INVESTMENTS (Tables)

6 Months Ended

Jun. 30, 2018

Investments, Debt and Equity Securities [Abstract]

Schedule of investments by category

The following tables present Citi’s investments by category:

In millions of dollars	June 30, 2018
Debt securities available-for-sale (AFS)	$	289,031
Debt securities held-to-maturity (HTM)(1)	52,897
Marketable equity securities carried at fair value(2)	204
Non-marketable equity securities carried at fair value(2)	1,228
Non-marketable equity securities measured using the measurement alternative(3)	415
Non-marketable equity securities carried at cost(4)	5,941
Total investments	$	349,716

In millions of dollars	December 31, 2017
Securities available-for-sale (AFS)	$	290,914
Debt securities held-to-maturity (HTM)(1)	53,320
Non-marketable equity securities carried at fair value(2)	1,206
Non-marketable equity securities carried at cost(4)	6,850
Total investments	$	352,290

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

(2) Unrealized gains and losses are recognized in earnings.

(3) Impairment losses and adjustments to the carrying value as a result of observable price changes are recognized in earnings.

(4) Represents shares issued by the Federal Reserve Bank, Federal Home Loan Banks and certain exchanges of which Citigroup is a member.

Interest and dividends on investments

The following table presents interest and dividend income on investments:

	Three Months Ended June 30,				Six Months Ended June 30,
In millions of dollars	2018		2017		2018		2017
Taxable interest	$	2,158	$	1,859	$	4,200	$	3,623
Interest exempt from U.S. federal income tax	132		141		262		283
Dividend income	84		58		146		112
Total interest and dividend income	$	2,374	$	2,058	$	4,608	$	4,018

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

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

	Three Months Ended June 30,						Six Months Ended June 30,
In millions of dollars	2018			2017			2018			2017
Gross realized investment gains	$	170		$	258		$	396		$	546
Gross realized investment losses	(68		)	(37		)	(124		)	(133		)
Net realized gains on sale of investments	$	102		$	221		$	272		$	413

Amortized cost and fair value of AFS

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

	June 30, 2018								December 31, 2017
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	$	43,825	$	141	$	994	$	42,972	$	42,116	$	125	$	500	$	41,741
Prime	—		—		—		—		11		6		—		17
Alt-A	1		—		—		1		26		90		—		116
Non-U.S. residential	1,851		7		1		1,857		2,744		13		6		2,751
Commercial	281		1		3		279		334		—		2		332
Total mortgage-backed securities	$	45,958	$	149	$	998	$	45,109	$	45,231	$	234	$	508	$	44,957
U.S. Treasury and federal agency securities
U.S. Treasury	$	108,616	$	53	$	1,772	$	106,897	$	108,344	$	77	$	971	$	107,450
Agency obligations	11,557		7		190		11,374		10,813		7		124		10,696
Total U.S. Treasury and federal agency securities	$	120,173	$	60	$	1,962	$	118,271	$	119,157	$	84	$	1,095	$	118,146
State and municipal(2)	$	9,885	$	123	$	244	$	9,764	$	8,870	$	140	$	245	$	8,765
Foreign government	98,172		385		732		97,825		100,615		508		590		100,533
Corporate	12,694		37		130		12,601		14,144		51		86		14,109
Asset-backed securities(1)	1,868		5		3		1,870		3,906		14		2		3,918
Other debt securities	3,590		1		—		3,591		297		—		—		297
Total debt securities AFS	$	292,340	$	760	$	4,069	$	289,031	$	292,220	$	1,031	$	2,526	$	290,725
Marketable equity securities AFS(3)	$	—	$	—	$	—	$	—	$	186	$	4	$	1	$	189
Total securities AFS	$	292,340	$	760	$	4,069	$	289,031	$	292,406	$	1,035	$	2,527	$	290,914

(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.

(3) Citi adopted ASU 2016-01 and ASU 2018-03 as of January 1, 2018, resulting in a cumulative effect adjustment from AOCI to retained earnings for net unrealized gains on marketable equity securities AFS. The available-for-sale category was eliminated for equity securities effective January 1, 2018. See Note 1 to the Consolidated Financial Statements for additional details.

Amortized cost and fair value of AFS debt securities

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

	June 30, 2018								December 31, 2017
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	$	43,825	$	141	$	994	$	42,972	$	42,116	$	125	$	500	$	41,741
Prime	—		—		—		—		11		6		—		17
Alt-A	1		—		—		1		26		90		—		116
Non-U.S. residential	1,851		7		1		1,857		2,744		13		6		2,751
Commercial	281		1		3		279		334		—		2		332
Total mortgage-backed securities	$	45,958	$	149	$	998	$	45,109	$	45,231	$	234	$	508	$	44,957
U.S. Treasury and federal agency securities
U.S. Treasury	$	108,616	$	53	$	1,772	$	106,897	$	108,344	$	77	$	971	$	107,450
Agency obligations	11,557		7		190		11,374		10,813		7		124		10,696
Total U.S. Treasury and federal agency securities	$	120,173	$	60	$	1,962	$	118,271	$	119,157	$	84	$	1,095	$	118,146
State and municipal(2)	$	9,885	$	123	$	244	$	9,764	$	8,870	$	140	$	245	$	8,765
Foreign government	98,172		385		732		97,825		100,615		508		590		100,533
Corporate	12,694		37		130		12,601		14,144		51		86		14,109
Asset-backed securities(1)	1,868		5		3		1,870		3,906		14		2		3,918
Other debt securities	3,590		1		—		3,591		297		—		—		297
Total debt securities AFS	$	292,340	$	760	$	4,069	$	289,031	$	292,220	$	1,031	$	2,526	$	290,725
Marketable equity securities AFS(3)	$	—	$	—	$	—	$	—	$	186	$	4	$	1	$	189
Total securities AFS	$	292,340	$	760	$	4,069	$	289,031	$	292,406	$	1,035	$	2,527	$	290,914

(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.

(3) Citi adopted ASU 2016-01 and ASU 2018-03 as of January 1, 2018, resulting in a cumulative effect adjustment from AOCI to retained earnings for net unrealized gains on marketable equity securities AFS. The available-for-sale category was eliminated for equity securities effective January 1, 2018. See Note 1 to the Consolidated Financial Statements for additional details.

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
June 30, 2018
Debt securities held-to-maturity
Mortgage-backed securities	$	16,731	$	410	$	5,805	$	251	$	22,536	$	661
State and municipal	1,518		24		747		108		2,265		132
Foreign government	1,334		15		—		—		1,334		15
Asset-backed securities	16		—		611		2		627		2
Total debt securities held-to-maturity	$	19,599	$	449	$	7,163	$	361	$	26,762	$	810
December 31, 2017
Debt securities held-to-maturity
Mortgage-backed securities	$	8,569	$	50	$	6,353	$	107	$	14,922	$	157
State and municipal	353		5		835		68		1,188		73
Foreign government	723		18		—		—		723		18
Asset-backed securities	71		3		134		19		205		22
Total debt securities held-to-maturity	$	9,716	$	76	$	7,322	$	194	$	17,038	$	270

Note: Excluded from the gross unrecognized losses presented in the table above are $(69) million and $(117) million of net unrealized losses recorded in AOCI as of June 30, 2018 and December 31, 2017, respectively, primarily related to the difference between the amortized cost and carrying value of HTM debt 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 June 30, 2018 and December 31, 2017.

The following table 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
June 30, 2018
Debt Securities AFS(1)
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	13,676	$	328	$	13,363	$	666	$	27,039	$	994
Non-U.S. residential	203		1		1		—		204		1
Commercial	234		2		27		1		261		3
Total mortgage-backed securities	$	14,113	$	331	$	13,391	$	667	$	27,504	$	998
U.S. Treasury and federal agency securities
U.S. Treasury	$	68,095	$	1,208	$	20,384	$	564	$	88,479	$	1,772
Agency obligations	4,900		78		4,619		112		9,519		190
Total U.S. Treasury and federal agency securities	$	72,995	$	1,286	$	25,003	$	676	$	97,998	$	1,962
State and municipal	$	2,043	$	25	$	1,161	$	219	$	3,204	$	244
Foreign government	50,160		470		10,488		262		60,648		732
Corporate	6,362		120		521		10		6,883		130
Asset-backed securities	511		3		11		—		522		3
Other debt securities	1,174		—		—		—		1,174		—
Total debt securities AFS	$	147,358	$	2,235	$	50,575	$	1,834	$	197,933	$	4,069
December 31, 2017
Securities AFS
Mortgage-backed securities
U.S. government-sponsored agency guaranteed	$	30,994	$	438	$	2,206	$	62	$	33,200	$	500
Non-U.S. residential	753		6		—		—		753		6
Commercial	150		1		57		1		207		2
Total mortgage-backed securities	$	31,897	$	445	$	2,263	$	63	$	34,160	$	508
U.S. Treasury and federal agency securities
U.S. Treasury	$	79,050	$	856	$	7,404	$	115	$	86,454	$	971
Agency obligations	8,857		110		1,163		14		10,020		124
Total U.S. Treasury and federal agency securities	$	87,907	$	966	$	8,567	$	129	$	96,474	$	1,095
State and municipal	$	1,009	$	11	$	1,155	$	234	$	2,164	$	245
Foreign government	53,206		356		9,051		234		62,257		590
Corporate	6,737		74		859		12		7,596		86
Asset-backed securities	449		1		25		1		474		2
Other debt securities	—		—		—		—		—		—
Marketable equity securities AFS(1)	11		1		—		—		11		1
Total securities AFS	$	181,216	$	1,854	$	21,920	$	673	$	203,136	$	2,527

(1) Citi adopted ASU 2016-01 and ASU 2018-03 as of January 1, 2018, resulting in a cumulative effect adjustment from AOCI to retained earnings for net unrealized gains on marketable equity securities AFS. The available-for-sale category was eliminated for equity securities effective January 1, 2018. See Note 1 to the Consolidated Financial Statements for additional details.

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:

	June 30, 2018				December 31, 2017
In millions of dollars	Amortized cost		Fair value		Amortized cost		Fair value
Mortgage-backed securities(1)
Due within 1 year	$	34	$	34	$	45	$	45
After 1 but within 5 years	1,207		1,202		1,306		1,304
After 5 but within 10 years	1,531		1,503		1,376		1,369
After 10 years(2)	43,186		42,370		42,504		42,239
Total	$	45,958	$	45,109	$	45,231	$	44,957
U.S. Treasury and federal agency securities
Due within 1 year	$	26,550	$	26,528	$	4,913	$	4,907
After 1 but within 5 years	91,342		89,497		111,236		110,238
After 5 but within 10 years	2,190		2,153		3,008		3,001
After 10 years(2)	91		93		—		—
Total	$	120,173	$	118,271	$	119,157	$	118,146
State and municipal
Due within 1 year	$	773	$	773	$	1,792	$	1,792
After 1 but within 5 years	3,460		3,457		2,579		2,576
After 5 but within 10 years	564		584		514		528
After 10 years(2)	5,088		4,950		3,985		3,869
Total	$	9,885	$	9,764	$	8,870	$	8,765
Foreign government
Due within 1 year	$	36,246	$	36,189	$	32,130	$	32,100
After 1 but within 5 years	47,736		47,344		53,034		53,165
After 5 but within 10 years	11,805		11,816		12,949		12,680
After 10 years(2)	2,385		2,476		2,502		2,588
Total	$	98,172	$	97,825	$	100,615	$	100,533
All other(3)
Due within 1 year	$	4,881	$	4,879	$	3,998	$	3,991
After 1 but within 5 years	10,494		10,420		9,047		9,027
After 5 but within 10 years	2,004		2,011		3,415		3,431
After 10 years(2)	773		752		1,887		1,875
Total	$	18,152	$	18,062	$	18,347	$	18,324
Total debt securities AFS	$	292,340	$	289,031	$	292,220	$	290,725

(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:

	June 30, 2018				December 31, 2017
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	130		128		720		720
After 5 but within 10 years	180		179		148		149
After 10 years(1)	26,249		25,622		25,231		25,235
Total	$	26,559	$	25,929	$	26,099	$	26,104
State and municipal
Due within 1 year	$	67	$	67	$	407	$	425
After 1 but within 5 years	187		194		259		270
After 5 but within 10 years	464		468		512		524
After 10 years(1)	6,762		6,799		7,719		7,983
Total	$	7,480	$	7,528	$	8,897	$	9,202
Foreign government
Due within 1 year	$	362	$	362	$	381	$	381
After 1 but within 5 years	986		971		359		341
After 5 but within 10 years	—		—		—		—
After 10 years(1)	—		—		—		—
Total	$	1,348	$	1,333	$	740	$	722
All other(2)
Due within 1 year	$	—	$	—	$	—	$	—
After 1 but within 5 years	—		—		—		—
After 5 but within 10 years	1,441		1,445		1,669		1,680
After 10 years(1)	16,069		16,110		15,915		16,044
Total	$	17,510	$	17,555	$	17,584	$	17,724
Total debt securities held-to-maturity	$	52,897	$	52,345	$	53,320	$	53,752

(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	Carrying value		Gross unrealized gains		Gross unrealized losses		Fair value
June 30, 2018
Debt securities held-to-maturity
Mortgage-backed securities(1)
U.S. government agency guaranteed	$	24,939	$	11	$	661	$	24,289
Alt-A	—		—		—		—
Non-U.S. residential	1,356		20		—		1,376
Commercial	264		—		—		264
Total mortgage-backed securities	$	26,559	$	31	$	661	$	25,929
State and municipal	$	7,480	$	180	$	132	$	7,528
Foreign government	1,348		—		15		1,333
Asset-backed securities(1)	17,510		47		2		17,555
Total debt securities held-to-maturity	$	52,897	$	258	$	810	$	52,345
December 31, 2017
Debt securities held-to-maturity
Mortgage-backed securities(1)
U.S. government agency guaranteed	$	23,880	$	40	$	157	$	23,763
Alt-A	141		57		—		198
Non-U.S. residential	1,841		65		—		1,906
Commercial	237		—		—		237
Total mortgage-backed securities	$	26,099	$	162	$	157	$	26,104
State and municipal (2)	$	8,897	$	378	$	73	$	9,202
Foreign government	740		—		18		722
Asset-backed securities(1)	17,584		162		22		17,724
Total debt securities held-to-maturity	$	53,320	$	702	$	270	$	53,752

(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.

Total other-than-temporary impairments recognized

The following tables present total OTTI recognized in earnings:

OTTI on Investments	Three Months Ended   June 30, 2018						Six Months Ended     June 30, 2018
In millions of dollars	AFS(1)		HTM		Total		AFS(1)		HTM		Total
Impairment losses related to debt 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 debt securities that the Company does not intend to sell nor will likely be required to sell	$	—	$	—	$	—	$	—	$	—	$	—
Impairment losses recognized in earnings for debt 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		—		12		39		—		39
Total OTTI losses recognized in earnings	$	12	$	—	$	12	$	39	$	—	$	39

(1) For the three and six months ended June 30, 2018, amounts represent AFS debt securities. Effective January 1, 2018, the AFS category was eliminated for equity securities. See Note 1 to the Consolidated Financial Statements for additional details.

OTTI on Investments	Three months ended    June 30, 2017						Six Months Ended    June 30, 2017
In millions of dollars	AFS (1)		HTM		Total		AFS(1)		HTM		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	20		—		20		31		1		32
Total impairment losses recognized in earnings	$	20	$	—	$	20	$	31	$	1	$	32

(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 debt securities still held
In millions of dollars	March 31, 2018 balance		Credit impairments recognized in earnings on securities not previously impaired		Credit impairments recognized in earnings on securities that have been previously impaired		Changes due to credit-impaired securities sold, transferred or matured			June 30, 2018 balance
AFS debt securities
Mortgage-backed securities (1)	$	25	$	—	$	—	$	(24	)	$	1
State and municipal	—		—		—		—			—
Foreign government securities	—		—		—		—			—
Corporate	4		—		—		—			4
All other debt securities	2		—		—		—			2
Total OTTI credit losses recognized for AFS debt securities	$	31	$	—	$	—	$	(24	)	$	7
HTM debt securities
Mortgage-backed securities	$	—	$	—	$	—	$	—		$	—
State and municipal	—		—		—		—			—
Total OTTI credit losses recognized for HTM debt securities	$	—	$	—	$	—	$	—		$	—

(1) Primarily consists of Prime securities.

	Cumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollars	March 31, 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			June 30, 2017 balance
AFS debt securities
Mortgage-backed securities	$	—	$	—	$	—	$	—		$	—
State and municipal	4		—		—		—			4
Foreign government securities	—		—		—		—			—
Corporate	4		—		—		—			4
All other debt securities	22		—		—		(22		)	—
Total OTTI credit losses recognized for AFS debt securities	$	30	$	—	$	—	$	(22	)	$	8
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.

The following are six-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 debt securities still held
In millions of dollars	December 31, 2017 balance		Credit impairments recognized in earnings on securities not previously impaired		Credit impairments recognized in earnings on securities that have been previously impaired		Changes due to credit-impaired securities sold, transferred or matured(1)			June 30, 2018 balance
AFS debt securities
Mortgage-backed securities (2)	$	38	$	—	$	—	$	(37	)	$	1
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	$	48	$	—	$	—	$	(41	)	$	7
HTM debt securities
Mortgage-backed securities(3)	$	54	$	—	$	—	$	(54	)	$	—
State and municipal	3		—		—		(3		)	—
Total OTTI credit losses recognized for HTM debt securities	$	57	$	—	$	—	$	(57	)	$	—

(1) Includes $18 million in cumulative OTTI reclassified from HTM to AFS due to the transfer of the related debt securities from HTM to AFS. Citi adopted ASU 2017-12, Targeted Improvements to Accounting for Hedge Activities, on January 1, 2018 and transferred approximately $4 billion of HTM debt securities into AFS classification as permitted as a one-time transfer under the standard.

(2) Primarily consists of Prime securities.

(3) Primarily consists of Alt-A securities.

	Cumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollars	December 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			June 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		—		—		(22		)	—
Total OTTI credit losses recognized for AFS debt securities	$	31	$	—	$	—	$	(23	)	$	8
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.

Carrying value of non-marketable equity securities measured using the measurement alternative

Below is the carrying value of non-marketable equity securities measured using the measurement alternative at June 30, 2018, and amounts recognized in earnings for the three and six months ended June 30, 2018:

In millions of dollars	Three Months Ended June 30, 2018		Six Months Ended June 30, 2018
Measurement alternative, balance at June 30, 2018	$	415	$	415
Measurement alternative—impairment losses(1)	3		4
Measurement alternative—downward changes for observable prices(1)	2		4
Measurement alternative—upward changes for observable prices(1)	4		112

(1) See Note 20 to the Consolidated Financial Statements for additional information on these nonrecurring fair value measurements.

Investments in alternative investment funds

	Fair value				Unfunded commitments				Redemption frequency (if currently eligible) monthly, quarterly, annually	Redemption  notice period
In millions of dollars	June 30, 2018		December 31, 2017		June 30, 2018		December 31, 2017
Hedge funds	$	—	$	1	$	—	$	—	Generally quarterly	10–95 days
Private equity funds(1)(2)	368		372		62		62		—	—
Real estate funds (2)(3)	16		31		19		20		—	—
Mutual/collective investment funds	26		—		—		—		—	—
Total	$	410	$	404	$	81	$	82	—	—

(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.