$	100


(1)	Primarily consists of Alt-A securities.



	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	$	—	$	—	$	—	$	—		$	—
State and municipal	4		—		—		—			4
Foreign government securities	5		—		—		(5		)	—
Corporate	7		—		—		(1		)	6
All other debt securities	43		—		—		(20		)	23
Total OTTI credit losses recognized for AFS debt securities	$	59	$	—	$	—	$	(26	)	$	33
HTM debt securities
Mortgage-backed securities⁽¹⁾	$	108	$	—	$	—	$	(2	)	$	106
State and municipal	4		—		—		—			4
Total OTTI credit losses recognized for HTM debt securities	$	112	$	—	$	—	$	(2	)	$	110


(1)	Primarily consists of Alt-A securities.

The following tables 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, 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, 2017 balance
AFS debt securities
Mortgage-backed securities	$	—	$	—	$	—	$	—		$	—
State and municipal	4		—		—		—			4
Foreign government securities	—		—		—		—			—
Corporate	5		—		—		(1		)	4
All other debt securities	22		—		2		(22		)	2
Total OTTI credit losses recognized for AFS debt securities	$	31	$	—	$	2	$	(23	)	$	10
HTM debt securities
Mortgage-backed securities⁽¹⁾	$	101	$	—	$	—	$	(4	)	$	97
State and municipal	3		—		—		—			3
Total OTTI credit losses recognized for HTM debt securities	$	104	$	—	$	—	$	(4	)	$	100


(1)	Primarily consists of Alt-A securities.



	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	$	—	$	1	$	—	$	(1	)	$	—
State and municipal	12		—		—		(8		)	4
Foreign government securities	5		—		—		(5		)	—
Corporate	9		1		2		(6		)	6
All other debt securities	47		—		—		(24		)	23
Total OTTI credit losses recognized for AFS debt securities	$	73	$	2	$	2	$	(44	)	$	33
HTM debt securities
Mortgage-backed securities⁽¹⁾	$	132	$	—	$	—	$	(26	)	$	106
State and municipal	4		1		—		(1		)	4
Total OTTI credit losses recognized for HTM debt securities	$	136	$	1	$	—	$	(27	)	$	110


(1)	Primarily consists of Alt-A securities.

Investments in Alternative Investment Funds That Calculate Net Asset Value

The Company holds investments in certain alternative investment funds that calculate net asset value (NAV), or its equivalent, including hedge funds, private equity funds, funds of funds and real estate funds, as provided by third-party asset managers. Investments in such funds are generally classified as non-marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV of the Company’s ownership interest in the funds. Some of these investments are in “covered funds” for purposes of the Volcker Rule, which prohibits certain proprietary investment activities and limits the ownership of, and relationships with, covered funds. On April 21, 2017, Citi’s request for extension of the permitted holding period under the Volcker Rule for certain of its investments in illiquid funds was approved, allowing the Company to hold such investments until the earlier of 5 years from the July 21, 2017 expiration date of the general conformance period, or the date such investments mature or are otherwise conformed with the Volcker Rule.



	Fair value				Unfunded commitments				Redemption frequency (if currently eligible) monthly, quarterly, annually	Redemption notice period
In millions of dollars	September 30, 2017		December 31, 2016		September 30, 2017		December 31, 2016
Hedge funds	$	2	$	4	$	—	$	—	Generally quarterly	10–95 days
Private equity funds⁽¹⁾⁽²⁾	369		348		82		82		—	—
Real estate funds ⁽²⁾⁽³⁾	34		56		23		20		—	—
Total	$	405	$	408	$	105	$	102	—	—


(1)	Private equity funds include funds that invest in infrastructure, 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.